NPORT-P false 0000710826 XXXXXXXX S000006511 C000017803 C000017802 C000017804 Brighthouse Funds Trust II 811-03618 0000710826 549300NPPA08K2CWOV06 BRIGHTHOUSE INVESTMENT ADVISERS, LLC ONE FINANCIAL CENTER BOSTON 02111 980-949-5089 BlackRock Bond Income Portfolio S000006511 RQ2HPSR0HMOOPNZQJY98 2021-12-31 2021-06-30 N 5123728017.45 1394212802.69 3729515214.76 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 728888588.30000000 0.00000000 0.00000000 6764710.67000000 CNY EUR USD UST Octagon Investment Partners XV Ltd 549300VYCI9AZ4NZBX86 67590EAS3 250000.00000000 PA USD 250040.75000000 0.006704376724 Long ABS-CBDO CORP KY N 2 2030-07-19 Floating 1.54000000 N N N N N N Countrywide Alternative Loan Trust N/A 02146SAA7 2092083.87000000 PA USD 1810758.42000000 0.048552112425 Long ABS-MBS CORP US N 2 2046-11-25 Floating 1.84600000 N N N N N N COMM Mortgage Trust N/A 12591RBF6 635000.00000000 PA USD 683110.08000000 0.018316323722 Long ABS-MBS CORP US N 2 2047-02-10 Variable 4.86500000 N N N N N N Signal Peak CLO, LLC N/A 82666TAE9 490000.00000000 PA USD 489753.04000000 0.013131815042 Long ABS-CBDO CORP KY N 2 2034-04-17 Floating 1.99000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M4QU2 267551.52000000 PA USD 294051.91000000 0.007884453958 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 3.50000000 N N N N N N 1211 Avenue of the Americas Trust N/A 90117PAQ8 230000.00000000 PA USD 234873.33000000 0.006297690623 Long ABS-MBS CORP US N 2 2035-08-10 Variable 4.28000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXD1 1602000.00000000 PA USD 1644324.84000000 0.044089506150 Long DBT CORP US N 2 2026-05-15 Floating 1.32600000 N N N N N N Lehman ABS Mortgage Loan Trust N/A 52521MAB8 165580.69000000 PA USD 128782.53000000 0.003453063537 Long ABS-O CORP US N 2 2037-06-25 Floating 0.18200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X8XC0 195256.78000000 PA USD 206849.52000000 0.005546284385 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 3.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 610000.00000000 OU Notional Amount USD -1831.99000000 -0.00004912139 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -880.27000000 USD 610000.00000000 USD -951.72000000 N N N OUTFRONT MEDIA CAP LLC/C N/A 69007TAC8 42000.00000000 PA USD 42630.00000000 0.001143044002 Long DBT CORP US N 2 2030-03-15 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HH6H3 98136.82000000 PA USD 108593.49000000 0.002911732054 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GDC67 8392.34000000 PA USD 9187.44000000 0.000246344081 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.00000000 N N N N N N FRONTERA ENERGY CORP A25574TZFLBNK7NWQT47 35905BAC1 395000.00000000 PA USD 395987.50000000 0.010617666833 Long DBT CORP CA N 2 2028-06-21 Fixed 7.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W5MS4 466156.83000000 PA USD 495259.51000000 0.013279460773 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410K3K8 118239.50000000 PA USD 140259.02000000 0.003760784228 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176DHP1 354398.45000000 PA USD 389173.67000000 0.010434966680 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 4.00000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCK6 400000.00000000 PA USD 393380.00000000 0.010547751580 Long DBT CORP MX N 2 2028-02-12 Fixed 5.35000000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBH8 1036000.00000000 PA USD 1029386.45000000 0.027601079248 Long DBT US N 2 2030-07-15 Fixed 2.15000000 N N N N N N EMIRATES NBD BANK PJSC 54930029BCN8HF3B1286 000000000 477000.00000000 PA USD 513967.50000000 0.013781080660 Long DBT CORP AE Y 2 2025-03-20 Fixed 6.12500000 N N N N N N UBS Commercial Mortgage Trust N/A 90278MBB2 6962475.76000000 PA USD 667510.65000000 0.017898054078 Long ABS-MBS CORP US N 2 2052-10-15 Variable 1.62500000 N N N N N N EXPEDIA GROUP INC N/A 30212PAS4 947000.00000000 PA USD 1101602.43000000 0.029537416167 Long DBT CORP US N 2 2025-05-01 Fixed 6.25000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LBG5 1950000.00000000 PA USD 2129482.66000000 0.057098108933 Long DBT CORP US N 2 2051-09-15 Fixed 3.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417TP44 21972.84000000 PA USD 24434.92000000 0.000655176841 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417AYD5 616606.09000000 PA USD 678115.66000000 0.018182407657 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513ECC3 425000.00000000 PA USD 477015.78000000 0.012790289153 Long DBT CORP US N 2 2044-12-15 Fixed 4.20000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468P7 1710000.00000000 PA USD 1908794.89000000 0.051180777663 Long DBT CORP US N 2 2031-04-01 Fixed 3.62200000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCT6 723000.00000000 PA USD 836913.64000000 0.022440279548 Long DBT CORP US N 2 2028-10-15 Fixed 4.15000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 -1860000.00000000 OU Notional Amount USD -13365.96000000 -0.00035838330 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Put Written Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 1.00000000 NC USD -13365.96000000 0.00000000 DFE BR -1860000.00000000 USD -9169800.00000000 BRL 2021-07-14 1.00000000 4.93000000 USD 2021-07-14 XXXX -4679.76000000 N N N Calpine Corp 43R4VPJBXTU2O15HEF41 131347CK0 1123000.00000000 PA USD 1155286.25000000 0.030976847752 Long DBT CORP US N 2 2026-06-01 Fixed 5.25000000 N N N N N N DBUBS Mortgage Trust N/A 23305JAN2 190000.00000000 PA USD 192629.73000000 0.005165007216 Long ABS-MBS CORP US N 2 2034-10-10 Variable 3.64800000 N N N N N N Option One Mortgage Loan Trust N/A 68402VAA0 1232795.25000000 PA USD 1236844.86000000 0.033163689884 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.86600000 N N N N N N GS Mortgage Securities Trust N/A 36257XAA9 750000.00000000 PA USD 749984.70000000 0.020109442026 Long ABS-MBS CORP US Y 2 2036-06-15 Floating 0.97300000 N N N N N N Boardwalk Pipelines LP 549300W6AQ2GHHCGL606 096630AG3 275000.00000000 PA USD 316462.30000000 0.008485346801 Long DBT CORP US N 2 2029-05-03 Fixed 4.80000000 N N N N N N Allegro CLO Ltd 635400R1GOVCHJ4SNX58 01751EAC2 1345639.57000000 PA USD 1345673.21000000 0.036081719272 Long ABS-CBDO CORP KY N 2 2028-10-21 Floating 1.26600000 N N N N N N Credit Suisse Mortgage Trust N/A 12652FAJ1 301000.00000000 PA USD 320274.50000000 0.008587563840 Long ABS-MBS CORP US N 2 2032-11-10 Variable 3.90400000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBC3 723000.00000000 PA USD 710992.09000000 0.019063927858 Long DBT US N 2 2030-06-15 Fixed 2.10000000 N N N N N N AMC Networks Inc 549300VGG9K75226LR46 00164VAD5 180000.00000000 PA USD 182289.60000000 0.004887755901 Long DBT CORP US N 2 2024-04-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WF4T0 29781.31000000 PA USD 32737.33000000 0.000877790493 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.50000000 N N N N N N ENERGEAN ISRAEL FINANCE 98450044QACBL3F8EB03 000000000 1045000.00000000 PA USD 1073215.00000000 0.028776260135 Long DBT CORP IL Y 2 2031-03-30 Fixed 5.87500000 N N N N N N Ajax Mortgage Loan Trust N/A 00969XAC0 984584.61000000 PA USD 910443.03000000 0.024411833108 Long ABS-MBS CORP US N 2 2059-11-25 None 0.00000000 N N N N N N COLBUN SA 5493003VQJLE2QB8IF36 192714AD5 200000.00000000 PA USD 203750.00000000 0.005463176532 Long DBT CORP CL N 2 2030-03-06 Fixed 3.15000000 N N N N N N New Residential Mortgage Loan Trust N/A 64830DAB9 359095.72000000 PA USD 377777.93000000 0.010129411149 Long ABS-MBS CORP US N 2 2057-12-25 Variable 4.25000000 N N N N N N Madison Park Funding Ltd N/A 55818MBA4 1330000.00000000 PA USD 1330941.64000000 0.035686719676 Long ABS-CBDO CORP KY N 2 2030-04-19 Floating 1.14000000 N N N N N N Azul Investments LLP 549300C6XNC8IDH04C74 05502FAA6 455000.00000000 PA USD 442487.50000000 0.011864477673 Long DBT CORP US N 2 2024-10-26 Fixed 5.87500000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBR5 1016000.00000000 PA USD 1021530.32000000 0.027390431763 Long DBT CORP GB N 2 2032-03-10 Fixed 2.66700000 N N N N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 68233JBH6 1155000.00000000 PA USD 1306064.64000000 0.035019689283 Long DBT CORP US N 2 2028-11-15 Fixed 3.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180E5C5 272937.43000000 PA USD 295798.53000000 0.007931286319 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N ALBERTSONS COS/SAFEWAY N/A 013092AA9 566000.00000000 PA USD 621185.00000000 0.016655918108 Long DBT CORP US N 2 2026-03-15 Fixed 7.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FPJJ5 2541531.45000000 PA USD 164481.82000000 0.004410273467 Long ABS-MBS USGSE US N 2 2029-09-25 Variable 1.00500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178EDP1 136324.10000000 PA USD 146383.60000000 0.003925003427 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83C9 1746359.66000000 PA USD 1885915.38000000 0.050567306242 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 32480000.00000000 OU Notional Amount USD 199886.41000000 0.005359581567 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Markit iBoxx USD Liquid High Yield Index IBOXHY Index Y equity-performance leg 2021-09-20 0.00000000 USD 0.00000000 USD 32480000.00000000 USD 199886.41000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VEU4 396000.00000000 PA USD 454060.74000000 0.012174792536 Long DBT CORP US N 2 2029-12-03 Fixed 4.01600000 N N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 000000000 1.00000000 NC 55458.44000000 0.001487014713 N/A DFE US N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 2375000.00000000 AUD 1837149.19000000 USD 2021-09-15 55458.44000000 N N N SPRINT SPECTRUM / SPEC I N/A 85208NAA8 195437.50000000 PA USD 196516.32000000 0.005269218884 Long DBT CORP US N 2 2021-09-20 Fixed 3.36000000 N N N N N N Ajax Mortgage Loan Trust N/A 00970DAB3 567000.00000000 PA USD 552531.35000000 0.014815098429 Long ABS-O CORP US N 2 2057-06-25 Variable 5.25000000 N N N N N N Nelnet Student Loan Trust N/A 64034QAC2 3120000.00000000 PA USD 3118245.00000000 0.083609928380 Long ABS-O CORP US N 2 2062-04-20 Fixed 2.68000000 N N N N N N Avoca CLO 5493000BN1WPGQDK4X78 000000000 150000.00000000 PA 176423.43000000 0.004730465485 Long ABS-CBDO CORP IE Y 2 2035-04-15 Floating 1.30000000 N N N N N N Option One Mortgage Loan Trust N/A 68402VAB8 1835455.29000000 PA USD 1844986.99000000 0.049469887740 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.86600000 N N N N N N Conseco Finance Securitizations Corp. N/A 20846QEQ7 907621.23000000 PA USD 373701.42000000 0.010020107131 Long ABS-O CORP US N 2 2031-05-01 Fixed 7.96000000 N N N N N N Kayne CLO N/A 48661WAQ1 250000.00000000 PA USD 250071.50000000 0.006705201228 Long ABS-CBDO CORP KY N 2 2032-04-15 Floating 2.85600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WPHV9 474338.06000000 PA USD 504309.33000000 0.013522114831 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Avoca CLO N/A 000000000 1220000.00000000 PA 1444865.33000000 0.038741371111 Long ABS-CBDO CORP IE N 2 2034-07-15 Floating 0.90000000 N N N N N N Ball Corp 0BGI85ALH27ZJP15DY16 058498AV8 68000.00000000 PA USD 75735.65000000 0.002030710310 Long DBT CORP US N 2 2026-03-15 Fixed 4.87500000 N N N N N N Ajax Mortgage Loan Trust N/A 00969EAB4 41755.07000000 PA USD 36238.76000000 0.000971674813 Long ABS-O CORP US N 2 2058-04-25 None 0.