NPORT-P false 0000003794 XXXXXXXX S000010305 C000028496 C000028497 C000028495 C000028498 C000028493 C000028499 C000143890 AB BOND FUND, INC. 811-02383 0000003794 549300RYJMGGIS1UBQ97 ALLIANCEBERNSTEIN LP 1345 AVENUE OF THE AMERICAS NEW YORK 10105 212-969-1000 AB Total Return Bond Portfolio S000010305 461RWIN62B1S8TT6GO40 2020-10-31 2020-04-30 N 370790045.57 13475630.65 357314414.92 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1736166.71000000 0.00000000 0.00000000 2070619.18000000 CAD JPY SEK EUR USD N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 104000.00000000 OU Notional Amount USD -33800.00000000 -0.00945945603 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -11135.87000000 USD 104000.00000000 USD -22664.13000000 N N N Exeter Automobile Receivables Trust 549300KR7NUJOX0UJ040 30166KAD4 249922.43000000 PA USD 253909.39000000 0.071060494454 Long ABS-O CORP US N 2 2023-02-15 Fixed 8.20000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 5399800.00000000 OU Notional Amount USD -296993.91000000 -0.08311836791 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.HY.S33.V2 2I65BRSP6 Y sell protection 2024-12-20 0.00000000 USD -284912.45000000 USD 5399800.00000000 USD -12081.46000000 N N N L Street Securities N/A 46643HAB4 62655.64000000 PA USD 64778.08000000 0.018129153847 Long ABS-MBS CORP US N 2 2024-11-25 Floating 4.74000000 N N N N N N Fannie Mae - CAS N/A 20753KAB8 276275.35000000 PA USD 251997.38000000 0.070525388699 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 2.79000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAL7 1047000.00000000 PA USD 1101349.77000000 0.308229873750 Long DBT CORP GB N 2 2025-07-09 Variable 3.87000000 N N N N N N BELLEMEADE RE LT 254900KXN235YISGF415 07876LAC3 750000.00000000 PA USD 641139.38000000 0.179432833725 Long ABS-MBS CORP BM N 2 2029-10-25 Floating 2.99000000 N N N N N N Fannie Mae - CAS N/A 30711XWW0 750000.00000000 PA USD 475375.20000000 0.133041148117 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 4.94000000 N N N N N N Eagle Re Ltd 254900L82OLW9QTLJ788 269822AC6 325000.00000000 PA USD 264333.62000000 0.073977877455 Long ABS-MBS CORP US N 2 2029-04-25 Floating 3.79000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAJ9 493000.00000000 PA USD 497683.50000000 0.139284473063 Long DBT NUSS MX N 2 2025-04-27 Fixed 3.90000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAV3 492000.00000000 PA USD 491380.08000000 0.137520362874 Long DBT CORP DK N 2 2025-12-20 Variable 3.24000000 N N N N N N Freddie Mac N/A 3128M43N1 22006.52000000 PA USD 25174.16000000 0.007045380468 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.50000000 N N N N N N Natixis Commercial Mortgage Securities N/A 63874PAA3 540000.00000000 PA USD 519219.83000000 0.145311750189 Long ABS-MBS CORP US N 2 2033-07-15 Floating 1.60000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 26000.00000000 OU Notional Amount USD -13395.34000000 -0.00374889437 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BB.6 137BEMAE8 Y sell protection 2063-05-11 0.00000000 USD -4126.62000000 USD 26000.00000000 USD -9268.72000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9T37 1230792.25000000 PA USD 1345520.80000000 0.376564936598 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 4000.00000000 OU Notional Amount USD -1300.00000000 -0.00036382523 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -453.81000000 USD 4000.00000000 USD -846.19000000 N N N Fannie Mae N/A 3136AXSW6 1670492.87000000 PA USD 313205.55000000 0.087655447673 Long ABS-MBS USGSE US N 2 2047-08-25 Floating 5.66000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJL71 1309348.72000000 PA USD 1373421.31000000 0.384373328545 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 2.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 252000.00000000 OU Notional Amount USD -81921.00000000 -0.02292686680 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -31712.11000000 USD 252000.00000000 USD -50208.89000000 N N N ORBIA ADVANCE CORP SAB 549300MVHZ20SBIOEQ79 59284BAB4 225000.00000000 PA USD 225900.00000000 0.063221630745 Long DBT CORP MX N 2 2022-09-19 Fixed 4.88000000 N N N N N N Radnor Re 2018-1 Ltd 549300ED4YNDE7SVU538 750496AC5 500000.00000000 PA USD 334051.80000000 0.093489595172 Long ABS-MBS CORP BM N 2 2028-03-25 Floating 4.29000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QB4P0 1708633.39000000 PA USD 1836576.37000000 0.513994480298 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JXTG3 1259625.88000000 PA USD 1353947.04000000 0.378923151002 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.50000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAS0 132000.00000000 PA USD 144480.60000000 0.040435144502 Long DBT CORP US N 2 2029-12-15 Fixed 4.63000000 N N N N N N BELLEMEADE RE LT 2549009SOTYJD2MZFC61 07877TAB7 670326.73000000 PA USD 631029.70000000 0.176603482437 Long ABS-MBS CORP BM N 2 2028-10-25 Floating 2.34000000 N N N N N N Freddie Mac N/A 3133KGSG4 1609322.02000000 PA USD 1739383.89000000 0.486793652136 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.50000000 N N N N N N CIT Group Inc N8O96ZZJQRFYQUJY7K79 125581GW2 383000.00000000 PA USD 381533.11000000 0.106777978740 Long DBT CORP US N 2 2025-03-07 Fixed 5.25000000 N N N N N N DELL INT LLC / EMC CORP N/A 25272KAK9 469000.00000000 PA USD 508428.83000000 0.142291720896 Long DBT CORP US N 2 2026-06-15 Fixed 6.02000000 N N N N N N Rumo Luxembourg Sarl 222100HOIQFT7YOSPB46 781467AB1 315000.00000000 PA USD 310668.75000000 0.086945484712 Long DBT CORP LU N 2 2025-01-18 Fixed 5.88000000 N N N N N N AUST & NZ BANKING GROUP JHE42UYNWWTJB8YTTU19 052528AK2 510000.00000000 PA USD 543496.80000000 0.152106038073 Long DBT CORP AU N 2 2026-05-19 Fixed 4.40000000 N N N N Y Australia & New Zealand Banking Group Ltd USD XXXX N N N Atrium Hotel Portfolio Trust N/A 04965KAA8 750000.00000000 PA USD 675005.18000000 0.188910704918 Long ABS-MBS CORP US N 2 2035-06-15 Floating 1.76000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 509000.00000000 OU Notional Amount USD -165425.00000000 -0.04629676080 N/A DCR US N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -32659.15000000 USD 509000.00000000 USD -132765.85000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 850000.00000000 OU Notional Amount USD -119991.67000000 -0.03358153631 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Markit CMBX.NA.A.6 137BEOAF1 Y sell protection 2063-05-11 0.00000000 USD -16491.86000000 USD 850000.00000000 USD -103499.81000000 N N N Freddie Mac - STACR 5493005LAQ76UDHPEE03 35565CBD7 750000.00000000 PA USD 429962.48000000 0.120331691654 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 3.44000000 N N N N N N World Financial Network Credit Card Master Trust N/A 981464GT1 825000.00000000 PA USD 822256.05000000 0.230121152594 Long ABS-O CORP US N 2 2025-07-15 Fixed 3.81000000 N N N N N N Freddie Mac N/A 3132Y3ZL1 1657920.11000000 PA USD 1812010.19000000 0.507119252495 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.50000000 N N N N N N Oaktown Re Ltd 2549008N2FD0KB1Y5E03 67400KAB6 710000.00000000 PA USD 650209.76000000 0.181971320733 Long ABS-MBS CORP US N 2 2029-07-25 Floating 2.44000000 N N N N N N UBS-Barclays Commercial Mortgage Trust N/A 90270RBE3 1098165.00000000 PA USD 1114309.56000000 0.311856872678 Long ABS-MBS CORP US N 2 2045-12-10 Fixed 2.85000000 N N N N N N ALBERTSONS COS/SAFEWAY N/A 013092AD3 671000.00000000 PA USD 664175.93000000 0.185879970767 Long DBT CORP US N 2 2023-02-15 Fixed 3.50000000 N N N N N N BROADCOM CRP / CAYMN FI N/A 11134LAH2 395000.00000000 PA USD 412150.90000000 0.115346843785 Long DBT CORP US N 2 2027-01-15 Fixed 3.88000000 N N N N N N World Financial Network Credit Card Master Trust N/A 981464GZ7 780000.00000000 PA USD 795031.54000000 0.222501949768 Long ABS-O CORP US N 2 2025-12-15 Fixed 3.61000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 038461AK5 235000.00000000 PA USD 234192.19000000 0.065542329170 Long DBT NUSS EG N 2 2022-01-31 Fixed 6.13000000 N N N N N N FEDEX CORP 549300E707U7WNPZN687 31428XBY1 205000.00000000 PA USD 219786.65000000 0.061510714603 Long DBT CORP US N 2 2025-05-15 Fixed 3.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179R7H6 253153.27000000 PA USD 270534.52000000 0.075713295826 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 3.00000000 N N N N N N Fannie Mae Connecticut Avenue Securities N/A 30711XEP5 450484.88000000 PA USD 432329.57000000 0.120994158631 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 4.04000000 N N N N N N Home Re 2018-1 Ltd. 254900E6IUAJSN9WD709 43730MAA6 264113.26000000 PA USD 249834.64000000 0.069920112250 Long ABS-MBS CORP BM N 2 2028-10-25 Floating 2.09000000 N N N N N N Fannie Mae - CAS N/A 30711XEJ9 378842.42000000 PA USD 269856.92000000 0.075523658921 Long ABS-MBS USGSE US N 2 2029-05-25 Floating 9.99000000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BB0 807000.00000000 PA USD 909206.55000000 0.254455603254 Long DBT CORP US N 2 2025-03-24 Fixed 4.20000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668BKK8 134647.28000000 PA USD 116815.90000000 0.032692747653 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.50000000 N N N N N N Triangle Re 2019-1 Ltd. N/A 89600TAB9 900000.00000000 PA USD 770478.93000000 0.215630519740 Long ABS-MBS CORP BM N 2 2029-11-26 Floating 3.39000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402C4G4 29068.38000000 PA USD 33251.13000000 0.009305846227 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N UBS Commercial Mortgage Trust N/A 90291JAW7 1300000.00000000 PA USD 1459593.20000000 0.408489873079 Long ABS-MBS CORP US N 2 2051-03-15 Variable 4.12000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8QG3 472324.37000000 PA USD 511086.99000000 0.143035648341 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBT1 1031000.00000000 PA USD 1087612.21000000 0.304385203782 Long DBT CORP US N 2 2025-04-01 Fixed 2.50000000 N N N N N N Freddie Mac N/A 3133A1B92 1247822.35000000 PA USD 1360756.89000000 0.380828993508 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.50000000 N N N N N N Hertz Vehicle Financing LLC 549300FPK70TCB78NG05 428040CU1 950000.00000000 PA USD 888275.84000000 0.248597818310 Long ABS-O CORP US N 2 2021-10-25 Fixed 2.96000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AG5 299000.00000000 PA USD 334841.13000000 0.093710501457 Long DBT CORP US N 2 2025-11-15 Fixed 4.13000000 N N N N N N EXPEDIA GROUP INC N/A 30212PAP0 636000.00000000 PA USD 550311.72000000 0.154013299497 Long DBT CORP US N 2 2028-02-15 Fixed 3.80000000 N N N N N N Eagle Re Ltd 254900SAV74IHXQ8XY35 26982LAA8 950000.00000000 PA USD 861813.31000000 0.241191867446 Long ABS-MBS CORP US N 2 2030-01-25 Floating 1.39000000 N N N N N N EMBRAER NETHERLANDS FINA 724500PBR8LR26XBSP67 29082HAB8 540000.00000000 PA USD 453600.00000000 0.126947019504 Long DBT CORP NL N 2 2027-02-01 Fixed 5.40000000 N N N N N N BAKER HUGHES LLC/CO-OBL N/A 05723KAF7 60000.00000000 PA USD 51408.00000000 0.014387328877 Long DBT CORP US N 2 2047-12-15 Fixed 4.08000000 N N N N N N Freddie Mac - STACR N/A 3137G0QQ5 250000.00000000 PA USD 235094.53000000 0.065794863062 Long ABS-MBS USGSE US N 2 2030-03-25 Floating 2.99000000 N N N N N N BELLEMEADE RE LT N/A 078767AA8 14345.23000000 PA USD 14241.77000000 0.003985780983 Long ABS-MBS CORP BM N 2 2027-10-25 Floating 2.19000000 N N N N N N Broadcom Inc 549300WV6GIDOZJTV909 11135FAD3 270000.00000000 PA USD 284466.60000000 0.079612405243 Long DBT CORP US N 2 2024-10-15 Fixed 3.63000000 N N N N N N Fannie Mae N/A 3136B0CN4 1505294.74000000 PA USD 355112.88000000 0.099383866189 Long ABS-MBS USGSE US N 2 2047-12-25 Floating 5.71000000 N N N N N N Morgan Stanley Capital I Trust N/A 61765VAA6 172520.45000000 PA USD 156775.60000000 0.043876091602 Long ABS-MBS CORP US N 2 2026-11-15 Floating 2.76000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 745000.00000000 OU Notional Amount USD -242125.00000000 -0.06776244950 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -51787.53000000 USD 745000.00000000 USD -190337.47000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810RS9 2703000.00000000 PA USD 3439567.50000000 0.962616495830 Long DBT UST US N 2 2046-05-15 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030658 600000.00000000 PA USD 638601.54000000 0.178722579704 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 3.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 374000.00000000 OU Notional Amount USD -121550.00000000 -0.03401765921 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -45492.06000000 USD 374000.00000000 USD -76057.94000000 N N N Navient Corp 54930067J0ZNOEBRW338 63938CAD0 440000.00000000 PA USD 437553.60000000 0.122456184729 Long DBT CORP US N 2 2021-07-26 Fixed 6.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828S50 1048532.32000000 PA USD 1082937.29000000 0.303076854663 Long DBT UST US N 2 2026-07-15 Fixed 0.13000000 N N N N N N SG Commercial Mortgage Securities Trust 549300SZQW4U3UN4A157 78419CAK0 540000.00000000 PA USD 525393.16000000 0.147039452667 Long ABS-MBS CORP US N 2 2048-10-10 Fixed 3.93000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402C4H2 12034.34000000 PA USD 13765.48000000 0.003852483814 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.50000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300REQJRID6TODX95 95001RAX7 89263.00000000 PA USD 103344.20000000 0.028922482744 Long ABS-MBS CORP US N 2 2052-01-15 Fixed 4.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SK5 555000.00000000 PA USD 704850.00000000 0.197263242278 Long DBT UST US N 2 2049-11-15 Fixed 2.38000000 N N N N N N SEALED AIR CORP Q0M0CZB4YN6JZ65WXI09 81211KAY6 379000.00000000 PA USD 374254.92000000 0.104741063996 Long DBT CORP US N 2 2027-12-01 Fixed 4.