NPORT-P false 0000710826 XXXXXXXX S000006522 C000017832 C000017830 C000017831 Brighthouse Funds Trust II 811-03618 0000710826 549300NPPA08K2CWOV06 BRIGHTHOUSE INVESTMENT ADVISERS, LLC ONE FINANCIAL CENTER BOSTON 02111 980-949-5130 Brighthouse/Wellington Balanced Portfolio S000006522 NXBVDGYPUHFPZAEIGB14 2020-12-31 2020-03-31 N 1470484001.50 393564200.26 1076919801.24 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 101531145.78000000 0.00000000 0.00000000 2727170.44000000 USD UST Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967KA8 55000.00000000 PA USD 57670.63000000 0.005355146217 Long DBT CORP US N 2 2027-09-29 Fixed 4.45000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 3027.15000000 0.000281093355 N/A DFE XX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 229254.71000000 USD 210000.00000000 EUR 2020-06-17 3027.15000000 N N N Freddie Mac N/A 312932ZG4 5626.06000000 PA USD 6210.97000000 0.000576734682 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 5.00000000 N N N N N N Fanniemae-Aces N/A 3136AHAG5 415333.17000000 PA USD 440048.98000000 0.040861815289 Long ABS-MBS USGSE US N 2 2023-10-25 Variable 3.33000000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 23636AAS0 430000.00000000 PA USD 440263.44000000 0.040881729493 Long DBT CORP DK N 2 2022-01-12 Fixed 5.00000000 N N N N N N CLEAN HARBORS INC 5493000SJVZVZJKHJF48 184496AP2 25000.00000000 PA USD 23250.00000000 0.002158935138 Long DBT CORP US N 2 2029-07-15 Fixed 5.13000000 N N N N N N Clear Channel Outdoor Holdings, Inc. N/A 18452RAD7 139300.00000000 PA USD 126240.63000000 0.011722379870 Long LON CORP US N 2 2026-08-21 Floating 4.49000000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22534UAA0 285055.98000000 PA USD 283514.31000000 0.026326408862 Long ABS-O CORP US N 2 2026-06-15 Fixed 2.65000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 887.73000000 0.000082432322 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 98680.57000000 USD 140000.00000000 CAD 2020-07-02 887.73000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -54330.99000000 -0.00504503584 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 155050000.00000000 JPY 1391089.24000000 USD 2020-05-26 -54330.99000000 N N N Natwest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC 142.51000000 0.000013233111 N/A DFE XX N 2 Natwest Markets PLC RR3QWICWWIPCS8A4S074 22089.78000000 USD 20000.00000000 EUR 2020-11-27 142.51000000 N N N Freddie Mac N/A 3132XCR64 576453.97000000 PA USD 618421.22000000 0.057425002241 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Diamondback Energy Inc 549300R22LSX6OHWEN64 25278X109 17407.00000000 NS USD 456063.40000000 0.042348873098 Long EC CORP US N 1 N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 8608.05000000 0.000799321359 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 210000.00000000 CAD 157914.84000000 USD 2020-06-01 8608.05000000 N N N Freddie Mac N/A 31335AZ68 1534584.77000000 PA USD 1619385.30000000 0.150371949530 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3132WJEU1 89881.34000000 PA USD 94972.82000000 0.008818931538 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N COLT Funding LLC N/A 19687XAA5 278387.22000000 PA USD 275927.50000000 0.025621917220 Long ABS-MBS CORP US N 2 2049-03-25 Variable 3.71000000 N N N N N N Republic of Senegal 549300NP14ZLQGWIUZ97 000000000 485000.00000000 PA USD 434429.05000000 0.040339963059 Long DBT NUSS SN Y 2 2033-05-23 Fixed 6.25000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225436AA2 845000.00000000 PA USD 778456.25000000 0.072285443085 Long DBT CORP CH N 2 2024-12-18 Fixed 6.25000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAY5 400000.00000000 PA USD 399064.00000000 0.037056055570 Long DBT CORP US N 2 2020-06-15 Fixed 2.80000000 N N N N N N Freddie Mac N/A 3132Y2HF6 159879.07000000 PA USD 170954.02000000 0.015874350142 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WXGZ4 45668.12000000 PA USD 49047.19000000 0.004554395781 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N Sprint Communications, Inc. 549300JKU50UT08ZWD77 85208EAB6 329800.00000000 PA USD 328563.25000000 0.030509537443 Long LON CORP US N 2 2024-02-02 Floating 3.50000000 N N N N N N Freddie Mac N/A 3128P7JE4 158347.20000000 PA USD 170755.35000000 0.015855902157 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 5.00000000 N N N N N N STATE STREET CORP 549300ZFEEJ2IP5VME73 857477BJ1 225000.00000000 PA USD 230357.05000000 0.021390362563 Long DBT CORP US N 2 2026-03-30 Fixed 2.90000000 N N N N N N Chicago Board of Education 54930099NR6T9V7LVB43 167505NG7 345000.00000000 PA USD 346476.60000000 0.032172925003 Long DBT MUN US N 2 2029-11-01 Fixed 6.32000000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBD6 100000.00000000 PA USD 92651.99000000 0.008603425240 Long DBT CORP US N 2 2037-08-15 Fixed 4.39000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9EE6 76280.37000000 PA USD 81924.50000000 0.007607298139 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N Fannie Mae N/A 3136ANHJ9 509550.31000000 PA USD 30447.72000000 0.002827296885 Long ABS-MBS USGSE US N 2 2055-04-25 Variable 2.11000000 N N N N N N Nets Holding A/S 5493004DVX7E2HIJTK34 000000000 88194.41000000 PA 87846.58000000 0.008157207240 Long LON CORP DK N 2 2025-02-06 Floating 3.25000000 N N N N N N Rigel Pharmaceuticals Inc 529900KPTNUS5J8K9K66 766559603 41463.00000000 NS USD 64682.28000000 0.006006229983 Long EC CORP US N 1 N N N Victory Capital Holdings, Inc. 549300BN5LH2CIPPHS71 92645DAG4 83090.91000000 PA USD 73950.91000000 0.006866891101 Long LON CORP US N 2 2026-07-01 Floating 4.02000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419A3M7 561735.38000000 PA USD 615491.05000000 0.057152914199 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.50000000 N N N N N N WF-RBS Commercial Mortgage Trust 549300UVB571ELWL8972 92890FAT3 190000.00000000 PA USD 196015.74000000 0.018201516935 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 3.72000000 N N N N N N Flex Ltd 549300EAQH74YHD07T53 000000000 112286.00000000 NS USD 940395.25000000 0.087322681681 Long EC CORP SG N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2EW8 665646.99000000 PA USD 724558.39000000 0.067280626576 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 4.00000000 N N N N N N Fannie Mae N/A 31396WJS6 187778.54000000 PA USD 174307.48000000 0.016185743803 Long ABS-MBS USGSE US N 2 2036-06-25 None 0.00000000 N N N N N N Hess Corp UASVRYNXNK17ULIGK870 023551AJ3 170000.00000000 PA USD 145627.25000000 0.013522571488 Long DBT CORP US N 2 2031-08-15 Fixed 7.30000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61746BEF9 685000.00000000 PA USD 724079.96000000 0.067236200798 Long DBT CORP US N 2 2027-01-20 Fixed 3.63000000 N N N N N N Dominican Republic 254900EHU7Q8FGVPI369 25714PEB0 1110000.00000000 PA USD 976800.00000000 0.090703133035 Long DBT NUSS DO N 2 2049-06-05 Fixed 6.40000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300ZVNWG0TX42H716 94989VAG4 6790599.88000000 PA USD 251969.28000000 0.023397218596 Long ABS-MBS CORP US N 2 2057-09-15 Variable 1.11000000 N N N N N N Goldman Sachs Fin Square Govt Fd N/A 000000000 3000000.00000000 NS USD 3000000.00000000 0.278572275906 Long STIV RF US N 1 N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PCR1 70000.00000000 PA USD 89252.67000000 0.008287773137 Long DBT CORP US N 2 2045-07-15 Fixed 4.75000000 N N N N N N Fanniemae-Aces N/A 3136B6XE8 4268228.56000000 PA USD 567136.60000000 0.052662844470 Long ABS-MBS USGSE US N 2 2034-06-25 Variable 1.33000000 N N N N N N Taiwan Semiconductor Manufacturing Co Ltd 549300KB6NK5SBD14S87 874039100 49476.00000000 NS USD 2364458.04000000 0.219557485829 Long EC CORP TW N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416VFW9 20722.94000000 PA USD 22339.78000000 0.002074414452 Long ABS-MBS USGSE US N 2 2023-02-01 Fixed 5.00000000 N N N N N N CANADIAN NATL RESOURCES 549300T15RIMIKZC5Q38 13638ZDB8 210000.00000000 PA 148356.43000000 0.013775996116 Long DBT CORP CA N 2 2020-06-01 Fixed 2.05000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 000000000 6000000.00000000 PA USD 6000000.00000000 0.557144551812 Long RA CORP US N 2 Repurchase Y 0.58000000 2020-04-01 21840.00000000 USD 23486.03000000 USD UST 208933.74000000 USD 6642730.62000000 USD EQT N N BARCLAYS CAPITAL AC28XWWI3WIBK2824319 000000000 4419821.16000000 PA USD 4419821.16000000 0.410413213213 Long RA CORP US N 2 Repurchase Y 0.01000000 2020-04-01 5333443.26000000 USD 4508218.15000000 USD UST N N Fannie Mae N/A 3136A8GE4 116907.44000000 PA USD 7606.77000000 0.000706345077 Long ABS-MBS USGSE US N 2 2027-09-25 Fixed 3.00000000 N N N N N N Fanniemae-Aces N/A 3136B75H0 2073476.96000000 PA USD 50539.76000000 0.004692991988 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 0.35000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBC6 190000.00000000 PA USD 196754.01000000 0.018270070786 Long DBT CORP US N 2 2026-02-14 Fixed 4.40000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWV2 270000.00000000 PA USD 279126.17000000 0.025918937480 Long DBT CORP US N 2 2029-04-23 Fixed 3.81000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDR0 325000.00000000 PA USD 333200.76000000 0.030940164682 Long DBT CORP US N 2 2024-08-15 Fixed 2.38000000 N N N N N N Exelon Corp 3SOUA6IRML7435B56G12 30161NAH4 480000.00000000 PA USD 479947.20000000 0.044566661272 Long DBT CORP US N 2 2020-06-15 Fixed 2.85000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -36060.05000000 -0.00334844339 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 210650000.00000000 JPY 1926517.07000000 USD 2020-05-11 -36060.05000000 N N N Fanniemae-Aces N/A 3136B6WW9 2690231.20000000 PA USD 276754.84000000 0.025698741882 Long ABS-MBS USGSE US N 2 2029-05-25 Variable 1.57000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -1300.56000000 -0.00012076665 N/A DFE XX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 236900.73000000 USD 213000.00000000 EUR 2020-06-17 -1300.56000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 45000.00000000 PA USD 48048.03000000 0.004461616356 Long DBT CORP US N 2 2029-05-01 Fixed 4.22000000 N N N N N N INTER-AMERICAN DEVEL BK VKU1UKDS9E7LYLMACP54 000000000 3245000.00000000 PA 2172297.81000000 0.201713981625 Long DBT NUSS XX Y 2 2025-10-30 Fixed 2.75000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2C6 645000.00000000 PA USD 682839.55000000 0.063406722507 Long DBT CORP US N 2 2024-01-24 Fixed 3.75000000 N N N N N N COMM Mortgage Trust N/A 12624QAR4 178907.34000000 PA USD 176373.30000000 0.016377570530 Long ABS-MBS CORP US N 2 2045-10-15 Fixed 2.85000000 N N N N N N OWENS-BROCKWAY V2UQUCDZJ9WY98W8QU33 69073TAR4 150000.00000000 PA USD 147000.00000000 0.013650041519 Long DBT CORP US N 2 2023-08-15 Fixed 5.88000000 N N N N N WAMU Mortgage Pass-Through Certificates N/A 93363RAA4 190748.60000000 PA USD 151072.68000000 0.014028220098 Long ABS-MBS CORP US N 2 2046-10-25 Floating 2.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WUUT8 78212.11000000 PA USD 85695.79000000 0.007957490418 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N GSAA Home Equity Trust N/A 362375AC1 516368.80000000 PA USD 199188.54000000 0.018496134974 Long ABS-MBS CORP US N 2 2036-06-25 Variable 5.98000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M5VP1 139923.04000000 PA USD 151477.14000000 0.014065777212 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410K3E2 15799.25000000 PA USD 18191.35000000 0.001689201923 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N UMBS, TBA N/A 01F022444 3670000.00000000 PA USD 3808055.09000000 0.353606191065 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FVE5 42180.61000000 PA USD 44626.79000000 0.004143928818 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Mondelez International Inc 549300DV9GIB88LZ5P30 609207105 182025.00000000 NS USD 9115812.00000000 0.846470831858 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36186NMD8 27909.38000000 PA USD 29539.68000000 0.002742978629 Long ABS-MBS USGA US N 2 2045-07-15 Fixed 3.00000000 N N N N N N Douglas Emmett Inc N/A 25960P109 68815.00000000 NS USD 2099545.65000000 0.194958403363 Long EC US N 1 N N N Freddie Mac N/A 3132QVVE8 248874.06000000 PA USD 269239.93000000 0.025000926688 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.00000000 N N N N N N T-Mobile USA Inc 549300V2JRLO5DIFGE82 87264AAP0 1145000.00000000 PA USD 1202250.00000000 0.111637839569 Long DBT CORP US N 2 2026-01-15 Fixed 6.50000000 N N N N N N BX Commercial Mortgage Trust 2019-XL N/A 056054AA7 1156034.65000000 PA USD 1099602.36000000 0.102106244005 Long ABS-MBS CORP US N 2 2036-10-15 Floating 1.62000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FU30 317824.99000000 PA USD 336256.39000000 0.031223902616 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FY44 104586.57000000 PA USD 110634.90000000 0.010273271962 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 68233JBK9 110000.00000000 PA USD 134171.65000000 0.012458833967 Long DBT CORP US N 2 2029-03-15 Fixed 5.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ALXM1 23274.89000000 PA USD 24805.02000000 0.002303330291 Long ABS-MBS USGA US N 2 2044-12-15 Fixed 3.00000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NBT7 100000.00000000 PA USD 105569.31000000 0.009802894317 Long DBT CORP US N 2 2036-07-15 Fixed 3.20000000 N N N N N N Syndax Pharmaceuticals Inc 529900OF94TRHKZVBS87 87164F105 26685.00000000 NS USD 292734.45000000 0.027182567324 Long EC CORP US N 1 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2545000.00000000 OU Notional Amount USD -30715.35000000 -0.00285214831 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2030-03-20 0.00000000 USD 0.00000000 USD 2545000.00000000 USD -30715.35000000 N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 204010.82000000 0.018943919478 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 4834000.00000000 CAD 3640847.08000000 USD 2020-05-29 204010.82000000 N N N Bayview Koitere Fund Trust N/A 500274AA3 401015.43000000 PA USD 400276.36000000 0.037168632198 Long ABS-O CORP US N 2 2053-11-28 Variable 4.00000000 N N N N N N FANNIEMAE STRIP B1V7KEBTPIMZEU4LTD58 3136FGRW9 321849.48000000 PA USD 313336.84000000 0.029095652214 Long ABS-MBS USGSE US N 2 2039-09-25 Fixed 2.00000000 N N N N N N NCI Building Systems, Inc. 549300IW41QEWQ6T0H29 72431HAB6 98500.00000000 PA USD 86187.50000000 0.008003149343 Long LON CORP US N 2 2025-04-12 Floating 4.56000000 N N N N N N GLAXOSMITHKLINE CAP INC 5493007Q8VD7Q3ZYZS59 377372AM9 535000.00000000 PA USD 576589.34000000 0.053540601569 Long DBT CORP US N 2 2025-05-15 Fixed 3.63000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F5SH7 254213.02000000 PA USD 271862.06000000 0.025244410928 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N Bausch Health Cos Inc B3BS7ACMDUWISF18KY76 91911KAK8 30000.00000000 PA USD 30750.00000000 0.002855365828 Long DBT CORP CA N 2 2024-03-15 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418XDE5 22476.62000000 PA USD 23705.50000000 0.002201231695 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.50000000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAP9 105000.00000000 PA USD 116677.44000000 0.010834366669 Long DBT CORP US N 2 2030-03-26 Fixed 3.35000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KA8 710000.00000000 PA USD 775130.69000000 0.071976640146 Long DBT CORP US N 2 2029-05-15 Fixed 3.50000000 N N N N N N Panther BF Aggregator 2 LP 549300474L1ZLXZY2P98 000000000 150000.00000000 PA 145996.31000000 0.013556841450 Long LON CORP CA N 2 2026-04-30 Floating 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A5V66 16010.44000000 PA USD 18120.91000000 0.001682661046 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 5.50000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAC9 30000.00000000 PA USD 28497.91000000 0.002646242549 Long DBT CORP US N 2 2045-09-15 Fixed 5.10000000 N N N N N N GMAC Mortgage Corporation Loan Trust N/A 361856DG9 25839.12000000 PA USD 24560.65000000 0.002280638722 Long ABS-O CORP US N 2 2034-10-25 Floating 1.45000000 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370CS7 110000.00000000 PA USD 62073.00000000 0.005763938960 Long DBT CORP US N 2 2046-12-08 Fixed 5.29000000 N N N N N N Equifax Inc 5493004MCF8JDC86VS77 294429105 10245.00000000 NS USD 1223765.25000000 0.113635690289 Long EC CORP US N 1 N N N UMBS, TBA N/A 01F060642 1000000.00000000 PA USD 1107500.00000000 0.102839598522 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 6.00000000 N N N N N N Fannie Mae - CAS N/A 30711XX25 134614.44000000 PA USD 133767.66000000 0.012421320496 Long ABS-MBS USGSE US N 2 2031-01-25 Floating 1.67000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QAS68 400172.81000000 PA USD 431577.89000000 0.040075211682 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A 3137AUPF0 1730285.57000000 PA USD 44187.69000000 0.004103155123 Long ABS-MBS USGSE US N 2 2022-06-25 Variable 1.42000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PBA3 1475000.00000000 PA USD 1593017.52000000 0.147923505368 Long DBT CORP US N 2 2027-01-29 Fixed 3.96000000 N N N N N N Dupont De Nemours Inc 5493004JF0SDFLM8GD76 26078JAB6 525000.00000000 PA USD 550866.34000000 0.051152030017 Long DBT CORP US N 2 2023-11-15 Fixed 4.21000000 N N N N N N Match Group Inc 549300BIJKT86CPCKK96 57665R106 67050.00000000 NS USD 4427982.00000000 0.411171007804 Long EC CORP US N 1 N N AT&T Inc 549300Z40J86GGSTL398 00206RDH2 164000.00000000 PA USD 188112.38000000 0.017467631274 Long DBT CORP US N 2 2042-03-15 Fixed 5.15000000 N N N N N N Kennametal Inc 549300GZDSG25XUV0Y08 489170100 53094.00000000 NS USD 988610.28000000 0.091799805227 Long EC CORP US N 1 N N N Freddie Mac N/A 3137AMVN4 110283.87000000 PA USD 6820.91000000 0.000633372140 Long ABS-MBS USGSE US N 2 2027-03-15 Fixed 3.50000000 N N N N N N FIDELITY INST GOVT LEX N/A 000000000 1000000.00000000 NS USD 1000000.00000000 0.092857425302 Long STIV RF US N 1 N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2AE2 980943.48000000 PA USD 1085627.25000000 0.100808551272 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 4.50000000 N N N N N N Rexnord Corp 549300AM3633XDFU1Q85 76169B102 43480.00000000 NS USD 985691.60000000 0.091528784117 Long EC CORP US N 1 N N N Fannie Mae N/A 3136AXV44 523598.20000000 PA USD 557517.21000000 0.051769612682 Long ABS-MBS USGSE US N 2 2047-09-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402CTT9 141245.16000000 PA USD 161764.93000000 0.015021074903 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6.00000000 N N N N N N Deephaven Residential Mortgage Trust N/A 24381KAA2 681492.17000000 PA USD 667667.28000000 0.061997864579 Long ABS-MBS CORP US N 2 2058-08-25 Variable 3.79000000 N N N N N N TriNet Group Inc 5299003FJVBETSFKE990 896288107 41970.00000000 NS USD 1580590.20000000 0.146769536429 Long EC CORP US N 1 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 20492.31000000 0.001902863145 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 480000.00000000 CAD 361918.68000000 USD 2020-08-14 20492.31000000 N N N STANDARD CHARTERED NY N/A 000000000 497770.00000000 PA USD 497770.00000000 0.046221640592 Long STIV CORP US N 2 2020-08-07 Floating 0.25000000 N N N N N CSAIL Commercial Mortgage Trust 549300FU8TZDHFLQZL50 12636LBA7 983663.19000000 PA USD 33644.63000000 0.003124153717 Long ABS-MBS CORP US N 2 2048-11-15 Variable 0.94000000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92936QAS7 255000.00000000 PA USD 238047.06000000 0.022104437092 Long ABS-MBS CORP US N 2 2045-04-15 Variable 5.58000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EKQQ1 611781.29000000 PA USD 648014.24000000 0.060172933885 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.00000000 N N N N N N Techem Verwaltungsgesellschaft 675 mbH N/A 000000000 49290.65000000 PA 51350.02000000 0.004768230646 Long LON CORP DE N 2 2025-07-15 Floating 2.88000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCE1 49000.00000000 PA USD 48020.00000000 0.004459013563 Long DBT CORP US N 2 2030-08-15 Fixed 4.50000000 N N N N N N Fannie Mae - CAS N/A 30711XEC4 599621.84000000 PA USD 571701.41000000 0.053086720974 Long ABS-MBS USGSE US N 2 2029-05-25 Floating 5.30000000 N N N N N N Valero Energy Corp 549300XTO5VR8SKV1V74 91913YAW0 500000.00000000 PA USD 487986.10000000 0.045313132829 Long DBT CORP US N 2 2029-04-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419BBT1 102638.10000000 PA USD 111062.31000000 0.010312960154 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.00000000 N N N N N N Eli Lilly & Co FRDRIPF3EKNDJ2CQJL29 532457108 28464.00000000 NS USD 3948526.08000000 0.366649965527 Long EC CORP US N 1 N N N Turning Point Therapeutics Inc N/A 90041T108 7524.00000000 NS USD 336021.84000000 0.031202122907 Long EC CORP US N 1 N N N United States Treasury 254900HROIFWPRGM1V77 9128283R9 742447.00000000 PA USD 774163.07000000 0.071886789444 Long DBT UST US N 2 2028-01-15 Fixed 0.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXJJ2 1077909.78000000 PA USD 1162769.04000000 0.107971739275 Long ABS-MBS USGSE US N 2 2058-05-01 Fixed 3.50000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AF6 555000.00000000 PA USD 524402.16000000 0.048694634400 Long DBT CORP US N 2 2029-12-15 Fixed 2.90000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379FK73 316751.44000000 PA USD 34957.80000000 0.003246091302 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 3.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 530000.00000000 OU Notional Amount USD -206999.66000000 -0.01922145546 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Markit CMBX.NA.BB.6 137BEMAE8 Y sell protection 2063-05-11 0.00000000 USD -58813.29000000 USD 530000.00000000 USD -148186.37000000 N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 92556HAB3 1160000.00000000 PA USD 1148258.77000000 0.106624352962 Long DBT CORP US N 2 2031-01-15 Fixed 4.95000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWM2 1085000.00000000 PA USD 1090172.76000000 0.101230635628 Long DBT CORP US N 2 2023-07-24 Fixed 2.91000000 N N N N N N Avangrid Inc 549300OX0Q38NLSKPB49 05351W103 48832.00000000 NS USD 2137864.96000000 0.198516635829 Long EC CORP US N 1 N N Gardner Denver, Inc. 549300MJL50HVCB7RP74 365556AT6 174905.87000000 PA USD 165286.05000000 0.015348037041 Long LON CORP US N 2 2027-03-01 Floating 2.74000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DH7 700000.00000000 PA USD 699520.51000000 0.064955673504 Long DBT CORP US N 2 2025-09-15 Fixed 3.38000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHV4 715000.00000000 PA USD 730135.84000000 0.067798534223 Long DBT CORP US N 2 2030-07-23 Fixed 3.19000000 N N N N N N Intel Corp KNX4USFCNGPY45LOCE31 458140100 25678.00000000 NS USD 1389693.36000000 0.129043347369 Long EC CORP US N 1 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 8292.65000000 0.000770034127 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 200000.00000000 CAD 150441.52000000 USD 2020-04-20 8292.65000000 N N N Momenta Pharmaceuticals Inc 529900BB2VMRCT4YQ588 60877T100 26593.00000000 NS USD 723329.60000000 0.067166524300 Long EC CORP US N 1 N N N Fannie Mae N/A 3136ANV61 396896.22000000 PA USD 22038.02000000 0.002046393795 Long ABS-MBS USGSE US N 2 2055-06-25 Variable 2.20000000 N N N N N N Entegris Inc IYX6OWO7BT5DKO3BYG52 29362UAB0 75000.00000000 PA USD 71250.00000000 0.006616091552 Long DBT CORP US N 2 2026-02-10 Fixed 4.63000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17328BAA2 371220.42000000 PA USD 357845.98000000 0.033228656357 Long ABS-MBS CORP US N 2 2049-07-25 Variable 2.72000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAA2 160000.00000000 PA USD 147214.78000000 0.013669985437 Long DBT CORP US N 2 2030-02-15 Fixed 2.72000000 N N N N N N Fannie Mae N/A 31398SBC6 719932.37000000 PA USD 129122.39000000 0.011989972684 Long ABS-MBS USGSE US N 2 2040-11-25 Fixed 5.50000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17328DAA8 490968.15000000 PA USD 504478.12000000 0.046844539344 Long ABS-MBS CORP US N 2 2070-11-25 Variable 3.23000000 N N N N N N Freddie Mac N/A 3137AQ6X1 227205.87000000 PA USD 245959.01000000 0.022839120398 Long ABS-MBS USGSE US N 2 2041-11-15 Fixed 3.25000000 N N N N N N Gray Television, Inc. 529900TM5726KDN7UU35 389376AY0 84964.28000000 PA USD 81990.53000000 0.007613429514 Long LON CORP US N 2 2026-01-02 Floating 4.02000000 N N N N N N INTER-AMERICAN DEVEL BK VKU1UKDS9E7LYLMACP54 000000000 10375000.00000000 PA 440440.56000000 0.040898176400 Long DBT NUSS XX N 2 2021-06-10 Fixed 7.25000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 666807102 18251.00000000 NS USD 5521840.05000000 0.512743849973 Long EC CORP US N 1 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 985000.00000000 OU Notional Amount USD -1733.99000000 -0.00016101384 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2025-04-01 0.00000000 USD 0.00000000 USD 985000.00000000 USD -1733.99000000 N N N CSX CORP 549300JVQR4N1MMP3Q88 126408HR7 95000.00000000 PA USD 89960.94000000 0.008353541266 Long DBT CORP US N 2 2049-09-15 Fixed 3.35000000 N N N N N N Freddie Mac N/A 31396ULP3 106614.55000000 PA USD 124313.61000000 0.011543441754 Long ABS-MBS USGSE US N 2 2036-07-15 Fixed 5.50000000 N N N N N N Marsh & McLennan Cos Inc 549300XMP3KDCKJXIU47 571748102 42663.00000000 NS USD 3688642.98000000 0.342517889981 Long EC CORP US N 1 N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46639EAQ4 130000.00000000 PA USD 104229.61000000 0.009678493224 Long ABS-MBS CORP US N 2 2047-12-15 Variable 4.42000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SAV5 190000.00000000 PA USD 171735.75000000 0.015946939577 Long DBT CORP US N 2 2046-09-16 Fixed 3.88000000 N N N N N N HD Supply Inc 549300G8FYZDYZMZED76 40415RAS4 50000.00000000 PA USD 48606.00000000 0.004513428014 Long DBT CORP US N 2 2026-10-15 Fixed 5.38000000 N N N N N N Freddie Mac - SCRT N/A 35563PJH3 1273871.75000000 PA USD 1376071.42000000 0.127778449093 Long ABS-MBS USGSE US N 2 2058-07-25 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F050643 4826000.00000000 PA USD 5211137.43000000 0.483892804645 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 5.00000000 N N N N N N NBM US Holdings Inc 5493008K1QMSP0J8UC24 62877VAA9 635000.00000000 PA USD 576262.50000000 0.053510252048 Long DBT CORP US N 2 2026-05-14 Fixed 7.00000000 N N N N N N Biohaven Pharmaceutical Holding Co Ltd 5299007STZTNN32O9920 000000000 21096.00000000 NS USD 717896.88000000 0.066662055909 Long EC CORP VG N 1 N N N Boeing Co/The RVHJWBXLJ1RFUBSY1F30 097023105 13180.00000000 NS USD 1965665.20000000 0.182526609477 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FJB36 202171.01000000 PA USD 216867.26000000 0.020137735395 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3128MMXN8 810964.97000000 PA USD 851572.92000000 0.079074868808 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 3.00000000 N N N N N N Knollwood CDO Ltd N/A 499169AD2 699041.87000000 PA USD 69.90000000 0.000006490734 Long ABS-CBDO CORP KY N 2 2039-01-10 Floating 5.07000000 N N N N N N General Motors Co 54930070NSV60J38I987 37045VAJ9 265000.00000000 PA USD 210039.58000000 0.019503734610 Long DBT CORP US N 2 2045-04-01 Fixed 5.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RDH9 633207.23000000 PA USD 727080.23000000 0.067514798145 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N Fannie Mae N/A 3136ANMB0 226176.72000000 PA USD 18827.45000000 0.001748268532 Long ABS-MBS USGSE US N 2 2030-05-25 Fixed 3.50000000 N N N N N N Coherus Biosciences Inc 5493007IL8W5MV932D26 19249H103 47172.00000000 NS USD 765129.84000000 0.071047986964 Long EC CORP US N 1 N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 2776.78000000 0.000257844641 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 50000.00000000 CAD 38311.64000000 USD 2020-04-15 2776.78000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGL7 935000.00000000 PA USD 977701.09000000 0.090786805932 Long DBT CORP US N 2 2028-04-24 Fixed 3.71000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDG3 170000.00000000 PA USD 184173.77000000 0.017101902090 Long DBT CORP US N 2 2030-04-01 Fixed 3.40000000 N N N N N N ION Media Networks, Inc. N/A 46205DAK3 202897.42000000 PA USD 184129.41000000 0.017097782934 Long LON CORP US N 2 2024-12-18 Floating 4.00000000 N N N N N N Symphony CLO Ltd 54930085JMJSZBQ6N270 87159QBV9 1207084.17000000 PA USD 1168852.19000000 0.108536604922 Long ABS-CBDO CORP KY N 2 2026-07-14 Floating 2.79000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X54U8 106758.56000000 PA USD 116540.14000000 0.010821617344 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N TFDXX LEX BLACKROCK FED FUND N/A 000000000 2000000.00000000 NS USD 2000000.00000000 0.185714850604 Long STIV RF US N 1 N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385XLY1 87199.05000000 PA USD 96624.40000000 0.008972293005 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 8562.19000000 0.000795062918 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 158101.01000000 USD 134000.00000000 GBP 2020-06-17 8562.19000000 N N N Infor (US), Inc. CIOT8TLNSHRE7MIBDR09 45672LAE5 239688.16000000 PA USD 232377.67000000 0.021577992133 Long LON CORP US N 2 2022-02-01 Floating 3.75000000 N N N N N N Sprint Corp 549300ZTTY7CXOLJ6539 85207UAH8 100000.00000000 PA USD 109873.00000000 0.010202523890 Long DBT CORP US N 2 2024-06-15 Fixed 7.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KHE7 16103.52000000 PA USD 18542.45000000 0.001721804165 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LUN4 459695.23000000 PA USD 508622.26000000 0.047229353514 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 4.50000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAM8 525000.00000000 PA USD 541007.33000000 0.050236547733 Long DBT CORP US N 2 2029-01-23 Fixed 3.51000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAS8 35000.00000000 PA USD 34656.73000000 0.003218134717 Long DBT CORP US N 2 2037-09-20 Fixed 5.00000000 N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1276.43000000 0.000118526003 N/A DFE CA N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 140872.44000000 USD 200000.00000000 CAD 2020-04-20 1276.43000000 N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAH7 185000.00000000 PA USD 176613.38000000 0.016399863740 Long DBT CORP US N 2 2027-02-15 Fixed 2.49000000 N N N N N N Oglethorpe Power Corp 3EERXCUSWMS9GV5D9M98 677050AN6 260000.00000000 PA USD 263080.34000000 0.024428963020 Long DBT CORP US N 2 2048-10-01 Fixed 5.05000000 N N N N N N Bank N/A 06540RAF1 986545.47000000 PA USD 44139.03000000 0.004098636681 Long ABS-MBS CORP US N 2 2054-11-15 Variable 0.81000000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAZ1 590000.00000000 PA USD 629931.47000000 0.058493814420 Long DBT CORP NL N 2 2024-03-01 Fixed 4.88000000 N N N N N N Constellation Pharmaceuticals Inc N/A 210373106 9089.00000000 NS USD 285667.27000000 0.026526327185 Long EC CORP US N 1 N N Apollo Aviation Securitization Equity Trust N/A 00255UAA3 244876.55000000 PA USD 175515.83000000 0.016297948073 Long ABS-O CORP US N 2 2040-01-16 Fixed 3.35000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 91833HAA2 1009552.12000000 PA USD 898279.59000000 0.083411929928 Long ABS-O CORP US N 2 2049-11-25 Variable 3.28000000 N N N N N N Sofi Consumer Loan Program 2017-3 LLC N/A 83404JAA4 57642.16000000 PA USD 57141.28000000 0.005305992139 Long ABS-O CORP US N 2 2026-05-25 Fixed 2.77000000 N N N N N N UniCredit SpA 549300TRUWO2CD2G5692 904678AJ8 605000.00000000 PA USD 616233.00000000 0.057221809766 Long DBT CORP IT N 2 2022-01-14 Fixed 6.57000000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92937UAF5 100000.00000000 PA USD 99428.15000000 0.009232642011 Long ABS-MBS CORP US N 2 2045-05-15 Fixed 3.35000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967KY6 545000.00000000 PA USD 564475.23000000 0.052415716504 Long DBT CORP US N 2 2026-10-21 Fixed 3.20000000 N N N N N N TD Ameritrade Holding Corp ZI85ER3E6RXD4HPHW309 87236Y108 52708.00000000 NS USD 1826859.28000000 0.169637449130 Long EC CORP US N 1 N N N Allergan Finance LLC 2549006TBOV0H6GV7T12 942683AH6 255000.00000000 PA USD 319084.08000000 0.029629326123 Long DBT CORP US N 2 2042-10-01 Fixed 4.63000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 92870FAA8 1432296.40000000 PA USD 1317108.55000000 0.122303308796 Long ABS-O CORP US N 2 2049-12-27 Variable 3.43000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LESF9 198011.23000000 PA USD 211164.80000000 0.019608219642 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 2.43000000 N N N N N N Fannie Mae - CAS N/A 20753MAF5 450404.63000000 PA USD 368754.65000000 0.034241607367 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 3.10000000 N N N N N N SUZANO AUSTRIA GMBH 254900287ZNSGVP1R341 86964WAH5 950000.00000000 PA USD 836000.00000000 0.077628807552 Long DBT CORP AT N 2 2030-01-15 Fixed 5.