NPORT-P false 0000003794 XXXXXXXX S000027378 C000085437 C000085435 C000082621 C000082622 C000082623 C000152483 C000085436 C000085438 C000085359 AB BOND FUND, INC. 811-02383 0000003794 549300RYJMGGIS1UBQ97 ALLIANCEBERNSTEIN LP 1345 AVENUE OF THE AMERICAS NEW YORK 10105 212-969-1000 AB Bond Inflation Strategy S000027378 0QWYN1X8473Z4B5GZO43 2022-10-31 2022-10-31 N 1139030830.84 80188668.77 1058842162.07 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 3046000.00000000 0.00000000 0.00000000 0.00000000 USD N Bloomberg US Treasury Inflation Notes: 1-10 Year LTI1TRUU:IND BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKP3 2480000.00000000 PA USD 2306598.40000000 0.217841570975 Long DBT CORP US N 2 2028-04-27 Fixed 4.37600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGCD9 3827753.39000000 PA USD 3146066.11000000 0.297123237315 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCL5 368000.00000000 PA USD 280301.92000000 0.026472493261 Long DBT CORP US N 2 2033-06-01 Fixed 4.50000000 N N N N N N Fannie Mae - CAS N/A 20754BAA9 1915298.42000000 PA USD 1860234.17000000 0.175685691091 Long ABS-MBS USGSE US N 2 2042-01-25 Floating 4.19700000 N N N N N N EXPEDIA GROUP INC N/A 30212PAS4 34000.00000000 PA USD 33979.94000000 0.003209160082 Long DBT CORP US N 2 2025-05-01 Fixed 6.25000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 557000.00000000 PA USD 380046.67000000 0.035892664989 Long DBT CORP US N 2 2036-11-15 Fixed 3.18700000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YCL1 1151000.00000000 PA USD 1111681.84000000 0.104990326209 Long DBT CORP JP N 2 2028-09-13 Fixed 5.41400000 N N N N N N Flatiron CLO Ltd N/A 33883PAJ6 1120000.00000000 PA USD 1000379.52000000 0.094478625411 Long ABS-CBDO CORP KY N 2 2034-07-19 Floating 7.12700000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 60901.04000000 OU Notional Amount USD -13789.02000000 -0.00130227341 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -6510.61000000 USD 60901.04000000 USD -7278.41000000 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 6300.10000000 OU Notional Amount USD -1426.45000000 -0.00013471790 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -947.61000000 USD 6300.10000000 USD -478.84000000 N N N LB-UBS Commercial Mortgage Trust N/A 50179MAH4 77786.92000000 PA USD 34104.44000000 0.003220918208 Long ABS-MBS CORP US N 2 2039-09-15 Variable 5.45200000 N N N N N N Brex Inc N/A 05601DAC7 2894000.00000000 PA USD 2787658.81000000 0.263274254639 Long ABS-O CORP US N 2 2025-07-15 Fixed 4.63000000 N N N N N N VORNADO REALTY LP 549300BMOJ05INE4YK86 929043AL1 718000.00000000 PA USD 530185.56000000 0.050072199520 Long DBT US N 2 2031-06-01 Fixed 3.40000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AL2 320000.00000000 PA USD 239859.20000000 0.022652970253 Long DBT CORP CH N 2 2026-08-21 Fixed 6.37500000 N N N N Y Credit Suisse Group AG USD XXXX N N N Dext ABS N/A 23345CAB5 197000.00000000 PA USD 178377.43000000 0.016846460822 Long ABS-O CORP US N 2 2028-02-15 Fixed 1.76000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 715000.00000000 OU Notional Amount USD 56423.15000000 0.005328759282 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-07-12 0.00000000 USD 0.00000000 USD 715000.00000000 USD 56423.15000000 N N N WORKDAY INC 549300J0DYC0N31V7G13 98138HAH4 182000.00000000 PA USD 162194.76000000 0.015318124439 Long DBT CORP US N 2 2029-04-01 Fixed 3.70000000 N N N N N N Ballyrock Ltd N/A 05876KAG0 660000.00000000 PA USD 552697.86000000 0.052198323772 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 7.14300000 N N N N N N VOLCAN CIA MINERA SAA-CM 549300XKJ91C4SZLG750 92863UAB2 125000.00000000 PA USD 104062.50000000 0.009827952052 Long DBT CORP PE N 2 2026-02-11 Fixed 4.37500000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DS1 248000.00000000 PA USD 170081.50000000 0.016062970109 Long DBT NUSS CO N 2 2031-04-15 Fixed 3.12500000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAL5 346000.00000000 PA USD 278374.30000000 0.026290443464 Long DBT CORP US N 2 2026-09-20 Fixed 1.95000000 N N N N N N Discover Bank X05BVSK68TQ7YTOSNR22 25466AAN1 327000.00000000 PA USD 313903.65000000 0.029645934138 Long DBT CORP US N 2 2028-08-09 Fixed 4.68200000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KBC9 497000.00000000 PA USD 410606.49000000 0.038778819422 Long DBT CORP US N 2 2028-01-06 Fixed 2.49000000 N N N N N N Balboa Bay Loan Funding Ltd 549300G0EX8VHFWPJW18 05765XAA9 1111305.00000000 PA USD 1065484.78000000 0.100627347320 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.44300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCM1 232969284.47000000 PA USD 205012970.33000000 19.36199536380 Long DBT UST US N 2 2031-07-15 Fixed 0.12500000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 000000000 433000.00000000 PA USD 383698.62000000 0.036237565309 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 WEIBO CORP 549300Q9ID4640FE0422 948596AE1 2114000.00000000 PA USD 1453771.38000000 0.137298214226 Long DBT CORP KY N 2 2030-07-08 Fixed 3.37500000 N N N N N N LORCA TELECOM BONDCO 9598004HFBAS82YM7X35 000000000 642000.00000000 PA 558435.76000000 0.052740227014 Long DBT CORP ES N 2 2027-09-18 Fixed 4.00000000 N N N N N N HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 000000000 -35175000.00000000 PA USD -35175000.00000000 -3.32202487396 Short RA CORP US N 1 Reverse repurchase N 3.10000000 2022-12-31 30000000.00000000 USD 35075595.00000000 USD UST N N N BELLEMEADE RE LT 254900SCWI9IDKK5LV64 07877GAB5 137555.48000000 PA USD 137406.22000000 0.012977025747 Long ABS-MBS CORP BM N 2 2029-07-25 Floating 5.18600000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 03846JAB6 699000.00000000 PA USD 424992.00000000 0.040137427014 Long DBT NUSS EG N 2 2031-02-16 Fixed 5.87500000 N N N N N N NMEF Funding LLC N/A 62890MAB0 968000.00000000 PA USD 964806.57000000 0.091119017032 Long ABS-O CORP US N 2 2029-06-15 Fixed 6.07000000 N N N N N N Freddie Mac - STACR N/A 35564KKY4 2561364.00000000 PA USD 2350743.29000000 0.222010737219 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 4.49700000 N N N N N N VISTRA CORP 549300KP43CPCUJOOG15 92840MAC6 751000.00000000 PA USD 667421.21000000 0.063033116162 Long DBT CORP US N 2 2026-12-15 Fixed 7.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABT1 0.00000000 PA USD 0.00000000 0.000000 Long DBT CORP US N 2 2031-02-15 Fixed 2.87500000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AR0 1373000.00000000 PA USD 1017598.95000000 0.096104876293 Long DBT US N 2 2032-01-15 Fixed 3.25000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEF1 1213000.00000000 PA USD 930446.81000000 0.087873985692 Long DBT NUSS DO N 2 2032-09-23 Fixed 4.87500000 N N N N N N University of California N/A 91412HKE2 1465000.00000000 PA USD 886044.16000000 0.083680475876 Long DBT MUN US N 2 2051-05-15 Fixed 3.07100000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBJ1 950000.00000000 PA USD 771875.00000000 0.072898022731 Long DBT CORP US N 2 2030-05-06 Fixed 3.40000000 N N N N N N Prestige Auto Receivables Trust N/A 74113RAC3 1459000.00000000 PA USD 1456754.02000000 0.137579903047 Long ABS-O CORP US N 2 2025-07-15 Fixed 5.90000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAH5 432000.00000000 PA USD 330354.72000000 0.031199618964 Long DBT CORP US N 2 2031-11-15 Fixed 2.90000000 N N N N N N GSF 2021 1 ISSUER LLC N/A 36261CAC5 1421000.00000000 PA USD 1339426.64000000 0.126499178818 Long ABS-O CORP US N 3 2026-08-15 Variable 2.43500000 N N N N N N AREIT CRE Trust N/A 04002VAA9 3807023.07000000 PA USD 3635014.53000000 0.343300886592 Long ABS-MBS CORP KY N 2 2037-01-16 Floating 4.14400000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05367AAH6 246000.00000000 PA USD 225660.72000000 0.021312026294 Long DBT CORP US N 2 2025-10-01 Fixed 4.87500000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYU2 775000.00000000 PA USD 603694.00000000 0.057014541130 Long DBT CORP US N 2 2026-11-10 Fixed 4.12500000 N N N N N N AGL CLO Ltd. 54930005OE1IFBESDA27 00120BAJ9 947599.00000000 PA USD 793373.47000000 0.074928398057 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 7.09300000 N N N N N N Nelnet Student Loan Trust N/A 64034YAC5 793000.00000000 PA USD 615436.59000000 0.058123544003 Long ABS-O CORP US N 2 2062-04-20 Fixed 2.90000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBH4 1764000.00000000 PA USD 1461297.60000000 0.138009011384 Long DBT CORP FR N 2 2028-01-19 Fixed 2.79700000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 188000.00000000 PA USD 130398.68000000 0.012315214171 Long DBT CORP US N 2 2035-11-15 Fixed 3.13700000 N N N N N N Santander Bank Auto Credit-Linked Notes N/A 80290CAE4 792648.59000000 PA USD 759990.91000000 0.071775656204 Long ABS-O CORP US N 2 2031-12-15 Fixed 1.83300000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 152602.63000000 OU Notional Amount USD -34551.78000000 -0.00326316624 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -16293.55000000 USD 152602.63000000 USD -18258.23000000 N N N Wells Fargo Commercial Mortgage Trust 549300CFP9NBBMZH1008 95000KBH7 525000.00000000 PA USD 459185.84000000 0.043366788408 Long ABS-MBS CORP US N 2 2049-11-15 Variable 4.38500000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JBD9 235000.00000000 PA USD 161174.75000000 0.015221791856 Long DBT CORP US N 2 2042-09-15 Fixed 4.50000000 N N N N N N Freddie Mac - STACR N/A 35564KL31 3188429.17000000 PA USD 3158755.10000000 0.298321620837 Long ABS-MBS USGSE US N 2 2052-03-25 Floating 5.49700000 N N N N N N ENA MASTER TRUST 549300CBCHB6Q73VG753 29249BAA3 303000.00000000 PA USD 205471.88000000 0.019405336069 Long DBT CORP PA N 2 2048-05-19 Fixed 4.00000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46642NBF2 17773622.37000000 PA USD 188162.23000000 0.017770564560 Long ABS-MBS CORP US N 2 2047-09-15 Variable 0.80200000 N N N N N N IQVIA INC 549300PLWY28YB00C717 000000000 550000.00000000 PA 440471.79000000 0.041599381454 Long DBT CORP US N 2 2029-03-15 Fixed 2.25000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AH3 501000.00000000 PA USD 470879.88000000 0.044471206084 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 10500.17000000 OU Notional Amount USD -2377.42000000 -0.00022453015 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -1489.22000000 USD 10500.17000000 USD -888.20000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1490000.00000000 OU Notional Amount USD 217636.82000000 0.020554226852 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2035-11-10 0.00000000 USD 0.00000000 USD 1490000.00000000 USD 217636.82000000 N N N BX Trust N/A 05608BAL4 185485.00000000 PA USD 172823.35000000 0.016321918052 Long ABS-MBS CORP US N 2 2034-04-15 Floating 5.31200000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 000000000 307000.00000000 PA 232853.87000000 0.021991367395 Long DBT CORP FR N 2 2028-01-15 Fixed 3.37500000 