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 -1111000.00000000 OU Notional Amount USD -4441.78000000 -0.00011909805 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Call Written Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 N/A 1.00000000 NC USD -4441.78000000 0.00000000 DFE MX -1111000.00000000 USD -22331100.00000000 MXN 2021-07-08 1.00000000 20.10000000 USD 2021-07-08 XXXX 1745.38000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1468000.00000000 OU Notional Amount USD -13874.17000000 -0.00037201001 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-05-28 23.73000000 USD 0.00000000 USD 1468000.00000000 USD -13897.90000000 N N N Greenpoint Manufactured Housing N/A 395383AH5 440000.00000000 PA USD 456123.62000000 0.012230104818 Long ABS-O CORP US N 2 2029-12-15 Variable 8.29000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAN4 3973000.00000000 PA USD 4131004.38000000 0.110765183733 Long DBT CORP US N 2 2025-02-15 Fixed 2.24200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1040000.00000000 OU Notional Amount USD 32098.75000000 0.000860668160 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 FED REPUBLIC OF BRAZIL FED REPUBLIC OF BRAZIL Y buy protection 2026-06-20 33216.76000000 USD 0.00000000 USD 1040000.00000000 USD -1118.01000000 N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DB0 393000.00000000 PA USD 476035.15000000 0.012763995387 Long DBT CORP US N 2 2055-01-15 Fixed 4.37500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128286B1 5471000.00000000 PA USD 5999293.44000000 0.160859873054 Long DBT UST US N 2 2029-02-15 Fixed 2.62500000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AV2 448000.00000000 PA USD 482984.06000000 0.012950317459 Long DBT CORP US N 2 2025-04-15 Fixed 3.25000000 N N N N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AC4 1690000.00000000 PA USD 1784757.25000000 0.047854939508 Long DBT CORP US N 2 2038-01-15 Fixed 3.40200000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -11351.85000000 -0.00030437870 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 743000.00000000 USD 53592590.00000000 RUB 2021-07-14 -11351.85000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGL7 4306000.00000000 PA USD 4761496.65000000 0.127670658941 Long DBT CORP US N 2 2028-04-24 Fixed 3.70500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJF94 42360.11000000 PA USD 43862.00000000 0.001176077786 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N Bayview Commercial Asset Trust N/A 07324NAA1 136079.18000000 PA USD 130216.51000000 0.003491513038 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.34200000 N N N N N N Republic of Peru 254900STKLK2DBJJZ530 715638BU5 2856000.00000000 PA USD 3193522.08000000 0.085628342991 Long DBT NUSS PE N 2 2027-08-25 Fixed 4.12500000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05550MAV6 2367803.53000000 PA USD 208615.33000000 0.005593631289 Long ABS-MBS CORP US N 2 2052-05-15 Variable 1.50200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RD71 294264.51000000 PA USD 313547.13000000 0.008407181951 Long ABS-MBS USGA US N 2 2045-05-20 Fixed 3.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VEA8 315000.00000000 PA USD 376414.93000000 0.010092864845 Long DBT CORP US N 2 2033-08-10 Fixed 4.50000000 N N N N N N EQUATE PETROCHEMICAL BV 635400Y3Z5R4NJSMQ630 29441WAD7 263000.00000000 PA USD 265630.00000000 0.007122373410 Long DBT CORP NL N 2 2028-04-28 Fixed 2.62500000 N N N N N N UNITED PARCEL SERVICE D01LMJZU09ULLNCY6Z23 911312BR6 916000.00000000 PA USD 1028929.01000000 0.027588813847 Long DBT CORP US N 2 2029-03-15 Fixed 3.40000000 N N N N N N Hudson Yards N/A 44421MAN0 930000.00000000 PA USD 890898.43000000 0.023887781084 Long ABS-MBS CORP US N 2 2041-12-10 Variable 3.04100000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1483000.00000000 OU Notional Amount USD 63100.17000000 0.001691913462 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Purchased Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD 63100.17000000 0.00000000 DFE US 20317100.00000000 ZAR 1483000.00000000 USD 2021-07-12 1.00000000 13.70000000 USD 2021-07-12 XXXX 41655.99000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -5542000.00000000 OU Notional Amount USD -5.54000000 -0.00000014854 N/A DFE LU N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Written Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD -5.54000000 0.00000000 DFE MX -5542000.00000000 USD -107514800.00000000 MXN 2021-07-02 1.00000000 19.40000000 USD 2021-07-02 XXXX 12358.66000000 N N N EXPEDIA GROUP INC N/A 30212PAM7 1349000.00000000 PA USD 1538905.11000000 0.041262872555 Long DBT CORP US N 2 2026-02-15 Fixed 5.00000000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12596WAJ3 130000.00000000 PA USD 135810.74000000 0.003641511890 Long ABS-MBS CORP US N 2 2052-06-15 Variable 4.23700000 N N N N N N Deutsche Bank Commercial Mortgage Trust N/A 23312JAN3 2060000.00000000 PA USD 100480.62000000 0.002694200565 Long ABS-MBS CORP US N 2 2050-06-10 Variable 1.00000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAN5 420000.00000000 PA USD 421342.87000000 0.011297523826 Long DBT CORP GB N 2 2025-03-15 Fixed 1.08900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BCD6 1170423.07000000 PA USD 1262563.10000000 0.033853276560 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F032674 27802006.00000000 PA USD 29264326.18000000 0.784668368268 Long ABS-MBS USGSE US N 2 2051-07-15 Fixed 3.50000000 N N N N N N Progress Residential Trust N/A 74333VAN4 1070000.00000000 PA USD 1081322.53000000 0.028993648443 Long ABS-O CORP US N 2 2026-05-17 Fixed 3.43600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QUZV8 156488.47000000 PA USD 170913.75000000 0.004582733684 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969HAA9 4627475.73000000 PA USD 4651455.77000000 0.124720117820 Long ABS-MBS CORP US N 2 2060-09-27 Variable 2.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 115890.13000000 0.003107377858 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 51772262.00000000 ZAR 3717535.78000000 USD 2021-08-24 115890.13000000 N N N Legacy Mortgage Asset Trust N/A 52475KAA0 668757.02000000 PA USD 674442.32000000 0.018083913891 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.73400000 N N N N N N INTERCORP PERU LTD 549300L0OFVSOE4NSY75 458652AB0 200000.00000000 PA USD 193600.00000000 0.005191023198 Long DBT CORP BS N 2 2029-08-15 Fixed 3.87500000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BD9 3350000.00000000 PA USD 3361379.72000000 0.090129132781 Long DBT CORP US N 2 2026-04-27 Fixed 1.62500000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 206000.00000000 OU Notional Amount -1348.10000000 -0.00003614678 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2041-05-15 7.11000000 GBP 0.00000000 GBP 206000.00000000 GBP -1358.17000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 5460.05000000 0.000146401065 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 371000.00000000 USD 1872437.00000000 BRL 2021-07-02 5460.05000000 N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAV3 916000.00000000 PA USD 894608.53000000 0.023987260501 Long DBT US N 2 2026-07-15 Fixed 1.05000000 N N N N N N CC HOLDINGS GS V LLC/CRO N/A 14987BAE3 560000.00000000 PA USD 592801.63000000 0.015894870938 Long DBT US N 2 2023-04-15 Fixed 3.84900000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGJ7 401000.00000000 PA USD 409872.15000000 0.010989957847 Long DBT CORP US N 2 2031-03-21 Fixed 2.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418XDE5 77578.85000000 PA USD 81557.03000000 0.002186799766 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.50000000 N N N N N N Tampa Electric Co WS423EPRKJIIJUITXD73 875127BF8 828000.00000000 PA USD 1046272.89000000 0.028053857666 Long DBT CORP US N 2 2049-06-15 Fixed 4.45000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 480000.00000000 OU Notional Amount USD -1441.56000000 -0.00003865274 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -346.02000000 USD 480000.00000000 USD -1095.54000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAN9 1343000.00000000 PA USD 1448253.64000000 0.038832222329 Long DBT CORP US N 2 2024-04-01 Fixed 4.25000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 2976000.00000000 OU Notional Amount USD 22061.09000000 0.000591527014 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 22061.09000000 0.00000000 DFE US 328848000.00000000 JPY 2976000.00000000 USD 2021-07-14 1.00000000 110.50000000 USD 2021-07-14 XXXX 9835.69000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GJ5A3 121517.81000000 PA USD 134278.49000000 0.003600427462 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.00000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDC3 2107000.00000000 PA USD 2171263.50000000 0.058218384293 Long DBT CORP MX N 2 2030-01-23 Fixed 6.84000000 N N N N N N Anchorage Capital CLO LTD 549300V7DN3VJ8H1GE96 03330AAE2 250000.00000000 PA USD 249499.00000000 0.006689850708 Long ABS-CBDO CORP KY N 2 2031-01-28 Floating 2.03400000 N N N N N N Florida Power & Light Co A89MY1K3YLIGJMYWVX50 341081FQ5 1403000.00000000 PA USD 1704210.10000000 0.045695217792 Long DBT CORP US N 2 2048-03-01 Fixed 3.95000000 N N N N N N TEACHERS INSURANCE AND ANNUITY ASSOCIATION OF AME 54930043TEPI4UKGHU90 87272HAA8 571000.00000000 PA USD 570856.68000000 0.015306458001 Long ABS-CBDO CORP KY N 2 2031-01-16 Floating 