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GFD1 410000.00000000 PA USD 551380.35000000 0.051199759663 Long DBT CORP US N 2 2037-10-01 Fixed 6.75000000 N N N N N N WMG Acquisition Corp 549300NAS11NXI33CP80 92933BAM6 120000.00000000 PA USD 117000.00000000 0.010864318760 Long DBT CORP US N 2 2024-11-01 Fixed 4.88000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3955000.00000000 OU Notional Amount USD -1880060.67000000 -0.17457759322 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2047-12-20 0.00000000 USD -89206.96000000 USD 3955000.00000000 USD -1790853.71000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GWY8 176084.02000000 PA USD 186948.74000000 0.017359578659 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST 549300ZGMKIELA840327 07326TAA6 687875.97000000 PA USD 675016.13000000 0.062680259869 Long ABS-O CORP US N 2 2058-01-28 Variable 3.50000000 N N N N N N SM Energy Co 84BUTVXV5ODI6BXNMH43 78454LAK6 55000.00000000 PA USD 23272.04000000 0.002160981715 Long DBT CORP US N 2 2022-11-15 Fixed 6.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JM2M3 934179.53000000 PA USD 997062.69000000 0.092584674258 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4.00000000 N N N N N N Charles Schwab Corp/The 549300VSGCJ7E698NM85 808513105 24505.00000000 NS USD 823858.10000000 0.076501341980 Long EC CORP US N 1 N N N TJX Cos Inc/The V167QI9I69W364E2DY52 872540109 207432.00000000 NS USD 9917323.92000000 0.920897165098 Long EC CORP US N 1 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 931.71000000 0.000086516191 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 70000.00000000 EUR 78427.79000000 USD 2020-07-14 931.71000000 N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AD3 100000.00000000 PA USD 95750.00000000 0.008891098472 Long DBT CORP US N 2 2026-05-01 Fixed 5.13000000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311VAB3 26000.00000000 PA USD 21320.00000000 0.001979720307 Long DBT CORP US N 2 2022-04-01 Fixed 4.95000000 N N N N N N BNP PARIBAS, NY N/A 000000000 992283.00000000 PA USD 992283.00000000 0.092140844551 Long STIV CORP US N 2 2020-10-09 Floating 1.35000000 N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBT1 915000.00000000 PA USD 934096.74000000 0.086737818259 Long DBT CORP US N 2 2025-04-01 Fixed 2.50000000 N N N N N N Celanese Corp 549300FHJQTDPPN41627 150870103 25642.00000000 NS USD 1881866.38000000 0.174745266809 Long EC CORP US N 1 N N N CDW LLC/CDW FINANCE N/A 12513GBD0 60000.00000000 PA USD 60300.00000000 0.005599302745 Long DBT CORP US N 2 2028-04-01 Fixed 4.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1156.80000000 0.000107417469 N/A DFE XX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 186639.94000000 USD 170000.00000000 EUR 2020-05-14 1156.80000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -18470000.00000000 NC USD -91586.08000000 -0.00850444758 N/A DCR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Intercontinental Exchange 5493000F4ZO33MV32P92 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A 18470000.00000000 OU Notional Amount N/A -91586.08000000 -0.01000000 DCR US Markit CDX.NA.IG.S33.V1 2I65BYDV4 buy protection 2024-12-20 0.00000000 N/A 0.00000000 N/A 18470000.00000000 USD 1.00000000 102.50000000 USD 2020-04-15 XXXX 22927.92000000 N N N Commonwealth Edison Co D8YOXB8L2ZDC8P7Q0771 202795JM3 85000.00000000 PA USD 95518.76000000 0.008869626121 Long DBT CORP US N 2 2048-03-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H022648 29000000.00000000 PA USD 30309531.25000000 2.814465033988 Long ABS-MBS USGA US N 2 2050-04-21 Fixed 2.50000000 N N N N N N GM FINANCIAL CAD 5493001CSMJPUBB7NS44 37045YAB0 985000.00000000 PA 693055.60000000 0.064355358607 Long DBT CORP CA Y 2 2020-05-22 Fixed 3.08000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCY5 470000.00000000 PA USD 496003.86000000 0.046057641379 Long DBT CORP US N 2 2039-11-01 Fixed 3.25000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 347.51000000 0.000032268883 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 38769.66000000 USD 55000.00000000 CAD 2020-07-10 347.51000000 N N N Boyd Gaming Corporation 254900787YGRYS2A1Z35 10330JAU2 79354.29000000 PA USD 69964.06000000 0.006496682475 Long LON CORP US N 2 2023-09-15 Floating 2.93000000 N N N N N N TRUIST BANK JJKC32MCHWDI71265Z06 89788KAA4 1150000.00000000 PA USD 1054432.79000000 0.097911914033 Long DBT CORP US N 2 2030-03-11 Fixed 2.25000000 N N N N N N Deephaven Residential Mortgage Trust N/A 24381CAA0 135811.32000000 PA USD 131861.78000000 0.012244345386 Long ABS-MBS CORP US N 2 2047-06-25 Variable 2.45000000 N N N N N N Freddie Mac N/A 3128P76P3 607061.02000000 PA USD 652254.69000000 0.060566691154 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 3.50000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAZ3 255000.00000000 PA USD 251262.08000000 0.023331549824 Long DBT US N 2 2025-03-15 Fixed 2.40000000 N N N N N N Countrywide Home Loans N/A 17025RAA3 331834.37000000 PA USD 275072.08000000 0.025542485121 Long ABS-MBS CORP US N 2 2047-09-25 Variable 3.79000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 830000.00000000 OU Notional Amount USD -78918.97000000 -0.00732821236 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-10-29 0.00000000 USD 0.00000000 USD 830000.00000000 USD -78918.97000000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAT7 35000.00000000 PA USD 29548.67000000 0.002743813417 Long DBT CORP US N 2 2049-02-15 Fixed 5.50000000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBP9 155000.00000000 PA USD 158064.77000000 0.014677487573 Long DBT CORP US N 2 2027-04-02 Fixed 4.70000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45660LYF0 30324.66000000 PA USD 25435.89000000 0.002361911255 Long ABS-MBS CORP US N 2 2035-10-25 Variable 3.69000000 N N N N N N Westlake Automobile Receivables Trust N/A 96042HAL4 765000.00000000 PA USD 707297.27000000 0.065677803415 Long ABS-O CORP US N 2 2024-11-15 Fixed 2.72000000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311VAF4 50000.00000000 PA USD 22134.00000000 0.002055306251 Long DBT CORP US N 2 2044-04-01 Fixed 5.60000000 N N N N N N Morgan Stanley Capital I Trust N/A 61760RAS1 265000.00000000 PA USD 225183.22000000 0.020909934030 Long ABS-MBS CORP US N 2 2049-07-15 Variable 5.24000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 1794.72000000 0.000166653078 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 40000.00000000 CAD 30228.27000000 USD 2020-04-30 1794.72000000 N N N Freddie Mac N/A 3128M9VL3 37497.95000000 PA USD 42496.48000000 0.003946113717 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 5.50000000 N N N N N N Sempra Energy PBBKGKLRK5S5C0Y4T545 816851BG3 365000.00000000 PA USD 366073.48000000 0.033992640824 Long DBT CORP US N 2 2028-02-01 Fixed 3.40000000 N N N N N N Freddie Mac N/A 3128MABU2 639476.51000000 PA USD 691166.75000000 0.064179964859 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.00000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05552EAA8 1802000.00000000 PA USD 1476495.73000000 0.137103591957 Long ABS-MBS CORP US N 2 2036-08-15 Floating 1.55000000 N N N N N N Tricida Inc 549300QVPFFJC8SZXG25 89610F101 15535.00000000 NS USD 341770.00000000 0.031735882245 Long EC CORP US N 1 N N N New Residential Mortgage Loan Trust N/A 64828EAA3 461517.84000000 PA USD 454486.75000000 0.042202469438 Long ABS-MBS CORP US N 2 2059-09-25 Variable 2.49000000 N N N N N N Madrigal Pharmaceuticals Inc 549300CHIMT2EUSNJB60 558868105 3706.00000000 NS USD 247412.56000000 0.022974093309 Long EC CORP US N 1 N N UMBS, TBA N/A 01F030645 -7194000.00000000 PA USD -7543864.44000000 -0.70050382872 Short ABS-MBS USGSE US N 2 2050-04-15 Fixed 3.00000000 N N N N N N COMM Mortgage Trust N/A 12624PAY1 355000.00000000 PA USD 209712.70000000 0.019473381375 Long ABS-MBS CORP US N 2 2045-10-15 Variable 4.75000000 N N N N N N Trupanion Inc 549300J86GFKIDGMQP18 898202106 43420.00000000 NS USD 1130222.60000000 0.104949560654 Long EC CORP US N 1 N N WF-RBS Commercial Mortgage Trust N/A 92890NAU3 175000.00000000 PA USD 175092.77000000 0.016258663811 Long ABS-MBS CORP US N 2 2045-12-15 Fixed 2.88000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 7710.57000000 0.000715983677 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 140000.00000000 CAD 107278.87000000 USD 2020-07-02 7710.57000000 N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 8050000.00000000 PA 74869.75000000 0.006952212218 Long STIV NUSS JP N 2 2020-04-13 None 0.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 35743.42000000 0.003319041952 N/A DFE CA N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 3467924.16000000 USD 4928000.00000000 CAD 2020-05-29 35743.42000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BVST5 239748.10000000 PA USD 260198.62000000 0.024161373920 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.00000000 N N N N N N JOHN DEERE CAPITAL CORP E0KSF7PFQ210NWI8Z391 24422EVE6 150000.00000000 PA USD 146850.25000000 0.013636136119 Long DBT CORP US N 2 2023-04-06 Fixed 1.20000000 N N N N N N Willis North America Inc 5493004KVU1HWZCP0C66 970648AG6 310000.00000000 PA USD 340338.06000000 0.031602915983 Long DBT CORP US N 2 2028-09-15 Fixed 4.50000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DK3 225000.00000000 PA USD 226184.74000000 0.021002932599 Long DBT CORP US N 2 2040-04-01 Fixed 4.13000000 N N N N N N Ameren Corp XRZQ5S7HYJFPHJ78L959 023608102 33254.00000000 NS USD 2421888.82000000 0.224890360193 Long EC CORP US N 1 N N N Freddie Mac N/A 3128M9WN8 138053.06000000 PA USD 156434.68000000 0.014526121612 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.50000000 N N N N N N REDE D'OR FINANCE SARL 549300FDE772OLJUCP79 75735GAA6 1210000.00000000 PA USD 1049675.00000000 0.097470117903 Long DBT CORP LU N 2 2030-01-22 Fixed 4.50000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CZ1 345000.00000000 PA USD 391784.02000000 0.036380055371 Long DBT CORP US N 2 2048-03-25 Fixed 5.05000000 N N N N N N WELLS FARGO GOVT FD LEX N/A 000000000 1000000.00000000 NS USD 1000000.00000000 0.092857425302 Long STIV RF US N 1 N N AUTOZONE INC GA3JGKJ41LJKXDN23E90 053332AZ5 270000.00000000 PA USD 275550.32000000 0.025586893256 Long DBT CORP US N 2 2030-04-15 Fixed 4.00000000 N N N N N N Under Armour Inc 549300D4549QKWETZ406 904311107 161406.00000000 NS USD 1486549.26000000 0.138037136868 Long EC CORP US N 1 N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967LS8 230000.00000000 PA USD 230300.46000000 0.021385107761 Long DBT CORP US N 2 2028-10-27 Fixed 3.52000000 N N N N N N Freddie Mac N/A 3128MJTR1 815660.32000000 PA USD 892404.43000000 0.082866377697 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.50000000 N N N N N N HILL-ROM HOLDINGS INC JLZ01A0E2071OH26RE45 431475AD4 120000.00000000 PA USD 118200.00000000 0.010975747670 Long DBT CORP US N 2 2027-09-15 Fixed 4.38000000 N N N N N N Bear Stearns Alt-A Trust N/A 07386HA92 518737.37000000 PA USD 467042.39000000 0.043368353842 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.43000000 N N N N N N CSX Corp 549300JVQR4N1MMP3Q88 126408HK2 90000.00000000 PA USD 98776.99000000 0.009172176970 Long DBT CORP US N 2 2048-03-01 Fixed 4.30000000 N N N N N N CSX Corp 549300JVQR4N1MMP3Q88 126408HH9 315000.00000000 PA USD 323550.82000000 0.030044096099 Long DBT CORP US N 2 2027-06-01 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GTW6 12451.12000000 PA USD 13219.40000000 0.001227519448 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BK9 235000.00000000 PA USD 235002.35000000 0.021821713160 Long DBT NUSS PA N 2 2030-01-23 Fixed 3.16000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GYN7 72063.92000000 PA USD 79870.55000000 0.007416573630 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379GUD7 846830.98000000 PA USD 73384.93000000 0.006814335655 Long ABS-MBS USGA US N 2 2029-10-20 Fixed 3.50000000 N N N N N N TRAD & DEV BANK MONGOLIA 549300O080RZNQXWR806 89253YAA0 820000.00000000 PA USD 779000.00000000 0.072335934310 Long DBT CORP MN Y 2 2020-05-19 Fixed 9.38000000 N N N N N N Freddie Mac N/A 3128UGL47 43889.52000000 PA USD 44452.15000000 0.004127712198 Long ABS-MBS USGSE US N 2 2041-02-01 Floating 3.90000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -18470000.00000000 NC USD -2525.40000000 -0.00023450214 N/A DCR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Intercontinental Exchange 5493000F4ZO33MV32P92 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A 18470000.00000000 OU Notional Amount N/A -2525.40000000 0.00000000 DCR US Markit CDX.NA.IG.S33.V1 2I65BYDV4 buy protection 2024-12-20 0.00000000 N/A 0.00000000 N/A 18470000.00000000 USD 1.00000000 65.00000000 USD 2020-04-15 XXXX 44111.35000000 N N N CHEMOURS CO 549300M1BOLNXL8DOV14 163851AE8 60000.00000000 PA USD 45891.00000000 0.004261320104 Long DBT CORP US N 2 2027-05-15 Fixed 5.38000000 N N N N N N Homeward Opportunities Fund I Trust N/A 43789VAA6 477473.89000000 PA USD 457658.01000000 0.042496944477 Long ABS-MBS CORP US N 2 2059-09-25 Variable 2.70000000 N N N N N N Reata Pharmaceuticals Inc 5299005F094GH9QDDD80 75615P103 1899.00000000 NS USD 274101.66000000 0.025452374418 Long EC CORP US N 1 N N Hess Corp UASVRYNXNK17ULIGK870 023551AM6 127000.00000000 PA USD 102167.03000000 0.009486967356 Long DBT CORP US N 2 2033-03-15 Fixed 7.13000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46639NAP6 357842.04000000 PA USD 368331.21000000 0.034202287819 Long ABS-MBS CORP US N 2 2045-07-15 Fixed 3.36000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 120111BN8 220000.00000000 PA USD 216216.00000000 0.020077261069 Long DBT CORP US N 2 2025-10-15 Fixed 6.00000000 N N N N N N Conagra Brands Inc 54930035UDEIH090K650 205887CA8 175000.00000000 PA USD 181699.56000000 0.016872153320 Long DBT CORP US N 2 2024-05-01 Fixed 4.30000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CL2 299000.00000000 PA USD 308940.13000000 0.028687385044 Long DBT CORP US N 2 2025-07-20 Fixed 3.88000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668AZX6 133140.68000000 PA USD 108055.63000000 0.010033767591 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.75000000 N N N N N N DCert Buyer, Inc. N/A 24022KAB5 110000.00000000 PA USD 98908.37000000 0.009184376579 Long LON CORP US N 2 2026-10-16 Floating 4.99000000 N N N N N N Assurant Inc H3F39CAXWQRVWURFXL38 04621X108 27986.00000000 NS USD 2913062.74000000 0.270499505779 Long EC CORP US N 1 N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833BA7 215000.00000000 PA USD 242672.99000000 0.022533989041 Long DBT CORP US N 2 2045-02-09 Fixed 3.45000000 N N N N N N GS Mortgage Securities Trust N/A 36191YAA6 964205.62000000 PA USD 11581.36000000 0.001075415271 Long ABS-MBS CORP US N 2 2044-08-10 Variable 1.33000000 N N N N N N Fannie Mae N/A 3136A6U85 94734.75000000 PA USD 6817.47000000 0.000633052711 Long ABS-MBS USGSE US N 2 2027-07-25 Fixed 4.50000000 N N N N N N ZIMMER BIOMET HOLDINGS 2P2YLDVPES3BXQ1FRB91 98956PAS1 330000.00000000 PA USD 324310.25000000 0.030114614814 Long DBT CORP US N 2 2026-01-15 Fixed 3.05000000 N N N N N N Caesars Resort Collection, LLC 549300V3UCT773B1KR38 12769LAB5 108786.25000000 PA USD 89360.18000000 0.008297756239 Long LON CORP US N 2 2024-12-23 Floating 3.74000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 99295.95000000 0.009220366259 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 10375000.00000000 MXN 511184.47000000 USD 2021-06-10 99295.95000000 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDS8 275000.00000000 PA USD 289816.73000000 0.026911635357 Long DBT CORP US N 2 2029-08-15 Fixed 2.88000000 N N N N N N Fannie Mae N/A 3136AWTK3 332146.78000000 PA USD 350125.62000000 0.032511763605 Long ABS-MBS USGSE US N 2 2047-05-25 Fixed 3.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 309.00000000 NC USD 305317.15000000 0.028350964449 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 2 Year US Treasury Note TUM0 Comdty 2020-06-30 67792971.76000000 USD 305317.15000000 N N N Anthem Inc 8MYN82XMYQH89CTMTH67 94973VBJ5 430000.00000000 PA USD 441263.69000000 0.040974610132 Long DBT CORP US N 2 2024-08-15 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F040644 8267500.00000000 PA USD 8827316.40000000 0.819681873231 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 4.00000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BF8 330000.00000000 PA USD 345609.18000000 0.032092378615 Long DBT CORP US N 2 2024-03-15 Fixed 3.88000000 N N N N N N ALCON FINANCE CORP 549300CUZUI9VU7XNK42 01400EAB9 265000.00000000 PA USD 263843.22000000 0.024499802092 Long DBT CORP US N 2 2029-09-23 Fixed 3.00000000 N N N N N N LSTAR Securities Investment Ltd N/A 50220XAA4 450341.75000000 PA USD 416427.01000000 0.038668339974 Long ABS-MBS CORP US N 2 2024-04-01 Floating 3.08000000 N N N N N N Global Blood Therapeutics Inc 549300U4G0QKK99GRT15 37890U108 7945.00000000 NS USD 405910.05000000 0.037691762147 Long EC CORP US N 1 N N Angel Oak Mortgage Trust N/A 03463WAA1 294591.77000000 PA USD 296647.93000000 0.027545963000 Long ABS-MBS CORP US N 2 2049-03-25 Variable 3.63000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -10363.18000000 -0.00096229821 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 79100000.00000000 JPY 726101.75000000 USD 2020-04-27 -10363.18000000 N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAG8 305000.00000000 PA USD 258269.81000000 0.023982269589 Long DBT CORP US N 2 2029-04-15 Fixed 5.25000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCQ5 535000.00000000 PA USD 626348.95000000 0.058161150837 Long DBT CORP US N 2 2034-11-01 Fixed 4.40000000 N N N N N N CDK Global Inc 5493000L10CYRTHIJ385 12508EAJ0 25000.00000000 PA USD 25500.00000000 0.002367864345 Long DBT CORP US N 2 2029-05-15 Fixed 5.25000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MP3 425000.00000000 PA USD 467617.51000000 0.043421758004 Long DBT CORP US N 2 2031-03-31 Fixed 4.41000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBG3 147000.00000000 PA USD 148902.75000000 0.013826725985 Long DBT CORP US N 2 2049-05-15 Fixed 5.30000000 N N N N N N BELLEMEADE RE LT 254900KXN235YISGF415 07876LAA7 1529309.78000000 PA USD 1519803.13000000 0.141125005617 Long ABS-MBS CORP BM N 2 2029-10-25 Floating 2.35000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 319.89000000 0.000029704161 N/A DFE CA N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 35214.97000000 USD 50000.00000000 CAD 2020-04-15 319.89000000 N N N Freddie Mac N/A 3132L6NA5 37844.81000000 PA USD 40676.55000000 0.003777119703 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.00000000 N N N N N N VF Corp CWAJJ9DJ5Z7P057HV541 918204108 78918.00000000 NS USD 4267885.44000000 0.396304853442 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410K3K8 19332.34000000 PA USD 22260.13000000 0.002067018358 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H23B2 153413.91000000 PA USD 164792.33000000 0.015302191473 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36183RD91 768746.96000000 PA USD 814598.57000000 0.075641525864 Long ABS-MBS USGA US N 2 2045-04-15 Fixed 3.00000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCN9 255000.00000000 PA USD 352169.51000000 0.032701553968 Long DBT CORP US N 2 2058-10-15 Fixed 4.95000000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 14450000.00000000 PA 134446.98000000 0.012484400402 Long STIV NUSS JP N 2 2020-06-15 None 0.00000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCL3 240000.00000000 PA USD 299013.11000000 0.027765587526 Long DBT CORP US N 2 2038-10-15 Fixed 4.60000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1610000.00000000 OU Notional Amount USD -153842.91000000 -0.01428545652 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-10-29 0.00000000 USD 0.00000000 USD 1610000.00000000 USD -153842.91000000 N N N United Technologies Corp I07WOS4YJ0N7YRFE7309 913017CX5 90000.00000000 PA USD 106504.14000000 0.009889700224 Long DBT CORP US N 2 2048-11-16 Fixed 4.63000000 N N N N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 535000.00000000 PA USD 555792.90000000 0.051609497695 Long DBT CORP US N 2 2025-12-15 Fixed 4.25000000 N N N N N N PNC FINANCIAL SERVICES CFGNEKW0P8842LEUIA51 693475AZ8 665000.00000000 PA USD 644097.25000000 0.059809212279 Long DBT CORP US N 2 2030-01-22 Fixed 2.55000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 3896.97000000 0.000361862600 N/A DFE XX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 322403.73000000 USD 295000.00000000 EUR 2020-06-17 3896.97000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 4745000.00000000 OU Notional Amount USD -16479.38000000 -0.00153023279 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.IG.S33.V1 2I65BYDV4 Y sell protection 2024-12-20 114604.60000000 USD 0.00000000 USD 4745000.00000000 USD -131083.98000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -21642.49000000 -0.00200966589 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 176650000.00000000 JPY 1625529.23000000 USD 2020-06-01 -21642.49000000 N N N Southwest Airlines Co UDTZ87G0STFETI6HGH41 844741108 10474.00000000 NS USD 372979.14000000 0.034633882631 Long EC CORP US N 1 N N N State of Illinois 54930048FV8RWPR02D67 452152GE5 220000.00000000 PA USD 235521.00000000 0.021869873664 Long DBT MUN US N 2 2022-04-01 Fixed 5.95000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 2998.76000000 0.000278457132 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 55000.00000000 CAD 42115.93000000 USD 2020-07-10 2998.76000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 133602.57000000 OU Notional Amount USD -12024.23000000 -0.00111653903 N/A DCR GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 ABX-HE-PENAAA 07-1 0A08AWAB5 Y sell protection 2046-05-25 0.00000000 USD -3615.31000000 USD 133602.57000000 USD -8408.92000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 628.08000000 0.000058321891 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 70508.39000000 USD 100000.00000000 CAD 2020-09-08 628.08000000 N N N AON CORP LTS3U8DGK38SETRUWX71 037389BD4 350000.00000000 PA USD 348285.14000000 0.032340861371 Long DBT CORP US N 2 2022-11-15 Fixed 2.20000000 N N N N N N WYNN LAS VEGAS LLC/CORP N/A 983130AX3 10000.00000000 PA USD 9050.00000000 0.000840359698 Long DBT CORP US N 2 2027-05-15 Fixed 5.25000000 N N N N N N Alnylam Pharmaceuticals Inc 529900S3ZI14OWRJII50 02043Q107 3070.00000000 NS USD 334169.50000000 0.031030119384 Long EC CORP US N 1 N N COMM Mortgage Trust N/A 12592GBD4 225000.00000000 PA USD 236873.21000000 0.021995436403 Long ABS-MBS CORP US N 2 2047-08-10 Fixed 3.80000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6295000.00000000 OU Notional Amount USD -475887.52000000 -0.04418968984 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-04-09 0.00000000 USD 0.00000000 USD 6295000.00000000 USD -475887.52000000 N N N Fannie Mae N/A 3136ARFZ6 155007.26000000 PA USD 10021.64000000 0.000930583687 Long ABS-MBS USGSE US N 2 2031-02-25 Fixed 3.50000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DS3 265000.00000000 PA USD 293255.87000000 0.027230985042 Long DBT CORP US N 2 2049-04-05 Fixed 4.55000000 N N N N N N Coty Inc. 549300BO9IWPF3S48F93 22207EBG8 186453.93000000 PA USD 156155.17000000 0.014500167033 Long LON CORP US N 2 2025-04-07 Floating 3.26000000 N N N N N N Dollar Tree Inc 549300PMSTQITB1WHR43 256746AE8 30000.00000000 PA USD 29993.61000000 0.002785129400 Long DBT CORP US N 2 2020-04-17 Floating 2.54000000 N N N N N N Oaktown Re Ltd 2549008N2FD0KB1Y5E03 67400KAA8 614314.35000000 PA USD 611433.09000000 0.056776102481 Long ABS-MBS CORP US N 2 2029-07-25 Floating 2.35000000 N N N N N N COMM Mortgage Trust N/A 12630DAY0 190000.00000000 PA USD 202483.86000000 0.018802129904 Long ABS-MBS CORP US N 2 2047-02-10 Variable 4.24000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17308CC46 855000.00000000 PA USD 849953.24000000 0.078924469493 Long DBT CORP US N 2 2022-11-04 Fixed 2.31000000 N N N N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 37443GAG6 490000.00000000 PA USD 358925.00000000 0.033328851376 Long DBT NUSS GH N 2 2027-02-11 Fixed 6.38000000 N N N N N N PacifiCorp SGY07Y7FNYBNLM6Z1M11 695114CV8 80000.00000000 PA USD 89966.41000000 0.008354049196 Long DBT CORP US N 2 2050-02-15 Fixed 4.15000000 N N N N N N Fannie Mae N/A 3136A7GL0 310418.03000000 PA USD 15875.96000000 0.001474200769 Long ABS-MBS USGSE US N 2 2027-02-25 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030641 -2425000.00000000 PA USD -2565090.31000000 -0.23818768185 Short ABS-MBS USGA US N 2 2050-04-21 Fixed 3.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BT0 215000.00000000 PA USD 224014.72000000 0.020801430128 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N Marvell Technology Group Ltd 8DF36O58U3QIHUCGZB18 000000000 158026.00000000 NS USD 3576128.38000000 0.332070073916 Long EC CORP BM N 1 N N N State of California N/A 13063A5G5 20000.00000000 PA USD 32454.00000000 0.003013594880 Long DBT MUN US N 2 2039-04-01 Fixed 7.55000000 N N N N N N UMBS, TBA N/A 01F050643 -4826000.00000000 PA USD -5211137.43000000 -0.48389280464 Short ABS-MBS USGSE US N 2 2050-04-15 Fixed 5.00000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAB9 275000.00000000 PA USD 258685.47000000 0.024020866707 Long DBT CORP US N 2 2029-10-01 Fixed 3.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W7G81 40140.90000000 PA USD 43110.71000000 0.004003149533 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -6247.51000000 -0.00058012769 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 158400000.00000000 JPY 1467067.39000000 USD 2020-04-06 -6247.51000000 N N N Savage Enterprises LLC N/A 80465JAB4 80454.53000000 PA USD 71252.54000000 0.006616327410 Long LON CORP US N 2 2025-08-01 Floating 4.62000000 N N N N N N Fannie Mae N/A 3136A5P34 323802.16000000 PA USD 22892.52000000 0.002125740465 Long ABS-MBS USGSE US N 2 2027-05-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BVJ4 56944.09000000 PA USD 63095.19000000 0.005858856892 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.00000000 N N N N N N FANNIEMAE STRIP B1V7KEBTPIMZEU4LTD58 31395QCR9 211943.79000000 PA USD 13809.82000000 0.001282344329 Long ABS-MBS USGSE US N 2 2027-05-25 Fixed 4.00000000 N N N N N N Natwest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC 235661.04000000 0.021882877418 N/A DFE US N 2 Natwest Markets PLC RR3QWICWWIPCS8A4S074 5213000.00000000 AUD 3442795.53000000 USD 2020-05-29 235661.04000000 N N N VICI PROPERTIES / NOTE N/A 92564RAA3 35000.00000000 PA USD 32112.50000000 0.002981884070 Long DBT US N 2 2026-12-01 Fixed 4.25000000 N N N N N N Countrywide Alternative Loan Trust N/A 12667GN33 239909.73000000 PA USD 190439.48000000 0.017683719788 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.32000000 N N N N N N Sedgwick Claims Management Services, Inc. 549300BIN4DWJG5VWF64 81527CAM9 133987.50000000 PA USD 122151.98000000 0.011342718358 Long LON CORP US N 2 2026-09-03 Floating 4.99000000 N N N N N N Fannie Mae N/A 3136AFXT6 130033.71000000 PA USD 7878.73000000 0.000731598582 Long ABS-MBS USGSE US N 2 2028-06-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EHJ29 93096.09000000 PA USD 94867.90000000 0.008809188937 Long ABS-MBS USGSE US N 2 2041-06-01 Floating 4.29000000 N N N N N N Fannie Mae - CAS N/A 20753TAB9 715000.00000000 PA USD 581496.20000000 0.053996239954 Long ABS-MBS USGSE US N 2 2039-06-25 Floating 3.05000000 N N N N N N Fortive Corp 549300MU9YQJYHDQEF63 34959J108 66028.00000000 NS USD 3644085.32000000 0.338380380396 Long EC CORP US N 1 N N N Benefit Street Partners CLO II Ltd 549300PVYNJC7QL0GC48 08179XAL9 320000.00000000 PA USD 306725.12000000 0.028481704918 Long ABS-CBDO CORP KY N 2 2029-07-15 Floating 3.08000000 N N N N N N NBC GLOBAL FINANCE LIMITED 549300KWU8YQOYSK5Y64 000000000 3000000.00000000 PA USD 3000000.00000000 0.278572275906 Long RA CORP US N 2 Repurchase Y 0.25000000 2020-04-01 442503.60000000 USD 488260.49000000 USD UST 60282.93000000 USD 2803615.81000000 USD EQT N N REPUBLIC OF CHILE 549300FLZTJM5YJF8D34 168863DN5 495000.00000000 PA USD 494505.00000000 0.045918461099 Long DBT NUSS CL N 2 2032-01-27 Fixed 2.55000000 N N N N N N Envista Holdings Corp 549300BX623VURJZ5269 29415F104 71595.00000000 NS USD 1069629.30000000 0.099323022825 Long EC CORP US N 1 N N N REVOLUTION Medicines Inc 549300JU3X0LBCQ65892 76155X100 10300.00000000 NS USD 225673.00000000 0.020955413740 Long EC CORP US N 1 N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCA1 390000.00000000 PA USD 391098.45000000 0.036316395106 Long DBT CORP US N 2 2024-01-29 Fixed 3.90000000 N N N N N N Schlumberger Ltd 213800ZUA17OK3QLGM62 000000000 82625.00000000 NS USD 1114611.25000000 0.103499930887 Long EC CORP CW N 1 N N N DEUTSCHE BANK AG, LONDON BRANCH 7LTWFZYICNSX8D621K86 000000000 600000.00000000 PA USD 600000.00000000 0.055714455181 Long RA CORP US N 2 Repurchase Y 0.40000000 2020-04-01 153339.00000000 USD 149853.04000000 USD 3300.00000000 USD 3217.18000000 USD ACMO 192327.00000000 USD 203041.48000000 USD CDS 220224.30000000 USD 255888.37000000 USD UST N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GMF0 73169.87000000 PA USD 78583.74000000 0.007297083767 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ARZW7 65069.45000000 PA USD 71316.78000000 0.006622292571 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N Bear Stearns Mortgage Funding Trust N/A 07401MAG6 500383.62000000 PA USD 455340.04000000 0.042281703751 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9TW0 144681.98000000 PA USD 157955.97000000 0.014667384685 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 5932.72000000 0.000550897104 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 150000.00000000 CAD 112662.38000000 USD 2020-11-25 5932.72000000 N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887BV0 925000.00000000 PA USD 927000.89000000 0.086078915898 Long DBT CORP US N 2 2024-06-06 Fixed 3.36000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746RW3 310000.00000000 PA USD 319077.93000000 0.029628755050 Long DBT CORP US N 2 2026-04-22 Fixed 3.00000000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAF1 330000.00000000 PA USD 342982.21000000 0.031848444945 Long DBT CORP US N 2 2030-04-01 Fixed 2.85000000 N N N N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 000000000 3595000.00000000 PA 2261157.90000000 0.209965300795 Long DBT NUSS XX N 2 2023-01-17 Fixed 3.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VEA8 775000.00000000 PA USD 932918.75000000 0.086628433141 Long DBT CORP US N 2 2033-08-10 Fixed 4.50000000 N N N N N N US Foods, Inc. 5493000JOOFAOUY1JZ87 90351HAD0 124375.00000000 PA USD 115876.08000000 0.010759954442 Long LON CORP US N 2 2026-09-13 Floating 3.07000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 241000.00000000 OU Notional Amount USD -114673.15000000 -0.01064825346 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Markit CMBX.NA.BB.8 137BEMAG3 Y sell protection 2057-10-17 0.00000000 USD -59417.22000000 USD 241000.00000000 USD -55255.93000000 N N N nVent Electric PLC N/A 000000000 77704.00000000 NS USD 1310866.48000000 0.121723686247 Long EC CORP IE N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BRY6 40255.90000000 PA USD 44609.49000000 0.004142322385 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.00000000 N N N N N N WF-RBS Commercial Mortgage Trust 549300UVB571ELWL8972 92890FAU0 160281.00000000 PA USD 167880.39000000 0.015588940774 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 4.