NPORT-P false 0000351601 XXXXXXXX S000001589 C000004307 C000166202 C000066911 C000066913 C000178355 C000066912 RUSSELL INVESTMENT CO 811-03153 0000351601 549300J63VJ9OS4TCK93 1301 SECOND AVENUE 18TH FLOOR SEATTLE 98101 800-787-7354 Strategic Bond Fund S000001589 XI1M1CDVRC8YNT0B5804 2021-10-31 2021-01-31 N 3385678591.67 138168380.61 3247510211.06 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 42910511.82000000 0.00000000 0.00000000 29139277.59000000 AUD CAD EUR GBP MXN USD N Textainer Marine Containers Limited N/A 88315LAG3 5562414.75000000 PA USD 5656840.63000000 0.174190079856 Long ABS-O CORP US Y 2 2045-09-20 Fixed 2.10000000 N N N N N N Teva Pharmaceutical Finance Co BV 549300Q840R30TDKVK53 88165FAF9 90000.00000000 PA USD 90787.50000000 0.002795603219 Long DBT CORP CW N 2 2021-11-10 Fixed 3.65000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A 3137FMU83 1232371.06000000 PA USD 56146.58000000 0.001728911576 Long ABS-MBS USGSE US N 2 2026-05-25 Variable 0.96000000 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 139580000.00000000 PA 2032172.66000000 0.062576328569 Long DBT NUSS RU N 2 2030-04-10 Fixed 7.65000000 N N N N N N Valero Energy Corp 549300XTO5VR8SKV1V74 91913YAE0 2499000.00000000 PA USD 3486029.38000000 0.107344678028 Long DBT CORP US N 2 2032-04-15 Fixed 7.50000000 N N N N N N Wyndham Destinations Inc T4VNTWMFQ7JQB65L7T35 98310WAM0 17000.00000000 PA USD 18912.50000000 0.000582369223 Long DBT CORP US N 2 2025-10-01 Fixed 6.60000000 N N N N N N Liberty Interactive LLC 549300SZUIU7Z32Q0664 530715AJ0 294000.00000000 PA USD 336997.50000000 0.010377103630 Long DBT CORP US N 2 2030-02-01 Fixed 8.25000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FH6 360000.00000000 PA USD 381080.22000000 0.011734534927 Long DBT CORP US N 2 2030-02-05 Fixed 2.40000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967HS3 351000.00000000 PA USD 477336.09000000 0.014698524684 Long DBT CORP US N 2 2044-05-06 Fixed 5.30000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -145.00000000 NC USD 698249.15000000 0.021501060955 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Long Bond USH1 Comdty 2021-03-22 -25162467.90000000 USD 698249.15000000 N N N CELULOSA ARAUCO CONSTITU 549300QEKV8G0AMNQD28 151191BD4 1297000.00000000 PA USD 1566127.50000000 0.048225483469 Long DBT CORP CL N 2 2047-11-02 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828R36 7640000.00000000 PA USD 8094818.75000000 0.249262303238 Long DBT UST US N 2 2026-05-15 Fixed 1.63000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 000000000 1550000.00000000 PA USD 1607247.67000000 0.049491689495 Long DBT NUSS ID Y 2 2022-04-25 Fixed 3.75000000 N N N N N N ENLINK MIDSTREAM PARTNER 88CPW63VL7KHJWS0NY83 29336UAE7 594000.00000000 PA USD 577665.00000000 0.017787934831 Long DBT CORP US N 2 2025-06-01 Fixed 4.15000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468P7 1190000.00000000 PA USD 1354959.63000000 0.041723029088 Long DBT CORP US N 2 2031-04-01 Fixed 3.62000000 N N N N N N Freddie Mac Whole Loan Securities Trust N/A 3137G1AX5 130645.31000000 PA USD 130112.41000000 0.004006528125 Long ABS-MBS USGSE US N 2 2046-07-25 Variable 3.85000000 N N N N N N Boardwalk Pipelines LP 549300W6AQ2GHHCGL606 096630AG3 1963000.00000000 PA USD 2243314.89000000 0.069077993422 Long DBT CORP US N 2 2029-05-03 Fixed 4.80000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -22622.04000000 -0.00069659642 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1887841.78000000 USD 142230000.00000000 RUB 2021-04-19 -22622.04000000 N N N Dryden Senior Loan Fund 549300VCB8LYR1RGV869 26244QAA1 1879000.00000000 PA USD 1879246.15000000 0.057867289950 Long ABS-CBDO CORP KY Y 2 2030-07-18 Floating 1.43000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659T2A8 240000.00000000 PA USD 271955.04000000 0.008374262814 Long DBT CORP FR Y 2 2033-03-01 Fixed 4.38000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BK6 500000.00000000 PA USD 550766.06000000 0.016959640592 Long DBT CORP GB N 2 2025-03-22 Fixed 4.27000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828VM9 17774424.80000000 PA USD 18933928.38000000 0.583029063789 Long DBT UST US N 2 2023-07-15 Fixed 0.38000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 4806000.00000000 PA 1246423.53000000 0.038380896409 Long DBT NUSS MY N 2 2024-06-14 Fixed 3.48000000 N N N N N N Change Healthcare Holdings LLC 549300GHXFJ3EKF50583 15911AAC7 1437545.47000000 PA USD 1437545.47000000 0.044266080060 Long LON CORP US N 2 2024-03-01 Floating 3.50000000 N N N N N N CISCO SYSTEMS INC N/A 17275RAN2 3347000.00000000 PA USD 3683735.85000000 0.113432617931 Long DBT CORP US N 2 2024-03-04 Fixed 3.63000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 35044000000.00000000 PA 2660996.08000000 0.081939575461 Long DBT NUSS ID N 2 2035-06-15 Fixed 7.50000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397A60 200000.00000000 PA USD 217200.00000000 0.006688200679 Long DBT CORP US N 2 2025-06-16 Fixed 5.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JGLX1 412395.79000000 PA USD 455584.09000000 0.014028719246 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SN9 42275000.00000000 PA USD 36587691.41000000 1.126638225351 Long DBT UST US N 2 2050-05-15 Fixed 1.25000000 N N N N N N Freeport-McMoRan Inc 549300IRDTHJQ1PVET45 35671DAZ8 1054000.00000000 PA USD 1101031.06000000 0.033903852134 Long DBT CORP US N 2 2023-03-15 Fixed 3.88000000 N N N N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AH4 150000.00000000 PA USD 161812.50000000 0.004982663316 Long DBT CORP US Y 2 2028-05-01 Fixed 5.75000000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAA8 37500.00000000 PA USD 37831.88000000 0.001164950301 Long DBT CORP US Y 2 2021-09-20 Fixed 3.36000000 N N N N N N Eurosail Plc 213800IIPOCPT94J7N57 000000000 2999383.59000000 PA 4041008.43000000 0.124434048466 Long ABS-MBS CORP GB Y 2 2045-09-13 Floating 0.74000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2F9 500000.00000000 PA USD 549556.62000000 0.016922398523 Long DBT CORP US N 2 2027-06-17 Fixed 3.20000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CH6 120000.00000000 PA USD 127218.19000000 0.003917406928 Long DBT CORP US N 2 2026-05-01 Fixed 3.10000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179R4D8 1135436.87000000 PA USD 1212783.15000000 0.037345014216 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 3.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -20656.87000000 -0.00063608329 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 154612250.00000000 THB 5144823.97000000 USD 2021-02-19 -20656.87000000 N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887BG3 79000.00000000 PA USD 100442.76000000 0.003092915910 Long DBT CORP US N 2 2044-12-15 Fixed 4.69000000 N N N N N N COMM Mortgage Trust N/A 12592FAA3 930000.00000000 PA USD 1008365.24000000 0.031050410143 Long ABS-MBS CORP US Y 2 2049-08-10 Variable 3.61000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RN0 1675000.00000000 PA USD 2049846.68000000 0.063120561500 Long DBT UST US N 2 2045-08-15 Fixed 2.88000000 N N N N N N Popular ABS Mortgage Pass-Through Trust 5493008HBHIV1FF22L18 73316QAC2 3248310.90000000 PA USD 3208918.96000000 0.098811666521 Long ABS-O CORP US N 2 2036-11-25 Floating 0.39000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 539439AR0 200000.00000000 PA USD 234423.76000000 0.007218568834 Long DBT CORP GB N 2 2028-03-22 Fixed 4.38000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 19806000.00000000 PA 5257052.12000000 0.161879463907 Long DBT NUSS MY N 2 2024-07-15 Fixed 4.18000000 N N N N N N JPMDB Commercial Mortgage Securities Trust N/A 46648KAW6 11342520.67000000 PA USD 505394.36000000 0.015562517964 Long ABS-MBS CORP US N 2 2050-10-15 Variable 0.88000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBT9 1010000.00000000 PA USD 1180177.63000000 0.036340998281 Long DBT CORP US N 2 2028-10-16 Fixed 4.15000000 N N N N N N Safeway Inc 549300NKZ6VCN5P3K723 786514BA6 479000.00000000 PA USD 561627.50000000 0.017294094968 Long DBT CORP US N 2 2031-02-01 Fixed 7.25000000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 62856RAD7 750000.00000000 PA USD 858618.00000000 0.026439270216 Long DBT CORP NL Y 2 2027-07-06 Fixed 4.85000000 N N N N N N Citadel Securities LP 549300NV5RXBUS3X7L47 000000000 1185015.08000000 PA USD 1178592.30000000 0.036292181499 Long LON CORP US N 2 2028-02-29 None 0.00000000 N N N N N N FREDDIEMAC STRIP S6XOOCT0IEG5ABCC6L87 31282YC49 12143.89000000 PA USD 1995.89000000 0.000061459083 Long ABS-MBS USGSE US N 2 2031-05-15 Fixed 6.00000000 N N N N N N Fannie Mae N/A 3136AX4N2 1158155.22000000 PA USD 245710.74000000 0.007566126787 Long ABS-MBS USGSE US N 2 2057-10-25 Floating 5.97000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397WK5 307000.00000000 PA USD 319728.22000000 0.009845333785 Long DBT CORP US N 2 2023-08-06 Fixed 4.38000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SH5 920000.00000000 PA USD 1011693.74000000 0.031152904047 Long DBT CORP US N 2 2026-10-23 Fixed 3.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VEA8 1000000.00000000 PA USD 1233055.67000000 0.037969262292 Long DBT CORP US N 2 2033-08-10 Fixed 4.50000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BY0 140000.00000000 PA USD 138754.73000000 0.004272649537 Long DBT CORP US N 2 2038-03-01 Fixed 3.55000000 N N N N N N TEXAS EASTERN TRANSMISSI 549300SIOULUXXIDGA69 882384AE0 1000000.00000000 PA USD 1087290.78000000 0.033480750154 Long DBT CORP US Y 2 2048-01-15 Fixed 4.15000000 N N N N N N Freddie Mac N/A 3133KHLM6 13688213.50000000 PA USD 14745618.82000000 0.454059198021 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3137F9AV3 4802144.00000000 PA USD 756337.68000000 0.023289770650 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 3.50000000 N N N N N N EXPEDIA GROUP INC N/A 30212PAM7 3069000.00000000 PA USD 3430639.76000000 0.105639075385 Long DBT CORP US N 2 2026-02-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UEA6 680077.57000000 PA USD 740213.84000000 0.022793272134 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 4.50000000 N N N N N N Chevron Corp N/A 166764BK5 1973000.00000000 PA USD 2065086.46000000 0.063589837314 Long DBT CORP US N 2 2023-05-16 Fixed 2.57000000 N N N N N N SMURFIT KAPPA TREASURY N/A 832724AB4 365000.00000000 PA USD 447125.00000000 0.013768240003 Long DBT CORP IE N 2 2025-11-20 Fixed 7.50000000 N N N N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348BF2 1303000.00000000 PA USD 1475626.04000000 0.045438688228 Long DBT CORP US N 2 2026-01-15 Fixed 3.95000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17307GW79 16149.84000000 PA USD 16582.94000000 0.000510635499 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.53000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397XU2 1056000.00000000 PA USD 1123320.00000000 0.034590191469 Long DBT CORP US N 2 2026-01-08 Fixed 4.39000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83367TBG3 2968000.00000000 PA USD 3282085.16000000 0.101064660207 Long DBT CORP FR Y 2 2024-01-17 Fixed 5.00000000 N N N N N N Fanniemae-Aces N/A 3136B57A7 1018603.59000000 PA USD 1102257.02000000 0.033941602900 Long ABS-MBS USGSE US N 2 2029-09-25 Fixed 2.56000000 N N N N N N Hospitality Mortgage Trust N/A 40443RAN1 3760157.41000000 PA USD 3722431.00000000 0.114624150751 Long ABS-MBS CORP US Y 2 2036-11-15 Floating 2.48000000 N N N N N N TRANSCANADA TRUST N/A 89356BAE8 3154000.00000000 PA USD 3461515.00000000 0.106589811117 Long DBT CORP CA N 2 2079-09-15 Fixed 5.50000000 N N N N N N Brookfield Finance Inc N/A 11271LAB8 2711000.00000000 PA USD 3361086.41000000 0.103497331541 Long DBT CORP CA N 2 2047-09-20 Fixed 4.70000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1946.66000000 0.000059943152 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 97579500.00000000 HUF 333492.25000000 USD 2021-03-17 1946.66000000 N N N COMM Mortgage Trust N/A 12624XAP3 1354600.00000000 PA USD 1391661.18000000 0.042853173340 Long ABS-MBS CORP US Y 2 2046-03-10 Fixed 3.40000000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89114QCG1 880000.00000000 PA USD 888869.22000000 0.027370790612 Long DBT CORP CA N 2 2023-06-12 Fixed 0.75000000 N N N N N N Freeport-McMoRan Inc 549300IRDTHJQ1PVET45 35671DBL8 10000.00000000 PA USD 10965.45000000 0.000337657136 Long DBT CORP US N 2 2024-11-14 Fixed 4.55000000 N N N N N N Mid-State Trust N/A 595481AA0 980092.56000000 PA USD 1059360.98000000 0.032620712827 Long ABS-O CORP US N 2 2040-01-15 Fixed 5.75000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAH5 300000.00000000 PA USD 322539.06000000 0.009931887478 Long DBT CORP US N 2 2025-07-01 Fixed 3.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6DV0 4438901.89000000 PA USD 4742877.58000000 0.146046579433 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 2.50000000 N N N N N N General Motors Co 54930070NSV60J38I987 37045VAE0 3280000.00000000 PA USD 3624540.36000000 0.111609821815 Long DBT CORP US N 2 2023-10-02 Fixed 4.88000000 N N N N N N FedEx Corp 549300E707U7WNPZN687 31428XBD7 1136000.00000000 PA USD 1254706.87000000 0.038635963813 Long DBT CORP US N 2 2065-02-01 Fixed 4.50000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCB3 80000.00000000 PA USD 97109.11000000 0.002990263423 Long DBT CORP US N 2 2049-11-21 Fixed 4.25000000 N N N N N N Genworth Holdings Inc PXDECZED7L8SRUP41R09 372491AF7 180000.00000000 PA USD 168975.00000000 0.005203216895 Long DBT CORP US N 2 2023-08-15 Fixed 4.90000000 N N N N N N Embarq Corp N/A 29078EAA3 210000.00000000 PA USD 257321.40000000 0.007923651760 Long DBT CORP US N 2 2036-06-01 Fixed 8.00000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBC6 290000.00000000 PA USD 334190.77000000 0.010290676496 Long DBT CORP US N 2 2026-02-14 Fixed 4.40000000 N N N N N N PROVINCIA DE BUENOS AIRE 549300L6AYROPOTQ4L07 000000000 450000.00000000 PA USD 166500.00000000 0.005127004664 Long DBT NUSS AR Y 2 2023-02-15 Fixed 6.50000000 Y Y N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDJ7 30000.00000000 PA USD 32863.86000000 0.001011970952 Long DBT CORP US N 2 2025-04-01 Fixed 3.10000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 000000000 747930000.00000000 OU Notional Amount -63974.64000000 -0.00196995962 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A N/A Y 2027-04-05 0.00000000 HUF 0.00000000 HUF 747930000.00000000 HUF -63974.64000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -12852.41000000 -0.00039576195 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 614380.00000000 CHF 677597.85000000 USD 2021-03-10 -12852.41000000 N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCY5 180000.00000000 PA USD 196932.97000000 0.006064121656 Long DBT CORP US N 2 2039-11-01 Fixed 3.25000000 N N N N N N Freddie Mac N/A 3128M8RU0 3741259.16000000 PA USD 4174733.12000000 0.128551808883 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.00000000 N N N N N N Blackbird Capital Aircraft N/A 09228YAA0 5185000.00000000 PA USD 5207445.35000000 0.160351931527 Long ABS-O CORP KY Y 2 2041-12-16 Variable 2.49000000 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAD9 220000.00000000 PA USD 213096.79000000 0.006561851269 Long DBT CORP US N 2 2030-08-15 Fixed 1.10000000 N N N N N N INGERSOLL-RAND GL HLD CO 549300UCF0D858BIOV83 45687AAG7 2304000.00000000 PA USD 3265757.45000000 0.100561883958 Long DBT CORP US N 2 2043-06-15 Fixed 5.75000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHT9 1000000.00000000 PA USD 1121527.67000000 0.034535000573 Long DBT CORP US N 2 2027-04-23 Fixed 3.56000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617MQCZ7 199503.21000000 PA USD 210119.85000000 0.006470182889 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 42090.79000000 0.001296094154 N/A DFE CH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2421479.91000000 USD 2193500.00000000 CHF 2021-02-17 42090.79000000 N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CW3 1861000.00000000 PA USD 1800517.50000000 0.055443012738 Long DBT CORP US N 2 2024-08-15 Fixed 2.90000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AS9 610000.00000000 PA USD 727556.33000000 0.022403511697 Long DBT CORP US N 2 2040-06-01 Fixed 4.35000000 N N N N N N Nuveen LLC N/A 67080LAA3 400000.00000000 PA USD 472915.78000000 0.014562410870 Long DBT CORP US Y 2 2028-11-01 Fixed 4.00000000 N N N N N N PFS Financing Corp. N/A 69335PDP7 10270000.00000000 PA USD 10434035.52000000 0.321293386067 Long ABS-O CORP US Y 2 2025-06-15 Fixed 1.27000000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EW9 490000.00000000 PA USD 534862.97000000 0.016469939591 Long DBT CORP US N 2 2030-04-01 Fixed 2.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LBS1 739595.66000000 PA USD 737966.85000000 0.022724080973 Long ABS-MBS USGA US N 2 2068-02-20 Floating 0.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KRQ69 197382.74000000 PA USD 211380.19000000 0.006508992312 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A 3137FNAG5 997595.47000000 PA USD 71816.90000000 0.002211444932 Long ABS-MBS USGSE US N 2 2029-06-25 Variable 0.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C4M3 811629.50000000 PA USD 898335.94000000 0.027662297625 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 5.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5670000.00000000 OU Notional Amount USD 600063.30000000 0.018477641670 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2050-10-07 29553.34000000 USD 0.00000000 USD 5670000.00000000 USD 570509.96000000 N N N APi Group DE, Inc. 549300XP4G7B4QYA0G83 00186XAB9 1366200.00000000 PA USD 1367907.75000000 0.042121738227 Long LON CORP US N 2 2026-10-01 Floating 2.62000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LBD2 1805000.00000000 PA USD 2283338.99000000 0.070310448362 Long DBT CORP US N 2 2048-12-15 Fixed 4.15000000 N N N N N N VFH Parent LLC 549300FRO9M476YHHY64 91820UAQ3 1152125.55000000 PA USD 1149245.24000000 0.035388502739 Long LON CORP US N 2 2026-03-01 Floating 3.13000000 N N N N N N Sungard Availability Services Capital, Inc. N/A 000000000 9557.00000000 NS USD 0.96000000 0.000000029561 Long EC CORP US N 3 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HX7H7 100000.00000000 PA USD 103914.98000000 0.003199835358 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 1.95000000 N N N N N N Freddie Mac - STACR 5493007ZK0X40BI7UF30 35565KAH1 2900000.00000000 PA USD 2892740.14000000 0.089075628773 Long ABS-MBS USGSE US Y 2 2050-02-25 Floating 1.98000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXJ8 530000.00000000 PA USD 585049.55000000 0.018015325956 Long DBT CORP US N 2 2025-04-01 Fixed 3.50000000 N N N N N N Walmart Inc Y87794H0US1R65VBXU25 931142ED1 130000.00000000 PA USD 146300.94000000 0.004505018629 Long DBT CORP US N 2 2025-06-26 Fixed 3.55000000 N N N N N N CSMC 2019 RIO 12/22 1 N/A 12597HAA4 2810000.00000000 PA USD 2772869.22000000 0.085384465014 Long ABS-MBS CORP US N 2 2022-12-15 Variable 4.02000000 N N N N N N Yum! Brands Inc 549300JE8XHZZ7OHN517 988498AD3 81000.00000000 PA USD 104085.00000000 0.003205070753 Long DBT CORP US N 2 2037-11-15 Fixed 6.88000000 N N N N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272AF5 240000.00000000 PA USD 258806.28000000 0.007969375403 Long DBT CORP US Y 2 2023-05-30 Fixed 4.13000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAQ6 1010000.00000000 PA USD 1060842.39000000 0.032666329620 Long DBT CORP US N 2 2030-05-15 Fixed 3.75000000 N N N N N N Countrywide Asset-Backed Certificates N/A 12668WAD9 8154111.50000000 PA USD 8772387.22000000 0.270126547720 Long ABS-O CORP US N 2 2047-04-25 Fixed 4.61000000 N N N N N N Berkshire Hathaway Inc 5493000C01ZX7D35SD85 084670BS6 2880000.00000000 PA USD 3197004.91000000 0.098444799314 Long DBT CORP US N 2 2026-03-15 Fixed 3.13000000 N N N N N N Freddie Mac N/A 3132ACSS0 11108658.07000000 PA USD 12063132.41000000 0.371457874679 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N NATIONAL BANK OF CANADA BSGEFEIOM18Y80CKCV46 63307A2J3 2377000.00000000 PA USD 2453600.11000000 0.075553268520 Long DBT CORP CA N 2 2023-02-01 Fixed 2.10000000 N N N N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932AC1 2020000.00000000 PA USD 2831939.00000000 0.087203390165 Long DBT CORP US N 2 2031-11-15 Fixed 7.38000000 N N N N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MFF6 560000.00000000 PA USD 647401.01000000 0.019935303291 Long DBT CORP US N 2 2028-04-01 Fixed 3.80000000 N N N N N N Freddie Mac N/A 31329QBK6 1852817.29000000 PA USD 2047587.39000000 0.063050991588 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3131Y7SZ1 160885.55000000 PA USD 177602.17000000 0.005468871795 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 5.00000000 N N N N N N MetLife Inc C4BXATY60WC6XEOZDX54 59156RAP3 670000.00000000 PA USD 864260.59000000 0.026613021478 Long DBT CORP US N 2 2036-12-15 Fixed 6.40000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397A86 200000.00000000 PA USD 210500.00000000 0.006481888779 Long DBT CORP US N 2 2027-08-17 Fixed 4.13000000 N N N N N N COMM Mortgage Trust 549300NMFC2YLCA2NF13 12625XAA5 950000.00000000 PA USD 1023149.05000000 0.031505645356 Long ABS-MBS CORP US Y 2 2030-08-10 Fixed 4.35000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 78013XKG2 700000.00000000 PA USD 705098.19000000 0.021711962216 Long DBT CORP CA N 2 2021-04-30 Fixed 3.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBLZ9 4267733.81000000 PA USD 4679096.79000000 0.144082588995 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4.00000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHS1 60000.00000000 PA USD 75159.86000000 0.002314384100 Long DBT CORP US N 2 2050-03-15 Fixed 4.33000000 N N N N N N Ford Holdings LLC N/A 345277AE7 266000.00000000 PA USD 351268.96000000 0.010816562140 Long DBT CORP US N 2 2030-03-01 Fixed 9.30000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CN6 860000.00000000 PA USD 961596.18000000 0.029610258860 Long DBT CORP US N 2 2026-06-15 Fixed 3.20000000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JAN8 400000.00000000 PA USD 583203.42000000 0.017958478406 Long DBT CORP US N 2 2038-07-01 Fixed 7.30000000 N N N N N N XEROX CORPORATION 4KF48RN45X1OO8UBLY20 984121CL5 325000.00000000 PA USD 327746.25000000 0.010092231546 Long DBT CORP US N 2 2035-03-01 Fixed 4.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180FE65 39885.96000000 PA USD 42742.33000000 0.001316156908 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AWX2 2303377.36000000 PA USD 2454328.60000000 0.075575700782 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.00000000 N N N N N N Halliburton Co ENYF8GB5SMQZ25S06U51 406216BJ9 280000.00000000 PA USD 324684.71000000 0.009997958093 Long DBT CORP US N 2 2035-11-15 Fixed 4.85000000 N N N N N N AMBAC LSNI LLC N/A 02315QAA6 13408056.00000000 PA USD 13458336.21000000 0.414420135282 Long DBT CORP KY Y 2 2023-02-12 Floating 6.00000000 N N N N N N RETAIL PROPERTIES OF AME 549300OVTYLM7DH6CM14 76131VAA1 3259000.00000000 PA USD 3424301.63000000 0.105443906483 Long DBT US N 2 2025-03-15 Fixed 4.00000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017BT5 160000.00000000 PA USD 203121.85000000 0.006254694729 Long DBT CORP US N 2 2042-06-01 Fixed 4.50000000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBF1 720000.00000000 PA USD 785505.46000000 0.024187928873 Long DBT CORP US N 2 2047-08-15 Fixed 4.54000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RXD6 1369303.70000000 PA USD 1468180.96000000 0.045209433214 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 3.50000000 N N N N N N Sands China Ltd 549300EVO6UZDGY05787 80007RAB1 1292000.00000000 PA USD 1368331.36000000 0.042134782373 Long DBT CORP KY N 2 2023-08-08 Fixed 4.60000000 N N N N N N BARRICK NA FINANCE LLC N/A 06849RAG7 600000.00000000 PA USD 845727.52000000 0.026042335975 Long DBT CORP US N 2 2041-05-30 Fixed 5.70000000 N N N N N N UniCredit SpA 549300TRUWO2CD2G5692 904678AQ2 231000.00000000 PA USD 274446.48000000 0.008450981279 Long DBT CORP IT Y 2 2034-04-02 Fixed 7.30000000 N N N N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YBC2 600000.00000000 PA USD 652334.32000000 0.020087213822 Long DBT CORP US N 2 2023-11-14 Fixed 3.75000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BQ1 250000.00000000 PA USD 291577.92000000 0.008978506642 Long DBT CORP US N 2 2025-04-15 Fixed 5.25000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 455780CD6 440000.00000000 PA USD 487762.00000000 0.015019567862 Long DBT NUSS ID N 2 2028-01-11 Fixed 3.50000000 N N N N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 369550BH0 30000.00000000 PA USD 37864.00000000 0.001165939367 Long DBT CORP US N 2 2040-04-01 Fixed 4.25000000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BF1 390000.00000000 PA USD 385125.00000000 0.011859085113 Long DBT CORP US N 2 2030-01-15 Fixed 4.25000000 N N N N N N Freddie Mac N/A 3132WKFA1 696333.06000000 PA USD 753471.43000000 0.023201510727 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3132A1CP7 17866.65000000 PA USD 20773.41000000 0.000639671891 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.00000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CW8 20000.00000000 PA USD 20240.72000000 0.000623268863 Long DBT CORP US N 2 2040-06-01 Fixed 2.50000000 N N N N N N Bayer US Finance LLC 54930093Q75GSEM74I71 07274EAG8 1891000.00000000 PA USD 2066034.42000000 0.063619027677 Long DBT CORP US Y 2 2024-10-08 Fixed 3.38000000 N N N N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MEY6 410000.00000000 PA USD 463360.30000000 0.014268170687 Long DBT CORP US N 2 2026-01-30 Fixed 3.70000000 N N N N N N Freddie Mac N/A 3132A4Q76 4235548.91000000 PA USD 4655549.46000000 0.143357500282 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 3.50000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 1340000.00000000 PA 344870.70000000 0.010619541666 Long DBT NUSS MY N 2 2023-04-20 Fixed 3.76000000 N N N N N N Nevada Power Co MJZFGXRJ52U8U4MKJ519 641423CA4 1389000.00000000 PA USD 1843149.88000000 0.056755783976 Long DBT CORP US N 2 2041-05-15 Fixed 5.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8CP0 295609.44000000 PA USD 314685.00000000 0.009690038815 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABT1 190000.00000000 PA USD 191544.70000000 0.005898201623 Long DBT CORP US N 2 2031-02-15 Fixed 2.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9NP2 959671.58000000 PA USD 1039490.64000000 0.032008849008 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFN9 220000.00000000 PA USD 243254.45000000 0.007490490689 Long DBT CORP US N 2 2025-07-01 Fixed 3.30000000 N N N N N N COMM Mortgage Trust N/A 12592TAA3 2060000.00000000 PA USD 2224751.80000000 0.068506383518 Long ABS-MBS CORP US Y 2 2035-02-10 Fixed 3.18000000 N N N N N N Air Lease Corp 5493004NW4M4P8TMMK63 00912XBA1 3478000.00000000 PA USD 3722036.41000000 0.114612000212 Long DBT CORP US N 2 2025-03-01 Fixed 3.25000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFF6 150000.00000000 PA USD 165153.97000000 0.005085556603 Long DBT CORP US N 2 2027-03-22 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TNS0 385307.59000000 PA USD 416681.98000000 0.012830813543 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 4.00000000 N N N N N N Freddie Mac N/A 31307PBS7 308871.86000000 PA USD 334733.94000000 0.010307402232 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.50000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 34912000000.00000000 PA 2634450.06000000 0.081122148624 Long DBT NUSS ID N 2 2027-05-15 Fixed 7.00000000 N N N N N N Global Medical Response, Inc. 549300ZFWD4ZFCEJCQ87 00169QAF6 589668.03000000 PA USD 589815.45000000 0.018162081461 Long LON CORP US N 2 2025-10-02 Floating 5.75000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 42307TAG3 10000.00000000 PA USD 13213.18000000 0.000406871084 Long DBT CORP US N 2 2032-03-15 Fixed 6.75000000 N N N N N N Methanex Corp 549300TSJHRXT9QXRD13 59151KAJ7 477000.00000000 PA USD 496080.00000000 0.015275702546 Long DBT CORP CA N 2 2044-12-01 Fixed 5.65000000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 94973VAX5 469000.00000000 PA USD 485408.73000000 0.014947104041 Long DBT CORP US N 2 2022-05-15 Fixed 3.13000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HLL2 700000.00000000 PA USD 955917.44000000 0.029435394436 Long DBT CORP US N 2 2045-06-01 Fixed 4.95000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BS0 60000.00000000 PA USD 73439.81000000 0.002261418909 Long DBT CORP US N 2 2047-06-15 Fixed 3.90000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MP3 670000.00000000 PA USD 796066.04000000 0.024513118920 Long DBT CORP US N 2 2031-03-31 Fixed 4.41000000 N N N N N N TIME WARNER ENT N/A 88731EAF7 2157000.00000000 PA USD 2509654.08000000 0.077279328374 Long DBT CORP US N 2 2023-03-15 Fixed 8.38000000 N N N N N N PROVINCIA DE BUENOS AIRE 549300L6AYROPOTQ4L07 000000000 400000.00000000 PA USD 148500.00000000 0.004572733889 Long DBT NUSS AR Y 2 2027-06-15 Fixed 7.88000000 Y Y N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 060505EN0 40000.00000000 PA USD 45034.40000000 0.001386736209 Long DBT CORP US N 2 2025-03-17 Fixed 6.10000000 N N N N N N TKC Holdings, Inc. N/A 87256FAB0 343677.53000000 PA USD 337061.74000000 0.010379081760 Long LON CORP US N 2 2023-02-01 Floating 4.75000000 N N N N N N LINCOLN NATIONAL CORP EFQMQROEDSNBRIP7LE47 534187BL2 2739000.00000000 PA USD 3405673.09000000 0.104870281189 Long DBT CORP US N 2 2050-06-15 Fixed 4.38000000 N N N N N N FANNIEMAE STRIP B1V7KEBTPIMZEU4LTD58 3136FA6C9 157185.26000000 PA USD 25124.36000000 0.000773649915 Long ABS-MBS USGSE US N 2 2033-10-25 Fixed 5.00000000 N N N N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAQ2 1400000.00000000 PA USD 1551823.69000000 0.047785028811 Long DBT CORP US N 2 2025-05-14 Fixed 3.60000000 N N N N N N Republic of Poland 259400R9L8QEP0TPXS31 857524AA0 1830000.00000000 PA USD 1848958.80000000 0.056934657009 Long DBT NUSS PL N 2 2021-04-21 Fixed 5.13000000 N N N N N N NOBLE HOLDING INTL LTD 549300GNEZBJHMST9U32 65504LAK3 150000.00000000 PA USD 3000.00000000 0.000092378462 Long DBT CORP KY N 2 2042-03-15 None 0.00000000 Y N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -802.60000000 -0.00002471431 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1603000.00000000 CZK 73951.74000000 USD 2021-03-17 -802.60000000 N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAF0 380000.00000000 PA USD 387558.85000000 0.011934030220 Long DBT CORP US N 2 2023-06-01 Fixed 1.35000000 N N N N N N Unilever Capital Corp MYF1DAS6G5WY7PRWCU78 904764AX5 3447000.00000000 PA USD 3678881.72000000 0.113283145576 Long DBT CORP US N 2 2024-05-05 Fixed 2.60000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCM1 100000.00000000 PA USD 132812.51000000 0.004089671821 Long DBT CORP US N 2 2048-10-15 Fixed 4.70000000 N N N N N N Freddie Mac N/A 3133A3PA0 5031786.80000000 PA USD 5339899.76000000 0.164430576440 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4HS8 12186333.72000000 PA USD 13105088.84000000 0.403542652317 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDV3 50000.00000000 PA USD 70030.11000000 0.002156424628 Long DBT CORP US N 2 2047-03-16 Fixed 5.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AZ7 70000.00000000 PA USD 94213.61000000 0.002901102810 Long DBT CORP US N 2 2035-10-23 Fixed 6.38000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBV0 340000.00000000 PA USD 374053.81000000 0.011518171943 Long DBT CORP US N 2 2026-11-21 Fixed 2.95000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCP9 300000.00000000 PA USD 308446.74000000 0.009497945193 Long DBT CORP US N 2 2021-11-06 Fixed 4.20000000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BD8 400000.00000000 PA USD 522919.04000000 0.016102152295 Long DBT CORP US Y 2 2044-09-15 Fixed 4.90000000 N N N N N N TSMC GLOBAL LTD 549300N2ZLI21P85T117 872882AE5 320000.00000000 PA USD 318952.42000000 0.009821444715 Long DBT CORP VG Y 2 2025-09-28 Fixed 0.75000000 N N N N N N Freddie Mac N/A 3131XW2N2 144607.89000000 PA USD 157115.22000000 0.004838020815 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 3.50000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAH4 310000.00000000 PA USD 388203.19000000 0.011953871266 Long DBT CORP US N 2 2045-06-01 Fixed 5.55000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17320QAA7 990000.00000000 PA USD 1042809.97000000 0.032111060542 Long ABS-MBS CORP US Y 2 2035-05-10 Fixed 3.25000000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36255TAA0 2790000.00000000 PA USD 2417966.89000000 0.074456021162 Long ABS-MBS CORP US Y 2 2031-09-15 Floating 1.43000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468L6 110000.00000000 PA USD 116928.76000000 0.003600566353 Long DBT CORP US N 2 2031-01-22 Fixed 2.70000000 N N N N N N GLAXOSMITHKLINE CAPITAL 549300U0LV41VX7LEP38 377373AD7 1241000.00000000 PA USD 1281043.84000000 0.039446953411 Long DBT CORP GB N 2 2022-05-08 Fixed 2.85000000 N N N N N N CREDIT AGRICOLE LONDON 969500TJ5KRTCJQWXH05 22535WAD9 975000.00000000 PA USD 1058372.50000000 0.032590274740 Long DBT CORP FR Y 2 2024-10-04 Fixed 3.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617MB5B1 184700.22000000 PA USD 202404.78000000 0.006232614121 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.00000000 N N N N N N SABAL TRAIL TRANS 5493002DWITGSZFUI977 78516FAC3 845000.00000000 PA USD 1037934.93000000 0.031960944309 Long DBT CORP US Y 2 2048-05-01 Fixed 4.83000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABR5 80000.00000000 PA USD 80843.20000000 0.002489390171 Long DBT CORP US N 2 2026-02-15 Fixed 2.25000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05367AAJ2 400000.00000000 PA USD 407278.24000000 0.012541245863 Long DBT CORP US Y 2 2022-01-20 Fixed 2.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TCY9 848849.98000000 PA USD 917668.35000000 0.028257597062 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.00000000 N N N N N N Freddie Mac N/A 3133KGNJ3 791775.55000000 PA USD 852705.88000000 0.026257219364 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N RBSCF Trust N/A 74932QAA8 1055000.00000000 PA USD 1120426.77000000 0.034501100756 Long ABS-MBS CORP US Y 2 2032-01-15 Variable 3.83000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDG3 70000.00000000 PA USD 79530.10000000 0.002448956118 Long DBT CORP US N 2 2030-04-01 Fixed 3.40000000 N N N N N N Boeing Company The RVHJWBXLJ1RFUBSY1F30 09702EBS9 1010000.00000000 PA USD 1004697.50000000 0.030937470083 Long LON CORP US N 2 2022-02-07 Floating 1.47000000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911363AM1 130000.00000000 PA USD 135525.00000000 0.004173197039 Long DBT CORP US N 2 2031-02-15 Fixed 3.88000000 N N N N N N Synchrony Financial 549300RS7EWPM9MA6C78 87165BAP8 2751000.00000000 PA USD 3294755.45000000 0.101454814176 Long DBT CORP US N 2 2029-03-19 Fixed 5.15000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CL7 2078000.00000000 PA USD 1724740.00000000 0.053109609759 Long DBT CORP US N 2 2047-02-15 Fixed 4.10000000 N N N N N N Reliance Industries Ltd 5493003UOETFYRONLG31 759470AQ0 2934000.00000000 PA USD 3271146.23000000 0.100727819695 Long DBT CORP IN Y 2 2025-01-28 Fixed 4.13000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFD1 180000.00000000 PA USD 207769.30000000 0.006397802824 Long DBT CORP US N 2 2050-03-22 Fixed 4.00000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523BK5 2807000.00000000 PA USD 3241107.74000000 0.099802849855 Long DBT CORP US N 2 2047-10-15 Fixed 3.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140K8Z46 247420.04000000 PA USD 262902.67000000 0.008095514807 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3133A0MT8 81601.31000000 PA USD 87027.86000000 0.002679833298 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJSM1 440147.69000000 PA USD 476163.69000000 0.014662423181 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Centex Home Equity N/A 15231AAD8 89903.36000000 PA USD 89897.47000000 0.002768196684 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.38000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBH5 120000.00000000 PA USD 126650.17000000 0.003899915990 Long DBT CORP US N 2 2025-05-06 Fixed 2.35000000 N N N N N N Freddie Mac N/A 3133TPGG8 6669.08000000 PA USD 1223.88000000 0.000037686717 Long ABS-MBS USGSE US N 2 2030-08-15 Floating 7.37000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H020626 4500000.00000000 PA USD 4673671.88000000 0.143915540714 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.00000000 N N N N N N Soundview Home Equity Loan Trust N/A 83612JAC8 599047.22000000 PA USD 594380.82000000 0.018302662081 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.29000000 N N N N N N TEVA PHARMACEUTICALS NE 5493004T21MOAFINJP35 88167AAN1 620000.00000000 PA USD 682644.80000000 0.021020559001 Long DBT CORP NL N 2 2025-01-31 Fixed 7.13000000 N N N N N N T-Mobile USA Inc 549300V2JRLO5DIFGE82 87264AAQ8 10000.00000000 PA USD 10109.80000000 0.000311309259 Long DBT CORP US N 2 2024-04-15 Fixed 6.00000000 N N N N N N SYSCO CORPORATION 5RGWIFLMGH3YS7KWI652 871829BK2 3115000.00000000 PA USD 3207143.04000000 0.098756980935 Long DBT CORP US N 2 2030-02-15 Fixed 2.40000000 N N N N N N ArcelorMittal 2EULGUTUI56JI9SAL165 03938LBA1 260000.00000000 PA USD 289676.45000000 0.008919955017 Long DBT CORP LU N 2 2026-03-11 Fixed 4.55000000 N N N N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CAY5 2593000.00000000 PA USD 3366779.62000000 0.103672641537 Long DBT CORP US N 2 2045-10-15 Fixed 6.35000000 N N N N N N Freddie Mac N/A 3132DMPF6 85931.61000000 PA USD 96601.54000000 0.002974633910 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4.50000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CC6 800000.00000000 PA USD 808574.45000000 0.024898288148 Long DBT CORP US N 2 2050-06-01 Fixed 2.53000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAH2 645000.00000000 PA USD 760100.25000000 0.023405630794 Long DBT CORP US N 2 2025-02-01 Fixed 7.88000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DH0 150000.00000000 PA USD 169672.93000000 0.005224708129 Long DBT CORP US N 2 2027-04-01 Fixed 3.63000000 N N N N N N Yum! Brands Inc 549300JE8XHZZ7OHN517 988498AH4 68000.00000000 PA USD 68340.00000000 0.002104381373 Long DBT CORP US N 2 2021-11-01 Fixed 3.75000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 7149.28000000 0.000220146497 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5734653.09000000 GBP 7865042.31000000 USD 2021-02-17 7149.28000000 N N N Freddie Mac - STACR N/A 3137G0GW3 6581156.93000000 PA USD 6853685.27000000 0.211044302390 Long ABS-MBS USGSE US N 2 2028-04-25 Floating 4.83000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCU3 330000.00000000 PA USD 398174.72000000 0.012260922803 Long DBT CORP US N 2 2030-10-15 Fixed 4.25000000 N N N N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 7173000.00000000 PA 2394790.88000000 0.073742366439 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.90000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822AL8 310000.00000000 PA USD 318736.68000000 0.009814801472 Long DBT CORP JP N 2 2022-02-22 Fixed 3.00000000 N N N N N N EQT Corp 4NT01YGM4X7ZX86ISY52 26884LAF6 330000.00000000 PA USD 342787.50000000 0.010555394062 Long DBT CORP US N 2 2027-10-01 Fixed 3.90000000 N N N N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC -85946.28000000 -0.00264652839 N/A DFE US N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 56000000.00000000 SEK 6618720.34000000 USD 2021-03-17 -85946.28000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 30315000000.00000000 PA 2446936.91000000 0.075348089797 Long DBT NUSS ID N 2 2034-03-15 Fixed 8.38000000 N N N N N N Concho Resources Inc SYHS7HRDXLL4I0IQ8776 20605PAH4 600000.00000000 PA USD 683895.23000000 0.021059063268 Long DBT CORP US N 2 2027-10-01 Fixed 3.75000000 N N N N N N COSTCO WHOLESALE CORP 29DX7H14B9S6O3FD6V18 22160KAN5 680000.00000000 PA USD 696789.34000000 0.021456109287 Long DBT CORP US N 2 2027-06-20 Fixed 1.38000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBL3 110000.00000000 PA USD 125158.14000000 0.003853972177 Long DBT CORP US N 2 2030-04-06 Fixed 3.63000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -1584351.37000000 -0.04878664783 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 244902440.00000000 NOK 27006731.21000000 USD 2021-03-10 -1584351.37000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7FP9 921631.20000000 PA USD 990052.93000000 0.030486522463 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.50000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17323NAW3 477092.97000000 PA USD 482055.64000000 0.014843852941 Long ABS-MBS CORP US Y 2 2047-03-25 Floating 0.40000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097AH4 400000.00000000 PA USD 608000.00000000 0.018722035051 Long DBT CORP GB N 2 2031-09-30 Fixed 7.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UQ62 229973.70000000 PA USD 250093.41000000 0.007701081559 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 4.50000000 N N N N N N OCEANEERING INTL INC 549300L6PH74701W0R30 675232AA0 355000.00000000 PA USD 334587.50000000 0.010302892931 Long DBT CORP US N 2 2024-11-15 Fixed 4.