NPORT-P false 0000351601 XXXXXXXX S000001587 C000053056 C000053055 C000004301 C000166200 C000089691 C000178345 RUSSELL INVESTMENT CO 811-03153 0000351601 549300J63VJ9OS4TCK93 1301 SECOND AVENUE 18TH FLOOR SEATTLE 98101 800-787-7354 Investment Grade Bond Fund S000001587 6XE31ODZPBO0SIDX5S75 2022-10-31 2022-04-30 N 594889911.07 15923802.03 578966109.04 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 14011134.44000000 AUD CAD EUR GBP JPY USD N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JAJ7 758000.00000000 PA USD 793752.88000000 0.137098332286 Long DBT CORP US N 2 2037-05-01 Fixed 6.55000000 N N N N N N TELEDYNE FLIR LLC 5493000HDPX16EHNN346 302445AE1 205000.00000000 PA USD 176350.67000000 0.030459584291 Long DBT CORP US N 2 2030-08-01 Fixed 2.50000000 N N N N N N HGI CRE CLO Ltd N/A 40441LAA4 1963000.00000000 PA USD 1941623.13000000 0.335360412238 Long ABS-CBDO CORP KY Y 2 2036-06-16 Floating 1.60000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SE9 1360000.00000000 PA USD 1438784.38000000 0.248509257715 Long DBT UST US N 2 2048-11-15 Fixed 3.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828R36 4362000.00000000 PA USD 4141684.93000000 0.715358786176 Long DBT UST US N 2 2026-05-15 Fixed 1.63000000 N N N N N N Boardwalk Pipelines LP 549300W6AQ2GHHCGL606 096630AG3 335000.00000000 PA USD 329522.29000000 0.056915644086 Long DBT CORP US N 2 2029-05-03 Fixed 4.80000000 N N N N N N HOSPITAL SPECIAL SURGERY 549300U0XV0GGBTV6I72 44107HAF9 340000.00000000 PA USD 250932.29000000 0.043341447121 Long DBT CORP US N 2 2050-10-01 Fixed 2.67000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -322979.51000000 -0.05578556412 N/A DFE JP N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 2970325.32000000 USD 343080000.00000000 JPY 2022-06-15 -322979.51000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDC7 500000.00000000 PA USD 502262.46000000 0.086751616745 Long DBT CORP US N 2 2033-04-26 Fixed 4.59000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SN9 3505000.00000000 PA USD 2336438.47000000 0.403553581724 Long DBT UST US N 2 2050-05-15 Fixed 1.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A46Y6 96061.50000000 PA USD 97155.65000000 0.016780887254 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2F9 1095000.00000000 PA USD 1048953.17000000 0.181176955545 Long DBT CORP US N 2 2027-06-17 Fixed 3.20000000 N N N N N N WARWICK FINANCE RESIDENTIAL MORTGAGES PLC 213800JVKL1PIG7KRI38 000000000 1105638.20000000 PA 1391327.91000000 0.240312496409 Long ABS-MBS CORP GB Y 2 2049-12-21 Floating 1.25000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -70.00000000 NC 839958.30000000 0.145079010132 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short EUX 10 Year Euro BUND Future RXM2 COMDTY 2022-06-08 -11547506.55000000 EUR 839958.30000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810RN0 1210000.00000000 PA USD 1146333.20000000 0.197996598091 Long DBT UST US N 2 2045-08-15 Fixed 2.88000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CG2 315000.00000000 PA USD 274948.78000000 0.047489615662 Long DBT CORP US Y 2 2052-03-15 Fixed 4.63000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 484.00000000 NC USD -2873283.20000000 -0.49627830630 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year US Treasury Note TYM2 COMDTY 2022-06-21 60544908.20000000 USD -2873283.20000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828YS3 5120000.00000000 PA USD 4720000.00000000 0.815246337618 Long DBT UST US N 2 2029-11-15 Fixed 1.75000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAN4 351000.00000000 PA USD 335997.88000000 0.058034118880 Long DBT CORP US N 2 2025-02-15 Fixed 2.24000000 N N N N N N Hess Corp UASVRYNXNK17ULIGK870 42809HAC1 425000.00000000 PA USD 450825.07000000 0.077867264242 Long DBT CORP US N 2 2040-01-15 Fixed 6.00000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RFW7 780000.00000000 PA USD 787883.46000000 0.136084556193 Long DBT CORP US N 2 2037-08-15 Fixed 4.90000000 N N N N N N Bluemountain CLO Ltd 5493009UJ1T6R11V4458 09628JAL5 551000.00000000 PA USD 546475.19000000 0.094388113823 Long ABS-CBDO CORP KY Y 2 2031-04-20 Floating 2.06000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KHWV4 3006787.04000000 PA USD 2849362.22000000 0.492146634407 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F9AV3 1537537.39000000 PA USD 351135.72000000 0.060648752062 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 3.50000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 288030.93000000 0.049749186610 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 53266963.11000000 NOK 5967631.91000000 USD 2022-06-09 288030.93000000 N N N JP Morgan Mortgage Trust N/A 46654UAE5 2616037.68000000 PA USD 2425558.74000000 0.418946584632 Long ABS-MBS CORP US Y 2 2052-08-25 Variable 2.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 059438AG6 260000.00000000 PA USD 288762.71000000 0.049875580883 Long DBT CORP US N 2 2025-07-15 Fixed 7.75000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -160055.49000000 -0.02764505339 N/A DFE NO N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 3145682.16000000 USD 28000000.00000000 NOK 2022-06-15 -160055.49000000 N N N SCENTRE GROUP TRUST 1/2 N/A 80622GAD6 690000.00000000 PA USD 676596.68000000 0.116862916401 Long DBT AU Y 2 2026-01-28 Fixed 3.63000000 N N N N N N GLAXOSMITHKLINE CAP INC 5493007Q8VD7Q3ZYZS59 377372AM9 333000.00000000 PA USD 335645.82000000 0.057973310485 Long DBT CORP US N 2 2025-05-15 Fixed 3.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382KWC3 1593907.91000000 PA USD 221381.22000000 0.038237336614 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076AS1 265000.00000000 PA USD 312553.08000000 0.053984693597 Long DBT CORP US N 2 2036-12-16 Fixed 5.88000000 N N N N N N HSBC USA Inc 549300LBOHZ4QSIWU288 760719BH6 245000.00000000 PA USD 317130.02000000 0.054775230371 Long DBT CORP US N 2 2097-07-15 Fixed 7.20000000 N N N N N N Taurus CMBS 6354001CXJE7XMMVG324 000000000 486522.82000000 PA 600196.12000000 0.103666883195 Long ABS-MBS CORP IE Y 2 2031-08-17 Floating 1.66000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAN5 310000.00000000 PA USD 272680.94000000 0.047097910524 Long DBT CORP ES N 2 2027-09-14 Fixed 1.72000000 N N N N N N Madison Park Funding Ltd N/A 55819BAW0 1640000.00000000 PA USD 1628305.16000000 0.281243605554 Long ABS-CBDO CORP KY Y 2 2030-10-21 Floating 2.04000000 N N N N N N BROOKFIELD FINANCE LLC 549300E643C5WZF8BL44 11271RAB5 359000.00000000 PA USD 283791.85000000 0.049017005584 Long DBT CORP US N 2 2050-04-15 Fixed 3.45000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QBW5 230000.00000000 PA USD 231153.14000000 0.039925159070 Long DBT CORP US N 2 2023-09-01 Fixed 3.25000000 N N N N N N Sequoia Mortgage Trust N/A 81748WAK2 2120962.24000000 PA USD 1975756.92000000 0.341256057850 Long ABS-MBS CORP US Y 2 2051-06-25 Variable 2.50000000 N N N N N N ING Groep NV 549300NYKK9MWM7GGW15 456837AK9 357000.00000000 PA USD 360813.86000000 0.062320376679 Long DBT CORP NL N 2 2023-10-02 Fixed 4.10000000 N N N N N N APOLLO MANAGEMENT HOLDIN 5493006XQW0V5K38YM64 03765HAB7 230000.00000000 PA USD 232311.46000000 0.040125226049 Long DBT CORP US Y 2 2026-05-27 Fixed 4.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140E24F5 207205.08000000 PA USD 203837.41000000 0.035207140248 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAQ6 675000.00000000 PA USD 621882.33000000 0.107412561856 Long DBT CORP US N 2 2030-05-15 Fixed 3.75000000 N N N N N N Berkshire Hathaway Inc 5493000C01ZX7D35SD85 084670BS6 290000.00000000 PA USD 287883.67000000 0.049723751616 Long DBT CORP US N 2 2026-03-15 Fixed 3.13000000 N N N N N N CITADEL FINANCE LLC 549300BQL283NCR7P163 17287HAA8 590000.00000000 PA USD 550071.94000000 0.095009350532 Long DBT CORP US Y 2 2026-03-09 Fixed 3.38000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJW0 1045000.00000000 PA USD 853993.94000000 0.147503269477 Long DBT CORP US N 2 2042-04-22 Fixed 3.31000000 N N N N N N SCHLUMBERGER FIN CA 549300P4EXZFF0LRNF59 80685XAC5 405000.00000000 PA USD 379948.68000000 0.065625374968 Long DBT CORP CA N 2 2025-09-17 Fixed 1.40000000 N N N N N N BELLEMEADE RE LT N/A 078777AD1 961000.00000000 PA USD 923385.50000000 0.159488696416 Long ABS-MBS CORP US Y 2 2031-09-25 Floating 1.84000000 N N N N N N Carlyle Global Market Strategies 549300R4G5ROMXQ5CG20 14309YBQ6 1947000.00000000 PA USD 1925289.00000000 0.332539153836 Long ABS-CBDO CORP KY Y 2 2032-04-22 Floating 2.22000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 316.41000000 0.000054650867 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 337066.78000000 AUD 238629.12000000 USD 2022-06-09 316.41000000 N N N BON SECOURS MERCY 5493006NA7JSVYYYF398 09778PAA3 565000.00000000 PA USD 533936.53000000 0.092222415382 Long DBT CORP US N 2 2030-06-01 Fixed 3.46000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBLZ9 422563.86000000 PA USD 427965.88000000 0.073918986503 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4.00000000 N N N N N N Georgia Power Co D981X4Z4RWS7PDMJUZ03 373334KA8 565000.00000000 PA USD 512593.23000000 0.088535964713 Long DBT CORP US N 2 2043-03-15 Fixed 4.30000000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JAN8 380000.00000000 PA USD 426208.62000000 0.073615469600 Long DBT CORP US N 2 2038-07-01 Fixed 7.30000000 N N N N N N JP Morgan Mortgage Trust N/A 46592ABH6 195791.84000000 PA USD 187398.28000000 0.032367746069 Long ABS-MBS CORP US Y 2 2050-08-25 Variable 3.50000000 N N N N N N Banc of America Mortgage Securities N/A 05950TAA3 13864.39000000 PA USD 12583.36000000 0.002173419100 Long ABS-MBS CORP US N 2 2046-10-20 Variable 2.12000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -329647.54000000 -0.05693727747 N/A DFE JP N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 2994126.89000000 USD 345394993.00000000 JPY 2022-06-09 -329647.54000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -154217.50000000 -0.02663670594 N/A DFE NO N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 3139844.17000000 USD 28000000.00000000 NOK 2022-06-15 -154217.50000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828ZE3 4275000.00000000 PA USD 3824455.10000000 0.660566316453 Long DBT UST US N 2 2027-03-31 Fixed 0.63000000 N N N N N N Bayer US Finance LLC 54930093Q75GSEM74I71 07274EAG8 709000.00000000 PA USD 701142.61000000 0.121102530709 Long DBT CORP US Y 2 2024-10-08 Fixed 3.38000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 292480AH3 355000.00000000 PA USD 353940.68000000 0.061133229471 Long DBT CORP US N 2 2024-05-15 Fixed 3.90000000 N N N N N N KAUPTHING BANK HF 5493003NQ84XTWNKWP07 486MMB1A4 100000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP IS Y 3 2011-10-04 None 0.00000000 Y N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DM6 346000.00000000 PA USD 334595.84000000 0.057791956174 Long DBT CORP US N 2 2048-04-01 Fixed 5.75000000 N N N N N N Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC 20233.45000000 0.003494755510 N/A DFE US N 2 Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 1570853.66000000 GBP 1995499.39000000 USD 2022-06-09 20233.45000000 N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EAN5 565000.00000000 PA USD 563032.11000000 0.097247852889 Long DBT CORP GB N 2 2026-01-12 Fixed 4.38000000 N N N N N N ADVOCATE HEALTH CORP 549300AEHU3PPOUCIL87 007589AD6 575000.00000000 PA USD 503258.62000000 0.086923675175 Long DBT CORP US N 2 2030-06-15 Fixed 2.21000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9HC7 95273.92000000 PA USD 96359.63000000 0.016643397341 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.00000000 N N N N N N 7-ELEVEN INC 549300K23JPL0SS3LB18 817826AF7 85000.00000000 PA USD 61126.50000000 0.010557871876 Long DBT CORP US Y 2 2041-02-10 Fixed 2.50000000 N N N N N N ENSTAR GROUP LTD 213800AMAL5QFXVUCN04 29359UAC3 490000.00000000 PA USD 410926.34000000 0.070975888499 Long DBT CORP BM N 2 2031-09-01 Fixed 3.10000000 N N N N N N MAGALLANES INC 549300DXR29GD4N0A520 55903VAQ6 655000.00000000 PA USD 583952.99000000 0.100861342465 Long DBT CORP US Y 2 2052-03-15 Fixed 5.14000000 N N N N N N FARMERS EXCHANGE CAP III N/A 30958QAA9 290000.00000000 PA USD 305180.54000000 0.052711296090 Long DBT CORP US Y 2 2054-10-15 Fixed 5.45000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83367TBJ7 384000.00000000 PA USD 379941.85000000 0.065624195279 Long DBT CORP FR Y 2 2025-04-14 Fixed 4.25000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYJ7 640000.00000000 PA USD 528925.34000000 0.091356874217 Long DBT CORP US N 2 2032-07-21 Fixed 2.38000000 N N N N N N SAUDI ARABIAN OIL CO 5586006WD91QHB7J4X50 80414L2H7 661000.00000000 PA USD 615100.16000000 0.106241134048 Long DBT CORP SA Y 2 2025-11-24 Fixed 1.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382JFH4 541607.15000000 PA USD 69500.98000000 0.012004326145 Long ABS-MBS USGA US N 2 2050-09-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4HS8 361131.59000000 PA USD 343138.68000000 0.059267489865 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.00000000 N N N N N N FREEPORT INDONESIA PT 549300T4HTQHRKLNE619 69377FAB2 355000.00000000 PA USD 343462.50000000 0.059323420600 Long DBT CORP ID Y 2 2032-04-14 Fixed 5.32000000 N N N N N N Evergy Inc 549300PGTHDQY6PSUI61 391164AF7 805000.00000000 PA USD 805749.17000000 0.139170351669 Long SN CORP US N 2 2022-06-15 Variable 5.29000000 N N N N N N DEERE & COMPANY PWFTNG3EI0Y73OXWDH08 244199BH7 205000.00000000 PA USD 201290.09000000 0.034767162854 Long DBT CORP US N 2 2025-04-15 Fixed 2.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AN3S2 63542.57000000 PA USD 62792.89000000 0.010845693559 Long ABS-MBS USGSE US N 2 2041-05-15 Fixed 3.00000000 N N N N N N OLD REPUBLIC INTL CORP 549300IV6O2YY2A1KH37 680223AL8 305000.00000000 PA USD 248698.13000000 0.042955559248 Long DBT CORP US N 2 2051-06-11 Fixed 3.85000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCC3 5080000.00000000 PA USD 4830960.92000000 0.834411694323 Long DBT UST US N 2 2024-05-15 Fixed 0.25000000 N N N N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NBH5 605000.00000000 PA USD 532249.46000000 0.091931021814 Long DBT CORP US Y 2 2064-07-15 Fixed 4.70000000 N N N N N N Reliance Industries Ltd 5493003UOETFYRONLG31 759470AQ0 284000.00000000 PA USD 284994.00000000 0.049224642954 Long DBT CORP IN Y 2 2025-01-28 Fixed 4.13000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AN9 425000.00000000 PA USD 419691.75000000 0.072489864855 Long DBT CORP CO N 2 2030-04-29 Fixed 6.88000000 N N N N N N TOTALENERGIES CAPITAL 549300U37G2I8G4RUG09 89153VAG4 351000.00000000 PA USD 353566.63000000 0.061068622926 Long DBT CORP FR N 2 2024-01-15 Fixed 3.70000000 N N N N N N VISTRA CORP 549300ZH5GKBTJZ7NM23 92840VAE2 275000.00000000 PA USD 255398.74000000 0.044112899876 Long DBT CORP US Y 2 2029-07-15 Fixed 4.30000000 N N N N N N AIR LIQUIDE FINANCE 549300YGXL5Z3R14K812 00913RAC0 349000.00000000 PA USD 345748.83000000 0.059718319362 Long DBT CORP FR Y 2 2023-09-27 Fixed 2.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLY9 5427216.25000000 PA USD 4983796.24000000 0.860809667816 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SW9 2284000.00000000 PA USD 1864671.88000000 0.322069262930 Long DBT UST US N 2 2041-02-15 Fixed 1.88000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBM4 397000.00000000 PA USD 290465.08000000 0.050169617092 Long DBT CORP US N 2 2041-02-04 Fixed 3.40000000 N N N N N N Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC 224506.99000000 0.038777224865 N/A DFE US N 2 Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 3771797.78000000 GBP 4967344.52000000 USD 2022-06-09 224506.99000000 N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135CB0 495000.00000000 PA USD 407491.02000000 0.070382534251 Long DBT CORP US N 2 2051-05-12 Fixed 3.10000000 N N N N N N Brown & Brown Inc 549300PC8KTJ71XKFY89 115236AA9 285000.00000000 PA USD 287272.48000000 0.049618185851 Long DBT CORP US N 2 2024-09-15 Fixed 4.