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 229101.47000000 OU Notional Amount USD 0.00000000 0.000000 N/A DCR GB N 3 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 PrimeX.ARM.2 7B579YAB1 Y buy protection 2037-12-25 0.00000000 USD -484.01000000 USD 229101.47000000 USD 484.01000000 N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBF9 135000.00000000 PA USD 157069.00000000 0.014585022934 Long DBT CORP US N 2 2049-02-14 Fixed 5.95000000 N N N N N TELFON CELUAR DEL PARAGU 254900R8A8IKGF4THL54 87936VAB3 730000.00000000 PA USD 658397.95000000 0.061137138461 Long DBT CORP PY N 2 2027-04-15 Fixed 5.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X55F0 40966.52000000 PA USD 44825.75000000 0.004162403732 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135106 16611.00000000 NS USD 32386798.92000000 3.007354761488 Long EC CORP US N 1 N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587CX3 10000.00000000 PA USD 10453.07000000 0.000970645166 Long DBT CORP US N 2 2046-07-01 Fixed 4.40000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AR1 200000.00000000 PA USD 195400.85000000 0.018144419832 Long DBT CORP GB N 2 2027-04-10 Fixed 4.75000000 N N N N N N Ondeck Asset Securitization Trust LLC N/A 68235RAJ3 905000.00000000 PA USD 897153.92000000 0.083307403110 Long ABS-O CORP US N 2 2024-11-18 Fixed 2.65000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29273RBJ7 570000.00000000 PA USD 473298.38000000 0.043949268966 Long DBT CORP US N 2 2045-12-15 Fixed 6.13000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCZ5 335000.00000000 PA USD 426702.41000000 0.039622487162 Long DBT CORP US N 2 2055-03-15 Fixed 4.67000000 N N N N N N SoFi Consumer Loan Program Trust N/A 83402QAA0 49408.09000000 PA USD 48495.36000000 0.004503154268 Long ABS-O CORP US N 2 2025-10-27 Fixed 3.09000000 N N N N N N FREMF Mortgage Trust N/A 30261VAA0 855000.00000000 PA USD 852841.98000000 0.079192710452 Long ABS-MBS USGSE US N 2 2043-09-25 Variable 5.30000000 N N N N N N Schneider National Inc 529900V6GZ6G6E3BLV72 80689H102 3600.00000000 NS USD 69624.00000000 0.006465105379 Long EC CORP US N 1 N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AT5 390000.00000000 PA USD 401416.52000000 0.037274504520 Long DBT CORP US N 2 2026-07-01 Fixed 3.20000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 92870DAA3 735802.68000000 PA USD 651362.70000000 0.060483863259 Long ABS-O CORP US N 2 2049-10-25 Variable 3.18000000 N N N N N N Freddie Mac - SCRT N/A 35563PKJ7 249316.30000000 PA USD 269525.38000000 0.025027432840 Long ABS-MBS USGSE US N 2 2058-08-25 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3137B2AV2 140818.48000000 PA USD 9369.39000000 0.000870017432 Long ABS-MBS USGSE US N 2 2028-05-15 Fixed 2.50000000 N N N N N N Freddie Mac - SCRT N/A 35563PHE2 1274649.12000000 PA USD 1366061.73000000 0.126848975051 Long ABS-MBS USGSE US N 2 2058-03-25 Fixed 3.50000000 N N N N N N Duke Energy Florida LLC 7MOHLM3DKE63RX2ZCN83 26444HAA9 225000.00000000 PA USD 232391.65000000 0.021579290280 Long DBT CORP US N 2 2046-10-01 Fixed 3.40000000 N N N N N N Fannie Mae - CAS N/A 30711XAP9 223985.49000000 PA USD 213136.44000000 0.019791301056 Long ABS-MBS USGSE US N 2 2024-11-25 Floating 5.85000000 N N N N N N Fannie Mae N/A 3136AKXK4 424877.83000000 PA USD 19550.88000000 0.001815444379 Long ABS-MBS USGSE US N 2 2044-08-25 Variable 2.19000000 N N N N N N Freddie Mac N/A 3132L83D7 990020.75000000 PA USD 1050422.44000000 0.097539523257 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.50000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556BN1 45000.00000000 PA USD 46157.42000000 0.004286059179 Long DBT CORP US N 2 2023-04-15 Fixed 3.00000000 N N N N N N Wells Fargo Mortgage Backed Securities Trust N/A 94984NAA0 108798.01000000 PA USD 94477.25000000 0.008772914184 Long ABS-MBS CORP US N 2 2036-10-25 Variable 4.49000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 13054.20000000 0.001212179401 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 315000.00000000 CAD 237000.52000000 USD 2020-05-22 13054.20000000 N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CAM6 275000.00000000 PA USD 311971.15000000 0.028968837757 Long DBT CORP US N 2 2041-12-15 Fixed 4.25000000 N N N N N N Freddie Mac N/A 3137B05Q3 139716.75000000 PA USD 13488.30000000 0.001252488809 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 3.00000000 N N N N N N Texas Instruments Inc WDJNR2L6D8RWOEB8T652 882508104 42886.00000000 NS USD 4285597.98000000 0.397949594302 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418BPB6 36167.43000000 PA USD 39144.37000000 0.003634845413 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 4.00000000 N N N N N N Revance Therapeutics Inc 549300N33TFDZHS81H11 761330109 50184.00000000 NS USD 742723.20000000 0.068967364064 Long EC CORP US N 1 N N N Lennar Corp 529900G61XVRLX5TJX09 526057CD4 125000.00000000 PA USD 124687.50000000 0.011578160217 Long DBT CORP US N 2 2027-11-29 Fixed 4.75000000 N N N N N N Freddie Mac N/A 3132WJBW0 135923.02000000 PA USD 143625.17000000 0.013336663494 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N MSCI INC 549300HTIN2PD78UB763 55354GAB6 65000.00000000 PA USD 67103.40000000 0.006231048953 Long DBT CORP US N 2 2025-08-15 Fixed 5.75000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AB5 480000.00000000 PA USD 499352.95000000 0.046368629254 Long DBT CORP US N 2 2023-06-15 Fixed 3.85000000 N N N N N N FAIR ISAAC CORP RI6HET5SJUEY30V1PS26 303250AF1 77000.00000000 PA USD 73920.00000000 0.006864020878 Long DBT CORP US N 2 2028-06-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AU88 36547.34000000 PA USD 39546.81000000 0.003672214955 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 465000.00000000 OU Notional Amount USD -181612.91000000 -0.01686410722 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 Markit CMBX.NA.BB.6 137BEMAE8 Y sell protection 2063-05-11 0.00000000 USD -86601.08000000 USD 465000.00000000 USD -95011.83000000 N N N COLT Funding LLC N/A 196860AA8 795234.34000000 PA USD 771291.74000000 0.071620165133 Long ABS-MBS CORP US N 2 2049-11-25 Fixed 2.58000000 N N N N N N State of Illinois 54930048FV8RWPR02D67 452152KJ9 70000.00000000 PA USD 75060.30000000 0.006969906200 Long DBT MUN US N 2 2023-01-01 Fixed 5.00000000 N N N N N N CME Group Inc LCZ7XYGSLJUHFXXNXD88 12572Q105 52634.00000000 NS USD 9100944.94000000 0.845090314944 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380TE93 436367.51000000 PA USD 56988.90000000 0.005291842524 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 4.00000000 N N N N N N Charter Communications Inc 0J0XRGZE3PBRFEZ7MV65 16119P108 29816.00000000 NS USD 13009018.96000000 1.207984006331 Long EC CORP US N 1 N N N Fanniemae-Aces N/A 3136ADZZ5 563963.44000000 PA USD 8969.73000000 0.000832906033 Long ABS-MBS USGSE US N 2 2022-01-25 Variable 2.04000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WQAV4 997204.19000000 PA USD 1056268.87000000 0.098082407694 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3128E4NY4 73216.84000000 PA USD 78954.14000000 0.007331478157 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 5.00000000 N N N N N N CSAIL Commercial Mortgage Trust 549300D5DIOOMKWXVZ20 12634NAV0 12133565.41000000 PA USD 367528.12000000 0.034127714949 Long ABS-MBS CORP US N 2 2057-06-15 Variable 0.76000000 N N N N N N LSTAR Securities Investment Ltd N/A 54912QAA4 143735.03000000 PA USD 139317.62000000 0.012936675492 Long ABS-MBS CORP US N 2 2024-04-01 Floating 3.08000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402DC24 37645.13000000 PA USD 41721.80000000 0.003874178926 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5.00000000 N N N N N N CSX Corp 549300JVQR4N1MMP3Q88 126408HP1 40000.00000000 PA USD 46069.86000000 0.004277928583 Long DBT CORP US N 2 2049-03-15 Fixed 4.50000000 N N N N N N GS Mortgage Securities Trust N/A 36252WAE8 465000.00000000 PA USD 398102.31000000 0.036966755513 Long ABS-MBS CORP US N 2 2047-04-10 Variable 4.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RJL4 25379.55000000 PA USD 28123.84000000 0.002611507372 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.00000000 N N N N N N Liberty Media Corp-Liberty Formula One N/A 531229854 57068.00000000 NS USD 1553961.64000000 0.144296876908 Long EC CORP US N 1 N N N Fannie Mae N/A 3136A8CC2 460029.01000000 PA USD 78096.69000000 0.007251857558 Long ABS-MBS USGSE US N 2 2042-01-25 Fixed 6.00000000 N N N N N N Countrywide Home Loans N/A 12669GKF7 106551.02000000 PA USD 87042.34000000 0.008082527584 Long ABS-MBS CORP US N 2 2035-02-25 Floating 1.63000000 N N N N N N MFA 2017-NPL1 LLC N/A 552761AA6 1124722.04000000 PA USD 1145306.03000000 0.106350169128 Long ABS-O CORP US N 2 2047-11-25 Variable 3.35000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VEU4 610000.00000000 PA USD 687730.88000000 0.063860918817 Long DBT CORP US N 2 2029-12-03 Fixed 4.02000000 N N N N N N Freddie Mac N/A 3128MJYM6 1421392.02000000 PA USD 1500139.74000000 0.139299113849 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAP9 17000.00000000 PA USD 14888.67000000 0.001382523562 Long DBT CORP US N 2 2045-01-15 Fixed 4.90000000 N N N N N N CSAIL Commercial Mortgage Trust 549300C2HE5FJAWYZL57 12636MAG3 1830834.64000000 PA USD 142868.45000000 0.013266396423 Long ABS-MBS CORP US N 2 2049-01-15 Variable 1.90000000 N N N N N N Hamilton Lane Inc 5493006OKN3V1NORM833 407497106 37884.00000000 NS USD 2095364.04000000 0.194570109825 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402DGM6 75906.90000000 PA USD 87379.30000000 0.008113816822 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380CEN9 356496.22000000 PA USD 64213.35000000 0.005962686351 Long ABS-MBS USGA US N 2 2039-03-20 Fixed 5.50000000 N N N N N N Fannie Mae N/A 3136AXP33 316355.69000000 PA USD 73832.36000000 0.006855882853 Long ABS-MBS USGSE US N 2 2047-09-25 Fixed 6.00000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBE9 285000.00000000 PA USD 246558.65000000 0.022894801424 Long DBT CORP US N 2 2027-12-01 Fixed 4.25000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAM1 99000.00000000 PA USD 98404.44000000 0.009137582936 Long DBT CORP US N 2 2024-03-13 Fixed 3.80000000 N N N N N N Methanex Corp 549300TSJHRXT9QXRD13 59151KAJ7 110000.00000000 PA USD 66602.72000000 0.006184557097 Long DBT CORP CA N 2 2044-12-01 Fixed 5.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H050649 616000.00000000 PA USD 654981.25000000 0.060819872496 Long ABS-MBS USGA US N 2 2050-04-21 Fixed 5.00000000 N N N N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MFE9 330000.00000000 PA USD 340897.43000000 0.031654857641 Long DBT CORP US N 2 2023-04-01 Fixed 3.35000000 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587CU9 130000.00000000 PA USD 130763.28000000 0.012142341504 Long DBT CORP US N 2 2023-07-01 Fixed 2.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XHAT8 113185.47000000 PA USD 124031.52000000 0.011517247603 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.50000000 N N N N N N Portola Pharmaceuticals Inc 549300BM3O4O0CNBGJ64 737010108 66900.00000000 NS USD 476997.00000000 0.044292713296 Long EC CORP US N 1 N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BU7 245000.00000000 PA USD 306093.97000000 0.028423097954 Long DBT CORP US N 2 2056-08-08 Fixed 3.95000000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92930RBB7 349098.60000000 PA USD 350599.55000000 0.032555771525 Long ABS-MBS CORP US N 2 2045-11-15 Fixed 2.87000000 N N N N N N Raymond James Financial Inc RGUZHJ05YTITL6D76949 754730109 3795.00000000 NS USD 239844.00000000 0.022271296314 Long EC CORP US N 1 N N N MASTR Adjustable Rate Mortgages Trust N/A 576433UM6 73143.45000000 PA USD 69009.66000000 0.006408059348 Long ABS-MBS CORP US N 2 2034-11-21 Variable 4.68000000 N N N N N N Fannie Mae N/A 3136ARE46 150811.57000000 PA USD 178639.89000000 0.016588040241 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 830000.00000000 OU Notional Amount USD -183642.89000000 -0.01705260594 N/A DCR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -124758.64000000 USD 830000.00000000 USD -58884.25000000 N N N Olin Corp 549300GKK294V7W57P06 680665AJ5 60000.00000000 PA USD 53613.90000000 0.004978448714 Long DBT CORP US N 2 2027-09-15 Fixed 5.13000000 N N N N N N IND & COM B C/DUBAI DIFC 254900RYF4STUN5BW294 000000000 250000.00000000 PA USD 250197.50000000 0.023232695667 Long DBT CORP CN Y 2 2020-05-23 Floating 2.45000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAQ4 20000.00000000 PA USD 20038.00000000 0.001860677088 Long DBT CORP US N 2 2027-12-15 Fixed 4.25000000 N N N N N N SoFi Consumer Loan Program Trust N/A 83405AAA2 68990.00000000 PA USD 67747.74000000 0.006290880706 Long ABS-O CORP US N 2 2026-01-26 Fixed 3.28000000 N N N N N N Change Healthcare Holdings LLC 549300GHXFJ3EKF50583 15911AAC7 130675.34000000 PA USD 120656.85000000 0.011203884436 Long LON CORP US N 2 2024-03-01 Floating 3.50000000 N N N N N N ABU DHABI GOVT INT'L 213800FER4348CINTA77 29135LAF7 405000.00000000 PA USD 376650.00000000 0.034974749240 Long DBT NUSS AE N 2 2049-09-30 Fixed 3.13000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAR7 410000.00000000 PA USD 440607.55000000 0.040913682661 Long DBT CORP US N 2 2029-04-23 Fixed 4.01000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFE9 245000.00000000 PA USD 263467.11000000 0.024464877486 Long DBT CORP US N 2 2030-03-22 Fixed 3.15000000 N N N N N N AES CORP/THE 2NUNNB7D43COUIRE5295 00130HBY0 10000.00000000 PA USD 10024.80000000 0.000930877117 Long DBT CORP US N 2 2027-09-01 Fixed 5.13000000 N N N N N N SOFTBANK GROUP CORP 5493003BZYYYCDIO0R13 000000000 1060000.00000000 PA USD 795000.00000000 0.073821653115 Long DBT CORP JP Y 2 2023-07-19 Fixed 6.00000000 N N N N N N BANK OF CHINA, HONG KONG BRANCH N/A 000000000 997837.36130250 PA USD 997837.36130250 0.092656608240 Long STIV CORP US N 2 2020-05-13 Fixed 1.89000000 N N N N N Panther BF Aggregator 2 LP 549300474L1ZLXZY2P98 000000000 114425.00000000 PA USD 105271.00000000 0.009775194018 Long LON CORP CA N 2 2026-04-30 Floating 4.44000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JGWZ4 768708.24000000 PA USD 820549.90000000 0.076194151045 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N Intuitive Surgical Inc 54930052SRG011710797 46120E602 2350.00000000 NS USD 1163743.50000000 0.108062225122 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GGRL1 313949.69000000 PA USD 339004.35000000 0.031479071107 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N Ovintiv Inc N/A 69047Q102 58408.00000000 NS USD 157701.60000000 0.014643764542 Long EC CORP US N 1 N N N BNG BANK NV 529900GGYMNGRQTDOO93 000000000 1705000.00000000 PA 1092765.35000000 0.101471376860 Long DBT CORP NL Y 2 2025-11-26 Fixed 1.90000000 N N N N N N Soundview Home Equity Loan Trust N/A 83612HAD0 485000.00000000 PA USD 386211.66000000 0.035862620369 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.20000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 65009.11000000 0.006036578575 N/A DFE JP N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 2289988.48000000 USD 252700000.00000000 JPY 2020-05-18 65009.11000000 N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JAJ7 85000.00000000 PA USD 95440.15000000 0.008862326599 Long DBT CORP US N 2 2037-05-01 Fixed 6.55000000 N N N N N N MGIC Investment Corp 254900S8483WM4M98R28 552848AF0 90000.00000000 PA USD 83323.80000000 0.007737233534 Long DBT CORP US N 2 2023-08-15 Fixed 5.75000000 N N N N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348AX4 105000.00000000 PA USD 114087.23000000 0.010593846437 Long DBT CORP US N 2 2047-06-01 Fixed 4.50000000 N N N N N N Mill City Mortgage Trust N/A 59980YAB1 1630000.00000000 PA USD 1611440.17000000 0.149634185214 Long ABS-O CORP US N 2 2066-04-25 Variable 3.50000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BT0 195000.00000000 PA USD 231308.46000000 0.021478708046 Long DBT CORP US N 2 2046-08-08 Fixed 3.70000000 N N N N N N OZLM Ltd N/A 67108WBE8 335000.00000000 PA USD 318991.02000000 0.029620684811 Long ABS-CBDO CORP KY N 2 2029-07-17 Floating 2.85000000 N N N N N N Pretium Mortgage Credit Partners LLC N/A 74142QAA4 652122.55000000 PA USD 561465.78000000 0.052136266726 Long ABS-O CORP US N 2 2059-01-25 Variable 3.72000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07331UAA6 528307.76000000 PA USD 516550.17000000 0.047965518825 Long ABS-O CORP US N 2 2057-06-28 Variable 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JM4L3 3438869.78000000 PA USD 3715203.91000000 0.344984269554 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5.00000000 N N N N N N Templar Energy LLC 549300D8BNY4UFWFMM39 000000000 2426.21000000 NS USD 0.00000000 0.000000 Long EC CORP US N 3 N N N California Resources Corporation 5493003Q8F0T4F4YMR48 000000000 130000.00000000 PA USD 8883.29000000 0.000824879437 Long LON CORP US N 2 2021-12-31 Floating 11.99000000 N N N N N N LANDSBANKI ISLANDS ESC 08/20 0 N/A 515ESCAA9 320000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP US N 3 2020-08-25 None 0.00000000 N N N N N N Science Applications International Corp 549300LZPNZIXQGZPZ48 808625107 18574.00000000 NS USD 1386177.62000000 0.128716884804 Long EC CORP US N 1 N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200JH5 205000.00000000 PA USD 238467.39000000 0.022143467853 Long DBT CORP US N 2 2046-02-19 Fixed 4.70000000 N N N N N N S&P Global Inc Y6X4K52KMJMZE7I7MY94 78409V104 13862.00000000 NS USD 3396883.10000000 0.315425818718 Long EC CORP US N 1 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 51000.00000000 OU Notional Amount USD -163.56000000 -0.00001518776 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2050-03-24 0.00000000 USD 0.00000000 USD 51000.00000000 USD -163.56000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X55B9 72898.95000000 PA USD 79110.29000000 0.007345977844 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402CVZ2 2744.72000000 PA USD 3041.70000000 0.000282444430 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.00000000 N N N N N N PNC BANK NA AD6GFRVSDT01YPT1CS68 69349LAS7 250000.00000000 PA USD 242471.12000000 0.022515243913 Long DBT CORP US N 2 2029-10-22 Fixed 2.70000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 2770000.00000000 NC USD 7645.20000000 0.000709913587 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 2770000.00000000 OU Notional Amount N/A 7645.20000000 0.00000000 DIR US ICE Libor USD 3 Months US0003M Index 2030-11-25 0.00000000 N/A 0.00000000 N/A 2770000.00000000 USD 1.00000000 1.70000000 USD 2020-11-23 XXXX -61743.30000000 N N N ServiceNow Inc 549300HJTQM36M0E1G39 81762P102 8002.00000000 NS USD 2293213.16000000 0.212941869706 Long EC CORP US N 1 N N N Tullow Oil PLC 2138003EYHWO75RKS857 899415AE3 500000.00000000 PA USD 125000.00000000 0.011607178162 Long DBT CORP GB N 2 2025-03-01 Fixed 7.00000000 N N N N N N Endo Luxembourg Finance Company I S.a r.l. 5493007TBMWZWGZIB256 000000000 165325.00000000 PA USD 148379.19000000 0.013778109551 Long LON CORP LU N 2 2024-04-29 Floating 5.25000000 N N N N N N Babson CLO Ltd 549300SCEOLR3BTPYX35 05618DAJ3 96383.62000000 PA USD 95685.61000000 0.008885119383 Long ABS-CBDO CORP KY N 2 2025-07-20 Floating 2.97000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379XH52 624765.84000000 PA USD 49701.37000000 0.004615141252 Long ABS-MBS USGA US N 2 2029-05-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371K3A7 34799.02000000 PA USD 39136.09000000 0.003634076553 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5.50000000 N N N N N N Omnicom Group Inc HKUPACFHSSASQK8HLS17 681919106 38876.00000000 NS USD 2134292.40000000 0.198184897105 Long EC CORP US N 1 N N N Willis North America Inc 5493004KVU1HWZCP0C66 970648AF8 210000.00000000 PA USD 216741.02000000 0.020126013074 Long DBT CORP US N 2 2024-05-15 Fixed 3.60000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2825000.00000000 OU Notional Amount USD -131537.65000000 -0.01221424750 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2023-03-21 14480.89000000 USD 0.00000000 USD 2825000.00000000 USD -146018.54000000 N N N WF-RBS Commercial Mortgage Trust 549300FCX3YXSYSLU895 92938VAQ8 335000.00000000 PA USD 355319.83000000 0.032994084572 Long ABS-MBS CORP US N 2 2047-03-15 Fixed 4.10000000 N N N N N N BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 09702LF34 500000.00000000 PA USD 486452.50000000 0.045170726681 Long STIV CORP US N 2 2020-06-03 None 0.00000000 N N N N N N STARBUCKS CORP OQSJ1DU9TAOC51A47K68 855244AX7 65000.00000000 PA USD 59361.11000000 0.005512119837 Long DBT CORP US N 2 2050-03-12 Fixed 3.35000000 N N N N N N Bank N/A 06650AAF4 8250134.79000000 PA USD 369620.89000000 0.034322044183 Long ABS-MBS CORP US N 2 2050-11-15 Variable 0.74000000 N N N N N N Altice France S.A. 5493001ZMCICV4N02J21 000000000 97750.00000000 PA USD 91885.00000000 0.008532204523 Long LON CORP FR N 2 2026-01-31 Floating 4.39000000 N N N N N N ALPEK SA DE CV 549300PWKJTP62D4IQ66 020564AD2 345000.00000000 PA USD 281354.40000000 0.026125845181 Long DBT CORP MX N 2 2029-09-18 Fixed 4.25000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -18470000.00000000 NC USD -359339.39000000 -0.03336733056 N/A DCR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Written Intercontinental Exchange 5493000F4ZO33MV32P92 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A 18470000.00000000 OU Notional Amount N/A -359339.39000000 -0.03000000 DCR US Markit CDX.NA.IG.S33.V1 2I65BYDV4 sell protection 2024-12-20 0.00000000 N/A 0.00000000 N/A 18470000.00000000 USD 1.00000000 65.00000000 USD 2020-04-15 XXXX -289153.39000000 N N N New Residential Mortgage Loan Trust 2017-2 N/A 64829KBV1 1242556.52000000 PA USD 1290357.05000000 0.119819233383 Long ABS-MBS CORP US N 2 2057-03-25 Variable 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KFF6 52245.46000000 PA USD 60159.47000000 0.005586253491 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 6.00000000 N N N N N N Foresight Energy, LLC 549300HM3UR1W0JJ7F28 000000000 184253.74000000 PA USD 32244.40000000 0.002994131964 Long LON CORP US N 2 2022-03-28 Floating 7.36000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419FVT0 653375.38000000 PA USD 707281.60000000 0.065676348339 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.00000000 N N N N N N NORTONLIFELOCK INC YF6ZV0M6AU4FY94MK914 871503AU2 750000.00000000 PA USD 757259.93000000 0.070317207384 Long DBT CORP US N 2 2025-04-15 Fixed 5.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 239000.00000000 NC USD 100228.65000000 0.009306974380 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A 239000.00000000 OU Notional Amount N/A 100228.65000000 0.01000000 DIR US ICE Libor USD 3 Months US0003M Index 2057-08-04 0.00000000 N/A 0.00000000 N/A 239000.00000000 USD 1.00000000 2.45000000 USD 2027-08-02 XXXX 100228.65000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 67000.00000000 OU Notional Amount USD 1596.55000000 0.000148251522 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2050-03-31 0.00000000 USD 0.00000000 USD 67000.00000000 USD 1596.55000000 N N N Freddie Mac N/A 3137BCJ58 354264.48000000 PA USD 22226.38000000 0.002063884420 Long ABS-MBS USGSE US N 2 2027-07-15 Fixed 4.00000000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 036752103 24042.00000000 NS USD 5458495.68000000 0.506861854867 Long EC CORP US N 1 N N N Stanwich Mortgage Loan Trust N/A 85503DAA2 1435853.96000000 PA USD 1402528.36000000 0.130235172422 Long ABS-O CORP US N 2 2024-11-16 Variable 3.48000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378JAS1 106690.86000000 PA USD 12881.58000000 0.001196150352 Long ABS-MBS USGA US N 2 2043-02-16 Fixed 3.00000000 N N N N N N UMBS, TBA N/A 01F030447 423000.00000000 PA USD 442354.71000000 0.041075919440 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 3.00000000 N N N N N N STATE STREET CORP 549300ZFEEJ2IP5VME73 857477BE2 490000.00000000 PA USD 484978.83000000 0.045033885479 Long DBT CORP US N 2 2025-11-01 Fixed 2.35000000 N N N N N N Mill City Mortgage Trust N/A 59980XAC1 836301.95000000 PA USD 851125.82000000 0.079033352253 Long ABS-O CORP US N 2 2058-08-25 Variable 3.50000000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 94973VAY3 170000.00000000 PA USD 189088.21000000 0.017558244335 Long DBT CORP US N 2 2042-05-15 Fixed 4.63000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GS6 315000.00000000 PA USD 303881.43000000 0.028217647186 Long DBT CORP US N 2 2029-08-01 Fixed 2.85000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GG2 116000.00000000 PA USD 120742.94000000 0.011211878531 Long DBT CORP US N 2 2047-04-01 Fixed 4.00000000 N N N N N N Linde PLC 8945002PAZHZLBGKGF02 000000000 22430.00000000 NS USD 3880390.00000000 0.360323024568 Long EC CORP IE N 1 N N N Adient US LLC 213800SOTRCDGZUHL712 00687MAB7 99500.00000000 PA USD 88430.63000000 0.008211440619 Long LON CORP US N 2 2024-05-06 Floating 5.74000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCC4 316000.00000000 PA USD 202047.24000000 0.018761586495 Long DBT CORP MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N GOODYEAR TIRE & RUBBER 5493002BI0S2ZQUY3437 382550BF7 60000.00000000 PA USD 55350.00000000 0.005139658490 Long DBT CORP US N 2 2026-05-31 Fixed 5.00000000 N N N N N N UBS-Barclays Commercial Mortgage Trust N/A 90270RBE3 325000.00000000 PA USD 323916.29000000 0.030078032702 Long ABS-MBS CORP US N 2 2045-12-10 Fixed 2.85000000 N N N N N N Freddie Mac N/A 31397CNW5 21259.42000000 PA USD 20028.11000000 0.001859758728 Long ABS-MBS USGSE US N 2 2036-11-15 None 0.00000000 N N N N N N OneMain Financial Issuance Trust 2017-1 549300KQ3WN93FBBU117 68267LAA6 1008789.95000000 PA USD 991246.69000000 0.092044615472 Long ABS-O CORP US N 2 2032-09-14 Fixed 2.37000000 N N N N N N Anglo American Capital PLC TINT358G1SSHR3L3PW36 034863AW0 220000.00000000 PA USD 223336.28000000 0.020738431937 Long DBT CORP GB N 2 2030-04-01 Fixed 5.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378JNS7 345013.56000000 PA USD 357233.08000000 0.033171744041 Long ABS-MBS USGA US N 2 2042-01-20 Fixed 2.00000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RFZ0 185000.00000000 PA USD 179645.44000000 0.016681413025 Long DBT CORP US N 2 2021-06-01 Floating 2.33000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9T42 51357.74000000 PA USD 56202.84000000 0.005218851017 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBE2 20000.00000000 PA USD 21915.11000000 0.002034980689 Long DBT CORP US N 2 2039-02-14 Fixed 5.80000000 N N N N N N Dun & Bradstreet Corporation (The) RI37BMPWE56BCJ747E14 26483NAN0 200000.00000000 PA USD 184000.00000000 0.017085766255 Long LON CORP US N 2 2026-02-06 Floating 4.96000000 N N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 595620AV7 205000.00000000 PA USD 207851.00000000 0.019300508706 Long DBT CORP US N 2 2050-04-15 Fixed 3.15000000 N N N N N N Fannie Mae N/A 3136A9BW7 95981.97000000 PA USD 9815.59000000 0.000911450415 Long ABS-MBS USGSE US N 2 2042-03-25 Fixed 4.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXG4 335000.00000000 PA USD 314752.28000000 0.029227086328 Long DBT CORP US N 2 2030-02-07 Fixed 2.60000000 N N N N N N CeramTec AcquiCo GmbH 3912006DWJ216KSA8A82 000000000 92992.85000000 PA 87214.11000000 0.008098477704 Long LON CORP DE N 2 2025-03-07 Floating 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RLQ0 887952.84000000 PA USD 967672.93000000 0.089855616814 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 4.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 225400.00000000 OU Notional Amount USD -14283.15000000 -0.00132629653 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.HY.S33.V1 2I65BRSB7 Y sell protection 2024-12-20 14224.72000000 USD 0.00000000 USD 225400.00000000 USD -28507.87000000 N N N Seasoned Credit Risk Transfer Trust Series 2018-2 N/A 35563PFJ3 466914.74000000 PA USD 503227.35000000 0.046728396062 Long ABS-MBS USGSE US N 2 2057-11-25 Fixed 3.50000000 N N N N N N AMERICAN WATER CAPITAL C 5IDHQUFVC8Q2KIBBFF06 03040WAV7 205000.00000000 PA USD 226258.00000000 0.021009735334 Long DBT CORP US N 2 2049-06-01 Fixed 4.15000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 000000000 200000.00000000 PA USD 163356.80000000 0.015168891853 Long DBT NUSS EG Y 2 2047-01-31 Fixed 8.50000000 N N N N N N Assured Guaranty Ltd 549300BBOQUJEPH87M14 000000000 93861.00000000 NS USD 2420675.19000000 0.224777665636 Long EC CORP BM N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X8NY3 22071.25000000 PA USD 23858.81000000 0.002215467667 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 229101.47000000 OU Notional Amount USD 0.00000000 0.000000 N/A DCR US N 3 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PrimeX.ARM.2 7B579YAB1 Y sell protection 2037-12-25 6720.12000000 USD 0.00000000 USD 229101.47000000 USD -6720.12000000 N N N Tencent Holdings Ltd 254900N4SLUMW4XUYY11 88032WAN6 700000.00000000 PA USD 775370.08000000 0.071998869285 Long DBT CORP KY N 2 2029-04-11 Fixed 3.98000000 N N N N N N Blackhawk Network Holdings, Inc 549300LFU3K8UIR03132 09238FAK7 196993.70000000 PA USD 162848.19000000 0.015121663638 Long LON CORP US N 2 2025-06-15 Floating 3.99000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YUH8 212027.16000000 PA USD 229459.69000000 0.021307036024 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N Freddie Mac - STACR N/A 35564XAH4 485000.00000000 PA USD 393319.63000000 0.036522648162 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 2.