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378KYP8 431193.27000000 PA USD 455638.95000000 0.014030408540 Long ABS-MBS USGA US N 2 2047-11-16 Variable 2.69000000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 26439XAH6 110000.00000000 PA USD 122375.00000000 0.003768271446 Long DBT CORP US Y 2 2036-11-03 Fixed 6.45000000 N N N N N N Cimarex Energy Co 11KYOFXPU1C4CQL1CL44 171798AE1 500000.00000000 PA USD 565792.23000000 0.017422338752 Long DBT CORP US N 2 2029-03-15 Fixed 4.38000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216DC1 10000.00000000 PA USD 9740.91000000 0.000299950096 Long DBT CORP US N 2 2051-03-15 Fixed 2.50000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AH3 1680000.00000000 PA USD 1997320.89000000 0.061503144261 Long DBT CORP US N 2 2028-10-15 Fixed 4.38000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 20337000.00000000 OU Notional Amount USD 429314.07000000 0.013219791227 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.IG.S35.V1 2I65BYDX0 RED Code Y sell protection 2025-12-20 477549.85000000 USD 0.00000000 USD 20337000.00000000 USD -48235.78000000 N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 253.00000000 NC -295587.10000000 -0.00910196060 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long 10 Year Canadian Bond CNH1 Comdty 2021-03-22 37723312.00000000 CAD -295587.10000000 N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BW8 390000.00000000 PA USD 464527.05000000 0.014304098210 Long DBT CORP US N 2 2029-02-01 Fixed 5.88000000 N N N N N N CORE 2019-CORE MORTGAGE TRUST N/A 21871FAL2 7130000.00000000 PA USD 7103136.30000000 0.218725603257 Long ABS-MBS CORP US Y 2 2031-12-15 Floating 1.78000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382KQ97 894781.01000000 PA USD 130843.83000000 0.004029050610 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N GFL Environmental Inc. 549300FYK4MBXWIVZU26 000000000 76107.71000000 PA USD 76361.15000000 0.002351375208 Long LON CORP CA N 2 2025-05-30 Floating 3.50000000 N N N N N N CHEVRON USA INC VA8TZDWPEZYU430RZ444 166756AU0 100000.00000000 PA USD 136475.30000000 0.004202459457 Long DBT CORP US N 2 2043-11-15 Fixed 5.25000000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EY5 420000.00000000 PA USD 425090.58000000 0.013089738056 Long DBT CORP US N 2 2030-05-28 Fixed 1.70000000 N N N N N N Freeport-McMoRan Inc 549300IRDTHJQ1PVET45 35671DBJ3 523000.00000000 PA USD 649827.50000000 0.020010021763 Long DBT CORP US N 2 2034-11-14 Fixed 5.40000000 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 189774000.00000000 PA 2633189.48000000 0.081083331810 Long DBT NUSS RU N 2 2029-05-23 Fixed 6.90000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CH6 1021000.00000000 PA USD 986214.53000000 0.030368327300 Long DBT CORP US N 2 2026-04-15 Fixed 3.40000000 N N N N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AA8 150000.00000000 PA USD 163193.62000000 0.005025191897 Long DBT CORP US Y 2 2031-07-15 Fixed 2.90000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBE9 500000.00000000 PA USD 556529.33000000 0.017137107932 Long DBT CORP US N 2 2026-02-11 Fixed 3.41000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828VB3 10730000.00000000 PA USD 11123992.19000000 0.342539098171 Long DBT UST US N 2 2023-05-15 Fixed 1.75000000 N N N N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272AQ1 110000.00000000 PA USD 124792.97000000 0.003842727563 Long DBT CORP US Y 2 2027-10-27 Fixed 3.88000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BS2 20000.00000000 PA USD 23939.95000000 0.000737178590 Long DBT CORP US N 2 2036-08-08 Fixed 3.45000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAV1 3945000.00000000 PA USD 4485465.00000000 0.138120119983 Long DBT CORP NL N 2 2025-01-27 Fixed 5.30000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 933.00000000 NC USD -5154042.00000000 -0.15870749174 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Long Bond USH1 Comdty 2021-03-22 162568635.75000000 USD -5154042.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JQQE6 2059713.84000000 PA USD 2207101.22000000 0.067962872371 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DWR9 20000000.00000000 PA USD 20654377.20000000 0.636006536012 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VTX8 293273.11000000 PA USD 309415.98000000 0.009527790827 Long ABS-MBS USGA US N 2 2050-09-20 Fixed 3.00000000 N N N N N N Eaton Corp 0NZWDMRCE180888QQE14 278062AC8 1180000.00000000 PA USD 1227947.15000000 0.037811956551 Long DBT CORP US N 2 2022-11-02 Fixed 2.75000000 N N N N N N Prime Security Services Borrower, LLC 549300O6QPZVWXV2DC15 03765VAJ9 955503.34000000 PA USD 954652.94000000 0.029396456914 Long LON CORP US N 2 2026-09-23 Floating 3.50000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHF9 710000.00000000 PA USD 755180.79000000 0.023254146743 Long DBT CORP US N 2 2024-03-05 Fixed 3.55000000 N N N N N N Schneider Electric SE 969500A1YF1XUYYXS284 80687PAA4 3266000.00000000 PA USD 3401473.81000000 0.104740973513 Long DBT CORP FR Y 2 2022-09-27 Fixed 2.95000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 06738C828 244000.00000000 PA USD 307440.00000000 0.009466944829 Long DBT CORP GB N 2 2034-12-15 Fixed 6.28000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YAY1 510000.00000000 PA USD 510165.17000000 0.015709424662 Long DBT CORP US N 2 2026-02-24 Fixed 0.75000000 N N N N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC 297606.02000000 0.009164128845 N/A DFE NO N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 13034221.91000000 USD 114200000.00000000 NOK 2021-03-17 297606.02000000 N N N OFFICE CHERIFIEN DES PHO N/A 67091TAC9 330000.00000000 PA USD 357384.72000000 0.011004883642 Long DBT CORP MA Y 2 2025-10-22 Fixed 4.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 99003.76000000 0.003048605040 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 23845500.00000000 NZD 17234573.58000000 USD 2021-03-09 99003.76000000 N N N WF-RBS Commercial Mortgage Trust 549300FCX3YXSYSLU895 92938VAN5 1268871.38000000 PA USD 1286498.79000000 0.039614926709 Long ABS-MBS CORP US N 2 2047-03-15 Fixed 3.66000000 N N N N N N Fannie Mae N/A 31359QYV0 8314.87000000 PA USD 1286.52000000 0.000039615579 Long ABS-MBS USGSE US N 2 2027-05-18 Floating 8.37000000 N N N N N N Freddie Mac N/A 312936NC7 365184.43000000 PA USD 422062.83000000 0.012996505093 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7L64 82817.75000000 PA USD 91145.71000000 0.002806633515 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4.00000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCK5 80000.00000000 PA USD 95623.21000000 0.002944508370 Long DBT CORP US N 2 2048-03-01 Fixed 4.00000000 N N N N N N Freddie Mac N/A 3137FXNX2 5218454.04000000 PA USD 617284.14000000 0.019007919910 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78015K7H1 450000.00000000 PA USD 456901.20000000 0.014069276778 Long DBT CORP CA N 2 2025-06-10 Fixed 1.15000000 N N N N N N LUMEN TECHNOLOGIES INC 8M3THTGWLTYZVE6BBY25 156700AR7 163000.00000000 PA USD 165648.75000000 0.005100792275 Long DBT CORP US N 2 2021-06-15 Fixed 6.45000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDH1 70000.00000000 PA USD 81507.30000000 0.002509839683 Long DBT CORP US N 2 2040-04-01 Fixed 3.75000000 N N N N N N Delta Air Lines Inc Q2CCMS6R0AS67HJMBN42 247361ZM3 650000.00000000 PA USD 652762.55000000 0.020100400232 Long DBT CORP US N 2 2021-04-19 Fixed 3.40000000 N N N N N N Towd Point Mortgage Trust N/A 89177RAD2 3362000.00000000 PA USD 3432470.21000000 0.105695440103 Long ABS-O CORP US Y 2 2058-11-25 Variable 4.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382HM98 693188.34000000 PA USD 102212.01000000 0.003147396108 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N Cooperatieve Rabobank UA DG3RU1DBUFHT4ZF9WN62 21684AAC0 1300000.00000000 PA USD 1486463.15000000 0.045772393415 Long DBT CORP NL N 2 2025-08-04 Fixed 4.38000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBY8 270000.00000000 PA USD 282838.34000000 0.008709390321 Long DBT CORP US N 2 2051-01-31 Fixed 3.70000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 56524.48000000 0.001740548183 N/A DFE TH N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 10482921.28000000 USD 315462550.00000000 THB 2021-02-17 56524.48000000 N N N HC Group Holdings II, Inc. 549300DI3Q5ACSYJRI17 09071FAK7 1366200.00000000 PA USD 1369191.98000000 0.042161283291 Long LON CORP US N 2 2026-08-06 Floating 3.87000000 N N N N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579YBP5 510000.00000000 PA USD 605726.75000000 0.018652035271 Long DBT CORP US N 2 2050-04-15 Fixed 3.70000000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DD6 540000.00000000 PA USD 600957.18000000 0.018505166756 Long DBT CORP US N 2 2025-07-10 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJWF1 1497663.43000000 PA USD 1624727.29000000 0.050029936302 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.00000000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAP4 240000.00000000 PA USD 239550.00000000 0.007376420224 Long DBT CORP CA Y 2 2029-02-15 Fixed 3.50000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABE4 1160000.00000000 PA USD 1309837.20000000 0.040333582186 Long DBT CORP US Y 2 2030-04-15 Fixed 3.88000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NBN0 200000.00000000 PA USD 222029.15000000 0.006836903830 Long DBT CORP US N 2 2025-08-15 Fixed 3.38000000 N N N N N N Sealed Air Corp Q0M0CZB4YN6JZ65WXI09 81211KAK6 300000.00000000 PA USD 396352.50000000 0.012204811509 Long DBT CORP US Y 2 2033-07-15 Fixed 6.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WGDN1 808696.56000000 PA USD 870486.59000000 0.026804737581 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.50000000 N N N N N N Ecopetrol SA 254900IDGKCJICKBPA66 279158AJ8 1010000.00000000 PA USD 1145744.00000000 0.035280689683 Long DBT CORP CO N 2 2045-05-28 Fixed 5.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZW3 60000.00000000 PA USD 59730.47000000 0.001839269659 Long DBT UST US N 2 2025-06-30 Fixed 0.25000000 N N N N N N Mattel Inc 549300VELLG24KHTJ564 577081AU6 73000.00000000 PA USD 85410.00000000 0.002630014825 Long DBT CORP US N 2 2040-10-01 Fixed 6.20000000 N N N N N N Freddie Mac - STACR N/A 35565XAH3 6330000.00000000 PA USD 6413357.87000000 0.197485379665 Long ABS-MBS USGSE US Y 2 2050-08-25 Floating 3.88000000 N N N N N N Enstar Group Ltd 213800AMAL5QFXVUCN04 29359UAB5 2800000.00000000 PA USD 3217860.32000000 0.099086996217 Long DBT CORP BM N 2 2029-06-01 Fixed 4.95000000 N N N N N N Towd Point Mortgage Funding 635400HPLEYAA7LW8Q98 000000000 5740000.00000000 PA 7657606.73000000 0.235799311851 Long ABS-MBS CORP GB Y 2 2045-07-20 Floating 1.25000000 N N N N N N OVINTIV INC N/A 292505AD6 298000.00000000 PA USD 365723.33000000 0.011261652965 Long DBT CORP US N 2 2034-08-15 Fixed 6.50000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661CW5 2968000.00000000 PA USD 3046973.23000000 0.093824900676 Long DBT CORP US N 2 2022-04-15 Fixed 3.12000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -12044.07000000 -0.00037087088 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2959724.55000000 GBP 4043510.57000000 USD 2021-02-17 -12044.07000000 N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370BY5 547000.00000000 PA USD 635203.75000000 0.019559715250 Long DBT CORP US N 2 2028-10-01 Fixed 6.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FF3L3 42344.72000000 PA USD 46490.98000000 0.001431588416 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAV8 50000.00000000 PA USD 58716.06000000 0.001808033114 Long DBT CORP US N 2 2029-07-23 Fixed 4.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4GG5 158688.19000000 PA USD 172669.61000000 0.005316984359 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.00000000 N N N N N N Equate Petrochemical BV 635400Y3Z5R4NJSMQ630 29441WAC9 460000.00000000 PA USD 508140.84000000 0.015647089831 Long DBT CORP NL Y 2 2026-11-03 Fixed 4.25000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAB1 2653000.00000000 PA USD 3548417.85000000 0.109265795005 Long DBT CORP GB Y 2 2045-09-15 Fixed 5.63000000 N N N N N N Markel Corp 549300SCNO12JLWIK605 570535AT1 2599000.00000000 PA USD 3493397.61000000 0.107571566614 Long DBT CORP US N 2 2049-05-20 Fixed 5.00000000 N N N N N N Freddie Mac N/A 3132A9T64 139022.06000000 PA USD 146970.53000000 0.004525637194 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 3.00000000 N N N N N N Newell Brands Inc 549300LWGYFM1TVO1Z12 651229AV8 1396000.00000000 PA USD 1471007.08000000 0.045296457421 Long DBT CORP US N 2 2023-04-01 Fixed 4.35000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAA9 3658000.00000000 PA USD 3869435.18000000 0.119150824124 Long DBT CORP US Y 2 2027-11-01 Fixed 3.50000000 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 1570000.00000000 PA 1234088.08000000 0.038001053108 Long DBT NUSS SG N 2 2022-09-01 Fixed 3.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SL3 7780000.00000000 PA USD 8090592.23000000 0.249132156765 Long DBT UST US N 2 2050-02-15 Fixed 2.00000000 N N N N N N Freddie Mac N/A 3132Y0RR3 62897.97000000 PA USD 69709.08000000 0.002146539209 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31368HM42 128524.16000000 PA USD 150510.74000000 0.004634650246 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5SX2 1954779.35000000 PA USD 2085748.55000000 0.064226081349 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SJ1 200000.00000000 PA USD 203329.58000000 0.006261091321 Long DBT CORP US N 2 2023-10-31 Floating 1.44000000 N N N N N N Residential Mortgage Loan Trust N/A 76119NAC1 2055943.86000000 PA USD 2064108.22000000 0.063559714545 Long ABS-MBS CORP US Y 2 2059-09-25 Variable 3.04000000 N N N N N N EPR Properties 549300YSSXFHMPOWZ492 26884UAD1 464000.00000000 PA USD 474026.27000000 0.014596605990 Long DBT US N 2 2027-06-01 Fixed 4.50000000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 455780CN4 1640000.00000000 PA USD 1805601.69000000 0.055599569290 Long DBT NUSS ID N 2 2049-10-30 Fixed 3.70000000 N N N N N N Morgan Stanley Mortgage Capital Holdings LLC N/A 55375KAJ5 5268000.00000000 PA USD 5238661.98000000 0.161313179621 Long ABS-MBS CORP US Y 2 2039-09-13 Variable 3.74000000 N N N N N N Pactiv LLC 549300O4WTC6DL4JIE57 880394AB7 202000.00000000 PA USD 228765.00000000 0.007044319652 Long DBT CORP US N 2 2025-12-15 Fixed 7.95000000 N N N N N N ICBCIL Finance Co Ltd 549300ZCUURSNVTOEU07 44931DAK9 2880000.00000000 PA USD 2904048.00000000 0.089423829680 Long DBT CORP HK Y 2 2021-09-29 Fixed 2.50000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967JM4 740000.00000000 PA USD 803825.00000000 0.024752039185 Long DBT CORP US N 2 2025-05-15 Fixed 5.95000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UM72 258866.08000000 PA USD 24514.64000000 0.000754874916 Long ABS-MBS USGA US N 2 2067-10-20 Variable 2.07000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCD2 250000.00000000 PA USD 259375.00000000 0.007986887896 Long DBT CORP MX N 2 2023-09-21 Fixed 4.63000000 N N N N N N Freddie Mac N/A 3137FVQG0 783482.06000000 PA USD 120789.51000000 0.003719449736 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QAD2 100000.00000000 PA USD 109198.53000000 0.003362530766 Long DBT CORP US N 2 2024-02-06 Fixed 3.79000000 N N N N N N Tencent Holdings Ltd 254900N4SLUMW4XUYY11 88032WAE6 2978000.00000000 PA USD 3096012.42000000 0.095334955667 Long DBT CORP KY Y 2 2023-01-19 Fixed 2.99000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CX6 190000.00000000 PA USD 188829.71000000 0.005814599423 Long DBT CORP US N 2 2050-06-01 Fixed 2.60000000 N N N N N N Edison International 549300I7ROF15MAEVP56 281020AM9 2972000.00000000 PA USD 3271431.67000000 0.100736609198 Long DBT CORP US N 2 2028-03-15 Fixed 4.13000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFC8 717000.00000000 PA USD 975177.01000000 0.030028450924 Long DBT CORP US N 2 2044-01-21 Fixed 5.00000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC -80700.88000000 -0.00248500773 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 56000000.00000000 SEK 6623965.74000000 USD 2021-03-17 -80700.88000000 N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BR3 440000.00000000 PA USD 459076.85000000 0.014136271178 Long DBT CORP US N 2 2023-04-24 Fixed 2.50000000 N N N N N N Diamondback Energy Inc 549300R22LSX6OHWEN64 25278XAH2 270000.00000000 PA USD 279889.47000000 0.008618586295 Long DBT CORP US N 2 2025-05-31 Fixed 5.38000000 N N N N N N Michaels Stores, Inc. BV4WJ23XIGNG4UDYEK73 594088AR7 375147.99000000 PA USD 374210.12000000 0.011522985169 Long LON CORP US N 2 2027-10-01 Floating 4.25000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 213950000.00000000 PA 11856852.45000000 0.365105932834 Long DBT NUSS MX N 2 2042-11-13 Fixed 7.75000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135BC9 370000.00000000 PA USD 418579.20000000 0.012889234299 Long DBT CORP US N 2 2027-08-22 Fixed 3.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617JYLP6 179429.06000000 PA USD 191196.93000000 0.005887492804 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 3.50000000 N N N N N N Republic of Peru 254900STKLK2DBJJZ530 715638BM3 670000.00000000 PA USD 1018400.00000000 0.031359408710 Long DBT NUSS PE N 2 2050-11-18 Fixed 5.63000000 N N N N N N MURPHY OIL CORPORATION QBKYQD0ODE7DC7PDIN91 626717AA0 30000.00000000 PA USD 29100.00000000 0.000896071085 Long DBT CORP US N 2 2029-05-01 Fixed 7.05000000 N N N N N N INVERSIONES CMPC CI 549300G475ACIABB4385 46128MAF8 670000.00000000 PA USD 712712.50000000 0.021946428299 Long DBT CORP CL Y 2 2023-05-15 Fixed 4.38000000 N N N N N N HMH Trust N/A 40390AAJ0 7770000.00000000 PA USD 6615154.22000000 0.203699258511 Long ABS-MBS CORP US Y 2 2031-07-05 Fixed 6.29000000 N N N N N N Apollo Investment Corp 5493005P14I7WFB3FW47 03761UAG1 99000.00000000 PA USD 100904.53000000 0.003107135110 Long DBT CORP US N 2 2025-03-03 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WTZ82 511560.84000000 PA USD 552699.32000000 0.017019171121 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 3.50000000 N N N N N N Sequoia Mortgage Trust 5493007E0SBYHIR7SU85 81745QAA0 1509199.98000000 PA USD 1545421.99000000 0.047587902410 Long ABS-MBS CORP US Y 2 2045-01-25 Variable 3.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBQ8 410000.00000000 PA USD 419617.51000000 0.012921206793 Long DBT CORP US N 2 2024-06-01 Fixed 1.51000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513EAD3 420000.00000000 PA USD 436602.16000000 0.013444212077 Long DBT CORP US N 2 2030-07-01 Fixed 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419LYE7 36865.18000000 PA USD 40905.02000000 0.001259580950 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.50000000 N N N N N N Flagstar Mortgage Trust N/A 33851HAD5 31378.28000000 PA USD 31847.44000000 0.000980672513 Long ABS-MBS CORP US Y 2 2048-04-25 Variable 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810FQ6 10607305.85000000 PA USD 16171307.35000000 0.497960169453 Long DBT UST US N 2 2032-04-15 Fixed 3.38000000 N N N N N N Bausch Health Companies Inc. KOO0397YRO83WY5MGD97 000000000 338239.63000000 PA USD 338293.75000000 0.010417018824 Long LON CORP CA N 2 2025-06-02 Floating 3.12000000 N N N N N N Garda World Security Corporation N/A 000000000 274826.15000000 PA USD 275054.26000000 0.008469696540 Long LON CORP CA N 2 2026-10-30 Floating 4.99000000 N N N N N N ENLINK MIDSTREAM PARTNER 88CPW63VL7KHJWS0NY83 29336UAG2 300000.00000000 PA USD 240000.00000000 0.007390276993 Long DBT CORP US N 2 2047-06-01 Fixed 5.45000000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KAW6 1456000.00000000 PA USD 1574052.73000000 0.048469523656 Long DBT CORP US N 2 2024-06-07 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -4118.52000000 -0.00012682084 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 96854250.00000000 THB 3231814.54000000 USD 2021-02-10 -4118.52000000 N N N CME Group Inc LCZ7XYGSLJUHFXXNXD88 12572QAF2 200000.00000000 PA USD 293448.00000000 0.009036091680 Long DBT CORP US N 2 2043-09-15 Fixed 5.30000000 N N N N N N COMM Mortgage Trust N/A 12594JAA3 971000.00000000 PA USD 972262.40000000 0.029938701861 Long ABS-MBS CORP US Y 2 2029-08-10 Fixed 2.68000000 N N N N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AR8 370000.00000000 PA USD 366069.18000000 0.011272302662 Long DBT CORP US N 2 2031-01-15 Fixed 2.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6QH7 321511.06000000 PA USD 354917.28000000 0.010928904204 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 5.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 21530.66000000 0.000662989755 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8977630.95000000 PEN 2489636.98000000 USD 2021-02-19 21530.66000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X47B6 778623.02000000 PA USD 834128.00000000 0.025685154034 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VBF6 719119.97000000 PA USD 754144.77000000 0.023222244765 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419A3V7 171109.68000000 PA USD 205895.49000000 0.006340102928 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6.00000000 N N N N N N PPD, Inc. N/A 69355HAB4 870000.00000000 PA USD 873262.50000000 0.026890215680 Long LON CORP US N 2 2028-01-13 Floating 2.75000000 N N N N N N Nomura Resecuritization Trust N/A 65541HAQ4 1272000.00000000 PA USD 1289833.95000000 0.039717625693 Long ABS-MBS CORP US Y 2 2036-05-26 Variable 3.50000000 N N N N N N MEG ENERGY CORP 5493002WXPTG5ZC1T326 552704AF5 60000.00000000 PA USD 59550.00000000 0.001833712479 Long DBT CORP CA Y 2 2029-02-01 Fixed 5.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HXQC7 689735.47000000 PA USD 738850.99000000 0.022751306138 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 2.26000000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AA5 310000.00000000 PA USD 331279.30000000 0.010201024122 Long DBT CORP XX Y 2 2025-10-20 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128282A7 19279000.00000000 PA USD 20300937.57000000 0.625123132819 Long DBT UST US N 2 2026-08-15 Fixed 1.50000000 N N N N N N Freddie Mac N/A 3133KJ2F8 3002411.47000000 PA USD 3220647.75000000 0.099172829050 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 3.00000000 N N N N N N MAGNOLIA FINANCE X DAC 2019-1 213800FNSN9L4EI3LC40 55960WAB7 1117200.00000000 PA USD 1113704.06000000 0.034294089552 Long ABS-O CORP IE Y 2 2024-08-09 Floating 3.11000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBK1 850000.00000000 PA USD 889103.03000000 0.027377990282 Long DBT CORP US N 2 2026-04-22 Fixed 2.08000000 N N N N N N Sprint Capital Corp 549300L17W0GQBR1PO80 852060AT9 2813000.00000000 PA USD 4296857.50000000 0.132312363033 Long DBT CORP US N 2 2032-03-15 Fixed 8.75000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GFD1 1100000.00000000 PA USD 1625927.12000000 0.050066882452 Long DBT CORP US N 2 2037-10-01 Fixed 6.75000000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311VAF4 175000.00000000 PA USD 182875.00000000 0.005631237105 Long DBT CORP US N 2 2044-04-01 Fixed 5.60000000 N N N N N N Towd Point Mortgage Trust N/A 89173HAA4 394406.23000000 PA USD 401932.61000000 0.012376638836 Long ABS-O CORP US Y 2 2057-04-25 Variable 2.75000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LBF2 110000.00000000 PA USD 123739.92000000 0.003810301183 Long DBT CORP US N 2 2031-03-01 Fixed 4.25000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CD5 980000.00000000 PA USD 1020605.10000000 0.031427309959 Long DBT CORP US N 2 2029-03-01 Fixed 3.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828YE4 1105000.00000000 PA USD 1144279.30000000 0.035235587438 Long DBT UST US N 2 2024-08-31 Fixed 1.25000000 N N N N N N Greenwood Park CLO, Ltd N/A 39729RAB4 3133000.00000000 PA USD 3127360.60000000 0.096300254556 Long ABS-CBDO CORP KY Y 2 2031-04-15 Floating 1.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828S35 1225000.00000000 PA USD 1261271.49000000 0.038838106981 Long DBT UST US N 2 2023-06-30 Fixed 1.38000000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAT4 300000.00000000 PA USD 315000.00000000 0.009699738554 Long DBT CORP US Y 2 2030-05-15 Fixed 4.80000000 N N N N N N TEVA PHARMACEUTICALS NE 5493004T21MOAFINJP35 88167AAD3 1130000.00000000 PA USD 1120282.00000000 0.034496642879 Long DBT CORP NL N 2 2023-07-21 Fixed 2.80000000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAC3 253000.00000000 PA USD 257447.74000000 0.007927542125 Long DBT CORP CA Y 2 2024-05-15 Fixed 4.25000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AJ5 380000.00000000 PA USD 434879.82000000 0.013391176370 Long DBT CORP US N 2 2024-05-15 Fixed 5.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178DH20 90388.68000000 PA USD 97580.64000000 0.003004783161 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417WUF6 230478.64000000 PA USD 265646.23000000 0.008179996758 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 5.50000000 N N N N N N Union Pacific Corp 549300LMMRSZZCZ8CL11 907818EY0 660000.00000000 PA USD 768902.10000000 0.023676664583 Long DBT CORP US N 2 2028-09-10 Fixed 3.95000000 N N N N N N EOG RESOURCES INC XWTZDRYZPBUHIQBKDB46 26875PAU5 120000.00000000 PA USD 142683.38000000 0.004393623752 Long DBT CORP US N 2 2030-04-15 Fixed 4.38000000 N N N N N N Freddie Mac N/A 3137F7HE8 4651474.88000000 PA USD 541873.57000000 0.016685815741 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 3.50000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967EW7 755000.00000000 PA USD 1309774.17000000 0.040331641315 Long DBT CORP US N 2 2039-07-15 Fixed 8.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TLS2 87297.28000000 PA USD 93263.91000000 0.002871858868 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.50000000 N N N N N N Hilton Worldwide Finance, LLC 549300406TN7EY0NPH20 43289DAH6 1378027.48000000 PA USD 1367113.50000000 0.042097281029 Long LON CORP US N 2 2026-06-22 Floating 1.88000000 N N N N N N LUMEN TECHNOLOGIES INC 8M3THTGWLTYZVE6BBY25 156700AS5 694000.00000000 PA USD 725230.00000000 0.022331877434 Long DBT CORP US N 2 2022-03-15 Fixed 5.80000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAS8 620000.00000000 PA USD 775372.00000000 0.023875891055 Long DBT CORP NL N 2 2027-01-17 Fixed 7.38000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46625YCW1 166398.77000000 PA USD 167549.58000000 0.005159324193 Long ABS-MBS CORP US N 2 2041-07-15 Variable 5.49000000 N N N N N N Deutsche Bank Commercial Mortgage Trust N/A 23312VAF3 1630000.00000000 PA USD 1785355.30000000 0.054976125830 Long ABS-MBS CORP US N 2 2049-08-10 Fixed 2.89000000 N N N N N N Newell Brands Inc 549300LWGYFM1TVO1Z12 651229AX4 118000.00000000 PA USD 144550.00000000 0.004451102247 Long DBT CORP US N 2 2036-04-01 Fixed 5.88000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFQ2 310000.00000000 PA USD 355627.78000000 0.010950782503 Long DBT CORP US N 2 2030-07-01 Fixed 3.60000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AQ1 1230000.00000000 PA USD 1278699.99000000 0.039374779658 Long DBT CORP CH Y 2 2026-06-05 Fixed 2.19000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325BR5 1220000.00000000 PA USD 1503040.00000000 0.046282841386 Long DBT NUSS CO N 2 2044-02-26 Fixed 5.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9QD8 136546.98000000 PA USD 151083.10000000 0.004652274825 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376R5X0 507486.04000000 PA USD 53068.73000000 0.001634135893 Long ABS-MBS USGA US N 2 2067-07-20 Variable 2.31000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBR2 200000.00000000 PA USD 208700.00000000 0.006426461702 Long DBT CORP US Y 2 2031-02-01 Fixed 4.88000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397YQ0 327000.00000000 PA USD 330678.75000000 0.010182531493 Long DBT CORP US N 2 2022-08-03 Fixed 2.98000000 N N N N N N USAA CAPITAL CORP 5493007XLF4LU3U2W757 90327QD48 150000.00000000 PA USD 153816.90000000 0.004736456238 Long DBT CORP US Y 2 2023-05-01 Fixed 1.50000000 N N N N N N NOBLE HOLDING INTL LTD 549300GNEZBJHMST9U32 65504LAN7 240000.00000000 PA USD 4800.00000000 0.000147805539 Long DBT CORP KY N 2 2025-04-01 None 0.00000000 Y N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2F0 1490000.00000000 PA USD 1756354.83000000 0.054083119554 Long DBT CORP FR Y 2 2028-08-14 Fixed 4.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382HY87 296574.77000000 PA USD 41395.76000000 0.001274692219 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC -873.81000000 -0.00002690707 N/A DFE US N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 8600000.00000000 CAD 6725212.51000000 USD 2021-03-17 -873.81000000 N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BL3 220000.00000000 PA USD 282283.07000000 0.008692291991 Long DBT CORP US N 2 2040-03-25 Fixed 4.60000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -14614.43000000 -0.00045001952 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1218296.60000000 USD 6600000.00000000 BRL 2021-04-19 -14614.43000000 N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BE6 200000.00000000 PA USD 212580.34000000 0.006545948316 Long DBT CORP US Y 2 2054-09-15 Fixed 4.38000000 N N N N N N Cimarex Energy Co 11KYOFXPU1C4CQL1CL44 171798AC5 150000.00000000 PA USD 164015.43000000 0.005050497745 Long DBT CORP US N 2 2024-06-01 Fixed 4.38000000 N N N N N N NBK SPC Ltd 549300P1ANDK86KWB419 62877PAA2 3179000.00000000 PA USD 3257394.14000000 0.100304354052 Long DBT CORP AE Y 2 2022-05-30 Fixed 2.75000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2L7 590000.00000000 PA USD 616827.30000000 0.018993852518 Long DBT CORP FR Y 2 2026-06-09 Fixed 2.22000000 N N N N N N Aon Corp LTS3U8DGK38SETRUWX71 037389AK9 1109000.00000000 PA USD 1495473.10000000 0.046049835190 Long DBT CORP US N 2 2027-01-01 Fixed 8.21000000 N N N N N N Suncor Energy Inc 549300W70ZOQDVLCHY06 716442AH1 2824000.00000000 PA USD 3451916.68000000 0.106294251769 Long DBT CORP CA N 2 2033-07-15 Fixed 5.35000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DJ1 572000.00000000 PA USD 594880.00000000 0.018318033242 Long DBT CORP US N 2 2040-03-15 Fixed 6.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZR4 9515000.00000000 PA USD 9518345.09000000 0.293096694741 Long DBT UST US N 2 2022-05-31 Fixed 0.13000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDU3 80000.00000000 PA USD 94743.42000000 0.002917417154 Long DBT CORP US N 2 2049-08-15 Fixed 3.70000000 N N N N N N Freddie Mac N/A 3137FXC89 494956.72000000 PA USD 66198.88000000 0.002038450249 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 2.00000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCE9 207000.00000000 PA USD 249193.20000000 0.007673361554 Long DBT CORP US N 2 2049-11-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828S92 5285000.00000000 PA USD 5429924.64000000 0.167202696438 Long DBT UST US N 2 2023-07-31 Fixed 1.25000000 N N N N N N Western Digital Corporation 549300QQXOOYEF89IC56 95810DAR2 233949.44000000 PA USD 233949.44000000 0.007203963183 Long LON CORP US N 2 2023-04-29 Floating 1.87000000 N N N N N N Hilton USA Trust N/A 43289VAA1 1499000.00000000 PA USD 1501210.58000000 0.046226508384 Long ABS-MBS CORP US Y 2 2035-11-05 Fixed 2.83000000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EAV7 2737000.00000000 PA USD 3551354.25000000 0.109356215044 Long DBT CORP GB N 2 2047-01-10 Fixed 4.95000000 N N N N N N Freddie Mac N/A 3137AJYN8 64683.04000000 PA USD 14894.27000000 0.000458636587 Long ABS-MBS USGSE US N 2 2041-12-15 Floating 6.36000000 N N N N N N L Brands Inc GR3KVMWVCR54YWQNXU90 532716AN7 65000.00000000 PA USD 71987.50000000 0.002216698187 Long DBT CORP US N 2 2037-07-15 Fixed 7.60000000 N N N N N N Elanco Animal Health Incorporated 549300SHPNDCE059M934 28414BAF3 812472.02000000 PA USD 810099.60000000 0.024945251819 Long LON CORP US N 2 2027-08-01 Floating 1.89000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -5561.83000000 -0.00017126443 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9276200.00000000 NOK 1077351.50000000 USD 2021-03-17 -5561.83000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828ZS2 10760000.00000000 PA USD 10655762.50000000 0.328120985230 Long DBT UST US N 2 2027-05-31 Fixed 0.50000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BV4 100000.00000000 PA USD 112057.70000000 0.003450572676 Long DBT CORP US N 2 2027-05-01 Fixed 3.45000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 4125000.00000000 OU Notional Amount USD 731321.21000000 0.022519442972 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2050-03-17 67928.15000000 USD 0.00000000 USD 4125000.00000000 USD 663393.06000000 N N N Precision Castparts Corp 0XOOAY5P5J7Q734SEC89 740189AG0 3203000.00000000 PA USD 3323258.43000000 0.102332501332 Long DBT CORP US N 2 2023-01-15 Fixed 2.50000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAU7 1150000.00000000 PA USD 1323156.33000000 0.040743715770 Long DBT CORP US N 2 2045-06-15 Fixed 5.00000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAV5 400000.00000000 PA USD 469319.39000000 0.014451667877 Long DBT CORP US N 2 2025-12-15 Fixed 5.85000000 N N N N N N Wyndham Destinations Inc T4VNTWMFQ7JQB65L7T35 98310WAG3 417000.00000000 PA USD 417834.00000000 0.012866287489 Long DBT CORP US N 2 2021-03-01 Fixed 5.63000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 29229.96000000 0.000900072920 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 51758800.00000000 PEN 14258229.80000000 USD 2021-02-12 29229.96000000 N N N Reynolds American Inc 02S2RPPVO9RP4NEU2740 761713BB1 310000.00000000 PA USD 391657.47000000 0.012060238291 Long DBT CORP US N 2 2045-08-15 Fixed 5.85000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAB2 718000.00000000 PA USD 764583.48000000 0.023543682092 Long DBT CORP US N 2 2046-06-01 Fixed 4.38000000 N N N N N N JP Morgan Mortgage Trust N/A 46649TAC0 645542.78000000 PA USD 661777.02000000 0.020377981191 Long ABS-MBS CORP US Y 2 2048-09-25 Variable 3.50000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 933637AA8 2821400.86000000 PA USD 2588372.05000000 0.079703276719 Long ABS-MBS CORP US N 2 2037-01-25 Variable 2.58000000 N N N N N N Freddie Mac N/A 3132WKLT3 1594526.18000000 PA USD 1729629.46000000 0.053260170025 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N UMBS, TBA N/A 01F012429 5500000.00000000 PA USD 5639648.41000000 0.173660682906 Long ABS-MBS USGSE US N 2 2036-02-18 Fixed 1.50000000 N N N N N N COSTCO WHOLESALE CORP 29DX7H14B9S6O3FD6V18 22160KAP0 460000.00000000 PA USD 462660.31000000 0.014246616020 Long DBT CORP US N 2 2030-04-20 Fixed 1.60000000 N N N N N N FREDDIEMAC STRIP S6XOOCT0IEG5ABCC6L87 31282YCG2 11358.82000000 PA USD 1722.12000000 0.000053028932 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 6.50000000 N N N N N N TENNESSEE GAS PIPELINE N/A 880451AZ2 350000.00000000 PA USD 365691.70000000 0.011260678988 Long DBT CORP US Y 2 2030-03-01 Fixed 2.90000000 N N N N N N Dell International LLC N/A 24702NBE9 561762.25000000 PA USD 562509.39000000 0.017321250848 Long LON CORP US N 2 2025-09-19 Floating 2.75000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 3580000.00000000 OU Notional Amount USD 451276.08000000 0.013896063466 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2045-08-19 0.00000000 USD 0.00000000 USD 3580000.00000000 USD 451276.08000000 N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BL7 750000.00000000 PA USD 830250.00000000 0.025565739475 Long DBT CORP US N 2 2030-01-15 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F9WR2 1269072.08000000 PA USD 1371853.02000000 0.042243224219 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650DC1 149000.00000000 PA USD 149454.45000000 0.004602124097 Long DBT CORP US N 2 2021-03-09 Fixed 3.35000000 N N N N N N AIR LIQUIDE FINANCE 549300YGXL5Z3R14K812 00913RAB2 1490000.00000000 PA USD 1503137.81000000 0.046285853232 Long DBT CORP FR Y 2 2021-09-27 Fixed 1.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YXZY4 137464.23000000 PA USD 148383.52000000 0.004569147142 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -84295.26000000 -0.00259568883 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 56000000.00000000 SEK 6620371.36000000 USD 2021-03-17 -84295.26000000 N N N Freddie Mac N/A 3128MAD55 4235549.00000000 PA USD 4656845.34000000 0.143397404083 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 3.50000000 N N N N N N PRIME SECSRVC BRW/FINANC N/A 74166MAB2 360000.00000000 PA USD 382950.00000000 0.011792110728 Long DBT CORP US Y 2 2024-04-15 Fixed 5.25000000 N N N N N N BMW US Capital LLC KK5MZM9DIXLXZL9DZL15 05565EAL9 80000.00000000 PA USD 80677.46000000 0.002484286568 Long DBT CORP US Y 2 2021-09-15 Fixed 1.85000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 48211.57000000 0.001484570235 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4052736100.00000000 KRW 3672453.54000000 USD 2021-02-16 48211.57000000 N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932AG2 249000.00000000 PA USD 253681.20000000 0.007811559733 Long DBT CORP US N 2 2022-07-15 Fixed 3.35000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 969457BB5 190000.00000000 PA USD 257965.43000000 0.007943483260 Long DBT CORP US N 2 2031-01-15 Fixed 7.50000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC -14132.84000000 -0.00043519000 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 10744270.00000000 EUR 13034926.88000000 USD 2021-03-10 -14132.84000000 N N N Seattle Spinco, Inc. 213800AAQDP1DDU8BK05 81271EAB7 96606.44000000 PA USD 95640.38000000 0.002945037083 Long LON CORP US N 2 2024-06-21 Floating 2.87000000 N N N N N N Alphabet Inc 5493006MHB84DD0ZWV18 02079KAC1 3054000.00000000 PA USD 3249706.83000000 0.100067640093 Long DBT CORP US N 2 2026-08-15 Fixed 2.00000000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AM0 3174000.00000000 PA USD 3648691.95000000 0.112353517398 Long DBT CORP US N 2 2027-02-09 Fixed 4.10000000 N N N N N N Fannie Mae - CAS N/A 20753WAE6 2800000.00000000 PA USD 2776550.84000000 0.085497832479 Long ABS-MBS USGSE US Y 2 2039-10-25 Floating 3.53000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CN8 710000.00000000 PA USD 928404.24000000 0.028588185399 Long DBT CORP US N 2 2045-07-20 Fixed 5.13000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 4966.28000000 0.000152925770 N/A DFE IN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1188471.01000000 USD 88035990.00000000 INR 2021-04-19 4966.28000000 N N N Amgen Inc 62QBXGPJ34PQ72Z12S66 031162BV1 100000.00000000 PA USD 109326.90000000 0.003366483641 Long DBT CORP US N 2 2024-05-22 Fixed 3.63000000 N N N N N N Santander UK PLC PTCQB104N23FMNK2RZ28 80283LAA1 988000.00000000 PA USD 1087307.83000000 0.033481275171 Long DBT CORP GB Y 2 2023-11-07 Fixed 5.00000000 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 1784000.00000000 PA 1421378.21000000 0.043768244520 Long DBT NUSS SG N 2 2023-07-01 Fixed 2.75000000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAH0 230000.00000000 PA USD 242309.12000000 0.007461381312 Long DBT CORP US N 2 2025-04-05 Fixed 2.06000000 N N N N N N BrightView Landscapes, LLC 549300OSAEQC89PVOW06 10801XAG2 204750.00000000 PA USD 204301.60000000 0.006291022559 Long LON CORP US N 2 2025-08-15 Floating 2.63000000 N N N N N N GoldenTree Loan Management US CLO1, LTD 549300DO8S88M0JNL340 38138LAA6 4156000.00000000 PA USD 4163638.73000000 0.128210181320 Long ABS-CBDO CORP KY Y 2 2031-04-20 Floating 2.12000000 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 1000.00000000 PA 1319.72000000 0.000040637901 Long DBT NUSS ES Y 2 2025-04-30 Fixed 1.60000000 N N N N N N DELTA AIR LINES 2002-1G1 N/A 247367AX3 126648.95000000 PA USD 129986.86000000 0.004002662087 Long DBT CORP US N 2 2023-01-02 Fixed 6.72000000 N N N N N N Toyota Industries Corp 35380000WKGEAHEMW830 892330AD3 275000.00000000 PA USD 282457.16000000 0.008697652713 Long DBT CORP JP Y 2 2022-03-12 Fixed 3.11000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAH8 40000.00000000 PA USD 47980.14000000 0.001477443853 Long DBT CORP US N 2 2029-01-25 Fixed 4.71000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -12713.17000000 -0.00039147436 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2157393.97000000 USD 2805680.00000000 AUD 2021-03-10 -12713.17000000 N N N CON EDISON CO OF NY INC VZFZPMWDHTQCFKYOBP05 209111FY4 140000.00000000 PA USD 166077.72000000 0.005114001472 Long DBT CORP US N 2 2050-04-01 Fixed 3.95000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AL3 1806000.00000000 PA USD 2115102.32000000 0.065129966729 Long DBT CORP US N 2 2029-01-15 Fixed 5.30000000 N N N N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 064159VK9 3300000.00000000 PA USD 3390050.14000000 0.104389206489 Long DBT CORP CA N 2 2023-05-01 Fixed 1.63000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KA8 500000.00000000 PA USD 568890.59000000 0.017517745996 Long DBT CORP US N 2 2029-05-15 Fixed 3.50000000 N N N N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 36164QNA2 5274000.00000000 PA USD 6174149.71000000 0.190119485659 Long DBT CORP IE N 2 2035-11-15 Fixed 4.42000000 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAP1 3195000.00000000 PA USD 3445301.19000000 0.106090542171 Long DBT CORP US N 2 2049-12-15 Fixed 4.50000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAK1 3327000.00000000 PA USD 3655530.70000000 0.112564101801 Long DBT CORP IE N 2 2024-01-16 Fixed 4.88000000 N N N N N N Greenpoint Manufactured Housing N/A 395383AW2 4075000.00000000 PA USD 4072456.79000000 0.125402432181 Long ABS-O CORP US N 2 2031-08-21 Floating 2.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9QD6 51853.55000000 PA USD 57494.33000000 0.001770412601 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.50000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 62502000000.00000000 PA 5011119.01000000 0.154306489720 Long DBT NUSS ID N 2 2029-05-15 Fixed 8.25000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135BM7 110000.00000000 PA USD 149053.64000000 0.004589782027 Long DBT CORP US N 2 2057-08-22 Fixed 4.