0001752724-21-188959.txt : 20210827 0001752724-21-188959.hdr.sgml : 20210827 20210827121906 ACCESSION NUMBER: 0001752724-21-188959 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20210630 FILED AS OF DATE: 20210827 PERIOD START: 20210630 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PIONEER BOND FUND /DE/ CENTRAL INDEX KEY: 0000276776 IRS NUMBER: 042652279 STATE OF INCORPORATION: DE FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-02864 FILM NUMBER: 211216359 BUSINESS ADDRESS: STREET 1: 60 STATE ST 5TH FL CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 617-742-7825 MAIL ADDRESS: STREET 1: 60 STATE ST STREET 2: 5TH FLOOR CITY: BOSTON STATE: MA ZIP: 02109-1820 FORMER COMPANY: FORMER CONFORMED NAME: PIONEER BOND FUND /MA/ DATE OF NAME CHANGE: 19920703 0000276776 S000003927 Pioneer Bond Fund C000011026 Pioneer Bond Fund: Class A PIOBX C000011028 Pioneer Bond Fund: Class C PCYBX C000011029 Pioneer Bond Fund: Class Y PICYX C000011031 Pioneer Bond Fund: Class R PBFRX C000123839 Pioneer Bond Fund: Class K PBFKX NPORT-P 1 primary_doc.xml NPORT-P false 0000276776 XXXXXXXX S000003927 C000011031 C000011029 C000011026 C000123839 C000011028 Pioneer Bond Fund /DE/ 811-02864 0000276776 CS1V0EATB8V5FS5HQA74 60 State Street NULL Boston 02109 617-422-4947 Pioneer Bond Fund S000003927 CS1V0EATB8V5FS5HQA74 2021-06-30 2021-06-30 N 6939004512.49 1091734077.79 5847270434.70 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1062166.65000000 0.00000000 0.00000000 97129397.38000000 ARS AUD BRL CAD CHF CNY CZK DKK EGP EUR GBP GHS HKD IDR INR JPY KRW KZT LKR MXN MYR NOK NZD PEN PLN RON RUB SEK SGD THB TWD USD UZS VND N HARAMBEE RE 2020 0.0% 12/31/23 N/A N/A 4000000.00000000 NS USD 256800.00000000 0.004391792766 Long DBT CORP BM N 3 2023-12-31 Fixed 0.00000000 N N N N N N MPLX LP 4.25% 12/01/27 N/A 55336VBN9 9940000.00000000 NS USD 11270963.71000000 0.192755984794 Long DBT CORP US N 2 2027-12-01 Fixed 4.25000000 N N N N N N WILLIAMS COS IN 7.75% 06/15/31 D71FAKCBLFS2O0RBPG08 969457BD1 2475000.00000000 NS USD 3441520.05000000 0.058856864727 Long DBT CORP US N 2 2031-06-15 Fixed 7.75000000 N N N N N N MARRIOTT INTER 4.625% 06/15/30 225YDZ14ZO8E1TXUSU86 571903BE2 3100000.00000000 NS USD 3573793.03000000 0.061118996802 Long DBT CORP US N 2 2030-06-15 Fixed 4.62500000 N N N N N N FGLMC P#A44264 6% 04/01/36 N/A 3128K4WZ4 43781.29000000 NS USD 49525.29000000 0.000846981348 Long ABS-MBS USGA US N 2 2036-04-01 Fixed 6.00000000 N N N N N N UMBS P#MA4097 3% 08/01/50 N/A 31418DRT1 576138.66000000 NS USD 600449.81000000 0.010268890702 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N FGLMC P#C01702 6.5% 10/01/33 N/A 31292H3K8 15953.24000000 NS USD 18748.83000000 0.000320642429 Long ABS-MBS USGA US N 2 2033-10-01 Fixed 6.50000000 N N N N N N FNMA P#651216 6.5% 7/1/32 N/A 31390NN99 46341.96000000 NS USD 51929.84000000 0.000888103955 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 6.50000000 N N N N N N GNMA P#AL1912 4% 01/15/45 N/A 36183XDR8 394241.12000000 NS USD 422627.62000000 0.007227776185 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 4.00000000 N N N N N N FNMA P#562049 7% 12/1/30__ N/A 31386FL60 3656.68000000 NS USD 4033.46000000 0.000068980219 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 7.00000000 N N N N N N GNMA P#691311 6% 08/15/38 N/A 36296HAL3 12566.33000000 NS USD 14141.44000000 0.000241846860 Long ABS-MBS USGSE US N 2 2038-08-15 Fixed 6.00000000 N N N N N N GNMA P#569685 6.5% 02/15/32 N/A 36200Q2S2 9330.89000000 NS USD 10898.97000000 0.000186394149 Long ABS-MBS USGSE US N 2 2032-02-15 Fixed 6.50000000 N N N N N N GNMA P#586772 6% 03/15/33 N/A 36201L2D5 42395.22000000 NS USD 47663.29000000 0.000815137430 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.00000000 N N N N N N UMBS P#BP2754 3% 04/01/50 N/A 3140KABY1 20656.40000000 NS USD 21568.17000000 0.000368858773 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.00000000 N N N N N N GNMA P#491491 7% 07/15/29 N/A 36210F7C4 4436.49000000 NS USD 4870.97000000 0.000083303313 Long ABS-MBS USGSE US N 2 2029-07-15 Fixed 7.00000000 N N N N N N NBCLO 2016-1A CR V/R 12/21/29 N/A 65023TAM4 2850000.00000000 NS USD 2850302.10000000 0.048745857265 Long ABS-CBDO CORP KY Y 2 2029-12-21 Variable 3.18138000 N N N N N N AXIS 2018-1A D 3.98% 04/22/24 N/A 03236TAD8 1249999.25000000 NS USD 1251744.25000000 0.021407326101 Long ABS-CBDO CORP US Y 2 2024-04-22 Fixed 3.98000000 N N N N N N STACR 2020-DNA4 V/R 08/25/50 N/A 35565XAH3 2195509.44000000 NS USD 2219152.88000000 0.037951945352 Long ABS-CBDO CORP US Y 2 2050-08-25 Variable 3.84150000 N N N N N N AILSA RE 2019 0.0% 06/30/21 N/A N/A 2500000.00000000 NS USD 2673057.53000000 0.045714621204 Long DBT CORP BM N 3 2022-06-30 Fixed 0.00000000 N N N N N N COMM 2012-CR3 2.822% 08/15/22 N/A 12624PAE5 2933639.98000000 NS USD 2981181.67000000 0.050984159246 Long ABS-CBDO CORP US N 2 2045-10-15 Fixed 2.82200000 N N N N N N GNMA P#551546 6.5% 07/15/31 N/A 36213DWF1 10431.12000000 NS USD 11633.21000000 0.000198951119 Long ABS-MBS USGSE US N 2 2031-07-15 Fixed 6.50000000 N N N N N N WLKRG 2019-AA 3.34% 06/15/38 N/A 94946DAC5 1563212.47000000 NS USD 1601715.80000000 0.027392538414 Long ABS-CBDO CORP US Y 2 2038-06-15 Fixed 3.34000000 N N N N N N FHR 4091 SH V/R 08/15/42 N/A 3137ATFZ0 7967707.60000000 NS USD 1666080.33000000 0.028493300397 Long ABS-CBDO CORP US N 2 2042-08-15 Variable 6.47712000 N N N N N N FGLMC P#A35084 5% 06/01/35 N/A 31297QUH0 49904.04000000 NS USD 54833.62000000 0.000937764391 Long ABS-MBS USGA US N 2 2035-06-01 Fixed 5.00000000 N N N N N N GNMA P#781288 6.5% 05/15/31 N/A 36225BND6 6938.86000000 NS USD 8119.44000000 0.000138858636 Long ABS-MBS USGSE US N 2 2031-05-15 Fixed 6.50000000 N N N N N N GNMA P#574994 6.5% 04/15/32 N/A 36200WXX4 174.90000000 NS USD 195.06000000 0.000003335915 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 6.50000000 N N N N N N UMBS P#AS1380 4.5% 12/01/43 N/A 3138WARA7 1386717.52000000 NS USD 1530303.87000000 0.026171251818 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.50000000 N N N N N N GNMA P#621697 4.5% 10/15/33 N/A 36290YUW6 97925.71000000 NS USD 110567.73000000 0.001890928959 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 4.50000000 N N N N N N GNMA P#776188 4% 11/15/41 N/A 36176UCZ6 1518.48000000 NS USD 1628.08000000 0.000027843418 Long ABS-MBS USGSE US N 2 2041-11-15 Fixed 4.00000000 N N N N N N GNMA P#466472 6.5% 05/15/29 N/A 36209BFM5 827.90000000 NS USD 923.31000000 0.000015790444 Long ABS-MBS USGSE US N 2 2029-05-15 Fixed 6.50000000 N N N N N N UMBS P#AH6735 5% 02/01/41 N/A 3138A8PV2 1244568.85000000 NS USD 1412498.66000000 0.024156547499 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 5.00000000 N N N N N N LEVEL 3 FINANC 4.625% 09/15/27 N/A 527298BN2 3950000.00000000 NS USD 4099784.00000000 0.070114492664 Long DBT CORP US Y 2 2027-09-15 Fixed 4.62500000 N N N N N N ARTEX SAC LTD GLEN 0% 12/31/21 N/A N/A 1000000.00000000 NS USD 118300.00000000 0.002023166216 Long DBT CORP BM N 3 2021-12-31 Fixed 0.00000000 N N N N N N HRPK 2020-1A DR V/R 04/20/34 N/A 413717AY5 5000000.00000000 NS USD 4999945.00000000 0.085509043165 Long ABS-CBDO CORP KY Y 2 2034-04-20 Variable 0.00000000 N N N N N N UMBS P#RA1087 4.5% 07/01/49 N/A 3133KGF45 3055609.18000000 NS USD 3303056.87000000 0.056488867872 Long ABS-MBS USGA US N 2 2049-07-01 Fixed 4.50000000 N N N N N N BCCFC 2018-1A 3.39% 08/21/23 N/A 055377AC9 238667.89000000 NS USD 239167.71000000 0.004090245400 Long ABS-CBDO CORP US Y 2 2023-08-21 Fixed 3.39000000 N N N N N N GNMA II P#MA2304 4% 10/20/44 N/A 36179QRZ6 736266.16000000 NS USD 803235.99000000 0.013736939294 Long ABS-MBS USGSE US N 2 2044-10-20 Fixed 4.00000000 N N N N N N CSMC 2013-IVR3 B V/R 02/25/28 N/A 12646XAZ5 1094196.07000000 NS USD 1096705.17000000 0.018755848258 Long ABS-CBDO CORP US Y 2 2043-05-25 Variable 3.38567200 N N N N N N JPMMT 2021-INV1 V/R 10/25/51 N/A 46592PAR2 9442416.70000000 NS USD 9560446.91000000 0.163502732031 Long ABS-CBDO CORP US Y 2 2051-10-25 Variable 2.50000000 N N N N N N FGLMC P#G08021 5.5% 11/01/34 N/A 3128MJAX8 44623.63000000 NS USD 51764.82000000 0.000885281783 Long ABS-MBS USGA US N 2 2034-11-01 Fixed 5.50000000 N N N N N N JPMMT 2021-7 A3 V/R 11/25/51 N/A 46592NAC0 15683686.73000000 NS USD 15963452.33000000 0.273006909946 Long ABS-CBDO CORP US Y 2 2051-11-25 Variable 2.50000000 N N N N N N ADANI TRANSMISS 4.25% 05/21/36 549300PLH866JQ6LXE52 00652XAB4 5535200.00000000 NS USD 5637344.98000000 0.096409855554 Long DBT CORP IN Y 2 2036-05-21 Fixed 4.25000000 N N N N N N UMBS P#AB4525 4% 02/01/42 N/A 31417BA31 2768272.18000000 NS USD 3030009.71000000 0.051819216228 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 4.00000000 N N N N N N GNMA P#771417 4% 10/15/41 N/A 36176NYN5 4789.79000000 NS USD 5224.07000000 0.000089342028 Long ABS-MBS USGSE US N 2 2041-10-15 Fixed 4.00000000 N N N N N N UMBS P#AP7453 4% 10/01/42 N/A 3138MBH74 697560.48000000 NS USD 767133.12000000 0.013119508128 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.00000000 N N N N N N FGLMC P#C01646 6% 09/01/33 N/A 31292HZK3 48788.37000000 NS USD 57956.93000000 0.000991179228 Long ABS-MBS USGA US N 2 2033-09-01 Fixed 6.00000000 N N N N N N UMBS P#FM3894 4.5% 04/01/50 N/A 3140X7KG3 11098781.57000000 NS USD 12037581.33000000 0.205866676844 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4.50000000 N N N N N N GNMA P#498480 6.5% 03/15/29 N/A 36210PXH2 5083.82000000 NS USD 5669.69000000 0.000096963019 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 6.50000000 N N N N N N TMIR 2020-1 M1C V/R 10/25/30 N/A 89600MAC2 4390000.00000000 NS USD 4477801.32000000 0.076579343644 Long ABS-CBDO CORP BM Y 2 2030-10-25 Variable 4.59150000 N N N N N N UMBS P#AL2122 4.5% 01/01/42 N/A 3138EJLC0 2135385.05000000 NS USD 2371787.38000000 0.040562300076 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.50000000 N N N N N N MPLX LP 4.875% 12/01/24 N/A 55336VAG5 3875000.00000000 NS USD 4336675.60000000 0.074165812038 Long DBT CORP US N 2 2024-12-01 Fixed 4.87500000 N N N N N N GNMA II P#MA4005 4% 10/20/46 N/A 36179SNW3 2448761.88000000 NS USD 2645778.66000000 0.045248098057 Long ABS-MBS USGSE US N 2 2046-10-20 Fixed 4.00000000 N N N N N N FGLMC P#Q47341 4% 04/01/47 N/A 3132WMEP5 2675817.78000000 NS USD 2894021.01000000 0.049493537921 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N UMBS P#AT9665 3% 07/01/43 N/A 3138WXW37 337232.34000000 NS USD 358644.30000000 0.006133533654 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.00000000 N N N N N N UMBS P#479694 5.72% 11/01/28 N/A 31382D3B8 30736.07000000 NS USD 31118.64000000 0.000532190880 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 5.72000000 N N N N N N UMBS P#735897 5.5% 10/01/35 N/A 31402RRS0 9634.70000000 NS USD 11124.74000000 0.000190255267 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N GNMA II P#3532 6.5% 03/20/34 N/A 36202D4R9 28304.69000000 NS USD 33874.41000000 0.000579320049 Long ABS-MBS USGSE US N 2 2034-03-20 Fixed 6.50000000 N N N N N N TRNTS 2017-6A DR V/R 01/25/34 N/A 89640YBL7 1050000.00000000 NS USD 1050455.70000000 0.017964889972 Long ABS-CBDO CORP KY Y 2 2034-01-25 Variable 4.40213000 N N N N N N FRESB 2018-SB52 V/R 06/25/25 N/A 30297CAG7 5171932.99000000 NS USD 5465293.82000000 0.093467437174 Long ABS-CBDO CORP US N 2 2025-06-25 Variable 3.39000000 N N N N N N CFMT 2018-RM2 C V/R 10/25/23 N/A 14727QAC9 3325840.53000000 NS USD 3400400.22000000 0.058153633528 Long ABS-CBDO CORP US Y 2 2068-10-25 Variable 4.00000000 N N N N N N BCCFC 2020-1 C 2.5% 06/20/24 N/A 05493CAD8 1300000.00000000 NS USD 1302811.38000000 0.022280675993 Long ABS-CBDO CORP US Y 2 2025-09-22 Fixed 2.50000000 N N N N N N GNMA P#AG2311 4% 03/15/44 N/A 36181VR81 4565.87000000 NS USD 5043.05000000 0.000086246224 Long ABS-MBS USGSE US N 2 2044-03-15 Fixed 4.00000000 N N N N N N UMBS P#AZ2086 3% 10/01/30 N/A 3138YTJ88 1823468.57000000 NS USD 1930859.51000000 0.033021553074 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 3.00000000 N N N N N N AJAXM 2021-A A1 V/R 01/25/29 N/A 00971AAA0 3837460.34000000 NS USD 3834131.73000000 0.065571308404 Long ABS-CBDO CORP US Y 2 2065-09-25 Variable 1.06500000 N N N N N N JPMMT 2021-6 B1 V/R 10/25/51 N/A 46653PBT3 7770966.59000000 NS USD 7897067.62000000 0.135055624811 Long ABS-CBDO CORP US Y 2 2051-10-25 Variable 2.86135700 N N N N N N GNMA P#600144 6% 03/15/33 N/A 36200FWD6 22341.09000000 NS USD 25385.57000000 0.000434143935 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.00000000 N N N N N N FSMT 2021-4 AX1 V/R 06/01/51 N/A 33852FBA3 212080000.00000000 NS USD 1988250.00000000 0.034003045048 Long ABS-CBDO CORP US Y 2 2051-06-01 Variable 0.22233000 N N N N N N GNMA P#605268 6% 06/15/34 N/A 36200NMR9 22176.00000000 NS USD 26179.61000000 0.000447723605 Long ABS-MBS USGSE US N 2 2034-06-15 Fixed 6.00000000 N N N N N N GNMA P#723600 4.5% 01/15/40 N/A 3620A93H2 178595.18000000 NS USD 203019.47000000 0.003472038317 Long ABS-MBS USGSE US N 2 2040-01-15 Fixed 4.50000000 N N N N N N JPMDB 2016-C4 D V/R 11/15/26 N/A 46646RAB9 2000000.00000000 NS USD 1786924.20000000 0.030559971869 Long ABS-CBDO CORP US Y 2 2049-12-15 Variable 3.19986700 N N N N N N GNMA P#783129 4% 10/15/40 N/A 36241LPN0 2751.32000000 NS USD 3037.42000000 0.000051945946 Long ABS-MBS USGSE US N 2 2040-10-15 Fixed 4.00000000 N N N N N N CAFL 2016-2 D V/R 11/15/48 N/A 19625HAG2 2400000.00000000 NS USD 2447852.16000000 0.041863159697 Long ABS-CBDO CORP KY Y 2 2048-11-15 Variable 5.02800000 N N N N N N TALEN ENERGY S 6.625% 01/15/28 N/A 87422VAG3 3602000.00000000 NS USD 3295830.00000000 0.056365273965 Long DBT CORP US Y 2 2028-01-15 Fixed 6.62500000 N N N N N N GNMA P#753515 4% 11/15/40 N/A 36230M3Y1 24392.01000000 NS USD 26739.69000000 0.000457302091 Long ABS-MBS USGSE US N 2 2040-11-15 Fixed 4.00000000 N N N N N N US TIPS 0.25% 02/15/50 N/A 912810SM1 18024320.35400000 NS USD 20435073.20000000 0.349480555555 Long DBT UST US N 2 2050-02-15 Fixed 0.25000000 N N N N N N ALEXANDRIA REA 1.875% 02/01/33 MGCJBT4MKTQBVLNUIS88 015271AV1 5995000.00000000 NS USD 5675002.67000000 0.097053877247 Long DBT CORP US N 2 2033-02-01 Fixed 1.87500000 N N N N N N HMIR 2019-1 M1 V/R 05/25/29 N/A 43731AAA1 1942129.02000000 NS USD 1943477.83000000 0.033237351542 Long ABS-CBDO CORP BM Y 2 2029-05-25 Variable 1.74150000 N N N N N N BAUSCH HEALTH A 9.25% 04/01/26 N/A 91911XAV6 5265000.00000000 NS USD 5726740.50000000 0.097938697447 Long DBT CORP US Y 2 2026-04-01 Fixed 9.25000000 N N N N N N FLOODSMART RE LTD V/R 03/07/22 549300KK1LNVFW95S875 33975CAC9 250000.00000000 NS USD 243400.00000000 0.004162626010 Long DBT CORP BM Y 2 2022-03-07 Variable 11.84520900 N N N N N N FGLMC P#Q46616 3% 03/01/47 N/A 3132WLK62 626223.74000000 NS USD 658944.93000000 0.011269274054 Long ABS-MBS USGA US N 2 2047-03-01 Fixed 3.00000000 N N N N N N WLAKE 2020-2A 2.76% 01/15/26 N/A 96042PAF9 3220000.00000000 NS USD 3331977.43000000 0.056983467195 Long ABS-CBDO CORP US Y 2 2026-01-15 Fixed 2.76000000 N N N N N N PROG 2019-SFR 4.142% 05/17/24 N/A 74333NAJ1 8370000.00000000 NS USD 8544927.98000000 0.146135330585 Long ABS-CBDO CORP US Y 2 2036-05-17 Fixed 4.14200000 N N N N N N BERWICK RE 202 0% 12/31/24 N/A N/A 4000000.00000000 NS USD 4321718.00000000 0.073910007212 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N AH4R 2015-SFR1 4.11% 04/17/25 N/A 02666AAC2 1300000.00000000 NS USD 1386736.65000000 0.023715965688 Long ABS-CBDO CORP US Y 2 2052-04-17 Fixed 4.11000000 N N N N N N GNMA P#768033 4% 06/15/41 N/A 36176KBA4 25121.26000000 NS USD 27201.39000000 0.000465198083 Long ABS-MBS USGSE US N 2 2041-06-15 Fixed 4.00000000 N N N N N N HENDR 2018-1A 3.74% 08/15/41 N/A 46651TAA9 3528576.84000000 NS USD 3933600.30000000 0.067272419566 Long ABS-CBDO CORP US Y 2 2072-10-17 Fixed 3.74000000 N N N N N N TPMT 2019-4 M2B V/R 11/25/35 N/A 89178BAW4 19600000.00000000 NS USD 20427382.64000000 0.349349031622 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 3.25000000 N N N N N N UMBS P#AB9735 3.5% 06/01/28 N/A 31417GY91 1557357.70000000 NS USD 1682992.41000000 0.028782530734 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 3.50000000 N N N N N N GNMA II P#MA2373 4.5% 11/20/44 N/A 36179QT68 1577256.27000000 NS USD 1744227.43000000 0.029829771847 Long ABS-MBS USGSE US N 2 2044-11-20 Fixed 4.50000000 N N N N N N LHIPO 2010-1GA A V/R 11/15/28 N/A 50346RAA6 580962.72000000 NS USD 600933.31000000 0.010277159517 Long ABS-CBDO CORP PA Y 2 2039-09-08 Variable 2.75000000 N N N N N N MFRA 2021-RPL1 A V/R 07/25/60 N/A 55283QAB0 9550000.00000000 NS USD 9545253.65000000 0.163242896948 Long ABS-CBDO CORP US Y 2 2060-07-25 Variable 2.07160000 N N N N N N GNMA P#467451 6.5% 01/15/29 N/A 36209CH41 15676.26000000 NS USD 17482.81000000 0.000298990959 Long ABS-MBS USGSE US N 2 2029-01-15 Fixed 6.50000000 N N N N N N GNMA P#540933 7% 12/15/30 N/A 36212Q4S6 30343.80000000 NS USD 30779.11000000 0.000526384239 Long ABS-MBS USGSE US N 2 2030-12-15 Fixed 7.00000000 N N N N N N FAS 2020-JR2 A V/R 5/25/50 N/A 31735AAA2 7041890.31000000 NS USD 7460379.99000000 0.127587394380 Long ABS-CBDO CORP US Y 2 2050-05-25 Variable 0.00000000 N N N N N N GNMA P#781324 7% 07/15/31 N/A 36225BPH5 1502.84000000 NS USD 1767.09000000 0.000030220767 Long ABS-MBS USGSE US N 2 2031-07-15 Fixed 7.00000000 N N N N N N LORENZ RE 2020 0.0% 06/30/23 N/A N/A 2480490.00000000 NS USD 2498101.48000000 0.042722523404 Long DBT CORP BM N 3 2023-06-30 Fixed 0.00000000 N N N N N N GNMA P#636293 5% 04/15/35 N/A 36291R3A8 220068.97000000 NS USD 255749.08000000 0.004373819936 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 5.00000000 N N N N N N GNMA P#780813 6.5% 06/15/28 N/A 36225A3W8 3895.22000000 NS USD 4426.38000000 0.000075699936 Long ABS-MBS USGSE US N 2 2028-06-15 Fixed 6.50000000 N N N N N N JAZZ SECURITIE 4.375% 01/15/29 N/A 47216FAA5 3600000.00000000 NS USD 3732480.00000000 0.063832860848 Long DBT CORP IE Y 2 2029-01-15 Fixed 4.37500000 N N N N N N MACQUARIE GROUP L V/R 06/23/32 ACMHD8HWFMFUIQQ8Y590 55607PAG0 10745000.00000000 NS USD 10785777.38000000 0.184458329753 Long DBT CORP AU Y 2 2032-06-23 Variable 2.69100000 N N N N N N IHSFR 2018-SFR1 V/R 03/17/20 N/A 46185JAE8 3650000.00000000 NS USD 3655722.11000000 0.062520147662 Long ABS-CBDO CORP US Y 2 2037-03-17 Variable 1.33200000 N N N N N N SBAP 2008-20H 6.02% 08/01/28 N/A 83162CRY1 142529.40000000 NS USD 157661.52000000 0.002696326803 Long ABS-CBDO CORP US N 2 2028-08-01 Fixed 6.02000000 N N N N N N JPMMT 2021-6 A15 V/R 10/25/51 N/A 46653PBM8 7064408.05000000 NS USD 7165980.11000000 0.122552568587 Long ABS-CBDO CORP US Y 2 2051-10-25 Variable 2.50000000 N N N N N N LHIPO 2016-1A 3.357% 01/15/46 N/A 50346VAA7 1473826.30000000 NS USD 1590811.26000000 0.027206049006 Long ABS-CBDO CORP PA Y 2 2046-01-15 Fixed 3.35750000 N N N N N N NMEF 2019-A C 3.3% 08/15/23 N/A 65489MAC8 3000000.00000000 NS USD 3066991.50000000 0.052451678680 Long ABS-CBDO CORP US Y 2 2026-08-17 Fixed 3.30000000 N N N N N N UMBS P#AK0746 4% 02/01/42 N/A 3138E4ZL8 935067.69000000 NS USD 1018697.07000000 0.017421753985 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 4.00000000 N N N N N N GNMA 30YR TBA 3.0% JUL 21 N/A 21H030674 38000000.00000000 NS USD 39644687.50000000 0.678003316979 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 3.00000000 N N N N N N UMBS P#AT5988 3% 05/01/43 N/A 3138WTUN4 3826616.18000000 NS USD 4050128.87000000 0.069265290792 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N FGLMC P#G60658 3.5% 07/01/46 N/A 31335AWT1 3630276.15000000 NS USD 3973397.44000000 0.067953030125 Long ABS-MBS USGA US N 2 2046-07-01 Fixed 3.50000000 N N N N N N THOPAS RE 2018 0% 12/31/21 N/A N/A 500000.00000000 NS USD 2500.00000000 0.000042754991 Long DBT CORP BM Y 3 2021-12-31 Fixed 0.00000000 N N N N N N RCMT 2019-6 A 2.833% 10/25/52 N/A 75575QAA7 594981.52000000 NS USD 605196.34000000 0.010350065842 Long ABS-CBDO CORP US Y 2 2052-10-25 Fixed 2.83340000 N N N N N N CAELUS RE V LTD V/R 06/05/20 N/A 12765KAB1 100000.00000000 NS USD 50000.00000000 0.000855099837 Long DBT CORP KY Y 2 2024-06-05 Variable 0.54056000 N N N N N N BANCO SANTANDE 5.375% 04/17/25 N/A 05969BAD5 3955000.00000000 NS USD 4487501.20000000 0.076745230960 Long DBT CORP MX Y 2 2025-04-17 Fixed 5.37500000 N N N N N N GNMA P#474108 6.5% 04/15/28 N/A 36209KU97 25317.65000000 NS USD 28235.29000000 0.000482879837 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 6.50000000 N N N N N N ALTURAS RE 2020-3 0% 09/30/24 N/A N/A 225450.00000000 NS USD 228223.04000000 0.003903069689 Long DBT CORP BM N 3 2024-09-30 Fixed 0.00000000 N N N N N N BANTRY RE 2020 0.0% 12/31/23 N/A N/A 4776758.00000000 NS USD 698362.02000000 0.011943384999 Long DBT CORP BM N 3 2023-12-31 Fixed 0.00000000 N N N N N N GNMA II P#BB5176 4% 02/20/48 N/A 3617AVXD5 1180314.72000000 NS USD 1293225.74000000 0.022116742408 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 4.00000000 N N N N N N UMBS P#AB5924 3% 08/01/42 N/A 31417CSN6 10679554.52000000 NS USD 11399346.46000000 0.194951586168 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.00000000 N N N N N N ANHEUSER-BUSCH 5.55% 01/23/49 N/A 03523TBV9 25000000.00000000 NS USD 34497407.00000000 0.589974542570 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N T/L SCIENTIFIC GAM 0% 08/14/24 N/A 80875AAP6 4847969.42000000 NS USD 4819182.18000000 0.082417638004 Long LON CORP US N 2 2024-08-14 Floating 2.85425000 N N N N N N INGEVITY CORP 3.875% 11/01/28 5493009UTFC4B5IMGF87 45688CAB3 2470000.00000000 NS USD 2451475.00000000 0.041925117495 Long DBT CORP US Y 2 2028-11-01 Fixed 3.87500000 N N N N N N GNMA P#579659 7% 03/15/32 N/A 36201C5U4 35607.21000000 NS USD 40165.73000000 0.000686914184 Long ABS-MBS USGSE US N 2 2032-03-15 Fixed 7.00000000 N N N N N N GNMA P#613877 5.5% 09/15/33 N/A 36290N6N7 23082.91000000 NS USD 25798.31000000 0.000441202613 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 5.50000000 N N N N N N WFCM 2019-C51 3.311% 06/15/29 N/A 95001VAU4 3045000.00000000 NS USD 3347643.77000000 0.057251392891 Long ABS-CBDO CORP US N 2 2052-06-15 Fixed 3.31100000 N N N N N N BROADCOM INC 4.3% 11/15/32 549300WV6GIDOZJTV909 11135FAS0 3225000.00000000 NS USD 3676854.75000000 0.062881558003 Long DBT CORP US N 2 2032-11-15 Fixed 4.30000000 N N N N N N SIRIUS XM RADIO IN 4% 07/15/28 N/A 82967NBJ6 6105000.00000000 NS USD 6294621.30000000 0.107650593046 Long DBT CORP US Y 2 2028-07-15 Fixed 4.00000000 N N N N N N JPMMT 2021-7 B2 V/R 11/25/51 N/A 46592NBZ8 6288222.12000000 NS USD 6346926.45000000 0.108545115552 Long ABS-CBDO CORP US Y 2 2051-11-25 Variable 2.82041000 N N N N N N OMIR 2020-2A M1B V/R 10/25/30 N/A 67401JAB8 4330000.00000000 NS USD 4405778.03000000 0.075347601572 Long ABS-CBDO CORP US Y 2 2030-10-25 Variable 3.69150000 N N N N N N LORENZ RE 2020 0.0% 06/30/23 N/A N/A 2019510.00000000 NS USD 2033848.52000000 0.034782870789 Long DBT CORP BM N 3 2023-06-30 Fixed 0.00000000 N N N N N N UMBS P#AJ4899 4% 01/01/42 N/A 3138AWNR0 1130839.92000000 NS USD 1237893.64000000 0.021170453014 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N FNMA P#253950 7% 9/1/31_ N/A 31371KBT7 4343.78000000 NS USD 5119.58000000 0.000087555040 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 7.00000000 N N N N N N GNMA P#737556 4.5% 10/15/40 N/A 3620ARMD0 377114.65000000 NS USD 425844.49000000 0.007282791086 Long ABS-MBS USGSE US N 2 2040-10-15 Fixed 4.50000000 N N N N N N DANA INC 4.25% 09/01/30 KVWHW7YLZPFJM8QYNJ51 235825AH9 3130000.00000000 NS USD 3219987.50000000 0.055068215776 Long DBT CORP US N 2 2030-09-01 Fixed 4.25000000 N N N N N N EDEN RE II LTD ZCP 03/22/23 549300LKX8PCP3SC3F42 27954TAA3 6000.00000000 NS USD 32171.01000000 0.000550188508 Long DBT CORP BM Y 3 2023-03-22 Fixed 0.00000000 N N N N N N BRITISH AIR 20 8.375% 11/15/28 N/A 11042WAA4 2180568.57000000 NS USD 2521627.81000000 0.043124870624 Long DBT CORP GB Y 2 2028-11-15 Fixed 8.37500000 N N N N N N DCP MIDSTREAM 5.375% 07/15/25 N/A 23311VAG2 3450000.00000000 NS USD 3842265.00000000 0.065710403561 Long DBT CORP US N 2 2025-07-15 Fixed 5.37500000 N N N N N N FGLMC P#C01841 6% 05/01/34 N/A 31292JBJ8 189260.14000000 NS USD 224829.07000000 0.003845026025 Long ABS-MBS USGA US N 2 2034-05-01 Fixed 6.00000000 N N N N N N GNMA II P#2471 7% 08/20/27 N/A 36202CW82 8747.80000000 NS USD 9876.65000000 0.000168910436 Long ABS-MBS USGSE US N 2 2027-08-20 Fixed 7.00000000 N N N N N N EXPEDIA GROUP IN 3.8% 02/15/28 N/A 30212PAP0 4125000.00000000 NS USD 4489761.05000000 0.076783878907 Long DBT CORP US N 2 2028-02-15 Fixed 3.80000000 N N N N N N LABORATORY CORP 2.7% 06/01/31 OZ7UA8IXAIFILY2VZH07 50540RAY8 7485000.00000000 NS USD 7635880.01000000 0.130588795152 Long DBT CORP US N 2 2031-06-01 Fixed 2.70000000 N N N N N N FINANCE AMER STRUC V/R 3/25/69 N/A 31739FAB5 8761132.54000000 NS USD 9552308.37000000 0.163363546746 Long ABS-CBDO CORP US N 2 2069-03-25 Variable 2.00000000 N N N N N N OBX 2018-EXP1 1A V/R 04/25/48 N/A 67097VAM6 248356.79000000 NS USD 249025.76000000 0.004258837739 Long ABS-CBDO CORP US Y 2 2048-04-25 Variable 4.50000000 N N N N N N ICONX 2012-1A 4.229% 01/25/20 N/A 45112AAA5 666243.34000000 NS USD 282681.65000000 0.004834420661 Long ABS-CBDO CORP US Y 2 2043-01-25 Fixed 4.22900000 N N N N N N AXIS 2018-1A C 3.74% 04/22/24 N/A 03236TAC0 799999.52000000 NS USD 801107.12000000 0.013700531366 Long ABS-CBDO CORP US Y 2 2024-04-22 Fixed 3.74000000 N N N N N N FNMA P#721255 5.50% 7/1/33 N/A 31401XH83 41184.44000000 NS USD 47508.26000000 0.000812486108 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.50000000 N N N N N N SANDS CHINA LT 4.375% 06/18/30 N/A 80007RAL9 4300000.00000000 NS USD 4649031.00000000 0.079507713076 Long DBT CORP MO N 2 2030-06-18 Fixed 4.37500000 N N N N N N FGLMC P#A17171 6% 01/01/34 N/A 31296R6G8 29961.33000000 NS USD 33924.44000000 0.000580175662 Long ABS-MBS USGA US N 2 2034-01-01 Fixed 6.00000000 N N N N N N GNMA P#778607 3.5% 11/15/41 N/A 36176WYC9 3740532.36000000 NS USD 4022315.94000000 0.068789634153 Long ABS-MBS USGSE US N 2 2041-11-15 Fixed 3.50000000 N N N N N N GNMA P#586351 5.5% 02/15/35 N/A 36201LL85 11626.15000000 NS USD 13149.34000000 0.000224879970 Long ABS-MBS USGSE US N 2 2035-02-15 Fixed 5.50000000 N N N N N N BVINV 2021-1 B1 V/R 06/25/51 N/A 67647TCD4 4853000.00000000 NS USD 5109054.96000000 0.087375041347 Long ABS-CBDO CORP US Y 2 2051-06-25 Variable 3.24693000 N N N N N N GNMA P#558897 6.5% 08/15/32 N/A 36213M3E6 3117.61000000 NS USD 3535.59000000 0.000060465648 Long ABS-MBS USGSE US N 2 2032-08-15 Fixed 6.50000000 N N N N N N SCFET 2019-2A 3.11% 06/21/27 N/A 784034AD2 4600000.00000000 NS USD 4813584.90000000 0.082321913339 Long ABS-CBDO CORP US Y 2 2027-06-21 Fixed 3.11000000 N N N N N N MSRM 2021-3 A9 V/R 06/25/51 N/A 61772CAU5 8746000.00000000 NS USD 8811595.00000000 0.150695869096 Long ABS-CBDO CORP US Y 2 2051-06-25 Variable 2.50000000 N N N N N N BAYC 2007-2A IO S/UP 07/25/37 N/A 07325XAN0 3112716.24000000 NS USD 0.31000000 0.000000005301 Long ABS-CBDO CORP US Y 2 2037-07-25 Variable 0.00000000 N N N N N N DRIVE 2020-2 D 3.05% 02/15/24 N/A 26208VAG1 1650000.00000000 NS USD 1716928.29000000 0.029362902044 Long ABS-CBDO CORP US N 2 2028-05-15 Fixed 3.05000000 N N N N N N FARMERS EXCHANGE V/R 10/15/54 N/A 30958QAA9 2960000.00000000 NS USD 3709202.28000000 0.063434765356 Long DBT CORP US Y 2 2054-10-15 Variable 5.45400000 N N N N N N UDR INC 2.95% 09/01/26 P3CH2EG5X6Z1XWU1OO74 90265EAL4 1520000.00000000 NS USD 1624332.65000000 0.027779331709 Long DBT CORP US N 2 2026-09-01 Fixed 2.95000000 N N N N N N GNMA II P#3054 7% 03/20/31 N/A 36202DMB4 2481.97000000 NS USD 2931.72000000 0.000050138265 Long ABS-MBS USGSE US N 2 2031-03-20 Fixed 7.00000000 N N N N N N PUGET ENERGY INC 4.1% 06/15/30 N/A 745310AK8 7830000.00000000 NS USD 8771804.46000000 0.150015371410 Long DBT CORP US N 2 2030-06-15 Fixed 4.10000000 N N N N N N GNMA P#533974 6.5% 05/15/32 N/A 36212HFP0 4797.30000000 NS USD 5598.77000000 0.000095750146 Long ABS-MBS USGSE US N 2 2032-05-15 Fixed 6.50000000 N N N N N N FGLMC P#C75398 6% 01/01/33 N/A 31288D7K9 36407.37000000 NS USD 41400.07000000 0.000708023862 Long ABS-MBS USGA US N 2 2033-01-01 Fixed 6.00000000 N N N N N N MCAS 2019-01 M7 V/R 10/15/49 N/A 62547NAA7 3502182.02000000 NS USD 3499461.53000000 0.059847779730 Long ABS-CBDO CORP US Y 2 2049-10-15 Variable 1.79150000 N N N N N N GNMA P#552839 6.5% 10/15/32 N/A 36213FEL3 16139.75000000 NS USD 17999.71000000 0.000307830982 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 6.50000000 N N N N N N CAFL 2017-1 C 3.756% 07/15/22 N/A 21871VAJ2 3000000.00000000 NS USD 3043649.70000000 0.052052487292 Long ABS-CBDO CORP US Y 2 2049-10-15 Fixed 3.75600000 N N N N N N BMIR 2018-3A M2 V/R 10/25/28 N/A 07877TAC5 7640000.00000000 NS USD 7697202.97000000 0.131637540215 Long ABS-CBDO CORP BM Y 2 2028-10-25 Variable 2.84150000 N N N N N N GNMA P#776131 4% 10/15/41 N/A 36176UA88 5010.49000000 NS USD 5368.14000000 0.000091805912 Long ABS-MBS USGSE US N 2 2041-10-15 Fixed 4.00000000 N N N N N N ENLINK MIDSTREA 5.45% 06/01/47 N/A 29336UAG2 8316000.00000000 NS USD 7380450.00000000 0.126220431950 Long DBT CORP US N 2 2047-06-01 Fixed 5.45000000 N N N N N N GNMA P#591202 4.5% 04/15/35 N/A 36201RX71 79684.18000000 NS USD 89508.02000000 0.001530765867 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 4.50000000 N N N N N N UMBS P#AS0331 3% 08/01/43 N/A 3138W9LM0 770438.27000000 NS USD 817016.35000000 0.013972610966 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.00000000 N N N N N N DIAMOND SPORTS 6.625% 08/15/27 N/A 25277LAC0 1040000.00000000 NS USD 509600.00000000 0.008715177546 Long DBT CORP US Y 2 2027-08-15 Fixed 6.62500000 N N N N N N UMBS P#AY3370 2.5% 04/01/45 N/A 3138YGW81 862981.48000000 NS USD 897570.70000000 0.015350251198 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N ALTURAS RE LTD ZCP 03/10/23 549300FZNJS17ZR1BR73 G0229TAF1 363577.00000000 NS USD 147175.97000000 0.002517002961 Long DBT CORP BM Y 3 2023-03-10 Fixed 0.00000000 N N N N N N RPIT 2019-1 A V/R 10/25/24 N/A 74968RAA3 4860356.98000000 NS USD 4843825.45000000 0.082839087127 Long ABS-CBDO CORP US Y 2 2063-10-25 Variable 2.75000000 N N N N N N GNMA II P#MA2074 4% 07/20/44 N/A 36179QJT9 3051101.70000000 NS USD 3336068.86000000 0.057053438818 Long ABS-MBS USGSE US N 2 2044-07-20 Fixed 4.00000000 N N N N N N FGLMC P#C09051 4.5% 11/01/43 N/A 31292SBU3 73498.31000000 NS USD 81854.50000000 0.001399875393 Long ABS-MBS USGA US N 2 2043-11-01 Fixed 4.50000000 N N N N N N HOF 2020-2 A3 V/R 05/25/65 N/A 43789XAC8 4350000.00000000 NS USD 4484926.56000000 0.076701199475 Long ABS-CBDO CORP US Y 2 2065-05-25 Variable 3.19600000 N N N N N N UMBS P#AR0572 2.5% 12/01/42 N/A 3138NWT66 152320.13000000 NS USD 159008.40000000 0.002719361140 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 2.50000000 N N N N N N TPMT 2018-3 M2 V/R 05/25/58 N/A 89175MAF0 11185000.00000000 NS USD 11871171.79000000 0.203020741430 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 3.87500000 N N N N N N VISIO 2019-2 A1 V/R 11/25/25 N/A 92837DAA5 10543087.59000000 NS USD 10823356.60000000 0.185101009451 Long ABS-CBDO CORP US Y 2 2054-11-25 Variable 2.72200000 N N N N N N FGLMC P#G07576 4.5% 03/01/42 N/A 3128M9XD9 685733.69000000 NS USD 756801.98000000 0.012942825006 Long ABS-MBS USGA US N 2 2042-03-01 Fixed 4.50000000 N N N N N N IHSFR 2018-SFR2 V/R 06/17/20 N/A 46185HAG7 4729060.47000000 NS USD 4738096.29000000 0.081030907376 Long ABS-CBDO CORP US Y 2 2037-06-17 Variable 1.52300000 N N N N N N OMIR 2020-2A M2 V/R 10/25/30 N/A 67401JAC6 3550000.00000000 NS USD 3740117.77000000 0.063963481965 Long ABS-CBDO CORP US Y 2 2030-10-25 Variable 5.34150000 N N N N N N LIMESTONE RE LTD ZCP 03/01/22 5493004PN8HGYC184A27 N/A 2000.00000000 NS USD 0.20000000 0.000000003420 Long DBT CORP BM N 3 2022-03-01 Fixed 0.00000000 N N N N N N UMBS P#AB6432 4% 10/01/42 N/A 31417DEE9 263126.22000000 NS USD 290683.05000000 0.004971260577 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.00000000 N N N N N N CHASE 2020-CL1 M V/R 06/25/34 N/A 46591HAG5 3910794.75000000 NS USD 3996586.64000000 0.068349611748 Long ABS-CBDO CORP US Y 2 2057-10-25 Variable 2.34150000 N N N N N N GNMA II