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F4UB0 111281.90000000 PA USD 120085.09000000 0.011150792274 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 4.00000000 N N N N N N EVERGY INC 549300PGTHDQY6PSUI61 30034WAA4 165000.00000000 PA USD 161884.40000000 0.015032168580 Long DBT CORP US N 2 2024-09-15 Fixed 2.45000000 N N N N N N Freddie Mac N/A 31396UCL2 140318.17000000 PA USD 162565.12000000 0.015095378487 Long ABS-MBS USGSE US N 2 2036-07-15 Fixed 6.50000000 N N N N N N Waste Management Inc 549300YX8JIID70NFS41 94106LBK4 55000.00000000 PA USD 63249.48000000 0.005873183864 Long DBT CORP US N 2 2049-07-15 Fixed 4.15000000 N N N N N N PPG Industries Inc 549300BKPEP01R3V6C59 693506107 31078.00000000 NS USD 2598120.80000000 0.241254808111 Long EC CORP US N 1 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 40000.00000000 OU Notional Amount USD -434.24000000 -0.00004032240 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2050-03-30 0.00000000 USD 0.00000000 USD 40000.00000000 USD -434.24000000 N N N ARCHER-DANIELS-MIDLAND C 549300LO13MQ9HYSTR83 039482AB0 205000.00000000 PA USD 217168.60000000 0.020165717052 Long DBT CORP US N 2 2030-03-27 Fixed 3.25000000 N N N N N N SUNOCO LP/FINANCE CORP N/A 86765LAL1 60000.00000000 PA USD 51916.80000000 0.004820860377 Long DBT CORP US N 2 2026-02-15 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CR89 725644.67000000 PA USD 766971.61000000 0.071219008984 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N COMM Mortgage Trust N/A 12624QAS2 348263.14000000 PA USD 11217.76000000 0.001041652311 Long ABS-MBS CORP US N 2 2045-10-15 Variable 1.70000000 N N N N N N Towd Point Mortgage Trust N/A 89173HAA4 313079.43000000 PA USD 306692.39000000 0.028478665695 Long ABS-O CORP US N 2 2057-04-25 Variable 2.75000000 N N N N N N Jaguar Holding Company II N/A 47009YAK3 128310.16000000 PA USD 123712.42000000 0.011487616799 Long LON CORP US N 2 2022-08-18 Floating 3.50000000 N N N N N N TransUnion 549300ZS772LUNUMRB03 89400J107 14402.00000000 NS USD 953124.36000000 0.088504674062 Long EC CORP US N 1 N N N Videotron Ltd 549300LW4GNJRBECSD81 92660FAG9 145000.00000000 PA USD 145681.50000000 0.013527609004 Long DBT CORP CA N 2 2024-06-15 Fixed 5.38000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RBX9 700000.00000000 PA 499624.81000000 0.046393873473 Long DBT CORP US N 2 2020-11-25 Fixed 3.83000000 N N N N N N Bausch Health Cos Inc B3BS7ACMDUWISF18KY76 91911KAJ1 65000.00000000 PA USD 65650.00000000 0.006096089971 Long DBT CORP CA N 2 2022-03-15 Fixed 6.50000000 N N N N N N AmeriCredit Automobile Receivables Trust N/A 03066NAG9 535000.00000000 PA USD 503917.57000000 0.046792488114 Long ABS-O CORP US N 2 2025-09-18 Fixed 2.58000000 N N N N N N UBS-Barclays Commercial Mortgage Trust 549300G1IXWLFE766Q13 90349GBF1 300119.00000000 PA USD 305232.64000000 0.028343117068 Long ABS-MBS CORP US N 2 2046-04-10 Fixed 3.24000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CT5 225000.00000000 PA USD 223843.14000000 0.020785497651 Long DBT CORP US N 2 2027-02-21 Fixed 2.20000000 N N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 369604103 126966.00000000 NS USD 1008110.04000000 0.093610502735 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380F4H6 679012.01000000 PA USD 66143.31000000 0.006141897467 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.00000000 N N N N N N UMBS, TBA N/A 01F020448 675000.00000000 PA USD 693219.73000000 0.064370599296 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 2.00000000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 155050000.00000000 PA 1442453.20000000 0.133942490270 Long STIV NUSS JP N 2 2020-05-25 None 0.00000000 N N N N N N Apellis Pharmaceuticals Inc 254900HS0ZFRXXSB9D42 03753U106 11485.00000000 NS USD 307683.15000000 0.028570665117 Long EC CORP US N 1 N N N UMBS, TBA N/A 01F020653 385000.00000000 PA USD 388834.96000000 0.036106213253 Long ABS-MBS USGSE US N 2 2050-05-15 Fixed 2.00000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAK0 60000.00000000 PA USD 59095.98000000 0.005487500548 Long DBT CORP US N 2 2043-11-15 Fixed 5.80000000 N N N N N N New Residential Mortgage Loan Trust N/A 64830MAG8 786187.73000000 PA USD 799921.41000000 0.074278642576 Long ABS-MBS CORP US N 2 2059-08-25 Variable 3.50000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAS0 20000.00000000 PA USD 20100.00000000 0.001866434248 Long DBT CORP US N 2 2029-12-15 Fixed 4.63000000 N N N N N N Bank N/A 065402BD0 2915654.76000000 PA USD 185077.89000000 0.017185856345 Long ABS-MBS CORP US N 2 2062-05-15 Variable 0.91000000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EW9 165000.00000000 PA USD 173141.30000000 0.016077455331 Long DBT CORP US N 2 2030-04-01 Fixed 2.63000000 N N N N N N MASTR Adjustable Rate Mortgages Trust N/A 576433EE2 59738.37000000 PA USD 50960.47000000 0.004732058036 Long ABS-MBS CORP US N 2 2033-09-25 Variable 3.54000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 3952.69000000 0.000367036616 N/A DFE XX N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 246026.83000000 USD 226000.00000000 EUR 2020-06-17 3952.69000000 N N N MEG Energy Corp 5493002WXPTG5ZC1T326 552704AD0 54000.00000000 PA USD 34155.00000000 0.003171545361 Long DBT CORP CA N 2 2025-01-15 Fixed 6.50000000 N N N N N N GSR Mortgage Loan Trust N/A 3622MPBG2 572661.37000000 PA USD 181342.27000000 0.016838976290 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.25000000 N N N N N N KAISER ALUMINUM CORP N/A 483007AJ9 60000.00000000 PA USD 53250.00000000 0.004944657897 Long DBT CORP US N 2 2028-03-01 Fixed 4.63000000 N N N N N N Morgan Stanley BAML Trust N/A 61761QAE3 480000.00000000 PA USD 484053.60000000 0.044947971004 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 3.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380WH28 892679.66000000 PA USD 143180.73000000 0.013295393940 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 4.50000000 N N N N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585A102 65530.00000000 NS USD 1547818.60000000 0.143726450030 Long EC CORP US N 1 N N N VW CR INC 549300UUPJ2NXDB68M19 91842JHB8 250000.00000000 PA USD 249581.73000000 0.023175516850 Long STIV CORP US N 2 2020-08-11 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380CF81 335370.66000000 PA USD 60074.75000000 0.005578386610 Long ABS-MBS USGA US N 2 2047-02-16 Fixed 5.50000000 N N N N N N FIXED INC CLEARING CORP.REPO 549300H47WTHXPU08X20 000000000 16292469.63000000 PA USD 16292469.63000000 1.512876781654 Long RA CORP US N 2 Repurchase N 0.00000000 2020-04-01 16005000.00000000 USD 16621848.70500000 USD UST N N N CONNECTICUT LIGHT & PWR 549300O45IUXEDS1VZ32 207597EL5 85000.00000000 PA USD 94897.37000000 0.008811925446 Long DBT CORP US N 2 2048-04-01 Fixed 4.00000000 N N N N N N QEP Resources Inc Q6JQDZPXKEDQKVK58165 74733VAC4 80000.00000000 PA USD 29600.00000000 0.002748579788 Long DBT CORP US N 2 2023-05-01 Fixed 5.25000000 N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 12759.42000000 0.001184806889 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 250000.00000000 CAD 190494.59000000 USD 2020-05-22 12759.42000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 90000.00000000 OU Notional Amount USD -19913.08000000 -0.00184907733 N/A DCR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -8030.52000000 USD 90000.00000000 USD -11882.56000000 N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BD5 110000.00000000 PA USD 107800.00000000 0.010010030447 Long DBT CORP US N 2 2025-07-15 Fixed 5.50000000 N N N N N N United Technologies Corp I07WOS4YJ0N7YRFE7309 913017CW7 285000.00000000 PA USD 326588.16000000 0.030326135671 Long DBT CORP US N 2 2038-11-16 Fixed 4.45000000 N N N N N N Fannie Mae N/A 31396VGT9 101558.33000000 PA USD 118613.34000000 0.011014129358 Long ABS-MBS USGSE US N 2 2037-04-25 Fixed 5.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -976.81000000 -0.00009070406 N/A DFE XX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 331701.93000000 USD 299000.00000000 EUR 2020-06-17 -976.81000000 N N N Slack Technologies Inc 549300VIZRB02KN4IJ45 83088V102 34641.00000000 NS USD 929764.44000000 0.086335532035 Long EC CORP US N 1 N N Tencent Holdings Ltd 254900N4SLUMW4XUYY11 88032WAG1 250000.00000000 PA USD 264617.07000000 0.024571659811 Long DBT CORP KY N 2 2028-01-19 Fixed 3.60000000 N N N N N N Duke Energy Corp I1BZKREC126H0VB1BL91 26441C204 43581.00000000 NS USD 3524831.28000000 0.327306757285 Long EC CORP US N 1 N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAN6 145000.00000000 PA USD 139244.01000000 0.012929840257 Long DBT CORP US N 2 2029-06-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405CU72 2644.65000000 PA USD 2929.38000000 0.000272014684 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 5.00000000 N N N N N N ANTHEM INC 8MYN82XMYQH89CTMTH67 036752AL7 345000.00000000 PA USD 335890.47000000 0.031189924227 Long DBT CORP US N 2 2029-09-15 Fixed 2.88000000 N N N N N N CENTRAIS ELETRICAS BRASI 254900I8KYDELP4B4Z08 15236FAA8 215000.00000000 PA USD 190975.90000000 0.017733530368 Long DBT CORP BR N 2 2025-02-04 Fixed 3.63000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61744YAK4 1010000.00000000 PA USD 1058561.01000000 0.098295249913 Long DBT CORP US N 2 2028-07-22 Fixed 3.59000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69359CAA3 374513.10000000 PA USD 372373.39000000 0.034577634246 Long ABS-MBS CORP US N 2 2024-10-25 Variable 3.50000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBD4 305000.00000000 PA USD 319129.75000000 0.029633566922 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XHA68 171941.45000000 PA USD 188416.37000000 0.017495859002 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.50000000 N N N N N N Fannie Mae N/A 3136AP2M3 147899.27000000 PA USD 15272.63000000 0.001418177099 Long ABS-MBS USGSE US N 2 2035-09-25 Fixed 3.50000000 N N N N N N Aerie Pharmaceuticals Inc 529900SFXHDHUO324R09 00771V108 13052.00000000 NS USD 176202.00000000 0.016361664053 Long EC CORP US N 1 N N MOLSON COORS INTL LP 549300JY2HGCZWKZS671 000000000 275000.00000000 PA 194448.23000000 0.018055961992 Long DBT CORP US N 2 2020-09-18 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418NYJ3 30911.93000000 PA USD 32681.06000000 0.003034679087 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GAS5 296352.25000000 PA USD 313538.86000000 0.029114411271 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N WF-RBS Commercial Mortgage Trust 549300QGM7D5K3CV2643 96221TAH0 1783493.49000000 PA USD 62714.05000000 0.005823465213 Long ABS-MBS CORP US N 2 2047-03-15 Variable 1.21000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A 3137ASNK6 1245875.38000000 PA USD 32668.60000000 0.003033522084 Long ABS-MBS USGSE US N 2 2022-03-25 Variable 1.59000000 N N N N N N Towd Point Mortgage Trust N/A 89172PAJ8 420795.84000000 PA USD 415085.68000000 0.038543787524 Long ABS-O CORP US N 2 2055-08-25 Variable 2.75000000 N N N N N N Paragon Offshore Finance Company N/A 000000000 706.47000000 PA USD 0.00000000 0.000000 Long LON CORP KY N 3 2021-07-18 None 0.00000000 Y N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 44358.08000000 0.004118977100 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 3227000.00000000 EUR 3613755.95000000 USD 2020-06-17 44358.08000000 N N N PulteGroup Inc N/A 745867AW1 1150000.00000000 PA USD 1133974.75000000 0.105297975642 Long DBT CORP US N 2 2026-03-01 Fixed 5.50000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BH2 575000.00000000 PA USD 585872.83000000 0.054402642548 Long DBT CORP US N 2 2029-11-15 Fixed 2.45000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BM5 200000.00000000 PA USD 216500.00000000 0.020103632577 Long DBT NUSS PA N 2 2056-04-01 Fixed 4.50000000 N N N N N N PUBLIC SERVICE ENTERPRIS PUSS41EMO3E6XXNV3U28 744573AN6 415000.00000000 PA USD 413681.89000000 0.038413435199 Long DBT CORP US N 2 2024-06-15 Fixed 2.88000000 N N N N N N Procter & Gamble Co/The 2572IBTT8CCZW6AU4141 742718109 139847.00000000 NS USD 15383170.00000000 1.428441559184 Long EC CORP US N 1 N N N Illinois Tool Works Inc 76NA4I14SZCFAYMNSV04 452308109 1459.00000000 NS USD 207353.08000000 0.019254273137 Long EC CORP US N 1 N N N VICI Properties 1 LLC 549300XI4XP4JVS3XU20 92565EAB9 195454.55000000 PA USD 180632.65000000 0.016773082804 Long LON CORP US N 2 2024-12-20 Floating 2.67000000 N N N N N N Apex Credit CLO LLC 549300RQCC84IFW6Y440 46619UAA7 1315000.00000000 PA USD 1252855.73000000 0.116336957362 Long ABS-CBDO CORP KY N 2 2029-04-24 Floating 3.27000000 N N N N N N Freddie Mac N/A 3137F1XN3 463943.99000000 PA USD 493826.62000000 0.045855468478 Long ABS-MBS USGSE US N 2 2046-05-15 Fixed 3.00000000 N N N N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 084659AM3 245000.00000000 PA USD 253437.02000000 0.023533509153 Long DBT CORP US N 2 2028-04-15 Fixed 3.25000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BH4 245000.00000000 PA USD 288633.85000000 0.026801796166 Long DBT CORP US N 2 2039-03-15 Fixed 4.75000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78013XZU5 460000.00000000 PA USD 468448.92000000 0.043498960596 Long DBT CORP CA N 2 2024-07-16 Fixed 2.55000000 N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAP1 240000.00000000 PA USD 186159.44000000 0.017286286294 Long DBT CORP US N 2 2049-12-15 Fixed 4.50000000 N N N N N N LAMAR MEDIA CORP N/A 513075BQ3 35000.00000000 PA USD 32808.30000000 0.003046494266 Long DBT CORP US N 2 2028-02-15 Fixed 3.75000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 645000.00000000 OU Notional Amount USD -251914.68000000 -0.02339214858 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 Markit CMBX.NA.BB.6 137BEMAE8 Y sell protection 2063-05-11 0.00000000 USD -135819.81000000 USD 645000.00000000 USD -116094.87000000 N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAH6 235000.00000000 PA USD 209627.28000000 0.019465449493 Long DBT CORP US N 2 2024-04-15 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3137APHF0 165396.44000000 PA USD 6101.62000000 0.000566580723 Long ABS-MBS USGSE US N 2 2026-06-15 Fixed 3.50000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GT4 245000.00000000 PA USD 235916.92000000 0.021906637776 Long DBT CORP US N 2 2050-02-01 Fixed 3.65000000 N N N N N DAE Funding LLC 635400SZTPQL3Y1P2C76 23371DAB0 15000.00000000 PA USD 13575.00000000 0.001260539548 Long DBT CORP US N 2 2024-08-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36198KLS8 1035247.14000000 PA USD 1096233.89000000 0.101793456554 Long ABS-MBS USGA US N 2 2045-05-15 Fixed 3.00000000 N N N N N N Concho Resources Inc SYHS7HRDXLL4I0IQ8776 20605P101 14988.00000000 NS USD 642235.80000000 0.059636362824 Long EC CORP US N 1 N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GK3 69000.00000000 PA USD 73665.98000000 0.006840433235 Long DBT CORP US N 2 2048-03-01 Fixed 4.13000000 N N N N N N MFRA Trust N/A 552759AA0 197713.32000000 PA USD 194525.35000000 0.018063123156 Long ABS-MBS CORP US N 2 2057-02-25 Variable 2.59000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GGM0 245000.00000000 PA USD 339140.81000000 0.031491742431 Long DBT CORP US N 2 2041-02-01 Fixed 6.25000000 N N N N N N POWER FINANCE CORP LTD 3358003Q6D9LIJJZ1614 73928QAB4 970000.00000000 PA USD 815270.48000000 0.075703917697 Long DBT CORP IN N 2 2030-04-23 Fixed 3.95000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448EU8 840000.00000000 PA USD 996830.18000000 0.092563083978 Long DBT CORP US N 2 2050-03-19 Fixed 3.63000000 N N N N N N Angel Oak Mortgage Trust N/A 03464MAA2 971916.94000000 PA USD 938979.26000000 0.087191196495 Long ABS-MBS CORP US N 2 2048-11-25 Variable 3.92000000 N N N N N N Fannie Mae N/A 3136AKT45 459279.78000000 PA USD 101444.71000000 0.009419894581 Long ABS-MBS USGSE US N 2 2044-09-25 Fixed 5.50000000 N N N N N N Residential Funding Mtg Sec I N/A 76111XVZ3 79490.97000000 PA USD 34233.06000000 0.003178793811 Long ABS-MBS CORP US N 2 2035-08-25 Variable 4.10000000 N N N N N N INGERSOLL-RAND GL HLD CO 549300UCF0D858BIOV83 45687AAM4 210000.00000000 PA USD 208204.99000000 0.019333379306 Long DBT CORP US N 2 2021-02-21 Fixed 2.90000000 N N N N N N Freddie Mac N/A 3132DV4V4 4545573.83000000 PA USD 4765338.05000000 0.442497022017 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BM71 1755230.09000000 PA USD 76696.71000000 0.007121859019 Long ABS-MBS USGA US N 2 2053-02-16 Variable 0.77000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1289000.00000000 OU Notional Amount USD -613334.82000000 -0.05695269223 N/A DCR GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Markit CMBX.NA.BB.8 137BEMAG3 Y sell protection 2057-10-17 0.00000000 USD -365997.23000000 USD 1289000.00000000 USD -247337.59000000 N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DJ6 215000.00000000 PA USD 222458.12000000 0.020656888260 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBQ0 544000.00000000 PA USD 515233.69000000 0.047843273882 Long DBT CORP US N 2 2042-07-15 Fixed 3.75000000 N N N N N Freddie Mac N/A 3128MJ6E5 448184.98000000 PA USD 483888.25000000 0.044932617028 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 5.00000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAU5 20000.00000000 PA USD 18600.00000000 0.001727148110 Long DBT CORP US N 2 2030-02-15 Fixed 3.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378EAS2 154863.43000000 PA USD 10897.00000000 0.001011867363 Long ABS-MBS USGA US N 2 2040-07-20 Fixed 3.50000000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 595620AS4 85000.00000000 PA USD 91233.84000000 0.008471739482 Long DBT CORP US N 2 2048-08-01 Fixed 3.65000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 59023VAA8 630000.00000000 PA USD 938314.70000000 0.087129487165 Long DBT CORP US N 2 2038-05-14 Fixed 7.75000000 N N N N N N Ball Corp 0BGI85ALH27ZJP15DY16 058498AS5 1060000.00000000 PA USD 1067950.00000000 0.099167087351 Long DBT CORP US N 2 2023-11-15 Fixed 4.00000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17322VAY2 3647948.49000000 PA USD 117465.40000000 0.010907534606 Long ABS-MBS CORP US N 2 2047-07-10 Variable 0.95000000 N N N N N N ImmunoGen Inc 54930084U0R1OP766Y02 45253H101 38200.00000000 NS USD 130262.00000000 0.012095793934 Long EC CORP US N 1 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 3433.05000000 0.000318784183 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 14450000.00000000 JPY 138245.96000000 USD 2020-06-15 3433.05000000 N N N Fannie Mae N/A 3136B3SL5 1108615.11000000 PA USD 1212105.66000000 0.112553010781 Long ABS-MBS USGSE US N 2 2058-12-25 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 84000.00000000 OU Notional Amount USD -33459.71000000 -0.00310698252 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2049-05-31 0.00000000 USD 0.00000000 USD 84000.00000000 USD -33459.71000000 N N N UMBS, TBA N/A 01F022659 22700000.00000000 PA USD 23486685.98000000 2.180913188981 Long ABS-MBS USGSE US N 2 2050-05-15 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GGRM9 154860.12000000 PA USD 166444.97000000 0.015455651368 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N Residential Accredit Loans, Inc. N/A 761118PY8 220066.07000000 PA USD 196322.86000000 0.018230035307 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 6.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 18470000.00000000 OU Notional Amount USD 64146.31000000 0.005956461189 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.IG.S33.V1 2I65BYDV4 Y buy protection 2024-12-20 0.00000000 USD -70679.11000000 USD 18470000.00000000 USD 134825.42000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAE5 300000.00000000 PA USD 228750.98000000 0.021241227038 Long DBT CORP IE N 2 2028-01-23 Fixed 3.88000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CA8 180000.00000000 PA USD 181795.60000000 0.016881071347 Long DBT CORP US N 2 2027-04-15 Fixed 2.50000000 N N N N N N Terrier Media Buyer, Inc. N/A 88145LAB0 119700.00000000 PA USD 103764.94000000 0.009635345165 Long LON CORP US N 2 2026-12-17 Floating 5.70000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29273RAZ2 20000.00000000 PA USD 17326.92000000 0.001608933179 Long DBT CORP US N 2 2043-10-01 Fixed 5.95000000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 036752AD5 35000.00000000 PA USD 37675.27000000 0.003498428569 Long DBT CORP US N 2 2047-12-01 Fixed 4.38000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCU3 90000.00000000 PA USD 105519.57000000 0.009798275589 Long DBT CORP US N 2 2030-10-15 Fixed 4.25000000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493007OD9MH69ES1S63 95000HBF8 890000.00000000 PA USD 917759.10000000 0.085220747073 Long ABS-MBS CORP US N 2 2049-10-15 Fixed 2.94000000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 92553PAT9 340000.00000000 PA USD 346695.33000000 0.032193235708 Long DBT CORP US N 2 2023-09-01 Fixed 4.25000000 N N N N N N Berry Global, Inc. 549300AP2Q7ERHX6RI89 08579JBF8 198500.00000000 PA USD 187979.50000000 0.017455292379 Long LON CORP US N 2 2026-07-01 Floating 2.86000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RHT2 70000.00000000 PA USD 71859.11000000 0.006672651939 Long DBT CORP US N 2 2026-01-15 Fixed 3.88000000 N N N N N N Bass Pro Group, LLC N/A 07014QAK7 146250.00000000 PA USD 124312.50000000 0.011543338682 Long LON CORP US N 2 2024-09-25 Floating 6.07000000 N N N N N N Arroyo Mortgage Trust N/A 042858AA8 1357465.82000000 PA USD 1289876.38000000 0.119774599604 Long ABS-MBS CORP US N 2 2049-04-25 Variable 3.35000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 342000.00000000 OU Notional Amount USD -16670.35000000 -0.00154796577 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2060-03-29 0.00000000 USD 0.00000000 USD 342000.00000000 USD -16670.35000000 N N N Morgan Stanley BAML Trust N/A 61761AAZ1 245000.00000000 PA USD 246798.57000000 0.022917079778 Long ABS-MBS CORP US N 2 2045-08-15 Fixed 3.18000000 N N N N N N Credit Suisse Mortgage Trust N/A 12651RAA5 467499.25000000 PA USD 448415.46000000 0.041638705081 Long ABS-MBS CORP US N 2 2047-04-25 Variable 3.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SG4 579153.25000000 PA USD 720587.00000000 0.066911853526 Long DBT UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N DISH DBS Corp N/A 25470XAW5 130000.00000000 PA USD 126597.90000000 0.011755555042 Long DBT CORP US N 2 2024-11-15 Fixed 5.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ABXV6 25718.35000000 PA USD 27146.33000000 0.002520738310 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 4.00000000 N N N N N N DUKE ENERGY INDIANA LLC 6URPHM2EAWGJ2C6ISB97 26443TAB2 280000.00000000 PA USD 282970.89000000 0.026275948280 Long DBT CORP US N 2 2049-10-01 Fixed 3.25000000 N N N N N N Freddie Mac N/A 3128P7NU3 283817.59000000 PA USD 308833.71000000 0.028677503157 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 5.00000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AL3 235000.00000000 PA USD 200972.00000000 0.018661742477 Long DBT US N 2 2029-01-15 Fixed 5.30000000 N N N N N N Finance America Mortgage Loan Trust N/A 317350AC0 64759.87000000 PA USD 59259.82000000 0.005502714309 Long ABS-O CORP US N 2 2033-09-25 Floating 2.00000000 N N N N N N CIG AUTO RECEIVABLES TRUST 2017-1 N/A 171787AA2 29461.86000000 PA USD 29367.74000000 0.002727012723 Long ABS-O CORP US N 2 2023-05-15 Fixed 2.71000000 N N N N N N Fannie Mae N/A 3136ASAD8 753599.35000000 PA USD 77065.03000000 0.007156060266 Long ABS-MBS USGSE US N 2 2043-12-25 Fixed 5.00000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BG6 140000.00000000 PA USD 155516.47000000 0.014440858996 Long DBT CORP US N 2 2029-03-15 Fixed 4.38000000 N N N N N N Exeter Automobile Receivables Trust N/A 30167HAG3 315000.00000000 PA USD 255328.13000000 0.023709112759 Long ABS-O CORP US N 2 2025-12-15 Fixed 2.73000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RHJ4 470000.00000000 PA USD 505357.35000000 0.046926182378 Long DBT CORP US N 2 2029-03-01 Fixed 4.35000000 N N N N N N Equinix Inc 549300EVUN2BTLJ3GT74 29444UAQ9 135000.00000000 PA USD 137749.95000000 0.012791105692 Long DBT US N 2 2026-01-15 Fixed 5.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EHZU9 60847.41000000 PA USD 62073.81000000 0.005764014175 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 4.37000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379PN94 898692.60000000 PA USD 133474.90000000 0.012394135556 Long ABS-MBS USGA US N 2 2044-11-20 Fixed 4.00000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523CL2 155000.00000000 PA USD 146619.17000000 0.013614678626 Long DBT CORP US N 2 2030-03-15 Fixed 2.40000000 N N N N N N COMM Mortgage Trust N/A 12626GAF0 100035.00000000 PA USD 106031.98000000 0.009845856662 Long ABS-MBS CORP US N 2 2046-08-10 Fixed 4.21000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBG9 565000.00000000 PA USD 556124.18000000 0.051640259503 Long DBT CORP US N 2 2024-09-06 Fixed 2.79000000 N N N N N N AES CORP/THE 2NUNNB7D43COUIRE5295 00130HBT1 17000.00000000 PA USD 16362.33000000 0.001519363835 Long DBT CORP US N 2 2023-05-15 Fixed 4.88000000 N N N N N N Freddie Mac - SCRT N/A 35563PLK3 248988.90000000 PA USD 269193.18000000 0.024996585603 Long ABS-MBS USGSE US N 2 2058-10-25 Fixed 3.50000000 N N N N N N Blucora Inc 5299001IO03J69IP6L77 095229100 104519.00000000 NS USD 1259453.95000000 0.116949651083 Long EC CORP US N 1 N N N Georgia Power Co D981X4Z4RWS7PDMJUZ03 373334JW2 365000.00000000 PA USD 396770.59000000 0.036843095422 Long DBT CORP US N 2 2042-03-15 Fixed 4.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXHP0 744671.47000000 PA USD 813384.15000000 0.075528757950 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.00000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NBU4 75000.00000000 PA USD 81156.92000000 0.007536022636 Long DBT CORP US N 2 2046-07-15 Fixed 3.40000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDU5 210000.00000000 PA USD 268618.47000000 0.024943219512 Long DBT CORP US N 2 2037-03-16 Fixed 5.25000000 N N N N N N Brookfield WEC Holdings Inc. 5493002M6GRSU1IWMG57 11284EAL7 99000.00000000 PA USD 94421.25000000 0.008767714168 Long LON CORP US N 2 2025-08-01 Floating 3.99000000 N N N N N N VeriSign Inc LMPL4N8ZOJRMF0KOF759 92343E102 15044.00000000 NS USD 2709273.96000000 0.251576204363 Long EC CORP US N 1 N N N SoFi Consumer Loan Program Trust N/A 83405JAA3 116470.99000000 PA USD 110963.27000000 0.010303763555 Long ABS-O CORP US N 2 2026-05-26 Fixed 2.50000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBY0 915000.00000000 PA USD 920550.18000000 0.085479919576 Long DBT CORP US N 2 2060-04-01 Fixed 3.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BMP0 205573.05000000 PA USD 232357.82000000 0.021576148914 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92939KAV0 550000.00000000 PA USD 357451.05000000 0.033191984174 Long ABS-MBS CORP US N 2 2047-11-15 Fixed 3.02000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F5Z63 82893.66000000 PA USD 89498.98000000 0.008310644849 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 4.00000000 N N N N N N TRANSCANADA PIPELINES 5BV01I6231JPDAPMGH09 89352HAM1 240000.00000000 PA USD 228056.69000000 0.021176757056 Long DBT CORP CA N 2 2034-03-01 Fixed 4.63000000 N N N N N N Satsuma Pharmaceuticals Inc 549300CFJJ7QFB1VAD84 80405P107 6000.00000000 NS USD 129120.00000000 0.011989750755 Long EC CORP US N 1 N N N Hostess Brands, LLC 549300SW7FLS4O41LD19 44108HAJ0 106724.67000000 PA USD 100499.10000000 0.009332087671 Long LON CORP US N 2 2025-08-03 Floating 4.03000000 N N N N N N Sedgwick Claims Management Services, Inc. 549300BIN4DWJG5VWF64 81527CAL1 98750.00000000 PA USD 87229.13000000 0.008099872423 Long LON CORP US N 2 2025-12-31 Floating 4.24000000 N N N N N N Pretium Mortgage Credit Partners LLC N/A 74142RAA2 847311.29000000 PA USD 735097.87000000 0.068259295553 Long ABS-O CORP US N 2 2059-07-27 Variable 3.10000000 N N N N N N Bank N/A 06540AAE1 4490706.29000000 PA USD 273541.49000000 0.025400358474 Long ABS-MBS CORP US N 2 2062-09-15 Variable 0.84000000 N N N N N N OZLM Ltd 5493005RYHNVNU6C8029 67109WAJ7 1360000.00000000 PA USD 1318490.08000000 0.122431594115 Long ABS-CBDO CORP KY N 2 2027-04-30 Floating 2.82000000 N N N N N N Alexandria Real Estate Equities Inc MGCJBT4MKTQBVLNUIS88 015271109 30624.00000000 NS USD 4197325.44000000 0.389752833513 Long EC US N 1 N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 760942BD3 45000.00000000 PA USD 50962.95000000 0.004732288322 Long DBT NUSS UY N 2 2055-04-20 Fixed 4.98000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162FAK9 2051672.21000000 PA USD 137516.00000000 0.012769381697 Long ABS-MBS CORP US N 2 2052-08-15 Variable 1.07000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17323VBF1 4139070.82000000 PA USD 173346.77000000 0.016096534746 Long ABS-MBS CORP US N 2 2048-04-10 Variable 1.08000000 N N N N N N Home Re 2018-1 Ltd. 254900E6IUAJSN9WD709 43730MAA6 334839.65000000 PA USD 333564.04000000 0.030973897927 Long ABS-MBS CORP BM N 2 2028-10-25 Floating 2.55000000 N N N N N N UMBS, TBA N/A 01F030652 8600000.00000000 PA USD 9005453.71000000 0.836223245187 Long ABS-MBS USGSE US N 2 2050-05-15 Fixed 3.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468L6 565000.00000000 PA USD 552888.85000000 0.051339835089 Long DBT CORP US N 2 2031-01-22 Fixed 2.70000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668A3N3 112556.99000000 PA USD 93656.66000000 0.008696716309 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.49000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CV0 125000.00000000 PA USD 125803.30000000 0.011681770532 Long DBT CORP US N 2 2025-02-21 Fixed 1.90000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AH3 785000.00000000 PA USD 844377.10000000 0.078406683490 Long DBT CORP US N 2 2028-10-15 Fixed 4.38000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -7.00000000 NC USD -12481.56000000 -0.00115900552 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Long Bond USM0 Comdty 2020-06-19 -1240955.94000000 USD -12481.56000000 N N N Countrywide Home Loans N/A 12669GE49 12152.26000000 PA USD 11335.79000000 0.001052612273 Long ABS-MBS CORP US N 2 2035-06-20 Variable 4.08000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448ER5 145000.00000000 PA USD 151480.41000000 0.014066080856 Long DBT CORP US N 2 2027-03-19 Fixed 2.63000000 N N N N N Freddie Mac N/A 3128MJYY0 1415052.54000000 PA USD 1493434.27000000 0.138676461170 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EWKL8 86574.37000000 PA USD 93306.30000000 0.008664182782 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 4.00000000 N N N N N N Freddie Mac N/A 3132WHL60 20022.85000000 PA USD 21122.79000000 0.001961407894 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N Fannie Mae N/A 3136A6DE1 45371.34000000 PA USD 4436.06000000 0.000411921110 Long ABS-MBS USGSE US N 2 2042-05-25 Variable 5.47000000 N N N N N N Fannie Mae - CAS N/A 30711XCB8 97727.23000000 PA USD 95360.72000000 0.008854950934 Long ABS-MBS USGSE US N 2 2028-09-25 Floating 6.95000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TUA1 416205.81000000 PA USD 441247.27000000 0.040973085413 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 3.50000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92927XAA2 113796.66000000 PA USD 92857.05000000 0.008622466584 Long ABS-MBS CORP US N 2 2037-06-25 Variable 3.72000000 N N N N N N Progressive Corp/The 529900TACNVLY9DCR586 743315103 52175.00000000 NS USD 3852602.00000000 0.357742702433 Long EC CORP US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 179.00000000 NC USD 439983.11000000 0.040855698771 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 5 Year US Treasury Note FVM0 Comdty 2020-06-30 21999345.02000000 USD 439983.11000000 N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967MF5 770000.00000000 PA USD 792863.40000000 0.073623253940 Long DBT CORP US N 2 2025-04-24 Fixed 3.35000000 N N N N N N Brand Energy & Infrastructure Services, Inc. 549300B658W2BPDQMW42 10524MAN7 145875.00000000 PA USD 119131.30000000 0.011062225790 Long LON CORP US N 2 2024-06-21 Floating 6.12000000 N N N N N N Revlon Consumer Products Corporation 2MKZBE7NMX7EJWQLHS95 761520AY1 137703.75000000 PA USD 54737.24000000 0.005082759174 Long LON CORP US N 2 2023-09-07 Floating 5.11000000 N N N N N N Fannie Mae N/A 3136B2GA4 485918.94000000 PA USD 97821.46000000 0.009083448914 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 5.50000000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAT4 285000.00000000 PA USD 170693.11000000 0.015850122711 Long DBT CORP US N 2 2030-05-15 Fixed 4.80000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 4754.72000000 0.000441511057 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 100000.00000000 CAD 75891.19000000 USD 2020-09-08 4754.72000000 N N N Spotify Technology SA 549300B4X0JHWV0DTD60 000000000 5260.00000000 NS USD 638774.40000000 0.059314946132 Long EC CORP LU N 1 N N N Freddie Mac N/A 3132GFB22 363400.89000000 PA USD 402055.49000000 0.037333837629 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.00000000 N N N N N N State of California N/A 13063A7D0 360000.00000000 PA USD 553158.00000000 0.051364827665 Long DBT MUN US N 2 2039-10-01 Fixed 7.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ABBJ7 21638.71000000 PA USD 21806.77000000 0.002024920516 Long ABS-MBS USGSE US N 2 2041-03-01 Floating 4.18000000 N N N N N N Freddie Mac N/A 3137A2DH1 232000.00000000 PA USD 267727.65000000 0.024860500261 Long ABS-MBS USGSE US N 2 2040-11-15 Fixed 4.00000000 N N N N N N Duke Energy Progress LLC 0NIFZ782LS46WOC9QK20 26442RAB7 320000.00000000 PA USD 368272.52000000 0.034196838016 Long DBT CORP US N 2 2044-03-30 Fixed 4.