NPORT-P/A false 0001752724-23-070279 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 2023-10-31 2023-01-31 N 1042213412.16 66866357.68 975347054.48 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 5804891.83000000 0.00000000 0.00000000 0.00000000 JPY USD N Bloomberg US Treasury Inflation Notes: 1-10 Year LTI1TRUU:IND BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKP3 2480000.00000000 PA USD 2425464.80000000 0.248677103074 Long DBT CORP US N 2 2028-04-27 Fixed 4.37600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGCD9 3751409.81000000 PA USD 3292868.99000000 0.337609979429 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 299018.40000000 0.030657641157 Long DBT CORP US N 2 2033-06-01 Fixed 4.50000000 N N N N N N Fannie Mae - CAS N/A 20754BAA9 1757616.11000000 PA USD 1740513.63000000 0.178450698344 Long ABS-MBS USGSE US N 2 2042-01-25 Floating 5.51000000 N N N N N N EXPEDIA GROUP INC N/A 30212PAS4 34000.00000000 PA USD 34589.56000000 0.003546384832 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 425798.65000000 0.043656116870 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 1176045.76000000 0.120577158109 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 1039572.80000000 0.106584912029 Long ABS-CBDO CORP KY N 2 2034-07-19 Floating 7.69800000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 53813.04000000 OU Notional Amount USD -13125.90000000 -0.00134576712 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 -5716.82000000 USD 53813.04000000 USD -7409.08000000 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 5566.85000000 OU Notional Amount USD -1357.84000000 -0.00013921608 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 -832.08000000 USD 5566.85000000 USD -525.76000000 N N N LB-UBS Commercial Mortgage Trust N/A 50179MAH4 77786.92000000 PA USD 34069.92000000 0.003493107386 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 2813843.44000000 0.288496635846 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 555588.40000000 0.056963149419 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 261017.60000000 0.026761510049 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 182343.36000000 0.018695228448 Long ABS-O CORP US N 2 2028-02-15 Fixed 1.76000000 N N N N N N AUST & NZ BANKING GROUP JHE42UYNWWTJB8YTTU19 05252ADF5 992000.00000000 PA USD 993378.88000000 0.101848759929 Long DBT CORP AU N 2 2025-02-03 Fixed 4.82900000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 715000.00000000 OU Notional Amount USD 41812.05000000 0.004286889452 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 41812.05000000 N N N Ballyrock Ltd N/A 05876KAG0 660000.00000000 PA USD 600953.10000000 0.061614283576 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 7.70800000 N N N N N N VOLCAN CIA MINERA SAA-CM 549300XKJ91C4SZLG750 92863UAB2 125000.00000000 PA USD 110046.88000000 0.011282843321 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 187441.50000000 0.019217928545 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 300947.34000000 0.030855410760 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 317284.83000000 0.032530454523 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 437847.06000000 0.044891411522 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 1094528.74000000 0.112219413076 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 6.00800000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 000000000 433000.00000000 PA USD 402811.24000000 0.041299272720 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 1765190.00000000 0.180980707522 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 640418.44000000 0.065660570466 Long DBT CORP ES N 2 2027-09-18 Fixed 4.00000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CL2 1104000.00000000 PA USD 1151063.52000000 0.118015788812 Long DBT CORP GB N 2 2025-11-16 Fixed 7.77600000 N N N N N N BELLEMEADE RE LT 254900SCWI9IDKK5LV64 07877GAB5 55382.58000000 PA USD 55365.36000000 0.005676477900 Long ABS-MBS CORP BM N 2 2029-07-25 Floating 6.10600000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -555.97000000 -0.00005700227 N/A DFE JP N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 797386.30000000 USD 103620971.00000000 JPY 2023-02-09 -555.97000000 N N N NMEF Funding LLC N/A 62890MAB0 968000.00000000 PA USD 971898.33000000 0.099646410530 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 2452627.18000000 0.251461996910 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 5.81000000 N N N N N N VISTRA CORP 549300KP43CPCUJOOG15 92840MAC6 751000.00000000 PA USD 706961.36000000 0.072483056851 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 1142926.39000000 0.117181508341 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 1031277.44000000 0.105734408615 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 1061545.45000000 0.108837715264 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 841158.50000000 0.086241968552 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 1460850.16000000 0.149777471853 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 360236.16000000 0.036934151627 Long DBT CORP US N 2 2031-11-15 Fixed 2.90000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -244922.35000000 -0.02511130257 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 7353932.90000000 EUR 7762921.88000000 USD 2023-02-27 -244922.35000000 N N N GSF 2021 1 ISSUER LLC N/A 36261CAC5 1421000.00000000 PA USD 1344344.16000000 0.137832390411 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 3750972.36000000 PA USD 3618818.85000000 0.371028838748 Long ABS-MBS CORP KY N 2 2037-01-16 Floating 5.56000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05367AAH6 246000.00000000 PA USD 234942.30000000 0.024088071924 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 691408.50000000 0.070888459325 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 877327.90000000 0.089950330599 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 7.65800000 N N N N N N Nelnet Student Loan Trust N/A 64034YAC5 793000.00000000 PA USD 667685.38000000 0.068456184589 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 1589628.60000000 0.162980817207 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 145944.40000000 0.014963330163 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 672456.60000000 PA USD 650189.81000000 0.066662405654 Long ABS-O CORP US N 2 2031-12-15 Fixed 1.83300000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 134841.89000000 OU Notional Amount USD -32890.19000000 -0.00337215249 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -14307.02000000 USD 134841.89000000 USD -18583.17000000 N N N Wells Fargo Commercial Mortgage Trust 549300CFP9NBBMZH1008 95000KBH7 525000.00000000 PA USD 462776.95000000 0.047447413500 Long ABS-MBS CORP US N 2 2049-11-15 Variable 4.38600000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JBD9 235000.00000000 PA USD 186449.00000000 0.019116169894 Long DBT CORP US N 2 2042-09-15 Fixed 4.50000000 N N N N N N Freddie Mac - STACR N/A 35564KL31 3059489.90000000 PA USD 3097978.28000000 0.317628301205 Long ABS-MBS USGSE US N 2 2052-03-25 Floating 6.81000000 N N N N N N ENA MASTER TRUST 549300CBCHB6Q73VG753 29249BAA3 303000.00000000 PA USD 237381.56000000 0.024338163416 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 17636745.38000000 PA USD 154317.99000000 0.015821854312 Long ABS-MBS CORP US N 2 2047-09-15 Variable 0.79900000 N N N N N N IQVIA INC 549300PLWY28YB00C717 000000000 550000.00000000 PA 502580.35000000 0.051528360873 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 496821.66000000 0.050937936165 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 9278.10000000 OU Notional Amount USD -2263.09000000 -0.00023202920 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -1307.64000000 USD 9278.10000000 USD -955.45000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1490000.00000000 OU Notional Amount USD 143318.56000000 0.014694109070 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 143318.56000000 N N N BX Trust N/A 05608BAL4 185485.00000000 PA USD 176957.62000000 0.018143041411 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.35900000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 000000000 307000.00000000 PA 261837.59000000 0.026845581662 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 2230338.80000000 0.228671301128 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 1207500.25000000 0.123802111715 Long ABS-CBDO CORP KY N 2 2035-07-16 Floating 7.59200000 N N N N N N Upstart Securitization Trust N/A 91679LAB8 1090000.00000000 PA USD 1019907.88000000 0.104568714829 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 632529.56000000 0.064851742474 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 2423338.93000000 0.248459142709 Long ABS-MBS USGSE US N 2 2042-02-25 Floating 6.71000000 N N N N N N BELLEMEADE RE LT N/A 078774AB2 1255354.00000000 PA USD 1212825.62000000 0.124348109160 Long ABS-MBS CORP BM N 2 2032-01-26 Floating 6.46000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 20920000.00000000 OU Notional Amount USD 2811455.87000000 0.288251844006 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 2811455.87000000 N N N BELLEMEADE RE LT N/A 07876MAC1 727875.00000000 PA USD 716610.62000000 0.073472372393 Long ABS-MBS CORP BM N 2 2031-03-25 Floating 7.26000000 N N N N N N ACM Auto Trust N/A 00091QAA0 426635.76000000 PA USD 425765.64000000 0.043652732434 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 242567.00000000 0.024869814173 Long DBT CORP US N 2 2030-11-15 Fixed 4.