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H6CF4 178989.60000000 PA USD 180785.04000000 0.031225496134 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833BW9 302000.00000000 PA USD 320751.87000000 0.055400802394 Long DBT CORP US N 2 2036-02-23 Fixed 4.50000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BP6 590000.00000000 PA USD 572630.73000000 0.098905742678 Long DBT CORP US N 2 2023-08-03 Fixed 0.65000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TB4 3680000.00000000 PA USD 2886500.00000000 0.498561134223 Long DBT UST US N 2 2051-11-15 Fixed 1.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJQ43 98036.34000000 PA USD 98630.52000000 0.017035629281 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WGV84 719602.08000000 PA USD 727216.87000000 0.125606120746 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 278.00000000 NC USD -2153628.19000000 -0.37197828273 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT Ultra 10-Year US Treasury Note Future UXYM2 COMDTY 2022-06-21 38015628.19000000 USD -2153628.19000000 N N N ENBRIDGE ENERGY PARTNERS CZ6VG2MNE1J6YDI02G48 29250RAT3 295000.00000000 PA USD 308799.23000000 0.053336322312 Long DBT CORP US N 2 2040-09-15 Fixed 5.50000000 N N N N N N TRITON CONTAINER 549300O4LZFLCX53XZ54 89680YAA3 540000.00000000 PA USD 490749.40000000 0.084763061660 Long DBT CORP BM Y 2 2026-04-15 Fixed 2.05000000 N N N N N N AXIS SPECIALTY FINANCE N/A 05463HAC5 355000.00000000 PA USD 330150.00000000 0.057024063212 Long DBT CORP US N 2 2040-01-15 Fixed 4.90000000 N N N N N N FREEPORT INDONESIA PT 549300T4HTQHRKLNE619 69377FAC0 210000.00000000 PA USD 200688.60000000 0.034663272489 Long DBT CORP ID Y 2 2052-04-14 Fixed 6.20000000 N N N N N N Reynolds American Inc 02S2RPPVO9RP4NEU2740 761713AT3 390000.00000000 PA USD 428276.01000000 0.073972552678 Long DBT CORP US N 2 2037-06-15 Fixed 7.25000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967JP7 285000.00000000 PA USD 281474.29000000 0.048616712723 Long DBT CORP US N 2 2025-04-27 Fixed 3.30000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCV4 980000.00000000 PA USD 948426.29000000 0.163813783776 Long DBT CORP US N 2 2036-01-15 Fixed 4.27000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61772BAB9 240000.00000000 PA USD 215810.61000000 0.037275171487 Long DBT CORP US N 2 2027-05-04 Fixed 1.59000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828VB3 3555000.00000000 PA USD 3539030.26000000 0.611267258090 Long DBT UST US N 2 2023-05-15 Fixed 1.75000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BS2 330000.00000000 PA USD 315015.49000000 0.054410005193 Long DBT CORP US N 2 2036-08-08 Fixed 3.45000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -47.00000000 NC USD 396986.01000000 0.068568091258 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT US Long Bond Future USM2 COMDTY 2022-06-21 -7009298.51000000 USD 396986.01000000 N N N JP Morgan Mortgage Trust N/A 46653TAB5 4879021.21000000 PA USD 4296397.28000000 0.742080963447 Long ABS-MBS CORP US Y 2 2051-12-25 Variable 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FXNX2 2044819.94000000 PA USD 260177.57000000 0.044938307430 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2.00000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBV2 258000.00000000 PA USD 241191.30000000 0.041658966947 Long DBT CORP US Y 2 2037-05-15 Fixed 4.93000000 N N N N N N BDS Ltd N/A 05493FAA7 1397000.00000000 PA USD 1366846.59000000 0.236084041649 Long ABS-CBDO CORP KY Y 2 2036-06-16 Floating 1.62000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CM9 377000.00000000 PA USD 363289.75000000 0.062748016563 Long DBT CORP DE N 2 2023-11-08 Fixed 0.96000000 N N N N N N AstraZeneca PLC PY6ZZQWO2IZFZC3IOL08 046353AL2 337000.00000000 PA USD 335431.56000000 0.057936303138 Long DBT CORP GB N 2 2025-11-16 Fixed 3.38000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200HP9 341000.00000000 PA USD 343903.83000000 0.059399647860 Long DBT CORP US N 2 2023-08-01 Fixed 3.38000000 N N N N N N SVB FINANCIAL GROUP 549300D2KJ20JMXE7542 78486QAQ4 550000.00000000 PA USD 449977.00000000 0.077720784165 Long DBT CORP US N 2 2031-11-15 Fixed 4.70000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAQ4 191000.00000000 PA USD 180952.86000000 0.031254482287 Long DBT CORP US N 2 2030-11-15 Fixed 4.15000000 N N N N N N S&P GLOBAL INC Y6X4K52KMJMZE7I7MY94 78409VBB9 515000.00000000 PA USD 473029.32000000 0.081702419643 Long DBT CORP US Y 2 2029-03-01 Fixed 2.70000000 N N N N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641596E1 306000.00000000 PA USD 286813.32000000 0.049538878964 Long DBT CORP CA N 2 2024-07-31 Fixed 0.65000000 N N N N N N Ecopetrol SA 254900IDGKCJICKBPA66 279158AJ8 160000.00000000 PA USD 125793.60000000 0.021727282138 Long DBT CORP CO N 2 2045-05-28 Fixed 5.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZW3 5119000.00000000 PA USD 4708680.16000000 0.813291155816 Long DBT UST US N 2 2025-06-30 Fixed 0.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERUC2 92084.93000000 PA USD 93137.59000000 0.016086881174 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KSJC2 486090.11000000 PA USD 444869.87000000 0.076838672083 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Towd Point Mortgage Funding 635400HPLEYAA7LW8Q98 000000000 2034000.00000000 PA 2554694.89000000 0.441251197628 Long ABS-MBS CORP GB Y 2 2045-07-20 Floating 1.66000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAS8 885000.00000000 PA USD 834463.70000000 0.144129973580 Long DBT CORP US N 2 2037-09-20 Fixed 5.00000000 N N N N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 287.00000000 NC -1495247.71000000 -0.25826169902 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SFE 10 Year Australian Bond Future XMM2 COMDTY 2022-06-15 37744379.94000000 AUD -1495247.71000000 N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAB1 290000.00000000 PA USD 282238.95000000 0.048748786084 Long DBT CORP GB Y 2 2045-09-15 Fixed 5.63000000 N N N N N N F&G GLOBAL FUNDI 6354009CCUKJIZ7KFX73 30321L2A9 295000.00000000 PA USD 268881.01000000 0.046441580224 Long DBT CORP US Y 2 2026-06-30 Fixed 1.75000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAG8 420000.00000000 PA USD 426607.68000000 0.073684395915 Long DBT CORP US N 2 2029-04-15 Fixed 5.25000000 N N N N N N Morgan Stanley Mortgage Capital Holdings LLC N/A 55375KAJ5 1883000.00000000 PA USD 1718012.86000000 0.296738070359 Long ABS-MBS CORP US Y 2 2039-09-13 Variable 3.86000000 N N N N N N CBAM CLO Management LLC 254900JWJFDB3KD6V066 12480VAC9 575000.00000000 PA USD 573722.93000000 0.099094389298 Long ABS-CBDO CORP KY Y 2 2030-07-20 Floating 2.31000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 34072.08000000 0.005884986956 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 26000000.00000000 SEK 2684986.54000000 USD 2022-06-15 34072.08000000 N N N BERKSHIRE HATHAWAY FIN 549300RLHFT5RU20WM87 084664CV1 741000.00000000 PA USD 562011.19000000 0.097071517870 Long DBT CORP US N 2 2050-10-15 Fixed 2.85000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -61112.45000000 -0.01055544513 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 1717326.98000000 USD 1317142.28000000 GBP 2022-05-18 -61112.45000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31396JPK5 71607.71000000 PA USD 73195.51000000 0.012642451580 Long ABS-MBS USGSE US N 2 2026-03-15 Fixed 5.00000000 N N N N N N SPECTRA ENERGY PARTNERS 2HKVXE7U4NF5B6UGSU72 84756NAG4 372000.00000000 PA USD 341281.72000000 0.058946752611 Long DBT CORP US N 2 2045-03-15 Fixed 4.50000000 N N N N N N SEALED AIR CORP Q0M0CZB4YN6JZ65WXI09 81211KAZ3 320000.00000000 PA USD 282642.93000000 0.048818562189 Long DBT CORP US Y 2 2026-10-15 Fixed 1.57000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 12271.70000000 0.002119588661 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 815386.65000000 GBP 1037563.53000000 USD 2022-05-18 12271.70000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -157403.66000000 -0.02718702486 N/A DFE NO N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 3143030.33000000 USD 28000000.00000000 NOK 2022-06-15 -157403.66000000 N N N Neuberger Berman CLO Ltd 549300E610NX15ZSSH14 64130HAL5 500000.00000000 PA USD 497738.50000000 0.085970230766 Long ABS-CBDO CORP KY Y 2 2030-04-19 Floating 2.06000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCS8 766000.00000000 PA USD 663427.81000000 0.114588367028 Long DBT UST US N 2 2031-08-15 Fixed 1.25000000 N N N N N N SK HYNIX INC 988400XAIK6XISWQV045 78392BAA5 361000.00000000 PA USD 345018.53000000 0.059592180718 Long DBT CORP KR Y 2 2024-01-19 Fixed 1.00000000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KAW6 286000.00000000 PA USD 284238.84000000 0.049094210448 Long DBT CORP US N 2 2024-06-07 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419A3V7 24048.72000000 PA USD 26578.90000000 0.004590752305 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6.00000000 N N N N N N Hess Corp UASVRYNXNK17ULIGK870 42809HAD9 315000.00000000 PA USD 320805.13000000 0.055410001551 Long DBT CORP US N 2 2041-02-15 Fixed 5.60000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128282A7 6534000.00000000 PA USD 6148596.06000000 1.061995851569 Long DBT UST US N 2 2026-08-15 Fixed 1.50000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JY4 565000.00000000 PA USD 548710.15000000 0.094774139873 Long DBT CORP US N 2 2023-11-15 Fixed 1.70000000 N N N N N N TENN VALLEY AUTHORITY 549300HE1ISW43LNKM54 880591EW8 750000.00000000 PA USD 702009.81000000 0.121252314952 Long DBT USGA US N 2 2025-05-15 Fixed 0.75000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -170.15000000 -0.00002938859 N/A DFE NZ N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 84166.31000000 USD 130108.14000000 NZD 2022-06-09 -170.15000000 N N N CITADEL LP 549300IPM6EKPVUPFL67 17288XAB0 625000.00000000 PA USD 613089.15000000 0.105893789019 Long DBT CORP US Y 2 2027-01-15 Fixed 4.88000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CD5 430000.00000000 PA USD 386902.71000000 0.066826486725 Long DBT CORP US N 2 2029-03-01 Fixed 3.20000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBE2 305000.00000000 PA USD 302079.88000000 0.052175744880 Long DBT CORP US N 2 2039-02-14 Fixed 5.80000000 N N N N N N Unum Group 549300E32YFDO6TZ8R31 91529YAJ5 296000.00000000 PA USD 295282.00000000 0.051001603615 Long DBT CORP US N 2 2042-08-15 Fixed 5.75000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 253940.32000000 0.043860999121 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 10361272.03000000 EUR 11224884.05000000 USD 2022-07-15 253940.32000000 N N N RMAC Securities PLC 213800C48M2JTBGZT736 000000000 424444.40000000 PA 514667.25000000 0.088894192935 Long ABS-MBS CORP GB Y 2 2044-06-12 Floating 1.17000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AJ5 220000.00000000 PA USD 227629.72000000 0.039316588043 Long DBT CORP US N 2 2024-05-15 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417WUF6 26197.72000000 PA USD 27964.36000000 0.004830051286 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 5.50000000 N N N N N N Constellation Brands Inc 5493005GKEG8QCVY7037 21036PBB3 520000.00000000 PA USD 529304.15000000 0.091422302918 Long DBT CORP US N 2 2025-11-15 Fixed 4.40000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F7HE8 1297086.20000000 PA USD 239418.76000000 0.041352810857 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 3.50000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967EW7 450000.00000000 PA USD 619597.43000000 0.107017910085 Long DBT CORP US N 2 2039-07-15 Fixed 8.13000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 224.12000000 0.000038710383 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 181771.37000000 CHF 187425.43000000 USD 2022-06-09 224.12000000 N N N BANCO INBURSA 9598007PWYZP4GP23S45 05969LAA9 339000.00000000 PA USD 338152.50000000 0.058406268470 Long DBT CORP MX Y 2 2024-06-06 Fixed 4.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128286T2 1410000.00000000 PA USD 1358667.19000000 0.234671281925 Long DBT UST US N 2 2029-05-15 Fixed 2.38000000 N N N N N N CANADIAN IMPERIAL BANK 2IGI19DL77OX0HC3ZE78 13607GAP9 289000.00000000 PA USD 287469.63000000 0.049652237930 Long DBT CORP CA N 2 2024-04-02 Fixed 3.10000000 N N N N N N ESSENTIAL UTILITIES INC 549300ILTEOF3E3QY357 03836WAC7 190000.00000000 PA USD 176063.17000000 0.030409926807 Long DBT CORP US N 2 2049-05-01 Fixed 4.28000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WLCE1 196355.43000000 PA USD 197880.66000000 0.034178280370 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N Aon Corp LTS3U8DGK38SETRUWX71 037389AK9 244000.00000000 PA USD 276330.00000000 0.047728182303 Long DBT CORP US N 2 2027-01-01 Fixed 8.21000000 N N N N N N QUALCOMM INC H1J8DDZKZP6H7RWC0H53 747525BN2 279000.00000000 PA USD 241819.49000000 0.041767468980 Long DBT CORP US N 2 2028-05-20 Fixed 1.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828S92 4980000.00000000 PA USD 4910746.88000000 0.848192459510 Long DBT UST US N 2 2023-07-31 Fixed 1.25000000 N N N N N N SURA ASSET MANAGEMENT 549300013ETMS1C0EA22 86425QAA6 287000.00000000 PA USD 286644.12000000 0.049509654455 Long DBT CORP CO Y 2 2024-04-17 Fixed 4.88000000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EAV7 285000.00000000 PA USD 279004.49000000 0.048190124714 Long DBT CORP GB N 2 2047-01-10 Fixed 4.95000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SU3 1337000.00000000 PA USD 1047821.53000000 0.180981496781 Long DBT UST US N 2 2051-02-15 Fixed 1.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZS2 5150000.00000000 PA USD 4555939.47000000 0.786909526976 Long DBT UST US N 2 2027-05-31 Fixed 0.50000000 N N N N N N ALLEGHANY CORP 549300DCJE6AYX159479 017175AF7 620000.00000000 PA USD 487241.68000000 0.084157202363 Long DBT CORP US N 2 2051-08-15 Fixed 3.25000000 N N N N N N TSMC ARIZONA CORP 2549005GOBWLCSY63Q97 872898AA9 270000.00000000 PA USD 247525.52000000 0.042753024077 Long DBT CORP US N 2 2026-10-25 Fixed 1.75000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -18547.91000000 -0.00320362620 N/A DFE NO N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 762638.35000000 USD 6978560.35000000 NOK 2022-06-09 -18547.91000000 N N N Ace Securities Corp. N/A 00443WAA2 252847.30000000 PA USD 252765.63000000 0.043658104689 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.51000000 N N N N N N PUBLIC SERVICE OKLAHOMA F3TJNSIZRGXRH8GEIK79 744533BJ8 260000.00000000 PA USD 300702.75000000 0.051937884671 Long DBT CORP US N 2 2037-11-15 Fixed 6.63000000 N N N N N N Athene Global Funding 549300LM1QSI4MSIL320 04685A2E0 140000.00000000 PA USD 140225.65000000 0.024220010085 Long DBT CORP US Y 2 2022-07-01 Fixed 3.00000000 N N N N N N General Motors Co 54930070NSV60J38I987 37045VAK6 585000.00000000 PA USD 630401.59000000 0.108884022770 Long DBT CORP US N 2 2036-04-01 Fixed 6.60000000 N N N N N N TENNESSEE GAS PIPELINE N/A 880451AZ2 875000.00000000 PA USD 774523.70000000 0.133777035979 Long DBT CORP US Y 2 2030-03-01 Fixed 2.90000000 N N N N N N DOMINION ENERGY SOUTH 3QRVFYR22IUIEOORTK28 837004CG3 90000.00000000 PA USD 86914.97000000 0.015012099783 Long DBT CORP US N 2 2043-06-15 Fixed 4.60000000 N N N N N N Mercury General Corp 5493001Q9EXPCEL4W527 589400AB6 590000.00000000 PA USD 588820.94000000 0.101702142976 Long DBT CORP US N 2 2027-03-15 Fixed 4.40000000 N N N N N N Taurus CMBS 6354001CXJE7XMMVG324 000000000 1266996.58000000 PA 1570818.63000000 0.271314435417 Long ABS-MBS CORP IE Y 2 2031-08-17 Floating 1.11000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DU9 395000.00000000 PA USD 362942.35000000 0.062688013051 Long DBT CORP US N 2 2032-03-15 Fixed 2.95000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03880KAA2 4261000.00000000 PA USD 4154475.00000000 0.717567908575 Long ABS-CBDO CORP KY Y 2 2034-08-15 Floating 1.62000000 N N N N N N KKR GROUP FINANCE CO III N/A 48250AAA1 225000.00000000 PA USD 226164.95000000 0.039063590505 Long DBT CORP US Y 2 2044-06-01 Fixed 5.13000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AL3 327000.00000000 PA USD 327088.29000000 0.056495239512 Long DBT CORP US N 2 2029-01-15 Fixed 5.