1.33400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9GP1 295822.69000000 PA USD 321307.03000000 0.008615249207 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N NBC Global Finance Limited 549300KWU8YQOYSK5Y64 000000000 1300000.00000000 PA USD 1300000.00000000 0.034857077264 Long RA CORP US N 2 Repurchase Y 0.25000000 2021-07-07 13431.99000000 USD 1442090.91000000 USD EQT 2200.02000000 USD 2353.97000000 USD UST N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415YBM0 85102.22000000 PA USD 94871.52000000 0.002543803002 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.50000000 N N N N N N Park Avenue Institutional Advisers CLO 549300ZWX1MRCB6KO574 70017KAL3 1050000.00000000 PA USD 1049734.35000000 0.028146670265 Long ABS-CBDO CORP KY N 2 2034-02-14 Floating 1.39400000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCB3 330000.00000000 PA USD 395509.73000000 0.010604856321 Long DBT CORP US N 2 2049-11-21 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417F2C1 46410.68000000 PA USD 48813.31000000 0.001308837937 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 2.50000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBC6 302000.00000000 PA USD 341695.57000000 0.009161929911 Long DBT CORP US N 2 2026-02-14 Fixed 4.40000000 N N N N N N Neuberger Berman CLO Ltd 5493006JG853WBZS5J73 64133GAT7 250000.00000000 PA USD 250251.00000000 0.006710014186 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 1.54200000 N N N N N N Highbridge Loan Management Ltd N/A 40436XAC1 500000.00000000 PA USD 500269.50000000 0.013413794318 Long ABS-CBDO CORP KY N 2 2029-07-18 Floating 1.37000000 N N N N N N Freddie Mac - STACR N/A 35564KCN7 1444344.00000000 PA USD 1444342.70000000 0.038727357761 Long ABS-MBS USGSE US N 2 2033-08-25 Floating 3.01800000 N N N N N N Credit Suisse Mortgage Trust N/A 12595KAA9 280000.00000000 PA USD 278361.89000000 0.007463755313 Long ABS-MBS CORP US N 2 2030-12-15 Floating 1.02300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W6SU1 860904.73000000 PA USD 915158.18000000 0.024538261068 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N MAF GLOBAL SECURITIES 54930037VUDNYTS17017 000000000 255000.00000000 PA USD 262178.25000000 0.007029821167 Long DBT CORP KY Y 2 2022-09-07 Fixed 5.50000000 N N N N N N ENTERGY ARKANSAS LLC 549300A0I5ONUIFMLP35 29366MAC2 523000.00000000 PA USD 558426.67000000 0.014973170448 Long DBT CORP US N 2 2052-06-15 Fixed 3.35000000 N N N N N N Visio 2019-2 Trust N/A 92837DAE7 169000.00000000 PA USD 172964.98000000 0.004637733593 Long ABS-MBS CORP US N 2 2054-11-25 Variable 3.91000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 610000.00000000 OU Notional Amount USD -1831.99000000 -0.00004912139 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1321.08000000 USD 610000.00000000 USD -510.91000000 N N N Sound Point CLO LTD N/A 83614XAW1 250000.00000000 PA USD 250000.00000000 0.006703284089 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 0.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2A0 1979000.00000000 PA USD 2180244.37000000 0.058459189585 Long DBT CORP US N 2 2028-05-22 Fixed 3.58400000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHT9 3494000.00000000 PA USD 3826711.54000000 0.102606138322 Long DBT CORP US N 2 2027-04-23 Fixed 3.55900000 N N N N N N Freddie Mac - STACR N/A 35564KBE8 860000.00000000 PA USD 881657.98000000 0.023640015638 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 4.76800000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1079.74000000 0.000028951215 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 465934.40000000 USD 3033000.00000000 CNY 2021-09-15 1079.74000000 N N N Yale Mortgage Loan Trust N/A 984582AA4 802020.61000000 PA USD 344414.04000000 0.009234820617 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.49200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KXL3 177868.82000000 PA USD 208417.18000000 0.005588318266 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N DBUBS Mortgage Trust N/A 23305JAL6 1180000.00000000 PA USD 1212910.08000000 0.032521923364 Long ABS-MBS CORP US N 2 2034-10-10 Variable 3.64800000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CBA1 1894000.00000000 PA USD 1956462.28000000 0.052458889891 Long DBT CORP US N 2 2030-02-01 Fixed 2.45000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668A3Q6 413321.72000000 PA USD 394979.08000000 0.010590627930 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.69200000 N N N N N N CIFC Funding Ltd 549300RWVPXQ5M3BFY62 12550LAW2 571000.00000000 PA USD 571063.95000000 0.015312015560 Long ABS-CBDO CORP KY N 2 2030-04-15 Floating 2.18400000 N N N N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 677415CR0 386000.00000000 PA USD 453634.76000000 0.012163370676 Long DBT CORP US N 2 2049-06-01 Fixed 4.00000000 N N N N N N BX Trust N/A 05608MAA4 910000.00000000 PA USD 955865.18000000 0.025629743410 Long ABS-MBS CORP US N 2 2044-03-09 Fixed 2.84300000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -27198.19000000 -0.00072926877 N/A DFE ZA N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 824000.00000000 USD 11395343.20000000 ZAR 2021-07-14 -27198.19000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407HZD1 196908.37000000 PA USD 233493.30000000 0.006260687691 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WC7G2 291672.35000000 PA USD 309582.08000000 0.008300866524 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 3.00000000 N N N N N N Trinitas CLO Ltd N/A 89641HAG5 358000.00000000 PA USD 357970.29000000 0.009598306197 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 3.33400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CET7 188284.35000000 PA USD 194957.50000000 0.005227422031 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 2.00000000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EW9 1761000.00000000 PA USD 1875410.23000000 0.050285630222 Long DBT CORP US N 2 2030-04-01 Fixed 2.62500000 N N N N N N UMBS, TBA N/A 01F030470 891000.00000000 PA USD 936084.12000000 0.025099351151 Long ABS-MBS USGSE US N 2 2036-07-15 Fixed 3.00000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DS1 8086000.00000000 PA USD 7912474.44000000 0.212158256083 Long DBT NUSS CO N 2 2031-04-15 Fixed 3.12500000 N N N N N ING Groep NV 549300NYKK9MWM7GGW15 456837AK9 4065000.00000000 PA USD 4383768.97000000 0.117542595151 Long DBT CORP NL N 2 2023-10-02 Fixed 4.10000000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311VAG2 74000.00000000 PA USD 82413.80000000 0.002209772457 Long DBT CORP US N 2 2025-07-15 Fixed 5.37500000 N N N N N N 18 Fremont Street Acquisition, LLC 5493000QK0X0K188BR60 68288HAB8 2800164.04000000 PA USD 2863167.73000000 0.076770506758 Long LON CORP US N 2 2025-08-09 Floating 9.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H3KJ4 99905.06000000 PA USD 109004.88000000 0.002922762711 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3.50000000 N N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 369604BH5 13000.00000000 PA USD 15759.36000000 0.000422557868 Long DBT CORP US N 2 2044-03-11 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBX8 10482000.00000000 PA USD 10462346.25000000 0.280528316618 Long DBT UST US N 2 2023-04-30 Fixed 0.12500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -2313.12000000 -0.00006202200 N/A DFE BR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1475000.00000000 USD 7324850.00000000 BRL 2021-07-02 -2313.12000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXJ8 7417000.00000000 PA USD 8046683.27000000 0.215756815742 Long DBT CORP US N 2 2025-04-01 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 27947000.00000000 OU Notional Amount -1710.17000000 -0.00004585502 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2023-06-22 123.53000000 PLN 0.00000000 PLN 27947000.00000000 PLN -1742.40000000 N N N BX Trust N/A 056059AU2 3101000.00000000 PA USD 3106776.85000000 0.083302431310 Long ABS-MBS CORP US N 2 2035-11-15 Floating 3.07300000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAB1 90000.00000000 PA USD 95625.00000000 0.002564006164 Long DBT US N 2 2029-12-01 Fixed 4.62500000 N N N N N N CHESAPEAKE ENERGY CORP X2MT1W32SPAZ9WSKLE78 165167DF1 276000.00000000 PA USD 291180.00000000 0.007807449044 Long DBT CORP US N 2 2026-02-01 Fixed 5.50000000 N N N N N N ELI LILLY & CO FRDRIPF3EKNDJ2CQJL29 000000000 700000.00000000 PA 921493.86000000 0.024708140520 Long DBT CORP US N 2 2049-11-01 Fixed 1.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QUZX4 144555.29000000 PA USD 156859.93000000 0.004205906692 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N WASTE MANAGEMENT INC 549300YX8JIID70NFS41 94106LBN8 1795000.00000000 PA USD 1739156.60000000 0.046632243062 Long DBT CORP US N 2 2028-03-15 Fixed 1.15000000 N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAM8 564000.00000000 PA USD 621624.35000000 0.016667698459 Long DBT CORP US N 2 2029-01-23 Fixed 3.50900000 N N N N N N Signal Peak CLO, LLC N/A 56845AAU2 310000.00000000 PA USD 310367.97000000 0.008321938700 Long ABS-CBDO CORP KY N 2 2029-07-23 Floating 1.16300000 N N N N N N NORTHERN STATES PWR-MINN 3S1GHB0TEH85KX44SB51 665772CT4 10000.00000000 PA USD 10290.78000000 0.000275928087 Long DBT CORP US N 2 2031-04-01 Fixed 2.25000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJW0 1551000.00000000 PA USD 1641113.63000000 0.044003403539 Long DBT CORP US N 2 2042-04-22 Fixed 3.31100000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 89.10000000 0.000002389050 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 50140.00000000 CNY 7802.56000000 USD 2021-09-15 89.10000000 N N N IndyMac INDX Mortgage Loan Trust N/A 45669NAT3 711057.77000000 PA USD 498090.92000000 0.013355379756 Long ABS-MBS CORP US N 2 2037-09-25 Variable 3.12400000 N N N N N N PENSKE TRUCK LEASING/PTL N/A 709599BG8 480000.00000000 PA USD 504780.88000000 0.013534758565 Long DBT CORP US N 2 2024-11-01 Fixed 2.70000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 -59675000.00000000 NC USD -754650.05000000 -0.02023453469 N/A DIR NO N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Put Written Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 59675000.00000000 OU Notional Amount N/A -754650.05000000 -0.02000000 DIR NO N/A N/A 2031-06-17 0.00000000 N/A 0.00000000 N/A 59675000.00000000 USD 1.00000000 0.03040000 USD 2026-06-15 XXXX 250873.70000000 N N N GRUPO AVAL