P#AM2831 3.5% 04/20/45 N/A 36184NEC1 712076.27000000 NS USD 765158.35000000 0.013085735618 Long ABS-MBS USGSE US N 2 2045-04-20 Fixed 3.50000000 N N N N N N FGLMC P#Q18144 3% 05/01/43 N/A 3132J9P69 1481466.95000000 NS USD 1579740.89000000 0.027016723574 Long ABS-MBS USGA US N 2 2043-05-01 Fixed 3.00000000 N N N N N N STACR 2019-HRP1 V/R 02/25/49 N/A 35564RBF0 6940000.00000000 NS USD 6928474.74000000 0.118490752520 Long ABS-CBDO CORP US Y 2 2049-02-25 Variable 2.34150000 N N N N N N GNMA II P#2702 7% 01/20/29 N/A 36202DAB7 33709.87000000 NS USD 38382.90000000 0.000656424231 Long ABS-MBS USGSE US N 2 2029-01-20 Fixed 7.00000000 N N N N N N OLD HEAD RE 2021 05 12/31/24 N/A N/A 400000.00000000 NS USD 352450.83000000 0.006027612950 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N JPMMT 2021-3 A3 V/R 07/01/51 N/A 46592KAC6 16455285.05000000 NS USD 16748814.42000000 0.286438169861 Long ABS-CBDO CORP US Y 2 2051-07-01 Variable 2.50000000 N N N N N N JPMMT 2020-LTV1 V/R 06/01/42 N/A 46591NBU0 17433496.93000000 NS USD 18325769.45000000 0.313407249667 Long ABS-CBDO CORP US Y 2 2050-06-25 Variable 3.62967600 N N N N N N UMBS P#AZ3748 2.5% 01/01/46 N/A 3138YVEW5 82488.40000000 NS USD 85770.83000000 0.001466852456 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 2.50000000 N N N N N N BX 2019-OC11 3.202% 12/09/29 N/A 05606FAA1 18960000.00000000 NS USD 20445062.86000000 0.349651398688 Long ABS-CBDO CORP US Y 2 2041-12-09 Fixed 3.20200000 N N N N N N FINANCE AMER V/R 12/26/68 N/A 31739EAA0 2312729.92000000 NS USD 2496995.06000000 0.042703601413 Long ABS-CBDO CORP US N 2 2068-12-26 Variable 1.64559300 N N N N N N GNMA P#597938 6% 12/15/32 N/A 36200DHP1 6361.69000000 NS USD 7174.86000000 0.000122704432 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 6.00000000 N N N N N N WALTON HEATH RE 0.0% 06/30/21 N/A N/A 350000.00000000 NS USD 294118.52000000 0.005030013974 Long DBT CORP BM N 3 2022-06-30 Fixed 0.00000000 N N N N N N UMBS P#667742 6% 04/01/33 N/A 31391HZF4 26777.32000000 NS USD 30083.87000000 0.000514494247 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 6.00000000 N N N N N N FNMA P#560456 7% 12/1/30_ N/A 31386DTM2 145.74000000 NS USD 146.24000000 0.000002500996 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 7.00000000 N N N N N N GNMA P#780742 7% 09/15/24 N/A 36225AZF0 15787.06000000 NS USD 16786.44000000 0.000287081642 Long ABS-MBS USGSE US N 2 2024-09-15 Fixed 7.00000000 N N N N N N GNMA P#603650 6% 04/15/33 N/A 36200KTF4 23512.30000000 NS USD 26441.94000000 0.000452209972 Long ABS-MBS USGSE US N 2 2033-04-15 Fixed 6.00000000 N N N N N N CVS PASS-THROU 5.773% 01/31/33 N/A 126650BV1 2253222.35000000 NS USD 2672096.29000000 0.045698182080 Long DBT CORP US Y 2 2033-01-10 Fixed 5.77300000 N N N N N N TRONOX INC 4.625% 03/15/29 N/A 897051AC2 5820000.00000000 NS USD 5885358.60000000 0.100651383679 Long DBT CORP US Y 2 2029-03-15 Fixed 4.62500000 N N N N N N FNMA #797677 4.5% 10/1/35_ N/A 31405SFS8 78450.38000000 NS USD 86406.43000000 0.001477722485 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 4.50000000 N N N N N N UNITED AIRLINE 4.625% 04/15/29 N/A 90932LAH0 1440000.00000000 NS USD 1490400.00000000 0.025488815963 Long DBT CORP US Y 2 2029-04-15 Fixed 4.62500000 N N N N N N GNMA P#594828 6.5% 08/15/32 N/A 36201VYZ9 17009.11000000 NS USD 19743.90000000 0.000337660113 Long ABS-MBS USGSE US N 2 2032-08-15 Fixed 6.50000000 N N N N N N UMBS P#255581 6% 02/01/35 N/A 31371L2N8 1779.20000000 NS USD 2112.60000000 0.000036129678 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 6.00000000 N N N N N N SMITH & NEPHEW 2.032% 10/14/30 213800ZTMDN8S67S1H61 83192PAA6 15920000.00000000 NS USD 15588792.68000000 0.266599481828 Long DBT CORP GB N 2 2030-10-14 Fixed 2.03200000 N N N N N N T/L AVOLON TLB BO 0% 02/12/27 N/A 05400KAF7 623971.37000000 NS USD 617483.32000000 0.010560197734 Long LON CORP US N 2 2027-02-12 Floating 2.25000000 N N N N N N SBAP 2008-20J 5.63% 10/01/28 N/A 83162CSB0 85866.85000000 NS USD 94662.07000000 0.001618910413 Long ABS-CBDO CORP US N 2 2028-10-01 Fixed 5.63000000 N N N N N N GNMA P#619220 6% 10/15/34 N/A 36290V4D3 86264.31000000 NS USD 96823.28000000 0.001655871420 Long ABS-MBS USGSE US N 2 2034-10-15 Fixed 6.00000000 N N N N N N THOPAS RE 2020 0% 12/31/23 N/A N/A 6000000.00000000 NS USD 51600.00000000 0.000882463032 Long DBT CORP BM N 3 2023-12-31 Fixed 0.00000000 N N N N N N GNMA P#510959 7.5% 06/15/29 N/A 36211ETQ1 10926.26000000 NS USD 12185.14000000 0.000208390224 Long ABS-MBS USGSE US N 2 2029-06-15 Fixed 7.50000000 N N N N N N UMBS P#AB8463 2.5% 02/01/43 N/A 31417FMM7 1480225.24000000 NS USD 1547048.90000000 0.026457625267 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 2.50000000 N N N N N N WELLS FARGO & COMPANY /PFD/CV N/A 949746804 52347.00000000 NS USD 79892514.87000000 1.366321530057 Long EP CORP US N 1 N N N GNMA P#607814 6% 03/15/33 N/A 36202SGX0 71213.64000000 NS USD 84017.99000000 0.001436875392 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.00000000 N N N N N N UMBS P#AJ4051 4% 10/01/41 N/A 3138AVQD0 543827.21000000 NS USD 592478.87000000 0.010132571712 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.00000000 N N N N N N UBSCM 2018-C9 C V/R 03/15/28 N/A 90291JBB2 1774000.00000000 NS USD 1970506.69000000 0.033699599018 Long ABS-CBDO CORP US N 2 2051-03-15 Variable 5.04475400 N N N N N N NAKILAT INC 6.267% 12/31/33 144A 2549006RMTDJWLLWF072 62983PAB1 1719741.97000000 NS USD 2113476.89000000 0.036144674914 Long DBT CORP MH Y 2 2033-12-31 Fixed 6.26700000 N N N N N N TPMT 2015-6 B1 V/R 09/25/29 N/A 89172RAE5 6000000.00000000 NS USD 6366199.20000000 0.108874718060 Long ABS-CBDO CORP US Y 2 2055-04-25 Variable 3.85920000 N N N N N N UMBS P#AS5567 3.5% 08/01/45 N/A 3138WFFH4 4948609.10000000 NS USD 5437874.87000000 0.092998518380 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.50000000 N N N N N N UMBS P#479697 5.72% 06/01/29 N/A 31382D3E2 18633.79000000 NS USD 18712.98000000 0.000320029323 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 5.72000000 N N N N N N GNMA P#AH0583 4% 04/15/44 N/A 36182GUG1 3106.15000000 NS USD 3331.67000000 0.000056978209 Long ABS-MBS USGSE US N 2 2044-04-15 Fixed 4.00000000 N N N N N N AUTONATION INC 4.75% 06/01/30 N/A 05329WAQ5 4115000.00000000 NS USD 4871600.28000000 0.083314092180 Long DBT CORP US N 2 2030-06-01 Fixed 4.75000000 N N N N N N UMBS P#MA0535 4% 10/01/25 N/A 31417YSZ1 4861.69000000 NS USD 5171.43000000 0.000088441779 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 4.00000000 N N N N N N US TREAS NTS 0.625% 08/15/30 N/A 91282CAE1 31428700.00000000 NS USD 29303579.62000000 0.501149723571 Long DBT UST US N 2 2030-08-15 Fixed 0.62500000 N N N N N N BROADRIDGE FINAN 2.6% 05/01/31 549300KZDJZQ2YIHRC28 11133TAE3 20040000.00000000 NS USD 20428918.08000000 0.349375290712 Long DBT CORP US N 2 2031-05-01 Fixed 2.60000000 N N N N N N LEAR CORP 3.5% 05/30/30 549300UPNBTXA1SYTQ33 521865BB0 3615000.00000000 NS USD 3888028.98000000 0.066493058999 Long DBT CORP US N 2 2030-05-30 Fixed 3.50000000 N N N N N N UMBS P#AH0351 4.5% 02/01/41 N/A 3138A1L90 286803.39000000 NS USD 320093.90000000 0.005474244839 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.50000000 N N N N N N FNMA P#735040 6% 11/1/34_ N/A 31402QS51 5394.24000000 NS USD 6405.61000000 0.000109548721 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 6.00000000 N N N N N N COMCAST CORP 4.15% 10/15/28 51M0QTTNCGUN7KFCFZ59 20030NCT6 7745000.00000000 NS USD 8979323.44000000 0.153564360333 Long DBT CORP US N 2 2028-10-15 Fixed 4.15000000 N N N N N N GNMA P#608228 4.5% 07/15/33 N/A 36202SVV7 24639.79000000 NS USD 27625.75000000 0.000472455486 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 4.50000000 N N N N N N FGLMC P#C01623 5.5% 09/01/33 N/A 31292HYU2 89781.12000000 NS USD 103696.09000000 0.001773410194 Long ABS-MBS USGA US N 2 2033-09-01 Fixed 5.50000000 N N N N N N ARTEX SAC LTD 0.0% 12/31/22 N/A N/A 886832.00000000 NS USD 19818.27000000 0.000338931989 Long DBT CORP BM N 3 2022-12-31 Fixed 0.00000000 N N N N N N US T BILL ZCP 07/15/21 N/A 9127963S6 140000000.00000000 PA USD 139997685.80000000 2.394239968262 Long STIV UST US N 2 2021-07-15 Fixed 0.00000000 N N N N N N GNMA P#737085 4% 08/15/40 N/A 3620AQ2S1 2079.23000000 NS USD 2276.45000000 0.000038931840 Long ABS-MBS USGSE US N 2 2040-08-15 Fixed 4.00000000 N N N N N N BMARK 2018-B5 3.943% 07/15/28 N/A 08160BAC8 4200000.00000000 NS USD 4785316.62000000 0.081838469307 Long ABS-CBDO CORP US N 2 2051-07-15 Fixed 3.94360000 N N N N N N PILGRIM'S PRID 5.875% 09/30/27 N/A 72147KAE8 1960000.00000000 NS USD 2087400.00000000 0.035698708026 Long DBT CORP US Y 2 2027-09-30 Fixed 5.87500000 N N N N N N GNMA P#780886 6.5% 10/15/24 N/A 36225A6X3 4903.44000000 NS USD 5194.92000000 0.000088843504 Long ABS-MBS USGSE US N 2 2024-10-15 Fixed 6.50000000 N N N N N N GNMA II P#5175 4.5% 09/20/41 N/A 36202FXC5 536464.27000000 NS USD 593302.41000000 0.010146655890 Long ABS-MBS USGSE US N 2 2041-09-20 Fixed 4.50000000 N N N N N N MCMLT 2018-2 B1 V/R 05/25/58 N/A 59980MAK7 2795782.34000000 NS USD 2896059.50000000 0.049528400171 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 3.75000000 N N N N N N CFMT 2021-HB5 M3 V/R 06/25/24 N/A 12526PAD6 3800000.00000000 NS USD 3786759.28000000 0.064761144918 Long ABS-CBDO CORP US Y 2 2031-02-25 Variable 2.91030000 N N N N N N GNMA P#487223 6.5% 05/15/29 N/A 36210BG82 816.98000000 NS USD 911.13000000 0.000015582142 Long ABS-MBS USGSE US N 2 2029-05-15 Fixed 6.50000000 N N N N N N GNMA P#781635 6% 03/15/33 N/A 36225BY85 52732.33000000 NS USD 62727.64000000 0.001072767895 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.00000000 N N N N N N NMEF 2021-A C 2.58% 12/15/24 N/A 62919TAD8 2300000.00000000 NS USD 2295155.74000000 0.039251746017 Long ABS-CBDO CORP US Y 2 2027-12-15 Fixed 2.58000000 N N N N N N RMIR 2019-1 M1B V/R 02/25/29 N/A 75049SAB9 7125976.89000000 NS USD 7145192.09000000 0.122197051937 Long ABS-CBDO CORP BM Y 2 2029-02-25 Variable 2.04150000 N N N N N N JPMCC 2018-BCON V/R 01/05/23 N/A 46590WAG3 5925000.00000000 NS USD 6044853.86000000 0.103379071098 Long ABS-CBDO CORP US Y 2 2031-01-05 Variable 3.88089000 N N N N N N FNMA P#506298 6.50% 7/1/29_ N/A 31383LNP6 5023.09000000 NS USD 5628.77000000 0.000096263206 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 6.50000000 N N N N N N LIMESTONE RE LTD ZCP 09/09/22 5493004PN8HGYC184A27 G5488XAD2 20000.00000000 NS USD 0.00000000 0.000000 Long DBT CORP BM Y 3 2022-09-09 Fixed 0.00000000 N N N N N N UMBS P#725704 6% 08/01/34 N/A 31402DGM6 55935.54000000 NS USD 64435.33000000 0.001101972804 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N FGLMC P#C77285 6% 03/01/33 N/A 31288GCW0 9010.38000000 NS USD 10115.23000000 0.000172990630 Long ABS-MBS USGA US N 2 2033-03-01 Fixed 6.00000000 N N N N N N GNMA P#759152 4% 01/15/41 N/A 36230UEZ8 29233.02000000 NS USD 32101.45000000 0.000548998893 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 4.00000000 N N N N N N FGLMC P#K30005 7% 10/01/46 N/A 31302PAE4 70879.60000000 NS USD 73741.36000000 0.001261124499 Long ABS-MBS USGA US N 2 2046-10-01 Fixed 7.00000000 N N N N N N GNMA P#586580 7% 05/15/32 N/A 36201LUD4 43937.79000000 NS USD 53042.98000000 0.000907140871 Long ABS-MBS USGSE US N 2 2032-05-15 Fixed 7.00000000 N N N N N N CAS 2019-R06 2M2 V/R 09/25/39 N/A 20754JAB0 4348338.39000000 NS USD 4368951.25000000 0.074717790100 Long ABS-CBDO CORP US Y 2 2039-09-25 Variable 2.19150000 N N N N N N SKYWORKS SOLUTIONS 3% 06/01/31 549300WZ3ORQ2BVKBD96 83088MAL6 3925000.00000000 NS USD 4022582.45000000 0.068794192006 Long DBT CORP US N 2 2031-06-01 Fixed 3.00000000 N N N N N N NSLT 2021-A B1 2.85% 04/20/62 N/A 64035DAE6 5550000.00000000 NS USD 5665549.34000000 0.096892206428 Long ABS-CBDO CORP US Y 2 2062-04-20 Fixed 2.85000000 N N N N N N A10 2019-B A1 3.085% 08/15/40 N/A 000299AA5 8857808.86000000 NS USD 8922272.45000000 0.152588674487 Long ABS-CBDO CORP US Y 2 2040-08-15 Fixed 3.08500000 N N N N N N UMBS P#AK7568 4% 07/01/42 N/A 3138ECMS9 114531.66000000 NS USD 125980.76000000 0.002154522548 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.00000000 N N N N N N SYMP 2020-22A C V/R 04/18/33 N/A 87167GBC3 8750000.00000000 NS USD 8699433.75000000 0.148777687763 Long ABS-CBDO CORP KY Y 2 2033-04-18 Variable 2.33975000 N N N N N N STACR 2018-HRP2 V/R 02/25/47 N/A 35564ACB5 11220000.00000000 NS USD 11846720.03000000 0.202602567510 Long ABS-CBDO CORP US Y 2 2047-02-25 Variable 4.29150000 N N N N N N GNMA II P#2729 6.5% 03/20/29 N/A 36202DA68 324.41000000 NS USD 369.21000000 0.000006314228 Long ABS-MBS USGSE US N 2 2029-03-20 Fixed 6.50000000 N N N N N N FNMA P#821037 6% 5/1/35 N/A 31406VEJ1 16360.80000000 NS USD 18410.70000000 0.000314859731 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6.00000000 N N N N N N GNMA P#486467 7% 08/15/28 N/A 36210AMQ7 560.03000000 NS USD 621.64000000 0.000010631285 Long ABS-MBS USGSE US N 2 2028-08-15 Fixed 7.00000000 N N N N N N GNMA P#571750 7% 09/15/31 N/A 36200TEX2 8323.36000000 NS USD 8699.17000000 0.000148773177 Long ABS-MBS USGSE US N 2 2031-09-15 Fixed 7.00000000 N N N N N N GNMA P#763539 4.5% 05/15/41 N/A 36176EBG5 360244.61000000 NS USD 404157.60000000 0.006911901963 Long ABS-MBS USGSE US N 2 2041-05-15 Fixed 4.50000000 N N N N N N CITRIX SYSTEMS I 3.3% 03/01/30 HCTKJGUQOPZ5NBK7NP58 177376AF7 15690000.00000000 NS USD 16523501.91000000 0.282584876046 Long DBT CORP US N 2 2030-03-01 Fixed 3.30000000 N N N N N N UMBS P#MA4020 3% 05/01/50 N/A 31418DPE6 2340934.57000000 NS USD 2441393.93000000 0.041752711068 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.00000000 N N N N N N UMBS P#AZ4750 3.5% 10/01/45 N/A 3138YWH42 687051.28000000 NS USD 739999.69000000 0.012655472297 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.50000000 N N N N N N GNMA P#497491 5.5% 01/15/29 N/A 36210NUQ0 35380.14000000 NS USD 39509.88000000 0.000675697839 Long ABS-MBS USGSE US N 2 2029-01-15 Fixed 5.50000000 N N N N N N US TREAS NTS 0.125% 10/31/22 N/A 91282CAR2 44400000.00000000 NS USD 44379187.50000000 0.758972720615 Long DBT UST US N 2 2022-10-31 Fixed 0.12500000 N N N N N N CREDIT SUISSE GROUP V/R /PERP/ 549300506SI9CRFV9Z86 225401AR9 2295000.00000000 NS USD 2426962.50000000 0.041505904799 Long DBT CORP CH Y 2 2170-02-11 Variable 5.25000000 N N N N N N IRON MOUNTAIN IN 4.5% 02/15/31 SQL3F6CKNNBM3SQGHX24 46284VAN1 6291000.00000000 NS USD 6369637.50000000 0.108933519855 Long DBT CORP US Y 2 2031-02-15 Fixed 4.50000000 N N N N N N FLOODSMART RE LTD V/R 03/01/24 549300KK1LNVFW95S875 33975CAG0 1250000.00000000 NS USD 1240000.00000000 0.021206475976 Long DBT CORP BM Y 2 2024-03-01 Variable 13.01520900 N N N N N N GNMA P#548271 6.5% 02/15/32 N/A 36213ACG7 16241.57000000 NS USD 18113.27000000 0.000309773084 Long ABS-MBS USGSE US N 2 2032-02-15 Fixed 6.50000000 N N N N N N GNMA P#542757 6.5% 04/15/31 N/A 36212S5S1 23603.22000000 NS USD 26689.99000000 0.000456452122 Long ABS-MBS USGSE US N 2 2031-04-15 Fixed 6.50000000 N N N N N N GNMA P#551655 7% 09/15/31 N/A 36213DZU5 17871.94000000 NS USD 20083.47000000 0.000343467438 Long ABS-MBS USGSE US N 2 2031-09-15 Fixed 7.00000000 N N N N N N UMBS P#FM1023 3.5% 05/01/49 N/A 3140X4D52 1095762.67000000 NS USD 1197208.48000000 0.020474655540 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.50000000 N N N N N N JETBLUE 2019-1 2.75% 05/15/32 N/A 477143AH4 4871717.28000000 NS USD 5007400.45000000 0.085636546247 Long DBT CORP US N 2 2032-05-15 Fixed 2.75000000 N N N N N N UMBS P#FM3529 3% 06/01/40 N/A 3140X64P3 262271.51000000 NS USD 275152.83000000 0.004705662805 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 3.00000000 N N N N N N HPA 2019-1 D 3.406% 09/17/27 N/A 43731QAG3 3417250.86000000 NS USD 3425881.81000000 0.058589419597 Long ABS-CBDO CORP US Y 2 2039-09-17 Fixed 3.40600000 N N N N N N GNMA P#623190 6% 12/15/23 N/A 36291BKB2 37942.17000000 NS USD 39991.90000000 0.000683941344 Long ABS-MBS USGSE US N 2 2023-12-15 Fixed 6.00000000 N N N N N N GNMA P#603397 6% 01/15/33 N/A 36200KKJ5 16393.24000000 NS USD 18434.86000000 0.000315272915 Long ABS-MBS USGSE US N 2 2033-01-15 Fixed 6.00000000 N N N N N N BMARK 2020-B2 2.254% 12/15/30 N/A 08163LAQ2 1500000.00000000 NS USD 1506813.00000000 0.025769511036 Long ABS-CBDO CORP US N 2 2053-12-17 Fixed 2.25430000 N N N N N N UMBS P#AY9643 2.5% 04/01/45 N/A 3138YPWD0 292238.32000000 NS USD 303950.75000000 0.005198164740 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N GNMA P#778693 4% 12/15/41 N/A 36176W3A7 2321.12000000 NS USD 2574.91000000 0.000044036102 Long ABS-MBS USGSE US N 2 2041-12-15 Fixed 4.00000000 N N N N N N FNMA P#735269 6% 2/1/35_ N/A 31402Q2A8 3670.69000000 NS USD 4359.13000000 0.000074549827 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 6.00000000 N N N N N N WDMNT 2020-7A A1 V/R 01/15/32 N/A 97988WAA9 1500000.00000000 NS USD 1512550.50000000 0.025867633742 Long ABS-CBDO CORP US Y 2 2032-01-15 Variable 2.08375000 N N N N N N GSMBS 2020-NQM1 V/R 09/25/25 N/A 36259WAC5 447067.16000000 NS USD 453374.38000000 0.007753607175 Long ABS-CBDO CORP US Y 2 2060-09-27 Variable 2.35200000 N N N N N N RMIR 2019-1 M2 V/R 02/25/29 N/A 75049SAC7 3437000.00000000 NS USD 3485914.01000000 0.059616090087 Long ABS-CBDO CORP BM Y 2 2029-02-25 Variable 3.29150000 N N N N N N UMBS P#AS1432 4% 01/01/44 N/A 3138WASW8 35966.45000000 NS USD 39176.11000000 0.000669989706 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.00000000 N N N N N N UMBS P#AA4392 4% 04/01/39 N/A 31416M3A0 1103711.44000000 NS USD 1213417.32000000 0.020751859069 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.00000000 N N N N N N STACR 2020-DNA5 V/R 10/25/50 N/A 35566ABD0 6090000.00000000 NS USD 6465873.58000000 0.110579348983 Long ABS-CBDO CORP US Y 2 2050-10-25 Variable 4.81800000 N N N N N N BSST 2021-1818 A V/R 03/15/26 N/A 07403PAA0 6200000.00000000 NS USD 6213564.98000000 0.106264368125 Long ABS-CBDO CORP US Y 2 2036-03-15 Variable 1.30000000 N N N N N N CREDIT SUISSE GROUP V/R /PERP/ 549300506SI9CRFV9Z86 225401AL2 565000.00000000 NS USD 628918.45000000 0.010755761291 Long DBT CORP CH Y 2 2170-02-21 Variable 6.37500000 N N N N N N CGCMT 2018-B2 AS V/R 03/10/28 N/A 17327FAF3 3000000.00000000 NS USD 3345267.90000000 0.057210760770 Long ABS-CBDO CORP US N 2 2051-03-10 Variable 4.17900000 N N N N N N GNMA P#555672 6.5% 01/15/32 N/A 36213JJR7 11898.01000000 NS USD 13269.15000000 0.000226928960 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 6.50000000 N N N N N N INTERNATIONAL GA 6.5% 02/15/25 N/A 460599AC7 3751000.00000000 NS USD 4205808.75000000 0.071927727594 Long DBT CORP US Y 2 2025-02-15 Fixed 6.50000000 N N N N N N ARTEX SAC LTD 0.0% 12/31/22 N/A N/A 4979452.00000000 NS USD 1472423.96000000 0.025181389785 Long DBT CORP BM N 3 2022-12-31 Fixed 0.00000000 N N N N N N 7-ELEVEN INC 1.8% 02/10/31 N/A 817826AE0 9870000.00000000 NS USD 9446169.47000000 0.161548359623 Long DBT CORP US Y 2 2031-02-10 Fixed 1.80000000 N N N N N N UMBS P#SD8042 5% 12/01/49 N/A 3132DV5B7 7844563.64000000 NS USD 8598955.01000000 0.147059300677 Long ABS-MBS USGA US N 2 2049-12-01 Fixed 5.00000000 N N N N N N GNMA P#738538 4% 07/15/41 N/A 3620ASPX1 57835.51000000 NS USD 64050.50000000 0.001095391443 Long ABS-MBS USGSE US N 2 2041-07-15 Fixed 4.00000000 N N N N N N GNMA P#486515 6% 09/15/28 N/A 36210AN86 80466.16000000 NS USD 91582.67000000 0.001566246525 Long ABS-MBS USGSE US N 2 2028-09-15 Fixed 6.00000000 N N N N N N FREMF 2019-KS12 V/R 08/25/29 N/A 30311XAC2 5000000.00000000 NS USD 4068160.00000000 0.069573659118 Long ABS-CBDO CORP US N 2 2029-08-25 Variable 6.98588000 N N N N N N INTESA SANPAOL 4.198% 06/01/32 2W8N8UU78PMDQKZENC08 46115HBQ9 900000.00000000 NS USD 924867.47000000 0.015817080470 Long DBT CORP IT Y 2 2032-06-01 Fixed 4.19800000 N N N N N N GNMA II P#3663 4.5% 01/20/35 N/A 36202EB81 130669.05000000 NS USD 144575.75000000 0.002472534007 Long ABS-MBS USGSE US N 2 2035-01-20 Fixed 4.50000000 N N N N N N UMBS P#AS5299 2.5% 07/01/30 N/A 3138WE3H0 711814.30000000 NS USD 748188.00000000 0.012795508748 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N MSCR 2021-MN1 M1 V/R 01/25/51 N/A 35563FAA9 1255799.59000000 NS USD 1264679.10000000 0.021628537864 Long ABS-CBDO CORP US Y 2 2051-01-25 Variable 2.01800000 N N N N N N GNMA P#550684 4.5% 10/15/35 N/A 36213CXM7 35689.57000000 NS USD 40156.16000000 0.000686750518 Long ABS-MBS USGSE US N 2 2035-10-15 Fixed 4.50000000 N N N N N N TEVA PHARMACEUT 6.75% 03/01/28 N/A 88167AAK7 4000000.00000000 NS USD 4380000.00000000 0.074906745787 Long DBT CORP NL N 2 2028-03-01 Fixed 6.75000000 N N N N N N UMBS P#ZA2497 3% 02/01/38 N/A 31329KX25 198292.21000000 NS USD 206734.46000000 0.003535572064 Long ABS-MBS USGA US N 2 2038-02-01 Fixed 3.00000000 N N N N N N CARNOUSTIE RE 2021 0% 12/31/24 N/A N/A 1853719.00000000 NS USD 1917248.14000000 0.032788771468 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N UMBS P#745586 5.5% 06/01/36 N/A 31403DJ75 75111.66000000 NS USD 87064.17000000 0.001488971152 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.50000000 N N N N N N GNMA II P#1904 9% 11/20/24 N/A 36202CDH3 1117.00000000 NS USD 1122.25000000 0.000019192715 Long ABS-MBS USGSE US N 2 2024-11-20 Fixed 9.00000000 N N N N N N GNMA P#602212 6% 03/15/33 N/A 36200JAM2 52068.45000000 NS USD 61975.86000000 0.001059910956 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.00000000 N N N N N N ENERGY TRANSFE 6.125% 12/15/45 MTLVN9N7JE8MIBIJ1H73 29273RBJ7 1125000.00000000 NS USD 1434454.50000000 0.024532036204 Long DBT CORP US N 2 2045-12-15 Fixed 6.12500000 N N N N N N FGLMC P#A16897 6% 12/01/33 N/A 31296RUW6 34427.04000000 NS USD 38659.32000000 0.000661151565 Long ABS-MBS USGA US N 2 2033-12-01 Fixed 6.00000000 N N N N N N GNMA P#442340 7% 04/15/28 N/A 36207ULV8 3511.16000000 NS USD 3525.07000000 0.000060285735 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 7.00000000 N N N N N N NRG ENERGY INC 2.45% 12/02/27 5E2UPK5SW04M13XY7I38 629377CP5 9635000.00000000 NS USD 9704607.19000000 0.165968160672 Long DBT CORP US Y 2 2027-12-02 Fixed 2.45000000 N N N N N N SEMT 2021-2 B1 V/R 04/25/51 N/A 81747YCC5 4254147.74000000 NS USD 4290363.73000000 0.073373786588 Long ABS-CBDO CORP US Y 2 2051-04-25 Variable 2.55768000 N N N N N N GNMA II P#AL5503 3.5% 03/20/45 N/A 36184CDG7 250214.70000000 NS USD 265444.89000000 0.004539637647 Long ABS-MBS USGSE US N 2 2045-03-20 Fixed 3.50000000 N N N N N N ICONX 2013-1A 4.352% 01/25/20 N/A 45112AAC1 183300.38000000 NS USD 77909.35000000 0.001332405450 Long ABS-CBDO CORP US Y 2 2043-01-25 Fixed 4.35200000 N N N N N N GNMA P#577909 6.5% 06/15/32 N/A 36201BAJ5 8347.28000000 NS USD 9309.23000000 0.000159206421 Long ABS-MBS USGSE US N 2 2032-06-15 Fixed 6.50000000 N N N N N N HMIR 2020-1 M2 V/R 10/25/30 N/A 43731WAD7 4580000.00000000 NS USD 4685621.67000000 0.080133486595 Long ABS-CBDO CORP BM Y 2 2030-10-25 Variable 5.34150000 N N N N N N FNMA P#254238 6% 3/1/32 N/A 31371KLT6 2521.24000000 NS USD 2985.44000000 0.000051056985 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 6.00000000 N N N N N N GNMA II P#2005 8% 05/20/25 N/A 36202CGN7 6.12000000 NS USD 6.22000000 0.000000106374 Long ABS-MBS USGSE US N 2 2025-05-20 Fixed 8.00000000 N N N N N N FGLMC P#G04832 5% 10/01/38 N/A 3128M6VZ8 139631.50000000 NS USD 160166.56000000 0.002739167989 Long ABS-MBS USGA US N 2 2038-10-01 Fixed 5.00000000 N N N N N N FLOODSMART RE LTD V/R 02/27/23 N/A 33975CAF2 750000.00000000 NS USD 743475.00000000 0.012714907037 Long DBT CORP BM Y 2 2023-02-27 Variable 15.09520900 N N N N N N BANK OF AMERICA 4.2% 08/26/24 9DJT3UXIJIZJI4WXO774 06051GFH7 1150000.00000000 NS USD 1260865.69000000 0.021563320938 Long DBT CORP US N 2 2024-08-26 Fixed 4.20000000 N N N N N N FGLMC P#A22080 6% 05/01/34 N/A 31296YJZ7 28750.86000000 NS USD 32282.51000000 0.000552095381 Long ABS-MBS USGA US N 2 2034-05-01 Fixed 6.00000000 N N N N N N UWM 2021-1 A3 V/R 06/25/51 N/A 91824NAC6 15000000.00000000 NS USD 15239070.00000000 0.260618525689 Long ABS-CBDO CORP US Y 2 2051-06-25 Variable 2.50000000 N N N N N N GNMA P#605389 5% 04/15/34 N/A 36200NRJ2 34117.73000000 NS USD 39461.35000000 0.000674867879 Long ABS-MBS USGSE US N 2 2034-04-15 Fixed 5.00000000 N N N N N N UMBS P#254148 7% 01/01/32 N/A 31371KHZ7 9072.32000000 NS USD 10759.52000000 0.000184009276 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 7.00000000 N N N N N N HMIR 2020-1 M1C V/R 10/25/30 N/A 43731WAC9 4640000.00000000 NS USD 4709596.75000000 0.080543508335 Long ABS-CBDO CORP BM Y 2 2030-10-25 Variable 4.24150000 N N N N N N SBIZ 2019-A B 3.42% 07/15/26 N/A 831645AB2 1162000.00000000 NS USD 1157620.19000000 0.019797616732 Long ABS-CBDO CORP US Y 2 2026-07-15 Fixed 3.42000000 N N N N N N PRIME SECSRVC B 6.25% 01/15/28 N/A 74166MAE6 5870000.00000000 NS USD 6244212.50000000 0.106788501912 Long DBT CORP US Y 2 2028-01-15 Fixed 6.25000000 N N N N N N FFIN 2019-1A B 4.22% 11/15/34 N/A 35041JAB1 3750000.00000000 NS USD 4010198.25000000 0.068582397458 Long ABS-CBDO CORP US Y 2 2034-11-15 Fixed 4.22000000 N N N N N N ALTURAS RE LTD ZCP 03/10/23 549300FZNJS17ZR1BR73 G0229TAD6 285668.00000000 NS USD 115638.41000000 0.001977647712 Long DBT CORP BM Y 3 2023-03-10 Fixed 0.00000000 N N N N N N WFCM 2016-LC2 2.684% 07/15/26 N/A 95000HBE1 10000000.00000000 NS USD 10517425.00000000 0.179868968221 Long ABS-CBDO CORP US N 2 2049-10-15 Fixed 2.68400000 N N N N N N GNMA P#605618 5.5% 07/15/34 N/A 36200NYP0 136723.78000000 NS USD 159305.60000000 0.002724443854 Long ABS-MBS USGSE US N 2 2034-07-15 Fixed 5.50000000 N N N N N N HMIR 2018-1 M1 V/R 10/25/25 N/A 43730MAA6 671772.59000000 NS USD 672003.41000000 0.011492600137 Long ABS-CBDO CORP BM Y 2 2028-10-25 Variable 1.69150000 N N N N N N SEMT 2021-4 A1 V/R 06/25/51 N/A 81748WAA4 1670418.37000000 NS USD 1693909.46000000 0.028969234088 Long ABS-CBDO CORP US Y 2 2051-06-25 Variable 2.50000000 N N N N N N FNMA P#747637 6% 11/1/33_ N/A 31403FS21 16375.03000000 NS USD 19426.44000000 0.000332230913 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 6.00000000 N N N N N N HRZN 2019-1A A 4.21% 04/15/24 N/A 44053UAA5 5250000.00000000 NS USD 5323500.00000000 0.091042479725 Long ABS-CBDO CORP US Y 2 2027-09-15 Fixed 4.21000000 N N N N N N CMLTI 2018-RP3 M V/R 03/25/61 N/A 17327DAD3 7131000.00000000 NS USD 7331144.35000000 0.125377206884 Long ABS-CBDO CORP US Y 2 2061-03-25 Variable 3.25000000 N N N N N N GNMA P#564649 6.5% 06/15/31 N/A 36213UH29 4058.15000000 NS USD 4546.98000000 0.000077762437 Long ABS-MBS USGSE US N 2 2031-06-15 Fixed 6.50000000 N N N N N N GNMA P#592643 6% 04/15/33 N/A 36201TLY1 5204.50000000 NS USD 5836.66000000 0.000099818540 Long ABS-MBS USGSE US N 2 2033-04-15 Fixed 6.00000000 N N N N N N UMBS P#AS7602 4% 07/01/46 N/A 3138WHNU2 1918834.01000000 NS USD 2067573.08000000 0.035359628104 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4.00000000 N N N N N N PETROLEOS MEXIC 5.35% 02/12/28 N/A 71654QCK6 6065000.00000000 NS USD 5964624.25000000 0.102006984568 Long DBT CORP MX N 2 2028-02-12 Fixed 5.35000000 N N N N N N TELEDYNE TECHNO 2.25% 04/01/28 549300VSMO9KYQWDND94 879360AD7 19575000.00000000 NS USD 19948099.50000000 0.341152332917 Long DBT CORP US N 2 2028-04-01 Fixed 2.25000000 N N N N N N FREMF 2021-KG05 0.1% 01/25/31 N/A 30318WAJ2 110999571.00000000 NS USD 835982.17000000 0.014296964358 Long ABS-CBDO CORP US Y 2 2031-01-25 Fixed 0.10000000 N N N N N N GNMA P#AG6042 4% 11/15/43 N/A 36182AWB3 8291.84000000 NS USD 8896.98000000 0.000152156123 Long ABS-MBS USGSE US N 2 2043-11-15 Fixed 4.00000000 N N N N N N GNMA II P#1539 6.5% 01/20/24 N/A 36202BV85 3590.03000000 NS USD 3733.28000000 0.000063846542 Long ABS-MBS USGSE US N 2 2024-01-20 Fixed 6.50000000 N N N N N N VIRIBUS RE 2018 0% 12/31/21 N/A N/A 1000000.00000000 NS USD 0.00000000 0.000000 Long DBT CORP BM N 3 2021-12-31 Fixed 0.00000000 N N N N N N GNMA P#781547 6% 01/15/33 N/A 36225BWG9 73159.66000000 NS USD 87065.90000000 0.001489000739 Long ABS-MBS USGSE US N 2 2033-01-15 Fixed 6.00000000 N N N N N N AOMT 2019-2 M1 V/R 04/25/23 N/A 03463WAD5 6700000.00000000 NS USD 6786669.86000000 0.116065605923 Long ABS-CBDO CORP US Y 2 2049-03-25 Variable 4.06500000 N N N N N N GNMA II P#MA2305 4.5% 10/20/44 N/A 36179QR29 750065.96000000 NS USD 829391.02000000 0.014184242532 Long ABS-MBS USGSE US N 2 2044-10-20 Fixed 4.50000000 N N N N N N AFRICAN EXPORT 3.994% 09/21/29 21380068LJCDYA42GJ76 00831TAA9 6065000.00000000 NS USD 6385389.69000000 0.109202913757 Long DBT CORP EG Y 2 2029-09-21 Fixed 3.99400000 N N N N N N GNMA P#AL2284 4% 03/15/45 N/A 36183XRD4 1075307.55000000 NS USD 1172803.59000000 0.020057283190 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 4.00000000 N N N N N N GNMA II P#3108 7% 07/20/31 N/A 36202DNZ0 14874.63000000 NS USD 17665.57000000 0.000302116520 Long ABS-MBS USGSE US N 2 2031-07-20 Fixed 7.00000000 N N N N N N UMBS P#BE7963 4.5% 02/01/47 N/A 3140FTZ53 292089.59000000 NS USD 317231.53000000 0.005425292596 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4.50000000 N N N N N N GNR 2013-169 T 3.25% 04/16/27 N/A 38378YHH5 486005.68000000 NS USD 515969.05000000 0.008824101018 Long ABS-CBDO CORP US N 2 2027-04-16 Fixed 3.25000000 N N N N N N GSMBS 2021-RPL1 V/R 12/25/60 N/A 36261WAF4 6548000.00000000 NS USD 6429627.88000000 0.109959475139 Long ABS-CBDO CORP US Y 2 2060-12-25 Variable 2.25000000 N N N N N N ALASKA AIRLINES 4.8% 08/15/27 N/A 01166VAA7 12006230.05000000 NS USD 13289802.90000000 0.227282166070 Long DBT CORP US Y 2 2027-08-15 Fixed 4.80000000 N N N N N N SUMMER (BC) BIDC 5.5% 10/31/26 213800CCW2O2WZ7YV169 865632AA1 400000.00000000 NS USD 406820.00000000 0.006957434319 Long DBT CORP US Y 2 2026-10-31 Fixed 5.50000000 N N N N N N LLOYDS BANKING 4.65% 03/24/26 549300PPXHEU2JF0AM85 53944YAB9 8675000.00000000 NS USD 9825562.13000000 0.168036731663 Long DBT CORP GB N 2 2026-03-24 Fixed 4.65000000 N N N N N N FREMF 2019-KF64 V/R 06/25/26 N/A 35709DAG6 4421146.76000000 NS USD 4441948.70000000 0.075966192253 Long ABS-CBDO CORP US Y 2 2026-06-25 Variable 2.38588000 N N N N N N INTERNATIONAL PA 7.3% 11/15/39 824LMFJDH41EY779Q875 460146CF8 7457000.00000000 NS USD 11545732.16000000 0.197455073934 Long DBT CORP US N 2 2039-11-15 Fixed 7.30000000 N N N N N N VALERO ENERGY C 2.15% 09/15/27 549300XTO5VR8SKV1V74 91913YBB5 3625000.00000000 NS USD 3684374.67000000 0.063010163650 Long DBT CORP US N 2 2027-09-15 Fixed 2.15000000 N N N N N N GOLDMAN SACHS GRO V/R 05/01/29 784F5XWPLTWKTBV3E584 38141GWZ3 6335000.00000000 NS USD 7230910.59000000 0.123663009446 Long DBT CORP US N 2 2029-05-01 Variable 4.22300000 N N N N N N CSC HOLDINGS L 4.625% 12/01/30 N/A 126307BD8 5800000.00000000 NS USD 5690438.00000000 0.097317852210 Long DBT CORP US Y 2 2030-12-01 Fixed 4.62500000 N N N N N N TPMT 2018-SJ1 XA V/R 10/25/58 N/A 89176BAK2 1746620.16000000 NS USD 1782983.22000000 0.030492573242 Long ABS-CBDO CORP US Y 2 2058-10-25 Variable 5.00000000 N N N N N N PFMT 2021-2 A9 V/R 04/25/51 N/A 74388JAQ8 15000000.00000000 NS USD 14924614.50000000 0.255240708749 Long ABS-CBDO CORP US Y 2 2051-04-25 Variable 2.25000000 N N N N N N NRZT 2019-RPL2 M V/R 02/25/59 N/A 64830HAD6 10950000.00000000 NS USD 11812595.01000000 0.202018961529 Long ABS-CBDO CORP US Y 2 2059-02-25 Variable 3.75000000 N N N N N N FWD 2019-INV1 A1 V/R 06/25/49 N/A 302980AA5 3900906.63000000 NS USD 3988110.23000000 0.068204648212 Long ABS-CBDO CORP US Y 2 2049-06-25 Variable 2.81000000 N N N N N N IBERDROLA INTL 6.75% 07/15/36 N/A 29266MAF6 4655000.00000000 NS USD 7050796.34000000 0.120582696127 Long DBT CORP NL N 2 2036-07-15 Fixed 6.75000000 N N N N N N SMALL BUS ADMIN GTD DEV PTC DB02-20A 6.14%22 N/A 83162CLZ4 7906.67000000 NS USD 7981.75000000 0.000136503862 Long DBT USGA US N 2 2022-01-01 Fixed 6.14000000 N N N N N N PLUCR 2020-1 3.968% 01/20/24 N/A 69356JAG8 5000000.00000000 NS USD 5018750.00000000 0.085830646214 Long ABS-CBDO CORP CA N 2 2025-07-20 Fixed 3.96800000 N N N N N N PLUCR 2020-1 4.705% 01/20/24 N/A 69356JAJ2 2350000.00000000 NS USD 2358812.50000000 0.040340403720 Long ABS-CBDO CORP CA N 2 2025-07-20 Fixed 4.70500000 N N N N N N GNMA P#781285 6.5% 05/15/31 N/A 36225BNA2 6650.35000000 NS USD 7769.52000000 