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912803FJ7 500000.00000000 PA USD 293618.80000000 0.009041351094 Long DBT UST US N 2 2049-05-15 None 0.00000000 N N N N N N Buckeye Partners LP 549300C1PQJLVEIUBK50 118230AQ4 557000.00000000 PA USD 561060.53000000 0.017276636362 Long DBT CORP US N 2 2026-12-01 Fixed 3.95000000 N N N N N N Edelman Financial Center, LLC N/A 27943UAJ5 313600.00000000 PA USD 310856.00000000 0.009572133104 Long LON CORP US N 2 2025-07-21 Floating 3.12000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 200000.00000000 PA USD 217181.04000000 0.006687616847 Long DBT CORP GB N 2 2024-06-25 Fixed 4.52000000 N N N N N N Small Business Administration N/A 831641FM2 649727.11000000 PA USD 686950.11000000 0.021153131640 Long ABS-O USGA US N 2 2029-03-10 Fixed 3.11000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PBB6 1000000.00000000 PA USD 1340998.00000000 0.041293111117 Long DBT NUSS QA Y 2 2049-03-14 Fixed 4.82000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QEAF9 15358920.80000000 PA USD 16186914.38000000 0.498440753931 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N Pactiv LLC 549300O4WTC6DL4JIE57 880394AE1 125000.00000000 PA USD 145312.50000000 0.004474581773 Long DBT CORP US N 2 2027-04-15 Fixed 8.38000000 N N N N N N Avnet Inc XJI53DCPL7QABOWK4Z75 053807AR4 1230000.00000000 PA USD 1318726.98000000 0.040607323589 Long DBT CORP US N 2 2022-12-01 Fixed 4.88000000 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 175220000.00000000 PA 2560693.97000000 0.078850990561 Long DBT NUSS RU N 2 2039-03-16 Fixed 7.70000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AH2 1167000.00000000 PA USD 1336681.80000000 0.041160203144 Long DBT CORP US N 2 2026-04-15 Fixed 5.38000000 N N N N N N Banco Santander SA 5493006QMFDDMYWIAM13 05964HAC9 2374000.00000000 PA USD 2461209.01000000 0.075787568014 Long DBT CORP ES N 2 2022-04-11 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3132DWAD5 5926601.02000000 PA USD 5955275.58000000 0.183379733794 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 1.50000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDV1 280000.00000000 PA USD 342980.21000000 0.010561328147 Long DBT CORP US N 2 2059-08-15 Fixed 3.88000000 N N N N N N SABAL TRAIL TRANS 5493002DWITGSZFUI977 78516FAA7 373000.00000000 PA USD 429093.72000000 0.013213006029 Long DBT CORP US Y 2 2028-05-01 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXF98 250106.58000000 PA USD 279762.89000000 0.008614688540 Long ABS-MBS USGSE US N 2 2057-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBTF5 9037390.74000000 PA USD 9918900.91000000 0.305430938329 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Credit Suisse Commercial Mortgage Securities Corp N/A 12653BAG5 662275.67000000 PA USD 660621.37000000 0.020342395468 Long ABS-MBS CORP US Y 2 2035-08-15 Floating 1.43000000 N N N N N N Freddie Mac N/A 31335BCW4 549684.11000000 PA USD 596478.58000000 0.018367258029 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JF5 210000.00000000 PA USD 213071.88000000 0.006561084219 Long DBT CORP US N 2 2027-08-01 Fixed 2.10000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBT8 100000.00000000 PA USD 99000.00000000 0.003048489259 Long DBT CORP US Y 2 2032-01-15 Fixed 4.00000000 N N N N N N Yum! Brands Inc 549300JE8XHZZ7OHN517 988498AJ0 676000.00000000 PA USD 708110.00000000 0.021804704342 Long DBT CORP US N 2 2023-11-01 Fixed 3.88000000 N N N N N N EOG RESOURCES INC XWTZDRYZPBUHIQBKDB46 26875PAT8 150000.00000000 PA USD 193884.68000000 0.005970256208 Long DBT CORP US N 2 2050-04-15 Fixed 4.95000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SQV2 622306.49000000 PA USD 664817.80000000 0.020471615385 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A 3137F8ZV8 7539000.00000000 PA USD 7752772.87000000 0.238729745747 Long ABS-MBS USGSE US N 2 2030-12-25 Fixed 1.62000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -80.00000000 NC USD -8125.04000000 -0.00025019290 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 80.00000000 NC N/A -8125.04000000 0.00000000 DIR US Short 5 Year US Treasury Note FVH1 Comdty 2021-03-31 80.00000000 USD 1000.00000000 126.00000000 USD 2021-02-19 XXXX 2361.60000000 N N N Fannie Mae - CAS N/A 30711XEP5 4241224.81000000 PA USD 4376807.44000000 0.134774247209 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 3.68000000 N N N N N N Walmart Inc Y87794H0US1R65VBXU25 931142EK5 3019000.00000000 PA USD 3240950.45000000 0.099798006453 Long DBT CORP US N 2 2023-06-26 Fixed 3.40000000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 06406RAN7 270000.00000000 PA USD 280734.49000000 0.008644606845 Long DBT CORP US N 2 2025-04-24 Fixed 1.60000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AV2 220000.00000000 PA USD 251013.16000000 0.007729403256 Long DBT CORP US N 2 2030-06-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620AKJ80 76599.83000000 PA USD 86080.80000000 0.002650670649 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 4.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 291218.48000000 0.008967438470 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 51767907700.00000000 COP 14787661.99000000 USD 2021-02-18 291218.48000000 N N N CHARTER COMM OPT LLC/CAP N/A 161175BN3 1040000.00000000 PA USD 1319153.05000000 0.040620443486 Long DBT CORP US N 2 2048-04-01 Fixed 5.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128282F6 22955000.00000000 PA USD 23091295.31000000 0.711046118696 Long DBT UST US N 2 2021-08-31 Fixed 1.13000000 N N N N N N SUNOCO LOGISTICS PARTNER 5493006LL0CKP8WQW329 86765BAK5 2633000.00000000 PA USD 2974558.66000000 0.091595051799 Long DBT CORP US N 2 2042-02-15 Fixed 6.10000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBZ1 480000.00000000 PA USD 512808.30000000 0.015790814090 Long DBT CORP US N 2 2024-11-21 Fixed 2.60000000 N N N N N N Freddie Mac N/A 3137FVQ54 291107.38000000 PA USD 33696.61000000 0.001037613673 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585AAJ1 1051000.00000000 PA USD 1182490.58000000 0.036412220536 Long DBT CORP US N 2 2054-09-15 Fixed 5.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92344GAM8 510000.00000000 PA USD 770988.27000000 0.023740903642 Long DBT CORP US N 2 2030-12-01 Fixed 7.75000000 N N N N N N Morgan Stanley Capital I Trust N/A 61769GAA5 1220000.00000000 PA USD 1176348.28000000 0.036223081793 Long ABS-MBS CORP US Y 2 2036-05-15 Floating 1.53000000 N N N N N N UMBS, TBA N/A 01F030629 1400000.00000000 PA USD 1472515.63000000 0.045342909930 Long ABS-MBS USGSE US N 2 2051-02-12 Fixed 3.00000000 N N N N N N DEERE & COMPANY PWFTNG3EI0Y73OXWDH08 244199BJ3 100000.00000000 PA USD 112622.92000000 0.003467977394 Long DBT CORP US N 2 2030-04-15 Fixed 3.10000000 N N N N N N Crown Cork & Seal Co Inc 7HLDMDH0ZXNUH6PT7Z42 228255AH8 402000.00000000 PA USD 488430.00000000 0.015040137467 Long DBT CORP US N 2 2026-12-15 Fixed 7.38000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 177490000.00000000 PA 10082703.06000000 0.310474868582 Long DBT NUSS MX N 2 2047-11-07 Fixed 8.00000000 N N N N N N Station Casinos LLC 5493004E7Q60TX54WL62 85769EAZ4 128726.46000000 PA USD 126605.05000000 0.003898526617 Long LON CORP US N 2 2027-02-08 Floating 2.50000000 N N N N N N Grifols Worldwide Operations USA, Inc. N/A 39843PAG8 1148400.00000000 PA USD 1145529.00000000 0.035274069226 Long LON CORP US N 2 2027-11-15 Floating 2.09000000 N N N N N N MAGELLAN HEALTH SRVCS N/A 559079AK4 638000.00000000 PA USD 700338.98000000 0.021565412715 Long DBT CORP US N 2 2024-09-22 Fixed 4.90000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172AT6 400000.00000000 PA USD 413453.95000000 0.012731413394 Long DBT CORP US N 2 2022-08-22 Fixed 2.50000000 N N N N N N OneMain Financial Issuance Trust N/A 682696AA7 9434000.00000000 PA USD 9739893.68000000 0.299918800773 Long ABS-O CORP US Y 2 2035-09-14 Fixed 1.75000000 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HHZ6 990000.00000000 PA USD 1022274.48000000 0.031478714878 Long DBT CORP US N 2 2025-05-12 Fixed 1.45000000 N N N N N N Abbott Laboratories HQD377W2YR662HK5JX27 002824BF6 531000.00000000 PA USD 615144.85000000 0.018942045136 Long DBT CORP US N 2 2026-11-30 Fixed 3.75000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VBG8 60000.00000000 PA USD 68261.25000000 0.002101956439 Long DBT CORP US N 2 2042-11-01 Fixed 3.85000000 N N N N N N BANCOLOMBIA SA 54930052NWJRPNMP1W58 05968LAM4 3257000.00000000 PA USD 3354742.57000000 0.103301986813 Long DBT CORP CO N 2 2025-01-29 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3133KHZT6 7734532.40000000 PA USD 8281385.65000000 0.255007224359 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417CRL1 108687.11000000 PA USD 115870.14000000 0.003567968457 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3.00000000 N N N N N N CityCenter Holdings, LLC 54930012KUDSU3GT0X08 17875LAL3 344605.79000000 PA USD 340012.19000000 0.010469934439 Long LON CORP US N 2 2024-04-18 Floating 3.00000000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JAU2 70000.00000000 PA USD 97848.10000000 0.003013019009 Long DBT CORP US N 2 2039-06-15 Fixed 6.75000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCJ0 1110000.00000000 PA USD 1154644.20000000 0.035554751947 Long DBT CORP US Y 2 2032-05-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EKLG8 52168.43000000 PA USD 57059.41000000 0.001757020187 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.50000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AV2 2838000.00000000 PA USD 3312360.21000000 0.101996914396 Long DBT CORP GB Y 2 2025-04-01 Fixed 5.38000000 N N N N N N CIT BANK NA FVPV0TNOIM6NUIE59530 12556LBJ4 2270000.00000000 PA USD 2406200.00000000 0.074093685427 Long DBT CORP US N 2 2025-09-27 Fixed 2.97000000 N N N N N N Cenovus Energy Inc 549300EIRQ0Z2B9C1W06 15135UAR0 281000.00000000 PA USD 329020.80000000 0.010131478536 Long DBT CORP CA N 2 2047-06-15 Fixed 5.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KDNS5 7588609.52000000 PA USD 7992781.06000000 0.246120274934 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 2.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 5157.49000000 0.000158813665 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8977630.94000000 PEN 2473176.57000000 USD 2021-02-10 5157.49000000 N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 105756BW9 1490000.00000000 PA USD 1542150.00000000 0.047487148608 Long DBT NUSS BR N 2 2045-01-27 Fixed 5.00000000 N N N N N N Golden Nugget, Inc. N/A 51508PAG9 552207.98000000 PA USD 540302.38000000 0.016637434369 Long LON CORP US N 2 2023-10-04 Floating 3.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 6385.63000000 0.000196631560 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 536785300.00000000 KRW 486416.84000000 USD 2021-02-16 6385.63000000 N N N General Electric Co 3C7474T6CDKPR9K6YT90 36962G4B7 1270000.00000000 PA USD 1832500.39000000 0.056427856139 Long DBT CORP US N 2 2039-01-10 Fixed 6.88000000 N N N N N N Oaktown Re Ltd 2549008N2FD0KB1Y5E03 67400KAB6 3850000.00000000 PA USD 3862442.43000000 0.118935497626 Long ABS-MBS CORP US Y 2 2029-07-25 Floating 2.08000000 N N N N N N Fanniemae-Aces N/A 3136B8UA5 95868.26000000 PA USD 100298.03000000 0.003088459265 Long ABS-MBS USGSE US N 2 2037-10-25 Fixed 2.50000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC 2444.03000000 0.000075258577 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1243700.00000000 CAD 975133.58000000 USD 2021-03-10 2444.03000000 N N N Freddie Mac N/A 31393RJ92 215272.39000000 PA USD 247970.67000000 0.007635716406 Long ABS-MBS USGSE US N 2 2033-06-15 Fixed 5.00000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967JU6 889000.00000000 PA USD 1160839.11000000 0.035745510700 Long DBT CORP US N 2 2045-07-30 Fixed 4.65000000 N N N N N N Virgin Media Bristol LLC N/A 000000000 1310538.59000000 PA USD 1303435.47000000 0.040136454861 Long LON CORP US N 2 2028-01-31 Floating 2.63000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448EZ7 170000.00000000 PA USD 170422.92000000 0.005247802437 Long DBT CORP US N 2 2030-05-01 Fixed 1.63000000 N N N N N N SHINHAN BANK 5493003P813VL21KG928 82460CAK0 2994000.00000000 PA USD 3076843.98000000 0.094744705329 Long DBT CORP KR Y 2 2022-03-28 Fixed 2.88000000 N N N N N N MA FinanceCo., LLC N/A 55280FAG6 14305.20000000 PA USD 14162.15000000 0.000436092547 Long LON CORP US N 2 2024-06-21 Floating 2.87000000 N N N N N N Gainwell Acquisition Corp. N/A 59909TAC8 690000.00000000 PA USD 691297.20000000 0.021286990804 Long LON CORP US N 2 2027-10-01 Floating 4.75000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NBS9 380000.00000000 PA USD 420465.38000000 0.012947315102 Long DBT CORP US N 2 2026-03-01 Fixed 3.15000000 N N N N N N KOREA TREASURY BOND 549300O0QCVSQGPGDT58 000000000 538810000.00000000 PA 476935.50000000 0.014686189388 Long DBT NUSS KR N 2 2025-09-10 Fixed 1.13000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBV9 560000.00000000 PA USD 763336.87000000 0.023505295453 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBJ9 12370000.00000000 PA USD 12356470.31000000 0.380490576070 Long DBT UST US N 2 2028-01-31 Fixed 0.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382AKD6 279286.21000000 PA USD 287613.41000000 0.008856428195 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.00000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638DF6 310000.00000000 PA USD 333250.00000000 0.010261707534 Long DBT NUSS PE N 2 2031-01-23 Fixed 2.78000000 N N N N N N DIAMOND OFFSHORE DRILL F14FQJ2EEHW5VPYUHL14 25271CAN2 178000.00000000 PA USD 24920.00000000 0.000767357094 Long DBT CORP US N 2 2043-11-01 None 0.00000000 Y N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAG5 820000.00000000 PA USD 920090.27000000 0.028332174810 Long DBT CORP US N 2 2026-02-01 Fixed 3.65000000 N N N N N N WPX ENERGY INC ZXZE9GCS2BB547GJW219 98212BAM5 60000.00000000 PA USD 64965.60000000 0.002000474079 Long DBT CORP US N 2 2028-06-15 Fixed 5.88000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -660.00000000 NC USD -133091.17000000 -0.00409825254 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short 2 Year US Treasury Note TUH1 Comdty 2021-03-31 -145711439.75000000 USD -133091.17000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -7205.69000000 -0.00022188352 N/A DFE XX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4018707.00000000 USD 3300000.00000000 EUR 2021-04-19 -7205.69000000 N N N Freddie Mac N/A 3132WDJ70 16044.35000000 PA USD 17483.66000000 0.000538371209 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4.00000000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86359LGE3 701105.70000000 PA USD 703776.56000000 0.021671265500 Long ABS-MBS CORP US N 2 2035-05-19 Floating 0.81000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RL4 33153.30000000 PA USD 42332.62000000 0.001303540781 Long DBT UST US N 2 2045-02-15 Fixed 0.75000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 721000.00000000 OU Notional Amount USD 66083.80000000 0.002034906611 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2047-02-15 3958.12000000 USD 0.00000000 USD 721000.00000000 USD 62125.68000000 N N N TELECOM ITALIA CAPITAL 549300777DJZOR5C4L39 87927VAF5 209000.00000000 PA USD 257911.23000000 0.007941814289 Long DBT CORP LU N 2 2033-11-15 Fixed 6.38000000 N N N N N N Nexstar Broadcasting, Inc. 5493006PK6I4I2OOT688 65336RAW8 1368442.80000000 PA USD 1368251.22000000 0.042132314637 Long LON CORP US N 2 2026-09-18 Floating 2.89000000 N N N N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 12420000.00000000 PA 3974162.75000000 0.122375681420 Long DBT NUSS PE N 2 2024-08-12 Fixed 5.70000000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550BU9 40000.00000000 PA USD 48958.65000000 0.001507574936 Long DBT CORP US N 2 2044-03-01 Fixed 5.50000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAS3 20000.00000000 PA USD 21307.46000000 0.000656116797 Long DBT CORP US N 2 2050-04-05 Fixed 3.58000000 N N N N N N Spirit AeroSystems Inc ZD2NBKV6GCC3UMGBM518 85205TAJ9 172000.00000000 PA USD 170065.00000000 0.005236781070 Long DBT CORP US N 2 2023-06-15 Fixed 3.95000000 N N N N N N Fanniemae-Aces N/A 3136B3YD6 100000.00000000 PA USD 117227.81000000 0.003609774946 Long ABS-MBS USGSE US N 2 2036-01-25 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8TL1 358382.01000000 PA USD 383737.10000000 0.011816347757 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A3CG3 474165.42000000 PA USD 511899.37000000 0.015762825571 Long ABS-MBS USGA US N 2 2048-06-15 Fixed 3.50000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC -493905.60000000 -0.01520874663 N/A DFE XX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 34982964.40000000 USD 28397430.00000000 EUR 2021-03-10 -493905.60000000 N N N Electricite de France SA 549300X3UK4GG3FNMO06 268317AL8 2380000.00000000 PA USD 3396141.00000000 0.104576761250 Long DBT CORP FR Y 2 2114-01-22 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179Q6P1 64500.73000000 PA USD 69348.36000000 0.002135431622 Long ABS-MBS USGA US N 2 2045-03-20 Fixed 3.50000000 N N N N N N Indonesia Government 529900FWX0GRR7WG5W79 000000000 6631000000.00000000 PA 514462.57000000 0.015841753730 Long DBT NUSS ID N 2 2024-05-15 Fixed 8.13000000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 228227BD5 2942000.00000000 PA USD 3207615.59000000 0.098771532082 Long DBT US N 2 2023-01-15 Fixed 5.25000000 N N N N N N LUKOIL INTL FINANCE BV 724500LG1GUKJ5TOIW61 549876AH3 2827000.00000000 PA USD 3014910.69000000 0.092837604628 Long DBT CORP NL Y 2 2023-04-24 Fixed 4.56000000 N N N N N N Deutsche Mortgage Securities, Inc. N/A 25157TAA2 2370757.73000000 PA USD 2397630.51000000 0.073829806657 Long ABS-MBS CORP US Y 2 2037-06-27 Variable 3.26000000 N N N N N N CHEVRON USA INC VA8TZDWPEZYU430RZ444 166756AR7 630000.00000000 PA USD 729557.71000000 0.022465139832 Long DBT CORP US N 2 2028-01-15 Fixed 3.85000000 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 44106MAY8 565000.00000000 PA USD 514152.83000000 0.015832215961 Long DBT US N 2 2030-02-15 Fixed 4.38000000 N N N N N N TRANSCONT GAS PIPE LINE N/A 893574AH6 960000.00000000 PA USD 1247922.62000000 0.038427057619 Long DBT CORP US N 2 2026-02-01 Fixed 7.85000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BC7 2633000.00000000 PA USD 3153612.29000000 0.097108618142 Long DBT CORP US N 2 2035-02-12 Fixed 3.50000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PCP5 200000.00000000 PA USD 226464.61000000 0.006973484154 Long DBT CORP US N 2 2025-07-15 Fixed 3.75000000 N N N N N N LCM Ltd Partnership 549300FY8UGGJMQNCO13 50189PAC6 5278000.00000000 PA USD 5278701.97000000 0.162546123858 Long ABS-CBDO CORP KY Y 2 2030-07-20 Floating 1.43000000 N N N N N N EOG Resources Inc XWTZDRYZPBUHIQBKDB46 26875PAP6 230000.00000000 PA USD 264478.94000000 0.008144052606 Long DBT CORP US N 2 2026-01-15 Fixed 4.15000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 19090.47000000 0.000587849421 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9058738.11000000 PEN 2509484.77000000 USD 2021-02-18 19090.47000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GSRR5 173457.31000000 PA USD 186993.75000000 0.005758065035 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 530000.00000000 PA USD 559312.20000000 0.017222800350 Long DBT CORP US N 2 2028-06-02 Fixed 2.39000000 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 4270000.00000000 PA 59863.50000000 0.001843366028 Long DBT NUSS RU N 2 2034-05-10 Fixed 7.25000000 N N N N N N Fannie Mae N/A 3136ATQK3 1727699.24000000 PA USD 337332.76000000 0.010387427231 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 5.97000000 N N N N N N ADANI PORTS AND SPECIAL 335800QOAXP5TM7OYP69 00652MAD4 3264000.00000000 PA USD 3520876.80000000 0.108417728388 Long DBT CORP IN Y 2 2027-07-30 Fixed 4.00000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CF0 200000.00000000 PA USD 174377.50000000 0.005369575110 Long DBT CORP US N 2 2045-06-15 Fixed 4.63000000 N N N N N N Caesars Resort Collection, LLC 549300V3UCT773B1KR38 12769LAD1 598500.00000000 PA USD 597751.88000000 0.018406466528 Long LON CORP US N 2 2025-07-21 Floating 4.62000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SWW3 44404.97000000 PA USD 47385.86000000 0.001459144295 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 3.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -153604.61000000 -0.00472991923 N/A DFE KR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5763935.58000000 USD 6273640400.00000000 KRW 2021-02-16 -153604.61000000 N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAT8 250000.00000000 PA USD 277176.25000000 0.008535038598 Long DBT CORP US N 2 2029-12-15 Fixed 4.63000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBB8 510000.00000000 PA USD 556115.16000000 0.017124354470 Long DBT CORP US N 2 2024-02-14 Fixed 3.80000000 N N N N N N Newell Brands Inc 549300LWGYFM1TVO1Z12 651229AW6 570000.00000000 PA USD 626675.10000000 0.019297094058 Long DBT CORP US N 2 2026-04-01 Fixed 4.70000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CA8 270000.00000000 PA USD 293312.89000000 0.009031931262 Long DBT CORP US N 2 2027-04-15 Fixed 2.50000000 N N N N N N Vornado Realty LP 549300BMOJ05INE4YK86 929043AJ6 3391000.00000000 PA USD 3613231.08000000 0.111261577182 Long DBT US N 2 2025-01-15 Fixed 3.50000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2G8 540000.00000000 PA USD 599329.38000000 0.018455042203 Long DBT CORP FR Y 2 2025-01-10 Fixed 4.71000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DK3 180000.00000000 PA USD 209427.80000000 0.006448872717 Long DBT CORP US N 2 2040-04-01 Fixed 4.13000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -203.00000000 NC 14781.03000000 0.000455149608 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Bobl (FGBM) OEH1 Comdty 2021-03-08 -27467930.00000000 EUR 14781.03000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GEU9 460000.00000000 PA USD 486579.27000000 0.014983148269 Long DBT CORP US N 2 2023-01-11 Fixed 3.30000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CX1 323000.00000000 PA USD 282625.00000000 0.008702820980 Long DBT CORP US N 2 2039-08-15 Fixed 4.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QP6 891247.50000000 PA USD 1386853.06000000 0.042705117763 Long DBT UST US N 2 2041-02-15 Fixed 2.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BFM90 526355.73000000 PA USD 575655.18000000 0.017726046804 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 3.50000000 N N N N N N Fannie Mae N/A 3136BBMQ2 486490.97000000 PA USD 75882.81000000 0.002336645770 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2.50000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABS3 260000.00000000 PA USD 260943.80000000 0.008035195674 Long DBT CORP US N 2 2029-02-15 Fixed 2.63000000 N N N N N N Caesars Resort Collection, LLC 549300V3UCT773B1KR38 12769LAB5 626444.01000000 PA USD 615218.13000000 0.018944301634 Long LON CORP US N 2 2024-12-23 Floating 2.87000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9XL2 744935.46000000 PA USD 824034.72000000 0.025374353472 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CU2 490000.00000000 PA USD 501682.98000000 0.015448234105 Long DBT CORP US N 2 2027-06-01 Fixed 1.45000000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 67054KAA7 230000.00000000 PA USD 240568.50000000 0.007407782712 Long DBT CORP FR Y 2 2026-05-01 Fixed 7.38000000 N N N N N N Fannie Mae N/A 3136BDEK0 4706179.38000000 PA USD 589614.15000000 0.018155882866 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.00000000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BM5 60000.00000000 PA USD 63080.40000000 0.001942423453 Long DBT CORP US N 2 2027-11-15 Fixed 3.88000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -17.00000000 NC USD -13281.25000000 -0.00040896715 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 17.00000000 NC N/A -13281.25000000 0.00000000 DIR US Short US Treasury Long Bond USH1 Comdty 2021-03-22 17.00000000 USD 1000.00000000 170.00000000 USD 2021-02-19 XXXX 9001.84000000 N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AC1 750000.00000000 PA USD 825000.00000000 0.025404077166 Long DBT CORP US N 2 2030-02-01 Fixed 5.30000000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 26439XAC7 392000.00000000 PA USD 518004.48000000 0.015950819130 Long DBT CORP US N 2 2030-08-16 Fixed 8.13000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05581KAC5 450000.00000000 PA USD 524389.95000000 0.016147445763 Long DBT CORP FR Y 2 2027-03-13 Fixed 4.63000000 N N N N N N Froneri International Ltd. N/A 000000000 447750.00000000 PA USD 445202.30000000 0.013709034647 Long LON CORP GB N 2 2027-01-29 Floating 2.37000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAZ4 20000.00000000 PA USD 19968.75000000 0.000614894140 Long DBT UST US N 2 2025-11-30 Fixed 0.38000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 455780CE4 490000.00000000 PA USD 579503.40000000 0.017844544353 Long DBT NUSS ID N 2 2048-01-11 Fixed 4.35000000 N N N N N N TELECOM ITALIA CAPITAL 549300777DJZOR5C4L39 87927VAV0 128000.00000000 PA USD 179840.00000000 0.005537780894 Long DBT CORP LU N 2 2038-06-04 Fixed 7.72000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513EBX8 200000.00000000 PA USD 218212.53000000 0.006719379334 Long DBT CORP US N 2 2024-12-15 Fixed 3.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176NVW8 94595.55000000 PA USD 100194.43000000 0.003085269128 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 3.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -10.56000000 -0.00000032517 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4161000.00000000 HKD 536670.21000000 USD 2021-02-17 -10.56000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3837H2WC9 21745.45000000 PA USD 3537.85000000 0.000108940381 Long ABS-MBS USGA US N 2 2029-08-16 Floating 8.47000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513ECG4 3032000.00000000 PA USD 3269828.53000000 0.100687243995 Long DBT CORP US N 2 2024-03-15 Fixed 3.20000000 N N N N N N Cenovus Energy Inc 549300EIRQ0Z2B9C1W06 15135UAF6 706000.00000000 PA USD 914505.08000000 0.028160191056 Long DBT CORP CA N 2 2039-11-15 Fixed 6.75000000 N N N N N N PacifiCorp SGY07Y7FNYBNLM6Z1M11 695114CN6 1710000.00000000 PA USD 2053925.70000000 0.063246166032 Long DBT CORP US N 2 2042-02-01 Fixed 4.10000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397ZH9 728000.00000000 PA USD 737667.84000000 0.022714873612 Long DBT CORP US N 2 2021-10-12 Fixed 3.81000000 N N N N N N Fannie Mae N/A 31398NEQ3 4232210.30000000 PA USD 952775.92000000 0.029338658174 Long ABS-MBS USGSE US N 2 2040-09-25 Floating 6.47000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AY0 3511000.00000000 PA USD 4047518.55000000 0.124634513425 Long DBT CORP US N 2 2025-07-23 Fixed 4.91000000 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 4703000.00000000 PA 4143412.39000000 0.127587355257 Long DBT NUSS SG N 2 2030-09-01 Fixed 2.88000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GAT9 750000.00000000 PA USD 823755.06000000 0.025365741951 Long DBT CORP US N 2 2026-03-01 Fixed 3.04000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 539439AC3 225000.00000000 PA USD 283500.00000000 0.008729764698 Long DBT CORP GB Y 2 2035-10-01 Fixed 6.41000000 N N N N N N Athenahealth, Inc. 5493004JZ4RQIZBHP241 04685YAK5 1358960.44000000 PA USD 1362779.12000000 0.041963813242 Long LON CORP US N 2 2026-02-11 Floating 4.63000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 623.00000000 NC USD -6892655.37000000 -0.21224430169 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Ultra Long Bond WNH1 Comdty 2021-03-22 134432436.62000000 USD -6892655.37000000 N N N Genesee & Wyoming Inc. (New) G617XSG94Z7G0RMW3L02 55316HAB1 365359.40000000 PA USD 364902.70000000 0.011236383453 Long LON CORP US N 2 2026-12-30 Floating 2.25000000 N N N N N N HOWMET AEROSPACE INC 549300HO5WFZUT5N2T22 013817AK7 437000.00000000 PA USD 534778.75000000 0.016467346220 Long DBT CORP US N 2 2037-02-01 Fixed 5.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KLRY0 88664.69000000 PA USD 95109.08000000 0.002928676857 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Kellogg Co LONOZNOJYIBXOHXWDB86 487836AT5 2214000.00000000 PA USD 3341904.94000000 0.102906679973 Long DBT CORP US N 2 2031-04-01 Fixed 7.45000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GGM0 460000.00000000 PA USD 698007.60000000 0.021493622949 Long DBT CORP US N 2 2041-02-01 Fixed 6.25000000 N N N N N N CAMB Commercial Mortgage Trust N/A 12482HAQ7 3491000.00000000 PA USD 3398874.60000000 0.104660936505 Long ABS-MBS CORP US Y 2 2037-12-15 Floating 2.68000000 N N N N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AT4 80000.00000000 PA USD 80135.90000000 0.002467610408 Long DBT CORP US N 2 2026-01-15 Fixed 1.13000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -69161.46000000 -0.00212967644 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4450061.00000000 USD 331934500.00000000 RUB 2021-02-18 -69161.46000000 N N N The Federal Republic of Nigeria 549300GSBZD84TNEQ285 65412JAD5 320000.00000000 PA USD 343200.00000000 0.010568096101 Long DBT NUSS NG Y 2 2030-02-23 Fixed 7.14000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 30769.45000000 0.000947478160 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 19250400.00000000 MXN 965576.73000000 USD 2021-03-17 30769.45000000 N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAM8 1195000.00000000 PA USD 1389813.55000000 0.042796279601 Long DBT CORP US N 2 2045-07-15 Fixed 5.20000000 N N N N N N ENABLE MIDSTREAM PARTNER 549300TLGDBYE711G509 292480AK6 3158000.00000000 PA USD 3295932.69000000 0.101491064717 Long DBT CORP US N 2 2027-03-15 Fixed 4.40000000 N N N N N N Fanniemae-Aces N/A 3136B7GR6 200000.00000000 PA USD 221243.70000000 0.006812717608 Long ABS-MBS USGSE US N 2 2040-11-25 Fixed 2.70000000 N N N N N N CANADIAN IMPERIAL BANK 2IGI19DL77OX0HC3ZE78 1360698A2 1247000.00000000 PA USD 1288372.94000000 0.039672637074 Long DBT CORP CA N 2 2023-07-22 Fixed 2.61000000 N N N N N N Freddie Mac Reference REMIC N/A 31396NRF5 799764.90000000 PA USD 949876.05000000 0.029249362997 Long ABS-MBS USGSE US N 2 2036-05-15 Fixed 6.00000000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BG8 100000.00000000 PA USD 106275.00000000 0.003272507031 Long DBT CORP US N 2 2028-01-15 Fixed 4.88000000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EX7 640000.00000000 PA USD 646490.18000000 0.019907256266 Long DBT CORP US N 2 2025-05-28 Fixed 0.80000000 N N N N N N Navient Student Loan Trust N/A 63941XAA5 2890730.69000000 PA USD 2923894.31000000 0.090034953548 Long ABS-O CORP US Y 2 2069-07-15 Fixed 1.22000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CM8 400000.00000000 PA USD 433203.93000000 0.013339570989 Long DBT CORP US N 2 2024-07-26 Fixed 2.90000000 N N N N N N Renaissance Home Equity Loan Trust N/A 759950GY8 1262385.37000000 PA USD 856499.94000000 0.026374049174 Long ABS-O CORP US N 2 2036-05-25 Variable 5.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382LBD2 6207237.41000000 PA USD 723364.76000000 0.022274441433 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.50000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAK0 430000.00000000 PA USD 538274.66000000 0.016574995150 Long DBT CORP US N 2 2043-11-15 Fixed 5.80000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DE7 500000.00000000 PA USD 534106.24000000 0.016446637740 Long DBT CORP US N 2 2024-08-15 Fixed 2.63000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AM9 325000.00000000 PA USD 305662.50000000 0.009412210590 Long DBT CORP US N 2 2050-03-01 Fixed 3.40000000 N N N N N N KOREA TREASURY BOND 549300O0QCVSQGPGDT58 000000000 4126100000.00000000 PA 3592553.63000000 0.110624860170 Long DBT NUSS KR N 2 2030-12-10 Fixed 1.50000000 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 76616000.00000000 PA 1075063.81000000 0.033104247258 Long DBT NUSS RU N 2 2028-01-19 Fixed 7.05000000 N N N N N N INVERSIONES CMPC SA 549300G475ACIABB4385 46128MAG6 652000.00000000 PA USD 718504.00000000 0.022124764921 Long DBT CORP CL Y 2 2024-09-15 Fixed 4.75000000 N N N N N N Delta Air Lines, Inc. Q2CCMS6R0AS67HJMBN42 24736CBM5 845750.00000000 PA USD 858859.13000000 0.026446695289 Long LON CORP US N 2 2023-04-29 Floating 4.87000000 N N N N N N ALLEGHENY TECHNOLOGIES ZW1LRE7C3H17O2ZN9B45 01741RAF9 527000.00000000 PA USD 576503.75000000 0.017752176668 Long DBT CORP US N 2 2023-08-15 Fixed 7.88000000 N N N N N N Mars Inc 54930073HKEO6GZBSS03 571676AB1 450000.00000000 PA USD 508226.30000000 0.015649721385 Long DBT CORP US Y 2 2030-04-01 Fixed 3.20000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEA6 60000.00000000 PA USD 64509.53000000 0.001986430397 Long DBT CORP US N 2 2060-05-15 Fixed 3.13000000 N N N N N N DH EUROPE FINANCE II 222100KDGL314CKTZ511 23291KAH8 2992000.00000000 PA USD 3208949.35000000 0.098812602315 Long DBT CORP LU N 2 2029-11-15 Fixed 2.60000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69357AAA9 1444770.28000000 PA USD 1461077.55000000 0.044990699183 Long ABS-MBS CORP US Y 2 2025-11-25 Variable 3.10000000 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAJ9 390000.00000000 PA USD 488644.94000000 0.015046756075 Long DBT CORP US N 2 2046-02-01 Fixed 4.90000000 N N N N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC 2288555.06000000 0.070471065870 N/A DFE GB N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 68031489.12000000 USD 51313190.00000000 GBP 2021-03-10 2288555.06000000 N N N DBGS Mortgage Trust N/A 23307EAJ0 4612000.00000000 PA USD 4721187.72000000 0.145378687460 Long ABS-MBS CORP US Y 2 2037-04-10 Variable 4.19000000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAG9 650000.00000000 PA USD 747059.12000000 0.023004057614 Long DBT CORP US N 2 2040-04-01 Fixed 3.50000000 N N N N N N TEVA PHARMACEUT FIN BV 549300Q840R30TDKVK53 88165FAG7 150000.00000000 PA USD 150375.00000000 0.004630470428 Long DBT CORP CW N 2 2022-12-18 Fixed 2.95000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKD3 580000.00000000 PA USD 564316.69000000 0.017376902713 Long DBT CORP US N 2 2043-02-01 Fixed 3.10000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17327XAL1 1870000.00000000 PA USD 1868880.43000000 0.057548100191 Long ABS-MBS CORP US Y 2 2036-12-15 Floating 2.63000000 N N N N N N America Movil SAB de CV 5493000FNR3UCEAONM59 02364WBD6 3061000.00000000 PA USD 3177411.05000000 0.097841449094 Long DBT CORP MX N 2 2022-07-16 Fixed 3.13000000 N N N N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 254687EB8 2193000.00000000 PA USD 3320999.57000000 0.102262944661 Long DBT CORP US N 2 2035-12-15 Fixed 6.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379HZP3 2780929.19000000 PA USD 3043861.32000000 0.093729076189 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 3.50000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AF7 252000.00000000 PA USD 271852.69000000 0.008371111169 Long DBT CORP US N 2 2023-07-15 Fixed 3.75000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CM5 140000.00000000 PA USD 144894.99000000 0.004461725462 Long DBT CORP US N 2 2027-02-01 Fixed 2.70000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -612.00000000 NC USD 355057.47000000 0.010933221050 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short 10 Year US Treasury Note TYH1 Comdty 2021-03-22 -84218182.47000000 USD 355057.47000000 N N N SPECTRA ENERGY PARTNERS 2HKVXE7U4NF5B6UGSU72 84756NAD1 2787000.00000000 PA USD 3108983.42000000 0.095734369345 Long DBT CORP US N 2 2024-03-15 Fixed 4.75000000 N N N N N N Humana Inc 529900YLDW34GJAO4J06 444859BG6 30000.00000000 PA USD 39291.79000000 0.001209905048 Long DBT CORP US N 2 2047-03-15 Fixed 4.80000000 N N N N N N Freddie Mac N/A 3132XYRS8 220157.10000000 PA USD 244048.68000000 0.007514947271 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 5.00000000 N N N N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HAW7 400000.00000000 PA USD 452982.47000000 0.013948608027 Long DBT CORP IT Y 2 2026-01-15 Fixed 5.71000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERVZ0 694392.02000000 PA USD 753889.47000000 0.023214383358 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N ESC LEHMAN BRTH HLDH PROD N/A 525ESC3F4 458002.14000000 PA USD 4671.62000000 0.000143852357 Long DBT CORP US N 2 2049-12-31 Fixed 1.00000000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBB0 1090000.00000000 PA USD 1211348.71000000 0.037300843762 Long DBT CORP US N 2 2027-08-15 Fixed 3.56000000 N N N N N N Freddie Mac N/A 312935LV9 46131.63000000 PA USD 52338.52000000 0.001611650667 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3133ABUR9 197130.20000000 PA USD 211061.78000000 0.006499187570 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAN9 270000.00000000 PA USD 286869.76000000 0.008833529114 Long DBT CORP US N 2 2029-12-01 Fixed 3.50000000 N N N N N N Humana Inc 529900YLDW34GJAO4J06 444859BA9 100000.00000000 PA USD 104228.62000000 0.003209493218 Long DBT CORP US N 2 2022-12-01 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QADC1 1114485.46000000 PA USD 1227933.19000000 0.037811526683 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -420615.00000000 -0.01295192232 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 34514400.00000000 SGD 25560731.40000000 USD 2021-02-17 -420615.00000000 N N N Stars Group Holdings B.V. (The) 549300RNFXC8F8RT6R13 000000000 16893.04000000 PA USD 16930.37000000 0.000521333849 Long LON CORP NL N 2 2025-07-10 Floating 3.75000000 N N N N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2C4 530000.00000000 PA USD 577931.62000000 0.017796144813 Long DBT CORP CH N 2 2025-04-09 Fixed 2.95000000 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAK1 410000.00000000 PA USD 433566.80000000 0.013350744780 Long DBT CORP KY N 2 2026-01-08 Fixed 3.80000000 N N N N N N United Mexican States 254900EGTWEU67VP6075 91087BAB6 2030000.00000000 PA USD 2162965.00000000 0.066603793658 Long DBT NUSS MX N 2 2047-01-15 Fixed 4.35000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 29278GAF5 2929000.00000000 PA USD 3299494.45000000 0.101600741354 Long DBT CORP NL Y 2 2028-04-06 Fixed 3.50000000 N N N N N N Danone SA 969500KMUQ2B6CBAF162 23636TAD2 4695000.00000000 PA USD 4931400.20000000 0.151851722689 Long DBT CORP FR Y 2 2023-11-02 Fixed 2.59000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAE1 5740000.00000000 PA USD 5513987.50000000 0.169791229022 Long DBT UST US N 2 2030-08-15 Fixed 0.63000000 N N N N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508BJ2 270000.00000000 PA USD 273280.23000000 0.008415069152 Long DBT CORP US N 2 2030-05-04 Fixed 1.75000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NBU4 50000.00000000 PA USD 54925.28000000 0.001691304304 Long DBT CORP US N 2 2046-07-15 Fixed 3.40000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2L6 330000.00000000 PA USD 395857.44000000 0.012189567215 Long DBT CORP US N 2 2031-04-04 Fixed 4.48000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 12820000.00000000 PA 15856356.82000000 0.488261954219 Long DBT NUSS IT Y 2 2021-10-15 Fixed 2.30000000 N N N N N N Humana Inc 529900YLDW34GJAO4J06 444859BE1 120000.00000000 PA USD 158055.57000000 0.004866976844 Long DBT CORP US N 2 2044-10-01 Fixed 4.95000000 N N N N N N Cedar Funding Ltd 549300PQ60B57EBTK013 15032DAH4 5920000.00000000 PA USD 5915903.36000000 0.182167352079 Long ABS-CBDO CORP KY Y 2 2028-10-20 Floating 1.31000000 N N N N N N Fannie Mae N/A 31393BFR1 124493.34000000 PA USD 25709.03000000 0.000791653553 Long ABS-MBS USGSE US N 2 2033-05-25 Fixed 6.50000000 N N N N N N Chubb INA Holdings Inc CZCBJZWDMLTHWJDXU843 00440EAV9 260000.00000000 PA USD 291094.12000000 0.008963609075 Long DBT CORP US N 2 2026-05-03 Fixed 3.35000000 N N N N N N BRIGHTHOUSE FINANCIAL IN 5493003T8SZSHOGGAW52 10922NAF0 1409000.00000000 PA USD 1489268.83000000 0.045858788216 Long DBT CORP US N 2 2047-06-22 Fixed 4.70000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXA7 230000.00000000 PA USD 284388.41000000 0.008757121348 Long DBT CORP US N 2 2039-04-23 Fixed 4.41000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8LP6 272930.62000000 PA USD 301297.44000000 0.009277798079 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4KF2 119482.96000000 PA USD 129218.93000000 0.003979015356 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07384MS78 213243.95000000 PA USD 219317.31000000 0.006753398626 Long ABS-MBS CORP US N 2 2034-07-25 Variable 3.39000000 N N N N N N UFC Holdings, LLC 549300JEOTH7UMZ3C491 90266UAF0 875999.86000000 PA USD 874247.86000000 0.026920557694 Long LON CORP US N 2 2026-04-29 Floating 4.25000000 N N N N N N Concho Resources Inc SYHS7HRDXLL4I0IQ8776 20605PAK7 670000.00000000 PA USD 782544.62000000 0.024096756257 Long DBT CORP US N 2 2028-08-15 Fixed 4.30000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05581KAB7 3335000.00000000 PA USD 3628986.59000000 0.111746733779 Long DBT CORP FR Y 2 2024-01-10 Fixed 3.80000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017CY3 340000.00000000 PA USD 400022.38000000 0.012317817466 Long DBT CORP US N 2 2028-11-16 Fixed 4.13000000 N N N N N N Freddie Mac N/A 31394GGC1 31843.15000000 PA USD 5932.01000000 0.000182663320 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 7.00000000 N N N N N N MONDELEZ INTL HLDINGS NE 549300CW356R8I7N8D33 60920LAF1 1696000.00000000 PA USD 1792738.62000000 0.055203479080 Long DBT CORP NL Y 2 2024-09-19 Fixed 2.25000000 N N N N N N TAL Advantage VII LLC N/A 87407RAA4 8549900.00000000 PA USD 8733319.29000000 0.268923535952 Long ABS-O CORP US Y 2 2045-09-20 Fixed 2.05000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCU8 2085000.00000000 PA USD 2171493.68000000 0.066866415773 Long DBT CORP US N 2 2022-07-08 Fixed 3.55000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BR9 150000.00000000 PA USD 168411.00000000 0.005185849745 Long DBT CORP US N 2 2025-02-01 Fixed 5.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C3K8 601191.03000000 PA USD 665404.47000000 0.020489680609 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 5.