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ALP47 838517.98000000 PA USD 89318.77000000 0.009157639794 Long ABS-MBS USGSE US N 2 2044-12-25 Floating 1.59400000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 134223.37000000 OU Notional Amount USD -32739.32000000 -0.00335668415 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -14246.95000000 USD 134223.37000000 USD -18492.37000000 N N N CELANESE US HOLDINGS LLC CD30XVRLT4QO00B1C706 15089QAR5 2365000.00000000 PA USD 2378787.95000000 0.243891437316 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 406254.06000000 0.041652256818 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 342472.59000000 0.035112895294 Long ABS-O CORP US N 2 2026-09-15 Fixed 2.24000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ATV27 884915.50000000 PA USD 96612.33000000 0.009905431052 Long ABS-MBS USGSE US N 2 2046-10-25 Floating 1.49400000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 64600000.00000000 OU Notional Amount USD 7643924.20000000 0.783713260309 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 7643924.20000000 N N N LAD Auto Receivables Trust N/A 501683AA4 740874.53000000 PA USD 718369.58000000 0.073652714354 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 189020.13000000 0.019379781702 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 925699.00000000 0.094909703756 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 7.89200000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XAP9 112064.21000000 PA USD 116435.06000000 0.011937808133 Long ABS-MBS USGSE US N 2 2024-11-25 Floating 9.40600000 N N N N N N HP INC WHKXQACZ14C5XRO8LW03 40434LAN5 1844000.00000000 PA USD 1811342.76000000 0.185712639586 Long DBT CORP US N 2 2033-01-15 Fixed 5.50000000 N N N N N N Neighborly Issuer LLC N/A 64016NAA5 516359.75000000 PA USD 437218.32000000 0.044826948314 Long ABS-O CORP US N 2 2051-04-30 Fixed 3.58400000 N N N N N N Alliance Bernstein 5493006YWHO7MNK2U579 018616748 923571.90000000 NS USD 923571.90000000 0.094691617282 Long STIV RF US N 1 N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HBG3 906000.00000000 PA USD 917995.44000000 0.094119876179 Long DBT CORP JP N 2 2026-01-09 Fixed 5.70900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FTV38 2834003.75000000 PA USD 291478.14000000 0.029884556339 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 1.59400000 N N N N N N Ford Credit Auto Owner Trust/Ford Credit N/A 345340AD5 1000000.00000000 PA USD 878782.30000000 0.090099446752 Long ABS-O CORP US N 2 2033-10-17 Fixed 2.31000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XBF0 377849.16000000 PA USD 398805.28000000 0.040888551225 Long ABS-MBS USGSE US N 2 2028-04-25 Floating 10.20600000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AU2 928000.00000000 PA USD 705363.52000000 0.072319234139 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 1643664.90000000 0.168521029765 Long ABS-MBS CORP US N 2 2031-09-25 Floating 5.31000000 N N N N N N AXIS Equipment Finance Receivables LLC 549300IFG1NMINYRYF89 03236XAB3 936000.00000000 PA USD 930688.11000000 0.095421225267 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 15463.51000000 OU Notional Amount USD -3771.81000000 -0.00038671465 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 -1730.38000000 USD 15463.51000000 USD -2041.43000000 N N N FHF Trust 2021-2 N/A 30322JAA4 413609.06000000 PA USD 394789.81000000 0.040476854693 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 484364.00000000 PA USD 478435.38000000 0.049052834865 Long DBT CORP XX N 2 2025-10-20 Fixed 4.50000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 26597.26000000 OU Notional Amount USD -6487.51000000 -0.00066514887 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 -3131.47000000 USD 26597.26000000 USD -3356.04000000 N N N Santander Bank Auto Credit-Linked Notes N/A 80290CAS3 1939291.00000000 PA USD 1894440.05000000 0.194232405921 Long ABS-O CORP US N 2 2032-05-15 Fixed 5.28100000 N N N N N N Carvana Auto Receivables Trust N/A 14687HAE3 916000.00000000 PA USD 843107.74000000 0.086441819465 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 1464025.76000000 PA USD 1458024.13000000 0.149487725759 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 432.76000000 0.000044369847 Long DBT CORP KY N 2 2058-09-10 None 0.00000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 5566.85000000 OU Notional Amount USD -1357.84000000 -0.00013921608 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 -665.29000000 USD 5566.85000000 USD -692.55000000 N N N Fannie Mae - CAS N/A 20753XAB0 2282827.00000000 PA USD 2314194.41000000 0.237268816199 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 7.81000000 N N N N N N EMBRAER NETHERLANDS FINA 724500PBR8LR26XBSP67 29082HAB8 590000.00000000 PA USD 578937.50000000 0.059357076780 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 462685.85000000 0.047438073235 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 462685.85000000 N N N DISH DBS CORP N/A 25470XBF1 1067000.00000000 PA USD 875121.39000000 0.089724102408 Long DBT CORP US N 2 2028-12-01 Fixed 5.75000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 369887.42000000 OU Notional Amount USD -90221.70000000 -0.00925021504 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -52762.81000000 USD 369887.42000000 USD -37458.89000000 N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAK7 751000.00000000 PA USD 667654.02000000 0.068452969323 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 608548.20000000 0.062392991008 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 7.90800000 N N N N N N Genworth Mortgage Insurance Corporation N/A 89600HAA7 873523.73000000 PA USD 872040.49000000 0.089408225102 Long ABS-MBS CORP BM N 2 2034-02-25 Floating 6.21000000 N N N N N N Fannie Mae - CAS N/A 20754RAB2 1447076.00000000 PA USD 1424990.15000000 0.146100830822 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 5.86000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 20754KAB7 1221326.00000000 PA USD 1155737.74000000 0.118495025405 Long ABS-MBS USGSE US N 2 2041-11-25 Floating 6.31000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABC4 746000.00000000 PA USD 718151.82000000 0.073630387942 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 1024102.67000000 0.104998796612 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 1138711.23000000 0.116749338070 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 911264.90000000 0.093429810016 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 89793.80000000 0.009206343484 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 89793.80000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A2N58 5496.56000000 PA USD 713.02000000 0.000073104234 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 2.03400000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3000000.00000000 OU Notional Amount USD 348268.74000000 0.035707160687 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 348268.74000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDM5 1555000.00000000 PA USD 1567564.40000000 0.160718627569 Long DBT CORP US N 2 2025-12-15 Fixed 5.54600000 N N N N N N Carvana Auto Receivables Trust N/A 14687GAD7 598877.63000000 PA USD 572181.52000000 0.058664402314 Long ABS-O CORP US N 2 2028-06-12 Fixed 1.02000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -171.00000000 NC USD 36255.24000000 0.003717163017 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT Ultra 10-Year U.S. Treasury Notes Futures UXYH3 Comdty 2023-03-22 -20761989.62000000 USD 36255.24000000 N N N Eagle Re Ltd N/A 26982AAB0 674583.00000000 PA USD 668004.06000000 0.068488858087 Long ABS-MBS CORP BM N 2 2034-04-25 Floating 6.36000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BQ4 1235000.00000000 PA USD 1064607.05000000 0.109151613788 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 1580101.00000000 0.162003975173 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 6.66000000 N N N N N N Octane Receivables Trust N/A 67578AAB4 1508000.00000000 PA USD 1372428.39000000 0.140711799322 Long ABS-O CORP US N 2 2028-09-20 Fixed 2.02000000 N N N N N N UMBS, TBA N/A 01F030629 11227734.00000000 PA USD 10190917.89000000 1.044850429720 Long ABS-MBS USGSE US N 2 2053-02-15 Fixed 3.00000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863BB5 373000.00000000 PA