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406BWL0 20024.65000000 PA USD 21186.66000000 0.003659395544 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 6.00000000 N N N N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 36164QNA2 1125000.00000000 PA USD 1099540.45000000 0.189914475619 Long DBT CORP IE N 2 2035-11-15 Fixed 4.42000000 N N N N N N Greenpoint Manufactured Housing N/A 395383AW2 575000.00000000 PA USD 575280.20000000 0.099363363592 Long ABS-O CORP US N 2 2031-08-21 Floating 2.62000000 N N N N N N AstraZeneca PLC PY6ZZQWO2IZFZC3IOL08 046353AD0 420000.00000000 PA USD 517956.87000000 0.089462381633 Long DBT CORP GB N 2 2037-09-15 Fixed 6.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBTF5 2594268.28000000 PA USD 2460084.19000000 0.424909878417 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JF5 685000.00000000 PA USD 590086.18000000 0.101920677356 Long DBT CORP US N 2 2027-08-01 Fixed 2.10000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 6228.25000000 0.001075753814 N/A DFE SE N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 4705231.53000000 USD 46219494.04000000 SEK 2022-06-09 6228.25000000 N N N ARES CLO Ltd N/A 04019DAA0 3407000.00000000 PA USD 3367461.77000000 0.581633659970 Long ABS-CBDO CORP KY Y 2 2034-10-20 Floating 2.21000000 N N N N N N Eagle Re Ltd N/A 26982AAB0 1283000.00000000 PA USD 1261924.67000000 0.217961751179 Long ABS-MBS CORP BM Y 2 2034-04-25 Floating 2.34000000 N N N N N N RELIANCE INDUSTRIES LTD 5493003UOETFYRONLG31 759470BD8 450000.00000000 PA USD 357680.11000000 0.061779110109 Long DBT CORP IN Y 2 2052-01-12 Fixed 3.63000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92556HAE7 440000.00000000 PA USD 426432.60000000 0.073654155803 Long DBT CORP US N 2 2062-03-30 Fixed 6.38000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBX2 690000.00000000 PA USD 496369.81000000 0.085733828327 Long DBT CORP US N 2 2050-04-01 Fixed 3.60000000 N N N N N N TEXAS EASTERN TRANSMISSI 549300SIOULUXXIDGA69 882384AD2 351000.00000000 PA USD 337038.07000000 0.058213782246 Long DBT CORP US Y 2 2028-01-15 Fixed 3.50000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBZ1 345000.00000000 PA USD 336628.31000000 0.058143007810 Long DBT CORP US N 2 2024-11-21 Fixed 2.60000000 N N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAG8 370000.00000000 PA USD 358087.60000000 0.061849492467 Long DBT CORP GB N 2 2023-09-02 Fixed 0.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -22181.88000000 -0.00383129161 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 419991.58000000 USD 386270.88000000 CHF 2022-06-09 -22181.88000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92344GAM8 1565000.00000000 PA USD 1961796.23000000 0.338844743995 Long DBT CORP US N 2 2030-12-01 Fixed 7.75000000 N N N N N N NASDAQ INC 549300L8X1Q78ERXFD06 631103AM0 380000.00000000 PA USD 329593.17000000 0.056927886598 Long DBT CORP US N 2 2052-03-07 Fixed 3.95000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -29667.08000000 -0.00512414794 N/A DFE NO N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 347059.53000000 USD 2976711.22000000 NOK 2022-06-09 -29667.08000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 83.00000000 NC USD -1904407.05000000 -0.32893238831 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CME Ultra Long Term US Treasury Bond Future WNM2 COMDTY 2022-06-21 15220719.55000000 USD -1904407.05000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MABR9 92273.41000000 PA USD 91289.74000000 0.015767717414 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWC84 4933117.45000000 PA USD 4656938.60000000 0.804354266560 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N UNILEVER CAPITAL CORP MYF1DAS6G5WY7PRWCU78 904764BJ5 357000.00000000 PA USD 345429.86000000 0.059663226328 Long DBT CORP US N 2 2023-09-14 Fixed 0.38000000 N N N N N N BANCOLOMBIA SA 54930052NWJRPNMP1W58 05968LAM4 301000.00000000 PA USD 282780.47000000 0.048842318329 Long DBT CORP CO N 2 2025-01-29 Fixed 3.00000000 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AE7 358000.00000000 PA USD 351203.71000000 0.060660495410 Long DBT CORP US N 2 2025-02-01 Fixed 4.13000000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JAU2 520000.00000000 PA USD 554696.51000000 0.095808114039 Long DBT CORP US N 2 2039-06-15 Fixed 6.75000000 N N N N N N KAUPTHING BANK HF 5493003NQ84XTWNKWP07 486MMB1E6 1210000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP IS Y 3 2015-02-28 None 0.00000000 Y N N N N N ALEXANDRIA REAL ESTATE E MGCJBT4MKTQBVLNUIS88 015271AL3 340000.00000000 PA USD 337906.52000000 0.058363782391 Long DBT US N 2 2025-04-30 Fixed 3.45000000 N N N N N N Nyack Park CLO, Ltd. N/A 67080PAC0 4481000.00000000 PA USD 4431520.80000000 0.765419725059 Long ABS-CBDO CORP KY Y 2 2034-10-20 Floating 2.18000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SH2 1462000.00000000 PA USD 1417854.46000000 0.244894206735 Long DBT UST US N 2 2049-05-15 Fixed 2.88000000 N N N N N N BELLEMEADE RE LT N/A 07876AAB9 701000.00000000 PA USD 684379.08000000 0.118207105617 Long ABS-MBS CORP BM Y 2 2031-06-25 Floating 1.79000000 N N N N N N Oaktown Re Ltd 2549008N2FD0KB1Y5E03 67400KAB6 678000.00000000 PA USD 674687.36000000 0.116533135440 Long ABS-MBS CORP US Y 2 2029-07-25 Floating 2.62000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HRS1 190000.00000000 PA USD 185196.34000000 0.031987423289 Long DBT CORP US N 2 2026-06-15 Fixed 3.20000000 N N N N N N General Mills Inc 2TGYMUGI08PO8X8L6150 370334CE2 286000.00000000 PA USD 288727.89000000 0.049869566714 Long DBT CORP US N 2 2023-10-17 Fixed 3.70000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC -152788.65000000 -0.02638991257 N/A DFE NO N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 3138415.32000000 USD 28000000.00000000 NOK 2022-06-15 -152788.65000000 N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 138616AK3 385000.00000000 PA USD 374685.08000000 0.064716237125 Long DBT CORP US Y 2 2027-04-14 Fixed 4.50000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DA4 315000.00000000 PA USD 303492.26000000 0.052419693529 Long DBT CORP GB N 2 2026-03-10 Fixed 3.00000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAX3 235000.00000000 PA USD 195527.05000000 0.033771760893 Long DBT CORP IE N 2 2032-01-30 Fixed 3.30000000 N N N N N N HF SINCLAIR CORP N/A 403949AF7 440000.00000000 PA USD 451778.69000000 0.078031975092 Long DBT CORP US Y 2 2026-04-01 Fixed 5.88000000 N N N N N N GoodLeap Sustainable Home Improvement Loan Trust N/A 38237HAA5 875988.80000000 PA USD 785661.48000000 0.135700772071 Long ABS-O CORP US Y 2 2048-10-20 Fixed 2.31000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382MK99 643445.82000000 PA USD 79227.36000000 0.013684282855 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 2.00000000 N N N N N N BDS Ltd N/A 054980AA5 2246000.00000000 PA USD 2246000.00000000 0.387932897095 Long ABS-CBDO CORP US Y 2 2039-03-19 Floating 2.10000000 N N N N N N JP Morgan Mortgage Trust N/A 46592NAN6 3600277.64000000 PA USD 3349088.07000000 0.578460123607 Long ABS-MBS CORP US Y 2 2051-11-25 Variable 2.50000000 N N N N N N ESSENTIAL PROPER 254900XX9FNFCDE1NX02 29670VAA7 475000.00000000 PA USD 391365.60000000 0.067597324591 Long DBT CORP US N 2 2031-07-15 Fixed 2.95000000 N N N N N N RESORTS WORLD/RWLV CAP N/A 76120HAC1 395000.00000000 PA USD 337655.86000000 0.058320487974 Long DBT CORP US Y 2 2031-04-06 Fixed 4.63000000 N N N N N N BHP BILLITON FIN USA LTD 5493003NUVITP3TMY274 055451AU2 284000.00000000 PA USD 287473.42000000 0.049652892546 Long DBT CORP AU N 2 2023-09-30 Fixed 3.85000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGZ6 1230000.00000000 PA USD 1203055.47000000 0.207793763955 Long DBT CORP US N 2 2026-01-23 Fixed 3.37000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PCP5 337000.00000000 PA USD 340044.63000000 0.058733080346 Long DBT CORP US N 2 2025-07-15 Fixed 3.75000000 N N N N N N Babson CLO Ltd 549300VMZDDY0435KV08 06762LAM0 1363000.00000000 PA USD 1347960.66000000 0.232822032059 Long ABS-CBDO CORP KY Y 2 2036-10-15 Floating 2.19000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RJC7 215000.00000000 PA USD 242241.33000000 0.041840329894 Long DBT CORP US N 2 2036-11-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J55X3 231844.57000000 PA USD 234494.61000000 0.040502303388 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4.00000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAU3 455000.00000000 PA USD 440186.72000000 0.076029790539 Long DBT CORP US N 2 2027-10-01 Fixed 4.00000000 N N N N N N TAKEDA PHARMACEUTICAL 549300ZLMVP4X0OGR454 874060AW6 1105000.00000000 PA USD 1151354.14000000 0.198863823291 Long DBT CORP JP N 2 2028-11-26 Fixed 5.00000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QBU9 210000.00000000 PA USD 207866.91000000 0.035903122264 Long DBT CORP US N 2 2028-05-01 Fixed 3.70000000 N N N N N N ROCHE HOLDINGS INC PVJRP0EQNV6OGDPZGY95 771196BQ4 378000.00000000 PA USD 360974.66000000 0.062348150325 Long DBT CORP US Y 2 2024-03-05 Fixed 0.45000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 14306.17000000 0.002470985741 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 1046713.80000000 NZD 690051.31000000 USD 2022-06-09 14306.17000000 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 27565.32000000 0.004761128426 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 521777.11000000 NZD 364418.00000000 USD 2022-06-09 27565.32000000 N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBL2 291000.00000000 PA USD 218228.99000000 0.037692878148 Long DBT CORP US N 2 2055-09-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BDEK0 1728508.43000000 PA USD 224354.17000000 0.038750829538 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.00000000 N N N N N N BP Capital Markets PLC 549300CRVT18MXX0AG93 05565QCP1 347000.00000000 PA USD 350030.86000000 0.060457918785 Long DBT CORP GB N 2 2024-02-10 Fixed 3.81000000 N N N N N N PROSPECT CAPITAL CORP 549300FSD8T39P5Q0O47 74348TAV4 377000.00000000 PA USD 337464.90000000 0.058287505042 Long DBT CORP US N 2 2026-11-15 Fixed 3.36000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513ECG4 287000.00000000 PA USD 287503.75000000 0.049658131194 Long DBT CORP US N 2 2024-03-15 Fixed 3.20000000 N N N N N N Cenovus Energy Inc 549300F4XPHJ7NOSP309 15135UAF6 490000.00000000 PA USD 556004.05000000 0.096033954547 Long DBT CORP CA N 2 2039-11-15 Fixed 6.75000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZM9 885000.00000000 PA USD 773408.47000000 0.133584411578 Long DBT CORP US N 2 2033-02-24 Fixed 3.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9GY0 893440.86000000 PA USD 886964.35000000 0.153197974138 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N GALAXY PIPELINE ASSETS 549300L82YB0C6JQIC26 36321PAA8 316666.95000000 PA USD 297625.51000000 0.051406378603 Long DBT CORP JE Y 2 2027-09-30 Fixed 1.75000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -113.00000000 NC USD 348805.64000000 0.060246296726 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 2 Year US Treasury Note Future TUM2 COMDTY 2022-06-30 -24170618.14000000 USD 348805.64000000 N N N CHARTER COMM OPT LLC/CAP N/A 161175AY0 530000.00000000 PA USD 539783.80000000 0.093232365689 Long DBT CORP US N 2 2025-07-23 Fixed 4.91000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128284V9 1938000.00000000 PA USD 1927023.05000000 0.332838661868 Long DBT UST US N 2 2028-08-15 Fixed 2.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828X70 4158000.00000000 PA USD 4100665.09000000 0.708273770428 Long DBT UST US N 2 2024-04-30 Fixed 2.00000000 N N N N N N SABRA HEALTH CARE LP 549300OVKLRFSIQG0H81 78572XAG6 1055000.00000000 PA USD 963762.91000000 0.166462750574 Long DBT US N 2 2029-10-15 Fixed 3.90000000 N N N N N N Brookfield Finance Inc 549300XH8D8K6OYWGD17 11271RAA7 342000.00000000 PA USD 344891.91000000 0.059570310699 Long DBT CORP CA N 2 2024-04-01 Fixed 4.00000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AS5 480000.00000000 PA USD 490894.43000000 0.084788111486 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N NEW YORK LIFE INSURANCE TAE73CY392TBWJ3O3305 64952GAT5 195000.00000000 PA USD 169943.41000000 0.029352911568 Long DBT CORP US Y 2 2050-05-15 Fixed 3.75000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGG8 347000.00000000 PA USD 330273.20000000 0.057045342524 Long DBT CORP US N 2 2048-01-20 Fixed 4.44000000 N N N N N N RMAC Securities PLC 213800C48M2JTBGZT736 000000000 972407.95000000 PA 1183446.86000000 0.204406931860 Long ABS-MBS CORP GB Y 2 2044-06-12 Floating 1.19000000 N N N N N N Freddie Mac Reference Remic S6XOOCT0IEG5ABCC6L87 31396NRF5 161979.65000000 PA USD 175297.70000000 0.030277713541 Long ABS-MBS USGSE US N 2 2036-05-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HFGK9 141408.26000000 PA USD 143046.26000000 0.024707190587 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N ANALOG DEVICES INC GYVOE5EZ4GDAVTU4CQ61 032654AV7 210000.00000000 PA USD 180949.40000000 0.031253884670 Long DBT CORP US N 2 2031-10-01 Fixed 2.10000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382LBD2 2118514.50000000 PA USD 264196.13000000 0.045632399871 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.50000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAK0 160000.00000000 PA USD 166723.80000000 0.028796815115 Long DBT CORP US N 2 2043-11-15 Fixed 5.80000000 N N N N N N CADILLAC FAIRVIEW PRP TR N/A 68327LAD8 315000.00000000 PA USD 273100.26000000 0.047170336179 Long DBT CORP CA Y 2 2031-10-15 Fixed 2.50000000 N N N N N N DH EUROPE FINANCE II 222100KDGL314CKTZ511 23291KAH8 314000.00000000 PA USD 283877.28000000 0.049031761197 Long DBT CORP LU N 2 2029-11-15 Fixed 2.60000000 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAJ9 195000.00000000 PA USD 192198.36000000 0.033196823958 Long DBT CORP US N 2 2046-02-01 Fixed 4.90000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBT6 400000.00000000 PA USD 366643.86000000 0.063327344083 Long DBT CORP US N 2 2052-03-14 Fixed 4.95000000 N N N N N N DBGS Mortgage Trust N/A 23307EAJ0 1961000.00000000 PA USD 1767809.73000000 0.305339069489 Long ABS-MBS CORP US Y 2 2037-04-10 Variable 4.33000000 N N N N N N SOUTHWEST AIRLINES CO UDTZ87G0STFETI6HGH41 844741BK3 600000.00000000 PA USD 621982.90000000 0.107429932475 Long DBT CORP US N 2 2027-06-15 Fixed 5.