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CV5 590000.00000000 PA USD 748301.58000000 0.023042316462 Long DBT CORP US N 2 2040-05-01 Fixed 5.71000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -47084.51000000 -0.00144986487 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7292100.00000000 AUD 5526529.46000000 USD 2021-02-22 -47084.51000000 N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 133010000.00000000 PA 1967615.37000000 0.060588427506 Long DBT NUSS RU N 2 2027-02-03 Fixed 8.15000000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 94973VAW7 250000.00000000 PA USD 252471.08000000 0.007774296725 Long DBT CORP US N 2 2021-08-15 Fixed 3.70000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BU8 150000.00000000 PA USD 156296.58000000 0.004812812580 Long DBT CORP US N 2 2027-03-01 Fixed 2.80000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DF9 324000.00000000 PA USD 355549.50000000 0.010948372041 Long DBT CORP US N 2 2036-09-15 Fixed 6.45000000 N N N N N N Small Business Administration N/A 831641FL4 221341.58000000 PA USD 239180.07000000 0.007365029036 Long ABS-O USGA US N 2 2028-09-10 Fixed 3.55000000 N N N N N N BX Trust N/A 056059AS7 623000.00000000 PA USD 624346.55000000 0.019225391435 Long ABS-MBS CORP US Y 2 2035-11-15 Floating 2.18000000 N N N N N N NGPL PipeCo LLC 549300K3NT1HSQFEM073 62912XAC8 2298000.00000000 PA USD 3109108.28000000 0.095738214137 Long DBT CORP US Y 2 2037-12-15 Fixed 7.77000000 N N N N N N Alterra Mountain Company 549300C5O4FSVNUEI843 46124CAB3 588250.87000000 PA USD 582921.32000000 0.017949791751 Long LON CORP US N 2 2024-07-31 Floating 2.87000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AF1 240000.00000000 PA USD 252000.00000000 0.007759790843 Long DBT CORP US N 2 2026-07-01 Fixed 4.65000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2D5 320000.00000000 PA USD 348611.41000000 0.010734728679 Long DBT CORP FR Y 2 2025-01-09 Fixed 3.38000000 N N N N N N Banco Santander SA 5493006QMFDDMYWIAM13 05964HAG0 200000.00000000 PA USD 214475.27000000 0.006604298556 Long DBT CORP ES N 2 2023-04-12 Fixed 3.85000000 N N N N N N Fannie Mae N/A 31396L4R8 16055.29000000 PA USD 15959.49000000 0.000491437715 Long ABS-MBS USGSE US N 2 2036-12-25 Floating 0.21000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBG6 60000.00000000 PA USD 73878.02000000 0.002274912631 Long DBT CORP US N 2 2050-03-19 Fixed 4.33000000 N N N N N N PCI Gaming Authority 549300KPXAJ1LRW5LP59 70455DAG9 272263.47000000 PA USD 270864.04000000 0.008340667846 Long LON CORP US N 2 2026-05-29 Floating 2.62000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBK7 500000.00000000 PA USD 566953.01000000 0.017458082443 Long DBT CORP US N 2 2030-03-19 Fixed 3.48000000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JBB3 2500000.00000000 PA USD 3129479.23000000 0.096365493150 Long DBT CORP US N 2 2041-09-01 Fixed 5.50000000 N N N N N N MONDELEZ INTERNATIONAL 549300DV9GIB88LZ5P30 609207AS4 160000.00000000 PA USD 165731.30000000 0.005103334223 Long DBT CORP US N 2 2023-04-13 Fixed 2.13000000 N N N N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AB6 730000.00000000 PA USD 803915.68000000 0.024754831478 Long DBT CORP US Y 2 2035-01-15 Fixed 3.30000000 N N N N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HAT4 1840000.00000000 PA USD 2001757.45000000 0.061639758458 Long DBT CORP IT Y 2 2024-06-26 Fixed 5.02000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6BP5 135462.67000000 PA USD 147780.31000000 0.004550572604 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGMJ3 1497602.40000000 PA USD 1578330.70000000 0.048601254420 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550BW5 30000.00000000 PA USD 36461.26000000 0.001122745045 Long DBT CORP US N 2 2044-09-01 Fixed 5.40000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967KA8 740000.00000000 PA USD 864447.95000000 0.026618790821 Long DBT CORP US N 2 2027-09-29 Fixed 4.45000000 N N N N N N Freddie Mac Multiclass Certificates N/A 3137FQ3M3 5000000.00000000 PA USD 482850.00000000 0.014868313526 Long ABS-MBS USGSE US N 2 2028-06-25 Variable 1.53000000 N N N N N N WPX ENERGY INC ZXZE9GCS2BB547GJW219 98212BAJ2 140000.00000000 PA USD 147568.40000000 0.004544047298 Long DBT CORP US N 2 2027-10-15 Fixed 5.25000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PDJ8 150000.00000000 PA USD 161055.69000000 0.004959359002 Long DBT CORP US N 2 2023-06-15 Fixed 3.50000000 N N N N N N Navient Corp 54930067J0ZNOEBRW338 78442FAZ1 460000.00000000 PA USD 439438.00000000 0.013531535590 Long DBT CORP US N 2 2033-08-01 Fixed 5.63000000 N N N N N N FREDDIEMAC STRIP S6XOOCT0IEG5ABCC6L87 31282YC80 16264.58000000 PA USD 3173.04000000 0.000097706852 Long ABS-MBS USGSE US N 2 2031-06-15 Fixed 8.00000000 N N N N N N Freddie Mac N/A 3133TJGM9 192725.88000000 PA USD 30145.43000000 0.000928262824 Long ABS-MBS USGSE US N 2 2027-06-17 Floating 6.87000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382LNV9 20902626.63000000 PA USD 2544374.32000000 0.078348462503 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.50000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBD4 2983000.00000000 PA USD 3544346.73000000 0.109140433736 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N Freddie Mac N/A 3133A2JW1 78810.79000000 PA USD 83670.53000000 0.002576451637 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.00000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 993000.00000000 PA 66935.34000000 0.002061127930 Long DBT NUSS MX N 2 2036-11-20 Fixed 10.00000000 N N N N N N Freddie Mac N/A 31393QXU1 4301.47000000 PA USD 826.80000000 0.000025459504 Long ABS-MBS USGSE US N 2 2033-05-15 Fixed 6.50000000 N N N N N N Tharaldson Hotel Portfolio Trust N/A 88327HAA1 704769.83000000 PA USD 704461.42000000 0.021692354271 Long ABS-MBS CORP US Y 2 2034-11-11 Floating 1.03000000 N N N N N N DISH DBS Corp N/A 25470XAY1 50000.00000000 PA USD 54246.25000000 0.001670395055 Long DBT CORP US N 2 2026-07-01 Fixed 7.75000000 N N N N N N Johnson & Johnson 549300G0CFPGEF6X2043 478160AL8 2350000.00000000 PA USD 3240407.76000000 0.099781295497 Long DBT CORP US N 2 2033-05-15 Fixed 4.95000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABC8 90000.00000000 PA USD 101142.90000000 0.003114475195 Long DBT CORP US Y 2 2027-04-15 Fixed 3.75000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFL8 1890000.00000000 PA USD 2189226.58000000 0.067412461785 Long DBT CORP US N 2 2026-10-22 Fixed 4.25000000 N N N N N N Madison Park Funding Ltd N/A 55821UAA2 3863000.00000000 PA USD 3863818.96000000 0.118977884868 Long ABS-CBDO CORP KY Y 2 2033-04-19 Variable 0.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 7705.01000000 0.000237258992 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 227373.46000000 USD 2013610.00000000 NOK 2021-03-10 7705.01000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 110043.48000000 0.003388549160 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 161527000.00000000 MXN 7953860.55000000 USD 2021-03-17 110043.48000000 N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MAE0 450000.00000000 PA USD 453689.83000000 0.013970389637 Long DBT CORP JP N 2 2021-07-14 Fixed 2.06000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBH4 520000.00000000 PA USD 565223.85000000 0.017404836729 Long DBT CORP US N 2 2025-03-19 Fixed 2.99000000 N N N N N N INTL LEASE FINANCE CORP N/A 459745GN9 1370000.00000000 PA USD 1473537.38000000 0.045374372495 Long DBT CORP US N 2 2022-08-15 Fixed 5.88000000 N N N N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AC5 940000.00000000 PA USD 1038017.19000000 0.031963477326 Long DBT CORP JP Y 2 2027-09-17 Fixed 4.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6SD4 291642.00000000 PA USD 315742.65000000 0.009722606842 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3132QWM55 297396.11000000 PA USD 327186.54000000 0.010074996496 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4.50000000 N N N N N N Freddie Mac - STACR N/A 3137G0LJ6 4813418.91000000 PA USD 4999116.28000000 0.153936891806 Long ABS-MBS USGSE US N 2 2029-03-25 Floating 3.93000000 N N N N N N Delta Air Lines Inc Q2CCMS6R0AS67HJMBN42 247361ZP6 140000.00000000 PA USD 143513.92000000 0.004419198421 Long DBT CORP US N 2 2023-04-19 Fixed 3.80000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAZ9 771000.00000000 PA USD 872362.13000000 0.026862490748 Long DBT CORP US N 2 2049-10-01 Fixed 4.88000000 N N N N N N MIDWEST CONNECTOR CAPIT N/A 59833CAA0 2885000.00000000 PA USD 2949956.96000000 0.090837496059 Long DBT CORP US Y 2 2024-04-01 Fixed 3.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H7Y76 49306.05000000 PA USD 52949.72000000 0.001630471239 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC -16004.15000000 -0.00049281292 N/A DFE GB N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 11742852.14000000 USD 8557190.00000000 GBP 2021-03-10 -16004.15000000 N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 6493000.00000000 PA 5698134.61000000 0.175461637983 Long DBT NUSS SG N 2 2027-03-01 Fixed 3.50000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448EU8 70000.00000000 PA USD 83427.36000000 0.002568963746 Long DBT CORP US N 2 2050-03-19 Fixed 3.63000000 N N N N N N FANNIEMAE STRIP B1V7KEBTPIMZEU4LTD58 31364JN82 7319.15000000 PA USD 1552.46000000 0.000047804622 Long ABS-MBS USGSE US N 2 2030-05-25 Fixed 8.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 199987.73000000 0.006158186333 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 25457100.00000000 EUR 31106845.12000000 USD 2021-02-22 199987.73000000 N N N Asplundh Tree Expert, LLC N/A 04538FAC3 49625.00000000 PA USD 49728.22000000 0.001531272167 Long LON CORP US N 2 2027-09-07 Floating 2.62000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 03846JW30 550000.00000000 PA USD 579810.00000000 0.017853985432 Long DBT NUSS EG Y 2 2023-02-21 Fixed 5.58000000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 539830BK4 100000.00000000 PA USD 129741.83000000 0.003995116922 Long DBT CORP US N 2 2036-05-15 Fixed 4.50000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BR4 520000.00000000 PA USD 563704.87000000 0.017358063050 Long DBT CORP US N 2 2026-08-08 Fixed 2.40000000 N N N N N N General Motors Co 54930070NSV60J38I987 37045VAF7 450000.00000000 PA USD 608831.98000000 0.018747654062 Long DBT CORP US N 2 2043-10-02 Fixed 6.25000000 N N N N N N Freddie Mac N/A 31329PBX0 999749.21000000 PA USD 1081192.43000000 0.033292964755 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N Reynolds Consumer Products LLC 549300DWNZYMOSR1X343 76171JAB7 477619.64000000 PA USD 477753.37000000 0.014711373912 Long LON CORP US N 2 2027-02-04 Floating 1.87000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JH1 60000.00000000 PA USD 59008.26000000 0.001817030776 Long DBT CORP US N 2 2040-08-01 Fixed 3.30000000 N N N N N N Credit Suisse Mortgage Trust N/A 12653VAJ5 5766000.00000000 PA USD 5780799.02000000 0.178007108347 Long ABS-MBS CORP US Y 2 2036-05-15 Floating 2.28000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9127962Y4 22050000.00000000 PA USD 22045121.44000000 0.678831474183 Long STIV UST US N 2 2021-05-20 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GQ4H6 1954967.42000000 PA USD 2111163.57000000 0.065008681506 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N CANADIAN IMPERIAL BANK 2IGI19DL77OX0HC3ZE78 13607GRK2 4163000.00000000 PA USD 4216365.38000000 0.129833783605 Long DBT CORP CA N 2 2023-06-23 Fixed 0.95000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 2843.00000000 NC USD -130625.20000000 -0.00402231837 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 5 Year US Treasury Note FVH1 Comdty 2021-03-31 357993250.20000000 USD -130625.20000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 74791000.00000000 PA 5041451.19000000 0.155240503103 Long DBT NUSS MX N 2 2036-11-20 Fixed 10.00000000 N N N N N N Eaton Corp 0NZWDMRCE180888QQE14 278062AE4 80000.00000000 PA USD 97950.81000000 0.003016181740 Long DBT CORP US N 2 2042-11-02 Fixed 4.15000000 N N N N N N MILEAGE PLUS HLDINGS LLC N/A 599191AA1 490000.00000000 PA USD 535937.50000000 0.016503027401 Long DBT CORP US Y 2 2027-06-20 Fixed 6.50000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BD2 280000.00000000 PA USD 302364.73000000 0.009310662949 Long DBT CORP GB N 2 2023-09-12 Fixed 3.88000000 N N N N N N Prudential Financial Inc 5PRBRS5FEH7NREC8OR45 744320BF8 2869000.00000000 PA USD 3335960.13000000 0.102723622504 Long DBT CORP US N 2 2048-09-15 Fixed 5.70000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAT7 290000.00000000 PA USD 362062.28000000 0.011148918909 Long DBT CORP US N 2 2049-02-15 Fixed 5.50000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC 260456.18000000 0.008020180478 N/A DFE NO N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 13071371.75000000 USD 114200000.00000000 NOK 2021-03-17 260456.18000000 N N N KUWAIT INTL BOND 549300FSC1YD0D9XX589 501499AB3 1200000.00000000 PA USD 1356048.00000000 0.041756543070 Long DBT NUSS KW Y 2 2027-03-20 Fixed 3.50000000 N N N N N N INEOS US Petrochem LLC N/A 000000000 170000.00000000 PA USD 170496.40000000 0.005250065093 Long LON CORP US N 2 2026-01-21 None 0.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWQ3 525000.00000000 PA USD 571594.20000000 0.017600997775 Long DBT CORP US N 2 2025-09-29 Fixed 3.27000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QAT7 800000.00000000 PA USD 881012.53000000 0.027128860965 Long DBT CORP US N 2 2026-05-04 Fixed 3.12000000 N N N N N N BELLEMEADE RE LT N/A 078782AB5 4000000.00000000 PA USD 4042926.40000000 0.124493108173 Long ABS-MBS CORP US Y 2 2030-08-26 Floating 3.33000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140K4N71 109486.04000000 PA USD 115206.34000000 0.003547528183 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402C4G4 325149.71000000 PA USD 378471.34000000 0.011654200153 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N Standard Chartered PLC U4LOSYZ7YG4W3S5F2G91 853254AJ9 2944000.00000000 PA USD 3096867.67000000 0.095361291227 Long DBT CORP GB Y 2 2023-01-11 Fixed 3.95000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFP4 3145000.00000000 PA USD 3578011.62000000 0.110177070662 Long DBT CORP US N 2 2027-07-01 Fixed 3.50000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHC6 267000.00000000 PA USD 279728.66000000 0.008613634502 Long DBT CORP US N 2 2023-12-20 Fixed 3.00000000 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAF4 340000.00000000 PA USD 308099.57000000 0.009487254849 Long DBT CORP US N 2 2050-08-15 Fixed 2.05000000 N N N N N N FirstKey Homes 2020-SFR1 Trust N/A 33767MAA3 3212000.00000000 PA USD 3241064.10000000 0.099801506057 Long ABS-O CORP US Y 2 2025-09-17 Fixed 1.34000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780099CH8 1500000.00000000 PA USD 1685796.95000000 0.051910443399 Long DBT CORP GB N 2 2024-05-28 Fixed 5.13000000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HX1 128939.00000000 PA USD 53509.69000000 0.001647714295 Long DBT NUSS AR N 2 2029-07-09 Fixed 1.00000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BQ8 200000.00000000 PA USD 202006.60000000 0.006220353035 Long DBT CORP US N 2 2025-06-03 Fixed 0.80000000 N N N N N N CARLYLE HOLDINGS II FIN N/A 14310FAA0 2589000.00000000 PA USD 3284693.06000000 0.101144964804 Long DBT CORP US Y 2 2043-03-30 Fixed 5.63000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280CC1 210000.00000000 PA USD 238790.04000000 0.007353018912 Long DBT CORP GB N 2 2030-05-22 Fixed 3.97000000 N N N N N N BANGKOK BANK PCL/HK 549300CCL2BKJGMYXV60 059895AR3 2475000.00000000 PA USD 2706334.22000000 0.083335664681 Long DBT CORP TH Y 2 2024-03-19 Fixed 4.05000000 N N N N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579YBJ9 310000.00000000 PA USD 331265.61000000 0.010200602568 Long DBT CORP US N 2 2029-08-26 Fixed 2.38000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404121AJ4 180000.00000000 PA USD 210810.60000000 0.006491453030 Long DBT CORP US N 2 2028-09-01 Fixed 5.63000000 N N N N N N Visa Inc 549300JZ4OKEHW3DPJ59 92826CAF9 1330000.00000000 PA USD 1733095.80000000 0.053366908411 Long DBT CORP US N 2 2045-12-14 Fixed 4.30000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448ER5 50000.00000000 PA USD 54794.57000000 0.001687279375 Long DBT CORP US N 2 2027-03-19 Fixed 2.63000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDK4 190000.00000000 PA USD 213989.28000000 0.006589333553 Long DBT CORP US N 2 2027-04-01 Fixed 3.30000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCS6 250000.00000000 PA USD 257173.72000000 0.007919104276 Long DBT CORP US N 2 2022-03-15 Fixed 3.45000000 N N N N N N Freddie Mac N/A 3132WJWT4 355104.73000000 PA USD 384623.86000000 0.011843653599 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 4.00000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDW9 140000.00000000 PA USD 143160.12000000 0.004408303921 Long DBT CORP US N 2 2026-01-15 Fixed 1.25000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JG3 260000.00000000 PA USD 258262.49000000 0.007952630575 Long DBT CORP US N 2 2031-02-01 Fixed 2.50000000 N N N N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 254687EH5 200000.00000000 PA USD 308530.54000000 0.009500525631 Long DBT CORP US N 2 2037-11-15 Fixed 6.65000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAM3 170000.00000000 PA USD 168917.58000000 0.005201448772 Long DBT UST US N 2 2025-09-30 Fixed 0.25000000 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 5681000.00000000 PA 4301706.32000000 0.132461671878 Long DBT NUSS SG N 2 2021-10-01 Fixed 1.25000000 N N N N N N Freddie Mac N/A 3132GLDA9 34070.63000000 PA USD 37703.79000000 0.001161006049 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X66J5 73903.76000000 PA USD 81309.05000000 0.002503735006 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 4.50000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526BR9 3100000.00000000 PA USD 3291481.39000000 0.101353996633 Long DBT CORP DE N 2 2023-02-27 Fixed 3.95000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBN5 130000.00000000 PA USD 138308.58000000 0.004258911320 Long DBT CORP US N 2 2051-04-22 Fixed 3.11000000 N N N N N N TransAlta Corp GJZNVO2UY6DNFNIYH321 89346DAF4 564000.00000000 PA USD 587265.00000000 0.018083545911 Long DBT CORP CA N 2 2022-11-15 Fixed 4.50000000 N N N N N N Freddie Mac - STACR N/A 3137G0MX4 830000.00000000 PA USD 890325.31000000 0.027415627731 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 5.08000000 N N N N N N Total Capital Canada Ltd 5299005IX98ZZ9LSGK46 89153UAF8 2108000.00000000 PA USD 2232300.58000000 0.068738831748 Long DBT CORP CA N 2 2023-07-15 Fixed 2.75000000 N N N N N N Shackleton CLO LTD 5493000LHXWSIZGUY418 81882HAA3 5390000.00000000 PA USD 5366526.55000000 0.165250490413 Long ABS-CBDO CORP KY Y 2 2031-04-13 Floating 1.22000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ATPM6 99017.86000000 PA USD 111420.16000000 0.003430941021 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAQ9 150000.00000000 PA USD 153807.33000000 0.004736161551 Long DBT CORP US N 2 2021-09-25 Fixed 4.38000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAD1 600000.00000000 PA USD 639932.73000000 0.019705333883 Long DBT CORP ES N 2 2024-06-27 Fixed 2.71000000 N N N N N N Towd Point Mortgage Trust N/A 89177BAA3 5873127.63000000 PA USD 6312938.55000000 0.194393185539 Long ABS-MBS CORP US Y 2 2058-03-25 Variable 3.75000000 N N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 36962GXZ2 2501000.00000000 PA USD 3464605.69000000 0.106684982181 Long DBT CORP US N 2 2032-03-15 Fixed 6.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828J27 3265000.00000000 PA USD 3487555.66000000 0.107391676494 Long DBT UST US N 2 2025-02-15 Fixed 2.00000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CR4 750000.00000000 PA USD 705000.00000000 0.021708938669 Long DBT CORP US N 2 2026-08-15 Fixed 3.20000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -9846.82000000 -0.00030321136 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 888700.00000000 GBP 1207923.71000000 USD 2021-02-22 -9846.82000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378MVC6 100323.35000000 PA USD 9912.26000000 0.000305226445 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128285J5 1780000.00000000 PA USD 1997841.40000000 0.061519172232 Long DBT UST US N 2 2025-10-31 Fixed 3.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 251525AP6 629000.00000000 PA USD 673161.93000000 0.020728554684 Long DBT CORP DE N 2 2025-04-01 Fixed 4.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -3271.83000000 -0.00010074887 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2993451900.00000000 IDR 209640.16000000 USD 2021-02-18 -3271.83000000 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397B36 420000.00000000 PA USD 430500.00000000 0.013256309357 Long DBT CORP US N 2 2030-11-13 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414NH23 156346.74000000 PA USD 188340.80000000 0.005799544505 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BM5 550000.00000000 PA USD 670266.62000000 0.020639399922 Long DBT CORP US N 2 2038-04-01 Fixed 5.38000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBA0 40000.00000000 PA USD 48470.08000000 0.001492530487 Long DBT CORP US N 2 2044-03-15 Fixed 4.85000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QAW0 620000.00000000 PA USD 664557.47000000 0.020463599090 Long DBT CORP US N 2 2023-11-28 Fixed 3.22000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CB6 330000.00000000 PA USD 360249.57000000 0.011093100455 Long DBT CORP US N 2 2030-04-15 Fixed 2.70000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 18485000.00000000 PA 3830799.72000000 0.117961129327 Long DBT NUSS BR N 2 2025-01-01 Fixed 10.00000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BN3 250000.00000000 PA USD 252125.00000000 0.007763639946 Long DBT NUSS PA N 2 2032-09-29 Fixed 2.25000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AG2 960000.00000000 PA USD 1008818.47000000 0.031064366374 Long DBT CORP US N 2 2024-08-08 Fixed 3.20000000 N N N N N N Deerfield Dakota Holding, LLC 549300FDREJLOIGXY104 24440EAB3 258700.00000000 PA USD 259670.13000000 0.007995975782 Long LON CORP US N 2 2027-04-09 Floating 4.75000000 N N N N N N Nomura Resecuritization Trust N/A 65540ECB3 1490550.62000000 PA USD 1486585.90000000 0.045776173233 Long ABS-MBS CORP US Y 2 2036-10-26 Floating 0.30000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38143YAC7 320000.00000000 PA USD 455205.30000000 0.014017055233 Long DBT CORP US N 2 2036-05-01 Fixed 6.45000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBX5 1330000.00000000 PA USD 1503893.32000000 0.046309117516 Long DBT CORP US N 2 2025-01-23 Fixed 4.15000000 N N N N N N Exelon Corp 3SOUA6IRML7435B56G12 30161NAW1 1180000.00000000 PA USD 1224593.92000000 0.037708701140 Long DBT CORP US N 2 2022-06-01 Fixed 3.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -1659428.50000000 -0.05109848444 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 72936170.00000000 CHF 80307428.22000000 USD 2021-03-10 -1659428.50000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EVVB0 113570.57000000 PA USD 122443.11000000 0.003770368745 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AXN3 1710825.29000000 PA USD 1859922.58000000 0.057272262721 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.50000000 N N N N N N Waste Management Inc 549300YX8JIID70NFS41 94106LBK4 80000.00000000 PA USD 99349.43000000 0.003059249195 Long DBT CORP US N 2 2049-07-15 Fixed 4.15000000 N N N N N N CANADIAN GOVERNMENT 4BFD7AQU0A75QLAHK410 135087D50 4024000.00000000 PA 3396586.42000000 0.104590476988 Long DBT NUSS CA N 2 2025-06-01 Fixed 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPBN3 1325199.67000000 PA USD 1480987.51000000 0.045603783013 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 5.00000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GAW2 250000.00000000 PA USD 297678.98000000 0.009166375489 Long DBT CORP US N 2 2046-03-01 Fixed 4.11000000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KAE6 100000.00000000 PA USD 112778.53000000 0.003472769065 Long DBT CORP US N 2 2025-07-17 Fixed 4.50000000 N N N N N N firstkey homes 2020-sfr1 trust N/A 33767JAA0 2718000.00000000 PA USD 2731247.80000000 0.084102824086 Long ABS-O CORP US Y 2 2037-10-19 Fixed 1.27000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UEB4 59779.29000000 PA USD 65241.41000000 0.002008967047 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 5.00000000 N N N N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAY2 2925000.00000000 PA USD 2972024.87000000 0.091517029257 Long DBT US N 2 2029-12-15 Fixed 3.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179T7L3 509381.98000000 PA USD 555177.49000000 0.017095480965 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.50000000 N N N N N N DPL INC N/A 233293AQ2 164000.00000000 PA USD 184445.88000000 0.005679608931 Long DBT CORP US N 2 2029-04-15 Fixed 4.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410LXD9 126924.81000000 PA USD 138004.72000000 0.004249554613 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F040636 300000.00000000 PA USD 321990.23000000 0.009914987454 Long ABS-MBS USGSE US N 2 2051-03-11 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UKZ4 844823.88000000 PA USD 922389.33000000 0.028402969353 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8BA4 642808.27000000 PA USD 686144.73000000 0.021128331718 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 3.00000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903AP8 1013000.00000000 PA USD 1094452.62000000 0.033701283410 Long DBT CORP US N 2 2025-10-01 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WTSC1 2328616.75000000 PA USD 2558622.75000000 0.078787211854 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.50000000 N N N N N N Voya Financial Inc 549300T065Z4KJ686G75 929089AF7 3276000.00000000 PA USD 3390660.00000000 0.104407985799 Long DBT CORP US N 2 2048-01-23 Fixed 4.70000000 N N N N N N Suncor Energy Ventures N/A 13643EAG0 90000.00000000 PA USD 93580.15000000 0.002881596790 Long DBT CORP CA Y 2 2022-04-01 Fixed 4.50000000 N N N N N N Hospitality Mortgage Trust N/A 40443RAL5 5530408.92000000 PA USD 5509393.37000000 0.169649762800 Long ABS-MBS CORP US Y 2 2036-11-15 Floating 2.13000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CV8 350000.00000000 PA USD 353840.82000000 0.010895756964 Long DBT CORP US N 2 2021-08-15 Fixed 2.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BT58 8552802.63000000 PA USD 179841.49000000 0.005537826775 Long ABS-MBS USGA US N 2 2053-01-16 Variable 0.55000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -20820.38000000 -0.00064111823 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1094610.00000000 NZD 765774.93000000 USD 2021-03-10 -20820.38000000 N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 4559000.00000000 PA 1201626.33000000 0.037001464257 Long DBT NUSS MY N 2 2027-05-31 Fixed 3.50000000 N N N N N N ROCHE HOLDINGS INC PVJRP0EQNV6OGDPZGY95 771196BN1 950000.00000000 PA USD 1023408.11000000 0.031513622544 Long DBT CORP US Y 2 2023-09-17 Fixed 3.25000000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BU5 370000.00000000 PA USD 527538.84000000 0.016244408969 Long DBT CORP US N 2 2050-05-01 Fixed 5.25000000 N N N N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AN1 100000.00000000 PA USD 98889.00000000 0.003045071256 Long DBT CORP US Y 2 2032-02-15 Fixed 3.63000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 12905000.00000000 OU Notional Amount USD 1029367.33000000 0.031697123737 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.HY.S35.V1 2I65BRYO2 RED Code Y sell protection 2025-12-20 506790.51000000 USD 0.00000000 USD 12905000.00000000 USD 522576.82000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHD4 2343000.00000000 PA USD 2625722.64000000 0.080853406743 Long DBT CORP US N 2 2028-12-20 Fixed 3.42000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KHH46 3202898.29000000 PA USD 3405919.70000000 0.104877875007 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC -4065.61000000 -0.00012519160 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 306510.00000000 CAD 235653.84000000 USD 2021-03-10 -4065.61000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382HS35 198131.13000000 PA USD 28208.68000000 0.000868624828 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N Banco de Bogota SA 549300LYHE7LWSKDZT53 059514AE9 2846000.00000000 PA USD 3076526.00000000 0.094734913827 Long DBT CORP CO Y 2 2027-08-03 Fixed 4.38000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PDL3 120000.00000000 PA USD 152864.81000000 0.004707138702 Long DBT CORP US N 2 2048-06-15 Fixed 4.25000000 N N N N N N PROCTER & GAMBLE CO/THE 2572IBTT8CCZW6AU4141 742718FH7 260000.00000000 PA USD 294405.35000000 0.009065571187 Long DBT CORP US N 2 2030-03-25 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828B66 20515000.00000000 PA USD 22112124.75000000 0.680894695101 Long DBT UST US N 2 2024-02-15 Fixed 2.75000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHM4 400000.00000000 PA USD 470813.10000000 0.014497663422 Long DBT CORP US N 2 2029-07-23 Fixed 4.27000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BB2 400000.00000000 PA USD 408960.00000000 0.012593031997 Long DBT CORP US Y 2 2030-12-01 Fixed 4.13000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC 1391601.92000000 0.042851348558 N/A DFE XX N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 67414844.22000000 USD 56653510.00000000 EUR 2021-03-10 1391601.92000000 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDX7 150000.00000000 PA USD 154810.90000000 0.004767064302 Long DBT CORP US N 2 2030-05-15 Fixed 2.00000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CZ1 500000.00000000 PA USD 654618.40000000 0.020157547088 Long DBT CORP US N 2 2048-03-25 Fixed 5.05000000 N N N N N N Boardwalk Pipelines LP 549300W6AQ2GHHCGL606 096630AC2 1082000.00000000 PA USD 1123350.18000000 0.034591120796 Long DBT CORP US N 2 2023-02-01 Fixed 3.38000000 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370CS7 603000.00000000 PA USD 635218.29000000 0.019560162977 Long DBT CORP US N 2 2046-12-08 Fixed 5.29000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X76N4 7121354.76000000 PA USD 7408801.55000000 0.228137898528 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N LB Commercial Conduit Mortgage Trust N/A 50177AAH2 115418.92000000 PA USD 113971.69000000 0.003509509827 Long ABS-MBS CORP US N 2 2044-07-15 Variable 6.06000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFE9 150000.00000000 PA USD 165142.36000000 0.005085199099 Long DBT CORP US N 2 2030-03-22 Fixed 3.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LDP8 5192698.30000000 PA USD 5943176.92000000 0.183007181925 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 4.50000000 N N N N N N Fanniemae-Aces N/A 3136AC7M7 334354.34000000 PA USD 375599.49000000 0.011565767790 Long ABS-MBS USGSE US N 2 2043-02-25 Variable 3.44000000 N N N N N N COMM Mortgage Trust N/A 20048GAJ5 4040000.00000000 PA USD 3837240.88000000 0.118159470813 Long ABS-MBS CORP US Y 2 2034-06-15 Floating 1.68000000 N N N N N N Johnson & Johnson 549300G0CFPGEF6X2043 478160CF9 350000.00000000 PA USD 417776.78000000 0.012864525524 Long DBT CORP US N 2 2037-03-03 Fixed 3.63000000 N N N N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AH5 3001000.00000000 PA USD 3379021.51000000 0.104049603862 Long DBT CORP US N 2 2025-04-23 Fixed 5.38000000 N N N N N N FREDDIEMAC STRIP S6XOOCT0IEG5ABCC6L87 31282YCD9 5678.15000000 PA USD 915.13000000 0.000028179434 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 8.00000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DK8 925000.00000000 PA USD 800125.00000000 0.024638105748 Long DBT CORP US N 2 2044-07-15 Fixed 4.50000000 N N N N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 064159VL7 470000.00000000 PA USD 479602.58000000 0.014768316304 Long DBT CORP CA N 2 2025-06-11 Fixed 1.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KEYF9 265664.16000000 PA USD 281452.17000000 0.008666706236 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A5A90 57056.43000000 PA USD 64078.33000000 0.001973152533 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 4.50000000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RAR3 2901000.00000000 PA USD 3582346.27000000 0.110310546762 Long DBT CORP US N 2 2037-01-15 Fixed 6.65000000 N N N N N N Freddie Mac N/A 312935KY4 37470.76000000 PA USD 42511.78000000 0.001309057623 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TLT0 937194.24000000 PA USD 1014893.28000000 0.031251426909 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.00000000 N N N N N N Freddie Mac N/A 3133A0MR2 75236.93000000 PA USD 81706.20000000 0.002515964375 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.00000000 N N N N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 084659AD3 2864000.00000000 PA USD 3148229.37000000 0.096942862851 Long DBT CORP US N 2 2025-02-01 Fixed 3.50000000 N N N N N N Jane Street Group LLC 5493002N1IVX6KHGYO08 000000000 1360566.97000000 PA USD 1354498.84000000 0.041708840064 Long LON CORP US N 2 2028-01-31 None 0.00000000 N N N N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HBD8 1171000.00000000 PA USD 1287838.26000000 0.039656172769 Long DBT CORP IT Y 2 2028-01-12 Fixed 3.88000000 N N N N N N CANADIAN NATL RESOURCES 549300T15RIMIKZC5Q38 136385AG6 2662000.00000000 PA USD 3357094.97000000 0.103374423845 Long DBT CORP CA N 2 2035-02-01 Fixed 5.85000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -176.00000000 NC USD 78.85000000 0.000002428013 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short 5 Year US Treasury Note FVH1 Comdty 2021-03-31 -22154078.85000000 USD 78.85000000 N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAD2 155000.00000000 PA USD 160425.00000000 0.004939938278 Long DBT CORP US N 2 2023-07-15 Fixed 4.75000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAH6 300000.00000000 PA USD 329778.44000000 0.010154808409 Long DBT CORP US N 2 2024-04-15 Fixed 4.50000000 N N N N N N DISH DBS Corp N/A 25470XAW5 685000.00000000 PA USD 709844.95000000 0.021858128346 Long DBT CORP US N 2 2024-11-15 Fixed 5.88000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCR3 30000.00000000 PA USD 33032.14000000 0.001017152767 Long DBT CORP US N 2 2024-11-01 Fixed 3.50000000 N N N N N N PROCTER & GAMBLE CO/THE 2572IBTT8CCZW6AU4141 742718FG9 3392000.00000000 PA USD 3758424.97000000 0.115732506619 Long DBT CORP US N 2 2027-03-25 Fixed 2.80000000 N N N N N N DEERE & COMPANY PWFTNG3EI0Y73OXWDH08 244199BK0 410000.00000000 PA USD 506903.71000000 0.015608995108 Long DBT CORP US N 2 2050-04-15 Fixed 3.75000000 N N N N N N JOHNSON & JOHNSON 549300G0CFPGEF6X2043 478160CP7 530000.00000000 PA USD 530104.61000000 0.016323416265 Long DBT CORP US N 2 2027-09-01 Fixed 0.95000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGQ7 1020000.00000000 PA USD 1294782.81000000 0.039870015053 Long DBT CORP US N 2 2045-11-17 Fixed 4.90000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDC5 270000.00000000 PA USD 316696.17000000 0.009751968413 Long DBT CORP US N 2 2046-08-15 Fixed 4.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9127962F5 21612000.00000000 PA USD 21610283.14000000 0.665441576331 Long STIV UST US N 2 2021-03-25 None 0.00000000 N N N N N N Freddie Mac N/A 3128M84A9 592872.76000000 PA USD 695435.35000000 0.021414416115 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.50000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135BJ4 340000.00000000 PA USD 430337.80000000 0.013251314762 Long DBT CORP US N 2 2047-08-22 Fixed 4.05000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFG9 2370000.00000000 PA USD 3165760.94000000 0.097482709345 Long DBT CORP US N 2 2044-04-01 Fixed 4.88000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AL7 240000.00000000 PA USD 271896.14000000 0.008372449117 Long DBT CORP US N 2 2040-03-27 Fixed 3.25000000 N N N N N N Freeport-McMoRan Inc 549300IRDTHJQ1PVET45 35671DBC8 1450000.00000000 PA USD 1812500.00000000 0.055811987713 Long DBT CORP US N 2 2043-03-15 Fixed 5.45000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 93363EAA3 1587434.33000000 PA USD 1536763.90000000 0.047321295396 Long ABS-MBS CORP US N 2 2036-09-25 Variable 3.01000000 N N N N N N ECAF LTD N/A 26827EAA3 802001.32000000 PA USD 789215.17000000 0.024302161308 Long ABS-O CORP KY Y 2 2040-06-15 Fixed 3.47000000 N N N N N N Voya CLO Ltd 254900MS3D9HONB0N824 92913UAN6 5690000.00000000 PA USD 5690881.95000000 0.175238308123 Long ABS-CBDO CORP KY Y 2 2031-10-20 Floating 1.41000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DC9 330000.00000000 PA USD 373845.72000000 0.011511764265 Long DBT CORP US N 2 2025-08-15 Fixed 3.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXDP4 3192915.00000000 PA USD 3612710.01000000 0.111245531967 Long ABS-MBS USGSE US N 2 2056-02-01 Fixed 4.00000000 N N N N N N RPM International Inc 549300TJCKW4BRXPJ474 749685AX1 2860000.00000000 PA USD 3328235.08000000 0.102485746423 Long DBT CORP US N 2 2029-03-01 Fixed 4.55000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380QBN1 361038.51000000 PA USD 372026.14000000 0.011455734264 Long ABS-MBS USGA US N 2 2070-04-20 Floating 1.38000000 N N N N N N Freddie Mac N/A 3132AAK52 524246.77000000 PA USD 571536.04000000 0.017599206864 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 3.50000000 N N N N N N LAMB WESTON HLD 5493005SMYID1D2OY946 513272AC8 30000.00000000 PA USD 33216.00000000 0.001022814335 Long DBT CORP US Y 2 2028-05-15 Fixed 4.88000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 251525AM3 709000.00000000 PA USD 727905.58000000 0.022414266089 Long DBT CORP DE N 2 2028-05-24 Fixed 4.30000000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CAH7 200000.00000000 PA USD 277221.13000000 0.008536420580 Long DBT CORP US N 2 2040-02-15 Fixed 5.30000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAJ3 240000.00000000 PA USD 247800.00000000 0.007630460996 Long DBT CORP CA Y 2 2025-06-01 Fixed 4.25000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBN2 3381000.00000000 PA USD 3389513.36000000 0.104372677519 Long DBT CORP US N 2 2077-08-16 Fixed 5.25000000 N N N N N N Fannie Mae N/A 3136AHGQ7 382619.35000000 PA USD 77947.18000000 0.002400213546 Long ABS-MBS USGSE US N 2 2043-12-25 Floating 5.82000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 539439AT6 210000.00000000 PA USD 249960.80000000 0.007696998123 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -1054.00000000 NC -375094.36000000 -0.01155021341 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Bund (FGBL) RXH1 Comdty 2021-03-08 -186512411.37000000 EUR -375094.36000000 N N N CVS Health Corp 549300EJG376EN5NQE29 126650CV0 109000.00000000 PA USD 116250.10000000 0.003579668498 Long DBT CORP US N 2 2023-03-09 Fixed 3.70000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAV2 320000.00000000 PA USD 385459.96000000 0.011869399476 Long DBT CORP US N 2 2025-10-01 Fixed 6.13000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -10546.31000000 -0.00032475063 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 24300397300.00000000 IDR 1716250.96000000 USD 2021-02-26 -10546.31000000 N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAF1 240000.00000000 PA USD 264516.00000000 0.008145193788 Long DBT CORP US N 2 2030-04-01 Fixed 2.85000000 N N N N N N DEUTSCHE BANK AG LONDON 7LTWFZYICNSX8D621K86 25152RXA6 3071000.00000000 PA USD 3318353.39000000 0.102181461314 Long DBT CORP DE N 2 2024-05-30 Fixed 3.70000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VBS2 521000.00000000 PA USD 725014.89000000 0.022325253590 Long DBT CORP US N 2 2033-09-15 Fixed 6.40000000 N N N N N N Fanniemae-Aces N/A 3136B2HC9 588729.24000000 PA USD 651931.03000000 0.020074795385 Long ABS-MBS USGSE US N 2 2028-04-25 Variable 3.12000000 N N N N N N UniCredit SpA 549300TRUWO2CD2G5692 904678AJ8 1450000.00000000 PA USD 1524601.35000000 0.046946776173 Long DBT CORP IT Y 2 2022-01-14 Fixed 6.57000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 23444.44000000 0.000721920439 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 6130000.00000000 EUR 7475112.03000000 USD 2021-04-19 23444.44000000 N N N Nomura Resecuritization Trust N/A 65541AAP1 5617883.79000000 PA USD 3800404.00000000 0.117025159368 Long ABS-MBS CORP US Y 2 2047-11-25 Variable 1.89000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBX0 380000.00000000 PA USD 407129.31000000 0.012536659888 Long DBT CORP US N 2 2030-01-31 Fixed 2.80000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CC4 360000.00000000 PA USD 407207.87000000 0.012539078972 Long DBT CORP US N 2 2040-04-15 Fixed 3.30000000 N N N N N N CSAIL Commercial Mortgage Trust 549300ZAGI6FKGY8O078 12635FAS3 270000.00000000 PA USD 291245.33000000 0.008968265257 Long ABS-MBS CORP US N 2 2048-08-15 Fixed 3.45000000 N N N N N N JP Morgan Mortgage Acquisition Corp N/A 46630CAF1 3910000.00000000 PA USD 3679550.86000000 0.113303750284 Long ABS-O CORP US N 2 2037-05-25 Floating 0.36000000 N N N N N N Nestle Holdings Inc 549300EAEU8YV8MQXP30 641062AD6 2895000.00000000 PA USD 3117569.13000000 0.095998747575 Long DBT CORP US Y 2 2023-09-24 Fixed 3.35000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 45.00000000 NC -28013.58000000 -0.00086261714 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Euro-OAT OATH1 Comdty 2021-03-08 7541234.00000000 EUR -28013.58000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F5DA8 142650.37000000 PA USD 153149.39000000 0.004715901723 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAS4 250000.00000000 PA USD 346290.00000000 0.010663245917 Long DBT CORP KZ Y 2 2048-10-24 Fixed 6.38000000 N N N N N N SINOPEC GRP OVERSEA 2014 549300ZIMV82UUECOQ45 82937WAE5 530000.00000000 PA USD 582724.24000000 0.017943723102 Long DBT CORP VG Y 2 2024-04-10 Fixed 4.38000000 N N N N N N Equinor ASA OW6OFBNCKXC4US5C7523 85771PAF9 2045000.00000000 PA USD 2103270.88000000 0.064765643317 Long DBT CORP NO N 2 2022-01-23 Fixed 3.15000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A 3137FMU26 998615.70000000 PA USD 66607.87000000 0.002051044205 Long ABS-MBS USGSE US N 2 2029-06-25 Variable 0.88000000 N N N N N N BankUnited Inc 96OVUWEW5D4YX6PFXD91 06652KAA1 2879000.00000000 PA USD 3302910.15000000 0.101705920392 Long DBT CORP US N 2 2025-11-17 Fixed 4.