N N N N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 00135TAC8 2155000.00000000 PA USD 2142651.85000000 0.202358002614 Long DBT CORP IE N 2 2026-10-14 Fixed 7.58300000 N N N N N N Neuberger Berman CLO Ltd 549300LGCRX4YI1JNS93 64133WAG0 1294533.00000000 PA USD 1097655.24000000 0.103665615076 Long ABS-CBDO CORP KY N 2 2035-07-16 Floating 6.87900000 N N N N N N Upstart Securitization Trust N/A 91679LAB8 1090000.00000000 PA USD 1008932.34000000 0.095286377530 Long ABS-O CORP US N 2 2031-07-20 Fixed 1.66000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBV2 689000.00000000 PA USD 567873.80000000 0.053631581773 Long DBT CORP US N 2 2037-05-15 Fixed 4.92600000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 35564KRF8 2467886.00000000 PA USD 2270451.66000000 0.214427772271 Long ABS-MBS USGSE US N 2 2042-02-25 Floating 5.39700000 N N N N N N BELLEMEADE RE LT N/A 078774AB2 1255354.00000000 PA USD 1204888.89000000 0.113793059358 Long ABS-MBS CORP BM N 2 2032-01-26 Floating 5.14700000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 20920000.00000000 OU Notional Amount USD 3340297.28000000 0.315466969455 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-06-05 0.00000000 USD 0.00000000 USD 20920000.00000000 USD 3340297.28000000 N N N BELLEMEADE RE LT N/A 07876MAC1 727875.00000000 PA USD 704351.61000000 0.066520925897 Long ABS-MBS CORP BM N 2 2031-03-25 Floating 5.94700000 N N N N N N ACM Auto Trust N/A 00091QAA0 1388686.74000000 PA USD 1383071.86000000 0.130621154837 Long ABS-O CORP US N 2 2029-04-20 Fixed 3.23000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAQ4 260000.00000000 PA USD 223678.00000000 0.021124772701 Long DBT CORP US N 2 2030-11-15 Fixed 4.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ALP47 865839.64000000 PA USD 76155.36000000 0.007192324099 Long ABS-MBS USGSE US N 2 2044-12-25 Floating 2.51400000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 151902.63000000 OU Notional Amount USD -34393.29000000 -0.00324819800 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -16225.14000000 USD 151902.63000000 USD -18168.15000000 N N N CELANESE US HOLDINGS LLC CD30XVRLT4QO00B1C706 15089QAR5 2365000.00000000 PA USD 2324132.80000000 0.219497568500 Long DBT CORP US N 2 2024-07-05 Fixed 5.90000000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAS2 414000.00000000 PA USD 397746.36000000 0.037564272962 Long DBT CORP US N 2 2025-06-13 Fixed 4.87500000 N N N N N N Mission Lane Credit Card Master Trust N/A 60510MAB4 352000.00000000 PA USD 337901.98000000 0.031912403198 Long ABS-O CORP US N 2 2026-09-15 Fixed 2.24000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ATV27 915489.24000000 PA USD 81662.92000000 0.007712473390 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 2.41400000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 64600000.00000000 OU Notional Amount USD 8476342.36000000 0.800529357787 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2025-02-26 0.00000000 USD 0.00000000 USD 64600000.00000000 USD 8476342.36000000 N N N LAD Auto Receivables Trust N/A 501683AA4 909928.16000000 PA USD 874666.35000000 0.082605923841 Long ABS-O CORP US N 2 2026-08-17 Fixed 1.30000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAA9 211000.00000000 PA USD 171901.70000000 0.016234874862 Long DBT CORP US N 2 2027-11-01 Fixed 3.50000000 N N N N N N Ballyrock Ltd N/A 05875TAG2 1000000.00000000 PA USD 850847.00000000 0.080356358150 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 7.17900000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XAP9 116989.14000000 PA USD 120222.85000000 0.011354180472 Long ABS-MBS USGSE US N 2 2024-11-25 Floating 8.48600000 N N N N N N HP INC WHKXQACZ14C5XRO8LW03 40434LAN5 1844000.00000000 PA USD 1641676.32000000 0.155044479603 Long DBT CORP US N 2 2033-01-15 Fixed 5.50000000 N N N N N N Neighborly Issuer LLC N/A 64016NAA5 517673.65000000 PA USD 423328.14000000 0.039980287446 Long ABS-O CORP US N 2 2051-04-30 Fixed 3.58400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FTV38 2932215.67000000 PA USD 273888.00000000 0.025866744809 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 2.51400000 N N N N N N Ford Credit Auto Owner Trust/Ford Credit N/A 345340AD5 1000000.00000000 PA USD 857867.30000000 0.081019374816 Long ABS-O CORP US N 2 2033-10-17 Fixed 2.31000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XBF0 394749.71000000 PA USD 415847.03000000 0.039273750601 Long ABS-MBS USGSE US N 2 2028-04-25 Floating 9.28600000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AU2 928000.00000000 PA USD 636793.60000000 0.060140559453 Long DBT CORP CH N 2 2032-05-14 Fixed 3.09100000 N N N N N N BELLEMEADE RE LT N/A 078777AA7 1699430.00000000 PA USD 1600585.71000000 0.151163768060 Long ABS-MBS CORP US N 2 2031-09-25 Floating 3.99700000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 906.00000000 NC USD -2263326.41000000 -0.21375484383 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year US Treasury Note Future FVZ2 Comdty 2022-12-30 98837263.91000000 USD -2263326.41000000 N N N AXIS Equipment Finance Receivables LLC 549300IFG1NMINYRYF89 03236XAB3 936000.00000000 PA USD 923399.57000000 0.087208424737 Long ABS-O CORP US N 2 2028-06-21 Fixed 5.30000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 17500.29000000 OU Notional Amount USD -3962.37000000 -0.00037421724 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -1970.64000000 USD 17500.29000000 USD -1991.73000000 N N N FHF Trust 2021-2 N/A 30322JAA4 477513.74000000 PA USD 451776.47000000 0.042667026888 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 528400.00000000 PA USD 514714.44000000 0.048611063899 Long DBT CORP XX N 2 2025-10-20 Fixed 4.50000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 30100.52000000 OU Notional Amount USD -6815.26000000 -0.00064365211 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -3566.28000000 USD 30100.52000000 USD -3248.98000000 N N N Santander Bank Auto Credit-Linked Notes N/A 80290CAS3 2239683.53000000 PA USD 2163043.80000000 0.204283875112 Long ABS-O CORP US N 2 2032-05-15 Fixed 5.28100000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAQ4 5937646.63000000 PA USD 5673235.80000000 0.535796174654 Long DBT UST US N 2 2025-10-15 Fixed 0.12500000 N N N N N N Carvana Auto Receivables Trust N/A 14687HAE3 916000.00000000 PA USD 822320.68000000 0.077662253115 Long ABS-O CORP US N 2 2028-09-11 Fixed 2.30000000 N N N N N N United Auto Credit Securitization Trust N/A 90944KAA3 1947536.63000000 PA USD 1933881.48000000 0.182641147970 Long ABS-O CORP US N 2 2025-04-10 Fixed 4.39000000 N N N N N N ODEBRECHT HOLDCO FIN LTD N/A 67577TAA6 270478.00000000 PA USD 676.20000000 0.000063862209 Long DBT CORP KY N 2 2058-09-10 None 0.00000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 6300.10000000 OU Notional Amount USD -1426.45000000 -0.00013471790 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -757.66000000 USD 6300.10000000 USD -668.79000000 N N N Fannie Mae - CAS N/A 20753XAB0 2282827.00000000 PA USD 2171536.90000000 0.205085987108 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 6.49700000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 770013.27000000 OU Notional Amount USD -174343.84000000 -0.01646551735 N/A DCR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -106265.48000000 USD 770013.27000000 USD -68078.36000000 N N N EMBRAER NETHERLANDS FINA 724500PBR8LR26XBSP67 29082HAB8 590000.00000000 PA USD 538116.88000000 0.050821255450 Long DBT CORP NL N 2 2027-02-01 Fixed 5.40000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5395000.00000000 OU Notional Amount USD 619766.82000000 0.058532502973 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-06-04 0.00000000 USD 0.00000000 USD 5395000.00000000 USD 619766.82000000 N N N DISH DBS CORP N/A 25470XBF1 1067000.00000000 PA USD 861165.03000000 0.081330821613 Long DBT CORP US N 2 2028-12-01 Fixed 5.75000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 418607.22000000 OU Notional Amount USD -94779.65000000 -0.00895125386 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -60088.92000000 USD 418607.22000000 USD -34690.73000000 N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAK7 751000.00000000 PA USD 625079.83000000 0.059034278421 Long DBT CORP US N 2 2026-01-30 Fixed 1.95000000 N N N N N N AGL CLO 16 LTD N/A 00120LAD0 650000.00000000 PA USD 548081.95000000 0.051762384388 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 7.34300000 N N N N N N Genworth Mortgage Insurance Corporation N/A 89600HAA7 987351.63000000 PA USD 981629.93000000 0.092707861961 Long ABS-MBS CORP BM N 2 2034-02-25 Floating 4.89700000 N N N N N N Fannie Mae - CAS N/A 20754RAB2 1447076.00000000 PA USD 1353767.82000000 0.127853599761 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 4.54700000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 20754KAB7 1221326.00000000 PA USD 1081164.06000000 0.102108142150 Long ABS-MBS USGSE US N 2 2041-11-25 Floating 4.99700000 N N N N N N MT LOGAN RE LTD N/A 000000000 1428.00000000 NS USD 1245014.62000000 0.117582644949 Long EC CORP BM Y 3 N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABC4 746000.00000000 PA USD 658173.42000000 0.062159729143 Long DBT CORP DK N 2 2028-04-01 Fixed 4.29800000 N N N N N N HFX FUNDING ISSUER N/A 40422GAE0 1070000.00000000 PA USD 972946.40000000 0.091887765226 Long ABS-MBS CORP US N 2 2035-03-15 Variable 3.64700000 N N N N N N Bankers Healthcare Group Securitization Trust N/A 054977AD5 1350000.00000000 PA USD 1079150.58000000 0.101917983497 Long ABS-O CORP US N 2 2035-02-20 Fixed 3.56000000 N N N N N N DUKE ENERGY CAROLINAS NC N/A 26443KAB1 1183000.00000000 PA USD 855569.26000000 0.080802341524 Long DBT CORP US N 2 2041-07-01 Fixed 2.61700000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1080000.00000000 OU Notional Amount USD 107597.40000000 0.010161797844 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-11-09 0.00000000 USD 0.00000000 USD 1080000.00000000 USD 107597.