USD 347589.38000000 0.035637507531 Long DBT CORP GB N 2 2029-03-16 Fixed 3.87500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 18556.23000000 OU Notional Amount USD -4526.18000000 -0.00046405840 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -1571.71000000 USD 18556.23000000 USD -2954.47000000 N N N Affirm Inc N/A 00834CAA3 211236.79000000 PA USD 205670.64000000 0.021086918656 Long ABS-O CORP US N 2 2025-08-15 Fixed 1.07000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VAL7 1595000.00000000 PA USD 1418465.40000000 0.145431863815 Long DBT CORP US N 2 2032-03-15 Fixed 4.27900000 N N N N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 06417XAN1 995000.00000000 PA USD 994462.70000000 0.101959881401 Long DBT CORP CA N 2 2026-02-02 Fixed 4.75000000 N N N N N N Fannie Mae - CAS N/A 20753QAE9 40716.43000000 PA USD 40767.00000000 0.004179742975 Long ABS-MBS USGSE US N 2 2031-04-25 Floating 6.90600000 N N N N N N BELLEMEADE RE LT N/A 07876AAB9 1424762.00000000 PA USD 1390344.74000000 0.142548719823 Long ABS-MBS CORP BM N 2 2031-06-25 Floating 5.81000000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AU3 1071000.00000000 PA USD 969158.61000000 0.099365513593 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 435389.60000000 0.044639454028 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 176705.34000000 0.018117175746 Long DBT CORP US N 2 2031-01-15 Fixed 6.35000000 N N N N N N ACM Auto Trust N/A 00461VAA1 2138000.00000000 PA USD 2138383.34000000 0.219243327816 Long ABS-O CORP US N 2 2030-01-22 Fixed 6.61000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAS4 1572000.00000000 PA USD 1626296.88000000 0.166740328227 Long DBT CORP GB N 2 2026-11-21 Fixed 6.83300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380GHH0 742467.71000000 PA USD 89516.29000000 0.009177891047 Long ABS-MBS USGA US N 2 2047-08-20 Floating 1.71400000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2T0 593000.00000000 PA USD 538011.11000000 0.055160991928 Long DBT CORP FR N 2 2028-01-20 Fixed 2.59100000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 26597.26000000 OU Notional Amount USD -6487.51000000 -0.00066514887 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 -3234.59000000 USD 26597.26000000 USD -3252.92000000 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 22546DAB2 257000.00000000 PA USD 243119.43000000 0.024926453500 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 56905.76000000 OU Notional Amount USD -13880.27000000 -0.00142311087 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 -6535.14000000 USD 56905.76000000 USD -7345.13000000 N N N Voya CLO Ltd 549300KSCKXTOBY0IP86 92917NAS7 340000.00000000 PA USD 305486.26000000 0.031320775368 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 7.64200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 110100.27000000 OU Notional Amount USD -26855.29000000 -0.00275340863 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -8828.49000000 USD 110100.27000000 USD -18026.80000000 N N N GSF 2021 1 ISSUER LLC N/A 36261CAE1 40000.00000000 PA USD 36240.64000000 0.003715666114 Long ABS-O CORP US N 3 2026-08-15 Variable 2.63800000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 85977.17000000 OU Notional Amount USD -20971.27000000 -0.00215013413 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -9898.38000000 USD 85977.17000000 USD -11072.89000000 N N N ADVANCE AUTO PARTS 529900UCNQ5H9FSL0Y70 00751YAE6 1525000.00000000 PA USD 1388436.25000000 0.142353046910 Long DBT CORP US N 2 2030-04-15 Fixed 3.90000000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAA6 428000.00000000 PA USD 368882.50000000 0.037820640181 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 431777.63000000 0.044269127385 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 431777.63000000 N N N CPS Auto Trust N/A 12659WAE8 1765000.00000000 PA USD 1664319.63000000 0.170638709816 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 177943.71000000 0.018244142859 Long DBT CORP US N 2 2029-02-15 Fixed 2.62500000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967GD7 103000.00000000 PA USD 103626.24000000 0.010624550463 Long DBT CORP US N 2 2023-04-30 Variable 8.87000000 N N N N N N Banc of America Merrill Lynch Large Loan Inc N/A 054966AA4 1755000.00000000 PA USD 1662196.83000000 0.170421064211 Long ABS-MBS CORP US N 2 2033-11-15 Floating 5.46000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BG7 275000.00000000 PA USD 288849.00000000 0.029614996905 Long DBT CORP US N 2 2032-11-15 Fixed 6.10000000 N N N N N N Radnor Re LTD 254900JBDDKUTX6TX151 75049SAB9 586224.62000000 PA USD 581492.61000000 0.059619046095 Long ABS-MBS CORP BM N 2 2029-02-25 Floating 6.45600000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513CA1 322000.00000000 PA USD 285485.20000000 0.029270114539 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 402336.48000000 0.041250596713 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 658234.32000000 0.067487190018 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 857361.78000000 0.087903252084 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 308804.10000000 0.031660945566 Long DBT CORP US N 2 2041-03-01 Fixed 6.50000000 N N N N N N Freddie Mac - STACR N/A 35566AAH2 368180.83000000 PA USD 371591.33000000 0.038098370041 Long ABS-MBS USGSE US N 2 2050-10-25 Floating 7.11000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AX4B8 15394.83000000 PA USD 1849.97000000 0.000189672998 Long ABS-MBS USGSE US N 2 2047-10-25 Floating 1.69400000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746TD3 418000.00000000 PA USD 385032.34000000 0.039476444639 Long DBT CORP US N 2 2026-03-15 Fixed 3.90000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 000000000 1255000.00000000 PA USD 1028999.60000000 0.105500867129 Long DBT CORP FR N 1 2031-02-25 Fixed 4.62500000 N N N N Y BNP Paribas SA USD XXXX N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135CP9 1562000.00000000 PA USD 1582024.84000000 0.162201221886 Long DBT CORP US N 2 2027-12-01 Fixed 4.55000000 N N N N N N Chase Mortgage Finance Corporation N/A 46591HAC4 138859.72000000 PA USD 132977.51000000 0.013633865954 Long ABS-MBS CORP US N 2 2047-04-25 Floating 6.60600000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 92781.14000000 OU Notional Amount USD -22630.87000000 -0.00232028895 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -10849.09000000 USD 92781.14000000 USD -11781.78000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YER2 799000.00000000 PA USD 776612.02000000 0.079624172383 Long DBT CORP US N 2 2028-04-20 Fixed 4.21000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810PZ5 105732685.98000000 PA USD 112208813.00000000 11.50450113983 Long DBT UST US N 2 2029-01-15 Fixed 2.50000000 N N N N N N CAESARS ENTERTAIN INC 549300FA4CTCW903Y781 12769GAB6 561000.00000000 PA USD 571670.22000000 0.058611979948 Long DBT CORP US N 2 2030-02-15 Fixed 7.00000000 N N N N N N ALFA S.A. 549300ZCGJ6T8YDJ4M34 015398AB6 600000.00000000 PA USD 595237.50000000 0.061028276782 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 59743.99000000 0.006125408358 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 522258.32000000 0.053545896058 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 575230.07000000 0.058976962852 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 7.41000000 N N N N N N NATURA &CO LUX HLD SARL 54930074AZRQQPMINM11 63884WAA6 592000.00000000 PA USD 518192.40000000 0.053129027008 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 175979.28000000 0.018042734551 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 230647.50000000 0.023647736356 Long DBT CORP BM N 2 2030-08-15 Fixed 3.25000000 N N N N N N CAJUN GLOBAL LLC N/A 12803VAA3 457040.00000000 PA USD 393304.40000000 0.040324559160 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 164547.00000000 PA USD 159038.26000000 0.016305812302 Long ABS-MBS CORP US N 2 2023-02-27 Floating 6.86700000 N N N N N N Pikes Peak CLO 549300NJA5BS4BQQJL72 72133CAA0 1450000.00000000 PA USD 1430974.55000000 0.146714397037 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.97800000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 18556.23000000 OU Notional Amount USD -4526.18000000 -0.00046405840 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -1700.78000000 USD 18556.23000000 USD -2825.40000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9000000.00000000 OU Notional Amount USD 889892.82000000 0.091238581786 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 889892.82000000 N N N Wells Fargo Commercial Mortgage Trust N/A 95000JBB3 330000.00000000 PA USD 288729.87000000 0.029602782791 Long ABS-MBS CORP US N 2 2059-12-15 Variable 4.34200000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAR4 791000.00000000 PA USD 615722.31000000 0.063128535342 Long DBT CORP US N 2 2031-10-28 Fixed 2.87500000 N N N N N N PNC FINANCIAL SERVICES CFGNEKW0P8842LEUIA51 693475BM6 276000.00000000 