LTD 549300J4FW1ELLQ80113 40053FAC2 1055000.00000000 PA USD 1042814.75000000 0.027961134087 Long DBT CORP KY N 2 2030-02-04 Fixed 4.37500000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BS7 135000.00000000 PA USD 156012.75000000 0.004183191139 Long DBT CORP US N 2 2026-02-15 Fixed 5.87500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 9033000.00000000 OU Notional Amount 2113.34000000 0.000056665273 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A Y 2026-09-15 0.00000000 CNY 0.00000000 CNY 9033000.00000000 CNY 2113.34000000 N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CAX2 321000.00000000 PA USD 367711.83000000 0.009859507437 Long DBT CORP US N 2 2028-11-15 Fixed 3.95000000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 7000000.00000000 PA USD 7000000.00000000 0.187691954501 Long RA CORP US N 2 Repurchase Y 0.10000000 2021-07-01 6582209.48000000 USD 7142877.14000000 USD UST N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 26669.25000000 0.000715086236 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1367000.00000000 CAD 1129408.76000000 USD 2021-09-15 26669.25000000 N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC -11888.51000000 -0.00031876823 N/A DFE XX N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 557471.93000000 USD 460000.00000000 EUR 2021-07-14 -11888.51000000 N N N MILLICOM INTL CELLULAR 549300CTHC1CP86P2G96 600814AP2 270000.00000000 PA USD 285525.00000000 0.007655820758 Long DBT CORP LU N 2 2026-10-15 Fixed 6.62500000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAG3 2201000.00000000 PA USD 2222770.95000000 0.059599460573 Long DBT CORP XX N 2 2031-05-11 Fixed 2.50000000 N N N N N N Consumers Energy Co 7NKTFWJ1G6MELP9TU740 210518DE3 1357000.00000000 PA USD 1600935.08000000 0.042926090599 Long DBT CORP US N 2 2050-02-15 Fixed 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M7YQ5 68865.85000000 PA USD 75687.14000000 0.002029409605 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180E4C6 238149.13000000 PA USD 258131.77000000 0.006921322347 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H4SG0 50473.19000000 PA USD 55135.58000000 0.001478357824 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERM49 293843.46000000 PA USD 311669.77000000 0.008356844041 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 3.00000000 N N N N N N FIVE POINT OP CO LP/FIVE N/A 33834YAA6 794000.00000000 PA USD 838622.80000000 0.022486107488 Long DBT CORP US N 2 2025-11-15 Fixed 7.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHNX6 274412.52000000 PA USD 288898.73000000 0.007746281040 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138Y5X76 193456.49000000 PA USD 202918.83000000 0.005440890258 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 2.50000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1729000.00000000 OU Notional Amount USD 71713.73000000 0.001922870021 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Put Purchased Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 N/A 1.00000000 NC USD 71713.73000000 0.00000000 DFE US 8956220.00000000 BRL 1729000.00000000 USD 2021-07-08 1.00000000 5.18000000 USD 2021-07-08 XXXX 36194.88000000 N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 512.00000000 NC USD 833024.00000000 0.022335986100 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Purchased Caesars Entertainment Inc Caesars Entertainment Inc 100.00000000 100.00000000 USD 2022-01-21 XXXX -58200.16000000 N N N BROOKFIELD RESID PROPERT N/A 11283YAG5 265000.00000000 PA USD 266987.50000000 0.007158772243 Long DBT CORP CA N 2 2029-06-15 Fixed 5.00000000 N N N N N N CIFC Funding Ltd 549300PC4RPZFE70AI24 12549AAN0 250000.00000000 PA USD 250020.25000000 0.006703827055 Long ABS-CBDO CORP KY N 2 2030-07-16 Floating 1.93400000 N N N N N N KENBOURNE INVEST SA 222100QGH6Y9KFYZ4B27 48855KAC4 210000.00000000 PA USD 211050.00000000 0.005658912428 Long DBT CORP LU N 2 2028-01-22 Fixed 4.70000000 N N N N N N Lendmark Funding Trust N/A 52607MAD1 450000.00000000 PA USD 458472.78000000 0.012293093166 Long ABS-O CORP US N 2 2031-11-20 Fixed 5.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGVA9 146292.38000000 PA USD 167377.72000000 0.004487921629 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 5.00000000 N N N N N N ALBERTSONS COS/SAFEWAY N/A 013092AB7 557000.00000000 PA USD 600109.02000000 0.016090804982 Long DBT CORP US N 2 2028-02-15 Fixed 5.87500000 N N N N N N AMBAC LSNI LLC N/A 02315QAA6 839963.51000000 PA USD 839963.51000000 0.022522056128 Long DBT CORP KY N 2 2023-02-12 Floating 6.00000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017BT5 596000.00000000 PA USD 742037.66000000 0.019896356959 Long DBT CORP US N 2 2042-06-01 Fixed 4.50000000 N N N N N N Freddie Mac - SLST N/A 35564CGD3 2550000.00000000 PA USD 2666664.03000000 0.071501626255 Long ABS-MBS USGSE US N 2 2060-09-25 Variable 4.75000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AM1 530000.00000000 PA USD 615252.86000000 0.016496858829 Long DBT CORP US N 2 2028-06-15 Fixed 4.40000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BY7 3725000.00000000 PA USD 4068893.30000000 0.109099790876 Long DBT CORP US N 2 2029-06-15 Fixed 2.95000000 N N N N N N Mosaic Solar Loans LLC N/A 61945LAA1 164998.35000000 PA USD 173108.04000000 0.004641569481 Long ABS-O CORP US N 2 2040-09-20 Fixed 2.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179DLP3 255247.53000000 PA USD 271427.73000000 0.007277828735 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RXD6 149082.52000000 PA USD 158847.58000000 0.004259201822 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 3.50000000 N N N N N N Anchorage Capital Europe CLO 635400HYNZWTWNENDW97 000000000 394000.00000000 PA 469236.69000000 0.012581707352 Long ABS-CBDO CORP IE N 2 2034-04-15 Floating 1.60000000 N N N N N N Romark CLO Ltd N/A 77588LAL5 250000.00000000 PA USD 249864.00000000 0.006699637502 Long ABS-CBDO CORP KY N 2 2034-07-10 Floating 5.15000000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579Y69 228209.54000000 PA USD 173316.70000000 0.004647164310 Long ABS-MBS CORP US N 2 2036-04-25 Variable 3.05500000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BF0 440000.00000000 PA USD 466400.00000000 0.012505646797 Long DBT CORP US N 2 2027-05-15 Fixed 5.50000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BQ1 5229000.00000000 PA USD 5982334.24000000 0.160405143712 Long DBT CORP US N 2 2025-04-15 Fixed 5.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KHJ0 1033304.62000000 PA USD 31111.77000000 0.000834204131 Long ABS-MBS USGA US N 2 2050-02-16 Variable 0.61200000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGQ6 515000.00000000 PA USD 527809.52000000 0.014152228630 Long DBT CORP US N 2 2023-07-21 Fixed 2.81600000 N N N N N N DIG INTL FIN/DIG INTL HL N/A 25381XAA1 243135.00000000 PA USD 253164.32000000 0.006788129432 Long DBT CORP XX N 2 2024-05-25 Fixed 8.75000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 2638.01000000 0.000070733321 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7348155.00000000 BRL 1475000.00000000 USD 2021-08-03 2638.01000000 N N N Ajax Mortgage Loan Trust N/A 00969TAC9 1233987.90000000 PA USD 961576.31000000 0.025782876717 Long ABS-MBS CORP US N 2 2059-09-25 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200MHW6 15454.19000000 PA USD 18001.74000000 0.000482683109 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 5.50000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CW8 345000.00000000 PA USD 341736.81000000 0.009163035684 Long DBT CORP US N 2 2040-06-01 Fixed 2.50000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BG7 746000.00000000 PA USD 757556.02000000 0.020312452862 Long DBT CORP US N 2 2031-04-15 Fixed 2.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W7G40 758245.34000000 PA USD 806129.45000000 0.021614858864 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36213FZ22 195034.86000000 PA USD 209648.25000000 0.005621327114 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 3.50000000 N N N N N N Provident Funding Mortgage Warehouse Securitization Trust N/A 74387PAF9 380000.00000000 PA USD 379856.51000000 0.010185144398 Long ABS-MBS CORP US N 2 2055-02-25 Floating 4.59200000 N N N N N N BAE SYSTEMS PLC 8SVCSVKSGDWMW2QHOH83 05523RAD9 3360000.00000000 PA USD 3651999.15000000 0.097921551185 Long DBT CORP GB N 2 2030-04-15 Fixed 3.40000000 N N N N N NORTHERN STATES PWR-MINN 3S1GHB0TEH85KX44SB51 665772CN7 471000.00000000 PA USD 561794.63000000 0.015063476018 Long DBT CORP US N 2 2045-08-15 Fixed 4.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F82T9 2128433.43000000 PA USD 152207.89000000 0.004081170909 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.97400000 N N N N N N MATTAMY GROUP CORP 5493008TNY7A82WCXU31 57701RAJ1 604000.00000000 PA USD 631180.00000000 0.016923915406 Long DBT CORP CA N 2 2027-12-15 Fixed 5.25000000 N N N N N N CAESARS ENTERTAIN INC 549300FA4CTCW903Y781 28470RAK8 761000.00000000 PA USD 846384.20000000 0.022694214965 Long DBT CORP US N 2 2027-07-01 Fixed 8.12500000 N N N N N State of California N/A 13063DGE2 3765000.00000000 PA USD 4401824.15000000 0.118026711154 Long DBT MUN US N 2 2038-04-01 Fixed 4.