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 800000.00000000 OU Notional Amount USD -260000.00000000 -0.07276504645 N/A DCR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -117265.34000000 USD 800000.00000000 USD -142734.66000000 N N N Freddie Mac - STACR N/A 3137G0AB5 785416.65000000 PA USD 586952.86000000 0.164267892783 Long ABS-MBS USGSE US N 2 2023-07-25 Floating 7.64000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAB3 436000.00000000 PA USD 479207.60000000 0.134113704902 Long DBT CORP CH N 2 2025-09-24 Fixed 4.13000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BK9 48000.00000000 PA USD 53170.56000000 0.014880608724 Long DBT CORP US N 2 2028-03-15 Fixed 4.20000000 N N N N N N US Bancorp N1GZ7BBF3NP8GI976H15 902973AZ9 380000.00000000 PA USD 388166.20000000 0.108634352209 Long DBT CORP US N 2 2027-04-15 Variable 5.30000000 N N N N N N Countrywide Home Loans 5493008WNOU8I3M5WW38 12543TAU9 65004.69000000 PA USD 44537.33000000 0.012464464947 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CFE9 1198143.46000000 PA USD 1282244.50000000 0.358856079256 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N Fannie Mae - CAS N/A 30711XLT9 320000.00000000 PA USD 293178.62000000 0.082050599628 Long ABS-MBS USGSE US N 2 2029-11-25 Floating 3.34000000 N N N N N N Fannie Mae - CAS N/A 30711XBD5 300100.16000000 PA USD 228598.96000000 0.063976976705 Long ABS-MBS USGSE US N 2 2025-07-25 Floating 5.49000000 N N N N N N Fannie Mae - CAS N/A 20754FAK8 793656.53000000 PA USD 706941.30000000 0.197848525131 Long ABS-MBS USGSE US N 2 2031-07-25 Floating 2.94000000 N N N N N N Seagate HDD Cayman 529900BD50TRWEG1SF63 81180WAL5 165000.00000000 PA USD 170527.50000000 0.047724774842 Long DBT CORP KY N 2 2025-01-01 Fixed 4.75000000 N N N N N N COMM Mortgage Trust N/A 12655TBP3 991000.00000000 PA USD 1040733.93000000 0.291265587545 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 3.26000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBQ2 211000.00000000 PA USD 224672.80000000 0.062878179725 Long DBT CORP US N 2 2025-05-01 Fixed 2.75000000 N N N N N N Fannie Mae - CAS N/A 30711XAX2 305844.21000000 PA USD 247569.02000000 0.069286043233 Long ABS-MBS USGSE US N 2 2025-05-25 Floating 4.49000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CFJ8 336419.73000000 PA USD 352777.20000000 0.098730189790 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 2.50000000 N N N N N N BELLEMEADE RE LT 254900SCWI9IDKK5LV64 07877GAB5 359024.00000000 PA USD 312265.79000000 0.087392441211 Long ABS-MBS CORP BM N 2 2029-07-25 Floating 2.09000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417BYB7 49677.64000000 PA USD 51984.41000000 0.014548646186 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 2.50000000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KAZ9 340000.00000000 PA USD 327440.40000000 0.091639291986 Long DBT CORP US N 2 2026-10-05 Fixed 3.24000000 N N N N N N State of California N/A 13063BFR8 970000.00000000 PA USD 1615758.10000000 0.452195050782 Long DBT MUN US N 2 2040-03-01 Fixed 7.63000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 462000.00000000 PA USD 500965.08000000 0.140202874298 Long DBT CORP GB N 2 2028-03-13 Variable 4.04000000 N N N N N N Freddie Mac - STACR N/A 35565LAA4 540000.00000000 PA USD 516605.15000000 0.144579991298 Long ABS-MBS USGSE US N 2 2050-03-25 Floating 1.59000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJKX5 1223130.40000000 PA USD 1282983.92000000 0.359063017451 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N Fannie Mae - CAS N/A 30711XAV6 150178.37000000 PA USD 130107.51000000 0.036412611573 Long ABS-MBS USGSE US N 2 2025-02-25 Floating 5.04000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAM3 1700000.00000000 PA USD 1735054.00000000 0.485581865032 Long DBT CORP US N 2 2023-01-15 Fixed 3.15000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17320DAQ1 500000.00000000 PA USD 490706.20000000 0.137331767068 Long ABS-MBS CORP US N 2 2046-04-10 Variable 3.73000000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493007OD9MH69ES1S63 95000HBJ0 8899350.91000000 PA USD 569070.77000000 0.159263311592 Long ABS-MBS CORP US N 2 2049-10-15 Variable 1.82000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 723000.00000000 OU Notional Amount USD -235035.25000000 -0.06577827263 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -80282.32000000 USD 723000.00000000 USD -154752.93000000 N N N SoFi Consumer Loan Program Trust 5493005OV0CN2WE8D396 83405PAA9 76101.91000000 PA USD 76134.05000000 0.021307298788 Long ABS-O CORP US N 2 2026-02-25 Fixed 3.28000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FTKL4 930421.91000000 PA USD 975661.07000000 0.273053934926 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 2.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 504000.00000000 OU Notional Amount USD -163842.00000000 -0.04585373361 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -54865.53000000 USD 504000.00000000 USD -108976.47000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCK8 355000.00000000 PA USD 480978.85000000 0.134609416781 Long DBT CORP US N 2 2046-08-21 Fixed 4.86000000 N N N N N N Braemar Hotels & Resorts Trust N/A 10482TAA0 700000.00000000 PA USD 632419.76000000 0.176992512362 Long ABS-MBS CORP US N 2 2035-06-15 Floating 1.63000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 362000.00000000 OU Notional Amount USD -117680.17000000 -0.03293462706 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -41104.64000000 USD 362000.00000000 USD -76575.53000000 N N N Radnor Re LTD N/A 75049TAB7 351366.00000000 PA USD 307509.51000000 0.086061322230 Long ABS-MBS CORP BM N 2 2029-06-25 Floating 2.24000000 N N N N N N Fannie Mae N/A 3136ATV27 1565224.54000000 PA USD 301185.36000000 0.084291410428 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 5.51000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCT7 143000.00000000 PA USD 112031.56000000 0.031353775644 Long DBT CORP MX N 2 2030-01-23 Fixed 6.84000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 152000.00000000 OU Notional Amount USD -78290.13000000 -0.02191071133 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BB.6 137BEMAE8 Y sell protection 2063-05-11 0.00000000 USD -23294.66000000 USD 152000.00000000 USD -54995.47000000 N N N EXPEDIA GROUP INC N/A 30212PAS4 179000.00000000 PA USD 182938.00000000 0.051198046415 Long DBT CORP US N 2 2025-05-01 Fixed 6.25000000 N N N N N N SoFi Consumer Loan Program Trust N/A 83405AAA2 49416.92000000 PA USD 49365.85000000 0.013815801417 Long ABS-O CORP US N 2 2026-01-26 Fixed 3.28000000 N N N N N N Fannie Mae - CAS N/A 30711XBB9 382527.55000000 PA USD 281248.45000000 0.078711755881 Long ABS-MBS USGSE US N 2 2025-07-25 Floating 5.49000000 N N N N N N BELLEMEADE RE LT 254900SCWI9IDKK5LV64 07877GAC3 263000.00000000 PA USD 199069.07000000 0.055712577407 Long ABS-MBS CORP BM N 2 2029-07-25 Floating 2.44000000 N N N N N N Freddie Mac N/A 31346YAV5 623600.85000000 PA USD 669906.52000000 0.187483765565 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.50000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CS2 630000.00000000 PA USD 437541.30000000 0.122452742383 Long DBT CORP US N 2 2029-08-15 Fixed 3.50000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276VAE9 720000.00000000 PA USD 781898.40000000 0.218826436144 Long ABS-MBS CORP US N 2 2051-02-15 Fixed 3.98000000 N N N N N N GoldenTree Loan Management US CLO1, LTD 549300DO8S88M0JNL340 38138LAA6 630141.00000000 PA USD 630141.00000000 0.176354765911 Long ABS-CBDO CORP KY N 2 2031-04-20 None 0.00000000 N N N N N N L Street Securities 549300T6W1U156OOG754 949771AC3 349257.90000000 PA USD 268574.05000000 0.075164627785 Long ABS-MBS CORP US N 2 2025-11-25 Floating 5.74000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAM7 61000.00000000 PA USD 64713.68000000 0.018111130505 Long DBT CORP US N 2 2025-04-07 Fixed 3.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JYGR1 1271902.13000000 PA USD 1366347.60000000 0.382393640711 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.50000000 N N N N N N Freddie Mac - STACR N/A 3137G0HJ1 500268.00000000 PA USD 496500.23000000 0.138953316538 Long ABS-MBS USGSE US N 2 2028-05-25 Floating 5.29000000 N N N N N N Fannie Mae - CAS N/A 20754HAE8 833783.16000000 PA USD 759554.28000000 0.212573086414 Long ABS-MBS USGSE US N 2 2039-07-25 Floating 2.49000000 N N N N N N Chase Mortgage Finance Corporation N/A 46591HAC4 197111.09000000 PA USD 170236.94000000 0.047643457104 Long ABS-MBS CORP US N 2 2047-04-25 Floating 2.59000000 N N N N N N COMM Mortgage Trust N/A 12629NAF2 765000.00000000 PA USD 787224.55000000 0.220317042114 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.35000000 N N N N N N Flagship Credit Auto Trust N/A 33844FAF4 565000.00000000 PA USD 577915.28000000 0.161738585365 Long ABS-O CORP US N 2 2024-01-16 Fixed 6.44000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1155060000.00000000 OU Notional Amount 120103.91000000 0.033612948424 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor Japan 6 Months JPY0006M Index Y 2029-12-13 0.00000000 JPY 0.00000000 JPY 1155060000.00000000 JPY 120103.91000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 48128BAF8 68000.00000000 PA USD 63688.80000000 0.017824301886 Long DBT CORP US N 2 2024-08-01 Variable 5.00000000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 06406RAN7 284000.00000000 PA USD 288166.28000000 0.080647818270 Long DBT CORP US N 2 2025-04-24 Fixed 1.60000000 N N N N N N BFLD Trust N/A 054970AL2 530000.00000000 PA USD 447013.45000000 0.125103670978 Long ABS-MBS CORP US N 2 2034-10-15 Floating 2.65000000 N N N N N N Ashford Hospitality Trust N/A 04410CAA7 1000000.00000000 PA USD 867209.20000000 0.242701991240 Long ABS-MBS CORP US N 2 2035-05-15 Floating 1.81000000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 000000000 312000.00000000 PA USD 335328.24000000 0.093846826771 Long DBT CORP CH N 2 2025-02-19 Variable 7.00000000 N N N N Y UBS Group AG USD XXXX N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 119.00000000 NC USD 478124.82000000 0.133810672067 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US 10 Year Ultra Bond UXYM0 Comdty 2020-06-19 18208593.93000000 USD 478124.82000000 N N N Freddie Mac - STACR N/A 35565AAH3 885000.00000000 PA USD 751714.04000000 0.210378873230 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 2.44000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HAXF2 675943.49000000 PA USD 730149.29000000 0.204343642325 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3132Y3BL7 1042713.05000000 PA USD 1140276.37000000 0.319124088586 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N Freddie Mac - STACR N/A 35564XBD2 500000.00000000 PA USD 297466.85000000 0.083250727532 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 3.49000000 N N N N N N BRASKEM NETHERLANDS N/A 10554TAD7 895000.00000000 PA USD 718796.88000000 0.201166493705 Long DBT CORP NL N 2 2030-01-31 Fixed 4.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 180000.00000000 OU Notional Amount USD -58515.00000000 -0.01637633343 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -22651.51000000 USD 180000.00000000 USD -35863.49000000 N N N Flagship Credit Auto Trust N/A 33844PAC9 675000.00000000 PA USD 679514.74000000 0.190172775467 Long ABS-O CORP US N 2 2024-12-16 Fixed 3.59000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RX8 1695000.00000000 PA USD 2370086.72000000 0.663305654917 Long DBT UST US N 2 2047-05-15 Fixed 3.00000000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BD6 334000.00000000 PA USD 344430.82000000 0.096394325450 Long DBT CORP US N 2 2025-06-01 Variable 5.38000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 322000.00000000 OU Notional Amount USD -104650.00000000 -0.02928793119 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -40244.33000000 USD 322000.00000000 USD -64405.67000000 N N N Structured Asset Securities Corporation N/A 86358RWW3 452358.54000000 PA USD 237311.81000000 0.066415403378 Long ABS-MBS CORP US N 2 2032-03-25 Variable 6.50000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46634SAJ4 690000.00000000 PA USD 490062.63000000 0.137151653987 Long ABS-MBS CORP US N 2 2045-05-15 Variable 5.33000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17324KAP3 340000.00000000 PA USD 366043.97000000 0.102443101849 Long ABS-MBS CORP US N 2 2048-11-10 Fixed 3.82000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RCD4 418000.00000000 PA USD 394990.27000000 0.110544174404 Long ABS-O CORP US N 2 2022-06-20 Fixed 2.99000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 9.00000000 NC USD 59190.70000000 0.016565438596 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 10 Year US Treasury Note TYM0 Comdty 2020-06-19 1192371.80000000 USD 59190.70000000 N N N Hess Corp UASVRYNXNK17ULIGK870 42809HAG2 419000.00000000 PA USD 379806.74000000 0.106294827228 Long DBT CORP US N 2 2027-04-01 Fixed 4.30000000 N N N N N N SBA Tower Trust N/A 78403DAJ9 688000.00000000 PA USD 688729.28000000 0.192751607895 Long DBT CORP US N 2 2020-10-08 Fixed 3.16000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBJ3 728000.00000000 PA USD 749279.44000000 0.209697512530 Long DBT CORP US N 2 2026-09-06 Fixed 3.22000000 N N N N N N KLA Corp 549300H0BF5JCG96TJ81 482480AE0 614000.00000000 PA USD 683216.22000000 0.191208692253 Long DBT CORP US N 2 2024-11-01 Fixed 4.65000000 N N N N N N MT LOGAN RE LTD N/A 000000000 187.00000000 NS USD 183284.18000000 0.051294930276 Long EC CORP BM Y 3 N N N Marlette Funding Trust 549300J7CH2COR8VWE03 571085AC3 459317.92000000 PA USD 455514.68000000 0.127482872500 Long ABS-O CORP US N 2 2024-03-15 Fixed 6.66000000 N N N N N N Freddie Mac - STACR 54930047IR7X5WWFY307 35563MAH9 734535.04000000 PA USD 669249.27000000 0.187299823923 Long ABS-MBS USGSE US N 2 2049-02-25 Floating 2.84000000 N N N N N N Voya CLO Ltd 549300KSCKXTOBY0IP86 92917NAS7 210000.00000000 PA USD 164811.78000000 0.046125141645 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 4.07000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300ZJL46M82UL2Z22 94989QBB5 516100.00000000 PA USD 444441.37000000 0.124383834360 Long ABS-MBS CORP US N 2 2048-09-15 Variable 