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM5Z4 2230577.88000000 PA USD 2170446.14000000 0.374883107337 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XEA61 4918857.70000000 PA USD 4349630.91000000 0.751275565544 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N FRESNILLO PLC 549300JXWH1UV5J0XV81 358070AB6 200000.00000000 PA USD 164750.00000000 0.028455897059 Long DBT CORP GB Y 2 2050-10-02 Fixed 4.25000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -164054.30000000 -0.02833573458 N/A DFE XX N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 2934678.24000000 USD 2622015.95000000 EUR 2022-06-09 -164054.30000000 N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBB0 805000.00000000 PA USD 750360.95000000 0.129603605165 Long DBT CORP US N 2 2027-08-15 Fixed 3.56000000 N N N N N N TWDC Enterprises 18 Corp 7260JQNI6SCF9FIV2392 25468PBW5 267000.00000000 PA USD 323944.88000000 0.055952304451 Long DBT CORP US N 2 2032-03-01 Fixed 7.00000000 N N N N N N Boston Scientific Corp Y6ZDD9FP4P8JSSJMW954 101137AV9 155000.00000000 PA USD 155159.18000000 0.026799354500 Long DBT CORP US N 2 2024-03-01 Fixed 3.45000000 N N N N N N VALE CANADA LTD PRAQ4VOSFIK7OQ8Z2512 453258AP0 322000.00000000 PA USD 355133.80000000 0.061339307164 Long DBT CORP CA N 2 2032-09-15 Fixed 7.20000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 29278GAF5 387000.00000000 PA USD 373120.00000000 0.064445913875 Long DBT CORP NL Y 2 2028-04-06 Fixed 3.50000000 N N N N N N Danone SA 969500KMUQ2B6CBAF162 23636TAD2 287000.00000000 PA USD 284651.21000000 0.049165435688 Long DBT CORP FR Y 2 2023-11-02 Fixed 2.59000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAE1 6610000.00000000 PA USD 5502050.37000000 0.950323392697 Long DBT UST US N 2 2030-08-15 Fixed 0.63000000 N N N N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 254687FP6 338000.00000000 PA USD 337993.64000000 0.058378829904 Long DBT CORP US N 2 2027-03-23 Fixed 3.70000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXA7 50000.00000000 PA USD 47685.15000000 0.008236259300 Long DBT CORP US N 2 2039-04-23 Fixed 4.41000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 666807BG6 285000.00000000 PA USD 285900.74000000 0.049381256611 Long DBT CORP US N 2 2023-08-01 Fixed 3.25000000 N N N N N N Main Street Capital Corp 5493001FS9QJLJNF3E20 56035LAD6 278000.00000000 PA USD 281097.79000000 0.048551683010 Long DBT CORP US N 2 2024-05-01 Fixed 5.20000000 N N N N N N TAL Advantage VII LLC N/A 87407RAA4 4825745.00000000 PA USD 4447158.07000000 0.768120620630 Long ABS-O CORP US Y 2 2045-09-20 Fixed 2.05000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -2928.21000000 -0.00050576535 N/A DFE CA N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 4880882.88000000 USD 6266887.67000000 CAD 2022-06-09 -2928.21000000 N N N Citigroup Commercial Mortgage Trust N/A 17320QAL3 2427000.00000000 PA USD 2363370.13000000 0.408205263330 Long ABS-MBS CORP US Y 2 2035-05-10 Variable 3.63000000 N N N N N N NGPL PipeCo LLC 549300K3NT1HSQFEM073 62912XAC8 297000.00000000 PA USD 345175.60000000 0.059619310113 Long DBT CORP US Y 2 2037-12-15 Fixed 7.77000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 604853.28000000 0.104471275702 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 12892903.36000000 GBP 16816779.85000000 USD 2022-05-18 604853.28000000 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397A45 580000.00000000 PA USD 546650.00000000 0.094418307300 Long DBT CORP US N 2 2027-01-09 Fixed 4.27000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -163540.38000000 -0.02824696945 N/A DFE NO N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 3149167.05000000 USD 28000000.00000000 NOK 2022-06-15 -163540.38000000 N N N NEWCREST FINANCE PTY LTD 549300I0XDZ4K7PDSS04 65120FAD6 415000.00000000 PA USD 373181.99000000 0.064456620892 Long DBT CORP AU Y 2 2030-05-13 Fixed 3.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382LNV9 7367891.01000000 PA USD 972888.75000000 0.168038981005 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.50000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBH4 345000.00000000 PA USD 341580.35000000 0.058998332487 Long DBT CORP US N 2 2025-03-19 Fixed 2.99000000 N N N N N N BANGKOK BANK PCL/HK 549300CCL2BKJGMYXV60 059895AH5 303000.00000000 PA USD 370072.08000000 0.063919472007 Long DBT CORP TH Y 2 2029-03-15 Fixed 9.03000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 432217.68000000 0.074653364549 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 16585023.02000000 AUD 12158148.68000000 USD 2022-06-09 432217.68000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335AJX7 373430.80000000 PA USD 380051.60000000 0.065643151484 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBS9 1652000.00000000 PA USD 1498157.50000000 0.258764282849 Long DBT UST US N 2 2028-03-31 Fixed 1.25000000 N N N N N N MIDWEST CONNECTOR CAPIT N/A 59833CAA0 355000.00000000 PA USD 352856.78000000 0.060946016440 Long DBT CORP US Y 2 2024-04-01 Fixed 3.90000000 N N N N N N Equifax Inc 5493004MCF8JDC86VS77 294429AN5 420000.00000000 PA USD 423614.02000000 0.073167325925 Long DBT CORP US N 2 2023-06-15 Fixed 3.95000000 N N N N N N ANTARES HOLDINGS 5493008EAIGV4283RM42 03666HAC5 505000.00000000 PA USD 463406.27000000 0.080040310264 Long DBT CORP US Y 2 2026-07-15 Fixed 3.95000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGE4 354000.00000000 PA USD 338085.15000000 0.058394635665 Long DBT CORP US N 2 2044-11-04 Fixed 4.65000000 N N N N N N PRINCIPAL LFE GLB FND II 635400WSLKBQWSOIIT41 74256LBJ7 495000.00000000 PA USD 477707.62000000 0.082510463486 Long DBT CORP US Y 2 2024-11-21 Fixed 2.25000000 N N N N N N Credit Suisse Mortgage Trust N/A 12653VAJ5 2384000.00000000 PA USD 2337577.08000000 0.403750244358 Long ABS-MBS CORP US Y 2 2036-05-15 Floating 2.70000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 124857AN3 235000.00000000 PA USD 196224.76000000 0.033892270538 Long DBT CORP US N 2 2045-01-15 Fixed 4.60000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWQ3 1235000.00000000 PA USD 1215109.78000000 0.209875804650 Long DBT CORP US N 2 2025-09-29 Fixed 3.27000000 N N N N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 084659AT8 283000.00000000 PA USD 286642.07000000 0.049509300376 Long DBT CORP US N 2 2025-04-15 Fixed 4.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402C4G4 53949.83000000 PA USD 57370.02000000 0.009909046333 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AJ9 233000.00000000 PA USD 232344.86000000 0.040130994953 Long DBT CORP US N 2 2038-08-15 Fixed 4.80000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RAB8 525000.00000000 PA USD 605938.17000000 0.104658659727 Long DBT CORP US N 2 2036-05-15 Fixed 6.80000000 N N N N N N Municipal Electric Authority of Georgia JA0WNILDDF2KUPS83B16 626207YS7 477000.00000000 PA USD 579509.06000000 0.100093779402 Long DBT MUN US N 2 2057-04-01 Fixed 7.06000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJYN4 78848.63000000 PA USD 78147.41000000 0.013497752075 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.50000000 N N N N N N BBVA BANCOMER SA TEXAS 549300WIWQK5Q9MCUN92 05533UAD0 285000.00000000 PA USD 286570.35000000 0.049496912777 Long DBT CORP MX Y 2 2024-04-10 Fixed 4.38000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 24899.37000000 0.004300661059 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 26000000.00000000 SEK 2675813.83000000 USD 2022-06-15 24899.37000000 N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448ER5 357000.00000000 PA USD 344294.75000000 0.059467168220 Long DBT CORP US N 2 2027-03-19 Fixed 2.63000000 N N N N N N Bharti Airtel Ltd 335800KQ1FPKOQ84OR26 08860HAA2 284000.00000000 PA USD 282114.76000000 0.048727335779 Long DBT CORP IN Y 2 2025-06-10 Fixed 4.38000000 N N N N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833BX7 395000.00000000 PA USD 417799.21000000 0.072162982163 Long DBT CORP US N 2 2046-02-23 Fixed 4.65000000 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDB2 560000.00000000 PA USD 552591.03000000 0.095444451993 Long DBT CORP US N 2 2024-08-15 Variable 3.07000000 N N N N N N ANALOG DEVICES INC GYVOE5EZ4GDAVTU4CQ61 032654AU9 380000.00000000 PA USD 332858.43000000 0.057491867797 Long DBT CORP US N 2 2028-10-01 Fixed 1.70000000 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AJ6 560000.00000000 PA USD 524313.34000000 0.090560281821 Long DBT CORP US N 2 2024-10-12 Fixed 1.65000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JG3 635000.00000000 PA USD 502588.87000000 0.086807994829 Long DBT CORP US N 2 2031-02-01 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAM3 1316000.00000000 PA USD 1201621.10000000 0.207546017156 Long DBT UST US N 2 2025-09-30 Fixed 0.25000000 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2A2 405000.00000000 PA USD 369086.02000000 0.063749158065 Long DBT CORP US Y 2 2026-01-15 Fixed 1.63000000 N N N N N N CANADIAN NATL RESOURCES 549300T15RIMIKZC5Q38 136385AC5 279000.00000000 PA USD 324492.32000000 0.056046859208 Long DBT CORP CA N 2 2032-01-15 Fixed 7.20000000 N N N N N N OHIO NAT FINANCIAL SRVS 549300K609B872PZT291 67740QAH9 835000.00000000 PA USD 832493.73000000 0.143789717049 Long DBT CORP US Y 2 2030-01-24 Fixed 5.80000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBL4 2148000.00000000 PA USD 1853824.70000000 0.320195719758 Long DBT UST US N 2 2031-02-15 Fixed 1.13000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -267848.49000000 -0.04626324163 N/A DFE XX N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 10001319.85000000 USD 9192567.84000000 EUR 2022-07-15 -267848.49000000 N N N TOTALENERGIES CAPITAL 5299005IX98ZZ9LSGK46 89153UAF8 287000.00000000 PA USD 286228.34000000 0.049437840234 Long DBT CORP CA N 2 2023-07-15 Fixed 2.75000000 N N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 36962GXZ2 148000.00000000 PA USD 172890.19000000 0.029861884366 Long DBT CORP US N 2 2032-03-15 Fixed 6.75000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RAD4 165000.00000000 PA USD 193620.53000000 0.033442463553 Long DBT CORP US N 2 2037-09-01 Fixed 6.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828J27 6065000.00000000 PA USD 5921903.91000000 1.022841202193 Long DBT UST US N 2 2025-02-15 Fixed 2.00000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582BD3 315000.00000000 PA USD 314007.49000000 0.054235901738 Long DBT CORP NL N 2 2025-05-11 Fixed 3.25000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556BY7 303000.00000000 PA USD 291229.82000000 0.050301704271 Long DBT CORP US N 2 2047-08-15 Fixed 4.10000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128285J5 2820000.00000000 PA USD 2826829.70000000 0.488254779660 Long DBT UST US N 2 2025-10-31 Fixed 3.00000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBU1 350000.00000000 PA USD 371940.79000000 0.064242238741 Long DBT CORP US N 2 2039-01-23 Fixed 5.45000000 N N N N N N JP Morgan Mortgage Trust N/A 46654WAH4 2518292.33000000 PA USD 2331574.80000000 0.402713520462 Long ABS-MBS CORP US Y 2 2052-07-25 Variable 2.50000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEL5 325000.00000000 PA USD 283308.93000000 0.048933594829 Long DBT CORP US N 2 2033-01-21 Fixed 2.94000000 N N N N N N American Homes 4 Rent 549300N4PXZ37U8QKI55 02666TAA5 291000.00000000 PA USD 283948.20000000 0.049044010619 Long DBT US N 2 2028-02-15 Fixed 4.25000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AG2 357000.00000000 PA USD 342848.52000000 0.059217372942 Long DBT CORP US N 2 2024-08-08 Fixed 3.20000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38143YAC7 310000.00000000 PA USD 347442.70000000 0.060010887437 Long DBT CORP US N 2 2036-05-01 Fixed 6.45000000 N N N N N N APOLLO MANAGEMENT HOLDIN 5493006XQW0V5K38YM64 03765HAA9 195000.00000000 PA USD 195211.68000000 0.033717289656 Long DBT CORP US Y 2 2024-05-30 Fixed 4.00000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CH0 341000.00000000 PA USD 339474.44000000 0.058634596170 Long DBT CORP US N 2 2024-05-01 Fixed 2.88000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 33057.63000000 0.005709769446 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 26000000.00000000 SEK 2683972.09000000 USD 2022-06-15 33057.63000000 N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CAL3 500.00000000 PA USD 503.07000000 0.000086891096 Long DBT CORP US Y 2 2022-10-15 Fixed 4.40000000 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A2K6 1145000.00000000 PA USD 1076891.23000000 0.186002464252 Long DBT CORP US Y 2 2026-11-12 Fixed 2.95000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -80.00000000 NC 365622.98000000 0.063151015973 N/A DIR GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short ICF Long Gilt Future G M2 COMDTY 2022-06-28 -9765965.33000000 GBP 365622.98000000 N N N Voya Financial Inc 549300T065Z4KJ686G75 929089AF7 310000.00000000 PA USD 281295.25000000 0.048585788633 Long DBT CORP US N 2 2048-01-23 Fixed 4.70000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -27.00000000 NC USD 81925.25000000 0.014150266953 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT Ultra 10-Year US Treasury Note Future UXYM2 COMDTY 2022-06-21 -3564925.25000000 USD 81925.25000000 N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBF4 200000.00000000 PA USD 270934.31000000 0.046796229653 Long DBT CORP US N 2 2039-01-15 Fixed 8.20000000 N N N N N N SMITH & NEPHEW PLC 213800ZTMDN8S67S1H61 83192PAA6 435000.00000000 PA USD 349813.09000000 0.060420305185 Long DBT CORP GB N 2 2030-10-14 Fixed 2.03000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128284N7 2598000.00000000 PA USD 2583792.19000000 0.446276932217 Long DBT UST US N 2 2028-05-15 Fixed 2.88000000 N N N N N N Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC -1103550.12000000 -0.19060703256 N/A DFE GB N 2 Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 19666882.89000000 USD 14762710.47000000 GBP 2022-06-09 -1103550.12000000 N N N Eurosail Plc 213800JGRFCGENSNQ494 000000000 657051.07000000 PA 810572.29000000 0.140003409067 Long ABS-MBS CORP GB Y 2 2045-09-13 Floating 1.42000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC -321218.97000000 -0.05548148069 N/A DFE JP N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2968564.78000000 USD 343080000.00000000 JPY 2022-06-15 -321218.97000000 N N N CVS Health Corp 549300EJG376EN5NQE29 126650CZ1 180000.00000000 PA USD 181084.31000000 0.031277186552 Long DBT CORP US N 2 2048-03-25 Fixed 5.05000000 N N N N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06368FAA7 299000.00000000 PA USD 288796.27000000 0.049881377422 Long DBT CORP CA N 2 2023-09-15 Fixed 0.40000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SD1 1406000.00000000 PA USD 1383152.50000000 0.238900425845 Long DBT UST US N 2 2048-08-15 Fixed 3.00000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967CC3 321000.00000000 PA USD 346198.62000000 0.059796007848 Long DBT CORP US N 2 2033-10-31 Fixed 6.00000000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAK9 290000.00000000 PA USD 318623.00000000 0.055033100387 Long DBT CORP KY N 2 2039-11-10 Fixed 6.88000000 N N N N N N Voya CLO Ltd N/A 92915QAU7 3480000.00000000 PA USD 3418675.44000000 0.590479371179 Long ABS-CBDO CORP KY Y 2 2034-04-20 Floating 2.10000000 N N N N N N KAUPTHING BANK HF 5493003NQ84XTWNKWP07 48632FAE1 1210000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP IS Y 3 2015-02-28 None 0.00000000 Y N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGN8 418000.00000000 PA USD 350974.52000000 0.060620909327 Long DBT CORP US N 2 2032-03-15 Fixed 2.36000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128285M8 1564000.00000000 PA USD 1578418.13000000 0.272627033837 Long DBT UST US N 2 2028-11-15 Fixed 3.13000000 N N N N N N PROCTER & GAMBLE CO/THE 2572IBTT8CCZW6AU4141 742718FG9 386000.00000000 PA USD 374919.46000000 0.064756719632 Long DBT CORP US N 2 2027-03-25 Fixed 2.80000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 171.10000000 0.000029552679 N/A DFE XX N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 