NPORT-P false 0000003794 XXXXXXXX S000010305 C000028495 C000028493 C000028497 C000143890 C000028499 C000028496 C000028498 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 2021-10-31 2021-10-31 N 342018582.07 19306129.62 322712452.45 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 540944.06000000 0.00000000 0.00000000 2333871.06000000 CAD SEK USD N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 1.00000000 NC -653.55000000 -0.00020251775 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4032353.13000000 MYR 969828.55000000 USD 2021-12-22 -653.55000000 N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCL5 483000.00000000 PA USD 481893.93000000 0.149326103266 Long DBT CORP US N 2 2033-06-01 Fixed 4.50000000 N N N N N N Elevation CLO Ltd N/A 28621YAG0 1000000.00000000 PA USD 1002431.00000000 0.310626687129 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 3.97400000 N N N N N N EXPEDIA GROUP INC N/A 30212PAS4 33000.00000000 PA USD 37695.24000000 0.011680751614 Long DBT CORP US N 2 2025-05-01 Fixed 6.25000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0PU7 224881.82000000 PA USD 229681.38000000 0.071172146676 Long ABS-MBS USGSE US N 2 2029-12-25 Floating 2.73900000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828R36 6104900.00000000 PA USD 6239398.58000000 1.933423557917 Long DBT UST US N 2 2026-05-15 Fixed 1.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140K3BF8 829094.84000000 PA USD 888493.60000000 0.275320519321 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 411000.00000000 PA USD 403392.39000000 0.125000565344 Long DBT CORP US N 2 2036-11-15 Fixed 3.18700000 N N N N N N Flatiron CLO Ltd N/A 33883PAJ6 700000.00000000 PA USD 692170.50000000 0.214485215784 Long ABS-CBDO CORP KY N 2 2034-07-19 Floating 3.05100000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 46000.00000000 OU Notional Amount USD -12761.17000000 -0.00395434694 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 -5040.78000000 USD 46000.00000000 USD -7720.39000000 N N N CANADIAN GOVERNMENT RRB 4BFD7AQU0A75QLAHK410 135087ZH0 1855153.92000000 PA 1877219.10000000 0.581700236773 Long DBT NUSS CA N 2 2044-12-01 Fixed 1.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 5000.00000000 OU Notional Amount USD -1387.08000000 -0.00042981917 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 -770.89000000 USD 5000.00000000 USD -616.19000000 N N N LB-UBS Commercial Mortgage Trust N/A 50179MAH4 76827.05000000 PA USD 34696.33000000 0.010751469221 Long ABS-MBS CORP US N 2 2039-09-15 Variable 5.45200000 N N N N N N Nelnet Student Loan Trust N/A 64034QAC2 220000.00000000 PA USD 221697.65000000 0.068698201236 Long ABS-O CORP US N 2 2062-04-20 Fixed 2.68000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 48127FAA1 161000.00000000 PA USD 161444.36000000 0.050027310311 Long DBT CORP US N 2 2022-01-01 Variable 3.45100000 N N N N N N MERCADOLIBRE INC 549300DKPDN9M5S8GB14 58733RAE2 200000.00000000 PA USD 194125.00000000 0.060154170849 Long DBT CORP US N 2 2026-01-14 Fixed 2.37500000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XUW2 305000.00000000 PA USD 318789.81000000 0.098784477506 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 4.08900000 N N N N N N L Street Securities N/A 46643HAB4 27962.57000000 PA USD 27081.53000000 0.008391845370 Long ABS-MBS CORP US N 2 2024-11-25 Floating 4.33900000 N N N N N N VORNADO REALTY LP 549300BMOJ05INE4YK86 929043AL1 709000.00000000 PA USD 727171.67000000 0.225331146808 Long DBT US N 2 2031-06-01 Fixed 3.40000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132Y3ZC1 264349.74000000 PA USD 294617.55000000 0.091294137478 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 5.00000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XSW5 750000.00000000 PA USD 785608.95000000 0.243439304568 Long ABS-MBS USGSE US N 2 2030-02-25 Floating 4.53900000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDC3 15000.00000000 PA USD 15648.75000000 0.004849131132 Long DBT CORP MX N 2 2030-01-23 Fixed 6.84000000 N N N N N N BELLEMEADE RE LT 254900I4ZKD8IMM1O953 07877BAG5 325000.00000000 PA USD 328802.40000000 0.101887112661 Long ABS-MBS CORP BM N 2 2029-04-25 Floating 3.18900000 N N N N N N Ballyrock Ltd N/A 05876KAG0 400000.00000000 PA USD 400036.00000000 0.123960509414 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 3.03500000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17321RAM8 565000.00000000 PA USD 533146.83000000 0.165208012877 Long ABS-MBS CORP US N 2 2046-11-10 Variable 5.10800000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2A0 191000.00000000 PA USD 205859.80000000 0.063790473047 Long DBT CORP US N 2 2028-05-22 Fixed 3.58400000 N N N N N N VOLCAN CIA MINERA SAA-CM 549300XKJ91C4SZLG750 92863UAB2 160000.00000000 PA USD 155830.00000000 0.048287569573 Long DBT CORP PE N 2 2026-02-11 Fixed 4.37500000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DS1 375000.00000000 PA USD 351867.19000000 0.109034277211 Long DBT NUSS CO N 2 2031-04-15 Fixed 3.12500000 N N N N N N United Wholsale Mortgage LLC N/A 90354XAC4 689116.74000000 PA USD 696142.29000000 0.215715967795 Long ABS-MBS CORP US N 2 2051-08-25 Variable 2.50000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAL5 133000.00000000 PA USD 130488.96000000 0.040435055731 Long DBT CORP US N 2 2026-09-20 Fixed 1.95000000 N N N N N N Discover Bank X05BVSK68TQ7YTOSNR22 25466AAN1 250000.00000000 PA USD 264327.50000000 0.081908057155 Long DBT CORP US N 2 2028-08-09 Fixed 4.68200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31346YA29 252076.06000000 PA USD 269899.20000000 0.083634578694 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.50000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 000000000 765000.00000000 PA USD 814304.25000000 0.252331214311 Long DBT CORP CH N 2 2023-07-17 Fixed 7.50000000 N N N N Y Credit Suisse Group AG USD XXXX N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380B6Y6 1071574.76000000 PA USD 226482.79000000 0.070180988765 Long ABS-MBS USGA US N 2 2047-04-20 Floating 6.06400000 N N N N N N WEIBO CORP 549300Q9ID4640FE0422 948596AE1 1312000.00000000 PA USD 1296256.00000000 0.401675234456 Long DBT CORP KY N 2 2030-07-08 Fixed 3.37500000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17324KAP3 340000.00000000 PA USD 368027.73000000 0.114041998443 Long ABS-MBS CORP US N 2 2048-11-10 Fixed 3.81800000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAG6 6131700.00000000 PA USD 6131700.00000000 1.900050634380 Long DBT UST US N 2 2022-08-31 Fixed 0.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JXTG3 681906.44000000 PA USD 728629.24000000 0.225782808958 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.50000000 N N N N N N BELLEMEADE RE LT 254900SCWI9IDKK5LV64 07877GAB5 359024.00000000 PA USD 359927.52000000 0.111531958952 Long ABS-MBS CORP BM N 2 2029-07-25 Floating 1.68900000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TA6 395700.00000000 PA USD 380242.97000000 0.117827176210 Long DBT UST US N 2 2041-08-15 Fixed 1.75000000 N N N N N N PARKER-HANNIFIN CORP 5493002CONDB4N2HKI23 701094AN4 255000.00000000 PA USD 273314.10000000 0.084692765316 Long DBT CORP US N 2 2029-06-14 Fixed 3.25000000 N N N N N N COMM Mortgage Trust N/A 12593GAF9 685000.00000000 PA USD 737717.05000000 0.228598879404 Long ABS-MBS CORP US N 2 2050-07-10 Fixed 3.90200000 N N N N N N YAMANA GOLD INC 54930002VY22NXG01418 98462YAE0 619000.00000000 PA USD 603754.03000000 0.187087304941 Long DBT CORP CA N 2 2031-08-15 Fixed 2.63000000 N N N N N N BELLEMEADE RE LT 2549009SOTYJD2MZFC61 07877TAC5 325000.00000000 PA USD 325875.97000000 0.100980289891 Long ABS-MBS CORP BM N 2 2028-10-25 Floating 2.83900000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46645JAD4 1050000.00000000 PA USD 1140903.75000000 0.353535706892 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 3.77000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XGQ1 750000.00000000 PA USD 825289.80000000 0.255735343874 Long ABS-MBS USGSE US N 2 2029-09-25 Floating 5.58900000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280AT6 547000.00000000 PA USD 595890.86000000 0.184650717837 Long DBT CORP GB N 2 2025-03-30 Fixed 6.37500000 N N N N Y HSBC Holdings PLC USD XXXX N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -310629.67000000 -0.09625586730 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9822540.32000000 AUD 7078623.50000000 USD 2021-11-09 -310629.67000000 N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 03846JAB6 765000.00000000 PA USD 687543.75000000 0.213051509100 Long DBT NUSS EG N 2 2031-02-16 Fixed 5.87500000 N N N N N N Flagship Credit Auto Trust N/A 33843FAJ7 1000000.00000000 PA USD 1016699.20000000 0.315048022560 Long ABS-O CORP US N 2 2027-06-15 Fixed 3.52000000 N N N N N N Freddie Mac - STACR N/A 35564KKY4 828004.00000000 PA USD 829339.74000000 0.256990312491 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 1.54800000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XWW0 750000.00000000 PA USD 783635.40000000 0.242827753949 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 4.53900000 N N N N N N Eagle Re Ltd 254900L82OLW9QTLJ788 269822AC6 325000.00000000 PA USD 329279.89000000 0.102035074103 Long ABS-MBS CORP US N 2 2029-04-25 Floating 3.38900000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABT1 353000.00000000 PA USD 351506.81000000 0.108922605040 Long DBT CORP US N 2 2031-02-15 Fixed 2.87500000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEF1 763000.00000000 PA USD 775064.94000000 0.240171996498 Long DBT NUSS DO N 2 2032-09-23 Fixed 4.87500000 N N N N N N Impac Secured Assets Corp. N/A 45254TSS4 185474.54000000 PA USD 168085.37000000 0.052085182559 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.94900000 N N N N N N University of California N/A 91412HKE2 730000.00000000 PA USD 745638.79000000 0.231053615793 Long DBT MUN US N 2 2051-05-15 Fixed 3.07100000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBJ1 750000.00000000 PA USD 784050.00000000 0.242956227454 Long DBT CORP US N 2 2030-05-06 Fixed 3.40000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCA1 630000.00000000 PA USD 681515.10000000 0.211183390918 Long DBT CORP US N 2 2051-03-25 Fixed 3.95000000 N N N N N N JPMBB Commercial Mortgage Securities Trust 549300UOGMFS1M8XVM16 46644YAU4 1004985.40000000 PA USD 1077906.84000000 0.334014641150 Long ABS-MBS CORP US N 2 2048-08-15 Fixed 3.80100000 N N N N N N BX Trust N/A 12433WAA9 708541.68000000 PA USD 705373.01000000 0.218576322247 Long ABS-MBS CORP US N 2 2037-09-15 Floating 1.17800000 N N N N N N GSF 2021 1 ISSUER LLC N/A 36261CAC5 204000.00000000 PA USD 208183.33000000 0.064510473153 Long ABS-O CORP US N 3 2026-08-15 Variable 2.43500000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05367AAH6 153000.00000000 PA USD 167303.97000000 0.051843047496 Long DBT CORP US N 2 2025-10-01 Fixed 4.87500000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYJ7 211000.00000000 PA USD 207419.33000000 0.064273729887 Long DBT CORP US N 2 2032-07-21 Fixed 2.38300000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153AY8 364000.00000000 PA USD 407498.00000000 0.126272784612 Long DBT CORP LR N 2 2023-06-01 Fixed 10.87500000 N N N N N N Mello Mortgage Capital Acceptance Trust N/A 58549XAC7 529854.58000000 PA USD 534925.29000000 0.165759110297 Long ABS-MBS CORP US N 2 2051-08-25 Variable 2.50000000 N N N N N N BELLEMEADE RE LT 254900I4ZKD8IMM1O953 07877BAE0 487158.00000000 PA USD 488371.32000000 0.151333274031 Long ABS-MBS CORP BM N 2 2029-04-25 Floating 2.08900000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYU2 268000.00000000 PA USD 269176.52000000 0.083410639396 Long DBT CORP US N 2 2026-11-10 Fixed 4.12500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796H44 2745000.00000000 PA USD 2744013.69000000 0.850296810416 Long STIV UST US N 2 2022-05-19 None 0.00000000 N N N N N N Countrywide Alternative Loan Trust N/A 02147TAP1 155365.86000000 PA USD 112594.14000000 0.034889927285 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.25000000 N N N N N N CSAIL Commercial Mortgage Trust 54930025J96YEH8FQE77 12635RAX6 1450000.00000000 PA USD 1570830.10000000 0.486758440238 Long ABS-MBS CORP US N 2 2048-11-15 Fixed 3.80800000 N N N N N N AGL CLO 1 Ltd. 54930005OE1IFBESDA27 00120BAJ9 500000.00000000 PA USD 498369.00000000 0.154431288974 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 2.98000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417EJG7 304566.12000000 PA USD 329741.10000000 0.102177990807 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.50000000 N N N N N N AXALTA COATING SYSTEMS 549300G80QONCHILSF69 05453GAC9 557000.00000000 PA USD 529946.51000000 0.164216318885 Long DBT CORP US N 2 2029-02-15 Fixed 3.37500000 N N N N N N CGRBS Commercial Mortgage Trust N/A 125354AA8 1305000.00000000 PA USD 1337924.11000000 0.414587072746 Long ABS-MBS CORP US N 2 2035-03-13 Fixed 3.36900000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 25000.00000000 OU Notional Amount USD -6935.42000000 -0.00214910207 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 -3173.67000000 USD 25000.00000000 USD -3761.75000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBG0 165000.00000000 PA USD 186700.80000000 0.057853608865 Long DBT CORP US N 2 2026-03-01 Fixed 5.25000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 124000.00000000 PA USD 122131.32000000 0.037845245534 Long DBT CORP US N 2 2035-11-15 Fixed 3.13700000 N N N N N N Triangle Re 2019-1 Ltd. N/A 89600TAB9 661305.99000000 PA USD 661448.96000000 0.204965428194 Long ABS-MBS CORP BM N 2 2029-11-26 Floating 2.98900000 N N N N N N CENOVUS ENERGY INC 549300NKHFE6ZRF37I48 448055AP8 1193000.00000000 PA USD 1336446.32000000 0.414129144956 Long DBT CORP CA N 2 2029-04-15 Fixed 4.40000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 105025.81000000 0.032544703249 N/A DFE RU N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 3521144.79000000 USD 259476680.86000000 RUB 2021-12-15 105025.81000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 181000.00000000 OU Notional Amount USD -50212.42000000 -0.01555949255 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 -19809.54000000 USD 181000.00000000 USD -30402.88000000 N N N Wells Fargo Commercial Mortgage Trust 549300CFP9NBBMZH1008 95000KBH7 600000.00000000 PA USD 635567.88000000 0.196945570328 Long ABS-MBS CORP US N 2 2049-11-15 Variable 4.29700000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XEJ9 378402.19000000 PA USD 406482.62000000 0.125958145374 Long ABS-MBS USGSE US N 2 2029-05-25 Floating 9.58900000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJT7 626000.00000000 PA USD 634413.44000000 0.196587840098 Long DBT CORP US N 2 2032-04-22 Fixed 2.68700000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HHA1 328000.00000000 PA USD 329177.52000000 0.102003352365 Long DBT CORP US N 2 2022-01-30 Variable 3.59900000 N N N N N N Alliance Bernstein 5493006YWHO7MNK2U579 018616748 5229283.23000000 NS USD 5229283.23000000 1.620415695241 Long STIV RF US N 1 N N N Neuberger Berman CLO Ltd 549300LCOEVXWN75LP18 64134AAG7 350000.00000000 PA USD 351039.15000000 0.108777689653 Long ABS-CBDO CORP KY N 2 2035-07-17 Floating 3.21100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XXD22 184060.22000000 PA USD 200312.61000000 0.062071546505 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.50000000 N N N N N N ENA MASTER TRUST 549300CBCHB6Q73VG753 29249BAA3 457000.00000000 PA USD 461941.31000000 0.143143317369 Long DBT CORP PA N 2 2048-05-19 Fixed 4.