4.61000000 N N N N N N ROYAL BK SCOTLND GRP PLC 2138005O9XJIJN4JPN90 780097AU5 700000.00000000 PA USD 609182.00000000 0.170489063570 Long DBT CORP GB N 2 2027-09-30 Variable 3.77000000 N N N N N N Freddie Mac - STACR N/A 3137G0NE5 966622.32000000 PA USD 890052.98000000 0.249095178597 Long ABS-MBS USGSE US N 2 2029-08-25 Floating 4.04000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 32000.00000000 OU Notional Amount USD -10400.00000000 -0.00291060185 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -3097.21000000 USD 32000.00000000 USD -7302.79000000 N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967JL6 827000.00000000 PA USD 882326.30000000 0.246932746947 Long DBT CORP US N 2 2025-03-26 Fixed 3.88000000 N N N N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081FZ5 195000.00000000 PA USD 211475.55000000 0.059184723920 Long DBT CORP US N 2 2025-04-01 Fixed 2.85000000 N N N N N N GS Mortgage Securities Trust N/A 36253BAU7 657880.00000000 PA USD 699542.29000000 0.195777797029 Long ABS-MBS CORP US N 2 2047-06-10 Fixed 3.86000000 N N N N N N SCFF LTD N/A 78434TAC2 750000.00000000 PA USD 737625.00000000 0.206435836115 Long ABS-CBDO CORP KY N 3 2031-04-15 Floating 4.11000000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92937EAS3 7488706.66000000 PA USD 198747.28000000 0.055622519467 Long ABS-MBS CORP US N 2 2045-03-15 Variable 1.32000000 N N N N N N Freddie Mac - STACR 5493003FQV7GR462GO02 35565HAH8 890000.00000000 PA USD 677369.57000000 0.189572416257 Long ABS-MBS USGSE US N 2 2050-01-25 Floating 2.19000000 N N N N N N COCA-COLA FEMSA SAB CV 5493008KEVFYPMGTXO33 191241AH1 443000.00000000 PA USD 442883.71000000 0.123947898967 Long DBT CORP MX N 2 2030-01-22 Fixed 2.75000000 N N N N N N Discover Bank X05BVSK68TQ7YTOSNR22 25466AAN1 250000.00000000 PA USD 255337.50000000 0.071460173264 Long DBT CORP US N 2 2028-08-09 Variable 4.68000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAQ4 116000.00000000 PA USD 121349.92000000 0.033961663714 Long DBT CORP US N 2 2027-12-15 Fixed 4.25000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 060505EL4 289000.00000000 PA USD 311888.80000000 0.087286934693 Long DBT CORP US N 2 2024-10-23 Variable 6.50000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAZ9 135000.00000000 PA USD 126877.05000000 0.035508517065 Long DBT CORP US N 2 2025-07-13 Fixed 4.30000000 N N N N N N MetLife Capital Trust IV N/A 591560AA5 699000.00000000 PA USD 859944.75000000 0.240668921849 Long DBT CORP US N 2 2037-12-15 Fixed 7.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385XJW8 101490.66000000 PA USD 115843.76000000 0.032420679144 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9T29 1553223.25000000 PA USD 1685699.99000000 0.471769377224 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46638UAH9 850000.00000000 PA USD 843235.53000000 0.235992586581 Long ABS-MBS CORP US N 2 2045-10-15 Fixed 3.42000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46643GAL4 890000.00000000 PA USD 733493.50000000 0.205279571540 Long ABS-MBS CORP US N 2 2047-11-15 Variable 4.56000000 N N N N N N Fannie Mae - CAS N/A 20754CAB5 1100000.00000000 PA USD 829701.51000000 0.232204880451 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 2.54000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 540000.00000000 OU Notional Amount USD -175545.00000000 -0.04912900030 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -57702.78000000 USD 540000.00000000 USD -117842.22000000 N N N Freddie Mac - STACR 5493009ZFZYH4FRCW638 35565EAE2 700000.00000000 PA USD 186044.32000000 0.052067398412 Long ABS-MBS USGSE US N 2 2047-09-25 Floating 5.75000000 N N N N N N Fannie Mae N/A 3136AX4B8 1734116.98000000 PA USD 366954.76000000 0.102698000606 Long ABS-MBS USGSE US N 2 2047-10-25 Floating 5.71000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46644YBA7 948400.00000000 PA USD 952307.60000000 0.266518102890 Long ABS-MBS CORP US N 2 2048-08-15 Variable 4.77000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBV9 945000.00000000 PA USD 1181731.95000000 0.330726077833 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 178000.00000000 OU Notional Amount USD -57864.83000000 -0.01619437324 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -23137.46000000 USD 178000.00000000 USD -34727.37000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 504000.00000000 OU Notional Amount USD -163842.00000000 -0.04585373361 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -55964.44000000 USD 504000.00000000 USD -107877.56000000 N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BV4 910000.00000000 PA USD 926471.00000000 0.259287328278 Long DBT CORP US N 2 2027-05-01 Fixed 3.45000000 N N N N N N Great Wolf Trust N/A 39152TAA8 1019000.00000000 PA USD 919325.19000000 0.257287462137 Long ABS-MBS CORP US N 2 2036-12-15 Floating 1.85000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 52000.00000000 OU Notional Amount USD -16900.00000000 -0.00472972801 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -5094.21000000 USD 52000.00000000 USD -11805.79000000 N N N Navient Corp 54930067J0ZNOEBRW338 78442FEL8 99000.00000000 PA USD 97140.78000000 0.027186359112 Long DBT CORP US N 2 2022-01-25 Fixed 7.25000000 N N N N N N First Investors Auto Owner Trust N/A 32060KAA3 540398.65000000 PA USD 544115.19000000 0.152279104139 Long ABS-O CORP US N 2 2025-01-15 Fixed 1.49000000 N N N N N N Pertamina Persero PT 254900NDAKGNZ2IBBL45 69370RAA5 570000.00000000 PA USD 630918.75000000 0.176572431353 Long DBT CORP ID N 2 2044-05-30 Fixed 6.45000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17327FAD8 1050000.00000000 PA USD 1177541.93000000 0.329553435526 Long ABS-MBS CORP US N 2 2051-03-10 Fixed 4.01000000 N N N N N N GUSAP III LP 549300WY05UJ7WTHIN64 36258GAA5 535000.00000000 PA USD 486850.00000000 0.136252549483 Long DBT CORP US N 2 2030-01-21 Fixed 4.25000000 N N N N N N BX Trust N/A 12433WAA9 780353.04000000 PA USD 641687.04000000 0.179586104899 Long ABS-MBS CORP US N 2 2037-09-15 Floating 1.90000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 16000.00000000 OU Notional Amount USD -8241.07000000 -0.00230639169 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BB.6 137BEMAE8 Y sell protection 2063-05-11 0.00000000 USD -2549.18000000 USD 16000.00000000 USD -5691.89000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F4MJ2 217573.53000000 PA USD 228220.43000000 0.063871039194 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 2.50000000 N N N N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HAT4 288000.00000000 PA USD 290543.04000000 0.081312991546 Long DBT CORP IT N 2 2024-06-26 Fixed 5.02000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2000000.00000000 OU Notional Amount USD -227906.78000000 -0.06378325936 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2029-12-13 0.00000000 USD 0.00000000 USD 2000000.00000000 USD -227906.78000000 N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AU4 616000.00000000 PA USD 679035.28000000 0.190038591124 Long DBT CORP US N 2 2060-06-01 Fixed 4.60000000 N N N N N N Freddie Mac N/A 3137FAXY9 1673118.20000000 PA USD 276534.82000000 0.077392573166 Long ABS-MBS USGSE US N 2 2047-09-15 Floating 5.34000000 N N N N N N GS Mortgage Securities Trust N/A 36259NAA9 700000.00000000 PA USD 598518.27000000 0.167504652767 Long ABS-MBS CORP US N 2 2032-08-15 Floating 1.96000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZX4 360000.00000000 PA USD 315410.40000000 0.088272509260 Long DBT CORP US N 2 2024-11-01 Fixed 4.06000000 N N N N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 36164QNA2 272000.00000000 PA USD 283443.04000000 0.079325946047 Long DBT CORP IE N 2 2035-11-15 Fixed 4.42000000 N N N N N N BELLEMEADE RE LT 2549002JVH34IWRT3X93 07877DAB2 377493.96000000 PA USD 361449.41000000 0.101157242727 Long ABS-MBS CORP BM N 2 2028-08-25 Floating 1.84000000 N N N N N N SoFi Consumer Loan Program Trust N/A 83405XAB0 310912.18000000 PA USD 306611.98000000 0.085810134491 Long ABS-O CORP US N 2 2027-08-25 Fixed 3.67000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WPG65 1508535.94000000 PA USD 1648366.36000000 0.461320979834 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402DP79 43414.02000000 PA USD 49859.84000000 0.013954052206 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.50000000 N N N N N N Marlette Funding Trust N/A 57109JAA6 1372173.08000000 PA USD 1352794.29000000 0.378600535974 Long ABS-O CORP US N 2 2030-03-15 Fixed 2.24000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300ZJL46M82UL2Z22 94989QAV2 725000.00000000 PA USD 766905.65000000 0.214630481720 Long ABS-MBS CORP US N 2 2048-09-15 Fixed 3.79000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 46000.00000000 OU Notional Amount USD -14950.00000000 -0.00418399017 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -2618.82000000 USD 46000.00000000 USD -12331.18000000 N N N Newfield Exploration Co T8W3X1PFLPW2YE0UIP44 651290AQ1 325000.00000000 PA USD 228146.75000000 0.063850418699 Long DBT CORP US N 2 2024-07-01 Fixed 5.63000000 N N N N N N Consumer Loan Underlying Bond Credit Trust 2018-P1 N/A 21051TAA8 61623.13000000 PA USD 60887.23000000 0.017040238920 Long ABS-O CORP US N 2 2025-07-15 Fixed 3.39000000 N N N N N N Odebrecht Finance Ltd N/A 675758AM8 341000.00000000 PA USD 13674.10000000 0.003826909698 Long DBT CORP KY N 2 2029-06-27 Fixed 5.25000000 Y N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 3708000.00000000 PA 884523.57000000 0.247547687153 Long DBT NUSS MY N 2 2022-03-10 Fixed 3.88000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17324TAE9 425000.00000000 PA USD 455980.72000000 0.127613301048 Long ABS-MBS CORP US N 2 2049-02-10 Fixed 3.62000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AH3 399000.00000000 PA USD 457246.02000000 0.127967414945 Long DBT CORP US N 2 2028-10-15 Fixed 4.38000000 N N N N N N Freddie Mac N/A 3132VLCK1 439142.06000000 PA USD 476757.56000000 0.133428023077 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887BF5 180000.00000000 PA USD 194322.60000000 0.054384203907 Long DBT CORP US N 2 2024-12-15 Fixed 3.73000000 N N N N N N TERRAFORM GLOBAL OPERATI 549300LC7QMVR79H5O86 88104UAC7 139000.00000000 PA USD 138077.04000000 0.038643008575 Long DBT CORP US N 2 2026-03-01 Fixed 6.13000000 N N N N N N Fannie Mae N/A 3136AWCG0 1608251.06000000 PA USD 336378.25000000 0.094140688411 Long ABS-MBS USGSE US N 2 2047-04-25 Floating 5.46000000 N N N N N N ADANI PORTS AND SPECIAL 335800QOAXP5TM7OYP69 00652MAC6 545000.00000000 PA USD 524732.81000000 0.146854643442 Long DBT CORP IN N 2 2022-01-19 Fixed 3.95000000 N N N N N N Freddie Mac Structured Agency Credit Risk Debt Notes N/A 3137G0QN2 800000.00000000 PA USD 590271.20000000 0.165196581876 Long ABS-MBS USGSE US N 2 2029-12-25 Floating 5.24000000 N N N N N N PMT Credit Risk Transfer Trust N/A 69349MAA4 555910.28000000 PA USD 540411.78000000 0.151242647213 Long ABS-MBS CORP US N 2 2022-10-27 Floating 3.14000000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 92556HAA5 850000.00000000 PA USD 909466.00000000 0.254528214374 Long DBT CORP US N 2 2025-05-15 Fixed 4.75000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 760000.00000000 OU Notional Amount USD -247000.00000000 -0.06912679413 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -60010.17000000 USD 760000.00000000 USD -186989.83000000 N N N AIB Group PLC 635400AKJBGNS5WNQL34 00135TAA2 225000.00000000 PA USD 232832.25000000 0.065161728796 Long DBT CORP IE N 2 2023-10-12 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H9JH7 687167.46000000 PA USD 745777.00000000 0.208717300187 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.00000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BC5 279000.00000000 PA USD 291443.40000000 0.081564971305 Long DBT CORP PA N 2 2023-04-01 Fixed 11.50000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CF7 377000.00000000 PA USD 388969.75000000 0.108859238183 Long DBT CORP NL N 2 2025-04-06 Fixed 2.38000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AY0 1016000.00000000 PA USD 1148313.68000000 0.321373454876 Long DBT CORP US N 2 2025-07-23 Fixed 4.91000000 N N N N N N Countrywide Alternative Loan Trust N/A 02147TAP1 192562.45000000 PA USD 142667.84000000 0.039927815403 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.25000000 N N N N N N CFCRE Commercial Mortgage Trust N/A 12531YAN8 735000.00000000 PA USD 762044.62000000 0.213270046821 Long ABS-MBS CORP US N 2 2058-05-10 Fixed 3.28000000 N N N N N N Freddie Mac Structured Agency Credit Risk Debt Notes N/A 3137G0PU7 250000.00000000 PA USD 221619.55000000 0.062023680194 Long ABS-MBS USGSE US N 2 2029-12-25 Floating 3.14000000 N N N N N N Freddie Mac N/A 31335AY51 1135848.70000000 PA USD 1249159.15000000 0.349596629142 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.00000000 N N N N N N Fannie Mae - CAS N/A 30711XCH5 149348.23000000 PA USD 134409.63000000 0.037616626810 Long ABS-MBS USGSE US N 2 2028-09-25 Floating 12.74000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148BAD0 133000.00000000 PA USD 120100.33000000 0.033611946505 Long DBT CORP US N 2 2022-11-10 Variable 5.00000000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 241600000.00000000 PA 2251451.30000000 0.630103686274 Long STIV NUSS JP N 2 2020-05-11 None 0.00000000 N N N N N N Freddie Mac - STACR N/A 3137G0SE0 750000.00000000 PA USD 548713.05000000 0.153565886817 Long ABS-MBS USGSE US N 2 2030-04-25 Floating 4.94000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RCT7 1161000.00000000 PA USD 1275718.41000000 0.357029651402 Long DBT CORP US N 2 2026-02-17 Fixed 4.13000000 N N N N N N Fannie Mae - CAS N/A 20753QAE9 294894.41000000 PA USD 275278.45000000 0.077040958468 Long ABS-MBS USGSE US N 2 2031-04-25 Floating 2.89000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967KG5 1000000.00000000 PA USD 1079860.00000000 0.302215627164 Long DBT CORP US N 2 2026-01-12 Fixed 3.70000000 N N N N N N Freddie Mac N/A 31335A6X1 880076.33000000 PA USD 966221.19000000 