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A2N58 592609.32000000 PA USD 73312.82000000 0.006923866712 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 2.95400000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3000000.00000000 OU Notional Amount USD 376987.86000000 0.035603782462 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2024-01-15 0.00000000 USD 0.00000000 USD 3000000.00000000 USD 376987.86000000 N N N Carvana Auto Receivables Trust N/A 14687GAD7 777000.00000000 PA USD 750404.38000000 0.070870277637 Long ABS-O CORP US N 2 2028-06-12 Fixed 1.02000000 N N N N N N Eagle Re Ltd N/A 26982AAB0 674583.00000000 PA USD 656729.82000000 0.062023391542 Long ABS-MBS CORP BM N 2 2034-04-25 Floating 5.04700000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BQ4 1235000.00000000 PA USD 996484.45000000 0.094110764162 Long DBT CORP PA N 2 2028-08-01 Fixed 4.00000000 N N N N N N Freddie Mac - STACR N/A 35564KNS4 1765360.00000000 PA USD 1484282.03000000 0.140179724908 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 5.34700000 N N N N N N Octane Receivables Trust N/A 67578AAB4 1508000.00000000 PA USD 1343996.25000000 0.126930745501 Long ABS-O CORP US N 2 2028-09-20 Fixed 2.02000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863BB5 373000.00000000 PA USD 316187.44000000 0.029861621620 Long DBT CORP GB N 2 2029-03-16 Fixed 3.87500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 21000.36000000 OU Notional Amount USD -4754.83000000 -0.00044905937 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -1789.94000000 USD 21000.36000000 USD -2964.89000000 N N N ZF FINANCE GMBH 5493001N9T6QDCCXB426 000000000 600000.00000000 PA 487736.81000000 0.046063221457 Long DBT CORP DE N 2 2028-09-21 Fixed 3.75000000 N N N N N N Affirm Inc N/A 00834CAA3 270281.89000000 PA USD 261978.61000000 0.024741988880 Long ABS-O CORP US N 2 2025-08-15 Fixed 1.07000000 N N N N N N UMBS, TBA N/A 01F0226B6 7341000.00000000 PA USD 6009874.09000000 0.567589231453 Long ABS-MBS USGSE US N 2 2052-11-15 Fixed 2.50000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VAL7 1595000.00000000 PA USD 1289031.15000000 0.121739688517 Long DBT CORP US N 2 2032-03-15 Fixed 4.27900000 N N N N N N Fannie Mae - CAS N/A 20753QAE9 52313.95000000 PA USD 52038.55000000 0.004914665458 Long ABS-MBS USGSE US N 2 2031-04-25 Floating 5.98600000 N N N N N N BELLEMEADE RE LT N/A 07876AAB9 1424762.00000000 PA USD 1378478.46000000 0.130187341360 Long ABS-MBS CORP BM N 2 2031-06-25 Floating 4.49700000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AU3 1071000.00000000 PA USD 919003.68000000 0.086793264654 Long DBT CORP IT N 2 2026-09-22 Fixed 2.56900000 N N N N N N FLOWSERVE CORPORATION 6Y0GK87T6V7NJKZJVM41 34355JAB4 545000.00000000 PA USD 390743.20000000 0.036902875045 Long DBT CORP US N 2 2032-01-15 Fixed 2.80000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BE2 166000.00000000 PA USD 163958.20000000 0.015484668619 Long DBT CORP US N 2 2031-01-15 Fixed 6.35000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380GHH0 760064.65000000 PA USD 79461.87000000 0.007504600104 Long ABS-MBS USGA US N 2 2047-08-20 Floating 2.71100000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2T0 593000.00000000 PA USD 500397.12000000 0.047258896361 Long DBT CORP FR N 2 2028-01-20 Fixed 2.59100000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 30100.52000000 OU Notional Amount USD -6815.26000000 -0.00064365211 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -3683.70000000 USD 30100.52000000 USD -3131.56000000 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 22546DAB2 257000.00000000 PA USD 233918.83000000 0.022091945181 Long DBT CORP CH N 2 2023-12-11 Fixed 7.50000000 N N N N Y Credit Suisse Group AG USD XXXX N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 64401.11000000 OU Notional Amount USD -14581.49000000 -0.00137711648 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -7442.54000000 USD 64401.11000000 USD -7138.95000000 N N N Voya CLO Ltd 549300KSCKXTOBY0IP86 92917NAS7 340000.00000000 PA USD 290674.84000000 0.027452140688 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.92900000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 124602.15000000 OU Notional Amount USD -28212.00000000 -0.00266441977 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -10054.32000000 USD 124602.15000000 USD -18157.68000000 N N N GSF 2021 1 ISSUER LLC N/A 36261CAE1 40000.00000000 PA USD 36896.47000000 0.003484605290 Long ABS-O CORP US N 3 2026-08-15 Variable 2.63800000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 97301.67000000 OU Notional Amount USD -22030.72000000 -0.00208064249 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -11272.75000000 USD 97301.67000000 USD -10757.97000000 N N N ADVANCE AUTO PARTS 529900UCNQ5H9FSL0Y70 00751YAE6 1525000.00000000 PA USD 1292025.75000000 0.122022506874 Long DBT CORP US N 2 2030-04-15 Fixed 3.90000000 N N N N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 82601.43000000 OU Notional Amount USD -18702.33000000 -0.00176630008 N/A DCR US N 2 JPMorgan Securities LLC ZBUT11V806EZRVTWT807 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -9842.97000000 USD 82601.43000000 USD -8859.36000000 N N N TransDigm Inc 88Q84GB3X55CF5OC7582 893647BE6 512000.00000000 PA USD 504883.20000000 0.047682574238 Long DBT CORP US N 2 2026-03-15 Fixed 6.25000000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAA6 428000.00000000 PA USD 313456.50000000 0.029603704048 Long DBT CORP NL N 2 2030-01-21 Fixed 3.68000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5400000.00000000 OU Notional Amount USD 576403.37000000 0.054437138097 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-10-04 0.00000000 USD 0.00000000 USD 5400000.00000000 USD 576403.37000000 N N N CPS Auto Trust N/A 12659WAE8 1765000.00000000 PA USD 1631647.54000000 0.154097333714 Long ABS-O CORP US N 2 2029-04-16 Fixed 2.17000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABS3 203000.00000000 PA USD 168461.58000000 0.015909980357 Long DBT CORP US N 2 2029-02-15 Fixed 2.62500000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967GD7 246000.00000000 PA USD 244236.18000000 0.023066344423 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 1755000.00000000 PA USD 1597764.64000000 0.150897338360 Long ABS-MBS CORP US N 2 2033-11-15 Floating 4.41300000 N N N N N N Radnor Re LTD 254900JBDDKUTX6TX151 75049SAB9 586224.62000000 PA USD 573491.70000000 0.054162151880 Long ABS-MBS CORP BM N 2 2029-02-25 Floating 5.53600000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513CA1 322000.00000000 PA USD 261509.08000000 0.024697645160 Long DBT CORP US N 2 2032-03-03 Fixed 2.90000000 N N N N N N US Bancorp N1GZ7BBF3NP8GI976H15 902973AZ9 427000.00000000 PA USD 357296.52000000 0.033744077521 Long DBT CORP US N 2 2027-04-15 Fixed 5.30000000 N N N N N N CARGILL INC QXZYQNMR4JZ5RIRN4T31 141781BZ6 632000.00000000 PA USD 616724.56000000 0.058245183474 Long DBT CORP US N 2 2032-10-11 Fixed 5.12500000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 25160PAJ6 846000.00000000 PA USD 808742.16000000 0.076379859904 Long DBT CORP DE N 2 2026-07-14 Fixed 6.11900000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XBD5 0.00000000 PA USD 0.00000000 0.000000 Long ABS-MBS USGSE US N 2 2025-07-25 Floating 5.45700000 N N N N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585AAF9 282000.00000000 PA USD 275057.16000000 0.025977163533 Long DBT CORP US N 2 2041-03-01 Fixed 6.50000000 N N N N N N Freddie Mac - STACR N/A 35566AAH2 401508.68000000 PA USD 401508.24000000 0.037919555376 Long ABS-MBS USGSE US N 2 2050-10-25 Floating 5.79700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AX4B8 1250904.07000000 PA USD 140684.05000000 0.013286593133 Long ABS-MBS USGSE US N 2 2047-10-25 Floating 2.61400000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746TD3 418000.00000000 PA USD 354831.84000000 0.033511306284 Long DBT CORP US N 2 2026-03-15 Fixed 3.90000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 000000000 725000.00000000 PA USD 501961.00000000 0.047406593539 Long DBT CORP FR N 2 2031-02-25 Fixed 4.62500000 N N N N Y BNP Paribas SA USD XXXX N N N VERISIGN INC LMPL4N8ZOJRMF0KOF759 92343EAM4 250000.00000000 PA USD 194187.50000000 0.018339607824 Long DBT CORP US N 2 2031-06-15 Fixed 2.70000000 N N N N N N Chase Mortgage Finance Corporation N/A 46591HAC4 142773.44000000 PA USD 130954.25000000 0.012367683748 Long ABS-MBS CORP US N 2 2047-04-25 Floating 5.68600000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 105001.83000000 OU Notional Amount USD -23774.17000000 -0.00224529876 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -12355.50000000 USD 105001.83000000 USD -11418.67000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YER2 799000.00000000 PA USD 739554.40000000 0.069845575336 Long DBT CORP US N 2 2028-04-20 Fixed 4.21000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810PZ5 25797655.48000000 PA USD 26946457.33000000 2.544898408401 Long DBT UST US N 2 2029-01-15 Fixed 2.50000000 N N N N N N ALFA S.A. 549300ZCGJ6T8YDJ4M34 015398AB6 600000.00000000 PA USD 593925.00000000 0.056091929588 Long DBT CORP MX N 2 2024-03-25 Fixed 5.25000000 N N N N N N S&P GLOBAL INC Y6X4K52KMJMZE7I7MY94 78409VAY0 59000.00000000 PA USD 57198.73000000 0.005402007215 Long DBT CORP US N 2 2028-08-01 Fixed 4.75000000 N N N N N N ORGANON & CO/ORG N/A 000000000 550000.00000000 PA 458261.77000000 0.043279516666 Long DBT CORP US N 2 2028-04-30 Fixed 2.87500000 N N N N N N Fannie Mae - CAS N/A 20753YCK6 573097.00000000 PA USD 536658.23000000 0.050683496485 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 6.09700000 N N N N N N ADIENT GLOBAL HOLDINGS 213800VA38VCKE6M8790 000000000 642000.00000000 PA 600614.41000000 0.056723696081 Long DBT CORP JE N 2 2024-08-15 Fixed 3.50000000 N N N N N N NATURA &CO LUX HLD SARL 54930074AZRQQPMINM11 63884WAA6 592000.00000000 PA USD 491907.60000000 0.046457122470 Long DBT CORP LU N 2 2029-04-19 Fixed 6.00000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBR1 188000.00000000 PA USD 164988.80000000 0.015582001351 Long DBT CORP US N 2 2029-04-15 Fixed 4.00000000 N N N N N N TENGIZCHEVROIL FIN CO IN 5493001VEV2XTJIBZH31 88034QAC1 306000.00000000 PA USD 195687.00000000 0.018481224776 Long DBT CORP BM N 2 2030-08-15 Fixed 3.25000000 N N N N N N CAJUN GLOBAL LLC N/A 12803VAA3 458780.00000000 PA USD 381476.95000000 0.036027744612 Long ABS-O CORP US N 2 2051-11-20 Fixed 3.93100000 N N N N N N PMT CREDIT RISK TRANSFER TRUST N/A 730151AA5 171746.24000000 PA USD 161865.78000000 0.015287054652 Long ABS-MBS CORP US N 2 2023-02-27 Floating 5.94600000 N N N N N N Pikes Peak CLO 549300NJA5BS4BQQJL72 72133CAA0 1450000.00000000 PA USD 1391009.65000000 0.131370821811 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.41300000 N N N N N N CLARIOS GLOBAL LP/US FIN N/A 000000000 191000.00000000 PA 175852.36000000 0.016607986185 Long DBT CORP XX N 2 2026-05-15 Fixed 4.37500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 21000.36000000 OU Notional Amount USD -4754.83000000 -0.00044905937 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -1936.93000000 USD 21000.36000000 USD -2817.90000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828Y38 60525330.30000000 PA USD 57536892.12000000 5.433944187443 Long DBT UST US N 2 2028-07-15 Fixed 0.