0.000132874305 Long ABS-MBS USGSE US N 2 2031-05-15 Fixed 6.50000000 N N N N N N UMBS P#BE9355 3% 03/01/47 N/A 3140FVMD5 1680661.78000000 NS USD 1772938.38000000 0.030320786421 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.00000000 N N N N N N FGLMC P#A35525 6% 06/01/35 N/A 31297RD61 40839.26000000 NS USD 45861.05000000 0.000784315528 Long ABS-MBS USGA US N 2 2035-06-01 Fixed 6.00000000 N N N N N N GNMA P#604647 6% 09/15/33 N/A 36200MWG4 29769.72000000 NS USD 35424.88000000 0.000605836182 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 6.00000000 N N N N N N FGLMC P#A17066 6% 12/01/33 N/A 31296RZ76 7496.50000000 NS USD 8415.82000000 0.000143927326 Long ABS-MBS USGA US N 2 2033-12-01 Fixed 6.00000000 N N N N N N FREMF 2019-KJ24 V/R 10/25/27 N/A 30312FAG1 4148048.48000000 NS USD 3588751.76000000 0.061374820954 Long ABS-CBDO CORP US Y 2 2027-10-25 Variable 7.60000000 N N N N N N CAS 2018-C04 2M2 V/R 12/25/30 N/A 30711XR63 794552.88000000 NS USD 808727.15000000 0.013830849095 Long ABS-CBDO CORP US N 2 2030-12-25 Variable 2.64150000 N N N N N N COLD 2020-ICE5 D V/R 11/15/25 N/A 193051AN9 3931962.09000000 NS USD 3946752.56000000 0.067497349474 Long ABS-CBDO CORP US Y 2 2037-11-15 Variable 2.17288000 N N N N N N GNMA P#402108 6.5% 07/15/32 N/A 36205VU97 8081.89000000 NS USD 9070.03000000 0.000155115623 Long ABS-MBS USGSE US N 2 2032-07-15 Fixed 6.50000000 N N N N N N GNMA P#641256 4.5% 03/15/35 N/A 36291XMD8 13533.27000000 NS USD 15014.61000000 0.000256779811 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 4.50000000 N N N N N N ENABLE MIDSTREA 4.95% 05/15/28 N/A 292480AL4 14441000.00000000 NS USD 16547205.26000000 0.282990250661 Long DBT CORP US N 2 2028-05-15 Fixed 4.95000000 N N N N N N COVANTA HOLDING CO 6% 01/01/27 40XIFLS8XDQGGHGPGC04 22282EAH5 2320000.00000000 NS USD 2412800.00000000 0.041263697770 Long DBT CORP US N 2 2027-01-01 Fixed 6.00000000 N N N N N N GNMA P#AH3688 4% 04/15/44 N/A 36182LCZ8 7850.54000000 NS USD 8606.74000000 0.000147192439 Long ABS-MBS USGSE US N 2 2044-04-15 Fixed 4.00000000 N N N N N N SBAP 2008-20D 5.37% 04/01/28 N/A 83162CRS4 131624.24000000 NS USD 143602.18000000 0.002455884016 Long ABS-CBDO CORP US N 2 2028-04-01 Fixed 5.37000000 N N N N N N GNMA P#583047 6% 09/15/34 N/A 36201GWG6 32515.69000000 NS USD 36510.13000000 0.000624396124 Long ABS-MBS USGSE US N 2 2034-09-15 Fixed 6.00000000 N N N N N N PANGAEA 2016-2 0% 11/30/21 N/A N/A 3000000.00000000 NS USD 5349.87000000 0.000091493459 Long DBT CORP BM N 3 2021-11-30 Fixed 0.00000000 N N N N N N ALLIANCE DATA SYST 7% 01/15/26 549300G8S4PO686J7H97 018581AL2 10150000.00000000 NS USD 10873187.50000000 0.185953217341 Long DBT CORP US Y 2 2026-01-15 Fixed 7.00000000 N N N N N N VERSUTUS RE 2019-A 0% 12/31/21 N/A N/A 1765095.00000000 NS USD 45186.43000000 0.000772778179 Long DBT CORP BM N 3 2021-12-31 Fixed 0.00000000 N N N N N N IHSFR 2018-SFR3 V/R 07/17/20 N/A 46187VAG4 4786088.50000000 NS USD 4790704.20000000 0.081930607682 Long ABS-CBDO CORP US Y 2 2037-07-17 Variable 1.73200000 N N N N N N FGLMC P#G01552 6.5% 01/01/33 N/A 31283HWM3 57.18000000 NS USD 64.10000000 0.000001096237 Long ABS-MBS USGA US N 2 2033-01-01 Fixed 6.50000000 N N N N N N SECTOR RE V LTD ZCP 03/01/25 549300QS6XPZQHTCEJ97 81369ADH2 3490.00000000 NS USD 87626.76000000 0.001498592565 Long DBT CORP BM Y 3 2025-03-01 Fixed 0.00000000 N N N N N N SNDPT 2019-4A D V/R 01/15/33 N/A 83614DAN5 4000000.00000000 NS USD 4017876.00000000 0.068713702314 Long ABS-CBDO CORP KY Y 2 2033-01-15 Variable 4.29375000 N N N N N N UMBS P#850968 6% 12/01/35 N/A 31408GMR5 109014.64000000 NS USD 123867.32000000 0.002118378504 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 6.00000000 N N N N N N JPMMT 2021-8 B2 V/R 12/25/51 N/A 46592TBZ5 10261000.00000000 NS USD 10432551.61000000 0.178417463780 Long ABS-CBDO CORP US Y 2 2051-12-25 Variable 2.86877000 N N N N N N CSMC 2021-RPL2 M V/R 01/25/60 N/A 12656TAD0 2490163.00000000 NS USD 2648141.43000000 0.045288506142 Long ABS-CBDO CORP US Y 2 2060-01-25 Variable 2.75000000 N N N N N N HOF 2020-2 M1 V/R 05/25/65 N/A 43789XAD6 2380000.00000000 NS USD 2479585.15000000 0.042405857189 Long ABS-CBDO CORP US Y 2 2065-05-25 Variable 3.89700000 N N N N N N CMHAT 2021-MH 3.693% 02/25/46 N/A 14731QAD1 2076000.00000000 NS USD 2175265.60000000 0.037201385232 Long ABS-CBDO CORP US Y 2 2046-02-25 Fixed 3.69300000 N N N N N N GNMA P#AJ6291 4% 09/15/44 N/A 36183B7C6 60464.64000000 NS USD 64936.86000000 0.001110549969 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 4.00000000 N N N N N N GNMA P#782111 6% 08/15/36 N/A 36241KKY3 99623.31000000 NS USD 118532.01000000 0.002027134050 Long ABS-MBS USGSE US N 2 2036-08-15 Fixed 6.00000000 N N N N N N UMBS P#AI7368 4.5% 07/01/41 N/A 3138AMFJ9 663310.00000000 NS USD 740189.67000000 0.012658721334 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N TRPTY TORONTO 0.055% 07/01/21 N/A N/A 6695000.00000000 PA USD 6695000.00000000 0.114497868274 Long RA CORP US N 2 Repurchase Y 0.05500000 2021-07-01 6824000.00000000 USD 6829009.95333332 USD AMBS N N N GNMA P#620628 6% 09/15/33 N/A 36290XPM6 6356.55000000 NS USD 7127.05000000 0.000121886785 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 6.00000000 N N N N N N CIGNA CORP 4.375% 10/15/28 549300VIWYMSIGT1U456 125523AH3 6225000.00000000 NS USD 7245900.00000000 0.123919358287 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N FGLMC P#A32812 6% 04/01/35 N/A 31297NDR4 13489.91000000 NS USD 15153.54000000 0.000259155791 Long ABS-MBS USGA US N 2 2035-04-01 Fixed 6.00000000 N N N N N N FGLMC P#Q44876 3% 12/01/46 N/A 3132WJM24 843414.82000000 NS USD 897737.73000000 0.015353107745 Long ABS-MBS USGA US N 2 2046-12-01 Fixed 3.00000000 N N N N N N UMBS P#BH3119 4% 06/01/47 N/A 3140GRPD0 1049046.98000000 NS USD 1129669.62000000 0.019319606175 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N ANGI GROUP LLC 3.875% 08/15/28 N/A 001846AA2 2400000.00000000 NS USD 2385000.00000000 0.040788262260 Long DBT CORP US Y 2 2028-08-15 Fixed 3.87500000 N N N N N N HIGHWOODS REALTY 2.6% 02/01/31 N/A 431282AT9 3160000.00000000 NS USD 3178676.39000000 0.054361713307 Long DBT CORP US N 2 2031-02-01 Fixed 2.60000000 N N N N N N BOYNE USA INC 4.75% 05/15/29 N/A 103557AC8 970000.00000000 NS USD 1000778.10000000 0.017115303818 Long DBT CORP US Y 2 2029-05-15 Fixed 4.75000000 N N N N N N FGLMC P#Q11390 3% 09/01/42 N/A 3132HMRK9 713283.47000000 NS USD 760630.88000000 0.013008306841 Long ABS-MBS USGA US N 2 2042-09-01 Fixed 3.00000000 N N N N N N GNMA P#175339 6.5% 03/15/29 N/A 36216UV87 11855.86000000 NS USD 13222.14000000 0.000226124995 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 6.50000000 N N N N N N LUMEN TECHNOLOGIES 4% 02/15/27 8M3THTGWLTYZVE6BBY25 156700BC9 1260000.00000000 NS USD 1285200.00000000 0.021979486229 Long DBT CORP US Y 2 2027-02-15 Fixed 4.00000000 N N N N N N AXIS 2018-2A C 4.27% 01/20/23 N/A 03237JAD9 1675000.00000000 NS USD 1722447.73000000 0.029457295489 Long ABS-CBDO CORP US Y 2 2023-01-20 Fixed 4.27000000 N N N N N N UMBS P#796217 6% 11/01/34 N/A 31405QSE9 35157.12000000 NS USD 39507.68000000 0.000675660215 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 6.00000000 N N N N N N T/L NAVISTAR INC 0% 11/6/24 N/A 63937YAE1 714713.47000000 NS USD 715904.90000000 0.012243403276 Long LON CORP US N 2 2024-11-06 Floating 3.60000000 N N N N N N GNMA P#354667 7.5% 10/15/23 N/A 36203N6C7 9030.49000000 NS USD 9468.61000000 0.000161932137 Long ABS-MBS USGSE US N 2 2023-10-15 Fixed 7.50000000 N N N N N N GNMA P#590327 6.5% 07/15/32 N/A 36201QYY3 7209.29000000 NS USD 8040.10000000 0.000137501764 Long ABS-MBS USGSE US N 2 2032-07-15 Fixed 6.50000000 N N N N N N AOMT 2019-1 M1 V/R 02/25/23 N/A 03464MAD6 2320000.00000000 NS USD 2347669.02000000 0.040149827961 Long ABS-CBDO CORP US Y 2 2048-11-25 Variable 4.50000000 N N N N N N OAKMONT RE 2020 0% 4/30/24 N/A N/A 2500000.00000000 NS USD 2018848.50000000 0.034526340495 Long DBT CORP BM N 3 2024-04-30 Fixed 0.00000000 N N N N N N DANSKE BANK A/ 5.375% 01/12/24 MAES062Z21O4RZ2U7M96 23636AAT8 5337000.00000000 NS USD 5918334.59000000 0.101215338953 Long DBT CORP DK Y 2 2024-01-12 Fixed 5.37500000 N N N N N N COMM 2018-COR3 B V/R 04/10/28 N/A 12595VAG2 1500000.00000000 NS USD 1691759.10000000 0.028932458638 Long ABS-CBDO CORP US N 2 2051-05-10 Variable 4.66496400 N N N N N N GNMA P#521291 6.5% 04/15/35 N/A 36211SC47 33637.01000000 NS USD 37513.38000000 0.000641553703 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 6.50000000 N N N N N N CAPITAL ONE FINANCI V/R /PERP/ ZUE8T73ROZOF6FLBAR73 14040HCF0 8520000.00000000 NS USD 8701050.00000000 0.148805328865 Long DBT CORP US N 2 2169-09-01 Variable 3.95000000 N N N N N N GNMA P#486935 6.5% 02/15/29 N/A 36210A4U8 5632.32000000 NS USD 6281.40000000 0.000107424482 Long ABS-MBS USGSE US N 2 2029-02-15 Fixed 6.50000000 N N N N N N UMBS P#FM3861 4.5% 04/01/50 N/A 3140X7JF7 1879590.63000000 NS USD 2056235.55000000 0.035165733703 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4.50000000 N N N N N N UMBS P#AB8464 2.5% 02/01/43 N/A 31417FMN5 53058.61000000 NS USD 55013.64000000 0.000940843092 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 2.50000000 N N N N N N GNMA II P#2217 7% 05/20/26 N/A 36202CPA5 2635.13000000 NS USD 2856.74000000 0.000048855958 Long ABS-MBS USGSE US N 2 2026-05-20 Fixed 7.00000000 N N N N N N PUGET ENERGY I 2.379% 06/15/28 N/A 745310AL6 7485000.00000000 NS USD 7568158.35000000 0.129430619543 Long DBT CORP US Y 2 2028-06-15 Fixed 2.37900000 N N N N N N GNMA TBA 30 UR 2.5% JUL 21 N/A 21H022671 90000000.00000000 NS USD 93160547.10000000 1.593231374200 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 2.50000000 N N N N N N UMBS P#AE2204 4.5% 08/01/40 N/A 31419CNW9 229210.03000000 NS USD 252613.49000000 0.004320195086 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.50000000 N N N N N N RMIR 2018-1 M1 V/R 03/25/28 N/A 750496AA9 213138.63000000 NS USD 213184.73000000 0.003645884560 Long ABS-CBDO CORP BM Y 2 2028-03-25 Variable 1.49150000 N N N N N N GNMA I P#610107 6.45% 01/20/33 N/A 36202UYC1 65001.40000000 NS USD 71433.98000000 0.001221663694 Long ABS-MBS USGSE US N 2 2033-01-20 Fixed 6.45000000 N N N N N N ST. ANDREWS 2017-4 0% 06/01/21 N/A N/A 1737984.00000000 NS USD 171017.63000000 0.002924742953 Long DBT CORP BM N 3 2022-06-01 Fixed 0.00000000 N N N N N N FSMT 2021-3INV A V/R 06/25/51 N/A 33852CAB9 8578772.74000000 NS USD 8747671.62000000 0.149602651659 Long ABS-CBDO CORP US Y 2 2051-06-25 Variable 2.50000000 N N N N N N SECTOR RE V LTD ZCP 12/01/25 549300QS6XPZQHTCEJ97 81369ADK5 1500000.00000000 NS USD 1533635.12000000 0.026228222845 Long DBT CORP BM Y 3 2025-12-01 Fixed 0.00000000 N N N N N N UMBS P#AS7803 4% 08/01/46 N/A 3138WHU59 1595449.89000000 NS USD 1720087.63000000 0.029416933066 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 4.00000000 N N N N N N UMBS P#AL7382 3.5% 09/01/45 N/A 3138EQFY3 4476723.63000000 NS USD 4854911.60000000 0.083028682429 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N LION ROCK RE 2019 0.0% 1/31/22 N/A N/A 500000.00000000 NS USD 20300.00000000 0.000347170534 Long DBT CORP BM N 3 2022-01-31 Fixed 0.00000000 N N N N N N FGLMC P#A95090 4.5% 11/01/40 N/A 312943UP6 1133434.73000000 NS USD 1261355.33000000 0.021571694760 Long ABS-MBS USGA US N 2 2040-11-01 Fixed 4.50000000 N N N N N N GSMS 2015-GC2 3.396% 01/10/25 N/A 36251FAW6 6500000.00000000 NS USD 7002258.25000000 0.119752597869 Long ABS-CBDO CORP US N 2 2048-02-10 Fixed 3.39600000 N N N N N N UMBS P#AU3732 2.5% 08/01/43 N/A 3138X3EE8 163495.07000000 NS USD 170670.28000000 0.002918802574 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 2.50000000 N N N N N N UMBS P#AO8107 3.5% 08/01/42 N/A 3138M0AH3 1448170.87000000 NS USD 1560547.76000000 0.026688482727 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N VERUS 2020-INV1 V/R 03/25/60 N/A 92537TAF2 970000.00000000 NS USD 1031019.40000000 0.017632490433 Long ABS-CBDO CORP US Y 2 2060-03-25 Variable 5.50000000 N N N N N N FNCL 30YR TBA 4% JULY 21 N/A 01F040677 71000000.00000000 NS USD 75623319.78000000 1.293309769481 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 4.00000000 N N N N N N GNMA P#605367 6% 09/15/34 N/A 36200NQU8 7565.67000000 NS USD 8563.77000000 0.000146457566 Long ABS-MBS USGSE US N 2 2034-09-15 Fixed 6.00000000 N N N N N N BANK OF AMERICA C V/R 10/22/30 9DJT3UXIJIZJI4WXO774 06051GHX0 20595000.00000000 NS USD 21716272.12000000 0.371391615327 Long DBT CORP US N 2 2030-10-22 Variable 2.88400000 N N N N N N ENEL SPA V/R 09/24/73 WOCMU6HCI0OJWNPRZS33 29265WAA6 4170000.00000000 NS USD 4847625.00000000 0.082904067019 Long DBT CORP IT Y 2 2073-09-24 Variable 8.75000000 N N N N N N SECTOR RE V LTD ZCP 12/01/24 549300QS6XPZQHTCEJ97 81369ADB5 200000.00000000 NS USD 541008.06000000 0.009252318086 Long DBT CORP BM N 3 2024-12-01 Fixed 0.00000000 N N N N N N STACR 2018-HRP2 V/R 02/25/47 N/A 35564ABF7 3135000.00000000 NS USD 3192833.54000000 0.054603828840 Long ABS-CBDO CORP US Y 2 2047-02-25 Variable 2.49150000 N N N N N N GNMA P#AO3856 4% 08/15/45 N/A 3617A4H92 318020.80000000 NS USD 351824.44000000 0.006016900431 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 4.00000000 N N N N N N FGLMC P#C48591 6.5% 03/01/31 N/A 31298HRL4 270.27000000 NS USD 303.01000000 0.000005182076 Long ABS-MBS USGA US N 2 2031-03-01 Fixed 6.50000000 N N N N N N GNMA II P#2714 6.5% 02/20/29 N/A 36202DAP6 886.08000000 NS USD 1014.50000000 0.000017349975 Long ABS-MBS USGSE US N 2 2029-02-20 Fixed 6.50000000 N N N N N N TPMT 2017-2 B2 V/R 04/25/57 N/A 89173HAF3 12925000.00000000 NS USD 13730853.07000000 0.234825004646 Long ABS-CBDO CORP US Y 2 2057-04-25 Variable 4.09148300 N N N N N N GNMA P#615671 6% 10/15/33 N/A 36290R6G3 19296.50000000 NS USD 22109.80000000 0.000378121727 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 6.00000000 N N N N N N GNMA P#AA8386 4% 03/15/44 N/A 36178GJ70 1288155.51000000 NS USD 1414630.04000000 0.024192998353 Long ABS-MBS USGSE US N 2 2044-03-15 Fixed 4.00000000 N N N N N N VIRIBUS RE 2019 0.0% 12/31/22 N/A N/A 3650000.00000000 NS USD 152205.00000000 0.002603009416 Long DBT CORP BM N 3 2022-12-31 Fixed 0.00000000 N N N N N N BX 2020-VIV3 B V/R 03/09/30 N/A 05608EAA2 3200000.00000000 NS USD 3478472.00000000 0.059488816856 Long ABS-CBDO CORP US Y 2 2044-03-09 Variable 3.54387500 N N N N N N US TIPS 0.125% 02/15/51 N/A 912810SV1 58111453.36800000 NS USD 63945298.20000000 1.093592282315 Long DBT UST US N 2 2051-02-15 Fixed 0.12500000 N N N N N N US T BILL ZCP 08/05/21 N/A 912796C64 205476400.00000000 PA USD 205467609.72000000 3.513906394694 Long STIV UST US N 2 2021-08-05 Fixed 0.00000000 N N N N N N FNMA P#882039 5.5% 5/1/36_ N/A 31409X4Y2 66410.01000000 NS USD 75735.59000000 0.001295229814 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.50000000 N N N N N N FGLMC P#G60659 3.5% 08/01/46 N/A 31335AWU8 4530413.12000000 NS USD 4897064.80000000 0.083749586318 Long ABS-MBS USGA US N 2 2046-08-01 Fixed 3.50000000 N N N N N N GNMA P#782138 5.5% 02/15/37 N/A 36241KLT3 17407.07000000 NS USD 20466.63000000 0.000350020239 Long ABS-MBS USGSE US N 2 2037-02-15 Fixed 5.50000000 N N N N N N UMBS P#BE2699 4% 06/01/47 N/A 3140FM7M2 718950.99000000 NS USD 777236.30000000 0.013292292680 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N GNMA P#781530 6.5% 12/15/32 N/A 36225BVX3 149665.96000000 NS USD 175554.98000000 0.003002340698 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 6.50000000 N N N N N N UMBS P#AQ0819 3.5% 12/01/42 N/A 3138MF4D6 316859.31000000 NS USD 345562.72000000 0.005909812516 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.50000000 N N N N N N F/C US 5YR NOTE (CBT) SEP21 N/A N/A 4128.00000000 NC USD 509517752.06000000 8.713770942358 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Long F/C US 5YR NOTE (CBT) SEP21 US 5YR NOTE (CBT) SEP21 2021-09-30 510699515.63000000 USD -1181763.57000000 N N N GNMA II P#3011 7.5% 12/20/30 N/A 36202DKY6 2921.67000000 NS USD 3516.78000000 0.000060143960 Long ABS-MBS USGSE US N 2 2030-12-20 Fixed 7.50000000 N N N N N N CAPITAL ONE FINA 3.3% 10/30/24 ZUE8T73ROZOF6FLBAR73 14040HBT1 4885000.00000000 NS USD 5261736.43000000 0.089986199351 Long DBT CORP US N 2 2024-10-30 Fixed 3.30000000 N N N N N N FINANCE AMER V/R 6/25/69 N/A 31739GAA5 10981328.88000000 NS USD 11895167.62000000 0.203431118037 Long ABS-CBDO CORP US N 2 2069-06-25 Variable 2.00000000 N N N N N N TPMT 2021-R1 A1 V/R 04/27/29 N/A 89179TAA2 12792230.00000000 NS USD 13054112.53000000 0.223251390127 Long ABS-CBDO CORP US Y 2 2060-11-30 Variable 2.91808000 N N N N N N GNMA P#597742 6% 12/15/32 N/A 36200DBK8 124958.14000000 NS USD 140200.17000000 0.002397702852 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 6.00000000 N N N N N N GNMA P#780532 7.5% 03/15/27 N/A 36225ASV3 14522.72000000 NS USD 16501.10000000 0.000282201758 Long ABS-MBS USGSE US N 2 2027-03-15 Fixed 7.50000000 N N N N N N T-MOBILE USA INC 3.5% 04/15/31 N/A 87264ACE3 11205000.00000000 NS USD 11592580.95000000 0.198256281789 Long DBT CORP US Y 2 2031-04-15 Fixed 3.50000000 N N N N N N UMBS P#AS5402 2.5% 07/01/30 N/A 3138WFAC0 1089720.25000000 NS USD 1146103.85000000 0.019600664323 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N KENNAMETAL INC 2.8% 03/01/31 549300GZDSG25XUV0Y08 489170AF7 3879000.00000000 NS USD 3906425.42000000 0.066807674856 Long DBT CORP US N 2 2031-03-01 Fixed 2.80000000 N N N N N N CAPITAL ONE FIN 4.25% 04/30/25 ZUE8T73ROZOF6FLBAR73 14040HBZ7 5200000.00000000 NS USD 5796001.12000000 0.099123192346 Long DBT CORP US N 2 2025-04-30 Fixed 4.25000000 N N N N N N WESTR 2018-1A C 4.1% 07/20/22 N/A 96033WAC2 2394629.66000000 NS USD 2421620.49000000 0.041414545761 Long ABS-CBDO CORP US Y 2 2031-12-20 Fixed 4.10000000 N N N N N N RCKT 2021-2 B1A V/R 06/25/51 N/A 74936RBU7 6110000.00000000 NS USD 6093270.82000000 0.104207097791 Long ABS-CBDO CORP US Y 2 2051-06-25 Variable 2.56676000 N N N N N N FNMA P#603281 6.5% 9/1/31__ N/A 31388FFW8 2368.88000000 NS USD 2654.52000000 0.000045397592 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 6.50000000 N N N N N N FSMT 2021-3INV A V/R 06/25/51 N/A 33852CAS2 4987658.57000000 NS USD 5051540.50000000 0.086391429238 Long ABS-CBDO CORP US Y 2 2051-06-25 Variable 2.50000000 N N N N N N FGLMC P#G60080 3.5% 06/01/45 N/A 31335ACR7 3672827.40000000 NS USD 3989026.14000000 0.068220312101 Long ABS-MBS USGA US N 2 2045-06-01 Fixed 3.50000000 N N N N N N GNMA P#600124 6% 02/15/33 N/A 36200FVR6 44133.15000000 NS USD 49551.60000000 0.000847431302 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 6.00000000 N N N N N N CAS 2019-R01 2M2 V/R 07/25/31 N/A 20754FAK8 6216723.09000000 NS USD 6250461.87000000 0.106895378618 Long ABS-CBDO CORP US Y 2 2031-07-25 Variable 2.54150000 N N N N N N SUMITOMO MITSU 3.202% 09/17/29 35380028MYWPB6AUO129 86562MBS8 11891000.00000000 NS USD 12666527.93000000 0.216622919556 Long DBT CORP JP N 2 2029-09-17 Fixed 3.20200000 N N N N N N CORELOGIC INC 4.5% 5/1/28 54930086CD8K2UIL0516 21871DAD5 3355000.00000000 NS USD 3325643.75000000 0.056875148620 Long DBT CORP US Y 2 2028-05-01 Fixed 4.50000000 N N N N N N SECTOR RE V LTD ZCP 12/01/23 549300QS6XPZQHTCEJ97 81369ACS9 240014.00000000 NS USD 56851.31000000 0.000972270919 Long DBT CORP BM Y 3 2023-12-01 Fixed 0.00000000 N N N N N N CARNOUSTIE RE 2020 0% 12/31/23 N/A N/A 2000000.00000000 NS USD 271200.00000000 0.004638061519 Long DBT CORP BM N 3 2023-12-31 Fixed 0.00000000 N N N N N N GNMA P#550537 6.5% 07/15/35 N/A 36213CS27 15474.25000000 NS USD 17257.52000000 0.000295138051 Long ABS-MBS USGSE US N 2 2035-07-15 Fixed 6.50000000 N N N N N N FREMF 2021-KG05 ZCP 01/25/31 N/A 30318WAN3 9000000.00000000 NS USD 4280238.90000000 0.073200631778 Long ABS-CBDO CORP US Y 2 2031-01-25 Fixed 0.00000000 N N N N N N FGLMC P#Q47419 4% 04/01/47 N/A 3132WMG57 1390063.49000000 NS USD 1512307.55000000 0.025863478812 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N CF 2019-CF1 D 3% 04/15/29 N/A 12529MCY2 4346000.00000000 NS USD 4102361.50000000 0.070158573060 Long ABS-CBDO CORP US Y 2 2052-05-15 Fixed 3.00000000 N N N N N N HILTON DOMESTIC 3.75% 05/01/29 N/A 432833AJ0 4985000.00000000 NS USD 5023384.50000000 0.085909905418 Long DBT CORP US Y 2 2029-05-01 Fixed 3.75000000 N N N N N N SEMT 2021-3 B2 V/R 05/25/51 N/A 81748VCE6 2725937.00000000 NS USD 2668914.21000000 0.045643762158 Long ABS-CBDO CORP US Y 2 2051-05-25 Variable 2.66372900 N N N N N N UMBS P#AL6952 3% 06/01/45 N/A 3138EPWN0 4201602.77000000 NS USD 4498782.13000000 0.076938157388 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.00000000 N N N N N N FNMA P899044 5.00% 02/01/22 N/A 31410VZH6 453.86000000 NS USD 472.31000000 0.000008077444 Long ABS-MBS USGSE US N 2 2022-02-01 Fixed 5.00000000 N N N N N N GNMA P#498645 7% 04/15/29 N/A 36210P5E0 16618.52000000 NS USD 17160.84000000 0.000293484629 Long ABS-MBS USGSE US N 2 2029-04-15 Fixed 7.00000000 N N N N N N UMBS P#ZS4714 4% 04/01/47 N/A 3132A5GX7 3011327.20000000 NS USD 3235301.65000000 0.055330118319 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N UMBS P#RA1088 4.5% 07/01/49 N/A 3133KGF52 436223.77000000 NS USD 469862.39000000 0.008035585069 Long ABS-MBS USGA US N 2 2049-07-01 Fixed 4.50000000 N N N N N N UMBS P#AB7391 2.5% 12/01/42 N/A 31417EF97 137654.45000000 NS USD 143733.30000000 0.002458126430 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 2.50000000 N N N N N N UMBS P#982885 5% 05/01/23 N/A 31415CNA1 45910.64000000 NS USD 47837.72000000 0.000818120532 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 5.00000000 N N N N N N GNMA P#582955 6.5% 02/15/32 N/A 36201GTL9 8811.03000000 NS USD 10079.48000000 0.000172379234 Long ABS-MBS USGSE US N 2 2032-02-15 Fixed 6.50000000 N N N N N N ARTEX SAC LTD ST A 0% 2/1/22 N/A N/A 3000000.00000000 NS USD 203400.00000000 0.003478546139 Long DBT CORP BM N 3 2022-02-01 Fixed 0.00000000 N N N N N N TPMT 2016-3 B1 V/R 04/25/56 N/A 89172YAE0 7000000.00000000 NS USD 7476508.90000000 0.127863230946 Long ABS-CBDO CORP US Y 2 2056-04-25 Variable 4.09435300 N N N N N N UMBS P#AY7608 2.5% 04/01/45 N/A 3138YMN21 263354.91000000 NS USD 273779.61000000 0.004682178001 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N CAPITAL ONE FIN 3.75% 04/24/24 ZUE8T73ROZOF6FLBAR73 14040HBF1 9675000.00000000 NS USD 10453032.35000000 0.178767725329 Long DBT CORP US N 2 2024-04-24 Fixed 3.75000000 N N N N N N FGLMC P#G18527 3% 10/01/29 N/A 3128MMSR5 1116470.46000000 NS USD 1180990.94000000 0.020197303223 Long ABS-MBS USGA US N 2 2029-10-01 Fixed 3.00000000 N N N N N N UMBS P#BH3109 4% 06/01/47 N/A 3140GRN34 241350.74000000 NS USD 260095.53000000 0.004448152910 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N UMBS P#BJ9520 5% 06/01/49 N/A 3140HBSJ8 403827.11000000 NS USD 442436.73000000 0.007566551520 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 5.00000000 N N N N N N FGLMC P#G04815 5% 09/01/38 N/A 3128M6VG0 143888.96000000 NS USD 165060.24000000 0.002822859688 Long ABS-MBS USGA US N 2 2038-09-01 Fixed 5.00000000 N N N N N N JPMMT 2021-INV1 V/R 10/25/51 N/A 46592PBG5 6825900.11000000 NS USD 7070833.88000000 0.120925378071 Long ABS-CBDO CORP US Y 2 2051-10-25 Variable 3.03556400 N N N N N N CSMC 2019-ICE4 E V/R 05/15/21 N/A 12653VAJ5 8375000.00000000 NS USD 8390769.29000000 0.143498909169 Long ABS-CBDO CORP US Y 2 2036-05-15 Variable 2.22300000 N N N N N N LORENZ RE 2019V/R 6/30/22 N/A N/A 2993180.00000000 NS USD 328351.85000000 0.005615472273 Long DBT CORP BM N 3 2022-06-30 Variable 0.00000000 N N N N N N GNMA P#486470 6.5% 08/15/28 N/A 36210AMT1 2968.48000000 NS USD 3310.57000000 0.000056617357 Long ABS-MBS USGSE US N 2 2028-08-15 Fixed 6.50000000 N N N N N N GNMA P#527070 7.75% 02/15/30 N/A 36211YQX5 1735.28000000 NS USD 1757.57000000 0.000030057956 Long ABS-MBS USGSE US N 2 2030-02-15 Fixed 7.75000000 N N N N N N UMBS P#CA4189 5% 09/01/49 N/A 3140QBUP1 1012179.32000000 NS USD 1142095.52000000 0.019532113876 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 5.00000000 N N N N N N GNMA P#AL2189 4% 02/15/45 N/A 36183XNE6 509283.26000000 NS USD 549931.68000000 0.009404929806 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 4.00000000 N N N N N N TRPTY BANK OF N 0.05% 07/01/21 N/A N/A 5390000.00000000 PA USD 5390000.00000000 0.092179762509 Long RA CORP US N 2 Repurchase Y 0.05000000 2021-07-01 6101701.00000000 USD 5497821.67512694 USD AMBS N N N MCMLT 2019-GS1 M V/R 07/25/59 N/A 59981BAJ3 7800000.00000000 NS USD 8076259.62000000 0.138120165813 Long ABS-CBDO CORP US Y 2 2059-07-25 Variable 3.25000000 N N N N N N GNMA P#676600 6% 11/15/37 N/A 36295PUZ3 18841.58000000 NS USD 22402.85000000 0.000383133468 Long ABS-MBS USGSE US N 2 2037-11-15 Fixed 6.00000000 N N N N N N UMBS P#BJ5114 4% 12/01/47 N/A 3140H6VG1 2403018.62000000 NS USD 2569096.55000000 0.043936680861 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.00000000 N N N N N N BANCO SANTANDER 2.7% 01/10/25 N/A 05970FAC5 10258000.00000000 NS USD 10708428.78000000 0.183135514246 Long DBT CORP CL Y 2 2025-01-10 Fixed 2.70000000 N N N N N N GNMA P#584343 6.5% 04/15/32 N/A 36201JEQ8 5616.16000000 NS USD 6328.30000000 0.000108226566 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 6.50000000 N N N N N N GNMA P#552565 6.5% 05/15/32 N/A 36213EZ66 2558.82000000 NS USD 2854.49000000 0.000048817478 Long ABS-MBS USGSE US N 2 2032-05-15 Fixed 6.50000000 N N N N N N NATWEST GROUP PLC V/R /PERP/ N/A 780097BB6 10505000.00000000 NS USD 10591666.25000000 0.181138641837 Long DBT CORP GB N 2 2169-09-30 Variable 8.62500000 N N N N N N UMBS P#ZM3043 4% 04/01/47 N/A 3131XWLY7 2628744.77000000 NS USD 2826508.76000000 0.048338943641 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N UMBS P#BK1181 5% 10/01/49 N/A 3140HEJ37 241985.26000000 NS USD 265507.29000000 0.004540704812 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 5.00000000 N N N N N N FGLMC P#Q40519 4% 05/01/46 N/A 3132WDSH8 214001.03000000 NS USD 230305.22000000 0.003938679125 Long ABS-MBS USGA US N 2 2046-05-01 Fixed 4.00000000 N N N N N N HEALTHCARE REAL 2.05% 03/15/31 549300CB86LH2IOKHH22 421946AM6 5105000.00000000 NS USD 4940586.69000000 0.084493897540 Long DBT CORP US N 2 2031-03-15 Fixed 2.05000000 N N N N N N FGLMC P#A55379 6% 12/01/36 N/A 3128KH6Q4 12205.88000000 NS USD 13994.17000000 0.000239328249 Long ABS-MBS USGA US N 2 2036-12-01 Fixed 6.00000000 N N N N N N GNMA P#599414 5% 07/15/33 N/A 36200E3X7 28570.13000000 NS USD 32495.89000000 0.000555744605 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 5.00000000 N N N N N N TPMT 2019-HY2 B1 V/R 05/25/58 N/A 89177HAE2 2000000.00000000 NS USD 2061841.00000000 0.035261598091 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 2.34150000 N N N N N N BOSTON GAS COMP 3.15% 08/01/27 N/A 100743AK9 3060000.00000000 NS USD 3282256.52000000 0.056133140354 Long DBT CORP US Y 2 2027-08-01 Fixed 3.15000000 N N N N N N ING GROEP NV V/R /PERP/ N/A 456837AR4 1300000.00000000 NS USD 1439880.00000000 0.024624823087 Long DBT CORP NL N 2 2168-11-16 Variable 5.75000000 N N N N N N UMBS P#BD9327 3.5% 10/01/46 N/A 3140FHLH8 252585.61000000 NS USD 272056.82000000 0.004652714852 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.50000000 N N N N N N UMBS P#AB1149 5% 06/01/40 N/A 31416WH39 274076.96000000 NS USD 314548.35000000 0.005379404860 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N BRITISH AIR 20- 4.25% 11/15/32 N/A 11044MAA4 1635802.42000000 NS USD 1761856.86000000 0.030131270302 Long DBT CORP GB Y 2 2032-11-15 Fixed 4.25000000 N N N N N N GNMA P#733913 4.5% 09/15/40 N/A 3620AMK27 76744.17000000 NS USD 86097.04000000 0.001472431298 Long ABS-MBS USGSE US N 2 2040-09-15 Fixed 4.50000000 N N N N N N UNICREDIT SPA V/R 04/02/34 549300TRUWO2CD2G5692 904678AQ2 8153000.00000000 NS USD 9802514.96000000 0.167642579037 Long DBT CORP IT Y 2 2034-04-02 Variable 7.29600000 N N N N N N GNMA P#722024 3.5% 01/15/44 N/A 3620A8D59 594420.70000000 NS USD 659757.46000000 0.011283169940 Long ABS-MBS USGSE US N 2 2044-01-15 Fixed 3.50000000 N N N N N N HNGRY 2018-1A 4.959% 06/20/25 N/A 411707AD4 4215787.50000000 NS USD 4470758.33000000 0.076458894452 Long ABS-CBDO CORP US Y 2 2048-06-20 Fixed 4.95900000 N N N N N N OBX 2021-J1 A19 V/R 05/25/51 N/A 67113XAU4 10887911.54000000 NS USD 10963451.87000000 0.187496918304 Long ABS-CBDO CORP US Y 2 2051-05-25 Variable 2.50000000 N N N N N N GNMA P#503597 7% 04/15/29 N/A 36210VNN7 16079.37000000 NS USD 17492.28000000 0.000299152915 Long ABS-MBS USGSE US N 2 2029-04-15 Fixed 7.00000000 N N N N N N GNMA P#529793 7% 01/15/31 N/A 36212CRN3 34303.63000000 NS USD 34721.59000000 0.000593808519 Long ABS-MBS USGSE US N 2 2031-01-15 Fixed 7.00000000 N N N N N N BERWICK RE 0.00% 12/31/23 N/A N/A 3000000.00000000 NS USD 300.00000000 0.000005130599 Long DBT CORP BM N 3 2023-12-31 Fixed 0.00000000 N N N N N N ILPT 2019-SUR 4.145% 02/11/29 N/A 44965LAA2 8951000.00000000 NS USD 10267378.82000000 0.175592679262 Long ABS-CBDO CORP US Y 2 2041-02-11 Fixed 4.14500000 N N N N N N RCKT 2021-1 B2A V/R 03/25/43 N/A 749350BK9 5373685.11000000 NS USD 5416544.01000000 0.092633718082 Long ABS-CBDO CORP US Y 2 2051-03-25 Variable 2.72791200 N N N N N N GNMA P#577734 6% 10/15/32 N/A 36201AY77 15730.80000000 NS USD 17817.52000000 0.000304715169 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 6.00000000 N N N N N N UNITED WHOLESALE 5.5% 04/15/29 549300HW662MN1WU8550 913229AA8 3460000.00000000 NS USD 3459204.20000000 0.059159299003 Long DBT CORP US Y 2 2029-04-15 Fixed 5.50000000 N N N N N N BATLN 2020-15A D V/R 01/17/33 N/A 07131AAG9 8750000.00000000 NS USD 8771735.00000000 0.150014183505 Long ABS-CBDO CORP KY Y 2 2033-01-17 Variable 3.43975000 N N N N N N UMBS P#934262 6% 06/01/38 N/A 31412TMK6 93973.07000000 NS USD 110961.38000000 0.001897661160 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 6.00000000 N N N N N N GNMA P#612926 5.5% 07/15/33 N/A 36202X4K0 29340.12000000 NS USD 34042.49000000 0.000582194553 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 5.50000000 N N N N N N UNITI GRP/UNIT 7.875% 02/15/25 N/A 91327AAA0 7124000.00000000 NS USD 7613775.00000000 0.130210755343 Long DBT CORP US Y 2 2025-02-15 Fixed 7.87500000 N N N N N N GNMA II P#2957 7.5% 08/20/30 N/A 36202DJA0 5208.59000000 NS USD 6253.30000000 0.000106943916 Long ABS-MBS USGSE US N 2 2030-08-20 Fixed 7.50000000 N N N N N N UMBS P#AB1617 4% 10/01/40 N/A 31416WYP1 3796934.39000000 NS USD 4234015.91000000 0.072410126353 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.00000000 N N N N N N SBAP 2008-20L I 6.22% 12/1/28 N/A 83162CSE4 74182.37000000 NS USD 83171.72000000 0.001422402485 Long ABS-CBDO CORP US N 2 2028-12-01 Fixed 6.22000000 N N N N N N ALEXANDRIA REAL 4.3% 01/15/26 MGCJBT4MKTQBVLNUIS88 015271AH2 2555000.00000000 NS USD 2864619.50000000 0.048990713393 Long DBT CORP US N 2 2026-01-15 Fixed 4.30000000 N N N N N N PHOENIX ONE RE ZCP 01/04/27 254900OK0APRPP1W0Z09 N/A 1250000.00000000 NS USD 1271625.00000000 0.021747326623 Long DBT CORP SG N 3 2027-01-04 Fixed 0.00000000 N N N N N N MARRIOTT INTERN 5.75% 05/01/25 225YDZ14ZO8E1TXUSU86 571903BD4 1325000.00000000 NS USD 1529950.15000000 0.026165202500 Long DBT CORP US N 2 2025-05-01 Fixed 5.75000000 N N N N N N GNMA II P#AR0817 3.5% 03/20/46 N/A 36192S4A5 897859.89000000 NS USD 972730.53000000 0.016635634367 Long ABS-MBS USGSE US N 2 2046-03-20 Fixed 3.50000000 N N N N N N FREMF 2021-KG05 0.1% 01/25/31 N/A 30318WAL7 9000000.00000000 NS USD 63999.90000000 0.001094526082 Long ABS-CBDO CORP US Y 2 2031-01-25 Fixed 0.10000000 N N N N N N FGLMC P#G04942 6% 07/01/38 N/A 3128M6ZF8 40892.85000000 NS USD 47079.47000000 0.000805152943 Long ABS-MBS USGA US N 2 2038-07-01 Fixed 6.00000000 N N N N N N MCMLT 2017-3 B2 V/R 01/25/61 N/A 59980CAJ2 3203702.96000000 NS USD 3289957.54000000 0.056264843173 Long ABS-CBDO CORP US Y 2 2061-01-25 Variable 3.25000000 N N N N N N AES CORP/THE 3.95% 07/15/30 2NUNNB7D43COUIRE5295 00130HCC7 3220000.00000000 NS USD 3521070.00000000 0.060217327714 Long DBT CORP US Y 2 2030-07-15 Fixed 3.95000000 N N N N N N ARTEX SAC FORM 0.0% 02/28/2022 N/A N/A 1500000.00000000 NS USD 208790.07000000 0.003570727099 Long DBT CORP BM N 3 2022-02-28 Fixed 0.00000000 N N N N N N FGLMC P#A50243 