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620AEAM2 141703.15000000 PA USD 159155.91000000 0.004900859417 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3132XCRW7 1022164.69000000 PA USD 1110286.60000000 0.034188856318 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFK5 60000.00000000 PA USD 67630.26000000 0.002082526477 Long DBT CORP US N 2 2049-09-01 Fixed 3.63000000 N N N N N N Hanesbrands Inc GX5LWVWZLL5S4W1L2F20 410345AJ1 40000.00000000 PA USD 42216.20000000 0.001299955881 Long DBT CORP US Y 2 2024-05-15 Fixed 4.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A5GV5 184348.34000000 PA USD 207205.32000000 0.006380436289 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 4.50000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAF0 160000.00000000 PA USD 182629.76000000 0.005623685473 Long DBT CORP US N 2 2028-06-15 Fixed 4.95000000 N N N N N N Focus Financial Partners, LLC 5493007L0E0VKRC2CP39 34416DAT5 621329.59000000 PA USD 618856.70000000 0.019056343468 Long LON CORP US N 2 2024-07-03 Floating 2.12000000 N N N N N N EQT Corp 4NT01YGM4X7ZX86ISY52 26884LAE9 500000.00000000 PA USD 507802.50000000 0.015636671388 Long DBT CORP US N 2 2022-10-01 Fixed 3.00000000 N N N N N N Helios Issuer, LLC N/A 86745JAA5 906836.80000000 PA USD 1001961.62000000 0.030853224620 Long ABS-O CORP US Y 2 2048-07-20 Fixed 4.87000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796B32 21800000.00000000 PA USD 21793721.82000000 0.671090170733 Long STIV UST US N 2 2021-06-24 None 0.00000000 N N N N N N iHeartCommunications, Inc. 54930076J6KDZL504O62 45174UAF5 500462.37000000 PA USD 493831.24000000 0.015206456882 Long LON CORP US N 2 2026-05-01 Floating 3.12000000 N N N N N N VALARIS PLC 7N0UJMJLXD0MDT5D5086 000000000 333000.00000000 PA USD 29970.00000000 0.000922860839 Long DBT CORP GB N 2 2022-06-01 None 0.00000000 Y N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBG4 760000.00000000 PA USD 739741.83000000 0.022778737615 Long DBT CORP US N 2 2050-02-24 Fixed 3.00000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCS8 450000.00000000 PA USD 513021.67000000 0.015797384354 Long DBT CORP US N 2 2025-10-15 Fixed 3.95000000 N N N N N N Radnor Re LTD 254900YVLP8CB4GC2O97 750493AA6 2411000.00000000 PA USD 2410282.25000000 0.074219389419 Long ABS-MBS CORP BM Y 2 2030-02-25 Floating 1.08000000 N N N N N N ESC LEHMAN BRTH HLDH PROD N/A 525ESC6Y0 738253.21000000 PA USD 7751.66000000 0.000238695477 Long DBT CORP US N 2 2027-09-27 Fixed 1.00000000 N N N N N N HUNTINGTON INGALLS INDUS 5TZLZ6WJTBVJ0QWBG121 446413AT3 2811000.00000000 PA USD 3290874.75000000 0.101335316476 Long DBT CORP US N 2 2030-05-01 Fixed 4.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZL7 260000.00000000 PA USD 260497.66000000 0.008021457765 Long DBT UST US N 2 2025-04-30 Fixed 0.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERNP1 167924.52000000 PA USD 180675.20000000 0.005563499057 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N FANNIEMAE STRIP B1V7KEBTPIMZEU4LTD58 3136FCM37 69199.57000000 PA USD 14056.99000000 0.000432854374 Long ABS-MBS USGSE US N 2 2036-04-25 Fixed 5.50000000 N N N N N N PacifiCorp SGY07Y7FNYBNLM6Z1M11 695114CL0 970000.00000000 PA USD 1409950.82000000 0.043416362947 Long DBT CORP US N 2 2039-01-15 Fixed 6.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 9000000.00000000 OU Notional Amount 72292.26000000 0.002226082607 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 9000000.00000000 BRL 72292.26000000 N N N Goldman Sachs Capital I 5299005MCIJK7R2NP351 38143VAA7 1261000.00000000 PA USD 1763935.51000000 0.054316550075 Long DBT CORP US N 2 2034-02-15 Fixed 6.35000000 N N N N N N Duke Energy Ohio Inc L6KC0HABGHNFU1Z6QY21 26442EAF7 140000.00000000 PA USD 159971.25000000 0.004925966035 Long DBT CORP US N 2 2029-02-01 Fixed 3.65000000 N N N N N N Mars Inc 54930073HKEO6GZBSS03 571676AA3 290000.00000000 PA USD 312723.81000000 0.009629648243 Long DBT CORP US Y 2 2025-04-01 Fixed 2.70000000 N N N N N N CELULOSA ARAUCO CONSTITU 549300QEKV8G0AMNQD28 151191BL6 1500000.00000000 PA USD 1765650.00000000 0.054369344058 Long DBT CORP CL Y 2 2050-01-29 Fixed 5.15000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAG4 640000.00000000 PA USD 816140.80000000 0.025131277408 Long DBT CORP US N 2 2030-02-01 Fixed 8.75000000 N N N N N N HCA Inc. L3CJ6J7LJ2DX62FTXD46 404122BA0 194858.61000000 PA USD 195102.18000000 0.006007746467 Long LON CORP US N 2 2025-03-13 Floating 1.87000000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HT0 472973.00000000 PA USD 161993.25000000 0.004988229119 Long DBT NUSS AR N 2 2035-07-09 Variable 0.13000000 N N N N N N Freddie Mac N/A 3133KHNK8 966371.19000000 PA USD 1030358.13000000 0.031727633264 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -107497.21000000 -0.00331014232 N/A DFE MX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3922825.36000000 USD 78568700.00000000 MXN 2021-03-17 -107497.21000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EXDX8 269456.15000000 PA USD 288575.91000000 0.008886066286 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAG8 390000.00000000 PA USD 404088.25000000 0.012443017072 Long DBT CORP US N 2 2025-06-01 Fixed 1.65000000 N N N N N N Freddie Mac N/A 3137F7Q40 10393573.13000000 PA USD 1456181.17000000 0.044839925831 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 3.00000000 N N N N N N Tenet Healthcare Corp 0W9AIBT6U6ADJ2I8HK17 88033GAV2 255000.00000000 PA USD 275400.00000000 0.008480342850 Long DBT CORP US N 2 2031-11-15 Fixed 6.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBPT9 114609.88000000 PA USD 125144.53000000 0.003853553087 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4.50000000 N N N N N N Chevron Corp N/A 166764BL3 1051000.00000000 PA USD 1153299.44000000 0.035513342993 Long DBT CORP US N 2 2026-05-16 Fixed 2.95000000 N N N N N N Morgan Stanley Mortgage Capital Holdings LLC N/A 55375KAA4 58208000.00000000 PA USD 1244085.40000000 0.038308898791 Long ABS-MBS CORP US Y 2 2039-09-13 Variable 0.34000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMD1 150000.00000000 PA USD 143571.95000000 0.004420985329 Long DBT CORP US Y 2 2055-09-15 Fixed 3.55000000 N N N N N N Motiva Enterprises LLC UQZ4EDMHL4ZESPZY3752 61980AAD5 615000.00000000 PA USD 747915.16000000 0.023030417501 Long DBT CORP US Y 2 2040-01-15 Fixed 6.85000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -16339.46000000 -0.00050313806 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 37648735700.00000000 IDR 2658996.80000000 USD 2021-02-26 -16339.46000000 N N N General Electric Co 3C7474T6CDKPR9K6YT90 36962G3A0 583000.00000000 PA USD 787419.38000000 0.024246863868 Long DBT CORP US N 2 2037-08-07 Fixed 6.15000000 N N N N N N Shackleton CLO LTD 549300TCSL4JHWNE1X86 81882LAN6 3286744.72000000 PA USD 3287477.66000000 0.101230710493 Long ABS-CBDO CORP KY Y 2 2028-10-20 Floating 1.35000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAR5 180000.00000000 PA USD 191171.79000000 0.005886718672 Long DBT CORP US N 2 2040-04-05 Fixed 3.38000000 N N N N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 105756BR0 1410000.00000000 PA USD 1558755.00000000 0.047998463397 Long DBT NUSS BR N 2 2041-01-07 Fixed 5.63000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDS8 400000.00000000 PA USD 443650.65000000 0.013661254966 Long DBT CORP US N 2 2029-08-15 Fixed 2.88000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVS0 100000.00000000 PA USD 133833.08000000 0.004121098050 Long DBT CORP US N 2 2045-10-21 Fixed 4.75000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RJX1 330000.00000000 PA USD 348472.71000000 0.010730457715 Long DBT CORP US N 2 2027-06-01 Fixed 2.30000000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZU5 511000.00000000 PA USD 502057.50000000 0.015459766632 Long DBT CORP US N 2 2024-10-28 Fixed 2.90000000 N N N N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 -88.00000000 NC 131762.73000000 0.004057346134 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Short 10 Year Commonwealth Treasury Bond XMH1 Comdty 2021-03-15 -13008783.92000000 AUD 131762.73000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417VJS3 1567.62000000 PA USD 1704.29000000 0.000052479896 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.50000000 N N N N N N HARTFORD FINL SVCS GRP IU7C3FTM7Y3BQM112U94 416515BA1 2344000.00000000 PA USD 3516113.82000000 0.108271062798 Long DBT CORP US N 2 2040-03-30 Fixed 6.63000000 N N N N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411BE4 890000.00000000 PA USD 886119.60000000 0.027286122056 Long DBT CORP US N 2 2028-10-15 Fixed 4.38000000 N N N N N N Freddie Mac N/A 3132AEFK7 415740.86000000 PA USD 452937.86000000 0.013947234359 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 3.50000000 N N N N N N Southern Power Co 5LADC78JBG2BMZD5XF57 843646AU4 3139000.00000000 PA USD 3732527.80000000 0.114935059704 Long DBT CORP US N 2 2046-12-15 Fixed 4.95000000 N N N N N N Freddie Mac N/A 3132ACQ37 46386.61000000 PA USD 50996.76000000 0.001570334092 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFS8 110000.00000000 PA USD 109998.48000000 0.003387163483 Long DBT CORP US N 2 2025-11-20 Fixed 0.85000000 N N N N N N Invitation Homes Trust N/A 46187BAA1 5016948.55000000 PA USD 5016947.55000000 0.154485966908 Long ABS-O CORP US Y 2 2036-12-17 Floating 0.98000000 N N N N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AA9 510000.00000000 PA USD 535663.73000000 0.016494597251 Long DBT CORP JP Y 2 2023-09-15 Fixed 3.04000000 N N N N N N Hanesbrands Inc GX5LWVWZLL5S4W1L2F20 410345AL6 390000.00000000 PA USD 422175.00000000 0.012999959124 Long DBT CORP US Y 2 2026-05-15 Fixed 4.88000000 N N N N N N MEITUAN 21380033K525E5JLIA77 58533EAB9 3618000.00000000 PA USD 3691011.24000000 0.113656647712 Long DBT CORP KY Y 2 2025-10-28 Fixed 2.13000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PBN1 400000.00000000 PA USD 586460.13000000 0.018058761693 Long DBT CORP US N 2 2040-10-15 Fixed 5.70000000 N N N N N N LAMB WESTON HLD 5493005SMYID1D2OY946 513272AB0 350000.00000000 PA USD 363125.00000000 0.011181643055 Long DBT CORP US Y 2 2026-11-01 Fixed 4.88000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AM0 250000.00000000 PA USD 263797.36000000 0.008123064835 Long DBT CORP CH Y 2 2025-09-11 Fixed 2.59000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J6GP6 74938.61000000 PA USD 80685.87000000 0.002484545536 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQHT2 1108446.67000000 PA USD 1199001.19000000 0.036920628791 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QYY1 221361.34000000 PA USD 258560.83000000 0.007961817306 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBB6 7830000.00000000 PA USD 7762710.94000000 0.239035766956 Long DBT UST US N 2 2027-12-31 Fixed 0.63000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 1859.72000000 0.000057266024 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1019480.00000000 NZD 734466.02000000 USD 2021-03-10 1859.72000000 N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAM5 2708000.00000000 PA USD 3036656.53000000 0.093507220382 Long DBT CORP US N 2 2024-01-15 Fixed 5.88000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAP8 320000.00000000 PA USD 337520.65000000 0.010393212894 Long DBT CORP US N 2 2025-05-15 Fixed 2.90000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BFP0 200000.00000000 PA USD 265590.06000000 0.008178267125 Long DBT CORP US N 2 2043-11-02 Fixed 5.38000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAN0 360000.00000000 PA USD 403791.22000000 0.012433870681 Long DBT CORP US N 2 2048-04-15 Fixed 4.70000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -139623.66000000 -0.00429940634 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15267520.75000000 USD 19341735.00000000 CAD 2021-04-19 -139623.66000000 N N N State of Qatar 52990074F6OJOAXK4P65 74727PBA8 450000.00000000 PA USD 528187.50000000 0.016264383040 Long DBT NUSS QA Y 2 2029-03-14 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LFRV2 1680000.00000000 PA USD 1835993.81000000 0.056535428395 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.60000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAS9 300000.00000000 PA USD 355477.76000000 0.010946162964 Long DBT CORP US N 2 2029-02-15 Fixed 4.80000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -11665.38000000 -0.00035920995 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 914447.14000000 USD 68840495.00000000 RUB 2021-04-19 -11665.38000000 N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCZ2 240000.00000000 PA USD 267988.02000000 0.008252107078 Long DBT CORP US N 2 2050-02-01 Fixed 3.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CQB3 387051.19000000 PA USD 416983.38000000 0.012840094500 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LTS5 433485.92000000 PA USD 486322.11000000 0.014975229588 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 4.50000000 N N N N N N FNA VI LLC N/A 34411YAA5 2563000.00000000 PA USD 2563825.29000000 0.078947412736 Long ABS-O CORP US Y 3 2032-01-10 Variable 1.35000000 N N N N N N Netflix Inc 549300Y7VHGU0I7CE873 64110LAE6 320000.00000000 PA USD 320000.00000000 0.009853702658 Long DBT CORP US N 2 2021-02-01 Fixed 5.38000000 N N N N N N CANADIAN GOVERNMENT 4BFD7AQU0A75QLAHK410 135087A61 5515000.00000000 PA 4445467.37000000 0.136888480130 Long DBT NUSS CA N 2 2023-06-01 Fixed 1.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 32585.26000000 0.001003392072 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8364451.00000000 BRL 1558061.10000000 USD 2021-04-19 32585.26000000 N N N TEVA PHARMACEUTICALS NE 5493004T21MOAFINJP35 88167AAE1 360000.00000000 PA USD 343350.00000000 0.010572715024 Long DBT CORP NL N 2 2026-10-01 Fixed 3.15000000 N N N N N N TRUST F/1401 N/A 898324AC2 1200000.00000000 PA USD 1355700.00000000 0.041745827168 Long DBT MX Y 2 2026-01-30 Fixed 5.25000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AD9 140000.00000000 PA USD 137835.71000000 0.004244350318 Long DBT CORP US N 2 2023-01-13 Floating 2.32000000 N N N N N N STATE OF QATAR 52990074F6OJOAXK4P65 74727PBE0 410000.00000000 PA USD 524369.50000000 0.016146816050 Long DBT NUSS QA Y 2 2050-04-16 Fixed 4.40000000 N N N N N N JOHNSON & JOHNSON 549300G0CFPGEF6X2043 478160CN2 270000.00000000 PA USD 269897.54000000 0.008310906585 Long DBT CORP US N 2 2025-09-01 Fixed 0.55000000 N N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 000000000 1.00000000 NC 200007.34000000 0.006158790180 N/A DFE US N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 1411151120.00000000 JPY 13676900.34000000 USD 2021-03-10 200007.34000000 N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GAR3 3346000.00000000 PA USD 3502930.14000000 0.107865100102 Long DBT CORP US N 2 2023-03-01 Fixed 2.73000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC 2730.62000000 0.000084083492 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 8600000.00000000 CAD 6728816.94000000 USD 2021-03-17 2730.62000000 N N N Bank of Montreal NQQ6HPCNCCU6TUTQYE16 000000000 1.00000000 NC -94696.19000000 -0.00291596280 N/A DFE US N 2 Bank of Montreal NQQ6HPCNCCU6TUTQYE16 56000000.00000000 SEK 6609970.43000000 USD 2021-03-17 -94696.19000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DDX4 429244.29000000 PA USD 501366.35000000 0.015438484174 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.50000000 N N N N N N Bank of Montreal NQQ6HPCNCCU6TUTQYE16 000000000 1.00000000 NC 5374.57000000 0.000165498170 N/A DFE US N 2 Bank of Montreal NQQ6HPCNCCU6TUTQYE16 8600000.00000000 CAD 6731460.89000000 USD 2021-03-17 5374.57000000 N N N Freddie Mac N/A 3132WKPM4 279059.32000000 PA USD 300182.06000000 0.009243452383 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HS2 2194526.00000000 PA USD 840503.46000000 0.025881472431 Long DBT NUSS AR N 2 2030-07-09 Variable 0.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617MB4M8 96755.35000000 PA USD 106474.72000000 0.003278656973 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.00000000 N N N N N N Freddie Mac N/A 31307N5N0 219458.90000000 PA USD 236432.91000000 0.007280436230 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.50000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAJ4 660000.00000000 PA USD 880586.77000000 0.027115750614 Long DBT CORP US N 2 2039-01-25 Fixed 5.48000000 N N N N N N Medtronic Inc D56MRZY2INAN94ZONZ37 585055BS4 200000.00000000 PA USD 222956.55000000 0.006865461092 Long DBT CORP US N 2 2025-03-15 Fixed 3.50000000 N N N N N N Banc of America Mortgage Securities N/A 05949A4R8 312586.18000000 PA USD 311594.72000000 0.009594880377 Long ABS-MBS CORP US N 2 2035-05-25 Variable 3.67000000 N N N N N N UMBS, TBA N/A 01F020620 3700000.00000000 PA USD 3820828.13000000 0.117654075943 Long ABS-MBS USGSE US N 2 2051-02-12 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180HSP4 19195.40000000 PA USD 20173.02000000 0.000621184190 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AS4N9 95725.52000000 PA USD 107339.77000000 0.003305294303 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N TELECOM ITALIA CAPITAL 549300777DJZOR5C4L39 87927VAR9 531000.00000000 PA USD 701488.17000000 0.021600799517 Long DBT CORP LU N 2 2036-07-18 Fixed 7.20000000 N N N N N N TJX COS INC V167QI9I69W364E2DY52 872540AS8 90000.00000000 PA USD 103786.92000000 0.003195892029 Long DBT CORP US N 2 2027-04-15 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXG89 927252.47000000 PA USD 1062991.79000000 0.032732515709 Long ABS-MBS USGSE US N 2 2057-09-01 Fixed 4.50000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SAV5 260000.00000000 PA USD 271014.71000000 0.008345307401 Long DBT CORP US N 2 2046-09-16 Fixed 3.88000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17319NAV1 738182.70000000 PA USD 709294.05000000 0.021841164581 Long ABS-MBS CORP US Y 2 2036-09-25 Variable 2.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXEP3 1015514.22000000 PA USD 1201863.12000000 0.037008755689 Long ABS-MBS USGSE US N 2 2056-09-01 Fixed 5.50000000 N N N N N N Madison Park Funding Ltd 549300FNRP3W5DX0O430 55819YAA8 4180000.00000000 PA USD 4181663.64000000 0.128765219144 Long ABS-CBDO CORP KY Y 2 2030-07-29 Floating 1.41000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6C74 723472.76000000 PA USD 793559.70000000 0.024435941642 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAW1 120000.00000000 PA USD 120290.63000000 0.003704087814 Long DBT UST US N 2 2023-11-15 Fixed 0.25000000 N N N N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HAZ0 1500000.00000000 PA USD 1548130.67000000 0.047671310308 Long DBT CORP IT Y 2 2022-07-14 Fixed 3.13000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAE9 1400000.00000000 PA USD 1496995.35000000 0.046096709562 Long DBT CORP ES N 2 2025-05-28 Fixed 2.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178WDM8 72182.90000000 PA USD 76393.64000000 0.002352375667 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.00000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AP3 510000.00000000 PA USD 590846.67000000 0.018193835634 Long DBT CORP CH Y 2 2031-04-01 Fixed 4.19000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JE8 690000.00000000 PA USD 692263.20000000 0.021316736669 Long DBT CORP US N 2 2022-06-16 Fixed 1.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5JV6 466086.23000000 PA USD 501643.18000000 0.015447008551 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3.00000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CN3 310000.00000000 PA USD 260400.00000000 0.008018450538 Long DBT CORP US N 2 2048-03-15 Fixed 4.20000000 N N N N N N NATIONAL SECS CLEARING 549300RYC9NELN2ICA34 637639AB1 340000.00000000 PA USD 350660.39000000 0.010797822553 Long DBT CORP US Y 2 2025-04-23 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H0AZ5 213959.53000000 PA USD 229102.87000000 0.007054723622 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 283408.70000000 0.008726953314 N/A DFE NO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 13048419.23000000 USD 114200000.00000000 NOK 2021-03-17 283408.70000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H4B94 108070.26000000 PA USD 118327.78000000 0.003643646126 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTWQ8 117462.31000000 PA USD 133214.08000000 0.004102037294 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.16000000 N N N N N N Hyatt Hotels Corp T27JQIMTYSH41TCD5186 448579AF9 920000.00000000 PA USD 1022871.31000000 0.031497092958 Long DBT CORP US N 2 2026-03-15 Fixed 4.85000000 N N N N N N FANNIEMAE STRIP B1V7KEBTPIMZEU4LTD58 3136FAJF8 3135.78000000 PA USD 639.97000000 0.000019706481 Long ABS-MBS USGSE US N 2 2032-04-25 Fixed 7.00000000 N N N N N N SUZANO AUSTRIA GMBH 254900287ZNSGVP1R341 86964WAJ1 990000.00000000 PA USD 1050835.50000000 0.032358189249 Long DBT CORP AT N 2 2031-01-15 Fixed 3.75000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -96505.17000000 -0.00297166640 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5276000.00000000 CAD 4029606.46000000 USD 2021-02-17 -96505.17000000 N N N T-Mobile USA Inc 549300V2JRLO5DIFGE82 87264AAM7 10000.00000000 PA USD 10012.50000000 0.000308313118 Long DBT CORP US N 2 2023-03-01 Fixed 6.00000000 N N N N N N Freddie Mac N/A 3133A86C6 99121.82000000 PA USD 105191.68000000 0.003239148552 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 92769XAP0 350000.00000000 PA USD 375588.50000000 0.011565429377 Long DBT CORP GB Y 2 2029-05-15 Fixed 5.50000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HJY7 1300000.00000000 PA USD 1446813.11000000 0.044551456838 Long DBT CORP US N 2 2024-09-10 Fixed 3.88000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 39975.70000000 0.001230964566 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1021395.46000000 USD 1388490.00000000 AUD 2021-03-10 39975.70000000 N N N Transocean Inc DOL4HJ22ADYSIWES4H94 893830AT6 179000.00000000 PA USD 68020.00000000 0.002094527671 Long DBT CORP KY N 2 2038-03-15 Fixed 6.80000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174468G7 40000.00000000 PA USD 47848.70000000 0.001473396444 Long DBT CORP US N 2 2030-01-23 Fixed 4.43000000 N N N N N N Sands China Ltd 549300EVO6UZDGY05787 80007RAF2 3676000.00000000 PA USD 4107930.00000000 0.126494752380 Long DBT CORP KY N 2 2025-08-08 Fixed 5.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EHBB7 1440682.12000000 PA USD 1670170.64000000 0.051429265235 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 5.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 2315.07000000 0.000071287535 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 373605.47000000 USD 3220020.00000000 NOK 2021-03-10 2315.07000000 N N N Level 3 Financing Inc. N/A 52729KAP1 649018.77000000 PA USD 644560.01000000 0.019847820887 Long LON CORP US N 2 2027-03-01 Floating 1.87000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAT8 580000.00000000 PA USD 575944.53000000 0.017734956707 Long DBT UST US N 2 2025-10-31 Fixed 0.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382EDT1 287073.92000000 PA USD 46496.96000000 0.001431772557 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 3.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BA1 60000.00000000 PA USD 82010.45000000 0.002525333091 Long DBT CORP US N 2 2045-10-23 Fixed 6.48000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CD2 560000.00000000 PA USD 627986.17000000 0.019337465602 Long DBT CORP US N 2 2050-04-15 Fixed 3.35000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFX2 1550000.00000000 PA USD 1745295.12000000 0.053742559886 Long DBT CORP US N 2 2026-04-19 Fixed 3.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBC4 620000.00000000 PA USD 707718.82000000 0.021792658806 Long DBT CORP US N 2 2025-04-15 Fixed 4.70000000 N N N N N N VICI Properties 1 LLC 549300XI4XP4JVS3XU20 92565EAB9 459545.45000000 PA USD 455970.19000000 0.014040608354 Long LON CORP US N 2 2024-12-20 Floating 1.88000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833DT4 240000.00000000 PA USD 245519.81000000 0.007560247514 Long DBT CORP US N 2 2025-05-11 Fixed 1.13000000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153AZ5 539000.00000000 PA USD 621483.17000000 0.019137219888 Long DBT CORP LR Y 2 2025-06-01 Fixed 11.50000000 N N N N N N 1011778 B.C. Unlimited Liability Company 549300RHSHNRWI5LLA86 000000000 1487236.55000000 PA USD 1475769.96000000 0.045443119931 Long LON CORP CA N 2 2026-11-19 Floating 1.87000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -163.75000000 -0.00000504232 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 8600000.00000000 CAD 6725922.57000000 USD 2021-03-17 -163.75000000 N N N HERSHEY COMPANY 21X2CX66SU2BR6QTAD08 427866BF4 130000.00000000 PA USD 131582.51000000 0.004051796651 Long DBT CORP US N 2 2025-06-01 Fixed 0.90000000 N N N N N N Small Business Administration Participation Certs N/A 83162CB51 305706.69000000 PA USD 330029.85000000 0.010162550032 Long ABS-O USGA US N 2 2039-04-01 Fixed 2.98000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BV0 2723000.00000000 PA USD 3528842.90000000 0.108663027077 Long DBT CORP US N 2 2047-06-15 Fixed 5.50000000 N N N N N N Clarios Global LP 549300474L1ZLXZY2P98 000000000 1338107.14000000 PA USD 1336019.69000000 0.041139814909 Long LON CORP US N 2 2026-04-30 Floating 3.62000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 22319000000.00000000 PA 1698980.19000000 0.052316392546 Long DBT NUSS ID N 2 2040-04-15 Fixed 7.50000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397ZR7 1296000.00000000 PA USD 1426426.20000000 0.043923686371 Long DBT CORP US N 2 2029-05-03 Fixed 5.11000000 N N N N N N CREDIT AGRICOLE LONDON 969500TJ5KRTCJQWXH05 22535WAG2 390000.00000000 PA USD 402429.64000000 0.012391943792 Long DBT CORP FR Y 2 2026-06-16 Fixed 1.91000000 N N N N N N Freddie Mac N/A 3137APUG3 645651.15000000 PA USD 690069.62000000 0.021249190153 Long ABS-MBS USGSE US N 2 2041-07-15 Fixed 4.50000000 N N N N N N FREDDIEMAC STRIP S6XOOCT0IEG5ABCC6L87 31325WSM5 351616.10000000 PA USD 81564.84000000 0.002511611502 Long ABS-MBS USGSE US N 2 2046-12-15 Floating 5.87000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 4280000.00000000 PA 1185634.50000000 0.036509030701 Long DBT NUSS MY N 2 2031-06-30 Fixed 4.23000000 N N N N N N CHEVRON CORP N/A 166764BW9 510000.00000000 PA USD 526438.55000000 0.016210527936 Long DBT CORP US N 2 2025-05-11 Fixed 1.55000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC 1262355.27000000 0.038871479624 N/A DFE CA N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 53927660.39000000 USD 70567040.00000000 CAD 2021-03-10 1262355.27000000 N N N Navient Student Loan Trust N/A 63941TAA4 13608875.59000000 PA USD 13909102.36000000 0.428300496565 Long ABS-O CORP US Y 2 2069-05-15 Fixed 1.69000000 N N N N N N Fannie Mae N/A 31394VCF5 396692.73000000 PA USD 416909.46000000 0.012837818294 Long ABS-MBS USGSE US N 2 2035-11-25 Fixed 5.50000000 N N N N N N KROGER CO 6CPEOKI6OYJ13Q6O7870 501044DH1 3000000.00000000 PA USD 3106053.09000000 0.095644136219 Long DBT CORP US N 2 2022-08-01 Fixed 2.80000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -18282.68000000 -0.00056297528 N/A DFE XX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7332120.09000000 USD 6024200.00000000 EUR 2021-02-22 -18282.68000000 N N N TWDC Enterprises 18 Corp 7260JQNI6SCF9FIV2392 25468PCW4 3367000.00000000 PA USD 3492791.12000000 0.107552891076 Long DBT CORP US N 2 2022-12-01 Fixed 2.35000000 N N N N N N Fannie Mae N/A 3136A5LM6 15862.42000000 PA USD 2879.08000000 0.000088654994 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 6.37000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 2548000.00000000 PA 651292.12000000 0.020055121544 Long DBT NUSS MY N 2 2023-03-15 Fixed 3.48000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BM3 80000.00000000 PA USD 91651.06000000 0.002822194667 Long DBT CORP US N 2 2025-04-01 Fixed 4.50000000 N N N N N N NATIONAL BANK OF CANADA BSGEFEIOM18Y80CKCV46 63307CAG6 1697000.00000000 PA USD 1746113.83000000 0.053767770276 Long DBT CORP CA Y 2 2022-10-07 Fixed 2.15000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -25349.65000000 -0.00078058722 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11188700.00000000 NOK 1280830.94000000 USD 2021-03-17 -25349.65000000 N N N Navient Student Loan Trust N/A 63935BAA1 3610237.78000000 PA USD 3657809.52000000 0.112634273097 Long ABS-O CORP US Y 2 2069-01-15 Fixed 1.31000000 N N N N N N HollyFrontier Corp 549300J3U2WK73C9ZK26 436106AA6 2994000.00000000 PA USD 3397265.90000000 0.104611400094 Long DBT CORP US N 2 2026-04-01 Fixed 5.88000000 N N N N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 01626PAH9 2912000.00000000 PA USD 3262871.07000000 0.100473004176 Long DBT CORP CA Y 2 2027-07-26 Fixed 3.55000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 42307TAH1 438000.00000000 PA USD 621694.61000000 0.019143730722 Long DBT CORP US Y 2 2039-08-01 Fixed 7.13000000 N N N N N N TECK RESOURCES LIMITED T8KI5SQ2JRWHL7XY0E11 878742AS4 20000.00000000 PA USD 24945.17000000 0.000768132149 Long DBT CORP CA N 2 2040-08-15 Fixed 6.00000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBW2 720000.00000000 PA USD 806636.87000000 0.024838624594 Long DBT CORP US N 2 2050-01-31 Fixed 4.20000000 N N N N N N VIATRIS INC 254900ZZTSW7NL773X71 91533BAD2 3090000.00000000 PA USD 3247186.60000000 0.099990035102 Long DBT CORP US Y 2 2030-06-22 Fixed 2.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBHU5 110814.15000000 PA USD 121000.00000000 0.003725931317 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3128MMUS0 1026100.80000000 PA USD 1086598.79000000 0.033459441830 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 3.00000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CG2 580000.00000000 PA USD 602205.11000000 0.018543594041 Long DBT CORP GB N 2 2026-06-04 Fixed 2.10000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 1852000.00000000 PA 390115.26000000 0.012012749295 Long DBT NUSS BR N 2 2027-01-01 Fixed 10.00000000 N N N N N N Genworth Holdings Inc PXDECZED7L8SRUP41R09 37247DAN6 683000.00000000 PA USD 683819.60000000 0.021056734407 Long DBT CORP US N 2 2021-02-15 Fixed 7.20000000 N N N N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272AN8 565000.00000000 PA USD 641663.79000000 0.019758638104 Long DBT CORP US Y 2 2027-03-27 Fixed 4.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A 3137FPJQ9 1576576.66000000 PA USD 87031.60000000 0.002679948463 Long ABS-MBS USGSE US N 2 2027-06-25 Variable 1.20000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -18394.05000000 -0.00056640468 N/A DFE PE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5549358.71000000 USD 20119200.00000000 PEN 2021-02-12 -18394.05000000 N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CQ0 260000.00000000 PA USD 264410.69000000 0.008141950996 Long DBT CORP US N 2 2023-05-01 Fixed 1.13000000 N N N N N N Phoenix Guarantor Inc N/A 71913BAE2 483668.99000000 PA USD 481995.50000000 0.014842001061 Long LON CORP US N 2 2026-03-05 Floating 3.38000000 N N N N N N Constellation Brands Inc 5493005GKEG8QCVY7037 21036PAN8 290000.00000000 PA USD 333434.92000000 0.010267401742 Long DBT CORP US N 2 2024-11-15 Fixed 4.75000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DB8 79000.00000000 PA USD 85715.00000000 0.002639406635 Long DBT CORP US N 2 2024-07-01 Fixed 6.95000000 N N N N N N TEVA PHARM FIN IV BV 549300P1YOE2RRPSGG38 88166JAA1 220000.00000000 PA USD 223366.00000000 0.006878069212 Long DBT CORP CW N 2 2021-11-10 Fixed 3.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380QAW2 897577.38000000 PA USD 940390.30000000 0.028957269997 Long ABS-MBS USGA US N 2 2070-05-20 Floating 1.28000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 2200000.00000000 PA 440731.30000000 0.013571359945 Long DBT NUSS BR N 2 2023-01-01 Fixed 10.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148LAF3 420000.00000000 PA USD 564268.77000000 0.017375427121 Long DBT CORP US N 2 2045-05-22 Fixed 5.15000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CY4 290000.00000000 PA USD 358736.79000000 0.011046517691 Long DBT CORP US N 2 2038-03-25 Fixed 4.78000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CP2 300000.00000000 PA USD 306657.04000000 0.009442835282 Long DBT CORP US N 2 2030-05-01 Fixed 2.10000000 N N N N N N Freddie Mac N/A 3132DMQB4 394774.14000000 PA USD 419002.43000000 0.012902266744 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Fannie Mae N/A 3136BAS21 404690.06000000 PA USD 405817.61000000 0.012496268945 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.00000000 N Y N N N N WILLIAMS COS INC D71FAKCBLFS2O0RBPG08 969457BM1 2135000.00000000 PA USD 3152150.59000000 0.097063608276 Long DBT CORP US N 2 2032-03-15 Fixed 8.75000000 N N N N N N VEREIT OPERATING PARTNER 5493005TQOUJE1LCS698 03879QAF1 3113000.00000000 PA USD 3438036.61000000 0.105866845261 Long DBT US N 2 2024-02-06 Fixed 4.60000000 N N N N N N Fannie Mae N/A 31393DKH3 12725.08000000 PA USD 2310.98000000 0.000071161593 Long ABS-MBS USGSE US N 2 2033-07-25 Fixed 6.00000000 N N N N N N Progress Energy Inc 549300FBMTW0JYWMNB26 743263AE5 2142000.00000000 PA USD 3163829.08000000 0.097423221926 Long DBT CORP US N 2 2031-03-01 Fixed 7.75000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -578.00000000 NC USD -628938.80000000 -0.01936679976 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short Eurodollar Time Deposit EDZ1 Comdty 2021-12-13 -143582061.20000000 USD -628938.80000000 N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AH0 3563000.00000000 PA USD 3698276.92000000 0.113880378494 Long DBT CORP US N 2 2025-06-25 Fixed 2.90000000 N N N N N N DAE Funding LLC 635400SZTPQL3Y1P2C76 23371DAE4 100000.00000000 PA USD 102750.00000000 0.003163962337 Long DBT CORP US Y 2 2023-11-15 Fixed 5.75000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMF6 3244000.00000000 PA USD 3234393.61000000 0.099596102853 Long DBT CORP US Y 2 2033-12-01 Fixed 2.55000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGU8 2430000.00000000 PA USD 3052388.54000000 0.093991653347 Long DBT CORP US N 2 2046-12-07 Fixed 4.75000000 N N N N N N Credit Suisse Mortgage Trust N/A 12651QAS8 1500000.00000000 PA USD 1064892.90000000 0.032791056248 Long ABS-MBS CORP US Y 2 2032-07-15 Floating 5.48000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CJ2 460000.00000000 PA USD 405154.20000000 0.012475840680 Long DBT CORP US N 2 2046-04-15 Fixed 4.40000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AF8 2414000.00000000 PA USD 3244288.83000000 0.099900804590 Long DBT CORP CH N 2 2045-05-15 Fixed 4.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGJX6 197397.88000000 PA USD 203283.32000000 0.006259666845 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ENN88 2202518.35000000 PA USD 2583599.88000000 0.079556328143 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJRQ3 3628538.48000000 PA USD 3868304.97000000 0.119116021770 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 2.50000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 53944YAE3 2984000.00000000 PA USD 3559518.50000000 0.109607615331 Long DBT CORP GB N 2 2048-01-09 Fixed 4.34000000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZZ4 560000.00000000 PA USD 643343.00000000 0.019810345716 Long DBT CORP US N 2 2026-01-15 Fixed 7.38000000 N N N N N N Fannie Mae N/A 3136AYSU8 368231.51000000 PA USD 68125.11000000 0.002097764304 Long ABS-MBS USGSE US N 2 2047-11-25 Floating 6.07000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2N2 130000.00000000 PA USD 136054.07000000 0.004189488597 Long DBT CORP US N 2 2026-04-30 Fixed 2.19000000 N N N N N N BAC Capital Trust XIV 549300QO5OB3VGJT6S64 05518VAA3 500000.00000000 PA USD 492750.00000000 0.015173162452 Long DBT CORP US N 2 2021-02-16 Variable 4.00000000 N N N N N N Aramark Services, Inc. 42YMHYH0XMHJEXDUB065 03852JAL5 332601.25000000 PA USD 329275.24000000 0.010139313461 Long LON CORP US N 2 2025-03-11 Floating 1.87000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -5876.60000000 -0.00018095709 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8097000.00000000 SEK 963546.36000000 USD 2021-03-17 -5876.60000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UCC4 592173.21000000 PA USD 644478.22000000 0.019845302342 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXEW8 1140634.04000000 PA USD 1308042.45000000 0.040278316771 Long ABS-MBS USGSE US N 2 2056-04-01 Fixed 4.50000000 N N N N N N JP Morgan Mortgage Trust N/A 466247RN5 66286.08000000 PA USD 68348.78000000 0.002104651734 Long ABS-MBS CORP US N 2 2035-07-25 Variable 2.57000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAU5 2920000.00000000 PA USD 2876314.06000000 0.088569823435 Long DBT UST US N 2 2027-10-31 Fixed 0.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378KJP5 14554456.74000000 PA USD 141946.71000000 0.004370939605 Long ABS-MBS USGA US N 2 2048-10-16 Variable 0.15000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAU5 510000.00000000 PA USD 517255.55000000 0.015927757462 Long DBT CORP DK Y 2 2022-09-20 Fixed 3.00000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 413875AT2 260000.00000000 PA USD 352336.55000000 0.010849436248 Long DBT CORP US N 2 2045-04-27 Fixed 5.05000000 N N N N N N GLAXOSMITHKLINE CAPITAL 549300U0LV41VX7LEP38 377373AJ4 1933000.00000000 PA USD 1994712.01000000 0.061422809486 Long DBT CORP GB N 2 2022-06-01 Fixed 2.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418RDZ1 4043.88000000 PA USD 4549.81000000 0.000140101484 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 4.50000000 N N N N N N Vodafone Group PLC 213800TB53ELEUKM7Q61 92857WBK5 620000.00000000 PA USD 738249.98000000 0.022732799345 Long DBT CORP GB N 2 2028-05-30 Fixed 4.38000000 N N N N N N EyeCare Partners, LLC 254900ZAACWK09RJ8W93 30233PAC4 60540.54000000 PA USD 59428.41000000 0.001829968380 Long LON CORP US N 2 2027-02-18 Floating 3.87000000 N N N N N N KINDER MORGAN INC/DELAWA 549300WR7IX8XE0TBO16 28368EAE6 2240000.00000000 PA USD 3308831.86000000 0.101888266547 Long DBT CORP US N 2 2032-01-15 Fixed 7.75000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 219320000.00000000 OU Notional Amount 1598931.92000000 0.049235624096 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-07-18 1536904.19000000 MXN 0.00000000 MXN 219320000.00000000 MXN 1519575.61000000 N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAX4 230000.00000000 PA USD 274731.89000000 0.008459769858 Long DBT CORP US N 2 2029-12-05 Fixed 4.45000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAD7 200000.00000000 PA USD 208411.80000000 0.006417587211 Long DBT CORP IE N 2 2023-01-23 Fixed 3.30000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RCG5 251000.00000000 PA USD 297017.47000000 0.009146005730 Long DBT CORP US N 2 2044-06-15 Fixed 4.80000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCB6 850000.00000000 PA USD 911625.00000000 0.028071505268 Long DBT CORP MX N 2 2026-08-04 Fixed 6.88000000 N N N N N N Standard Chartered PLC U4LOSYZ7YG4W3S5F2G91 853254AB6 250000.00000000 PA USD 333750.00000000 0.010277103944 Long DBT CORP GB Y 2 2037-07-30 Fixed 7.01000000 N N N N N N OneMain Financial Issuance Trust N/A 68269BAA6 2282000.00000000 PA USD 2450753.22000000 0.075465604747 Long ABS-O CORP US Y 2 2036-10-14 Fixed 3.14000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -117064.05000000 -0.00360473231 N/A DFE JP N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7699889.40000000 USD 793627600.00000000 JPY 2021-04-19 -117064.05000000 N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBX6 690000.00000000 PA USD 763400.05000000 0.023507240944 Long DBT CORP US N 2 2029-11-21 Fixed 3.20000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCE1 50000.00000000 PA USD 52656.00000000 0.001621426772 Long DBT CORP US Y 2 2030-08-15 Fixed 4.50000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CD9 220000.00000000 PA USD 228095.79000000 0.007023712788 Long DBT CORP US N 2 2022-11-02 Fixed 2.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GGQ1 590000.00000000 PA USD 604325.48000000 0.018608886215 Long DBT CORP US N 2 2021-07-27 Fixed 5.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828SA9 2150088.60000000 PA USD 2193902.25000000 0.067556438853 Long DBT UST US N 2 2022-01-15 Fixed 0.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TAL9 2012908.32000000 PA USD 2178086.91000000 0.067069439922 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.00000000 N N N N N N Eagle Re 2018-1 Ltd. 549300BLEDGL5R7YKU33 269826AB9 2609000.00000000 PA USD 2626560.92000000 0.080879219749 Long ABS-MBS CORP US Y 2 2028-11-25 Floating 3.13000000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311RAA4 288000.00000000 PA USD 319680.00000000 0.009843848955 Long DBT CORP US Y 2 2037-09-15 Fixed 6.75000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -6350.40000000 -0.00019554672 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 28856900.00000000 SEK 3448576.28000000 USD 2021-03-17 -6350.40000000 N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AD6 370000.00000000 PA USD 388037.50000000 0.011948769204 Long DBT CORP US N 2 2044-04-01 Fixed 5.45000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBL5 80000.00000000 PA USD 82161.52000000 0.002529984962 Long DBT CORP US N 2 2023-04-15 Fixed 1.57000000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 036752AF0 370000.00000000 PA USD 386050.86000000 0.011887594954 Long DBT CORP US N 2 2022-12-01 Fixed 2.95000000 N N N N N N Freddie Mac N/A 31335ACW6 868427.89000000 PA USD 1019704.29000000 0.031399571478 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.50000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582BF8 550000.00000000 PA USD 686906.06000000 0.021151775217 Long DBT CORP NL N 2 2045-05-11 Fixed 4.38000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BU2 70000.00000000 PA USD 81236.87000000 0.002501512380 Long DBT CORP US N 2 2027-02-15 Fixed 4.50000000 N N N N N N ARES CAPITAL CORP WEQ82666OJYSI5GUAB47 04010LAY9 3501000.00000000 PA USD 3702943.95000000 0.114024089512 Long DBT CORP US N 2 2025-07-15 Fixed 3.25000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448EV6 140000.00000000 PA USD 176507.12000000 0.005435152117 Long DBT CORP US N 2 2060-03-19 Fixed 3.88000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 12154000.00000000 PA 3147104.66000000 0.096908229858 Long DBT NUSS MY N 2 2023-08-17 Fixed 3.