0.270412037593 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.00000000 N N N N N N Dryden Senior Loan Fund N/A 26252VAC5 440000.00000000 PA USD 440000.00000000 0.123140847843 Long ABS-CBDO CORP KY N 2 2031-05-20 Floating 3.02000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RT7 1378000.00000000 PA USD 1677715.00000000 0.469534653499 Long DBT UST US N 2 2046-08-15 Fixed 2.25000000 N N N N N N Fannie Mae - CAS N/A 20753MAF5 589126.65000000 PA USD 535379.86000000 0.149834386088 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 2.64000000 N N N N N N M.T.LOGANS RE LTD N/A 000000000 439.00000000 NS USD 430276.76000000 0.120419647804 Long EC CORP US Y 3 N N N Exeter Automobile Receivables Trust N/A 30165YAE3 385000.00000000 PA USD 383533.38000000 0.107337785430 Long ABS-O CORP US N 2 2023-07-17 Fixed 3.68000000 N N N N N N Fannie Mae N/A 3136AQVP2 1642633.30000000 PA USD 363082.41000000 0.101614263192 Long ABS-MBS USGSE US N 2 2045-12-25 Floating 5.66000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 655.00000000 NC USD 124241.78000000 0.034770995742 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 2 Year US Treasury Note TUM0 Comdty 2020-06-30 144257203.86000000 USD 124241.78000000 N N N COMM Mortgage Trust N/A 12592MBN9 800000.00000000 PA USD 808937.36000000 0.226393709915 Long ABS-MBS CORP US N 2 2047-10-10 Variable 4.49000000 N N N N N N COMM Mortgage Trust N/A 12592PBH5 375000.00000000 PA USD 383052.15000000 0.107203105725 Long ABS-MBS CORP US N 2 2047-12-10 Fixed 4.05000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -9217.22000000 -0.00257958246 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 935158.62000000 CAD 662628.33000000 USD 2020-05-22 -9217.22000000 N N N Freddie Mac - STACR 549300NKHCH87PYOHD44 35564MBD6 750000.00000000 PA USD 453745.65000000 0.126987781923 Long ABS-MBS USGSE US N 2 2049-04-25 Floating 4.59000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 52000.00000000 OU Notional Amount USD -16900.00000000 -0.00472972801 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -6045.80000000 USD 52000.00000000 USD -10854.20000000 N N N Freddie Mac - STACR 5493007222WHFWMBOC78 35563KAH3 1050000.00000000 PA USD 931797.93000000 0.260778152543 Long ABS-MBS USGSE US N 2 2049-01-25 Floating 3.14000000 N N N N N N Hertz Vehicle Financing LLC 549300FPK70TCB78NG05 42806DCD9 680000.00000000 PA USD 656261.95000000 0.183665120296 Long ABS-O CORP US N 2 2023-03-25 Fixed 3.71000000 N N N N N N Fannie Mae - CAS N/A 30711XCR3 99527.06000000 PA USD 86575.90000000 0.024229613020 Long ABS-MBS USGSE US N 2 2028-10-25 Floating 12.24000000 N N N N N N CODELCO INC 549300UVMBCBCIPSUI70 21987BBC1 201000.00000000 PA USD 204274.29000000 0.057169339234 Long DBT CORP CL N 2 2031-01-15 Fixed 3.75000000 N N N N N N UBS AG LONDON BFM8T61CT2L1QCEMIK50 902674YA2 359000.00000000 PA USD 360536.52000000 0.100901756253 Long DBT CORP CH N 2 2022-04-21 Fixed 1.75000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 311000.00000000 OU Notional Amount USD -101075.00000000 -0.02828741180 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -26654.60000000 USD 311000.00000000 USD -74420.40000000 N N N SoFi Consumer Loan Program Trust N/A 83402QAA0 28268.25000000 PA USD 28051.65000000 0.007850690828 Long ABS-O CORP US N 2 2025-10-27 Fixed 3.09000000 N N N N N N Lam Research Corp 549300I4GMO6D34U1T02 512807AR9 269000.00000000 PA USD 274121.76000000 0.076717240769 Long DBT CORP US N 2 2021-06-15 Fixed 2.80000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CN8 877000.00000000 PA USD 952965.74000000 0.266702293612 Long DBT CORP US N 2 2025-03-25 Fixed 2.95000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBG0 165000.00000000 PA USD 158809.20000000 0.044445226212 Long DBT CORP US N 2 2026-03-01 Fixed 5.25000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 060505EU4 185000.00000000 PA USD 200092.30000000 0.055998944247 Long DBT CORP US N 2 2026-03-10 Variable 6.30000000 N N N N N N Freddie Mac - STACR 5493005RUXPCBST1N217 35563XBD3 1250000.00000000 PA USD 787815.50000000 0.220482428668 Long ABS-MBS USGSE US N 2 2048-10-25 Floating 4.74000000 N N N N N N COLONY MORTGAGE CAPITAL LTD N/A 12564NAL6 540000.00000000 PA USD 395110.98000000 0.110577956976 Long ABS-MBS CORP US N 2 2038-11-15 Floating 2.84000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 000000000 765000.00000000 PA USD 764931.15000000 0.214077887165 Long DBT CORP CH N 2 2023-07-17 Variable 7.50000000 N N N N Y Credit Suisse Group AG USD XXXX N N N SoFi Consumer Loan Program Trust N/A 83405JAB1 870000.00000000 PA USD 801958.69000000 0.224440620504 Long ABS-O CORP US N 2 2026-05-26 Variable 3.59000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9T45 1892313.89000000 PA USD 2068706.31000000 0.578959656711 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.50000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AF4 120000.00000000 PA USD 125132.40000000 0.035020249610 Long DBT CORP US N 2 2021-11-15 Fixed 6.75000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 36000.00000000 OU Notional Amount USD -11703.00000000 -0.00327526668 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -4598.37000000 USD 36000.00000000 USD -7104.63000000 N N N Countrywide Alternative Loan Trust N/A 02146TAR8 261222.24000000 PA USD 180623.55000000 0.050550311562 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 5.75000000 N N N N N N Marathon Oil Corp 1FRVQX2CRLGC1XLP5727 565849AL0 111000.00000000 PA USD 95425.59000000 0.026706336496 Long DBT CORP US N 2 2025-06-01 Fixed 3.85000000 N N N N N N Tyson Foods Inc WD6L6041MNRW1JE49D58 902494AX1 541000.00000000 PA USD 594093.74000000 0.166266379186 Long DBT CORP US N 2 2024-08-15 Fixed 3.95000000 N N N N N N State of Texas 549300X9CH74QB747L76 882724PY7 1125000.00000000 PA USD 1137397.50000000 0.318318392011 Long DBT MUN US N 2 2020-08-27 Fixed 4.00000000 N N N N N N COMM Mortgage Trust N/A 12593JBF2 430000.00000000 PA USD 462235.90000000 0.129363910522 Long ABS-MBS CORP US N 2 2048-08-10 Fixed 3.70000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAH6 78000.00000000 PA USD 77423.58000000 0.021668193827 Long DBT CORP US N 2 2024-04-15 Fixed 4.50000000 N N N N N N LIMA METRO LINE 2 FIN LT 5493009BVQNQT1UKQ352 000000000 188409.78000000 PA USD 211018.95000000 0.059056937304 Long DBT CORP KY N 2 2034-07-05 Fixed 5.88000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 736000.00000000 OU Notional Amount -106451.31000000 -0.02979205583 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Canada Bankers Acceptances 3 Months CDOR03 Index Y 2050-01-14 3.09000000 CAD 0.00000000 CAD 736000.00000000 CAD -106453.68000000 N N N Natixis Commercial Mortgage Securities N/A 63875FAA4 379000.00000000 PA USD 356423.73000000 0.099750727963 Long ABS-MBS CORP US N 2 2036-07-15 Floating 2.31000000 N N N N N N Flagship Credit Auto Trust 549300A2KXZJ0K08VV65 33843RAA0 22372.25000000 PA USD 22364.81000000 0.006259140148 Long ABS-O CORP US N 2 2022-04-15 Fixed 2.07000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBH4 881000.00000000 PA USD 940819.90000000 0.263303091259 Long DBT CORP US N 2 2025-03-19 Fixed 2.99000000 N N N N N N GS Mortgage Securities Trust N/A 36255NAT2 1125000.00000000 PA USD 1251489.26000000 0.350248746689 Long ABS-MBS CORP US N 2 2051-03-10 Variable 3.99000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RDK5 395000.00000000 PA USD 453349.40000000 0.126876885194 Long DBT CORP US N 2 2049-03-09 Fixed 4.55000000 N N N N N N Fannie Mae - CAS N/A 30711XGQ1 750000.00000000 PA USD 535626.45000000 0.149903398137 Long ABS-MBS USGSE US N 2 2029-09-25 Floating 5.99000000 N N N N N N ROYAL BK SCOTLND GRP PLC 2138005O9XJIJN4JPN90 780097BB6 320000.00000000 PA USD 327868.80000000 0.091759186394 Long DBT CORP GB N 2 2021-08-15 Variable 8.63000000 N N N N Y Royal Bank of Scotland Group PLC USD XXXX N N N Fannie Mae - CAS N/A 30711XDY7 379010.91000000 PA USD 270833.92000000 0.075797087576 Long ABS-MBS USGSE US N 2 2029-04-25 Floating 9.74000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371K3A7 43510.31000000 PA USD 49667.17000000 0.013900130508 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5.50000000 N N N N N N World Financial Network Credit Card Master Trust N/A 981464HD5 600000.00000000 PA USD 576682.98000000 0.161393707032 Long ABS-O CORP US N 2 2026-04-15 Fixed 3.04000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46642EAY2 735000.00000000 PA USD 776357.94000000 0.217275852185 Long ABS-MBS CORP US N 2 2047-08-15 Fixed 3.77000000 N N N N N N LIMA METRO LINE 2 FIN LT 5493009BVQNQT1UKQ352 532522AB5 216000.00000000 PA USD 219780.00000000 0.061508853497 Long DBT CORP KY N 2 2036-04-05 Fixed 4.35000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 269000.00000000 OU Notional Amount USD -87425.00000000 -0.02446724686 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -39762.24000000 USD 269000.00000000 USD -47662.76000000 N N N GS Mortgage Securities Trust N/A 36256QAA5 724575.00000000 PA USD 668265.31000000 0.187024447404 Long ABS-MBS CORP US N 2 2038-06-15 Floating 2.01000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 52000.00000000 OU Notional Amount USD -16900.00000000 -0.00472972801 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -4707.63000000 USD 52000.00000000 USD -12192.37000000 N N N ABU DHABI GOVT INT'L 213800FER4348CINTA77 29135LAJ9 356000.00000000 PA USD 378246.83000000 0.105858262137 Long DBT NUSS AE N 2 2050-04-16 Fixed 3.88000000 N N N N N N Fannie Mae N/A 3136ASJX5 4846296.23000000 PA USD 806888.94000000 0.225820427698 Long ABS-MBS USGSE US N 2 2046-06-25 Fixed 5.00000000 N N N N N N BELLEMEADE RE LT 254900I4ZKD8IMM1O953 07877BAE0 487158.00000000 PA USD 442504.81000000 0.123841857905 Long ABS-MBS CORP BM N 2 2029-04-25 Floating 2.49000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q75Y9 2210279.97000000 PA USD 2358518.58000000 0.660068130900 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N NATIONWIDE MUTUAL INSURA Z7LVXXWM8HZPKF5T2355 638671AK3 246000.00000000 PA USD 408593.70000000 0.114351306003 Long DBT CORP US N 2 2039-08-15 Fixed 9.38000000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493001SKB2HKIF64L70 94989DAW9 1040000.00000000 PA USD 1081878.20000000 0.302780451844 Long ABS-MBS CORP US N 2 2048-02-15 Fixed 3.45000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691EBA2 660000.00000000 PA USD 697748.63000000 0.195275813363 Long ABS-MBS CORP US N 2 2049-12-15 Fixed 3.60000000 N N N N N N Fannie Mae N/A 3136A2N58 832471.86000000 PA USD 178797.72000000 0.050039324621 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 6.05000000 N N N N N N ENRGY TRANS PT/REG FIN N/A 75886AAJ7 135000.00000000 PA USD 135036.45000000 0.037792052142 Long DBT CORP US N 2 2023-11-01 Fixed 4.50000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAG9 403000.00000000 PA USD 404196.91000000 0.113120795893 Long DBT CORP US N 2 2020-11-15 Fixed 4.13000000 N N N N N N ONEOK Inc 2T3D6M0JSY48PSZI1Q41 682680AW3 425000.00000000 PA USD 376562.75000000 0.105386946139 Long DBT CORP US N 2 2029-03-15 Fixed 4.35000000 N N N N N N BELLEMEADE RE LT 254900I4ZKD8IMM1O953 07877BAG5 325000.00000000 PA USD 251465.73000000 0.070376598172 Long ABS-MBS CORP BM N 2 2029-04-25 Floating 3.59000000 N N N N N N COMM Mortgage Trust N/A 12592TAA3 170000.00000000 PA USD 176167.94000000 0.049303339760 Long ABS-MBS CORP US N 2 2035-02-10 Fixed 3.18000000 N N N N N N Freddie Mac - STACR 5493008J93RJW7PJFN93 35564WBD4 750000.00000000 PA USD 394335.60000000 0.110360954815 Long ABS-MBS USGSE US N 2 2048-11-25 Floating 3.49000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 325000.00000000 OU Notional Amount USD -105625.00000000 -0.02956080012 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -49551.48000000 USD 325000.00000000 USD -56073.52000000 N N N SoFi Consumer Loan Program Trust N/A 78471FAA0 33427.38000000 PA USD 33235.99000000 0.009301609062 Long ABS-O CORP US N 2 2025-12-26 Fixed 3.05000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 27650000.00000000 OU Notional Amount 243724.13000000 0.068209990927 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Canada Bankers Acceptances 3 Months CDOR03 Index Y 2021-08-27 165.18000000 CAD 0.00000000 CAD 27650000.00000000 CAD 243599.64000000 N N N STATE OF QATAR 52990074F6OJOAXK4P65 74727PBC4 488000.00000000 PA USD 519262.50000000 0.145323692053 Long DBT NUSS QA N 2 2025-04-16 Fixed 3.40000000 N N N N N N CPS Auto Trust N/A 12594TAE3 550000.00000000 PA USD 558908.46000000 0.156419230980 Long ABS-O CORP US N 2 2024-04-15 Fixed 7.07000000 N N N N N N World Financial Network Credit Card Master Trust N/A 981464GS3 330000.00000000 PA USD 330749.10000000 0.092565283176 Long ABS-O CORP US N 2 2025-07-15 Fixed 3.46000000 N N N N N N Freddie Mac - STACR N/A 3137G0LJ6 1000000.00000000 PA USD 966391.90000000 0.270459813443 Long ABS-MBS USGSE US N 2 2029-03-25 Floating 4.29000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFN9 367000.00000000 PA USD 400246.53000000 0.112015220569 Long DBT CORP US N 2 2025-07-01 Fixed 3.30000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174467X1 396000.00000000 PA USD 448767.00000000 0.125594429236 Long DBT CORP US N 2 2025-11-24 Fixed 5.00000000 N N N N N N Marlette Funding Trust 549300JRCMNFIBT50883 57109GAA2 132980.81000000 PA USD 131450.17000000 0.036788375870 Long ABS-O CORP US N 2 2028-12-15 Fixed 3.71000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SB71 592906.07000000 PA USD 633614.41000000 0.177326853757 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.00000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 155000.00000000 OU Notional Amount USD -50375.00000000 -0.01409822775 N/A DCR US N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -10629.19000000 USD 155000.00000000 USD -39745.81000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810RP5 1555800.00000000 PA USD 2148705.66000000 0.601348719860 Long DBT UST US N 2 2045-11-15 Fixed 3.