PA USD 278282.52000000 0.028531640990 Long DBT CORP US N 2 2034-01-24 Fixed 5.06800000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAQ5 971000.00000000 PA USD 974505.31000000 0.099913697952 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 223570.50000000 0.022922148477 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XBB9 94451.28000000 PA USD 98745.38000000 0.010124127565 Long ABS-MBS USGSE US N 2 2025-07-25 Floating 9.50600000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 9278.10000000 OU Notional Amount USD -2263.09000000 -0.00023202920 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -771.56000000 USD 9278.10000000 USD -1491.53000000 N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AC5 1378000.00000000 PA USD 1296077.90000000 0.132883766249 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 80013.66000000 0.008203609128 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 481091.60000000 0.049325170747 Long DBT CORP BR N 2 2028-05-03 Fixed 4.12500000 N N N N N N INVERSIONES CMPC CI 549300G475ACIABB4385 000000000 0.00000000 PA USD 0.00000000 0.000000 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 119996.64000000 0.012302968409 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 932370.50000000 0.095593716689 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 156771.32000000 0.016073388367 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 5758181.66000000 0.590372589280 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 5758181.66000000 N N N Port Authority of New York & New Jersey 54930006MR4KZ4W74Z83 73358W4V3 660000.00000000 PA USD 649993.48000000 0.066642276409 Long DBT MUN US N 2 2023-07-01 Fixed 1.08600000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 639057AG3 548000.00000000 PA USD 579712.76000000 0.059436562333 Long DBT CORP GB N 2 2026-11-10 Fixed 7.47200000 N N N N N N Neuberger Berman CLO Ltd 549300LCOEVXWN75LP18 64134AAA0 1353587.00000000 PA USD 1334650.32000000 0.136838504188 Long ABS-CBDO CORP KY N 2 2035-07-17 Floating 5.92200000 N N N N N N Hardee's Funding LLC and Carls' Jr Funding LLC N/A 411707AH5 327861.95000000 PA USD 290552.24000000 0.029789626027 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 1557582.95000000 0.159695253381 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 2594118.32000000 0.265968744980 Long ABS-MBS CORP US N 2 2032-09-27 Floating 8.31000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDF0 426000.00000000 PA USD 417267.00000000 0.042781387208 Long DBT CORP US N 2 2030-06-14 Fixed 4.56500000 N N N N N N HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 000000000 -19366875.00000000 PA USD -19366875.00000000 -1.98563935893 Short RA CORP US N 1 Reverse repurchase N 4.39000000 2023-11-14 16500000.00000000 USD 19497952.17000000 USD UST N N N Fannie Mae - CAS N/A 20753WAF3 73012.98000000 PA USD 73012.66000000 0.007485813348 Long ABS-MBS USGSE US N 2 2039-10-25 Floating 6.60600000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 38550000.00000000 OU Notional Amount USD 4676650.84000000 0.479485821843 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 4676650.84000000 N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AY5 368000.00000000 PA USD 297211.52000000 0.030472386073 Long DBT CORP IT N 2 2032-06-03 Fixed 3.12700000 N N N N N N BANCO DE CREDITO DEL PER 549300EQYQ8SCQZ4BY14 05971U2C0 958000.00000000 PA USD 880128.97000000 0.090237517605 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 1409664.59000000 0.144529537821 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.89800000 N N N N N N Research-Driven Pagaya Motor Asset Trust I N/A 76088TAA9 2180441.03000000 PA USD 2131018.50000000 0.218488228391 Long ABS-O CORP US N 2 2030-11-25 Fixed 5.38000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 104533.41000000 OU Notional Amount USD -25497.45000000 -0.00261419254 N/A DCR US N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -8033.52000000 USD 104533.41000000 USD -17463.93000000 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AJ7 261000.00000000 PA USD 242803.08000000 0.024894018891 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 1893979.62000000 0.194185199135 Long DBT CORP GB N 2 2026-11-03 Fixed 7.33600000 N N N N N N TENCENT HOLDINGS LTD 254900N4SLUMW4XUYY11 88032WAV8 655000.00000000 PA USD 448797.81000000 0.046014165720 Long DBT CORP KY N 2 2050-06-03 Fixed 3.24000000 N N N N N N BELLEMEADE RE LT 254900K56RF3Z7VQ3U81 07876RAB2 7815.43000000 PA USD 7813.70000000 0.000801119966 Long ABS-MBS CORP BM N 2 2029-03-25 Floating 6.25600000 N N N N N N MT LOGAN RE LTD N/A 000000000 451.66000000 NS USD 383251.68000000 0.039293877829 Long EP CORP BM N 3 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 16700.60000000 OU Notional Amount USD -4073.56000000 -0.00041765236 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 -2104.14000000 USD 16700.60000000 USD -1969.42000000 N N N Carvana Auto Receivables Trust N/A 14687KAG1 1206000.00000000 PA USD 972462.56000000 0.099704259682 Long ABS-O CORP US N 2 2028-09-11 Fixed 2.61000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XAX2 98476.89000000 PA USD 100466.29000000 0.010300568350 Long ABS-MBS USGSE US N 2 2025-05-25 Floating 8.50600000 N N N N N N Brex Inc N/A 05601DAA1 729000.00000000 PA USD 722296.04000000 0.074055284904 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 37112.45000000 OU Notional Amount USD -9052.34000000 -0.00092811476 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 -4369.47000000 USD 37112.45000000 USD -4682.87000000 N N N AGL CLO 16 LTD N/A 00120LAA6 4408306.00000000 PA USD 4332439.05000000 0.444194610533 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.93800000 N N N N N N Dryden Senior Loan Fund N/A 26253LAE2 880000.00000000 PA USD 841073.20000000 0.086233222947 Long ABS-CBDO CORP KY N 2 2033-04-17 Floating 6.74200000 N N N N N N WESTINGHOUSE AIR BRAKE 06BTX5UWZD0GQ5N5Y745 960386AQ3 180000.00000000 PA USD 170188.20000000 0.017448988974 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 959938.61000000 PA USD 953499.25000000 0.097759996877 Long ABS-O CORP US N 2 2026-02-13 Fixed 4.12000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AV3 1496000.00000000 PA USD 1169872.00000000 0.119944177267 Long DBT CORP US N 2 2032-04-01 Fixed 2.87500000 N N N N N N WESTERN DIGITAL CORP 549300QQXOOYEF89IC56 958102AR6 1250000.00000000 PA USD 959825.00000000 0.098408560890 Long DBT CORP US N 2 2032-02-01 Fixed 3.10000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0HJ1 93601.48000000 PA USD 96404.40000000 0.009884112486 Long ABS-MBS USGSE US N 2 2028-05-25 Floating 9.30600000 N N N N N N SVENSKA HANDELSBANKEN AB NHBDILHZTYCNBV5UYZ31 000000000 1400000.00000000 PA USD 1201074.00000000 0.123143243677 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 2433641.04000000 0.249515393399 Long DBT CORP US N 2 2025-05-24 Fixed 4.14000000 N N N N N N KBC GROUP NV 213800X3Q9LSAKRUWY91 48241FAB0 461000.00000000 PA USD 467698.33000000 0.047951990817 Long DBT CORP BE N 2 2029-01-19 Fixed 5.79600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380GH49 838285.15000000 PA USD 104647.66000000 0.010729274212 Long ABS-MBS USGA US N 2 2047-09-20 Floating 1.71400000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBP9 605000.00000000 PA USD 593154.10000000 0.060814670765 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 1484373.77000000 0.152189291307 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 349460.00000000 0.035829297724 Long DBT CORP GB N 2 2027-01-30 Variable 6.31200000 N N N N N N ALTICE FINANCING SA 549300DIYGW8HVDF7Q17 000000000 642000.00000000 PA 558004.45000000 0.057210861245 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 490610.75000000 PA USD 430200.72000000 0.044107450576 Long ABS-O CORP US N 2 2046-06-18 Fixed 2.38000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AJ7M0 1874562.05000000 PA USD 174817.91000000 0.017923662064 Long ABS-MBS USGSE US N 2 2041-11-15 Floating 2.14100000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAV2 194000.00000000 PA USD 198937.30000000 0.020396565415 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 891376.73000000 0.091390723528 Long ABS-CBDO CORP KY N 2 2035-07-16 Floating 5.89200000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 23800000.00000000 OU Notional Amount USD 2420978.84000000 0.248217168327 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 2420978.84000000 N N N Multifamily Structured Credit Risk N/A 35563FAA9 112092.74000000 PA USD 106095.97000000 0.010877765971 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 6.31000000 N N N N N N City of New York NY 549300ABYZD2SFD5JB29 64966QRQ5 775000.00000000 PA USD 627723.96000000 0.064359035803 Long DBT MUN US N 2 2031-08-01 Fixed 1.92300000 N N N N N N Radnor Re LTD 254900YVLP8CB4GC2O97 750493AA6 35832.58000000 PA USD 35804.34000000 0.003670933319 Long ABS-MBS CORP BM N 2 2030-01-25 Floating 5.45600000 N N N N N N HONEYWELL