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9000000.00000000 OU Notional Amount USD 912716.91000000 0.086199524602 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2023-07-15 0.00000000 USD 0.00000000 USD 9000000.00000000 USD 912716.91000000 N N N Wells Fargo Commercial Mortgage Trust N/A 95000JBB3 330000.00000000 PA USD 281781.16000000 0.026612196802 Long ABS-MBS CORP US N 2 2059-12-15 Variable 4.33900000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAR4 791000.00000000 PA USD 559268.64000000 0.052818886519 Long DBT CORP US N 2 2031-10-28 Fixed 2.87500000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAQ5 971000.00000000 PA USD 897495.30000000 0.084761953400 Long DBT CORP US N 2 2032-08-15 Fixed 5.40000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBD4 226000.00000000 PA USD 208053.34000000 0.019649136335 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XBB9 99572.67000000 PA USD 101169.93000000 0.009554769693 Long ABS-MBS USGSE US N 2 2025-07-25 Floating 8.58600000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 10500.17000000 OU Notional Amount USD -2377.42000000 -0.00022453015 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -878.70000000 USD 10500.17000000 USD -1498.72000000 N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AC5 1378000.00000000 PA USD 1161888.26000000 0.109731960212 Long DBT CORP JP N 2 2027-09-17 Fixed 4.34500000 N N N N N N AIRCASTLE LTD 549300PNK8AKY3OIKP58 00928QAS0 83000.00000000 PA USD 73210.98000000 0.006914248659 Long DBT CORP BM N 2 2026-06-15 Fixed 4.25000000 N N N N N N NATURA COSMETICOS SA N/A 63883KAB1 583000.00000000 PA USD 452116.50000000 0.042699140268 Long DBT CORP BR N 2 2028-05-03 Fixed 4.12500000 N N N N N N INVERSIONES CMPC CI 549300G475ACIABB4385 000000000 270000.00000000 PA USD 267320.25000000 0.025246468225 Long DBT CORP CL N 2 2023-05-15 Fixed 4.37500000 N N N N N N ADVANCE AUTO PARTS 529900UCNQ5H9FSL0Y70 00751YAG1 141000.00000000 PA USD 111552.15000000 0.010535295438 Long DBT CORP US N 2 2032-03-15 Fixed 3.50000000 N N N N N N COMISION FEDERAL DE ELEC 4469000001BFPONMPF32 200447AL4 1016000.00000000 PA USD 856170.50000000 0.080859124302 Long DBT CORP MX N 2 2029-05-15 Fixed 4.68800000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAT6 188000.00000000 PA USD 133634.16000000 0.012620781905 Long DBT CORP US N 2 2047-09-20 Fixed 5.20000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 40300000.00000000 OU Notional Amount USD 7240891.26000000 0.683849918277 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-05-21 0.00000000 USD 0.00000000 USD 40300000.00000000 USD 7240891.26000000 N N N Port Authority of New York & New Jersey 54930006MR4KZ4W74Z83 73358W4V3 660000.00000000 PA USD 643730.60000000 0.060795709035 Long DBT MUN US N 2 2023-07-01 Fixed 1.08600000 N N N N N N Neuberger Berman CLO Ltd 549300LCOEVXWN75LP18 64134AAA0 1353587.00000000 PA USD 1300859.37000000 0.122856778526 Long ABS-CBDO CORP KY N 2 2035-07-17 Floating 5.20900000 N N N N N N Hardee's Funding LLC and Carls' Jr Funding LLC N/A 411707AH5 328698.33000000 PA USD 275666.80000000 0.026034739631 Long ABS-O CORP US N 2 2050-12-20 Fixed 3.98100000 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BV4 1463000.00000000 PA USD 1463687.61000000 0.138234730579 Long DBT CORP US N 2 2029-11-01 Fixed 6.75000000 N N N N N N BELLEMEADE RE LT N/A 07876GAA8 2594137.00000000 PA USD 2594118.84000000 0.244995801350 Long ABS-MBS CORP US N 2 2032-09-27 Floating 7.02500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDF0 426000.00000000 PA USD 390863.52000000 0.036914238401 Long DBT CORP US N 2 2030-06-14 Fixed 4.56500000 N N N N N N Fannie Mae - CAS N/A 20753WAF3 95852.21000000 PA USD 95112.55000000 0.008982693871 Long ABS-MBS USGSE US N 2 2039-10-25 Floating 5.68600000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 38550000.00000000 OU Notional Amount USD 5171911.95000000 0.488449755333 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2025-02-28 0.00000000 USD 0.00000000 USD 38550000.00000000 USD 5171911.95000000 N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AY5 368000.00000000 PA USD 259936.80000000 0.024549154662 Long DBT CORP IT N 2 2032-06-03 Fixed 3.12700000 N N N N N N BRASKEM NETHERLANDS 2549000TLMHFQ74DS330 10554TAD7 200000.00000000 PA USD 161000.00000000 0.015205287980 Long DBT CORP NL N 2 2030-01-31 Fixed 4.50000000 N N N N N N BANCO DE CREDITO DEL PER 549300EQYQ8SCQZ4BY14 05971U2C0 958000.00000000 PA USD 839974.40000000 0.079329519553 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 OCP CLO Ltd 254900MN6N176YEZLX15 671078AN3 1424000.00000000 PA USD 1376159.30000000 0.129968313436 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.33300000 N N N N N N Research-Driven Pagaya Motor Asset Trust I N/A 76088TAA9 2297556.00000000 PA USD 2232310.46000000 0.210825611216 Long ABS-O CORP US N 2 2030-11-25 Fixed 5.38000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 118302.05000000 OU Notional Amount USD -26785.57000000 -0.00252970376 N/A DCR US N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -9148.97000000 USD 118302.05000000 USD -17636.60000000 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AJ7 261000.00000000 PA USD 231282.54000000 0.021842966618 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 HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DQ9 1794000.00000000 PA USD 1797534.18000000 0.169764129573 Long DBT CORP GB N 2 2026-11-03 Fixed 7.33600000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -163.00000000 NC USD 203243.52000000 0.019194883551 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 2 Year U.S. Treasury Notes Futures TUZ2 COMDTY 2022-12-30 -33517641.88000000 USD 203243.52000000 N N N TENCENT HOLDINGS LTD 254900N4SLUMW4XUYY11 88032WAV8 655000.00000000 PA USD 340313.44000000 0.032140148191 Long DBT CORP KY N 2 2050-06-03 Fixed 3.24000000 N N N N N N BELLEMEADE RE LT 254900K56RF3Z7VQ3U81 07876RAB2 107738.84000000 PA USD 107633.22000000 0.010165180784 Long ABS-MBS CORP BM N 2 2029-03-25 Floating 5.33600000 N N N N N N MT LOGAN RE LTD N/A 000000000 225.83000000 NS USD 189472.12000000 0.017894274216 Long EP CORP BM N 3 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC -22765.11000000 -0.00215000033 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1321423.75000000 EUR 1283755.24000000 USD 2022-11-09 -22765.11000000 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 18900.32000000 OU Notional Amount USD -4279.35000000 -0.00040415372 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -2396.30000000 USD 18900.32000000 USD -1883.05000000 N N N Carvana Auto Receivables Trust N/A 14687KAG1 1206000.00000000 PA USD 975642.54000000 0.092142396189 Long ABS-O CORP US N 2 2028-09-11 Fixed 2.61000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XAX2 104625.78000000 PA USD 105838.41000000 0.009995673934 Long ABS-MBS USGSE US N 2 2025-05-25 Floating 7.58600000 N N N N N N Brex Inc N/A 05601DAA1 729000.00000000 PA USD 716601.17000000 0.067677808427 Long ABS-O CORP US N 2 2024-07-15 Fixed 2.09000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 42000.73000000 OU Notional Amount USD -9509.67000000 -0.00089811969 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -4976.18000000 USD 42000.73000000 USD -4533.49000000 N N N AGL CLO 16 LTD N/A 00120LAA6 4408306.00000000 PA USD 4198078.30000000 0.396478195748 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.37300000 N N N N N N Dryden Senior Loan Fund N/A 26253LAE2 880000.00000000 PA USD 810907.68000000 0.076584377638 Long ABS-CBDO CORP KY N 2 2033-04-17 Floating 6.02900000 N N N N N N WESTINGHOUSE AIR BRAKE 06BTX5UWZD0GQ5N5Y745 960386AQ3 180000.00000000 PA USD 167184.00000000 0.015789322147 Long DBT CORP US N 2 2025-06-15 Fixed 3.20000000 N N N N N N American Credit Acceptance Receivables Trust N/A 02528GAA1 1294375.00000000 PA USD 1282957.84000000 0.121166108222 Long ABS-O CORP US N 2 2026-02-13 Fixed 4.12000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BCF21 4423853.52000000 PA USD 841028.08000000 0.079429032024 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 4.00000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AV3 1496000.00000000 PA USD 1093979.92000000 0.103318507629 Long DBT CORP US N 2 2032-04-01 Fixed 2.87500000 N N N N N N WESTERN DIGITAL CORP 549300QQXOOYEF89IC56 958102AR6 1677000.00000000 PA USD 1163049.81000000 0.109841660226 Long DBT CORP US N 2 2032-02-01 Fixed 3.10000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0HJ1 99730.94000000 PA USD 102003.84000000 0.009633526473 Long ABS-MBS USGSE US N 2 2028-05-25 Floating 8.38600000 N N N N N N SVENSKA HANDELSBANKEN AB NHBDILHZTYCNBV5UYZ31 000000000 1400000.00000000 PA USD 1082438.00000000 0.102228456589 Long DBT CORP SE N 2 2031-03-01 Fixed 4.75000000 N N N N Y Svenska Handelsbanken AB USD XXXX N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NQ0 2463000.00000000 PA USD 2392508.94000000 0.225955201417 Long DBT CORP US N 2 2025-05-24 Fixed 4.14000000 N N N N N N DEUTSCHE LUFTHANSA AG 529900PH63HYJ86ASW55 000000000 400000.00000000 PA 348053.64000000 0.032871154216 Long DBT CORP DE N 2 2026-05-29 Fixed 3.00000000 N N N N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 89832QAF6 1060000.00000000 PA USD 931962.60000000 0.088017141117 Long DBT CORP US N 2 2030-03-01 Fixed 5.10000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380GH49 862657.18000000 PA USD 91264.82000000 0.008619303543 Long ABS-MBS USGA US N 2 2047-09-20 Floating 2.71100000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBP9 605000.00000000 PA USD 563194.50000000 0.053189655661 Long DBT CORP US N 2 2027-04-02 Fixed 4.70000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBR5 1727000.00000000 PA USD 1366644.18000000 0.129069679028 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 294744.00000000 0.027836443481 Long DBT CORP GB N 2 2027-01-30 Variable 5.92500000 N N N N N N ALTICE FINANCING SA 549300DIYGW8HVDF7Q17 000000000 642000.00000000 PA 484578.70000000 0.045764960761 Long DBT CORP LU N 2 2028-01-15 Fixed 3.00000000 N N N N N N GCI Funding I LLC N/A 36166VAE5 502279.88000000 PA USD 421497.40000000 0.039807387266 Long ABS-O CORP US N 2 2046-06-18 Fixed 2.38000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AJ7M0 1925147.94000000 PA USD 157776.65000000 0.014900865837 Long ABS-MBS USGSE US N 2 2041-11-15 Floating 3.18800000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828V49 85892631.47000000 PA USD 81101433.12000000 7.659445007502 Long DBT UST US N 2 2027-01-15 Fixed 0.37500000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAV2 194000.00000000 PA USD 193241.46000000 0.018250261174 Long DBT CORP US N 2 2025-10-01 Fixed 6.12500000 N N N N N N Neuberger Berman CLO Ltd 549300LGCRX4YI1JNS93 64133WAA3 903217.00000000 PA USD 864544.86000000 0.081650022162 Long ABS-CBDO CORP KY N 2 2035-07-16 Floating 5.17900000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 23800000.00000000 OU Notional Amount USD 2480597.36000000 0.234274516907 N/A DIR US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2023-07-15 0.00000000 USD 0.00000000 USD 23800000.00000000 USD 2480597.36000000 N N N Multifamily Structured Credit Risk N/A 35563FAA9 115743.32000000 PA USD 107799.90000000 0.010180922507 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 4.99700000 N N N N N N City of New York NY 549300ABYZD2SFD5JB29 64966QRQ5 775000.00000000 PA USD 583082.18000000 