6% 07/01/36 N/A 3128KCHU4 28634.03000000 NS USD 32192.38000000 0.000550553978 Long ABS-MBS USGA US N 2 2036-07-01 Fixed 6.00000000 N N N N N N GNMA P#AM4159 4% 04/15/45 N/A 36184QTQ7 1125808.44000000 NS USD 1234251.19000000 0.021108159846 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 4.00000000 N N N N N N LHIPO 2014-1A A1 V/R 11/24/42 N/A 50346EAA5 2197431.99000000 NS USD 2326531.12000000 0.039788327664 Long ABS-CBDO CORP PA Y 2 2042-11-24 Variable 3.50800000 N N N N N N EDEN RE II LTD ZCP 03/22/23 549300LKX8PCP3SC3F42 27954TAB1 59061.00000000 NS USD 311229.34000000 0.005322643162 Long DBT CORP BM Y 3 2023-03-22 Fixed 0.00000000 N N N N N N GSMBS 2021-PJ1 A V/R 06/25/51 N/A 36261MAD1 4425908.22000000 NS USD 4471663.26000000 0.076474370562 Long ABS-CBDO CORP US Y 2 2051-06-25 Variable 2.50000000 N N N N N N AMERICAN AIRLIN 5.75% 04/20/29 N/A 00253XAB7 1410000.00000000 NS USD 1522221.90000000 0.026033033994 Long DBT CORP US Y 2 2029-04-20 Fixed 5.75000000 N N N N N N GNMA P#781485 6% 08/15/32 N/A 36225BUJ5 2776.03000000 NS USD 3301.94000000 0.000056469767 Long ABS-MBS USGSE US N 2 2032-08-15 Fixed 6.00000000 N N N N N N UMBS P#AK1083 4% 01/01/42 N/A 3138E5FZ6 147817.33000000 NS USD 161011.83000000 0.002753623794 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N UMBS P#BC9562 4% 11/01/46 N/A 3140F5TU7 785630.96000000 NS USD 846835.01000000 0.014482569593 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 4.00000000 N N N N N N GNMA P#551606 6.5% 08/15/31 N/A 36213DYB8 21807.52000000 NS USD 24492.99000000 0.000418879035 Long ABS-MBS USGSE US N 2 2031-08-15 Fixed 6.50000000 N N N N N N T/L ENDO LUXEMBO 0% 04/29/2024 N/A L2968EAB8 0.02000000 NS USD 0.02000000 0.000000000342 Long LON CORP LU N 2 2024-04-29 Floating 0.00000000 N N N N N N STACR 2021-DNA1 V/R 01/25/51 N/A 35564KBD0 5300000.00000000 NS USD 5250671.31000000 0.089796963705 Long ABS-CBDO CORP US Y 2 2051-01-25 Variable 2.66800000 N N N N N N UMBS P#MA4079 3% 07/01/50 N/A 31418DQ96 2627077.73000000 NS USD 2738162.16000000 0.046828040375 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.00000000 N N N N N N GNMA P#604674 5.5% 10/15/33 N/A 36200MXB4 25390.62000000 NS USD 28484.22000000 0.000487137038 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 5.50000000 N N N N N N FCITL 2019-1A 3.63% 07/15/22 N/A 30259MAA4 563847.52000000 NS USD 570776.47000000 0.009761417337 Long ABS-CBDO CORP US Y 2 2031-02-18 Fixed 3.63000000 N N N N N N UMBS P#AS5297 2.5% 07/01/30 N/A 3138WE3F4 635690.06000000 NS USD 669191.99000000 0.011444519241 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N HERBIE RE LTD V/R 01/08/25 N/A 42703VAC7 500000.00000000 NS USD 523950.00000000 0.008960591199 Long DBT CORP BM Y 2 2025-01-08 Variable 9.04056000 N N N N N N GNMA II P#3026 7% 01/20/31 N/A 36202DLF6 4795.44000000 NS USD 5639.82000000 0.000096452183 Long ABS-MBS USGSE US N 2 2031-01-20 Fixed 7.00000000 N N N N N N UMBS P#AB2639 4.5% 05/01/41 N/A 31416X4Z0 1664441.93000000 NS USD 1858183.94000000 0.031778655712 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N EXTNT 2019-1A 5.219% 07/25/24 N/A 30227XAC5 4000000.00000000 NS USD 4160294.80000000 0.071149348169 Long ABS-CBDO CORP US Y 2 2049-07-26 Fixed 5.21900000 N N N N N N T/L FITNESS INTERN 0% 04/18/25 N/A N/A 190786.64000000 NS USD 182916.69000000 0.003128240638 Long LON CORP US N 2 2025-04-18 Floating 4.25000000 N N N N N N PLANTRONICS INC 4.75% 03/01/29 5493006O3W5M472F6668 727493AC2 3700000.00000000 NS USD 3673101.00000000 0.062817361382 Long DBT CORP US Y 2 2029-03-01 Fixed 4.75000000 N N N N N N VENDE 2008-1 GD 5.25% 1/15/32_ N/A 92261UAA2 39501.72000000 NS USD 40080.65000000 0.000685459146 Long ABS-CBDO CORP US N 2 2032-01-15 Fixed 5.25000000 N N N N N N FGLMC P#G06807 4% 11/01/41 N/A 3128M83Q5 5524345.16000000 NS USD 6162098.66000000 0.105384191287 Long ABS-MBS USGA US N 2 2041-11-01 Fixed 4.00000000 N N N N N N BMIR 2020-3A M1C V/R 10/25/30 N/A 07877KAE0 6170000.00000000 NS USD 6446483.87000000 0.110247746226 Long ABS-CBDO CORP US Y 2 2030-10-25 Variable 3.79150000 N N N N N N FREMF 2019-K88 C V/R 04/25/29 N/A 302971AT3 5000000.00000000 NS USD 5539304.00000000 0.094733159033 Long ABS-CBDO CORP US Y 2 2052-02-25 Variable 4.52554600 N N N N N N UMBS P#962243 5% 03/01/23 N/A 31414CP44 15171.81000000 NS USD 15800.88000000 0.000270226598 Long ABS-MBS USGSE US N 2 2023-03-01 Fixed 5.00000000 N N N N N N GNMA P#617250 6% 10/15/36 N/A 36290TWK1 48349.20000000 NS USD 56487.59000000 0.000966050580 Long ABS-MBS USGSE US N 2 2036-10-15 Fixed 6.00000000 N N N N N N GENERAL MOTORS C 6.6% 04/01/36 54930070NSV60J38I987 37045VAK6 7044000.00000000 NS USD 9681361.02000000 0.165570604748 Long DBT CORP US N 2 2036-04-01 Fixed 6.60000000 N N N N N N ANGLO AMERICAN 2.25% 03/17/28 N/A 034863AZ3 6420000.00000000 NS USD 6496610.89000000 0.111105018359 Long DBT CORP GB Y 2 2028-03-17 Fixed 2.25000000 N N N N N N BALLYBUNION RE 0% 2/28/22 N/A N/A 8000000.00000000 PA USD 8360444.72000000 0.142980298472 Long DBT CORP BM N 3 2022-02-28 Fixed 0.00000000 N N N N N N GNMA II P#3149 6% 10/20/31 N/A 36202DQA2 8695.08000000 NS USD 9852.92000000 0.000168504605 Long ABS-MBS USGSE US N 2 2031-10-20 Fixed 6.00000000 N N N N N N FWD 2019-INV1 M1 V/R 06/25/49 N/A 302980AD9 2150000.00000000 NS USD 2187111.58000000 0.037403975144 Long ABS-CBDO CORP US Y 2 2049-06-25 Variable 3.48000000 N N N N N N BROADCOM INC 5% 04/15/30 549300WV6GIDOZJTV909 11135FBD2 15388000.00000000 NS USD 18188545.83000000 0.311060451763 Long DBT CORP US N 2 2030-04-15 Fixed 5.00000000 N N N N N N UMBS P#AS4728 3.5% 04/01/45 N/A 3138WEHE2 832827.93000000 NS USD 899955.96000000 0.015391043907 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 3.50000000 N N N N N N FNMA P#614995 7% 12/1/31__ N/A 31388UGC8 12525.68000000 NS USD 12914.21000000 0.000220858777 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 7.00000000 N N N N N N UMBS P#FM1526 3% 09/01/49 N/A 3140X4VU7 14500.32000000 NS USD 15153.76000000 0.000259159554 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N CMHAT 2019-MH1 A V/R 10/25/24 N/A 14732FAA0 7716561.76000000 NS USD 8073161.06000000 0.138067174250 Long ABS-CBDO CORP US Y 2 2044-11-25 Variable 4.00000000 N N N N N N SBAP 2009-20I 1 4.2% 09/01/29 N/A 83162CSU8 81918.72000000 NS USD 89002.21000000 0.001522115506 Long ABS-CBDO CORP US N 2 2029-09-01 Fixed 4.20000000 N N N N N N PBF HOLDING CO 9.25% 05/15/25 N/A 69318FAK4 1745000.00000000 NS USD 1757895.55000000 0.030063523991 Long DBT CORP US Y 2 2025-05-15 Fixed 9.25000000 N N N N N N FORD MOTOR CRE 5.584% 03/18/24 N/A 345397ZQ9 6885000.00000000 NS USD 7540452.00000000 0.128956785635 Long DBT CORP US N 2 2024-03-18 Fixed 5.58400000 N N N N N N SEMT 2021-3 B1 V/R 12/31/21 N/A 81748VCD8 4734784.24000000 NS USD 4670333.41000000 0.079872026822 Long ABS-CBDO CORP US N 2 2021-12-31 Variable 2.66372900 N N N N N N UMBS P#AB5267 4% 05/01/42 N/A 31417BZ91 1686247.12000000 NS USD 1837212.88000000 0.031420008712 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.00000000 N N N N N N UMBS P#BC1214 4% 07/01/46 N/A 3140EVK48 3099720.39000000 NS USD 3351597.90000000 0.057319016409 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4.00000000 N N N N N N NEXTERA ENERGY 3.55% 05/01/27 N/A 65339KAT7 10270000.00000000 NS USD 11339410.79000000 0.193926566534 Long DBT CORP US N 2 2027-05-01 Fixed 3.55000000 N N N N N N UMBS P#321318 5.9% 11/01/27 N/A 31374Q4B8 10666.74000000 NS USD 10711.89000000 0.000183194708 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 5.90000000 N N N N N N NATIONSTAR MTG HLD 6% 01/15/27 N/A 63861CAA7 700000.00000000 NS USD 725396.00000000 0.012405720038 Long DBT CORP US Y 2 2027-01-15 Fixed 6.00000000 N N N N N N VITALITY RE XI LT V/R 01/09/24 N/A 92851AAB0 1000000.00000000 NS USD 975000.00000000 0.016674446836 Long DBT CORP KY Y 2 2024-01-09 Variable 1.81267400 N N N N N N GNMA P#621696 4.5% 09/15/33 N/A 36290YUV8 84886.03000000 NS USD 95408.11000000 0.001631669187 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 4.50000000 N N N N N N UMBS P#AS3608 2.5% 12/01/43 N/A 3138WDAJ0 74599.92000000 NS USD 77387.93000000 0.001323488127 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 2.50000000 N N N N N N OPTN 2021-A C 3.44% 03/08/23 N/A 68377BAC1 2700000.00000000 NS USD 2695611.69000000 0.046100342375 Long ABS-CBDO CORP US Y 2 2028-03-08 Fixed 3.44000000 N N N N N N LUNDIN ENERGY FI 3.1% 07/15/31 N/A 55037AAB4 20680000.00000000 NS USD 20913341.33000000 0.357659895562 Long DBT CORP NL Y 2 2031-07-15 Fixed 3.10000000 N N N N N N T-MOBILE USA I 3.375% 04/15/29 N/A 87264ACD5 5605000.00000000 NS USD 5784324.13000000 0.098923492501 Long DBT CORP US Y 2 2029-04-15 Fixed 3.37500000 N N N N N N PANGAEA RE 0% 7/1/23 N/A N/A 4779537.00000000 NS USD 171924.30000000 0.002940248820 Long DBT CORP BM N 3 2023-07-01 Fixed 0.00000000 N N N N N N SBAP 2009-20A 5.72% 01/01/29 N/A 83162CSG9 32037.17000000 NS USD 35515.87000000 0.000607392293 Long ABS-CBDO CORP US N 2 2029-01-01 Fixed 5.72000000 N N N N N N FGLMC P#C01210 6.5% 08/01/31 N/A 31292HKX1 294.83000000 NS USD 336.63000000 0.000005757045 Long ABS-MBS USGA US N 2 2031-08-01 Fixed 6.50000000 N N N N N N CIM 2019-R5 M3 V/R 09/25/59 N/A 12558RAJ0 7514000.00000000 NS USD 7908185.19000000 0.135245757457 Long ABS-CBDO CORP US Y 2 2059-09-25 Variable 3.50000000 N N N N N N ESSEX PORTFOLI 3.625% 05/01/27 N/A 29717PAR8 1480000.00000000 NS USD 1634627.45000000 0.027955393345 Long DBT CORP US N 2 2027-05-01 Fixed 3.62500000 N N N N N N UMBS P#CA4195 5% 09/01/49 N/A 3140QBUV8 4646406.54000000 NS USD 5333170.75000000 0.091207868860 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 5.00000000 N N N N N N CMHAT 2021-MH 2.992% 02/25/46 N/A 14731QAC3 4113000.00000000 NS USD 4232051.20000000 0.072376525889 Long ABS-CBDO CORP US Y 2 2046-02-25 Fixed 2.99200000 N N N N N N ONEMAIN FINANCE 3.5% 01/15/27 N/A 682691AB6 4380000.00000000 NS USD 4412850.00000000 0.075468546380 Long DBT CORP US N 2 2027-01-15 Fixed 3.50000000 N N N N N N TEVA PHARMACEU 7.125% 01/31/25 N/A 88167AAN1 5175000.00000000 NS USD 5705437.50000000 0.097574373611 Long DBT CORP NL N 2 2025-01-31 Fixed 7.12500000 N N N N N N TPMT 2018-3 M1 V/R 05/25/58 N/A 89175MAE3 10996835.00000000 NS USD 11715671.71000000 0.200361379567 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 3.87500000 N N N N N N MORGN 2018-3A E V/R 10/20/31 N/A 04624XAA3 3000000.00000000 NS USD 2887842.00000000 0.049387864513 Long ABS-CBDO CORP KY Y 2 2031-10-20 Variable 6.33825000 N N N N N N PSTAT 2020-1A D V/R 02/20/28 N/A 69701DAA6 4000000.00000000 NS USD 3896412.00000000 0.066636425380 Long ABS-CBDO CORP KY Y 2 2028-02-20 Variable 5.00525000 N N N N N N MOTOROLA SOLUTIO 2.3% 11/15/30 6S552MUG6KGJVEBSEC55 620076BT5 10275000.00000000 NS USD 10101808.92000000 0.172761103369 Long DBT CORP US N 2 2030-11-15 Fixed 2.30000000 N N N N N N FNMA P#259573 6.5% 10/1/32 N/A 31371RJS6 57247.39000000 NS USD 64150.24000000 0.001097097196 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 6.50000000 N N N N N N GNMA P#498380 6.5% 02/15/29 N/A 36210PUD4 742.37000000 NS USD 827.92000000 0.000014159085 Long ABS-MBS USGSE US N 2 2029-02-15 Fixed 6.50000000 N N N N N N GNMA P#770525 4.5% 08/15/41 N/A 36176MYW7 153452.92000000 NS USD 173314.12000000 0.002964017517 Long ABS-MBS USGSE US N 2 2041-08-15 Fixed 4.50000000 N N N N N N GNMA II P#2604 7% 06/20/28 N/A 36202C3M3 8809.02000000 NS USD 10013.59000000 0.000171252383 Long ABS-MBS USGSE US N 2 2028-06-20 Fixed 7.00000000 N N N N N N NATIONWIDE MUTU 4.35% 04/30/50 Z7LVXXWM8HZPKF5T2355 638671AN7 15460000.00000000 NS USD 17337956.66000000 0.296513678538 Long DBT CORP US Y 2 2050-04-30 Fixed 4.35000000 N N N N N N UDR INC 4.4% 01/26/29 P3CH2EG5X6Z1XWU1OO74 90265EAP5 5300000.00000000 NS USD 6141205.08000000 0.105026869350 Long DBT CORP US N 2 2029-01-26 Fixed 4.40000000 N N N N N N MSC 2018-MP A V/R 07/11/28 N/A 61691DAA5 6900000.00000000 NS USD 7800644.58000000 0.133406598294 Long ABS-CBDO CORP US Y 2 2040-07-11 Variable 4.41853300 N N N N N N HARAMBEE RE 2019 0.0% 12/31/22 N/A N/A 5000000.00000000 NS USD 25500.00000000 0.000436100917 Long DBT CORP BM N 3 2022-12-31 Fixed 0.00000000 N N N N N N GNMA P#615898 5.5% 08/15/33 N/A 36290SGF2 14730.68000000 NS USD 17089.57000000 0.000292265770 Long ABS-MBS USGSE US N 2 2033-08-15 Fixed 5.50000000 N N N N N N T/L TEAM HEALTH 0% 02/06/24 N/A N/A 1053250.00000000 NS USD 1025037.65000000 0.017530190564 Long LON CORP US N 2 2024-02-06 Floating 3.75000000 N N N N N N OLIN CORP 5% 02/01/30 549300GKK294V7W57P06 680665AK2 10491000.00000000 NS USD 11186028.75000000 0.191303427384 Long DBT CORP US N 2 2030-02-01 Fixed 5.00000000 N N N N N N PCT 2016-PLSD 2.712% 04/13/21 N/A 69640GAA3 3780000.00000000 NS USD 3525998.74000000 0.060301619009 Long ABS-CBDO CORP US Y 2 2033-04-13 Fixed 2.71298000 N N N N N N UMBS P#890516 5% 02/01/39 N/A 31410LK50 355554.93000000 NS USD 406428.51000000 0.006950739059 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.00000000 N N N N N N EDWARDS LIFESCIE 4.3% 06/15/28 YA13X31F3V31L8TMPR58 28176EAD0 6810000.00000000 NS USD 7902477.57000000 0.135148145758 Long DBT CORP US N 2 2028-06-15 Fixed 4.30000000 N N N N N N UMBS P#ZM3146 4% 05/01/47 N/A 3131XWP72 2615471.03000000 NS USD 2806475.30000000 0.047996331473 Long ABS-MBS USGA US N 2 2047-05-01 Fixed 4.00000000 N N N N N N UMBS P#AQ7316 2.5% 01/01/43 N/A 3138MPDW2 131721.83000000 NS USD 137668.50000000 0.002354406240 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 2.50000000 N N N N N N T-MOBILE USA IN 2.55% 02/15/31 N/A 87264ACB9 4600000.00000000 NS USD 4647702.00000000 0.079484984522 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N GNMA P#781035 6.5% 05/15/29 N/A 36225BEG9 24980.37000000 NS USD 28590.55000000 0.000488955493 Long ABS-MBS USGSE US N 2 2029-05-15 Fixed 6.50000000 N N N N N N ONGLT 2019-A D 4.93% 04/09/38 N/A 68504UAD3 3716805.29000000 NS USD 3837608.52000000 0.065630768456 Long ABS-CBDO CORP US Y 2 2038-04-09 Fixed 4.93000000 N N N N N N RESORTS WORLD/ 4.625% 04/16/29 N/A 76120HAA5 600000.00000000 NS USD 622372.63000000 0.010643814698 Long DBT CORP US Y 2 2029-04-16 Fixed 4.62500000 N N N N N N JPMMT 2021-7 B1 V/R 11/25/51 N/A 46592NBW5 7535885.24000000 NS USD 7694948.94000000 0.131598991801 Long ABS-CBDO CORP US Y 2 2051-11-25 Variable 2.82041000 N N N N N N FSIT 2020-AA C 5.4% 08/20/23 N/A 303394AC4 6000000.00000000 NS USD 6088241.40000000 0.104121084666 Long ABS-CBDO CORP US Y 2 2024-09-20 Fixed 5.40000000 N N N N N N HSBC BANK PLC 7.65% 05/01/25 N/A 597433AC5 1305000.00000000 NS USD 1577412.98000000 0.026976911665 Long DBT CORP GB N 2 2025-05-01 Fixed 7.65000000 N N N N N N GNMA P#AL5247 3.5% 01/15/45 N/A 36184BZL4 2986019.30000000 NS USD 3184778.75000000 0.054466075847 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.50000000 N N N N N N UMBS P#BN9610 3.5% 04/01/49 N/A 3140JSVC0 65067.72000000 NS USD 67289.90000000 0.001150791651 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 3.50000000 N N N N N N UMBS P#BN5999 3.5% 02/01/49 N/A 3140JNUZ1 70520.58000000 NS USD 74071.83000000 0.001266776196 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 3.50000000 N N N N N N GNMA P#547671 7.5% 02/15/31 N/A 36212YMU4 12782.53000000 NS USD 13232.98000000 0.000226310381 Long ABS-MBS USGSE US N 2 2031-02-15 Fixed 7.50000000 N N N N N N ARTEX SAC LIMITED V/R 01/31/22 N/A N/A 567400.00000000 NS USD 14019.08000000 0.000239754260 Long DBT CORP BM N 3 2022-01-31 Variable 0.00000000 N N N N N N T/L USI HOLDINGS 0% 05/16/2024 N/A 90351NAE5 818125.00000000 NS USD 811696.99000000 0.013881639289 Long LON CORP US N 2 2024-05-16 Floating 3.14725000 N N N N N N GNMA P#623596 4.5% 10/15/33 N/A 36291BXZ5 74639.55000000 NS USD 82807.38000000 0.001416171544 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 4.50000000 N N N N N N GNMA P#595793 5.5% 07/15/35 N/A 36200A3A5 182314.05000000 NS USD 212883.61000000 0.003640734807 Long ABS-MBS USGSE US N 2 2035-07-15 Fixed 5.50000000 N N N N N N UMBS P#959451 6% 12/01/37 N/A 31413YL82 9632.90000000 NS USD 11388.43000000 0.000194764892 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6.00000000 N N N N N N CSAIL 2016-C6 D V/R 05/15/26 N/A 12636MAV0 2000000.00000000 NS USD 1778369.00000000 0.030413660867 Long ABS-CBDO CORP US Y 2 2049-01-15 Variable 5.10011600 N N N N N N GNMA P#784078 4% 06/15/45 N/A 3622A2Q70 1880651.41000000 NS USD 2074743.78000000 0.035482261393 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 4.00000000 N N N N N N US TIPS 1% 02/15/48 N/A 912810SB5 34354740.08000000 NS USD 45878787.19000000 0.784618869647 Long DBT UST US N 2 2048-02-15 Fixed 1.00000000 N N N N N N UMBS P#AQ3279 3.5% 11/01/42 N/A 3138MJUD9 138839.40000000 NS USD 151423.89000000 0.002589650875 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.50000000 N N N N N N T/L LEVEL 3 0% 03/01/27 N/A 52729KAP1 809586.81000000 NS USD 798960.98000000 0.013663828087 Long LON CORP US N 2 2027-03-01 Floating 1.85425000 N N N N N N JPMMT 2020-LTV1 V/R 06/01/42 N/A 46591NBR7 14468523.49000000 NS USD 15103584.60000000 0.258301454818 Long ABS-CBDO CORP US Y 2 2050-06-25 Variable 3.37967600 N N N N N N F/C US 2YR NOTE (CBT) SEP21 N/A N/A 1062.00000000 NC USD 233980171.34000000 4.001528130997 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Long F/C US 2YR NOTE (CBT) SEP21 US 2YR NOTE (CBT) SEP21 2021-09-30 234341742.19000000 USD -361570.85000000 N N N WRG 2017-1 A 4.458% 10/15/22 N/A 92940VAA9 225712.92000000 NS USD 225748.13000000 0.003860743786 Long ABS-CBDO CORP US Y 2 2026-03-15 Fixed 4.45800000 N N N N N N MEG ENERGY COR 7.125% 02/01/27 5493002WXPTG5ZC1T326 552704AE8 5000000.00000000 NS USD 5326625.00000000 0.091095923465 Long DBT CORP CA Y 2 2027-02-01 Fixed 7.12500000 N N N N N N GNMA P#619118 6% 10/15/34 N/A 36290VYP3 38454.50000000 NS USD 43379.30000000 0.000741872647 Long ABS-MBS USGSE US N 2 2034-10-15 Fixed 6.00000000 N N N N N N UMBS P#BO1046 3% 09/01/49 N/A 3140JVEU2 1177263.62000000 NS USD 1230902.40000000 0.021050888850 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N T/L ALLIANCE HEAL 0% 10/24/23 N/A N/A 548913.08000000 NS USD 546854.66000000 0.009352306620 Long LON CORP US N 2 2023-10-24 Floating 5.50000000 N N N N N N EMIR 2020-2 M2 V/R 10/25/30 N/A 269820AD8 7280000.00000000 NS USD 7459994.36000000 0.127580799337 Long ABS-CBDO CORP US Y 2 2030-10-25 Variable 5.69150000 N N N N N N PROG 2018-SFR 4.873% 10/17/23 N/A 74331MAE6 5810000.00000000 NS USD 5877670.81000000 0.100519907119 Long ABS-CBDO CORP US Y 2 2035-10-17 Fixed 4.87300000 N N N N N N GNMA P#564927 6.5% 10/15/31 N/A 36213USQ4 3526.64000000 NS USD 3933.05000000 0.000067263008 Long ABS-MBS USGSE US N 2 2031-10-15 Fixed 6.50000000 N N N N N N WFCM 2015-NXS 3.617% 09/15/25 N/A 94989VAD1 3810000.00000000 NS USD 4171311.06000000 0.071337748212 Long ABS-CBDO CORP US N 2 2057-09-15 Fixed 3.61700000 N N N N N N ERAC USA FINANCE 3.3% 12/01/26 N/A 26884TAR3 3950000.00000000 NS USD 4307198.50000000 0.073661694770 Long DBT CORP US Y 2 2026-12-01 Fixed 3.30000000 N N N N N N T/L STONEPEAK LON 0% 10/19/26 N/A 86184NAC0 0.01000000 NS USD 0.01000000 0.000000000171 Long LON CORP US N 2 2026-10-19 Fixed 0.00000000 N N N N N N FWD 2020-INV1 M1 V/R 02/25/25 N/A 302985AD8 1800000.00000000 NS USD 1816269.12000000 0.031061828596 Long ABS-CBDO CORP US Y 2 2050-01-25 Variable 2.85000000 N N N N N N PFMT 2021-1 B1 V/R 04/25/51 N/A 74387YAL7 3568022.91000000 NS USD 3510483.55000000 0.060036278280 Long ABS-CBDO CORP US Y 2 2051-04-25 Variable 2.38915000 N N N N N N GNR 2005-61 UZ 5.25% 08/16/35 N/A 38374LR94 447436.46000000 NS USD 462572.52000000 0.007910913736 Long ABS-MBS USGSE US N 2 2035-08-16 Fixed 5.25000000 N N N N N N PFMT 2020-1 B1 V/R 11/25/36 N/A 743874AW9 4311521.27000000 NS USD 4462661.22000000 0.076320417703 Long ABS-CBDO CORP US Y 2 2050-02-25 Variable 3.28684000 N N N N N N GNMA P#544003 7% 03/15/31 N/A 36212UKQ3 4248.65000000 NS USD 4364.34000000 0.000074638928 Long ABS-MBS USGSE US N 2 2031-03-15 Fixed 7.00000000 N N N N N N GNMA P#AJ8913 4% 01/15/45 N/A 36183E3W0 244760.89000000 NS USD 271512.01000000 0.004643397513 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 4.00000000 N N N N N N UMBS P#BD2425 3.5% 01/01/47 N/A 3140F9VT9 5291334.36000000 NS USD 5692164.74000000 0.097347382912 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N BALLYBUNION 2020-3 0% 7/31/24 N/A N/A 2250000.00000000 NS USD 2326596.71000000 0.039789449384 Long DBT CORP BM N 3 2024-07-31 Fixed 0.00000000 N N N N N N FNMA P#579858 6.5% 4/1/31_ N/A 31387CE72 329.24000000 NS USD 368.94000000 0.000006309610 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 6.50000000 N N N N N N ATLAS LUXCO 4 4.625% 06/01/28 N/A 019579AA9 2115000.00000000 NS USD 2116656.47000000 0.036199052081 Long DBT CORP LU Y 2 2028-06-01 Fixed 4.62500000 N N N N N N UMBS P#AE7731 4.5% 11/01/40 N/A 31419JSV1 737619.00000000 NS USD 820362.42000000 0.014029835444 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.50000000 N N N N N N SMITHFIELD FOOD 2.65% 10/03/21 N/A 832248BA5 2500000.00000000 NS USD 2512162.50000000 0.042962994923 Long DBT CORP US Y 2 2021-10-03 Fixed 2.65000000 N N N N N N EMIR 2019-1 M1B V/R 04/25/29 N/A 269822AB8 6677368.80000000 NS USD 6699402.78000000 0.114573164604 Long ABS-CBDO CORP US Y 2 2029-04-25 Variable 1.89150000 N N N N N N FCITL 2019-1A B 0% 07/15/22 N/A 30259MAB2 693966.18000000 NS USD 699166.55000000 0.011957144069 Long ABS-CBDO CORP US Y 2 2031-02-18 Fixed 4.03000000 N N N N N N GNMA P#604471 5.5% 07/15/33 N/A 36200MQY2 27326.65000000 NS USD 31836.74000000 0.000544471824 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 5.50000000 N N N N N N GNMA P#AL2255 4% 03/15/45 N/A 36183XQG8 27502.81000000 NS USD 29494.45000000 0.000504413988 Long ABS-MBS USGSE US N 2 2045-03-15 Fixed 4.00000000 N N N N N N STACR 2020-HQA5 V/R 11/25/50 N/A 35565TBE8 5000000.00000000 NS USD 5839955.50000000 0.099874900010 Long ABS-CBDO CORP US Y 2 2050-11-25 Variable 7.41800000 N N N N N N HENDR 2010-3A A 3.82% 12/15/48 N/A 46616MAA8 230782.99000000 NS USD 243011.83000000 0.004155987528 Long ABS-CBDO CORP US Y 2 2048-12-15 Fixed 3.82000000 N N N N N N REPS 2019-A A 3.43% 02/20/23 N/A 76041QAA1 8000000.00000000 NS USD 8085172.00000000 0.138272585307 Long ABS-CBDO CORP US Y 2 2027-11-22 Fixed 3.43000000 N N N N N N HYUNDAI CAPITAL SE 3% 08/29/22 N/A 44920UAK4 12300000.00000000 NS USD 12612359.85000000 0.215696537227 Long DBT CORP KR Y 2 2022-08-29 Fixed 3.00000000 N N N N N N PANGAEA RE 2020-1 0% 02/01/24 N/A N/A 3974837.00000000 NS USD 84353.83000000 0.001442618926 Long DBT CORP BM N 3 2024-02-01 Fixed 0.00000000 N N N N N N GNMA P#502779 7.5% 09/15/29 N/A 36210UQ89 10235.35000000 NS USD 10279.16000000 0.000175794160 Long ABS-MBS USGSE US N 2 2029-09-15 Fixed 7.50000000 N N N N N N GNMA P#AE8233 4% 03/15/44 N/A 36181CEE4 39725.20000000 NS USD 43038.83000000 0.000736049931 Long ABS-MBS USGSE US N 2 2044-03-15 Fixed 4.00000000 N N N N N N SEMT 2021-2 B2 V/R 04/25/51 N/A 81747YCD3 3636898.74000000 NS USD 3613697.51000000 0.061801443089 Long ABS-CBDO CORP US Y 2 2051-04-25 Variable 2.55768000 N N N N N N TMCAT 2018-AA D 4.3% 09/15/21 N/A 88642MAE0 1078000.00000000 NS USD 1090700.78000000 0.018653161200 Long ABS-CBDO CORP US Y 2 2024-11-15 Fixed 4.30000000 N N N N N N PRMI 2021-1 B2 V/R 04/25/51 N/A 69359DBW2 3099121.84000000 NS USD 3001837.62000000 0.051337417236 Long ABS-CBDO CORP US Y 2 2051-04-25 Variable 2.48243000 N N N N N N EDEN RE II LTD ZCP 03/22/22 549300LKX8PCP3SC3F42 27954GAA1 125000.00000000 NS USD 32326.23000000 0.000552843080 Long ABS-CBDO CORP BM N 3 2022-03-22 Variable 0.00000000 N N N N N N GNMA II P#3530 5.5% 03/20/34 N/A 36202D4P3 89119.56000000 NS USD 104347.76000000 0.001784555052 Long ABS-MBS USGSE US N 2 2034-03-20 Fixed 5.50000000 N N N N N N GNMA P#744000 4% 11/15/40 N/A 3620AYRV0 5518.79000000 NS USD 5917.58000000 0.000101202433 Long ABS-MBS USGSE US N 2 2040-11-15 Fixed 4.00000000 N N N N N N RAYTHEON TECH 4.125% 11/16/28 I07WOS4YJ0N7YRFE7309 913017CY3 7910000.00000000 NS USD 9108628.72000000 0.155775738812 Long DBT CORP US N 2 2028-11-16 Fixed 4.12500000 N N N N N N MIDWEST CONNEC 4.625% 04/01/29 N/A 59833CAC6 4724000.00000000 NS USD 5025372.49000000 0.085943904016 Long DBT CORP US Y 2 2029-04-01 Fixed 4.62500000 N N N N N N UMBS P#AD7136 5% 07/01/40 N/A 31418U4W1 190925.62000000 NS USD 213477.95000000 0.003650899208 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.00000000 N N N N N N F/C US 10YR NOTE (CBT)SEP21 N/A N/A -1708.00000000 NC USD -226310000.00000000 -3.87035288562 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C US 10YR NOTE (CBT)SEP21 US 10YR NOTE (CBT)SEP21 2021-09-21 224982078.14000000 USD -1327921.86000000 N N N GNMA II P#2675 7% 11/20/28 N/A 36202C6L2 31099.90000000 NS USD 35426.25000000 0.000605859612 Long ABS-MBS USGSE US N 2 2028-11-20 Fixed 7.00000000 N N N N N N GNMA P#590490 6% 09/15/32 N/A 36201Q7B3 18259.14000000 NS USD 20485.96000000 0.000350350821 Long ABS-MBS USGSE US N 2 2032-09-15 Fixed 6.00000000 N N N N N N UMBS P#QA3894 5% 10/01/49 N/A 31339UKF6 630939.94000000 NS USD 692304.86000000 0.011839795469 Long ABS-MBS USGA US N 2 2049-10-01 Fixed 5.00000000 N N N N N N UMBS P#AU4279 3% 09/01/43 N/A 3138X3XH0 2340648.71000000 NS USD 2484228.20000000 0.042485262615 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 3.00000000 N N N N N N EDEN RE II LTD ZCP 03/22/22 N/A 27954GAB9 185850.00000000 NS USD 51304.56000000 0.000877410418 Long ABS-CBDO CORP BM N 3 2022-03-22 Variable 0.00000000 N N N N N N GNMA P#473140 6% 10/15/28 N/A 36209JS51 3461.83000000 NS USD 3890.62000000 0.000066537370 Long ABS-MBS USGSE US N 2 2028-10-15 Fixed 6.00000000 N N N N N N FNMA P#625146 6% 2/1/32 N/A 31389GP79 6143.97000000 NS USD 7267.18000000 0.000124283288 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 6.00000000 N N N N N N FGLMC P#C01095 7% 11/01/30 N/A 31292HGC2 1349.81000000 NS USD 1551.00000000 0.000026525196 Long ABS-MBS USGA US N 2 2030-11-01 Fixed 7.00000000 N N N N N N UPST 2020-1 C 4.899% 04/22/30 N/A 91679UAC6 4000000.00000000 NS USD 4148110.40000000 0.070940970600 Long ABS-CBDO CORP US Y 2 2030-04-22 Fixed 4.89900000 N N N N N N ALCOA NEDERLAN 4.125% 03/31/29 N/A 013822AG6 2400000.00000000 NS USD 2499108.00000000 0.042739736906 Long DBT CORP NL Y 2 2029-03-31 Fixed 4.12500000 N N N N N N INVERSIONES CMP 3.85% 01/13/30 N/A 46128MAN1 2728000.00000000 NS USD 2905320.00000000 0.049686773212 Long DBT CORP CL Y 2 2030-01-13 Fixed 3.85000000 N N N N N N FNMA P#878567 5.5% 3/1/36__ N/A 31409UCC7 81763.93000000 NS USD 92896.79000000 0.001588720601 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.50000000 N N N N N N MDCP 2020-3A 2.954% 11/20/26 N/A 289338AB1 1800000.00000000 NS USD 1804354.02000000 0.030858056594 Long ABS-CBDO CORP US Y 2 2029-08-20 Fixed 2.95400000 N N N N N N FGLMC P#G07664 3.5% 08/01/43 N/A 3128M9Z54 1492397.69000000 NS USD 1617909.28000000 0.027669479256 Long ABS-MBS USGA US N 2 2043-08-01 Fixed 3.50000000 N N N N N N FNR 2013-128 DV 3% 06/25/23 N/A 3136AHNG1 445376.26000000 NS USD 448798.93000000 0.007675357844 Long ABS-CBDO CORP US N 2 2023-06-25 Fixed 3.00000000 N N N N N N GNMA P#546443 6.5% 11/15/31 N/A 36212XBL8 35309.61000000 NS USD 39378.73000000 0.000673454912 Long ABS-MBS USGSE US N 2 2031-11-15 Fixed 6.50000000 N N N N N N UMBS P#725598 5.5% 07/01/34 N/A 31402DDB3 255428.31000000 NS USD 295949.67000000 0.005061330295 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5.50000000 N N N N N N FGLMC P#Q46507 3.5% 08/01/46 N/A 3132WLGR1 5216946.49000000 NS USD 5638733.95000000 0.096433609715 Long ABS-MBS USGA US N 2 2046-08-01 Fixed 3.50000000 N N N N N N ALBERTSONS COS 4.875% 02/15/30 N/A 013092AE1 2525000.00000000 NS USD 2692937.75000000 0.046054612661 Long DBT CORP US Y 2 2030-02-15 Fixed 4.87500000 N N N N N N CGCMT 2019-SM 4.149% 01/10/24 N/A 29429MAA1 7700000.00000000 NS USD 8269022.30000000 0.141416792541 Long ABS-CBDO CORP US Y 2 2036-01-10 Fixed 4.14900000 N N N N N N GNMA P#AJ6282 4% 09/15/44 N/A 36183B6T0 282105.85000000 NS USD 311508.25000000 0.005327413080 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 4.00000000 N N N N N N MSAIC 2019-2A 2.88% 09/20/40 N/A 61945LAA1 2608038.35000000 NS USD 2738050.10000000 0.046826123925 Long ABS-CBDO CORP US Y 2 2040-09-20 Fixed 2.88000000 N N N N N N FGLMC P#C01755 6% 01/01/34 N/A 31292H5Q3 13574.65000000 NS USD 16126.08000000 0.000275788167 Long ABS-MBS USGA US N 2 2034-01-01 Fixed 6.00000000 N N N N N N GNMA P#569703 6.5% 02/15/32 N/A 36200Q3L6 14784.49000000 NS USD 17312.21000000 0.000296073359 Long ABS-MBS USGSE US N 2 2032-02-15 Fixed 6.50000000 N N N N N N GLENEAGLES RE 2021 0% 12/31/24 N/A N/A 1250000.00000000 NS USD 1310177.14000000 0.022406645196 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N PRMI 2021-1 B1 V/R 04/25/51 N/A 69359DBV4 7563570.18000000 NS USD 7467720.84000000 0.127712937573 Long ABS-CBDO CORP US Y 2 2051-04-25 Variable 2.48243000 N N N N N N GNMA P#746503 4% 11/15/40 N/A 3620C2KQ6 9695.63000000 NS USD 10522.44000000 0.000179954734 Long ABS-MBS USGSE US N 2 2040-11-15 Fixed 4.00000000 N N N N N N VIRIBUS RE 2020 0% 12/31/23 N/A N/A 4139570.00000000 NS USD 30218.86000000 0.000516802845 Long DBT CORP BM N 3 2023-12-31 Fixed 0.00000000 N N N N N N GNMA P#615673 6.5% 10/15/33 N/A 36290R6J7 1290.03000000 NS USD 1455.13000000 0.000024885628 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 6.50000000 N N N N N N GNMA P#554167 7% 11/15/31 N/A 36213GTY7 6592.56000000 NS USD 6902.78000000 0.000118051321 Long ABS-MBS USGSE US N 2 2031-11-15 Fixed 7.00000000 N N N N N N GNMA P#603629 6% 04/15/33 N/A 36200KSS7 9335.91000000 NS USD 10462.86000000 0.000178935797 Long ABS-MBS USGSE US N 2 2033-04-15 Fixed 6.00000000 N N N N N N UMBS P#AH9291 4% 04/01/41 N/A 3138ABKD0 534401.66000000 NS USD 583957.90000000 0.009986846110 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.00000000 N N N N N N ABPCI 2020-10A A V/R 01/20/32 N/A 000848AA9 2000000.00000000 NS USD 2004410.00000000 0.034279413315 Long ABS-CBDO CORP KY Y 2 2032-01-20 Variable 2.13825000 N N N N N N SECTOR RE V LTD ZCP 03/01/25 549300QS6XPZQHTCEJ97 81369ADF6 959.00000000 NS USD 197044.39000000 0.003369852518 Long DBT CORP BM Y 3 2025-03-01 Fixed 0.00000000 N N N N N N HPA 2019-2 E 3.32% 10/19/27 N/A 43732TAJ0 4816345.98000000 NS USD 4781426.99000000 0.081771948867 Long ABS-CBDO CORP US Y 2 2039-10-19 Fixed 3.32000000 N N N N N N GNMA P#477508 6.5% 10/15/28 N/A 36209PNZ6 1748.13000000 NS USD 1949.59000000 0.000033341881 Long ABS-MBS USGSE US N 2 2028-10-15 Fixed 6.50000000 N N N N N N HAT HOLDINGS I 3.375% 06/15/26 N/A 418751AE3 6000000.00000000 NS USD 6045000.00000000 0.103381570384 Long DBT CORP US Y 2 2026-06-15 Fixed 3.37500000 N N N N N N TRIMAS CORP 4.125% 04/15/29 75G1WUQ8QK4P5MZOYD78 896215AH3 3910000.00000000 NS USD 3958093.00000000 0.067691293642 Long DBT CORP US Y 2 2029-04-15 Fixed 4.12500000 N N N N N N AIR CANADA 2017- 3.3% 01/15/30 N/A 00908PAA5 6035111.99000000 NS USD 6110369.84000000 0.104499525175 Long DBT CORP CA Y 2 2030-01-15 Fixed 3.30000000 N N N N N N ARTEX SAC LIMITED MERION RE N/A N/A 7000000.00000000 NS USD 1158500.00000000 0.019812663240 Long DBT CORP BM N 3 2021-12-31 Fixed 0.00000000 N N N N N N AIB GROUP PLC V/R 04/10/25 N/A 00135TAB0 16040000.00000000 NS USD 17280719.66000000 0.295534811549 Long DBT CORP IE Y 2 2025-04-10 Variable 4.26300000 N N N N N N HILLENBRAND INC 3.75% 03/01/31 U246OE781574J2BUD366 431571AE8 1910000.00000000 NS USD 1893889.15000000 0.032389286097 Long DBT CORP US N 2 2031-03-01 Fixed 3.75000000 N N N N N N YCLO 2016-2A CR V/R 04/20/32 N/A 986252AW4 6400000.00000000 NS USD 6400352.00000000 0.109458799135 Long ABS-CBDO CORP KY Y 2 2032-04-20 Variable 2.33825000 N N N N N N GNMA P#780896 7% 11/15/28 N/A 36225A7H7 6898.06000000 NS USD 7967.28000000 0.000136256396 Long ABS-MBS USGSE US N 2 2028-11-15 Fixed 7.00000000 N N N N N N GNMA P#462835 7% 07/15/28 N/A 36208WEG4 7434.03000000 NS USD 8210.55000000 0.000140416799 Long ABS-MBS USGSE US N 2 2028-07-15 Fixed 7.00000000 N N N N N N GNMA II P#737972 5.5% 10/20/37 N/A 3620AR2D2 40512.66000000 NS USD 44886.29000000 0.000767645185 Long ABS-MBS USGSE US N 