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468Q5 448000.00000000 PA USD 453268.48000000 0.126854238472 Long DBT CORP US N 2 2026-04-28 Variable 2.19000000 N N N N N N Ashford Hospitality Trust N/A 04410RAA4 568415.98000000 PA USD 510316.42000000 0.142819992334 Long ABS-MBS CORP US N 2 2035-04-15 Floating 1.71000000 N N N N N N Fannie Mae - CAS N/A 30711XDK7 902035.62000000 PA USD 885348.05000000 0.247778430712 Long ABS-MBS USGSE US N 2 2029-01-25 Floating 4.94000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05581KAA9 250000.00000000 PA USD 266032.50000000 0.074453335463 Long DBT CORP FR N 2 2025-09-28 Fixed 4.38000000 N N N N N N BRF GMBH 5299002S6DY5RA2IOQ11 000000000 350000.00000000 PA USD 302634.08000000 0.084696857267 Long DBT CORP AT N 2 2026-09-29 Fixed 4.35000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 536000.00000000 PA USD 588774.56000000 0.164777723879 Long DBT CORP GB N 2 2026-09-12 Variable 4.29000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 105000.00000000 OU Notional Amount USD -34142.50000000 -0.00955530999 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -12558.48000000 USD 105000.00000000 USD -21584.02000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JPN92 1635934.30000000 PA USD 1789780.02000000 0.500897793446 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4.00000000 N N N N N N Flagship Credit Auto Trust N/A 33843FAJ7 1000000.00000000 PA USD 823093.20000000 0.230355442050 Long ABS-O CORP US N 2 2027-06-15 Fixed 3.52000000 N N N N N N Banco Santander SA 5493006QMFDDMYWIAM13 05971KAA7 1000000.00000000 PA USD 1084770.00000000 0.303589767080 Long DBT CORP ES N 2 2025-11-19 Fixed 5.18000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417EJG7 435830.46000000 PA USD 476228.81000000 0.133280044161 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.50000000 N N N N N N Freddie Mac - STACR 5493007222WHFWMBOC78 35563KBE9 750000.00000000 PA USD 347762.18000000 0.097326658393 Long ABS-MBS USGSE US N 2 2049-01-25 Floating 11.24000000 N N N N N N Fannie Mae N/A 3136A7ED0 1522975.50000000 PA USD 372208.66000000 0.104168386288 Long ABS-MBS USGSE US N 2 2042-07-25 Floating 6.06000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDS0 443000.00000000 PA USD 622769.40000000 0.174291708925 Long DBT CORP US N 2 2049-04-15 Fixed 5.01000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46634SAM7 388665.00000000 PA USD 254784.21000000 0.071305326446 Long ABS-MBS CORP US N 2 2045-05-15 Variable 5.33000000 N N N N N N Hertz Vehicle Financing LLC 549300FPK70TCB78NG05 42806DAH2 180000.00000000 PA USD 172015.90000000 0.048141326746 Long ABS-O CORP US N 2 2021-09-25 Fixed 2.67000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDC5 755000.00000000 PA USD 710790.14000000 0.198925682905 Long ABS-O CORP US N 2 2025-03-20 Fixed 4.00000000 N N N N N N SUNOCO LP/FINANCE CORP N/A 86765LAJ6 459000.00000000 PA USD 449296.74000000 0.125742685220 Long DBT CORP US N 2 2023-01-15 Fixed 4.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CR89 816076.92000000 PA USD 868259.16000000 0.242995838887 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A 31346YA29 463276.29000000 PA USD 500427.71000000 0.140052482940 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 130000.00000000 OU Notional Amount USD -42250.00000000 -0.01182432004 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -15952.34000000 USD 130000.00000000 USD -26297.66000000 N N N Prosper Marketplace Issuance Trust N/A 74362DAA6 187320.32000000 PA USD 184098.26000000 0.051522763233 Long ABS-O CORP US N 2 2025-07-15 Fixed 3.19000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380B6Y6 1647134.13000000 PA USD 347553.87000000 0.097268359598 Long ABS-MBS USGA US N 2 2047-04-20 Floating 5.43000000 N N N N N N Marlette Funding Trust 549300W2612MGSLICQ35 57109MAA9 401076.55000000 PA USD 395145.51000000 0.110587620734 Long ABS-O CORP US N 2 2029-09-17 Fixed 2.69000000 N N N N N N Fannie Mae - CAS N/A 30711XAT1 405439.91000000 PA USD 321433.00000000 0.089958027602 Long ABS-MBS USGSE US N 2 2025-02-25 Floating 4.79000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 85000.00000000 OU Notional Amount USD -27625.00000000 -0.00773128618 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -11446.52000000 USD 85000.00000000 USD -16178.48000000 N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC 47767.56000000 0.013368495085 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3844083.44000000 MYR 936211.26000000 USD 2020-08-13 47767.56000000 N N N GS Mortgage Securities Trust N/A 36197QAC3 766413.00000000 PA USD 714759.91000000 0.200036684822 Long ABS-MBS CORP US N 2 2031-04-10 Variable 3.56000000 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114CW6 172000.00000000 PA USD 186699.12000000 0.052250654382 Long DBT CORP US N 2 2030-09-15 Fixed 2.70000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 617474AA9 110000.00000000 PA USD 101181.30000000 0.028317161518 Long DBT CORP US N 2 2020-07-15 Variable 5.55000000 N N N N N N Eastman Chemical Co FDPVHDGJ1IQZFK9KH630 277432AR1 220000.00000000 PA USD 230307.00000000 0.064454998282 Long DBT CORP US N 2 2025-03-15 Fixed 3.80000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 41000.00000000 OU Notional Amount USD -13325.00000000 -0.00372920863 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -6550.11000000 USD 41000.00000000 USD -6774.89000000 N N N BELLEMEADE RE LT 2549009SOTYJD2MZFC61 07877TAC5 325000.00000000 PA USD 253605.17000000 0.070975353753 Long ABS-MBS CORP BM N 2 2028-10-25 Floating 3.24000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QD3 4600000.00000000 PA USD 7327656.25000000 2.050758643935 Long DBT UST US N 2 2039-11-15 Fixed 4.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828XL9 4496451.98000000 PA USD 4673499.78000000 1.307951648423 Long DBT UST US N 2 2025-07-15 Fixed 0.38000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST N/A 92939KAG3 945000.00000000 PA USD 941690.23000000 0.263546666655 Long ABS-MBS CORP US N 2 2047-11-15 Fixed 3.93000000 N N N N N N Freddie Mac N/A 3132VLMD6 822694.89000000 PA USD 893164.30000000 0.249965929921 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.00000000 N N N N N N Fannie Mae - CAS N/A 30711XUW2 305000.00000000 PA USD 228552.27000000 0.063963909782 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 4.49000000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46513JB42 430000.00000000 PA USD 475553.13000000 0.133090944597 Long DBT NUSS IL N 2 2050-07-03 Fixed 3.88000000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAD2 740000.00000000 PA USD 784222.40000000 0.219476843713 Long DBT CORP US N 2 2025-03-20 Fixed 4.74000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 5000000.00000000 OU Notional Amount USD -2576722.22000000 -0.72113581551 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BB.6 137BEMAE8 Y sell protection 2063-05-11 0.00000000 USD -558519.46000000 USD 5000000.00000000 USD -2018202.76000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -3236.30000000 -0.00090572892 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 597128.48000000 EUR 651586.06000000 USD 2020-06-10 -3236.30000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 260000.00000000 OU Notional Amount USD -84500.00000000 -0.02364864009 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -35096.23000000 USD 260000.00000000 USD -49403.77000000 N N N Banc of America Merrill Lynch Large Loan Inc N/A 054966AA4 1330000.00000000 PA USD 1283528.60000000 0.359215454626 Long ABS-MBS CORP US N 2 2033-11-15 Floating 1.81000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 131000.00000000 OU Notional Amount USD -42575.00000000 -0.01191527635 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -10687.29000000 USD 131000.00000000 USD -31887.71000000 N N N S&P Global Inc Y6X4K52KMJMZE7I7MY94 78409VAK0 584000.00000000 PA USD 674157.92000000 0.188673586021 Long DBT CORP US N 2 2026-02-15 Fixed 4.40000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 1881814.00000000 OU Notional Amount USD -611589.55000000 -0.17116285390 N/A DCR US N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -76311.74000000 USD 1881814.00000000 USD -535277.81000000 N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 465968AG0 4716290.71000000 PA USD 249701.18000000 0.069882761392 Long ABS-MBS CORP US N 2 2050-09-15 Variable 1.21000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148BAB4 482000.00000000 PA USD 446139.20000000 0.124858998509 Long DBT CORP US N 2 2020-06-01 Variable 5.38000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300MZIB10PDVAE312 95000FAW6 3810192.76000000 PA USD 328458.43000000 0.091924203526 Long ABS-MBS CORP US N 2 2048-07-15 Variable 2.10000000 N N N N N N BAIDU INC 254900AL64IANZYI1E02 056752AR9 202000.00000000 PA USD 211627.72000000 0.059227311063 Long DBT CORP KY N 2 2030-04-07 Fixed 3.43000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05578QAA1 230000.00000000 PA USD 249018.70000000 0.069691758742 Long DBT CORP FR N 2 2023-10-22 Fixed 5.70000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFF6 328000.00000000 PA USD 354853.36000000 0.099311235478 Long DBT CORP US N 2 2027-03-22 Fixed 3.00000000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63859WAE9 950000.00000000 PA USD 981103.00000000 0.274576943731 Long DBT CORP GB N 2 2026-09-14 Fixed 4.00000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AJ7 255000.00000000 PA USD 254977.05000000 0.071359295721 Long DBT CORP CH N 2 2023-07-17 Variable 7.50000000 N N N N Y Credit Suisse Group AG USD XXXX N N N Radnor Re LTD N/A 750493AA6 900000.00000000 PA USD 864193.68000000 0.241858051037 Long ABS-MBS CORP US N 2 2030-02-25 Floating 1.44000000 N N N N N N Zoetis Inc 549300HD9Q1LOC9KLJ48 98978VAJ2 334000.00000000 PA USD 333956.58000000 0.093462946373 Long DBT CORP US N 2 2020-11-13 Fixed 3.45000000 N N N N N N Fannie Mae - CAS N/A 30711XBH6 308907.96000000 PA USD 312014.21000000 0.087322032633 Long ABS-MBS USGSE US N 2 2028-04-25 Floating 6.04000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417DRX3 428898.41000000 PA USD 468654.20000000 0.131160171666 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.50000000 N N N N N N COLBUN SA 5493003VQJLE2QB8IF36 192714AD5 400000.00000000 PA USD 381150.00000000 0.106670759444 Long DBT CORP CL N 2 2030-03-06 Fixed 3.15000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280AP4 282000.00000000 PA USD 299046.90000000 0.083692929115 Long DBT CORP GB N 2 2024-03-14 Fixed 4.25000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148LAE6 254000.00000000 PA USD 271967.96000000 0.076114466319 Long DBT CORP US N 2 2025-05-22 Fixed 3.75000000 N N N N N N ING Groep NV 549300NYKK9MWM7GGW15 000000000 425000.00000000 PA USD 424664.25000000 0.118848899531 Long DBT CORP NL N 2 2022-04-16 Variable 6.88000000 N N N N Y ING Groep NV USD XXXX N N N SoFi Consumer Loan Program Trust N/A 83405QAB5 367374.34000000 PA USD 364717.64000000 0.102071907757 Long ABS-O CORP US N 2 2026-11-25 Fixed 2.82000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 200000.00000000 OU Notional Amount USD -65016.67000000 -0.01819592697 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -21344.29000000 USD 200000.00000000 USD -43672.38000000 N N N Fannie Mae Connecticut Avenue Securities N/A 30711XEQ3 750000.00000000 PA USD 617944.88000000 0.172941491917 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 6.24000000 N N N N N N Standard Chartered PLC U4LOSYZ7YG4W3S5F2G91 853254AA8 400000.00000000 PA USD 311516.00000000 0.087182600811 Long DBT CORP GB N 2 2027-01-30 Variable 2.27000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300CFP9NBBMZH1008 95000KBH7 600000.00000000 PA USD 498876.96000000 0.139618481418 Long ABS-MBS CORP US N 2 2049-11-15 Variable 4.46000000 N N N N N N Dupont De Nemours Inc 5493004JF0SDFLM8GD76 26078JAC4 485000.00000000 PA USD 533344.80000000 0.149264842874 Long DBT CORP US N 2 2025-11-15 Fixed 4.49000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X6P58 1209732.65000000 PA USD 1331058.55000000 0.372517450855 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.00000000 N N N N N N GS Mortgage Securities Trust N/A 36191YAL2 1750000.00000000 PA USD 1238414.98000000 0.346589705953 Long ABS-MBS CORP US N 2 2044-08-10 Variable 5.56000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BD4 93000.00000000 PA USD 97227.78000000 0.027210707416 Long DBT CORP US N 2 2025-05-01 Fixed 5.75000000 N N N N N N Freddie Mac - STACR N/A 35564XAH4 355000.00000000 PA USD 301491.45000000 0.084377074478 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 2.34000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AF7 168000.00000000 PA USD 179775.12000000 0.050312865222 Long DBT CORP US N 2 2023-07-15 Fixed 3.75000000 N N N N N N Fannie Mae - CAS N/A 20753TAB9 900000.00000000 PA USD 801684.09000000 0.224363769421 Long ABS-MBS USGSE US N 2 2039-06-25 Floating 2.59000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46636VAR7 127329.00000000 PA USD 114435.96000000 0.032026684404 Long ABS-MBS CORP US N 2 2046-08-15 Variable 5.60000000 N N N N N N ROSS STORES INC 549300ENZFLPGRDFZQ60 778296AB9 430000.00000000 PA USD 469620.20000000 0.131430521801 Long DBT CORP US N 2 2025-04-15 Fixed 4.60000000 N N N N N N Fannie Mae - CAS N/A 30711XAZ7 165763.68000000 PA USD 141960.40000000 0.039729827309 Long ABS-MBS USGSE US N 2 2025-05-25 Floating 4.49000000 N N N N N N GUARDIAN LIFE INSURANCE N1YIDVMMKBHFYCCAIX69 401378AC8 294000.00000000 PA USD 378372.12000000 0.105893326493 Long DBT CORP US N 2 2077-01-24 Fixed 4.85000000 N N N N N N Banc of America Merrill Lynch Large Loan Inc N/A 05525BAL4 960000.00000000 PA USD 828307.58000000 0.231814767446 Long ABS-MBS CORP US N 2 2037-03-10 Variable 3.65000000 N N N N N N Freddie Mac N/A 3133KGXA1 1182721.65000000 PA USD 1271284.20000000 0.355788668723 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.50000000 N N N N N N Freddie Mac - STACR N/A 3137G0AY5 1000000.00000000 PA USD 666918.40000000 0.186647493678 Long ABS-MBS USGSE US N 2 2024-04-25 Floating 4.09000000 N N N N N N Enel Chile SA 549300YM5CWCAUVOPB53 29278DAA3 514000.00000000 PA USD 547410.00000000 0.153201207995 Long DBT CORP CL N 2 2028-06-12 Fixed 4.88000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 90000.00000000 OU Notional Amount USD -29257.50000000 -0.00818816671 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -11447.86000000 USD 90000.00000000 USD -17809.64000000 N N N Fannie Mae N/A 3136AVD55 1719083.55000000 PA USD 344571.56000000 0.096433713730 Long ABS-MBS USGSE US N 2 2047-03-25 Floating 5.56000000 N N N N N N CFCRE Commercial Mortgage Trust N/A 12531YAU2 375000.00000000 PA USD 378603.56000000 0.105958098579 Long ABS-MBS CORP US N 2 2058-05-10 Fixed 3.69000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967GD7 216000.00000000 PA USD 214647.84000000 0.060072538648 Long DBT CORP US N 2 2023-01-30 Variable 5.95000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29273RBG3 1138000.00000000 PA USD 1126358.26000000 0.315228888891 Long DBT CORP US N 2 2026-01-15 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QYV7 60290.30000000 PA USD 69092.46000000 0.019336600236 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N Eni SpA BUCRF72VH5RBN7X3VL35 26874RAJ7 850000.00000000 PA USD 868241.00000000 0.242990756528 Long DBT CORP IT N 2 2029-05-09 Fixed 4.25000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300RVQJTKIK3XGD11 95001LAU6 900000.00000000 PA USD 999024.03000000 0.279592422887 Long ABS-MBS CORP US N 2 2051-03-15 Variable 4.01000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 107000.00000000 OU Notional Amount USD -34775.00000000 -0.00973232496 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -10794.27000000 USD 107000.00000000 USD -23980.73000000 N N N ORBIA ADVANCE CORP SAB 549300MVHZ20SBIOEQ79 59284BAF5 350000.00000000 PA USD 329765.63000000 0.092290043790 Long DBT CORP MX N 2 2027-10-04 Fixed 4.00000000 N N N N N N Israel Electric Corp Ltd 254900JW7GE35YNJGJ55 000000000 580000.00000000 PA USD 628575.00000000 0.175916496439 Long DBT CORP IL N 2 2024-11-12 Fixed 5.