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419FFW1 251086.07000000 PA USD 271668.47000000 0.025226434659 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N Fluor Corp CQ7WZ4NOFWT7FAE6Q943 343412AF9 495000.00000000 PA USD 333953.24000000 0.031010038037 Long DBT CORP US N 2 2028-09-15 Fixed 4.25000000 N N N N N Sunshine Luxembourg VII SARL 254900CHQOBZNYV4DY60 000000000 129675.00000000 PA USD 118652.63000000 0.011017777727 Long LON CORP LU N 2 2026-10-01 Floating 5.32000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WQAX0 554808.34000000 PA USD 587152.47000000 0.054521466623 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 09702LES0 500000.00000000 PA USD 498891.94000000 0.046325821052 Long STIV CORP US N 2 2020-05-26 None 0.00000000 N N N N N N Incyte Corp 549300Z4WN6JVZ3T4680 45337C102 4994.00000000 NS USD 365710.62000000 0.033958946578 Long EC CORP US N 1 N N N AT&T INC 549300Z40J86GGSTL398 00206RHV7 70000.00000000 PA USD 68859.74000000 0.006394138163 Long DBT CORP US N 2 2026-07-15 Fixed 2.95000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAD1 355000.00000000 PA USD 410780.31000000 0.038144001951 Long DBT CORP US N 2 2040-06-01 Fixed 6.35000000 N N N N N N UMBS, TBA N/A 01F022642 3505000.00000000 PA USD 3632056.25000000 0.337263391927 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 2.50000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -2.00000000 NC 18659.09000000 0.001732635055 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Buxl (FGBX) UBM0 Comdty 2020-06-08 -436718.22000000 EUR 18659.09000000 N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 984245AP5 19392845.00000000 PA 152628.15000000 0.014172657037 Long DBT CORP AR N 2 2022-05-09 Fixed 16.50000000 N N N N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348BL9 160000.00000000 PA USD 150312.58000000 0.013957639169 Long DBT CORP US N 2 2030-05-15 Fixed 2.30000000 N N N N N N Morgan Stanley BAML Trust N/A 61762XAU1 115000.00000000 PA USD 121633.58000000 0.011294581069 Long ABS-MBS CORP US N 2 2046-10-15 Variable 4.26000000 N N N N N N Microchip Technology Incorporated 5493007PTFULNYZJ1R12 59501NAJ8 57489.14000000 PA USD 54518.85000000 0.005062480041 Long LON CORP US N 2 2025-05-29 Floating 2.99000000 N N N N N N Fieldwood Energy LLC 549300KTQCELOBO6BF21 31659HAQ4 249780.13000000 PA USD 87423.05000000 0.008117879335 Long LON CORP US N 2 2022-04-11 Floating 7.03000000 N N N N N N AUTOZONE INC GA3JGKJ41LJKXDN23E90 053332AY8 180000.00000000 PA USD 182497.80000000 0.016946275831 Long DBT CORP US N 2 2025-04-15 Fixed 3.63000000 N N N N N N Freddie Mac N/A 3132WJEV9 193096.09000000 PA USD 204034.92000000 0.018946157342 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N American Express Co R4PP93JZOLY261QX3811 025816109 25592.00000000 NS USD 2190931.12000000 0.203444222817 Long EC CORP US N 1 N N N salesforce.com Inc RCGZFPDMRW58VJ54VR07 79466L302 35877.00000000 NS USD 5165570.46000000 0.479661573132 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379AMX5 513072.12000000 PA USD 535031.25000000 0.049681624331 Long ABS-MBS USGA US N 2 2041-07-20 Fixed 2.50000000 N N N N N N NORTHERN STATES PWR-MINN 3S1GHB0TEH85KX44SB51 665772CR8 90000.00000000 PA USD 88682.84000000 0.008234860190 Long DBT CORP US N 2 2050-03-01 Fixed 2.90000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 24380.70000000 0.002263929029 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 154950000.00000000 JPY 1469607.72000000 USD 2020-06-08 24380.70000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8FN0 1104831.57000000 PA USD 1172478.36000000 0.108873321732 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N SBA Tower Trust N/A 78403DAL4 995000.00000000 PA USD 989383.92000000 0.091871643446 Long DBT CORP US N 2 2022-04-11 Fixed 3.17000000 N N N N N N Electronic Arts Inc 549300O7A67PUEYKDL45 285512109 58993.00000000 NS USD 5909328.81000000 0.548725058560 Long EC CORP US N 1 N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29279FAA7 105000.00000000 PA USD 88862.57000000 0.008251549455 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N MASS MUTUAL LIFE INS CO R6ZXK5P01NP6HXSY1S07 575767AN8 83000.00000000 PA USD 76946.04000000 0.007145011161 Long DBT CORP US N 2 2070-10-15 Fixed 3.73000000 N N N N N N Sempra Energy PBBKGKLRK5S5C0Y4T545 816851BJ7 50000.00000000 PA USD 47928.26000000 0.004450494822 Long DBT CORP US N 2 2048-02-01 Fixed 4.00000000 N N N N N N Visa Inc 549300JZ4OKEHW3DPJ59 92826C839 55393.00000000 NS USD 8924920.16000000 0.828745107084 Long EC CORP US N 1 N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 220575.45000000 0.020482068371 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 3828000.00000000 NZD 2504224.01000000 USD 2020-04-30 220575.45000000 N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93934NAA3 91868.73000000 PA USD 54850.28000000 0.005093255777 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.55000000 N N N N N N Freddie Mac N/A 3137AWF91 355724.10000000 PA USD 361593.65000000 0.033576655344 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 1.75000000 N N N N N N Carlyle Global Market Strategies 549300ZZB4XZS815E007 14311FAN1 1146086.08000000 PA USD 1113712.59000000 0.103416483633 Long ABS-CBDO CORP KY N 2 2027-04-27 Floating 2.57000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CU2 320000.00000000 PA USD 317513.13000000 0.029483451751 Long DBT CORP US N 2 2030-02-21 Fixed 2.45000000 N N N N N N Freddie Mac N/A 3137B2JF8 114060.53000000 PA USD 8254.41000000 0.000766483259 Long ABS-MBS USGSE US N 2 2028-06-15 Fixed 4.00000000 N N N N N N Springleaf Funding Trust N/A 85172NAA0 124061.88000000 PA USD 123010.15000000 0.011422405815 Long ABS-O CORP US N 2 2029-11-15 Fixed 2.90000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 44967.80000000 0.004175594129 N/A DFE JP N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 1602203.92000000 USD 176650000.00000000 JPY 2020-06-01 44967.80000000 N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KAT3 330000.00000000 PA USD 326675.75000000 0.030334269053 Long DBT CORP US N 2 2022-03-28 Fixed 3.70000000 N N N N N N Fannie Mae Connecticut Avenue Securities N/A 30711XEP5 387608.66000000 PA USD 354587.74000000 0.032926104580 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 4.50000000 N N N N N N Ball Corp 0BGI85ALH27ZJP15DY16 058498106 54552.00000000 NS USD 3527332.32000000 0.327538997420 Long EC CORP US N 1 N N N KLA Corp 549300H0BF5JCG96TJ81 482480100 22277.00000000 NS USD 3202095.98000000 0.297338388273 Long EC CORP US N 1 N N N Caesars Entertainment Operating Company N/A 12768PAB7 129733.33000000 PA USD 107462.40000000 0.009978681780 Long LON CORP US N 2 2024-10-07 Floating 2.99000000 N N N N N N 89bio Inc N/A 282559103 15100.00000000 NS USD 381275.00000000 0.035404214832 Long EC CORP US N 1 N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X4PR5 67006.64000000 PA USD 73088.99000000 0.006786855429 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAL4 65000.00000000 PA USD 51864.35000000 0.004815990005 Long DBT CORP US N 2 2047-03-01 Fixed 5.20000000 N N N N N N New Residential Mortgage Loan Trust N/A 64829GAA7 694249.20000000 PA USD 714765.86000000 0.066371317453 Long ABS-MBS CORP US N 2 2035-11-26 Variable 3.75000000 N N N N N N Hanesbrands Inc GX5LWVWZLL5S4W1L2F20 410345AL6 110000.00000000 PA USD 108075.00000000 0.010035566239 Long DBT CORP US N 2 2026-05-15 Fixed 4.88000000 N N N N N N Odonate Therapeutics Inc 549300D50X5LSJ208C14 676079106 13213.00000000 NS USD 364810.93000000 0.033875403681 Long EC CORP US N 1 N N N Apache Corp 72ZZ1XRHOOU9P9X16K08 037411BA2 80000.00000000 PA USD 35426.88000000 0.003289648863 Long DBT CORP US N 2 2043-04-15 Fixed 4.75000000 N N N N N N State of California N/A 13063BJC7 25000.00000000 PA USD 41603.00000000 0.003863147464 Long DBT MUN US N 2 2040-11-01 Fixed 7.60000000 N N N N N N Open Text Corp 549300HP7ONDQODZJV16 683715AB2 115000.00000000 PA USD 120623.50000000 0.011200787640 Long DBT CORP CA N 2 2026-06-01 Fixed 5.88000000 N N N N N N COMM Mortgage Trust N/A 12630DAZ7 2788693.15000000 PA USD 54946.46000000 0.005102186805 Long ABS-MBS CORP US N 2 2047-02-10 Variable 0.59000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RU4 1200000.00000000 PA USD 1620046.87000000 0.150433381216 Long DBT UST US N 2 2046-11-15 Fixed 2.88000000 N N N N N N ALIBABA GROUP HOLDING 5493001NTNQJDH60PM02 01609WAT9 810000.00000000 PA USD 849837.46000000 0.078913718460 Long DBT CORP KY N 2 2027-12-06 Fixed 3.40000000 N N N N N N UMBS, TBA N/A 01F032641 7510000.00000000 PA USD 7944465.22000000 0.737702585731 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 3.50000000 N N N N N N Almonde, Inc. 549300ZB2RO6QC7YTK71 02034DAC1 115755.80000000 PA USD 100707.55000000 0.009351443801 Long LON CORP US N 2 2024-06-13 Floating 5.28000000 N N N N N N Natixis Commercial Mortgage Securities N/A 63875BAE5 310000.00000000 PA USD 272762.09000000 0.025327985397 Long ABS-MBS CORP US N 2 2036-10-15 Fixed 2.91000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BN3 165000.00000000 PA USD 187313.31000000 0.017393431691 Long DBT CORP US N 2 2048-04-01 Fixed 5.75000000 N N N N N N COMM Mortgage Trust N/A 12591UAF0 235125.00000000 PA USD 245005.73000000 0.022750601272 Long ABS-MBS CORP US N 2 2047-03-10 Fixed 3.96000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X54P9 76850.67000000 PA USD 83933.63000000 0.007793860778 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N JB Hunt Transport Services Inc 549300XCD1MPI1C5GK90 445658107 31316.00000000 NS USD 2888274.68000000 0.268197750350 Long EC CORP US N 1 N N N Fannie Mae N/A 31394VV56 22587.81000000 PA USD 20388.90000000 0.001893260758 Long ABS-MBS USGSE US N 2 2036-03-25 None 0.00000000 N N N N N N Freddie Mac N/A 3137ARZH2 62440.15000000 PA USD 4975.56000000 0.000462017691 Long ABS-MBS USGSE US N 2 2027-07-15 Fixed 4.00000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NBK6 55000.00000000 PA USD 69513.02000000 0.006454800062 Long DBT CORP US N 2 2044-03-01 Fixed 4.75000000 N N N N N N Fannie Mae N/A 3136AAF59 439973.34000000 PA USD 444887.62000000 0.041311118941 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 1.75000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BK5 330000.00000000 PA USD 357894.78000000 0.033233187799 Long DBT CORP US N 2 2060-02-15 Fixed 3.10000000 N N N N N Conagra Brands Inc 54930035UDEIH090K650 205887CB6 55000.00000000 PA USD 58232.87000000 0.005407354376 Long DBT CORP US N 2 2025-11-01 Fixed 4.60000000 N N N N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAG9 385000.00000000 PA USD 377553.46000000 0.035058642209 Long DBT CORP NL N 2 2025-04-24 Fixed 4.89000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X4QC7 53015.03000000 PA USD 57871.65000000 0.005373812416 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N Genworth Holdings Inc PXDECZED7L8SRUP41R09 372491AF7 90000.00000000 PA USD 77400.00000000 0.007187164718 Long DBT CORP US N 2 2023-08-15 Fixed 4.90000000 N N N N N N Natwest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC 8425.30000000 0.000782351665 N/A DFE US N 2 Natwest Markets PLC RR3QWICWWIPCS8A4S074 185000.00000000 CAD 139949.33000000 USD 2020-05-22 8425.30000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402CYK2 2623.03000000 PA USD 2906.72000000 0.000269910535 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 283000.00000000 OU Notional Amount USD -148696.04000000 -0.01380753142 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2048-12-31 0.00000000 USD 0.00000000 USD 283000.00000000 USD -148696.04000000 N N N Lattice Semiconductor Corp 549300LRBBPZDQ2II567 518415104 145534.00000000 NS USD 2593415.88000000 0.240817921354 Long EC CORP US N 1 N N GreenPoint Mortgage Funding Trust N/A 39538WBW7 190834.33000000 PA USD 143673.92000000 0.013341190294 Long ABS-MBS CORP US N 2 2045-10-25 Floating 3.37000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAW0 41000.00000000 PA USD 36899.34000000 0.003426377707 Long DBT CORP US N 2 2022-10-15 Fixed 6.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VDN7 6568157.84000000 PA USD 6959065.89000000 0.646200941053 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.00000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAQ6 195000.00000000 PA USD 152732.81000000 0.014182375495 Long DBT CORP US N 2 2030-05-15 Fixed 3.75000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHQ5 405000.00000000 PA USD 437314.17000000 0.040607867874 Long DBT CORP US N 2 2030-02-07 Fixed 3.97000000 N N N N N N Lumentum Holdings Inc 549300JLWRRC38DWEF52 55024U109 46040.00000000 NS USD 3393148.00000000 0.315078986948 Long EC CORP US N 1 N N N Golden Entertainment, Inc. 549300P8YYCKQVJ0Y638 38101JAC0 164050.00000000 PA USD 125498.25000000 0.011653444374 Long LON CORP US N 2 2024-10-21 Floating 3.96000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQFD9 246000.19000000 PA USD 269544.85000000 0.025029240774 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQKA9 585965.60000000 PA USD 616950.91000000 0.057288473040 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 4.00000000 N N N N N N Black Diamond Therapeutics Inc N/A 09203E105 19300.00000000 NS USD 481535.00000000 0.044714100292 Long EC CORP US N 1 N N Exxon Mobil Corp J3WHBG0MTS7O8ZVMDC91 30231G102 165745.00000000 NS USD 6293337.65000000 0.584383130735 Long EC CORP US N 1 N N N BROADCOM CRP / CAYMN FI N/A 11134LAH2 1105000.00000000 PA USD 1053359.36000000 0.097812238087 Long DBT CORP US N 2 2027-01-15 Fixed 3.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GT7A2 284491.52000000 PA USD 305154.15000000 0.028335828689 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2B8 595000.00000000 PA USD 601949.05000000 0.055895438946 Long DBT CORP US N 2 2022-07-22 Fixed 2.63000000 N N N N N N Freddie Mac N/A 3128MJVM9 15401.68000000 PA USD 16275.15000000 0.001511268525 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 3.00000000 N N N N N N State of Illinois 54930048FV8RWPR02D67 452152BK6 150000.00000000 PA USD 154591.50000000 0.014354968663 Long DBT MUN US N 2 2021-02-01 Fixed 5.56000000 N N N N N N G1 Therapeutics Inc 529900TC35UPZQYRKW13 3621LQ109 16109.00000000 NS USD 177521.18000000 0.016484159711 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371G2B5 21832.88000000 PA USD 23873.89000000 0.002216867957 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H032647 10413000.00000000 PA USD 10970944.16000000 1.018733627830 Long ABS-MBS USGA US N 2 2050-04-21 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31379FN75 1152.53000000 PA USD 1274.65000000 0.000118360717 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 6.00000000 N N N N N N NISSAN MTR ACCP CP 7D6DIU2QXTUJRFNNJA49 65475LNV0 500000.00000000 PA USD 491295.08000000 0.045620396192 Long STIV CORP US N 2 2021-01-29 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LAU23 465472.79000000 PA USD 524711.76000000 0.048723383059 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3.41000000 N N N N N N Navistar International Corporation 4EW4JDYTYMZ6D6T42H76 63937YAE1 98000.00000000 PA USD 86076.63000000 0.007992854240 Long LON CORP US N 2 2024-11-06 Floating 4.28000000 N N N N N N Bear Stearns Mortgage Funding Trust N/A 07400HAA1 158774.73000000 PA USD 131208.82000000 0.012183713202 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.13000000 N N N N N N BrightView Landscapes, LLC 549300OSAEQC89PVOW06 10801XAG2 214139.77000000 PA USD 205574.18000000 0.019089089063 Long LON CORP US N 2 2025-08-15 Floating 3.50000000 N N N N N N United Technologies Corp I07WOS4YJ0N7YRFE7309 913017DD8 345000.00000000 PA USD 377479.63000000 0.035051786545 Long DBT CORP US N 2 2025-08-16 Fixed 3.95000000 N N N N N N DOW CHEMICAL CO/THE ZQUIP1CSZO8LXRBSOU78 260543CV3 120000.00000000 PA USD 124042.92000000 0.011518306178 Long DBT CORP US N 2 2049-05-15 Fixed 4.80000000 N N N N N N Exeter Automobile Receivables Trust N/A 30167GAG5 1045000.00000000 PA USD 991325.25000000 0.092051910351 Long ABS-O CORP US N 2 2025-09-15 Fixed 2.58000000 N N N N N N Freddie Mac N/A 3137AYCZ2 232876.52000000 PA USD 15531.79000000 0.001442242029 Long ABS-MBS USGSE US N 2 2041-03-15 Fixed 3.50000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCG4 45000.00000000 PA USD 53632.13000000 0.004980141505 Long DBT CORP US N 2 2052-11-01 Fixed 4.05000000 N N N N N N HCA Healthcare Inc 529900PH4ZGUH2MNEU89 40412C101 24780.00000000 NS USD 2226483.00000000 0.206745478858 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W7GC2 326968.32000000 PA USD 346334.15000000 0.032159697463 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2CX8 334286.25000000 PA USD 379742.65000000 0.035261924756 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 5.50000000 N N N N N N CIM Trust 2017-7 N/A 12553HAA6 909300.81000000 PA USD 906571.09000000 0.084181857270 Long ABS-MBS CORP US N 2 2057-04-25 Variable 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 55000.00000000 OU Notional Amount USD -963.89000000 -0.00008950434 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2050-03-24 0.00000000 USD 0.00000000 USD 55000.00000000 USD -963.89000000 N N N PNC FINANCIAL SERVICES CFGNEKW0P8842LEUIA51 693475AY1 545000.00000000 PA USD 564566.74000000 0.052424213887 Long DBT CORP US N 2 2024-11-01 Fixed 2.20000000 N N N N N N NRZ Excess Spread-Collateralized Notes Series 2018-PLS2 N/A 40423XAF9 429584.30000000 PA USD 427644.77000000 0.039709992286 Long ABS-O CORP US N 2 2023-02-25 Fixed 3.27000000 N N N N N N SG Commercial Mortgage Securities Trust 549300SZQW4U3UN4A157 78397FAA1 1230000.00000000 PA USD 1202649.97000000 0.111674979753 Long ABS-MBS CORP US N 2 2037-03-15 Fixed 2.63000000 N N N N N N Exelon Corp 3SOUA6IRML7435B56G12 30161NAN1 585000.00000000 PA USD 587673.86000000 0.054569881556 Long DBT CORP US N 2 2025-06-15 Fixed 3.95000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379VRH9 412551.66000000 PA USD 28726.43000000 0.002667462327 Long ABS-MBS USGA US N 2 2042-04-20 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3128MJZF0 796525.50000000 PA USD 840650.92000000 0.078060680009 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Morgan Stanley Capital Inc N/A 61748LAD4 11429.94000000 PA USD 9204.55000000 0.000854710814 Long ABS-MBS CORP US N 2 2036-06-25 Floating 1.10000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 24709.89000000 0.002294496764 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 550000.00000000 CAD 416051.98000000 USD 2020-11-25 24709.89000000 N N N GSAA Home Equity Trust N/A 362351AC2 74190.50000000 PA USD 43146.18000000 0.004006443186 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.00000000 N N N N N N Freddie Mac - SCRT N/A 35563PLG2 1100864.29000000 PA USD 1180008.29000000 0.109572531644 Long ABS-MBS USGSE US N 2 2058-10-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402CVY5 5784.47000000 PA USD 6410.62000000 0.000595273667 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.00000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBW8 970000.00000000 PA USD 989568.43000000 0.091888776570 Long DBT CORP US N 2 2029-11-21 Fixed 3.20000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAU0 10000.00000000 PA USD 9537.52000000 0.000885629550 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N Adjustable Rate Mortgage Trust N/A 007036SE7 125654.86000000 PA USD 115496.93000000 0.010724747550 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.49000000 N N N N N N CAMB Commercial Mortgage Trust N/A 12482HAQ7 665000.00000000 PA USD 584570.64000000 0.054281724537 Long ABS-MBS CORP US N 2 2037-12-15 Floating 3.25000000 N N N N N N Avery Point III CLO Ltd 549300OKYVEGO11YZO59 053633AG8 113735.08000000 PA USD 113103.74000000 0.010502522088 Long ABS-CBDO CORP KY N 2 2025-01-18 Floating 2.94000000 N N N N N N QUALCOMM Inc H1J8DDZKZP6H7RWC0H53 747525AK9 303000.00000000 PA USD 403367.88000000 0.037455702786 Long DBT CORP US N 2 2045-05-20 Fixed 4.80000000 N N N N N N Freddie Mac N/A 3132HLE25 169591.94000000 PA USD 183661.53000000 0.017054336802 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.00000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967LW9 165000.00000000 PA USD 174990.67000000 0.016249183068 Long DBT CORP US N 2 2029-04-23 Fixed 4.08000000 N N N N N N UMBS, TBA N/A 01F050445 500000.00000000 PA USD 526289.07000000 0.048869848004 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 5.00000000 N N N N N N Wendy's Funding LLC 5493009DRVSTWJOXUL48 95058XAE8 425212.50000000 PA USD 384932.12000000 0.035743805579 Long ABS-O CORP US N 2 2048-03-15 Fixed 3.88000000 N N N N N N Fannie Mae N/A 3136A9GA0 205776.54000000 PA USD 14978.00000000 0.001390818516 Long ABS-MBS USGSE US N 2 2027-10-25 Fixed 3.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 257.06000000 0.000023869929 N/A DFE CA N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 28176.49000000 USD 40000.00000000 CAD 2020-04-30 257.06000000 N N N Refinitiv US Holdings Inc. 549300NF240HXJO7N016 31740MAC5 103687.50000000 PA USD 100231.28000000 0.009307218595 Long LON CORP US N 2 2025-10-01 Floating 4.24000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379QFZ3 38864.04000000 PA USD 2988.47000000 0.000277501629 Long ABS-MBS USGA US N 2 2026-12-16 Fixed 4.00000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBF8 450000.00000000 PA USD 521165.03000000 0.048394042843 Long DBT CORP US N 2 2040-03-19 Fixed 4.23000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138L8EJ9 79243.02000000 PA USD 88184.60000000 0.008188594907 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3.24000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBQ7 180000.00000000 PA USD 197715.97000000 0.018359395915 Long DBT CORP US N 2 2047-11-15 Fixed 4.00000000 N N N N N N State of Illinois 54930048FV8RWPR02D67 452151LE1 776727.28000000 PA USD 783531.41000000 0.072756709375 Long DBT MUN US N 2 2023-06-01 Fixed 4.95000000 N N N N N N Freddie Mac N/A 3137B0Q64 204195.30000000 PA USD 13475.85000000 0.001251332734 Long ABS-MBS USGSE US N 2 2028-03-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418QGR8 5273.35000000 PA USD 5620.53000000 0.000521907944 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AY0 50000.00000000 PA USD 53864.02000000 0.005001674213 Long DBT CORP US N 2 2025-07-23 Fixed 4.91000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCT7 220000.00000000 PA USD 159174.40000000 0.014780524958 Long DBT CORP MX N 2 2030-01-23 Fixed 6.84000000 N N N N N N Countrywide Home Loans N/A 126694M96 264649.50000000 PA USD 194837.13000000 0.018092074245 Long ABS-MBS CORP US N 2 2046-04-25 Floating 1.15000000 N N N N N N Freddie Mac N/A 3137BPXD6 140942.59000000 PA USD 165701.59000000 0.015386623015 Long ABS-MBS USGSE US N 2 2046-06-15 Fixed 5.50000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AE7 220000.00000000 PA USD 201273.41000000 0.018689730634 Long DBT CORP US N 2 2026-08-18 Fixed 3.50000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AL8 25000.00000000 PA USD 9508.12000000 0.000882899542 Long DBT CORP US N 2 2048-08-15 Fixed 5.50000000 N N N N N N Adjustable Rate Mortgage Trust N/A 007036TQ9 142867.59000000 PA USD 118180.41000000 0.010973928593 Long ABS-MBS CORP US N 2 2036-01-25 Floating 1.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WVQ61 51054.14000000 PA USD 54078.41000000 0.005021581917 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N COMM Mortgage Trust 549300YJIXJB9DCDOI21 12626BAD6 175000.00000000 PA USD 185287.94000000 0.017205361047 Long ABS-MBS CORP US N 2 2046-08-10 Variable 4.21000000 N N N N N N Seadrill Partners Finco LLC N/A 81172UAB1 102385.94000000 PA USD 18173.50000000 0.001687544418 Long LON CORP US N 2 2021-02-21 Floating 7.45000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918104 225837.00000000 NS USD 35616753.27000000 3.307280006272 Long EC CORP US N 1 N N N METINVEST BV 635400TMCKVEU87EJ582 000000000 355000.00000000 PA 262731.82000000 0.024396600350 Long DBT CORP NL N 2 2025-06-17 Fixed 5.63000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAN0 260000.00000000 PA USD 201273.91000000 0.018689777063 Long DBT CORP US N 2 2048-04-15 Fixed 4.70000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RCR1 470000.00000000 PA USD 472081.54000000 0.043836276337 Long DBT CORP US N 2 2021-02-17 Fixed 2.80000000 N N N N N N TransDigm, Inc. 88Q84GB3X55CF5OC7582 89364MBQ6 147992.73000000 PA USD 138373.20000000 0.012848979082 Long LON CORP US N 2 2025-05-30 Floating 3.24000000 N N N N N N Freddie Mac N/A 31283H3M5 83478.06000000 PA USD 93927.93000000 0.008721905743 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.50000000 N N N N N N BNQ CEN TUNISIA INT BOND 254900B5LFB16S9T2T11 000000000 405000.00000000 PA 403301.30000000 0.037449520338 Long DBT NUSS TN N 2 2023-10-31 Fixed 6.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380CP80 386040.05000000 PA USD 73434.31000000 0.006818920955 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 6.00000000 N N N N N N Froneri International Ltd. N/A 000000000 100000.00000000 PA USD 96000.00000000 0.008914312829 Long LON CORP GB N 2 2027-01-29 Floating 3.24000000 N N N N N N UMBS, TBA N/A 01F042442 -1300000.00000000 PA USD -1359414.07000000 -0.12623169045 Short ABS-MBS USGSE US N 2 2035-04-15 Fixed 4.50000000 N N N N N N Morgan Stanley Capital I Trust N/A 61764BAA1 1140000.00000000 PA USD 1147911.03000000 0.106592062721 Long ABS-MBS CORP US N 2 2032-09-09 Fixed 3.91000000 N N N N N N Freddie Mac N/A 3132WEDN9 216716.87000000 PA USD 230443.69000000 0.021398407730 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N HALLIBURTON CO ENYF8GB5SMQZ25S06U51 406216BL4 225000.00000000 PA USD 175500.14000000 0.016296491140 Long DBT CORP US N 2 2030-03-01 Fixed 2.92000000 N N N N N N AstraZeneca PLC PY6ZZQWO2IZFZC3IOL08 046353108 188925.00000000 NS USD 8437390.50000000 0.783474358098 Long EC CORP GB N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371LCD9 34275.35000000 PA USD 37986.63000000 0.003527340657 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.00000000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAS6 285000.00000000 PA USD 196968.55000000 0.018289992418 Long DBT CORP US N 2 2025-05-15 Fixed 3.60000000 N N N N N N New Residential Advance Receivables Trust Advance N/A 62942QCF8 1135000.00000000 PA USD 1099677.21000000 0.102113194384 Long ABS-O CORP US N 2 2051-10-15 Fixed 2.33000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGZ6 1255000.00000000 PA USD 1304903.87000000 0.121170013634 Long DBT CORP US N 2 2026-01-23 Fixed 3.37000000 N N N N N N FMC Corp CKDHZ2X64EEBQCSP7013 302491303 34011.00000000 NS USD 2778358.59000000 0.257991225233 Long EC CORP US N 1 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2H5 735000.00000000 PA USD 724251.55000000 0.067252134204 Long DBT CORP US N 2 2025-10-30 Fixed 2.41000000 N N N N N N METRO BANK PLC 213800X5WU57YL9GPK89 000000000 500000.00000000 PA 275751.22000000 0.025605548313 Long DBT CORP GB Y 2 2028-06-26 Fixed 5.50000000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 06406RAL1 785000.00000000 PA USD 798844.46000000 0.074178639772 Long DBT CORP US N 2 2024-10-24 Fixed 2.10000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379V5S9 328680.82000000 PA USD 71317.95000000 0.006622401214 Long ABS-MBS USGA US N 2 2046-02-20 Fixed 6.00000000 N N N N N N McKesson Corp 549300WZWOM80UCFSF54 58155Q103 3800.00000000 NS USD 513988.00000000 0.047727602316 Long EC CORP US N 1 N N N CHARTER COMM OPT LLC/CAP N/A 161175BS2 105000.00000000 PA USD 111690.15000000 0.010371259760 Long DBT CORP US N 2 2049-07-01 Fixed 5.13000000 N N N N N N Freddie Mac N/A 3128CULA2 48572.66000000 PA USD 52415.99000000 0.004867213876 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQFE7 217982.73000000 PA USD 238574.22000000 0.022153387812 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Pfizer Inc 765LHXWGK1KXCLTFYQ30 717081103 323666.00000000 NS USD 10564458.24000000 0.980988391877 Long EC CORP US N 1 N N N Renaissance Home Equity Loan Trust N/A 75971EAH9 247145.92000000 PA USD 124729.73000000 0.011582081586 Long ABS-MBS CORP US N 2 2036-11-25 Variable 6.12000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691JAW4 1692411.51000000 PA USD 112914.31000000 0.010484932106 Long ABS-MBS CORP US N 2 2050-06-15 Variable 1.43000000 N N N N N N COMM Mortgage Trust N/A 12623SAD2 229606.63000000 PA USD 228398.07000000 0.021208456724 Long ABS-MBS CORP US N 2 2045-12-10 Fixed 2.54000000 N N N N N N 3M Co LUZQVYP4VS22CLWDAR65 88579Y101 3411.00000000 NS USD 465635.61000000 0.043237723873 Long EC CORP US N 1 N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BN3 85000.00000000 PA USD 76075.00000000 0.007064128629 Long DBT CORP US N 2 2030-07-15 Fixed 4.00000000 N N N N N N NRZ Excess Spread Collateralized Notes N/A 40423XAB8 679224.21000000 PA USD 677266.28000000 0.062889203004 Long ABS-O CORP US N 2 2023-01-25 Fixed 3.19000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X0Z76 1091547.06000000 PA USD 1146103.99000000 0.106424265639 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3137AYYN5 164081.04000000 PA USD 8791.95000000 0.000816397840 Long ABS-MBS USGSE US N 2 2032-05-15 Fixed 3.00000000 N N N N N N Bausch Health Companies Inc. KOO0397YRO83WY5MGD97 000000000 141595.79000000 PA USD 135695.92000000 0.012600373755 Long LON CORP CA N 2 2025-06-02 Floating 3.61000000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 158400000.00000000 PA 1473168.79000000 0.136794660874 Long STIV NUSS JP N 2 2020-04-06 None 0.00000000 N N N N N N CNPC FINANCE 3003002NJ625UNILOU94 12623KEN3 800000.00000000 PA USD 793969.58000000 0.073725970966 Long STIV CORP HK N 2 2020-05-22 None 0.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGQ7 290000.00000000 PA USD 343856.09000000 0.031929591191 Long DBT CORP US N 2 2045-11-17 Fixed 4.90000000 N N N N N N CPT MORTGAGE TRUST N/A 12654YAA7 585000.00000000 PA USD 573045.93000000 0.053211569639 Long ABS-MBS CORP US N 2 2039-11-13 Fixed 2.87000000 N N N N N N SUBURBAN PROPANE PARTNRS N/A 864486AK1 75000.00000000 PA USD 69093.75000000 0.006415867729 Long DBT CORP US N 2 2027-03-01 Fixed 5.88000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07332GAA6 958379.35000000 PA USD 946036.38000000 0.087846502488 Long ABS-O CORP US N 2 2057-10-28 Variable 3.50000000 N N N N N N QUALCOMM Inc H1J8DDZKZP6H7RWC0H53 747525AJ2 87000.00000000 PA USD 110102.46000000 0.010223830955 Long DBT CORP US N 2 2035-05-20 Fixed 4.65000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAH9 550000.00000000 PA USD 570147.16000000 0.052942397320 Long DBT CORP US N 2 2025-03-01 Fixed 3.22000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RBK7 305000.00000000 PA USD 322496.76000000 0.029946218801 Long DBT CORP US N 2 2045-06-15 Fixed 4.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X0BV9 256807.95000000 PA USD 275806.17000000 0.025610650828 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F042640 740000.00000000 PA USD 796425.00000000 0.073953974946 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WVCS8 70033.72000000 PA USD 76687.18000000 0.007120974088 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Thermo Fisher Scientific Inc HCHV7422L5HDJZCRFL38 883556102 21182.00000000 NS USD 6007215.20000000 0.557814536707 Long EC CORP US N 1 N N N Philadelphia Authority for Industrial Development 549300DIY68KQZEW7M79 71781LBH1 1235000.00000000 PA USD 1617454.80000000 0.150192688270 Long DBT MUN US N 2 2028-10-15 Fixed 6.55000000 N N N N N N Sensata Technologies BV PUCKW5P5O3XMOZVH7T53 81725WAJ2 120000.00000000 PA USD 113700.00000000 0.010557889256 Long DBT CORP NL N 2 2025-10-01 Fixed 5.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493002S7XBI8CVRR075 94989HAZ3 3049478.69000000 PA USD 131427.35000000 0.012204005335 Long ABS-MBS CORP US N 2 2048-05-15 Variable 1.11000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 580000.00000000 OU Notional Amount USD -275976.88000000 -0.02562650251 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Markit CMBX.NA.BB.8 137BEMAG3 Y sell protection 2057-10-17 0.00000000 USD -181509.82000000 USD 580000.00000000 USD -94467.06000000 N N N OneMain Holdings Inc 549300E3VEW8SMS5XW09 68268W103 49431.00000000 NS USD 945120.72000000 0.087761476658 Long EC CORP US N 1 N N N Fannie Mae - CAS 549300Z5THZ1JXIHVK60 20754PAC4 346098.69000000 PA USD 305741.30000000 0.028390349926 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 3.81000000 N N N N N N Navient Corp 54930067J0ZNOEBRW338 63938CAC2 20000.00000000 PA USD 19526.00000000 0.001813134086 Long DBT CORP US N 2 2021-03-25 Fixed 5.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CYM0 1756058.85000000 PA USD 1875301.39000000 0.174135658740 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 245000.00000000 NC USD 21643.59000000 0.002009768041 N/A DIR GB N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Put Purchased Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 N/A 245000.00000000 OU Notional Amount N/A 21643.59000000 0.00000000 DIR GB ICE Libor USD 3 Months US0003M Index 2059-09-24 0.00000000 N/A 0.00000000 N/A 245000.00000000 USD 1.00000000 1.85000000 USD 2029-09-20 XXXX -18413.91000000 N N N Vericrest Opportunity Loan Transferee N/A 91834YAA4 990664.17000000 PA USD 906831.20000000 0.084206010415 Long ABS-O CORP US N 2 2049-10-25 Variable 3.23000000 N N N N N N TEXAS EASTERN TRANSMISSI 549300SIOULUXXIDGA69 882384AC4 120000.00000000 PA USD 117855.65000000 0.010943772216 Long DBT CORP US N 2 2022-10-15 Fixed 2.