INTERNATIONAL ISRPG12PN4EIEOEMW547 000000000 1853000.00000000 PA 2068739.74000000 0.212102936129 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 891142.31000000 0.091366689006 Long DBT CORP MX N 2 2031-02-09 Fixed 3.34800000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 75461.98000000 OU Notional Amount USD -18406.43000000 -0.00188716723 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -8535.06000000 USD 75461.98000000 USD -9871.37000000 N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBT7 673000.00000000 PA USD 614664.36000000 0.063020066260 Long DBT CORP US N 2 2032-04-15 Fixed 4.15000000 N N N N N N Neighborly Issuer LLC N/A 64016NAE7 1965000.00000000 PA USD 1925700.00000000 0.197437413806 Long ABS-O CORP US N 2 2053-01-30 Fixed 7.30800000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 61010000.00000000 OU Notional Amount USD -961138.12000000 -0.09854319194 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 -961138.12000000 N N N AB Issuer LLC N/A 00091JAA6 1456990.00000000 PA USD 1204576.68000000 0.123502365077 Long ABS-O CORP US N 2 2051-07-30 Fixed 3.73400000 N N N N N N HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 000000000 -6084000.00000000 PA USD -6084000.00000000 -0.62377796416 Short RA CORP US N 1 Reverse repurchase N 4.39000000 2023-11-15 5200000.00000000 USD 6144809.17000000 USD UST N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 342.00000000 NC USD 247630.88000000 0.025389001675 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year US Treasury Note Future FVH3 Comdty 2023-03-31 37113197.42000000 USD 247630.88000000 N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDC5 1425000.00000000 PA USD 1406146.68000000 0.144168854926 Long ABS-O CORP US N 2 2025-03-20 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128282L3 47748604.27000000 PA USD 45607377.80000000 4.676015331211 Long DBT UST US N 2 2027-07-15 Fixed 0.37500000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAF8 194000.00000000 PA USD 190411.00000000 0.019522384275 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 846672.01000000 0.086807255541 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.60900000 N N N N N N ENTEGRIS ESCROW CORP IYX6OWO7BT5DKO3BYG52 29365BAA1 1896000.00000000 PA USD 1778865.12000000 0.182382784858 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 489875.00000000 0.050225711735 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.98800000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 74843.43000000 OU Notional Amount USD -18255.56000000 -0.00187169889 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 -7622.67000000 USD 74843.43000000 USD -10632.89000000 N N N OCHSNER LSU HEALTH SYST N/A 67555JAA4 1190000.00000000 PA USD 895820.10000000 0.091846291623 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 392832.00000000 0.040276125118 Long DBT CORP NL N 2 2028-01-17 Fixed 6.95000000 N N N N N N ZOETIS INC 549300HD9Q1LOC9KLJ48 98978VAU7 911000.00000000 PA USD 931597.71000000 0.095514484379 Long DBT CORP US N 2 2025-11-14 Fixed 5.40000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAH4 550000.00000000 PA USD 545523.00000000 0.055931168038 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 518363.36000000 0.053146555128 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 189377.10000000 0.019416380982 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 1150025.00000000 0.117909311841 Long DBT CORP US N 2 2032-08-19 Fixed 6.10000000 N N N N N N Fannie Mae - CAS N/A 20754CAB5 361998.34000000 PA USD 361998.20000000 0.037114809373 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 6.55600000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CE7 296000.00000000 PA USD 267489.28000000 0.027425035916 Long DBT CORP DE N 2 2026-11-24 Fixed 2.12900000 N N N N N N Affirm Inc N/A 00834TAA6 356774.57000000 PA USD 342210.00000000 0.035085972570 Long ABS-O CORP US N 2 2026-11-16 Fixed 1.17000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254CJ7 657000.00000000 PA USD 635161.32000000 0.065121570530 Long DBT CORP GB N 2 2026-03-30 Fixed 3.97100000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 102677.76000000 OU Notional Amount USD -25044.82000000 -0.00256778547 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -10151.25000000 USD 102677.76000000 USD -14893.57000000 N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 0.01000000 OU Notional Amount USD 0.00000000 0.000000 N/A DCR US N 2 JPMorgan Securities LLC ZBUT11V806EZRVTWT807 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD 0.00000000 USD 0.01000000 USD 0.00000000 N N N College Ave Student Loans N/A 19424WAC1 602869.00000000 PA USD 517402.13000000 0.053048002515 Long ABS-O CORP US N 2 2055-07-26 Fixed 2.72000000 N N N N N N Elmwood CLO IX Ltd N/A 29003UAG4 1065000.00000000 PA USD 1004939.33000000 0.103034025210 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 7.75800000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828WU0 132369696.81000000 PA USD 128419288.67000000 13.16652242708 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 1269990.81000000 0.130209119324 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 1157253.33000000 0.118650415222 Long DBT CORP BM N 2 2028-01-26 Fixed 2.85000000 N N N N N N United Auto Credit Securitization Trust N/A 90945CAA0 1905000.00000000 PA USD 1905207.07000000 0.195336322722 Long ABS-O CORP US N 2 2025-07-10 Fixed 5.57000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 37112.45000000 OU Notional Amount USD -9052.34000000 -0.00092811476 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 -3942.64000000 USD 37112.45000000 USD -5109.70000000 N N N VIRGOLINO DE OLIVEIRA FI N/A 92824BAA4 655000.00000000 PA USD 65.50000000 0.000006715558 Long DBT CORP LU N 3 2018-01-28 Fixed 10.50000000 Y Y N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 80410.29000000 OU Notional Amount USD -19613.41000000 -0.00201091600 N/A DCR US N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -6051.01000000 USD 80410.29000000 USD -13562.40000000 N N N OEC FINANCE LTD N/A 67614CAE0 257015.00000000 PA USD 6047.56000000 0.000620041858 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 382176.00000000 0.039183590932 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 432274.42000000 0.044320062075 Long ABS-CBDO CORP KY N 2 2033-04-17 Floating 7.79200000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCE1 104000.00000000 PA USD 88917.92000000 0.009116541603 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 289182.24000000 0.029649163205 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 384652.00000000 0.039437449288 Long ABS-CBDO CORP KY N 2 2033-04-17 Floating 6.79200000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QBC1 711000.00000000 PA USD 732429.54000000 0.075094248415 Long DBT CORP XX N 2 2028-12-01 Fixed 5.55000000 N N N N N N PMT Credit Risk Transfer Trust N/A 69349MAA4 44628.53000000 PA USD 43504.77000000 0.004460439983 Long ABS-MBS CORP US N 2 2031-11-27 Floating 8.21700000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BD6 253000.00000000 PA USD 251894.39000000 0.025826129155 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 409230.00000000 0.041957372826 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 108691.03000000 0.011143831265 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 572733.20000000 0.058720964744 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 830314.15000000 0.085130123291 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 5.96000000 N N N N N N LIMA METRO LINE 2 FIN LT 5493009BVQNQT1UKQ352 532522AB5 220251.29000000 PA USD 197124.90000000 0.020210744380 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 601480.44000000 0.061668350484 Long DBT CORP GB N 2 2033-08-11 Fixed 5.40200000 N N N N N N Banc of America Merrill Lynch Large Loan Inc N/A 05525BAL4 520000.00000000 PA USD 331886.78000000 0.034027557521 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 16700.60000000 OU Notional Amount USD -4073.56000000 -0.00041765236 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 -2309.60000000 USD 16700.60000000 USD -1763.96000000 N N N Air Lease Corp 5493004NW4M4P8TMMK63 00912XAV6 51000.00000000 PA USD 47969.58000000 0.004918206271 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 1402967.34000000 0.143842884802 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 605220.80000000 0.062051840646 Long DBT CORP DE N 2 2027-01-15 Fixed 4.62500000 N N N N N N LAD Auto Receivables Trust N/A 501687AA5 1820509.38000000 PA USD 1796687.29000000 0.184210049309 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 7770.53000000 0.000796693850 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 1258113.32000000 0.128991348691 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 55298.53000000 0.005669625980 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 55298.53000000 N N N SWISS RE FINANCE LUX 549300CLQZ6TM98LW631 000000000 1000000.00000000 PA USD 