53735.98000000 USD 51015.67000000 EUR 2022-06-09 171.10000000 N N N Woori Bank 549300VUVMRL6RE7R376 98105FAC8 353000.00000000 PA USD 360051.86000000 0.062188762757 Long DBT CORP KR Y 2 2024-04-30 Fixed 4.75000000 N N N N N N Oaktown Re Ltd N/A 67401FAC4 2464000.00000000 PA USD 2452502.48000000 0.423600352716 Long ABS-MBS CORP BM Y 2 2033-10-25 Floating 2.34000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBL6 1255000.00000000 PA USD 1004291.80000000 0.173462968612 Long DBT CORP US N 2 2032-02-04 Fixed 2.45000000 N N N N N N HEALTH CARE SERVICE CORP 549300TMJ1FKCKECR148 42218SAF5 570000.00000000 PA USD 491281.91000000 0.084855037683 Long DBT CORP US Y 2 2030-06-01 Fixed 2.20000000 N N N N N N RMAC Securities PLC 213800C48M2JTBGZT736 000000000 351305.65000000 PA 427892.63000000 0.073906334640 Long ABS-MBS CORP GB Y 2 2044-06-12 Floating 1.17000000 N N N N N N AMERICAN CAMPUS CMNTYS RDKVCX5HITZ2GPIR7153 024836AG3 145000.00000000 PA USD 146721.40000000 0.025341966949 Long DBT US N 2 2031-01-30 Fixed 3.88000000 N N N N N N DEUTSCHE BANK AG LONDON 7LTWFZYICNSX8D621K86 25152RXA6 339000.00000000 PA USD 339664.57000000 0.058667435743 Long DBT CORP DE N 2 2024-05-30 Fixed 3.70000000 N N N N N N Markel Corp 549300SCNO12JLWIK605 570535AQ7 334000.00000000 PA USD 333998.80000000 0.057688834421 Long DBT CORP US N 2 2046-04-05 Fixed 5.00000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -45775.99000000 -0.00790650597 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 622066194.00000000 JPY 4753027.01000000 USD 2022-06-09 -45775.99000000 N N N AT&T INC 549300Z40J86GGSTL398 00206RJZ6 445000.00000000 PA USD 369802.21000000 0.063872859607 Long DBT CORP US N 2 2041-06-01 Fixed 3.50000000 N N N N N N Standard Chartered PLC U4LOSYZ7YG4W3S5F2G91 853254AK6 346000.00000000 PA USD 320215.73000000 0.055308199392 Long DBT CORP GB Y 2 2043-01-09 Fixed 5.30000000 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBL3 370000.00000000 PA USD 359678.18000000 0.062124220119 Long DBT CORP US N 2 2023-10-02 Fixed 1.45000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBW4 1791000.00000000 PA USD 1387679.00000000 0.239682250538 Long DBT CORP US N 2 2040-04-01 Fixed 3.60000000 N N N N N N Radnor Re LTD 254900YVLP8CB4GC2O97 750493AA6 755125.05000000 PA USD 749734.06000000 0.129495327670 Long ABS-MBS CORP BM Y 2 2030-01-25 Floating 1.62000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BL63 236650.46000000 PA USD 251752.53000000 0.043483120353 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N Goldman Sachs Capital I 5299005MCIJK7R2NP351 38143VAA7 725000.00000000 PA USD 805523.26000000 0.139131332114 Long DBT CORP US N 2 2034-02-15 Fixed 6.35000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAG4 800000.00000000 PA USD 660560.25000000 0.114093077243 Long DBT CORP ES N 2 2030-12-03 Fixed 2.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382ML56 637851.54000000 PA USD 92437.00000000 0.015965874091 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312944PD7 432523.09000000 PA USD 442520.14000000 0.076432822766 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N PVH CORP 123WALMHY1GZXG2YDL90 693656AC4 315000.00000000 PA USD 316917.33000000 0.054738494197 Long DBT CORP US N 2 2025-07-10 Fixed 4.63000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F7Q40 3572139.91000000 PA USD 587141.92000000 0.101412139818 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 3.00000000 N N N N N N HGI CRE CLO Ltd N/A 40390JAA0 2106000.00000000 PA USD 2059178.14000000 0.355664711258 Long ABS-CBDO CORP KY Y 2 2036-09-17 Floating 1.55000000 N N N N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 74977RDP6 855000.00000000 PA USD 795544.60000000 0.137407801178 Long DBT CORP NL Y 2 2033-04-06 Fixed 3.76000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GPA5 88340.17000000 PA USD 93977.43000000 0.016231939751 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N OWL ROCK CAPITAL CORP 2549000BD79OOCPF2L94 69121KAD6 294000.00000000 PA USD 283810.83000000 0.049020283841 Long DBT CORP US N 2 2026-01-15 Fixed 4.25000000 N N N N N N HANA BANK 6RPK2YDJN6L35AS0M510 40963LAH7 350000.00000000 PA USD 354829.66000000 0.061286775591 Long DBT CORP KR Y 2 2024-09-30 Fixed 4.38000000 N N N N N N Morgan Stanley Mortgage Capital Holdings LLC N/A 55375KAA4 10103000.00000000 PA USD 171683.31000000 0.029653430022 Long ABS-MBS CORP US Y 2 2039-09-13 Variable 0.47000000 N N N N N N Motiva Enterprises LLC UQZ4EDMHL4ZESPZY3752 61980AAD5 333000.00000000 PA USD 337849.20000000 0.058353881984 Long DBT CORP US Y 2 2040-01-15 Fixed 6.85000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DD9 280000.00000000 PA USD 262710.04000000 0.045375719907 Long DBT CORP US N 2 2029-02-22 Fixed 3.00000000 N N N N N N OVERSEA-CHINESE BANKING 5493007O3QFXCPOGWK22 69033CAC3 281000.00000000 PA USD 284661.43000000 0.049167200904 Long DBT CORP SG Y 2 2024-06-19 Fixed 4.25000000 N N N N N N Newmark Group Inc N/A 65158NAB8 760000.00000000 PA USD 774592.00000000 0.133788832870 Long DBT CORP US N 2 2023-11-15 Fixed 6.13000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -187052.29000000 -0.03230798609 N/A DFE SE N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 13441624.58000000 USD 130000000.00000000 SEK 2022-06-15 -187052.29000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WPDE4 62251.65000000 PA USD 62482.12000000 0.010792016842 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N CI FINANCIAL CORP 549300M9W7JJQSVCEM78 125491AP5 1015000.00000000 PA USD 756899.50000000 0.130732954516 Long DBT CORP CA N 2 2051-06-15 Fixed 4.10000000 N N N N N N MEITUAN 21380033K525E5JLIA77 58533EAB9 385000.00000000 PA USD 341322.12000000 0.058953730567 Long DBT CORP KY Y 2 2025-10-28 Fixed 2.13000000 N N N N N N Radnor Re LTD N/A 75279YAB7 831000.00000000 PA USD 816479.02000000 0.141023629406 Long ABS-MBS CORP BM Y 2 2033-12-27 Floating 1.99000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQHT2 142820.68000000 PA USD 141022.17000000 0.024357586359 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.50000000 N N N N N N Taurus CMBS 635400SG2ZVJCYHITE32 000000000 560880.47000000 PA 700568.81000000 0.121003423008 Long ABS-MBS CORP IE Y 2 2031-05-17 Floating 1.01000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC 38036.02000000 0.006569645339 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 26000000.00000000 SEK 2688950.48000000 USD 2022-06-15 38036.02000000 N N N JACKSON FINANCIAL INC 213800WXW2KG1N4CO374 46817MAK3 505000.00000000 PA USD 428230.88000000 0.073964757748 Long DBT CORP US Y 2 2031-11-23 Fixed 3.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LFRV2 330000.00000000 PA USD 305457.69000000 0.052759165904 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.60000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAS9 350000.00000000 PA USD 354056.94000000 0.061153310093 Long DBT CORP US N 2 2029-02-15 Fixed 4.80000000 N N N N N N FNA VI LLC N/A 34411YAA5 32930.81000000 PA USD 31214.35000000 0.005391395025 Long ABS-O CORP US Y 2 2032-01-10 Fixed 1.35000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -324922.38000000 -0.05612113989 N/A DFE JP N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 2972268.19000000 USD 343080000.00000000 JPY 2022-06-15 -324922.38000000 N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDT5 661000.00000000 PA USD 472829.13000000 0.081667842489 Long DBT CORP US Y 2 2056-11-01 Fixed 2.94000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DG7 810000.00000000 PA USD 738791.79000000 0.127605360394 Long DBT CORP US N 2 2026-02-04 Fixed 2.20000000 N N N N N N Reynolds American Inc 02S2RPPVO9RP4NEU2740 761713BV7 715000.00000000 PA USD 836248.95000000 0.144438324962 Long DBT CORP US N 2 2040-05-01 Fixed 8.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEG2 810000.00000000 PA USD 803165.63000000 0.138724118296 Long DBT UST US N 2 2024-03-31 Fixed 2.25000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBP9 160000.00000000 PA USD 131099.41000000 0.022643710564 Long DBT CORP US N 2 2037-11-15 Fixed 3.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DDX4 120706.19000000 PA USD 128336.81000000 0.022166549647 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CED9 1495000.00000000 PA USD 1448281.25000000 0.250149573072 Long DBT UST US N 2 2025-03-15 Fixed 1.75000000 N N N N N N CI FINANCIAL CORP 549300M9W7JJQSVCEM78 125491AN0 1035000.00000000 PA USD 876142.75000000 0.151328849188 Long DBT CORP CA N 2 2030-12-17 Fixed 3.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAB7 1988000.00000000 PA USD 1823601.72000000 0.314975555827 Long DBT UST US N 2 2025-07-31 Fixed 0.25000000 N N N N N N Medtronic Inc D56MRZY2INAN94ZONZ37 585055BS4 341000.00000000 PA USD 342119.56000000 0.059091465745 Long DBT CORP US N 2 2025-03-15 Fixed 3.50000000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAE0 450000.00000000 PA USD 462937.73000000 0.079959383247 Long DBT CORP US Y 2 2028-03-20 Fixed 5.15000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAP0 358000.00000000 PA USD 358719.12000000 0.061958569663 Long DBT CORP IE N 2 2023-09-15 Fixed 4.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 61.00000000 NC USD -224865.66000000 -0.03883917495 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year US Treasury Note Future TUM2 COMDTY 2022-06-30 13084428.16000000 USD -224865.66000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31287YND2 7795.00000000 PA USD 8291.33000000 0.001432092461 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAW1 4288000.00000000 PA USD 4139762.51000000 0.715026742560 Long DBT UST US N 2 2023-11-15 Fixed 0.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128283W8 2660000.00000000 PA USD 2629347.65000000 0.454145347878 Long DBT UST US N 2 2028-02-15 Fixed 2.75000000 N N N N N N LEIDOS INC 5493006I78VIN6J1BQ95 52532XAD7 160000.00000000 PA USD 158895.68000000 0.027444729064 Long DBT CORP US N 2 2025-05-15 Fixed 3.63000000 N N N N N N WESTPAC BANKING CORP EN5TNI6CI43VEPAMHL14 961214EP4 530000.00000000 PA USD 434586.85000000 0.075062571576 Long DBT CORP AU N 2 2035-11-15 Fixed 2.67000000 N N N N N N Chase Mortgage Finance Corporation N/A 46591HAG5 1379968.78000000 PA USD 1386559.79000000 0.239488938704 Long ABS-MBS CORP US Y 2 2057-10-25 Floating 2.92000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAT8 648000.00000000 PA USD 590312.81000000 0.101959821271 Long DBT UST US N 2 2025-10-31 Fixed 0.25000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03880XAA4 2434000.00000000 PA USD 2422883.92000000 0.418484585223 Long ABS-CBDO CORP KY Y 2 2037-01-15 Floating 1.72000000 N N N N N N HSBC Bank USA NA 1IE8VN30JCEQV1H4R804 4042Q1AD9 615000.00000000 PA USD 763776.87000000 0.131920825429 Long DBT CORP US N 2 2039-01-15 Fixed 7.00000000 N N N N N N BLACKSTONE HOLDINGS FINA 549300D2L6J4NC1QVZ22 09261BAD2 260000.00000000 PA USD 211692.55000000 0.036563893239 Long DBT CORP US Y 2 2032-01-30 Fixed 2.00000000 N N N N N N PROSPECT CAPITAL CORP 549300FSD8T39P5Q0O47 74348TAU6 380000.00000000 PA USD 352592.51000000 0.060900371281 Long DBT CORP US N 2 2026-01-22 Fixed 3.71000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAW5 520000.00000000 PA USD 451953.49000000 0.078062166842 Long DBT CORP IE N 2 2028-10-29 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBP5 1336000.00000000 PA USD 1205740.00000000 0.208257440491 Long DBT UST US N 2 2028-02-29 Fixed 1.13000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2U6 435000.00000000 PA USD 395241.97000000 0.068266857736 Long DBT CORP US N 2 2033-03-02 Fixed 3.35000000 N N N N N N CHEVRON CORP N/A 166764BW9 359000.00000000 PA USD 340360.30000000 0.058787603399 Long DBT CORP US N 2 2025-05-11 Fixed 1.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394VCF5 22530.80000000 PA USD 22827.44000000 0.003942793825 Long ABS-MBS USGSE US N 2 2035-11-25 Fixed 5.50000000 N N N N N N ING BANK NV 3TK20IVIUJ8J3ZU0QE75 449786AY8 347000.00000000 PA USD 356240.99000000 0.061530542882 Long DBT CORP NL Y 2 2023-09-25 Fixed 5.80000000 N N N N N N QVC Inc 549300WBLU5NKPX5X472 747262AS2 705000.00000000 PA USD 700981.50000000 0.121074703519 Long DBT CORP US N 2 2024-04-01 Fixed 4.85000000 N N N N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 01626PAH9 350000.00000000 PA USD 337926.72000000 0.058367271369 Long DBT CORP CA Y 2 2027-07-26 Fixed 3.55000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKQ1 360000.00000000 PA USD 358399.22000000 0.061903315997 Long DBT CORP US N 2 2033-04-27 Fixed 4.57000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCD6 1280000.00000000 PA USD 1034188.51000000 0.178626778640 Long DBT CORP US N 2 2042-04-22 Fixed 3.16000000 N N N N N N Municipal Electric Authority of Georgia JA0WNILDDF2KUPS83B16 626207YF5 265000.00000000 PA USD 325193.64000000 0.056167992378 Long DBT MUN US N 2 2057-04-01 Fixed 6.64000000 N N N N N N CANADIAN PACIFIC RAILWAY 54930036474DURYNB481 13645RAX2 242000.00000000 PA USD 266701.50000000 0.046065131591 Long DBT CORP CA N 2 2115-09-15 Fixed 6.13000000 N N N N N N CELULOSA ARAUCO CONSTITU 549300QEKV8G0AMNQD28 151191AZ6 383000.00000000 PA USD 385876.33000000 0.066649208645 Long DBT CORP CL N 2 2024-08-01 Fixed 4.50000000 N N N N N N BANNA RMBS 549300ITMSQX8FY8ZS10 000000000 861316.66000000 PA 1088263.84000000 0.187966760576 Long ABS-MBS CORP IE Y 2 2063-12-30 Floating 1.54000000 N N N N N N FannieMae Whole Loan N/A 31394A7A8 381012.52000000 PA USD 420101.85000000 0.072560698016 Long ABS-MBS USGSE US N 2 2044-07-25 Fixed 7.00000000 N N N N N N SABRA HEALTH CARE LP 549300OVKLRFSIQG0H81 78574MAA1 450000.00000000 PA USD 377618.37000000 0.065222879906 Long DBT US N 2 2031-12-01 Fixed 3.20000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382NVT1 1297249.04000000 PA USD 164811.34000000 0.028466491807 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.50000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CY4 125000.00000000 PA USD 123616.88000000 0.021351315399 Long DBT CORP US N 2 2038-03-25 Fixed 4.78000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SZ2 900000.00000000 PA USD 727171.88000000 0.125598349997 Long DBT UST US N 2 2051-08-15 Fixed 2.00000000 N N N N N N BHARTI AIRTEL INTERNATIO 724500ULW6PWKDAI7I46 08861JAB5 330000.00000000 PA USD 337755.00000000 0.058337611602 Long DBT CORP NL Y 2 2024-05-20 Fixed 5.35000000 N N N N N N Progress Energy Inc 549300FBMTW0JYWMNB26 743263AE5 295000.00000000 PA USD 358734.48000000 0.061961222668 Long DBT CORP US N 2 2031-03-01 Fixed 7.75000000 N N N N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 223.00000000 NC -1683131.23000000 -0.29071325656 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long MSE 10 Year Canadian Bond Future CNM2 COMDTY 2022-06-21 30340514.53000000 CAD -1683131.23000000 N N N JP Morgan Mortgage Trust N/A 46655DAE2 730591.06000000 PA USD 673742.31000000 0.116369904814 Long ABS-MBS CORP US Y 2 2052-08-25 Variable 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ENN88 304127.25000000 PA USD 318240.59000000 0.054967049889 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 486.00000000 NC USD -992818.30000000 -0.17148124639 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year US Treasury Note FVM2 COMDTY 2022-06-30 55751349.56000000 USD -992818.30000000 N N N TAKEDA PHARMACEUTICAL 549300ZLMVP4X0OGR454 874060AT3 559000.00000000 PA USD 567683.60000000 0.098051266064 Long DBT CORP JP N 2 2023-11-26 Fixed 4.40000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 53944YAE3 312000.00000000 PA USD 269977.43000000 0.046630955730 Long DBT CORP GB N 2 2048-01-09 Fixed 4.34000000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAL8 360000.00000000 PA USD 274166.64000000 0.047354523126 Long DBT CORP US N 2 2050-06-15 Fixed 3.00000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 625000.00000000 PA USD 536212.79000000 0.092615574837 Long DBT CORP US Y 2 2033-04-15 Fixed 3.42000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEE8 225000.00000000 PA USD 187464.25000000 0.032379140518 Long DBT CORP US N 2 2041-05-15 Fixed 3.05000000 N N N N N N TAKEDA PHARMACEUTICAL 549300ZLMVP4X0OGR454 874060AZ9 395000.00000000 PA USD 302476.88000000 0.052244315388 Long DBT CORP JP N 2 2050-07-09 Fixed 3.18000000 N N N N N N CHENIERE CORP CHRISTI HD 549300I7CIEWU1BBLQ53 16412XAL9 435000.00000000 PA USD 354037.06000000 0.061149876386 Long DBT CORP US N 2 2039-12-31 Fixed 2.74000000 N N N N N N GALAXY PIPELINE ASSETS 549300L82YB0C6JQIC26 36321PAB6 425000.00000000 PA USD 355320.04000000 0.061371474850 Long DBT CORP JE Y 2 2036-03-31 Fixed 2.63000000 N N N N N N Taurus CMBS 635400SG2ZVJCYHITE32 000000000 496354.40000000 PA 617640.61000000 0.106679924844 Long ABS-MBS CORP IE Y 2 2031-05-17 Floating 1.46000000 N N N N N N Pfizer Inc 765LHXWGK1KXCLTFYQ30 717081EN9 285000.00000000 PA USD 286868.41000000 0.049548394201 Long DBT CORP US N 2 2023-09-15 Fixed 3.20000000 N N N N N N ABN AMRO Bank NV BFXS5XCH7N0Y05NIXW11 00084DAL4 344000.00000000 PA USD 345613.36000000 0.059694920756 Long DBT CORP NL Y 2 2026-04-18 Fixed 4.