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 20000.00000000 OU Notional Amount USD -5548.33000000 -0.00171927979 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 -2907.60000000 USD 20000.00000000 USD -2640.73000000 N N N AMERICAN WATER CAPITAL C 5IDHQUFVC8Q2KIBBFF06 03040WAU9 151000.00000000 PA USD 165088.30000000 0.051156470333 Long DBT CORP US N 2 2029-06-01 Fixed 3.45000000 N N N N N N GS Mortgage Securities Trust N/A 36256QAA5 724575.00000000 PA USD 725751.93000000 0.224891207169 Long ABS-MBS CORP US N 2 2038-06-15 Floating 1.29000000 N N N N N N BX Trust N/A 05608BAL4 141649.00000000 PA USD 140938.72000000 0.043673158234 Long ABS-MBS CORP US N 2 2034-04-15 Floating 1.99000000 N N N N N N NATIONWIDE MUTUAL INSURA Z7LVXXWM8HZPKF5T2355 638671AK3 246000.00000000 PA USD 426876.42000000 0.132277641212 Long DBT CORP US N 2 2039-08-15 Fixed 9.37500000 N N N N N N MetLife Capital Trust IV N/A 591560AA5 699000.00000000 PA USD 972413.85000000 0.301325171253 Long DBT CORP US N 2 2037-12-15 Fixed 7.87500000 N N N N N N Neuberger Berman CLO Ltd 549300LGCRX4YI1JNS93 64133WAG0 698387.00000000 PA USD 690598.59000000 0.213998122711 Long ABS-CBDO CORP KY N 2 2035-07-16 Floating 2.92200000 N N N N N N Asset Backed Funding Certificates N/A 04542BCD2 13935.43000000 PA USD 13907.04000000 0.004309421559 Long ABS-MBS CORP US N 2 2032-12-25 Floating 1.21400000 N N N N N N Octane Receivables Trust N/A 67578AAC2 541000.00000000 PA USD 540301.51000000 0.167425057786 Long ABS-O CORP US N 2 2029-05-21 Fixed 2.53000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBG3 1138000.00000000 PA USD 1258923.88000000 0.390107004065 Long DBT CORP US N 2 2026-01-15 Fixed 4.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796H77 2240000.00000000 PA USD 2239914.45000000 0.694089872576 Long STIV UST US N 2 2021-11-26 None 0.00000000 N N N N N N Upstart Securitization Trust N/A 91679LAB8 480000.00000000 PA USD 475611.65000000 0.147379391898 Long ABS-O CORP US N 2 2031-07-20 Fixed 1.66000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAD0 298000.00000000 PA USD 318729.63000000 0.098765829325 Long DBT CORP XX N 2 2030-05-01 Fixed 3.40000000 N N N N N N BELLEMEADE RE LT N/A 07876MAC1 398004.00000000 PA USD 411937.88000000 0.127648585256 Long ABS-MBS CORP BM N 2 2031-03-25 Floating 2.99900000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAP4 685000.00000000 PA USD 663778.70000000 0.205687352613 Long DBT CORP CA N 2 2029-02-15 Fixed 3.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAQ4 1018000.00000000 PA USD 1119138.30000000 0.346791173226 Long DBT CORP US N 2 2030-11-15 Fixed 4.15000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 4000.00000000 OU Notional Amount USD -1109.67000000 -0.00034385719 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 -437.96000000 USD 4000.00000000 USD -671.71000000 N N N ORBIA ADVANCE CORP SAB 549300MVHZ20SBIOEQ79 59284BAF5 350000.00000000 PA USD 377628.13000000 0.117016906888 Long DBT CORP MX N 2 2027-10-04 Fixed 4.00000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AF4 120000.00000000 PA USD 120142.80000000 0.037229056111 Long DBT CORP US N 2 2021-11-15 Fixed 6.75000000 N N N N N N ONEOK Inc 2T3D6M0JSY48PSZI1Q41 682680AW3 425000.00000000 PA USD 473020.75000000 0.146576540945 Long DBT CORP US N 2 2029-03-15 Fixed 4.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ATV27 876803.62000000 PA USD 167974.00000000 0.052050671960 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 5.91100000 N N N N N N COMM Mortgage Trust N/A 12593PAW2 1045000.00000000 PA USD 1128679.94000000 0.349747873511 Long ABS-MBS CORP US N 2 2048-08-10 Fixed 3.75900000 N N N N N N INDONESIA ASAHAN ALUMINI 2549008P48EB9SN2OI80 74445PAE2 407000.00000000 PA USD 436100.50000000 0.135135938105 Long DBT CORP ID N 2 2025-05-15 Fixed 4.75000000 N N N N N N ALIBABA GROUP HOLDING 5493001NTNQJDH60PM02 01609WAX0 1149000.00000000 PA USD 1101592.26000000 0.341354122419 Long DBT CORP KY N 2 2031-02-09 Fixed 2.12500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 433000.00000000 OU Notional Amount USD 36292.62000000 0.011246117007 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Markit CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-17 73928.81000000 USD 0.00000000 USD 433000.00000000 USD -37636.19000000 N N N Fannie Mae - CAS N/A 20753VBE7 1000000.00000000 PA USD 1041450.30000000 0.322717729698 Long ABS-MBS USGSE US N 2 2040-02-25 Floating 3.73900000 N N N N N N IHS Markit Ltd 549300HLPTRASHS0E726 44962LAF4 32000.00000000 PA USD 37386.88000000 0.011585199057 Long DBT CORP US N 2 2028-08-01 Fixed 4.75000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAA9 136000.00000000 PA USD 141862.96000000 0.043959555611 Long DBT CORP US N 2 2027-11-01 Fixed 3.50000000 N N N N N N CSAIL Commercial Mortgage Trust 549300ZAGI6FKGY8O078 12635FAT1 573286.00000000 PA USD 615189.31000000 0.190630793862 Long ABS-MBS CORP US N 2 2048-08-15 Fixed 3.71800000 N N N N N N Home Re Ltd N/A 43731WAB1 508911.99000000 PA USD 510173.58000000 0.158089214136 Long ABS-MBS CORP BM N 2 2030-10-25 Floating 3.33900000 N N N N N N Neighborly Issuer LLC N/A 64016NAA5 302772.17000000 PA USD 310425.34000000 0.096192550874 Long ABS-O CORP US N 2 2051-04-30 Fixed 3.58400000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST N/A 92939KAG3 945000.00000000 PA USD 992190.84000000 0.307453534088 Long ABS-MBS CORP US N 2 2047-11-15 Fixed 3.93100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FTV38 2718898.09000000 PA USD 430188.95000000 0.133304106096 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 6.01100000 N N N N N N Ford Credit Auto Owner Trust/Ford Credit N/A 345340AD5 542000.00000000 PA USD 537880.53000000 0.166674860519 Long ABS-O CORP US N 2 2033-10-17 Fixed 2.31000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XBF0 393326.04000000 PA USD 416144.89000000 0.128952225685 Long ABS-MBS USGSE US N 2 2028-04-25 Floating 5.78900000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AU2 829000.00000000 PA USD 843631.85000000 0.261419056994 Long DBT CORP CH N 2 2032-05-14 Fixed 3.09100000 N N N N N N DBWF Mortgage Trust N/A 23307GAA4 540599.00000000 PA USD 539940.01000000 0.167313038558 Long ABS-MBS CORP US N 2 2030-12-19 Floating 1.11000000 N N N N N N CORP FINANCIERA DE DESAR 254900BOM7T4MG6T0J30 21987DAE4 808000.00000000 PA USD 790072.50000000 0.244822439915 Long DBT NUSS PE N 2 2027-09-28 Fixed 2.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EHUP5 167393.55000000 PA USD 181230.05000000 0.056158369044 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCS8 2782100.00000000 PA USD 2705157.55000000 0.838256326789 Long DBT UST US N 2 2031-08-15 Fixed 1.25000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 58000.00000000 OU Notional Amount USD 4861.37000000 0.001506409177 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-17 11480.65000000 USD 0.00000000 USD 58000.00000000 USD -6619.28000000 N N N Eagle Re Ltd N/A 269820AB2 252873.02000000 PA USD 252955.71000000 0.078384242095 Long ABS-MBS CORP US N 2 2030-10-25 Floating 4.08900000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46634SAM7 388665.00000000 PA USD 290762.74000000 0.090099634455 Long ABS-MBS CORP US N 2 2045-05-15 Variable 5.13900000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 13000.00000000 OU Notional Amount USD -3606.42000000 -0.00111753357 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 -1500.54000000 USD 13000.00000000 USD -2105.88000000 N N N FHF Trust 2021-2 N/A 30322JAA4 317629.78000000 PA USD 316508.29000000 0.098077495180 Long ABS-O CORP US N 2 2026-12-15 Fixed 0.83000000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AA5 344985.00000000 PA USD 368847.61000000 0.114296057434 Long DBT CORP XX N 2 2025-10-20 Fixed 4.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 23000.00000000 OU Notional Amount USD -6380.58000000 -0.00197717192 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 -2793.26000000 USD 23000.00000000 USD -3587.32000000 N N N GS Mortgage Securities Trust N/A 36192BAG2 600000.00000000 PA USD 599948.70000000 0.185908134453 Long ABS-MBS CORP US N 2 2045-01-10 Variable 5.84400000 N N N N N N ODEBRECHT HOLDCO FIN LTD N/A 67577TAA6 477135.00000000 PA USD 1192.84000000 0.000369629368 Long DBT CORP KY N 2 2058-09-10 None 0.00000000 N N N N N N BAIDU INC 254900AL64IANZYI1E02 056752AR9 202000.00000000 PA USD 210585.00000000 0.065254686765 Long DBT CORP KY N 2 2030-04-07 Fixed 3.42500000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 5000.00000000 OU Notional Amount USD -1387.08000000 -0.00042981917 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 -616.36000000 USD 5000.00000000 USD -770.72000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 800000.00000000 OU Notional Amount USD -221933.33000000 -0.06877123219 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 -113168.70000000 USD 800000.00000000 USD -108764.63000000 N N N JPMBB Commercial Mortgage Securities Trust N/A 46644UBA5 425000.00000000 PA USD 460026.12000000 0.142549850960 Long ABS-MBS CORP US N 2 2048-07-15 Fixed 3.82200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385XJW8 68990.05000000 PA USD 78269.38000000 0.024253597717 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.50000000 N N N N N N EMBRAER NETHERLANDS FINA 724500PBR8LR26XBSP67 29082HAB8 540000.00000000 PA USD 563490.00000000 0.174610553674 Long DBT CORP NL N 2 2027-02-01 Fixed 5.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SB71 248316.26000000 PA USD 260546.93000000 0.080736559132 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.00000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46638UAH9 850000.00000000 PA USD 864051.35000000 0.267746516578 Long ABS-MBS CORP US N 2 2045-10-15 Fixed 3.42400000 N N N N N N MOZART DEBT MERGER SUB N/A 62482BAA0 530000.00000000 PA USD 527450.70000000 0.163442933793 Long DBT CORP US N 2 2029-04-01 Fixed 3.87500000 N N N N N N TENCENT HOLDINGS LTD 254900N4SLUMW4XUYY11 88032XAU8 460000.00000000 PA USD 447718.00000000 0.138735892154 Long DBT CORP KY N 2 2030-06-03 Fixed 2.39000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SU3 6848500.00000000 PA USD 6730791.41000000 2.085693117479 Long DBT UST US N 2 2051-02-15 Fixed 1.87500000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAK7 449000.00000000 PA USD 443787.11000000 0.137517813964 Long DBT CORP US N 2 2026-01-30 Fixed 1.95000000 N N N N N N CEMEX SAB DE CV 549300RIG2CXWN6IV731 151290BZ5 572000.00000000 PA USD 571599.60000000 0.177123502877 Long DBT CORP MX N 2 2031-07-11 Fixed 3.87500000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACD5 66000.00000000 PA USD 67853.94000000 0.021026130068 Long DBT CORP US N 2 2029-04-15 Fixed 3.37500000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XDK7 579524.03000000 PA USD 603243.83000000 0.186929207540 Long ABS-MBS USGSE US N 2 2029-01-25 Floating 4.53900000 N N N N N N MT LOGAN RE LTD N/A 000000000 492.00000000 NS USD 517712.22000000 0.160425238031 Long EC CORP BM Y 3 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417BYB7 5526.91000000 PA USD 5745.14000000 0.001780265978 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 2.50000000 N N N N N N HFX FUNDING ISSUER N/A 40422GAE0 710000.00000000 PA USD 729415.38000000 0.226026412821 Long ABS-MBS CORP US N 2 2035-03-15 Variable 3.64700000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAH8 240000.00000000 PA USD 277272.00000000 0.085919213186 Long DBT CORP US N 2 2029-01-25 Fixed 4.70900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A2N58 558093.69000000 PA USD 114843.79000000 0.035587033945 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 6.45100000 N N N N N N COMM Mortgage Trust N/A 12593JBF2 430000.00000000 PA USD 462099.46000000 0.143192323844 Long ABS-MBS CORP US N 2 2048-08-10 Fixed 3.69600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132Y3ZL1 610185.03000000 PA USD 666151.93000000 0.206422753427 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.50000000 N N N N N N IHS Markit Ltd 549300HLPTRASHS0E726 44962LAJ6 147000.00000000 PA USD 167647.62000000 0.051949535484 Long DBT CORP BM N 2 2029-05-01 Fixed 4.25000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17324TAE9 425000.00000000 PA USD 458082.51000000 0.141947577951 Long ABS-MBS CORP US N 2 2049-02-10 Fixed 3.61600000 N N N N N N CFCRE Commercial Mortgage Trust N/A 12531YAU2 375000.00000000 PA USD 397845.90000000 0.123281855713 Long ABS-MBS CORP US N 2 2058-05-10 Fixed 3.69100000 N N N N N N Carvana Auto Receivables Trust N/A 14687GAD7 313000.00000000 PA USD 311134.93000000 0.096412433929 Long ABS-O CORP US N 2 2028-06-12 Fixed 1.02000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4300000.00000000 OU Notional Amount USD -105904.40000000 -0.03281695490 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-09-07 0.00000000 USD 0.00000000 USD 4300000.00000000 USD -105904.40000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2P8 722000.00000000 PA USD 733746.94000000 0.227368647980 Long DBT CORP FR N 2 2032-04-19 Fixed 2.87100000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 060505EL4 289000.00000000 PA USD 320619.49000000 0.099351446641 Long DBT CORP US N 2 2024-10-23 Fixed 6.50000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0QN2 800000.00000000 PA USD 867745.52000000 0.268891241540 Long ABS-MBS USGSE US N 2 2029-12-25 Floating 4.83900000 N N N N N N L Street Securities 549300T6W1U156OOG754 949771AC3 160487.91000000 PA USD 154287.52000000 0.047809596074 Long ABS-MBS CORP US N 2 2025-11-25 Floating 5.33900000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XEP5 313816.17000000 PA USD 323843.38000000 0.100350444348 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 3.63900000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BQ4 712000.00000000 PA USD 711544.32000000 0.220488646966 Long DBT CORP PA N 2 2028-08-01 Fixed 4.