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83D7 1218554.34000000 PA USD 1331130.96000000 0.035691795939 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.50000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEF1 3549000.00000000 PA USD 3655470.00000000 0.098014615560 Long DBT NUSS DO N 2 2032-09-23 Fixed 4.87500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 438000.00000000 OU Notional Amount USD 7592.24000000 0.000203571766 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y buy protection 2026-06-20 8728.42000000 USD 0.00000000 USD 438000.00000000 USD -1136.18000000 N N N Dryden Senior Loan Fund N/A 26243EAA9 6020000.00000000 PA USD 6029499.56000000 0.161669793868 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 1.30400000 N N N N N N COMM Mortgage Trust N/A 12593FBH6 1600000.00000000 PA USD 1680998.24000000 0.045072835025 Long ABS-MBS CORP US N 2 2048-07-10 Variable 4.47900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307NNV2 153751.16000000 PA USD 161725.99000000 0.004336381022 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AN9 2595000.00000000 PA USD 2516358.86000000 0.067471473237 Long DBT CORP US N 2 2031-01-15 Fixed 1.80000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 12270.09000000 0.000328999596 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 457000.00000000 EUR 554361.61000000 USD 2021-07-20 12270.09000000 N N N AT&T Inc 549300Z40J86GGSTL398 00206RCP5 3354000.00000000 PA USD 3936991.17000000 0.105563081078 Long DBT CORP US N 2 2035-05-15 Fixed 4.50000000 N N N N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 059165EN6 360000.00000000 PA USD 363423.12000000 0.009744513671 Long DBT CORP US N 2 2031-06-15 Fixed 2.25000000 N N N N N N MASONITE INTERNATIONAL C 549300H0H07ZFT4JYM32 575385AD1 219000.00000000 PA USD 232069.92000000 0.006222522409 Long DBT CORP CA N 2 2028-02-01 Fixed 5.37500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VMF4 1067121.20000000 PA USD 1126348.12000000 0.030200925727 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 4.00000000 N N N N N N ARES CLO Ltd N/A 04018PAA4 280000.00000000 PA USD 279393.52000000 0.007491416549 Long ABS-CBDO CORP KY N 2 2031-10-25 Floating 7.75600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TNS0 480395.16000000 PA USD 512786.96000000 0.013749426680 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 4.00000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBJ1 337000.00000000 PA USD 355419.36000000 0.009529907763 Long DBT CORP US N 2 2030-05-06 Fixed 3.40000000 N N N N N N AMER AIRLINE 17-1 AA PTT N/A 023761AA7 324415.00000000 PA USD 334148.59000000 0.008959571707 Long DBT CORP US N 2 2029-02-15 Fixed 3.65000000 N N N N N N Home Equity Mortgage Trust N/A 225470W25 564931.88000000 PA USD 105511.82000000 0.002829102816 Long ABS-MBS CORP US N 2 2036-07-25 Variable 5.86700000 N N N N N N PFP III N/A 69346TAA2 140884.42000000 PA USD 140797.49000000 0.003775222298 Long ABS-CBDO CORP KY N 2 2036-04-14 Floating 1.04500000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPBT9 1191000.00000000 PA USD 1249239.90000000 0.033496039781 Long DBT CORP US N 2 2027-05-01 Fixed 5.12500000 N N N N N N York CLO Ltd 549300TKWX739FHPEQ97 98625UAW2 850000.00000000 PA USD 857032.05000000 0.022979717219 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 1.93800000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 7100686.00000000 OU Notional Amount -4338.10000000 -0.00011631806 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A Y 2029-01-02 0.00000000 BRL 0.00000000 BRL 7100686.00000000 BRL -4338.10000000 N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 369550BM9 2787000.00000000 PA USD 3148329.84000000 0.084416597297 Long DBT CORP US N 2 2030-04-01 Fixed 3.62500000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBG7 134000.00000000 PA USD 173310.49000000 0.004646997800 Long DBT CORP US N 2 2059-02-14 Fixed 6.20000000 N N N N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAD7 465000.00000000 PA USD 489877.50000000 0.013135152205 Long DBT CORP US N 2 2031-03-18 Fixed 5.50000000 N N N N N N OCP CLO Ltd 254900U8BS6KLMI9K654 67092RAE8 2357648.83000000 PA USD 2357698.34000000 0.063217287079 Long ABS-CBDO CORP KY N 2 2028-10-18 Floating 1.31000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MV0 2981000.00000000 PA USD 3044346.25000000 0.081628471120 Long DBT CORP US N 2 2026-02-18 Fixed 3.87500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 19334.47000000 0.000518417780 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10349395.60000000 ZAR 743000.00000000 USD 2021-07-14 19334.47000000 N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC 6299.13000000 0.000168899431 N/A DFE MX N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 558000.00000000 USD 11265462.00000000 MXN 2021-07-14 6299.13000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBH8 3385000.00000000 PA USD 3494673.56000000 0.093703158688 Long DBT CORP US N 2 2026-03-13 Fixed 2.00500000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBE7 591000.00000000 PA USD 606602.40000000 0.016264912865 Long DBT CORP US N 2 2024-07-15 Fixed 4.62500000 N N N N N N Anchorage Capital CLO LTD 5493008PWA7TS1SR9447 033292AQ6 835000.00000000 PA USD 835751.50000000 0.022409118930 Long ABS-CBDO CORP KY N 2 2030-10-13 Floating 1.43800000 N N N N N N AEP TEXAS INC 5493001L78U618KXNZ75 00108WAN0 982000.00000000 PA USD 1014671.89000000 0.027206535744 Long DBT CORP US N 2 2051-05-15 Fixed 3.45000000 N N N N N N Mariner Finance Issuance Trust N/A 56847MAB6 560000.00000000 PA USD 577286.98000000 0.015478874512 Long ABS-O CORP US N 2 2032-07-20 Fixed 3.51000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H6PA1 2264724.16000000 PA USD 2394239.43000000 0.064197068308 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Navient Student Loan Trust N/A 63942CAB8 280000.00000000 PA USD 280302.93000000 0.007515800683 Long ABS-O CORP US N 2 2060-04-15 Fixed 2.61000000 N N N N N N Spectacle Gary Holdings LLC 549300V1ELIRK8JURN28 84752PAC2 2995905.41000000 PA USD 3265536.90000000 0.087559286179 Long LON CORP US N 2 2025-12-23 Floating 11.00000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513EBZ3 1810000.00000000 PA USD 2380139.18000000 0.063818996382 Long DBT CORP US N 2 2028-11-01 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KEYV1 230463.60000000 PA USD 244107.28000000 0.006545281784 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.00000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969FAB1 180584.95000000 PA USD 81778.17000000 0.002192729223 Long ABS-O CORP US N 2 2057-02-26 None 0.00000000 N N N N N N TEGNA INC 549300YC5EDBGX85AO10 87901JAJ4 832000.00000000 PA USD 863200.00000000 0.023145099303 Long DBT CORP US N 2 2028-03-15 Fixed 4.62500000 N N N N N Great Lakes CLO Ltd N/A 390578AL6 730000.00000000 PA USD 730000.00000000 0.019573589540 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 0.00000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPBX0 1253000.00000000 PA USD 1314083.75000000 0.035234706773 Long DBT CORP US N 2 2028-02-01 Fixed 5.00000000 N N N N N N GOL FINANCE SA 5299007RH8MA67ZC6J07 36254VAA6 800000.00000000 PA USD 771568.00000000 0.020688157992 Long DBT CORP LU N 2 2025-01-31 Fixed 7.00000000 N N N N N N Aimco N/A 00900PAL9 940000.00000000 PA USD 939764.06000000 0.025198021884 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 1.26600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EEHB8 37270.53000000 PA USD 40176.47000000 0.001077257168 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.50000000 N N N N N N LYB INT FINANCE III N/A 50249AAD5 813000.00000000 PA USD 935448.75000000 0.025082314889 Long DBT CORP US N 2 2050-05-01 Fixed 4.20000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1481000.00000000 OU Notional Amount USD 752.35000000 0.000020172863 N/A DFE 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 1.00000000 NC USD 752.35000000 0.00000000 DFE US 106335800.00000000 RUB 1481000.00000000 USD 2021-07-08 1.00000000 71.80000000 USD 2021-07-08 XXXX -6729.66000000 N N N Ziggo Bond Co BV 213800JYI4P7V5QDOG59 98954UAB9 178000.00000000 PA USD 186010.00000000 0.004987511493 Long DBT CORP NL N 2 2027-01-15 Fixed 6.00000000 N N N N N N Cedar Funding Ltd 254900Q56WTD2BRLBE32 15032TBG0 510000.00000000 PA USD 510182.07000000 0.013679581409 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.53400000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDD1 1057000.00000000 PA USD 1017362.50000000 0.027278679437 Long DBT CORP MX N 2 2050-01-23 Fixed 7.69000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJB6 650000.00000000 PA USD 670109.18000000 0.017967728817 Long DBT CORP US N 2 2031-04-29 Fixed 2.59200000 N N N N N N Credit Suisse First Boston Mortgage Securities N/A 22540VHP0 627981.42000000 PA USD 649138.37000000 0.017405435629 Long ABS-O CORP US N 2 2031-09-25 Variable 8.10000000 N N N N N N Post Holdings Inc JM1I5YUAURL6DC8N1468 737446AM6 605000.00000000 PA USD 632981.25000000 0.016972212567 Long DBT CORP US N 2 2027-03-01 Fixed 5.75000000 N N N N N N TPG Pace Beneficial Finance Corp N/A 000000000 8740.00000000 NS USD 28929.40000000 0.000775687946 N/A DE KY N 1 N/A N/A Call Purchased TPG Pace Beneficial Finance Corp TPG Pace Beneficial Finance Corp 1.00000000 11.50000000 USD 2027-10-09 XXXX -33829.64000000 N N N Banc of America Merrill Lynch Large Loan Inc N/A 054966AW6 630000.00000000 PA USD 523422.90000000 0.014034609590 Long ABS-MBS CORP US N 2 2032-11-15 Floating 2.07300000 N N N N N N AEP Transmission Co LLC 549300X123Z1I0LA3Y84 00115AAM1 1032000.00000000 PA USD 1167185.76000000 0.031295910937 Long DBT CORP US N 2 2050-04-01 Fixed 3.65000000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YBH1 851000.00000000 PA USD 849495.22000000 0.022777631168 Long DBT CORP JP N 2 2031-07-10 Fixed 2.20100000 N N N N N N Pivotal Investment Corp III N/A 72582M205 26099.00000000 NS USD 260990.00000000 0.006997960457 Long EC CORP US N 1 N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAR2 1065000.00000000 PA USD 1122243.75000000 0.030090874694 Long DBT CORP US N 2 2027-12-15 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XR3E7 414305.62000000 PA USD 438414.14000000 0.011755258116 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95002GAG7 300000.00000000 PA USD 290967.51000000 0.007801751521 Long ABS-MBS CORP US N 2 2037-02-15 Floating 2.16300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138E7AT1 1191393.85000000 PA USD 1309881.94000000 0.035122043069 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 4.00000000 N N N N N N BAUSCH HEALTH AMERICAS KOO0397YRO83WY5MGD97 91911XAV6 639000.00000000 PA USD 695040.30000000 0.018636210337 Long DBT CORP US N 2 2026-04-01 Fixed 9.25000000 N N N N N N SMB Private Education Loan Trust N/A 78448YAD3 760000.00000000 PA USD 770378.41000000 0.020656261354 Long ABS-O CORP US N 2 2053-01-15 Fixed 2.31000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468L6 6493000.00000000 PA USD 6796889.15000000 0.182245915584 Long DBT CORP US N 2 2031-01-22 Fixed 2.69900000 N N N N N N UMBS, TBA N/A 01F012478 17503000.00000000 PA USD 17713924.80000000 0.474965881085 Long ABS-MBS USGSE US N 2 2036-07-19 Fixed 1.50000000 N N N N N N York CLO Ltd 549300TKWX739FHPEQ97 98625UAU6 630000.00000000 PA USD 631126.44000000 0.016922479294 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 1.43800000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 848.00000000 NC USD 4109150.92000000 0.110179223930 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Long Bond USU1 Comdty 2021-09-21 132206849.08000000 USD 4109150.92000000 N N N J.P. Morgan Alternative Loan Trust N/A 466278AR9 193701.22000000 PA USD 179926.55000000 0.004824395119 Long ABS-MBS CORP US N 2 2037-05-25 Variable 3.31300000 N N N N N N MFT Trust N/A 55317BAG2 1321000.00000000 PA USD 1316334.49000000 0.035295056172 Long ABS-MBS CORP US N 2 2042-02-10 Variable 3.59300000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABD6 2179000.00000000 PA USD 2407795.00000000 0.064560535655 Long DBT CORP US N 2 2027-04-15 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HBPX0 71213.64000000 PA USD 78070.35000000 0.002093310940 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M4QV0 93020.93000000 PA USD 101772.19000000 0.002728831607 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 3.50000000 N N N N N N DELL INT LLC / EMC CORP N/A 24703TAE6 1374000.00000000 PA USD 1585711.15000000 0.042517889288 Long DBT CORP US N 2 2026-10-01 Fixed 4.