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JXFU7 220501.20000000 PA USD 232190.99000000 0.007149815548 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668AD28 162230.96000000 PA USD 144626.11000000 0.004453445889 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.50000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDL5 1420000.00000000 PA USD 1537136.51000000 0.047332769109 Long ABS-O CORP US Y 2 2025-09-22 Fixed 3.35000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKH4 120000.00000000 PA USD 118481.44000000 0.003648377750 Long DBT CORP US N 2 2032-02-01 Fixed 2.25000000 N N N N N N BX Commercial Mortgage Trust 2019-XL N/A 056054AJ8 2629554.94000000 PA USD 2634294.71000000 0.081117364959 Long ABS-MBS CORP US Y 2 2036-10-15 Floating 2.13000000 N N N N N N JAPAN (20 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 72200000.00000000 PA 672991.26000000 0.020723299274 Long DBT NUSS JP N 2 2039-09-20 Fixed 0.30000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JJ7 110000.00000000 PA USD 105331.10000000 0.003243441687 Long DBT CORP US N 2 2050-08-01 Fixed 3.50000000 N N N N N N Cleveland-Cliffs Inc 549300TM2WLI2BJMDD86 18683KAC5 3000.00000000 PA USD 2850.00000000 0.000087759539 Long DBT CORP US N 2 2040-10-01 Fixed 6.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6SF9 4400973.72000000 PA USD 4781125.30000000 0.147224334621 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3132ADME5 69860.70000000 PA USD 76358.30000000 0.002351287449 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.00000000 N N N N N N HARMAN INTL IND 1VWDHRIRERCQ5D5M5681 413086AH2 1342000.00000000 PA USD 1495811.40000000 0.046060252402 Long DBT CORP US N 2 2025-05-15 Fixed 4.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380AK63 248287.39000000 PA USD 64776.54000000 0.001994652388 Long ABS-MBS USGA US N 2 2046-10-16 Floating 5.97000000 N N N N N N Fanniemae-Aces N/A 3136B6XU2 999608.03000000 PA USD 1059537.33000000 0.032626143141 Long ABS-MBS USGSE US N 2 2031-10-25 Variable 2.72000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92922FLD8 271075.55000000 PA USD 284162.54000000 0.008750166174 Long ABS-MBS CORP US N 2 2034-03-25 Variable 3.68000000 N N N N N N FannieMae Grantor Trust N/A 3136AV6R5 199380.91000000 PA USD 220514.57000000 0.006790265639 Long ABS-MBS USGSE US N 2 2027-06-25 Fixed 2.90000000 N N N N N N MPH Acquisition Holdings LLC 5493002WXOPRPTXWTU06 55328HAE1 730490.73000000 PA USD 729168.54000000 0.022453156190 Long LON CORP US N 2 2023-06-07 Floating 3.75000000 N N N N N N Freddie Mac N/A 3137FW3E8 296934.19000000 PA USD 47099.29000000 0.001450319997 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AF6 550000.00000000 PA USD 599857.50000000 0.018471304507 Long DBT CORP US N 2 2023-11-01 Fixed 5.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YTU1 30337.42000000 PA USD 34137.94000000 0.001051203469 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QDDJ0 4287345.97000000 PA USD 4570091.03000000 0.140725994161 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 2.50000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 10538.11000000 0.000324498132 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2990771.00000000 EUR 3646138.65000000 USD 2021-04-19 10538.11000000 N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAJ6 180000.00000000 PA USD 178428.41000000 0.005494314056 Long DBT CORP US N 2 2027-08-15 Fixed 0.80000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBA0 180000.00000000 PA USD 185668.57000000 0.005717259005 Long DBT CORP US N 2 2022-02-14 Fixed 3.49000000 N N N N N N PMT Credit Risk Transfer Trust N/A 69349MAA4 1333336.19000000 PA USD 1333544.72000000 0.041063603601 Long ABS-MBS CORP US Y 2 2022-10-27 Floating 2.83000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAV3 240000.00000000 PA USD 251400.00000000 0.007741315151 Long DBT CORP US N 2 2030-02-15 Fixed 3.38000000 N N N N N N SUNOCO LOGISTICS PARTNER 5493006LL0CKP8WQW329 86765BAP4 50000.00000000 PA USD 52838.03000000 0.001627031989 Long DBT CORP US N 2 2044-04-01 Fixed 5.30000000 N N N N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HBC0 2323000.00000000 PA USD 2426342.41000000 0.074713927048 Long DBT CORP IT Y 2 2023-01-12 Fixed 3.38000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -2529400.26000000 -0.07788736895 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 75097000.00000000 AUD 54875255.33000000 USD 2021-03-10 -2529400.26000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -198.00000000 NC USD 614470.34000000 0.018921275071 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US 10 Year Ultra Bond UXYH1 Comdty 2021-03-22 -31072439.09000000 USD 614470.34000000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABA2 1470000.00000000 PA USD 1611407.39000000 0.049619779008 Long DBT CORP US Y 2 2025-04-15 Fixed 3.50000000 N N N N N N Textainer Marine Containers Limited 549300X48KLHDDGPK024 88315LAE8 6020205.77000000 PA USD 6176456.00000000 0.190190502833 Long ABS-O CORP BM Y 2 2045-08-21 Fixed 2.73000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAS2 370000.00000000 PA USD 341831.90000000 0.010525968443 Long DBT CORP US N 2 2025-05-15 Fixed 6.75000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAD8 2162000.00000000 PA USD 2286464.70000000 0.070406697789 Long DBT CORP US N 2 2026-06-01 Fixed 3.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7879000.00000000 OU Notional Amount USD 1074811.58000000 0.033096480384 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2047-02-15 94555.41000000 USD 0.00000000 USD 7879000.00000000 USD 980256.17000000 N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903AW3 3157000.00000000 PA USD 3394814.57000000 0.104535916729 Long DBT CORP US N 2 2025-03-15 Fixed 3.75000000 N N N N N N BONCER 549300KPBYGYF7HCHO27 000000000 14635050.00000000 PA 133727.76000000 0.004117854950 Long DBT NUSS AR N 2 2021-08-05 Fixed 1.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KHPF2 97874.20000000 PA USD 104988.15000000 0.003232881289 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBGT9 134321.59000000 PA USD 143932.94000000 0.004432101229 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.00000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 30564400000.00000000 PA 10459769.43000000 0.322085805746 Long DBT NUSS CO N 2 2024-07-24 Fixed 10.00000000 N N N N N N JP Morgan Mortgage Trust 5493002WZI1ZSAEIE710 46639GAU0 1487709.79000000 PA USD 1507374.93000000 0.046416326109 Long ABS-MBS CORP US Y 2 2043-03-25 Variable 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QADD9 1625523.17000000 PA USD 1795426.04000000 0.055286232323 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.50000000 N N N N N N Fannie Mae N/A 31396QYQ6 4066407.33000000 PA USD 950966.77000000 0.029282949342 Long ABS-MBS USGSE US N 2 2037-01-25 Floating 6.62000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AH6 250000.00000000 PA USD 267738.95000000 0.008244437510 Long DBT CORP US N 2 2025-03-27 Fixed 2.40000000 N N N N N N Sotera Health Holdings, LLC 549300OVT7MBXFLOFU20 000000000 1220000.00000000 PA USD 1216437.60000000 0.037457545040 Long LON CORP US N 2 2026-12-11 Floating 3.25000000 N N N N N N Murphy Oil Corp QBKYQD0ODE7DC7PDIN91 626717AG7 91000.00000000 PA USD 79625.00000000 0.002451878356 Long DBT CORP US N 2 2042-12-01 Fixed 6.38000000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153AW2 170000.00000000 PA USD 148325.00000000 0.004567345146 Long DBT CORP LR N 2 2028-03-15 Fixed 3.70000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDY7 3126000.00000000 PA USD 3668439.56000000 0.112961602014 Long DBT CORP US N 2 2027-03-16 Fixed 4.13000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -22119.65000000 -0.00068112641 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 2270685.02000000 USD 2000830.00000000 CHF 2021-03-10 -22119.65000000 N N N Residential Asset Mortgage Products, INC. N/A 76112BZ52 5000000.00000000 PA USD 4905771.00000000 0.151062527326 Long ABS-O CORP US N 2 2036-03-25 Floating 0.99000000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153AG7 100000.00000000 PA USD 108000.00000000 0.003325624647 Long DBT CORP LR N 2 2027-10-15 Fixed 7.50000000 N N N N N N EyeCare Partners, LLC 254900ZAACWK09RJ8W93 30233PAB6 257513.51000000 PA USD 252782.99000000 0.007783901314 Long LON CORP US N 2 2027-02-18 Floating 3.87000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617MKP78 199660.61000000 PA USD 213263.32000000 0.006566979197 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N Banc of America Funding Corporation N/A 06051GDM8 1349334.67000000 PA USD 1402092.31000000 0.043174377257 Long ABS-MBS CORP US N 2 2035-05-25 Variable 3.27000000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAH6 1244000.00000000 PA USD 1782714.20000000 0.054894798911 Long DBT CORP KY N 2 2036-11-21 Fixed 6.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4QB5 1658597.78000000 PA USD 1808521.78000000 0.055689487098 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.50000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBE4 2694000.00000000 PA USD 3211254.33000000 0.098883579151 Long DBT CORP US N 2 2035-05-15 Fixed 3.90000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -1064.00000000 NC USD -434999.57000000 -0.01339486381 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short Eurodollar Time Deposit EDH1 Comdty 2021-03-15 -265139400.43000000 USD -434999.57000000 N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HV5 1530000.00000000 PA USD 555390.00000000 0.017102024748 Long DBT NUSS AR N 2 2041-07-09 Variable 0.13000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 81.00000000 NC USD -194994.45000000 -0.00600442915 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US 10 Year Ultra Bond UXYH1 Comdty 2021-03-22 12655072.58000000 USD -194994.45000000 N N N Navient Student Loan Trust N/A 63942BAA2 2984000.00000000 PA USD 2984187.69000000 0.091891556794 Long ABS-O CORP US Y 2 2069-05-15 Fixed 0.84000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFU3 900000.00000000 PA USD 866727.00000000 0.026688969200 Long DBT CORP US N 2 2050-11-20 Fixed 2.88000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAX4 10000.00000000 PA USD 10872.01000000 0.000334779855 Long DBT CORP US N 2 2039-10-01 Fixed 4.63000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 48825000.00000000 OU Notional Amount USD -9474.98000000 -0.00029176136 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-12-18 0.00000000 USD 0.00000000 USD 48825000.00000000 USD -9474.98000000 N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 3243000.00000000 PA 2666127.23000000 0.082097578043 Long DBT NUSS SG N 2 2024-09-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3132M7QV3 18757.21000000 PA USD 20639.98000000 0.000635563205 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SR0 9605000.00000000 PA USD 8788575.00000000 0.270625015129 Long DBT UST US N 2 2040-05-15 Fixed 1.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RW0 7578691.50000000 PA USD 10047785.76000000 0.309399666420 Long DBT UST US N 2 2047-02-15 Fixed 0.88000000 N N N N N N Irwin Home Equity N/A 464126CZ2 805386.88000000 PA USD 836839.33000000 0.025768643533 Long ABS-MBS CORP US Y 2 2035-09-25 Variable 6.27000000 N N N N N N Four Seasons Hotels Limited 5493009FUVX8LHYY2202 000000000 407581.59000000 PA USD 405849.37000000 0.012497246925 Long LON CORP CA N 2 2023-11-30 Floating 2.12000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDU5 890000.00000000 PA USD 1179088.71000000 0.036307467363 Long DBT CORP US N 2 2037-03-16 Fixed 5.25000000 N N N N N N Republic of Kenya 549300VVURQQYU45PR87 000000000 420000.00000000 PA USD 463871.52000000 0.014283912593 Long DBT NUSS KE Y 2 2024-06-24 Fixed 6.88000000 N N N N N N Credit Suisse Mortgage Trust N/A 12653VAL0 2250000.00000000 PA USD 2249996.85000000 0.069283749819 Long ABS-MBS CORP US Y 2 2036-05-15 Floating 2.78000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416J4Q1 68103.12000000 PA USD 81978.93000000 0.002524362501 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6.00000000 N N N N N N DP World PLC 549300M3U2DNF4QVSS04 23330JAB7 980000.00000000 PA USD 1223824.00000000 0.037684993132 Long DBT CORP AE Y 2 2048-09-25 Fixed 5.63000000 N N N N N N Social Professional Loan Program LLC N/A 83390UAF4 2386285.33000000 PA USD 2442607.87000000 0.075214786444 Long ABS-O CORP US Y 2 2046-02-15 Fixed 1.95000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 48045.99000000 0.001479471560 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 6370000.00000000 EUR 7791459.13000000 USD 2021-04-19 48045.99000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179Q6N6 328118.54000000 PA USD 350165.39000000 0.010782580107 Long ABS-MBS USGA US N 2 2045-03-20 Fixed 3.00000000 N N N N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AB7 1040000.00000000 PA USD 1113779.61000000 0.034296415949 Long DBT CORP JP Y 2 2025-09-17 Fixed 3.52000000 N N N N N N Bunge Ltd Finance Corp 549300QHC068L40NNM71 120568BA7 1050000.00000000 PA USD 1160944.74000000 0.035748763346 Long DBT CORP US N 2 2024-03-15 Fixed 4.35000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -49.00000000 NC USD -11484.38000000 -0.00035363645 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 49.00000000 NC N/A -11484.38000000 0.00000000 DIR US Short 10 Year US Treasury Note TYH1 Comdty 2021-03-22 49.00000000 USD 1000.00000000 137.50000000 USD 2021-02-19 XXXX 6040.23000000 N N N BERKSHIRE HATHAWAY FIN 549300RLHFT5RU20WM87 084664CR0 750000.00000000 PA USD 954872.29000000 0.029403211320 Long DBT CORP US N 2 2049-01-15 Fixed 4.25000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CM5 750000.00000000 PA USD 693750.00000000 0.021362519435 Long DBT CORP US N 2 2027-02-15 Fixed 3.00000000 N N N N N N Fannie Mae N/A 3136ATNF7 647316.39000000 PA USD 131516.76000000 0.004049772023 Long ABS-MBS USGSE US N 2 2046-09-25 Floating 5.97000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC -644984.23000000 -0.01986088381 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 30162870.00000000 EUR 35988225.08000000 USD 2021-03-10 -644984.23000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828XD7 1685000.00000000 PA USD 1724558.00000000 0.053104005466 Long DBT UST US N 2 2022-05-31 Fixed 1.88000000 N N N N N N MACY'S RETAIL HLDGS LLC N/A 55616XAM9 345000.00000000 PA USD 282037.50000000 0.008684730198 Long DBT CORP US N 2 2034-12-15 Fixed 4.50000000 N N N N N N ABN AMRO Bank NV BFXS5XCH7N0Y05NIXW11 00080QAF2 400000.00000000 PA USD 458925.60000000 0.014131613764 Long DBT CORP NL Y 2 2025-07-28 Fixed 4.75000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69359GAA4 9226323.79000000 PA USD 9252664.02000000 0.284915625160 Long ABS-O CORP US Y 2 2025-02-25 Variable 2.98000000 N N N N N N Freddie Mac N/A 3128M7AZ9 16891.52000000 PA USD 20146.15000000 0.000620356786 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABJ3 3209000.00000000 PA USD 3286914.52000000 0.101213369824 Long DBT CORP US Y 2 2031-02-15 Fixed 2.55000000 N N N N N N Freddie Mac N/A 3132WNHM7 90274.62000000 PA USD 99640.96000000 0.003068226226 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180UDS5 158609.85000000 PA USD 167467.88000000 0.005156808419 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.00000000 N N N N N N SOUTHWEST AIRLINES CO UDTZ87G0STFETI6HGH41 844741BH0 2104000.00000000 PA USD 2279940.50000000 0.070205799268 Long DBT CORP US N 2 2023-05-04 Fixed 4.75000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGT1 160000.00000000 PA USD 191105.66000000 0.005884682343 Long DBT CORP US N 2 2046-06-14 Fixed 4.40000000 N N N N N N Fanniemae-Aces N/A 3136B35Z9 390000.00000000 PA USD 457466.33000000 0.014086678725 Long ABS-MBS USGSE US N 2 2031-02-25 Fixed 3.61000000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAQ7 80000.00000000 PA USD 99568.80000000 0.003066004216 Long DBT CORP US N 2 2050-03-26 Fixed 3.85000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -87432.27000000 -0.00269228622 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 56000000.00000000 SEK 6617234.35000000 USD 2021-03-17 -87432.27000000 N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KAZ9 1550000.00000000 PA USD 1682868.79000000 0.051820277093 Long DBT CORP US N 2 2026-10-05 Fixed 3.24000000 N N N N N N Exelon Corp 3SOUA6IRML7435B56G12 30161NAQ4 2200000.00000000 PA USD 2755849.34000000 0.084860374899 Long DBT CORP US N 2 2035-06-15 Fixed 4.95000000 N N N N N N CF Industries Inc 5FVKT86LAD2F40NPC183 12527GAC7 1465000.00000000 PA USD 1536418.75000000 0.047310667254 Long DBT CORP US N 2 2023-06-01 Fixed 3.45000000 N N N N N N Fannie Mae N/A 31393BN35 21346.34000000 PA USD 3798.27000000 0.000116959447 Long ABS-MBS USGSE US N 2 2033-05-25 Fixed 6.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 44866000.00000000 OU Notional Amount USD -116605.39000000 -0.00359060887 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-11-27 0.00000000 USD -19191.28000000 USD 44866000.00000000 USD -97414.11000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AUP84 54928.86000000 PA USD 61967.26000000 0.001908146733 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.50000000 N N N N N N DEUTSCHE TELEKOM INT FIN 529900ERDFHS6C1M4U58 25156PAV5 703000.00000000 PA USD 737259.51000000 0.022702299980 Long DBT CORP NL Y 2 2023-09-19 Fixed 2.49000000 N N N N N N Fanniemae-Aces N/A 3136B7GA3 435202.09000000 PA USD 461499.79000000 0.014210880336 Long ABS-MBS USGSE US N 2 2027-02-25 Fixed 2.23000000 N N N N N N Freddie Mac N/A 3133KHTP1 195131.22000000 PA USD 209921.69000000 0.006464080983 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2G7 4666000.00000000 PA USD 5013216.37000000 0.154371073351 Long DBT CORP US N 2 2030-10-30 Fixed 2.88000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -7473.08000000 -0.00023011721 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1181722.31000000 USD 6438614.00000000 BRL 2021-04-19 -7473.08000000 N N N Freddie Mac N/A 3133A2BF6 241052.27000000 PA USD 263424.89000000 0.008111595434 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LCX9 1331726.22000000 PA USD 1328662.58000000 0.040913268739 Long ABS-MBS USGA US N 2 2068-05-20 Floating 0.45000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828K74 4358000.00000000 PA USD 4679572.72000000 0.144097244223 Long DBT UST US N 2 2025-08-15 Fixed 2.00000000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 23636AAT8 490000.00000000 PA USD 551746.16000000 0.016989820636 Long DBT CORP DK Y 2 2024-01-12 Fixed 5.38000000 N N N N N N Morgan Stanley Capital I Trust N/A 61751XAG5 1358196.24000000 PA USD 1067881.79000000 0.032883092603 Long ABS-MBS CORP US N 2 2049-11-12 Variable 5.57000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 160544.11000000 0.004943606010 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 13467057.71000000 USD 9945100.00000000 GBP 2021-02-22 160544.11000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 192.00000000 NC 42825.68000000 0.001318723490 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Long-Term Euro-BTP (FBTP) IKH1 Comdty 2021-03-08 28956710.40000000 EUR 42825.68000000 N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AT7 300000.00000000 PA USD 362691.35000000 0.011168289749 Long DBT CORP US N 2 2050-06-01 Fixed 4.50000000 N N N N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC -6415.00000000 -0.00019753594 N/A DFE US N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 716140.00000000 GBP 974989.52000000 USD 2021-03-10 -6415.00000000 N N N Caterpillar Inc WRJR7GS4GTRECRRTVX92 149123CE9 1000000.00000000 PA USD 1427852.84000000 0.043967616641 Long DBT CORP US N 2 2064-05-15 Fixed 4.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RX8 1485000.00000000 PA USD 1867735.55000000 0.057512846107 Long DBT UST US N 2 2047-05-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178NF95 311408.83000000 PA USD 329037.27000000 0.010131985694 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140K44S6 129411.10000000 PA USD 137556.62000000 0.004235756350 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.00000000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZX9 5919000.00000000 PA USD 6863600.90000000 0.211349632608 Long DBT CORP US Y 2 2025-05-01 Fixed 7.00000000 N N N N N N Gilead Sciences Inc 549300WTZWR07K8MNV44 375558BF9 170000.00000000 PA USD 191630.94000000 0.005900857196 Long DBT CORP US N 2 2026-03-01 Fixed 3.65000000 N N N N N N BCAP LLC Trust N/A 05533DBJ4 4361122.06000000 PA USD 4001241.83000000 0.123209522679 Long ABS-MBS CORP US Y 2 2035-08-26 Variable 2.65000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CN8 110000.00000000 PA USD 120447.28000000 0.003708911509 Long DBT CORP US N 2 2025-03-25 Fixed 2.95000000 N N N N N N Freddie Mac N/A 3128MJXS4 1295304.39000000 PA USD 1409052.85000000 0.043388711918 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9127963H0 600000.00000000 PA USD 599841.34000000 0.018470806895 Long STIV UST US N 2 2021-06-17 None 0.00000000 N N N N N N COMM Mortgage Trust N/A 12635WAA5 975000.00000000 PA USD 1076567.31000000 0.033150544264 Long ABS-MBS CORP US Y 2 2036-02-10 Fixed 3.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M0CZ1 173219.42000000 PA USD 185400.14000000 0.005708993288 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 3.00000000 N N N N N N Humana Inc 529900YLDW34GJAO4J06 444859BB7 150000.00000000 PA USD 188974.11000000 0.005819045906 Long DBT CORP US N 2 2042-12-01 Fixed 4.63000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AJ2 230000.00000000 PA USD 253059.43000000 0.007792413681 Long DBT CORP US N 2 2027-03-27 Fixed 2.75000000 N N N N N N BHARTI AIRTEL INTERNATIO 724500ULW6PWKDAI7I46 08861JAA7 2880000.00000000 PA USD 3073276.80000000 0.094634861794 Long DBT CORP NL Y 2 2023-03-11 Fixed 5.13000000 N N N N N N PSEG Power LLC N/A 69362BAJ1 896000.00000000 PA USD 1373706.49000000 0.042300297788 Long DBT CORP US N 2 2031-04-15 Fixed 8.63000000 N N N N N N Jefferies Group LLC NY9Q8VBNB6D1L6YV0J84 472319AM4 2635000.00000000 PA USD 3553800.28000000 0.109431535208 Long DBT CORP US N 2 2043-01-20 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5NT6 325349.55000000 PA USD 349544.94000000 0.010763474701 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 32755000.00000000 OU Notional Amount USD 6598.49000000 0.000203186120 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2022-06-15 0.00000000 USD -119.23000000 USD 32755000.00000000 USD 6717.72000000 N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 000000000 1.00000000 NC -25509.21000000 -0.00078550053 N/A DFE SE N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 1225161.11000000 USD 10020790.00000000 SEK 2021-03-10 -25509.21000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138E8NA6 22956.57000000 PA USD 25399.16000000 0.000782111782 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 4.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -17.00000000 NC USD -8500.00000000 -0.00026173897 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 17.00000000 NC N/A -8500.00000000 0.00000000 DIR US Short US Treasury Long Bond USH1 Comdty 2021-03-22 17.00000000 USD 1000.00000000 171.00000000 USD 2021-02-19 XXXX 5283.09000000 N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280AU3 670000.00000000 PA USD 755185.58000000 0.023254294241 Long DBT CORP GB N 2 2025-08-18 Fixed 4.25000000 N N N N N N GSAA Home Equity Trust N/A 40051CAS6 927034.23000000 PA USD 958567.95000000 0.029517011116 Long ABS-MBS CORP US Y 2 2034-08-25 Variable 5.85000000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 595620AM7 2808000.00000000 PA USD 3100175.07000000 0.095463135402 Long DBT CORP US N 2 2024-10-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030633 1000000.00000000 PA USD 1048203.13000000 0.032277131152 Long ABS-MBS USGA US N 2 2051-03-18 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q95N9 816726.90000000 PA USD 903549.91000000 0.027822850469 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128286L9 2715000.00000000 PA USD 2963061.92000000 0.091241034744 Long DBT UST US N 2 2026-03-31 Fixed 2.25000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCR0 3651000.00000000 PA USD 4014098.70000000 0.123605421973 Long DBT CORP US N 2 2024-04-15 Fixed 3.70000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CH3 270000.00000000 PA USD 289934.62000000 0.008927904799 Long DBT CORP NL N 2 2050-04-06 Fixed 3.25000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAW0 180000.00000000 PA USD 201320.57000000 0.006199228236 Long DBT CORP US N 2 2023-10-02 Fixed 5.40000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135AJ5 3158000.00000000 PA USD 3271316.90000000 0.100733075106 Long DBT CORP US N 2 2022-11-29 Fixed 2.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAH3 590000.00000000 PA USD 656545.65000000 0.020216892552 Long DBT CORP US N 2 2026-11-16 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617K1ZG1 91066.93000000 PA USD 99577.31000000 0.003066266263 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TZ65 367808.11000000 PA USD 399607.95000000 0.012305055997 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.50000000 N N N N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411BA2 280000.00000000 PA USD 266000.00000000 0.008190890334 Long DBT CORP US N 2 2043-04-15 Fixed 4.75000000 N N N N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 1240.00000000 NC -761446.86000000 -0.02344709671 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long 10 Year Commonwealth Treasury Bond XMH1 Comdty 2021-03-15 181872540.30000000 AUD -761446.86000000 N N N CF Industries Inc 5FVKT86LAD2F40NPC183 12527GAF0 65000.00000000 PA USD 79950.00000000 0.002461886023 Long DBT CORP US N 2 2034-03-15 Fixed 5.15000000 N N N N N N Residential Mortgage Loan Trust N/A 76119NAB3 2055943.86000000 PA USD 2083073.68000000 0.064143714557 Long ABS-MBS CORP US Y 2 2059-09-25 Variable 2.94000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VEN0 291000.00000000 PA USD 320217.88000000 0.009860411798 Long DBT CORP US N 2 2025-02-15 Fixed 3.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H020634 1900000.00000000 PA USD 1969914.05000000 0.060659210348 Long ABS-MBS USGA US N 2 2051-03-18 Fixed 2.00000000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EBB0 600000.00000000 PA USD 648205.67000000 0.019960081042 Long DBT CORP GB N 2 2024-05-16 Fixed 4.34000000 N N N N N N Credit Suisse Mortgage Trust N/A 12596XAA0 1367183.53000000 PA USD 1404272.35000000 0.043241506838 Long ABS-MBS CORP US Y 2 2049-07-25 Variable 2.57000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CP1 790000.00000000 PA USD 903551.54000000 0.027822900661 Long DBT CORP US N 2 2029-07-26 Fixed 3.40000000 N N N N N N OMEGA HLTHCARE INVESTORS 549300OJ7ENK42CZ8E73 681936BJ8 3067000.00000000 PA USD 3321044.98000000 0.102264342963 Long DBT US N 2 2023-08-01 Fixed 4.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378NWU3 141236.60000000 PA USD 148712.65000000 0.004579281983 Long ABS-MBS USGA US N 2 2048-06-16 Variable 2.69000000 N N N N N N Abbott Laboratories HQD377W2YR662HK5JX27 002824BG4 300000.00000000 PA USD 403476.01000000 0.012424164476 Long DBT CORP US N 2 2036-11-30 Fixed 4.75000000 N N N N N N Voya CLO Ltd 549300L8S87K3SMP0R77 92912VAY1 9420627.99000000 PA USD 9391132.00000000 0.289179444856 Long ABS-CBDO CORP KY Y 2 2030-04-17 Floating 1.24000000 N N N N N N DIVERSIFIED HEALTHCARE T N/A 81721MAM1 667000.00000000 PA USD 667000.00000000 0.020538811478 Long DBT US N 2 2028-02-15 Fixed 4.75000000 N N N N N N SIEMENS FINANCIERINGSMAT TAFO772JB70PDRN5VS48 82620KAD5 1245000.00000000 PA USD 1287844.57000000 0.039656367072 Long DBT CORP NL Y 2 2022-05-27 Fixed 2.90000000 N N N N N N Reynolds Group Holdings Inc. 5493002QNV81KCX40V06 76173FAU1 39739.55000000 PA USD 39714.91000000 0.001222934107 Long LON CORP US N 2 2023-02-05 Floating 2.87000000 N N N N N N Towd Point Mortgage Trust N/A 89178YAA2 9649584.59000000 PA USD 9816932.51000000 0.302291043660 Long ABS-O CORP US Y 2 2060-02-25 Variable 2.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180MG43 186819.23000000 PA USD 197880.39000000 0.006093295390 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 24308000.00000000 OU Notional Amount USD -27675.63000000 -0.00085221071 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-02-28 4917.76000000 USD 0.00000000 USD 24308000.00000000 USD -32593.39000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9HZ9 565545.31000000 PA USD 628032.89000000 0.019338904243 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AH7 130000.00000000 PA USD 134550.00000000 0.004143174039 Long DBT CORP US N 2 2028-03-01 Fixed 4.50000000 N N N N N N salesforce.com Inc RCGZFPDMRW58VJ54VR07 79466LAE4 390000.00000000 PA USD 413914.40000000 0.012745591948 Long DBT CORP US N 2 2023-04-11 Fixed 3.25000000 N N N N N N BP Capital Markets PLC 549300CRVT18MXX0AG93 05565QCD8 128000.00000000 PA USD 134674.02000000 0.004146992965 Long DBT CORP GB N 2 2023-05-10 Fixed 2.75000000 N N N N N N FANNIEMAE STRIP B1V7KEBTPIMZEU4LTD58 31364HN86 5256.78000000 PA USD 648.91000000 0.000019981769 Long ABS-MBS USGSE US N 2 2026-11-25 Fixed 9.00000000 N N N N N N Buckeye Partners LP 549300C1PQJLVEIUBK50 118230AR2 262000.00000000 PA USD 268039.10000000 0.008253679975 Long DBT CORP US N 2 2027-12-01 Fixed 4.13000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAF8 370000.00000000 PA USD 418091.02000000 0.012874201860 Long DBT CORP US N 2 2025-06-01 Fixed 4.30000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172AP4 220000.00000000 PA USD 268345.00000000 0.008263099499 Long DBT CORP US N 2 2042-03-20 Fixed 4.50000000 N N N N N N WYNN MACAU LTD 254900NMDQ8ENTHU1I31 98313RAE6 200000.00000000 PA USD 201707.50000000 0.006211142903 Long DBT CORP KY Y 2 2029-12-15 Fixed 5.13000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 06423AAJ2 800000.00000000 PA USD 1188837.34000000 0.036607655179 Long DBT CORP US N 2 2030-09-01 Fixed 8.75000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 33000000.00000000 OU Notional Amount USD -2632245.00000000 -0.08105424860 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.HY.S35.V1 2I65BRYO2 RED Code Y buy protection 2025-12-20 0.00000000 USD -1252024.84000000 USD 33000000.00000000 USD -1380220.16000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -88613.74000000 -0.00272866701 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2517863.22000000 USD 13320000.00000000 BRL 2021-04-19 -88613.74000000 N N N MSCG Trust N/A 55352NAC1 1435000.00000000 PA USD 1412744.15000000 0.043502377457 Long ABS-MBS CORP US Y 2 2035-06-07 Variable 3.46000000 N N N N N N CHEVRON USA INC VA8TZDWPEZYU430RZ444 166756AW6 130000.00000000 PA USD 176923.06000000 0.005447960083 Long DBT CORP US N 2 2047-08-15 Fixed 4.95000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 52245.02000000 0.001608771538 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3690000.00000000 EUR 4537832.85000000 USD 2021-04-19 52245.02000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 12156000000.00000000 PA 979298.80000000 0.030155372465 Long DBT NUSS ID N 2 2026-09-15 Fixed 8.38000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VAM5 40000.00000000 PA USD 60506.34000000 0.001863160885 Long DBT CORP US N 2 2038-04-15 Fixed 7.55000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCX5 610000.00000000 PA USD 677579.40000000 0.020864581047 Long DBT CORP US N 2 2025-03-15 Fixed 3.80000000 N N N N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 369550BK3 140000.00000000 PA USD 154243.84000000 0.004749602925 Long DBT CORP US N 2 2025-04-01 Fixed 3.25000000 N N N N N N TCI Communications Inc N/A 872287AF4 2358000.00000000 PA USD 3147022.62000000 0.096905703615 Long DBT CORP US N 2 2026-02-15 Fixed 7.88000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BT2 340000.00000000 PA USD 336645.60000000 0.010366267636 Long DBT CORP US N 2 2050-06-03 Fixed 2.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 30883000.00000000 OU Notional Amount USD -132894.18000000 -0.00409218667 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-11-30 17873.50000000 USD 0.00000000 USD 30883000.00000000 USD -150767.68000000 N N N General Dynamics Corp 9C1X8XOOTYY2FNYTVH06 369550BG2 60000.00000000 PA USD 66971.83000000 0.002062251560 Long DBT CORP US N 2 2025-05-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9AZ8 597606.31000000 PA USD 636926.37000000 0.019612759579 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5W39 313140.62000000 PA USD 339929.53000000 0.010467389104 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.00000000 N N N N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AD3 100000.00000000 PA USD 103670.00000000 0.003192291733 Long DBT CORP US N 2 2026-05-01 Fixed 5.13000000 N N N N N N United States Steel Corp JNLUVFYJT1OZSIQ24U47 912909AD0 278000.00000000 PA USD 264100.00000000 0.008132383975 Long DBT CORP US N 2 2037-06-01 Fixed 6.65000000 N N N N N N TEVA PHARMACEUTICALS NE 5493004T21MOAFINJP35 88167AAL5 220000.00000000 PA USD 231693.00000000 0.007134481031 Long DBT CORP NL N 2 2024-04-15 Fixed 6.00000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGR4 180000.00000000 PA USD 203281.03000000 0.006259596330 Long DBT CORP US N 2 2028-07-21 Fixed 3.59000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379VHX5 1414782.61000000 PA USD 311424.07000000 0.009589625582 Long ABS-MBS USGA US N 2 2046-02-20 Floating 6.02000000 N N N N N N Freddie Mac N/A 3132WKPD4 460684.32000000 PA USD 499480.15000000 0.015380402755 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3133KH5K8 14829239.76000000 PA USD 16037500.41000000 0.493839876326 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.00000000 N N N N N N WYNN MACAU LTD 254900NMDQ8ENTHU1I31 98313RAH9 320000.00000000 PA USD 329104.00000000 0.010134040499 Long DBT CORP KY Y 2 2028-08-26 Fixed 5.63000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967ME8 300000.00000000 PA USD 346731.40000000 0.010676837868 Long DBT CORP US N 2 2030-03-20 Fixed 3.98000000 N N N N N N J.P. Morgan Wealth Management N/A 46652HAC0 3889463.66000000 PA USD 3983965.96000000 0.122677549909 Long ABS-MBS CORP US Y 2 2050-02-25 Variable 3.00000000 N N N N N N BELLEMEADE RE LT 549300O2GEH6GH9NO762 078768AE8 3000000.00000000 PA USD 3012239.10000000 0.092755338835 Long ABS-MBS CORP BM Y 2 2028-04-25 Floating 3.03000000 N N N N N N Freddie Mac N/A 3132WJNR8 23762.78000000 PA USD 26043.48000000 0.000801952212 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 4.00000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDY7 2450000.00000000 PA USD 2560284.79000000 0.078838390754 Long ABS-O CORP US Y 2 2027-02-20 Fixed 2.02000000 N N N N N N Fannie Mae N/A 31393BM36 27092.85000000 PA USD 4659.03000000 0.000143464675 Long ABS-MBS USGSE US N 2 2033-05-25 Fixed 6.50000000 N N N N N N Dryden Senior Loan Fund 549300K4FV16ICO2FF98 26251BAL0 3028000.00000000 PA USD 3028160.48000000 0.093245603037 Long ABS-CBDO CORP KY Y 2 2030-08-15 Floating 1.42000000 N N N N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAE4 590000.00000000 PA USD 592492.92000000 0.018244528315 Long DBT CORP NL Y 2 2021-04-23 Fixed 3.93000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 244624.96000000 0.007532692558 N/A DFE SE N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 19476038.45000000 USD 164714700.00000000 SEK 2021-03-17 244624.96000000 N N N Countrywide Alternative Loan Trust N/A 23245FAB9 2.70000000 PA USD 2.70000000 0.000000083140 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.22000000 N N N N N N Voya CLO Ltd 54930085W413OSH6FR69 92914NAJ0 6878000.00000000 PA USD 6879520.04000000 0.211839827833 Long ABS-CBDO CORP KY Y 2 2029-01-18 Floating 1.12000000 N N N N N N Goldman Sachs Capital II N/A 381427AA1 17000.00000000 PA USD 16518.56000000 0.000508653058 Long DBT CORP US N 2 2021-03-01 Variable 4.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95000TBV7 8787784.93000000 PA USD 537287.81000000 0.016544607255 Long ABS-MBS CORP US N 2 2050-03-15 Variable 1.24000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382JZK5 295950.72000000 PA USD 42104.55000000 0.001296517863 Long ABS-MBS USGA US N 2 2050-09-20 Fixed 2.50000000 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370CQ1 246000.00000000 PA USD 248288.81000000 0.007645512834 Long DBT CORP US N 2 2043-01-15 Fixed 4.75000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 10630000.00000000 OU Notional Amount USD 1751274.54000000 0.053926683095 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2045-07-20 68368.36000000 USD 0.00000000 USD 10630000.00000000 USD 1682906.18000000 N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DG2 385000.00000000 PA USD 426923.80000000 0.013146188071 Long DBT CORP US N 2 2029-08-15 Fixed 3.25000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BC5 836000.00000000 PA USD 948517.24000000 0.029207521404 Long DBT CORP PA Y 2 2023-04-01 Fixed 11.50000000 N N N N N N CARGILL INC QXZYQNMR4JZ5RIRN4T31 141781BL7 450000.00000000 PA USD 461414.12000000 0.014208242315 Long DBT CORP US Y 2 2023-07-23 Fixed 1.38000000 N N N N N N BANC CREDITO INVERSIONES 549300E9E5Y3PKW24142 05890MAA1 2974000.00000000 PA USD 3290017.24000000 0.101308911325 Long DBT CORP CL Y 2 2027-10-12 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375BZC9 857964.77000000 PA USD 43210.27000000 0.001330566101 Long ABS-MBS USGA US N 2 2062-10-20 Variable 1.76000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828Z60 20840000.00000000 PA USD 21108640.52000000 0.649994585024 Long DBT UST US N 2 2022-01-31 Fixed 1.38000000 N N N N N N Nordea Bank Abp 529900ODI3047E2LIV03 65557FAA4 600000.00000000 PA USD 607417.99000000 0.018704113321 Long DBT CORP FI Y 2 2021-05-13 Fixed 4.88000000 N N N N N N Spirit AeroSystems Inc ZD2NBKV6GCC3UMGBM518 85205TAK6 460000.00000000 PA USD 440880.10000000 0.013575941916 Long DBT CORP US N 2 2028-06-15 Fixed 4.60000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468Q5 130000.00000000 PA USD 136549.63000000 0.004204748287 Long DBT CORP US N 2 2026-04-28 Fixed 2.19000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RDQ2 200000.00000000 PA USD 232549.30000000 0.007160848923 Long DBT CORP US N 2 2027-03-01 Fixed 4.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828YW4 6850000.00000000 PA USD 7042923.81000000 0.216871490842 Long DBT UST US N 2 2022-12-15 Fixed 1.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415WNC3 15431.83000000 PA USD 17632.86000000 0.000542965498 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.50000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50076QAE6 926000.00000000 PA USD 1070251.82000000 0.032956072512 Long DBT CORP US N 2 2042-06-04 Fixed 5.00000000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EBD6 340000.00000000 PA USD 404838.55000000 0.012466120926 Long DBT CORP GB N 2 2029-05-16 Fixed 4.97000000 N N N N N N Devon Energy Corporation 54930042348RKR3ZPN35 25179SAD2 650000.00000000 PA USD 901395.54000000 0.027756511339 Long DBT CORP US N 2 2031-09-30 Fixed 7.88000000 N N N N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887BV0 920000.00000000 PA USD 999113.96000000 0.030765537136 Long DBT CORP US N 2 2024-06-06 Fixed 3.36000000 N N N N N N Dominion Energy Inc ILUL7B6Z54MRYCF6H308 25746UBD0 150000.00000000 PA USD 228295.70000000 0.007029868581 Long DBT CORP US N 2 2038-06-15 Fixed 7.00000000 N N N N N N Freddie Mac - STACR N/A 3137G0NX3 9218000.00000000 PA USD 9515404.02000000 0.293006130899 Long ABS-MBS USGSE US N 2 2029-10-25 Floating 3.58000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582BQ4 430000.00000000 PA USD 510871.64000000 0.015731178866 Long DBT CORP NL N 2 2046-05-10 Fixed 4.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VER1 166000.00000000 PA USD 197568.22000000 0.006083682795 Long DBT CORP US N 2 2028-09-21 Fixed 4.33000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382LBH3 6159929.32000000 PA USD 718478.14000000 0.022123968619 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.50000000 N N N N N N Diageo Investment Corp S4G8DPIPDVCF6CB81Z61 25245BAB3 600000.00000000 PA USD 619514.90000000 0.019076611303 Long DBT CORP US N 2 2022-05-11 Fixed 2.88000000 N N N N N N FAIRFAX FINL HLDGS LTD GLS7OQD0WOEDI8YAP031 303901BB7 3005000.00000000 PA USD 3369520.92000000 0.103757053896 Long DBT CORP CA N 2 2028-04-17 Fixed 4.85000000 N N N N N N Bank of Montreal NQQ6HPCNCCU6TUTQYE16 000000000 1.00000000 NC 318435.65000000 0.009805531909 N/A DFE NO N 2 Bank of Montreal NQQ6HPCNCCU6TUTQYE16 13013392.28000000 USD 114200000.00000000 NOK 2021-03-17 318435.65000000 N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833BZ2 850000.00000000 PA USD 920651.58000000 0.028349459129 Long DBT CORP US N 2 2026-08-04 Fixed 2.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9J36 118700.52000000 PA USD 131697.64000000 0.004055341829 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N Ford Credit Floorplan Master Owner Trust 5493001DTG5N7T8BG747 34528PAK2 1580000.00000000 PA USD 1855333.17000000 0.057130941842 Long ABS-O CORP US N 2 2030-11-15 Fixed 4.06000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RDH9 225286.56000000 PA USD 266196.63000000 0.008196945127 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617K1Y72 182505.47000000 PA USD 198579.39000000 0.006114819572 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 4.00000000 N N N N N N Precision Castparts Corp 0XOOAY5P5J7Q734SEC89 740189AP0 342000.00000000 PA USD 420817.10000000 0.012958145553 Long DBT CORP US N 2 2045-06-15 Fixed 4.38000000 N N N N N N Option One Mortgage Loan Trust N/A 68402VAF9 3841566.22000000 PA USD 3934486.02000000 0.121153922983 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.86000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9127962Q1 28451000.00000000 PA USD 28447522.72000000 0.875979469536 Long STIV UST US N 2 2021-04-22 None 0.