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 210.00000000 NC USD -171289.32000000 -0.05307800139 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year US Treasury Note Future TUZ1 Comdty 2021-12-31 46213789.32000000 USD -171289.32000000 N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 3708000.00000000 PA 901993.16000000 0.279503673673 Long DBT NUSS MY N 2 2022-03-10 Fixed 3.88200000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0SE0 750000.00000000 PA USD 792530.25000000 0.245584031227 Long ABS-MBS USGSE US N 2 2030-04-25 Floating 4.53900000 N N N N N N Transocean Poseidon Ltd N/A 89383JAA6 225000.00000000 PA USD 224982.00000000 0.069715933888 Long DBT CORP KY N 2 2027-02-01 Fixed 6.87500000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 52000.00000000 OU Notional Amount USD -14425.67000000 -0.00447013119 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 -4543.18000000 USD 52000.00000000 USD -9882.49000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2000000.00000000 OU Notional Amount USD -54388.41000000 -0.01685352070 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-12-13 0.00000000 USD 0.00000000 USD 2000000.00000000 USD -54388.41000000 N N N Affirm Inc N/A 00834CAA3 299608.77000000 PA USD 299664.74000000 0.092858127328 Long ABS-O CORP US N 2 2025-08-15 Fixed 1.07000000 N N N N N N CIM TRUST N/A 12566PAB1 628372.72000000 PA USD 635564.45000000 0.196944507463 Long ABS-MBS CORP US N 2 2051-07-01 Variable 2.50000000 N N N N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAA1 147000.00000000 PA USD 149725.38000000 0.046395910310 Long DBT CORP US N 2 2029-08-15 Fixed 3.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371K3A7 29796.72000000 PA USD 33806.13000000 0.010475619934 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5.50000000 N N N N N N UMBS, TBA N/A 01F0226B6 8985429.00000000 PA USD 9227614.17000000 2.859392037693 Long ABS-MBS USGSE US N 2 2051-11-15 Fixed 2.50000000 N N N N N N BELLEMEADE RE LT 2549009SOTYJD2MZFC61 07877TAB7 444762.96000000 PA USD 444762.83000000 0.137820163623 Long ABS-MBS CORP BM N 2 2028-10-25 Floating 1.93900000 N N N N N N Fannie Mae - CAS N/A 20753QAE9 83752.73000000 PA USD 84175.26000000 0.026083672743 Long ABS-MBS USGSE US N 2 2031-04-25 Floating 2.48900000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AU3 394000.00000000 PA USD 396273.38000000 0.122794573618 Long DBT CORP IT N 2 2026-09-22 Fixed 2.56900000 N N N N N N FLOWSERVE CORPORATION 6Y0GK87T6V7NJKZJVM41 34355JAB4 425000.00000000 PA USD 417269.25000000 0.129300634925 Long DBT CORP US N 2 2032-01-15 Fixed 2.80000000 N N N N N N CSAIL Commercial Mortgage Trust 549300D5DIOOMKWXVZ20 12634NAT5 332184.00000000 PA USD 353188.86000000 0.109443827568 Long ABS-MBS CORP US N 2 2057-06-15 Fixed 3.50400000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816BJ7 62000.00000000 PA USD 62000.00000000 0.019212149865 Long DBT CORP US N 2 2021-11-15 Variable 3.55300000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BE2 217000.00000000 PA USD 275878.61000000 0.085487438710 Long DBT CORP US N 2 2031-01-15 Fixed 6.35000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAX3 345000.00000000 PA USD 351696.45000000 0.108981369429 Long DBT CORP IE N 2 2032-01-30 Fixed 3.30000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 23000.00000000 OU Notional Amount USD -6380.58000000 -0.00197717192 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 -2885.23000000 USD 23000.00000000 USD -3495.35000000 N N N Freddie Mac - STACR 549300NKHCH87PYOHD44 35564MBD6 750000.00000000 PA USD 772211.93000000 0.239287924633 Long ABS-MBS USGSE US N 2 2049-04-25 Floating 4.18900000 N N N N N N Voya CLO Ltd 549300KSCKXTOBY0IP86 92917NAS7 210000.00000000 PA USD 205739.10000000 0.063753071329 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 2.97400000 N N N N N N KLA CORP 549300H0BF5JCG96TJ81 482480AG5 123000.00000000 PA USD 139646.82000000 0.043272832808 Long DBT CORP US N 2 2029-03-15 Fixed 4.10000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 311000.00000000 OU Notional Amount USD -86276.58000000 -0.02673481588 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 -25723.43000000 USD 311000.00000000 USD -60553.15000000 N N N GSF 2021 1 ISSUER LLC N/A 36261CAE1 25000.00000000 PA USD 25453.62000000 0.007887399388 Long ABS-O CORP US N 3 2026-08-15 Variable 2.63800000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XCH5 148935.92000000 PA USD 172642.57000000 0.053497337549 Long ABS-MBS USGSE US N 2 2028-09-25 Floating 12.33900000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAL5 431000.00000000 PA USD 475056.82000000 0.147207464847 Long DBT CORP US N 2 2028-09-15 Fixed 4.11000000 N N N N N N ADVANCE AUTO PARTS 529900UCNQ5H9FSL0Y70 00751YAE6 811000.00000000 PA USD 894484.34000000 0.277176890203 Long DBT CORP US N 2 2030-04-15 Fixed 3.90000000 N N N N N N CFCRE Commercial Mortgage Trust N/A 12531YAN8 735000.00000000 PA USD 779686.68000000 0.241604150717 Long ABS-MBS CORP US N 2 2058-05-10 Fixed 3.28300000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAT8 132000.00000000 PA USD 142581.12000000 0.044182094281 Long DBT CORP US N 2 2029-12-15 Fixed 4.62500000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 61000.00000000 OU Notional Amount USD -16922.42000000 -0.00524380756 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 -7450.91000000 USD 61000.00000000 USD -9471.51000000 N N N Newell Brands Inc 549300LWGYFM1TVO1Z12 651229AW6 261000.00000000 PA USD 285902.01000000 0.088593423597 Long DBT CORP US N 2 2026-04-01 Fixed 4.70000000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAA6 545000.00000000 PA USD 555150.63000000 0.172026404864 Long DBT CORP NL N 2 2030-01-21 Fixed 3.68000000 N N N N N N LSTAR Commercial Mortgage Trust N/A 50219QAC8 528349.15000000 PA USD 535634.98000000 0.165979024339 Long ABS-MBS CORP US N 2 2049-03-10 Fixed 2.57900000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 525000.00000000 PA USD 537783.75000000 0.166644870973 Long DBT CORP US N 2 2031-03-25 Fixed 2.87500000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABS3 112000.00000000 PA USD 110979.68000000 0.034389649100 Long DBT CORP US N 2 2029-02-15 Fixed 2.62500000 N N N N N N KIMBERLY-CLARK DE MEXICO 549300JGHL56QT00KT54 494386AD7 270000.00000000 PA USD 266962.50000000 0.082724573524 Long DBT CORP MX N 2 2031-07-01 Fixed 2.43100000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967GD7 216000.00000000 PA USD 224538.48000000 0.069578498844 Long DBT CORP US N 2 2023-01-30 Fixed 5.95000000 N N N N N N Banc of America Merrill Lynch Large Loan Inc N/A 054966AA4 1330000.00000000 PA USD 1327532.85000000 0.411367097836 Long ABS-MBS CORP US N 2 2033-11-15 Floating 1.09100000 N N N N N N Radnor Re LTD 254900JBDDKUTX6TX151 75049SAB9 635335.75000000 PA USD 635743.06000000 0.196999853948 Long ABS-MBS CORP BM N 2 2029-02-25 Floating 2.03900000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300RVQJTKIK3XGD11 95001LAU6 900000.00000000 PA USD 1005557.22000000 0.311595419503 Long ABS-MBS CORP US N 2 2051-03-15 Variable 4.01200000 N N N N N N US Bancorp N1GZ7BBF3NP8GI976H15 902973AZ9 380000.00000000 PA USD 421534.00000000 0.130622167443 Long DBT CORP US N 2 2027-04-15 Fixed 5.30000000 N N N N N N LUMEN TECHNOLOGIES INC 8M3THTGWLTYZVE6BBY25 156700BD7 545000.00000000 PA USD 526491.80000000 0.163145796204 Long DBT CORP US N 2 2029-01-15 Fixed 4.50000000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92937EAG9 479700.00000000 PA USD 491016.08000000 0.152152814765 Long ABS-MBS CORP US N 2 2045-03-15 Variable 3.71400000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XBD5 36048.59000000 PA USD 36332.74000000 0.011258549127 Long ABS-MBS USGSE US N 2 2025-07-25 Floating 5.08900000 N N N N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585AAF9 161000.00000000 PA USD 223761.02000000 0.069337584682 Long DBT CORP US N 2 2041-03-01 Fixed 6.50000000 N N N N N N GUSAP III LP 549300WY05UJ7WTHIN64 36258GAA5 535000.00000000 PA USD 561816.88000000 0.174092098316 Long DBT CORP US N 2 2030-01-21 Fixed 4.25000000 N N N N N N Freddie Mac - STACR N/A 35566AAH2 524012.92000000 PA USD 529914.98000000 0.164206548578 Long ABS-MBS USGSE US N 2 2050-10-25 Floating 2.84900000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 219000.00000000 OU Notional Amount USD -60754.25000000 -0.01882612509 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 -13897.38000000 USD 219000.00000000 USD -46856.87000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AX4B8 1161284.62000000 PA USD 267736.49000000 0.082964412425 Long ABS-MBS USGSE US N 2 2047-10-25 Floating 6.11100000 N N N N N N UBS Switzerland AG 549300WOIFUSNYH0FL22 000000000 1.00000000 NC 1166.42000000 0.000361442513 N/A DFE AU N 2 UBS Switzerland AG 549300WOIFUSNYH0FL22 563425.05000000 USD 750511.91000000 AUD 2021-11-09 1166.42000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746TD3 273000.00000000 PA USD 278238.87000000 0.086218820466 Long DBT CORP US N 2 2026-03-15 Fixed 3.90000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 1881814.00000000 OU Notional Amount USD -522046.57000000 -0.16176833773 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 -73645.80000000 USD 1881814.00000000 USD -448400.77000000 N N N Chase Mortgage Finance Corporation N/A 46591HAC4 124220.93000000 PA USD 126005.54000000 0.039045763199 Long ABS-MBS CORP US N 2 2047-04-25 Floating 2.18900000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 322000.00000000 OU Notional Amount USD -89328.17000000 -0.02768042240 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 -38838.41000000 USD 322000.00000000 USD -50489.76000000 N N N OEC FINANCE LTD N/A 67614CAF7 223115.00000000 PA USD 16503.82000000 0.005114094567 Long DBT CORP KY N 2 2046-12-26 Fixed 7.12500000 N N Y N N N Morgan Stanley Capital I Trust N/A 61769GAJ6 520000.00000000 PA USD 466796.93000000 0.144647944774 Long ABS-MBS CORP US N 2 2036-05-15 Floating 3.14000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373MVZ0 663667.57000000 PA USD 6.64000000 0.000002057559 Long ABS-MBS USGA US N 2 2046-07-16 Variable 0.00000000 N N N N N N ALFA S.A. 549300ZCGJ6T8YDJ4M34 015398AB6 530000.00000000 PA USD 565046.25000000 0.175092794129 Long DBT CORP MX N 2 2024-03-25 Fixed 5.25000000 N N N N N N Fannie Mae - CAS N/A 20753VCZ9 300000.00000000 PA USD 314144.58000000 0.097345044362 Long ABS-MBS USGSE US N 2 2040-02-25 Floating 3.73900000 N N N N N N TENGIZCHEVROIL FIN CO IN 5493001VEV2XTJIBZH31 88034QAC1 237000.00000000 PA USD 237355.50000000 0.073550152216 Long DBT CORP BM N 2 2030-08-15 Fixed 3.25000000 N N N N N N Countrywide Alternative Loan Trust N/A 02146TAR8 212222.44000000 PA USD 161869.42000000 0.050159025092 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 5.75000000 N N N N N N First Investors Auto Owner Trust N/A 32060KAA3 92264.01000000 PA USD 92528.63000000 0.028672159781 Long ABS-O CORP US N 2 2025-01-15 Fixed 1.49000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796G45 3655000.00000000 PA USD 3653958.33000000 1.132264436113 Long STIV UST US N 2 2022-04-21 None 0.00000000 N N N N N N PMT CREDIT RISK TRANSFER TRUST N/A 730151AA5 276764.63000000 PA USD 276764.88000000 0.085762070195 Long ABS-MBS CORP US N 2 2023-02-27 Floating 2.43800000 N N N N N N Morgan Stanley Capital I Trust N/A 61691EBA2 660000.00000000 PA USD 716553.82000000 0.222040957688 Long ABS-MBS CORP US N 2 2049-12-15 Fixed 3.59600000 N N N N N N Pikes Peak CLO 549300NJA5BS4BQQJL72 72133CAA0 675000.00000000 PA USD 675571.73000000 0.209341698738 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 1.32200000 N N N N N N CLARIOS GLOBAL LP/US FIN N/A 000000000 130000.00000000 PA 153796.53000000 0.047657451341 Long DBT CORP XX N 2 2026-05-15 