0.055067903497 Long DBT MUN US N 2 2031-08-01 Fixed 1.92300000 N N N N N N Radnor Re LTD 254900YVLP8CB4GC2O97 750493AA6 147930.73000000 PA USD 147566.01000000 0.013936544584 Long ABS-MBS CORP BM N 2 2030-01-25 Floating 4.53600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FVTE2 2051081.61000000 PA USD 391720.69000000 0.036995191921 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 4.00000000 N N N N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 21000.36000000 OU Notional Amount USD -4754.83000000 -0.00044905937 N/A DCR US N 2 JPMorgan Securities LLC ZBUT11V806EZRVTWT807 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -1913.66000000 USD 21000.36000000 USD -2841.17000000 N N N HONEYWELL INTERNATIONAL ISRPG12PN4EIEOEMW547 000000000 1295000.00000000 PA 1262992.62000000 0.119280537292 Long DBT CORP US N 2 2034-11-02 Fixed 4.12500000 N N N N N N COMISION FEDERAL DE ELEC 4469000001BFPONMPF32 200447AH3 1089000.00000000 PA USD 800959.50000000 0.075644843839 Long DBT CORP MX N 2 2031-02-09 Fixed 3.34800000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 85401.47000000 OU Notional Amount USD -19336.31000000 -0.00182617491 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -9720.16000000 USD 85401.47000000 USD -9616.15000000 N N N Upstart Securitization Trust N/A 91680EAA3 1242.33000000 PA USD 1239.92000000 0.000117101494 Long ABS-O CORP US N 2 2030-11-20 Fixed 1.70200000 N N N N N N HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 000000000 -3735500.00000000 PA USD -3735500.00000000 -0.35279101397 Short RA CORP US N 1 Reverse repurchase N 3.10000000 2024-09-23 3100000.00000000 USD 3728211.44000000 USD UST N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBT7 673000.00000000 PA USD 564593.16000000 0.053321749003 Long DBT CORP US N 2 2032-04-15 Fixed 4.15000000 N N N N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 168702.90000000 OU Notional Amount USD -38197.15000000 -0.00360744512 N/A DCR US N 2 JPMorgan Securities LLC ZBUT11V806EZRVTWT807 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -19490.27000000 USD 168702.90000000 USD -18706.88000000 N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773DB3 334000.00000000 PA USD 307794.36000000 0.029068955792 Long DBT CORP US N 2 2025-09-30 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 61010000.00000000 OU Notional Amount USD 237381.98000000 0.022419014703 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2027-05-13 0.00000000 USD 0.00000000 USD 61010000.00000000 USD 237381.98000000 N N N AB Issuer LLC N/A 00091JAA6 1456990.00000000 PA USD 1183909.28000000 0.111811686614 Long ABS-O CORP US N 2 2051-07-30 Fixed 3.73400000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 700012.09000000 OU Notional Amount USD -158494.40000000 -0.01496865214 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -86540.48000000 USD 700012.09000000 USD -71953.92000000 N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDC5 1425000.00000000 PA USD 1395027.55000000 0.131750283467 Long ABS-O CORP US N 2 2025-03-20 Fixed 4.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 68.00000000 NC USD -43075.50000000 -0.00406817007 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT Ultra 10-Year U.S. Treasury Notes Futures UXYZ2 Comdty 2022-12-20 7930013.00000000 USD -43075.50000000 N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAF8 194000.00000000 PA USD 187072.26000000 0.017667624760 Long DBT CORP US N 2 2024-01-30 Fixed 4.37500000 N N N N N N BX Trust N/A 05608BAN0 895177.00000000 PA USD 830706.53000000 0.078454236122 Long ABS-MBS CORP US N 2 2034-04-15 Floating 5.56200000 N N N N N N ENTEGRIS ESCROW CORP IYX6OWO7BT5DKO3BYG52 29365BAA1 1896000.00000000 PA USD 1693033.20000000 0.159894766250 Long DBT CORP US N 2 2029-04-15 Fixed 4.75000000 N N N N N N NEW MOUNTAIN CLO LTD 549300CEYMYPINCEX579 647550AA0 500000.00000000 PA USD 477090.50000000 0.045057754317 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.42300000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 84701.45000000 OU Notional Amount USD -19177.82000000 -0.00181120668 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -8681.10000000 USD 84701.45000000 USD -10496.72000000 N N N OCHSNER LSU HEALTH SYST N/A 67555JAA4 1190000.00000000 PA USD 890012.90000000 0.084055294724 Long DBT CORP US N 2 2031-05-15 Fixed 2.51000000 N N N N N N EMBRAER NETHERLANDS FINA 724500PBR8LR26XBSP67 29082HAC6 384000.00000000 PA USD 361468.80000000 0.034138119254 Long DBT CORP NL N 2 2028-01-17 Fixed 6.95000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAH4 550000.00000000 PA USD 528181.50000000 0.049882930517 Long DBT CORP US N 2 2024-12-15 Fixed 5.50000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AP3 614000.00000000 PA USD 475119.34000000 0.044871592482 Long DBT CORP CH N 2 2031-04-01 Fixed 4.19400000 N N N N N N SUZANO AUSTRIA GMBH 254900287ZNSGVP1R341 86964WAJ1 222000.00000000 PA USD 176628.75000000 0.016681310617 Long DBT CORP AT N 2 2031-01-15 Fixed 3.75000000 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370DB3 1172000.00000000 PA USD 1073833.28000000 0.101415802889 Long DBT CORP US N 2 2032-08-19 Fixed 6.10000000 N N N N N N Fannie Mae - CAS N/A 20754CAB5 387875.53000000 PA USD 381612.74000000 0.036040568997 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 5.63600000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CE7 296000.00000000 PA USD 249119.52000000 0.023527540640 Long DBT CORP DE N 2 2026-11-24 Fixed 2.12900000 N N N N N N Affirm Inc N/A 00834TAA6 438661.55000000 PA USD 422193.80000000 0.039873157220 Long ABS-O CORP US N 2 2026-11-16 Fixed 1.17000000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153AZ5 422000.00000000 PA USD 454329.42000000 0.042908134590 Long DBT CORP LR N 2 2025-06-01 Fixed 11.50000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CJ7 657000.00000000 PA USD 604229.76000000 0.057065139795 Long DBT CORP GB N 2 2026-03-30 Fixed 3.97100000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 116201.99000000 OU Notional Amount USD -26310.07000000 -0.00248479621 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -11560.75000000 USD 116201.99000000 USD -14749.32000000 N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 483708.35000000 OU Notional Amount USD -109519.64000000 -0.01034333953 N/A DCR US N 2 JPMorgan Securities LLC ZBUT11V806EZRVTWT807 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -55393.90000000 USD 483708.35000000 USD -54125.74000000 N N N College Ave Student Loans N/A 19424WAC1 602869.00000000 PA USD 509121.00000000 0.048082803862 Long ABS-O CORP US N 2 2055-07-26 Fixed 2.72000000 N N N N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 85401.47000000 OU Notional Amount USD -19336.31000000 -0.00182617491 N/A DCR US N 2 JPMorgan Securities LLC ZBUT11V806EZRVTWT807 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -7759.04000000 USD 85401.47000000 USD -11577.27000000 N N N Elmwood CLO IX Ltd N/A 29003UAG4 1065000.00000000 PA USD 913011.72000000 0.086227367279 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 7.19300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828WU0 51945182.58000000 PA USD 50581621.54000000 4.777069080920 Long DBT UST US N 2 2024-07-15 Fixed 0.12500000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AF4 1419000.00000000 PA USD 1144778.25000000 0.108116043260 Long DBT CORP US N 2 2029-08-08 Fixed 3.90000000 N N N N N N AIRCASTLE LTD 549300PNK8AKY3OIKP58 00928QAU5 1329000.00000000 PA USD 999075.75000000 0.094355493744 Long DBT CORP BM N 2 2028-01-26 Fixed 2.85000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 42000.73000000 OU Notional Amount USD -9509.67000000 -0.00089811969 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -4490.08000000 USD 42000.73000000 USD -5019.59000000 N N N VIRGOLINO DE OLIVEIRA FI N/A 92824BAA4 655000.00000000 PA USD 65.50000000 0.000006186002 Long DBT CORP LU N 3 2018-01-28 Fixed 10.50000000 Y Y N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 91001.56000000 OU Notional Amount USD -20604.27000000 -0.00194592458 N/A DCR US N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -6891.19000000 USD 91001.56000000 USD -13713.08000000 N N N OEC FINANCE LTD N/A 67614CAE0 247279.00000000 PA USD 5168.13000000 0.000488092577 Long DBT CORP KY N 2 2033-12-27 Fixed 5.25000000 N N Y N N N TAKEDA PHARMACEUTICAL 549300ZLMVP4X0OGR454 874060AT3 384000.00000000 PA USD 380202.24000000 0.035907357453 Long DBT CORP JP N 2 2023-11-26 Fixed 4.40000000 N N N N N N Dryden Senior Loan Fund N/A 26253LAG7 460000.00000000 PA USD 399729.42000000 0.037751558666 Long ABS-CBDO CORP KY N 2 2033-04-17 Floating 7.07900000 N N N N N N HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 000000000 -6490625.00000000 PA USD -6490625.00000000 -0.61299268507 Short RA CORP US N 1 Reverse repurchase N 3.06000000 2023-09-30 6700000.00000000 USD 6550021.00000000 USD UST N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCE1 104000.00000000 PA USD 84522.88000000 0.007982575970 Long DBT CORP US N 2 2030-08-15 Fixed 4.50000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAU4 272000.00000000 PA USD 275710.08000000 0.026038827114 Long DBT CORP US N 2 2027-10-01 Fixed 6.80000000 N N N N N N Rad CLO Ltd N/A 48661CAE2 400000.00000000 PA USD 370822.00000000 0.035021461487 Long ABS-CBDO CORP KY N 2 2033-04-17 Floating 6.07900000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QBC1 711000.00000000 PA USD 681834.78000000 0.064394373819 Long DBT CORP XX N 2 2028-12-01 Fixed 5.55000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -116409.66000000 -0.01099405219 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 5026741.25000000 EUR 4864910.34000000 USD 2022-12-08 -116409.66000000 N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BD6 451000.00000000 PA USD 440491.70000000 0.041601261810 Long DBT CORP US N 2 2025-06-01 Fixed 5.37500000 N N N N N N INFOR INC 549300Q3IIYBYI4RHD64 45674CAA1 450000.00000000 PA USD 403488.00000000 0.038106529419 Long DBT CORP US N 2 2025-07-15 Fixed 1.75000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABV6 119000.00000000 PA USD 102998.07000000 0.009727424321 Long DBT CORP US N 2 2029-04-15 Fixed 3.37500000 N N N N N N ALBERTSONS COS/SAFEWAY N/A 013092AG6 664000.00000000 PA USD 549373.68000000 0.051884378964 Long DBT CORP US N 2 2029-03-15 Fixed 3.50000000 N N N N N N Fannie Mae - CAS N/A 20754AAB9 863681.00000000 PA USD 786267.03000000 0.074257246090 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 4.64700000 N N N N N N LIMA METRO LINE 2 FIN LT 5493009BVQNQT1UKQ352 532522AB5 223312.43000000 PA USD 182739.35000000 0.017258412683 Long DBT CORP KY N 2 2036-04-05 Fixed 4.35000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DH9 603000.00000000 PA USD 523367.82000000 0.049428313184 Long DBT CORP GB N 2 2033-08-11 Fixed 5.40200000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -80.00000000 NC USD 1799884.80000000 