2 2037-10-20 Fixed 5.50000000 N N N N N N GNMA P#457127 6.5% 02/15/29 N/A 36208PYY8 3231.73000000 NS USD 3604.16000000 0.000061638332 Long ABS-MBS USGSE US N 2 2029-02-15 Fixed 6.50000000 N N N N N N FORD MOTOR CRE 3.625% 06/17/31 N/A 345397B69 6700000.00000000 NS USD 6829846.00000000 0.116804004129 Long DBT CORP US N 2 2031-06-17 Fixed 3.62500000 N N N N N N FGLMC P#G08140 6% 07/01/36 N/A 3128MJEN6 4889.26000000 NS USD 5809.41000000 0.000099352510 Long ABS-MBS USGA US N 2 2036-07-01 Fixed 6.00000000 N N N N N N CGCMT 2015-GC33 V/R 09/10/25 N/A 29425AAG8 6052000.00000000 NS USD 6654072.93000000 0.113797933656 Long ABS-CBDO CORP US N 2 2058-09-10 Variable 4.72571700 N N N N N N HARAMBEE 2018 0.00% 12/31/21 N/A N/A 2000000.00000000 NS USD 5600.00000000 0.000095771181 Long DBT CORP BM N 3 2021-12-31 Fixed 0.00000000 N N N N N N BVINV 2021-1 B2 V/R 06/25/51 N/A 67647TCE2 8898000.00000000 NS USD 9246850.54000000 0.158139607929 Long ABS-CBDO CORP US Y 2 2051-06-25 Variable 3.24693000 N N N N N N US T BILL ZCP 08/03/21 N/A 912796J83 135000000.00000000 PA USD 134994258.45000000 2.308671369959 Long STIV UST US N 2 2021-08-03 Fixed 0.00000000 N N N N N N NMEF 2019-A B 3.06% 02/15/23 N/A 65489MAB0 1500000.00000000 NS USD 1521360.75000000 0.026018306609 Long ABS-CBDO CORP US Y 2 2026-08-17 Fixed 3.06000000 N N N N N N UMBS P#AK9816 4% 04/01/42 N/A 3138EE4A4 312418.00000000 NS USD 343524.00000000 0.005874946333 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.00000000 N N N N N N EDEN RE II LTD ZCP 03/22/24 549300LKX8PCP3SC3F42 27954QAH4 640000.00000000 NS USD 694336.00000000 0.011874532018 Long DBT CORP BM Y 3 2024-03-22 Fixed 0.00000000 N N N N N N CVS CORP 5.298% 1/11/27 549300EJG376EN5NQE29 126650AW0 352502.28000000 NS USD 386630.72000000 0.006612157318 Long DBT CORP US Y 2 2027-01-11 Fixed 5.29800000 N N N N N N UMBS P#AX9656 2.5% 04/01/45 N/A 3138YBWS8 246597.58000000 NS USD 255507.82000000 0.004369693908 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N FGLMC P#C56176 6.5% 08/01/31 N/A 31298S2H6 3141.46000000 NS USD 3521.79000000 0.000060229641 Long ABS-MBS USGA US N 2 2031-08-01 Fixed 6.50000000 N N N N N N T/L MULTIPLAN INC 0% 06/07/23 N/A 55328HAE1 363509.29000000 NS USD 362878.24000000 0.006205942482 Long LON CORP US N 2 2023-06-07 Floating 0.00000000 N N N N N N ADANI ELECTRIC 3.949% 02/12/30 N/A 00654GAA1 2695000.00000000 NS USD 2687507.36000000 0.045961742149 Long DBT CORP IN Y 2 2030-02-12 Fixed 3.94900000 N N N N N N UMBS P#257030 6.5% 11/01/47 N/A 31371NPP4 13964.72000000 NS USD 15104.31000000 0.000258313860 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 6.50000000 N N N N N N SECTOR RE V LTD ZCP 03/01/25 549300QS6XPZQHTCEJ97 81369ADE9 533.00000000 NS USD 109513.97000000 0.001872907559 Long DBT CORP BM Y 3 2025-03-01 Fixed 0.00000000 N N N N N N MDPK 2019-36A D V/R 01/15/33 N/A 55819PAJ8 3750000.00000000 NS USD 3759498.75000000 0.064294935423 Long ABS-CBDO CORP KY Y 2 2033-01-15 Variable 3.93375000 N N N N N N CARRIER GLOBAL 2.722% 02/15/30 549300JE3W6CWY2NAN77 14448CAQ7 5728000.00000000 NS USD 5944315.34000000 0.101659661655 Long DBT CORP US N 2 2030-02-15 Fixed 2.72200000 N N N N N N TPMT 2019-4 M1 V/R 11/25/33 N/A 89178BAC8 1250000.00000000 NS USD 1328720.75000000 0.022723777954 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 3.50000000 N N N N N N GNMA P#AN6704 4% 07/15/45 N/A 36186PNV2 275141.06000000 NS USD 303558.63000000 0.005191458705 Long ABS-MBS USGSE US N 2 2045-07-15 Fixed 4.00000000 N N N N N N FGLMC P#C01172 6.5% 05/01/31 N/A 31292HJR6 3381.08000000 NS USD 3846.30000000 0.000065779410 Long ABS-MBS USGA US N 2 2031-05-01 Fixed 6.50000000 N N N N N N GNMA P#781594 6.5% 01/15/33 N/A 36225BXX1 161700.19000000 NS USD 190564.13000000 0.003259027132 Long ABS-MBS USGSE US N 2 2033-01-15 Fixed 6.50000000 N N N N N N GNMA P#570671 6.5% 11/15/31 N/A 36200R6G2 2331.59000000 NS USD 2600.29000000 0.000044470151 Long ABS-MBS USGSE US N 2 2031-11-15 Fixed 6.50000000 N N N N N N GNMA P#587465 6% 12/15/32 N/A 36201MTW2 36758.01000000 NS USD 41298.88000000 0.000706293311 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 6.00000000 N N N N N N UMBS P#ZT1323 3% 10/01/48 N/A 3132ADPG7 69940.44000000 NS USD 73041.99000000 0.001249163875 Long ABS-MBS USGA US N 2 2048-10-01 Fixed 3.00000000 N N N N N N RMIR 2020-1 M1C V/R 01/25/30 N/A 750493AC2 12000000.00000000 NS USD 11730519.60000000 0.200615308133 Long ABS-CBDO CORP BM Y 2 2030-01-25 Variable 1.84150000 N N N N N N FGLMC P#C01511 6% 03/01/33 N/A 31292HVC5 65191.99000000 NS USD 77437.80000000 0.001324341004 Long ABS-MBS USGA US N 2 2033-03-01 Fixed 6.00000000 N N N N N N GNMA P#AJ0399 4% 08/15/44 N/A 36182UNQ6 167828.11000000 NS USD 184307.80000000 0.003152031397 Long ABS-MBS USGSE US N 2 2044-08-15 Fixed 4.00000000 N N N N N N MCMLT 2018-3 M3 V/R 08/25/58 N/A 59980XAJ6 9467815.91000000 NS USD 9854544.00000000 0.168532379510 Long ABS-CBDO CORP US Y 2 2058-08-25 Variable 3.25000000 N N N N N N GNMA P#564866 6.5% 09/15/31 N/A 36213UQT0 8980.12000000 NS USD 10015.00000000 0.000171276497 Long ABS-MBS USGSE US N 2 2031-09-15 Fixed 6.50000000 N N N N N N OAKMONT 2017 0% 04/30/21 N/A N/A 1000000.00000000 NS USD 29400.00000000 0.000502798704 Long DBT CORP BM N 3 2022-04-30 Fixed 0.00000000 N N N N N N GNMA P#588138 6% 12/15/32 N/A 36201NLT5 6575.37000000 NS USD 7536.07000000 0.000128881844 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 6.00000000 N N N N N N AXIS 2019-1A B 2.8% 03/20/25 N/A 03237MAC4 3833000.00000000 NS USD 3940702.70000000 0.067393884787 Long ABS-CBDO CORP US Y 2 2025-03-20 Fixed 2.80000000 N N N N N N COVANTA HOLDING CO 5% 09/01/30 40XIFLS8XDQGGHGPGC04 22282EAJ1 5910000.00000000 NS USD 6205500.00000000 0.106126440863 Long DBT CORP US N 2 2030-09-01 Fixed 5.00000000 N N N N N N VIRIBUS RE 2021 0% 12/31/24 N/A N/A 3717666.00000000 NS USD 3759675.63000000 0.064297960424 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N LUNDIN ENERGY FI 2% 07/15/26 N/A 55037AAA6 2810000.00000000 NS USD 2817038.04000000 0.048176975418 Long DBT CORP NL Y 2 2026-07-15 Fixed 2.00000000 N N N N N N GNMA P#611999 5.5% 08/15/33 N/A 36202W3G2 37949.01000000 NS USD 42607.78000000 0.000728678115 Long ABS-MBS USGSE US N 2 2033-08-15 Fixed 5.50000000 N N N N N N AH4R 2014-SFR3 5.04% 12/17/24 N/A 02665XAD1 700000.00000000 NS USD 754946.57000000 0.012911093790 Long ABS-CBDO CORP US Y 2 2036-12-17 Fixed 5.04000000 N N N N N N LEAR CORP 549300UPNBTXA1SYTQ33 521865204 593.00000000 NS USD 103941.04000000 0.001777599328 Long EC CORP US N 1 N N N ORGANON & CO/O 4.125% 04/30/28 N/A 68622TAA9 3710000.00000000 NS USD 3783458.00000000 0.064704686438 Long DBT CORP US Y 2 2028-04-30 Fixed 4.12500000 N N N N N N FNMA P#713312 6% 7/1/33__ N/A 31401NN54 48862.37000000 NS USD 54908.00000000 0.000939036437 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 6.00000000 N N N N N N GNMA P#580607 6% 02/15/33 N/A 36201EAG5 13237.58000000 NS USD 15757.32000000 0.000269481635 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 6.00000000 N N N N N N FGLMC P#G08020 5% 11/01/34 N/A 3128MJAW0 5366.90000000 NS USD 6160.76000000 0.000105361297 Long ABS-MBS USGA US N 2 2034-11-01 Fixed 5.00000000 N N N N N N ISTAR INC 4.75% 10/01/24 QFFLKWYYS3UPWD86E794 45031UCF6 3475000.00000000 NS USD 3657437.50000000 0.062549484256 Long DBT CORP US N 2 2024-10-01 Fixed 4.75000000 N N N N N N TAH 2017-SFR2 3.275% 01/17/24 N/A 89613FAB4 8500000.00000000 NS USD 8693227.95000000 0.148671556191 Long ABS-CBDO CORP US Y 2 2036-01-17 Fixed 3.27500000 N N N N N N AES CORP/THE 2.45% 01/15/31 2NUNNB7D43COUIRE5295 00130HCF0 8905000.00000000 NS USD 8820770.28000000 0.150852784705 Long DBT CORP US Y 2 2031-01-15 Fixed 2.45000000 N N N N N N TMCAT 2018-AA 3.84% 09/15/21 N/A 88642MAD2 1422531.84000000 NS USD 1431464.34000000 0.024480898497 Long ABS-CBDO CORP US Y 2 2024-11-15 Fixed 3.84000000 N N N N N N GNMA P#547578 7.5% 03/15/31 N/A 36212YJX2 5507.77000000 NS USD 5687.82000000 0.000097273079 Long ABS-MBS USGSE US N 2 2031-03-15 Fixed 7.50000000 N N N N N N ARTHUR J GALLAGH 2.5% 05/20/31 54930049QLLMPART6V29 363576AA7 5695000.00000000 NS USD 5758347.14000000 0.098479234102 Long DBT CORP US N 2 2031-05-20 Fixed 2.50000000 N N N N N N LORENZ RE 2018 0.0% 07/01/21 N/A N/A 5000000.00000000 NS USD 25500.00000000 0.000436100917 Long DBT CORP BM N 3 2022-07-01 Fixed 0.00000000 N N N N N N DOMINION ENERGY S/UP 08/15/24 ILUL7B6Z54MRYCF6H308 25746UDB2 4027000.00000000 NS USD 4269226.91000000 0.073012304761 Long DBT CORP US N 2 2024-08-15 Variable 3.07100000 N N N N N N T/L GOODPACK LIMIT 0% 09/11/23 N/A 44928QAE9 2660625.00000000 NS USD 2643165.98000000 0.045203416012 Long LON CORP SG N 2 2023-09-11 Floating 3.87450000 N N N N N N GNMA II P#2945 7.5% 07/20/30 N/A 36202DHW4 2476.81000000 NS USD 2839.81000000 0.000048566421 Long ABS-MBS USGSE US N 2 2030-07-20 Fixed 7.50000000 N N N N N N GNMA P#342552 7.5% 03/15/23 N/A 36224YQD4 1025.52000000 NS USD 1035.58000000 0.000017710485 Long ABS-MBS USGSE US N 2 2023-03-15 Fixed 7.50000000 N N N N N N FNMA P#254676 06.000% 03/01/33 N/A 31371K2H3 33267.64000000 NS USD 39500.00000000 0.000675528871 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 6.00000000 N N N N N N GARDA WORLD SE 4.625% 02/15/27 N/A 36485MAK5 5455000.00000000 NS USD 5482275.00000000 0.093757849260 Long DBT CORP CA Y 2 2027-02-15 Fixed 4.62500000 N N N N N N ELEMENT FLEET MA 1.6% 04/06/24 5493000PGBS1C22ELQ16 286181AF9 4375000.00000000 NS USD 4446487.50000000 0.076043814796 Long DBT CORP CA Y 2 2024-04-06 Fixed 1.60000000 N N N N N N PSTAT 2020-1A B V/R 02/20/28 N/A 69701EAE6 4000000.00000000 NS USD 4001104.00000000 0.068426867624 Long ABS-CBDO CORP KY Y 2 2028-02-20 Variable 2.05525000 N N N N N N GNMA P#520534 4.5% 03/15/35 N/A 36211RHK8 19777.62000000 NS USD 21919.84000000 0.000374873032 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 4.50000000 N N N N N N CFMT 2018-RM2 A V/R 10/25/23 N/A 14727QAA3 2651018.59000000 NS USD 2761883.13000000 0.047233716327 Long ABS-CBDO CORP US Y 2 2068-10-25 Variable 4.00000000 N N N N N N T/L BRIGHT HORI 0% 11/07/23 N/A N/A 0.04000000 NS USD 0.04000000 0.000000000684 Long LON CORP US N 2 2023-11-07 Fixed 0.00000000 N N N N N N OLIN CORP 5.625% 08/01/29 549300GKK294V7W57P06 680665AL0 900000.00000000 NS USD 995787.90000000 0.017029961434 Long DBT CORP US N 2 2029-08-01 Fixed 5.62500000 N N N N N N GNMA P#592769 6% 05/15/33 N/A 36201TQW0 49677.29000000 NS USD 55872.30000000 0.000955527893 Long ABS-MBS USGSE US N 2 2033-05-15 Fixed 6.00000000 N N N N N N GENERAL MOTORS FIN 4% 01/15/25 N/A 37045XAS5 8597000.00000000 NS USD 9368611.44000000 0.160221962445 Long DBT CORP US N 2 2025-01-15 Fixed 4.00000000 N N N N N N SCFET 2019-2A 2.47% 04/20/26 N/A 784034AB6 3404000.00000000 NS USD 3484442.99000000 0.059590932708 Long ABS-CBDO CORP US Y 2 2026-04-20 Fixed 2.47000000 N N N N N N GNMA P#609428 5.5% 06/15/33 N/A 36202UA52 5105.64000000 NS USD 5756.61000000 0.000098449525 Long ABS-MBS USGSE US N 2 2033-06-15 Fixed 5.50000000 N N N N N N ARTEX SAC LTD V/R 12/31/22 N/A N/A 5000000.00000000 NS USD 169818.30000000 0.002904232015 Long DBT CORP BM N 3 2022-12-31 Variable 0.00000000 N N N N N N GNMA P#605654 6% 08/15/34 N/A 36200NZT1 15071.08000000 NS USD 17759.72000000 0.000303726673 Long ABS-MBS USGSE US N 2 2034-08-15 Fixed 6.00000000 N N N N N N SEMT 2021-1 B2 V/R 03/25/51 N/A 81747KCD3 2976921.95000000 NS USD 2983812.04000000 0.051029143825 Long ABS-CBDO CORP US Y 2 2051-03-25 Variable 2.67343600 N N N N N N BAYER US FINANC 4.25% 12/15/25 N/A 07274NAJ2 4900000.00000000 NS USD 5460658.00000000 0.093388155396 Long DBT CORP US Y 2 2025-12-15 Fixed 4.25000000 N N N N N N GNMA P#377615 7.5% 09/15/25 N/A 36204RN87 1504.61000000 NS USD 1617.39000000 0.000027660598 Long ABS-MBS USGSE US N 2 2025-09-15 Fixed 7.50000000 N N N N N N UMBS P#AB5669 3.5% 07/01/42 N/A 31417CJP1 1318341.05000000 NS USD 1420834.37000000 0.024299104785 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3.50000000 N N N N N N ALTURAS RE LTD 0% 9/12/23 N/A N/A 24550.00000000 NS USD 19875.68000000 0.000339913814 Long DBT CORP BM N 3 2023-09-12 Fixed 0.00000000 N N N N N N FGLMC P#A16221 6% 11/01/33 N/A 31296Q4E7 20513.12000000 NS USD 23509.04000000 0.000402051525 Long ABS-MBS USGA US N 2 2033-11-01 Fixed 6.00000000 N N N N N N JPMMT 2021-4 A3 V/R 08/25/51 N/A 46652VAC9 15227204.22000000 NS USD 15498827.09000000 0.265060890599 Long ABS-CBDO CORP US Y 2 2051-08-25 Variable 2.50000000 N N N N N N NOVA CHEMICALS 5.25% 06/01/27 N/A 66977WAR0 3493000.00000000 NS USD 3764755.40000000 0.064384834634 Long DBT CORP CA Y 2 2027-06-01 Fixed 5.25000000 N N N N N N FNMA P#708545 5.5% 6/1/33__ N/A 31401HES7 6525.85000000 NS USD 7398.23000000 0.000126524505 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 5.50000000 N N N N N N GNMA P#780189 7% 07/15/25 N/A 36225AF62 5193.29000000 NS USD 5469.00000000 0.000093530820 Long ABS-MBS USGSE US N 2 2025-07-15 Fixed 7.00000000 N N N N N N SBA TOWER TRUS 3.869% 10/08/24 N/A 78403DAH3 6975000.00000000 NS USD 7329222.59000000 0.125344340951 Long DBT CORP US Y 2 2049-10-15 Fixed 3.86900000 N N N N N N ARTEX SAC LTD PAN 0% 2/1/23 N/A N/A 4017011.00000000 NS USD 83704.35000000 0.001431511522 Long DBT CORP BM N 3 2023-02-01 Fixed 0.00000000 N N N N N N FGLMC P#Q08656 4% 06/01/42 N/A 3132GT5R4 90039.75000000 NS USD 98131.05000000 0.001678236898 Long ABS-MBS USGA US N 2 2042-06-01 Fixed 4.00000000 N N N N N N UMBS P#CA6418 3% 07/01/45 N/A 3140QEDY5 728498.84000000 NS USD 765143.78000000 0.013085486442 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 3.00000000 N N N N N N COMM 2015-CR2 3.359% 07/10/25 N/A 12593QBD1 6280114.28000000 NS USD 6722468.57000000 0.114967635669 Long ABS-CBDO CORP US N 2 2048-10-10 Fixed 3.35900000 N N N N N N GNMA II P#468431 5.9% 01/20/28 N/A 36209DLL6 17884.27000000 NS USD 19807.76000000 0.000338752247 Long ABS-MBS USGSE US N 2 2028-01-20 Fixed 5.90000000 N N N N N N STACR 2020-DNA5 V/R 10/25/50 N/A 35566AAH2 7020000.00000000 NS USD 7125014.29000000 0.121851971267 Long ABS-CBDO CORP US Y 2 2050-10-25 Variable 2.81800000 N N N N N N SPEAK 2015-1A DR V/R 04/20/29 N/A 56844XBN8 5000000.00000000 NS USD 4943595.00000000 0.084545345648 Long ABS-CBDO CORP US Y 2 2029-04-20 Variable 3.03825000 N N N N N N TMIR 2021-1 M1C V/R 08/25/33 N/A 89600FAC7 14070000.00000000 NS USD 14104844.36000000 0.241221002474 Long ABS-CBDO CORP BM Y 2 2033-08-25 Variable 3.49150000 N N N N N N FGLMC P#Q15961 3% 02/01/43 N/A 3132J7B76 1256707.74000000 NS USD 1346447.77000000 0.023026945393 Long ABS-MBS USGA US N 2 2043-02-01 Fixed 3.00000000 N N N N N N RACEP 2013-8A DR V/R 02/20/30 N/A 74982LBE9 4000000.00000000 NS USD 4001160.00000000 0.068427825336 Long ABS-CBDO CORP KY Y 2 2030-02-20 Variable 3.65525000 N N N N N N GNMA P#592467 6% 12/15/32 N/A 36201TFG7 30509.25000000 NS USD 34178.91000000 0.000584527607 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 6.00000000 N N N N N N FGLMC P#A22766 5.5% 11/01/34 N/A 31297ACB8 4349.74000000 NS USD 4849.05000000 0.000082928437 Long ABS-MBS USGA US N 2 2034-11-01 Fixed 5.50000000 N N N N N N FASST 2021-JR1 A2 V/R 4/25/51 N/A 31739MAB0 9890694.64000000 NS USD 9814160.44000000 0.167841739998 Long ABS-CBDO CORP US Y 2 2051-04-25 Variable 0.00000000 N N N N N N UMBS P#810991 5% 10/01/34 N/A 31406H7C5 126068.32000000 NS USD 142653.78000000 0.002439664482 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 5.00000000 N N N N N N GNMA II P#3068 6.5% 04/20/31 N/A 36202DMR9 5883.95000000 NS USD 6850.29000000 0.000117153637 Long ABS-MBS USGSE US N 2 2031-04-20 Fixed 6.50000000 N N N N N N COMM 2014-UBS 3.546% 04/10/24 N/A 12591YBB0 6301980.44000000 NS USD 6690852.97000000 0.114426945781 Long ABS-CBDO CORP US N 2 2047-06-10 Fixed 3.54600000 N N N N N N BANCO SANTANDE 2.749% 12/03/30 5493006QMFDDMYWIAM13 05971KAG4 3000000.00000000 NS USD 2975497.44000000 0.050886947563 Long DBT CORP ES N 2 2030-12-03 Fixed 2.74900000 N N N N N N BANQUE OUEST AFRIC 5% 07/27/27 529900LIZJABE4JJS826 06675QAB9 2230000.00000000 NS USD 2480812.56000000 0.042426848350 Long DBT CORP TG Y 2 2027-07-27 Fixed 5.00000000 N N N N N N UMBS P#AY5580 3.5% 06/01/45 N/A 3138YKFW8 2862009.72000000 NS USD 3079014.31000000 0.052657292738 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.50000000 N N N N N N UMBS P#AI1888 4.5% 05/01/41 N/A 3138AFC24 1251482.40000000 NS USD 1392148.30000000 0.023808515709 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N GNMA P#502981 6% 02/15/29 N/A 36210UXJ7 25964.23000000 NS USD 29189.54000000 0.000499199418 Long ABS-MBS USGSE US N 2 2029-02-15 Fixed 6.00000000 N N N N N N BMIR 2019-1A M2 V/R 03/25/29 N/A 07876RAC0 4060000.00000000 NS USD 4067655.94000000 0.069565038686 Long ABS-CBDO CORP BM Y 2 2029-03-25 Variable 2.79150000 N N N N N N FGLMC P#Q46050 3% 02/01/47 N/A 3132WKWL8 3754201.88000000 NS USD 3962489.43000000 0.067766481373 Long ABS-MBS USGA US N 2 2047-02-01 Fixed 3.00000000 N N N N N N WBOX 2020-2A E V/R 10/24/31 N/A 96466EAA2 1800000.00000000 NS USD 1796918.40000000 0.030730892645 Long ABS-CBDO CORP KY Y 2 2031-10-24 Variable 8.02575000 N N N N N N CFMT 2021-HB6 M3 V/R 05/25/26 N/A 12527LAC6 3800000.00000000 NS USD 3799996.20000000 0.064987522681 Long ABS-CBDO CORP US Y 2 2036-06-25 Variable 3.73480000 N N N N N N GNMA P#619119 6% 10/15/34 N/A 36290VYQ1 41520.43000000 NS USD 46622.73000000 0.000797341777 Long ABS-MBS USGSE US N 2 2034-10-15 Fixed 6.00000000 N N N N N N PROG 2018-SFR 4.656% 08/17/23 N/A 74332UAJ6 3250000.00000000 NS USD 3268060.58000000 0.055890361434 Long ABS-CBDO CORP US Y 2 2035-08-17 Fixed 4.65600000 N N N N N N FGLMC P#Q41906 4% 07/01/46 N/A 3132WFDL0 2122589.16000000 NS USD 2289934.26000000 0.039162448283 Long ABS-MBS USGA US N 2 2046-07-01 Fixed 4.00000000 N N N N N N BMIR 2020-4A M2B V/R 06/25/30 N/A 07876UAB5 6650000.00000000 NS USD 6732723.34000000 0.115143012713 Long ABS-CBDO CORP BM Y 2 2030-06-25 Variable 3.69150000 N N N N N N DINGLE RE 2020 0.0% 01/31/21 N/A N/A 750000.00000000 NS USD 775869.56000000 0.013268918697 Long DBT CORP BM N 3 2021-12-31 Fixed 0.00000000 N N N N N N GNMA P#612658 5.5% 06/15/35 N/A 36202XTP2 26689.14000000 NS USD 29818.38000000 0.000509953838 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 5.50000000 N N N N N N HAWT 2021-INV1 A V/R 07/25/51 N/A 44590HBJ4 78555000.00000000 NS USD 824709.67000000 0.014104182100 Long ABS-CBDO CORP US Y 2 2051-07-25 Variable 0.23965000 N N N N N N SOCIETE GENERALE V/R /PERP/ O2RNE8IBXP4R0TD8PU41 83370RAA6 4960000.00000000 NS USD 5251400.00000000 0.089809425759 Long DBT CORP FR Y 2 2170-05-18 Variable 5.37500000 N N N N N N GNMA P#644671 5.5% 10/15/35 N/A 36292CFL3 20774.95000000 NS USD 23830.12000000 0.000407542634 Long ABS-MBS USGSE US N 2 2035-10-15 Fixed 5.50000000 N N N N N N MSRM 2020-1 B1 V/R 12/25/50 N/A 61771QBY6 8060674.44000000 NS USD 8354845.53000000 0.142884541142 Long ABS-CBDO CORP US Y 2 2050-12-25 Variable 3.06453800 N N N N N N FNMA P#675600 6.00% 1/1/32__ N/A 31391SRV4 1293.98000000 NS USD 1472.23000000 0.000025178072 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 6.00000000 N N N N N N GNMA P#552704 6.5% 08/15/32 N/A 36213FAD5 27384.37000000 NS USD 30837.65000000 0.000527385390 Long ABS-MBS USGSE US N 2 2032-08-15 Fixed 6.50000000 N N N N N N KAYNE 2020-7A E V/R 04/17/33 N/A 48661FAA3 3200000.00000000 NS USD 3210160.00000000 0.054900145903 Long ABS-CBDO CORP KY Y 2 2033-04-17 Variable 6.68975000 N N N N N N UMBS P#MA2276 2.5% 04/01/45 N/A 31418BQ66 96175.72000000 NS USD 99813.59000000 0.001707011692 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N GNMA P#549193 7.5% 02/15/31 N/A 36213BC67 11546.71000000 NS USD 11662.60000000 0.000199453747 Long ABS-MBS USGSE US N 2 2031-02-15 Fixed 7.50000000 N N N N N N FGLMC P#C51793 6.5% 05/01/31 N/A 31298M7E1 4127.73000000 NS USD 4627.47000000 0.000079138976 Long ABS-MBS USGA US N 2 2031-05-01 Fixed 6.50000000 N N N N N N GNMA P#780770 6% 04/15/28 N/A 36225A2B5 15555.62000000 NS USD 17855.74000000 0.000305368807 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 6.00000000 N N N N N N LIMESTONE RE LTD ZCP 03/01/24 5493004PN8HGYC184A27 G5488XAJ9 1420000.00000000 NS USD 331144.00000000 0.005663223613 Long DBT CORP BM Y 3 2024-03-01 Fixed 0.00000000 N N N N N N JPMMT 2021-6 A3 V/R 10/25/51 N/A 46653PAC1 16066622.49000000 NS USD 16353218.90000000 0.279672696562 Long ABS-CBDO CORP US Y 2 2051-10-25 Variable 2.50000000 N N N N N N ARTEX SAC LTD BER 0% 2/1/22 N/A N/A 2000000.00000000 NS USD 66200.00000000 0.001132152185 Long DBT CORP BM N 3 2022-02-01 Variable 0.00000000 N N N N N N FNMA P#619972 6.5% 12/1/31_ N/A 31389AW90 62241.04000000 NS USD 69746.02000000 0.001192796207 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 6.50000000 N N N N N N GNMA P#454385 6.5% 04/15/28 N/A 36208LXN2 4684.70000000 NS USD 5224.57000000 0.000089350579 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 6.50000000 N N N N N N UMBS P#946484 5% 09/01/22 N/A 31413H6V5 1397.07000000 NS USD 1453.87000000 0.000024864080 Long ABS-MBS USGSE US N 2 2022-09-01 Fixed 5.00000000 N N N N N N GNMA P#570019 6.5% 07/15/32 N/A 36200RG48 72545.06000000 NS USD 85925.18000000 0.001469492149 Long ABS-MBS USGSE US N 2 2032-07-15 Fixed 6.50000000 N N N N N N T/L 1011778 B C 0% 11/19/26 N/A N/A 1394219.22000000 NS USD 1376791.48000000 0.023545883423 Long LON CORP CA N 2 2026-11-19 Floating 1.85425000 N N N N N N GRADE 2021-FIG2 V/R 10/25/51 N/A 79582DAB7 19499997.48000000 NS USD 19506091.23000000 0.333593108918 Long ABS-CBDO CORP US Y 2 2051-10-25 Variable 3.50000000 N N N N N N GNMA P#615583 5% 09/15/33 N/A 36290R2Q5 32970.75000000 NS USD 38172.31000000 0.000652822721 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 5.00000000 N N N N N N BMIR 2018-1A M1B V/R 04/25/28 N/A 078768AD0 2404466.27000000 NS USD 2406013.54000000 0.041147635753 Long ABS-CBDO CORP BM Y 2 2028-04-25 Variable 1.69150000 N N N N N N GNMA P#616629 6% 09/15/34 N/A 36290TA66 64311.02000000 NS USD 76259.62000000 0.001304191773 Long ABS-MBS USGSE US N 2 2034-09-15 Fixed 6.00000000 N N N N N N GNMA P#613880 6% 09/15/33 N/A 36290N6R8 2232.25000000 NS USD 2502.79000000 0.000042802706 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 6.00000000 N N N N N N SECTOR RE V LTD ZCP 03/01/24 549300QS6XPZQHTCEJ97 81369ACW0 1914.00000000 NS USD 32873.22000000 0.000562197701 Long DBT CORP BM Y 3 2024-03-01 Fixed 0.00000000 N N N N N N TPMT 2015-2 1B3 V/R 10/25/31 N/A 89171YAG6 5000000.00000000 NS USD 5187827.00000000 0.088722200519 Long ABS-CBDO CORP US Y 2 2060-11-25 Variable 3.43383100 N N N N N N SNDPT 2020-3A D V/R 01/25/32 N/A 83615CAG1 2750000.00000000 NS USD 2755687.00000000 0.047127750131 Long ABS-CBDO CORP KY Y 2 2032-01-25 Variable 3.90478000 N N N N N N STACR 2020-DNA6 V/R 12/25/50 N/A 35566CBE4 3400000.00000000 NS USD 3536058.48000000 0.060473660650 Long ABS-CBDO CORP US Y 2 2050-12-25 Variable 5.66800000 N N N N N N CGCMT 2016-P5 D 3% 10/10/26 N/A 17325DAL7 4621000.00000000 NS USD 3754897.06000000 0.064216237335 Long ABS-CBDO CORP US Y 2 2049-10-10 Fixed 3.00000000 N N N N N N TMIR 2020-1 M2 V/R 10/25/30 N/A 89600MAD0 3080000.00000000 NS USD 3118502.46000000 0.053332618951 Long ABS-CBDO CORP BM Y 2 2030-10-25 Variable 5.69150000 N N N N N N JETBLUE AIRWAYS CO 4% 11/15/32 N/A 477164AA5 1883297.10000000 NS USD 2077908.92000000 0.035536391607 Long DBT CORP US N 2 2032-11-15 Fixed 4.00000000 N N N N N N GNMA P#401000 7.5% 06/15/24 N/A 36205UNR7 680.50000000 NS USD 690.07000000 0.000011801574 Long ABS-MBS USGSE US N 2 2024-06-15 Fixed 7.50000000 N N N N N N T/L TPF II POWER 0% 10/02/2025 N/A 87264NAB3 885790.70000000 NS USD 793257.46000000 0.013566286506 Long LON CORP US N 2 2025-10-02 Floating 4.75000000 N N N N N N INTESA SANPAOLO 4.7% 09/23/49 2W8N8UU78PMDQKZENC08 46115HBN6 5617000.00000000 NS USD 6577891.65000000 0.112495081653 Long DBT CORP IT Y 2 2049-09-23 Fixed 4.70000000 N N N N N N FGLMC P#C03792 3.5% 04/01/42 N/A 31292LF91 565596.69000000 NS USD 608399.64000000 0.010404848669 Long ABS-MBS USGA US N 2 2042-04-01 Fixed 3.50000000 N N N N N N FREMF 2017-K66 B V/R 07/25/27 N/A 35708QAU7 2623000.00000000 NS USD 2922278.79000000 0.049976802383 Long ABS-CBDO CORP US N 2 2027-07-25 Variable 4.17274800 N N N N N N GNMA P#616694 5.5% 10/15/34 N/A 36290TC72 19198.06000000 NS USD 21762.59000000 0.000372183743 Long ABS-MBS USGSE US N 2 2034-10-15 Fixed 5.50000000 N N N N N N ARTEX SAC LIMITED 0% 06/15/21 N/A N/A 553333.00000000 NS USD 173815.73000000 0.002972596050 Long DBT CORP BM N 3 2022-06-15 Fixed 0.00000000 N N N N N N FGLMC P#G12432 5% 12/01/21 N/A 3128M1SV2 34.61000000 NS USD 36.02000000 0.000000616013 Long ABS-MBS USGA US N 2 2021-12-01 Fixed 5.00000000 N N N N N N UMBS P#BO0345 4% 11/01/48 N/A 3140JUL36 287122.37000000 NS USD 315541.12000000 0.005396383210 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N NRZT 2020-RPL1 B V/R 11/25/59 N/A 64828XAE3 25700000.00000000 NS USD 26296769.42000000 0.449727265288 Long ABS-CBDO CORP US Y 2 2059-11-25 Variable 3.90752000 N N N N N N UMBS P#AB5422 3.5% 06/01/42 N/A 31417CAY1 277390.48000000 NS USD 301007.08000000 0.005147822105 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.50000000 N N N N N N T/L RACKSPACE HOST 0% 11/03/23 N/A 75008QAL0 0.02000000 NS USD 0.02000000 0.000000000342 Long LON CORP US N 2 2023-11-03 Floating 0.00000000 N N N N N N FGLMC P#G67700 3.5% 08/01/46 N/A 3132XCRV9 4834684.82000000 NS USD 5250951.33000000 0.089801752606 Long ABS-MBS USGA US N 2 2046-08-01 Fixed 3.50000000 N N N N N N GNMA P#781354 6% 11/15/31 N/A 36225BQF8 9379.87000000 NS USD 10964.89000000 0.000187521513 Long ABS-MBS USGSE US N 2 2031-11-15 Fixed 6.00000000 N N N N N N BABS 2021-RM1 A V/R 09/25/27 N/A 10638CAA0 5589754.09000000 NS USD 5337275.52000000 0.091278068623 Long ABS-CBDO CORP US Y 2 2063-10-25 Variable 1.40000000 N N N N N N FGLMC P#Q47050 4% 03/01/47 N/A 3132WLZQ2 585465.66000000 NS USD 627871.12000000 0.010737849856 Long ABS-MBS USGA US N 2 2047-03-01 Fixed 4.00000000 N N N N N N BMARK 2018-B8 3.962% 10/15/28 N/A 08162UAV2 8000000.00000000 NS USD 9006345.60000000 0.154026493225 Long ABS-CBDO CORP US N 2 2052-01-15 Fixed 3.96280000 N N N N N N FGLMC P#Q13205 3% 11/01/42 N/A 3132HPR22 3833632.75000000 NS USD 4088299.71000000 0.069918088373 Long ABS-MBS USGA US N 2 2042-11-01 Fixed 3.00000000 N N N N N N CVS PASS-THROU 8.353% 07/10/31 N/A 126659AA9 4133497.84000000 NS USD 5420398.36000000 0.092699635163 Long DBT CORP US Y 2 2031-07-10 Fixed 8.35300000 N N N N N N ALLIED UNIVERS 6.625% 07/15/26 N/A 019576AA5 3971000.00000000 NS USD 4210173.33000000 0.072002370627 Long DBT CORP US Y 2 2026-07-15 Fixed 6.62500000 N N N N N N UMBS P#AL3643 4.5% 01/01/42 N/A 3138ELBM4 1814412.99000000 NS USD 2021922.25000000 0.034578907758 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.50000000 N N N N N N UMBS P#AL0065 4.5% 04/01/41 N/A 3138EGCB8 685903.17000000 NS USD 762045.68000000 0.013032502746 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.50000000 N N N N N N GNMA P#645500 5.5% 10/15/35 N/A 36292DDD1 55348.84000000 NS USD 63785.62000000 0.001090861466 Long ABS-MBS USGSE US N 2 2035-10-15 Fixed 5.50000000 N N N N N N NMEF 2019-A D 4.39% 08/15/23 N/A 65489MAD6 3000000.00000000 NS USD 3064956.00000000 0.052416867566 Long ABS-CBDO CORP US Y 2 2026-08-17 Fixed 4.39000000 N N N N N N UMBS P#MA0500 5% 08/01/40 N/A 31417YRW9 374854.77000000 NS USD 430207.19000000 0.007357401967 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 5.00000000 N N N N N N LSTRZ 2019-3 A1 V/R 04/01/24 N/A 50220XAA4 7328889.48000000 NS USD 7292299.27000000 0.124712878452 Long ABS-CBDO CORP US Y 2 2024-04-01 Variable 2.59213000 N N N N N N SEMT 2021-2 B3 V/R 04/25/51 N/A 81747YCE1 1732471.84000000 NS USD 1696111.76000000 0.029006897815 Long ABS-CBDO CORP US Y 2 2051-04-25 Variable 2.55768000 N N N N N N MSAIC 2020-1A A 2.1% 03/22/32 N/A 61946NAA6 1176894.40000000 NS USD 1199540.56000000 0.020514538764 Long ABS-CBDO CORP US Y 2 2046-04-20 Fixed 2.10000000 N N N N N N FGLMC P#G60045 5.5% 06/01/41 N/A 31335ABN7 502313.70000000 NS USD 583764.06000000 0.009983531059 Long ABS-MBS USGA US N 2 2041-06-01 Fixed 5.50000000 N N N N N N GNMA P#486934 6% 02/15/29 N/A 36210A4T1 27870.05000000 NS USD 32278.48000000 0.000552026460 Long ABS-MBS USGSE US N 2 2029-02-15 Fixed 6.00000000 N N N N N N GNMA P#AK0617 4% 11/15/44 N/A 36183HVJ1 193752.62000000 NS USD 213561.05000000 0.003652320384 Long ABS-MBS USGSE US N 2 2044-11-15 Fixed 4.00000000 N N N N N N BMIR 2018-3A M1B V/R 10/25/28 N/A 07877TAB7 3667247.92000000 NS USD 3676939.72000000 0.062883011159 Long ABS-CBDO CORP BM Y 2 2028-10-25 Variable 1.94150000 N N N N N N FGLMC P#Q45099 3.5% 12/01/46 N/A 3132WJUZ2 6294483.55000000 NS USD 6836589.78000000 0.116919336233 Long ABS-MBS USGA US N 2 2046-12-01 Fixed 3.50000000 N N N N N N FNMA P#794267 6% 9/1/34 N/A 31405NMQ5 2041.20000000 NS USD 2380.35000000 0.000040708737 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6.00000000 N N N N N N UMBS P#ZM3636 4% 07/01/47 N/A 3131XXBD2 676246.43000000 NS USD 727034.23000000 0.012433737042 Long ABS-MBS USGA US N 2 2047-07-01 Fixed 4.00000000 N N N N N N MSAIC 2019-2A 4.35% 09/20/40 N/A 61945LAC7 1443417.69000000 NS USD 1446327.04000000 0.024735080344 Long ABS-CBDO CORP US Y 2 2040-09-20 Fixed 4.35000000 N N N N N N UMBS P#941914 5% 07/01/40 N/A 31413C3X5 274326.15000000 NS USD 310734.62000000 0.005314182462 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.00000000 N N N N N N FGLMC P#Q41024 3% 06/01/46 N/A 3132WED66 3250777.22000000 NS USD 3466214.68000000 0.059279192209 Long ABS-MBS USGA US N 2 2046-06-01 Fixed 3.00000000 N N N N N N ENERGY TRANSFER LP 6% 06/15/48 MTLVN9N7JE8MIBIJ1H73 29278NAE3 4085000.00000000 NS USD 5166785.49000000 0.088362348683 Long DBT CORP US N 2 2048-06-15 Fixed 6.00000000 N N N N N N ALTICE FRANCE SA 5.5% 01/15/28 N/A 02156LAC5 8264000.00000000 NS USD 8575552.80000000 0.146659076158 Long DBT CORP FR Y 2 2028-01-15 Fixed 5.50000000 N N N N N N INTERNATIONAL 4.125% 04/15/26 N/A 460599AF0 905000.00000000 NS USD 942331.25000000 0.016115745979 Long DBT CORP US Y 2 2026-04-15 Fixed 4.12500000 N N N N N N GLM 2019-6A D V/R 01/20/33 N/A 38137WAL9 4390000.00000000 NS USD 4418969.61000000 0.075573203930 Long ABS-CBDO CORP KY Y 2 2033-01-20 Variable 4.03825000 N N N N N N DRB 2016-B A1 V/R 06/25/40 N/A 23341BAA3 102583.91000000 NS USD 102835.37000000 0.001758690164 Long ABS-CBDO CORP US Y 2 2040-06-25 Variable 1.89150000 N N N N N N GNMA II P#2934 7.5% 06/20/30 N/A 36202DHK0 1753.19000000 NS USD 2055.21000000 0.000035148194 Long ABS-MBS USGSE US N 2 2030-06-20 Fixed 7.50000000 N N N N N N MSBAM 2015-C21 C V/R 02/15/25 N/A 61764XBP9 2863500.00000000 NS USD 2849072.26000000 0.048724824545 Long ABS-CBDO CORP US N 2 2048-03-15 Variable 4.27932600 N N N N N N GSMBS 2021-PJ4 A V/R 09/25/51 N/A 36264PAD1 16812355.99000000 NS USD 16943710.93000000 0.289771289342 Long ABS-CBDO CORP US Y 2 2051-09-25 Variable 2.50000000 N N N N N N SUSSEX RE 2020-10.0% 12/31/22 N/A N/A 3609700.00000000 NS USD 181567.91000000 0.003105173807 Long DBT CORP BM N 3 2022-12-31 Fixed 0.00000000 N N N N N N GNMA P#479813 7% 12/15/30 N/A 36209SAN1 1477.87000000 NS USD 1501.09000000 0.000025671636 Long ABS-MBS USGSE US N 2 2030-12-15 Fixed 7.00000000 N N N N N N STACR 2018-HQA2 V/R 10/25/48 N/A 35563XAH5 9880000.00000000 NS USD 9969255.92000000 0.170494182393 Long ABS-CBDO CORP US Y 2 2048-10-25 Variable 2.39150000 N N N N N N GNMA II P#3095 6.5% 06/20/31 N/A 36202DNL1 4165.55000000 NS USD 4874.83000000 0.000083369326 Long ABS-MBS USGSE US N 2 2031-06-20 Fixed 6.50000000 N N N N N N FNMA P#323908 6% 9/1/29_ N/A 31374TYD5 375.26000000 NS USD 427.62000000 0.000007313155 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 6.00000000 N N N N N N SECTOR RE V LTD ZCP 12/01/24 549300QS6XPZQHTCEJ97 81369ADC3 99999.00000000 NS USD 270501.33000000 0.004626112867 Long DBT CORP BM Y 3 2024-12-01 Fixed 0.00000000 N N N N N N SOCIETE GENERALE V/R /PERP/ O2RNE8IBXP4R0TD8PU41 83368JKG4 9051000.00000000 NS USD 9130648.80000000 0.156152326148 Long DBT CORP FR Y 2 2170-03-13 Variable 7.37500000 N N N N N N JPMDB 2016-C4 3.141% 10/15/26 N/A 46646RAJ2 6650000.00000000 NS USD 7203645.75000000 