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378H3E4 644122.42000000 PA USD 96387.06000000 0.008950254224 Long ABS-MBS USGA US N 2 2042-10-20 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3137B16D9 362945.02000000 PA USD 22563.57000000 0.002095195015 Long ABS-MBS USGSE US N 2 2028-03-15 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1340000.00000000 OU Notional Amount USD -134200.20000000 -0.01246148504 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-10-30 0.00000000 USD 0.00000000 USD 1340000.00000000 USD -134200.20000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375GLU3 69485.30000000 PA USD 9136.75000000 0.000848415080 Long ABS-MBS USGA US N 2 2042-05-16 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 4164.64000000 0.000386717747 N/A DFE XX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 165069.28000000 USD 153000.00000000 EUR 2020-06-17 4164.64000000 N N N FHLMC Multifamily Structured Pass Through Certs. N/A 3137FREK3 2519679.61000000 PA USD 220823.46000000 0.020505097941 Long ABS-MBS USGSE US N 2 2052-02-25 Variable 1.13000000 N N N N N N Fannie Mae N/A 3136AR4X3 506314.93000000 PA USD 24520.33000000 0.002276894711 Long ABS-MBS USGSE US N 2 2046-05-25 Variable 2.11000000 N N N N N N AlixPartners, LLP 5493005G2MHUFTGARL57 01642PAW6 174600.00000000 PA USD 166306.50000000 0.015442793401 Long LON CORP US N 2 2024-04-04 Floating 3.50000000 N N N N N N International Paper Co 824LMFJDH41EY779Q875 460146103 30751.00000000 NS USD 957278.63000000 0.088890428878 Long EC CORP US N 1 N N N PayPal Holdings Inc 5493005X2GO78EFZ3E94 70450Y103 40491.00000000 NS USD 3876608.34000000 0.359971869357 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EH3N0 358650.30000000 PA USD 418487.16000000 0.038859640199 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 6.50000000 N N N N N N New Residential Mortgage Loan Trust N/A 64829NAA2 784354.52000000 PA USD 813282.06000000 0.075519278135 Long ABS-MBS CORP US N 2 2057-05-25 Variable 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402CPL0 31780.19000000 PA USD 35222.60000000 0.003270679948 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.00000000 N N N N N N Cabot Corp K05C0SER542GQ6VLRO68 127055101 58206.00000000 NS USD 1520340.72000000 0.141174924841 Long EC CORP US N 1 N N N Fannie Mae N/A 3136AT4Q4 148729.74000000 PA USD 22999.12000000 0.002135639067 Long ABS-MBS USGSE US N 2 2046-10-25 Fixed 3.50000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 54388.66000000 0.005050390933 N/A DFE JP N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 1908188.46000000 USD 210650000.00000000 JPY 2020-05-11 54388.66000000 N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348BJ4 295000.00000000 PA USD 289608.75000000 0.026892322869 Long DBT CORP US N 2 2029-08-15 Fixed 2.95000000 N N N N N N Springleaf Funding Trust N/A 85172PAA5 1705000.00000000 PA USD 1633567.66000000 0.151688886964 Long ABS-O CORP US N 2 2030-07-15 Fixed 2.68000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXGL0 1408761.94000000 PA USD 1570112.21000000 0.145796577255 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 4.50000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAD8 290000.00000000 PA USD 281808.11000000 0.026167975523 Long DBT CORP US N 2 2026-06-01 Fixed 3.00000000 N N N N N N Adobe Inc FU4LY2G4933NH2E1CP29 00724F101 7468.00000000 NS USD 2376616.32000000 0.220686472406 Long EC CORP US N 1 N N N Bank N/A 06540XBH3 4604738.54000000 PA USD 208168.26000000 0.019329968653 Long ABS-MBS CORP US N 2 2062-11-15 Variable 0.60000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AK0 260000.00000000 PA USD 123777.72000000 0.011493680388 Long DBT CORP US N 2 2028-08-15 Fixed 4.75000000 N N N N N N Freddie Mac - SCRT N/A 35563PNN5 785979.48000000 PA USD 761227.02000000 0.070685581147 Long ABS-MBS USGSE US N 2 2059-08-25 Fixed 2.50000000 N N N N N N Netflix Inc 549300Y7VHGU0I7CE873 64110L106 26461.00000000 NS USD 9936105.50000000 0.922641174260 Long EC CORP US N 1 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2A0 505000.00000000 PA USD 528806.63000000 0.049103622144 Long DBT CORP US N 2 2028-05-22 Fixed 3.58000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 92870EAA1 408762.16000000 PA USD 361605.07000000 0.033577715776 Long ABS-O CORP US N 2 2049-11-26 Variable 3.33000000 N N N N N N Telefonica Emisiones SAU 549300Y5MFC4SW5Z3K71 87938WAU7 150000.00000000 PA USD 168321.02000000 0.015629856541 Long DBT CORP ES N 2 2047-03-08 Fixed 5.21000000 N N N N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AB7 796000.00000000 PA USD 744260.00000000 0.069110067355 Long DBT CORP US N 2 2024-09-01 Fixed 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030641 250000.00000000 PA USD 264442.30000000 0.024555431118 Long ABS-MBS USGA US N 2 2050-04-21 Fixed 3.00000000 N N N N N N Legacy Mortgage Asset Trust N/A 52474VAA7 807567.97000000 PA USD 711675.90000000 0.066084391723 Long ABS-MBS CORP US N 2 2059-06-25 Variable 3.00000000 N N N N N N CLECO CORPORATE HOLDINGS 5493002H80P81B3HXL31 18551PAC3 105000.00000000 PA USD 102893.29000000 0.009554405990 Long DBT CORP US N 2 2026-05-01 Fixed 3.74000000 N N N N N N Performance Food Group Co 549300EUK8GR9IT1YK57 71377A103 72445.00000000 NS USD 1790840.40000000 0.166292828670 Long EC CORP US N 1 N N N SHIRE ACQ INV IRELAND DA 549300XK5HGW68R8K327 82481LAB5 355000.00000000 PA USD 353671.48000000 0.032841023035 Long DBT CORP IE N 2 2021-09-23 Fixed 2.40000000 N N N N N N JP Morgan Mortgage Trust N/A 46628KAH3 24067.03000000 PA USD 21491.25000000 0.001995622141 Long ABS-MBS CORP US N 2 2036-05-25 Variable 3.87000000 N N N N N N Hartford Financial Services Group Inc/The IU7C3FTM7Y3BQM112U94 416515104 85947.00000000 NS USD 3028772.28000000 0.281243995747 Long EC CORP US N 1 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -148.55000000 -0.00001379397 N/A DFE XX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 49832.01000000 USD 45000.00000000 EUR 2020-04-30 -148.55000000 N N N Tempo Acquisition LLC 549300VV0B2RPMHQGA61 88023HAC4 204225.00000000 PA USD 183462.06000000 0.017035814532 Long LON CORP US N 2 2024-05-01 Floating 3.74000000 N N N N N N KEYCORP RKPI3RZGV1V1FJTH5T61 49326EEJ8 410000.00000000 PA USD 369547.09000000 0.034315191305 Long DBT CORP US N 2 2029-10-01 Fixed 2.55000000 N N N N N N Morgan Stanley BAML Trust N/A 61690KAE2 130000.00000000 PA USD 130384.71000000 0.012107188469 Long ABS-MBS CORP US N 2 2046-02-15 Fixed 2.92000000 N N N N N N KOREA DEVELOPMENT BANK 549300ML2LNRZUCS7149 500630CT3 200000.00000000 PA USD 199761.11000000 0.018549302350 Long DBT NUSS KR N 2 2021-03-12 Floating 1.33000000 N N N N N N GS Mortgage Securities Trust 549300WF5YRKNHB1FX69 36198EAG0 10882008.23000000 PA USD 28260.58000000 0.002624204696 Long ABS-MBS CORP US N 2 2046-07-10 Variable 0.08000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379JKC4 90235.10000000 PA USD 14310.36000000 0.001328823184 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 3.50000000 N N N N N N Flex Acquisition Company, Inc. 549300HHED2KGPBEDW39 33936HAB8 88259.52000000 PA USD 78698.10000000 0.007307702942 Long LON CORP US N 2 2023-12-29 Floating 4.91000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RHW5 490000.00000000 PA USD 509110.10000000 0.047274653081 Long DBT CORP US N 2 2027-02-15 Fixed 3.80000000 N N N N N N Kodiak Sciences Inc N/A 50015M109 5500.00000000 NS USD 262350.00000000 0.024361145528 Long EC CORP US N 1 N N Bank N/A 06540VBC8 2273023.74000000 PA USD 113222.27000000 0.010513528479 Long ABS-MBS CORP US N 2 2062-11-15 Variable 0.77000000 N N N N N N Facebook Inc BQ4BKCS1HXDV9HN80Z93 30303M102 80471.00000000 NS USD 13422562.80000000 1.246384622563 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179U6V9 1777826.34000000 PA USD 1874850.27000000 0.174093768899 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 3.50000000 N N N N N N Cox Communications Inc 5493001NEDZNIFRP2R92 224044CH8 1165000.00000000 PA USD 1191338.10000000 0.110624588630 Long DBT CORP US N 2 2024-08-15 Fixed 3.15000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPBT9 15000.00000000 PA USD 15097.05000000 0.001401873192 Long DBT CORP US N 2 2027-05-01 Fixed 5.13000000 N N N N N N Freddie Mac - STACR 549300Y6KOVOWQ8OJC33 35564LAH0 819704.16000000 PA USD 679452.20000000 0.063092181907 Long ABS-MBS USGSE US N 2 2049-03-25 Floating 3.40000000 N N N N N N ECOLAB INC 82DYEISM090VG8LTLS26 278865BE9 40000.00000000 PA USD 45537.20000000 0.004228467147 Long DBT CORP US N 2 2030-03-24 Fixed 4.80000000 N N N N N N Freddie Mac N/A 3128M6YJ1 53912.06000000 PA USD 60025.39000000 0.005573803168 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.00000000 N N N N N N JetBlue Airways Corp 54930070J9H97ZO93T57 477143101 48120.00000000 NS USD 430674.00000000 0.039991278784 Long EC CORP US N 1 N N N Metlife Securitization Trust N/A 59166DAA5 711422.60000000 PA USD 717339.79000000 0.066610325966 Long ABS-MBS CORP US N 2 2057-03-25 Variable 3.75000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07332CAA5 1002351.04000000 PA USD 998364.99000000 0.092705602483 Long ABS-O CORP US N 2 2057-07-28 Variable 3.50000000 N N N N N N Morgan Stanley Capital I Trust N/A 617451CX5 12136.56000000 PA USD 2734.61000000 0.000253928843 Long ABS-MBS CORP US N 2 2052-10-12 Variable 5.67000000 N N N N N N Triangle Re 2019-1 Ltd. N/A 89600TAA1 771000.00000000 PA USD 732086.78000000 0.067979693488 Long ABS-MBS CORP BM N 2 2029-11-26 Floating 2.85000000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAF4 1825000.00000000 PA USD 1767572.16000000 0.164132199813 Long DBT CORP US N 2 2030-02-15 Fixed 2.57000000 N N N N N N Fannie Mae N/A 3136AP2P6 67959.82000000 PA USD 5393.54000000 0.000500830237 Long ABS-MBS USGSE US N 2 2030-08-25 Fixed 3.50000000 N N N N N N Atreca Inc 549300B5CQV1OOXFLU71 04965G109 9909.00000000 NS USD 163993.95000000 0.015228055962 Long EC CORP US N 1 N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135BF2 515000.00000000 PA USD 617232.64000000 0.057314633762 Long DBT CORP US N 2 2037-08-22 Fixed 3.88000000 N N N N N N Legacy Mortgage Asset Trust N/A 52474MAA7 1007713.67000000 PA USD 1016999.85000000 0.094435987603 Long ABS-MBS CORP US N 2 2059-11-25 Variable 3.25000000 N N N N N N WILLIS NORTH AMERICA INC 5493004KVU1HWZCP0C66 970648AJ0 170000.00000000 PA USD 161594.42000000 0.015005241784 Long DBT CORP US N 2 2029-09-15 Fixed 2.95000000 N N N N N N CITIGROUP GLOBAL MARKETS LTD XKZZ2JZF41MRHTR1V493 000000000 200000.00000000 PA USD 200000.00000000 0.018571485060 Long RA CORP US N 2 Repurchase Y 0.15000000 2020-04-01 194364.00000000 USD 204000.08000000 USD UST N N Freddie Mac N/A 3132HPEN0 148688.28000000 PA USD 159735.30000000 0.014832608687 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9PN4 171688.30000000 PA USD 187362.44000000 0.017397993776 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3137AFB27 70685.57000000 PA USD 4901.06000000 0.000455099812 Long ABS-MBS USGSE US N 2 2026-09-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELLB7 89717.05000000 PA USD 96354.59000000 0.008947239143 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N UGI Energy Services, LLC 5493001O7RUKEUP5XR11 90276DAB5 148875.00000000 PA USD 128776.88000000 0.011957889515 Long LON CORP US N 2 2026-08-13 Floating 4.74000000 N N N N N N Kestrel Bidco Inc. 5493004LHNGMD0JHE251 000000000 99750.00000000 PA USD 77139.97000000 0.007163019002 Long LON CORP CA N 2 2026-12-11 Floating 4.00000000 N N N N N N Bristol-Myers Squibb Co HLYYNH7UQUORYSJQCN42 110122CB2 315000.00000000 PA USD 346154.17000000 0.032142984983 Long DBT CORP US N 2 2029-07-26 Fixed 3.40000000 N N N N N N BANCO DEL ESTADO DE CHILE NY N/A 000000000 992949.00000000 PA USD 992949.00000000 0.092202687596 Long STIV CORP US N 2 2020-08-28 Floating 0.16000000 N N N N N Freddie Mac N/A 3132WJFD8 571687.14000000 PA USD 603090.98000000 0.056001475625 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A9CW2 243028.21000000 PA USD 263029.82000000 0.024424271862 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.00000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280AY5 255000.00000000 PA USD 256608.86000000 0.023828038049 Long DBT CORP GB N 2 2021-05-25 Fixed 2.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DWD7 12837.17000000 PA USD 14224.27000000 0.001320829089 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.00000000 N N N N N N CHINA CONSTRUCTION BANK CORP NY N/A 000000000 500075.00000000 PA USD 500075.00000000 0.046435676957 Long STIV CORP US N 2 2020-04-03 Fixed 2.25000000 N N N N N Wingstop Funding LLC N/A 974153AA6 400950.00000000 PA USD 385525.45000000 0.035798900675 Long ABS-O CORP US N 2 2048-12-05 Fixed 4.97000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBS7 565000.00000000 PA USD 609448.03000000 0.056591774921 Long DBT CORP US N 2 2049-11-21 Fixed 4.25000000 N N N N N N Freddie Mac N/A 3137BJQK2 270079.74000000 PA USD 26958.90000000 0.002503334042 Long ABS-MBS USGSE US N 2 2030-07-15 Fixed 4.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A 3137BXR20 4342570.37000000 PA USD 156190.97000000 0.014503491329 Long ABS-MBS USGSE US N 2 2027-03-25 Variable 0.61000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBG6 350000.00000000 PA USD 428291.20000000 0.039770018111 Long DBT CORP US N 2 2050-03-19 Fixed 4.33000000 N N N N N N Deephaven Residential Mortgage Trust N/A 24381PAA1 533262.18000000 PA USD 518773.13000000 0.048171937167 Long ABS-MBS CORP US N 2 2059-04-25 Variable 3.56000000 N N N N N N American Tower Corp 5493006ORUSIL88JOE18 03027X100 38607.00000000 NS USD 8406674.25000000 0.780622126208 Long EC US N 1 N N N Fannie Mae N/A 3136B2DL3 714398.60000000 PA USD 141572.01000000 0.013146012343 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 5.00000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBE8 2000.00000000 PA USD 1952.15000000 0.000181271622 Long DBT CORP US N 2 2025-06-15 Fixed 3.95000000 N N N N N N Asurion LLC 549300KNQVXGIOXWK278 04649VAT7 252498.09000000 PA USD 234823.22000000 0.021805079610 Long LON CORP US N 2 2022-08-04 Floating 3.99000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 07332VBJ3 5637743.74000000 PA USD 423083.92000000 0.039286483497 Long ABS-MBS CORP US N 2 2050-02-15 Variable 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402H5T4 531.15000000 PA USD 573.10000000 0.000053216590 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.00000000 N N N N N N Bristol-Myers Squibb Co HLYYNH7UQUORYSJQCN42 110122108 123571.00000000 NS USD 6887847.54000000 0.639587788437 Long EC CORP US N 1 N N N Freddie Mac - STACR 549300KB1O80CETXGJ21 35564TAH3 693137.10000000 PA USD 564756.40000000 0.052441825226 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 3.00000000 N N N N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833100 103024.00000000 NS USD 26197972.96000000 2.432676317199 Long EC CORP US N 1 N N Deephaven Residential Mortgage Trust N/A 24381NAA6 1250017.10000000 PA USD 1193808.58000000 0.110853991042 Long ABS-MBS CORP US N 2 2059-07-25 Variable 2.96000000 N N N N N N NORINCHUKIN BANK NY N/A 000000000 1000300.00000000 PA USD 1000300.00000000 0.092885282529 Long STIV CORP US N 2 2020-04-07 Fixed 1.85000000 N N N N N Sapphire Aviation Finance I Limited N/A 80307AAA7 250000.00000000 PA USD 161756.30000000 0.015020273544 Long ABS-O CORP US N 2 2040-03-15 Fixed 3.23000000 N N N N N N Forty Seven Inc 549300J6U8QUO8OJJ167 34983P104 10448.00000000 NS USD 996948.16000000 0.092574039297 Long EC CORP US N 1 N N N Residential Accredit Loans, Inc. N/A 75114RAE5 574081.36000000 PA USD 457552.26000000 0.042487124804 Long ABS-MBS CORP US N 2 2036-04-25 Floating 1.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LVF0 95779.17000000 PA USD 106712.94000000 0.009909088854 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 5.00000000 N N N N N N Exelon Corp 3SOUA6IRML7435B56G12 30161N101 190070.00000000 NS USD 6996476.70000000 0.649674812548 Long EC CORP US N 1 N N N Fannie Mae N/A 3136B5PK5 957346.86000000 PA USD 1025283.26000000 0.095205163728 Long ABS-MBS USGSE US N 2 2049-08-25 Fixed 3.00000000 N N N N N N Ares Management Corp 529900JUV61FH7B8VW38 03990B101 87893.00000000 NS USD 2718530.49000000 0.252435741906 Long EC CORP US N 1 N N N UMBS, TBA N/A 01F040644 -1457500.00000000 PA USD -1556191.55000000 -0.14450394060 Short ABS-MBS USGSE US N 2 2050-04-15 Fixed 4.00000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174467X1 322000.00000000 PA USD 355936.40000000 0.033051337675 Long DBT CORP US N 2 2025-11-24 Fixed 5.00000000 N N N N N N Freddie Mac N/A 3132HLX57 240381.05000000 PA USD 260325.20000000 0.024173127813 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.00000000 N N N N N N Saudi Arabian Oil Co 5586006WD91QHB7J4X50 80414L2C8 400000.00000000 PA USD 388568.50000000 0.036081470463 Long DBT CORP SA N 2 2024-04-16 Fixed 2.88000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46652BAY5 305000.00000000 PA USD 303234.02000000 0.028157530361 Long ABS-MBS CORP US N 2 2037-01-16 Fixed 2.81000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PBD7 390000.00000000 PA USD 418871.29000000 0.038895309522 Long DBT CORP US N 2 2030-05-06 Fixed 3.70000000 N N N N N N Dycom Industries Inc 549300F56EKTHQI3WT60 267475101 28499.00000000 NS USD 730999.35000000 0.067878717538 Long EC CORP US N 1 N N Circor International, Inc. 5493007701O01N3FQM69 17273LAJ6 84870.33000000 PA USD 69169.32000000 0.006422884965 Long LON CORP US N 2 2024-12-11 Floating 4.06000000 N N N N N N Illumina Inc SQ95QG8SR5Q56LSNF682 452327109 2513.00000000 NS USD 686350.56000000 0.063732745856 Long EC CORP US N 1 N N N Harbor Freight Tools USA, Inc. 549300Y48HLCFTTB4249 41151PAM7 115149.61000000 PA USD 105649.77000000 0.009810365625 Long LON CORP US N 2 2023-08-18 Floating 3.49000000 N N N N N N MOLSON COORS BEVERAGE 54930073LBBH6ZCBE225 60871RAG5 505000.00000000 PA USD 474357.42000000 0.044047608694 Long DBT CORP US N 2 2026-07-15 Fixed 3.00000000 N N N N N N Municipal Electric Authority of Georgia JA0WNILDDF2KUPS83B16 626207YF5 361000.00000000 PA USD 472635.64000000 0.043887728636 Long DBT MUN US N 2 2057-04-01 Fixed 6.64000000 N N N N N N Chevron Corp N/A 166764100 49001.00000000 NS USD 3550612.46000000 0.329700731281 Long EC CORP US N 1 N N N United States Treasury 254900HROIFWPRGM1V77 912828N71 3680014.50000000 PA USD 3802560.71000000 0.353095997085 Long DBT UST US N 2 2026-01-15 Fixed 0.63000000 N N N N N N Guidewire Software Inc 549300WXSG0J8IXZCK32 40171V100 11590.00000000 NS USD 919202.90000000 0.085354814624 Long EC CORP US N 1 N N N Sound Point CLO LTD 5493004LEP80CTDZQ594 83609WAN0 1440000.00000000 PA USD 1426222.08000000 0.132435310257 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 2.71000000 N N N N N N INTL AIRPORT FINANCE SA 959800M9M5LP0KXUP789 45900TAA0 940000.00000000 PA USD 535800.00000000 0.049753008476 Long DBT CORP ES N 2 2033-03-15 Fixed 12.00000000 N N N N N N J. Crew Group, Inc. STJVF3IZKPXHGSIMTQ42 46613BAE7 301225.69000000 PA USD 185374.29000000 0.017213379286 Long LON CORP US Y 3 2021-03-05 Floating 4.78000000 N N N N N N CSC Holdings, LLC 3HG2WD2W22M120IUNG49 64072UAE2 105303.53000000 PA USD 102144.42000000 0.009484867850 Long LON CORP US N 2 2025-07-17 Floating 2.86000000 N N N N N N COMM Mortgage Trust N/A 12624QAJ2 210000.00000000 PA USD 10500.00000000 0.000975002965 Long ABS-MBS CORP US N 2 2045-10-15 Variable 4.59000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828Z37 350892.50000000 PA USD 361957.61000000 0.033610451733 Long DBT UST US N 2 2030-01-15 Fixed 0.13000000 N N N N N N Dryden 50 Senior Loan Fund 5493008NBEE3C4AF3K95 262431AA7 137000.00000000 PA USD 137022.06000000 0.012723515701 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 2.63000000 N N N N N N SYSCO CORPORATION 5RGWIFLMGH3YS7KWI652 871829BL0 85000.00000000 PA USD 89503.98000000 0.008311109137 Long DBT CORP US N 2 2030-04-01 Fixed 5.95000000 N N N N N N COMM Mortgage Trust 549300YJIXJB9DCDOI21 12626BAF1 865536.69000000 PA USD 16867.75000000 0.001566295835 Long ABS-MBS CORP US N 2 2046-08-10 Variable 0.66000000 N N N N N N Aristocrat Technologies, Inc. 549300FMN7FEICZ8D332 04044PAF1 81591.96000000 PA USD 74248.68000000 0.006894541256 Long LON CORP AU N 2 2024-10-19 Floating 3.58000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GFP6 199917.56000000 PA USD 211758.79000000 0.019663376024 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N Radnor Re LTD N/A 75049TAA9 343531.28000000 PA USD 342266.43000000 0.031781979457 Long ABS-MBS CORP BM N 2 2029-06-25 Floating 2.15000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFK5 285000.00000000 PA USD 288738.10000000 0.026811476552 Long DBT CORP US N 2 2049-09-01 Fixed 3.63000000 N N N N N N FleetCor Technologies Inc 549300DG6RR0NQSFLN74 339041105 15232.00000000 NS USD 2841377.28000000 0.263842978532 Long EC CORP US N 1 N N N Freddie Mac N/A 31307DH58 466644.99000000 PA USD 489045.86000000 0.045411539414 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 3.00000000 N N N N N N Fannie Mae N/A 3136B3DZ0 864536.83000000 PA USD 928379.33000000 0.086206914287 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 3.00000000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BG8 65000.00000000 PA USD 63050.00000000 0.005854660665 Long DBT CORP US N 2 2028-01-15 Fixed 4.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379QGG4 59469.77000000 PA USD 4306.90000000 0.000399927645 Long ABS-MBS USGA US N 2 2027-02-16 Fixed 3.50000000 N N N N N N GSR Mortgage Loan Trust N/A 3623414D8 351728.36000000 PA USD 318317.96000000 0.029558186193 Long ABS-MBS CORP US N 2 2036-01-25 Variable 3.93000000 N N N N N N Freddie Mac N/A 3132LQA80 966003.44000000 PA USD 1020002.07000000 0.094714766023 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 3.00000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200JY8 455000.00000000 PA USD 475765.16000000 0.044178327806 Long DBT CORP US N 2 2024-05-15 Fixed 3.00000000 N N N N N N Aramark Services Inc 42YMHYH0XMHJEXDUB065 038522AQ1 200000.00000000 PA USD 186124.00000000 0.017282995426 Long DBT CORP US N 2 2028-02-01 Fixed 5.00000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410F4Z5 51610.07000000 PA USD 57182.84000000 0.005309851293 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 5.00000000 N N N N N N NRZ Excess Spread Collateralized Notes N/A 64829TAH4 1089350.63000000 PA USD 1087202.87000000 0.100954859289 Long ABS-O CORP US N 2 2054-07-25 Fixed 3.79000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378P4B1 55477.01000000 PA USD 9435.01000000 0.000876110736 Long ABS-MBS USGA US N 2 2044-01-20 Fixed 4.00000000 N N N N N N Fannie Mae N/A 3136AMMZ9 211026.98000000 PA USD 215026.43000000 0.019966800661 Long ABS-MBS USGSE US N 2 2043-08-25 Fixed 2.00000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KC4 100000.00000000 PA USD 121789.83000000 0.011309090041 Long DBT CORP US N 2 2049-05-15 Fixed 4.25000000 N N N N N N MTRO Commercial Mortgage Trust N/A 55378MAG4 565000.00000000 PA USD 520084.48000000 0.048293705752 Long ABS-MBS CORP US N 2 2033-12-15 Floating 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GCKE3 74419.60000000 PA USD 80793.39000000 0.007502266176 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N IBM Credit LLC 549300ZNLJL43AQTG067 44932HAJ2 515000.00000000 PA USD 509546.00000000 0.047315129632 Long DBT CORP US N 2 2020-11-30 Floating 2.08000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFR0 15000.00000000 PA USD 16618.94000000 0.001543191979 Long DBT CORP US N 2 2050-04-01 Fixed 4.20000000 N N N N N N Morgan Stanley BAML Trust N/A 61763BAT1 166175.93000000 PA USD 171158.63000000 0.015893349700 Long ABS-MBS CORP US N 2 2046-11-15 Fixed 3.77000000 N N N N N N Intel Corp KNX4USFCNGPY45LOCE31 458140AV2 185000.00000000 PA USD 223441.40000000 0.020748193109 Long DBT CORP US N 2 2046-05-19 Fixed 4.10000000 N N N N N N QORVO INC 254900YAUJV2EUEVBR11 74736KAF8 60000.00000000 PA USD 62715.00000000 0.005823553427 Long DBT CORP US N 2 2026-07-15 Fixed 5.50000000 N N N N N N Amgen Inc 62QBXGPJ34PQ72Z12S66 031162CP3 295000.00000000 PA USD 298420.11000000 0.027710523072 Long DBT CORP US N 2 2022-05-11 Fixed 2.65000000 N N N N N N Allied Universal Holdco LLC N/A 01957TAC1 113352.21000000 PA USD 104850.79000000 0.009736174400 Long LON CORP US N 2 2026-07-10 Floating 5.24000000 N N N N N N COLT Funding LLC N/A 19685TAA6 500551.42000000 PA USD 489754.18000000 0.045477312185 Long ABS-MBS CORP US N 2 2049-05-25 Variable 3.34000000 N N N N N N DAE Funding LLC 635400SZTPQL3Y1P2C76 23371DAA2 15000.00000000 PA USD 13912.50000000 0.001291878929 Long DBT CORP US N 2 2022-08-01 Fixed 4.50000000 N N N N N N National Grid PLC 8R95QZMKZLJX5Q2XR704 636274409 33070.00000000 NS USD 1926988.90000000 0.178935227839 Long EC CORP GB N 1 N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 01626PAN6 200000.00000000 PA USD 175617.56000000 0.016307394459 Long DBT CORP CA N 2 2050-01-25 Fixed 3.80000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6055000.00000000 OU Notional Amount USD -456894.56000000 -0.04242605247 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-04-09 0.00000000 USD 0.00000000 USD 6055000.00000000 USD -456894.56000000 N N N Workday Inc 549300J0DYC0N31V7G13 98138H101 14762.00000000 NS USD 1922307.64000000 0.178500538088 Long EC CORP US N 1 N N N TOLL BROS FINANCE CORP N/A 88947EAR1 130000.00000000 PA USD 123500.00000000 0.011467892024 Long DBT CORP US N 2 2025-11-15 Fixed 4.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A6DC8 56825.85000000 PA USD 63253.02000000 0.005873512579 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 5.00000000 N N N N N N Republic of Ghana 213800PP4399SNNXZ126 000000000 485000.00000000 PA USD 346775.00000000 0.032200633659 Long DBT NUSS GH Y 2 2029-05-16 Fixed 7.63000000 N N N N N N SFAVE Commercial Mortgage Securities Trust 549300FIGODFFTOAAU64 78413MAA6 150000.00000000 PA USD 138598.35000000 0.012869885932 Long ABS-MBS CORP US N 2 2043-01-05 Variable 3.87000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 94988HAC5 282311.34000000 PA USD 287458.13000000 0.026692621833 Long ABS-MBS CORP US N 2 2045-10-15 Fixed 2.92000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELE90 91664.94000000 PA USD 97094.20000000 0.009015917423 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 92553PBD3 10000.00000000 PA USD 8512.50000000 0.000790448832 Long DBT CORP US N 2 2057-02-28 Fixed 5.88000000 N N N N N N Telefonica Emisiones SAU 549300Y5MFC4SW5Z3K71 87938WAV5 150000.00000000 PA USD 161383.22000000 0.014985630296 Long DBT CORP ES N 2 2038-03-06 Fixed 4.67000000 N N N N N N Houghton Mifflin Harcourt Co N/A 44157R109 117356.00000000 NS USD 220629.28000000 0.020487066887 Long EC CORP US N 1 N N N INVESCO GOVT AND AGCY LEX N/A 000000000 1000000.00000000 NS USD 1000000.00000000 0.092857425302 Long STIV RF US N 1 N N WaVe Life Sciences Ltd 54930070006GPKFYZ813 000000000 12586.00000000 NS USD 117930.82000000 0.010950752308 Long EC CORP SG N 1 N N Danske Bank A/S MAES062Z21O4RZ2U7M96 23636AAT8 450000.00000000 PA USD 473700.59000000 0.043986617151 Long DBT CORP DK N 2 2024-01-12 Fixed 5.38000000 N N N N N N AMERIGAS PART/FIN CORP N/A 030981AJ3 95000.00000000 PA USD 90991.00000000 0.008449189985 Long DBT CORP US N 2 2026-08-20 Fixed 5.88000000 N N N N N N Freddie Mac N/A 31394GXJ7 48339.12000000 PA USD 56020.13000000 0.005201885036 Long ABS-MBS USGSE US N 2 2033-08-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380BAQ8 146886.13000000 PA USD 10934.95000000 0.001015391302 Long ABS-MBS USGA US N 2 2028-09-20 Fixed 3.00000000 N N N N N N Alphabet Inc 5493006MHB84DD0ZWV18 02079K305 16110.00000000 NS USD 18719014.50000000 1.738199490662 Long EC CORP US N 1 N N N TEVA PHARMACEUTICALS NE 5493004T21MOAFINJP35 88167AAE1 650000.00000000 PA USD 547527.50000000 0.050841993932 Long DBT CORP NL N 2 2026-10-01 Fixed 3.15000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625H100 34662.00000000 NS USD 3120619.86000000 0.289772725546 Long EC CORP US N 1 N N N United Technologies Corp I07WOS4YJ0N7YRFE7309 913017109 78370.00000000 NS USD 7392642.10000000 0.686461711585 Long EC CORP US N 1 N N N United States Treasury 254900HROIFWPRGM1V77 912810RH3 6010000.00000000 PA USD 8285113.69000000 0.769334325588 Long DBT UST US N 2 2044-08-15 Fixed 3.13000000 N N N N N N Countrywide Alternative Loan Trust N/A 12667F4T9 206430.57000000 PA USD 167504.76000000 0.015554060739 Long ABS-MBS CORP US N 2 2038-03-01 Floating 1.40000000 N N N N N N THE TOURAINE APT DUS N/A 000000000 145000.00000000 PA USD 147673.44000000 0.013712575423 Long DBT CORP US N 2 2032-05-01 Fixed 1.85000000 N N N N N N First Solar Inc 549300NPYMLM4NHTOF27 336433107 19943.00000000 NS USD 719144.58000000 0.066777914118 Long EC CORP US N 1 N N Danaher Corp S4BKK9OTCEWQ3YHPFM11 235851102 35189.00000000 NS USD 4870509.49000000 0.452262971150 Long EC CORP US N 1 N N N CLEAN HARBORS INC 5493000SJVZVZJKHJF48 184496AN7 1205000.00000000 PA USD 1179574.50000000 0.109532251022 Long DBT CORP US N 2 2027-07-15 Fixed 4.88000000 N N N N N N Broadcom Inc 549300WV6GIDOZJTV909 11135FAE1 324000.00000000 PA USD 329238.42000000 0.030572231991 Long DBT CORP US N 2 2026-04-15 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M5G37 71632.20000000 PA USD 78487.31000000 0.007288129525 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.50000000 N N N N N N PPD Inc N/A 69355F102 100892.00000000 NS USD 1796886.52000000 0.166854255807 Long EC CORP US N 1 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SH5 200000.00000000 PA USD 204882.76000000 0.019024885582 Long DBT CORP US N 2 2026-10-23 Fixed 3.00000000 N N N N N N General Motors Co 54930070NSV60J38I987 37045VAF7 120000.00000000 PA USD 95298.05000000 0.008849131559 Long DBT CORP US N 2 2043-10-02 Fixed 6.25000000 N N N N N N Freddie Mac N/A 3128P7JU8 282515.89000000 PA USD 304713.41000000 0.028294902707 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5.00000000 N N N N N N TreeHouse Foods Inc 5493007M7EVHE470Q576 89469AAC8 60000.00000000 PA USD 59549.40000000 0.005529603962 Long DBT CORP US N 2 2024-02-15 Fixed 6.00000000 N N N N N N Exelon Corp 3SOUA6IRML7435B56G12 30161NAT8 80000.00000000 PA USD 79240.23000000 0.007358043738 Long DBT CORP US N 2 2021-04-15 Fixed 2.45000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -1036.94000000 -0.00009628757 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8050000.00000000 JPY 73859.65000000 USD 2020-04-13 -1036.94000000 N N N Assembly Biosciences Inc N/A 045396108 7799.00000000 NS USD 115659.17000000 0.010739812738 Long EC CORP US N 1 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDZ4 155000.00000000 PA USD 154977.48000000 0.014390809772 Long DBT CORP US N 2 2020-05-22 Floating 2.23000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416RHU0 110430.72000000 PA USD 115694.63000000 0.010743105463 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 4.50000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 6887.78000000 0.000639581516 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 150000.00000000 CAD 113483.85000000 USD 2020-04-09 6887.78000000 N N N Vericrest Opportunity Loan Transferee N/A 91830UAA6 471784.25000000 PA USD 429645.75000000 0.039895798136 Long ABS-O CORP US N 2 2047-10-25 Variable 3.38000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 270000.00000000 OU Notional Amount USD -105452.66000000 -0.00979206249 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 Markit CMBX.NA.BB.6 137BEMAE8 Y sell protection 2063-05-11 0.00000000 USD -53313.79000000 USD 270000.00000000 USD -52138.87000000 N N N Weight Watchers International, Inc. SGT8R1MU6ESIC7UJC518 948627AW4 86585.77000000 PA USD 83555.27000000 0.007758727242 Long LON CORP US N 2 2024-11-29 Floating 6.72000000 N N N N N N Ashtead Capital Inc 213800J1134IW58IC398 045054AF0 1000000.00000000 PA USD 925000.00000000 0.085893118404 Long DBT CORP US N 2 2027-08-15 Fixed 4.38000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCM1 160000.00000000 PA USD 206858.08000000 0.019208308711 Long DBT CORP US N 2 2048-10-15 Fixed 4.70000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -10222.69000000 -0.00094925267 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 362482.77000000 EUR 389986.15000000 USD 2020-04-30 -10222.69000000 N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07331YAA8 443940.86000000 PA USD 440263.12000000 0.040881699778 Long ABS-O CORP US N 2 2055-01-28 Variable 3.50000000 N N N N N N EGYPT GOVERNMENT BOND 529900GFIVH4086NMH82 000000000 11590000.00000000 PA 816144.61000000 0.075785087158 Long DBT NUSS EG N 2 2029-05-07 Fixed 16.10000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2675000.00000000 OU Notional Amount USD -257122.07000000 -0.02387569340 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-10-29 0.00000000 USD 0.00000000 USD 2675000.00000000 USD -257122.07000000 N N N Coca-Cola Co/The UWJKFUJFZ02DKWI3RY53 191216100 278025.00000000 NS USD 12302606.25000000 1.142388340880 Long EC CORP US N 1 N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 539830109 20626.00000000 NS USD 6991182.70000000 0.649183225338 Long EC CORP US N 1 N N N Crown Finance US, Inc. N/A 22834KAB7 81458.64000000 PA USD 54740.21000000 0.005083034961 Long LON CORP US N 2 2025-02-28 Floating 3.32000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46638UAX4 400000.00000000 PA USD 233319.24000000 0.021665423899 Long ABS-MBS CORP US N 2 2045-10-15 Variable 2.73000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419A2H9 39061.37000000 PA USD 39748.57000000 0.003690949869 Long ABS-MBS USGSE US N 2 2040-12-01 Floating 3.74000000 N N N N N N Hyatt Hotels Corp T27JQIMTYSH41TCD5186 448579102 30934.00000000 NS USD 1481738.60000000 0.137590431366 Long EC CORP US N 1 N N FedEx Corp 549300E707U7WNPZN687 31428X106 16179.00000000 NS USD 1961865.54000000 0.182173782833 Long EC CORP US N 1 N N N USI, Inc. N/A 90351NAE5 102375.00000000 PA USD 93417.19000000 0.008674479742 Long LON CORP US N 2 2024-05-16 Floating 3.99000000 N N N N N N COMM Mortgage Trust N/A 12591RBA7 115000.00000000 PA USD 122159.31000000 0.011343399003 Long ABS-MBS CORP US N 2 2047-02-10 Variable 4.07000000 N N N N N N Freddie Mac N/A 3132LQCS4 744491.96000000 PA USD 786148.33000000 0.072999709829 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 3.00000000 N N N N N N BP PLC 213800LH1BZH3DI6G760 055622104 51536.00000000 NS USD 1256963.04000000 0.116718351594 Long EC CORP GB N 1 N N N NORFOLK SOUTHERN CORP 54930036C8MWP850MI84 655844CD8 90000.00000000 PA USD 87465.76000000 0.008121845275 Long DBT CORP US N 2 2049-11-01 Fixed 3.40000000 N N N N N N GSAA Home Equity Trust N/A 362334BS2 791607.63000000 PA USD 496146.97000000 0.046070930205 Long ABS-MBS CORP US N 2 2036-03-25 Floating 1.25000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 738000.00000000 PA 857953.56000000 0.079667358610 Long DBT NUSS RO Y 2 2049-04-03 Fixed 4.63000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 8.00000000 NC USD 18157.23000000 0.001686033628 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US 10 Year Ultra Bond UXYM0 Comdty 2020-06-19 1230092.77000000 USD 18157.23000000 N N N BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 09702LGX7 800000.00000000 PA USD 794752.26000000 0.073798648616 Long STIV CORP US N 2 2020-07-31 None 0.00000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 39739.71000000 0.003690127152 N/A DFE JP N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 1405487.31000000 USD 154950000.00000000 JPY 2020-06-08 39739.71000000 N N N PROGRESSIVE CORP 529900TACNVLY9DCR586 743315AW3 285000.00000000 PA USD 309618.20000000 0.028750348878 Long DBT CORP US N 2 2030-03-26 Fixed 3.20000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AC1 10000.00000000 PA USD 9100.00000000 0.000845002570 Long DBT CORP US N 2 2027-02-15 Fixed 5.00000000 N N N N N N Fannie Mae N/A 31394DEV8 299932.70000000 PA USD 354775.33000000 0.032943523704 Long ABS-MBS USGSE US N 2 2035-04-25 Fixed 5.