969150.00000000 0.099364630830 Long DBT CORP LU N 2 2049-04-02 Fixed 5.00000000 N N N N N N REGAL REXNORD CORP QH78R09VCJGQKPBPYU33 758750AC7 2018000.00000000 PA USD 2048290.18000000 0.210006291667 Long DBT CORP US N 2 2026-02-15 Fixed 6.05000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 269683.79000000 OU Notional Amount USD -65780.37000000 -0.00674430395 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -17953.86000000 USD 269683.79000000 USD -47826.51000000 N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBN4 593000.00000000 PA USD 561001.72000000 0.057518164167 Long DBT CORP US N 2 2030-04-02 Fixed 4.90600000 N N N N N N Freddie Mac - STACR 5493003FQV7GR462GO02 35565HAH8 172243.62000000 PA USD 171814.15000000 0.017615693738 Long ABS-MBS USGSE US N 2 2050-01-25 Floating 6.20600000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCX1 353000.00000000 PA USD 355079.17000000 0.036405417781 Long DBT CORP US N 2 2029-02-01 Fixed 5.46800000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 139790.22000000 OU Notional Amount USD -34097.17000000 -0.00349590126 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -19244.24000000 USD 139790.22000000 USD -14852.93000000 N N N Nelnet Student Loan Trust N/A 64035GAC3 757855.00000000 PA USD 619573.90000000 0.063523429650 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 570498.00000000 0.058491795036 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 396088.79000000 PA USD 366365.22000000 0.037562549486 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 881908.00000000 0.090419917294 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 51327.99000000 0.005262536013 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 51327.99000000 N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 35564KMH9 2634588.00000000 PA USD 2537450.74000000 0.260158753578 Long ABS-MBS USGSE US N 2 2041-11-25 Floating 6.11000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BYRV4 1133065.33000000 PA USD 132958.53000000 0.013631919980 Long ABS-MBS USGSE US N 2 2047-06-15 Floating 1.69100000 N N N N N N Neighborly Issuer LLC N/A 64016NAC1 1648350.00000000 PA USD 1373744.78000000 0.140846765639 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 279627.26000000 PA USD 272601.63000000 0.027949192930 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 45307.28000000 0.004645247021 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 227141.92000000 0.023288317625 Long DBT CORP BM N 2 2024-05-01 Fixed 4.12500000 N N N N N N Freddie Mac - STACR N/A 35565AAH3 60073.55000000 PA USD 60073.51000000 0.006159193255 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 6.45600000 N N N N N N CHILE ELEC PEC SPA N/A 168831AA3 661000.00000000 PA USD 488024.56000000 0.050035990549 Long DBT CORP CL N 2 2028-01-25 None 0.00000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -47320.98000000 -0.00485170686 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 104935280.00000000 JPY 759616.19000000 USD 2023-02-09 -47320.98000000 N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 85358.62000000 OU Notional Amount USD -20820.39000000 -0.00213466477 N/A DCR US N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -5476.47000000 USD 85358.62000000 USD -15343.92000000 N N N KYNDRYL HOLDINGS INC 549300LQ4LWX2R8ZV130 50155QAJ9 1428000.00000000 PA USD 1231307.28000000 0.126242989543 Long DBT CORP US N 2 2026-10-15 Fixed 2.05000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 000000000 713000.00000000 PA USD 539113.56000000 0.055274023489 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 538147.50000000 0.055174975669 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 477736.51000000 0.048981181396 Long ABS-MBS CORP BM N 2 2029-07-25 Floating 6.45600000 N N N N N N WYNN MACAU LTD 254900NMDQ8ENTHU1I31 98313RAH9 483000.00000000 PA USD 427455.00000000 0.043825938473 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 -338668.27000000 -0.03472284746 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.HY.S39 2I65BRZH6 Y buy protection 2027-12-20 236582.75000000 USD 0.00000000 USD 10100000.00000000 USD -575251.02000000 N N N TSMC ARIZONA CORP 2549005GOBWLCSY63Q97 872898AF8 1009000.00000000 PA USD 985106.88000000 0.101000651560 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 626991.13000000 0.064283900496 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 156971.65000000 PA USD 58864.37000000 0.006035223024 Long ABS-MBS CORP US N 2 2047-01-10 Variable 5.05500000 N N N N N N VZ VENDOR FINANCING 724500DRKUUR3GFOSK76 000000000 561000.00000000 PA 479063.54000000 0.049117238607 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 402595.65000000 0.041277168793 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 1092554.19000000 0.112016967189 Long DBT CORP US N 2 2031-01-15 Fixed 5.75000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 000000000 1030000.00000000 PA 982806.39000000 0.100764787824 Long DBT CORP US N 2 2027-10-29 Fixed 0.40600000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CB3 405000.00000000 PA USD 392400.45000000 0.040231879329 Long DBT CORP DE N 2 2025-11-26 Fixed 3.96100000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 319785.60000000 OU Notional Amount USD -78001.04000000 -0.00799726001 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -49199.53000000 USD 319785.60000000 USD -28801.51000000 N N N CNH INDUSTRIAL CAP LLC 549300PNSJ5B81UMVO28 12592BAN4 1889000.00000000 PA USD 1849803.25000000 0.189655901609 Long DBT CORP US N 2 2025-05-23 Fixed 3.95000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAJ1 111000.00000000 PA USD 104163.51000000 0.010679635471 Long DBT CORP US N 2 2026-01-15 Fixed 2.87500000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 272.00000000 NC USD 220676.87000000 0.022625471516 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year U.S. Treasury Notes Futures TUH3 Comdty 2023-03-31 55715698.27000000 USD 220676.87000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 000000000 200000.00000000 PA USD 205418.00000000 0.021061016082 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 Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 18556.23000000 OU Notional Amount USD -4526.18000000 -0.00046405840 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -2018.50000000 USD 18556.23000000 USD -2507.68000000 N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAD3 7000.00000000 PA USD 6603.52000000 0.000677043106 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 90487.85000000 0.009277502770 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 90487.85000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 36493.89000000 OU Notional Amount USD -8901.47000000 -0.00091264642 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -3655.93000000 USD 36493.89000000 USD -5245.54000000 N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AW9 204000.00000000 PA USD 179124.24000000 0.018365179776 Long DBT CORP IT N 2 2027-06-03 Fixed 1.98200000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 80410.29000000 OU Notional Amount USD -19613.41000000 -0.00201091600 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -9402.55000000 USD 80410.29000000 USD -10210.86000000 N N N ONEOK Partners LP T4DHW82NMF6BXJT50795 68268NAG8 105000.00000000 PA USD 106783.95000000 0.010948302915 Long DBT CORP US N 2 2041-02-01 Fixed 6.12500000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 3092.72000000 OU Notional Amount USD -754.37000000 -0.00007734375 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -358.45000000 USD 3092.72000000 USD -395.92000000 N N N SK HYNIX INC 988400XAIK6XISWQV045 78392BAC1 382000.00000000 PA USD 287765.38000000 0.029503895939 Long DBT CORP KR N 2 2031-01-19 Fixed 2.37500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 229478.65000000 OU Notional Amount USD -55973.67000000 -0.00573884646 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -34804.85000000 USD 229478.65000000 USD -21168.82000000 N N N JPMorgan Securities LLC ZBUT11V806EZRVTWT807 000000000 -5771250.00000000 PA USD -5771250.00000000 -0.59171245491 Short RA CORP US N 1 Reverse repurchase N 4.37000000 2024-01-23 5400000.00000000 USD 5763943.11000000 USD UST N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 35564KWT2 2051355.00000000 PA USD 2088193.44000000 0.214097477447 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 7.66000000 N N N N N N Hertz Vehicle Financing LLC 549300MNOMKDMDFI8J66 42806MAL3 1660000.00000000 PA USD 1517729.37000000 0.155609161172 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 429000.00000000 0.043984343627 Long DBT CORP US N 2 2026-11-15 Fixed 4.15000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBU0 283000.00000000 PA USD 292378.62000000 0.029976880399 Long DBT CORP IT N 2 2025-11-21 Fixed 7.00000000 N N N N N N Elevation CLO Ltd N/A 28621YAE5 780000.00000000 PA USD 728335.14000000 0.074674459378 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 6.99200000 