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 153000.00000000 OU Notional Amount USD -49737.75000000 -0.01391988342 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -19253.78000000 USD 153000.00000000 USD -30483.97000000 N N N Radnor Re LTD 254900JBDDKUTX6TX151 75049SAB9 806441.30000000 PA USD 747441.57000000 0.209183156007 Long ABS-MBS CORP BM N 2 2029-02-25 Floating 2.44000000 N N N N N N Exeter Automobile Receivables Trust N/A 30166JAG0 525000.00000000 PA USD 488410.65000000 0.136689321674 Long ABS-O CORP US N 2 2023-11-15 Fixed 6.20000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CW8 1417000.00000000 PA USD 1562865.98000000 0.437392367825 Long DBT CORP US N 2 2025-03-25 Fixed 4.10000000 N N N N N N Banc of America Commercial Mortgage Trust N/A 06054ABB4 860000.00000000 PA USD 892604.66000000 0.249809305958 Long ABS-MBS CORP US N 2 2048-09-15 Variable 3.99000000 N N N N N N Freddie Mac - STACR N/A 3137G0MD8 365000.00000000 PA USD 347817.30000000 0.097342084583 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 3.74000000 N N N N N N CSAIL Commercial Mortgage Trust 54930025J96YEH8FQE77 12635RAX6 1450000.00000000 PA USD 1527671.86000000 0.427542745607 Long ABS-MBS CORP US N 2 2048-11-15 Fixed 3.81000000 N N N N N N Home Re 2018-1 Ltd. 254900E6IUAJSN9WD709 43730MAC2 500000.00000000 PA USD 315981.25000000 0.088432270517 Long ABS-MBS CORP BM N 2 2028-10-25 Floating 4.49000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373MVZ0 762705.89000000 PA USD 7.63000000 0.000002135374 Long ABS-MBS USGA US N 2 2046-07-16 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GTWR7 315731.61000000 PA USD 336907.03000000 0.094288675724 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N Fannie Mae - CAS N/A 30711XWX8 259462.33000000 PA USD 225983.36000000 0.063244960338 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 2.99000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 313000.00000000 OU Notional Amount USD -101725.00000000 -0.02846932442 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -51470.83000000 USD 313000.00000000 USD -50254.17000000 N N N BAKER HUGHES LLC/CO-OBL N/A 05723KAE0 433000.00000000 PA USD 415021.84000000 0.116150321025 Long DBT CORP US N 2 2027-12-15 Fixed 3.34000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565AAR4 757000.00000000 PA USD 809301.13000000 0.226495516611 Long DBT CORP FR N 2 2026-05-12 Fixed 4.38000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 574000.00000000 OU Notional Amount USD -186550.00000000 -0.05220892083 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -75479.93000000 USD 574000.00000000 USD -111070.07000000 N N N Deutsche Alt-A Securities INC Mortgage Loan Trust N/A 25150PAB5 570385.31000000 PA USD 258175.33000000 0.072254384155 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.68000000 N N N N N N BELLEMEADE RE LT 254900KXN235YISGF415 07876LAB5 885000.00000000 PA USD 807163.10000000 0.225897155641 Long ABS-MBS CORP BM N 2 2029-10-25 Floating 2.49000000 N N N N N N Fannie Mae - CAS N/A 30711XBF0 521167.00000000 PA USD 526403.27000000 0.147322147671 Long ABS-MBS USGSE US N 2 2028-04-25 Floating 6.19000000 N N N N N N Flagship Credit Auto Trust N/A 33846AAJ5 960000.00000000 PA USD 822933.22000000 0.230310669157 Long ABS-O CORP US N 2 2026-12-15 Fixed 3.84000000 N N N N N N Synchrony Financial 549300RS7EWPM9MA6C78 87165BAG8 1008000.00000000 PA USD 986408.64000000 0.276061809658 Long DBT CORP US N 2 2025-07-23 Fixed 4.50000000 N N N N N N CON EDISON CO OF NY INC VZFZPMWDHTQCFKYOBP05 209111FY4 234000.00000000 PA USD 281181.42000000 0.078692996492 Long DBT CORP US N 2 2050-04-01 Fixed 3.95000000 N N N N N N BHMS Mortgage Trust N/A 05549GAA9 547087.00000000 PA USD 507935.54000000 0.142153666012 Long ABS-MBS CORP US N 2 2035-07-15 Floating 2.06000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 356000.00000000 OU Notional Amount USD -115700.00000000 -0.03238044567 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -37619.02000000 USD 356000.00000000 USD -78080.98000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828Q60 6078763.80000000 PA USD 5986632.54000000 1.675452287963 Long DBT UST US N 2 2021-04-15 Fixed 0.13000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RHJ4 500000.00000000 PA USD 563010.00000000 0.157567110782 Long DBT CORP US N 2 2029-03-01 Fixed 4.35000000 N N N N N N Vodafone Group PLC 213800TB53ELEUKM7Q61 92857WBH2 1249000.00000000 PA USD 1347433.69000000 0.377100288635 Long DBT CORP GB N 2 2024-01-16 Fixed 3.75000000 N N N N N N First Horizon Alternative Mortgage Securities 549300KOHW56HILAN819 32051HAJ2 226359.27000000 PA USD 158874.28000000 0.044463439863 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.00000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBJ8 685000.00000000 PA USD 719250.00000000 0.201293306389 Long DBT CORP US N 2 2025-04-06 Fixed 3.19000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MQ1 874000.00000000 PA USD 915156.66000000 0.256120834141 Long DBT CORP US N 2 2026-04-08 Variable 3.11000000 N N N N N N Freddie Mac N/A 3137AVMB0 1195987.90000000 PA USD 280399.84000000 0.078474259165 Long ABS-MBS USGSE US N 2 2042-10-15 Floating 5.39000000 N N N N N N FannieMae Grantor Trust N/A 31394AXY7 65391.11000000 PA USD 57692.28000000 0.016146082439 Long ABS-MBS USGSE US N 2 2035-05-28 Variable 1.49000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EHUP5 270972.94000000 PA USD 296174.86000000 0.082889144023 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 3.50000000 N N N N N N Elevation CLO Ltd N/A 28621YAG0 1000000.00000000 PA USD 753515.00000000 0.210882899915 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 5.17000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17323CAE7 1222638.00000000 PA USD 1274361.33000000 0.356649851443 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.14000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAQ6 515000.00000000 PA USD 469422.50000000 0.131375192379 Long DBT CORP US N 2 2030-05-15 Fixed 3.75000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 80413TAS8 692000.00000000 PA USD 700993.23000000 0.196183865170 Long DBT NUSS SA N 2 2025-10-22 Fixed 2.90000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 1284000.00000000 OU Notional Amount USD -661345.60000000 -0.18508785886 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BB.6 137BEMAE8 Y sell protection 2063-05-11 0.00000000 USD -205338.75000000 USD 1284000.00000000 USD -456006.85000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8KD6 755973.05000000 PA USD 804312.08000000 0.225099253322 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RH3 8703700.00000000 PA USD 12117182.34000000 3.391182060962 Long DBT UST US N 2 2044-08-15 Fixed 3.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RM2 80000.00000000 PA USD 109912.50000000 0.030760723724 Long DBT UST US N 2 2045-05-15 Fixed 3.00000000 N N N N N N Fannie Mae - CAS N/A 20754JAB0 890000.00000000 PA USD 752613.90000000 0.210630713056 Long ABS-MBS USGSE US N 2 2039-09-25 Floating 2.59000000 N N N N N N UBS AG STAMFORD CT BFM8T61CT2L1QCEMIK50 90261AAB8 620000.00000000 PA USD 671782.40000000 0.188008759778 Long DBT CORP CH N 2 2022-08-17 Fixed 7.63000000 N N N N Y UBS AG USD XXXX N N N VALERO ENERGY CORP 549300XTO5VR8SKV1V74 91913YAX8 674000.00000000 PA USD 674674.00000000 0.188818019041 Long DBT CORP US N 2 2023-04-15 Fixed 2.70000000 N N N N N N COMM Mortgage Trust N/A 12625EAA7 222717.73000000 PA USD 219485.12000000 0.061426326740 Long ABS-MBS CORP US N 2 2035-04-12 Fixed 1.87000000 N N N N N N LB-UBS Commercial Mortgage Trust N/A 50179MAH4 134679.14000000 PA USD 78718.56000000 0.022030614135 Long ABS-MBS CORP US N 2 2039-09-15 Variable 5.45000000 N N N N N N INVERSIONES CMPC SA 549300G475ACIABB4385 000000000 490000.00000000 PA USD 497350.00000000 0.139191137897 Long DBT CORP CL N 2 2027-04-04 Fixed 4.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QWA5 401143.69000000 PA USD 461283.67000000 0.129097414136 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -82142.84000000 -0.02298895218 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 641451520.00000000 JPY 5897374.44000000 USD 2020-06-05 -82142.84000000 N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 379847503.00000000 PA 3528937.80000000 0.987628165180 Long DBT NUSS JP N 2 2027-03-10 Fixed 0.10000000 N N N N N N EXPEDIA GROUP INC N/A 30212PAU9 286000.00000000 PA USD 292189.04000000 0.081773650264 Long DBT CORP US N 2 2025-05-01 Fixed 7.00000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DH0 194000.00000000 PA USD 212094.38000000 0.059357913127 Long DBT CORP US N 2 2027-04-01 Fixed 3.63000000 N N N N N N DBWF Mortgage Trust N/A 23307GAA4 540599.00000000 PA USD 500610.30000000 0.140103583593 Long ABS-MBS CORP US N 2 2030-12-19 Floating 1.75000000 N N N N N N Eagle Re 2018-1 Ltd. 549300BLEDGL5R7YKU33 269826AB9 325000.00000000 PA USD 258978.33000000 0.072479116203 Long ABS-MBS CORP US N 2 2028-11-25 Floating 3.49000000 N N N N N N COMM Mortgage Trust N/A 12593PAW2 1045000.00000000 PA USD 1113545.73000000 0.311643102965 Long ABS-MBS CORP US N 2 2048-08-10 Fixed 3.76000000 N N N N N N Fannie Mae - CAS 549300Z5THZ1JXIHVK60 20754PAC4 764438.90000000 PA USD 632862.68000000 0.177116470417 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 2.64000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3457000.00000000 OU Notional Amount 139410.92000000 0.039016315653 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Canada Bankers Acceptances 3 Months CDOR03 Index Y 2025-01-14 9.36000000 CAD 0.00000000 CAD 3457000.00000000 CAD 139403.89000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MFS99 2349798.99000000 PA USD 2567608.44000000 0.718585182345 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.50000000 N N N N N N Reynolds American Inc 02S2RPPVO9RP4NEU2740 761713BT2 345000.00000000 PA USD 345000.00000000 0.096553619331 Long DBT CORP US N 2 2020-05-01 Fixed 6.88000000 N N N N N N Broadcom Inc 549300WV6GIDOZJTV909 11135FAE1 311000.00000000 PA USD 334107.30000000 0.093505127710 Long DBT CORP US N 2 2026-04-15 Fixed 4.