0.123196726240 Long ABS-CBDO CORP US N 2 2049-12-15 Fixed 3.14130000 N N N N N N GNMA P#584399 6.5% 05/15/32 N/A 36201JGG8 3052.22000000 NS USD 3403.96000000 0.000058214512 Long ABS-MBS USGSE US N 2 2032-05-15 Fixed 6.50000000 N N N N N N TAH 2020-SFR2 2.73% 11/17/27 N/A 89613JAJ9 5650000.00000000 NS USD 5616958.24000000 0.096061201593 Long ABS-CBDO CORP US Y 2 2039-11-17 Fixed 2.73000000 N N N N N N UMBS P#BE2316 3.5% 01/01/47 N/A 3140FMSE7 2212811.92000000 NS USD 2351329.37000000 0.040212427255 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N FGLMC P#Q34332 3.5% 07/01/45 N/A 3132QQY63 114106.10000000 NS USD 124039.95000000 0.002121330822 Long ABS-MBS USGA US N 2 2045-07-01 Fixed 3.50000000 N N N N N N CAS 2019-R07 1M2 V/R 10/25/39 N/A 20753WAF3 5653650.71000000 NS USD 5677006.51000000 0.097088146912 Long ABS-CBDO CORP US Y 2 2039-10-25 Variable 2.19150000 N N N N N N UNITED AIR 202 4.875% 01/15/26 N/A 90932VAA3 2906647.50000000 NS USD 3082515.66000000 0.052717172814 Long DBT CORP US N 2 2026-01-15 Fixed 4.87500000 N N N N N N FGLMC P#G60238 3.5% 10/01/45 N/A 31335AHP6 3221708.61000000 NS USD 3499086.32000000 0.059841362890 Long ABS-MBS USGA US N 2 2045-10-01 Fixed 3.50000000 N N N N N N STACR 2021-DNA1 V/R 01/25/51 N/A 35564KBE8 9820000.00000000 NS USD 10067303.93000000 0.172170999142 Long ABS-CBDO CORP US Y 2 2051-01-25 Variable 4.76800000 N N N N N N VSTA 2020-1 A3 V/R 03/25/65 N/A 92838WAC8 20260000.00000000 NS USD 20806738.39000000 0.355836772428 Long ABS-CBDO CORP US Y 2 2065-03-25 Variable 3.20100000 N N N N N N WLKRG 2017-AA 3.41% 06/15/33 N/A 94945PAB1 910886.87000000 NS USD 914551.46000000 0.015640656101 Long ABS-CBDO CORP US Y 2 2033-06-15 Fixed 3.41000000 N N N N N N UMBS P#CA3938 3% 08/01/49 N/A 3140QBLU0 394000.92000000 NS USD 411368.41000000 0.007035221212 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.00000000 N N N N N N IMSVA 2021-1 GA 3.4% 08/18/30 N/A 44970EAA1 15150000.00000000 NS USD 15737062.50000000 0.269135191808 Long ABS-CBDO CORP US Y 2 2043-08-18 Fixed 3.40000000 N N N N N N MINERVA LUXEMB 4.375% 03/18/31 N/A 603374AF6 6740000.00000000 NS USD 6696190.00000000 0.114518219651 Long DBT CORP LU Y 2 2031-03-18 Fixed 4.37500000 N N N N N N CORPORATE OFFIC 2.75% 04/15/31 N/A 22003BAM8 5715000.00000000 NS USD 5756023.53000000 0.098439495731 Long DBT CORP US N 2 2031-04-15 Fixed 2.75000000 N N N N N N FWIA 2019-1A E V/R 10/20/32 N/A 34919EAA6 1000000.00000000 NS USD 1000858.00000000 0.017116670268 Long ABS-CBDO CORP KY Y 2 2032-10-20 Variable 7.43825000 N N N N N N OXFIN 2019-1A 5.438% 03/15/24 N/A 69145AAC2 2842376.24000000 NS USD 2934652.56000000 0.050188418558 Long ABS-CBDO CORP US Y 2 2027-02-15 Fixed 5.43800000 N N N N N N GNMA II P#2716 7% 02/20/29 N/A 36202DAR2 2976.89000000 NS USD 3360.70000000 0.000057474680 Long ABS-MBS USGSE US N 2 2029-02-20 Fixed 7.00000000 N N N N N N GNMA II P#3010 7% 12/20/30 N/A 36202DKX8 887.14000000 NS USD 1026.19000000 0.000017549898 Long ABS-MBS USGSE US N 2 2030-12-20 Fixed 7.00000000 N N N N N N GNMA P#AA8274 3.5% 07/15/42 N/A 36178GFP4 2600667.57000000 NS USD 2777662.06000000 0.047503567536 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 3.50000000 N N N N N N GNMA II P#2630 6.5% 08/20/28 N/A 36202C4P5 18172.10000000 NS USD 20538.55000000 0.000351250215 Long ABS-MBS USGSE US N 2 2028-08-20 Fixed 6.50000000 N N N N N N ISTAR INC 5.5% 02/15/26 QFFLKWYYS3UPWD86E794 45031UCJ8 515000.00000000 NS USD 539462.50000000 0.009225885924 Long DBT CORP US N 2 2026-02-15 Fixed 5.50000000 N N N N N N RESILIENCE RE LTD ZCP 04/06/21 N/A G7527LAE5 3600000.00000000 NS USD 0.00000000 0.000000 Long DBT CORP BM Y 3 2021-10-06 Fixed 0.00000000 N N N N N N UMBS P#QA3147 5% 09/01/49 N/A 31339SP82 1954891.59000000 NS USD 2141015.61000000 0.036615642014 Long ABS-MBS USGA US N 2 2049-09-01 Fixed 5.00000000 N N N N N N MFT 2019-2A C 4.11% 07/16/29 N/A 57109HAC6 5950000.00000000 NS USD 6083286.55000000 0.104036346837 Long ABS-CBDO CORP US Y 2 2029-07-16 Fixed 4.11000000 N N N N N N GNMA P#408478 7.5% 08/15/25 N/A 36206DXF9 5187.72000000 NS USD 5209.78000000 0.000089097640 Long ABS-MBS USGSE US N 2 2025-08-15 Fixed 7.50000000 N N N N N N UMBS P#AS1091 4% 11/01/43 N/A 3138WAF93 1619302.30000000 NS USD 1782490.03000000 0.030484138708 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.00000000 N N N N N N GNMA P#770470 4.5% 07/15/41 N/A 36176MW74 156251.72000000 NS USD 176487.52000000 0.003018288994 Long ABS-MBS USGSE US N 2 2041-07-15 Fixed 4.50000000 N N N N N N UMBS P#QA3329 3% 10/01/49 N/A 31339SVW2 541746.18000000 NS USD 565294.86000000 0.009667670861 Long ABS-MBS USGA US N 2 2049-10-01 Fixed 3.00000000 N N N N N N GNMA P#AF5072 4% 08/15/43 N/A 36181LT57 385074.84000000 NS USD 422157.97000000 0.007219744233 Long ABS-MBS USGSE US N 2 2043-08-15 Fixed 4.00000000 N N N N N N FNMA P#776837 6.00% 9/1/34_ N/A 31404SBE4 13898.50000000 NS USD 16499.65000000 0.000282176960 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6.00000000 N N N N N N AFHT 2019-FAIR A V/R 09/15/21 N/A 05223HAA0 11600000.00000000 NS USD 11607262.76000000 0.198507370056 Long ABS-CBDO CORP US Y 2 2032-09-15 Variable 1.12300000 N N N N N N SAN DIEGO G & 1.914% 02/01/22 KNIRVXKVNJJ4P8OTMS63 797440BT0 478592.49000000 NS USD 480345.58000000 0.008214868550 Long DBT CORP US N 2 2022-02-01 Fixed 1.91400000 N N N N N N FGLMC P#Q45370 3% 12/01/46 N/A 3132WJ6G1 1074620.33000000 NS USD 1136645.75000000 0.019438911928 Long ABS-MBS USGA US N 2 2046-12-01 Fixed 3.00000000 N N N N N N JPMMT 2021-8 A15 V/R 12/25/51 N/A 46592TBP7 10000000.00000000 NS USD 10087500.00000000 0.172516392266 Long ABS-CBDO CORP US Y 2 2051-12-25 Variable 2.50000000 N N N N N N GNMA P#719234 5% 07/15/40 N/A 3620A5BB4 78868.02000000 NS USD 91269.37000000 0.001560888469 Long ABS-MBS USGSE US N 2 2040-07-15 Fixed 5.00000000 N N N N N N STACR 2020-HQA4 V/R 09/25/50 N/A 35565RBD4 4290000.00000000 NS USD 4528912.25000000 0.077453442603 Long ABS-CBDO CORP US Y 2 2050-09-25 Variable 5.34150000 N N N N N N LIMESTONE RE LTD ZCP 08/31/21 5493004PN8HGYC184A27 G5488XAA8 82000.00000000 NS USD 4612.50000000 0.000078882960 Long DBT CORP BM N 3 2021-08-31 Fixed 0.00000000 N N N N N N US T BILL ZCP 08/17/21 N/A 912796K24 94523600.00000000 PA USD 94517922.91000000 1.616445210898 Long STIV UST US N 2 2021-08-17 Fixed 0.00000000 N N N N N N TRPTY TORONTO D 0.05% 07/01/21 N/A N/A 6695000.00000000 PA USD 6695000.00000000 0.114497868274 Long RA CORP US N 2 Repurchase Y 0.05000000 2021-07-01 6960800.00000000 USD 6828909.56899447 USD AMBS N N N FNMA P#789910 6.50% 7/1/34_ N/A 31405HR75 11693.44000000 NS USD 13103.43000000 0.000224094817 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 6.50000000 N N N N N N BHLD 2020-1 A2 V/R 02/25/55 N/A 12062RAB6 1950000.00000000 NS USD 1980398.75000000 0.033868772996 Long ABS-CBDO CORP US Y 2 2055-02-25 Variable 2.60000000 N N N N N N SOCIETE GENERALE V/R /PERP/ O2RNE8IBXP4R0TD8PU41 83370RAB4 5315000.00000000 NS USD 5507668.75000000 0.094192133090 Long DBT CORP FR Y 2 2169-11-26 Variable 4.75000000 N N N N N N THOPAS RE 2021 0% 12/31/24 N/A N/A 7000000.00000000 NS USD 7217000.00000000 0.123425110581 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N SUMMIT MATERIAL 5.25% 01/15/29 N/A 86614RAN7 400000.00000000 NS USD 424972.00000000 0.007267869764 Long DBT CORP US Y 2 2029-01-15 Fixed 5.25000000 N N N N N N UMBS P#255412 6% 10/01/34 N/A 31371LVD8 5570.07000000 NS USD 6614.51000000 0.000113121328 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 6.00000000 N N N N N N ARTEX SAC LTD V/R 02/01/22 N/A N/A 600000.00000000 NS USD 12315.35000000 0.000210617075 Long DBT CORP BM N 3 2022-02-01 Variable 0.00000000 N N N N N N UMBS P#AW9530 2.5% 04/01/45 N/A 3138XZSU6 774881.70000000 NS USD 805978.62000000 0.013783843743 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N UMBS P#BH1439 4% 04/01/47 N/A 3140GPS58 1627057.12000000 NS USD 1766698.11000000 0.030214065344 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N GNMA II P#AL9912 3.5% 04/20/45 N/A 36184JAM2 376416.74000000 NS USD 400914.99000000 0.006856446858 Long ABS-MBS USGSE US N 2 2045-04-20 Fixed 3.50000000 N N N N N N MPT OPER PARTNER 3.5% 03/15/31 N/A 55342UAM6 4020000.00000000 NS USD 4060159.80000000 0.069436839724 Long DBT CORP US N 2 2031-03-15 Fixed 3.50000000 N N N N N N FGLMC P#Q48515 3.5% 06/01/47 N/A 3132WNN99 347289.95000000 NS USD 374643.27000000 0.006407147987 Long ABS-MBS USGA US N 2 2047-06-01 Fixed 3.50000000 N N N N N N UMBS P#AS6195 3.5% 11/01/45 N/A 3138WF3D6 7242889.90000000 NS USD 7959004.85000000 0.136114875117 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 3.50000000 N N N N N N UMBS P#FM3540 4.5% 02/01/50 N/A 3140X65A5 2137905.96000000 NS USD 2318469.67000000 0.039650460772 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 4.50000000 N N N N N N GSMBS 2020-PJ1 B V/R 04/25/43 N/A 36258FAR0 3183818.99000000 NS USD 3307716.67000000 0.056568559756 Long ABS-CBDO CORP US Y 2 2050-05-25 Variable 3.69625200 N N N N N N HOOTY 2014-1A 4.846% 08/20/21 N/A 40433JAA9 4152000.00000000 NS USD 4128209.04000000 0.070600617606 Long ABS-CBDO CORP US Y 2 2044-08-20 Fixed 4.84600000 N N N N N N UMBS P#AR4368 2.5% 02/01/43 N/A 3138W12A4 61257.63000000 NS USD 63664.62000000 0.001088792124 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 2.50000000 N N N N N N BBIRD 2021-1A 2.443% 07/15/28 N/A 09229CAA7 10500000.00000000 NS USD 10560732.00000000 0.180609604394 Long ABS-CBDO CORP US Y 2 2046-07-15 Fixed 2.44300000 N N N N N N UMBS P#BC1852 3.5% 05/01/46 N/A 3140EWBW4 1747324.20000000 NS USD 1897212.85000000 0.032446128004 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.50000000 N N N N N N GNMA P#AE8310 4% 04/15/44 N/A 36181CGT9 882112.23000000 NS USD 968718.05000000 0.016567012947 Long ABS-MBS USGSE US N 2 2044-04-15 Fixed 4.00000000 N N N N N N CGCMT 2017-C4 3.471% 09/12/27 N/A 17326FAD9 4000000.00000000 NS USD 4401857.60000000 0.075280554391 Long ABS-CBDO CORP US N 2 2050-10-12 Fixed 3.47100000 N N N N N N HEALTHCARE REALT 2.4% 03/15/30 549300CB86LH2IOKHH22 421946AL8 4461000.00000000 NS USD 4488711.33000000 0.076765926599 Long DBT CORP US N 2 2030-03-15 Fixed 2.40000000 N N N N N N INTERPUBLIC GRO 4.75% 03/30/30 5493008IUOJ5VWTRC333 460690BR0 12966000.00000000 NS USD 15321692.70000000 0.262031538836 Long DBT CORP US N 2 2030-03-30 Fixed 4.75000000 N N N N N N ERAC USA FINANCE 3.8% 11/01/25 N/A 26884TAP7 1300000.00000000 NS USD 1435381.44000000 0.024547888729 Long DBT CORP US Y 2 2025-11-01 Fixed 3.80000000 N N N N N N GNMA P#552764 6.5% 09/15/32 N/A 36213FB93 11180.82000000 NS USD 12914.96000000 0.000220871604 Long ABS-MBS USGSE US N 2 2032-09-15 Fixed 6.50000000 N N N N N N UMBS P#AI2472 4.5% 05/01/41 N/A 3138AFXA3 28916.54000000 NS USD 31925.31000000 0.000545986548 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N PENSKE TRUCK LEA 1.7% 06/15/26 N/A 709599BM5 7615000.00000000 NS USD 7658769.80000000 0.130980256267 Long DBT CORP US Y 2 2026-06-15 Fixed 1.70000000 N N N N N N CHC 2019-CHC D V/R 06/15/21 N/A 162665AL7 4194384.74000000 NS USD 4104849.31000000 0.070201119579 Long ABS-CBDO CORP US Y 2 2034-06-15 Variable 2.12300000 N N N N N N UMBS TBA 30YR 2% JUL 21 N/A 01F020679 63000000.00000000 NS USD 63696445.47000000 1.089336403734 Long ABS-MBS USGA US N 2 2050-07-01 Fixed 2.00000000 N N N N N N BMARK 2020-B20 C V/R 10/15/30 N/A 08162XBN3 2950000.00000000 NS USD 3085460.76000000 0.052767539905 Long ABS-CBDO CORP US N 2 2053-10-15 Variable 3.38560000 N N N N N N SEMT 2012-6 B3 V/R 10/25/27 N/A 81744NAJ9 1013140.51000000 NS USD 1023409.60000000 0.017502347658 Long ABS-CBDO CORP US N 2 2042-12-25 Variable 3.72138200 N N N N N N LIMESTONE RE LTD ZCP 10/01/24 5493004PN8HGYC184A27 G5488XAK6 1333000.00000000 NS USD 1455369.40000000 0.024889722756 Long DBT CORP BM Y 3 2024-10-01 Fixed 0.00000000 N N N N N N GNMA P#412335 7.5% 10/15/27 N/A 36206JBC7 23979.21000000 NS USD 26562.24000000 0.000454267342 Long ABS-MBS USGSE US N 2 2027-10-15 Fixed 7.50000000 N N N N N N CIM 2021-J1 B1 V/R 03/25/51 N/A 12564KCD8 5936281.38000000 NS USD 5983414.86000000 0.102328341519 Long ABS-CBDO CORP US Y 2 2051-03-25 Variable 2.67480800 N N N N N N CCO HLDGS LLC/C 4.75% 03/01/30 N/A 1248EPCD3 8500000.00000000 NS USD 8978125.00000000 0.153543864616 Long DBT CORP US Y 2 2030-03-01 Fixed 4.75000000 N N N N N N UMBS P#AQ9047 3.5% 12/01/42 N/A 3138MRBR1 259743.60000000 NS USD 282307.97000000 0.004828029986 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.50000000 N N N N N N GNMA II P#1794 9% 03/20/22 N/A 36202B7F6 358.69000000 NS USD 360.08000000 0.000006158086 Long ABS-MBS USGSE US N 2 2022-03-20 Fixed 9.00000000 N N N N N N FCRT 2019-1 D 3.27% 06/16/25 N/A 35105RAF7 1750000.00000000 NS USD 1807345.58000000 0.030909218244 Long ABS-CBDO CORP US Y 2 2025-06-16 Fixed 3.27000000 N N N N N N GNMA P#AJ6295 4% 09/15/44 N/A 36183B7G7 90415.65000000 NS USD 97998.09000000 0.001675963017 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 4.00000000 N N N N N N GNMA P#471589 6.5% 10/15/28 N/A 36209G2W6 5506.32000000 NS USD 6140.87000000 0.000105021138 Long ABS-MBS USGSE US N 2 2028-10-15 Fixed 6.50000000 N N N N N N UMBS P#AT0238 2.5% 03/01/43 N/A 3138WMHQ7 193826.86000000 NS USD 202195.65000000 0.003457949350 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 2.50000000 N N N N N N VITALITY RE X LTD V/R 01/10/23 N/A 92850FAA2 2500000.00000000 NS USD 2451300.00000000 0.041922124645 Long DBT CORP KY Y 2 2023-01-10 Variable 1.76267400 N N N N N N GNMA P#781231 7% 12/15/30 N/A 36225BLL0 15697.17000000 NS USD 18236.77000000 0.000311885181 Long ABS-MBS USGSE US N 2 2030-12-15 Fixed 7.00000000 N N N N N N CSMC 2021-RPL2 M V/R 01/25/60 N/A 12656TAE8 2350000.00000000 NS USD 2528844.87000000 0.043248296760 Long ABS-CBDO CORP US Y 2 2060-01-25 Variable 3.25000000 N N N N N N BSP 2019-19A E V/R 01/15/33 N/A 08183PAA4 2000000.00000000 NS USD 1999908.00000000 0.034202420126 Long ABS-CBDO CORP KY Y 2 2033-01-15 Variable 7.20375000 N N N N N N RESORTS WORLD/ 4.625% 04/06/31 N/A 76120HAC1 2900000.00000000 NS USD 3005708.57000000 0.051403618210 Long DBT CORP US Y 2 2031-04-06 Fixed 4.62500000 N N N N N N GNMA II P#3544 5.5% 04/20/34 N/A 36202D5D9 73394.50000000 NS USD 85946.32000000 0.001469853685 Long ABS-MBS USGSE US N 2 2034-04-20 Fixed 5.50000000 N N N N N N LEXINGTON REALTY 2.7% 09/15/30 549300S4MH2ICXDBFV43 529043AE1 5320000.00000000 NS USD 5413579.81000000 0.092583024343 Long DBT CORP US N 2 2030-09-15 Fixed 2.70000000 N N N N N N GNMA P#569708 6.5% 02/15/32 N/A 36200Q3R3 2573.08000000 NS USD 2869.60000000 0.000049075889 Long ABS-MBS USGSE US N 2 2032-02-15 Fixed 6.50000000 N N N N N N GNMA II P#AM6677 3.5% 04/20/45 N/A 36184XM22 294843.09000000 NS USD 315664.85000000 0.005398499240 Long ABS-MBS USGSE US N 2 2045-04-20 Fixed 3.50000000 N N N N N N LLEND 2019-1A 3.52% 03/15/27 N/A 50202AAB4 2100000.00000000 NS USD 2119994.31000000 0.036256135810 Long ABS-CBDO CORP US Y 2 2027-03-15 Fixed 3.52000000 N N N N N N SHINY 2017-1A 5.927% 08/28/24 N/A 35100LAB4 4200000.00000000 NS USD 3717422.52000000 0.063575347874 Long ABS-CBDO CORP CA Y 2 2027-08-28 Fixed 5.92700000 N N N N N N GNMA II P#3689 4.5% 03/20/35 N/A 36202EC23 21020.43000000 NS USD 23242.75000000 0.000397497435 Long ABS-MBS USGSE US N 2 2035-03-20 Fixed 4.50000000 N N N N N N AH4R 2014-SFR 4.596% 12/17/24 N/A 02665XAC3 2800000.00000000 NS USD 3007819.08000000 0.051439712145 Long ABS-CBDO CORP US Y 2 2036-12-17 Fixed 4.59600000 N N N N N N LIMESTONE RE LTD ZCP 03/01/23 5493004PN8HGYC184A27 G5488XAF7 167000.00000000 NS USD 99164.60000000 0.001695912667 Long DBT CORP BM Y 3 2023-03-01 Fixed 0.00000000 N N N N N N VISTRA OPERATI 4.375% 05/01/29 N/A 92840VAH5 5950000.00000000 NS USD 5979750.00000000 0.102265665095 Long DBT CORP US Y 2 2029-05-01 Fixed 4.37500000 N N N N N N GNMA P#AU3733 3.5% 08/15/46 N/A 36194REE6 1067249.72000000 NS USD 1131927.17000000 0.019358214788 Long ABS-MBS USGSE US N 2 2046-08-15 Fixed 3.50000000 N N N N N N FGLMC P#J05452 7% 09/01/22 N/A 3128PHBV2 8066.57000000 NS USD 8125.75000000 0.000138966550 Long ABS-MBS USGA US N 2 2022-09-01 Fixed 7.00000000 N N N N N N CSC HOLDINGS LLC 5% 11/15/31 N/A 126307BK2 2325000.00000000 NS USD 2336160.00000000 0.039953000739 Long DBT CORP US Y 2 2031-11-15 Fixed 5.00000000 N N N N N N GNMA P#738710 4% 09/15/41 N/A 3620ASVB2 138832.13000000 NS USD 152455.96000000 0.002607301333 Long ABS-MBS USGSE US N 2 2041-09-15 Fixed 4.00000000 N N N N N N MLR 2018-1A C 3.7% 06/20/23 N/A 571183AE2 1143949.74000000 NS USD 1145040.61000000 0.019582480796 Long ABS-CBDO CORP US Y 2 2023-06-20 Fixed 3.70000000 N N N N N N GLENEAGLES RE 2020 0% 12/31/23 N/A N/A 1250000.00000000 NS USD 177250.00000000 0.003031328924 Long DBT CORP BM N 3 2023-12-31 Fixed 0.00000000 N N N N N N CFCC 2019-1A A 3.83% 03/15/23 N/A 21134LAA6 7600000.00000000 NS USD 7745180.52000000 0.132458052120 Long ABS-CBDO CORP US Y 2 2026-08-15 Fixed 3.83000000 N N N N N N UBS GROUP AG V/R /PERP/ 549300SZJ9VS8SGXAN81 90352JAF0 11650000.00000000 NS USD 12829562.50000000 0.219411136243 Long DBT CORP CH Y 2 2169-07-31 Variable 7.00000000 N N N N N N FGLMC P#C76446 6% 01/01/33 N/A 31288FET7 13570.65000000 NS USD 15233.86000000 0.000260529424 Long ABS-MBS USGA US N 2 2033-01-01 Fixed 6.00000000 N N N N N N GNMA P#734218 4% 02/15/41 N/A 3620AMVK5 4411.91000000 NS USD 4894.23000000 0.000083701105 Long ABS-MBS USGSE US N 2 2041-02-15 Fixed 4.00000000 N N N N N N WFCM 2016-C32 3.294% 11/15/25 N/A 94989YAY9 7800955.03000000 NS USD 8382697.21000000 0.143360860483 Long ABS-CBDO CORP US N 2 2059-01-15 Fixed 3.29400000 N N N N N N GNMA P#AK0397 4% 12/15/44 N/A 36183HNN1 837053.23000000 NS USD 923754.68000000 0.015798049539 Long ABS-MBS USGSE US N 2 2044-12-15 Fixed 4.00000000 N N N N N N GNMA P#585345 6% 11/15/32 N/A 36201KHW9 5112.20000000 NS USD 5739.21000000 0.000098151950 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 6.00000000 N N N N N N ARTEX SAC LIMITED 0% 12/31/21 N/A N/A 2118314.00000000 NS USD 361093.35000000 0.006175417299 Long DBT CORP BM N 3 2021-12-31 Fixed 0.00000000 N N N N N N ALTA WIND HOLD 7% 06/30/35 N/A 021345AA1 293464.06000000 NS USD 332958.61000000 0.005694257067 Long DBT CORP US Y 2 2035-06-30 Fixed 7.00000000 N N N N N N ATLAS LUXCO 4 4.625% 06/01/28 N/A 049362AA4 1230000.00000000 NS USD 1234440.30000000 0.021111394004 Long DBT CORP LU Y 2 2028-06-01 Fixed 4.62500000 N N N N N N G2SF 30 YR TBA 4.5% JUL 21 N/A 21H042679 3000000.00000000 NS USD 3196875.00000000 0.054672945876 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 4.50000000 N N N N N N UMBS P#912555 5% 02/01/22 N/A 31411NZU4 4905.60000000 NS USD 5105.06000000 0.000087306719 Long ABS-MBS USGSE US N 2 2022-02-01 Fixed 5.00000000 N N N N N N JPMDB 2018-C8 4.21% 05/15/28 N/A 46591ABA2 7640000.00000000 NS USD 8771747.58000000 0.150014398649 Long ABS-CBDO CORP US N 2 2051-06-15 Fixed 4.21060000 N N N N N N CENOVUS ENERGY 6.75% 11/15/39 549300EIRQ0Z2B9C1W06 15135UAF6 19020000.00000000 NS USD 25836399.20000000 0.441854015279 Long DBT CORP CA N 2 2039-11-15 Fixed 6.75000000 N N N N N N DCP MIDSTREAM OP 5.6% 04/01/44 N/A 23311VAF4 4025000.00000000 NS USD 4427500.00000000 0.075719090632 Long DBT CORP US N 2 2044-04-01 Fixed 5.60000000 N N N N N N UMBS P#AT2668 2.5% 04/01/43 N/A 3138WP6E9 86328.96000000 NS USD 89435.00000000 0.001529517079 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 2.50000000 N N N N N N CGMS 2019-4A C V/R 01/15/33 N/A 14317VAL4 2750000.00000000 NS USD 2761379.50000000 0.047225103248 Long ABS-CBDO CORP KY Y 2 2033-01-15 Variable 4.18375000 N N N N N N CGCMT 2014-GC25 V/R 10/10/24 N/A 17322YAG5 6000000.00000000 NS USD 6476901.00000000 0.110767939884 Long ABS-CBDO CORP US N 2 2047-10-10 Variable 4.34500000 N N N N N N JPMCC 2018-WP 4.247% 07/05/23 N/A 46645WAU7 6700000.00000000 NS USD 7058140.46000000 0.120708295243 Long ABS-CBDO CORP US Y 2 2033-07-05 Fixed 4.24750000 N N N N N N GNMA P#584164 6% 12/15/32 N/A 36201H5Z2 157307.64000000 NS USD 177306.20000000 0.003032290057 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 6.00000000 N N N N N N ALTURAS RE 2019-2 0% 3/10/22 N/A N/A 34018.00000000 NS USD 46710.12000000 0.000798836320 Long DBT CORP BM N 3 2022-03-10 Fixed 0.00000000 N N N N N N BPCE SA 4.875% 04/01/26 N/A 05578QAE3 3860000.00000000 NS USD 4379259.28000000 0.074894077995 Long DBT CORP FR Y 2 2026-04-01 Fixed 4.87500000 N N N N N N GOLDMAN SACHS GRO V/R 09/29/25 784F5XWPLTWKTBV3E584 38141GWQ3 7891000.00000000 NS USD 8442648.76000000 0.144386151697 Long DBT CORP US N 2 2025-09-29 Variable 3.27200000 N N N N N N KCM 2019-S2 A 3.469% 02/15/29 N/A 49307XAC8 7150000.00000000 NS USD 7565287.73000000 0.129381526209 Long ABS-CBDO CORP US Y 2 2052-06-15 Fixed 3.46930000 N N N N N N ENERGY TRANSFER LP V/R /PERP/ MTLVN9N7JE8MIBIJ1H73 29273VAM2 11045000.00000000 NS USD 11403962.50000000 0.195030529669 Long DBT CORP US N 2 2170-05-15 Variable 7.12500000 N N N N N N ENLINK MIDSTREAM 5.6% 04/01/44 N/A 29336UAC1 4299000.00000000 NS USD 3890595.00000000 0.066536943065 Long DBT CORP US N 2 2044-04-01 Fixed 5.60000000 N N N N N N JPMMT 2021-8 A3 V/R 12/25/51 N/A 46592TAC7 15700000.00000000 NS USD 15945312.50000000 0.272696682632 Long ABS-CBDO CORP US Y 2 2051-12-25 Variable 2.50000000 N N N N N N GNMA P#594294 6% 09/15/32 N/A 36201VGB2 73799.22000000 NS USD 82743.10000000 0.001415072227 Long ABS-MBS USGSE US N 2 2032-09-15 Fixed 6.00000000 N N N N N N F/C US LONG BOND(CBT) SEP21 N/A N/A -37.00000000 NC USD -5947750.00000000 -0.10171840119 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C US LONG BOND(CBT) SEP21 US LONG BOND(CBT) SEP21 2021-09-21 5772000.00000000 USD -175750.00000000 N N N SABINE PASS LIQUEF 5% 03/15/27 N/A 785592AS5 10675000.00000000 NS USD 12332378.94000000 0.210908304613 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N T/L KUEHG CORP 0% 02/21/25 N/A 48244EAJ3 1076895.11000000 NS USD 1062536.87000000 0.018171502102 Long LON CORP US N 2 2025-02-21 Floating 4.75000000 N N N N N N FGLMC P#A86143 5% 05/01/39 N/A 312932ZG4 1213.33000000 NS USD 1393.15000000 0.000023825646 Long ABS-MBS USGA US N 2 2039-05-01 Fixed 5.00000000 N N N N N N T/L SCHWEITZER-MAUD 0% 1/27/28 N/A N/A 4365000.00000000 NS USD 4315893.75000000 0.073810400907 Long LON CORP US N 2 2028-01-27 Floating 4.50000000 N N N N N N FEIM 2019-1A D V/R 01/20/33 N/A 32010GAA3 1000000.00000000 NS USD 994352.00000000 0.017005404677 Long ABS-CBDO CORP KY Y 2 2033-01-20 Variable 7.88825000 N N N N N N UMBS P#BM1057 4% 04/01/47 N/A 3140J5E70 2106586.45000000 NS USD 2277224.82000000 0.038945091482 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N GNMA P#600056 6% 02/15/33 N/A 36200FTM0 68484.60000000 NS USD 78493.98000000 0.001342403791 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 6.00000000 N N N N N N TRPTY RBC DOMIN 0.05% 07/01/21 N/A N/A 5390000.00000000 PA USD 5390000.00000000 0.092179762509 Long RA CORP US N 2 Repurchase Y 0.05000000 2021-07-01 5319146.00000000 USD 5497808.05699396 USD AMBS N N N GNMA II P#MA2224 4% 09/20/44 N/A 36179QPH8 109601.21000000 NS USD 119766.65000000 0.002048248859 Long ABS-MBS USGSE US N 2 2044-09-20 Fixed 4.00000000 N N N N N N COLO 2021-1A B 2.65% 02/25/26 N/A 23802WAC5 2400000.00000000 NS USD 2427761.76000000 0.041519573741 Long ABS-CBDO CORP US Y 2 2051-02-27 Fixed 2.65000000 N N N N N N UMBS P#BH3875 4% 07/01/47 N/A 3140GSJV5 858753.04000000 NS USD 919599.19000000 0.015726982363 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N GNMA P#567843 6.5% 09/15/32 N/A 36213XZG2 30044.39000000 NS USD 33506.74000000 0.000573032158 Long ABS-MBS USGSE US N 2 2032-09-15 Fixed 6.50000000 N N N N N N UMBS P#SD8092 3% 09/01/50 N/A 3132DV7D1 109372.03000000 NS USD 114090.81000000 0.001951180662 Long ABS-MBS USGA US N 2 2050-09-01 Fixed 3.00000000 N N N N N N UMBS P#AS7804 4% 08/01/46 N/A 3138WHU67 1830271.40000000 NS USD 1972966.68000000 0.033741669759 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 4.00000000 N N N N N N FNMA P#535812 7% 04/01/31_ N/A 31384WGV6 3421.74000000 NS USD 3974.57000000 0.000067973083 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 7.00000000 N N N N N N UMBS P#FM1024 3.5% 05/01/49 N/A 3140X4D60 1680911.10000000 NS USD 1845669.59000000 0.031564635339 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.50000000 N N N N N N SNDPT 2019-4A E V/R 01/15/33 N/A 83614JAA0 4100000.00000000 NS USD 4116354.90000000 0.070397888142 Long ABS-CBDO CORP KY Y 2 2033-01-15 Variable 7.80375000 N N N N N N GNMA P#620942 5.5% 09/15/33 N/A 36290XZF0 27877.54000000 NS USD 31212.75000000 0.000533800349 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 5.50000000 N N N N N N HIGHWOODS REAL 3.625% 01/15/23 N/A 431282AM4 3390000.00000000 NS USD 3504418.77000000 0.059932558432 Long DBT CORP US N 2 2023-01-15 Fixed 3.62500000 N N N N N N NRZT 2020-RPL1 M V/R 11/25/59 N/A 64828XAD5 8500000.00000000 NS USD 9026710.15000000 0.154374767693 Long ABS-CBDO CORP US Y 2 2059-11-25 Variable 3.50000000 N N N N N N FGLMC P#A39717 5.5% 11/01/35 N/A 31297VYN2 16497.50000000 NS USD 19139.06000000 0.000327316142 Long ABS-MBS USGA US N 2 2035-11-01 Fixed 5.50000000 N N N N N N CCO HLDGS LLC/CA 4.5% 06/01/33 N/A 1248EPCL5 1185000.00000000 NS USD 1212563.10000000 0.020737250201 Long DBT CORP US Y 2 2033-06-01 Fixed 4.50000000 N N N N N N GNMA P#647714 6.5% 07/15/35 N/A 36292FSB4 55569.21000000 NS USD 61973.07000000 0.001059863242 Long ABS-MBS USGSE US N 2 2035-07-15 Fixed 6.50000000 N N N N N N ARTEX SAC LTD 0.0% 12/31/22 N/A N/A 7281734.00000000 NS USD 870167.21000000 0.014881596801 Long DBT CORP BM N 3 2022-12-31 Fixed 0.00000000 N N N N N N NWSB 2017-1 A V/R 02/25/43 N/A 65252WAA5 1954865.34000000 NS USD 1944957.30000000 0.033262653433 Long ABS-CBDO CORP US Y 2 2043-02-25 Variable 2.09150000 N N N N N N VALERO ENERGY 6.625% 06/15/37 549300XTO5VR8SKV1V74 91913YAL4 8468000.00000000 NS USD 11616855.01000000 0.198671416684 Long DBT CORP US N 2 2037-06-15 Fixed 6.62500000 N N N N N N GNMA II P#477433 5.9% 07/20/28 N/A 36209PLN5 31675.84000000 NS USD 34852.19000000 0.000596042040 Long ABS-MBS USGSE US N 2 2028-07-20 Fixed 5.90000000 N N N N N N PMNBT 2019-2A 5.21% 04/15/24 5493005H6EB040833X54 71384PAF8 5500000.00000000 NS USD 5667127.95000000 0.096919203811 Long ABS-CBDO CORP US Y 2 2024-05-15 Fixed 5.21000000 N N N N N N GNMA P#592490 6% 02/15/33 N/A 36201TF77 46312.48000000 NS USD 53780.89000000 0.000919760606 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 6.00000000 N N N N N N ENERGY TRANSFER 6.5% 02/01/42 MTLVN9N7JE8MIBIJ1H73 29273RAR0 4207000.00000000 NS USD 5464441.21000000 0.093452855841 Long DBT CORP US N 2 2042-02-01 Fixed 6.50000000 N N N N N N FNMA P#568443 6.5% 1/1/31_ N/A 31386NP44 512.89000000 NS USD 574.73000000 0.000009829030 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 6.50000000 N N N N N N AXIS 2019-1A E 4.47% 03/20/25 N/A 03237MAF7 2676000.00000000 NS USD 2690651.10000000 0.046015506381 Long ABS-CBDO CORP US Y 2 2025-03-20 Fixed 4.47000000 N N N N N N WEIR GROUP PLC ( 2.2% 05/13/26 549300KDR56WHY9I3D10 94876QAA4 5615000.00000000 NS USD 5640389.74000000 0.096461927030 Long DBT CORP GB Y 2 2026-05-13 Fixed 2.20000000 N N N N N N MARRIOTT INTERNA 3.5% 10/15/32 225YDZ14ZO8E1TXUSU86 571903BF9 16130000.00000000 NS USD 17156218.18000000 0.293405587642 Long DBT CORP US N 2 2032-10-15 Fixed 3.50000000 N N N N N N UMBS P#MA4048 3% 06/01/50 N/A 31418DQA3 8904651.74000000 NS USD 9289795.65000000 0.158874055061 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3.00000000 N N N N N N HEALTHCARE TRUST 3.1% 02/15/30 N/A 42225UAG9 11631000.00000000 NS USD 12365350.87000000 0.211472190453 Long DBT CORP US N 2 2030-02-15 Fixed 3.10000000 N N N N N N GNMA P#584389 6.5% 05/15/32 N/A 36201JF61 2422.91000000 NS USD 2702.13000000 0.000046211818 Long ABS-MBS USGSE US N 2 2032-05-15 Fixed 6.50000000 N N N N N N GNR 2020-9 SA V/R 01/20/50 N/A 38382CAZ4 22450715.39000000 NS USD 1767953.43000000 0.030235533822 Long ABS-CBDO CORP US N 2 2050-01-20 Variable 3.25662000 N N N N N N GNMA P#AL1913 4% 01/15/45 N/A 36183XDS6 761781.17000000 NS USD 831759.59000000 0.014224749809 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 4.00000000 N N N N N N FAHB 2021-HB1 M2 V/R 06/25/24 N/A 31735RAC1 2650000.00000000 NS USD 2638206.44000000 0.045118597975 Long ABS-CBDO CORP US Y 2 2031-02-25 Variable 2.08390000 N N N N N N GNMA P#510732 7% 11/15/29 N/A 36211ELM8 32366.13000000 NS USD 35864.26000000 0.000613350458 Long ABS-MBS USGSE US N 2 2029-11-15 Fixed 7.00000000 N N N N N N GNMA P#569158 6% 03/15/32 N/A 36200QJB1 705.14000000 NS USD 824.70000000 0.000014104016 Long ABS-MBS USGSE US N 2 2032-03-15 Fixed 6.00000000 N N N N N N CIM 2020-R2 M3 V/R 10/25/59 N/A 12558WAJ9 5170000.00000000 NS USD 5236329.55000000 0.089551690972 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 3.00000000 N N N N N N TEXAS EASTERN TR 3.5% 01/15/28 N/A 882384AD2 8870000.00000000 NS USD 9654628.31000000 0.165113422028 Long DBT CORP US Y 2 2028-01-15 Fixed 3.50000000 N N N N N N GNMA P#505111 7.5% 08/15/29 N/A 36210XDQ7 5998.09000000 NS USD 6024.14000000 0.000103024822 Long ABS-MBS USGSE US N 2 2029-08-15 Fixed 7.50000000 N N N N N N LIBERTY MUTUAL 7.697% 10/15/97 N/A 53079QAD9 18482000.00000000 NS USD 28756260.05000000 0.491789466061 Long DBT CORP US Y 2 2097-10-15 Fixed 7.69700000 N N N N N N GNMA P#485858 6.5% 10/15/31 N/A 36209YWT1 35923.81000000 NS USD 40063.71000000 0.000685169438 Long ABS-MBS USGSE US N 2 2031-10-15 Fixed 6.50000000 N N N N N N EDEN RE II LTD ZCP 03/21/25 549300LKX8PCP3SC3F42 27955HAB6 7500000.00000000 NS USD 7291500.00000000 0.124699209339 Long DBT CORP BM Y 3 2025-03-21 Fixed 0.00000000 N N N N N N FSMT 2019-1INV B V/R 10/25/49 N/A 33852ABF3 6613432.67000000 NS USD 6898369.11000000 0.117975886134 Long ABS-CBDO CORP US Y 2 2049-10-25 Variable 4.57708000 N N N N N N FGLMC P#Q28606 3.5% 09/01/44 N/A 3132M9GP3 266983.36000000 NS USD 289525.22000000 0.004951459372 Long ABS-MBS USGA US N 2 2044-09-01 Fixed 3.50000000 N N N N N N GNMA P#AM1441 4% 05/15/45 N/A 36184LS63 902582.25000000 NS USD 998841.93000000 0.017082191445 Long ABS-MBS USGSE US N 2 2045-05-15 Fixed 4.00000000 N N N N N N GNMA P#781595 6.5% 01/15/33 N/A 36225BXY9 1626.90000000 NS USD 1891.61000000 0.000032350308 Long ABS-MBS USGSE US N 2 2033-01-15 Fixed 6.50000000 N N N N N N UMBS P#AE0625 4% 12/01/40 N/A 31419AVT1 686890.23000000 NS USD 765959.59000000 0.013099438422 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N HINTT 2020-A D 5.5% 10/09/39 N/A 40439HAD1 831890.83000000 NS USD 866192.77000000 0.014813625941 Long ABS-CBDO CORP US Y 2 2039-10-09 Fixed 5.50000000 N N N N N N FGLMC P#C55683 6.5% 03/01/31 N/A 31298SJ47 1025.46000000 NS USD 1149.61000000 0.000019660626 Long ABS-MBS USGA US N 2 2031-03-01 Fixed 6.50000000 N N N N N N THOPAS RE 2019 0.0% 12/31/22 N/A N/A 3000000.00000000 NS USD 135300.00000000 0.002313900160 Long DBT CORP BM N 3 2022-12-31 Fixed 0.00000000 N N N N N N UMBS P#AS5441 2.5% 07/01/45 N/A 3138WFBK1 63116.56000000 NS USD 65656.41000000 0.001122855710 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 2.50000000 N N N N N N DROT 2019-1A B 3.53% 02/20/32 N/A 252722AB9 925745.37000000 NS USD 956300.06000000 0.016354640522 Long ABS-CBDO CORP US Y 2 2032-02-20 Fixed 3.53000000 N N N N N N FNMA 30YR TBA 3.5% JUL 21 N/A 01F032674 57000000.00000000 NS USD 60011425.71000000 1.026315207756 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 3.50000000 N N N N N N US T BILL ZCP 07/01/21 N/A 912796B40 200000000.00000000 PA USD 200000000.00000000 3.420399351005 Long STIV UST US N 2 2021-07-01 Fixed 0.00000000 N N N N N N BIMBO BAKERIES USA 4% 05/17/51 N/A 09031WAA1 1930000.00000000 NS USD 2074040.88000000 0.035470240399 Long DBT CORP US Y 2 2051-05-17 Fixed 4.00000000 N N N N N N ARIVO 2019-1 B 3.37% 01/25/24 N/A 04046LAB7 7000000.00000000 NS USD 7166217.80000000 0.122556633561 Long ABS-CBDO CORP US Y 2 2025-06-15 Fixed 3.37000000 N N N N N N CREDIT SUISSE GROUP V/R /PERP/ 549300506SI9CRFV9Z86 H3698DCA0 11725000.00000000 NS USD 12237968.75000000 0.209293701850 Long DBT CORP CH N 2 2169-07-29 Variable 7.12500000 N N N N N N GNMA II P#3570 6% 06/20/34 N/A 36202D6F3 26863.04000000 NS USD 31467.05000000 