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERQ52 1249892.65000000 PA USD 1384268.22000000 0.037116572537 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.50000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CQ0 1807000.00000000 PA USD 1874762.50000000 0.050268262550 Long DBT CORP GB N 2 2031-03-09 Fixed 4.70000000 N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 6856.24000000 0.000183837298 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10942942.22000000 MXN 555000.00000000 USD 2021-07-14 6856.24000000 N N N DOW CHEMICAL CO/THE ZQUIP1CSZO8LXRBSOU78 260543CX9 680000.00000000 PA USD 752074.74000000 0.020165482554 Long DBT CORP US N 2 2026-05-15 Fixed 3.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307JA60 159947.20000000 PA USD 167029.49000000 0.004478584491 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 2.50000000 N N N N N N Parallel Ltd 549300IVH7GEF68EFD31 69915VAS9 350000.00000000 PA USD 347904.20000000 0.009328402753 Long ABS-CBDO CORP KY N 2 2027-07-20 Floating 1.93800000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AL4 4844000.00000000 PA USD 5515448.69000000 0.147886477796 Long DBT CORP US N 2 2028-04-13 Fixed 4.00000000 N N N N N N CLEAN HARBORS INC 5493000SJVZVZJKHJF48 184496AN7 371000.00000000 PA USD 388622.50000000 0.010420188084 Long DBT CORP US N 2 2027-07-15 Fixed 4.87500000 N N N N N N OHA Loan Funding Ltd N/A 67104LAE7 5670000.00000000 PA USD 5664477.42000000 0.151882405455 Long ABS-CBDO CORP KY N 2 2031-05-23 Floating 1.19000000 N N N N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22546QAP2 1166000.00000000 PA USD 1266769.66000000 0.033966067626 Long DBT CORP CH N 2 2024-09-09 Fixed 3.62500000 N N N N N N ICG US CLO Ltd 254900IL8TH4VLG5DO47 44931AAJ8 1252546.75000000 PA USD 1254026.01000000 0.033624370401 Long ABS-CBDO CORP KY N 2 2028-10-19 Floating 1.33000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WAFC6 1053960.86000000 PA USD 1114883.90000000 0.029893534033 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.00000000 N N N N N N Oportun Funding LLC N/A 68377GAC0 100000.00000000 PA USD 100248.54000000 0.002687977772 Long ABS-O CORP US N 2 2031-05-08 Fixed 3.65000000 N N N N N N National Bank of Canada 254900F2ES7T4LUTQL51 000000000 2000000.00000000 PA USD 2000000.00000000 0.053626272714 Long RA CORP US N 2 Repurchase Y 0.21000000 2021-07-07 16357.33000000 USD 2222235.20000000 USD EQT N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311VAH0 54000.00000000 PA USD 59670.00000000 0.001599939846 Long DBT CORP US N 2 2029-05-15 Fixed 5.12500000 N N N N N N BANCO DO BRASIL (CAYMAN) QE0Q0253K88YAGNPE356 05958AAD0 255000.00000000 PA USD 260992.50000000 0.006998027490 Long DBT CORP BR N 2 2022-01-26 Fixed 5.87500000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAQ6 435000.00000000 PA USD 463144.50000000 0.012418356631 Long DBT CORP KY N 2 2030-07-08 Fixed 3.75000000 N N N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAW9 1480000.00000000 PA USD 1787278.84000000 0.047922551245 Long DBT CORP US N 2 2046-05-14 Fixed 4.45000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDG3 3263000.00000000 PA USD 3601847.47000000 0.096576827351 Long DBT CORP US N 2 2030-04-01 Fixed 3.40000000 N N N N N N BX Trust N/A 05609BBM0 1110000.00000000 PA USD 1112105.00000000 0.029819023008 Long ABS-MBS CORP US N 2 2036-02-15 Floating 3.07300000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38143U8H7 1438000.00000000 PA USD 1590847.85000000 0.042655620325 Long DBT CORP US N 2 2026-02-25 Fixed 3.75000000 N N N N N N LSTAR Commercial Mortgage Trust 549300MAI3U5Y4VL8H37 54910JAN4 92659.69000000 PA USD 96008.35000000 0.002574284979 Long ABS-MBS CORP US N 2 2048-04-20 Variable 3.36700000 N N N N N N UNITED AIR 2020-1 B PTT N/A 90932VAA3 616267.50000000 PA USD 653477.30000000 0.017521775951 Long DBT CORP US N 2 2027-07-15 Fixed 4.87500000 N N N N N N Bain Capital Credit CLO, Limited N/A 05682VAE5 250000.00000000 PA USD 250265.75000000 0.006710409680 Long ABS-CBDO CORP KY N 2 2031-07-19 Floating 1.79000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWL4 5660000.00000000 PA USD 6249254.22000000 0.167562105532 Long DBT CORP US N 2 2028-06-05 Fixed 3.69100000 N N N N N N Velocity Commercial Capital Loan Trust N/A 92259LAH1 198868.34000000 PA USD 201836.83000000 0.005411878444 Long ABS-MBS CORP US N 2 2050-02-25 Variable 2.98000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AN9 926000.00000000 PA USD 1117691.26000000 0.029968808159 Long DBT CORP CO N 2 2030-04-29 Fixed 6.87500000 N N N N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 59259YBY4 170000.00000000 PA USD 247416.86000000 0.006634022004 Long DBT MUN US N 2 2039-11-15 Fixed 6.66800000 N N N N N N SCIENTIFIC GAMES INTERNA RLTHESQ0RNFQJWPBJN60 80874YAW0 629000.00000000 PA USD 649442.50000000 0.017413590308 Long DBT CORP US N 2 2025-10-15 Fixed 5.00000000 N N N N N N Sound Point CLO LTD 549300YVZ0M0XDDYS744 83609RAL5 250000.00000000 PA USD 250007.50000000 0.006703485187 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.07300000 N N N N N N VISTRA CORP 549300ZH5GKBTJZ7NM23 92840VAE2 2473000.00000000 PA USD 2687949.99000000 0.072072369603 Long DBT CORP US N 2 2029-07-15 Fixed 4.30000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCB9 328000.00000000 PA USD 363651.46000000 0.009750636183 Long DBT CORP US N 2 2061-03-25 Fixed 4.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417KZW0 418070.75000000 PA USD 460624.42000000 0.012350785382 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -6951.87000000 -0.00018640143 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1879857.00000000 BRL 371000.00000000 USD 2021-07-02 -6951.87000000 N N N Sequoia Mortgage Trust N/A 81744MAM4 246436.79000000 PA USD 225419.92000000 0.006044215052 Long ABS-MBS CORP US N 2 2037-07-20 Variable 2.94700000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBM4 829000.00000000 PA USD 790403.08000000 0.021193185561 Long DBT CORP US N 2 2041-02-04 Fixed 3.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379UY67 2392328.02000000 PA USD 125690.76000000 0.003370163486 Long ABS-MBS USGA US N 2 2058-08-15 Variable 0.78000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969JAE7 694660.22000000 PA USD 575327.88000000 0.015426344896 Long ABS-O CORP US N 2 2058-11-25 None 0.00000000 N N N N N N Trestles CLO LTD N/A 89532TAE6 520000.00000000 PA USD 521388.40000000 0.013980058264 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 2.03800000 N N N N N N Romark CLO Ltd N/A 77588LAG6 310000.00000000 PA USD 309995.97000000 0.008311964213 Long ABS-CBDO CORP KY N 2 2034-07-10 Floating 3.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERRX0 236320.48000000 PA USD 263559.11000000 0.007066846354 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 490000.00000000 OU Notional Amount USD 8493.60000000 0.000227740054 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y buy protection 2026-06-20 9764.67000000 USD 0.00000000 USD 490000.00000000 USD -1271.07000000 N N N Bausch Health Cos Inc B3BS7ACMDUWISF18KY76 071734AD9 308000.00000000 PA USD 317240.00000000 0.008506199377 Long DBT CORP CA N 2 2028-01-15 Fixed 7.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -12278.80000000 -0.00032923313 N/A DFE ZA N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 372000.00000000 USD 5144499.60000000 ZAR 2021-07-14 -12278.80000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFP9 1023000.00000000 PA USD 1122690.66000000 0.030102857753 Long DBT CORP US N 2 2025-04-21 Fixed 3.95000000 N N N N N N CHEVRON USA INC VA8TZDWPEZYU430RZ444 166756AH9 672000.00000000 PA USD 605223.64000000 0.016227943985 Long DBT CORP US N 2 2050-08-12 Fixed 2.34300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRT4 9528999.53000000 PA USD 10153826.61000000 0.272255937442 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 3.00000000 N N N N N N Madison Park Funding Ltd 254900B0583OW8RQ8N33 55820RAL6 250000.00000000 PA USD 250007.75000000 0.006703491891 Long ABS-CBDO CORP KY N 2 2029-04-25 Floating 1.74300000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822AL8 57000.00000000 PA USD 58010.58000000 0.001555445591 Long DBT CORP JP N 2 2022-02-22 Fixed 2.99800000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAR2 1604000.00000000 PA USD 1718354.61000000 0.046074476468 Long DBT US N 2 2030-07-01 Fixed 3.30000000 N N N N N N DIG INTL FIN/DIG INTL HL N/A 25381XAC7 97061.00000000 PA USD 95119.78000000 0.002550459631 Long DBT CORP XX N 2 2026-12-31 Fixed 8.00000000 N N N N N N HILTON WORLDWIDE FIN LLC N/A 432891AK5 259000.00000000 PA USD 270007.50000000 0.007239747914 Long DBT CORP US N 2 2027-04-01 Fixed 4.87500000 N N N N N N BENCHMARK Mortgage Trust N/A 08163DAE7 420000.00000000 PA USD 439289.63000000 0.011778732749 Long ABS-MBS CORP US N 2 2054-04-15 Fixed 2.57700000 N N N N N N PPM Clo, Ltd. 5493006KUFG82AH4TB78 69356AAE2 250000.00000000 PA USD 250044.25000000 0.006704470570 Long ABS-CBDO CORP KY N 2 2031-10-18 Floating 2.09000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRF4 1032978.96000000 PA USD 1096867.52000000 0.029410458379 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 2340000.00000000 OU Notional Amount USD -9051.61000000 -0.00024270205 N/A DCR US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Markit CMBX.NA.AAA.6 137BENAF3 Y buy protection 2063-05-11 0.00000000 USD -883.14000000 USD 2340000.00000000 USD -8168.47000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828WZ9 14119000.00000000 PA USD 14314239.23000000 0.383809648325 Long DBT UST US N 2 2022-04-30 Fixed 1.75000000 N N N N N N Rockford Tower CLO Ltd 549300IG5M07NI4QKK80 77341GAC4 250000.00000000 PA USD 250762.00000000 0.006723715699 Long ABS-CBDO CORP KY N 2 2032-08-20 Floating 2.08500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFNC6 371282.16000000 PA USD 390245.54000000 0.010463706876 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 2.