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHGK2 85896.49000000 PA USD 86719.59000000 0.014978353421 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 4.00000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -55612.49000000 -0.00960548279 N/A DFE AU N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 904109.41000000 USD 1200104.36000000 AUD 2022-06-09 -55612.49000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 715827.95000000 0.123639007331 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 140000000.00000000 NOK 15643961.32000000 USD 2022-06-15 715827.95000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -8460.41000000 -0.00146129624 N/A DFE SE N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 884462.97000000 USD 8593598.77000000 SEK 2022-06-09 -8460.41000000 N N N EQUIFAX INC 5493004MCF8JDC86VS77 294429AR6 595000.00000000 PA USD 566787.96000000 0.097896569617 Long DBT CORP US N 2 2025-12-15 Fixed 2.60000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDR9 709000.00000000 PA USD 522802.34000000 0.090299299360 Long DBT CORP US Y 2 2051-11-01 Fixed 2.89000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 37671.77000000 0.006506731466 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 26000000.00000000 SEK 2688586.23000000 USD 2022-06-15 37671.77000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335ACW6 124421.49000000 PA USD 132454.72000000 0.022877801987 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BK9 375000.00000000 PA USD 362339.39000000 0.062583868786 Long DBT CORP US N 2 2028-03-15 Fixed 4.20000000 N N N N N N ONESKY CLASS A LOAN TRU N/A 68278AAA7 2431000.00000000 PA USD 2300430.99000000 0.397334309224 Long DBT CORP US N 2 2029-07-15 Fixed 3.88000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RDF6 150000.00000000 PA USD 168729.48000000 0.029143239537 Long DBT CORP US N 2 2040-08-15 Fixed 6.00000000 N N N N N N KYNDRYL HOLDINGS INC 549300LQ4LWX2R8ZV130 50155QAA8 950000.00000000 PA USD 829123.88000000 0.143207670890 Long DBT CORP US Y 2 2026-10-15 Fixed 2.05000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBV6 270000.00000000 PA USD 232933.66000000 0.040232693479 Long DBT CORP US N 2 2030-04-01 Fixed 2.95000000 N N N N N N LABORATORY CORP OF AMER OZ7UA8IXAIFILY2VZH07 50540RAV4 353000.00000000 PA USD 342978.95000000 0.059239901031 Long DBT CORP US N 2 2024-12-01 Fixed 2.30000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400EB5 304000.00000000 PA USD 331285.42000000 0.057220174864 Long DBT CORP US N 2 2029-04-01 Fixed 6.65000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBE4 385000.00000000 PA USD 332677.68000000 0.057460648353 Long DBT CORP US N 2 2035-05-15 Fixed 3.90000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEF4 2920000.00000000 PA USD 2861371.89000000 0.494220964806 Long DBT UST US N 2 2027-03-31 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F97B1 1648758.36000000 PA USD 285560.83000000 0.049322546784 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402FJ97 20028.81000000 PA USD 20919.22000000 0.003613202858 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 5.50000000 N N N N N N TENNESSEE GAS PIPELINE N/A 880451AW9 515000.00000000 PA USD 640143.65000000 0.110566687756 Long DBT CORP US N 2 2032-06-15 Fixed 8.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SR0 2227000.00000000 PA USD 1604570.89000000 0.277144182525 Long DBT UST US N 2 2040-05-15 Fixed 1.13000000 N N N N N N Paragon Mortgages PLC NC14LGCCXH6KWEV2DR91 000000000 1955647.69000000 PA 2385129.82000000 0.411963633580 Long ABS-MBS CORP GB Y 2 2038-11-15 Floating 0.34000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WLCS0 125432.12000000 PA USD 126850.78000000 0.021909880046 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -92.00000000 NC USD 418280.07000000 0.072246037111 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 10 Year US Treasury Note TYM2 COMDTY 2022-06-21 -11380655.07000000 USD 418280.07000000 N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668BL5 625000.00000000 PA USD 569293.53000000 0.098329335881 Long DBT CORP US Y 2 2025-11-24 Fixed 1.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128286R6 4355000.00000000 PA USD 4316043.17000000 0.745474234607 Long DBT UST US N 2 2024-04-30 Fixed 2.25000000 N N N N N N AVALONBAY COMMUNITIES K9G90K85RBWD2LAGQX17 05348EAU3 339000.00000000 PA USD 338914.10000000 0.058537813303 Long DBT US N 2 2024-11-15 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828YB0 5925000.00000000 PA USD 5422763.70000000 0.936628865719 Long DBT UST US N 2 2029-08-15 Fixed 1.63000000 N N N N N N EIG PEARL HOLDINGS SARL 549300KIMRL45BWA5H76 28249NAB7 255000.00000000 PA USD 215587.20000000 0.037236583736 Long DBT CORP LU Y 2 2046-11-30 Fixed 4.39000000 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAZ2 372000.00000000 PA USD 338071.00000000 0.058392191653 Long DBT CORP JP N 2 2027-01-22 Fixed 2.33000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 51265.48000000 0.008854659918 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 56195012.71000000 SEK 5779596.08000000 USD 2022-06-09 51265.48000000 N N N SCENTRE GROUP TRUST 2 549300VRF0U0JH8TBJ74 76025LAA2 945000.00000000 PA USD 912255.75000000 0.157566347279 Long DBT AU Y 2 2080-09-24 Fixed 4.75000000 N N N N N N BELLEMEADE RE LT N/A 07877KAE0 2338000.00000000 PA USD 2371418.67000000 0.409595420694 Long ABS-MBS CORP US Y 2 2030-10-25 Floating 4.37000000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBF5 389000.00000000 PA USD 342320.00000000 0.059126086079 Long DBT CORP US N 2 2029-02-15 Fixed 3.25000000 N N N N N N DEUTSCHE TELEKOM INT FIN 529900ERDFHS6C1M4U58 25156PAV5 349000.00000000 PA USD 345582.48000000 0.059689587111 Long DBT CORP NL Y 2 2023-09-19 Fixed 2.49000000 N N N N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348BL9 420000.00000000 PA USD 364476.60000000 0.062953011291 Long DBT CORP US N 2 2030-05-15 Fixed 2.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828K74 2945000.00000000 PA USD 2859180.87000000 0.493842528147 Long DBT UST US N 2 2025-08-15 Fixed 2.00000000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 23636AAT8 435000.00000000 PA USD 443675.28000000 0.076632340489 Long DBT CORP DK Y 2 2024-01-12 Fixed 5.38000000 N N N N N N PANASONIC CORP 254900GE1G59KGWPHX32 69832AAB2 292000.00000000 PA USD 285290.02000000 0.049275772026 Long DBT CORP JP Y 2 2024-07-19 Fixed 2.68000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DC1 750000.00000000 PA USD 542230.56000000 0.093654974191 Long DBT CORP US N 2 2052-01-15 Fixed 3.00000000 N N N N N N BANCO SANTANDER MEXICO SCRYQ25DTVRHYYMM6P89 05969BAD5 499000.00000000 PA USD 511475.00000000 0.088342822146 Long DBT CORP MX Y 2 2025-04-17 Fixed 5.38000000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KBB1 670000.00000000 PA USD 657715.72000000 0.113601765238 Long DBT CORP US N 2 2025-06-02 Fixed 3.45000000 N N N N N N SCENTRE GROUP TRUST 1/2 N/A 80622GAE4 525000.00000000 PA USD 522667.57000000 0.090276021659 Long DBT AU Y 2 2030-05-28 Fixed 4.38000000 N N N N N N Jefferies Group LLC NY9Q8VBNB6D1L6YV0J84 472319AM4 306000.00000000 PA USD 333896.60000000 0.057671182265 Long DBT CORP US N 2 2043-01-20 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WCHZ9 128941.14000000 PA USD 130407.30000000 0.022524168161 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128286L9 2750000.00000000 PA USD 2678671.88000000 0.462664711832 Long DBT UST US N 2 2026-03-31 Fixed 2.25000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCR0 290000.00000000 PA USD 292933.39000000 0.050595947746 Long DBT CORP US N 2 2024-04-15 Fixed 3.70000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03881EAA5 923000.00000000 PA USD 907599.93000000 0.156762186219 Long ABS-CBDO CORP KY Y 2 2036-05-15 Floating 1.65000000 N N N N N N COSTAR GROUP INC N/A 22160NAA7 645000.00000000 PA USD 561388.06000000 0.096963889808 Long DBT CORP US Y 2 2030-07-15 Fixed 2.80000000 N N N N N N VONTIER CORP 549300VVSQLG4P5K4639 928881AB7 370000.00000000 PA USD 329129.80000000 0.056847852553 Long DBT CORP US N 2 2026-04-01 Fixed 1.80000000 N N N N N N CANADIAN IMPERIAL BANK 2IGI19DL77OX0HC3ZE78 13607GRR7 530000.00000000 PA USD 481550.11000000 0.083174144821 Long DBT CORP CA N 2 2025-10-23 Fixed 0.95000000 N N N N N N MEXICO GENERADORA DE ENE 635400GBINBYW1VUAD14 000000000 280310.05000000 PA USD 275757.81000000 0.047629352684 Long DBT CORP MX Y 2 2032-12-06 Fixed 5.50000000 N N N N N N Voya CLO Ltd 549300L8S87K3SMP0R77 92912VAY1 1659541.01000000 PA USD 1649650.15000000 0.284930348122 Long ABS-CBDO CORP KY Y 2 2030-04-17 Floating 2.06000000 N N N N N N FAIRFAX FINL HLDGS LTD GLS7OQD0WOEDI8YAP031 303901BJ0 420000.00000000 PA USD 373097.11000000 0.064441960276 Long DBT CORP CA N 2 2031-03-03 Fixed 3.38000000 N N N N N N Towd Point Mortgage Trust N/A 89178YAA2 839146.99000000 PA USD 805997.66000000 0.139213271280 Long ABS-O CORP US Y 2 2060-02-25 Variable 2.25000000 N N N N N N UNITED PARCEL SERVICE D01LMJZU09ULLNCY6Z23 911312BL9 357000.00000000 PA USD 354371.35000000 0.061207615517 Long DBT CORP US N 2 2024-11-15 Fixed 2.80000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 06423AAJ2 405000.00000000 PA USD 511019.71000000 0.088264183692 Long DBT CORP US N 2 2030-09-01 Fixed 8.75000000 N N N N N N Validus Holdings Ltd 549300V97BMXPCWUAZ30 91915WAB8 477000.00000000 PA USD 672089.58000000 0.116084442509 Long DBT CORP BM N 2 2040-01-26 Fixed 8.88000000 N N N N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 369550BK3 344000.00000000 PA USD 342562.96000000 0.059168050538 Long DBT CORP US N 2 2025-04-01 Fixed 3.25000000 N N N N N N TCI Communications Inc N/A 872287AF4 340000.00000000 PA USD 384471.01000000 0.066406479411 Long DBT CORP US N 2 2026-02-15 Fixed 7.88000000 N N N N N N Newgate Funding PLC 2138006KF4KS6D5P1697 000000000 732426.21000000 PA 912756.90000000 0.157652906750 Long ABS-MBS CORP GB Y 2 2050-12-01 Floating 1.06000000 N N N N N N WESTINGHOUSE AIR BRAKE 06BTX5UWZD0GQ5N5Y745 960386AN0 391000.00000000 PA USD 394277.99000000 0.068100357489 Long DBT CORP US N 2 2024-03-15 Fixed 4.40000000 N N N N N N ADANI PORTS AND SPECIAL 335800QOAXP5TM7OYP69 00652MAF9 366000.00000000 PA USD 358442.10000000 0.061910722303 Long DBT CORP IN Y 2 2024-07-24 Fixed 3.38000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWDT7 4600000.00000000 PA USD 4468771.25000000 0.771853685427 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XUQ40 128643.37000000 PA USD 130072.73000000 0.022466380668 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KH5K8 4286560.27000000 PA USD 4064689.80000000 0.702060057839 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.00000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBG9 380000.00000000 PA USD 297925.69000000 0.051458226198 Long DBT CORP US N 2 2055-05-15 Fixed 4.38000000 N N N N N N CAMB Commercial Mortgage Trust N/A 12482HAN4 3188000.00000000 PA USD 3125163.24000000 0.539783450396 Long ABS-MBS CORP US Y 2 2037-12-15 Floating 2.70000000 N N N N N N American Tower Corp 5493006ORUSIL88JOE18 03027XAT7 341000.00000000 PA USD 340019.17000000 0.058728682852 Long DBT US N 2 2024-05-15 Fixed 3.38000000 N N N N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MEV2 297000.00000000 PA USD 290819.37000000 0.050230810656 Long DBT CORP US N 2 2045-05-26 Fixed 4.60000000 N N N N N N GoodLeap Sustainable Home Improvement Loan Trust N/A 38237JAA1 759663.58000000 PA USD 693523.09000000 0.119786474401 Long ABS-O CORP US Y 2 2049-01-20 Fixed 2.70000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2R4 345000.00000000 PA USD 293759.11000000 0.050738567493 Long DBT CORP FR Y 2 2029-09-15 Fixed 2.16000000 N N N N N N FREEPORT INDONESIA PT 549300T4HTQHRKLNE619 69377FAA4 200000.00000000 PA USD 198734.00000000 0.034325670690 Long DBT CORP ID Y 2 2027-04-14 Fixed 4.76000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50076QAE6 1100000.00000000 PA USD 1058104.55000000 0.182757597289 Long DBT CORP US N 2 2042-06-04 Fixed 5.00000000 N N N N N N Devon Energy Corporation 54930042348RKR3ZPN35 25179SAD2 425000.00000000 PA USD 519128.05000000 0.089664669813 Long DBT CORP US N 2 2031-09-30 Fixed 7.88000000 N N N N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887BV0 263000.00000000 PA USD 261683.52000000 0.045198417647 Long DBT CORP US N 2 2024-06-06 Fixed 3.36000000 N N N N N N Equinor ASA OW6OFBNCKXC4US5C7523 85771PAK8 360000.00000000 PA USD 357623.81000000 0.061769385878 Long DBT CORP NO N 2 2024-01-15 Fixed 2.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382LBH3 2132860.78000000 PA USD 292397.08000000 0.050503315381 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.50000000 N N N N N N BELLEMEADE RE LT N/A 07877KAC4 1362616.13000000 PA USD 1366892.43000000 0.236091959210 Long ABS-MBS CORP US Y 2 2030-10-25 Floating 3.52000000 N N N N N N FAIRFAX FINL HLDGS LTD GLS7OQD0WOEDI8YAP031 303901BB7 285000.00000000 PA USD 286328.64000000 0.049455164219 Long DBT CORP CA N 2 2028-04-17 Fixed 4.85000000 N N N N N N APOLLO MANAGEMENT HOLDIN 5493006XQW0V5K38YM64 03765HAC5 90000.00000000 PA USD 93451.13000000 0.016141036330 Long DBT CORP US Y 2 2048-03-15 Fixed 5.00000000 N N N N N N INTERCORP FIN SER INC 5299004181WFTEWB1398 45866EAA5 373000.00000000 PA USD 346778.10000000 0.059896096608 Long DBT CORP PA Y 2 2027-10-19 Fixed 4.13000000 N N N N N N MHC Commercial Mortgage Trust N/A 55316VAA2 2776000.00000000 PA USD 2722080.64000000 0.470162345860 Long ABS-MBS CORP US Y 2 2038-04-15 Floating 1.35000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DW5 315000.00000000 PA USD 279145.43000000 0.048214468108 Long DBT CORP US N 2 2052-03-15 Fixed 3.70000000 N N N N N N LAND O'LAKES INC 4ONCJWH5BBCYSJIJYX61 514666AJ5 700000.00000000 PA USD 705748.51000000 0.121898069503 Long DBT CORP US Y 2 2022-11-15 Fixed 6.00000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 486635.65000000 0.084052527842 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 1715400000.00000000 JPY 13723364.68000000 USD 2022-06-15 486635.65000000 N N N Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC 3661.09000000 0.000632349621 N/A DFE GB N 2 Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 335552.75000000 USD 269763.83000000 GBP 2022-06-09 3661.09000000 N N N Eagle Re Ltd N/A 26983BAB7 1464000.00000000 PA USD 1460827.51000000 0.252316584199 Long ABS-MBS CORP US Y 2 2033-10-25 Floating 2.44000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SQ2 1105000.00000000 PA USD 792319.53000000 0.136850761664 Long DBT UST US N 2 2040-08-15 Fixed 1.13000000 N N N N N N VONTIER CORP 549300VVSQLG4P5K4639 928881AF8 330000.00000000 PA USD 278051.40000000 0.048025505406 Long DBT CORP US N 2 2031-04-01 Fixed 2.95000000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550AQ9 298000.00000000 PA USD 346675.27000000 0.059878335637 Long DBT CORP US N 2 2033-08-15 Fixed 7.30000000 N N N N N N Walmart Inc Y87794H0US1R65VBXU25 931142CH4 308000.00000000 PA USD 342265.10000000 0.059116603658 Long DBT CORP US N 2 2027-04-05 Fixed 5.88000000 N N N N N N Grupo Bimbo SAB de CV 5493000RIXURZEBFEV60 40052VAC8 402000.00000000 PA USD 403315.19000000 0.069661277871 Long DBT CORP MX Y 2 2024-06-27 Fixed 3.88000000 N N N N N N CONSUMERS ENERGY CO 7NKTFWJ1G6MELP9TU740 210518DN3 825000.00000000 PA USD 603809.75000000 0.104291035446 Long DBT CORP US N 2 2052-08-15 Fixed 2.