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8625000.00000000 OU Notional Amount USD -650474.21000000 -0.06040136036 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-04-09 0.00000000 USD 0.00000000 USD 8625000.00000000 USD -650474.21000000 N N N Florida Power & Light Co A89MY1K3YLIGJMYWVX50 341081FU6 80000.00000000 PA USD 90222.40000000 0.008377819768 Long DBT CORP US N 2 2049-03-01 Fixed 3.99000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FHLJ4 332714.39000000 PA USD 353608.22000000 0.032835148874 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TEZ4 272432.89000000 PA USD 289368.44000000 0.026870008302 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 3.50000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 550000.00000000 OU Notional Amount USD -261702.21000000 -0.02430099341 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 Markit CMBX.NA.BB.8 137BEMAG3 Y sell protection 2057-10-17 0.00000000 USD -156166.39000000 USD 550000.00000000 USD -105535.82000000 N N N Conagra Brands Inc 54930035UDEIH090K650 205887BX9 81000.00000000 PA USD 80142.78000000 0.007441852207 Long DBT CORP US N 2 2020-10-22 Floating 2.55000000 N N N N N N Commercial Metals Co 549300OQS2LO07ZJ7N73 201723AL7 60000.00000000 PA USD 55200.00000000 0.005125729876 Long DBT CORP US N 2 2027-07-15 Fixed 5.38000000 N N N N N N Univision Communications Inc. 549300YQDE2JSGTL8V47 914908AX6 140379.14000000 PA USD 120024.16000000 0.011145134471 Long LON CORP US N 2 2024-03-15 Floating 3.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FB47 15408.82000000 PA USD 17048.04000000 0.001583037100 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 5.00000000 N N N N N N Quikrete Holdings, Inc. 5493007KIN86DIZWZT22 74839XAF6 124687.50000000 PA USD 108478.13000000 0.010072999853 Long LON CORP US N 2 2027-02-01 Floating 3.49000000 N N N N N N Morgan Stanley BAML Trust N/A 61764PBV3 1993948.11000000 PA USD 70277.10000000 0.006525750563 Long ABS-MBS CORP US N 2 2047-12-15 Variable 1.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AXG7 94268.96000000 PA USD 104459.52000000 0.009699842075 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 5.00000000 N N N N N N Seattle Genetics Inc N/A 812578102 6965.00000000 NS USD 803621.70000000 0.074622241978 Long EC CORP US N 1 N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311VAD9 20000.00000000 PA USD 15994.00000000 0.001485161660 Long DBT CORP US N 2 2023-03-15 Fixed 3.88000000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 79100000.00000000 PA 735749.55000000 0.068319808880 Long STIV NUSS JP N 2 2020-04-27 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380CG23 210273.82000000 PA USD 34235.71000000 0.003179039883 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X53X3 169032.45000000 PA USD 184818.21000000 0.017161743129 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 060505104 442399.00000000 NS USD 9392130.77000000 0.872129081402 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380VVG3 295699.55000000 PA USD 312183.23000000 0.028988530960 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 3.00000000 N N N N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348BM7 115000.00000000 PA USD 107769.18000000 0.010007168581 Long DBT CORP US N 2 2050-05-15 Fixed 3.30000000 N N N N N N IND & COMM BK CHN/SYDNEY 5493002ERZU2K9PZDL40 000000000 645000.00000000 PA USD 646990.55000000 0.060077876667 Long DBT CORP CN Y 2 2021-05-21 Floating 2.45000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376VPU5 502824.58000000 PA USD 90987.42000000 0.008448857556 Long ABS-MBS USGA US N 2 2040-02-16 Fixed 5.00000000 N N N N N N WEX Inc T9M5IGROL1TL1G5OV478 96208T104 11843.00000000 NS USD 1238185.65000000 0.114974731505 Long EC CORP US N 1 N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HBQ7 255000.00000000 PA USD 254671.24000000 0.023648115644 Long DBT CORP US N 2 2020-05-12 Floating 2.47000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379PBT3 354202.40000000 PA USD 364466.58000000 0.033843428227 Long ABS-MBS USGA US N 2 2043-09-20 Fixed 1.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 40000.00000000 OU Notional Amount USD -46.00000000 -0.00000427144 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2050-03-24 0.00000000 USD 0.00000000 USD 40000.00000000 USD -46.00000000 N N N UBS Commercial Mortgage Trust N/A 90276CAF8 975402.13000000 PA USD 56240.22000000 0.005222322027 Long ABS-MBS CORP US N 2 2050-08-15 Variable 1.09000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378GRL4 248134.77000000 PA USD 39937.02000000 0.003708448851 Long ABS-MBS USGA US N 2 2041-10-16 Fixed 5.00000000 N N N N N N Splunk Inc 549300XGDSGBP6UEI867 848637104 8386.00000000 NS USD 1058564.78000000 0.098295599986 Long EC CORP US N 1 N N N Reynolds Group Holdings Inc. 5493002QNV81KCX40V06 76173FAU1 249826.61000000 PA USD 238272.13000000 0.022125336513 Long LON CORP US N 2 2023-02-05 Floating 3.74000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXG55 1771710.21000000 PA USD 1911190.47000000 0.177468226306 Long ABS-MBS USGSE US N 2 2057-09-01 Fixed 3.50000000 N N N N N N Towd Point Mortgage Trust 549300ZHISOOIT5VZP03 89172HAK3 19367.78000000 PA USD 19303.67000000 0.001792489095 Long ABS-O CORP US N 2 2054-03-25 Variable 3.00000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 260000.00000000 PA USD 276741.74000000 0.025697525450 Long DBT CORP GB N 2 2029-06-19 Fixed 4.58000000 N N N N N N Pioneer Natural Resources Co FY8JBF7CCL2VE4F1B628 723787107 9406.00000000 NS USD 659830.90000000 0.061270198508 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X4PM6 49899.29000000 PA USD 54557.61000000 0.005066079195 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAH0 420000.00000000 PA USD 419371.38000000 0.038941746592 Long DBT CORP CH N 2 2022-02-01 Fixed 2.65000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SAU7 140000.00000000 PA USD 133700.78000000 0.012415110191 Long DBT CORP US N 2 2026-09-16 Fixed 2.63000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 3814267X7 210000.00000000 PA USD 204256.93000000 0.018966772619 Long DBT CORP US N 2 2021-05-24 Floating 0.99000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379BCS5 300468.14000000 PA USD 313985.00000000 0.029155838683 Long ABS-MBS USGA US N 2 2039-12-16 Fixed 2.50000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46643ABG7 3326330.10000000 PA USD 75624.78000000 0.007022322359 Long ABS-MBS CORP US N 2 2047-09-15 Variable 0.63000000 N N N N N N United Technologies Corp I07WOS4YJ0N7YRFE7309 913017DB2 25000.00000000 PA USD 26285.62000000 0.002440814995 Long DBT CORP US N 2 2023-08-16 Fixed 3.65000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DN4 60000.00000000 PA USD 55595.09000000 0.005162416916 Long DBT CORP US N 2 2046-04-15 Fixed 3.70000000 N N N N N N WF-RBS Commercial Mortgage Trust 549300QGM7D5K3CV2643 96221TAE7 40000.00000000 PA USD 42610.61000000 0.003956711535 Long ABS-MBS CORP US N 2 2047-03-15 Fixed 4.05000000 N N N N N N Towd Point Mortgage Trust 2017-4 N/A 89173UAA5 933123.77000000 PA USD 903561.20000000 0.083902366634 Long ABS-MBS CORP US N 2 2057-06-25 Variable 2.75000000 N N N N N N UBS-Barclays Commercial Mortgage Trust N/A 90270YBF5 240000.00000000 PA USD 243480.74000000 0.022608994627 Long ABS-MBS CORP US N 2 2046-03-10 Fixed 3.18000000 N N N N N N REYNOLDS GRP ISS/REYNOLD N/A 761735AT6 75000.00000000 PA USD 74436.75000000 0.006912004952 Long DBT CORP US N 2 2023-07-15 Fixed 5.13000000 N N N N N N DOMINION ENERGY SOUTH 3QRVFYR22IUIEOORTK28 837004CJ7 95000.00000000 PA USD 118894.89000000 0.011040273366 Long DBT CORP US N 2 2065-06-01 Fixed 5.10000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280AV1 565000.00000000 PA USD 568108.44000000 0.052753087030 Long DBT CORP GB N 2 2021-03-08 Fixed 3.40000000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAE0 540000.00000000 PA USD 575100.00000000 0.053402305291 Long DBT CORP US N 2 2028-03-20 Fixed 5.15000000 N N N N N N Athene Holding Ltd 549300H316CT32FQXI76 000000000 73870.00000000 NS USD 1833453.40000000 0.170249762135 Long EC CORP BM N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380KPS8 531841.00000000 PA USD 106806.81000000 0.009917805381 Long ABS-MBS USGA US N 2 2043-12-20 Fixed 5.00000000 N N N N N N State of California N/A 13063BBU5 30000.00000000 PA USD 46370.70000000 0.004305863811 Long DBT MUN US N 2 2039-11-01 Fixed 7.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WXEX1 47187.13000000 PA USD 50678.30000000 0.004705856456 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61746BEA0 680000.00000000 PA USD 679520.94000000 0.063098564927 Long DBT CORP US N 2 2021-04-21 Fixed 2.50000000 N N N N N N GEORGIA POWER CO D981X4Z4RWS7PDMJUZ03 373334KM2 530000.00000000 PA USD 516842.05000000 0.047992622050 Long DBT CORP US N 2 2023-07-30 Fixed 2.10000000 N N N N N N Trane Technologies PLC 549300BURLR9SLYY2705 000000000 27702.00000000 NS USD 2287908.18000000 0.212449262922 Long EC CORP IE N 1 N N N Vertex Pharmaceuticals Inc 54930015RAQRRZ5ZGJ91 92532F100 6710.00000000 NS USD 1596644.50000000 0.148260297392 Long EC CORP US N 1 N N N Uber Technologies Inc 549300B2FTG34FILDR98 90353T100 134763.00000000 NS USD 3762582.96000000 0.349383766151 Long EC CORP US N 1 N N N NISSAN CANADA INC 549300FB6BLSXAFYY574 65478FAC6 150000.00000000 PA 106527.39000000 0.009891859159 Long DBT CORP CA N 2 2020-04-09 Fixed 1.75000000 N N N N N N Bank of Montreal NQQ6HPCNCCU6TUTQYE16 000000000 1.00000000 NC 4369.46000000 0.000405736805 N/A DFE US N 2 Bank of Montreal NQQ6HPCNCCU6TUTQYE16 413000.00000000 GBP 518040.36000000 USD 2020-06-17 4369.46000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XHBF7 156364.11000000 PA USD 169936.28000000 0.015779845426 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.50000000 N N N N N N Baxter International Inc J5OIVXX3P24RJRW5CK77 071813109 50452.00000000 NS USD 4096197.88000000 0.380362388664 Long EC CORP US N 1 N N N Ingevity Corp 5493009UTFC4B5IMGF87 45688C107 23105.00000000 NS USD 813296.00000000 0.075520572568 Long EC CORP US N 1 N N N XCEL ENERGY INC LGJNMI9GH8XIDG5RCM61 98389BAX8 160000.00000000 PA USD 140988.63000000 0.013091841178 Long DBT CORP US N 2 2049-12-01 Fixed 3.50000000 N N N N N N COMM Mortgage Trust N/A 12655HAA3 1010000.00000000 PA USD 908617.61000000 0.084371891848 Long ABS-MBS CORP US N 2 2036-10-15 Floating 1.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410G4B6 49953.15000000 PA USD 57379.37000000 0.005328100563 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6.00000000 N N N N N N INGERSOLL-RAND LUX FINAN 549300GHBOWCVY92IS29 456873AF5 80000.00000000 PA USD 89462.77000000 0.008307282482 Long DBT CORP LU N 2 2049-03-21 Fixed 4.50000000 N N N N N N Avery Point CLO Ltd 549300RWY6OWBAXCT467 05363UAS2 476568.59000000 PA USD 470940.79000000 0.043730349229 Long ABS-CBDO CORP KY N 2 2026-04-25 Floating 2.89000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833DP2 1225000.00000000 PA USD 1257009.25000000 0.116722642535 Long DBT CORP US N 2 2029-09-11 Fixed 2.20000000 N N N N N N Western Digital Corp 549300QQXOOYEF89IC56 958102AM7 60000.00000000 PA USD 60990.00000000 0.005663374369 Long DBT CORP US N 2 2026-02-15 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EJCD8 525230.59000000 PA USD 559796.08000000 0.051981222683 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4.50000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAF0 270000.00000000 PA USD 223530.81000000 0.020756495492 Long DBT CORP US N 2 2028-06-15 Fixed 4.95000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBU2 575000.00000000 PA USD 585842.95000000 0.054399867968 Long DBT CORP US N 2 2026-11-21 Fixed 2.95000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJA8 1180000.00000000 PA USD 1339503.89000000 0.124382882407 Long DBT CORP US N 2 2051-03-20 Fixed 4.08000000 N N N N N N Genpact Ltd 529900OSEC6Q0L4L5B35 000000000 67109.00000000 NS USD 1959582.80000000 0.181961813474 Long EC CORP BM N 1 N N N GlycoMimetics Inc 549300TZ84FFU2J2J459 38000Q102 28848.00000000 NS USD 65773.44000000 0.006107552291 Long EC CORP US N 1 N N N WEX Inc. T9M5IGROL1TL1G5OV478 96208UAP6 404365.48000000 PA USD 353819.80000000 0.032854795648 Long LON CORP US N 2 2026-05-15 Floating 3.24000000 N N N N N N Mirati Therapeutics Inc 529900GYRW59IDQV6N54 60468T105 3336.00000000 NS USD 256438.32000000 0.023812202143 Long EC CORP US N 1 N N Hub International Limited 549300JQT6ATTUNS5E06 44332EAP1 118200.00000000 PA USD 111699.00000000 0.010372081548 Long LON CORP US N 2 2025-04-25 Floating 4.55000000 N N N N N N GSR Mortgage Loan Trust N/A 362669AK9 217477.38000000 PA USD 173583.72000000 0.016118537313 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FFLC3 458438.71000000 PA USD 487189.95000000 0.045239204390 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N Fannie Mae N/A 3136AXX91 619023.64000000 PA USD 660597.14000000 0.061341349582 Long ABS-MBS USGSE US N 2 2047-09-25 Fixed 3.00000000 N N N N N N CLECO CORPORATE HOLDINGS 5493002H80P81B3HXL31 18551PAD1 20000.00000000 PA USD 19279.94000000 0.001790285588 Long DBT CORP US N 2 2046-05-01 Fixed 4.97000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AP5 310000.00000000 PA USD 318405.67000000 0.029566330717 Long DBT CORP US N 2 2058-04-15 Fixed 4.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2610000.00000000 OU Notional Amount USD -229968.64000000 -0.02135429581 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 US Federal Funds Effective Rate FEDL01 Index Y 2026-11-14 0.00000000 USD 0.00000000 USD 2610000.00000000 USD -229968.64000000 N N N Fannie Mae N/A 3136AAKA2 54198.37000000 PA USD 7907.12000000 0.000734234804 Long ABS-MBS USGSE US N 2 2042-11-25 Fixed 4.00000000 N N N N N N JPN BANK FOR INT'L COOP 549300TJ3QFYVCTSCJ29 471048BF4 200000.00000000 PA USD 199899.98000000 0.018562197460 Long DBT NUSS JP N 2 2020-06-01 Floating 2.06000000 N N N N N N Seneca Park CLO Ltd N/A 817176AL4 284041.48000000 PA USD 281800.11000000 0.026167232664 Long ABS-CBDO CORP KY N 2 2026-07-17 Floating 2.96000000 N N N N N N Telefonica Emisiones SAU 549300Y5MFC4SW5Z3K71 87938WAW3 335000.00000000 PA USD 370751.76000000 0.034427053859 Long DBT CORP ES N 2 2048-03-06 Fixed 4.90000000 N N N N N N Nexstar Broadcasting, Inc. 5493006PK6I4I2OOT688 65336RAW8 158503.14000000 PA USD 149785.47000000 0.013908693091 Long LON CORP US N 2 2026-09-18 Floating 4.33000000 N N N N N N ALIBABA GROUP HOLDING 5493001NTNQJDH60PM02 01609WAV4 200000.00000000 PA USD 244190.51000000 0.022674902041 Long DBT CORP KY N 2 2047-12-06 Fixed 4.20000000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92937EAZ7 185000.00000000 PA USD 186287.29000000 0.017298158115 Long ABS-MBS CORP US N 2 2045-03-15 Fixed 3.07000000 N N N N N N NRG Energy Inc 5E2UPK5SW04M13XY7I38 629377508 116031.00000000 NS USD 3163005.06000000 0.293708506089 Long EC CORP US N 1 N N N American International Group Inc ODVCVCQG2BP6VHV36M30 026874784 112720.00000000 NS USD 2733460.00000000 0.253822057766 Long EC CORP US N 1 N N N AT&T Inc 549300Z40J86GGSTL398 00206RGQ9 326000.00000000 PA USD 350880.67000000 0.032581875604 Long DBT CORP US N 2 2030-02-15 Fixed 4.30000000 N N N N N N GS Mortgage Securities Trust N/A 36252WAJ7 235000.00000000 PA USD 76573.58000000 0.007110425484 Long ABS-MBS CORP US N 2 2047-04-10 Fixed 3.67000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402SV38 1617.20000000 PA USD 1792.01000000 0.000166401434 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.00000000 N N N N N N Nokia OYJ 549300A0JPRWG1KI7U06 654902AC9 110000.00000000 PA USD 111430.00000000 0.010347102901 Long DBT CORP FI N 2 2039-05-15 Fixed 6.63000000 N N N N N N Chicago Board of Education 54930099NR6T9V7LVB43 167505KH8 325000.00000000 PA USD 318987.50000000 0.029620357953 Long DBT MUN US N 2 2039-12-01 Fixed 6.14000000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBN4 405000.00000000 PA USD 415442.38000000 0.038576909768 Long DBT CORP US N 2 2030-04-02 Fixed 4.91000000 N N N N N N SUNOCO LOGISTICS PARTNER 5493006LL0CKP8WQW329 86765BAQ2 35000.00000000 PA USD 27500.74000000 0.002553647910 Long DBT CORP US N 2 2045-05-15 Fixed 5.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A74A3 10409.83000000 PA USD 10511.46000000 0.000976067111 Long ABS-MBS USGSE US N 2 2041-03-01 Floating 4.16000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBU1 1183000.00000000 PA USD 1377213.31000000 0.127884482058 Long DBT CORP US N 2 2039-01-23 Fixed 5.45000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AH2 60000.00000000 PA USD 53184.00000000 0.004938529307 Long DBT US N 2 2026-04-15 Fixed 5.38000000 N N N N N N Teradyne Inc C3X4YJ278QNZHRJULN75 880770102 36674.00000000 NS USD 1986630.58000000 0.184473400685 Long EC CORP US N 1 N N N UBS-Barclays Commercial Mortgage Trust N/A 90349DAD4 641536.86000000 PA USD 642829.36000000 0.059691479278 Long ABS-MBS CORP US N 2 2049-08-10 Fixed 3.09000000 N N N N N N BAXTER INTERNATIONAL INC J5OIVXX3P24RJRW5CK77 071813BW8 105000.00000000 PA USD 113534.93000000 0.010542561281 Long DBT CORP US N 2 2030-04-01 Fixed 3.95000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 185000.00000000 OU Notional Amount USD -40932.45000000 -0.00380088191 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -26508.75000000 USD 185000.00000000 USD -14423.70000000 N N N UGI Corp DX6GCWD4Q1JO9CRE5I40 902681105 18831.00000000 NS USD 502222.77000000 0.046635113350 Long EC CORP US N 1 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBG4 70000.00000000 PA USD 66145.46000000 0.006142097111 Long DBT CORP US N 2 2021-09-09 Floating 1.90000000 N N N N N N New Residential Mortgage Loan Trust N/A 64829JAA1 1186526.96000000 PA USD 1228236.94000000 0.114050919909 Long ABS-MBS CORP US N 2 2057-02-25 Variable 4.00000000 N N N N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 68233JBR4 80000.00000000 PA USD 77712.61000000 0.007216192878 Long DBT CORP US N 2 2049-09-15 Fixed 3.10000000 N N N N N N Benchmark Mortgage Trust N/A 08161HAG5 4445270.44000000 PA USD 138777.79000000 0.012886548268 Long ABS-MBS CORP US N 2 2051-07-15 Variable 0.54000000 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773CY4 375000.00000000 PA USD 365228.17000000 0.033914147513 Long DBT CORP US N 2 2025-01-28 Fixed 2.38000000 N N N N N N Freddie Mac N/A 3137BSAJ2 185133.98000000 PA USD 33486.68000000 0.003109486886 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GPSA7 272175.58000000 PA USD 296226.14000000 0.027506796667 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174468C6 180000.00000000 PA USD 192643.54000000 0.017888383125 Long DBT CORP US N 2 2025-07-23 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617G1SM1 308394.39000000 PA USD 331464.58000000 0.030778947477 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N Benchmark Mortgage Trust N/A 08162PAY7 2479054.37000000 PA USD 77211.39000000 0.007169650879 Long ABS-MBS CORP US N 2 2051-01-15 Variable 0.52000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 182000.00000000 OU Notional Amount USD 6212.02000000 0.000576832183 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2050-03-13 0.00000000 USD 0.00000000 USD 182000.00000000 USD 6212.02000000 N N N Freddie Mac N/A 31398EX82 402235.38000000 PA USD 456462.58000000 0.042385939925 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 4.75000000 N N N N N N IHS Markit Ltd 549300HLPTRASHS0E726 000000000 16349.00000000 NS USD 980940.00000000 0.091087562775 Long EC CORP BM N 1 N N N WYNN LAS VEGAS LLC/CORP N/A 983130AV7 20000.00000000 PA USD 18600.00000000 0.001727148110 Long DBT CORP US N 2 2025-03-01 Fixed 5.50000000 N N N N N N Global Payments Inc 549300NOMHGVQBX6S778 37940X102 52675.00000000 NS USD 7597315.25000000 0.705467133323 Long EC CORP US N 1 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -1665.31000000 -0.00015463639 N/A DFE XX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 189703.00000000 USD 170000.00000000 EUR 2020-06-17 -1665.31000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 13522.58000000 0.001255671962 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 275000.00000000 CAD 209154.45000000 USD 2020-09-18 13522.58000000 N N N Telenet Financing USD LLC N/A 000000000 100000.00000000 PA USD 92875.00000000 0.008624133374 Long LON CORP US N 2 2028-04-30 Floating 2.70000000 N N N N N N Sempra Energy PBBKGKLRK5S5C0Y4T545 816851109 38107.00000000 NS USD 4305709.93000000 0.399817138197 Long EC CORP US N 1 N N N Noble Energy Inc 02VFQXG2D1LR5ZH3K186 655044105 75957.00000000 NS USD 458780.28000000 0.042601155580 Long EC CORP US N 1 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 245000.00000000 NC USD 80197.05000000 0.007446891579 N/A DIR GB N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Call Purchased Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 N/A 245000.00000000 OU Notional Amount N/A 80197.05000000 0.01000000 DIR GB ICE Libor USD 3 Months US0003M Index 2059-09-24 0.00000000 N/A 0.00000000 N/A 245000.00000000 USD 1.00000000 1.85000000 USD 2029-09-20 XXXX 40139.55000000 N N N United States Treasury 254900HROIFWPRGM1V77 9128285W6 2533394.40000000 PA USD 2755100.26000000 0.255831516592 Long DBT UST US N 2 2029-01-15 Fixed 0.88000000 N N N N N N LSTAR Securities Investment Ltd N/A 50220CAA0 470389.72000000 PA USD 446734.81000000 0.041482644249 Long ABS-MBS CORP US N 2 2024-03-01 Floating 3.28000000 N N N N N N Fannie Mae N/A 3136ABFW8 757261.74000000 PA USD 47423.21000000 0.004403597180 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 3.00000000 N N N N N N JOHN DEERE CAPITAL CORP E0KSF7PFQ210NWI8Z391 24422EVF3 170000.00000000 PA USD 163558.76000000 0.015187645339 Long DBT CORP US N 2 2027-03-09 Fixed 1.75000000 N N N N N N Lifescan Global Corporation N/A 53227PAC4 93000.00000000 PA USD 74632.50000000 0.006930181793 Long LON CORP US N 2 2024-10-01 Floating 8.06000000 N N N N N N MyoKardia Inc 549300OLNNNZ1NI9UY54 62857M105 10435.00000000 NS USD 489192.80000000 0.045425183884 Long EC CORP US N 1 N N N SS&C Technologies Holdings Inc 529900POY8H7NPPNKK71 78467J100 56997.00000000 NS USD 2497608.54000000 0.231921498436 Long EC CORP US N 1 N N N Livent Corp 254900OOLQ2VNMZTJL47 53814L108 43807.00000000 NS USD 229986.75000000 0.021355977458 Long EC CORP US N 1 N N Fannie Mae N/A 3136AB2A0 625753.31000000 PA USD 77616.56000000 0.007207273922 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 4.00000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QBQ8 90000.00000000 PA USD 95575.55000000 0.008874899494 Long DBT CORP US N 2 2046-03-01 Fixed 3.80000000 N N N N N N BWX Technologies Inc 549300NP85N265KWMS58 05605HAA8 30000.00000000 PA USD 28800.00000000 0.002674293848 Long DBT CORP US N 2 2026-07-15 Fixed 5.38000000 N N N N N N State of California N/A 13063BFR8 40000.00000000 PA USD 64532.00000000 0.005992275369 Long DBT MUN US N 2 2040-03-01 Fixed 7.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241K4Z8 668632.90000000 PA USD 744973.09000000 0.069176283056 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 5.00000000 N N N N N N Etsy Inc 54930089Q7XT501AEA40 29786A106 101887.00000000 NS USD 3916536.28000000 0.363679475063 Long EC CORP US N 1 N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GQQ2 157139.82000000 PA USD 166835.91000000 0.015491953050 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967ME8 1175000.00000000 PA USD 1256083.68000000 0.116636696488 Long DBT CORP US N 2 2030-03-20 Fixed 3.98000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AN0 280000.00000000 PA USD 296611.42000000 0.027542572776 Long DBT CORP US N 2 2048-04-15 Fixed 4.60000000 N N N N N N Chicago Board of Education 54930099NR6T9V7LVB43 167505KG0 85000.00000000 PA USD 84824.05000000 0.007876542886 Long DBT MUN US N 2 2029-12-01 Fixed 6.04000000 N N N N N N FIDELITY NATIONAL INFORM 6WQI0GK1PRFVBA061U48 31620MAY2 115000.00000000 PA USD 127773.54000000 0.011864721946 Long DBT CORP US N 2 2028-05-15 Fixed 4.25000000 N N N N N N Dominos Pizza Master Issuer LLC N/A 25755TAJ9 689500.00000000 PA USD 665726.04000000 0.061817606030 Long ABS-O CORP US N 2 2048-07-25 Fixed 4.12000000 N N N N N N CF SECURED LLC 254900OXTV81I73FAT50 000000000 2000000.00000000 PA USD 2000000.00000000 0.185714850604 Long RA CORP US N 2 Repurchase Y 0.04000000 2020-04-01 744709.50000000 USD 733396.80000000 USD AMBS 404190.86000000 USD 406575.46000000 USD ACMO 825459.82000000 USD 900030.03000000 USD UST N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36192RAA0 1200000.00000000 PA USD 1177270.20000000 0.109318279656 Long ABS-MBS CORP US N 2 2034-11-05 Fixed 2.95000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 802.62000000 0.000074529226 N/A DFE CA N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 77430.93000000 USD 110000.00000000 CAD 2020-07-07 802.62000000 N N N CLECO CORPORATE HOLDINGS 5493002H80P81B3HXL31 18551QAA5 255000.00000000 PA USD 253303.71000000 0.023521130330 Long DBT CORP US N 2 2029-09-15 Fixed 3.38000000 N N N N N N AVSC Holding Corp. 549300CLJBQ9YSR4U689 00241YAM6 171684.21000000 PA USD 107302.63000000 0.009963845949 Long LON CORP US N 2 2025-03-03 Floating 4.95000000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579BM9 53894.63000000 PA USD 43337.99000000 0.004024254169 Long ABS-MBS CORP US N 2 2034-09-25 Floating 0.49000000 N N N N N N Freddie Mac N/A 3132JN7C5 59325.43000000 PA USD 64973.26000000 0.006033249637 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A 01F030645 1134000.00000000 PA USD 1189149.61000000 0.110421371083 Long ABS-MBS USGSE US N 2 2050-04-15 Fixed 3.00000000 N N N N N N KERNEL HOLDING SA 5493003GR6L4DZOS2U12 000000000 520000.00000000 PA USD 391565.20000000 0.036359736309 Long DBT CORP LU Y 2 2024-10-17 Fixed 6.50000000 N N N N N N BNQ CEN TUNISIA INT BOND 254900B5LFB16S9T2T11 000000000 0.00000000 PA 0.00000000 0.000000 Long DBT NUSS TN N 2 2026-07-15 Fixed 6.38000000 N N N N N N Voya Financial Inc 549300T065Z4KJ686G75 929089100 45953.00000000 NS USD 1863394.15000000 0.173029983092 Long EC CORP US N 1 N N N VNO Mortgage Trust N/A 91830CAA6 1105000.00000000 PA USD 1099566.72000000 0.102102934567 Long ABS-MBS CORP US N 2 2030-11-15 Fixed 3.00000000 N N N N N N Shockwave Medical Inc 549300LDXO56IC5Y1538 82489T104 44200.00000000 NS USD 1466556.00000000 0.136180614221 Long EC CORP US N 1 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 5925000.00000000 OU Notional Amount USD -688514.62000000 -0.06393369489 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.EM.S33.V1 2I65BZDN9 Y sell protection 2025-06-20 0.00000000 USD -708398.33000000 USD 5925000.00000000 USD 19883.71000000 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDT6 190000.00000000 PA USD 204341.10000000 0.018974588429 Long DBT CORP US N 2 2039-08-15 Fixed 3.50000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAR4 70000.00000000 PA USD 54034.57000000 0.005017511047 Long DBT CORP US N 2 2050-05-15 Fixed 5.00000000 N N N N N N OCP CLO Ltd 5493006T10144GM16690 67091RAK5 682005.78000000 PA USD 670160.70000000 0.062229397140 Long ABS-CBDO CORP KY N 2 2027-04-17 Floating 2.69000000 N N N N N N Pretium Mortgage Credit Partners LLC N/A 74142DAA3 1056231.26000000 PA USD 743688.42000000 0.069056991908 Long ABS-O CORP US N 2 2059-05-27 Variable 2.86000000 N N N N N N Abbott Laboratories HQD377W2YR662HK5JX27 002824100 95000.00000000 NS USD 7496450.00000000 0.696101045905 Long EC CORP US N 1 N N N Ovintiv Inc N/A 69047Q102 -58408.00000000 NS USD -157701.60000000 -0.01464376454 Short EC CORP US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 125.00000000 NC USD 409529.49000000 0.038027854026 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Ultra Long Bond WNM0 Comdty 2020-06-19 27324845.51000000 USD 409529.49000000 N N N Staples, Inc. XQM2JINI1UL7642TU573 855031AQ3 127412.18000000 PA USD 102407.54000000 0.009509300495 Long LON CORP US N 2 2026-04-16 Floating 6.52000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -18470000.00000000 NC USD -145406.92000000 -0.01350211221 N/A DCR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Written Intercontinental Exchange 5493000F4ZO33MV32P92 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A 18470000.00000000 OU Notional Amount N/A -145406.92000000 -0.01000000 DCR US Markit CDX.NA.IG.S33.V1 2I65BYDV4 sell protection 2024-12-20 0.00000000 N/A 0.00000000 N/A 18470000.00000000 USD 1.00000000 102.50000000 USD 2020-04-15 XXXX -5034.92000000 N N N Envision Healthcare Corporation 549300OL60X0LPKY8N60 29373UAC5 113562.50000000 PA USD 60869.50000000 0.005652185049 Long LON CORP US N 2 2025-10-10 Floating 4.74000000 N N N N N N Constellation Brands Inc 5493005GKEG8QCVY7037 21036PAW8 260000.00000000 PA USD 248467.79000000 0.023072079249 Long DBT CORP US N 2 2022-11-07 Fixed 2.65000000 N N N N N N Freddie Mac N/A 3137FHJ20 278373.11000000 PA USD 44285.26000000 0.004112215222 Long ABS-MBS USGSE US N 2 2048-02-15 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1210000.00000000 OU Notional Amount USD -120781.11000000 -0.01121542289 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2029-10-30 0.00000000 USD 0.00000000 USD 1210000.00000000 USD -120781.11000000 N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BG9 20000.00000000 PA USD 10070.85000000 0.000935153201 Long DBT CORP US N 2 2049-07-01 Fixed 5.