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RF7 3137646.00000000 PA USD 4475271.87000000 0.137806244758 Long DBT UST US N 2 2044-02-15 Fixed 1.38000000 N N N N N N BP Capital Markets PLC 549300CRVT18MXX0AG93 05565QDB1 869000.00000000 PA USD 944286.75000000 0.029077252683 Long DBT CORP GB N 2 2026-05-04 Fixed 3.12000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LT97 467017.99000000 PA USD 523899.27000000 0.016132336342 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 4.50000000 N N N N N N PFCA Home Equity Investment Trust N/A 717060AH0 1008931.34000000 PA USD 1001339.84000000 0.030834078260 Long ABS-O CORP US Y 2 2035-04-22 Variable 4.57000000 N N N N N N Freddie Mac N/A 3132XCSA4 1677011.19000000 PA USD 1844675.78000000 0.056802770741 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHQ5 70000.00000000 PA USD 80962.51000000 0.002493064062 Long DBT CORP US N 2 2030-02-07 Fixed 3.97000000 N N N N N N NATIONAL SECS CLEARING 549300RYC9NELN2ICA34 637639AA3 420000.00000000 PA USD 428072.40000000 0.013181556705 Long DBT CORP US Y 2 2023-04-23 Fixed 1.20000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 7400000.00000000 OU Notional Amount 60660.50000000 0.001867907906 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 7400000.00000000 BRL 60660.50000000 N N N Hexcel Corp S6Q7LW43WUBUHXY2QP69 428291AM0 2964000.00000000 PA USD 3334676.83000000 0.102684106077 Long DBT CORP US N 2 2025-08-15 Fixed 4.70000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448EQ7 3550000.00000000 PA USD 3780649.89000000 0.116416874599 Long DBT CORP US N 2 2025-03-19 Fixed 2.25000000 N N N N N N Walmart Inc Y87794H0US1R65VBXU25 931142EE9 810000.00000000 PA USD 943377.31000000 0.029049248460 Long DBT CORP US N 2 2028-06-26 Fixed 3.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230NZR9 151295.96000000 PA USD 169120.75000000 0.005207704949 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SQ2 5270000.00000000 PA USD 4806404.69000000 0.148002758347 Long DBT UST US N 2 2040-08-15 Fixed 1.13000000 N N N N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 66958.08000000 0.002061828159 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4730000.00000000 EUR 5816776.63000000 USD 2021-04-19 66958.08000000 N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550AQ9 2714000.00000000 PA USD 3777889.66000000 0.116331879331 Long DBT CORP US N 2 2033-08-15 Fixed 7.30000000 N N N N N N PULTE GROUP INC N/A 745867AM3 187000.00000000 PA USD 276292.50000000 0.008507825442 Long DBT CORP US N 2 2032-06-15 Fixed 7.88000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST 5493000F7E2NMQ4HIO61 92939FAX7 890000.00000000 PA USD 954787.91000000 0.029400613021 Long ABS-MBS CORP US N 2 2047-08-15 Variable 4.21000000 N N N N N N NEW YORK LIFE GLOBAL FDG 635400DPNHEAUHB7ZI15 64952WDQ3 330000.00000000 PA USD 332781.54000000 0.010247282329 Long DBT CORP US Y 2 2025-06-24 Fixed 0.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YV6H7 308730.72000000 PA USD 331930.89000000 0.010221088416 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.50000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CT0 1000000.00000000 PA USD 1128827.76000000 0.034759790936 Long DBT CORP US N 2 2025-05-01 Fixed 4.88000000 N N N N N N TransAlta Corp GJZNVO2UY6DNFNIYH321 89346DAE7 174000.00000000 PA USD 197272.50000000 0.006074576742 Long DBT CORP CA N 2 2040-03-15 Fixed 6.50000000 N N N N N N JP Morgan Mortgage Trust N/A 46650MAC1 933219.79000000 PA USD 962267.47000000 0.029630929772 Long ABS-MBS CORP US Y 2 2049-01-25 Variable 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J6EW3 202322.69000000 PA USD 247212.21000000 0.007612361283 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 6.00000000 N N N N N N CHEVRON CORP N/A 166764BX7 170000.00000000 PA USD 178345.62000000 0.005491764718 Long DBT CORP US N 2 2027-05-11 Fixed 2.00000000 N N N N N N IND & COMM BK CHINA/NY 5493002ERZU2K9PZDL40 45580KAJ7 962000.00000000 PA USD 994463.52000000 0.030622336971 Long DBT CORP CN N 2 2022-11-08 Fixed 2.96000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DJ6 400000.00000000 PA USD 458463.96000000 0.014117398567 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 53944YAA1 600000.00000000 PA USD 670909.45000000 0.020659194471 Long DBT CORP GB N 2 2024-11-04 Fixed 4.50000000 N N N N N N JEFFERIES FIN GROUP INC 549300HOF34RGOJ5YL07 527288BF0 3000000.00000000 PA USD 3975581.67000000 0.122419373970 Long DBT CORP US N 2 2043-10-23 Fixed 6.63000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -140775.48000000 -0.00433487412 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5954913.82000000 USD 120155273.58000000 MXN 2021-04-19 -140775.48000000 N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CS2 650000.00000000 PA USD 603115.50000000 0.018571627517 Long DBT CORP US N 2 2029-08-15 Fixed 3.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BC7 80000.00000000 PA USD 116644.63000000 0.003591817189 Long DBT CORP US N 2 2055-10-23 Fixed 6.83000000 N N N N N N Fannie Mae N/A 3136ARUS5 2009903.57000000 PA USD 477995.07000000 0.014718816537 Long ABS-MBS USGSE US N 2 2045-11-25 Floating 5.87000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6WX5 6765240.46000000 PA USD 7118907.95000000 0.219211256850 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 2.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -572802.34000000 -0.01763819981 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 19944400.00000000 CHF 21827215.62000000 USD 2021-02-17 -572802.34000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFT6 800000.00000000 PA USD 779683.11000000 0.024008642292 Long DBT CORP US N 2 2040-11-20 Fixed 2.65000000 N N N N N N CBL & Associates LP 549300VS75TWHD9JTH89 12505JAA1 400000.00000000 PA USD 148000.00000000 0.004557337479 Long DBT US N 2 2023-12-01 None 0.00000000 Y N N N N N GMAC Mortgage Corporation Loan Trust N/A 36186LAC7 196776.76000000 PA USD 202568.75000000 0.006237663219 Long ABS-MBS CORP US N 2 2037-12-25 Variable 6.19000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YAZ8 290000.00000000 PA USD 286557.20000000 0.008823904510 Long DBT CORP US N 2 2030-06-24 Fixed 1.45000000 N N N N N N Buckeye Partners LP 549300C1PQJLVEIUBK50 118230AM3 236000.00000000 PA USD 235410.00000000 0.007248937946 Long DBT CORP US N 2 2043-11-15 Fixed 5.85000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -585.00000000 NC -25901.38000000 -0.00079757655 N/A DIR GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short United Kingdom Gilt G H1 Comdty 2021-03-29 -78412045.95000000 GBP -25901.38000000 N N N Resimac N/A 76120GAB5 3263270.42000000 PA USD 3272100.83000000 0.100757214522 Long ABS-MBS CORP AU Y 2 2052-02-07 Fixed 1.27000000 N N N N N N NOV INC 549300EHF3IW1AR6U008 637071AM3 3309000.00000000 PA USD 3442051.42000000 0.105990472586 Long DBT CORP US N 2 2029-12-01 Fixed 3.60000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78015K7G3 780000.00000000 PA USD 801392.62000000 0.024677139344 Long DBT CORP CA N 2 2023-04-17 Fixed 1.60000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVR2 510000.00000000 PA USD 579482.74000000 0.017843908173 Long DBT CORP US N 2 2025-10-21 Fixed 4.25000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAE0 100000.00000000 PA USD 95420.00000000 0.002938250961 Long DBT CORP US N 2 2048-07-15 Fixed 6.50000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967MD0 865000.00000000 PA USD 1142090.49000000 0.035168187804 Long DBT CORP US N 2 2048-07-23 Fixed 4.65000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBF9 580000.00000000 PA USD 786150.07000000 0.024207778233 Long DBT CORP US N 2 2049-02-14 Fixed 5.95000000 N N N N N N CANADIAN GOVERNMENT 4BFD7AQU0A75QLAHK410 135087F58 2779000.00000000 PA 2181887.16000000 0.067186460340 Long DBT NUSS CA N 2 2021-09-01 Fixed 0.75000000 N N N N N N HOWMET AEROSPACE INC 549300HO5WFZUT5N2T22 013817AJ0 312000.00000000 PA USD 363177.36000000 0.011183255367 Long DBT CORP US N 2 2027-02-01 Fixed 5.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6LD1 66618.80000000 PA USD 72126.51000000 0.002220978697 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.00000000 N N N N N N SABIC Capital II BV 2138005PCUTH59D4RJ83 78520LAA8 2930000.00000000 PA USD 3171725.00000000 0.097666359575 Long DBT CORP NL Y 2 2023-10-10 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416VBR4 1697543.30000000 PA USD 1940233.63000000 0.059745266493 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 4.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 120000.00000000 PA USD 140809.33000000 0.004335916466 Long DBT CORP US N 2 2029-05-01 Fixed 4.22000000 N N N N N N CHENIERE ENERGY INC MIHC87W9WTYSYZWV1J40 16411RAJ8 230000.00000000 PA USD 240637.50000000 0.007409907417 Long DBT CORP US Y 2 2028-10-15 Fixed 4.63000000 N N N N N N Freddie Mac N/A 3132DWA52 20000000.00000000 PA USD 20654377.20000000 0.636006536012 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAN3 20000.00000000 PA USD 22169.89000000 0.000682673450 Long DBT CORP US N 2 2042-05-15 Fixed 4.75000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2M4 2210000.00000000 PA USD 3039563.30000000 0.093596728030 Long DBT CORP US N 2 2051-04-04 Fixed 5.01000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61744YAQ1 690000.00000000 PA USD 738392.06000000 0.022737174389 Long DBT CORP US N 2 2024-04-24 Fixed 3.74000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RZ3 4395000.00000000 PA USD 5294601.56000000 0.163035717084 Long DBT UST US N 2 2047-11-15 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415MM28 11122.01000000 PA USD 13055.84000000 0.000402026141 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Saudi Arabian Oil Co 5586006WD91QHB7J4X50 80414L2C8 3093000.00000000 PA USD 3275151.19000000 0.100851143711 Long DBT CORP SA Y 2 2024-04-16 Fixed 2.88000000 N N N N N N Countrywide Home Loans N/A 12544RAK4 2134684.46000000 PA USD 1483795.26000000 0.045690241556 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6.00000000 N N N N N N Altice France S.A. 5493001ZMCICV4N02J21 000000000 446949.70000000 PA USD 444268.00000000 0.013680264914 Long LON CORP FR N 2 2026-01-31 Floating 3.81000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DE5 1305000.00000000 PA USD 1530650.47000000 0.047133045641 Long DBT CORP US N 2 2028-02-20 Fixed 3.90000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9127963W7 700000.00000000 PA USD 699997.74000000 0.021554904973 Long STIV UST US N 2 2021-02-04 None 0.00000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 53944YAH6 900000.00000000 PA USD 988704.00000000 0.030444985103 Long DBT CORP GB N 2 2024-03-12 Fixed 3.90000000 N N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 000000000 1.00000000 NC -547226.23000000 -0.01685063924 N/A DFE US N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 232109040.00000000 SEK 27240009.17000000 USD 2021-03-10 -547226.23000000 N N N Countrywide Alternative Loan Trust N/A 12668BZD8 1693963.71000000 PA USD 1152129.43000000 0.035477315085 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6.00000000 N N N N N N SPIRIT LOYALTY KY LTD/IP N/A 84859BAA9 530000.00000000 PA USD 601285.00000000 0.018515261259 Long DBT CORP KY Y 2 2025-09-20 Fixed 8.00000000 N N N N N N Asurion LLC 549300KNQVXGIOXWK278 04649VAX8 535698.71000000 PA USD 532575.59000000 0.016399504709 Long LON CORP US N 2 2026-12-23 Floating 3.37000000 N N N N N N Hertz Vehicle Financing LLC 549300FPK70TCB78NG05 42806DCN7 713186.90000000 PA USD 714830.80000000 0.022011656732 Long ABS-O CORP US Y 2 2025-12-26 Fixed 2.67000000 N N N N N N Domtar Corp XYSIJOU3HNVROZWNA008 257559AJ3 2899000.00000000 PA USD 3673758.59000000 0.113125389952 Long DBT CORP US N 2 2042-09-01 Fixed 6.25000000 N N N N N N Nutrien Ltd 5493002QQ7GD21OWF963 67077MAF5 2542000.00000000 PA USD 3450134.15000000 0.106239362643 Long DBT CORP CA N 2 2036-12-01 Fixed 5.88000000 N N N N N N TEVA PHARMACEUTICALS NE 5493004T21MOAFINJP35 88167AAC5 850000.00000000 PA USD 849245.20000000 0.026150655265 Long DBT CORP NL N 2 2021-07-21 Fixed 2.20000000 N N N N N N US BANK NA CINCINNATI 6BYL5QZYBDK8S7L73M02 90331HNP4 390000.00000000 PA USD 391739.95000000 0.012062778083 Long DBT CORP US N 2 2021-04-26 Fixed 3.15000000 N N N N N N DIAMOND OFFSHORE DRILL F14FQJ2EEHW5VPYUHL14 25271CAM4 81000.00000000 PA USD 11340.00000000 0.000349190587 Long DBT CORP US N 2 2023-11-01 None 0.00000000 Y N N N N N MACY'S RETAIL HLDGS LLC N/A 314275AC2 50000.00000000 PA USD 45000.00000000 0.001385676936 Long DBT CORP US N 2 2037-03-15 Fixed 6.38000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 7109.91000000 0.000218934184 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 354351750.00000000 THB 11846078.63000000 USD 2021-02-11 7109.91000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828YT1 18785000.00000000 PA USD 19005870.46000000 0.585244363367 Long DBT UST US N 2 2021-11-30 Fixed 1.50000000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 23636AAS0 1650000.00000000 PA USD 1717986.39000000 0.052901647057 Long DBT CORP DK Y 2 2022-01-12 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617B8HH4 753870.52000000 PA USD 809841.33000000 0.024937298957 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AR3N2 26600.40000000 PA USD 29430.21000000 0.000906239182 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 4.00000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 1171224.38000000 0.036065302458 N/A DFE NZ N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 27520946.28000000 USD 39927440.00000000 NZD 2021-03-10 1171224.38000000 N N N OVINTIV INC N/A 292505AG9 292000.00000000 PA USD 347987.79000000 0.010715525660 Long DBT CORP US N 2 2038-02-01 Fixed 6.50000000 N N N N N N NOBLE HOLDING INTL LTD 549300GNEZBJHMST9U32 65504LAL1 146000.00000000 PA USD 2920.00000000 0.000089915036 Long DBT CORP KY N 2 2045-04-01 None 0.00000000 Y N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAJ9 350000.00000000 PA USD 401607.67000000 0.012366633017 Long DBT CORP US N 2 2025-06-01 Fixed 4.88000000 N N N N N N Range Resources Corp H3Y3WLYCX0BTO1TRW162 75281ABA6 225000.00000000 PA USD 225635.63000000 0.006947957522 Long DBT CORP US N 2 2023-03-15 Fixed 5.00000000 N N N N N N Southwestern Energy Co EFWMP121W54QV9MGOP87 845467AL3 287000.00000000 PA USD 300811.88000000 0.009262846317 Long DBT CORP US N 2 2025-01-23 Fixed 6.45000000 N N N N N N Cooperatieve Rabobank UA DG3RU1DBUFHT4ZF9WN62 21684AAA4 600000.00000000 PA USD 667452.00000000 0.020552729833 Long DBT CORP NL N 2 2023-12-01 Fixed 4.63000000 N N N N N N Range Resources Corp H3Y3WLYCX0BTO1TRW162 75281AAS8 640000.00000000 PA USD 626356.80000000 0.019287292704 Long DBT CORP US N 2 2025-05-15 Fixed 4.88000000 N N N N N N UMBS, TBA N/A 01F022626 1300000.00000000 PA USD 1369824.22000000 0.042180751744 Long ABS-MBS USGSE US N 2 2051-02-12 Fixed 2.50000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CX6 294000.00000000 PA USD 345370.62000000 0.010634935613 Long DBT CORP US N 2 2028-03-25 Fixed 4.30000000 N N N N N N Morgan Stanley Capital I Trust N/A 61692AAN2 8380000.00000000 PA USD 8352113.87000000 0.257185145763 Long ABS-MBS CORP US Y 2 2036-12-15 Floating 3.74000000 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 146670000.00000000 PA 2122451.34000000 0.065356263785 Long DBT NUSS RU N 2 2026-09-16 Fixed 7.75000000 N N N N N N Towd Point Mortgage Trust N/A 89169DAA9 646882.56000000 PA USD 660932.53000000 0.020351976962 Long ABS-O CORP US Y 2 2057-07-25 Variable 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CNE0 1025235.12000000 PA USD 1108364.63000000 0.034129673441 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CY9 700000.00000000 PA USD 831214.27000000 0.025595432068 Long DBT CORP US N 2 2030-05-01 Fixed 5.15000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BW1 40000.00000000 PA USD 47360.49000000 0.001458363081 Long DBT CORP US N 2 2028-12-06 Fixed 3.90000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 300579.18000000 0.009255680828 N/A DFE NO N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 13031248.75000000 USD 114200000.00000000 NOK 2021-03-17 300579.18000000 N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAH0 100000.00000000 PA USD 99624.96000000 0.003067733541 Long DBT CORP US N 2 2025-08-15 Fixed 0.45000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAE0 200000.00000000 PA USD 216609.18000000 0.006670007665 Long DBT CORP US N 2 2023-07-15 Fixed 4.50000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CG5 460000.00000000 PA USD 496919.96000000 0.015301567283 Long DBT CORP NL N 2 2030-04-06 Fixed 2.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796F95 9940000.00000000 PA USD 9937658.53000000 0.306008538361 Long STIV UST US N 2 2021-05-18 None 0.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CX1 120000.00000000 PA USD 161201.86000000 0.004963859988 Long DBT CORP US N 2 2060-05-01 Fixed 5.93000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LBJ4 270000.00000000 PA USD 331747.89000000 0.010215453330 Long DBT CORP US N 2 2050-06-01 Fixed 5.50000000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 92553PAX0 150000.00000000 PA USD 163647.41000000 0.005039165371 Long DBT CORP US N 2 2024-04-01 Fixed 3.88000000 N N N N N N Fieldstone Mortgage Investment Corp. 549300VDVZHMT2SH4W85 31659TCD5 794126.38000000 PA USD 797216.80000000 0.024548554067 Long ABS-O CORP US N 2 2035-10-25 Floating 2.08000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WEYD5 2573112.89000000 PA USD 2809023.26000000 0.086497749889 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 4.00000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAL0 100000.00000000 PA USD 107577.61000000 0.003312618067 Long DBT CORP US N 2 2023-05-15 Fixed 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181BKX7 94958.08000000 PA USD 100418.47000000 0.003092167952 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 3.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CQ6 310000.00000000 PA USD 312149.26000000 0.009611956228 Long DBT CORP US N 2 2050-02-01 Fixed 3.75000000 N N N N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411AZ8 79000.00000000 PA USD 79000.00000000 0.002432632843 Long DBT CORP US N 2 2022-04-15 Fixed 3.25000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DJ4 480000.00000000 PA USD 664197.40000000 0.020452511519 Long DBT CORP US N 2 2045-08-15 Fixed 5.00000000 N N N N N N Halliburton Co ENYF8GB5SMQZ25S06U51 406216BG5 29000.00000000 PA USD 32533.17000000 0.001001788074 Long DBT CORP US N 2 2025-11-15 Fixed 3.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UH54 282247.96000000 PA USD 307185.19000000 0.009459098510 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 4.50000000 N N N N N N Shops at Crystals Trust 2016-CSTL N/A 82510WAA8 520000.00000000 PA USD 527606.40000000 0.016246489332 Long ABS-MBS CORP US Y 2 2036-07-05 Fixed 3.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4PR1 2393049.93000000 PA USD 2626477.66000000 0.080876655939 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.00000000 N N N N N N FANNIEMAE STRIP B1V7KEBTPIMZEU4LTD58 3136FCZM1 460382.29000000 PA USD 89816.16000000 0.002765692920 Long ABS-MBS USGSE US N 2 2035-12-25 Fixed 5.50000000 N N N N N N Morgan Stanley Mortgage Capital Holdings LLC N/A 55375KAC0 35996000.00000000 PA USD 205299.59000000 0.006321753486 Long ABS-MBS CORP US Y 2 2039-09-13 Variable 0.05000000 N N N N N N Freddie Mac N/A 3131XULT2 134280.32000000 PA USD 142848.75000000 0.004398715961 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.00000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29279FAA7 120000.00000000 PA USD 141944.71000000 0.004370878019 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBK0 1380000.00000000 PA USD 1622202.75000000 0.049952198594 Long DBT CORP GB N 2 2030-06-20 Fixed 5.09000000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AB3 280000.00000000 PA USD 310278.82000000 0.009554360104 Long DBT CORP XX Y 2 2028-10-20 Fixed 4.75000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDD3 150000.00000000 PA USD 163210.42000000 0.005025709216 Long DBT CORP US N 2 2026-08-15 Fixed 2.63000000 N N N N N N Atlantic Aviation FBO Inc. 549300IFVVFYQ4SH7939 04822DAJ8 117600.00000000 PA USD 117380.09000000 0.003614464077 Long LON CORP US N 2 2025-12-06 Floating 3.88000000 N N N N N N Navient Corp 54930067J0ZNOEBRW338 78442FEL8 209000.00000000 PA USD 216385.02000000 0.006663105146 Long DBT CORP US N 2 2022-01-25 Fixed 7.25000000 N N N N N N Fannie Mae N/A 31393BKD6 26808.94000000 PA USD 5759.43000000 0.000177349095 Long ABS-MBS USGSE US N 2 2033-05-25 Fixed 6.00000000 N N N N N N Ziggo Financing Partnership N/A 000000000 19250.00000000 PA USD 19121.60000000 0.000588808002 Long LON CORP NL N 2 2028-04-30 Floating 2.63000000 N N N N N N Intel Corp KNX4USFCNGPY45LOCE31 458140AS9 150000.00000000 PA USD 168615.56000000 0.005192148724 Long DBT CORP US N 2 2025-07-29 Fixed 3.70000000 N N N N N N Occidental Petroleum Corp IM7X0T3ECJW4C1T7ON55 674599CG8 104000.00000000 PA USD 100880.00000000 0.003106379763 Long DBT CORP US N 2 2025-06-15 Fixed 3.50000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFR0 530000.00000000 PA USD 651831.81000000 0.020071740122 Long DBT CORP US N 2 2050-04-01 Fixed 4.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6WH0 666888.45000000 PA USD 716494.95000000 0.022062900604 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.50000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CP8 1330000.00000000 PA USD 1328660.88000000 0.040913216391 Long DBT CORP US N 2 2035-02-01 Fixed 3.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376R6U5 6476589.63000000 PA USD 459536.57000000 0.014150427254 Long ABS-MBS USGA US N 2 2067-09-20 Variable 1.69000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMC3 669000.00000000 PA USD 644584.40000000 0.019848571924 Long DBT CORP US Y 2 2053-09-15 Fixed 3.50000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PDD1 70000.00000000 PA USD 72499.98000000 0.002232478892 Long DBT CORP US N 2 2022-10-15 Fixed 2.38000000 N N N N N N Sierra Pacific Power Co QB888G5GSVGE1LD1WV84 826418BM6 2978000.00000000 PA USD 3217762.71000000 0.099083990530 Long DBT CORP US N 2 2026-05-01 Fixed 2.60000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135BF2 270000.00000000 PA USD 328650.13000000 0.010120064561 Long DBT CORP US N 2 2037-08-22 Fixed 3.88000000 N N N N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 369550BJ6 90000.00000000 PA USD 117575.00000000 0.003620465906 Long DBT CORP US N 2 2050-04-01 Fixed 4.25000000 N N N N N N FRESENIUS MED CARE II 5493008GJ5TVVTY4UM62 35802XAF0 2258000.00000000 PA USD 2375248.66000000 0.073140606360 Long DBT CORP US Y 2 2022-01-31 Fixed 5.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H022630 3000000.00000000 PA USD 3151289.07000000 0.097037079645 Long ABS-MBS USGA US N 2 2051-03-18 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X64W8 12566987.66000000 PA USD 13417114.21000000 0.413150793623 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 2.50000000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 94973VBF3 2398000.00000000 PA USD 3211022.76000000 0.098876448457 Long DBT CORP US N 2 2044-01-15 Fixed 5.10000000 N N N N N N CLI Funding LLC 549300NQLBWJD5AREU05 12563LAS6 7322700.00000000 PA USD 7467537.15000000 0.229946533333 Long ABS-O CORP US Y 2 2045-10-18 Fixed 2.07000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DU8 210000.00000000 PA USD 255915.06000000 0.007880346584 Long DBT CORP US N 2 2030-04-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GSZF2 2509182.52000000 PA USD 2714358.25000000 0.083582747199 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.00000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKG6 510000.00000000 PA USD 513199.03000000 0.015802845769 Long DBT CORP US N 2 2028-02-01 Fixed 1.65000000 N N N N N N Eni SpA BUCRF72VH5RBN7X3VL35 26874RAJ7 2734000.00000000 PA USD 3192675.14000000 0.098311473482 Long DBT CORP IT Y 2 2029-05-09 Fixed 4.25000000 N N N N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833BG4 3324000.00000000 PA USD 3685530.24000000 0.113487872261 Long DBT CORP US N 2 2025-05-13 Fixed 3.20000000 N N N N N N FREDDIEMAC STRIP S6XOOCT0IEG5ABCC6L87 31325VKQ6 716216.80000000 PA USD 161441.45000000 0.004971237640 Long ABS-MBS USGSE US N 2 2044-08-15 Floating 5.97000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582BW1 1964000.00000000 PA USD 1982315.69000000 0.061041091826 Long DBT CORP NL N 2 2021-09-12 Fixed 1.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAY7 7020000.00000000 PA USD 6965156.25000000 0.214476808303 Long DBT UST US N 2 2027-11-30 Fixed 0.63000000 N N N N N N SIMON PROPERTY GROUP LP MR92GTD0MJTTTTQDVG45 828807DJ3 3289000.00000000 PA USD 3573733.14000000 0.110045324194 Long DBT US N 2 2050-07-15 Fixed 3.80000000 N N N N N N Party City Holdings Inc. 5493005PYM1JS6EZN307 70215EAN3 152373.02000000 PA USD 146540.18000000 0.004512385503 Long LON CORP US N 2 2022-08-19 Floating 3.25000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LAT8 1079000.00000000 PA USD 1180794.82000000 0.036360003302 Long DBT CORP US N 2 2024-09-01 Fixed 3.40000000 N N N N N N Freddie Mac N/A 3133KJM25 3823337.93000000 PA USD 4044596.33000000 0.124544530028 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RBK7 47000.00000000 PA USD 52904.76000000 0.001629086794 Long DBT CORP US N 2 2045-06-15 Fixed 4.35000000 N N N N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411BC8 120000.00000000 PA USD 110400.00000000 0.003399527417 Long DBT CORP US N 2 2044-01-15 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5XU2 10061177.58000000 PA USD 11005629.27000000 0.338894369985 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAD0 210000.00000000 PA USD 209841.72000000 0.006461618481 Long DBT CORP NL Y 2 2050-08-03 Fixed 4.03000000 N N N N N N IndyMac INDA Mortgage Loan Trust N/A 45669AAA2 578491.91000000 PA USD 557124.73000000 0.017155441978 Long ABS-MBS CORP US N 2 2037-03-25 Variable 3.64000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -258304.19000000 -0.00795391463 N/A DFE CO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11792108.50000000 USD 41189835000.00000000 COP 2021-02-19 -258304.19000000 N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DCH6 170000.00000000 PA USD 188746.75000000 0.005812044850 Long DBT CORP US N 2 2030-08-01 Fixed 4.63000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 11512000.00000000 OU Notional Amount USD 31950.64000000 0.000983850332 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-11-15 28761.06000000 USD 0.00000000 USD 11512000.00000000 USD 3189.58000000 N N N DNB BANK ASA 549300GKFG0RYRRQ1414 23329PAE0 3189000.00000000 PA USD 3295915.40000000 0.101490532309 Long DBT CORP NO Y 2 2022-12-02 Fixed 2.15000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 362000.00000000 OU Notional Amount USD 31154.03000000 0.000959320463 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2047-02-15 414.35000000 USD 0.00000000 USD 362000.00000000 USD 30739.68000000 N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272AT5 1370000.00000000 PA USD 1502893.12000000 0.046278318537 Long DBT CORP US Y 2 2024-03-12 Fixed 4.13000000 N N N N N N Trinity Industries Inc R1JB4KXN77XFCXOQKV49 896522AH2 619000.00000000 PA USD 652240.30000000 0.020084318681 Long DBT CORP US N 2 2024-10-01 Fixed 4.55000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 666807BM3 440000.00000000 PA USD 475710.38000000 0.014648464487 Long DBT CORP US N 2 2025-01-15 Fixed 2.93000000 N N N N N N Exelon Generation Co LLC S2PEWKCZFFECR4533P43 30161MAN3 2552000.00000000 PA USD 2927484.59000000 0.090145508396 Long DBT CORP US N 2 2042-06-15 Fixed 5.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EUKQ1 1861205.07000000 PA USD 2106132.32000000 0.064853755126 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3132ADR59 85153.80000000 PA USD 89027.73000000 0.002741414936 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AAKS2 1011802.29000000 PA USD 1061946.58000000 0.032700330745 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.00000000 N N N N N N SOLAR STAR FUNDING LLC N/A 83416WAA1 2514788.51000000 PA USD 2815617.80000000 0.086700814378 Long DBT CORP US Y 2 2035-06-30 Fixed 5.38000000 N N N N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 760759AU4 280000.00000000 PA USD 297983.35000000 0.009175747900 Long DBT CORP US N 2 2024-08-15 Fixed 2.50000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAY2 30000.00000000 PA USD 32914.06000000 0.001013516751 Long DBT CORP US N 2 2024-12-05 Fixed 4.02000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50076QAR7 417000.00000000 PA USD 573181.27000000 0.017649868137 Long DBT CORP US N 2 2039-01-26 Fixed 6.88000000 N N N N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932AJ6 307000.00000000 PA USD 371248.96000000 0.011431802700 Long DBT CORP US N 2 2047-07-15 Fixed 5.35000000 N N N N N N Gilead Sciences Inc 549300WTZWR07K8MNV44 375558BD4 315000.00000000 PA USD 405761.68000000 0.012494546702 Long DBT CORP US N 2 2046-03-01 Fixed 4.75000000 N N N N N N Freddie Mac Multifamily Structured Pass Through C N/A 3137FCJG0 370000.00000000 PA USD 396952.84000000 0.012223297671 Long ABS-MBS USGSE US N 2 2027-11-25 Fixed 3.09000000 N N N N N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC 287897.44000000 0.008865174280 N/A DFE GB N 2 The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 12375487.88000000 USD 9240590.00000000 GBP 2021-03-10 287897.44000000 N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 539830BH1 900000.00000000 PA USD 1017299.32000000 0.031325515668 Long DBT CORP US N 2 2026-01-15 Fixed 3.55000000 N N N N N N Republic of Peru 254900STKLK2DBJJZ530 715638AU6 10000.00000000 PA USD 14900.10000000 0.000458816109 Long DBT NUSS PE N 2 2037-03-14 Fixed 6.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X57D9 5490212.88000000 PA USD 5875869.70000000 0.180934602760 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138E06H7 335411.23000000 PA USD 371137.98000000 0.011428385313 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4.00000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967KR1 110000.00000000 PA USD 142382.54000000 0.004384360040 Long DBT CORP US N 2 2046-05-18 Fixed 4.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828M56 6480000.00000000 PA USD 7048012.50000000 0.217028185962 Long DBT UST US N 2 2025-11-15 Fixed 2.25000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92990GAJ2 1348390.22000000 PA USD 1312379.57000000 0.040411868930 Long ABS-MBS CORP US N 2 2037-05-25 Variable 3.46000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5MG5 149574.60000000 PA USD 163783.87000000 0.005043367360 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 4.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 3497.00000000 NC USD -2915903.51000000 -0.08978889427 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 10 Year US Treasury Note TYH1 Comdty 2021-03-22 482114184.76000000 USD -2915903.51000000 N N N UBS Group AG 549300SZJ9VS8SGXAN81 90352JAF0 2510000.00000000 PA USD 2754725.00000000 0.084825753299 Long DBT CORP CH Y 2 2024-01-31 Fixed 7.00000000 N N N N N N SPIRIT REALTY LP 549300GTBVIBJRX5BW73 84861TAF5 3196000.00000000 PA USD 3462668.77000000 0.106625338950 Long DBT US N 2 2030-01-15 Fixed 3.40000000 N N N N N N BROADRIDGE FINANCIAL SOL N/A 11133TAD5 3006000.00000000 PA USD 3251299.40000000 0.100116679816 Long DBT CORP US N 2 2029-12-01 Fixed 2.90000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A 3137BSP98 12451408.63000000 PA USD 573165.73000000 0.017649389616 Long ABS-MBS USGSE US N 2 2026-08-25 Variable 0.92000000 N N N N N N UMBS, TBA N/A 01F020638 8100000.00000000 PA USD 8349960.90000000 0.257118849744 Long ABS-MBS USGSE US N 2 2051-03-11 Fixed 2.00000000 N N N N N N Cimarex Energy Co 11KYOFXPU1C4CQL1CL44 171798AD3 1060000.00000000 PA USD 1178970.89000000 0.036303839353 Long DBT CORP US N 2 2027-05-15 Fixed 3.90000000 N N N N N N CINTAS CORPORATION NO. 2 549300QVUQTTKMTE0G41 17252MAN0 340000.00000000 PA USD 390482.34000000 0.012024052724 Long DBT CORP US N 2 2027-04-01 Fixed 3.70000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MS7 340000.00000000 PA USD 354227.94000000 0.010907677481 Long DBT CORP US N 2 2031-06-03 Fixed 2.57000000 N N N N N N Freddie Mac N/A 3133KGGL6 339192.26000000 PA USD 361107.09000000 0.011119505914 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -31761.79000000 -0.00097803510 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 50717323000.00000000 IDR 3572648.84000000 USD 2021-02-25 -31761.79000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -4339.05000000 -0.00013361158 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1205543.14000000 USD 1571420.00000000 AUD 2021-03-10 -4339.05000000 N N N POSCO 988400E5HRVX81AYLM04 693483AG4 3577000.00000000 PA USD 3685454.64000000 0.113485544324 Long DBT CORP KR Y 2 2023-01-17 Fixed 2.38000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAK2 76000.00000000 PA USD 83053.96000000 0.002557465707 Long DBT CORP US N 2 2025-07-15 Fixed 3.95000000 N N N N N N PRINCIPAL LFE GLB FND II 635400WSLKBQWSOIIT41 74256LEE5 160000.00000000 PA USD 163064.79000000 0.005021224858 Long DBT CORP US Y 2 2025-06-23 Fixed 1.25000000 N N N N N N Hess Corp UASVRYNXNK17ULIGK870 023551AJ3 2350000.00000000 PA USD 3063434.64000000 0.094331793925 Long DBT CORP US N 2 2031-08-15 Fixed 7.30000000 N N N N N N HONEYWELL INTERNATIONAL ISRPG12PN4EIEOEMW547 438516CB0 310000.00000000 PA USD 319241.19000000 0.009830336758 Long DBT CORP US N 2 2025-06-01 Fixed 1.35000000 N N N N N N COMCAST CABLE COMMUNICAT N/A 00209TAB1 2416000.00000000 PA USD 2808306.24000000 0.086475670821 Long DBT CORP US N 2 2022-11-15 Fixed 9.46000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A 3137FQ4B6 2395311.46000000 PA USD 157056.26000000 0.004836205270 Long ABS-MBS USGSE US N 2 2029-10-25 Variable 0.84000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650BZ2 170000.00000000 PA USD 176323.93000000 0.005429511180 Long DBT CORP US N 2 2022-12-01 Fixed 2.75000000 N N N N N N Bed Bath & Beyond Inc 529900ZBUWWUV7BKGX39 075896AB6 155000.00000000 PA USD 148800.00000000 0.004581971736 Long DBT CORP US N 2 2034-08-01 Fixed 4.92000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAA8 68000.00000000 PA USD 71316.37000000 0.002196032202 Long DBT CORP KY Y 2 2022-08-15 Fixed 5.25000000 N N N N N N Vodafone Group PLC 213800TB53ELEUKM7Q61 92857WBQ2 466000.00000000 PA USD 579351.09000000 0.017839854299 Long DBT CORP GB N 2 2079-04-04 Fixed 7.00000000 N N N N N N Avon Products Inc 5493007RY69UEB1F1B45 054303AZ5 72000.00000000 PA USD 92880.00000000 0.002860037196 Long DBT CORP US N 2 2043-03-15 Fixed 8.95000000 N N N N N N Freddie Mac N/A 3128M96Y3 2058103.67000000 PA USD 2276119.91000000 0.070088152525 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4.00000000 N N N N N N Springcastle SPV N/A 85022WAP9 12970176.55000000 PA USD 13071351.71000000 0.402503790919 Long ABS-O CORP US Y 2 2037-09-25 Fixed 1.97000000 N N N N N N Delta Air Lines Inc Q2CCMS6R0AS67HJMBN42 247361ZJ0 1376000.00000000 PA USD 1399546.54000000 0.043095985818 Long DBT CORP US N 2 2022-03-15 Fixed 3.63000000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057BZ6 220000.00000000 PA USD 242165.00000000 0.007456943450 Long DBT CORP US N 2 2024-04-30 Fixed 4.50000000 N N N N N N Marks & Spencer PLC 213800CN1RI3UCIZWB95 57069PAA0 58000.00000000 PA USD 64731.71000000 0.001993271946 Long DBT CORP GB Y 2 2037-12-01 Fixed 7.13000000 N N N N N N Eagle Re Ltd 254900SAV74IHXQ8XY35 26982LAA8 2170000.00000000 PA USD 2162666.70000000 0.066594608159 Long ABS-MBS CORP US Y 2 2030-01-25 Floating 1.03000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 814.00000000 NC USD 148741.59000000 0.004580173127 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 2 Year US Treasury Note TUH1 Comdty 2021-03-31 179726179.87000000 USD 148741.59000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -30.00000000 NC USD -13593.75000000 -0.00041858990 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 30.00000000 NC N/A -13593.75000000 0.00000000 DIR US Short 10 Year US Treasury Note TYH1 Comdty 2021-03-22 30.00000000 USD 1000.00000000 137.00000000 USD 2021-02-19 XXXX -51.90000000 N N N Citadel Securities LP 549300NV5RXBUS3X7L47 17288YAC6 1185015.08000000 PA USD 1178355.30000000 0.036284883600 Long LON CORP US N 2 2026-02-27 Floating 2.87000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SP4 23190000.00000000 PA USD 20722439.06000000 0.638102352670 Long DBT UST US N 2 2050-08-15 Fixed 1.38000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NAY7 830000.00000000 PA USD 1262539.59000000 0.038877155357 Long DBT CORP US N 2 2039-07-01 Fixed 6.55000000 N N N N N N OneMain Financial Issuance Trust N/A 68269LAA4 3009000.00000000 PA USD 3182647.28000000 0.098002687386 Long ABS-O CORP US Y 2 2032-05-14 Fixed 3.84000000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057BV5 50000.00000000 PA USD 57030.50000000 0.001756129967 Long DBT CORP US N 2 2025-05-30 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9H46 131431.58000000 PA USD 143536.01000000 0.004419878635 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AG5 640000.00000000 PA USD 734069.35000000 0.022604065954 Long DBT CORP US N 2 2025-11-15 Fixed 4.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382MF61 5872276.00000000 PA USD 734426.18000000 0.022615053757 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHWE8 155014.83000000 PA USD 166874.42000000 0.005138534112 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200JY8 750000.00000000 PA USD 809858.66000000 0.024937832596 Long DBT CORP US N 2 2024-05-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QED90 93912.55000000 PA USD 99719.62000000 0.003070648389 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.00000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAM1 130000.00000000 PA USD 148285.80000000 0.004566138067 Long DBT CORP NL N 2 2024-03-17 Fixed 6.25000000 N N N N N N RELIANCE STEEL & ALUM 549300E287ZOFT3C5Z56 759509AE2 2952000.00000000 PA USD 3179978.15000000 0.097920497345 Long DBT CORP US N 2 2023-04-15 Fixed 4.50000000 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 2648000.00000000 PA 2307034.12000000 0.071040088254 Long DBT NUSS SG N 2 2029-07-01 Fixed 2.88000000 N N N N N N The Federal Republic of Nigeria 549300GSBZD84TNEQ285 65412JAC7 300000.00000000 PA USD 323406.00000000 0.009958583006 Long DBT NUSS NG Y 2 2027-11-28 Fixed 6.50000000 N N N N N N Northern Natural Gas Co 5493007M02M6CT9EXE41 665501AL6 2615000.00000000 PA USD 3114438.12000000 0.095902334945 Long DBT CORP US Y 2 2049-01-15 Fixed 4.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HKLB2 3189025.43000000 PA USD 3535471.23000000 0.108867132055 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 5.00000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAB6 480000.00000000 PA USD 464880.00000000 0.014314966537 Long DBT CORP US N 2 2026-12-01 Fixed 4.13000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CR9 520000.00000000 PA USD 591587.28000000 0.018216641105 Long DBT CORP US N 2 2027-03-25 Fixed 3.38000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFM6 580000.00000000 PA USD 646648.61000000 0.019912134773 Long DBT CORP US N 2 2025-01-22 Fixed 4.