Fixed 4.37500000 N N N N N N TRANSCANADA PIPELINES 5BV01I6231JPDAPMGH09 893526DJ9 845000.00000000 PA USD 1156559.95000000 0.358387146581 Long DBT CORP CA N 2 2040-06-01 Fixed 6.10000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 697000.00000000 OU Notional Amount USD 58420.22000000 0.018102871319 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-17 135176.77000000 USD 0.00000000 USD 697000.00000000 USD -76756.55000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 52000.00000000 OU Notional Amount USD -14425.67000000 -0.00447013119 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 -4916.25000000 USD 52000.00000000 USD -9509.42000000 N N N New Residential Mortgage Loan Trust N/A 64829WAB0 787491.99000000 PA USD 797981.38000000 0.247273191332 Long ABS-MBS CORP US N 2 2051-06-25 Variable 2.50000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAZ4 220000.00000000 PA USD 216653.80000000 0.067135246364 Long DBT CORP US N 2 2031-08-01 Fixed 2.62500000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0LA5 1114464.97000000 PA USD 1149658.44000000 0.356248552317 Long ABS-MBS USGSE US N 2 2029-03-25 Floating 3.93900000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017CY3 769000.00000000 PA USD 871500.01000000 0.270054658065 Long DBT CORP US N 2 2028-11-16 Fixed 4.12500000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95000JBB3 545000.00000000 PA USD 573273.02000000 0.177642051196 Long ABS-MBS CORP US N 2 2059-12-15 Variable 4.35200000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAH5 536000.00000000 PA USD 529203.52000000 0.163986086059 Long DBT CORP US N 2 2029-05-01 Fixed 4.37500000 N N N N N N ING Groep NV 549300NYKK9MWM7GGW15 000000000 425000.00000000 PA USD 435098.00000000 0.134825290036 Long DBT CORP NL N 2 2022-04-16 Fixed 6.87500000 N N N N Y ING Groep NV USD XXXX N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 80413TAS8 453000.00000000 PA USD 478141.50000000 0.148163325080 Long DBT NUSS SA N 2 2025-10-22 Fixed 2.90000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 132.00000000 NC USD -33601.56000000 -0.01041222913 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CME Ultra Long Term US Treasury Bond Future WNZ1 Comdty 2021-12-21 25959226.56000000 USD -33601.56000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -254301.99000000 -0.07880141843 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 11166862.01000000 CAD 8768588.93000000 USD 2021-11-19 -254301.99000000 N N N GS Mortgage Securities Trust N/A 36255NAT2 1125000.00000000 PA USD 1257707.03000000 0.389729934637 Long ABS-MBS CORP US N 2 2051-03-10 Variable 3.99200000 N N N N N N Intesa Sanpaolo SpA 2W8N8UU78PMDQKZENC08 46115HAT4 288000.00000000 PA USD 310400.64000000 0.096184897001 Long DBT CORP IT N 2 2024-06-26 Fixed 5.01700000 N N N N N N Deutsche Alt-A Securities INC Mortgage Loan Trust N/A 25150PAB5 479438.30000000 PA USD 226858.98000000 0.070297560034 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.46900000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XDS0 269925.49000000 PA USD 280416.04000000 0.086893467503 Long ABS-MBS USGSE US N 2 2029-04-25 Floating 4.33900000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBD4 209000.00000000 PA USD 238224.47000000 0.073819422892 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKA6 430000.00000000 PA USD 420896.90000000 0.130424747109 Long DBT CORP US N 2 2032-07-21 Fixed 2.29900000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XBB9 157527.62000000 PA USD 162097.56000000 0.050229719606 Long ABS-MBS USGSE US N 2 2025-07-25 Floating 5.08900000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RM2 80000.00000000 PA USD 95425.00000000 0.029569667757 Long DBT UST US N 2 2045-05-15 Fixed 3.00000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAB8 290000.00000000 PA USD 303319.70000000 0.093990702155 Long DBT CORP US N 2 2029-08-15 Fixed 3.20000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 26000.00000000 OU Notional Amount USD -7212.83000000 -0.00223506404 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 -2230.29000000 USD 26000.00000000 USD -4982.54000000 N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 064058AH3 166000.00000000 PA USD 180695.98000000 0.055992874965 Long DBT CORP US N 2 2025-09-20 Fixed 4.70000000 N N N N N N BAIDU INC 254900AL64IANZYI1E02 056752AV0 442000.00000000 PA USD 431613.00000000 0.133745381290 Long DBT CORP KY N 2 2027-02-23 Fixed 1.62500000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 536000.00000000 PA USD 584063.12000000 0.180985616007 Long DBT CORP GB N 2 2026-09-12 Fixed 4.29200000 N N N N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AC5 1120000.00000000 PA USD 1214236.80000000 0.376259667323 Long DBT CORP JP N 2 2027-09-17 Fixed 4.34500000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 3486000.00000000 OU Notional Amount USD 292184.90000000 0.090540323988 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-17 695086.02000000 USD 0.00000000 USD 3486000.00000000 USD -402901.12000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAL9 271000.00000000 PA USD 295474.01000000 0.091559531637 Long DBT CORP IE N 2 2026-04-03 Fixed 4.45000000 N N N N N N AIRCASTLE LTD 549300PNK8AKY3OIKP58 00928QAS0 53000.00000000 PA USD 57449.35000000 0.017802024546 Long DBT CORP BM N 2 2026-06-15 Fixed 4.25000000 N N N N N N NATURA COSMETICOS SA N/A 63883KAB1 283000.00000000 PA USD 280113.40000000 0.086799687422 Long DBT CORP BR N 2 2028-05-03 Fixed 4.12500000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0QG7 559901.00000000 PA USD 572528.00000000 0.177411189327 Long ABS-MBS USGSE US N 2 2029-12-25 Floating 2.73900000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0LJ6 832748.92000000 PA USD 861003.09000000 0.266801941934 Long ABS-MBS USGSE US N 2 2029-03-25 Floating 3.88900000 N N N N N N INVERSIONES CMPC CI 549300G475ACIABB4385 000000000 225000.00000000 PA USD 232143.75000000 0.071935169603 Long DBT CORP CL N 2 2023-05-15 Fixed 4.37500000 N N N N N N Countrywide Alternative Loan Trust N/A 12668BKK8 95846.17000000 PA USD 86207.13000000 0.026713295178 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 5.50000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAT6 178000.00000000 PA USD 222567.64000000 0.068967787982 Long DBT CORP US N 2 2047-09-20 Fixed 5.20000000 N N N N N N Hardee's Funding LLC and Carls' Jr Funding LLC N/A 411707AH5 992500.00000000 PA USD 1050025.30000000 0.325374893973 Long ABS-O CORP US N 2 2050-12-20 Fixed 3.98100000 N N N N N N BELLEMEADE RE LT N/A 078782AB5 108242.40000000 PA USD 108247.47000000 0.033543009939 Long ABS-MBS CORP BM N 2 2030-08-26 Floating 3.28900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402C4G4 20400.59000000 PA USD 23210.73000000 0.007192387471 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAQ5 242000.00000000 PA USD 234885.20000000 0.072784671994 Long DBT CORP US N 2 2028-09-01 Fixed 2.10000000 N N N N N N BRF GMBH 5299002S6DY5RA2IOQ11 000000000 349000.00000000 PA USD 352446.38000000 0.109213752777 Long DBT CORP AT N 2 2026-09-29 Fixed 4.35000000 N N N N N N GE CAPITAL FUNDING LLC 549300XAGH9TOLX5XM67 36166NAJ2 1218000.00000000 PA USD 1424694.60000000 0.441474938194 Long DBT CORP US N 2 2030-05-15 Fixed 4.40000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBL4 4703600.00000000 PA USD 4542648.69000000 1.407645926121 Long DBT UST US N 2 2031-02-15 Fixed 1.12500000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AY5 356000.00000000 PA USD 353646.84000000 0.109585743380 Long DBT CORP IT N 2 2032-06-03 Fixed 3.12700000 N N N N N N BANCO DE CREDITO DEL PER 549300EQYQ8SCQZ4BY14 05971U2C0 635000.00000000 PA USD 628046.75000000 0.194614972317 Long DBT CORP PE N 2 2030-07-01 Fixed 3.12500000 N N N N Y Banco de Credito del Peru USD XXXX N N N Freddie Mac - STACR 5493007222WHFWMBOC78 35563KAH3 931028.78000000 PA USD 942096.57000000 0.291930653077 Long ABS-MBS USGSE US N 2 2049-01-25 Floating 2.73900000 N N N N N N Banc of America Commercial Mortgage Trust N/A 06054ABB4 860000.00000000 PA USD 923251.19000000 0.286090971386 Long ABS-MBS CORP US N 2 2048-09-15 Variable 3.98900000 N N N N N N OCP CLO Ltd 254900MN6N176YEZLX15 671078AN3 761000.00000000 PA USD 761889.61000000 0.236089312394 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 1.22200000 N N N N N N Cenovus Energy Inc 549300NKHFE6ZRF37I48 15135UAM1 42000.00000000 PA USD 46130.70000000 0.014294676158 Long DBT CORP CA N 2 2027-04-15 Fixed 4.25000000 N N N N N N Cencosud SA 549300NLTGCFV7482429 000000000 683000.00000000 PA USD 743317.44000000 0.230334291210 Long DBT CORP CL N 2 2025-02-12 Fixed 5.15000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AJ7 255000.00000000 PA USD 271434.75000000 0.084110404770 Long DBT CORP CH N 2 2023-07-17 Fixed 7.50000000 N N N N Y Credit Suisse Group AG USD XXXX N N N TENCENT HOLDINGS LTD 254900N4SLUMW4XUYY11 88032WAV8 328000.00000000 PA USD 313092.40000000 0.097019001784 Long DBT CORP KY N 2 2050-06-03 Fixed 3.24000000 N N N N N N Peace Park CLO, Ltd. 549300XHXTUZ93V6SK42 70470MAL9 300000.00000000 PA USD 299994.30000000 0.092960249200 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 3.08800000 N N N N N N BELLEMEADE RE LT 254900K56RF3Z7VQ3U81 07876RAB2 967653.40000000 PA USD 967653.11000000 0.299849944634 Long ABS-MBS CORP BM N 2 2029-03-25 Floating 1.83900000 N N N N N N ALPEK SA DE CV 549300PWKJTP62D4IQ66 020564AE0 273000.00000000 PA USD 269724.00000000 0.083580288877 Long DBT CORP MX N 2 2031-02-25 Fixed 3.25000000 N N N N N N CSN RESOURCES SA 222100ZEX458NMOXZP08 12644VAD0 261000.00000000 PA USD 256041.00000000 0.079340291351 Long DBT CORP LU N 2 2031-06-10 Fixed 4.62500000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 11000.00000000 OU Notional Amount USD -3051.58000000 -0.00094560342 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 -1429.57000000 USD 11000.00000000 USD -1622.01000000 N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XAX2 157239.54000000 PA USD 160426.46000000 0.049711890192 Long ABS-MBS USGSE US N 2 2025-05-25 Floating 4.08900000 N N N N N N Brex Inc N/A 05601DAA1 397000.00000000 PA USD 400014.82000000 0.123953946295 Long ABS-O CORP US N 2 2024-07-15 Fixed 2.09000000 N N N N N N SEALED AIR CORP Q0M0CZB4YN6JZ65WXI09 81211KAY6 379000.00000000 PA USD 398226.67000000 0.123399846202 Long DBT CORP US N 2 2027-12-01 Fixed 4.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 32000.00000000 OU Notional Amount USD -8877.33000000 -0.00275084829 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 -3886.26000000 USD 32000.00000000 USD -4991.07000000 N N N Freddie Mac - STACR N/A 35564XBD2 500000.00000000 PA USD 504579.05000000 0.156355618188 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 3.08900000 N N N N N N BCP Trust N/A 05553BAA3 135494.00000000 PA USD 134562.82000000 0.041697436519 Long ABS-MBS CORP US N 2 2038-06-15 Floating 0.88900000 N N N N N N MOODY'S CORPORATION 549300GCEDD8YCF5WU84 615369AP0 396000.00000000 PA USD 452552.76000000 0.140234055600 Long DBT CORP US N 2 2029-02-01 Fixed 4.25000000 N N N N N N UBS Commercial Mortgage Trust N/A 90291JAW7 1300000.00000000 PA USD 1448916.82000000 0.448980759496 Long ABS-MBS CORP US N 2 2051-03-15 Variable 4.11700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BCF21 3607511.02000000 PA USD 536499.66000000 0.166246965658 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 4.00000000 N N N N N N UBS-Barclays Commercial Mortgage Trust N/A 90270RBE3 1098165.00000000 PA USD 1115935.73000000 0.345798782020 Long ABS-MBS CORP US N 2 2045-12-10 Fixed 2.85000000 N N N N N N GS Mortgage Securities Trust N/A 36259NAA9 700000.00000000 PA USD 700554.33000000 0.217083141565 Long ABS-MBS CORP US N 2 2032-08-15 Floating 1.24000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0HJ1 310939.60000000 PA USD 320161.20000000 0.099209434767 Long ABS-MBS USGSE US N 2 2028-05-25 Floating 4.88900000 N N N N N N Invitation Homes Trust N/A 46187VAE9 389963.84000000 PA USD 390599.91000000 0.121036516265 Long ABS-O CORP US N 2 2037-07-17 Floating 1.38600000 N N N N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 89832QAF6 692000.00000000 PA USD 779627.96000000 0.241585954951 Long DBT CORP US N 2 2030-03-01 Fixed 5.10000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBR5 1125000.00000000 PA USD 1102927.50000000 0.341767877758 Long DBT CORP US N 2 2028-03-25 Fixed 2.25900000 N N N N N N Standard Chartered PLC U4LOSYZ7YG4W3S5F2G91 853254AA8 400000.00000000 PA USD 385184.00000000 0.119358269901 Long DBT CORP GB N 2 2027-01-30 Variable 1.63900000 N N N N N N WRKCo Inc 549300JEB576INN13W07 96145DAH8 594000.00000000 PA USD 660130.02000000 0.204556723791 Long DBT CORP US N 2 2028-03-15 Fixed 4.00000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276VAE9 720000.00000000 PA USD 800508.53000000 0.248056287857 Long ABS-MBS CORP US N 2 2051-02-15 Fixed 3.98300000 N N N N N N GCI Funding I LLC N/A 36166VAE5 295120.00000000 PA USD 295994.89000000 0.091720938486 Long ABS-O CORP US N 2 2046-06-18 Fixed 2.38000000 N N N N N N ALLISON TRANSMISSION INC MWKQ3I0U1GXP2YDSZW75 019736AG2 554000.00000000 PA USD 532432.78000000 0.164986747786 Long DBT CORP US N 2 2031-01-30 Fixed 3.75000000 N N N N N N CABLE ONE INC 549300648QS85T0XSH18 12685JAC9 326000.00000000 PA USD 320471.04000000 0.099305445937 Long DBT CORP US N 2 2030-11-15 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828V49 6535253.53000000 PA USD 7239835.55000000 2.243432348220 Long DBT UST US N 2 2027-01-15 Fixed 0.37500000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BS2 198000.00000000 PA USD 234796.32000000 0.072757130447 Long DBT CORP US N 2 2049-07-01 Fixed 5.12500000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 