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 8141.44000000 0.000218297540 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 557000.00000000 USD 2810900.50000000 BRL 2021-07-02 8141.44000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAS5 2190000.00000000 PA USD 2385849.23000000 0.063972100731 Long DBT CORP US N 2 2025-01-15 Fixed 4.00000000 N N N N N N RELX Capital Inc 2R15C3RTKJN1RCBOV146 74949LAB8 1870000.00000000 PA USD 1960749.59000000 0.052573846119 Long DBT CORP US N 2 2023-03-16 Fixed 3.50000000 N N N N N N ENA MASTER TRUST 549300CBCHB6Q73VG753 29249BAA3 250000.00000000 PA USD 251527.50000000 0.006744241155 Long DBT CORP PA N 2 2048-05-19 Fixed 4.00000000 N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BJ3 2100000.00000000 PA USD 2148300.00000000 0.057602660836 Long DBT CORP US N 2 2030-12-01 Fixed 4.00000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDF6 176000.00000000 PA USD 155742.40000000 0.004175942207 Long DBT CORP MX N 2 2060-01-28 Fixed 6.95000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UQ62 499195.82000000 PA USD 533587.03000000 0.014307141793 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 4.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -11041.90000000 -0.00029606797 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 2825326.80000000 BRL 557000.00000000 USD 2021-07-02 -11041.90000000 N N N Galaxy CLO Ltd 54930022KENWLYJ8SJ86 36320TAV5 660000.00000000 PA USD 659834.34000000 0.017692228131 Long ABS-CBDO CORP KY N 2 2034-04-16 Floating 1.32200000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46642NBF2 1347418.80000000 PA USD 29705.33000000 0.000796493063 Long ABS-MBS CORP US N 2 2047-09-15 Variable 0.97900000 N N N N N N Spectrum Brands Inc 549300VU3EH2E73C1Q04 84762LAU9 399000.00000000 PA USD 408875.25000000 0.010963227831 Long DBT CORP US N 2 2025-07-15 Fixed 5.75000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833EA4 1221000.00000000 PA USD 1139045.63000000 0.030541385794 Long DBT CORP US N 2 2060-08-20 Fixed 2.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XTDH5 665557.19000000 PA USD 713400.38000000 0.019128501666 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.50000000 N N N N N N BX Trust 2019-OC11 N/A 05606FAL7 1743000.00000000 PA USD 1864870.21000000 0.050003019229 Long ABS-MBS CORP US N 2 2041-12-09 Variable 4.07500000 N N N N N N GreenPoint Mortgage Funding Trust N/A 39538WGJ1 158491.31000000 PA USD 156809.15000000 0.004204545121 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.11600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X55F0 290879.72000000 PA USD 320788.78000000 0.008601353300 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AH3 3882000.00000000 PA USD 4514891.19000000 0.121058393115 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N Venture CDO Ltd 549300UP09C89Q3HWD39 92325QAC1 420000.00000000 PA USD 420176.82000000 0.011266258368 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 1.26000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418NYJ3 122394.75000000 PA USD 128844.17000000 0.003454716299 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N PUMA INTERNATIONAL FINAN 222100YFBPO7IDRUBR17 000000000 524000.00000000 PA USD 527982.40000000 0.014156864085 Long DBT CORP LU N 2 2024-10-06 Fixed 5.12500000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BW8 90000.00000000 PA USD 108675.00000000 0.002913917593 Long DBT CORP US N 2 2029-02-01 Fixed 5.87500000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95001EAA6 490000.00000000 PA USD 482979.62000000 0.012950198408 Long ABS-MBS CORP US N 2 2031-12-13 Floating 0.92300000 N N N N N N Origen Manufactured Housing N/A 68619AAG2 273766.60000000 PA USD 268481.26000000 0.007198824633 Long ABS-O CORP US N 2 2032-03-15 Variable 7.82000000 N N N N N N BROOKFIELD RESID PROPERT N/A 11283YAB6 533000.00000000 PA USD 562981.25000000 0.015095293022 Long DBT CORP CA N 2 2027-09-15 Fixed 6.25000000 N N N N N N Washington Mutual Bank N/A 939MMIBF0 2190000.00000000 PA USD 0.22000000 0.000000005898 Long DBT CORP US N 3 2017-09-19 None 0.00000000 Y N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EY5 1212000.00000000 PA USD 1207721.03000000 0.032382788658 Long DBT CORP US N 2 2030-05-28 Fixed 1.70000000 N N N N N Suncor Energy Inc 549300W70ZOQDVLCHY06 86722TAB8 89000.00000000 PA USD 130755.91000000 0.003505976044 Long DBT CORP CA N 2 2039-06-01 Fixed 6.85000000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 595620AU9 687000.00000000 PA USD 863509.36000000 0.023153394215 Long DBT CORP US N 2 2049-07-15 Fixed 4.25000000 N N N N N N GS Mortgage Securities Trust N/A 36256QAA5 332000.00000000 PA USD 332616.99000000 0.008918504707 Long ABS-MBS CORP US N 2 2038-06-15 Floating 1.27300000 N N N N N N TRANSCONT GAS PIPE LINE N/A 893574AK9 2280000.00000000 PA USD 2579657.91000000 0.069168719296 Long DBT CORP US N 2 2028-03-15 Fixed 4.00000000 N N N N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 105756CC2 5820000.00000000 PA USD 5868888.00000000 0.157363294209 Long DBT NUSS BR N 2 2030-06-12 Fixed 3.87500000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 7626050.00000000 OU Notional Amount USD -22903.01000000 -0.00061410153 N/A DCR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 47847.87000000 USD 0.00000000 USD 7626050.00000000 USD -70750.88000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1279000.00000000 OU Notional Amount USD -172922.18000000 -0.00463658599 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-10-03 19.20000000 USD 0.00000000 USD 1279000.00000000 USD -172941.38000000 N N N BX Trust 2019-OC11 N/A 05606FAA1 168000.00000000 PA USD 180980.18000000 0.004852646244 Long ABS-MBS CORP US N 2 2041-12-09 Fixed 3.20200000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBJ0 404000.00000000 PA USD 424325.24000000 0.011377490519 Long DBT CORP US N 2 2026-04-15 Fixed 5.87500000 N N N N N N COX COMMUNICATIONS INC 5493001NEDZNIFRP2R92 224044CP0 1330000.00000000 PA USD 1400527.07000000 0.037552523300 Long DBT CORP US N 2 2051-06-15 Fixed 3.60000000 N N N N N N Octagon Investment Partners 37 Ltd N/A 67591VAE5 250000.00000000 PA USD 249874.00000000 0.006699905634 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 1.75600000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 530000.00000000 OU Notional Amount USD -1591.73000000 -0.00004267927 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD 0.00000000 USD 530000.00000000 USD -1591.73000000 N N N SOUTHWESTERN PUBLIC SERV OL6FE7QD5EQ3DOYEO258 845743BU6 1333000.00000000 PA USD 1392475.81000000 0.037336643767 Long DBT CORP US N 2 2050-05-01 Fixed 3.15000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCV4 4115000.00000000 PA USD 4896130.25000000 0.131280608016 Long DBT CORP US N 2 2036-01-15 Fixed 4.27200000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61772BAB9 3437000.00000000 PA USD 3461318.01000000 0.092808791778 Long DBT CORP US N 2 2027-05-04 Fixed 1.59300000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -8532.51000000 -0.00022878335 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1882745.00000000 BRL 370000.00000000 USD 2021-07-02 -8532.51000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QMPY1 117511.67000000 PA USD 128342.94000000 0.003441276750 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 4.00000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAV1 601000.00000000 PA USD 676876.25000000 0.018149175188 Long DBT CORP NL N 2 2025-01-27 Fixed 5.29900000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AQ3 792000.00000000 PA USD 943481.61000000 0.025297701059 Long DBT CORP US N 2 2029-01-23 Fixed 4.75000000 N N N N N N MAGNA INTERNATIONAL INC 95RWVLFZX6VGDZNNTN43 559222AV6 582000.00000000 PA USD 594723.43000000 0.015946400423 Long DBT CORP CA N 2 2030-06-15 Fixed 2.45000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 660000.00000000 OU Notional Amount USD -894.72000000 -0.00002399024 N/A DCR US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Markit CMBX.NA.A.8 137BEOAH7 Y sell protection 2059-11-17 0.00000000 USD -30600.51000000 USD 660000.00000000 USD 29705.79000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHF9 3369000.00000000 PA USD 3539729.77000000 0.094911256991 Long DBT CORP US N 2 2024-03-05 Fixed 3.55000000 N N N N N N Ball Corp 0BGI85ALH27ZJP15DY16 058498AT3 90000.00000000 PA USD 101587.50000000 0.002723879489 Long DBT CORP US N 2 2025-07-01 Fixed 5.25000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFM1 640000.00000000 PA USD 647012.31000000 0.017348429292 Long DBT CORP US N 2 2030-03-01 Fixed 2.12500000 N N N N N N Stoneway Capital Corp 549300CV1RKODDF74O91 86188PAA5 1137974.16000000 PA USD 324322.64000000 0.008696107170 Long DBT CORP CA N 2 2027-03-01 None 0.00000000 Y N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RK6 20100000.00000000 PA USD 21747257.71000000 0.583112186375 Long DBT UST US N 2 2045-02-15 Fixed 2.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBA8 1262000.00000000 PA USD 1468030.23000000 0.039362494733 Long DBT CORP US N 2 2029-04-15 Fixed 4.75000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAB4 2831000.00000000 PA USD 3245799.05000000 0.087030052516 Long DBT CORP XX N 2 2029-06-18 Fixed 4.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJJ25 264948.02000000 PA USD 283702.04000000 0.007606941483 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 4.