0.000538149386 Long ABS-MBS USGSE US N 2 2034-06-20 Fixed 6.00000000 N N N N N N GNMA P#605047 4.5% 02/15/34 N/A 36200NEU1 8225.00000000 NS USD 9131.14000000 0.000156160726 Long ABS-MBS USGSE US N 2 2034-02-15 Fixed 4.50000000 N N N N N N GNMA P#433566 7% 01/15/28 N/A 36207JTX1 7313.71000000 NS USD 8044.86000000 0.000137583169 Long ABS-MBS USGSE US N 2 2028-01-15 Fixed 7.00000000 N N N N N N GNMA P#577732 6% 10/15/32 N/A 36201AY51 5205.84000000 NS USD 5835.61000000 0.000099800583 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 6.00000000 N N N N N N PANGAEA RE 2020-3 0% 07/01/24 N/A N/A 5000000.00000000 NS USD 5499677.65000000 0.094055469323 Long DBT CORP BM N 3 2024-07-01 Fixed 0.00000000 N N N N N N US TIPS 1% 02/15/49 N/A 912810SG4 54289266.85000000 NS USD 73198614.26000000 1.251842463546 Long DBT UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N ENERGY TRANSFER 6.1% 02/15/42 MTLVN9N7JE8MIBIJ1H73 86765BAK5 786000.00000000 NS USD 977610.42000000 0.016719090230 Long DBT CORP US N 2 2042-02-15 Fixed 6.10000000 N N N N N N TEACHERS INSUR 6.85% 12/16/39 N/A 878091BC0 690000.00000000 NS USD 1047128.72000000 0.017907991971 Long DBT CORP US Y 2 2039-12-16 Fixed 6.85000000 N N N N N N WFCM 2018-C43 A4 V/R 02/15/28 N/A 95001LAU6 10050000.00000000 NS USD 11419764.75000000 0.195300779697 Long ABS-CBDO CORP US N 2 2051-03-15 Variable 4.01200000 N N N N N N STACR 2020-DNA3 V/R 06/25/50 N/A 35565WBD3 8720000.00000000 NS USD 9129709.20000000 0.156136257112 Long ABS-CBDO CORP US Y 2 2050-06-25 Variable 5.19150000 N N N N N N UMBS P#MA2079 4% 11/01/34 N/A 31418BJZ0 120055.10000000 NS USD 130810.16000000 0.002237114931 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 4.00000000 N N N N N N UMBS P#MA3194 3.5% 10/01/47 N/A 31418CRQ9 147062.71000000 NS USD 158748.69000000 0.002714919581 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.50000000 N N N N N N SBAP 2005-20B 4.625% 02/01/25 N/A 83162CPH0 89163.13000000 NS USD 93194.61000000 0.001593813917 Long ABS-CBDO CORP US N 2 2025-02-01 Fixed 4.62500000 N N N N N N FGLMC P#A17666 5.5% 01/01/34 N/A 31296SQT6 5038.24000000 NS USD 5823.28000000 0.000099589715 Long ABS-MBS USGA US N 2 2034-01-01 Fixed 5.50000000 N N N N N N FGLMC P#G60861 3.5% 01/01/47 N/A 31335A5W4 757300.79000000 NS USD 817450.23000000 0.013980031180 Long ABS-MBS USGA US N 2 2047-01-01 Fixed 3.50000000 N N N N N N HPA 2017-1 B V/R 07/17/22 N/A 43730TAC7 750000.00000000 NS USD 750764.70000000 0.012839575463 Long ABS-CBDO CORP US Y 2 2034-07-17 Variable 1.43200000 N N N N N N BHLD 2020-1 A3 V/R 02/25/55 N/A 12062RAC4 3250000.00000000 NS USD 3326816.68000000 0.056895208065 Long ABS-CBDO CORP US Y 2 2055-02-25 Variable 3.25300000 N N N N N N UMBS P#AL2693 4% 08/01/42 N/A 3138EJ7F9 2960617.20000000 NS USD 3249074.19000000 0.055565656254 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.00000000 N N N N N N ALTICE FRANCE 5.125% 07/15/29 N/A 02156LAF8 1945000.00000000 NS USD 1954530.50000000 0.033426374268 Long DBT CORP FR Y 2 2029-07-15 Fixed 5.12500000 N N N N N N CHASE 2016-SH1 M V/R 04/25/45 N/A 16163YAD6 2291729.20000000 NS USD 2321588.14000000 0.039703792836 Long ABS-CBDO CORP US Y 2 2045-04-25 Variable 3.75000000 N N N N N N BANK 2017-BNK 3.748% 09/15/27 N/A 06541XAJ9 10350000.00000000 NS USD 11423097.32000000 0.195357773298 Long ABS-CBDO CORP US N 2 2060-09-15 Fixed 3.74800000 N N N N N N DENNING RE 2020 0.00% 07/31/24 N/A N/A 3000000.00000000 NS USD 3024807.69000000 0.051730251298 Long DBT CORP BM N 3 2024-07-31 Fixed 0.00000000 N N N N N N ADANIREN KODSO 4.625% 10/15/39 N/A 00654CAA0 5181435.00000000 NS USD 5257083.95000000 0.089906632653 Long DBT CORP IN Y 2 2039-10-15 Fixed 4.62500000 N N N N N N UMBS P#BE5591 3.5% 01/01/47 N/A 3140FRF91 4014930.42000000 NS USD 4357930.70000000 0.074529316690 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N GNMA P#741396 4% 09/15/40 N/A 3620AVUV2 2802.16000000 NS USD 3108.54000000 0.000053162240 Long ABS-MBS USGSE US N 2 2040-09-15 Fixed 4.00000000 N N N N N N UMBS P#AB3678 3.5% 10/01/41 N/A 31417ACQ0 335176.82000000 NS USD 366117.60000000 0.006261342007 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 3.50000000 N N N N N N OMIR 2018-1A M2 V/R 07/25/28 N/A 67400CAB4 2457000.00000000 NS USD 2484713.73000000 0.042493566147 Long ABS-CBDO CORP US Y 2 2028-07-25 Variable 2.94150000 N N N N N N BANK 2017-BNK 3.624% 06/15/27 N/A 06541WBA9 7460000.00000000 NS USD 8164746.95000000 0.139633475844 Long ABS-CBDO CORP US N 2 2060-06-15 Fixed 3.62400000 N N N N N N JPMCC 2016-JP 2.821% 07/15/26 N/A 46590MAR1 4597183.00000000 NS USD 4869983.98000000 0.083286450222 Long ABS-CBDO CORP US N 2 2049-08-15 Fixed 2.82180000 N N N N N N GNMA P#579539 6.5% 03/15/32 N/A 36201CZC1 8052.13000000 NS USD 8980.07000000 0.000153577127 Long ABS-MBS USGSE US N 2 2032-03-15 Fixed 6.50000000 N N N N N N TAH 2019-SFR1 2.75% 03/17/26 N/A 89612LAA4 9404736.24000000 NS USD 9812835.96000000 0.167819088745 Long ABS-CBDO CORP US Y 2 2038-03-17 Fixed 2.75000000 N N N N N N GNMA II P#2741 6.5% 04/20/29 N/A 36202DBJ9 10944.43000000 NS USD 12414.36000000 0.000212310344 Long ABS-MBS USGSE US N 2 2029-04-20 Fixed 6.50000000 N N N N N N FINANCE AMER 2.0% 09/25/69 N/A 31739LAA4 9613817.47000000 NS USD 10255766.67000000 0.175394088310 Long ABS-CBDO CORP US Y 2 2069-09-25 Fixed 2.00000000 N N N N N N BMARK 2020-IG3 B V/R 04/15/30 N/A 08162QAN9 2850000.00000000 NS USD 3005764.47000000 0.051404574212 Long ABS-CBDO CORP US Y 2 2048-09-15 Variable 3.38843700 N N N N N N GNMA P#552754 6% 09/15/32 N/A 36213FBX0 61264.16000000 NS USD 68694.42000000 0.001174811747 Long ABS-MBS USGSE US N 2 2032-09-15 Fixed 6.00000000 N N N N N N HENDR 2019-1A 3.82% 01/15/43 N/A 46650XAA1 5783026.38000000 NS USD 6486512.46000000 0.110932315042 Long ABS-CBDO CORP US Y 2 2071-08-17 Fixed 3.82000000 N N N N N N CEDAR RE 2020 0% 06/30/24 N/A N/A 3250000.00000000 NS USD 97544.82000000 0.001668211195 Long DBT CORP BM N 3 2024-06-30 Fixed 0.00000000 N N N N N N MFCC 2021-1A A 1.54% 02/28/23 N/A 58940BAA4 7550000.00000000 NS USD 7572289.11000000 0.129501263787 Long ABS-CBDO CORP US Y 2 2026-03-20 Fixed 1.54000000 N N N N N N HALLIBURTON CO 7.6% 08/15/96 ENYF8GB5SMQZ25S06U51 406216AS0 2250000.00000000 NS USD 2903416.72000000 0.049654223323 Long DBT CORP US Y 2 2096-08-15 Fixed 7.60000000 N N N N N N GNMA P#717180 4% 06/15/39 N/A 3620A2XH4 1498.14000000 NS USD 1649.25000000 0.000028205468 Long ABS-MBS USGSE US N 2 2039-06-15 Fixed 4.00000000 N N N N N N DRIVE 2020-2 C 2.28% 09/15/23 N/A 26208VAF3 2400000.00000000 NS USD 2462631.84000000 0.042115921736 Long ABS-CBDO CORP US N 2 2026-08-17 Fixed 2.28000000 N N N N N N UMBS P#ZN1349 4.5% 11/01/48 N/A 3131Y7QA8 518363.32000000 NS USD 559756.14000000 0.009572947689 Long ABS-MBS USGA US N 2 2048-11-01 Fixed 4.50000000 N N N N N N JPMDB 2016-C2 B V/R 05/15/26 N/A 46590LAY8 3450000.00000000 NS USD 3593439.27000000 0.061454986734 Long ABS-CBDO CORP US N 2 2049-06-15 Variable 3.99010000 N N N N N N GNMA P#AJ1849 4% 10/15/44 N/A 36182WBS1 31525.24000000 NS USD 33871.67000000 0.000579273190 Long ABS-MBS USGSE US N 2 2044-10-15 Fixed 4.00000000 N N N N N N ALTURAS RE 2021-2 0% 12/31/24 N/A N/A 3959302.00000000 NS USD 3958906.07000000 0.067705198762 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N GNMA P#781129 7% 11/15/28 N/A 36225BHE1 20796.19000000 NS USD 23866.16000000 0.000408158990 Long ABS-MBS USGSE US N 2 2028-11-15 Fixed 7.00000000 N N N N N N STACR 2020-DNA4 V/R 08/25/50 N/A 35565XBD1 8960000.00000000 NS USD 9598799.62000000 0.164158639953 Long ABS-CBDO CORP US Y 2 2050-08-25 Variable 6.09150000 N N N N N N UMBS P#AO3879 4% 06/01/42 N/A 3138LUJZ9 148047.64000000 NS USD 160666.74000000 0.002747722066 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4.00000000 N N N N N N GNMA P#486593 5.5% 01/15/35 N/A 36210ARN9 73004.92000000 NS USD 84784.59000000 0.001449985783 Long ABS-MBS USGSE US N 2 2035-01-15 Fixed 5.50000000 N N N N N N ARTEX SAC LTD V/R 12/31/21 N/A N/A 2000000.00000000 NS USD 22800.00000000 0.000389925526 Long DBT CORP BM N 3 2021-12-31 Variable 0.00000000 N N N N N N UMBS P#AD2739 5% 07/01/40 N/A 31418QBH5 418377.55000000 NS USD 479912.04000000 0.008207454150 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.00000000 N N N N N N F/C US ULTRA BOND CBT SEP21 N/A N/A 1131.00000000 NC USD 217929562.50000000 3.727030670699 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Long F/C US ULTRA BOND CBT SEP21 US ULTRA BOND CBT SEP21 2021-09-21 208352132.81000000 USD 9577429.69000000 N N N ACAR 2019-2 E 4.29% 12/10/21 N/A 02530DAE6 4000000.00000000 NS USD 4195183.60000000 0.071746016313 Long ABS-CBDO CORP US Y 2 2025-06-12 Fixed 4.29000000 N N N N N N LIMESTONE RE LTD ZCP 08/31/21 5493004PN8HGYC184A27 G5488XAB6 28000.00000000 NS USD 1575.00000000 0.000026935644 Long DBT CORP BM N 3 2021-08-31 Fixed 0.00000000 N N N N N N GNMA P#470321 7% 05/15/29 N/A 36209FPE3 17305.87000000 NS USD 17622.74000000 0.000301384042 Long ABS-MBS USGSE US N 2 2029-05-15 Fixed 7.00000000 N N N N N N WLKRG 2019-AA 4.03% 06/15/38 N/A 94946DAD3 750290.87000000 NS USD 772662.37000000 0.013214069344 Long ABS-CBDO CORP US Y 2 2038-06-15 Fixed 4.03000000 N N N N N N DYCOM INDUSTRIES 4.5% 04/15/29 549300F56EKTHQI3WT60 267475AD3 4494000.00000000 NS USD 4532918.04000000 0.077521949610 Long DBT CORP US Y 2 2029-04-15 Fixed 4.50000000 N N N N N N COMM 2014-UBS4 3.42% 06/10/24 N/A 12591QAQ5 4100000.00000000 NS USD 4318356.98000000 0.073852527059 Long ABS-CBDO CORP US N 2 2047-08-10 Fixed 3.42000000 N N N N N N FGLMC P#Q15643 3% 02/01/43 N/A 3132J6WD2 500808.65000000 NS USD 536554.41000000 0.009176151778 Long ABS-MBS USGA US N 2 2043-02-01 Fixed 3.00000000 N N N N N N GNMA P#315171 9% 06/15/22 N/A 36223RCG8 369.47000000 NS USD 372.60000000 0.000006372203 Long ABS-MBS USGSE US N 2 2022-06-15 Fixed 9.00000000 N N N N N N GNMA P#436753 7.5% 02/15/27 N/A 36207NE26 3596.66000000 NS USD 3664.22000000 0.000062665478 Long ABS-MBS USGSE US N 2 2027-02-15 Fixed 7.50000000 N N N N N N GNR 2012-130 PA 3% 04/20/41 N/A 38378GJK5 162486.80000000 NS USD 165665.37000000 0.002833208620 Long ABS-CBDO CORP US N 2 2041-04-20 Fixed 3.00000000 N N N N N N UNICREDIT SPA V/R 09/22/26 549300TRUWO2CD2G5692 904678AU3 21025000.00000000 NS USD 21324257.87000000 0.364687388896 Long DBT CORP IT Y 2 2026-09-22 Variable 2.56900000 N N N N N N JPMMT 2021-7 A15 V/R 11/25/51 N/A 46592NBP0 9957896.34000000 NS USD 10041921.07000000 0.171736901553 Long ABS-CBDO CORP US Y 2 2051-11-25 Variable 2.50000000 N N N N N N SMALL BUS ADMIN 4.84% 5/1/25 N/A 83162CPN7 72498.87000000 NS USD 76382.42000000 0.001306291898 Long ABS-CBDO CORP US N 2 2025-05-01 Fixed 4.84000000 N N N N N N FFIN 2021-1A A 1.27% 05/15/41 N/A 35041LAA8 5967841.65000000 NS USD 5975217.31000000 0.102188147046 Long ABS-CBDO CORP US Y 2 2041-05-15 Fixed 1.27000000 N N N N N N GNMA P#AA8385 4% 03/15/44 N/A 36178GJ62 245202.93000000 NS USD 270649.24000000 0.004628642424 Long ABS-MBS USGSE US N 2 2044-03-15 Fixed 4.00000000 N N N N N N CHASE 2016-SH2 M V/R 12/25/45 N/A 16164AAE5 2307677.60000000 NS USD 2331717.37000000 0.039877022895 Long ABS-CBDO CORP US Y 2 2045-12-25 Variable 3.75000000 N N N N N N UMBS P#AK8257 4% 04/01/42 N/A 3138EDE72 1062478.42000000 NS USD 1161261.44000000 0.019859889378 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.00000000 N N N N N N GNMA II P#784449 V/R 09/20/44 N/A 3622A25J7 1892588.66000000 NS USD 2035726.05000000 0.034814980301 Long ABS-MBS USGSE US N 2 2044-09-20 Fixed 4.50000000 N N N N N N FGLMC P#Q12846 4% 11/01/42 N/A 3132HPET7 28998.47000000 NS USD 31605.53000000 0.000540517671 Long ABS-MBS USGA US N 2 2042-11-01 Fixed 4.00000000 N N N N N N BRITISH AIR 19- 3.35% 06/15/29 N/A 11043XAB9 5683777.75000000 NS USD 5692211.91000000 0.097348189613 Long DBT CORP GB Y 2 2029-06-15 Fixed 3.35000000 N N N N N N TPMT 2017-6 M2 V/R 10/25/57 N/A 89175JAD2 3200000.00000000 NS USD 3364786.88000000 0.057544574303 Long ABS-CBDO CORP US Y 2 2057-10-25 Variable 3.25000000 N N N N N N GNMA P#513290 7.5% 08/15/29 N/A 36211HF71 2079.07000000 NS USD 2107.63000000 0.000036044681 Long ABS-MBS USGSE US N 2 2029-08-15 Fixed 7.50000000 N N N N N N ARTEX SAC LTD V/R 03/31/22 N/A N/A 1500000.00000000 NS USD 87661.55000000 0.001499187543 Long DBT CORP BM N 3 2022-03-31 Variable 0.00000000 N N N N N N FGLMC P#Q63852 4% 05/01/49 N/A 3132VQH66 407443.58000000 NS USD 433960.86000000 0.007421597219 Long ABS-MBS USGA US N 2 2049-05-01 Fixed 4.00000000 N N N N N N VISTRA CORP 3.7% 01/30/27 N/A 92840VAG7 19115000.00000000 NS USD 20432327.43000000 0.349433597405 Long DBT CORP US Y 2 2027-01-30 Fixed 3.70000000 N N N N N N ARTEX SAC LTD BER 0% 12/31/21 N/A N/A 10192268.00000000 NS USD 979295.02000000 0.016747900254 Long DBT CORP BM N 3 2021-12-31 Fixed 0.00000000 N N N N N N FARMERS INS EXCH V/R 11/01/57 549300UWG2TLX1GZVT44 309601AE2 9710000.00000000 NS USD 10950992.08000000 0.187283831016 Long DBT CORP US Y 2 2057-11-01 Variable 4.74700000 N N N N N N GNMA P#589537 6% 11/15/32 N/A 36201P4W2 3450.42000000 NS USD 3872.82000000 0.000066232955 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 6.00000000 N N N N N N WFRBS 2014-C25 D V/R 11/15/47 N/A 92939LAU0 1750000.00000000 NS USD 1607473.00000000 0.027490998029 Long ABS-CBDO CORP US Y 2 2047-11-15 Variable 3.80300000 N N N N N N GNMA P#592637 6% 03/15/33 N/A 36201TLS4 12755.32000000 NS USD 14285.11000000 0.000244303904 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.00000000 N N N N N N FNMA TBA 15YR 2.0% JUN 21 N/A 01F020471 37000000.00000000 NS USD 38175371.97000000 0.652875087552 Long ABS-MBS USGA US N 2 2036-07-01 Fixed 2.00000000 N N N N N N FGLMC P#C01119 6.5% 11/01/30 N/A 31292HG40 189.53000000 NS USD 212.49000000 0.000003634003 Long ABS-MBS USGA US N 2 2030-11-01 Fixed 6.50000000 N N N N N N DPABS 2019-1A 3.668% 10/25/29 N/A 25755TAL4 9183750.00000000 NS USD 9936174.64000000 0.169928426450 Long ABS-CBDO CORP US Y 2 2049-10-25 Fixed 3.66800000 N N N N N N UMBS P#BO5044 3% 09/01/49 N/A 3140K0TA6 1314497.68000000 NS USD 1377588.00000000 0.023559505505 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N UNITED AIRLINE 4.375% 04/15/26 N/A 90932LAG2 1440000.00000000 NS USD 1490400.00000000 0.025488815963 Long DBT CORP US Y 2 2026-04-15 Fixed 4.37500000 N N N N N N AVID 2019-1 C 3.14% 05/15/23 N/A 05369DAC9 2000000.00000000 NS USD 2056796.40000000 0.035175325358 Long ABS-CBDO CORP US Y 2 2026-07-15 Fixed 3.14000000 N N N N N N T/L STAPLES INC 0% 09/12/24 N/A 855031AR1 524300.00000000 NS USD 517746.25000000 0.008854494687 Long LON CORP US N 2 2024-09-12 Floating 4.67563000 N N N N N N COMM 2015-DC1 B V/R 01/10/25 N/A 12629NAJ4 4500000.00000000 NS USD 4819791.15000000 0.082428052607 Long ABS-CBDO CORP US N 2 2048-02-10 Variable 4.03500000 N N N N N N GNMA P#592716 6.5% 05/15/33 N/A 36201TN94 16477.48000000 NS USD 18376.36000000 0.000314272449 Long ABS-MBS USGSE US N 2 2033-05-15 Fixed 6.50000000 N N N N N N HIGHWOODS REAL 4.125% 03/15/28 N/A 431282AQ5 7105000.00000000 NS USD 7965027.57000000 0.136217875655 Long DBT CORP US N 2 2028-03-15 Fixed 4.12500000 N N N N N N GNMA P#AJ4208 4% 09/15/44 N/A 36182YU98 30317.87000000 NS USD 33589.19000000 0.000574442218 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 4.00000000 N N N N N N UMBS P#AS5816 3.5% 09/01/45 N/A 3138WFPA8 2415523.28000000 NS USD 2586045.17000000 0.044226536105 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N GNMA P#552949 6% 12/15/32 N/A 36213FH22 87426.15000000 NS USD 98020.18000000 0.001676340800 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 6.00000000 N N N N N N RBIT 2020-1 M3 V/R 10/25/22 N/A 74968QAD9 1250000.00000000 NS USD 1244921.25000000 0.021290639177 Long ABS-CBDO CORP US Y 2 2030-02-25 Variable 2.96360000 N N N N N N BOEING CO 3.75% 02/01/50 RVHJWBXLJ1RFUBSY1F30 097023CQ6 21700000.00000000 NS USD 22380898.04000000 0.382758045654 Long DBT CORP US N 2 2050-02-01 Fixed 3.75000000 N N N N N N JPMDB 2018-C8 XB V/R 05/15/28 N/A 46591ABD6 45714000.00000000 NS USD 424248.78000000 0.007255501258 Long ABS-CBDO CORP US N 2 2051-06-15 Variable 0.19218700 N N N N N N STACR 2021-HQA1 V/R 08/25/33 N/A 35564KCP2 4860000.00000000 NS USD 4908630.13000000 0.083947376554 Long ABS-CBDO CORP US Y 2 2033-08-25 Variable 5.01800000 N N N N N N EQT CORP 3.125% 05/15/26 4NT01YGM4X7ZX86ISY52 26884LAM1 1705000.00000000 NS USD 1742868.05000000 0.029806523735 Long DBT CORP US Y 2 2026-05-15 Fixed 3.12500000 N N N N N N MDPK 2016-22A ER V/R 01/15/33 N/A 55819VAG1 4850000.00000000 NS USD 4840270.90000000 0.082778297225 Long ABS-CBDO CORP KY Y 2 2033-01-15 Variable 6.88375000 N N N N N N EMIR 2018-1 M1 V/R 11/25/23 N/A 269826AA1 1882383.66000000 NS USD 1883649.37000000 0.032214165413 Long ABS-CBDO CORP US Y 2 2028-11-25 Variable 1.79150000 N N N N N N TPMT 2019-HY2 M2 V/R 05/25/58 N/A 89177HAD4 20380000.00000000 NS USD 21052061.07000000 0.360032280105 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 1.99150000 N N N N N N TPMT 2019-HY2 XA V/R 05/25/58 N/A 89177HAN2 812255.29000000 NS USD 811376.59000000 0.013876159809 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 5.00000000 N N N N N N UMBS P#BM3282 3.5% 12/01/47 N/A 3140J7UG8 360105.96000000 NS USD 395626.37000000 0.006766000895 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N AQFIT 2019-A C 4.01% 09/15/25 N/A 038370AC6 5900000.00000000 NS USD 6222740.62000000 0.106421289890 Long ABS-CBDO CORP US Y 2 2040-07-16 Fixed 4.01000000 N N N N N N SEMT 2018-CH3 A1 V/R 01/25/25 N/A 81746WAA6 915241.48000000 NS USD 937132.04000000 0.016026829107 Long ABS-CBDO CORP US Y 2 2048-08-25 Variable 4.50000000 N N N N N N FNMA P#580982 6.5% 5/1/31__ N/A 31387DM71 2112.31000000 NS USD 2367.01000000 0.000040480597 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 6.50000000 N N N N N N FGLMC P#Q42460 4% 06/01/46 N/A 3132WFWW5 1613121.51000000 NS USD 1739653.50000000 0.029751548511 Long ABS-MBS USGA US N 2 2046-06-01 Fixed 4.00000000 N N N N N N MPLX LP 4.875% 06/01/25 N/A 55336VAJ9 3045000.00000000 NS USD 3438276.43000000 0.058801392348 Long DBT CORP US N 2 2025-06-01 Fixed 4.87500000 N N N N N N LIMESTONE RE LTD ZCP 03/01/24 5493004PN8HGYC184A27 G5488XAH3 480000.00000000 NS USD 111936.00000000 0.001914329108 Long DBT CORP BM Y 3 2024-03-01 Fixed 0.00000000 N N N N N N FGLMC P#G01519 6% 02/01/33 N/A 31283HVL6 20644.35000000 NS USD 24412.68000000 0.000417505574 Long ABS-MBS USGA US N 2 2033-02-01 Fixed 6.00000000 N N N N N N EDGEWELL PERSONA 5.5% 06/01/28 549300CY8QZDL4Z3RU59 28035QAA0 3825000.00000000 NS USD 4054500.00000000 0.069340045843 Long DBT CORP US Y 2 2028-06-01 Fixed 5.50000000 N N N N N N BROADCOM INC 4.11% 09/15/28 549300WV6GIDOZJTV909 11135FAL5 4748000.00000000 NS USD 5345616.28000000 0.091420712274 Long DBT CORP US N 2 2028-09-15 Fixed 4.11000000 N N N N N N GNMA P#796299 3.5% 10/15/42 N/A 36177Q7M9 450586.78000000 NS USD 480613.18000000 0.008219445044 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.50000000 N N N N N N FGLMC P#Q09662 4% 07/01/42 N/A 3132GVB76 42596.28000000 NS USD 46429.29000000 0.000794033566 Long ABS-MBS USGA US N 2 2042-07-01 Fixed 4.00000000 N N N N N N BX 2020-BXLP D V/R 12/15/21 N/A 05607QAR9 6599319.05000000 NS USD 6599317.07000000 0.112861499116 Long ABS-CBDO CORP US Y 2 2036-12-15 Variable 1.32300000 N N N N N N FGLMC P#C01375 6.5% 07/01/32 N/A 31292HQ49 5522.56000000 NS USD 6377.58000000 0.000109069352 Long ABS-MBS USGA US N 2 2032-07-01 Fixed 6.50000000 N N N N N N CIM 2019-J2 B4 V/R 10/25/49 N/A 12558TBJ5 1954382.57000000 NS USD 1958729.70000000 0.033498188973 Long ABS-CBDO CORP US Y 2 2049-10-25 Variable 3.82515900 N N N N N N NRZT 2019-NQM4 A V/R 10/25/24 N/A 64828EAA3 5889536.71000000 NS USD 5947493.28000000 0.101714010775 Long ABS-CBDO CORP US Y 2 2059-09-25 Variable 2.49188000 N N N N N N GNMA P#604724 5.5% 10/15/33 N/A 36200MYV9 28414.61000000 NS USD 33118.85000000 0.000566398465 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 5.50000000 N N N N N N FNMA P#603278 6.5% 9/1/31_ N/A 31388FFT5 2507.79000000 NS USD 2810.18000000 0.000048059689 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 6.50000000 N N N N N N GNMA II P#MA5021 4.5% 02/20/48 N/A 36179TSJ5 2303573.08000000 NS USD 2455755.13000000 0.041998316264 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 4.50000000 N N N N N N MERION RE 2021-1 0% 12/31/24 N/A N/A 250000.00000000 NS USD 229190.77000000 0.003919619804 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N MPLX LP 5.5% 02/15/49 N/A 55336VAT7 6920000.00000000 NS USD 8962957.07000000 0.153284462726 Long DBT CORP US N 2 2049-02-15 Fixed 5.50000000 N N N N N N OCMT 2021-1 B1 V/R 05/25/51 N/A 67647LCD1 5561938.14000000 NS USD 5623871.99000000 0.096179440523 Long ABS-CBDO CORP US Y 2 2051-05-25 Variable 2.73792000 N N N N N N ALTURAS RE SEG AC ZCP 03/10/23 N/A N/A 2200.00000000 NS USD 5991.04000000 0.000102458746 Long DBT CORP BM Y 3 2023-03-10 Fixed 0.00000000 N N N N N N FMG RESOURCES 4.375% 04/01/31 N/A 30251GBC0 12198000.00000000 NS USD 13021365.00000000 0.222691341976 Long DBT CORP AU Y 2 2031-04-01 Fixed 4.37500000 N N N N N N GNMA P#434239 6.5% 03/15/29 N/A 36207KLU2 2112.10000000 NS USD 2355.50000000 0.000040283753 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 6.50000000 N N N N N N PINE VALLEY RE 20 0% 12/31/24 N/A N/A 1000000.00000000 NS USD 960000.00000000 0.016417916884 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N UMBS P#419795 5.9% 04/01/28 N/A 31379HKG4 54226.37000000 NS USD 56269.03000000 0.000962312768 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 5.90000000 N N N N N N GNMA P#725064 4.5% 12/15/39 N/A 3620ABQR0 497462.35000000 NS USD 558919.54000000 0.009558640159 Long ABS-MBS USGSE US N 2 2039-12-15 Fixed 4.50000000 N N N N N N UMBS P#790912 6% 09/01/34 N/A 31405JVD3 40204.28000000 NS USD 45124.78000000 0.000771723841 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6.00000000 N N N N N N GNMA II P#3162 7% 11/20/31 N/A 36202DQP9 5488.61000000 NS USD 6517.49000000 0.000111462092 Long ABS-MBS USGSE US N 2 2031-11-20 Fixed 7.00000000 N N N N N N SUSSEX RE 2021-1 0% 12/31/24 N/A N/A 1250000.00000000 NS USD 1246250.00000000 0.021313363455 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N FNMA P#685330 6% 2/1/33___ N/A 31400ELK4 4841.61000000 NS USD 5438.44000000 0.000093008183 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 6.00000000 N N N N N N UMBS P#BH3871 4% 06/01/47 N/A 3140GSJR4 1604016.53000000 NS USD 1726783.58000000 0.029531447181 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N UMBS P#ZA7158 4.5% 06/01/49 N/A 31329Q5T4 495769.32000000 NS USD 535943.93000000 0.009165711351 Long ABS-MBS USGA US N 2 2049-06-01 Fixed 4.50000000 N N N N N N CONN 2019-B B 3.62% 11/15/21 N/A 20824LAB1 1732516.58000000 NS USD 1738904.02000000 0.029738730907 Long ABS-CBDO CORP US Y 2 2024-06-17 Fixed 3.62000000 N N N N N N BOSTON SCIENTIF 2.65% 06/01/30 Y6ZDD9FP4P8JSSJMW954 101137BA4 12725000.00000000 NS USD 13175346.40000000 0.225324731379 Long DBT CORP US N 2 2030-06-01 Fixed 2.65000000 N N N N N N OCI NV 4.625% 10/15/25 549300NCMRGIBJYUOE57 67091GAE3 968000.00000000 NS USD 1009444.92000000 0.017263523746 Long DBT CORP NL Y 2 2025-10-15 Fixed 4.62500000 N N N N N N TEVA PHARMACEUT 3.15% 10/01/26 N/A 88167AAE1 11586000.00000000 NS USD 11021182.50000000 0.188484227351 Long DBT CORP NL N 2 2026-10-01 Fixed 3.15000000 N N N N N N UMBS P#AO4968 4% 06/01/42 N/A 3138LVQW6 57377.48000000 NS USD 62075.88000000 0.001061621498 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4.00000000 N N N N N N GULLANE RE 2021 0% 12/31/24 N/A N/A 6000000.00000000 NS USD 6394297.44000000 0.109355254069 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N FGLMC P#Q44193 4% 10/01/46 N/A 3132WHUT0 53252.70000000 NS USD 56726.30000000 0.000970132998 Long ABS-MBS USGA US N 2 2046-10-01 Fixed 4.00000000 N N N N N N UMBS P#MA2917 3.5% 02/01/47 N/A 31418CG32 53782.39000000 NS USD 58042.82000000 0.000992648119 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.50000000 N N N N N N SEMPRA ENERGY 3.4% 02/01/28 PBBKGKLRK5S5C0Y4T545 816851BG3 9720000.00000000 NS USD 10688792.40000000 0.182799692939 Long DBT CORP US N 2 2028-02-01 Fixed 3.40000000 N N N N N N FNMA P#624565 6.5% 3/1/32 N/A 31389FZ62 15608.28000000 NS USD 17490.31000000 0.000299119224 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 6.50000000 N N N N N N UMBS P#AY9065 2.5% 04/01/45 N/A 3138YPCB6 155108.60000000 NS USD 160919.94000000 0.002752052291 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N NGPL PIPECO LLC 3.25% 07/15/31 N/A 62928CAA0 6860000.00000000 NS USD 7078118.36000000 0.121049957224 Long DBT CORP US Y 2 2031-07-15 Fixed 3.25000000 N N N N N N FNGT 2004-T2 2 V/R 07/25/43 N/A 31393X7K7 294386.40000000 NS USD 308430.10000000 0.005274770569 Long ABS-MBS USGSE US N 2 2043-07-25 Variable 3.60419000 N N N N N N BEACON ROOFING 4.125% 05/15/29 549300HDXQWWCBOYXP31 073685AH2 2420000.00000000 NS USD 2413816.90000000 0.041281088791 Long DBT CORP US Y 2 2029-05-15 Fixed 4.12500000 N N N N N N FNMA P#625185 6.5% 2/1/32 N/A 31389KKP5 3760.35000000 NS USD 4213.77000000 0.000072063880 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 6.50000000 N N N N N N SCFT 2020-AA A 1.97% 09/25/37 N/A 85022WAP9 9203906.51000000 NS USD 9294854.91000000 0.158960578509 Long ABS-CBDO CORP US Y 2 2037-09-25 Fixed 1.97000000 N N N N N N BMIR 2020-3A M2 V/R 10/25/30 N/A 07877KAG5 5350000.00000000 NS USD 5630068.22000000 0.096285408429 Long ABS-CBDO CORP US Y 2 2030-10-25 Variable 4.94150000 N N N N N N UMBS P#AB6214 3% 09/01/42 N/A 31417C3Y9 2505940.95000000 NS USD 2671199.94000000 0.045682852705 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.00000000 N N N N N N GNMA P#555944 6.5% 05/15/31 N/A 36213JS97 30693.84000000 NS USD 34324.54000000 0.000587018171 Long ABS-MBS USGSE US N 2 2031-05-15 Fixed 6.50000000 N N N N N N FNR 2009-36 HX 4.5% 06/25/29 N/A 31397NR31 111029.43000000 NS USD 116860.09000000 0.001998540879 Long ABS-MBS USGSE US N 2 2029-06-25 Fixed 4.50000000 N N N N N N ATLANTICA SUST 4.125% 06/15/28 549300ITBBGKJ651R879 04916WAA2 975000.00000000 NS USD 993330.00000000 0.016987926436 Long DBT CORP GB Y 2 2028-06-15 Fixed 4.12500000 N N N N N N GNMA P#346690 7% 08/15/23 N/A 36203EC30 4607.83000000 NS USD 4795.43000000 0.000082011428 Long ABS-MBS USGSE US N 2 2023-08-15 Fixed 7.00000000 N N N N N N STACR 2019-DNA4 V/R 10/25/49 N/A 35565ABD1 950000.00000000 NS USD 952866.53000000 0.016295920304 Long ABS-CBDO CORP US Y 2 2049-10-25 Variable 2.79150000 N N N N N N UMBS P#ZM3417 4% 06/01/47 N/A 3131XWYN7 465327.68000000 NS USD 500632.15000000 0.008561809404 Long ABS-MBS USGA US N 2 2047-06-01 Fixed 4.00000000 N N N N N N GNMA I P#610139 5.75% 06/20/33 N/A 36202UZC0 58194.59000000 NS USD 64454.78000000 0.001102305438 Long ABS-MBS USGSE US N 2 2033-06-20 Fixed 5.75000000 N N N N N N GNMA P#780584 7% 06/15/27 N/A 36225AUH1 6347.56000000 NS USD 7027.39000000 0.000120182400 Long ABS-MBS USGSE US N 2 2027-06-15 Fixed 7.00000000 N N N N N N ALTURAS RE LTD V/R 12/20/19 N/A G0229TAE4 540698.00000000 NS USD 649919.00000000 0.011114912629 Long ABS-CBDO CORP BM N 3 2023-03-10 Variable 1.57000000 N N N N N N FNMA P#254405 6% 8/1/32 N/A 31371KR29 1617.80000000 NS USD 1919.90000000 0.000032834123 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 6.00000000 N N N N N N AXIS 2018-2A D 4.45% 06/20/23 N/A 03237JAE7 5784000.00000000 NS USD 5910771.98000000 0.101086003221 Long ABS-CBDO CORP US Y 2 2023-06-20 Fixed 4.45000000 N N N N N N FRESENIUS MED 2.375% 02/16/31 N/A 35805BAB4 16810000.00000000 NS USD 16419011.34000000 0.280797878657 Long DBT CORP US Y 2 2031-02-16 Fixed 2.37500000 N N N N N N UMBS P#AE7714 3.5% 11/01/40 N/A 31419JSC3 458313.35000000 NS USD 493591.22000000 0.008441395442 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 3.50000000 N N N N N N UMBS P#981756 6% 07/01/38 N/A 31415BE54 21141.23000000 NS USD 23900.14000000 0.000408740116 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 6.00000000 N N N N N N CVS HEALTH CORP AMRTZ 6.036%28 N/A 126650BP4 2624021.47000000 NS USD 3073187.85000000 0.052557648638 Long DBT CORP US N 2 2028-12-10 Fixed 6.03600000 N N N N N N UMBS P#AS5630 2.5% 08/01/45 N/A 3138WFHG4 123364.43000000 NS USD 128328.74000000 0.002194677695 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 2.50000000 N N N N N N MATTERHORN RE LTD V/R 01/08/24 N/A 577092AD1 1250000.00000000 NS USD 1218500.00000000 0.020838783045 Long DBT CORP BM Y 2 2024-01-08 Variable 5.00507000 N N N N N N HILCORP ENERGY I/H 6% 02/01/31 N/A 431318AV6 1850000.00000000 NS USD 1959335.00000000 0.033508540812 Long DBT CORP US Y 2 2031-02-01 Fixed 6.00000000 N N N N N N CIGAR 2019-1A 3.59% 08/15/24 N/A 125504AB6 8600000.00000000 NS USD 8746955.94000000 0.149590412102 Long ABS-CBDO CORP US Y 2 2024-08-15 Fixed 3.59000000 N N N N N N GNMA P#587115 6.5% 06/15/32 N/A 36201MGY2 7833.81000000 NS USD 8851.32000000 0.000151375245 Long ABS-MBS USGSE US N 2 2032-06-15 Fixed 6.50000000 N N N N N N MCMLT 2015-1 B3 V/R 11/25/40 N/A 599809CS7 3332000.00000000 NS USD 3603092.52000000 0.061620076585 Long ABS-CBDO CORP US Y 2 2056-06-25 Variable 3.63891600 N N N N N N DELTA AIR LINES 4.75% 10/20/28 N/A 830867AB3 2715000.00000000 NS USD 3020185.55000000 0.051651203475 Long DBT CORP US Y 2 2028-10-20 Fixed 4.75000000 N N N N N N SMITHFIELD FOODS 5.2% 04/01/29 N/A 832248BB3 728000.00000000 NS USD 848182.35000000 0.014505611797 Long DBT CORP US Y 2 2029-04-01 Fixed 5.20000000 N N N N N N PATTERN ENERGY O 4.5% 08/15/28 N/A 70339PAA7 1255000.00000000 NS USD 1299176.00000000 0.022218503736 Long DBT CORP US Y 2 2028-08-15 Fixed 4.50000000 N N N N N N UMBS P#AD7859 5% 06/01/40 N/A 31418VWV0 220712.79000000 NS USD 251675.67000000 0.004304156491 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N GNMA P#684833 4.5% 04/15/38 N/A 36295YY64 42631.48000000 NS USD 47322.68000000 0.000809312319 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 4.50000000 N N N N N N GNMA P#471313 6.5% 03/15/32 N/A 36209GSA6 44656.20000000 NS USD 49802.43000000 0.000851720996 Long ABS-MBS USGSE US N 2 2032-03-15 Fixed 6.50000000 N N N N N N PANGAEA RE 2018-1 0% 12/31/21 N/A N/A 3800000.00000000 NS USD 80007.06000000 0.001368280480 Long DBT CORP BM N 3 2021-12-31 Fixed 0.00000000 N N N N N N ARTEX SAC LTD CAR V/R 12/31/17 N/A N/A 4500000.00000000 NS USD 593100.00000000 0.010143194275 Long DBT CORP BM N 3 2021-11-30 Variable 0.00000000 N N N N N N GNMA P#443191 7% 12/15/30 N/A 36207VKC9 625.64000000 NS USD 627.98000000 0.000010739711 Long ABS-MBS USGSE US N 2 2030-12-15 Fixed 7.00000000 N N N N N N GNR 2017-21 IO V/R 10/16/58 N/A 38379U5F9 20839615.01000000 NS USD 1071677.20000000 0.018327819996 Long ABS-CBDO CORP US N 2 2058-10-16 Variable 0.70165000 N N N N N N UMBS P#BO0725 3.5% 07/01/49 N/A 3140JUYX6 43177.09000000 NS USD 46778.25000000 0.000800001479 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.50000000 N N N N N N FREMF 2014-KF05 V/R 09/25/21 N/A 30292FAA8 902510.80000000 NS USD 904679.53000000 0.015471826386 Long ABS-CBDO CORP US Y 2 2022-09-25 Variable 4.08588000 N N N N N N UMBS P#BF0291 3.5% 11/01/41 N/A 3140FXKD3 2418539.60000000 NS USD 2606312.69000000 0.044573151166 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 3.50000000 N N N N N N UMBS P#804033 5% 07/01/34 N/A 31406AHJ4 30766.53000000 NS USD 33141.94000000 0.000566793350 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5.00000000 N N N N N N GNMA P#436198 7% 02/15/28 N/A 36207MRT5 6492.47000000 NS USD 6757.42000000 0.000115565374 Long ABS-MBS USGSE US N 2 2028-02-15 Fixed 7.00000000 N N N N N N UMBS P#BJ5251 3.5% 12/01/47 N/A 3140H6ZR3 3913237.13000000 NS USD 4148249.83000000 0.070943355131 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N GNMA P#790385 4% 02/15/42 N/A 36177JNB1 14168.34000000 NS USD 15708.13000000 0.000268640388 Long ABS-MBS USGSE US N 2 2042-02-15 Fixed 4.00000000 N N N N N N FINANCE AMER 2.0% 11/25/69 N/A 31740BAA3 11484187.41000000 NS USD 12045086.61000000 0.205995032118 Long ABS-CBDO CORP US Y 2 2069-11-25 Fixed 2.00000000 N N N N N N GNMA II 30 YR TBA 2% JULY 21 N/A 21H020675 26000000.00000000 NS USD 26501718.88000000 0.453232310288 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 