692000.00000000 OU Notional Amount USD 58001.13000000 0.017973006482 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-17 138853.55000000 USD 0.00000000 USD 692000.00000000 USD -80852.42000000 N N N Prudential Financial Inc 5PRBRS5FEH7NREC8OR45 744320AL6 805000.00000000 PA USD 833819.00000000 0.258378315949 Long DBT CORP US N 2 2042-09-15 Fixed 5.87500000 N N N N N N Multifamily Structured Credit Risk N/A 35563FAA9 136486.96000000 PA USD 137509.90000000 0.042610658174 Long ABS-MBS CORP US N 2 2051-01-25 Floating 2.04900000 N N N N N N UBS AG STAMFORD CT 254900R882POXXVAK772 90261AAB8 620000.00000000 PA USD 652147.00000000 0.202082998362 Long DBT CORP CH N 2 2022-08-17 Fixed 7.62500000 N N N N Y UBS AG USD XXXX N N N Radnor Re LTD 254900YVLP8CB4GC2O97 750493AA6 900000.00000000 PA USD 893288.70000000 0.276806393189 Long ABS-MBS CORP BM N 2 2030-01-25 Floating 1.03900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FVTE2 1682468.84000000 PA USD 284351.03000000 0.088112816174 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 4.00000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RBH4 149000.00000000 PA USD 168395.33000000 0.052181230913 Long DBT CORP US N 2 2042-12-15 Fixed 4.30000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 32000.00000000 OU Notional Amount USD -8877.33000000 -0.00275084829 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 -2989.02000000 USD 32000.00000000 USD -5888.31000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WQKW1 108833.58000000 PA USD 118169.71000000 0.036617648033 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.50000000 N N N N N N BELLEMEADE RE LT 254900KXN235YISGF415 07876LAB5 885000.00000000 PA USD 885550.56000000 0.274408549554 Long ABS-MBS CORP BM N 2 2029-10-25 Floating 2.08900000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XJX3 646239.31000000 PA USD 665731.57000000 0.206292495051 Long ABS-MBS USGSE US N 2 2029-10-25 Floating 3.08900000 N N N N N N COMISION FEDERAL DE ELEC 4469000001BFPONMPF32 200447AH3 653000.00000000 PA USD 631287.75000000 0.195619271957 Long DBT CORP MX N 2 2031-02-09 Fixed 3.34800000 N N N N N N Structured Asset Securities Corporation N/A 86358RWW3 452358.54000000 PA USD 210668.21000000 0.065280471330 Long ABS-MBS CORP US N 2 2032-03-25 Variable 6.50000000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AU2 869000.00000000 PA USD 937737.90000000 0.290580017250 Long DBT CORP US N 2 2029-07-01 Fixed 3.50000000 N N N N N N Upstart Securitization Trust N/A 91680EAA3 188580.15000000 PA USD 189406.77000000 0.058692116948 Long ABS-O CORP US N 2 2030-11-20 Fixed 1.70200000 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229BB1 65000.00000000 PA USD 71167.85000000 0.022053022577 Long DBT CORP US N 2 2025-06-01 Fixed 4.87500000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 130000.00000000 OU Notional Amount USD -36064.17000000 -0.01117532643 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 -15395.05000000 USD 130000.00000000 USD -20669.12000000 N N N OMAN GOV INTERNTL BOND 549300SZ20F0QTKNQC75 000000000 380000.00000000 PA USD 396458.75000000 0.122852014847 Long DBT NUSS OM N 2 2025-02-01 Fixed 4.87500000 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773DB3 205000.00000000 PA USD 221352.85000000 0.068591356893 Long DBT CORP US N 2 2025-09-30 Fixed 4.50000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300ZJL46M82UL2Z22 94989QAV2 715388.21000000 PA USD 761033.91000000 0.235824153738 Long ABS-MBS CORP US N 2 2048-09-15 Fixed 3.78900000 N N N N N N AB Issuer LLC N/A 00091JAA6 745000.00000000 PA USD 753619.94000000 0.233526761759 Long ABS-O CORP US N 2 2051-07-30 Fixed 3.73400000 N N N N N N GS Mortgage Securities Trust N/A 36253BAU7 657880.00000000 PA USD 699386.24000000 0.216721181562 Long ABS-MBS CORP US N 2 2047-06-10 Fixed 3.86200000 N N N N N N INTERPUBLIC GROUP COS 5493008IUOJ5VWTRC333 460690BP4 178000.00000000 PA USD 207030.02000000 0.064153093079 Long DBT CORP US N 2 2028-10-01 Fixed 4.65000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDC5 755000.00000000 PA USD 802419.36000000 0.248648403217 Long ABS-O CORP US N 2 2025-03-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M43N1 16106.93000000 PA USD 18338.85000000 0.005682721525 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.50000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0QQ5 250000.00000000 PA USD 255340.33000000 0.079123172366 Long ABS-MBS USGSE US N 2 2030-03-25 Floating 2.58900000 N N N N N N Freddie Mac - STACR 5493007222WHFWMBOC78 35563KBE9 750000.00000000 PA USD 850261.65000000 0.263473455562 Long ABS-MBS USGSE US N 2 2049-01-25 Floating 10.83900000 N N N N N N BOOKING HOLDINGS INC FXM8FAOHMYDIPD38UZ17 09857LAR9 925000.00000000 PA USD 1090538.00000000 0.337928701455 Long DBT CORP US N 2 2030-04-13 Fixed 4.62500000 N N N N N N Freddie Mac - STACR 5493008J93RJW7PJFN93 35564WAH6 895000.00000000 PA USD 895556.96000000 0.277509266593 Long ABS-MBS USGSE US N 2 2048-11-25 Floating 2.23900000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAF8 135000.00000000 PA USD 143295.75000000 0.044403539098 Long DBT CORP US N 2 2024-01-30 Fixed 4.37500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 90000.00000000 OU Notional Amount USD -24967.50000000 -0.00773676373 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 -11047.94000000 USD 90000.00000000 USD -13919.56000000 N N N World Financial Network Credit Card Master Trust N/A 981464GZ7 780000.00000000 PA USD 786021.21000000 0.243567052970 Long ABS-O CORP US N 2 2025-12-15 Fixed 3.61000000 N N N N N N BX Trust N/A 05608BAN0 566248.00000000 PA USD 561989.87000000 0.174145703313 Long ABS-MBS CORP US N 2 2034-04-15 Floating 2.24000000 N N N N N N BHMS Mortgage Trust N/A 05549GAA9 547087.00000000 PA USD 547261.74000000 0.169581847816 Long ABS-MBS CORP US N 2 2035-07-15 Floating 1.34000000 N N N N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAB9 149000.00000000 PA USD 154340.16000000 0.047825907809 Long DBT CORP US N 2 2031-08-15 Fixed 4.12500000 N N N N N N Rockford Tower CLO Ltd N/A 77341LAA7 503814.00000000 PA USD 504091.10000000 0.156204415470 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 1.27300000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493001SKB2HKIF64L70 94989DAW9 1040000.00000000 PA USD 1104924.18000000 0.342386595748 Long ABS-MBS CORP US N 2 2048-02-15 Fixed 3.45100000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46642EAY2 735000.00000000 PA USD 780949.04000000 0.241995322483 Long ABS-MBS CORP US N 2 2047-08-15 Fixed 3.77500000 N N N N N N OCHSNER LSU HEALTH SYST N/A 67555JAA4 520000.00000000 PA USD 508638.00000000 0.157613378764 Long DBT CORP US N 2 2031-05-15 Fixed 2.51000000 N N N N N N EMBRAER NETHERLANDS FINA 724500PBR8LR26XBSP67 29082HAC6 219000.00000000 PA USD 242652.00000000 0.075191396600 Long DBT CORP NL N 2 2028-01-17 Fixed 6.95000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAH4 381000.00000000 PA USD 423302.43000000 0.131170156833 Long DBT CORP US N 2 2024-12-15 Fixed 5.50000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AP3 396000.00000000 PA USD 438874.92000000 0.135995657021 Long DBT CORP CH N 2 2031-04-01 Fixed 4.19400000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4300000.00000000 OU Notional Amount USD 134539.99000000 0.041690362109 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-09-07 0.00000000 USD 0.00000000 USD 4300000.00000000 USD 134539.99000000 N N N SUZANO AUSTRIA GMBH 254900287ZNSGVP1R341 86964WAJ1 145000.00000000 PA USD 144637.50000000 0.044819311712 Long DBT CORP AT N 2 2031-01-15 Fixed 3.75000000 N N N N N N Freddie Mac - STACR N/A 35564KFG9 650624.00000000 PA USD 676364.18000000 0.209587257902 Long ABS-MBS USGSE US N 2 2033-10-25 Floating 3.54900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402C4H2 8254.34000000 PA USD 9391.09000000 0.002910048846 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417DRX3 279205.36000000 PA USD 302284.06000000 0.093669784882 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.50000000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153AZ5 391000.00000000 PA USD 445126.13000000 0.137932740624 Long DBT CORP LR N 2 2025-06-01 Fixed 11.50000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAZ9 135000.00000000 PA USD 146719.35000000 0.045464421619 Long DBT CORP US N 2 2025-07-13 Fixed 4.30000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 356000.00000000 OU Notional Amount USD -98760.33000000 -0.03060319775 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 -36304.81000000 USD 356000.00000000 USD -62455.52000000 N N N OMAN GOV INTERNTL BOND 549300SZ20F0QTKNQC75 68205LAS2 245000.00000000 PA USD 264676.56000000 0.082016221559 Long DBT NUSS OM N 2 2031-01-25 Fixed 6.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QYV7 40733.82000000 PA USD 46427.44000000 0.014386627986 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 374000.00000000 OU Notional Amount USD -103753.83000000 -0.03215055050 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 -43902.81000000 USD 374000.00000000 USD -59851.02000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 131000.00000000 OU Notional Amount USD -36341.58000000 -0.01126128840 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 -12199.88000000 USD 131000.00000000 USD -24141.70000000 N N N Citigroup Commercial Mortgage Trust N/A 17323CAE7 1222638.00000000 PA USD 1282967.24000000 0.397557401414 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.13700000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 850000.00000000 OU Notional Amount USD -85179.44000000 -0.02639484139 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 -15915.73000000 USD 850000.00000000 USD -69263.71000000 N N N Elmwood CLO IX Ltd N/A 29003UAG4 700000.00000000 PA USD 700074.20000000 0.216934362056 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 3.08900000 N N N N N N CITIC 2549006I3Q3M98KHOT11 000000000 317000.00000000 PA USD 321913.50000000 0.099752425899 Long DBT CORP HK N 2 2030-02-25 Fixed 2.85000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300MZIB10PDVAE312 95000FAW6 3441832.15000000 PA USD 247553.43000000 0.076710219305 Long ABS-MBS CORP US N 2 2048-07-15 Variable 1.89300000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92937EAS3 6030032.54000000 PA USD 61659.49000000 0.019106634879 Long ABS-MBS CORP US N 2 2045-03-15 Variable 1.13300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WPG65 1011110.77000000 PA USD 1094687.67000000 0.339214573744 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.50000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AF4 797000.00000000 PA USD 807855.14000000 0.250332806765 Long DBT CORP US N 2 2029-08-08 Fixed 3.90000000 N N N N N N Fannie Mae - CAS N/A 20754FAK8 247384.80000000 PA USD 248776.44000000 0.077089197553 Long ABS-MBS USGSE US N 2 2031-07-25 Floating 2.53900000 N N N N N N AIRCASTLE LTD 549300PNK8AKY3OIKP58 00928QAU5 835000.00000000 PA USD 841220.75000000 0.260671921276 Long DBT CORP BM N 2 2028-01-26 Fixed 2.85000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SZ2 2624300.00000000 PA USD 2659153.98000000 0.824001044834 Long DBT UST US N 2 2051-08-15 Fixed 2.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 32000.00000000 OU Notional Amount USD -8877.33000000 -0.00275084829 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 -3506.63000000 USD 32000.00000000 USD -5370.70000000 N N N SUZANO AUSTRIA GMBH 254900287ZNSGVP1R341 86964WAL6 809000.00000000 PA USD 765516.25000000 0.237213111607 Long DBT CORP AT N 2 2028-09-15 Fixed 2.50000000 N N N N N N VIRGOLINO DE OLIVEIRA FI N/A 92824BAA4 660000.00000000 PA USD 6616.50000000 0.002050277251 Long DBT CORP LU N 2 2018-01-28 None 0.00000000 Y Y N N N N Genworth Mortgage Insurance Corporation N/A 89600HAC3 530000.00000000 PA USD 527353.76000000 0.163412894667 Long ABS-MBS CORP BM N 2 2034-02-25 Floating 2.94900000 N N N N N N OEC FINANCE LTD N/A 67614CAE0 183227.00000000 PA USD 14255.06000000 0.004417263694 Long DBT CORP KY N 2 2033-12-27 Fixed 5.25000000 N N Y N N N First Investors Auto Owner Trust N/A 32059RAL7 1000000.00000000 PA USD 1024747.80000000 0.317542069486 Long ABS-O CORP US N 2 2024-07-15 Fixed 5.