0.169986128667 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT Ultra Long Term U.S. Treasury Bond Futures WNZ2 Comdty 2022-12-20 -12012384.80000000 USD 1799884.80000000 N N N Banc of America Merrill Lynch Large Loan Inc N/A 05525BAL4 520000.00000000 PA USD 438489.01000000 0.041412122194 Long ABS-MBS CORP US N 2 2037-03-10 Variable 3.53400000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 18900.32000000 OU Notional Amount USD -4279.35000000 -0.00040415372 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -2630.29000000 USD 18900.32000000 USD -1649.06000000 N N N Air Lease Corp 5493004NW4M4P8TMMK63 00912XAV6 51000.00000000 PA USD 44941.20000000 0.004244371976 Long DBT CORP US N 2 2027-04-01 Fixed 3.62500000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBP4 1962000.00000000 PA USD 1211711.58000000 0.114437413186 Long DBT CORP US N 2 2051-06-04 Fixed 2.93900000 N N N N N N APCOA PARKING HOLDINGS G 529900H8FIYAOV5FUW68 000000000 642000.00000000 PA 511397.17000000 0.048297771690 Long DBT CORP DE N 2 2027-01-15 Fixed 4.62500000 N N N N N N Ashford Hospitality Trust N/A 04410CAA7 658918.00000000 PA USD 627882.83000000 0.059299001540 Long ABS-MBS CORP US N 2 2035-06-15 Floating 4.41300000 N N N N N N LAD Auto Receivables Trust N/A 501687AA5 2063219.02000000 PA USD 2025340.18000000 0.191278762081 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.21000000 N N N N N N GS Mortgage Securities Trust N/A 36191YAL2 18714.00000000 PA USD 7922.94000000 0.000748264499 Long ABS-MBS CORP US N 2 2044-08-10 Variable 5.15400000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BK0 1366000.00000000 PA USD 1114164.24000000 0.105224770972 Long DBT CORP US N 2 2026-06-01 Fixed 4.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 595000.00000000 OU Notional Amount USD 99560.59000000 0.009402779145 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A N/A Y 2042-03-06 0.00000000 USD 0.00000000 USD 595000.00000000 USD 99560.59000000 N N N SWISS RE FINANCE LUX 549300CLQZ6TM98LW631 000000000 1000000.00000000 PA USD 871510.00000000 0.082307829364 Long DBT CORP LU N 2 2049-04-02 Fixed 5.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 305205.25000000 OU Notional Amount USD -69103.55000000 -0.00652633154 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -20446.74000000 USD 305205.25000000 USD -48656.81000000 N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBN4 593000.00000000 PA USD 518359.09000000 0.048955274786 Long DBT CORP US N 2 2030-04-02 Fixed 4.90600000 N N N N N N Freddie Mac - STACR 5493003FQV7GR462GO02 35565HAH8 191069.90000000 PA USD 187640.08000000 0.017721251261 Long ABS-MBS USGSE US N 2 2050-01-25 Floating 5.28600000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 158202.72000000 OU Notional Amount USD -35819.74000000 -0.00338291591 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -21916.29000000 USD 158202.72000000 USD -13903.45000000 N N N Nelnet Student Loan Trust N/A 64035GAC3 757855.00000000 PA USD 577222.61000000 0.054514509402 Long ABS-O CORP US N 2 2062-04-20 Fixed 2.53000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAQ8 600000.00000000 PA USD 528438.00000000 0.049907155091 Long DBT CORP ES N 2 2028-03-24 Fixed 4.17500000 N N N N N N Tobacco Settlement Finance Authority N/A 88880LAV5 404516.21000000 PA USD 372326.83000000 0.035163581819 Long DBT MUN US N 2 2035-06-01 Fixed 3.00000000 N N N N N N CDBL FUNDING 1 254900PLOF8VWTAH3F83 000000000 940000.00000000 PA USD 846921.20000000 0.079985594674 Long DBT CORP KY N 2 2027-10-24 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1160000.00000000 OU Notional Amount USD 56424.38000000 0.005328875447 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-06-09 0.00000000 USD 0.00000000 USD 1160000.00000000 USD 56424.38000000 N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 35564KMH9 2634588.00000000 PA USD 2416420.67000000 0.228213491732 Long ABS-MBS USGSE US N 2 2041-11-25 Floating 4.79700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BYRV4 1178829.98000000 PA USD 115439.75000000 0.010902451199 Long ABS-MBS USGSE US N 2 2047-06-15 Floating 2.73800000 N N N N N N Neighborly Issuer LLC N/A 64016NAC1 1652512.50000000 PA USD 1317584.57000000 0.124436352952 Long ABS-O CORP US N 2 2052-01-30 Fixed 3.69500000 N N N N N N LIMA METRO LINE 2 FIN LT 5493009BVQNQT1UKQ352 000000000 283862.77000000 PA USD 263282.72000000 0.024865152657 Long DBT CORP KY N 2 2034-07-05 Fixed 5.87500000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBH1 58000.00000000 PA USD 37995.22000000 0.003588374297 Long DBT CORP US N 2 2050-05-15 Fixed 4.65000000 N N N N N N Aircastle Ltd 549300PNK8AKY3OIKP58 00928QAQ4 232000.00000000 PA USD 221193.44000000 0.020890123941 Long DBT CORP BM N 2 2024-05-01 Fixed 4.12500000 N N N N N N Freddie Mac - STACR N/A 35565AAH3 75254.79000000 PA USD 74466.63000000 0.007032835739 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 5.53600000 N N N N N N CHILE ELEC PEC SPA N/A 168831AA3 661000.00000000 PA USD 458692.69000000 0.043320213949 Long DBT CORP CL N 2 2028-01-25 None 0.00000000 N N N N N N Osaka Exchange 3538001249AILNPRUX57 000000000 -37.00000000 NC -17038.20000000 -0.00160913501 N/A DIR JP N 1 Osaka Exchange 3538001249AILNPRUX57 Short TSE Japanese 10 Year Bond Futures JBZ2 Comdty 2022-12-13 -5501956505.00000000 JPY -17038.20000000 N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 96601.66000000 OU Notional Amount USD -21872.23000000 -0.00206567426 N/A DCR US N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -6236.88000000 USD 96601.66000000 USD -15635.35000000 N N N KYNDRYL HOLDINGS INC 549300LQ4LWX2R8ZV130 50155QAJ9 1428000.00000000 PA USD 1119666.24000000 0.105744395161 Long DBT CORP US N 2 2026-10-15 Fixed 2.05000000 N N N N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585ABC5 289000.00000000 PA USD 284110.12000000 0.026832150265 Long DBT CORP US N 2 2026-12-15 Fixed 5.12500000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 000000000 713000.00000000 PA USD 506230.00000000 0.047809769778 Long DBT CORP CH N 2 2027-02-11 Fixed 5.25000000 N N N N Y Credit Suisse Group AG USD XXXX N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAG3 593000.00000000 PA USD 489225.00000000 0.046203770261 Long DBT CORP NL N 2 2027-01-19 Fixed 3.25700000 N N N N N N BELLEMEADE RE LT 254900SCWI9IDKK5LV64 07877GAC3 480000.00000000 PA USD 474361.78000000 0.044800046408 Long ABS-MBS CORP BM N 2 2029-07-25 Floating 5.53600000 N N N N N N WYNN MACAU LTD 254900NMDQ8ENTHU1I31 98313RAH9 483000.00000000 PA USD 284970.00000000 0.026913359725 Long DBT CORP KY N 2 2028-08-26 Fixed 5.62500000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 10100000.00000000 OU Notional Amount USD 17764.15000000 0.001677695754 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.HY.S39 2I65BRZH6 Y buy protection 2027-12-20 248790.05000000 USD 0.00000000 USD 10100000.00000000 USD -231025.90000000 N N N TSMC ARIZONA CORP 2549005GOBWLCSY63Q97 872898AF8 1009000.00000000 PA USD 943626.89000000 0.089118749120 Long DBT CORP US N 2 2027-04-22 Fixed 3.87500000 N N N N N N ENGIE ENERGIA CHILE SA 5493000FIKCC3ZDWTO77 000000000 751000.00000000 PA USD 548230.00000000 0.051776366642 Long DBT CORP CL N 2 2030-01-28 Fixed 3.40000000 N N N N N N GS Mortgage Securities Trust N/A 36252RAG4 156536.45000000 PA USD 64081.25000000 0.006052011555 Long ABS-MBS CORP US N 2 2047-01-10 Variable 5.05700000 N N N N N N VZ VENDOR FINANCING 724500DRKUUR3GFOSK76 000000000 561000.00000000 PA 408792.80000000 0.038607529492 Long DBT CORP NL N 2 2029-01-15 Fixed 2.87500000 N N N N N N FREEPORT INDONESIA PT 549300T4HTQHRKLNE619 69377FAA4 415000.00000000 PA USD 371943.75000000 0.035127402678 Long DBT CORP ID N 2 2027-04-14 Fixed 4.76300000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AT8 1113000.00000000 PA USD 1012707.57000000 0.095642920756 Long DBT CORP US N 2 2031-01-15 Fixed 5.75000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CB3 405000.00000000 PA USD 373073.85000000 0.035234132466 Long DBT CORP DE N 2 2025-11-26 Fixed 3.96100000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 361906.24000000 OU Notional Amount USD -81941.61000000 -0.00773879364 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -56030.85000000 USD 361906.24000000 USD -25910.76000000 N N N CNH INDUSTRIAL CAP LLC 549300PNSJ5B81UMVO28 12592BAN4 1889000.00000000 PA USD 1810077.58000000 0.170948763171 Long DBT CORP US N 2 2025-05-23 Fixed 3.95000000 N N N N N N BELLEMEADE RE LT N/A 07877KAC4 27414.20000000 PA USD 27429.86000000 0.002590552301 Long ABS-MBS CORP US N 2 2030-10-25 Floating 6.43600000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAJ1 111000.00000000 PA USD 98702.31000000 0.009321720794 Long DBT CORP US N 2 2026-01-15 Fixed 2.87500000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 21000.36000000 OU Notional Amount USD -4754.83000000 -0.00044905937 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -2298.75000000 USD 21000.36000000 USD -2456.08000000 N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAD3 7000.00000000 PA USD 6350.61000000 0.000599769278 Long DBT CORP US N 2 2025-08-01 Fixed 4.12500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1080000.00000000 OU Notional Amount USD 108345.43000000 0.010232443878 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-11-08 0.00000000 USD 0.00000000 USD 1080000.00000000 USD 108345.43000000 N N N HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 000000000 -8685000.00000000 PA USD -8685000.00000000 -0.82023556589 Short RA CORP US N 1 Reverse repurchase N 3.10000000 2023-10-13 9000000.00000000 USD 8798535.67000000 USD UST N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 41300.70000000 OU Notional Amount USD -9351.17000000 -0.00088315051 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -4163.54000000 USD 41300.70000000 USD -5187.63000000 N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AW9 204000.00000000 PA USD 165860.16000000 0.015664295014 Long DBT CORP IT N 2 2027-06-03 Fixed 1.98200000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 91001.56000000 OU Notional Amount USD -20604.27000000 -0.00194592458 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -10708.08000000 USD 91001.56000000 USD -9896.19000000 N N N ONEOK Partners LP T4DHW82NMF6BXJT50795 68268NAG8 105000.00000000 PA USD 92785.35000000 0.008762906627 Long DBT CORP US N 2 2041-02-01 Fixed 6.12500000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 3500.07000000 OU Notional Amount USD -792.48000000 -0.00007484401 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -408.21000000 USD 3500.07000000 USD -384.27000000 N N N SK HYNIX INC 988400XAIK6XISWQV045 78392BAC1 382000.00000000 PA USD 268904.13000000 0.025396054259 Long DBT CORP KR N 2 2031-01-19 Fixed 2.37500000 N N N N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 19600.33000000 OU Notional Amount USD -4437.84000000 -0.00041912195 