N N N N N N Diamond Issuer LLC N/A 25267TAN1 2151875.00000000 PA USD 1860289.48000000 0.190731029683 Long ABS-O CORP US N 2 2051-11-20 Fixed 2.30500000 N N N N N N Playtech Plc 21380068TTB6Z9ZEU548 000000000 550000.00000000 PA 574643.20000000 0.058916792475 Long DBT CORP IM N 2 2026-03-07 Fixed 4.25000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140CC2 1204000.00000000 PA USD 1126510.56000000 0.115498432565 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 501110.01000000 PA USD 489247.53000000 0.050161378737 Long ABS-MBS CORP US N 2 2023-05-27 Floating 7.26700000 N N N N N N Synchrony Financial 549300RS7EWPM9MA6C78 87165BAM5 429000.00000000 PA USD 396786.39000000 0.040681559264 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 367118.88000000 0.037639820442 Long DBT CORP US N 2 2040-07-15 Fixed 5.37500000 N N N N N N Rad CLO Ltd N/A 75009RAA1 291346.00000000 PA USD 286715.64000000 0.029396268608 Long ABS-CBDO CORP KY N 2 2035-01-15 Floating 5.96200000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KV2 1186000.00000000 PA USD 1153823.82000000 0.118298795767 Long DBT CORP US N 2 2052-07-27 Fixed 4.90000000 N N N N N N UMBS, TBA N/A 01F022626 7341000.00000000 PA USD 6425092.06000000 0.658749317023 Long ABS-MBS USGSE US N 2 2053-02-15 Fixed 2.50000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CX6 49000.00000000 PA USD 48188.56000000 0.004940657766 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 1072043.92000000 0.109914098276 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 7.21000000 N N N N N N MVW Owner Trust N/A 55400KAB1 890677.99000000 PA USD 803879.55000000 0.082419846997 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 565650.08000000 0.057994749397 Long DBT CORP US N 2 2029-04-23 Fixed 4.07500000 N N N N N N Radnor Re LTD N/A 75049TAB7 51779.00000000 PA USD 51751.68000000 0.005305975935 Long ABS-MBS CORP BM N 2 2029-06-25 Floating 6.25600000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECD5 1252000.00000000 PA USD 1356279.08000000 0.139056049205 Long DBT CORP GB N 2 2028-11-02 Fixed 7.38500000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 000000000 29760000.00000000 OU Notional Amount USD -21293.88000000 -0.00218321057 N/A DIR US N 2 Morgan Stanley IGJSJL3JD5P30I6NJZ34 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 -21293.88000000 N N N DELTA AIR LINES/SKYMILES N/A 830867AB3 614000.00000000 PA USD 596961.50000000 0.061205034378 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 1058667.31000000 0.108542626456 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.87800000 N N N N N N Hardee's Funding N/A 411707AF9 496224.39000000 PA USD 473174.77000000 0.048513477108 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 382966.00000000 0.039264587742 Long ABS-CBDO CORP KY N 2 2034-01-17 Floating 8.39200000 N N N N N N CPS Auto Trust N/A 12598CAG1 1080000.00000000 PA USD 1000930.39000000 0.102622998183 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 638001.36000000 0.065412753036 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 441156.00000000 0.045230669224 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 7.73900000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEV3 1224000.00000000 PA USD 1293731.28000000 0.132643172915 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 648353.14000000 0.066474096273 Long DBT CORP US N 2 2043-01-15 Fixed 6.00000000 N N N N N N AGL CLO Ltd. 549300AEMLN0HO8ST474 00119YAA1 250000.00000000 PA USD 245694.50000000 0.025190469266 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 5.92200000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAD0 487000.00000000 PA USD 325985.63000000 0.033422526730 Long DBT CORP NL N 2 2050-08-03 Fixed 4.02700000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 05565AM34 845000.00000000 PA USD 867891.05000000 0.088982792946 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 16700.60000000 OU Notional Amount USD -4073.56000000 -0.00041765236 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -1987.48000000 USD 16700.60000000 USD -2086.08000000 N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377REW0 815666.67000000 PA USD 813543.00000000 0.083410617406 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 185839.40000000 PA USD 185185.54000000 0.018986630363 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 6.50600000 N N N N N N PARKER-HANNIFIN CORP 5493002CONDB4N2HKI23 701094AS3 1430000.00000000 PA USD 1421048.20000000 0.145696672120 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 470100.96000000 0.048198326722 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 462320.16000000 0.047400579914 Long DBT CORP IE N 2 2026-09-16 Fixed 6.25300000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397C35 501000.00000000 PA USD 525408.72000000 0.053868899033 Long DBT CORP US N 2 2027-11-04 Fixed 7.35000000 N N N N N N Fannie Mae - CAS N/A 20753MAF5 8427.29000000 PA USD 8427.29000000 0.000864029881 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 6.65600000 N N N N N N S&P GLOBAL INC Y6X4K52KMJMZE7I7MY94 78409VAZ7 295000.00000000 PA USD 290108.90000000 0.029744171437 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 349267.65000000 0.035809576539 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 911738.39000000 0.093478355813 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 573438.25000000 PA USD 537752.61000000 0.055134488542 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 343883.62000000 0.035257564824 Long DBT CORP GB N 2 2033-03-29 Fixed 4.76200000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABF7 604000.00000000 PA USD 613029.80000000 0.062852478734 Long DBT CORP DK N 2 2026-01-09 Fixed 6.46600000 N N N N N N INEOS QUATTRO FINANCE 2 213800V48W4Y5MT5Q131 000000000 506000.00000000 PA 490786.49000000 0.050319164624 Long DBT CORP GB N 2 2026-01-15 Fixed 2.50000000 N N N N N N Freddie Mac - STACR N/A 35564KJG5 1072404.46000000 PA USD 1034932.50000000 0.106109153172 Long ABS-MBS USGSE US N 2 2041-09-25 Floating 5.16000000 N N N N N N Regatta XXIV Funding Ltd. N/A 75889HAJ9 500000.00000000 PA USD 463393.00000000 0.047510575632 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 7.90800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FR3C3 1417964.98000000 PA USD 157455.65000000 0.016143551085 Long ABS-MBS USGSE US N 2 2050-02-25 Floating 1.54400000 N N N N N N COLONY MORTGAGE CAPITAL LTD N/A 12564NAL6 1000000.00000000 PA USD 932373.60000000 0.095594034525 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.48400000 N N N N N N Dominos Pizza Master Issuer LLC N/A 25755TAN0 767332.50000000 PA USD 668920.57000000 0.068582825664 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 1954508.67000000 PA USD 1947697.79000000 0.199692794585 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 3989.25000000 PA USD 3989.25000000 0.000409008258 Long ABS-MBS USGSE US N 2 2039-09-25 Floating 6.60600000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBV1 635000.00000000 PA USD 604297.75000000 0.061957202538 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 318687.13000000 0.032674228987 Long DBT CORP PA N 2 2030-05-31 Fixed 4.37500000 N N N N N N Freddie Mac - STACR N/A 35564KH36 1116899.04000000 PA USD 1125160.30000000 0.115359993638 Long ABS-MBS USGSE US N 2 2042-09-25 Floating 6.46000000 N N N N N N Magnetite CLO Ltd 549300F7COUCG1RROP29 55954YAJ4 2347898.00000000 PA USD 2319425.04000000 0.237805100179 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 5.93800000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2106000.00000000 OU Notional Amount USD 96640.58000000 0.009908327456 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 96640.58000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AXSW6 961980.49000000 PA USD 119531.56000000 0.012255284870 Long ABS-MBS USGSE US N 2 2047-08-25 Floating 1.64400000 N N N N N N HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 000000000 -10637500.00000000 PA USD -10637500.00000000 -1.09063742502 Short RA CORP US N 1 Reverse repurchase N 3.92000000 2023-12-01 10000000.00000000 USD 10673968.71000000 USD UST N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BD4 92000.00000000 PA USD 93546.52000000 0.009591100887 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 1350077.55000000 0.138420221171 Long ABS-MBS CORP US N 2 2037-10-15 Floating 6.59900000 N N N N N N Regatta XX Funding Ltd N/A 75884YAG3 1425363.00000000 PA USD 1340334.40000000 0.137421279312 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 7.89200000 N N N N N N VAR ENERGI ASA 549300LIVN3FFOJN2K47 92212WAE0 680000.00000000 PA USD 744729.20000000 0.076355303128 Long DBT CORP NO N 2 2032-11-15 Fixed 8.00000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 22886.01000000 OU Notional Amount USD -5582.28000000 -0.00057233781 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 -2694.54000000 USD 22886.01000000 USD -2887.74000000 N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCQ4 2261000.00000000 PA USD 1921307.36000000 0.196987046936 Long DBT CORP US N 2 2032-02-01 Fixed 4.75000000 N N N N N N Morgan Stanley International Ltd. N/A 000000000 20700000.00000000 OU Notional Amount USD -109790.52000000 -0.01125655934 N/A DIR US N 2 Morgan Stanley International Ltd. N/A N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2024-07-15 0.00000000 USD 0.00000000 USD 20700000.00000000 USD -109790.52000000 N N N Freddie Mac - STACR N/A 35564KHE2 477366.78000000 PA USD 472309.60000000 0.048424773297 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 5.96000000 N N N N N N Sixth Street CLO LTD. N/A 83012FAA6 381337.00000000 PA USD 378703.87000000 0.038827601750 Long ABS-CBDO CORP KY N 2 2034-01-20 Floating 6.04800000 N N N N N N TK ELEVATOR MIDCO GMBH 254900K869UN2ZWVB351 000000000 401000.00000000 PA 394702.31000000 0.040467883527 Long DBT CORP DE N 2 2027-07-15 Fixed 4.37500000 N N N N N N VAR ENERGI ASA 549300LIVN3FFOJN2K47 92212WAD2 867000.00000000 PA USD 913436.52000000 0.093652461019 Long DBT CORP NO N 2 2028-01-15 Fixed 7.