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJKX5 633440.03000000 PA USD 660035.01000000 0.204527282721 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335AY51 648384.22000000 PA USD 711913.88000000 0.220603163774 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2N2 542000.00000000 PA USD 554043.24000000 0.171683254176 Long DBT CORP US N 2 2026-04-30 Fixed 2.18800000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17327FAD8 1050000.00000000 PA USD 1178046.98000000 0.365045405300 Long ABS-MBS CORP US N 2 2051-03-10 Fixed 4.00900000 N N N N N N INRETAIL CONSUMER N/A 45790TAB1 289000.00000000 PA USD 283093.56000000 0.087723159689 Long DBT CORP PE N 2 2028-03-22 Fixed 3.25000000 N N N N N N BELLEMEADE RE LT 254900KXN235YISGF415 07876LAC3 750000.00000000 PA USD 755829.75000000 0.234211523063 Long ABS-MBS CORP BM N 2 2029-10-25 Floating 2.58900000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCE1 136000.00000000 PA USD 138392.24000000 0.042884071856 Long DBT CORP US N 2 2030-08-15 Fixed 4.50000000 N N N N N N UMBS, TBA N/A 01F0206B0 3645000.00000000 PA USD 3644145.61000000 1.129223735351 Long ABS-MBS USGSE US N 2 2051-11-15 Fixed 2.00000000 N N N N N N Eagle Re 2018-1 Ltd. 549300BLEDGL5R7YKU33 269826AB9 325000.00000000 PA USD 326620.58000000 0.101211024712 Long ABS-MBS CORP US N 2 2028-11-25 Floating 3.08900000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 368000.00000000 OU Notional Amount USD 30844.53000000 0.009557898917 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Markit CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-17 73080.01000000 USD 0.00000000 USD 368000.00000000 USD -42235.48000000 N N N Homebanc Mortgage Trust N/A 43739EAP2 107854.12000000 PA USD 99240.22000000 0.030751902892 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.58900000 N N N N N N Morgan Stanley Capital I Trust N/A 61765VAA6 153509.21000000 PA USD 141228.47000000 0.043762944047 Long ABS-MBS CORP US N 2 2026-11-15 Floating 2.04000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ASJX5 3373153.80000000 PA USD 540255.11000000 0.167410679661 Long ABS-MBS USGSE US N 2 2046-06-25 Fixed 5.00000000 N N N N N N KYNDRYL HOLDINGS INC 549300LQ4LWX2R8ZV130 50155QAA8 869000.00000000 PA USD 860023.23000000 0.266498309399 Long DBT CORP US N 2 2026-10-15 Fixed 2.05000000 N N N N N N PMT Credit Risk Transfer Trust N/A 69349MAA4 171406.06000000 PA USD 171455.10000000 0.053129372200 Long ABS-MBS CORP US N 2 2022-10-27 Floating 2.78800000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BD6 568000.00000000 PA USD 625254.40000000 0.193749697370 Long DBT CORP US N 2 2025-06-01 Fixed 5.37500000 N N N N N N INFOR INC 549300Q3IIYBYI4RHD64 45674CAA1 279000.00000000 PA USD 280629.36000000 0.086959569694 Long DBT CORP US N 2 2025-07-15 Fixed 1.75000000 N N N N N N ALBERTSONS COS/SAFEWAY N/A 013092AG6 373000.00000000 PA USD 367602.69000000 0.113910289859 Long DBT CORP US N 2 2029-03-15 Fixed 3.50000000 N N N N N N Affirm Asset Securitization Trust 2020-A N/A 00833LAA4 467000.00000000 PA USD 468956.22000000 0.145317051275 Long ABS-O CORP US N 2 2025-02-18 Fixed 2.10000000 N N N N N N Genworth Mortgage Insurance Corporation N/A 89600FAB9 377553.06000000 PA USD 377552.98000000 0.116993619903 Long ABS-MBS CORP BM N 2 2033-08-25 Floating 3.08900000 N N N N N N Freddie Mac - STACR 5493008J93RJW7PJFN93 35564WBD4 750000.00000000 PA USD 732774.30000000 0.227067252731 Long ABS-MBS USGSE US N 2 2048-11-25 Floating 3.08900000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 231000.00000000 OU Notional Amount USD 19361.65000000 0.005999660023 N/A DCR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Markit CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-17 44118.28000000 USD 0.00000000 USD 231000.00000000 USD -24756.63000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 1743000.00000000 OU Notional Amount USD 146092.45000000 0.045270161994 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-17 341108.93000000 USD 0.00000000 USD 1743000.00000000 USD -195016.48000000 N N N LIMA METRO LINE 2 FIN LT 5493009BVQNQT1UKQ352 532522AB5 210829.64000000 PA USD 224731.22000000 0.069638223841 Long DBT CORP KY N 2 2036-04-05 Fixed 4.35000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FAXY9 872257.33000000 PA USD 163634.78000000 0.050706063171 Long ABS-MBS USGSE US N 2 2047-09-15 Floating 6.06000000 N N N N N N L Street Securities 549300T6W1U156OOG754 949771AG4 39861.44000000 PA USD 39369.25000000 0.012199482759 Long ABS-MBS CORP US N 2 2025-11-25 Floating 5.58900000 N N N N N N Banc of America Merrill Lynch Large Loan Inc N/A 05525BAL4 960000.00000000 PA USD 877000.61000000 0.271759147607 Long ABS-MBS CORP US N 2 2037-03-10 Variable 3.53400000 N N N N N N Genworth Mortgage Insurance Corporation N/A 89600MAB4 1074657.00000000 PA USD 1076658.33000000 0.333627761131 Long ABS-MBS CORP BM N 2 2030-10-25 Floating 3.98900000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 34000.00000000 OU Notional Amount USD -9432.17000000 -0.00292277844 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 -4850.14000000 USD 34000.00000000 USD -4582.03000000 N N N Air Lease Corp 5493004NW4M4P8TMMK63 00912XAV6 34000.00000000 PA USD 36144.04000000 0.011200076019 Long DBT CORP US N 2 2027-04-01 Fixed 3.62500000 N N N N N N Flagstar Mortgage Trust N/A 33852HAB8 558046.65000000 PA USD 565628.27000000 0.175273146637 Long ABS-MBS CORP US N 2 2051-09-25 Variable 2.50000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBP4 1201000.00000000 PA USD 1170566.66000000 0.362727453221 Long DBT CORP US N 2 2051-06-04 Fixed 2.93900000 N N N N N N Balboa Bay Loan Funding Ltd 549300G0EX8VHFWPJW18 05765XAJ0 709386.00000000 PA USD 709447.01000000 0.219838746417 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 3.19700000 N N N N N N Ashford Hospitality Trust N/A 04410CAA7 525842.00000000 PA USD 526030.25000000 0.163002774143 Long ABS-MBS CORP US N 2 2035-06-15 Floating 1.09000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AQVP2 1125127.68000000 PA USD 222999.74000000 0.069101684272 Long ABS-MBS USGSE US N 2 2045-12-25 Floating 6.06100000 N N N N N N GS Mortgage Securities Trust N/A 36191YAL2 251646.00000000 PA USD 120790.08000000 0.037429630955 Long ABS-MBS CORP US N 2 2044-08-10 Variable 5.15900000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XDY7 376821.75000000 PA USD 413721.38000000 0.128201244438 Long ABS-MBS USGSE US N 2 2029-04-25 Floating 9.33900000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BK0 469000.00000000 PA USD 483070.00000000 0.149690536058 Long DBT CORP US N 2 2026-06-01 Fixed 4.00000000 N N N N N N SWISS RE FINANCE LUX 549300CLQZ6TM98LW631 000000000 400000.00000000 PA USD 453700.00000000 0.140589554743 Long DBT CORP LU N 2 2049-04-02 Fixed 5.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -65367.38000000 -0.02025561130 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 28799923.86000000 SEK 3292335.59000000 USD 2022-01-20 -65367.38000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAN5 179000.00000000 PA USD 207414.46000000 0.064272220803 Long DBT CORP IE N 2 2025-07-15 Fixed 6.50000000 N N N N N N ABN AMRO Bank NV BFXS5XCH7N0Y05NIXW11 00080QAF2 200000.00000000 PA USD 220088.00000000 0.068199413542 Long DBT CORP NL N 2 2025-07-28 Fixed 4.75000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 291000.00000000 OU Notional Amount USD -80728.25000000 -0.02501553608 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 -41322.71000000 USD 291000.00000000 USD -39405.54000000 N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XAZ7 18013.94000000 PA USD 18084.26000000 0.005603830860 Long ABS-MBS USGSE US N 2 2025-05-25 Floating 4.08900000 N N N N N N Tobacco Settlement Finance Authority N/A 88880LAV5 430645.17000000 PA USD 441636.18000000 0.136851298004 Long DBT MUN US N 2 2035-06-01 Fixed 3.00000000 N N N N N N CDBL FUNDING 1 254900PLOF8VWTAH3F83 000000000 580000.00000000 PA USD 605241.60000000 0.187548263292 Long DBT CORP KY N 2 2027-10-24 Fixed 3.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKJ0 420000.00000000 PA USD 426136.20000000 0.132048266735 Long DBT CORP US N 2 2053-09-15 Fixed 3.50000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 431.81000000 0.000133806426 N/A DFE CA N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 647727.19000000 USD 802171.07000000 CAD 2021-11-19 431.81000000 N N N Braemar Hotels & Resorts Trust N/A 10482TAA0 700000.00000000 PA USD 699573.98000000 0.216779357192 Long ABS-MBS CORP US N 2 2035-06-15 Floating 0.91000000 N N N N N N State of California N/A 13063BFR8 970000.00000000 PA USD 1619479.70000000 0.501833656465 Long DBT MUN US N 2 2040-03-01 Fixed 7.62500000 N N N N N N TENCENT HOLDINGS LTD 254900N4SLUMW4XUYY11 88032WAT3 533000.00000000 PA USD 533599.63000000 0.165348323545 Long DBT CORP KY N 2 2026-01-26 Fixed 1.81000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9T37 497028.86000000 PA USD 543106.22000000 0.168294162768 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.50000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HKK5 470000.00000000 PA USD 472909.30000000 0.146542005556 Long DBT CORP US N 2 2022-02-01 Variable 3.93200000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBF7 756597.60000000 PA USD 838168.28000000 0.259726042065 Long DBT UST US N 2 2031-01-15 Fixed 0.12500000 N N N N N N LIMA METRO LINE 2 FIN LT 5493009BVQNQT1UKQ352 000000000 175116.98000000 PA USD 201734.76000000 0.062512232939 Long DBT CORP KY N 2 2034-07-05 Fixed 5.87500000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBH1 56000.00000000 PA USD 65864.96000000 0.020409798103 Long DBT CORP US N 2 2050-05-15 Fixed 4.65000000 N N N N N N Aircastle Ltd 549300PNK8AKY3OIKP58 00928QAQ4 152000.00000000 PA USD 160581.92000000 0.049760063109 Long DBT CORP BM N 2 2024-05-01 Fixed 4.12500000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YBD0 235000.00000000 PA USD 239815.15000000 0.074312332288 Long DBT CORP JP N 2 2026-05-25 Fixed 2.22600000 N N N N N N CHILE ELEC PEC SPA N/A 168831AA3 679000.00000000 PA USD 552239.19000000 0.171124227096 Long DBT CORP CL N 2 2028-01-25 None 0.00000000 N N N N N N PMT Credit Risk Transfer Trust N/A 73021CAA3 209690.28000000 PA USD 209708.04000000 0.064982940202 Long ABS-MBS CORP US N 2 2024-03-27 Floating 2.08800000 N N N N N N SLM CORP N/A 78442PGD2 587000.00000000 PA USD 620740.76000000 0.192351040465 Long DBT CORP US N 2 2025-10-29 Fixed 4.20000000 N N N N N N Marathon Oil Corp 1FRVQX2CRLGC1XLP5727 565849AB2 650000.00000000 PA USD 848341.00000000 0.262878297245 Long DBT CORP US N 2 2032-03-15 Fixed 6.80000000 N N N N N N STATE OF QATAR 52990074F6OJOAXK4P65 74727PBC4 252000.00000000 PA USD 269214.75000000 0.083422485855 Long DBT NUSS QA N 2 2025-04-16 Fixed 3.40000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 060505EU4 185000.00000000 PA USD 212959.05000000 0.065990341675 Long DBT CORP US N 2 2026-03-10 Fixed 6.30000000 N N N N N N GE CAPITAL EURO FUNDING YHZHHIVHTKEV7XROHS46 000000000 150000.00000000 PA 210547.46000000 0.065243054118 Long DBT CORP IE N 2 2027-02-22 Fixed 4.62500000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 155000.00000000 OU Notional Amount USD -42999.58000000 -0.01332442540 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 -10257.87000000 USD 155000.00000000 USD -32741.71000000 N N N MATTEL INC 549300VELLG24KHTJ564 577081BE1 311000.00000000 PA USD 320619.23000000 0.099351366074 Long DBT CORP US N 2 2026-04-01 Fixed 3.37500000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AA6 700000.00000000 PA USD 696437.00000000 0.215807290581 Long DBT CORP GB N 2 2027-09-30 Variable 2.45200000 N N N N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585ABC5 255000.00000000 PA USD 293497.35000000 0.090947017312 Long DBT CORP US N 2 2026-12-15 Fixed 5.12500000 N N N N N N First Horizon Alternative Mortgage Securities 549300KOHW56HILAN819 32051HAJ2 178207.26000000 PA USD 116587.54000000 0.036127375660 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 117.00000000 NC USD -174813.80000000 -0.05417014393 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year US Treasury Note FVZ1 Comdty 2021-12-31 14419563.80000000 USD -174813.80000000 N N N WESTINGHOUSE AIR BRAKE 06BTX5UWZD0GQ5N5Y745 960386AN0 393000.00000000 PA USD 419881.20000000 0.130110008712 Long DBT CORP US N 2 2024-03-15 Fixed 4.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9T45 761537.60000000 PA USD 832136.40000000 0.257856922992 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.50000000 N N N N N N BELLEMEADE RE LT 254900SCWI9IDKK5LV64 07877GAC3 263000.00000000 PA USD 262999.89000000 0.081496666150 Long ABS-MBS CORP BM N 2 2029-07-25 Floating 2.03900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GV67 196913.02000000 PA USD 224523.97000000 0.069574002582 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N WYNN MACAU LTD 254900NMDQ8ENTHU1I31 98313RAH9 330000.00000000 PA USD 305127.90000000 0.094551015209 Long DBT CORP KY N 2 2028-08-26 Fixed 5.62500000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967ME8 334000.00000000 PA USD 370963.78000000 0.114951802195 Long DBT CORP US N 2 2030-03-20 Fixed 3.98000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 459000.00000000 PA USD 518536.89000000 0.160680781315 Long DBT CORP GB N 2 2029-06-19 Fixed 4.58300000 N N N N N N Regatta XX Funding Ltd N/A 75884YAA6 1018889.00000000 PA USD 1020180.95000000 0.316126924218 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 1.24400000 N N N N N N ENGIE ENERGIA CHILE SA 5493000FIKCC3ZDWTO77 000000000 349000.00000000 PA USD 348738.25000000 0.108064701982 Long DBT CORP CL N 2 2030-01-28 Fixed 3.40000000 N N N N N N MATTEL INC 549300VELLG24KHTJ564 577081BF8 310000.00000000 PA USD 322108.60000000 0.099812882197 Long DBT CORP US N 2 2029-04-01 Fixed 3.75000000 N N N N N N Countrywide Home Loans 5493008WNOU8I3M5WW38 12543TAU9 50579.57000000 PA USD 32318.41000000 0.010014615102 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 121200000.00000000 OU Notional Amount -281294.38000000 -0.08716564169 N/A DIR SE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2024-08-30 0.00000000 SEK 0.00000000 SEK 121200000.00000000 SEK -281294.38000000 N N N COMM Mortgage Trust N/A 12592PBH5 375000.00000000 PA USD 397960.80000000 0.123317460165 Long ABS-MBS CORP US N 2 2047-12-10 Fixed 4.04800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJBE9 98822.43000000 PA USD 113215.46000000 0.035082457816 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.50000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CB3 265000.00000000 PA USD 282935.20000000 0.087674088140 Long DBT CORP DE N 2 2025-11-26 Fixed 3.96100000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 313000.00000000 OU Notional Amount USD -86831.42000000 -0.02690674603 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 -49672.71000000 USD 313000.00000000 USD -37158.71000000 N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAJ1 72000.00000000 PA USD 74349.36000000 0.023038887850 Long DBT CORP US N 2 2026-01-15 Fixed 2.87500000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 465968AG0 4641905.40000000 PA USD 203233.29000000 0.062976587502 Long ABS-MBS CORP US N 2 2050-09-15 Variable 