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -19.00000000 NC USD -5937.50000000 -0.00018283237 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 19.00000000 NC N/A -5937.50000000 0.00000000 DIR US Short US Treasury Long Bond USH1 Comdty 2021-03-22 19.00000000 USD 1000.00000000 172.00000000 USD 2021-02-19 XXXX 3529.63000000 N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FL7 560000.00000000 PA USD 644173.60000000 0.019835922233 Long DBT CORP US N 2 2070-02-05 Fixed 3.75000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1246.28000000 0.000038376476 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8600000.00000000 CAD 6727332.60000000 USD 2021-03-17 1246.28000000 N N N Small Business Administration Participation Certs N/A 83162CC68 298208.24000000 PA USD 319506.24000000 0.009838498395 Long ABS-O USGA US N 2 2044-07-01 Fixed 2.69000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -3905.48000000 -0.00012026074 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1235840.81000000 USD 10552380.00000000 NOK 2021-03-10 -3905.48000000 N N N WF-RBS Commercial Mortgage Trust 549300GADFYEKC4OLM57 92890PAH7 890000.00000000 PA USD 931748.57000000 0.028691166753 Long ABS-MBS CORP US N 2 2046-06-15 Variable 3.84000000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579AN8 1249536.15000000 PA USD 1261303.41000000 0.038839089888 Long ABS-MBS CORP US N 2 2034-09-25 Variable 2.76000000 N N N N N N HANESBRANDS INC GX5LWVWZLL5S4W1L2F20 410345AN2 300000.00000000 PA USD 319809.00000000 0.009847821229 Long DBT CORP US Y 2 2025-05-15 Fixed 5.38000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -157.59000000 -0.00000485264 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 62596.82000000 USD 55560.00000000 CHF 2021-03-10 -157.59000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 454620.85000000 0.013999058369 N/A DFE NO N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 14657578.14000000 USD 129450600.00000000 NOK 2021-03-17 454620.85000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6QL8 223198.13000000 PA USD 243691.53000000 0.007503949615 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N Sound Point CLO LTD 5493001QI7ZD0IPL4A34 83610JAA4 6000000.00000000 PA USD 5989056.00000000 0.184419928214 Long ABS-CBDO CORP KY Y 2 2031-04-15 Floating 1.24000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QDFB5 1164194.30000000 PA USD 1236588.20000000 0.038078038855 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KZ68 1826718.59000000 PA USD 2105734.13000000 0.064841493733 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 5.00000000 N N N N N N Abbott Laboratories HQD377W2YR662HK5JX27 002824BH2 280000.00000000 PA USD 396513.60000000 0.012209772232 Long DBT CORP US N 2 2046-11-30 Fixed 4.90000000 N N N N N N VOC Escrow Ltd N/A 91832VAA2 310000.00000000 PA USD 300814.70000000 0.009262933153 Long DBT CORP BM Y 2 2028-02-15 Fixed 5.00000000 N N N N N N KINDER MORGAN INC/DELAWA 549300WR7IX8XE0TBO16 49456BAJ0 170000.00000000 PA USD 201869.89000000 0.006216143349 Long DBT CORP US N 2 2046-02-15 Fixed 5.05000000 N N N N N N ICICI BANK LTD/DUBAI R7RX8ER1V4666J8D1I38 45112EAH2 3094000.00000000 PA USD 3362837.66000000 0.103551257469 Long DBT CORP IN Y 2 2027-12-14 Fixed 3.80000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BM1 290000.00000000 PA USD 390292.05000000 0.012018193158 Long DBT CORP US N 2 2050-03-25 Fixed 4.75000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BG6 1088000.00000000 PA USD 1120294.18000000 0.034497017936 Long DBT CORP US N 2 2022-06-01 Fixed 2.63000000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAP8 2941000.00000000 PA USD 3610077.50000000 0.111164469559 Long DBT CORP KY N 2 2026-08-10 Fixed 6.25000000 N N N N N N Ace Securities Corp. N/A 00083BAB1 3324234.17000000 PA USD 3298794.80000000 0.101579197157 Long ABS-MBS CORP US Y 2 2038-02-25 Variable 6.34000000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86359LFP9 248294.05000000 PA USD 255501.98000000 0.007867626686 Long ABS-MBS CORP US N 2 2035-04-19 Floating 0.53000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MQ1 340000.00000000 PA USD 369049.26000000 0.011364067732 Long DBT CORP US N 2 2026-04-08 Fixed 3.11000000 N N N N N N Liberty Street Trust N/A 902055AA0 975000.00000000 PA USD 1084002.17000000 0.033379484575 Long ABS-MBS CORP US Y 2 2036-02-10 Fixed 3.60000000 N N N N N N PARSLEY ENERGY LLC/FINAN N/A 701885AJ4 50000.00000000 PA USD 53125.00000000 0.001635868605 Long DBT CORP US Y 2 2028-02-15 Fixed 4.13000000 N N N N N N MONDELEZ INTL HLDINGS NE 549300CW356R8I7N8D33 60920LAE4 703000.00000000 PA USD 723184.16000000 0.022268880249 Long DBT CORP NL Y 2 2022-09-19 Fixed 2.13000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AQ4 391000.00000000 PA USD 377803.75000000 0.011633643174 Long DBT CORP US N 2 2044-06-01 Fixed 4.90000000 N N N N N N Russell Investments Trust Company Commingled Employee Benefit Funds Trust-U.S. Cash Management Fund 845SLB3N6EI7ZN7PZ398 000000000 305177533.28000000 NS USD 305116497.77000000 9.395397641272 Long STIV PF US N N/A N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 105756BZ2 1360000.00000000 PA USD 1500080.00000000 0.046191694637 Long DBT NUSS BR N 2 2028-01-13 Fixed 4.63000000 N N N N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411AW5 320000.00000000 PA USD 324019.20000000 0.009977465163 Long DBT CORP US N 2 2040-09-01 Fixed 5.10000000 N N N N N N BELLEMEADE RE LT N/A 07876TAA0 2166830.89000000 PA USD 2172009.40000000 0.066882296246 Long ABS-MBS CORP BM Y 2 2030-06-25 Floating 2.78000000 N N N N N N Union Pacific Corp 549300LMMRSZZCZ8CL11 907818ES3 80000.00000000 PA USD 90144.56000000 0.002775805282 Long DBT CORP US N 2 2025-07-15 Fixed 3.75000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBH2 50000.00000000 PA USD 52734.80000000 0.001623853246 Long DBT CORP US N 2 2023-04-06 Fixed 2.94000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAP6 410000.00000000 PA USD 474773.60000000 0.014619618388 Long DBT CORP US N 2 2028-03-01 Fixed 4.30000000 N N N N N N CLI Funding LLC 549300NQLBWJD5AREU05 12563LAQ0 1385640.28000000 PA USD 1402711.23000000 0.043193435550 Long ABS-O CORP US Y 2 2045-09-15 Fixed 2.03000000 N N N N N N HOWMET AEROSPACE INC 549300HO5WFZUT5N2T22 022249AU0 210000.00000000 PA USD 256237.80000000 0.007890284659 Long DBT CORP US N 2 2028-01-15 Fixed 6.75000000 N N N N N N MAGNOLIA FIN X DAC 2020 1 08/24 1 N/A 55968FAA8 1152361.80000000 PA USD 1123549.17000000 0.034597248260 Long ABS-O CORP IE N 3 2024-08-13 Variable 3.98000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HNJ5 210000.00000000 PA USD 246493.44000000 0.007590228328 Long DBT CORP US N 2 2027-10-01 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QCW28 1089315.83000000 PA USD 1161522.70000000 0.035766560365 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SAH6 935000.00000000 PA USD 1586540.44000000 0.048854055472 Long DBT CORP US N 2 2039-02-06 Fixed 10.20000000 N N N N N N SWEDBANK AB M312WZV08Y7LYUC71685 87020PAK3 570000.00000000 PA USD 581199.36000000 0.017896767745 Long DBT CORP SE Y 2 2023-06-02 Fixed 1.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6UC3 360044.98000000 PA USD 382875.65000000 0.011789821282 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.50000000 N N N N N N WILLIAMS COS INC D71FAKCBLFS2O0RBPG08 969457BD1 300000.00000000 PA USD 403584.61000000 0.012427508576 Long DBT CORP US N 2 2031-06-15 Fixed 7.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828X88 5385000.00000000 PA USD 5963466.82000000 0.183631965180 Long DBT UST US N 2 2027-05-15 Fixed 2.38000000 N N N N N N Fannie Mae - CAS N/A 30711XDA9 2360116.25000000 PA USD 2456379.49000000 0.075638853471 Long ABS-MBS USGSE US N 2 2029-01-25 Floating 4.38000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CW3 250000.00000000 PA USD 329595.85000000 0.010149185947 Long DBT CORP US N 2 2050-05-01 Fixed 5.81000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382LCN9 6827036.18000000 PA USD 797519.35000000 0.024557870435 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.00000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RHW5 330000.00000000 PA USD 376428.72000000 0.011591302121 Long DBT CORP US N 2 2027-02-15 Fixed 3.80000000 N N N N N N NATIONAL FUEL GAS CO 8JB38FFW1Y3C1HM8E841 636180BQ3 3010000.00000000 PA USD 3502748.11000000 0.107859494885 Long DBT CORP US N 2 2026-01-15 Fixed 5.50000000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46513JXN6 290000.00000000 PA USD 315740.40000000 0.009722537558 Long DBT NUSS IL N 2 2050-01-15 Fixed 3.38000000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAH7 320000.00000000 PA USD 368137.60000000 0.011335995149 Long DBT CORP US N 2 2050-04-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAV3 7190000.00000000 PA USD 7055187.50000000 0.217249124451 Long DBT UST US N 2 2030-11-15 Fixed 0.88000000 N N N N N N BHP BILLITON FIN USA LTD 5493003NUVITP3TMY274 055451AV0 260000.00000000 PA USD 363513.30000000 0.011193599908 Long DBT CORP AU N 2 2043-09-30 Fixed 5.00000000 N N N N N N TEXAS EASTERN TRANSMISSI 549300SIOULUXXIDGA69 882384AC4 290000.00000000 PA USD 299588.64000000 0.009225179307 Long DBT CORP US Y 2 2022-10-15 Fixed 2.80000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AK9 450000.00000000 PA USD 499939.82000000 0.015394557291 Long DBT CORP US N 2 2030-03-27 Fixed 2.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KGR54 3683990.72000000 PA USD 3880921.06000000 0.119504506768 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CA5 420000.00000000 PA USD 436216.29000000 0.013432330051 Long DBT CORP US N 2 2030-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HN5B4 1937959.05000000 PA USD 2112260.25000000 0.065042451377 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFU8 160000.00000000 PA USD 184634.62000000 0.005685420768 Long DBT CORP US N 2 2026-03-03 Fixed 4.45000000 N N N N N N MACY'S RETAIL HLDGS LLC N/A 55616XAL1 290000.00000000 PA USD 282025.00000000 0.008684345288 Long DBT CORP US N 2 2024-06-01 Fixed 3.63000000 N N N N N N Bluemountain CLO Ltd 549300KGXMRFX2DKIX03 09626YAN0 2333317.84000000 PA USD 2333583.84000000 0.071857629024 Long ABS-CBDO CORP KY Y 2 2030-10-22 Floating 1.40000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC -1827.04000000 -0.00005625971 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 717380.00000000 NZD 513687.84000000 USD 2021-03-10 -1827.04000000 N N N Banco Santander SA 5493006QMFDDMYWIAM13 05964HAH8 200000.00000000 PA USD 203194.00000000 0.006256916431 Long DBT CORP ES N 2 2023-04-12 Floating 1.34000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46650FAQ5 2910000.00000000 PA USD 885572.66000000 0.027269280231 Long ABS-MBS CORP US Y 2 2035-06-15 Floating 4.51000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PDP4 130000.00000000 PA USD 153488.91000000 0.004726356501 Long DBT CORP US N 2 2028-12-15 Fixed 3.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EKW35 446410.48000000 PA USD 536837.31000000 0.016530735089 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RB6 1860000.00000000 PA USD 2268037.50000000 0.069839272322 Long DBT UST US N 2 2043-05-15 Fixed 2.88000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BA2 2820000.00000000 PA USD 3503307.66000000 0.107876725008 Long DBT CORP US N 2 2040-02-15 Fixed 5.88000000 N N N N N N DBUBS Mortgage Trust N/A 23305YAL3 320000.00000000 PA USD 321270.43000000 0.009892822781 Long ABS-MBS CORP US Y 2 2044-08-10 Variable 5.34000000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46513JB34 500000.00000000 PA USD 547718.00000000 0.016865782227 Long DBT NUSS IL N 2 2030-07-03 Fixed 2.75000000 N N N N N N Freddie Mac N/A 3133KGP28 821676.71000000 PA USD 883875.47000000 0.027217018963 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Enbridge Inc 98TPTUM4IVMFCZBCUR27 29250NAR6 2850000.00000000 PA USD 3246813.71000000 0.099978552767 Long DBT CORP CA N 2 2027-07-15 Fixed 3.70000000 N N N N N N Applebees/IHOP Funding LLC N/A 03789XAD0 1526175.00000000 PA USD 1534019.54000000 0.047236788810 Long ABS-O CORP US Y 2 2049-06-07 Fixed 4.19000000 N N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 000000000 1.00000000 NC -122955.54000000 -0.00378614791 N/A DFE JP N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 26898432.41000000 USD 2803631680.00000000 JPY 2021-03-10 -122955.54000000 N N N Dividend Solar Loans LLC N/A 255388AA8 1275121.64000000 PA USD 1343622.70000000 0.041373933034 Long ABS-O CORP US Y 2 2039-08-22 Fixed 3.67000000 N N N N N N TRUST FIBRAUNO N/A 898339AB2 1794000.00000000 PA USD 2100774.00000000 0.064688757339 Long DBT MX Y 2 2050-01-15 Fixed 6.39000000 N N N N N N PFS Financing Corp. N/A 69335PDX0 4713000.00000000 PA USD 4755027.23000000 0.146420701428 Long ABS-O CORP US Y 2 2026-02-15 Fixed 0.97000000 N N N N N N Freddie Mac N/A 3132XVZJ5 1752643.88000000 PA USD 1920339.04000000 0.059132655948 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.50000000 N N N N N N TOLL BROS FINANCE CORP N/A 88947EAN0 160000.00000000 PA USD 168400.00000000 0.005185511023 Long DBT CORP US N 2 2023-04-15 Fixed 4.38000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBM0 420000.00000000 PA USD 434015.01000000 0.013364546430 Long DBT CORP US N 2 2022-11-21 Fixed 2.30000000 N N N N N N FANNIEMAE STRIP B1V7KEBTPIMZEU4LTD58 3136FAEP1 10492.56000000 PA USD 2228.35000000 0.000068617182 Long ABS-MBS USGSE US N 2 2031-12-25 Fixed 8.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6PH8 763148.03000000 PA USD 804393.02000000 0.024769530123 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 2.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1568.48000000 0.000048297923 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5032344200.00000000 IDR 359787.25000000 USD 2021-02-11 1568.48000000 N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 2779000.00000000 PA USD 3173492.97000000 0.097720800359 Long DBT CORP US Y 2 2025-12-15 Fixed 4.25000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 11440000.00000000 OU Notional Amount 91891.50000000 0.002829598493 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 N/A N/A Y 2027-01-04 20856.68000000 BRL 0.00000000 BRL 11440000.00000000 BRL 86017.92000000 N N N Fannie Mae N/A 3136AETS6 183089.39000000 PA USD 41067.15000000 0.001264573391 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 6.02000000 N N N N N N Seagate HDD Cayman 529900BD50TRWEG1SF63 81180WAT8 1340000.00000000 PA USD 1445659.00000000 0.044515918535 Long DBT CORP KY N 2 2024-03-01 Fixed 4.88000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAQ4 180000.00000000 PA USD 220214.96000000 0.006781039802 Long DBT CORP US N 2 2048-03-01 Fixed 5.20000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 666807BN1 930000.00000000 PA USD 1035669.94000000 0.031891198878 Long DBT CORP US N 2 2028-01-15 Fixed 3.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828TJ9 7440000.00000000 PA USD 7614956.21000000 0.234485982032 Long DBT UST US N 2 2022-08-15 Fixed 1.63000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2197000.00000000 OU Notional Amount USD 9704.81000000 0.000298838475 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2047-02-15 12935.80000000 USD 0.00000000 USD 2197000.00000000 USD -3230.99000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJA8 1350000.00000000 PA USD 1630747.40000000 0.050215312470 Long DBT CORP US N 2 2051-03-20 Fixed 4.08000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SA7 3615000.00000000 PA USD 4556876.97000000 0.140319095979 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89114QCH9 450000.00000000 PA USD 457513.33000000 0.014088125987 Long DBT CORP CA N 2 2025-06-12 Fixed 1.15000000 N N N N N N UMBS, TBA N/A 01F022634 3100000.00000000 PA USD 3260933.59000000 0.100413343702 Long ABS-MBS USGSE US N 2 2051-03-11 Fixed 2.50000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BY9 1820000.00000000 PA USD 2067647.56000000 0.063668700808 Long DBT CORP US N 2 2027-02-06 Fixed 3.30000000 N N N N N N Asurion LLC 549300KNQVXGIOXWK278 04649VAW0 757645.74000000 PA USD 754668.19000000 0.023238362343 Long LON CORP US N 2 2024-11-03 Floating 3.12000000 N N N N N N Aetna Inc 549300QKBENKLBXQ8968 00817YAV0 1200000.00000000 PA USD 1262346.62000000 0.038871213266 Long DBT CORP US N 2 2023-06-15 Fixed 2.80000000 N N N N N N Fannie Mae N/A 3136BDQ43 5872276.00000000 PA USD 645950.36000000 0.019890633686 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.50000000 N N N N N N Hilton USA Trust N/A 43300LAL4 9138000.00000000 PA USD 9868226.72000000 0.303870537077 Long ABS-MBS CORP US Y 2 2038-11-05 Variable 4.19000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07384MQ88 559329.70000000 PA USD 545164.84000000 0.016787163228 Long ABS-MBS CORP US N 2 2034-07-25 Variable 3.26000000 N N N N N N Bank of Montreal NQQ6HPCNCCU6TUTQYE16 06368BGS1 120000.00000000 PA USD 137388.63000000 0.004230583464 Long DBT CORP CA N 2 2032-12-15 Fixed 3.80000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BX1 550000.00000000 PA USD 589656.77000000 0.018157195256 Long DBT CORP US N 2 2024-02-06 Fixed 2.88000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FG8 390000.00000000 PA USD 459693.69000000 0.014155265422 Long DBT CORP US N 2 2060-03-20 Fixed 3.84000000 N N N N N N Fannie Mae - CAS N/A 30711XUX0 1446252.90000000 PA USD 1454760.34000000 0.044796174467 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 2.53000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBL9 170000.00000000 PA USD 178355.29000000 0.005492062485 Long DBT CORP US N 2 2031-04-22 Fixed 2.52000000 N N N N N N Freddie Mac N/A 3133KKY86 12473042.37000000 PA USD 12972259.30000000 0.399452456094 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 23636AAP6 230000.00000000 PA USD 247587.81000000 0.007623927067 Long DBT CORP DK Y 2 2023-09-12 Fixed 3.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZT0 30000.00000000 PA USD 29883.98000000 0.000920212041 Long DBT UST US N 2 2025-05-31 Fixed 0.25000000 N N N N N N Southern Copper Corp 2549007U6NAP46Q9TU15 84265VAG0 1410000.00000000 PA USD 1857957.87000000 0.057211763758 Long DBT CORP US N 2 2042-11-08 Fixed 5.25000000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZT8 167000.00000000 PA USD 163942.23000000 0.005048243711 Long DBT CORP US N 2 2029-10-28 Fixed 3.75000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DC6 350000.00000000 PA USD 367937.50000000 0.011329833505 Long DBT CORP US N 2 2026-03-15 Fixed 5.55000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 43531.21000000 0.001340448749 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4461459.12000000 USD 3286589.00000000 GBP 2021-04-19 43531.21000000 N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579YBN0 100000.00000000 PA USD 112082.83000000 0.003451346499 Long DBT CORP US N 2 2030-04-15 Fixed 3.05000000 N N N N N N Trans Union, LLC X8NPN6PWJOM1QCTYFV34 89334GAX2 390934.63000000 PA USD 390141.03000000 0.012013542826 Long LON CORP US N 2 2026-11-16 Floating 1.87000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BB9 240000.00000000 PA USD 259334.59000000 0.007985643559 Long DBT CORP US N 2 2025-02-12 Fixed 2.70000000 N N N N N N Telefonica Emisiones SAU 549300Y5MFC4SW5Z3K71 87938WAU7 500000.00000000 PA USD 632327.99000000 0.019471162487 Long DBT CORP ES N 2 2047-03-08 Fixed 5.21000000 N N N N N N CON EDISON CO OF NY INC VZFZPMWDHTQCFKYOBP05 209111FX6 180000.00000000 PA USD 202286.08000000 0.006228959013 Long DBT CORP US N 2 2030-04-01 Fixed 3.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HFPP8 4409451.04000000 PA USD 4721190.15000000 0.145378762287 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 2.50000000 N N N N N N GMAC Mortgage Corporation Loan Trust N/A 36186LAB9 767820.80000000 PA USD 788316.32000000 0.024274483181 Long ABS-MBS CORP US N 2 2037-12-25 Variable 6.05000000 N N N N N N Wyndham Destinations Inc T4VNTWMFQ7JQB65L7T35 98310WAP3 178000.00000000 PA USD 190460.00000000 0.005864800651 Long DBT CORP US N 2 2024-04-01 Fixed 5.65000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -60.00000000 NC 55337.86000000 0.001704008806 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-OAT OATH1 Comdty 2021-03-08 -10069800.00000000 EUR 55337.86000000 N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BM5 360000.00000000 PA USD 440100.00000000 0.013551920437 Long DBT NUSS PA N 2 2056-04-01 Fixed 4.50000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017DB2 19000.00000000 PA USD 20428.47000000 0.000629050216 Long DBT CORP US N 2 2023-08-16 Fixed 3.65000000 N N N N N N Fanniemae-Aces N/A 3136AW7J0 200000.00000000 PA USD 222609.02000000 0.006854759663 Long ABS-MBS USGSE US N 2 2027-05-25 Variable 3.06000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QF8 5592626.45000000 PA USD 8598444.72000000 0.264770367486 Long DBT UST US N 2 2040-02-15 Fixed 2.13000000 N N N N N N RegionalCare Hospital Partners Holdings, Inc. 549300G8ZVHRTBBBSZ90 75915TAD4 1161177.93000000 PA USD 1159145.87000000 0.035693371064 Long LON CORP US N 2 2025-11-16 Floating 3.87000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379RV34 1768591.28000000 PA USD 92072.69000000 0.002835177844 Long ABS-MBS USGA US N 2 2059-02-16 Variable 0.69000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AR1 480000.00000000 PA USD 569249.93000000 0.017528811089 Long DBT CORP GB Y 2 2027-04-10 Fixed 4.75000000 N N N N N N BCAP LLC Trust N/A 05544EAM3 3061272.08000000 PA USD 2690968.36000000 0.082862506508 Long ABS-O CORP US Y 2 2036-10-26 Variable 0.31000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAE8 280000.00000000 PA USD 299743.98000000 0.009229962664 Long DBT CORP XX Y 2 2025-05-01 Fixed 2.70000000 N N N N N N ABU DHABI GOVT INT'L 213800FER4348CINTA77 29135LAC4 530000.00000000 PA USD 547585.40000000 0.016861699099 Long DBT NUSS AE Y 2 2022-10-11 Fixed 2.50000000 N N N N N N Synchrony Bank 549300UATVPGSLE43Z27 87166FAA1 852000.00000000 PA USD 878362.38000000 0.027047255371 Long DBT CORP US N 2 2022-06-15 Fixed 3.00000000 N N N N N N Freddie Mac - STACR N/A 35566AAA7 2071160.71000000 PA USD 2075735.08000000 0.063917738362 Long ABS-MBS USGSE US Y 2 2050-10-25 Floating 1.38000000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAJ3 480000.00000000 PA USD 574856.06000000 0.017701439645 Long DBT CORP US N 2 2060-04-01 Fixed 3.70000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BT0 160000.00000000 PA USD 182054.86000000 0.005605982681 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N CANADIAN GOVERNMENT 4BFD7AQU0A75QLAHK410 135087F82 3004000.00000000 PA 2416848.67000000 0.074421588014 Long DBT NUSS CA N 2 2027-06-01 Fixed 1.00000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 693587AA5 2411071.04000000 PA USD 2420071.33000000 0.074520822806 Long ABS-MBS CORP US Y 2 2025-11-25 Variable 2.36000000 N N N N N N ALIBABA GROUP HOLDING 5493001NTNQJDH60PM02 01609WAQ5 2950000.00000000 PA USD 3223502.61000000 0.099260738242 Long DBT CORP KY N 2 2024-11-28 Fixed 3.60000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810ST6 1240000.00000000 PA USD 1181487.50000000 0.036381332873 Long DBT UST US N 2 2040-11-15 Fixed 1.38000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397XZ1 316000.00000000 PA USD 319357.50000000 0.009833918271 Long DBT CORP US N 2 2023-05-04 Fixed 3.10000000 N N N N N N Wynn Resorts Limited Term Loan A N/A 98313DAC1 1378125.00000000 PA USD 1329890.63000000 0.040951083863 Long LON CORP US N 2 2024-09-20 Floating 1.88000000 N N N N N N KKR GROUP FIN CO II N/A 48249DAA9 50000.00000000 PA USD 65802.17000000 0.002026234429 Long DBT CORP US Y 2 2043-02-01 Fixed 5.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBB6 830000.00000000 PA USD 899905.89000000 0.027710640814 Long DBT CORP US N 2 2025-11-15 Fixed 3.15000000 N N N N N N ML-CFC Commercial Mortgage Trust N/A 55312YAH5 267271.76000000 PA USD 145128.83000000 0.004468926056 Long ABS-MBS CORP US N 2 2048-08-12 Variable 5.45000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179QGC9 152850.51000000 PA USD 166085.07000000 0.005114227799 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 3.50000000 N N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 000000000 1.00000000 NC 33.64000000 0.000001035870 N/A DFE US N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 854880.00000000 JPY 8197.99000000 USD 2021-03-10 33.64000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -31436.18000000 -0.00096800865 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2652422.03000000 USD 199860000.00000000 RUB 2021-04-19 -31436.18000000 N N N TOTAL CAPITAL INTL SA 549300U37G2I8G4RUG09 89153VAL3 2826000.00000000 PA USD 3118859.79000000 0.096038490637 Long DBT CORP FR N 2 2024-04-10 Fixed 3.75000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAL0 80000.00000000 PA USD 94761.34000000 0.002917968962 Long DBT CORP US N 2 2035-07-15 Fixed 5.00000000 N N N N N N ENBRIDGE ENERGY PARTNERS CZ6VG2MNE1J6YDI02G48 29250RAX4 2006000.00000000 PA USD 3039055.36000000 0.093581087124 Long DBT CORP US N 2 2045-10-15 Fixed 7.38000000 N N N N N N Freddie Mac N/A 3132ADUS5 418933.34000000 PA USD 454342.11000000 0.013990475178 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.00000000 N N N N N N CIFC Funding Ltd 2549005S1LQJ8MBPXW05 12550YAC8 5084000.00000000 PA USD 5085133.73000000 0.156585611730 Long ABS-O CORP KY Y 2 2030-04-20 Floating 1.46000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXFD9 1099409.70000000 PA USD 1264404.55000000 0.038934582736 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 5.00000000 N N N N N N Freddie Mac N/A 31392MTP7 16026.68000000 PA USD 3487.05000000 0.000107376105 Long ABS-MBS USGSE US N 2 2032-03-15 Floating 7.87000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAA1 4111000.00000000 PA USD 4271756.50000000 0.131539432438 Long DBT CORP CH Y 2 2023-05-23 Fixed 3.49000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -137481.68000000 -0.00423344873 N/A DFE JP N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9526220.49000000 USD 983249800.00000000 JPY 2021-02-22 -137481.68000000 N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 000000000 1.00000000 NC 112.07000000 0.000003450951 N/A DFE US N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 595360.00000000 SEK 71386.37000000 USD 2021-03-10 112.07000000 N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AA5 817000.00000000 PA USD 919125.00000000 0.028302451424 Long DBT CORP US N 2 2050-02-01 Fixed 6.50000000 N N N N N N Transcanada Trust N/A 89356BAC2 500000.00000000 PA USD 528750.00000000 0.016281704002 Long DBT CORP CA N 2 2077-03-15 Fixed 5.30000000 N N N N N N Dollar General Corp OPX52SQVOZI8IVSWYU66 256677AC9 50000.00000000 PA USD 52771.06000000 0.001624969794 Long DBT CORP US N 2 2023-04-15 Fixed 3.25000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 197677AG2 415000.00000000 PA USD 499556.25000000 0.015382746089 Long DBT CORP US N 2 2025-06-15 Fixed 7.69000000 N N N N N N Freddie Mac N/A 3132GJVZ9 22433.94000000 PA USD 24826.44000000 0.000764476118 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 4.00000000 N N N N N N TRANSCANADA PIPELINES 5BV01I6231JPDAPMGH09 89352HAM1 2818000.00000000 PA USD 3386893.02000000 0.104291989859 Long DBT CORP CA N 2 2034-03-01 Fixed 4.63000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAA3 500000.00000000 PA USD 514924.87000000 0.015855989251 Long DBT CORP US N 2 2022-03-15 Fixed 3.60000000 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 5326000.00000000 PA 4328391.52000000 0.133283384460 Long DBT NUSS SG N 2 2026-06-01 Fixed 2.13000000 N N N N N N ML-CFC Commercial Mortgage Trust N/A 55312YAR3 264466.34000000 PA USD 143605.22000000 0.004422009806 Long ABS-MBS CORP US Y 2 2048-08-12 Variable 5.45000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828P46 8512000.00000000 PA USD 9013742.48000000 0.277558556992 Long DBT UST US N 2 2026-02-15 Fixed 1.63000000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057CD4 700000.00000000 PA USD 827288.00000000 0.025474531140 Long DBT CORP US N 2 2027-11-29 Fixed 4.75000000 N N N N N N Fannie Mae N/A 31396V4Q8 139989.36000000 PA USD 137651.09000000 0.004238665348 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.23000000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 597433AC5 2615000.00000000 PA USD 3211750.03000000 0.098898843152 Long DBT CORP GB N 2 2025-05-01 Fixed 7.65000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCK8 390000.00000000 PA USD 505150.26000000 0.015555001437 Long DBT CORP US N 2 2046-08-21 Fixed 4.86000000 N N N N N N Fannie Mae - CAS N/A 30711XNX8 3173333.57000000 PA USD 3191993.72000000 0.098290490638 Long ABS-MBS USGSE US N 2 2030-01-25 Floating 2.33000000 N N N N N N Waste Management Inc 549300YX8JIID70NFS41 94106LAZ2 890000.00000000 PA USD 969983.15000000 0.029868517324 Long DBT CORP US N 2 2024-05-15 Fixed 3.50000000 N N N N N N Fannie Mae N/A 31393APX9 26872.36000000 PA USD 5294.72000000 0.000163039364 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 7.00000000 N N N N N N Freddie Mac N/A 3128M7VH6 3143171.75000000 PA USD 3612013.16000000 0.111224073990 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3133KKT82 896342.25000000 PA USD 955320.58000000 0.029417015433 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N Option One Mortgage Loan Trust N/A 68389FFT6 944767.17000000 PA USD 941898.38000000 0.029003708034 Long ABS-MBS CORP US N 2 2034-11-25 Floating 0.91000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HJZ4 390000.00000000 PA USD 454522.66000000 0.013996034822 Long DBT CORP US N 2 2026-12-15 Fixed 4.13000000 N N N N N N Freddie Mac N/A 3133ABUS7 198951.13000000 PA USD 212694.35000000 0.006549459006 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Freddie Mac N/A 3132WEKX9 189642.87000000 PA USD 206886.08000000 0.006370605989 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370CA6 702000.00000000 PA USD 896805.00000000 0.027615155664 Long DBT CORP US N 2 2031-07-16 Fixed 7.45000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AM5 300000.00000000 PA USD 346250.91000000 0.010662042226 Long DBT CORP US N 2 2050-03-27 Fixed 3.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AUW37 28296.39000000 PA USD 31164.64000000 0.000959647175 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417SYQ7 204723.34000000 PA USD 229569.56000000 0.007069094323 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379XGR5 578858.70000000 PA USD 110254.12000000 0.003395035360 Long ABS-MBS USGA US N 2 2045-11-16 Fixed 4.50000000 N N N N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887BF5 2989000.00000000 PA USD 3304991.16000000 0.101770000560 Long DBT CORP US N 2 2024-12-15 Fixed 3.73000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -57102.48000000 -0.00175834643 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2797345.18000000 USD 3583992.00000000 AUD 2021-04-19 -57102.48000000 N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CAM6 100000.00000000 PA USD 123143.40000000 0.003791932649 Long DBT CORP US N 2 2041-12-15 Fixed 4.25000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QBG6 200000.00000000 PA USD 202000.00000000 0.006220149803 Long DBT CORP MX N 2 2023-01-30 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QCK96 155062.52000000 PA USD 170400.51000000 0.005247112369 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 4.00000000 N N N N N N MONDELEZ INTERNATIONAL 549300DV9GIB88LZ5P30 609207AU9 620000.00000000 PA USD 640317.19000000 0.019717172491 Long DBT CORP US N 2 2025-05-04 Fixed 1.50000000 N N N N N N JC Penney Corp Inc 8TDNUQ07MEFMWW1VHP39 708160BS4 250000.00000000 PA USD 77.50000000 0.000002386443 Long DBT CORP US N 2 2037-04-01 None 0.00000000 Y N N N N N Freddie Mac N/A 3131Y1U65 2519582.05000000 PA USD 2744259.81000000 0.084503500578 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.50000000 N N N N N N TARGET CORP 8WDDFXB5T1Z6J0XC1L66 87612EBL9 440000.00000000 PA USD 468828.81000000 0.014436561535 Long DBT CORP US N 2 2025-04-15 Fixed 2.25000000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057CV4 20000.00000000 PA USD 23725.00000000 0.000730559673 Long DBT CORP US N 2 2027-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382EDP9 764701.06000000 PA USD 112350.95000000 0.003459602670 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 3.50000000 N N N N N N Amgen Inc 62QBXGPJ34PQ72Z12S66 031162CQ1 637000.00000000 PA USD 715744.45000000 0.022039790592 Long DBT CORP US N 2 2027-11-02 Fixed 3.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QDD43 83651.11000000 PA USD 92039.40000000 0.002834152751 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4.00000000 N N N N N N EOG Resources Inc XWTZDRYZPBUHIQBKDB46 26875PAN1 520000.00000000 PA USD 592638.87000000 0.018249022527 Long DBT CORP US N 2 2035-04-01 Fixed 3.90000000 N N N N N N Levi Strauss & Co MB0UERO0RDFKU8258G77 52736RBG6 300000.00000000 PA USD 307980.00000000 0.009483572952 Long DBT CORP US N 2 2025-05-01 Fixed 5.00000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AS9 350000.00000000 PA USD 383606.53000000 0.011812327138 Long DBT CORP GB Y 2 2024-09-11 Fixed 3.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828XL9 11701256.31000000 PA USD 12957160.69000000 0.398987527302 Long DBT UST US N 2 2025-07-15 Fixed 0.38000000 N N N N N N Freddie Mac N/A 3137F7HN8 6063595.75000000 PA USD 836265.66000000 0.025750978615 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 4.00000000 N N N N N N GAZPROM (GAZ CAPITAL SA) 213800568PRHV2JR9650 368266AR3 2847000.00000000 PA USD 2996695.26000000 0.092276700156 Long DBT CORP LU Y 2 2022-07-19 Fixed 4.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X65C1 74835.96000000 PA USD 81440.58000000 0.002507785186 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.00000000 N N N N N N US Foods, Inc. 5493000JOOFAOUY1JZ87 90351HAD0 117663.33000000 PA USD 115751.30000000 0.003564309039 Long LON CORP US N 2 2026-09-13 Floating 2.12000000 N N N N N N WASHINGTON PG LP 549300K4BNOIQ154O537 939648AE1 939000.00000000 PA USD 662192.19000000 0.020390765446 Long DBT US N 2 2024-08-15 Fixed 6.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXET5 3386827.13000000 PA USD 3764101.45000000 0.115907301451 Long ABS-MBS USGSE US N 2 2057-03-01 Fixed 3.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFR0 340000.00000000 PA USD 334442.62000000 0.010298431668 Long DBT CORP US N 2 2031-01-20 Fixed 1.75000000 N N N N N N ZF NA CAPITAL 529900JYGMS9CW9IQX78 98877DAC9 324000.00000000 PA USD 351423.36000000 0.010821316552 Long DBT CORP US Y 2 2025-04-29 Fixed 4.75000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DL1 80000.00000000 PA USD 96274.77000000 0.002964571740 Long DBT CORP US N 2 2050-04-01 Fixed 4.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QY7 3020000.00000000 PA USD 3608782.04000000 0.111124578691 Long DBT UST US N 2 2042-11-15 Fixed 2.75000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BS4 640000.00000000 PA USD 637871.32000000 0.019641857255 Long DBT CORP US N 2 2030-06-03 Fixed 1.50000000 N N N N N N Countrywide Home Loans N/A 12669FA86 561614.75000000 PA USD 572736.18000000 0.017636162560 Long ABS-MBS CORP US N 2 2034-07-25 Variable 2.63000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBQ4 230000.00000000 PA USD 244517.60000000 0.007529386641 Long DBT CORP US N 2 2030-03-01 Fixed 5.50000000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 036752AC7 170000.00000000 PA USD 186648.00000000 0.005747418418 Long DBT CORP US N 2 2024-12-01 Fixed 3.35000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAW1 200000.00000000 PA USD 202580.14000000 0.006238013950 Long DBT CORP DK Y 2 2024-06-22 Fixed 1.23000000 N N N N N N GLAXOSMITHKLINE CAP INC 5493007Q8VD7Q3ZYZS59 377372AH0 2024000.00000000 PA USD 2124630.45000000 0.065423364729 Long DBT CORP US N 2 2023-03-18 Fixed 2.80000000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89114QBZ0 480000.00000000 PA USD 485328.07000000 0.014944620292 Long DBT CORP CA N 2 2021-06-11 Fixed 3.25000000 N N N N N N Ally Financial Inc 549300JBN1OSM8YNAI90 370425RZ5 2351000.00000000 PA USD 3381471.37000000 0.104125041962 Long DBT CORP US N 2 2031-11-01 Fixed 8.00000000 N N N N N N Delhaize America LLC 9VB3APGHFWSQ4ECW4316 246688AF2 809000.00000000 PA USD 1291805.13000000 0.039778323886 Long DBT CORP US N 2 2031-04-15 Fixed 9.00000000 N N N N N N Discover Bank X05BVSK68TQ7YTOSNR22 25466AAJ0 3000000.00000000 PA USD 3342154.11000000 0.102914352620 Long DBT CORP US N 2 2026-07-27 Fixed 3.45000000 N N N N N N CINTAS CORPORATION NO. 2 549300QVUQTTKMTE0G41 17252MAM2 520000.00000000 PA USD 534337.21000000 0.016453749958 Long DBT CORP US N 2 2022-04-01 Fixed 2.90000000 N N N N N N TJX COS INC V167QI9I69W364E2DY52 872540AR0 310000.00000000 PA USD 344225.51000000 0.010599674446 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 19990000.00000000 OU Notional Amount USD 266106.88000000 0.008194181471 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.IG.S34.V1 2I65BYDW2 RED Code Y sell protection 2025-06-20 132757.04000000 USD 0.00000000 USD 19990000.00000000 USD 133349.84000000 N N N UMBS, TBA N/A 01F030637 2900000.00000000 PA USD 3051343.78000000 0.093959482239 Long ABS-MBS USGSE US N 2 2051-03-11 Fixed 3.00000000 N N N N N N CAMB Commercial Mortgage Trust N/A 12482HAS3 7883000.00000000 PA USD 7619468.16000000 0.234624917700 Long ABS-MBS CORP US Y 2 2037-12-15 Floating 3.38000000 N N N N N N GS Mortgage Securities Trust 549300ITVQSU1IHX4H03 36198FAM4 1630000.00000000 PA USD 1764061.96000000 0.054320443827 Long ABS-MBS CORP US Y 2 2046-08-10 Fixed 4.51000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QAMD9 86807.12000000 PA USD 95483.63000000 0.002940210308 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4.50000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 840000.00000000 PA USD 887091.42000000 0.027316047136 Long DBT CORP GB N 2 2031-06-04 Fixed 2.85000000 N N N N N N Freddie Mac N/A 3137FVYJ5 4325278.78000000 PA USD 412658.84000000 0.012706929714 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.00000000 N N N N N N salesforce.com Inc RCGZFPDMRW58VJ54VR07 79466LAF1 110000.00000000 PA USD 128269.89000000 0.003949791737 Long DBT CORP US N 2 2028-04-11 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6FL0 10379702.28000000 PA USD 11157446.52000000 0.343569251360 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3128M6P77 801217.03000000 PA USD 951699.44000000 0.029305510318 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6.00000000 N N N N N N ESC LEHMAN BRTH HLDH PROD N/A 525ESCKW8 685272.50000000 PA USD 7195.36000000 0.000221565431 Long DBT CORP US N 2 2018-05-02 None 0.00000000 Y N N N N N United States Treasury 254900HROIFWPRGM1V77 912796XE4 25369000.00000000 PA USD 25368238.93000000 0.781159635575 Long STIV UST US N 2 2021-02-25 None 0.00000000 N N N N N N Towd Point Mortgage Trust N/A 89172YAA8 705178.40000000 PA USD 709155.39000000 0.021836894849 Long ABS-O CORP US Y 2 2056-04-25 Variable 2.25000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 000000000 400000.00000000 PA USD 512672.00000000 0.015786617029 Long DBT NUSS ID Y 2 2045-01-15 Fixed 5.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBJE9 3459653.07000000 PA USD 3744622.17000000 0.115307479472 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.50000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135AQ9 400000.00000000 PA USD 560965.22000000 0.017273701498 Long DBT CORP US N 2 2044-12-05 Fixed 4.95000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AB3 390000.00000000 PA USD 403872.30000000 0.012436367363 Long DBT CORP US N 2 2025-02-01 Fixed 4.35000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 9397400000.00000000 PA 2807438.33000000 0.086448945424 Long DBT NUSS CO N 2 2028-04-28 Fixed 6.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -17198.05000000 -0.00052957647 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 50717323000.00000000 IDR 3586797.95000000 USD 2021-02-26 -17198.05000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UPB2 293951.13000000 PA USD 319887.19000000 0.009850228920 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YHU65 2557177.87000000 PA USD 2793237.12000000 0.086011650109 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 3.50000000 N N N N N N SKY LTD 2138003TS48MQKF4BZ29 111013AL2 3311000.00000000 PA USD 3680135.11000000 0.113321740989 Long DBT CORP GB Y 2 2024-09-16 Fixed 3.75000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 2351000.00000000 PA 634716.46000000 0.019544710216 Long DBT NUSS MY N 2 2029-08-15 Fixed 3.89000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC -829.20000000 -0.00002553340 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 776010.00000000 CAD 606083.09000000 USD 2021-03-10 -829.20000000 N N N Conseco Financial Corp N/A 393505MR0 926545.98000000 PA USD 939545.33000000 0.028931250987 Long ABS-O CORP US N 2 2027-06-15 Variable 7.75000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAL8 20000.00000000 PA USD 21153.45000000 0.000651374395 Long DBT CORP US N 2 2031-02-15 Fixed 2.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9NR0 964591.20000000 PA USD 1062776.64000000 0.032725890634 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N TELECOM ITALIA CAPITAL 549300777DJZOR5C4L39 87927VAM0 394000.00000000 PA USD 471568.75000000 0.014520932017 Long DBT CORP LU N 2 2034-09-30 Fixed 6.00000000 N N N N N N FedEx Corp 549300E707U7WNPZN687 31428XBA3 750000.00000000 PA USD 882072.23000000 0.027161492117 Long DBT CORP US N 2 2035-02-01 Fixed 3.90000000 N N N N N N ARCELORMITTAL 2EULGUTUI56JI9SAL165 03938LBB9 590000.00000000 PA USD 633809.45000000 0.019516780820 Long DBT CORP LU N 2 2024-07-16 Fixed 3.60000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SS8 2330000.00000000 PA USD 2214956.25000000 0.068204750902 Long DBT UST US N 2 2050-11-15 Fixed 1.63000000 N N N N N N Svenska Handelsbanken AB NHBDILHZTYCNBV5UYZ31 86960BAT9 420000.00000000 PA USD 424090.69000000 0.013058948623 Long DBT CORP SE N 2 2021-05-24 Fixed 3.35000000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DQ7 250000.00000000 PA USD 266403.24000000 0.008203307231 Long DBT CORP US N 2 2025-06-30 Fixed 2.50000000 N N N N N N ESCROW GM CORP SR N/A 000000000 420000.00000000 NS USD 0.00000000 0.000000 Long STIV CORP DE N 3 N N N ABU DHABI GOVT INT'L 213800FER4348CINTA77 29135LAJ9 1370000.00000000 PA USD 1629204.00000000 0.050167786831 Long DBT NUSS AE Y 2 2050-04-16 Fixed 3.88000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAM2 360000.00000000 PA USD 402437.80000000 0.012392195061 Long DBT CORP US N 2 2038-04-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4MB9 7314702.89000000 PA USD 7769188.06000000 0.239235215752 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.00000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 000000000 2734600000.00000000 OU Notional Amount 276745.21000000 0.008521765660 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A N/A Y 2027-04-05 0.00000000 HUF 0.00000000 HUF 2734600000.00000000 HUF 276745.21000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404XLJ1 16752.48000000 PA USD 19580.46000000 0.000602937596 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N GUARDIAN LIFE GLOB FUND 635400NHILJ5JEKILC36 40139LAG8 180000.00000000 PA USD 181779.39000000 0.005597500182 Long DBT CORP US Y 2 2025-06-23 Fixed 1.10000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448EY0 510000.00000000 PA USD 516399.65000000 0.015901401887 Long DBT CORP US N 2 2023-05-01 Fixed 0.75000000 N N N N N N Nomura Resecuritization Trust N/A 65540WAP4 4388044.19000000 PA USD 3884286.19000000 0.119608128614 Long ABS-MBS CORP US Y 2 2047-03-26 Floating 0.37000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QDTJ3 4558889.42000000 PA USD 4880324.36000000 0.150278953500 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 2.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 10600000.00000000 OU Notional Amount 85144.23000000 0.002621831017 N/A DIR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 N/A N/A Y 2027-01-04 16611.75000000 BRL 0.00000000 BRL 10600000.00000000 BRL 80438.41000000 N N N Humana Inc 529900YLDW34GJAO4J06 444859BF8 130000.00000000 PA USD 150123.79000000 0.004622734964 Long DBT CORP US N 2 2027-03-15 Fixed 3.95000000 N N N N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AG6 430000.00000000 PA USD 453757.50000000 0.013972473387 Long DBT CORP US Y 2 2025-05-01 Fixed 5.38000000 N N N N N N 2021-03-02 RUSSELL INVESTMENT CO Mark Swanson Mark Swanson Treasurer XXXX