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 409474.04000000 OU Notional Amount USD -99877.54000000 -0.01024020522 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -26630.56000000 USD 409474.04000000 USD -73246.98000000 N N N Atalaya Equipment Leasing Fund I LP N/A 046497AC7 482000.00000000 PA USD 455476.41000000 0.046698906600 Long ABS-O CORP US N 2 2027-02-15 Fixed 2.08000000 N N N N N N Freddie Mac - STACR N/A 35564KPV5 1542196.00000000 PA USD 1493663.71000000 0.153141766629 Long ABS-MBS USGSE US N 2 2042-01-25 Floating 6.16000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 000000000 29760000.00000000 OU Notional Amount USD -10608.25000000 -0.00108763849 N/A DIR US N 2 Morgan Stanley IGJSJL3JD5P30I6NJZ34 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 -10608.25000000 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 HARLEY-DAVIDSON FINL SER RLUFFFFW4GRYU77BTS24 41283LBA2 1942000.00000000 PA USD 1776599.86000000 0.182150533170 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 295680.88000000 0.030315453216 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 186855.92000000 0.019157890429 Long ABS-MBS CORP US N 2 2046-04-10 Variable 4.37700000 N N N N N N OLEODUCTO CENTRAL SA 254900W4CPYCQFVH5E92 680617AC1 453000.00000000 PA USD 400706.81000000 0.041083510547 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 362763.19000000 0.037193241967 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 2190703.03000000 0.224607540458 Long ABS-MBS CORP US N 2 2038-06-15 Floating 6.06000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BT6 1267000.00000000 PA USD 1243142.39000000 0.127456415056 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 118141.28000000 OU Notional Amount USD -28816.62000000 -0.00295449910 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 -7730.72000000 USD 118141.28000000 USD -21085.90000000 N N N PUBLIC SERVICE ENTERPRIS PUSS41EMO3E6XXNV3U28 744573AV8 1054000.00000000 PA USD 1106710.54000000 0.113468383886 Long DBT CORP US N 2 2027-11-15 Fixed 5.85000000 N N N N N N Natixis Commercial Mortgage Securities N/A 63875FAA4 461058.00000000 PA USD 443705.53000000 0.045492066435 Long ABS-MBS CORP US N 2 2036-07-15 Floating 6.05800000 N N N N N N Osaka Exchange 3538001249AILNPRUX57 000000000 -36.00000000 NC 489664.20000000 0.050204098915 N/A DIR JP N 1 Osaka Exchange 3538001249AILNPRUX57 Short OSE Japanese 10 Year Bond Futures JBH2 Comdty 2023-03-13 -5339897140.00000000 JPY 489664.20000000 N N N Affirm Inc N/A 00834HAA2 959817.14000000 PA USD 938059.91000000 0.096177038285 Long ABS-O CORP US N 2 2027-02-15 Fixed 1.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B0CN4 1382101.16000000 PA USD 170337.61000000 0.017464307624 Long ABS-MBS USGSE US N 2 2047-12-25 Floating 1.69400000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153BS0 1118000.00000000 PA USD 1168008.14000000 0.119753080161 Long DBT CORP LR N 2 2029-01-15 Fixed 8.25000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 441638.14000000 OU Notional Amount USD -107722.91000000 -0.01104457223 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -23523.35000000 USD 441638.14000000 USD -84199.56000000 N N N COMM Mortgage Trust N/A 12625EAA7 13586.26000000 PA USD 13493.28000000 0.001383433716 Long ABS-MBS CORP US N 2 2035-04-12 Fixed 1.87300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZZ6 265666419.32000000 PA USD 243665918.97000000 24.98248370677 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 1149088.16000000 0.117813259877 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 894798.40000000 0.091741539167 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 162677.85000000 0.016678970757 Long DBT CORP US N 2 2077-01-24 Fixed 4.85000000 N N N N N N Fannie Mae - CAS N/A 20753KAB8 13828.06000000 PA USD 13828.05000000 0.001417756883 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 6.80600000 N N N N N N WESTERN DIGITAL CORP 549300QQXOOYEF89IC56 958102AQ8 426000.00000000 PA USD 347351.88000000 0.035613157224 Long DBT CORP US N 2 2029-02-01 Fixed 2.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AJWQ5 37823.57000000 PA USD 4212.45000000 0.000431892420 Long ABS-MBS USGSE US N 2 2044-04-25 Floating 1.54400000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 199170.14000000 OU Notional Amount USD -48580.92000000 -0.00498088549 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -25153.39000000 USD 199170.14000000 USD -23427.53000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 3170000.00000000 OU Notional Amount USD 368939.60000000 0.037826494508 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 368939.60000000 N N N FED CAISSES DESJARDINS 549300B2Q47IR0CR5B54 31429KAH6 1174000.00000000 PA USD 1159207.60000000 0.118850781849 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 1745311.74000000 0.178942637083 Long ABS-O CORP US N 2 2024-09-20 Fixed 3.70000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -76.00000000 NC USD -301484.44000000 -0.03091047833 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT Ultra Long Term U.S. Treasury Bond Futures WNH3 Comdty 2023-03-22 -10471515.56000000 USD -301484.44000000 N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KW0 981000.00000000 PA USD 982000.62000000 0.100682174154 Long DBT CORP US N 2 2026-02-06 Fixed 4.50000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBG3 83000.00000000 PA USD 70183.14000000 0.007195709432 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 9375077.08000000 PA USD 176309.57000000 0.018076598395 Long ABS-MBS CORP US N 2 2048-10-15 Variable 1.03800000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 35564KYP8 3680636.00000000 PA USD 3907245.77000000 0.400600560800 Long ABS-MBS USGSE US N 2 2042-06-25 Floating 8.81000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AY4 1025000.00000000 PA USD 995203.25000000 0.102035808221 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 387091.25000000 0.039687539755 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 7.95800000 N N N N N N Fannie Mae - CAS N/A 20754LAB5 2898843.00000000 PA USD 2825228.91000000 0.289663960845 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 6.21000000 N N N N N N TERRAFORM GLOBAL OPERATI 549300LC7QMVR79H5O86 88104UAC7 89000.00000000 PA USD 84658.58000000 0.008679841663 Long DBT CORP US N 2 2026-03-01 Fixed 6.12500000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CW7 284000.00000000 PA USD 296620.96000000 0.030411837369 Long DBT CORP US N 2 2029-11-17 Fixed 5.62500000 N N N N N N EXPEDIA GROUP INC N/A 30212PBK0 486000.00000000 PA USD 478165.68000000 0.049025183169 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 336575.89000000 0.034508320751 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 336575.89000000 N N N ROSS STORES INC 549300ENZFLPGRDFZQ60 778296AC7 1083000.00000000 PA USD 1077606.66000000 0.110484432700 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 572387.40000000 0.058685510698 Long DBT CORP BM N 2 2025-08-11 Fixed 5.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828S50 182834976.61000000 PA USD 174036043.36000000 17.84349914839 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 237385.16000000 0.024338532516 Long DBT CORP US N 2 2025-07-23 Fixed 4.50000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 8041.02000000 OU Notional Amount USD -1961.34000000 -0.00020109149 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 -758.94000000 USD 8041.02000000 USD -1202.40000000 N N N Voya Financial Inc 549300T065Z4KJ686G75 45685EAG1 335000.00000000 PA USD 333586.30000000 0.034201805241 Long DBT CORP US N 2 2053-05-15 Fixed 5.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M2QB1 6663448.40000000 PA USD 6098593.88000000 0.625274239768 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N 2023-06-06 AB BOND FUND, INC. Joseph Mantineo Joseph Mantineo Treasurer and Chief Financial Officer XXXX