1.03900000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46636VAR7 52503.55000000 PA USD 52115.02000000 0.016149057653 Long ABS-MBS CORP US N 2 2046-08-15 Variable 5.56600000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 52000.00000000 OU Notional Amount USD -14425.67000000 -0.00447013119 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 -5834.59000000 USD 52000.00000000 USD -8591.08000000 N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAD3 5000.00000000 PA USD 5340.40000000 0.001654847824 Long DBT CORP US N 2 2025-08-01 Fixed 4.12500000 N N N N N N CITIZENS FINANCIAL GROUP 2138004JDDA4ZQUPFW65 174610AK1 958000.00000000 PA USD 1052477.96000000 0.326134908030 Long DBT CORP US N 2 2025-12-03 Fixed 4.30000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 000000000 13100000.00000000 OU Notional Amount USD 16063.67000000 0.004977703797 N/A DCR US N 2 Morgan Stanley IGJSJL3JD5P30I6NJZ34 Markit iBoxx USD Liquid High Yield Index IBOXHY Index Y equity-performance leg 2021-12-20 0.00000000 USD 0.00000000 USD 13100000.00000000 USD 16063.67000000 N N N Wells Fargo Commercial Mortgage Trust 549300REQJRID6TODX95 95001RAX7 89263.00000000 PA USD 102082.60000000 0.031632680804 Long ABS-MBS CORP US N 2 2052-01-15 Fixed 4.30200000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 104000.00000000 OU Notional Amount USD -28851.33000000 -0.00894025928 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 -10746.84000000 USD 104000.00000000 USD -18104.49000000 N N N ONEOK Partners LP T4DHW82NMF6BXJT50795 68268NAG8 48000.00000000 PA USD 62128.80000000 0.019252061557 Long DBT CORP US N 2 2041-02-01 Fixed 6.12500000 N N N N N N DIGITAL REALTY TRUST LP CD4SPTZ3YBTHY0C1AH38 25389JAU0 542000.00000000 PA USD 589197.36000000 0.182576580335 Long DBT US N 2 2029-07-01 Fixed 3.60000000 N N N N N N SK HYNIX INC 988400XAIK6XISWQV045 78392BAC1 280000.00000000 PA USD 269080.00000000 0.083380730417 Long DBT CORP KR N 2 2031-01-19 Fixed 2.37500000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 30000.00000000 OU Notional Amount USD -8322.50000000 -0.00257892124 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 -2801.32000000 USD 30000.00000000 USD -5521.18000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 2014000.00000000 OU Notional Amount USD 190058.25000000 0.058893993261 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.HY.S37.V1 2I65BRYQ7 Y sell protection 2026-12-20 188290.77000000 USD 0.00000000 USD 2014000.00000000 USD 1767.48000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 224000.00000000 OU Notional Amount USD -62141.33000000 -0.01925594427 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 -35044.25000000 USD 224000.00000000 USD -27097.08000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828U24 965200.00000000 PA USD 1003204.75000000 0.310866451661 Long DBT UST US N 2 2026-11-15 Fixed 2.00000000 N N N N N N FannieMae Grantor Trust N/A 31394AXY7 65391.11000000 PA USD 63524.72000000 0.019684620013 Long ABS-MBS USGSE US N 2 2035-05-28 Variable 0.62600000 N N N N N N GS Mortgage Securities Trust N/A 36192PAT3 761997.00000000 PA USD 776642.89000000 0.240660961206 Long ABS-MBS CORP US N 2 2045-11-10 Fixed 3.12400000 N N N N N N Freddie Mac - STACR 549300KB1O80CETXGJ21 35564TBD1 600000.00000000 PA USD 608354.16000000 0.188512762795 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 3.33900000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 20579.19000000 0.006376943264 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 642003.24000000 EUR 762821.25000000 USD 2021-11-08 20579.19000000 N N N UBS Group AG 549300SZJ9VS8SGXAN81 000000000 312000.00000000 PA USD 350981.28000000 0.108759757280 Long DBT CORP CH N 2 2025-02-19 Fixed 7.00000000 N N N N Y UBS Group AG USD XXXX N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61761JQK8 79000.00000000 PA USD 79367.35000000 0.024593829397 Long DBT CORP US N 2 2022-01-15 Variable 3.73400000 N N N N N N PMT CREDIT RISK TRANSFER TRUST N/A 69345WAA6 369797.82000000 PA USD 366215.74000000 0.113480510968 Long ABS-MBS CORP US N 2 2023-05-27 Floating 2.83800000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 58000.00000000 OU Notional Amount USD 4861.37000000 0.001506409177 N/A DCR US N 2 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Markit CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-17 11489.52000000 USD 0.00000000 USD 58000.00000000 USD -6628.15000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F4MJ2 124639.47000000 PA USD 129833.51000000 0.040231949221 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 2.50000000 N N N N N N Residential Accredit Loans, Inc. N/A 74923HAH4 520104.16000000 PA USD 90965.07000000 0.028187654151 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.42900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31346YAV5 356923.47000000 PA USD 381323.33000000 0.118161951020 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.50000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CX6 28000.00000000 PA USD 31731.00000000 0.009832592377 Long DBT CORP US N 2 2028-03-25 Fixed 4.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419LZY2 287514.96000000 PA USD 315267.20000000 0.097692914421 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967LW9 494000.00000000 PA USD 549861.52000000 0.170387450445 Long DBT CORP US N 2 2029-04-23 Fixed 4.07500000 N N N N N N Radnor Re LTD N/A 75049TAB7 351366.00000000 PA USD 351365.89000000 0.108878937683 Long ABS-MBS CORP BM N 2 2029-06-25 Floating 1.83900000 N N N N N N Bayview MSR Opportunity Master Fund Trust 2021-INV2 N/A 07336LAB9 252070.64000000 PA USD 254729.20000000 0.078933799444 Long ABS-MBS CORP US N 2 2051-06-25 Variable 2.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 45000.00000000 OU Notional Amount USD -12483.75000000 -0.00386838186 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 -5194.18000000 USD 45000.00000000 USD -7289.57000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810RH3 3034400.00000000 PA USD 3663563.88000000 1.135240940405 Long DBT UST US N 2 2044-08-15 Fixed 3.12500000 N N N N N N Freddie Mac - STACR 5493005RUXPCBST1N217 35563XBD3 1250000.00000000 PA USD 1305522.38000000 0.404546638993 Long ABS-MBS USGSE US N 2 2048-10-25 Floating 4.33900000 N N N N N N Suncor Energy Inc 549300W70ZOQDVLCHY06 71644EAJ1 534000.00000000 PA USD 759283.92000000 0.235281878413 Long DBT CORP CA N 2 2038-05-15 Fixed 6.80000000 N N N N N N Great Wolf Trust N/A 39152TAA8 1019000.00000000 PA USD 1018350.39000000 0.315559682394 Long ABS-MBS CORP US N 2 2036-12-15 Floating 1.12400000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAY4 277000.00000000 PA USD 334201.89000000 0.103560270904 Long DBT CORP XX N 2 2028-12-01 Fixed 5.55000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29279FAA7 156000.00000000 PA USD 207554.88000000 0.064315733224 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AB3 401000.00000000 PA USD 445647.34000000 0.138094249731 Long DBT CORP XX N 2 2028-10-20 Fixed 4.75000000 N N N N N N GoldenTree Loan Management US CLO1, LTD 549300DO8S88M0JNL340 38138LAL2 581389.00000000 PA USD 581731.44000000 0.180263090433 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.20200000 N N N N N N LEVI STRAUSS & CO MB0UERO0RDFKU8258G77 52736RBJ0 382000.00000000 PA USD 386893.42000000 0.119887973662 Long DBT CORP US N 2 2031-03-01 Fixed 3.50000000 N N N N N N Hardee's Funding N/A 411707AF9 330583.76000000 PA USD 367338.39000000 0.113828390324 Long ABS-O CORP US N 2 2048-06-20 Fixed 5.71000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABU8 169000.00000000 PA USD 171724.28000000 0.053212783918 Long DBT CORP US N 2 2026-04-15 Fixed 2.62500000 N N N N N N CPS Auto Trust N/A 12598CAG1 470000.00000000 PA USD 466717.19000000 0.144623235470 Long ABS-O CORP US N 2 2027-06-15 Fixed 1.69000000 N N N N N N INDUSTRIAS PENOLES SAB D 549300WA2HB7776CB324 456472AD1 268000.00000000 PA USD 290579.00000000 0.090042698319 Long DBT CORP MX N 2 2050-08-06 Fixed 4.75000000 N N N N N N Starwood Retail Property Trust 5493007115G809OI4R97 85571XAA5 1045175.81000000 PA USD 637557.24000000 0.197562020045 Long ABS-MBS CORP US N 2 2027-11-15 Floating 1.56000000 N N N N N N MDC Holdings Inc 5299005FV4VNV75R8R35 552676AQ1 346000.00000000 PA USD 438219.38000000 0.135792522622 Long DBT CORP US N 2 2043-01-15 Fixed 6.00000000 N N N N N N Eni SpA BUCRF72VH5RBN7X3VL35 26874RAJ7 850000.00000000 PA USD 962914.00000000 0.298381420577 Long DBT CORP IT N 2 2029-05-09 Fixed 4.25000000 N N N N N N UBS Switzerland AG 549300WOIFUSNYH0FL22 000000000 1.00000000 NC 7951.28000000 0.002463890048 N/A DFE US N 2 UBS Switzerland AG 549300WOIFUSNYH0FL22 30545191.81000000 RUB 434818.45000000 USD 2021-12-15 7951.28000000 N N N Freddie Mac - STACR 5493005LAQ76UDHPEE03 35565CBD7 750000.00000000 PA USD 753896.48000000 0.233612454145 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 3.03900000 N N N N N N UBS Commercial Mortgage Trust N/A 90276FAW4 750000.00000000 PA USD 848961.60000000 0.263070604668 Long ABS-MBS CORP US N 2 2051-05-15 Fixed 4.31300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CFJ8 200978.09000000 PA USD 209416.16000000 0.064892494358 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 2.50000000 N N N N N N HARLEY-DAVIDSON FINL SER RLUFFFFW4GRYU77BTS24 41283LAY1 1078000.00000000 PA USD 1136966.60000000 0.352315688895 Long DBT CORP US N 2 2025-06-08 Fixed 3.35000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCC4 392000.00000000 PA USD 345450.00000000 0.107045760824 Long DBT CORP MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MU2 329000.00000000 PA USD 335405.63000000 0.103933277892 Long DBT CORP US N 2 2025-12-10 Fixed 4.00000000 N N N N N N DELL INT LLC / EMC CORP N/A 24703TAD8 469000.00000000 PA USD 552397.58000000 0.171173307942 Long DBT CORP US N 2 2026-06-15 Fixed 6.02000000 N N N N N N Freddie Mac - STACR 5493009ZFZYH4FRCW638 35565EAE2 700000.00000000 PA USD 688602.04000000 0.213379445005 Long ABS-MBS USGSE US N 2 2047-09-25 Floating 4.88600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X6P58 675298.54000000 PA USD 741064.99000000 0.229636316905 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 06738CAG4 129000.00000000 PA USD 174377.04000000 0.054034803639 Long DBT CORP GB N 2 2032-06-15 Fixed 6.86000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17320DAQ1 500000.00000000 PA USD 515399.60000000 0.159708618643 Long ABS-MBS CORP US N 2 2046-04-10 Variable 3.73200000 N N N N N N GSF 2021 1 ISSUER LLC N/A 36261CAA9 101556.92000000 PA USD 101002.20000000 0.031297893599 Long ABS-O CORP US N 3 2026-08-15 Variable 1.43300000 N N N N N N ARDAGH METAL PACKAGING N/A 03969YAA6 485000.00000000 PA USD 474882.90000000 0.147153571668 Long DBT CORP XX N 2 2028-09-01 Fixed 3.25000000 N N N N N N INEOS QUATTRO FINANCE 2 213800V48W4Y5MT5Q131 000000000 313000.00000000 PA 360923.39000000 0.111840552559 Long DBT CORP GB N 2 2026-01-15 Fixed 2.50000000 N N N N N N Eagle Re Ltd 254900SAV74IHXQ8XY35 26982LAA8 950000.00000000 PA USD 940755.36000000 0.291515047794 Long ABS-MBS CORP BM N 2 2030-01-25 Floating 0.98900000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAL7 457000.00000000 PA USD 577634.29000000 0.178993492694 Long DBT CORP US N 2 2041-07-15 Fixed 5.60000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 7356.87000000 0.002279698209 N/A DFE AU N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 322383.64000000 USD 438324.33000000 AUD 2021-11-09 7356.87000000 N N N Radnor Re LTD 254900YVLP8CB4GC2O97 750493AD0 850000.00000000 PA USD 849999.66000000 0.263392271834 Long ABS-MBS CORP BM N 2 2030-01-25 Floating 2.08900000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 31.00000000 NC USD -47683.40000000 -0.01477581656 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Ultra 10-Year US Treasury Note Futures UXYZ1 Comdty 2021-12-21 4543652.15000000 USD -47683.40000000 N N N ENTERGY CORP 4XM3TW50JULSLG8BNC79 29364GAN3 785000.00000000 PA USD 769637.55000000 0.238490192788 Long DBT CORP US N 2 2028-06-15 Fixed 1.90000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2100000.00000000 OU Notional Amount 4913.28000000 0.001522494704 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2051-03-04 0.00000000 CAD 0.00000000 CAD 2100000.00000000 CAD 4913.28000000 N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0NE5 825927.12000000 PA USD 853834.62000000 0.264580623870 Long ABS-MBS USGSE US N 2 2029-08-25 Floating 3.63900000 N N N N N N INVERSIONES CMPC SA 549300G475ACIABB4385 000000000 490000.00000000 PA USD 531282.50000000 0.164630306629 Long DBT CORP CL N 2 2027-04-04 Fixed 4.37500000 N N N N N N COLONY MORTGAGE CAPITAL LTD N/A 12564NAL6 540000.00000000 PA USD 537290.01000000 0.166491874088 Long ABS-MBS CORP US N 2 2038-11-15 Floating 2.11500000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46634SAJ4 690000.00000000 PA USD 668685.21000000 0.207207749475 Long ABS-MBS CORP US N 2 2045-05-15 Variable 5.13900000 N N N N N N Dominos Pizza Master Issuer LLC N/A 25755TAN0 413920.00000000 PA USD 423177.73000000 0.131131515622 Long ABS-O CORP US N 2 2051-04-25 Fixed 2.66200000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 760000.00000000 OU Notional Amount USD -210836.67000000 -0.06533267260 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 -57913.73000000 USD 760000.00000000 USD -152922.94000000 N N N Morgan Stanley BAML Trust N/A 61763MAF7 730000.00000000 PA USD 773987.03000000 0.239837980878 Long ABS-MBS CORP US N 2 2047-06-15 Fixed 3.89200000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 462000.00000000 OU Notional Amount USD 38723.30000000 0.011999320046 N/A DCR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Markit CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-17 92829.92000000 USD 0.00000000 USD 462000.00000000 USD -54106.62000000 N N N Fannie Mae - CAS N/A 20754JAB0 209225.58000000 PA USD 209687.65000000 0.064976621883 Long ABS-MBS USGSE US N 2 2039-09-25 Floating 2.18900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179R7H6 103534.70000000 PA USD 108634.24000000 0.033662859668 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 3.00000000 N N N N N N J.P. Morgan Alternative Loan Trust N/A 46628UAF5 415583.09000000 PA USD 356676.89000000 0.110524675230 Long ABS-MBS CORP US N 2 2036-07-25 Variable 3.16900000 N N N N N N CIT Group Inc N8O96ZZJQRFYQUJY7K79 125581GW2 383000.00000000 PA USD 421541.29000000 0.130624426420 Long DBT CORP US N 2 2025-03-07 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402DP79 29788.48000000 PA USD 34008.93000000 0.010538462256 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.50000000 N N N N N N AES PANAMA GENERATION HL N/A 00109AAB3 274000.00000000 PA USD 281415.13000000 0.087203058903 Long DBT CORP PA N 2 2030-05-31 Fixed 4.37500000 N N N N N N Radnor Re LTD N/A 75049UAC2 283763.48000000 PA USD 284379.47000000 0.088121628973 Long ABS-MBS CORP US N 2 2030-10-25 Floating 4.68900000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493007OD9MH69ES1S63 95000HBJ0 8228058.14000000 PA USD 525577.09000000 0.162862351920 Long ABS-MBS CORP US N 2 2049-10-15 Variable 1.61600000 N N N N N N Magnetite CLO Ltd 549300F7COUCG1RROP29 55954YAJ4 998076.00000000 PA USD 1001613.18000000 0.310373266477 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 1.21000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133A1B92 895219.62000000 PA USD 965510.38000000 0.299185969636 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AXSW6 1033243.65000000 PA USD 210787.59000000 0.065317464014 Long ABS-MBS USGSE US N 2 2047-08-25 Floating 6.06100000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05493BAA6 692000.00000000 PA USD 695054.70000000 0.215378952601 Long ABS-MBS CORP US N 2 2037-10-15 Floating 2.23000000 N N N N N N GS Mortgage Securities Trust N/A 36197QAC3 766413.00000000 PA USD 767210.61000000 0.237738148675 Long ABS-MBS CORP US N 2 2031-04-10 Variable 3.55700000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAK1 407000.00000000 PA USD 557370.22000000 0.172714196731 Long DBT CORP US N 2 2049-01-25 Fixed 5.57600000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RLV2 457000.00000000 PA USD 464499.37000000 0.143935992080 Long DBT CORP US N 2 2059-09-15 Fixed 3.65000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 19000.00000000 OU Notional Amount USD -5270.92000000 -0.00163331782 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 -2307.47000000 USD 19000.00000000 USD -2963.45000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JYGR1 685658.79000000 PA USD 732531.52000000 0.226992021670 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.50000000 N N N N N N World Financial Network Credit Card Master Trust N/A 981464HD5 600000.00000000 PA USD 609528.36000000 0.188876616124 Long ABS-O CORP US N 2 2026-04-15 Fixed 3.04000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 745000.00000000 OU Notional Amount USD -206675.42000000 -0.06404321197 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 -49978.35000000 USD 745000.00000000 USD -156697.07000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128QPNL2 17178.16000000 PA USD 18127.29000000 0.005617164711 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 2.37500000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AQ1 1087000.00000000 PA USD 1213678.98000000 0.376086813751 Long DBT CORP US N 2 2025-06-23 Fixed 6.12500000 N N N N N N Fannie Mae - CAS N/A 20754CAF6 500000.00000000 PA USD 502020.60000000 0.155562822626 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 3.33900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HAXF2 409447.75000000 PA USD 438205.97000000 0.135788367220 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.50000000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KAP1 315000.00000000 PA USD 350522.55000000 0.108617609063 Long DBT CORP US N 2 2027-07-13 Fixed 4.40000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYB4 715000.00000000 PA USD 717030.60000000 0.222188699120 Long DBT CORP US N 2 2032-04-22 Fixed 2.61500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QWA5 280796.96000000 PA USD 321097.92000000 0.099499699364 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJL71 789950.19000000 PA USD 823116.25000000 0.255061818579 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 2.50000000 N N N N N N COMM Mortgage Trust N/A 12592MBN9 800000.00000000 PA USD 858653.44000000 0.266073847935 Long ABS-MBS CORP US N 2 2047-10-10 Variable 4.49000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46643GAL4 890000.00000000 PA USD 865407.34000000 0.268166701789 Long ABS-MBS CORP US N 2 2047-11-15 Variable 4.40300000 N N N N N N Rockford Tower CLO Ltd 5493000QG193Z8ZVLY16 77341KAJ0 710788.00000000 PA USD 710639.45000000 0.220208251836 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 3.13200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335A6X1 445285.94000000 PA USD 486410.72000000 0.150725736273 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BT0 129000.00000000 PA USD 146347.92000000 0.045349325347 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N OLEODUCTO CENTRAL SA 254900W4CPYCQFVH5E92 680617AC1 429000.00000000 PA USD 438464.81000000 0.135868574847 Long DBT CORP CO N 2 2027-07-14 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CFE9 528965.73000000 PA USD 565746.57000000 0.175309804658 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N GLOBO COMMUNICACOES PART 52990054HEKS017PVR75 37959DAB0 417000.00000000 PA USD 402405.00000000 0.124694599463 Long DBT CORP BR N 2 2030-01-22 Fixed 4.87500000 N N N N N N Netflix Inc 549300Y7VHGU0I7CE873 64110LAT3 766000.00000000 PA USD 932727.56000000 0.289027446235 Long DBT CORP US N 2 2028-11-15 Fixed 5.87500000 N N N N N N BFLD Trust N/A 05554BAA2 1060000.00000000 PA USD 1059679.99000000 0.328366625444 Long ABS-MBS CORP US N 2 2038-06-15 Floating 1.69100000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BT6 478000.00000000 PA USD 518673.02000000 0.160722964379 Long DBT CORP GB N 2 2025-07-26 Fixed 6.00000000 N N N N Y Standard Chartered PLC USD XXXX N N N Natixis Commercial Mortgage Securities N/A 63875FAA4 379000.00000000 PA USD 379117.30000000 0.117478361036 Long ABS-MBS CORP US N 2 2036-07-15 Floating 1.59000000 N N N N N N ENBRIDGE ENERGY PARTNERS CZ6VG2MNE1J6YDI02G48 29250RAX4 634000.00000000 PA USD 1019909.46000000 0.316042796693 Long DBT CORP US N 2 2045-10-15 Fixed 7.37500000 N N N N N N Flagship Credit Auto Trust N/A 33846AAJ5 960000.00000000 PA USD 987405.12000000 0.305970566832 Long ABS-O CORP US N 2 2026-12-15 Fixed 3.84000000 N N N N N N BELLEMEADE RE LT 254900KXN235YISGF415 07876LAD1 540000.00000000 PA USD 546376.00000000 0.169307380564 Long ABS-MBS CORP BM N 2 2029-10-25 Floating 2.93900000 N N N N N N VEDANTA RESOURCES 8945002DGA3BBXO3N634 92243XAD3 377000.00000000 PA USD 407631.25000000 0.126314075241 Long DBT CORP GB N 2 2024-01-21 Fixed 13.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B0CN4 1109478.13000000 PA USD 271287.60000000 0.084064806901 Long ABS-MBS USGSE US N 2 2047-12-25 Floating 6.11100000 N N N N N N BELLEMEADE RE LT N/A 07876UAA7 95064.36000000 PA USD 95086.73000000 0.029464846887 Long ABS-MBS CORP BM N 2 2030-06-25 Floating 2.68900000 N N N N N N M.T.LOGANS RE LTD PREF SHS CL N/A 000000000 452.00000000 NS USD 475621.79000000 0.147382534014 Long EC CORP US Y 3 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FTKL4 732812.72000000 PA USD 763579.86000000 0.236613075883 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 2.50000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XCR3 99364.56000000 PA USD 114436.38000000 0.035460788429 Long ABS-MBS USGSE US N 2 2028-10-25 Floating 11.83900000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 46000.00000000 OU Notional Amount USD -12761.17000000 -0.00395434694 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 -2527.33000000 USD 46000.00000000 USD -10233.84000000 N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61744YAP3 790000.00000000 PA USD 867009.20000000 0.268663075570 Long DBT CORP US N 2 2029-01-24 Fixed 3.77200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F7A96 1831385.74000000 PA USD 244037.28000000 0.075620658002 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 3.50000000 N N N N N N COMM Mortgage Trust N/A 12625EAA7 113987.55000000 PA USD 114372.90000000 0.035441117667 Long ABS-MBS CORP US N 2 2035-04-12 Fixed 1.87300000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCC8 892000.00000000 PA USD 898404.56000000 0.278391662044 Long DBT CORP US N 2 2032-04-22 Fixed 2.58000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBS3 220000.00000000 PA USD 214469.20000000 0.066458296967 Long DBT CORP US N 2 2031-03-25 Fixed 2.72600000 N N N N N N GUARDIAN LIFE INSURANCE N1YIDVMMKBHFYCCAIX69 401378AC8 294000.00000000 PA USD 392166.60000000 0.121521991798 Long DBT CORP US N 2 2077-01-24 Fixed 4.85000000 N N N N N N Fannie Mae - CAS N/A 20753KAB8 67671.53000000 PA USD 68033.92000000 0.021081901080 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 2.38900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132Y3BL7 470174.20000000 PA USD 513886.86000000 0.159239860779 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 260000.00000000 OU Notional Amount USD -72128.33000000 -0.02235064976 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 -33870.15000000 USD 260000.00000000 USD -38258.18000000 N N N COMM Mortgage Trust N/A 20048EBB6 1580000.00000000 PA USD 1619513.59000000 0.501844158074 Long ABS-MBS CORP US N 2 2046-01-10 Fixed 3.73900000 N N N N N N INGEVITY CORP 5493009UTFC4B5IMGF87 45688CAB3 453000.00000000 PA USD 445607.04000000 0.138081761833 Long DBT CORP US N 2 2028-11-01 Fixed 3.87500000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XLT9 268355.17000000 PA USD 275249.46000000 0.085292481870 Long ABS-MBS USGSE US N 2 2029-11-25 Floating 2.93900000 N N N N N N Invitation Homes Trust N/A 46185HAE2 206271.60000000 PA USD 206368.40000000 0.063948074650 Long ABS-O CORP US N 2 2037-06-17 Floating 1.37000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XEQ3 750000.00000000 PA USD 827491.28000000 0.256417523934 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 5.83900000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XGN8 617727.00000000 PA USD 643590.49000000 0.199431563645 Long ABS-MBS USGSE US N 2 2029-09-25 Floating 3.73900000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RCY8 920000.00000000 PA USD 963654.00000000 0.298610726882 Long ABS-O CORP US N 2 2024-09-20 Fixed 3.70000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBG3 81000.00000000 PA USD 102974.49000000 0.031909053777 Long DBT CORP US N 2 2049-05-15 Fixed 5.30000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 776480.00000000 OU Notional Amount USD 68705.77000000 0.021290089514 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.HY.S34.V8 2I65BRYD6 Y sell protection 2025-06-20 31666.30000000 USD 0.00000000 USD 776480.00000000 USD 37039.47000000 N N N Exeter Automobile Receivables Trust N/A 30165YAE3 167190.43000000 PA USD 169078.71000000 0.052392992187 Long ABS-O CORP US N 2 2023-07-17 Fixed 3.68000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AWCG0 1104093.60000000 PA USD 236201.50000000 0.073192558330 Long ABS-MBS USGSE US N 2 2047-04-25 Floating 5.86100000 N N N N N N TERRAFORM GLOBAL OPERATI 549300LC7QMVR79H5O86 88104UAC7 60000.00000000 PA USD 61491.60000000 0.019054610236 Long DBT CORP US N 2 2026-03-01 Fixed 6.12500000 N N N N N N EXPEDIA GROUP INC N/A 30212PBK0 374000.00000000 PA USD 418924.88000000 0.129813670597 Long DBT CORP US N 2 2027-08-01 Fixed 4.62500000 N N N N N N ROSS STORES INC 549300ENZFLPGRDFZQ60 778296AC7 893000.00000000 PA USD 1015028.45000000 0.314530301602 Long DBT CORP US N 2 2027-04-15 Fixed 4.70000000 N N N N N N AIRCASTLE LTD 549300PNK8AKY3OIKP58 00928QAT8 384000.00000000 PA USD 425395.20000000 0.131818650557 Long DBT CORP BM N 2 2025-08-11 Fixed 5.25000000 N N N N N N COMM Mortgage Trust N/A 12629NAF2 765000.00000000 PA USD 808921.25000000 0.250663165879 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.35000000 N N N N N N ALPEK SA DE CV 549300PWKJTP62D4IQ66 020564AD2 203000.00000000 PA USD 214114.25000000 0.066348307409 Long DBT CORP MX N 2 2029-09-18 Fixed 4.25000000 N N N N N N Atrium Hotel Portfolio Trust N/A 04965KAA8 750000.00000000 PA USD 749535.45000000 0.232261087017 Long ABS-MBS CORP US N 2 2035-06-15 Floating 1.04000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 14000.00000000 OU Notional Amount USD -3883.83000000 -0.00120349554 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 -1362.99000000 USD 14000.00000000 USD -2520.84000000 N N N Voya Financial Inc 549300T065Z4KJ686G75 45685EAG1 180000.00000000 PA USD 189012.60000000 0.058569974156 Long DBT CORP US N 2 2053-05-15 Fixed 5.65000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DR5 267000.00000000 PA USD 294671.88000000 0.091310972899 Long DBT CORP US N 2 2029-04-05 Fixed 3.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MFS99 1568437.16000000 PA USD 1698081.82000000 0.526190361452 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.50000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0PR4 750000.00000000 PA USD 819999.83000000 0.254096122964 Long ABS-MBS USGSE US N 2 2029-10-25 Floating 5.23900000 N N N N N N 2021-11-16 AB BOND FUND, INC. Joseph Mantineo Joseph Mantineo Treasurer and Chief Financial Officer