2.00000000 N N N N N N RACEP 2013-8A CR V/R 02/20/30 N/A 74982LBC3 8500000.00000000 NS USD 8502099.50000000 0.145402878059 Long ABS-CBDO CORP KY Y 2 2030-02-20 Variable 2.20525000 N N N N N N GNR 2019-159 CI 3.5% 12/20/49 N/A 38382BHB2 25307529.43000000 NS USD 3343084.15000000 0.057173414285 Long ABS-CBDO CORP US N 2 2049-12-20 Fixed 3.50000000 N N N N N N ANGLOGOLD HOLDI 3.75% 10/01/30 N/A 03512TAE1 3240000.00000000 NS USD 3339727.20000000 0.057116003737 Long DBT CORP GB N 2 2030-10-01 Fixed 3.75000000 N N N N N N GNMA II P#3297 6.5% 10/20/32 N/A 36202DUW9 20247.72000000 NS USD 24118.75000000 0.000412478784 Long ABS-MBS USGSE US N 2 2032-10-20 Fixed 6.50000000 N N N N N N PHILLIPS 66 PAR 3.75% 03/01/28 N/A 718549AF5 12125000.00000000 NS USD 13276758.36000000 0.227059078389 Long DBT CORP US N 2 2028-03-01 Fixed 3.75000000 N N N N N N ATKORE INC 4.25% 06/01/31 52990002TI38AM4RPV48 047649AA6 2055000.00000000 NS USD 2081304.00000000 0.035594454254 Long DBT CORP US Y 2 2031-06-01 Fixed 4.25000000 N N N N N N UMBS P#545944 6% 10/01/32 N/A 31385JP51 19842.82000000 NS USD 23496.20000000 0.000401831936 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 6.00000000 N N N N N N GNMA P#622659 6% 11/15/33 N/A 36291AWU9 40490.99000000 NS USD 45411.26000000 0.000776623221 Long ABS-MBS USGSE US N 2 2033-11-15 Fixed 6.00000000 N N N N N N MVWOT 2020-1A 4.21% 03/20/28 N/A 55400EAC3 844513.56000000 NS USD 894420.60000000 0.015296378198 Long ABS-CBDO CORP US Y 2 2037-10-20 Fixed 4.21000000 N N N N N N UMBS P#888832 6.5% 11/01/37 N/A 31410GPR8 53357.45000000 NS USD 63765.74000000 0.001090521478 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.50000000 N N N N N N GNMA P#635903 6% 11/15/34 N/A 36291RNU2 62686.35000000 NS USD 71836.21000000 0.001228542630 Long ABS-MBS USGSE US N 2 2034-11-15 Fixed 6.00000000 N N N N N N STANDARD INDUS 4.375% 07/15/30 N/A 853496AG2 4100000.00000000 NS USD 4228125.00000000 0.072309380029 Long DBT CORP US Y 2 2030-07-15 Fixed 4.37500000 N N N N N N SECTOR RE V LTD ZCP 03/01/24 549300QS6XPZQHTCEJ97 81369ACT7 600000.00000000 NS USD 371245.85000000 0.006349045322 Long DBT CORP BM Y 3 2024-03-01 Fixed 0.00000000 N N N N N N FGLMC P#J05288 7% 08/01/22 N/A 3128PG2V4 2813.72000000 NS USD 2833.57000000 0.000048459704 Long ABS-MBS USGA US N 2 2022-08-01 Fixed 7.00000000 N N N N N N FEIM 2019-1A C V/R 01/20/33 N/A 32010FAC1 4500000.00000000 NS USD 4510444.50000000 0.077137607202 Long ABS-CBDO CORP KY Y 2 2033-01-20 Variable 4.53825000 N N N N N N FNMA P#837535 6% 10/1/35 N/A 31407QPU4 74838.40000000 NS USD 83962.62000000 0.001435928454 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6.00000000 N N N N N N FGLMC P#A15484 6% 11/01/33 N/A 31296QCV0 5763.25000000 NS USD 6608.86000000 0.000113024702 Long ABS-MBS USGA US N 2 2033-11-01 Fixed 6.00000000 N N N N N N UMBS P#FM1637 4.5% 05/01/49 N/A 3140X4ZB5 15773026.64000000 NS USD 17251219.65000000 0.295030302474 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.50000000 N N N N N N AMERICAN AIRLINE 5.5% 04/20/26 N/A 00253XAA9 1685000.00000000 NS USD 1783993.75000000 0.030509855323 Long DBT CORP US Y 2 2026-04-20 Fixed 5.50000000 N N N N N N AFRICA FINANCE 4.375% 04/17/26 213800LXFHRRXIJRXW97 00830YAC5 11165000.00000000 NS USD 12151539.40000000 0.207815587387 Long DBT CORP NG Y 2 2026-04-17 Fixed 4.37500000 N N N N N N FNMA 30YR TBA 4.5% JUL 21 N/A 01F042673 173000000.00000000 NS USD 186238555.12000000 3.185051165323 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 4.50000000 N N N N N N GNMA P#AL2148 4% 02/15/45 N/A 36183XL57 646267.41000000 NS USD 700673.55000000 0.011982916778 Long ABS-MBS USGSE US N 2 2045-02-15 Fixed 4.00000000 N N N N N N ENLINK MIDSTRE 5.375% 06/01/29 54930000GY1H533OBE23 29336TAA8 510000.00000000 NS USD 532246.20000000 0.009102472785 Long DBT CORP US N 2 2029-06-01 Fixed 5.37500000 N N N N N N N/A N/A N/A 1.00000000 NC USD -8766696.62000000 -0.14992801714 N/A DCR US N 2 JP MORGAN N/A CDX.NA.HY CDX.NA.HY Y 2026-06-20 -87647178.40000000 USD 79790000.00000000 USD 79790000.00000000 USD -344339.06000000 N N N FNMA P#606344 6.5% 10/1/31_ N/A 31388JS97 1517.33000000 NS USD 1700.29000000 0.000029078354 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 6.50000000 N N N N N N GNMA P#743957 4% 08/15/40 N/A 3620AYQJ8 140410.87000000 NS USD 150872.85000000 0.002580226991 Long ABS-MBS USGSE US N 2 2040-08-15 Fixed 4.00000000 N N N N N N GENTING NY LLC/G 3.3% 02/15/26 N/A 37255JAA0 2780000.00000000 NS USD 2807423.48000000 0.048012547244 Long DBT CORP US Y 2 2026-02-15 Fixed 3.30000000 N N N N N N PORT ROYAL RE 2019 0% 5/31/22 N/A N/A 2000000.00000000 NS USD 2058200.00000000 0.035199329721 Long DBT CORP BM N 3 2022-05-31 Fixed 0.00000000 N N N N N N PENSKE TRUCK LE 3.35% 11/01/29 N/A 709599BH6 4183000.00000000 NS USD 4468762.98000000 0.076424769982 Long DBT CORP US Y 2 2029-11-01 Fixed 3.35000000 N N N N N N GNMA P#AI8459 4% 09/15/44 N/A 36198VMG9 847655.85000000 NS USD 940382.12000000 0.016082411964 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 4.00000000 N N N N N N BANQUE OUEST AFR 4.7% 10/22/31 529900LIZJABE4JJS826 06675QAC7 7150000.00000000 NS USD 7727720.00000000 0.132159442363 Long DBT CORP TG Y 2 2031-10-22 Fixed 4.70000000 N N N N N N UMBS P#AB6570 3.5% 10/01/42 N/A 31417DJQ7 179524.61000000 NS USD 188639.59000000 0.003226113656 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.50000000 N N N N N N GNMA P#781607 6% 03/15/33 N/A 36225BYC6 104422.76000000 NS USD 124191.61000000 0.002123924511 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.00000000 N N N N N N GNMA P#732238 4.5% 06/15/25 N/A 3620AKPX8 47681.42000000 NS USD 49959.79000000 0.000854412166 Long ABS-MBS USGSE US N 2 2025-06-15 Fixed 4.50000000 N N N N N N UMBS P#BE5849 4.5% 01/01/47 N/A 3140FRQB4 359139.71000000 NS USD 394106.21000000 0.006740003124 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 4.50000000 N N N N N N EXPEDIA GROUP I 3.25% 02/15/30 N/A 30212PAR6 15750000.00000000 NS USD 16467906.89000000 0.281634090194 Long DBT CORP US N 2 2030-02-15 Fixed 3.25000000 N N N N N N GNMA P#741518 4% 01/15/41 N/A 3620AVYP1 9351.58000000 NS USD 10373.82000000 0.000177413035 Long ABS-MBS USGSE US N 2 2041-01-15 Fixed 4.00000000 N N N N N N DRMT 2020-2 M1 V/R 07/25/24 N/A 24380NAD1 1450000.00000000 NS USD 1501150.20000000 0.025672665849 Long ABS-CBDO CORP US Y 2 2065-05-25 Variable 4.11200000 N N N N N N GNMA P#553320 6% 06/15/33 N/A 36213FVM2 5207.61000000 NS USD 6189.78000000 0.000105857597 Long ABS-MBS USGSE US N 2 2033-06-15 Fixed 6.00000000 N N N N N N UBS AG STAMFOR 7.625% 08/17/22 N/A 90261AAB8 10350000.00000000 NS USD 11133659.98000000 0.190407816849 Long DBT CORP US N 2 2022-08-17 Fixed 7.62500000 N N N N N N BACARDI LTD 5.3% 05/15/48 549300R32WTQNHNN5055 067316AH2 4758000.00000000 NS USD 6207321.72000000 0.106157595912 Long DBT CORP BM Y 2 2048-05-15 Fixed 5.30000000 N N N N N N FNMA P#660229 6.00% 9/1/32 N/A 31390YPN2 223.36000000 NS USD 265.01000000 0.000004532200 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 6.00000000 N N N N N N GNMA II P#3460 6% 10/20/33 N/A 36202DZZ7 45697.17000000 NS USD 53546.26000000 0.000915747964 Long ABS-MBS USGSE US N 2 2033-10-20 Fixed 6.00000000 N N N N N N JPMWM 2021-CL1 M V/R 11/25/36 N/A 46591HBL3 7231381.51000000 NS USD 7238845.74000000 0.123798716355 Long ABS-CBDO CORP US Y 2 2051-03-25 Variable 1.56800000 N N N N N N TPMT 2017-4 B1 V/R 06/25/57 N/A 89173UAE7 8720000.00000000 NS USD 9461040.42000000 0.161802682562 Long ABS-CBDO CORP US Y 2 2057-06-25 Variable 3.48908100 N N N N N N EQT CORP 3.625% 05/15/31 4NT01YGM4X7ZX86ISY52 26884LAN9 1775000.00000000 NS USD 1850437.50000000 0.031646176120 Long DBT CORP US Y 2 2031-05-15 Fixed 3.62500000 N N N N N N GNMA P#771479 4% 11/15/41 N/A 36176N2L4 2324.86000000 NS USD 2536.07000000 0.000043371860 Long ABS-MBS USGSE US N 2 2041-11-15 Fixed 4.00000000 N N N N N N GNMA P#717513 4% 05/15/39 N/A 3620A3DS0 6762.14000000 NS USD 7255.28000000 0.000124079775 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 4.00000000 N N N N N N RBIT 2020-1 M4 V/R 12/25/22 N/A 74968QAE7 1590000.00000000 NS USD 1532036.55000000 0.026200884106 Long ABS-CBDO CORP US Y 2 2030-02-25 Variable 4.19120000 N N N N N N FNCI TBA 15YR 1.5% JUL 21 N/A 01F012478 47000000.00000000 NS USD 47584250.89000000 0.813785704311 Long ABS-MBS USGA US N 2 2036-07-01 Fixed 1.50000000 N N N N N N GNMA P#605146 6% 03/15/34 N/A 36200NHX2 96299.87000000 NS USD 111815.33000000 0.001912265410 Long ABS-MBS USGSE US N 2 2034-03-15 Fixed 6.00000000 N N N N N N GNMA P#503818 6.5% 03/15/29 N/A 36210VVK4 32337.99000000 NS USD 36064.66000000 0.000616777698 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 6.50000000 N N N N N N SECTOR RE V LTD ZCP 12/01/25 549300QS6XPZQHTCEJ97 81369ADL3 2699987.00000000 NS USD 2760529.92000000 0.047210573733 Long DBT CORP BM Y 3 2025-12-01 Fixed 0.00000000 N N N N N N CGCMT 2014-GC19 V/R 02/10/24 N/A 17322AAG7 3400000.00000000 NS USD 3681300.36000000 0.062957586810 Long ABS-CBDO CORP US N 2 2047-03-10 Variable 4.80500000 N N N N N N HENDR 2008-1A 8.37% 01/15/28 N/A 88576RAB5 500000.00000000 NS USD 601192.20000000 0.010281587053 Long ABS-CBDO CORP US Y 2 2046-01-15 Fixed 8.37000000 N N N N N N CVS PASS-THROU 5.926% 01/10/34 N/A 126650BY5 1578781.16000000 NS USD 1910364.97000000 0.032671055517 Long DBT CORP US Y 2 2034-01-10 Fixed 5.92600000 N N N N N N M360 2019-CRE2 A V/R 02/15/24 N/A 55379VAA6 5128757.47000000 NS USD 5131707.53000000 0.087762445525 Long ABS-CBDO CORP KY Y 2 2034-09-15 Variable 1.52448000 N N N N N N PANGAEA RE 2018-3 0% 07/01/22 N/A N/A 6500000.00000000 NS USD 134832.10000000 0.002305898136 Long DBT CORP BM N 3 2022-07-01 Fixed 0.00000000 N N N N N N ESSENTIAL UTIL 3.566% 05/01/29 549300ILTEOF3E3QY357 03836WAB9 3340000.00000000 NS USD 3700441.41000000 0.063284936985 Long DBT CORP US N 2 2029-05-01 Fixed 3.56600000 N N N N N N EMIR 2020-2 M1C V/R 10/25/30 N/A 269820AC0 3410000.00000000 NS USD 3464587.62000000 0.059251366234 Long ABS-CBDO CORP US Y 2 2030-10-25 Variable 4.59150000 N N N N N N GNMA II P#3334 6% 01/20/33 N/A 36202DV32 42098.10000000 NS USD 49325.19000000 0.000843559239 Long ABS-MBS USGSE US N 2 2033-01-20 Fixed 6.00000000 N N N N N N FGLMC P#C76269 6% 02/01/33 N/A 31288E6E2 1472.95000000 NS USD 1663.93000000 0.000028456525 Long ABS-MBS USGA US N 2 2033-02-01 Fixed 6.00000000 N N N N N N RALI 2003-QS14 5.00% 07/25/20 N/A 76110HFL8 2573.80000000 NS USD 2316.42000000 0.000039615407 Long ABS-CBDO CORP US N 2 2021-07-25 Fixed 5.00000000 N N N N N N SECTOR RE V LTD ZCP 12/01/23 549300QS6XPZQHTCEJ97 81369ACR1 1260000.00000000 NS USD 264023.35000000 0.004515326474 Long DBT CORP BM Y 3 2023-12-01 Fixed 0.00000000 N N N N N N GNMA P#351404 6% 01/15/24 N/A 36203KKR4 2891.07000000 NS USD 3233.63000000 0.000055301529 Long ABS-MBS USGSE US N 2 2024-01-15 Fixed 6.00000000 N N N N N N STACR 2017-DNA2 V/R 10/25/29 N/A 3137G0NX3 11465925.00000000 NS USD 11978682.31000000 0.204859385995 Long ABS-CBDO CORP US N 2 2029-10-25 Variable 3.54150000 N N N N N N CFCRE 2016-C3 3.597% 11/10/25 N/A 12531WBA9 4000000.00000000 NS USD 4356019.20000000 0.074496626223 Long ABS-CBDO CORP US N 2 2048-01-10 Fixed 3.59700000 N N N N N N CBSLT 2017-BGS A V/R 03/25/27 N/A 20268KAB6 530357.17000000 NS USD 526152.13000000 0.008998252019 Long ABS-CBDO CORP US Y 2 2042-09-25 Variable 0.74150000 N N N N N N FGLMC P#A37171 5.5% 08/01/35 N/A 31297S6G5 50397.55000000 NS USD 56599.71000000 0.000967968056 Long ABS-MBS USGA US N 2 2035-08-01 Fixed 5.50000000 N N N N N N GNMA P#638331 5.5% 02/15/35 N/A 36291UEC5 32731.82000000 NS USD 36586.19000000 0.000625696902 Long ABS-MBS USGSE US N 2 2035-02-15 Fixed 5.50000000 N N N N N N UMBS P#MA2596 3% 04/01/31 N/A 31418B3E4 678163.94000000 NS USD 717688.22000000 0.012273901609 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 3.00000000 N N N N N N TPMT 2019-3 M2D V/R 01/01/32 N/A 89177LBE2 10000000.00000000 NS USD 10365062.00000000 0.177263256689 Long ABS-CBDO CORP US Y 2 2059-02-25 Variable 3.25000000 N N N N N N TPMT 2018-1 B1 V/R 05/25/28 N/A 89176EAE0 5161000.00000000 NS USD 5545338.12000000 0.094836354533 Long ABS-CBDO CORP US Y 2 2058-01-25 Variable 3.79777000 N N N N N N UMBS P#ZM4353 4% 10/01/47 N/A 3131XXZS3 2227433.33000000 NS USD 2381685.83000000 0.040731583336 Long ABS-MBS USGA US N 2 2047-10-01 Fixed 4.00000000 N N N N N N GNMA P#561564 7% 08/15/31 N/A 36213QZ51 74592.00000000 NS USD 88555.72000000 0.001514479636 Long ABS-MBS USGSE US N 2 2031-08-15 Fixed 7.00000000 N N N N N N UMBS P#CA4864 3% 12/01/49 N/A 3140QCMN3 769365.57000000 NS USD 804147.36000000 0.013752525541 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3.00000000 N N N N N N MPT OPER PARTN 4.625% 08/01/29 N/A 55342UAJ3 9833000.00000000 NS USD 10525833.18000000 0.180012764888 Long DBT CORP US N 2 2029-08-01 Fixed 4.62500000 N N N N N N AVOLON HOLDINGS 3.95% 07/01/24 N/A 05401AAF8 985000.00000000 NS USD 1050666.17000000 0.017968489429 Long DBT CORP IE Y 2 2024-07-01 Fixed 3.95000000 N N N N N N DRSLF 2020-78A E V/R 04/17/33 N/A 26253JAA5 4200000.00000000 NS USD 4210017.00000000 0.071999697072 Long ABS-CBDO CORP KY Y 2 2033-04-17 Variable 6.78975000 N N N N N N ARTEX SAC LIMITED 0% 12/01/21 N/A N/A 1300000.00000000 NS USD 11310.00000000 0.000193423583 Long DBT CORP BM N 3 2021-12-01 Fixed 0.00000000 N N N N N N VERSUTUS 2018 0.0% 12/31/21 N/A N/A 2000000.00000000 NS USD 0.00000000 0.000000 Long DBT CORP BM N 3 2021-12-31 Fixed 0.00000000 N N N N N N GNMA P#574326 7.5% 12/15/31 N/A 36200WA35 16891.76000000 NS USD 17603.43000000 0.000301053802 Long ABS-MBS USGSE US N 2 2031-12-15 Fixed 7.50000000 N N N N N N MSBT 2018-13 A V/R 08/18/21 N/A 05586RAA9 4700000.00000000 NS USD 4695896.90000000 0.080309213545 Long ABS-CBDO CORP US Y 2 2021-08-18 Variable 2.59000000 N N N N N N GNMA P#750223 4.5% 06/15/41 N/A 3620C6PG4 225032.96000000 NS USD 253350.29000000 0.004332795837 Long ABS-MBS USGSE US N 2 2041-06-15 Fixed 4.50000000 N N N N N N UMBS P#BC5068 2.5% 03/01/44 N/A 3140F0T20 114201.35000000 NS USD 118615.28000000 0.002028558133 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 2.50000000 N N N N N N FGLMC P#Q47579 4% 04/01/47 N/A 3132WMM50 1043227.33000000 NS USD 1135097.65000000 0.019412436326 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N JPMMT 2021-INV1 V/R 10/25/51 N/A 46592PBH3 3766771.03000000 NS USD 3856304.16000000 0.065950501230 Long ABS-CBDO CORP US Y 2 2051-10-25 Variable 3.03556400 N N N N N N ARTEX SAC LTD V/R 03/31/21 N/A N/A 2000000.00000000 NS USD 161200.00000000 0.002756841876 Long DBT CORP BM N 3 2022-03-31 Variable 0.00000000 N N N N N N RCKT 2021-2 B2A V/R 06/25/51 N/A 74936RBX1 4350000.00000000 NS USD 4272317.70000000 0.073065163441 Long ABS-CBDO CORP US Y 2 2051-06-25 Variable 2.56676000 N N N N N N UMBS P#AY0822 2.5% 04/01/45 N/A 3138YD4G1 188596.15000000 NS USD 195901.30000000 0.003350303396 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N TPMT 2017-1 B2 V/R 07/25/29 N/A 89173FAF7 5630000.00000000 NS USD 5992021.95000000 0.102475539944 Long ABS-CBDO CORP US Y 2 2056-10-25 Variable 3.81895000 N N N N N N SCFET 2019-1A 3.92% 11/20/26 N/A 78397AAD6 7400000.00000000 NS USD 7434049.62000000 0.127137092477 Long ABS-CBDO CORP US Y 2 2026-11-20 Fixed 3.92000000 N N N N N N GNMA P#781561 6.5% 11/15/32 N/A 36225BWW4 25057.97000000 NS USD 29555.96000000 0.000505465932 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 6.50000000 N N N N N N GNMA P#645460 6% 09/15/35 N/A 36292DB50 330193.38000000 NS USD 388565.59000000 0.006645247459 Long ABS-MBS USGSE US N 2 2035-09-15 Fixed 6.00000000 N N N N N N BMARK 2021-B27 2.39% 06/15/31 N/A 08163HAE8 3300000.00000000 NS USD 3399385.44000000 0.058136278763 Long ABS-CBDO CORP US N 2 2054-07-15 Fixed 2.39000000 N N N N N N BRITISH AIR 19-1 3.3% 12/15/32 N/A 11043XAA1 4811060.01000000 NS USD 4897967.96000000 0.083765032158 Long DBT CORP GB Y 2 2032-12-15 Fixed 3.30000000 N N N N N N BMIR 2019-1A M1B V/R 03/25/29 N/A 07876RAB2 4530000.00000000 NS USD 4529998.64000000 0.077472022041 Long ABS-CBDO CORP BM Y 2 2029-03-25 Variable 1.84150000 N N N N N N PENSKE TRUCK LEA 4.2% 04/01/27 N/A 709599AX2 4615000.00000000 NS USD 5190159.10000000 0.088762084086 Long DBT CORP US Y 2 2027-04-01 Fixed 4.20000000 N N N N N N GNMA P#579961 6.5% 04/15/32 N/A 36201DJE3 7427.97000000 NS USD 8357.62000000 0.000142931990 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 6.50000000 N N N N N N UMBS P#AL6310 5% 12/01/44 N/A 3138EPAL8 4662550.32000000 NS USD 5343743.28000000 0.091388680234 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 5.00000000 N N N N N N ENBRIDGE INC 3.7% 07/15/27 98TPTUM4IVMFCZBCUR27 29250NAR6 10550000.00000000 NS USD 11641959.18000000 0.199100748118 Long DBT CORP CA N 2 2027-07-15 Fixed 3.70000000 N N N N N N HEALTHCARE TRUS 3.75% 07/01/27 N/A 42225UAF1 4675000.00000000 NS USD 5197591.18000000 0.088889187494 Long DBT CORP US N 2 2027-07-01 Fixed 3.75000000 N N N N N N GNMA P#562581 7% 04/15/32 N/A 36213R6S1 29134.15000000 NS USD 32869.09000000 0.000562127070 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 7.00000000 N N N N N N PHILLIPS 66 2.15% 12/15/30 5493005JBO5YSIGK1814 718546AW4 3835000.00000000 NS USD 3774387.13000000 0.064549556449 Long DBT CORP US N 2 2030-12-15 Fixed 2.15000000 N N N N N N GNMA P#608668 6% 08/15/34 N/A 36202TFH4 38887.09000000 NS USD 43604.94000000 0.000745731542 Long ABS-MBS USGSE US N 2 2034-08-15 Fixed 6.00000000 N N N N N N GNMA P#781300 7% 06/15/31 N/A 36225BNR5 12292.77000000 NS USD 14580.24000000 0.000249351217 Long ABS-MBS USGSE US N 2 2031-06-15 Fixed 7.00000000 N N N N N N PFMT 2021-1 A5 V/R 04/25/51 N/A 74387YAJ2 5538951.85000000 NS USD 5627231.66000000 0.096236897589 Long ABS-CBDO CORP US Y 2 2051-04-25 Variable 2.50000000 N N N N N N FNMA 30YR TBA 2.5% JUL21 N/A 01F022675 188000000.00000000 NS USD 194572656.72000000 3.327580943842 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 2.50000000 N N N N N N ISTAR INC 4.25% 08/01/25 QFFLKWYYS3UPWD86E794 45031UCG4 8700000.00000000 NS USD 8950125.00000000 0.153065008707 Long DBT CORP US N 2 2025-08-01 Fixed 4.25000000 N N N N N N PANGAEA RE 2021-1 0% 12/31/24 N/A N/A 5000000.00000000 NS USD 5211804.15000000 0.089132257661 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N FNMA P#555436 6% 5/1/33__ N/A 31402RDG1 78808.00000000 NS USD 90934.01000000 0.001555153143 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N TALEN ENERGY S 7.625% 06/01/28 N/A 87422VAJ7 3865000.00000000 NS USD 3616519.15000000 0.061849698767 Long DBT CORP US Y 2 2028-06-01 Fixed 7.62500000 N N N N N N UMBS P#AY0767 3% 03/01/45 N/A 3138YDZ93 423284.79000000 NS USD 447279.12000000 0.007649366058 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 3.00000000 N N N N N N UMBS P#CA3683 4.5% 06/01/49 N/A 3140QBCV8 164561.17000000 NS USD 177475.74000000 0.003035189529 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4.50000000 N N N N N N T/L ELECTRICAL COM 0% 06/14/25 N/A 29279EAB8 1027656.15000000 NS USD 1017379.59000000 0.017399222446 Long LON CORP US N 2 2025-06-14 Floating 4.36763000 N N N N N N US T BILL ZCP 07/27/21 N/A 912796J34 150000000.00000000 PA USD 149995666.50000000 2.565225401750 Long STIV UST US N 2 2021-07-27 Fixed 0.00000000 N N N N N N GSMBS 2021-PJ2 A V/R 05/25/42 N/A 36264DAD8 5299098.17000000 NS USD 5350435.83000000 0.091503136202 Long ABS-CBDO CORP US Y 2 2051-07-25 Variable 2.50000000 N N N N N N GNMA P#563559 6.5% 04/15/32 N/A 36213TB44 21575.53000000 NS USD 25220.34000000 0.000431318172 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 6.50000000 N N N N N N EDEN RE II LTD ZCP 03/22/24 549300LKX8PCP3SC3F42 27954QAG6 210000.00000000 NS USD 222516.00000000 0.003805467909 Long DBT CORP BM Y 3 2024-03-22 Fixed 0.00000000 N N N N N N AIR LEASE CORP 3.125% 12/01/30 5493004NW4M4P8TMMK63 00914AAK8 6795000.00000000 NS USD 6910484.69000000 0.118183086744 Long DBT CORP US N 2 2030-12-01 Fixed 3.12500000 N N N N N N UMBS P#AJ9531 4% 12/01/41 N/A 3138E2SV8 353492.53000000 NS USD 388690.95000000 0.006647391365 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4.00000000 N N N N N N SMITHFIELD FOODS I 3% 10/15/30 N/A 832248BC1 6465000.00000000 NS USD 6525124.50000000 0.111592658025 Long DBT CORP US Y 2 2030-10-15 Fixed 3.00000000 N N N N N N LION ROCK RE 2020 0% 01/31/22 N/A N/A 500000.00000000 NS USD 19950.00000000 0.000341184835 Long DBT CORP BM N 3 2022-01-31 Fixed 0.00000000 N N N N N N UMBS P#BC0826 4% 04/01/46 N/A 3140EU4L0 433276.32000000 NS USD 467936.97000000 0.008002656542 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4.00000000 N N N N N N USAUT 2019-1A 3.99% 07/15/22 N/A 90352VAB2 1312017.25000000 NS USD 1321155.84000000 0.022594402888 Long ABS-CBDO CORP US Y 2 2022-12-15 Fixed 3.99000000 N N N N N N GNMA II P#2921 7.5% 05/20/30 N/A 36202DG62 5667.99000000 NS USD 6685.04000000 0.000114327532 Long ABS-MBS USGSE US N 2 2030-05-20 Fixed 7.50000000 N N N N N N MERION RE 2021-2 0% 12/31/24 N/A N/A 9000000.00000000 NS USD 9336488.49000000 0.159672595859 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N GNMA P#595762 6.5% 06/15/35 N/A 36200AZ36 5489.56000000 NS USD 6122.18000000 0.000104701502 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 6.50000000 N N N N N N UMBS P#BH6459 4% 07/01/47 N/A 3140GVE92 1257496.30000000 NS USD 1362299.70000000 0.023298045048 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N ENABLE MIDSTREA 4.15% 09/15/29 N/A 292480AM2 3190000.00000000 NS USD 3496019.76000000 0.059788918591 Long DBT CORP US N 2 2029-09-15 Fixed 4.15000000 N N N N N N UMBS P#BO0655 4% 06/01/49 N/A 3140JUWR1 190822.52000000 NS USD 207898.15000000 0.003555473486 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4.00000000 N N N N N N VIRGINIA ST CMWLTH 4% 05/15/32 N/A 927793XY0 2335000.00000000 NS USD 2545126.65000000 0.043526747709 Long DBT MUN US N 2 2032-05-15 Fixed 4.00000000 N N N N N N GNMA P#612235 5.5% 08/15/33 N/A 36202XEG8 8835.13000000 NS USD 10293.06000000 0.000176031878 Long ABS-MBS USGSE US N 2 2033-08-15 Fixed 5.50000000 N N N N N N MFRA 2020-NQM1 A V/R 08/25/49 N/A 552754AC7 385184.55000000 NS USD 390646.27000000 0.006680831241 Long ABS-CBDO CORP US Y 2 2049-08-25 Variable 2.30000000 N N N N N N FGLMC P#Q42624 4% 08/01/46 N/A 3132WF4J5 1537589.19000000 NS USD 1659190.18000000 0.028375465074 Long ABS-MBS USGA US N 2 2046-08-01 Fixed 4.00000000 N N N N N N BOWLINE RE 2018 V/R 05/23/22 N/A 10260PAA6 2000000.00000000 NS USD 2009400.00000000 0.034364752279 Long DBT CORP BM Y 2 2022-05-23 Variable 4.77013900 N N N N N N UMBS P#AY9747 4% 07/01/45 N/A 3138YPZM7 294536.35000000 NS USD 323905.99000000 0.005539439189 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4.00000000 N N N N N N NATIONSTAR MTG 5.125% 12/15/30 N/A 63861CAD1 1810000.00000000 NS USD 1800950.00000000 0.030799841055 Long DBT CORP US Y 2 2030-12-15 Fixed 5.12500000 N N N N N N MORGN 2019-5A D V/R 01/15/33 N/A 33830PAL5 1250000.00000000 NS USD 1256000.00000000 0.021480107924 Long ABS-CBDO CORP KY Y 2 2033-01-15 Variable 4.38375000 N N N N N N GNMA P#553125 6% 03/15/33 N/A 36213FPJ6 223332.04000000 NS USD 264294.35000000 0.004519961116 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.00000000 N N N N N N AQFIT 2020-AA 3.97% 12/17/25 N/A 038413AC4 2300000.00000000 NS USD 2417047.92000000 0.041336345684 Long ABS-CBDO CORP US Y 2 2046-07-17 Fixed 3.97000000 N N N N N N FREMF 2017-KW03 V/R 07/25/27 N/A 30302YAN7 2500000.00000000 NS USD 2656908.00000000 0.045438431994 Long ABS-CBDO CORP US Y 2 2027-07-25 Variable 4.19939600 N N N N N N FGLMC P#Q40416 4% 05/01/46 N/A 3132WDPA6 432658.46000000 NS USD 470120.46000000 0.008039998581 Long ABS-MBS USGA US N 2 2046-05-01 Fixed 4.00000000 N N N N N N CIM 2021-J3 B2 V/R 06/25/51 N/A 12565VDE0 2484000.00000000 NS USD 2390620.98000000 0.040884392242 Long ABS-CBDO CORP US Y 2 2051-06-25 Variable 2.62408000 N N N N N N UMBS P#790605 6% 09/01/34 N/A 31405JKS2 12763.30000000 NS USD 14457.00000000 0.000247243567 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6.00000000 N N N N N N US T BILL ZCP 08/26/21 N/A 912796D55 150000000.00000000 PA USD 149990083.50000000 2.565129921303 Long STIV UST US N 2 2021-08-26 Fixed 0.00000000 N N N N N N BOEING CO 3.9% 05/01/49 RVHJWBXLJ1RFUBSY1F30 097023CK9 14425000.00000000 NS USD 15201521.12000000 0.259976364865 Long DBT CORP US N 2 2049-05-01 Fixed 3.90000000 N N N N N N SLG 2021-OVA E 2.85% 07/15/31 N/A 78449RAL9 17700000.00000000 NS USD 17345695.56000000 0.296646029180 Long ABS-CBDO CORP US Y 2 2041-07-15 Fixed 2.85061000 N N N N N N GNMA P#631115 6.5% 06/15/34 N/A 36291LDU6 94071.06000000 NS USD 106715.43000000 0.001825046937 Long ABS-MBS USGSE US N 2 2034-06-15 Fixed 6.50000000 N N N N N N UMBS P#AZ3219 4% 06/01/45 N/A 3138YUSH5 67759.31000000 NS USD 72794.83000000 0.001244936946 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 4.00000000 N N N N N N UMBS P#RA1188 4.5% 08/01/49 N/A 3133KGJ90 1884417.13000000 NS USD 2037569.76000000 0.034846511423 Long ABS-MBS USGA US N 2 2049-08-01 Fixed 4.50000000 N N N N N N TPMT 2016-1 B1 V/R 02/25/55 N/A 89172EAJ3 9700000.00000000 NS USD 10005291.98000000 0.171110470975 Long ABS-CBDO CORP US Y 2 2055-02-25 Variable 3.72485000 N N N N N N JPMMT 2021-8 AX1 V/R 12/25/51 N/A 46592TBS1 127500000.00000000 NS USD 752046.00000000 0.012861488251 Long ABS-CBDO CORP US Y 2 2051-12-25 Variable 0.00000000 N N N N N N GNMA P#434219 6.5% 03/15/29 N/A 36207KK82 1972.84000000 NS USD 2200.19000000 0.000037627642 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 6.50000000 N N N N N N UMBS P#SD8028 5% 10/01/49 N/A 3132DV4M4 4677257.03000000 NS USD 5130077.39000000 0.087734566876 Long ABS-MBS USGA US N 2 2049-10-01 Fixed 5.00000000 N N N N N N ARTEX SAC LTD V/R 12/31/21 N/A N/A 1623326.00000000 NS USD 119152.13000000 0.002037739340 Long DBT CORP BM N 3 2021-12-31 Variable 1.49000000 N N N N N N FGLMC P#G07362 4% 10/01/42 N/A 3128M9QP0 1798546.54000000 NS USD 1960213.79000000 0.033523569875 Long ABS-MBS USGA US N 2 2042-10-01 Fixed 4.00000000 N N N N N N AXA 8.6% 12/15/30 F5WCUMTUM4RKZ1MAIE39 054536AA5 2335000.00000000 NS USD 3551810.18000000 0.060743046172 Long DBT CORP FR N 2 2030-12-15 Fixed 8.60000000 N N N N N N GNMA P#634644 5.5% 11/15/34 N/A 36291QBM5 210105.12000000 NS USD 245847.69000000 0.004204486396 Long ABS-MBS USGSE US N 2 2034-11-15 Fixed 5.50000000 N N N N N N GNMA P#750209 4.5% 04/15/41 N/A 3620C6N27 177408.00000000 NS USD 198129.05000000 0.003388402370 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 4.50000000 N N N N N N GNMA P#485857 6.5% 10/15/31 N/A 36209YWS3 3539.10000000 NS USD 3946.95000000 0.000067500726 Long ABS-MBS USGSE US N 2 2031-10-15 Fixed 6.50000000 N N N N N N LION ROCK RE 20210% 12/31/24 N/A N/A 500000.00000000 NS USD 557150.00000000 0.009528377492 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N GNMA P#780459 7% 11/15/26 N/A 36225AQL7 2726.83000000 NS USD 3000.88000000 0.000051321040 Long ABS-MBS USGSE US N 2 2026-11-15 Fixed 7.00000000 N N N N N N IBRD V/R 03/13/24 N/A U4586F6V4 250000.00000000 NS USD 253600.00000000 0.004337066377 Long DBT USGA US Y 2 2024-03-13 Variable 3.53900000 N N N N N N UMBS P#QA8805 3% 04/01/50 N/A 3133A3YA0 25353.32000000 NS USD 26485.80000000 0.000452960065 Long ABS-MBS USGA US N 2 2050-04-01 Fixed 3.00000000 N N N N N N F/C US 10YR ULTRA FUT SEP21 N/A N/A -2045.00000000 NC USD -301030390.63000000 -5.14822076371 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C US 10YR ULTRA FUT SEP21 US 10YR ULTRA FUT SEP21 2021-09-21 296179929.73000000 USD -4850460.89000000 N N N PFMT 2021-2 B1 V/R 04/25/51 N/A 74388JAV7 3929000.00000000 NS USD 3832689.60000000 0.065546645102 Long ABS-CBDO CORP US Y 2 2051-04-25 Variable 2.35950000 N N N N N N UNITED MEXICAN S 4.6% 02/10/48 N/A 91087BAD2 13425000.00000000 NS USD 14401534.50000000 0.246294996286 Long DBT USGA MX N 2 2048-02-10 Fixed 4.60000000 N N N N N N MFRA 2021-RPL1 M V/R 07/25/60 N/A 55283QAC8 7138000.00000000 NS USD 7165832.49000000 0.122550043991 Long ABS-CBDO CORP US Y 2 2060-07-25 Variable 2.42300000 N N N N N N TPMT 2019-3 M2E V/R 01/01/32 N/A 89177LBF9 8500000.00000000 NS USD 8706949.50000000 0.148906222095 Long ABS-CBDO CORP US Y 2 2059-02-25 Variable 3.00000000 N N N N N N ENERGY TRANSFER 5.35% 05/15/45 MTLVN9N7JE8MIBIJ1H73 86765BAQ2 6730000.00000000 NS USD 7789852.11000000 0.133222025507 Long DBT CORP US N 2 2045-05-15 Fixed 5.35000000 N N N N N N FGLMC P#A90390 5% 12/01/39 N/A 312938NF6 2714.27000000 NS USD 3116.58000000 0.000053299741 Long ABS-MBS USGA US N 2 2039-12-01 Fixed 5.00000000 N N N N N N GNMA P#580873 6.5% 01/15/32 N/A 36201EJS0 52964.72000000 NS USD 60610.11000000 0.001036553904 Long ABS-MBS USGSE US N 2 2032-01-15 Fixed 6.50000000 N N N N N N FGLMC P#G08242 6% 01/01/38 N/A 3128MJHU7 26455.82000000 NS USD 31329.10000000 0.000535790166 Long ABS-MBS USGA US N 2 2038-01-01 Fixed 6.00000000 N N N N N N BANTRY RE 2021 0% 12/31/24 N/A N/A 5000000.00000000 NS USD 5338699.60000000 0.091302423235 Long DBT CORP BM N 3 2024-12-31 Fixed 0.00000000 N N N N N N UMBS P#AE4561 4% 05/01/41 N/A 31419FB70 459120.33000000 NS USD 504709.67000000 0.008631543138 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.00000000 N N N N N N HESS MIDSTREAM 5.125% 06/15/28 N/A 428104AA1 4680000.00000000 NS USD 4908150.00000000 0.083939165373 Long DBT CORP US Y 2 2028-06-15 Fixed 5.12500000 N N N N N N GNMA P#582340 6.5% 09/15/32 N/A 36201F4Z7 29956.12000000 NS USD 33890.18000000 0.000579589748 Long ABS-MBS USGSE US N 2 2032-09-15 Fixed 6.50000000 N N N N N N CAS 2019-R03 1M2 V/R 09/25/31 N/A 20753MAF5 1446633.73000000 NS USD 1456941.43000000 0.024916607608 Long ABS-CBDO CORP US Y 2 2031-09-25 Variable 2.24150000 N N N N N N NEWS CORP 3.875% 05/15/29 549300ITS31QK8VRBQ14 65249BAA7 1990000.00000000 NS USD 2009900.00000000 0.034373303277 Long DBT CORP US Y 2 2029-05-15 Fixed 3.87500000 N N N N N N GNMA II P#BG7415 4% 04/20/48 N/A 3617GSGY9 1459207.17000000 NS USD 1598805.73000000 0.027342770406 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4.00000000 N N N N N N GNMA II P#3650 4.5% 12/20/34 N/A 36202EBT5 29364.58000000 NS USD 32468.15000000 0.000555270195 Long ABS-MBS USGSE US N 2 2034-12-20 Fixed 4.50000000 N N N N N N UMBS P#AY4201 2.5% 05/01/45 N/A 3138YHU32 30718.00000000 NS USD 31876.44000000 0.000545150773 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 2.50000000 N N N N N N FNMA 30YR TBA 3.0% JUL21 N/A 01F030678 87000000.00000000 NS USD 90707695.53000000 1.551282714609 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 3.00000000 N N N N N N BXGNT 2015-A A 2.88% 05/02/30 N/A 05606XAA2 465505.36000000 NS USD 466248.63000000 0.007973782557 Long ABS-CBDO CORP US Y 2 2030-05-02 Fixed 2.88000000 N N N N N N KAISER ALUMINUM 4.5% 06/01/31 N/A 483007AL4 1565000.00000000 NS USD 1604970.10000000 0.027448193442 Long DBT CORP US Y 2 2031-06-01 Fixed 4.50000000 N N N N N N UMBS P#SD0149 3% 11/01/49 N/A 3132DMEW1 323128.03000000 NS USD 339609.24000000 0.005807996120 Long ABS-MBS USGA US N 2 2049-11-01 Fixed 3.00000000 N N N N N N VERSUTUS RE 2019-B 0% 12/31/21 N/A N/A 1734905.00000000 NS USD 42331.68000000 0.000723956253 Long DBT CORP BM N 3 2021-12-31 Fixed 0.00000000 N N N N N N OCI NV 5.25% 11/01/24 549300NCMRGIBJYUOE57 67091GAC7 2482000.00000000 NS USD 2558197.40000000 0.043750283633 Long DBT CORP NL Y 2 2024-11-01 Fixed 5.25000000 N N N N N N FGLMC P#Q37291 3.5% 11/01/45 N/A 3132QUC50 3205773.79000000 NS USD 3449903.53000000 0.059000238975 Long ABS-MBS USGA US N 2 2045-11-01 Fixed 3.50000000 N N N N N N WESTR 2020-1A 6.213% 10/20/23 N/A 96034LAE1 4472419.55000000 NS USD 4720056.97000000 0.080722398984 Long ABS-CBDO CORP US Y 2 2034-03-20 Fixed 6.21300000 N N N N N N UMBS P#BH3541 3.5% 07/01/47 N/A 3140GR5B6 159487.86000000 NS USD 171461.62000000 0.002932336068 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 3.50000000 N N N N N N MDPK 2019-36A E V/R 01/15/33 N/A 55819NAA2 4400000.00000000 NS USD 4404109.60000000 0.075319068087 Long ABS-CBDO CORP KY Y 2 2033-01-15 Variable 7.43375000 N N N N N N 2021-07-30 Pioneer Bond Fund /DE/ Anthony J. Koenig, Jr. Anthony J. Koenig, Jr. Treasurer and Chief Accounting and Financial Officer