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828YY0 2098000.00000000 PA USD 2234370.00000000 0.625323218628 Long DBT UST US N 2 2024-12-31 Fixed 1.75000000 N N N N N N Asset Backed Funding Certificates N/A 04542BCD2 22506.31000000 PA USD 21410.36000000 0.005992022461 Long ABS-MBS CORP US N 2 2032-12-25 Floating 1.61000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBK1 465000.00000000 PA USD 471528.60000000 0.131964617242 Long DBT CORP US N 2 2026-04-22 Variable 2.08000000 N N N N N N ABU DHABI GOVT INT'L 213800FER4348CINTA77 29135LAG5 396000.00000000 PA USD 406888.73000000 0.113874143614 Long DBT NUSS AE N 2 2025-04-16 Fixed 2.50000000 N N N N N N Alliance Bernstein 5493006YWHO7MNK2U579 018616748 289237.21000000 NS USD 289237.21000000 0.080947534698 Long STIV RF US N 1 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 304000.00000000 OU Notional Amount USD -156580.27000000 -0.04382142546 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BB.6 137BEMAE8 Y sell protection 2063-05-11 0.00000000 USD -47138.08000000 USD 304000.00000000 USD -109442.19000000 N N N INVERSIONES CMPC CI 549300G475ACIABB4385 000000000 225000.00000000 PA USD 229992.19000000 0.064366893804 Long DBT CORP CL N 2 2023-05-15 Fixed 4.38000000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAR5 417000.00000000 PA USD 465092.61000000 0.130163405275 Long DBT CORP US N 2 2027-03-26 Fixed 3.30000000 N N N N N N Freddie Mac Structured Agency Credit Risk Debt Notes N/A 3137G0LA5 1162000.00000000 PA USD 1145957.08000000 0.320713923690 Long ABS-MBS USGSE US N 2 2029-03-25 Floating 4.34000000 N N N N N N BELLEMEADE RE LT 254900K56RF3Z7VQ3U81 07876RAB2 1000000.00000000 PA USD 866110.10000000 0.242394390999 Long ABS-MBS CORP BM N 2 2029-03-25 Floating 2.24000000 N N N N N N Morgan Stanley BAML Trust N/A 61763MAF7 730000.00000000 PA USD 767234.09000000 0.214722400766 Long ABS-MBS CORP US N 2 2047-06-15 Fixed 3.89000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 144000.00000000 OU Notional Amount USD -74169.60000000 -0.02075751688 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BB.6 137BEMAE8 Y sell protection 2063-05-11 0.00000000 USD -23178.29000000 USD 144000.00000000 USD -50991.31000000 N N N Freddie Mac N/A 3132XXD22 426031.69000000 PA USD 466426.65000000 0.130536757131 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RK6 1757100.00000000 PA USD 2218613.30000000 0.620913460907 Long DBT UST US N 2 2045-02-15 Fixed 2.50000000 N N N N N N Fannie Mae - CAS N/A 20753VBE7 1000000.00000000 PA USD 707406.50000000 0.197978718591 Long ABS-MBS USGSE US N 2 2040-02-25 Floating 4.14000000 N N N N N N Sofi Consumer Loan Program 2017-3 LLC N/A 83404JAA4 85003.15000000 PA USD 84890.23000000 0.023757852036 Long ABS-O CORP US N 2 2026-05-25 Fixed 2.77000000 N N N N N N AIB Group PLC 635400AKJBGNS5WNQL34 00135TAB0 500000.00000000 PA USD 507880.00000000 0.142138122279 Long DBT CORP IE N 2 2025-04-10 Variable 4.26000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17321RAM8 565000.00000000 PA USD 453393.01000000 0.126889090131 Long ABS-MBS CORP US N 2 2046-11-10 Variable 5.26000000 N N N N N N Freddie Mac N/A 3128QPNL2 18626.71000000 PA USD 19397.73000000 0.005428756632 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 4.10000000 N N N N N N Gilead Sciences Inc 549300WTZWR07K8MNV44 375558BB8 910000.00000000 PA USD 914968.60000000 0.256068202623 Long DBT CORP US N 2 2020-09-01 Fixed 2.55000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAF8 200000.00000000 PA USD 220436.00000000 0.061692445307 Long DBT CORP US N 2 2025-04-15 Fixed 4.70000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 70.79000000 0.000019811683 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1901.15000000 GBP 2465.37000000 USD 2020-05-15 70.79000000 N N N Fannie Mae - CAS N/A 20753WAF3 895000.00000000 PA USD 773741.64000000 0.216543639912 Long ABS-MBS USGSE US N 2 2039-10-25 Floating 2.59000000 N N N N N N HomeBanc Mortgage Trust N/A 43739EAP2 153219.33000000 PA USD 125806.38000000 0.035208873403 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.74000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828TE0 9190720.62000000 PA USD 9182104.32000000 2.569754797621 Long DBT UST US N 2 2022-07-15 Fixed 0.13000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFP9 1455000.00000000 PA USD 1566744.00000000 0.438477692077 Long DBT CORP US N 2 2025-04-21 Fixed 3.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140K3BF8 1275998.64000000 PA USD 1380318.29000000 0.386303555737 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.50000000 N N N N N N PMT CREDIT RISK TRANSFER TRUST N/A 69345WAA6 638455.65000000 PA USD 606808.68000000 0.169824853031 Long ABS-MBS CORP US N 2 2023-05-27 Floating 3.19000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HKK5 200000.00000000 PA USD 189702.00000000 0.053091057085 Long DBT CORP US N 2 2020-08-01 Variable 5.30000000 N N N N N N CSAIL Commercial Mortgage Trust 549300D5DIOOMKWXVZ20 12634NAT5 332184.00000000 PA USD 341237.91000000 0.095500739894 Long ABS-MBS CORP US N 2 2057-06-15 Fixed 3.50000000 N N N N N N STATE STREET CORP 549300ZFEEJ2IP5VME73 857477BJ1 77000.00000000 PA USD 81808.65000000 0.022895423913 Long DBT CORP US N 2 2026-03-30 Variable 2.90000000 N N N N N N CELULOSA ARAUCO CONSTITU 549300QEKV8G0AMNQD28 151191BJ1 332000.00000000 PA USD 320784.64000000 0.089776573965 Long DBT CORP CL N 2 2030-01-29 Fixed 4.20000000 N N N N N N Fannie Mae - CAS N/A 20754CAF6 500000.00000000 PA USD 219213.15000000 0.061350211703 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 3.74000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 121200000.00000000 OU Notional Amount -178288.51000000 -0.04989681427 N/A DIR SE N 2 LCH Limited F226TOH6YD6XJB17KS62 Stockholm Interbank Offer Rate 3 Months STIB3M Index Y 2024-08-30 0.00000000 SEK 0.00000000 SEK 121200000.00000000 SEK -178288.51000000 N N N CREDIT AGRICOLE LONDON 969500TJ5KRTCJQWXH05 22535WAD9 257000.00000000 PA USD 267917.36000000 0.074980842869 Long DBT CORP FR N 2 2024-10-04 Fixed 3.25000000 N N N N N N Freddie Mac - STACR N/A 3137G0JU4 887921.30000000 PA USD 874689.41000000 0.244795444425 Long ABS-MBS USGSE US N 2 2028-10-25 Floating 5.14000000 N N N N N N Fannie Mae - CAS N/A 20754WAB1 950000.00000000 PA USD 670103.21000000 0.187538812323 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 2.49000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419LZY2 524765.07000000 PA USD 577230.56000000 0.161546955817 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 06738CAG4 129000.00000000 PA USD 154800.00000000 0.043323189195 Long DBT CORP GB N 2 2032-06-15 Variable 6.86000000 N N N N N N Freddie Mac N/A 3132Y16H6 1207600.35000000 PA USD 1311039.53000000 0.366914816547 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N Cox Communications Inc 5493001NEDZNIFRP2R92 224044CA3 233000.00000000 PA USD 242180.20000000 0.067777898088 Long DBT CORP US N 2 2023-06-30 Fixed 2.95000000 N N N N N N Radnor Re LTD N/A 750493AD0 850000.00000000 PA USD 668627.26000000 0.187125744744 Long ABS-MBS CORP US N 2 2030-02-25 Floating 2.49000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46652BAN9 1000000.00000000 PA USD 903485.60000000 0.252854506360 Long ABS-MBS CORP US N 2 2037-01-16 Floating 2.64000000 N N N N N N PMT CREDIT RISK TRANSFER TRUST N/A 730151AA5 893404.97000000 PA USD 669295.41000000 0.187312736921 Long ABS-MBS CORP US N 2 2023-02-27 Floating 3.31000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VAP8 235000.00000000 PA USD 237326.50000000 0.066419514604 Long DBT CORP US N 2 2020-09-01 Fixed 5.20000000 N N N N N N Osaka Exchange 3538001249AILNPRUX57 000000000 -3.00000000 NC 51838.23000000 0.014507735438 N/A DIR JP N 1 Osaka Exchange 3538001249AILNPRUX57 Short Japan Government Ten Year Bond JBM0 Comdty 2020-06-15 -463933020.00000000 JPY 51838.23000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 23.00000000 NC -14917.04000000 -0.00417476580 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Euro-Bund (FGBL) RXM0 Comdty 2020-06-08 4025502.31000000 EUR -14917.04000000 N N N VIRGOLINO DE OLIVEIRA FI N/A 92824BAA4 660000.00000000 PA USD 5676.00000000 0.001588516937 Long DBT CORP LU N 2 2018-01-28 Fixed 10.50000000 Y Y N N N N Freddie Mac - STACR N/A 3137G0PR4 750000.00000000 PA USD 581260.13000000 0.162674693695 Long ABS-MBS USGSE US N 2 2029-10-25 Floating 5.64000000 N N N N N N Freddie Mac - STACR 549300KB1O80CETXGJ21 35564TAH3 788943.26000000 PA USD 675007.62000000 0.188911387790 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 2.54000000 N N N N N N Credit-Based Asset Servicing and Securitization N/A 79549ARU5 54567.75000000 PA USD 54324.27000000 0.015203492423 Long ABS-O CORP US N 2 2033-01-25 Variable 3.95000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828U81 1698000.00000000 PA USD 1748674.69000000 0.489393827112 Long DBT UST US N 2 2021-12-31 Fixed 2.00000000 N N N N N N GLOBO COMMUNICACOES PART 52990054HEKS017PVR75 37959DAB0 417000.00000000 PA USD 371130.00000000 0.103866506500 Long DBT CORP BR N 2 2030-01-22 Fixed 4.88000000 N N N N N N ABN AMRO Bank NV BFXS5XCH7N0Y05NIXW11 00080QAF2 200000.00000000 PA USD 214782.00000000 0.060110085412 Long DBT CORP NL N 2 2025-07-28 Fixed 4.75000000 N N N N N N ALPEK SA DE CV 549300PWKJTP62D4IQ66 020564AD2 203000.00000000 PA USD 175595.00000000 0.049142993584 Long DBT CORP MX N 2 2029-09-18 Fixed 4.25000000 N N N N N N COMM Mortgage Trust N/A 12593GAF9 685000.00000000 PA USD 724171.66000000 0.202670709538 Long ABS-MBS CORP US N 2 2050-07-10 Fixed 3.90000000 N N N N N N CODELCO INC 549300UVMBCBCIPSUI70 21987BBB3 565000.00000000 PA USD 545931.25000000 0.152787356793 Long DBT CORP CL N 2 2030-01-14 Fixed 3.15000000 N N N N N N Impac Secured Assets Corp. N/A 45254TSS4 270529.85000000 PA USD 130666.43000000 0.036569034033 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.92000000 N N N N N N CSAIL Commercial Mortgage Trust 549300ZAGI6FKGY8O078 12635FAT1 573286.00000000 PA USD 610538.64000000 0.170868740388 Long ABS-MBS CORP US N 2 2048-08-15 Fixed 3.72000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810PW2 1013000.00000000 PA USD 1589460.31000000 0.444835204970 Long DBT UST US N 2 2038-02-15 Fixed 4.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RU4 756000.00000000 PA USD 1030640.63000000 0.288440820455 Long DBT UST US N 2 2046-11-15 Fixed 2.88000000 N N N N N N Morgan Stanley Capital I Trust N/A 61769GAJ6 520000.00000000 PA USD 408192.04000000 0.114238895201 Long ABS-MBS CORP US N 2 2036-05-15 Floating 3.86000000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KAP1 603000.00000000 PA USD 611255.07000000 0.171069244473 Long DBT CORP US N 2 2027-07-13 Fixed 4.40000000 N N N N N N LSTAR Commercial Mortgage Trust N/A 50219QAC8 614529.00000000 PA USD 619566.60000000 0.173395355499 Long ABS-MBS CORP US N 2 2049-03-10 Fixed 2.58000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 30000.00000000 OU Notional Amount USD -9750.00000000 -0.00272868924 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -2902.72000000 USD 30000.00000000 USD -6847.28000000 N N N Cenovus Energy Inc 549300EIRQ0Z2B9C1W06 15135UAM1 42000.00000000 PA USD 33026.70000000 0.009243035998 Long DBT CORP CA N 2 2027-04-15 Fixed 4.25000000 N N N N N N BOOKING HOLDINGS INC FXM8FAOHMYDIPD38UZ17 09857LAP3 216000.00000000 PA USD 229005.36000000 0.064090714070 Long DBT CORP US N 2 2025-04-13 Fixed 4.10000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276FAW4 750000.00000000 PA USD 847938.75000000 0.237308855896 Long ABS-MBS CORP US N 2 2051-05-15 Fixed 4.31000000 N N N N N N American Express Co R4PP93JZOLY261QX3811 025816BL2 461000.00000000 PA USD 394597.56000000 0.110434268398 Long DBT CORP US N 2 2020-06-15 Variable 4.03000000 N N N N N N State of Florida 5493004G5XFOOUT0LQ57 34153QPW0 1103000.00000000 PA USD 1106628.87000000 0.309707312045 Long DBT MUN US N 2 2020-06-01 Fixed 5.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 252000.00000000 OU Notional Amount USD -81921.00000000 -0.02292686680 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -28614.29000000 USD 252000.00000000 USD -53306.71000000 N N N Wells Fargo Commercial Mortgage Trust N/A 95000JBB3 545000.00000000 PA USD 450998.07000000 0.126218828899 Long ABS-MBS CORP US N 2 2059-12-15 Variable 4.57000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 351000.00000000 OU Notional Amount USD -114133.50000000 -0.03194203626 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -41981.20000000 USD 351000.00000000 USD -72152.30000000 N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBL5 1065000.00000000 PA USD 1077716.10000000 0.301615623383 Long DBT CORP US N 2 2023-04-15 Fixed 1.57000000 N N N N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272AF5 516000.00000000 PA USD 525974.28000000 0.147202088143 Long DBT CORP US N 2 2023-05-30 Fixed 4.13000000 N N N N N N EOG RESOURCES INC XWTZDRYZPBUHIQBKDB46 26875PAU5 927000.00000000 PA USD 1032121.80000000 0.288855348931 Long DBT CORP US N 2 2030-04-15 Fixed 4.38000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RCN0 1610000.00000000 PA USD 1710077.60000000 0.478591830778 Long DBT CORP US N 2 2025-05-15 Fixed 3.40000000 N N N N N N JPMBB Commercial Mortgage Securities Trust 549300UOGMFS1M8XVM16 46644YAU4 1009156.00000000 PA USD 1092594.83000000 0.305779667535 Long ABS-MBS CORP US N 2 2048-08-15 Fixed 3.80000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 201000.00000000 OU Notional Amount USD -65325.00000000 -0.01828221792 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -26439.89000000 USD 201000.00000000 USD -38885.11000000 N N N PETRONAS CAPITAL LTD 549300G7YFX3540OYR85 716743AR0 332000.00000000 PA USD 364536.00000000 0.102021072976 Long DBT CORP MY N 2 2050-04-21 Fixed 4.55000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCR5 665000.00000000 PA USD 655636.80000000 0.183490162339 Long DBT CORP US N 2 2024-01-17 Fixed 5.10000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 131000.00000000 OU Notional Amount USD -42575.00000000 -0.01191527635 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -12641.51000000 USD 131000.00000000 USD -29933.49000000 N N N BELLEMEADE RE LT 254900KXN235YISGF415 07876LAD1 540000.00000000 PA USD 375873.53000000 0.105194057195 Long ABS-MBS CORP BM N 2 2029-10-25 Floating 3.34000000 N N N N N N HSBC Bank USA NA 1IE8VN30JCEQV1H4R804 4042Q1AE7 360000.00000000 PA USD 364212.00000000 0.101930396533 Long DBT CORP US N 2 2020-08-24 Fixed 4.88000000 N N N N N N Residential Accredit Loans, Inc. N/A 74923HAH4 612104.95000000 PA USD 59777.13000000 0.016729560158 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.83000000 N N N N N N Freddie Mac - STACR N/A 3137G0HW2 329539.00000000 PA USD 331195.07000000 0.092690094821 Long ABS-MBS USGSE US N 2 2028-07-25 Floating 6.04000000 N N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 000000000 815000.00000000 PA 852284.08000000 0.238524964124 Long DBT CORP US N 2 2025-05-17 Fixed 0.88000000 N N N N N N L Street Securities 549300T6W1U156OOG754 949771AG4 100082.86000000 PA USD 77869.43000000 0.021792971889 Long ABS-MBS CORP US N 2 2025-11-25 Floating 5.99000000 N N N N N N Freddie Mac - STACR 5493008J93RJW7PJFN93 35564WAH6 895000.00000000 PA USD 712093.68000000 0.199290498862 Long ABS-MBS USGSE US N 2 2048-11-25 Floating 2.64000000 N N N N N N Freddie Mac N/A 3128MJBE9 155535.56000000 PA USD 179228.40000000 0.050159857121 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.50000000 N N N N N N Voya Financial Inc 549300T065Z4KJ686G75 45685EAG1 180000.00000000 PA USD 177706.80000000 0.049734013680 Long DBT CORP US N 2 2053-05-15 Variable 5.65000000 N N N N N N ICE Futures Europe - Financial Products Division N/A 000000000 1.00000000 NC 3474.99000000 0.000972530033 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Long United Kingdom Gilt G M0 Comdty 2020-06-26 134940.98000000 GBP 3474.99000000 N N N Morgan Stanley Capital I Trust N/A 617458AS3 100000.00000000 PA USD 99923.22000000 0.027965068250 Long ABS-MBS CORP US N 2 2047-09-15 Variable 5.69000000 N N N N N N Ford Credit Floorplan Master Owner Trust 5493001DTG5N7T8BG747 34528QFJ8 710000.00000000 PA USD 709622.28000000 0.198598839108 Long ABS-O CORP US N 2 2022-05-15 Fixed 2.07000000 N N N N N N Hertz Vehicle Financing LLC 549300FPK70TCB78NG05 42806DCH0 500000.00000000 PA USD 454897.65000000 0.127310187052 Long ABS-O CORP US N 2 2025-05-25 Fixed 3.42000000 N N N N N N BANCO SANTANDER MEXICO SCRYQ25DTVRHYYMM6P89 05969BAD5 443000.00000000 PA USD 454628.75000000 0.127234931202 Long DBT CORP MX N 2 2025-04-17 Fixed 5.38000000 N N N N N N COMMONWEALTH BANK AUST MSFSBD3QN1GSN7Q6C537 2027A0HR3 505000.00000000 PA USD 541587.25000000 0.151571620787 Long DBT CORP AU N 2 2025-12-09 Fixed 4.50000000 N N N N Y Commonwealth Bank of Australia USD XXXX N N N BROADCOM CRP / CAYMN FI N/A 11134LAF6 146000.00000000 PA USD 152609.42000000 0.042710121290 Long DBT CORP US N 2 2024-01-15 Fixed 3.63000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174467Y9 1030000.00000000 PA USD 1132742.50000000 0.317015617814 Long DBT CORP US N 2 2026-09-08 Fixed 4.