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJZY9 177107.99000000 PA USD 178452.88000000 0.030822681537 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEE7 1485000.00000000 PA USD 1431632.81000000 0.247274026518 Long DBT UST US N 2 2029-03-31 Fixed 2.38000000 N N N N N N STATE BANK INDIA/LONDON 5493001JZ37UBBZF6L49 85628UAJ5 282000.00000000 PA USD 284843.97000000 0.049198729520 Long DBT CORP IN Y 2 2024-01-24 Fixed 4.38000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -279292.29000000 -0.04823983401 N/A DFE NZ N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 6001036.18000000 USD 8862850.66000000 NZD 2022-06-09 -279292.29000000 N N N CHENIERE CORP CHRISTI HD 549300I7CIEWU1BBLQ53 16412XAJ4 342000.00000000 PA USD 320497.76000000 0.055356912087 Long DBT CORP US N 2 2029-11-15 Fixed 3.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QSX78 245389.83000000 PA USD 248240.12000000 0.042876450991 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.00000000 N N N N N N MULTICARE HEALTH SYSTEM 549300OSCVFLGLKTTI33 62548LAA0 715000.00000000 PA USD 541769.82000000 0.093575394404 Long DBT CORP US N 2 2050-08-15 Fixed 2.80000000 N N N N N N Southern Power Co 5LADC78JBG2BMZD5XF57 843646AH3 306000.00000000 PA USD 297957.19000000 0.051463666931 Long DBT CORP US N 2 2041-09-15 Fixed 5.15000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AR2 289000.00000000 PA USD 288192.46000000 0.049777086344 Long DBT CORP CH N 2 2026-04-17 Fixed 4.55000000 N N N N N N SABIC Capital II BV 2138005PCUTH59D4RJ83 78520LAA8 341000.00000000 PA USD 344701.21000000 0.059537372674 Long DBT CORP NL Y 2 2023-10-10 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416VBR4 236259.70000000 PA USD 253087.55000000 0.043713707253 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SF6 1453000.00000000 PA USD 1441648.44000000 0.249003942975 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N 7-ELEVEN INC 549300K23JPL0SS3LB18 817826AG5 115000.00000000 PA USD 79504.13000000 0.013732087035 Long DBT CORP US Y 2 2051-02-10 Fixed 2.80000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAN3 190000.00000000 PA USD 180725.13000000 0.031215148378 Long DBT CORP US N 2 2042-05-15 Fixed 4.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RZ3 3411000.00000000 PA USD 3188085.83000000 0.550651545957 Long DBT UST US N 2 2047-11-15 Fixed 2.75000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBE2 340000.00000000 PA USD 340481.51000000 0.058808538994 Long DBT CORP US N 2 2025-02-15 Fixed 3.75000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 170950.02000000 0.029526774940 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 345394993.00000000 JPY 2835429.37000000 USD 2022-06-09 170950.02000000 N N N PERRIGO FINANCE UNLIMITE 549300E86RB6YCTMRM83 71429MAC9 465000.00000000 PA USD 417063.24000000 0.072035864187 Long DBT CORP IE N 2 2030-06-15 Fixed 3.90000000 N N N N N N Synchrony Financial 549300RS7EWPM9MA6C78 87165BAM5 346000.00000000 PA USD 330495.10000000 0.057083669465 Long DBT CORP US N 2 2027-12-01 Fixed 3.95000000 N N N N N N TIME WARNER ENTERTAINMEN N/A 88731EAJ9 866000.00000000 PA USD 1049538.12000000 0.181277989093 Long DBT CORP US N 2 2033-07-15 Fixed 8.38000000 N N N N N N International Paper Co 824LMFJDH41EY779Q875 460146CF8 150000.00000000 PA USD 185191.94000000 0.031986663313 Long DBT CORP US N 2 2039-11-15 Fixed 7.30000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RGU0 415000.00000000 PA USD 537725.54000000 0.092876859561 Long DBT CORP US N 2 2031-11-15 Fixed 8.75000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746TG6 370000.00000000 PA USD 352248.81000000 0.060841006839 Long DBT CORP US N 2 2027-01-15 Floating 0.74000000 N N N N N N SAUDI ARABIAN OIL CO 5586006WD91QHB7J4X50 80414L2G9 200000.00000000 PA USD 194312.40000000 0.033561964502 Long DBT CORP SA Y 2 2023-11-24 Fixed 1.25000000 N N N N N N Lehman Brothers Holdings Inc 549300FDK6ZP3YIHRJ47 524ESCXA3 1450000.00000000 PA USD 145.00000000 0.000025044643 Long DBT CORP US N 3 2056-11-30 None 0.00000000 Y N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WEYD5 352062.41000000 PA USD 355973.23000000 0.061484294925 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RH3 1690000.00000000 PA USD 1667752.74000000 0.288057057910 Long DBT UST US N 2 2044-08-15 Fixed 3.13000000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DCE3 495000.00000000 PA USD 478635.30000000 0.082670693936 Long DBT CORP US N 2 2028-03-01 Fixed 4.13000000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 539830BE8 345000.00000000 PA USD 342501.43000000 0.059157422973 Long DBT CORP US N 2 2025-03-01 Fixed 2.90000000 N N N N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 05565EBY0 215000.00000000 PA USD 212920.04000000 0.036775907376 Long DBT CORP US Y 2 2025-04-01 Fixed 3.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202F2N5 101598.81000000 PA USD 106748.83000000 0.018437837436 Long ABS-MBS USGA US N 2 2042-01-20 Fixed 4.50000000 N N N N N N Morgan Stanley Mortgage Capital Holdings LLC N/A 55375KAC0 6248000.00000000 PA USD 28630.84000000 0.004945166833 Long ABS-MBS CORP US Y 2 2039-09-13 Variable 0.17000000 N N N N N N Capital One Bank USA NA LKE37K2B8CFZUR7F9816 140420NB2 250000.00000000 PA USD 251428.62000000 0.043427174073 Long DBT CORP US N 2 2023-02-15 Fixed 3.38000000 N N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAH6 395000.00000000 PA USD 358626.18000000 0.061942516910 Long DBT CORP GB N 2 2025-09-02 Fixed 1.20000000 N N N N N N Loews Corp R8V1FN4M5ITGZOG7BS19 540424AP3 337000.00000000 PA USD 379218.82000000 0.065499312322 Long DBT CORP US N 2 2035-02-01 Fixed 6.00000000 N N N N N N OAKTREE SPECIALTY LEND 549300J6MGCEU5928620 67401PAB4 440000.00000000 PA USD 425802.28000000 0.073545285872 Long DBT CORP US N 2 2025-02-25 Fixed 3.50000000 N N N N N N JP Morgan Mortgage Trust N/A 46655GAE5 1051000.00000000 PA USD 999476.41000000 0.172631246353 Long ABS-MBS CORP US Y 2 2052-10-25 Variable 3.00000000 N N N N N N Banc of America Mortgage Securities N/A 05949ADG2 49761.04000000 PA USD 49672.97000000 0.008579598913 Long ABS-MBS CORP US N 2 2034-05-25 Variable 2.76000000 N N N N N N JP Morgan Mortgage Trust N/A 46592TAN3 3000325.95000000 PA USD 2840621.90000000 0.490636991638 Long ABS-MBS CORP US Y 2 2051-12-25 Variable 2.50000000 N N N N N N MACQUARIE BANK LTD 4ZHCHI4KYZG2WVRT8631 556079AC5 335000.00000000 PA USD 300622.79000000 0.051924073845 Long DBT CORP AU Y 2 2030-06-03 Fixed 3.62000000 N N N N N N MASS MUTUAL LIFE INS CO R6ZXK5P01NP6HXSY1S07 575767AR9 570000.00000000 PA USD 416709.65000000 0.071974791528 Long DBT CORP US Y 2 2061-12-01 Fixed 3.20000000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAD0 439000.00000000 PA USD 305244.12000000 0.052722277735 Long DBT CORP NL Y 2 2050-08-03 Fixed 4.03000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EUKQ1 238498.70000000 PA USD 247699.67000000 0.042783103558 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BDQ84 1872304.89000000 PA USD 277575.19000000 0.047943253614 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.50000000 N N N N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 760759AU4 346000.00000000 PA USD 338509.13000000 0.058467866203 Long DBT CORP US N 2 2024-08-15 Fixed 2.50000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAQ8 220000.00000000 PA USD 214689.94000000 0.037081607480 Long DBT CORP IE N 2 2024-02-15 Fixed 3.15000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828M56 3530000.00000000 PA USD 3448092.99000000 0.595560419886 Long DBT UST US N 2 2025-11-15 Fixed 2.25000000 N N N N N N KAUPTHING BANK HF 5493003NQ84XTWNKWP07 48632FAA9 100000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP IS Y 3 2011-10-04 None 0.00000000 Y N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKD0 525000.00000000 PA USD 443517.10000000 0.076605019374 Long DBT CORP US N 2 2032-10-20 Fixed 2.57000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402CVN9 98256.36000000 PA USD 104504.04000000 0.018050113533 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BFEZ2 840844.42000000 PA USD 148150.40000000 0.025588786232 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 3.00000000 N N N N N N Eni SpA BUCRF72VH5RBN7X3VL35 26874RAG3 1193000.00000000 PA USD 1200575.74000000 0.207365460819 Long DBT CORP IT Y 2 2023-09-12 Fixed 4.00000000 N N N N N N NTT FINANCE CORP 3538007PR116187GD960 62954WAC9 705000.00000000 PA USD 636518.77000000 0.109940592387 Long DBT CORP JP Y 2 2026-04-03 Fixed 1.16000000 N N N N N N POTOMAC ELECTRIC POWER 549300BXF2DWUNN57U06 737679DG2 350000.00000000 PA USD 352158.23000000 0.060825361709 Long DBT CORP US N 2 2024-03-15 Fixed 3.60000000 N N N N N N CommonSpirit Health 4SXHN5XW08IBO0UG2V58 14916RAD6 205000.00000000 PA USD 190874.40000000 0.032968147361 Long DBT CORP US N 2 2042-11-01 Fixed 4.35000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 124857AF0 380000.00000000 PA USD 389378.52000000 0.067254112791 Long DBT CORP US N 2 2040-10-15 Fixed 5.90000000 N N N N N N RELIANCE INDUSTRIES LTD 5493003UOETFYRONLG31 759470BB2 375000.00000000 PA USD 320812.50000000 0.055411274509 Long DBT CORP IN Y 2 2032-01-12 Fixed 2.88000000 N N N N N N JP Morgan Mortgage Trust N/A 46653PAM9 3552224.18000000 PA USD 3350027.67000000 0.578622412899 Long ABS-MBS CORP US Y 2 2051-10-25 Variable 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HFGJ2 117131.40000000 PA USD 118915.49000000 0.020539283412 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M96Y3 317389.67000000 PA USD 322190.58000000 0.055649298805 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4.00000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -17964.07000000 -0.00310278438 N/A DFE AU N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 1464421.28000000 USD 2045852.58000000 AUD 2022-06-09 -17964.07000000 N N N Lennar Corp 529900G61XVRLX5TJX09 526057BZ6 512000.00000000 PA USD 519546.97000000 0.089737026379 Long DBT CORP US N 2 2024-04-30 Fixed 4.50000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -8752.07000000 -0.00151167224 N/A DFE SE N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 149620.34000000 USD 1381919.90000000 SEK 2022-06-09 -8752.07000000 N N N BRITISH AIR 20-1 A PTT N/A 11044MAA4 242925.03000000 PA USD 235156.55000000 0.040616634778 Long DBT CORP US Y 2 2032-11-15 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31359XFT1 16789.20000000 PA USD 17915.52000000 0.003094398742 Long ABS-MBS USGSE US N 2 2029-12-18 Fixed 7.00000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AG5 475000.00000000 PA USD 479604.73000000 0.082838135516 Long DBT CORP US N 2 2025-11-15 Fixed 4.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404EGE0 19356.00000000 PA USD 20470.95000000 0.003535776909 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382MF61 2116474.44000000 PA USD 290326.32000000 0.050145650231 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 2.50000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200JY8 185000.00000000 PA USD 184111.84000000 0.031800106625 Long DBT CORP US N 2 2024-05-15 Fixed 3.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 06050TJZ6 310000.00000000 PA USD 349668.29000000 0.060395295085 Long DBT CORP US N 2 2036-10-15 Fixed 6.00000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAR0 270000.00000000 PA USD 240940.68000000 0.041615679439 Long DBT CORP US N 2 2031-03-24 Fixed 3.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HKLB2 1470594.57000000 PA USD 1539020.59000000 0.265822224473 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 5.00000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CR9 342000.00000000 PA USD 341264.68000000 0.058943809434 Long DBT CORP US N 2 2027-03-25 Fixed 3.38000000 N N N N N N Last Mile Logistics Pan Euro Finance DAC 635400NOPX1IKIAX7N90 000000000 1215548.31000000 PA 1263791.33000000 0.218284163833 Long ABS-MBS CORP IE Y 2 2033-08-17 Floating 0.75000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFM6 980000.00000000 PA USD 979425.92000000 0.169168092001 Long DBT CORP US N 2 2025-01-22 Fixed 4.00000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 5919.42000000 0.001022412177 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 376601.61000000 EUR 403865.68000000 USD 2022-06-09 5919.42000000 N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 22535WAH0 429000.00000000 PA USD 380447.84000000 0.065711590723 Long DBT CORP FR Y 2 2027-01-26 Fixed 1.25000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05579T5G7 377000.00000000 PA USD 380725.35000000 0.065759522717 Long DBT CORP FR N 2 2024-10-15 Fixed 4.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828WE6 12605000.00000000 PA USD 12642421.09000000 2.183620231409 Long DBT UST US N 2 2023-11-15 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J55V7 90838.45000000 PA USD 91876.91000000 0.015869134404 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CNT7 68346.76000000 PA USD 70243.67000000 0.012132604811 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.50000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RAV4 605000.00000000 PA USD 576757.43000000 0.099618513241 Long DBT CORP FR Y 2 2025-01-22 Fixed 2.63000000 N N N N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAE3 340000.00000000 PA USD 342694.28000000 0.059190732350 Long DBT CORP US Y 2 2023-12-15 Fixed 3.88000000 N N N N N N BELLEMEADE RE LT N/A 07876AAA1 2121495.61000000 PA USD 2100993.69000000 0.362887163375 Long ABS-MBS CORP BM Y 2 2031-06-25 Floating 1.49000000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAP8 267000.00000000 PA USD 280750.50000000 0.048491698497 Long DBT CORP KY N 2 2026-08-10 Fixed 6.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31393GV35 341630.44000000 PA USD 363281.85000000 0.062746652062 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 5.50000000 N N N N N N BLACKSTONE PRIVATE CRE 549300ORP3TTCNXSYO43 09261HAC1 435000.00000000 PA USD 381276.85000000 0.065854778724 Long DBT CORP US Y 2 2026-12-15 Fixed 2.63000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172AM1 635000.00000000 PA USD 567608.47000000 0.098038289484 Long DBT CORP US N 2 2041-11-15 Fixed 4.38000000 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAP4 565000.00000000 PA USD 547133.30000000 0.094501783689 Long DBT CORP JP N 2 2025-01-16 Fixed 2.65000000 N N N N N N Russell Investments Trust Company Commingled Employee Benefit Funds Trust-U.S. Cash Management Fund 845SLB3N6EI7ZN7PZ398 000000000 41078906.66000000 NS USD 41066582.99000000 7.093089275656 Long STIV PF US N N/A N N N WESTPAC BANKING CORP EN5TNI6CI43VEPAMHL14 961214EY5 325000.00000000 PA USD 252064.47000000 0.043536999154 Long DBT CORP AU N 2 2041-11-18 Fixed 3.13000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -34993.95000000 -0.00604421389 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 2336264.08000000 USD 2234519.78000000 CHF 2022-06-09 -34993.95000000 N N N Applied Materials Inc 41BNNE1AFPNAZELZ6K07 038222AK1 291000.00000000 PA USD 313703.26000000 0.054183354621 Long DBT CORP US N 2 2035-10-01 Fixed 5.10000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SAH6 579000.00000000 PA USD 825706.27000000 0.142617375543 Long DBT CORP US N 2 2039-02-06 Fixed 10.