N/A DCR US N 2 JPMorgan Securities LLC ZBUT11V806EZRVTWT807 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -1785.52000000 USD 19600.33000000 USD -2652.32000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 259704.49000000 OU Notional Amount USD -58801.43000000 -0.00555337066 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -39637.49000000 USD 259704.49000000 USD -19163.94000000 N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 35564KWT2 2051355.00000000 PA USD 1933399.01000000 0.182595582161 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 6.34700000 N N N N N N Hertz Vehicle Financing LLC 549300MNOMKDMDFI8J66 42806MAL3 1660000.00000000 PA USD 1453353.07000000 0.137258707866 Long ABS-O CORP US N 2 2026-06-25 Fixed 2.63000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NB3 480000.00000000 PA USD 376310.40000000 0.035539801254 Long DBT CORP US N 2 2026-11-15 Fixed 4.15000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128283R9 4538083.45000000 PA USD 4265089.37000000 0.402806907656 Long DBT UST US N 2 2028-01-15 Fixed 0.50000000 N N N N N N Elevation CLO Ltd N/A 28621YAE5 780000.00000000 PA USD 695522.10000000 0.065687042404 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 6.27900000 N N N N N N Diamond Issuer LLC N/A 25267TAN1 2151875.00000000 PA USD 1804246.48000000 0.170398057862 Long ABS-O CORP US N 2 2051-11-20 Fixed 2.30500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 910015.69000000 OU Notional Amount USD -206042.72000000 -0.01945924778 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -100373.76000000 USD 910015.69000000 USD -105668.96000000 N N N Playtech Plc 21380068TTB6Z9ZEU548 000000000 550000.00000000 PA 504277.64000000 0.047625383467 Long DBT CORP IM N 2 2026-03-07 Fixed 4.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128285W6 29212334.21000000 PA USD 27788232.92000000 2.624398037350 Long DBT UST US N 2 2029-01-15 Fixed 0.87500000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140CC2 1204000.00000000 PA USD 981284.08000000 0.092675198924 Long DBT CORP US N 2 2062-08-05 Fixed 5.05000000 N N N N N N PMT CREDIT RISK TRANSFER TRUST N/A 69345WAA6 518529.43000000 PA USD 494411.80000000 0.046693626086 Long ABS-MBS CORP US N 2 2023-05-27 Floating 6.34600000 N N N N N N Synchrony Financial 549300RS7EWPM9MA6C78 87165BAM5 429000.00000000 PA USD 369253.17000000 0.034873296816 Long DBT CORP US N 2 2027-12-01 Fixed 3.95000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XAM7 376000.00000000 PA USD 313937.44000000 0.029649125360 Long DBT CORP US N 2 2040-07-15 Fixed 5.37500000 N N N N N N Alliance Bernstein 5493006YWHO7MNK2U579 018616748 43763545.43000000 NS USD 43763545.43000000 4.133151001887 Long STIV RF US N 1 N N N Rad CLO Ltd N/A 75009RAA1 291346.00000000 PA USD 277556.30000000 0.026213189268 Long ABS-CBDO CORP KY N 2 2035-01-15 Floating 5.24900000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KV2 1186000.00000000 PA USD 1000153.80000000 0.094457307786 Long DBT CORP US N 2 2052-07-27 Fixed 4.90000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CX6 49000.00000000 PA USD 46004.63000000 0.004344805264 Long DBT CORP US N 2 2028-03-25 Fixed 4.30000000 N N N N N N Freddie Mac - STACR N/A 35564KUX5 1068552.00000000 PA USD 991082.83000000 0.093600620139 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 5.89700000 N N N N N N MVW Owner Trust N/A 55400KAB1 954264.06000000 PA USD 846439.47000000 0.079940098753 Long ABS-O CORP US N 2 2039-05-20 Fixed 1.83000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967LW9 592000.00000000 PA USD 533320.96000000 0.050368315420 Long DBT CORP US N 2 2029-04-23 Fixed 4.07500000 N N N N N N Radnor Re LTD N/A 75049TAB7 126932.89000000 PA USD 126624.71000000 0.011958789943 Long ABS-MBS CORP BM N 2 2029-06-25 Floating 5.33600000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECD5 1252000.00000000 PA USD 1245815.12000000 0.117658246396 Long DBT CORP GB N 2 2028-11-02 Fixed 7.38500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828B25 5309734.32000000 PA USD 5220962.20000000 0.493082197425 Long DBT UST US N 2 2024-01-15 Fixed 0.62500000 N N N N N N UMBS, TBA N/A 01F0306B9 11227734.00000000 PA USD 9532165.40000000 0.900244223498 Long ABS-MBS USGSE US N 2 2052-11-15 Fixed 3.00000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 29760000.00000000 OU Notional Amount USD 544732.40000000 0.051446043566 N/A DIR US N 2 BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2027-07-08 0.00000000 USD 0.00000000 USD 29760000.00000000 USD 544732.40000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29279FAA7 843000.00000000 PA USD 735829.41000000 0.069493776915 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 614000.00000000 PA USD 570829.66000000 0.053910741416 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 1077000.00000000 PA USD 1027568.93000000 0.097046468945 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.31300000 N N N N N N Hardee's Funding N/A 411707AF9 497520.01000000 PA USD 448817.28000000 0.042387552751 Long ABS-O CORP US N 2 2048-06-20 Fixed 5.71000000 N N N N N N Crown Point CLO Ltd N/A 22845JAG6 400000.00000000 PA USD 356161.60000000 0.033636892518 Long ABS-CBDO CORP KY N 2 2034-01-17 Floating 7.67900000 N N N N N N CPS Auto Trust N/A 12598CAG1 1080000.00000000 PA USD 978584.00000000 0.092420195856 Long ABS-O CORP US N 2 2027-06-15 Fixed 1.69000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AM0 648000.00000000 PA USD 614673.36000000 0.058051462438 Long DBT CORP CH N 2 2026-05-12 Fixed 4.48800000 N N N N N N Dryden Senior Loan Fund N/A 26248AAJ3 500000.00000000 PA USD 434768.00000000 0.041060699656 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 7.06300000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEV3 1917000.00000000 PA USD 1934348.85000000 0.182685287693 Long DBT CORP US N 2 2028-10-18 Fixed 6.29600000 N N N N N N MDC Holdings Inc 5299005FV4VNV75R8R35 552676AQ1 731000.00000000 PA USD 556349.48000000 0.052543192926 Long DBT CORP US N 2 2043-01-15 Fixed 6.00000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 32055.69000000 0.003027428558 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 104935280.00000000 JPY 740123.87000000 USD 2022-12-02 32055.69000000 N N N AGL CLO Ltd. 549300AEMLN0HO8ST474 00119YAA1 250000.00000000 PA USD 239382.00000000 0.022607902157 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 5.20900000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAD0 487000.00000000 PA USD 260636.31000000 0.024615218333 Long DBT CORP NL N 2 2050-08-03 Fixed 4.02700000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565AM34 1449000.00000000 PA USD 1368232.74000000 0.129219707054 Long DBT CORP FR N 2 2029-08-16 Fixed 7.75000000 N N N N Y BNP Paribas SA USD XXXX N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 18900.32000000 OU Notional Amount USD -4279.35000000 -0.00040415372 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -2263.43000000 USD 18900.32000000 USD -2015.92000000 N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377REW0 2039166.67000000 PA USD 2028100.72000000 0.191539475159 Long ABS-O CORP US N 2 2024-03-20 Fixed 4.56000000 N N N N N N Fannie Mae - CAS N/A 20754WAB1 201510.02000000 PA USD 197885.18000000 0.018688827012 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 5.58600000 N N N N N N PARKER-HANNIFIN CORP 5493002CONDB4N2HKI23 701094AS3 1430000.00000000 PA USD 1336234.90000000 0.126197742011 Long DBT CORP US N 2 2029-09-15 Fixed 4.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MU2 504000.00000000 PA USD 424877.04000000 0.040126569872 Long DBT CORP US N 2 2025-12-10 Fixed 4.00000000 N N N N N N BANK OF IRELAND GROUP 635400C8EK6DRI12LJ39 06279JAC3 456000.00000000 PA USD 440673.84000000 0.041618463618 Long DBT CORP IE N 2 2026-09-16 Fixed 6.25300000 N N N N N N Fannie Mae - CAS N/A 20753MAF5 12436.10000000 PA USD 12403.98000000 0.001171466385 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 5.73600000 N N N N N N S&P GLOBAL INC Y6X4K52KMJMZE7I7MY94 78409VAZ7 295000.00000000 PA USD 275291.05000000 0.025999252755 Long DBT CORP US N 2 2029-05-01 Fixed 4.25000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAQ2 345000.00000000 PA USD 335767.80000000 0.031710845301 Long DBT CORP US N 2 2028-04-01 Fixed 5.70000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17320DAQ1 915000.00000000 PA USD 901284.33000000 0.085119799936 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 573433.80000000 PA USD 531341.98000000 0.050181415043 Long ABS-O CORP US N 3 2026-08-15 Variable 1.43300000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DC0 373000.00000000 PA USD 296497.70000000 0.028002067788 Long DBT CORP GB N 2 2033-03-29 Fixed 4.76200000 N N N N N N INEOS QUATTRO FINANCE 2 213800V48W4Y5MT5Q131 000000000 506000.00000000 PA 417545.39000000 0.039434148446 Long DBT CORP GB N 2 2026-01-15 Fixed 2.50000000 N N N N N N Freddie Mac - STACR N/A 35564KJG5 1118979.95000000 PA USD 1057843.59000000 0.099905692075 Long ABS-MBS USGSE US N 2 2041-09-25 Floating 3.84700000 N N N N N N Conn Funding II, L.P N/A 20825GAA3 342213.31000000 PA USD 340840.80000000 0.032189953536 Long ABS-O CORP US N 2 2026-05-15 Fixed 1.05000000 N N N N N N Regatta XXIV Funding Ltd. N/A 75889HAJ9 500000.00000000 PA USD 417955.00000000 0.039472833154 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 7.34300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FR3C3 1469040.06000000 PA USD 138838.24000000 0.013112269701 Long ABS-MBS USGSE US N 2 2050-02-25 Floating 2.46400000 N N N N N N COLONY MORTGAGE CAPITAL LTD N/A 12564NAL6 1000000.00000000 PA USD 912362.30000000 0.086166034247 Long ABS-MBS CORP US N 2 2038-11-15 Floating 5.43700000 N N N N N N Dominos Pizza Master Issuer LLC N/A 25755TAN0 769285.00000000 PA USD 616948.11000000 0.058266296158 Long ABS-O CORP US N 2 2051-04-25 Fixed 2.66200000 N N N N N N Santander Bank Auto Credit-Linked Notes N/A 80290CAX2 2286193.70000000 PA USD 2274283.32000000 0.214789644903 Long ABS-O CORP US N 2 2032-08-16 Fixed 5.72100000 N N N N N N Fannie Mae - CAS N/A 20754JAB0 13434.58000000 PA USD 13397.34000000 0.001265282067 Long ABS-MBS USGSE US N 2 2039-09-25 Floating 5.68600000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBV1 635000.00000000 PA USD 574662.30000000 0.054272706602 Long DBT US N 2 2027-03-15 Fixed 3.65000000 N N N N N N AES PANAMA GENERATION HL N/A 00109AAB3 358000.00000000 PA USD 281432.75000000 0.026579291992 Long DBT CORP PA N 2 2030-05-31 Fixed 4.37500000 N N N N N N ASHTEAD CAPITAL INC 213800J1134IW58IC398 04505AAA7 305000.00000000 PA USD 275707.80000000 0.026038611785 Long DBT CORP US N 2 2032-08-11 Fixed 5.50000000 N N N N N N Freddie Mac - STACR N/A 35564KH36 1165110.71000000 PA USD 1156812.44000000 0.109252585648 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 5.14700000 N N N N N N Magnetite CLO Ltd 549300F7COUCG1RROP29 55954YAJ4 2347898.00000000 PA