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9ND1 725042.56000000 PA USD 786882.53000000 0.220221322494 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N Dupont De Nemours Inc 5493004JF0SDFLM8GD76 26078JAB6 485000.00000000 PA USD 525031.90000000 0.146938348433 Long DBT CORP US N 2 2023-11-15 Fixed 4.21000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 530000.00000000 OU Notional Amount USD -172250.00000000 -0.04820684327 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -56631.56000000 USD 530000.00000000 USD -115618.44000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 20000.00000000 OU Notional Amount USD -6500.00000000 -0.00181912616 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -3012.85000000 USD 20000.00000000 USD -3487.15000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828WG1 2419700.00000000 PA USD 2469606.31000000 0.691157761030 Long DBT UST US N 2 2021-04-30 Fixed 2.25000000 N N N N N N ZIMMER BIOMET HOLDINGS 2P2YLDVPES3BXQ1FRB91 98956PAS1 208000.00000000 PA USD 208711.36000000 0.058411122329 Long DBT CORP US N 2 2026-01-15 Fixed 3.05000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 35.00000000 NC USD -38708.05000000 -0.01083305021 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Ultra Long Bond WNM0 Comdty 2020-06-19 7906051.80000000 USD -38708.05000000 N N N Freddie Mac - STACR 549300MHCI0CUXMJQS62 35564PAC2 740000.00000000 PA USD 291767.20000000 0.081655591774 Long ABS-MBS USGSE US N 2 2048-01-25 Floating 8.84000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WQKW1 157193.77000000 PA USD 172304.85000000 0.048222193901 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.50000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 291000.00000000 OU Notional Amount USD -94575.00000000 -0.02646828564 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -42818.56000000 USD 291000.00000000 USD -51756.44000000 N N N Hertz Vehicle Financing LLC N/A 42806DBV0 1035000.00000000 PA USD 962643.77000000 0.269410840929 Long ABS-O CORP US N 2 2022-06-27 Fixed 3.65000000 N N N N N N J.P. Morgan Alternative Loan Trust N/A 46628UAF5 596551.63000000 PA USD 465893.22000000 0.130387468444 Long ABS-MBS CORP US N 2 2036-07-25 Variable 4.54000000 N N N N N N Spectrum Brands Inc 549300VU3EH2E73C1Q04 84762LAU9 512000.00000000 PA USD 510448.64000000 0.142856996159 Long DBT CORP US N 2 2025-07-15 Fixed 5.75000000 N N N N N N BRF SA 254900MTXR9LUVQFU480 000000000 203000.00000000 PA USD 190946.88000000 0.053439456127 Long DBT CORP BR N 2 2023-05-22 Fixed 3.95000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 181000.00000000 OU Notional Amount USD -58825.00000000 -0.01646309176 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -20526.63000000 USD 181000.00000000 USD -38298.37000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 26000.00000000 OU Notional Amount USD -8450.00000000 -0.00236486400 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -2311.02000000 USD 26000.00000000 USD -6138.98000000 N N N TJX COS INC V167QI9I69W364E2DY52 872540AR0 213000.00000000 PA USD 229748.19000000 0.064298606607 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N Transocean Poseidon Ltd N/A 89383JAA6 225000.00000000 PA USD 175016.25000000 0.048981021389 Long DBT CORP KY N 2 2027-02-01 Fixed 6.88000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 224000.00000000 OU Notional Amount USD -72800.00000000 -0.02037421300 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -36312.83000000 USD 224000.00000000 USD -36487.17000000 N N N PANTHER BF AGGREGATOR 2 N/A 000000000 130000.00000000 PA 131844.29000000 0.036898676486 Long DBT CORP XX N 2 2026-05-15 Fixed 4.38000000 N N N N N N Freddie Mac - STACR 5493007ZK0X40BI7UF30 35565KAH1 690000.00000000 PA USD 510926.99000000 0.142990869851 Long ABS-MBS USGSE US N 2 2050-02-25 Floating 2.34000000 N N N N N N Freddie Mac N/A 3132Y3ZC1 572047.59000000 PA USD 632584.13000000 0.177038513865 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 5.00000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638DE9 202000.00000000 PA USD 205030.00000000 0.057380836439 Long DBT NUSS PE N 2 2026-01-23 Fixed 2.39000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAH9 890000.00000000 PA USD 937570.50000000 0.262393696098 Long DBT CORP US N 2 2025-03-01 Variable 3.22000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H36P6 326925.25000000 PA USD 351814.17000000 0.098460670857 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.50000000 N N N N N N SOUTHWEST AIRLINES CO UDTZ87G0STFETI6HGH41 844741BH0 324000.00000000 PA USD 321673.68000000 0.090025385645 Long DBT CORP US N 2 2023-05-04 Fixed 4.75000000 N N N N N N Fannie Mae - CAS N/A 30711XSW5 750000.00000000 PA USD 481067.93000000 0.134634347205 Long ABS-MBS USGSE US N 2 2030-02-25 Floating 4.94000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AM8 396000.00000000 PA USD 416037.60000000 0.116434597270 Long DBT CORP US N 2 2025-03-01 Fixed 5.63000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46645JAD4 1050000.00000000 PA USD 1138620.63000000 0.318660703978 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 3.77000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RN0 800000.00000000 PA USD 1079625.00000000 0.302149858757 Long DBT UST US N 2 2045-08-15 Fixed 2.88000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXJ8 529000.00000000 PA USD 564077.99000000 0.157866004405 Long DBT CORP US N 2 2025-04-01 Fixed 3.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 219000.00000000 OU Notional Amount USD -71175.00000000 -0.01991943146 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -14400.46000000 USD 219000.00000000 USD -56774.54000000 N N N Exeter Automobile Receivables Trust N/A 30166LAD2 350000.00000000 PA USD 358909.53000000 0.100446417780 Long ABS-O CORP US N 2 2023-07-17 Fixed 6.40000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RCY8 920000.00000000 PA USD 876112.96000000 0.245193847048 Long ABS-O CORP US N 2 2024-09-20 Fixed 3.70000000 N N N N N N Husky Energy Inc N/A 448055AP8 874000.00000000 PA USD 709985.16000000 0.198700396724 Long DBT CORP CA N 2 2029-04-15 Fixed 4.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GV67 289816.45000000 PA USD 332255.78000000 0.092986951023 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N ALFA S.A. 549300ZCGJ6T8YDJ4M34 015398AB6 530000.00000000 PA USD 526992.25000000 0.147486982890 Long DBT CORP MX N 2 2024-03-25 Fixed 5.25000000 N N N N N N CGRBS Commercial Mortgage Trust N/A 125354AA8 1305000.00000000 PA USD 1366461.06000000 0.382425394258 Long ABS-MBS CORP US N 2 2035-03-13 Fixed 3.37000000 N N N N N N Flagship Credit Auto Trust N/A 33843NAJ0 350000.00000000 PA USD 364853.20000000 0.102109846332 Long ABS-O CORP US N 2 2023-11-15 Fixed 8.56000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AS5 482000.00000000 PA USD 494146.40000000 0.138294560579 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 172.00000000 NC USD -3759.19000000 -0.00105206782 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 5 Year US Treasury Note FVM0 Comdty 2020-06-30 21587071.69000000 USD -3759.19000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 3165000.00000000 OU Notional Amount USD 152888.04000000 0.042788097433 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.HY.S34.V1 2I65BRTL4 Y buy protection 2025-06-20 109430.78000000 USD 0.00000000 USD 3165000.00000000 USD 43457.26000000 N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 891906AE9 309000.00000000 PA USD 328590.60000000 0.091961193357 Long DBT CORP US N 2 2023-06-01 Fixed 4.00000000 N N N N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 05565EBK0 450000.00000000 PA USD 477328.50000000 0.133587809522 Long DBT CORP US N 2 2025-04-09 Fixed 3.90000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAE8 132000.00000000 PA USD 133438.80000000 0.037344924925 Long DBT CORP XX N 2 2025-05-01 Fixed 2.70000000 N N N N N N Fannie Mae - CAS N/A 30711XNX8 462797.72000000 PA USD 428501.54000000 0.119922824858 Long ABS-MBS USGSE US N 2 2030-01-25 Floating 2.69000000 N N N N N N Freddie Mac - STACR 549300KB1O80CETXGJ21 35564TBD1 600000.00000000 PA USD 348642.00000000 0.097572889713 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 3.74000000 N N N N N N ANALOG DEVICES INC GYVOE5EZ4GDAVTU4CQ61 032654AS4 58000.00000000 PA USD 60600.72000000 0.016960054638 Long DBT CORP US N 2 2025-04-01 Fixed 2.95000000 N N N N N N Starwood Retail Property Trust 5493007115G809OI4R97 85571XAA5 1045175.81000000 PA USD 976353.80000000 0.273247806198 Long ABS-MBS CORP US N 2 2027-11-15 Floating 2.28000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCC4 392000.00000000 PA USD 270578.00000000 0.075725464381 Long DBT CORP MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N MARATHON PETROLEUM CORP 3BNYRYQHD39K4LCKQF12 56585ABG6 739000.00000000 PA USD 740330.20000000 0.207192928436 Long DBT CORP US N 2 2023-05-01 Fixed 4.50000000 N N N N N N Odebrecht Finance Ltd N/A 675758AJ5 394000.00000000 PA USD 19749.25000000 0.005527134975 Long DBT CORP KY N 2 2042-06-26 Fixed 7.12500000 Y N N N N N Cooperatieve Rabobank UA DG3RU1DBUFHT4ZF9WN62 21684AAC0 1373000.00000000 PA USD 1479242.74000000 0.413989102659 Long DBT CORP NL N 2 2025-08-04 Fixed 4.38000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 857000.00000000 OU Notional Amount USD -278596.42000000 -0.07796954401 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -91111.64000000 USD 857000.00000000 USD -187484.78000000 N N N Standard Chartered PLC U4LOSYZ7YG4W3S5F2G91 000000000 363000.00000000 PA USD 364277.76000000 0.101948800493 Long DBT CORP GB N 2 2022-04-02 Variable 7.50000000 N N N N Y Standard Chartered PLC USD XXXX N N N Standard Chartered PLC U4LOSYZ7YG4W3S5F2G91 853254AL4 350000.00000000 PA USD 368956.00000000 0.103258078765 Long DBT CORP GB N 2 2024-01-26 Fixed 5.20000000 N N N N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAD4 1049000.00000000 PA USD 1099089.75000000 0.307597371980 Long DBT CORP NO N 2 2025-04-06 Fixed 2.88000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2N2 770000.00000000 PA USD 774997.30000000 0.216895055905 Long DBT CORP US N 2 2026-04-30 Variable 2.19000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 297000.00000000 OU Notional Amount USD -96525.00000000 -0.02701402349 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -45222.44000000 USD 297000.00000000 USD -51302.56000000 N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 36164Q6M5 556000.00000000 PA USD 572763.40000000 0.160296751567 Long DBT CORP IE N 2 2025-11-15 Fixed 3.37000000 N N N N N N PMT Credit Risk Transfer Trust N/A 73021CAA3 524883.42000000 PA USD 510464.30000000 0.142861378854 Long ABS-MBS CORP US N 2 2024-03-27 Floating 2.44000000 N N N N N N Fannie Mae - CAS N/A 30711XDS0 375496.00000000 PA USD 366633.06000000 0.102607967854 Long ABS-MBS USGSE US N 2 2029-04-25 Floating 4.74000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967JZ5 575000.00000000 PA USD 533548.25000000 0.149321781523 Long DBT CORP US N 2 2020-08-15 Variable 5.95000000 N N N N N N Marathon Oil Corp 1FRVQX2CRLGC1XLP5727 565849AB2 650000.00000000 PA USD 518394.50000000 0.145080768744 Long DBT CORP US N 2 2032-03-15 Fixed 6.80000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46644UBA5 425000.00000000 PA USD 460238.20000000 0.128804823086 Long ABS-MBS CORP US N 2 2048-07-15 Fixed 3.82000000 N N N N N N Marlette Funding Trust 549300ICATMFOKQ20083 57109FAA4 66127.49000000 PA USD 65914.96000000 0.018447327409 Long ABS-O CORP US N 2 2028-09-15 Fixed 3.20000000 N N N N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 084659AW1 239000.00000000 PA USD 305833.96000000 0.085592393485 Long DBT CORP US N 2 2050-10-15 Fixed 4.25000000 N N N N N N CommScope Inc 549300Z6K4JXMFE8QY54 20338QAD5 129000.00000000 PA USD 129270.90000000 0.036178473244 Long DBT CORP US N 2 2026-03-01 Fixed 6.00000000 N N N N N N DIAMOND SPORTS GR/DIAMON N/A 25277LAA4 226000.00000000 PA USD 171816.50000000 0.048085521553 Long DBT CORP US N 2 2026-08-15 Fixed 5.38000000 N N N N N N Fannie Mae Connecticut Avenue Securities N/A 30711XJX3 735000.00000000 PA USD 695372.48000000 0.194610810805 Long ABS-MBS USGSE US N 2 2029-10-25 Floating 3.49000000 N N N N N N TransDigm Inc 88Q84GB3X55CF5OC7582 893647BE6 362000.00000000 PA USD 355777.22000000 0.099569792077 Long DBT CORP US N 2 2026-03-15 Fixed 6.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 61000.00000000 OU Notional Amount USD -19825.00000000 -0.00554833479 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -7720.63000000 USD 61000.00000000 USD -12104.37000000 N N N 2020-05-18 AB BOND FUND, INC. Joseph Mantineo Joseph Mantineo Treasurer and Chief Financial Officer