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828X88 3010000.00000000 PA USD 2929458.99000000 0.505981083220 Long DBT UST US N 2 2027-05-15 Fixed 2.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382LCN9 2399796.95000000 PA USD 269433.84000000 0.046537065951 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCU8 225000.00000000 PA USD 197948.74000000 0.034190039262 Long DBT CORP US N 2 2033-01-25 Fixed 2.96000000 N N N N N N Tencent Holdings Ltd 254900N4SLUMW4XUYY11 88032WAL0 349000.00000000 PA USD 346145.18000000 0.059786777601 Long DBT CORP KY Y 2 2024-04-11 Fixed 3.28000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -14457.06000000 -0.00249704771 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 47028540.41000000 NOK 4999970.81000000 USD 2022-06-09 -14457.06000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419DL74 78018.13000000 PA USD 81174.24000000 0.014020551243 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.50000000 N N N N N N Radnor Re LTD N/A 75049GAA7 859000.00000000 PA USD 853017.24000000 0.147334572210 Long ABS-MBS CORP US Y 2 2031-11-25 Floating 2.14000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAV3 2217000.00000000 PA USD 1878561.09000000 0.324468230638 Long DBT UST US N 2 2030-11-15 Fixed 0.88000000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBD6 800000.00000000 PA USD 681090.94000000 0.117639172546 Long DBT CORP US N 2 2037-08-15 Fixed 4.39000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAT6 310000.00000000 PA USD 271310.10000000 0.046861136733 Long DBT CORP US N 2 2052-03-15 Fixed 4.25000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAC7 785000.00000000 PA USD 703359.39000000 0.121485416679 Long DBT CORP US N 2 2049-10-01 Fixed 4.19000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31283HZH1 15481.06000000 PA USD 16481.32000000 0.002846681307 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CDY4 1430000.00000000 PA USD 1305768.75000000 0.225534574409 Long DBT UST US N 2 2032-02-15 Fixed 1.88000000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MBF6 358000.00000000 PA USD 361920.39000000 0.062511498401 Long DBT CORP JP N 2 2023-10-16 Fixed 3.94000000 N N N N N N Enbridge Inc 98TPTUM4IVMFCZBCUR27 29250NAR6 346000.00000000 PA USD 338270.94000000 0.058426725626 Long DBT CORP CA N 2 2027-07-15 Fixed 3.70000000 N N N N N N CHEVRON USA INC VA8TZDWPEZYU430RZ444 166756AP1 333000.00000000 PA USD 337610.19000000 0.058312599775 Long DBT CORP US N 2 2024-11-15 Fixed 3.90000000 N N N N N N Tyson Foods Inc WD6L6041MNRW1JE49D58 902494AZ6 307000.00000000 PA USD 314100.35000000 0.054251940674 Long DBT CORP US N 2 2034-08-15 Fixed 4.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZQ6 3603000.00000000 PA USD 3014979.16000000 0.520752270802 Long DBT UST US N 2 2030-05-15 Fixed 0.63000000 N N N N N N Osaka Exchange 3538001249AILNPRUX57 000000000 -12.00000000 NC 43052.98000000 0.007436183107 N/A DIR JP N 1 Osaka Exchange 3538001249AILNPRUX57 Short TSE Japanese 10 Year Bond Futures JBM2 COMDTY 2022-06-13 -1801027200.00000000 JPY 43052.98000000 N N N CAMB Commercial Mortgage Trust N/A 12477BAA2 2617000.00000000 PA USD 2326020.74000000 0.401754213879 Long ABS-MBS CORP US Y 2 2046-11-10 Fixed 2.70000000 N N N N N N SIEMENS FINANCIERINGSMAT TAFO772JB70PDRN5VS48 82620KAK9 291000.00000000 PA USD 288378.70000000 0.049809254030 Long DBT CORP NL Y 2 2023-09-15 Fixed 2.00000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CR9 740000.00000000 PA USD 596679.81000000 0.103059540218 Long DBT CORP US N 2 2040-02-21 Fixed 3.15000000 N N N N N N BARINGS BDC INC 549300GSF4KFZP6ONG49 06759LAA1 379000.00000000 PA USD 338829.19000000 0.058523147505 Long DBT CORP US Y 2 2026-11-23 Fixed 3.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BD2G2 1214998.33000000 PA USD 155376.66000000 0.026836918011 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SA7 2141000.00000000 PA USD 2103616.13000000 0.363340115622 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N MUTUAL OF OMAHA INS CO P2LER0UPV1DKOU8RO042 628312AD2 295000.00000000 PA USD 289341.35000000 0.049975524557 Long DBT CORP US Y 2 2054-07-15 Fixed 4.30000000 N N N N N N CODELCO INC 549300UVMBCBCIPSUI70 21987BAR9 140000.00000000 PA USD 122364.20000000 0.021134950403 Long DBT CORP CL Y 2 2042-07-17 Fixed 4.25000000 N N N N N N SHIRE ACQ INV IRELAND DA 549300XK5HGW68R8K327 82481LAC3 163000.00000000 PA USD 162599.25000000 0.028084415902 Long DBT CORP IE N 2 2023-09-23 Fixed 2.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BDQ43 1911632.74000000 PA USD 269375.62000000 0.046527010095 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBE0 4975000.00000000 PA USD 4768615.21000000 0.823643238445 Long DBT UST US N 2 2024-01-15 Fixed 0.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZT0 7181000.00000000 PA USD 6620545.35000000 1.143511726615 Long DBT UST US N 2 2025-05-31 Fixed 0.25000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGB4 170000.00000000 PA USD 139606.07000000 0.024112995185 Long DBT CORP US N 2 2051-03-22 Fixed 3.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EHGN6 148927.01000000 PA USD 158415.64000000 0.027361815748 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N International Paper Co 824LMFJDH41EY779Q875 460146CC5 270000.00000000 PA USD 363888.13000000 0.062851369763 Long DBT CORP US N 2 2038-06-15 Fixed 8.70000000 N N N N N N Athene Holding Ltd 549300H316CT32FQXI76 04686JAA9 240000.00000000 PA USD 230887.48000000 0.039879273828 Long DBT CORP BM N 2 2028-01-12 Fixed 4.13000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEH4 370000.00000000 PA USD 311046.60000000 0.053724491838 Long DBT CORP US N 2 2032-10-20 Fixed 2.51000000 N N N N N N PACIFIC LIFE INSURANCE C 8WC3XYHE06SQFW7CQK10 69448FAA9 255000.00000000 PA USD 222592.12000000 0.038446485299 Long DBT CORP US Y 2 2067-10-24 Fixed 4.30000000 N N N N N N BANCO DE CREDITO DEL PER 549300EQYQ8SCQZ4BY14 05971U2D8 382000.00000000 PA USD 343800.00000000 0.059381714168 Long DBT CORP PE Y 2 2031-09-30 Fixed 3.25000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBB7 625000.00000000 PA USD 459749.49000000 0.079408705072 Long DBT CORP FR Y 2 2041-03-01 Fixed 3.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJ6C7 111779.67000000 PA USD 112154.54000000 0.019371520758 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31287NCG1 5559.44000000 PA USD 5919.68000000 0.001022457084 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 7.50000000 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAG6 361000.00000000 PA USD 344404.13000000 0.059486060517 Long DBT CORP US N 2 2024-02-15 Fixed 0.95000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810ST6 3930000.00000000 PA USD 2941052.36000000 0.507983509583 Long DBT UST US N 2 2040-11-15 Fixed 1.38000000 N N N N N N CNH Industrial NV 549300WGC2HZ5J67V817 12594KAA0 282000.00000000 PA USD 285922.60000000 0.049385032307 Long DBT CORP NL N 2 2023-08-15 Fixed 4.50000000 N N N N N N Credit-Based Asset Servicing and Securitization N/A 17307GLN6 35518.44000000 PA USD 33976.07000000 0.005868403947 Long ABS-O CORP US N 2 2034-09-25 Variable 3.87000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JU2 360000.00000000 PA USD 284209.65000000 0.049089168703 Long DBT CORP US N 2 2041-06-01 Fixed 4.20000000 N N N N N N MID-AMERICA APARTMENTS 549300FXWGE3QSYCUJ38 59523UAL1 283000.00000000 PA USD 284437.07000000 0.049128449067 Long DBT US N 2 2024-06-15 Fixed 3.75000000 N N N N N N Paragon Mortgages PLC NC14LGCCXH6KWEV2DR91 000000000 655811.03000000 PA 799834.47000000 0.138148754739 Long ABS-MBS CORP GB Y 2 2038-11-15 Floating 0.34000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 550000.00000000 PA USD 520541.32000000 0.089908772184 Long DBT CORP US N 2 2030-04-15 Fixed 3.88000000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 597433AC5 385000.00000000 PA USD 418633.81000000 0.072307135679 Long DBT CORP GB N 2 2025-05-01 Fixed 7.65000000 N N N N N N Aetna Inc 549300QKBENKLBXQ8968 00817YAG3 355000.00000000 PA USD 419824.56000000 0.072512804021 Long DBT CORP US N 2 2037-12-15 Fixed 6.75000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746NL1 100000.00000000 PA USD 108622.17000000 0.018761403872 Long DBT CORP US N 2 2036-12-15 Fixed 5.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398WSD7 80551.83000000 PA USD 83322.26000000 0.014391560870 Long ABS-MBS USGSE US N 2 2040-02-15 Fixed 5.00000000 N N N N N N BLACKSTONE SECURED LEND 549300KM7KWQHVBNH962 09261LAC2 520000.00000000 PA USD 497530.29000000 0.085934268384 Long DBT CORP US N 2 2026-01-15 Fixed 3.63000000 N N N N N N BERKSHIRE HATHAWAY FIN 549300RLHFT5RU20WM87 084664DB4 540000.00000000 PA USD 480391.36000000 0.082974003572 Long DBT CORP US N 2 2052-03-15 Fixed 3.85000000 N N N N N N CLI Funding LLC N/A 12565KAE7 3463168.00000000 PA USD 3190924.90000000 0.551141914902 Long ABS-O CORP US Y 2 2047-01-18 Fixed 2.72000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AC2 585000.00000000 PA USD 520084.98000000 0.089829952371 Long DBT CORP GB N 2 2027-06-14 Fixed 1.64000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 997647.99000000 0.172315438576 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 16526125.75000000 CHF 18017447.93000000 USD 2022-06-09 997647.99000000 N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92556HAA5 224000.00000000 PA USD 229509.90000000 0.039641335894 Long DBT CORP US N 2 2025-05-15 Fixed 4.75000000 N N N N N N Venture CDO Ltd 54930010DKR017G3JK24 92331AAW4 1538000.00000000 PA USD 1527247.84000000 0.263788815295 Long ABS-CBDO CORP KY Y 2 2030-07-20 Floating 2.05000000 N N N N N N MONDELEZ INTERNATIONAL 549300DV9GIB88LZ5P30 609207AY1 398000.00000000 PA USD 320101.08000000 0.055288396851 Long DBT CORP US N 2 2032-10-15 Fixed 1.88000000 N N N N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887BF5 79000.00000000 PA USD 79052.03000000 0.013653999563 Long DBT CORP US N 2 2024-12-15 Fixed 3.73000000 N N N N N N SIMON PROPERTY GROUP LP MR92GTD0MJTTTTQDVG45 828807DF1 565000.00000000 PA USD 495268.91000000 0.085543679028 Long DBT US N 2 2029-09-13 Fixed 2.45000000 N N N N N N Dewolf Park clo, ltd N/A 25211AAE9 1500000.00000000 PA USD 1488121.50000000 0.257030848052 Long ABS-CBDO CORP KY Y 2 2030-10-15 Floating 1.96000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131Y1U65 197409.36000000 PA USD 202190.29000000 0.034922646911 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.50000000 N N N N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2F7 1263000.00000000 PA USD 1222629.52000000 0.211174626788 Long DBT CORP CH N 2 2023-08-09 Fixed 0.52000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBF8 235000.00000000 PA USD 229973.87000000 0.039721473573 Long DBT CORP US N 2 2040-03-19 Fixed 4.23000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AS9 353000.00000000 PA USD 350885.55000000 0.060605542279 Long DBT CORP GB Y 2 2024-09-11 Fixed 3.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TF5 2140000.00000000 PA USD 1890890.63000000 0.326597809522 Long DBT UST US N 2 2042-02-15 Fixed 2.38000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F7HN8 1585551.22000000 PA USD 269727.47000000 0.046587782218 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 4.00000000 N N N N N N UTAH ACQUISITION SUB 254900JOFV74IJ7H9933 62854AAN4 1025000.00000000 PA USD 995171.09000000 0.171887624242 Long DBT CORP US N 2 2026-06-15 Fixed 3.95000000 N N N N N N TSMC ARIZONA CORP 2549005GOBWLCSY63Q97 872898AC5 235000.00000000 PA USD 204146.76000000 0.035260571700 Long DBT CORP US N 2 2031-10-25 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QY7 2180000.00000000 PA USD 2029528.90000000 0.350543644664 Long DBT UST US N 2 2042-11-15 Fixed 2.75000000 N N N N N N EPR Properties 549300YSSXFHMPOWZ492 26884UAC3 351000.00000000 PA USD 344297.36000000 0.059467619023 Long DBT US N 2 2026-12-15 Fixed 4.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BJB3 177186.11000000 PA USD 179152.22000000 0.030943472718 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.00000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BA1 359000.00000000 PA USD 362555.38000000 0.062621174942 Long DBT CORP JP N 2 2023-07-26 Fixed 3.76000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FVYJ5 1339111.00000000 PA USD 165077.57000000 0.028512475501 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.00000000 N N N N N N BANCO SANTANDER CHILE 3YJP8HORPAEXJ80D6368 05970FAC5 281000.00000000 PA USD 269198.00000000 0.046496331269 Long DBT CORP CL Y 2 2025-01-10 Fixed 2.70000000 N N N N N N GLAXOSMITHKLINE CAPITAL 549300U0LV41VX7LEP38 377373AL9 298000.00000000 PA USD 288839.66000000 0.049888871816 Long DBT CORP GB N 2 2023-10-01 Fixed 0.53000000 N N N N N N Nordea Bank Abp 529900ODI3047E2LIV03 65557CAY9 285000.00000000 PA USD 286877.66000000 0.049549991877 Long DBT CORP FI Y 2 2023-08-30 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YHU65 332700.31000000 PA USD 328054.65000000 0.056662150837 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 3.50000000 N N N N N N SKY LTD 2138003TS48MQKF4BZ29 111013AL2 342000.00000000 PA USD 343601.96000000 0.059347508366 Long DBT CORP GB Y 2 2024-09-16 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RDF3 34018.89000000 PA USD 36796.40000000 0.006355536088 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -321665.97000000 -0.05555868728 N/A DFE JP N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 2969011.78000000 USD 343080000.00000000 JPY 2022-06-15 -321665.97000000 N N N Prodigy Finance Designated Activity Co 635400HTAZNW3LYYMQ40 742855AA7 563696.37000000 PA USD 558614.76000000 0.096484880768 Long ABS-O CORP IE Y 2 2051-07-25 Floating 1.71000000 N N N N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAC6 190000.00000000 PA USD 157813.83000000 0.027257870112 Long DBT CORP NO N 2 2049-11-18 Fixed 3.25000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -326842.01000000 -0.05645270161 N/A DFE JP N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 2974187.82000000 USD 343080000.00000000 JPY 2022-06-15 -326842.01000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SS8 2510000.00000000 PA USD 1845046.08000000 0.318679461749 Long DBT UST US N 2 2050-11-15 Fixed 1.63000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAM2 190000.00000000 PA USD 174519.33000000 0.030143272166 Long DBT CORP US N 2 2038-04-15 Fixed 4.50000000 N N N N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 05565ECB9 520000.00000000 PA USD 501125.36000000 0.086555214921 Long DBT CORP US Y 2 2032-04-01 Fixed 3.70000000 N N N N N N BARRICK NA FINANCE LLC N/A 06849RAK8 370000.00000000 PA USD 407701.38000000 0.070418867984 Long DBT CORP US N 2 2043-05-01 Fixed 5.75000000 N N N N N N KKR GROUP FIN CO X LLC N/A 48255BAA4 480000.00000000 PA USD 361043.86000000 0.062360102666 Long DBT CORP US Y 2 2051-12-15 Fixed 3.25000000 N N N N N N 2022-05-26 RUSSELL INVESTMENT CO Mark Swanson Mark Swanson Treasurer, Chief Accounting Officer and Chief Financial Officer