USD 2255447.17000000 0.213010706486 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 5.47800000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2106000.00000000 OU Notional Amount USD 131786.01000000 0.012446237477 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-08-04 0.00000000 USD 0.00000000 USD 2106000.00000000 USD 131786.01000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AXSW6 1004201.57000000 PA USD 102292.29000000 0.009660768494 Long ABS-MBS USGSE US N 2 2047-08-25 Floating 2.56400000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BD4 92000.00000000 PA USD 92902.52000000 0.008773972488 Long DBT CORP US N 2 2025-05-01 Fixed 5.75000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05493BAA6 1383000.00000000 PA USD 1354074.42000000 0.127882555918 Long ABS-MBS CORP US N 2 2037-10-15 Floating 5.55200000 N N N N N N Regatta XX Funding Ltd N/A 75884YAG3 1425363.00000000 PA USD 1253291.75000000 0.118364360137 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 7.17900000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 25900.45000000 OU Notional Amount USD -5864.30000000 -0.00055384080 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -3068.66000000 USD 25900.45000000 USD -2795.64000000 N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCQ4 2261000.00000000 PA USD 1812575.87000000 0.171184708630 Long DBT CORP US N 2 2032-02-01 Fixed 4.75000000 N N N N N N Freddie Mac - STACR N/A 35564KHE2 498481.37000000 PA USD 484930.35000000 0.045798171566 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 4.64700000 N N N N N N Sixth Street CLO LTD. N/A 83012FAA6 381337.00000000 PA USD 367085.29000000 0.034668556197 Long ABS-CBDO CORP KY N 2 2034-01-20 Floating 5.48300000 N N N N N N TK ELEVATOR MIDCO GMBH 254900K869UN2ZWVB351 000000000 401000.00000000 PA 335346.94000000 0.031671098111 Long DBT CORP DE N 2 2027-07-15 Fixed 4.37500000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 463408.00000000 OU Notional Amount USD -104923.30000000 -0.00990924839 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -30328.20000000 USD 463408.00000000 USD -74595.10000000 N N N Atalaya Equipment Leasing Fund I LP N/A 046497AC7 482000.00000000 PA USD 448385.13000000 0.042346739302 Long ABS-O CORP US N 2 2027-02-15 Fixed 2.08000000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AQ1 1667000.00000000 PA USD 1615489.70000000 0.152571342346 Long DBT CORP US N 2 2025-06-23 Fixed 6.12500000 N N N N N N Freddie Mac - STACR N/A 35564KPV5 1542196.00000000 PA USD 1384119.37000000 0.130720084596 Long ABS-MBS USGSE US N 2 2042-01-25 Floating 4.84700000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 000000000 29760000.00000000 OU Notional Amount USD 555045.43000000 0.052420034815 N/A DIR US N 2 BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2027-07-08 0.00000000 USD 0.00000000 USD 29760000.00000000 USD 555045.43000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828N71 97607201.64000000 PA USD 94038438.33000000 8.881251776578 Long DBT UST US N 2 2026-01-15 Fixed 0.62500000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KAP1 0.00000000 PA USD 0.00000000 0.000000 Long DBT CORP US N 2 2027-07-13 Fixed 4.40000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828H45 113871604.03000000 PA USD 109903890.33000000 10.37962920886 Long DBT UST US N 2 2025-01-15 Fixed 0.25000000 N N N N N N HARLEY-DAVIDSON FINL SER RLUFFFFW4GRYU77BTS24 41283LBA2 1942000.00000000 PA USD 1657166.86000000 0.156507449302 Long DBT CORP US N 2 2027-02-14 Fixed 3.05000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46642EBD7 313608.00000000 PA USD 291529.50000000 0.027532857156 Long ABS-MBS CORP US N 2 2047-08-15 Variable 4.34100000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17320DAU2 191422.00000000 PA USD 182152.93000000 0.017203029547 Long ABS-MBS CORP US N 2 2046-04-10 Variable 4.40700000 N N N N N N OLEODUCTO CENTRAL SA 254900W4CPYCQFVH5E92 680617AC1 453000.00000000 PA USD 368572.13000000 0.034808977504 Long DBT CORP CO N 2 2027-07-14 Fixed 4.00000000 N N N N N N GLOBO COMMUNICACOES PART 52990054HEKS017PVR75 37959DAB0 427000.00000000 PA USD 330446.76000000 0.031208311478 Long DBT CORP BR N 2 2030-01-22 Fixed 4.87500000 N N N N N N BFLD Trust N/A 05554BAA2 2276000.00000000 PA USD 2185673.75000000 0.206421110557 Long ABS-MBS CORP US N 2 2038-06-15 Floating 5.01300000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BT6 1267000.00000000 PA USD 1155668.71000000 0.109144568605 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 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 133702.29000000 OU Notional Amount USD -30272.43000000 -0.00285901252 N/A DCR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -8804.11000000 USD 133702.29000000 USD -21468.32000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828YL8 10554727.22000000 PA USD 10233137.88000000 0.966446014956 Long DBT UST US N 2 2024-10-15 Fixed 0.12500000 N N N N N N Natixis Commercial Mortgage Securities N/A 63875FAA4 461058.00000000 PA USD 452759.19000000 0.042759837699 Long ABS-MBS CORP US N 2 2036-07-15 Floating 4.91200000 N N N N N N ENBRIDGE ENERGY PARTNERS CZ6VG2MNE1J6YDI02G48 29250RAX4 1351000.00000000 PA USD 1429317.47000000 0.134988718923 Long DBT CORP US N 2 2045-10-15 Fixed 7.37500000 N N N N N N Affirm Inc N/A 00834HAA2 1372405.81000000 PA USD 1331032.44000000 0.125706407213 Long ABS-O CORP US N 2 2027-02-15 Fixed 1.75000000 N N N N N N VEDANTA RESOURCES 8945002DGA3BBXO3N634 92243XAD3 379000.00000000 PA USD 316180.75000000 0.029860989798 Long DBT CORP GB N 2 2024-01-21 Fixed 13.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B0CN4 1440965.05000000 PA USD 144957.63000000 0.013690201919 Long ABS-MBS USGSE US N 2 2047-12-25 Floating 2.61400000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153BS0 1118000.00000000 PA USD 1114455.94000000 0.105252319932 Long DBT CORP LR N 2 2029-01-15 Fixed 8.25000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 499808.61000000 OU Notional Amount USD -113164.99000000 -0.01068761653 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -26789.55000000 USD 499808.61000000 USD -86375.44000000 N N N COMM Mortgage Trust N/A 12625EAA7 26819.28000000 PA USD 26488.49000000 0.002501646699 Long ABS-MBS CORP US N 2 2035-04-12 Fixed 1.87300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZZ6 6649043.00000000 PA USD 5925959.57000000 0.559664110693 Long DBT UST US N 2 2030-07-15 Fixed 0.12500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCC8 1364000.00000000 PA USD 1049079.68000000 0.099078004029 Long DBT CORP US N 2 2032-04-22 Fixed 2.58000000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAF4 982000.00000000 PA USD 831852.20000000 0.078562436385 Long DBT CORP GB N 2 2028-02-16 Fixed 2.97200000 N N N N N N GUARDIAN LIFE INSURANCE N1YIDVMMKBHFYCCAIX69 401378AC8 183000.00000000 PA USD 139233.72000000 0.013149619932 Long DBT CORP US N 2 2077-01-24 Fixed 4.85000000 N N N N N N Fannie Mae - CAS N/A 20753KAB8 21895.64000000 PA USD 21867.40000000 0.002065218101 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 5.88600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AJWQ5 1558241.29000000 PA USD 155570.29000000 0.014692491059 Long ABS-MBS USGSE US N 2 2044-04-25 Floating 2.46400000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 225403.89000000 OU Notional Amount USD -51035.19000000 -0.00481990534 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -28645.93000000 USD 225403.89000000 USD -22389.26000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 3170000.00000000 OU Notional Amount USD 500713.80000000 0.047288804501 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-09-27 0.00000000 USD 0.00000000 USD 3170000.00000000 USD 500713.80000000 N N N FED CAISSES DESJARDINS 549300B2Q47IR0CR5B54 31429KAH6 1174000.00000000 PA USD 1097678.26000000 0.103667789149 Long DBT CORP CA N 2 2027-08-23 Fixed 4.55000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RCY8 1760000.00000000 PA USD 1733452.86000000 0.163712111407 Long ABS-O CORP US N 2 2024-09-20 Fixed 3.70000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBG3 83000.00000000 PA USD 59839.68000000 0.005651425882 Long DBT CORP US N 2 2049-05-15 Fixed 5.30000000 N N N N N N Morgan Stanley BAML Trust N/A 61765TAG8 9541192.46000000 PA USD 199565.49000000 0.018847520163 Long ABS-MBS CORP US N 2 2048-10-15 Variable 1.04400000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 35564KYP8 3680636.00000000 PA USD 3666834.72000000 0.346306073875 Long ABS-MBS USGSE US N 2 2042-06-25 Floating 7.49700000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AY4 1025000.00000000 PA USD 956048.25000000 0.090291856921 Long DBT CORP CH N 2 2026-07-15 Fixed 6.37300000 N N N N N N Balboa Bay Loan Funding Ltd 549300MALKZHG9DP8554 05766BAQ1 415000.00000000 PA USD 361584.52000000 0.034149048172 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 7.39300000 N N N N N N Fannie Mae - CAS N/A 20754LAB5 2898843.00000000 PA USD 2631554.60000000 0.248531338689 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 4.89700000 N N N N N N TERRAFORM GLOBAL OPERATI 549300LC7QMVR79H5O86 88104UAC7 89000.00000000 PA USD 81910.26000000 0.007735832868 Long DBT CORP US N 2 2026-03-01 Fixed 6.12500000 N N N N N N EXPEDIA GROUP INC N/A 30212PBK0 486000.00000000 PA USD 455056.38000000 0.042976790715 Long DBT CORP US N 2 2027-08-01 Fixed 4.62500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7030000.00000000 OU Notional Amount USD 550177.92000000 0.051960333627 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-04-04 0.00000000 USD 0.00000000 USD 7030000.00000000 USD 550177.92000000 N N N ROSS STORES INC 549300ENZFLPGRDFZQ60 778296AC7 1083000.00000000 PA USD 1036431.00000000 0.097883427495 Long DBT CORP US N 2 2027-04-15 Fixed 4.70000000 N N N N N N AIRCASTLE LTD 549300PNK8AKY3OIKP58 00928QAT8 585000.00000000 PA USD 547396.20000000 0.051697620250 Long DBT CORP BM N 2 2025-08-11 Fixed 5.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828S50 100227176.72000000 PA USD 94636379.52000000 8.937723006325 Long DBT UST US N 2 2026-07-15 Fixed 0.12500000 N N N N N N Synchrony Financial 549300RS7EWPM9MA6C78 87165BAG8 244000.00000000 PA USD 231143.64000000 0.021829848515 Long DBT CORP US N 2 2025-07-23 Fixed 4.50000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 9100.14000000 OU Notional Amount USD -2060.42000000 -0.00019459179 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -864.31000000 USD 9100.14000000 USD -1196.11000000 N N N Voya Financial Inc 549300T065Z4KJ686G75 45685EAG1 335000.00000000 PA USD 323851.20000000 0.030585408439 Long DBT CORP US N 2 2053-05-15 Fixed 5.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M2QB1 6699862.38000000 PA USD 5719350.92000000 0.540151414901 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N 2022-11-25 AB BOND FUND, INC. Joseph Mantineo Joseph Mantineo Treasurer and Chief Financial Officer