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F8BQ9 70213.92000000 PA USD 75531.50000000 0.007013660619 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 4.00000000 N N N N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 01626PAM8 90000.00000000 PA USD 83659.44000000 0.007768400200 Long DBT CORP CA N 2 2030-01-25 Fixed 2.95000000 N N N N N N CANADIAN NATL RESOURCES 549300T15RIMIKZC5Q38 13638ZCE3 580000.00000000 PA 408180.20000000 0.037902562431 Long DBT CORP CA N 2 2020-08-14 Fixed 2.89000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 4707.08000000 0.000437087329 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 110000.00000000 CAD 82940.63000000 USD 2020-07-07 4707.08000000 N N N CREDIT AGRICOLE CIB NY 1VUV7VQFKUOQSJ21A208 22532XKA5 1100000.00000000 PA USD 1086751.11000000 0.100912910018 Long STIV CORP FR N 2 2020-09-24 Floating 1.60000000 N N N N N N Bank N/A 06541RBC6 3667522.89000000 PA USD 193640.44000000 0.017980952692 Long ABS-MBS CORP US N 2 2052-12-15 Variable 0.70000000 N N N N N N Waste Management Inc 549300YX8JIID70NFS41 94106LBH1 295000.00000000 PA USD 307017.25000000 0.028508831358 Long DBT CORP US N 2 2026-06-15 Fixed 3.20000000 N N N N N N Syneos Health, Inc. 549300F1ZGKDS8P6GU13 44988EAE3 49722.74000000 PA USD 48231.06000000 0.004478612051 Long LON CORP US N 2 2024-08-01 Floating 2.74000000 N N N N N N New Residential Mortgage Loan Trust N/A 64828MAA5 983694.58000000 PA USD 1018679.28000000 0.094591935149 Long ABS-MBS CORP US N 2 2057-04-25 Variable 4.00000000 N N N N N N COMM Mortgage Trust 549300FVY7JUBJ0PIH53 12625FAE6 171029.23000000 PA USD 175189.48000000 0.016267644052 Long ABS-MBS CORP US N 2 2046-03-10 Fixed 3.21000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AH7 25000.00000000 PA USD 12130.04000000 0.001126364283 Long DBT CORP US N 2 2028-03-01 Fixed 4.50000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHD4 118000.00000000 PA USD 121837.66000000 0.011313531412 Long DBT CORP US N 2 2028-12-20 Fixed 3.42000000 N N N N N N Avant Loans Funding Trust N/A 05353TAA6 82670.93000000 PA USD 81419.66000000 0.007560419996 Long ABS-O CORP US N 2 2022-01-18 Fixed 3.42000000 N N N N N N Baxalta Inc 5493000JW8DCO3T45R55 07177MAL7 17000.00000000 PA USD 17349.93000000 0.001611069828 Long DBT CORP US N 2 2022-06-23 Fixed 3.60000000 N N N N N N CenturyLink, Inc. 8M3THTGWLTYZVE6BBY25 15669GAH7 99750.00000000 PA USD 92705.16000000 0.008608362469 Long LON CORP US N 2 2027-03-15 Floating 3.24000000 N N N N N N Towd Point Mortgage Trust N/A 89172EAU8 98999.13000000 PA USD 98598.84000000 0.009155634420 Long ABS-O CORP US N 2 2055-02-25 Variable 2.75000000 N N N N N N COMM Mortgage Trust 549300CJNWCNIHR7IT87 12625CAC7 1065000.00000000 PA USD 1096906.55000000 0.101855918030 Long ABS-MBS CORP US N 2 2031-03-10 Fixed 3.42000000 N N N N N N Credit Suisse First Boston Mortgage Securities N/A 225458RW0 1850.89000000 PA USD 1810.11000000 0.000168082154 Long ABS-MBS CORP US N 2 2037-04-15 Fixed 4.88000000 N N N N N N SVMK Inc N/A 78489X103 164957.00000000 NS USD 2228569.07000000 0.206939185948 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36183QUL7 59149.06000000 PA USD 62702.70000000 0.005822411281 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 3.00000000 N N N N N N Edison International 549300I7ROF15MAEVP56 281020107 30958.00000000 NS USD 1696188.82000000 0.157503726651 Long EC CORP US N 1 N N N Regional Management Issuance Trust N/A 75907PAA8 950000.00000000 PA USD 910358.12000000 0.084533511126 Long ABS-O CORP US N 2 2027-07-15 Fixed 3.83000000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92936CBA6 105000.00000000 PA USD 84035.15000000 0.007803287663 Long ABS-MBS CORP US N 2 2044-06-15 Variable 5.00000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174468G7 75000.00000000 PA USD 83356.50000000 0.007740269972 Long DBT CORP US N 2 2030-01-23 Fixed 4.43000000 N N N N N N Zelis Healthcare Corporation 549300U8NGLZN5R1Y309 98932TAC7 124687.50000000 PA USD 115335.94000000 0.010709798433 Long LON CORP US N 2 2026-09-30 Floating 5.74000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHW2 485000.00000000 PA USD 489103.40000000 0.045416882430 Long DBT CORP US N 2 2025-10-22 Fixed 2.46000000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493002S7XBI8CVRR075 94989HBM1 80000.00000000 PA USD 63711.36000000 0.005916072852 Long ABS-MBS CORP US N 2 2048-05-15 Variable 4.16000000 N N N N N N Freddie Mac N/A 3132GVGT3 98743.33000000 PA USD 106692.27000000 0.009907169491 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N Republic of Argentina 549300KPBYGYF7HCHO27 000000000 370000.00000000 PA 94672.89000000 0.008791080811 Long DBT NUSS AR Y 2 2028-01-15 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WMWM9 389563.61000000 PA USD 412635.80000000 0.038316297975 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X5NJ2 161129.75000000 PA USD 175976.56000000 0.016340730275 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BC7 90000.00000000 PA USD 106602.04000000 0.009898790966 Long DBT CORP US N 2 2055-10-23 Fixed 6.83000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CP8 170000.00000000 PA USD 147602.97000000 0.013706031761 Long DBT CORP US N 2 2035-02-01 Fixed 3.25000000 N N N N N N Morgan Stanley Mortgage Loan Trust N/A 61749CAG6 178211.15000000 PA USD 110173.31000000 0.010230409903 Long ABS-MBS CORP US N 2 2036-05-25 Variable 3.90000000 N N N N N N COMM Mortgage Trust N/A 12624XAD0 145000.00000000 PA USD 147948.47000000 0.013738114001 Long ABS-MBS CORP US N 2 2046-03-10 Fixed 3.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGVA9 23964.21000000 PA USD 26586.98000000 0.002468798509 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 5.00000000 N N N N N N APX Group, Inc. 549300OMQVKPRU98OE64 00213NAF9 98750.00000000 PA USD 85418.75000000 0.007931765197 Long LON CORP US N 2 2025-12-31 Floating 6.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379F3V9 228412.13000000 PA USD 14625.91000000 0.001358124345 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 3.50000000 N N N N N N WILLIAM CARTER TGI2A0HXEYNQPU7TYV27 96926JAC1 50000.00000000 PA USD 47928.25000000 0.004450493894 Long DBT CORP US N 2 2027-03-15 Fixed 5.63000000 N N N N N N Radius Health Inc 549300EV6I2M6E0YVT27 750469207 46381.00000000 NS USD 602953.00000000 0.055988663158 Long EC CORP US N 1 N N N DOMINION ENERGY GAS HLDG 549300BFOD6TDMVV4O24 257375AN5 475000.00000000 PA USD 461527.49000000 0.042856254427 Long DBT CORP US N 2 2024-11-15 Fixed 2.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFD1 100000.00000000 PA USD 118680.64000000 0.011020378663 Long DBT CORP US N 2 2050-03-22 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179T4P7 1816953.42000000 PA USD 1940895.06000000 0.180226518053 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 4.00000000 N N N N N N New Residential Mortgage Loan Trust N/A 64828FCQ3 1020297.50000000 PA USD 947806.28000000 0.088010850845 Long ABS-MBS CORP US N 2 2048-01-25 Floating 1.70000000 N N N N N N Freddie Mac - STACR 54930047IR7X5WWFY307 35563MAH9 1161487.96000000 PA USD 980491.08000000 0.091045877220 Long ABS-MBS USGSE US N 2 2049-02-25 Floating 3.30000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBF6 75000.00000000 PA USD 62778.46000000 0.005829446160 Long DBT CORP US N 2 2047-12-01 Fixed 5.20000000 N N N N N N SUNOCO LOGISTICS PARTNER 5493006LL0CKP8WQW329 86765BAP4 35000.00000000 PA USD 29141.92000000 0.002706043659 Long DBT CORP US N 2 2044-04-01 Fixed 5.30000000 N N N N N N TC Energy Corp 549300UGKOFV2IWJJG27 87807B107 63789.00000000 NS USD 2825852.70000000 0.262401406004 Long EC CORP CA N 1 N N N Vornado Realty Trust N/A 929042109 26648.00000000 NS USD 964924.08000000 0.089600365680 Long EC US N 1 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCM4 105000.00000000 PA USD 143643.05000000 0.013338323785 Long DBT CORP US N 2 2054-08-21 Fixed 5.01000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 2742.83000000 0.000254692131 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 170000.00000000 EUR 190539.57000000 USD 2020-05-14 2742.83000000 N N N EVERGY INC 549300PGTHDQY6PSUI61 30034WAB2 425000.00000000 PA USD 402605.26000000 0.037384887856 Long DBT CORP US N 2 2029-09-15 Fixed 2.90000000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 92553PBC5 15000.00000000 PA USD 12900.00000000 0.001197860786 Long DBT CORP US N 2 2057-02-28 Fixed 6.25000000 N N N N N N Fannie Mae N/A 3136B2EF5 936791.39000000 PA USD 998462.24000000 0.092714632867 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 3.00000000 N N N N N N Ingersoll Rand Inc 5299004C02FMZCUOIR50 45687V106 247874.00000000 NS USD 6147275.20000000 0.570820147695 Long EC CORP US N 1 N N Deutsche Alt-A Securities INC Mortgage Loan Trust N/A 25150MAC0 305783.84000000 PA USD 262931.81000000 0.024415170906 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.10000000 N N N N N N IPALCO Enterprises Inc 5493000YFVK2DZX0JV43 462613AM2 335000.00000000 PA USD 347240.76000000 0.032243882933 Long DBT CORP US N 2 2024-09-01 Fixed 3.70000000 N N N N N N WMG Acquisition Corp 549300NAS11NXI33CP80 92933BAK0 40000.00000000 PA USD 39700.00000000 0.003686439784 Long DBT CORP US N 2 2023-08-01 Fixed 5.00000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAB8 150000.00000000 PA USD 146539.65000000 0.013607294603 Long DBT CORP US N 2 2029-08-15 Fixed 3.20000000 N N N N N N Minerva Luxembourg SA 222100NM3G3RCPGZ2Z17 000000000 485000.00000000 PA USD 441551.28000000 0.041001314999 Long DBT CORP LU Y 2 2026-09-20 Fixed 6.50000000 N N N N N N SERVICE CORP INTL 549300RKVM2ME20JHZ15 817565CE2 858000.00000000 PA USD 875160.00000000 0.081265104327 Long DBT CORP US N 2 2029-06-01 Fixed 5.13000000 N N N N N N Triton International Ltd/Bermuda N/A 000000000 27440.00000000 NS USD 709872.80000000 0.065916960499 Long EC CORP BM N 1 N N N DREYFUS TREASURY & AGENCY LEX N/A 000000000 1000000.00000000 NS USD 1000000.00000000 0.092857425302 Long STIV RF US N 1 N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 151.31000000 0.000014050257 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 20000.00000000 EUR 22383.60000000 USD 2020-11-27 151.31000000 N N N Countrywide Alternative Loan Trust N/A 12668APP4 559851.36000000 PA USD 425849.43000000 0.039543281636 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.50000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AP5 520000.00000000 PA USD 504559.30000000 0.046852077510 Long DBT CORP GB N 2 2025-05-14 Fixed 4.88000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 170000.00000000 OU Notional Amount USD -37613.60000000 -0.00349270205 N/A DCR GB N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -25789.33000000 USD 170000.00000000 USD -11824.27000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CG81 719035.52000000 PA USD 760930.16000000 0.070658015492 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 3.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -42288.58000000 -0.00392680865 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 252700000.00000000 JPY 2312709.01000000 USD 2020-05-18 -42288.58000000 N N N Freddie Mac N/A 3132JN3G0 29888.37000000 PA USD 32457.42000000 0.003013912453 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Dominos Pizza Master Issuer LLC N/A 25755TAL4 329175.00000000 PA USD 293564.85000000 0.027259676130 Long ABS-O CORP US N 2 2049-10-25 Fixed 3.67000000 N N N N N N Advanced Micro Devices Inc R2I72C950HOYXII45366 007903107 106456.00000000 NS USD 4841618.88000000 0.449580263490 Long EC CORP US N 1 N N N Equitable Holdings Inc 549300FIBAKMNHPZ4009 29452E101 197796.00000000 NS USD 2858152.20000000 0.265400654413 Long EC CORP US N 1 N N N IDEXX Laboratories Inc OGMTXK0LUU1HKV2P0J84 45168D104 6155.00000000 NS USD 1490987.20000000 0.138449232550 Long EC CORP US N 1 N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DL1 50000.00000000 PA USD 51981.51000000 0.004826869181 Long DBT CORP US N 2 2050-04-01 Fixed 4.25000000 N N N N N N Angel Oak Mortgage Trust N/A 03464QAA3 1204095.61000000 PA USD 1157779.83000000 0.107508454080 Long ABS-MBS CORP US N 2 2059-05-25 Variable 2.93000000 N N N N N N SM Energy Co 84BUTVXV5ODI6BXNMH43 78454LAN0 15000.00000000 PA USD 4500.00000000 0.000417858413 Long DBT CORP US N 2 2026-09-15 Fixed 6.75000000 N N N N N N Edwards Lifesciences Corp YA13X31F3V31L8TMPR58 28176E108 13970.00000000 NS USD 2635021.40000000 0.244681302819 Long EC CORP US N 1 N N N Fannie Mae N/A 3136B06K7 934669.68000000 PA USD 1025480.13000000 0.095223444570 Long ABS-MBS USGSE US N 2 2047-11-25 Fixed 3.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148YAA6 410000.00000000 PA USD 411715.31000000 0.038230823644 Long DBT CORP US N 2 2038-10-31 Fixed 4.02000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 10751.51000000 0.000998357536 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 235000.00000000 CAD 177822.57000000 USD 2020-05-22 10751.51000000 N N N Sempra Energy PBBKGKLRK5S5C0Y4T545 816851BH1 165000.00000000 PA USD 154910.26000000 0.014384567896 Long DBT CORP US N 2 2038-02-01 Fixed 3.80000000 N N N N N N MSCI INC 549300HTIN2PD78UB763 55354GAK6 5000.00000000 PA USD 4743.75000000 0.000440492411 Long DBT CORP US N 2 2030-09-01 Fixed 3.63000000 N N N N N N MSCI INC 549300HTIN2PD78UB763 55354GAF7 1045000.00000000 PA USD 1060675.00000000 0.098491549582 Long DBT CORP US N 2 2027-05-15 Fixed 5.38000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 660000.00000000 OU Notional Amount USD -146029.29000000 -0.01355990388 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -74950.68000000 USD 660000.00000000 USD -71078.61000000 N N N Commonwealth Edison Co D8YOXB8L2ZDC8P7Q0771 202795JJ0 325000.00000000 PA USD 344179.09000000 0.031959584140 Long DBT CORP US N 2 2046-06-15 Fixed 3.65000000 N N N N N N MSCI INC 549300HTIN2PD78UB763 55354GAH3 20000.00000000 PA USD 19867.60000000 0.001844854182 Long DBT CORP US N 2 2029-11-15 Fixed 4.00000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07333NAA0 776742.85000000 PA USD 776035.86000000 0.072060691901 Long ABS-O CORP US N 2 2064-10-28 Variable 4.00000000 N N N N N N Legacy Mortgage Asset Trust 2018-GS1 N/A 52473DAA8 1478939.08000000 PA USD 1425474.10000000 0.132365854760 Long ABS-O CORP US N 2 2058-03-25 Variable 4.00000000 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBU3 170000.00000000 PA USD 173122.92000000 0.016075748611 Long DBT CORP GB N 2 2050-09-17 Fixed 4.25000000 N N N N N N Novartis AG 5493007HIVTX6SY6XD66 66987V109 18603.00000000 NS USD 1533817.35000000 0.142426330004 Long EC CORP CH N 1 N N N New Residential Mortgage Loan Trust N/A 64830CAA3 991001.48000000 PA USD 1018857.54000000 0.094608487914 Long ABS-MBS CORP US N 2 2057-09-25 Variable 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418BYW0 133466.81000000 PA USD 140145.19000000 0.013013521511 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 3.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 471.86000000 0.000043815704 N/A DFE XX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 77024.22000000 USD 70000.00000000 EUR 2020-07-14 471.86000000 N N N Under Armour Inc 549300D4549QKWETZ406 904311206 226529.00000000 NS USD 1825823.74000000 0.169541291551 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H040640 2127000.00000000 PA USD 2259725.65000000 0.209832305748 Long ABS-MBS USGA US N 2 2050-04-21 Fixed 4.00000000 N N N N N N Waste Management Inc 549300YX8JIID70NFS41 94106LBG3 95000.00000000 PA USD 101661.50000000 0.009440025142 Long DBT CORP US N 2 2029-06-15 Fixed 3.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H6C80 208261.91000000 PA USD 223057.88000000 0.020712580430 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042646 2205000.00000000 PA USD 2340486.91000000 0.217331588415 Long ABS-MBS USGA US N 2 2050-04-21 Fixed 4.50000000 N N N N N N IHS Markit Ltd 549300HLPTRASHS0E726 44962LAG2 940000.00000000 PA USD 978051.20000000 0.090819316245 Long DBT CORP BM N 2 2023-08-01 Fixed 4.13000000 N N N N N N Fannie Mae - CAS N/A 30711XBF0 114685.67000000 PA USD 113394.10000000 0.010529484170 Long ABS-MBS USGSE US N 2 2028-04-25 Floating 6.65000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07388DAC2 252278.57000000 PA USD 211765.61000000 0.019664009312 Long ABS-MBS CORP US N 2 2036-07-25 Variable 4.08000000 N N N N N N Westlake Automobile Receivables Trust 2017-2 N/A 96042MAL3 1015000.00000000 PA USD 1011077.74000000 0.093886075716 Long ABS-O CORP US N 2 2022-12-15 Fixed 3.28000000 N N N N N N MPH Acquisition Holdings LLC 5493002WXOPRPTXWTU06 55328HAE1 140576.37000000 PA USD 127924.50000000 0.011878739703 Long LON CORP US N 2 2023-06-07 Floating 4.20000000 N N N N N N NEW YORK LIFE GLOBAL FDG 635400DPNHEAUHB7ZI15 64952WDL4 595000.00000000 PA USD 591280.28000000 0.054904764432 Long DBT CORP US N 2 2025-01-22 Fixed 2.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 133602.36000000 OU Notional Amount USD 12024.21000000 0.001116537181 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 ABX-HE-PENAAA 07-1 0A08AWAB5 Y buy protection 2046-05-25 18424.02000000 USD 0.00000000 USD 133602.36000000 USD -6399.81000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XHT76 137666.57000000 PA USD 150350.95000000 0.013961202108 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.50000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SAR4 310000.00000000 PA USD 343858.85000000 0.031929847478 Long DBT CORP US N 2 2044-01-31 Fixed 5.38000000 N N N N N N Freddie Mac N/A 3132KEUJ2 272035.44000000 PA USD 286685.01000000 0.026620831901 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BKP2 29073.56000000 PA USD 32220.10000000 0.002991875528 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M8VW0 214493.83000000 PA USD 232204.12000000 0.021561876727 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.00000000 N N N N N N Walt Disney Co/The 549300GZKULIZ0WOW665 254687106 72948.00000000 NS USD 7046776.80000000 0.654345550326 Long EC CORP US N 1 N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAF1 58000.00000000 PA USD 58543.17000000 0.005436168035 Long DBT CORP US N 2 2040-04-15 Fixed 6.30000000 N N N N N N Freddie Mac N/A 3128MJZB9 419063.46000000 PA USD 441514.82000000 0.040997929417 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N LITHIA MOTORS INC SE8N1EZEHPZQBCBVKD53 536797AE3 120000.00000000 PA USD 108012.00000000 0.010029716221 Long DBT CORP US N 2 2027-12-15 Fixed 4.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381TR23 794768.54000000 PA USD 81791.46000000 0.007594944387 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.50000000 N N N N N N GTP ACQUISITION PARTNERS N/A 36246MAU3 1355000.00000000 PA USD 1362760.36000000 0.126542418333 Long DBT CORP US N 2 2025-06-16 Fixed 3.48000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418BMM5 376310.60000000 PA USD 401632.63000000 0.037294571939 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N SS&C Technologies Inc. 549300KY09TR3J12JU49 78466DBF0 98484.35000000 PA USD 93609.37000000 0.008692325082 Long LON CORP US N 2 2025-04-16 Floating 2.74000000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 000000000 200000.00000000 PA USD 192700.00000000 0.017893625855 Long DBT CORP CH Y 2 2025-02-19 Fixed 7.00000000 N N N N N N UMBS, TBA N/A 01F050650 -4826000.00000000 PA USD -5205992.10000000 -0.48341502254 Short ABS-MBS USGSE US N 2 2050-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RXF1 94556.09000000 PA USD 103214.38000000 0.009584221580 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31391W5H0 2620.67000000 PA USD 2905.20000000 0.000269769391 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5.00000000 N N N N N N Verus Securitization Trust N/A 92537GAA1 603674.51000000 PA USD 591067.55000000 0.054885010872 Long ABS-MBS CORP US N 2 2059-05-25 Variable 3.21000000 N N N N N N Puget Energy Inc SYBSJ96YIDMIUY7WDR33 745310AH5 470000.00000000 PA USD 459620.40000000 0.042679166960 Long DBT CORP US N 2 2025-05-15 Fixed 3.65000000 N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SB5 868180.00000000 PA USD 1069715.19000000 0.099330998349 Long DBT UST US N 2 2048-02-15 Fixed 1.00000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CN8 315000.00000000 PA USD 361191.53000000 0.033539315516 Long DBT CORP US N 2 2045-07-20 Fixed 5.13000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 4961.60000000 0.000460721401 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 100000.00000000 CAD 76092.09000000 USD 2020-08-14 4961.60000000 N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JBD9 400000.00000000 PA USD 376007.54000000 0.034915092058 Long DBT CORP US N 2 2042-09-15 Fixed 4.50000000 N N N N N N WPX Energy Inc ZXZE9GCS2BB547GJW219 98212BAE3 125000.00000000 PA USD 76250.00000000 0.007080378679 Long DBT CORP US N 2 2024-09-15 Fixed 5.25000000 N N N N N N Fannie Mae N/A 3136B3JN1 281076.97000000 PA USD 301149.91000000 0.027964005272 Long ABS-MBS USGSE US N 2 2048-02-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ALJW8 50858.89000000 PA USD 56363.19000000 0.005233740705 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.00000000 N N N N N N Freddie Mac N/A 3137BDH74 1056000.00000000 PA USD 1126643.13000000 0.104617180286 Long ABS-MBS USGSE US N 2 2043-08-15 Fixed 3.00000000 N N N N N N Wells Fargo Mortgage Backed Securities Trust N/A 94984DAB0 80736.49000000 PA USD 72787.11000000 0.006758823629 Long ABS-MBS CORP US N 2 2036-09-25 Variable 4.81000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 000000000 250000.00000000 PA 267453.11000000 0.024835007183 Long DBT CORP CH Y 2 2022-02-19 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GBB1 47260.38000000 PA USD 50001.24000000 0.004642986408 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CS7 240000.00000000 PA USD 250234.72000000 0.023236151820 Long DBT CORP US N 2 2050-02-21 Fixed 3.38000000 N N N N N N Drive Auto Receivables Trust N/A 26209AAG6 465000.00000000 PA USD 431819.65000000 0.040097660893 Long ABS-O CORP US N 2 2027-02-16 Fixed 2.70000000 N N N N N N Deerfield Dakota Holding LLC 549300FDREJLOIGXY104 000000000 220000.00000000 PA USD 189200.00000000 0.017568624867 Long LON CORP US N 2 2027-03-05 None 0.00000000 N N N N N N Morgan Stanley BAML Trust N/A 61690VBA5 855539.08000000 PA USD 36276.48000000 0.003368540531 Long ABS-MBS CORP US N 2 2048-10-15 Variable 1.03000000 N N N N N N TELECOM ITALIA CAPITAL 549300777DJZOR5C4L39 87927VAM0 45000.00000000 PA USD 44550.00000000 0.004136798297 Long DBT CORP LU N 2 2034-09-30 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402HJF9 6499.60000000 PA USD 7193.34000000 0.000667955031 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.00000000 N N N N N N LCM Ltd Partnership 549300VQTTD2PAP2Y421 50188WAE8 1075000.00000000 PA USD 1050419.05000000 0.097539208471 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 2.86000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J6GM3 1842203.31000000 PA USD 1983917.73000000 0.184221492418 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N LSTAR Securities Investment Ltd N/A 54912JAA0 1049747.24000000 PA USD 1015112.93000000 0.094260773070 Long ABS-MBS CORP US N 2 2024-05-01 Floating 3.08000000 N N N N N N Union Pacific Corp 549300LMMRSZZCZ8CL11 907818EV6 660000.00000000 PA USD 750305.85000000 0.069671469420 Long DBT CORP US N 2 2038-09-10 Fixed 4.38000000 N N N N N N TELEFONICA EMISIONES SAU 549300Y5MFC4SW5Z3K71 87938WAX1 270000.00000000 PA USD 316831.81000000 0.029420186130 Long DBT CORP ES N 2 2049-03-01 Fixed 5.52000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 14.00000000 NC USD 17677.49000000 0.001641486207 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 10 Year US Treasury Note TYM0 Comdty 2020-06-19 1923947.51000000 USD 17677.49000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6470000.00000000 OU Notional Amount USD -488468.83000000 -0.04535795789 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-04-09 0.00000000 USD 0.00000000 USD 6470000.00000000 USD -488468.83000000 N N N TELECOM ITALIA CAPITAL 549300777DJZOR5C4L39 87927VAV0 50000.00000000 PA USD 52860.50000000 0.004908489930 Long DBT CORP LU N 2 2038-06-04 Fixed 7.72000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 465000.00000000 OU Notional Amount USD -181612.91000000 -0.01686410722 N/A DCR GB N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 Markit CMBX.NA.BB.6 137BEMAE8 Y sell protection 2063-05-11 0.00000000 USD -86601.08000000 USD 465000.00000000 USD -95011.83000000 N N N Vodafone Group PLC 213800TB53ELEUKM7Q61 92857WAQ3 425000.00000000 PA USD 493360.87000000 0.045812220133 Long DBT CORP GB N 2 2037-02-27 Fixed 6.15000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61761J3R8 180000.00000000 PA USD 186064.69000000 0.017277488053 Long DBT CORP US N 2 2026-07-27 Fixed 3.13000000 N N N N N N Univar Inc. 5493008FTB9VZW6CVA82 91335PAE9 65933.08000000 PA USD 61812.26000000 0.005739727315 Long LON CORP US N 2 2024-07-01 Floating 3.70000000 N N N N N N STATE STREET CORP 549300ZFEEJ2IP5VME73 857477BK8 25000.00000000 PA USD 25616.09000000 0.002378644163 Long DBT CORP US N 2 2031-03-30 Fixed 3.15000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VES9 215000.00000000 PA USD 240658.62000000 0.022346939829 Long DBT CORP US N 2 2029-02-08 Fixed 3.88000000 N N N N N N Centene Corp 549300Z7JJ4TQSQGT333 15135B101 21000.00000000 NS USD 1247610.00000000 0.115849852381 Long EC CORP US N 1 N N N Delta 2 (LUX) S.a.r.l. N/A 000000000 241686.32000000 PA USD 217215.58000000 0.020170079494 Long LON CORP LU N 2 2024-02-01 Floating 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380CNU3 123557.01000000 PA USD 23386.99000000 0.002171655676 Long ABS-MBS USGA US N 2 2047-01-16 Fixed 5.00000000 N N N N N N COMM Mortgage Trust 549300NGGFIEJ2ER3D22 12625KAE5 260000.00000000 PA USD 269841.21000000 0.025056760001 Long ABS-MBS CORP US N 2 2046-06-10 Variable 3.61000000 N N N N N N Micron Technology Inc B3DXGBC8GAIYWI2Z0172 595112103 80799.00000000 NS USD 3398405.94000000 0.315567225719 Long EC CORP US N 1 N N N New York Times Co/The 529900J1WEMMIW7BOH57 650111107 16571.00000000 NS USD 508895.41000000 0.047254717520 Long EC CORP US N 1 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SK8 960000.00000000 PA USD 975781.46000000 0.090608554033 Long DBT CORP US N 2 2023-01-24 Fixed 3.07000000 N N N N N N ROMANIA 315700IASY927EDWBK92 77586TAE6 254000.00000000 PA USD 291896.80000000 0.027104785301 Long DBT NUSS RO Y 2 2044-01-22 Fixed 6.13000000 N N N N N N STORE Capital Corp 5493004EA6C9IHDZ7N66 862121100 62959.00000000 NS USD 1140817.08000000 0.105933336789 Long EC US N 1 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 239000.00000000 NC USD 12474.99000000 0.001158395452 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A 239000.00000000 OU Notional Amount N/A 12474.99000000 0.00000000 DIR US ICE Libor USD 3 Months US0003M Index 2057-08-04 0.00000000 N/A 0.00000000 N/A 239000.00000000 USD 1.00000000 2.45000000 USD 2027-08-02 XXXX -21277.03000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379LG91 192566.81000000 PA USD 32252.96000000 0.002994926823 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 4.50000000 N N N N N N Blackstone Group Inc/The 5299004LW4QWGZUB8Y96 09260D107 96558.00000000 NS USD 4400148.06000000 0.408586419799 Long EC CORP US N 1 N N N Voya CLO Ltd 54930085W413OSH6FR69 92914NAJ0 1610000.00000000 PA USD 1557608.99000000 0.144635560438 Long ABS-CBDO CORP KY N 2 2029-01-18 Floating 2.72000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378MSZ9 152207.74000000 PA USD 12480.65000000 0.001158921025 Long ABS-MBS USGA US N 2 2027-03-20 Fixed 3.50000000 N N N N N N Madison Park Funding Ltd N/A 55818PAL4 522673.34000000 PA USD 517297.64000000 0.048034926965 Long ABS-CBDO CORP KY N 2 2026-07-20 Floating 3.08000000 N N N N N N CSX CORP 549300JVQR4N1MMP3Q88 126408HQ9 240000.00000000 PA USD 236346.15000000 0.021946494969 Long DBT CORP US N 2 2030-02-15 Fixed 2.40000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCW0 90000.00000000 PA USD 62550.00000000 0.005808231952 Long DBT CORP MX N 2 2050-01-23 Fixed 7.69000000 N N N N N N McDonald's Corp UE2136O97NLB5BYP9H04 580135101 105615.00000000 NS USD 17463440.25000000 1.621610098532 Long EC CORP US N 1 N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GU1 385000.00000000 PA USD 357305.02000000 0.033178424204 Long DBT CORP US N 2 2030-06-01 Fixed 2.25000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324P102 27827.00000000 NS USD 6939497.26000000 0.644383848454 Long EC CORP US N 1 N N N SBA Tower Trust N/A 78403DAN0 545000.00000000 PA USD 526415.45000000 0.048881583326 Long DBT US N 2 2025-01-15 Fixed 2.84000000 N N N N N N Union Electric Co QMPJLLDULY5C1M8PNY21 906548CN0 85000.00000000 PA USD 94792.83000000 0.008802218130 Long DBT CORP US N 2 2048-04-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378JXN7 121734.86000000 PA USD 19329.62000000 0.001794898745 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 4.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BA1 690000.00000000 PA USD 843598.17000000 0.078334354055 Long DBT CORP US N 2 2045-10-23 Fixed 6.48000000 N N N N N N AES CORP/THE 2NUNNB7D43COUIRE5295 00130HCA1 45000.00000000 PA USD 44100.00000000 0.004095012455 Long DBT CORP US N 2 2023-03-15 Fixed 4.50000000 N N N N N N Aramark Services, Inc. 42YMHYH0XMHJEXDUB065 03852JAR2 100000.00000000 PA USD 93500.00000000 0.008682169265 Long LON CORP US N 2 2027-01-15 Floating 2.74000000 N N N N N N Bluebird Bio Inc N/A 09609G100 2538.00000000 NS USD 116646.48000000 0.010831491803 Long EC CORP US N 1 N N CDK Global Inc 5493000L10CYRTHIJ385 12508EAG6 5000.00000000 PA USD 5282.50000000 0.000490519349 Long DBT CORP US N 2 2026-06-15 Fixed 5.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YR6D5 186958.44000000 PA USD 203506.42000000 0.018897082193 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4.00000000 N N N N N N BELLEMEADE RE LT 254900SCWI9IDKK5LV64 07877GAA7 230668.80000000 PA USD 229536.54000000 0.021314172117 Long ABS-MBS CORP BM N 2 2029-07-25 Floating 2.05000000 N N N N N N Equinix Inc 549300EVUN2BTLJ3GT74 29444U700 12486.00000000 NS USD 7798381.02000000 0.724137583041 Long EC US N 1 N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587CV7 335000.00000000 PA USD 337869.75000000 0.031373715072 Long DBT CORP US N 2 2026-07-01 Fixed 3.25000000 N N N N N N HUNGARY 5299008DH62LEB10JK83 445545AE6 160000.00000000 PA USD 165864.00000000 0.015401703990 Long DBT NUSS HU N 2 2021-03-29 Fixed 6.38000000 N N N N N N Freddie Mac N/A 3132AEKA3 590297.05000000 PA USD 636993.45000000 0.059149571701 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KXQ6 35499.57000000 PA USD 39560.02000000 0.003673441602 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 5.00000000 N N N N N N Knight-Swift Transportation Holdings Inc N/A 499049104 34720.00000000 NS USD 1138816.00000000 0.105747521652 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138Y3XN6 308027.90000000 PA USD 330739.16000000 0.030711586844 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 3.50000000 N N N N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 16411QAE1 10000.00000000 PA USD 8900.00000000 0.000826431085 Long DBT CORP US N 2 2029-10-01 Fixed 4.50000000 N N N N N Cirrus Funding 2018-1, Ltd N/A 17275GAA4 940000.00000000 PA USD 949767.54000000 0.088192968399 Long ABS-CBDO CORP KY N 2 2037-01-25 Fixed 4.80000000 N N N N N N 2020-04-30 Brighthouse Funds Trust II Alan Otis Alan Otis Treasurer XXXX