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 105000.00000000 OU Notional Amount USD 8165.54000000 0.000218943737 N/A DCR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Markit CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-17 5730.99000000 USD 0.00000000 USD 105000.00000000 USD 2434.55000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -580.24000000 -0.00001555805 N/A DFE BR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 370000.00000000 USD 1837420.00000000 BRL 2021-07-02 -580.24000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 3999.70000000 0.000107244501 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 411073380.00000000 KRW 369000.00000000 USD 2021-07-12 3999.70000000 N N N BRTE6JT67 ARI INVESTMENTS LLC 01/25 VARIABLE N/A 000000000 813705.59000000 PA USD 808213.08000000 0.021670727519 Long DBT CORP US N 2 2025-01-06 Variable 3.03300000 N N N N N N ESC CB CHESAPEAKE ENER N/A 165ESCAP9 1884000.00000000 PA USD 0.19000000 0.000000005094 Long DBT CORP US N 3 2021-02-15 None 0.00000000 N N N N N N OUTFRONT MEDIA CAP LLC/C N/A 69007TAB0 583000.00000000 PA USD 603632.37000000 0.016185277046 Long DBT CORP US N 2 2027-08-15 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RU4 3706000.00000000 PA USD 4301276.25000000 0.115330706601 Long DBT UST US N 2 2046-11-15 Fixed 2.87500000 N N N N N N New York State Dormitory Authority 549300C8XO7EXTX2XU71 6499022F9 355000.00000000 PA USD 474178.83000000 0.012714221626 Long DBT MUN US N 2 2040-03-15 Fixed 5.38900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418RGR6 10896.47000000 PA USD 12027.42000000 0.000322492852 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 4.50000000 N N N N N N AMER AIRLINE 19-1B PTT N/A 02379DAA8 747767.37000000 PA USD 712923.35000000 0.019115710995 Long DBT CORP US N 2 2029-08-15 Fixed 3.85000000 N N N N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 984245AR1 509000.00000000 PA USD 332662.04000000 0.008919712639 Long DBT CORP AR N 2 2047-12-15 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335B2J4 1481799.97000000 PA USD 1626111.92000000 0.043601160643 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGH1 1943000.00000000 PA USD 1983638.39000000 0.053187566634 Long DBT CORP US N 2 2028-03-22 Fixed 2.10000000 N N N N N N OneMain Financial Issuance Trust N/A 68269MAE4 150000.00000000 PA USD 151017.69000000 0.004049257914 Long ABS-O CORP US N 2 2036-06-16 Fixed 2.47000000 N N N N N N FORESTAR GROUP INC 549300BC2UB0GHV60V70 346232AE1 659000.00000000 PA USD 682065.00000000 0.018288301849 Long DBT CORP US N 2 2028-03-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HRMP2 1049282.23000000 PA USD 1116930.90000000 0.029948420523 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.00000000 N N N N N N Anchorage Capital CLO LTD 549300687XYK5L55VX28 03329AAE5 2410000.00000000 PA USD 2410024.10000000 0.064620304817 Long ABS-CBDO CORP KY N 2 2030-01-15 Floating 1.63400000 N N N N N N Credit Suisse Mortgage Trust N/A 12642MAJ9 2614922.15000000 PA USD 1457773.86000000 0.039087489286 Long ABS-MBS CORP US N 2 2037-10-27 Fixed 6.50000000 N N N N N N Bayview Financial Revolving Mortgage Loan Trust N/A 073250BV3 287822.45000000 PA USD 267051.25000000 0.007160481580 Long ABS-MBS CORP US N 2 2040-12-28 Floating 1.09500000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAD0 2069000.00000000 PA USD 2259157.82000000 0.060575106680 Long DBT CORP XX N 2 2030-05-01 Fixed 3.40000000 N N N N N N ALPHA HOLDING SA 549300R872G37EN6NT94 02074AAB0 609000.00000000 PA USD 117232.50000000 0.003143371008 Long DBT CORP MX Y 2 2025-02-10 Fixed 9.00000000 N N N N N N White Cap Buyer LLC N/A 96350TAC4 1383050.00000000 PA USD 1386723.38000000 0.037182403077 Long LON CORP US N 2 2027-10-19 Floating 4.50000000 N N N N N N MHC Commercial Mortgage Trust N/A 55316VAJ3 2540000.00000000 PA USD 2543178.30000000 0.068190586538 Long ABS-MBS CORP US N 2 2038-04-15 Floating 2.17400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XERE0 643142.68000000 PA USD 693510.47000000 0.018595190797 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.50000000 N N N N N N GS Mortgage Securities Trust N/A 36257XAN1 407000.00000000 PA USD 399839.16000000 0.010720941918 Long ABS-MBS CORP US Y 2 2036-06-15 Floating 1.94800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FDW3 48205.93000000 PA USD 53311.62000000 0.001429451736 Long ABS-MBS USGA US N 2 2040-01-20 Fixed 4.50000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 340000.00000000 OU Notional Amount USD -89926.25000000 -0.00241120480 N/A DCR US N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 Markit CMBX.NA.BBB-.6 137BERAF4 Y sell protection 2063-05-11 0.00000000 USD -28925.17000000 USD 340000.00000000 USD -61001.08000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 7241.22000000 0.000194159819 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 266492500.00000000 CLP 370000.00000000 USD 2021-07-14 7241.22000000 N N N SLM Student Loan Trust 549300HIOV1ESFZYQ040 78443CBN3 1025989.94000000 PA USD 1024223.39000000 0.027462641416 Long ABS-O CORP US N 2 2024-03-15 Floating 0.44900000 N N N N N N Voyager OPTONE Delaware Trust N/A 92911BAA8 3295069.47000000 PA USD 991360.53000000 0.026581485070 Long ABS-MBS CORP US N 2 2038-02-25 Variable 3.80800000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAB2 111000.00000000 PA USD 124140.18000000 0.003328587573 Long DBT CORP XX N 2 2030-01-15 Fixed 5.50000000 N N N N N N UNITED AIR 2018-1 AA PTT N/A 909318AA5 238534.58000000 PA USD 249477.14000000 0.006689264572 Long DBT CORP US N 2 2030-03-01 Fixed 3.50000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 466330AQ0 1080000.00000000 PA USD 1082693.84000000 0.029030417565 Long ABS-MBS CORP US N 2 2038-04-15 Floating 3.02300000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAW1 382000.00000000 PA USD 372268.63000000 0.009981689537 Long DBT US N 2 2031-04-01 Fixed 2.10000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAQ4 1137000.00000000 PA USD 1275048.88000000 0.034188059481 Long DBT CORP US N 2 2030-11-15 Fixed 4.15000000 N N N N N N Northern Trust Corp 549300GLF98S992BC502 665859AU8 558000.00000000 PA USD 613342.56000000 0.016445637695 Long DBT CORP US N 2 2029-05-03 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416VGJ7 173238.08000000 PA USD 201429.60000000 0.005400959331 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312943Q63 135332.32000000 PA USD 148467.29000000 0.003980873691 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N Carlyle Global Market Strategies N/A 14315LAA2 4066514.08000000 PA USD 4068299.28000000 0.109083863336 Long ABS-CBDO CORP KY N 2 2031-07-27 Floating 1.23100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307MNN2 471423.48000000 PA USD 500568.15000000 0.013421802062 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJH35 209357.76000000 PA USD 222340.76000000 0.005961653115 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 3.00000000 N N N N N N Bayview Financial Acquisition Trust N/A 073250BE1 4928570.43000000 PA USD 4226565.07000000 0.113327465544 Long ABS-MBS CORP US N 2 2039-05-28 Floating 1.09500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 296000.00000000 OU Notional Amount USD -4353.30000000 -0.00011672562 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-06-01 4.79000000 USD 0.00000000 USD 296000.00000000 USD -4358.09000000 N N N Avoca CLO 5493000BN1WPGQDK4X78 000000000 250000.00000000 PA 296099.00000000 0.007939342862 Long ABS-CBDO CORP IE N 2 2035-04-15 Floating 2.90000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 560000.00000000 OU Notional Amount USD -1681.83000000 -0.00004509513 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1079.58000000 USD 560000.00000000 USD -602.25000000 N N N DIG INTL FIN/DIG INTL HL N/A 25381XAB9 133406.00000000 PA USD 133739.52000000 0.003585975986 Long DBT CORP XX N 2 2025-12-31 Fixed 13.00000000 N N Y N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379K7R3 1406268.69000000 PA USD 50543.83000000 0.001355238605 Long ABS-MBS USGA US N 2 2055-09-16 Variable 0.71000000 N N N N N N Upstart Pass Through Trust N/A 91679XAA4 130000.00000000 PA USD 129887.71000000 0.003482696879 Long ABS-O CORP US N 2 2027-07-20 Fixed 2.00000000 N N N N N N Sound Point CLO LTD 549300Q00FJ0WHHYC788 83608GAN6 500000.00000000 PA USD 500029.00000000 0.013407345759 Long ABS-CBDO CORP KY N 2 2031-01-26 Floating 1.24600000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 1986457.00000000 OU Notional Amount USD 79879.41000000 0.002141817512 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 REPUBLIC OF SOUTH AFRICA REPUBLIC OF SOUTH AFRICA Y buy protection 2026-06-20 134125.51000000 USD 0.00000000 USD 1986457.00000000 USD -54246.10000000 N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAF2 3656000.00000000 PA USD 3714554.24000000 0.099598849343 Long DBT CORP GB N 2 2023-01-10 Fixed 3.57100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPJ54 601555.39000000 PA USD 638206.99000000 0.017112331047 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 3.00000000 N N N N N N Euro Galaxy CLO BV 5493000DO5029DBEJL19 000000000 250000.00000000 PA 294912.66000000 0.007907533366 Long ABS-CBDO CORP IE N 2 2035-07-25 Floating 3.50000000 N N N N N N HTA GROUP LTD 213800WEFU8O8X6EPU13 40435WAB6 410000.00000000 PA USD 436149.80000000 0.011694544059 Long DBT CORP MU N 2 2025-12-18 Fixed 7.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -11070.61000000 -0.00029683777 N/A DFE CL N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 556000.00000000 USD 400320000.00000000 CLP 2021-07-14 -11070.61000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 8826.64000000 0.000236669901 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 13354873.00000000 MXN 674440.17000000 USD 2021-08-24 8826.64000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WD7A3 15473.96000000 PA USD 16211.43000000 0.000434679283 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 2.50000000 N N N N N N GOLUB CAPITAL BDC 3 CLO 1 LLC 254900GKK16EMNSQ3D94 38177XAE4 250000.00000000 PA USD 250218.00000000 0.006709129353 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 2.91100000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550AW6 503000.00000000 PA USD 718916.54000000 0.019276407216 Long DBT CORP US N 2 2038-01-15 Fixed 6.95000000 N N N N N N VTR COMUNICACIONES SPA 213800XDZJKMC1AEUV94 918367AC7 430000.00000000 PA USD 429957.00000000 0.011528495668 Long DBT CORP CL N 2 2029-04-15 Fixed 4.37500000 N N N N N N Duke Energy Progress LLC 0NIFZ782LS46WOC9QK20 26442UAH7 1992000.00000000 PA USD 2206561.55000000 0.059164835720 Long DBT CORP US N 2 2029-03-15 Fixed 3.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292LGU3 989105.95000000 PA USD 1080822.58000000 0.028980243215 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 5786.54000000 0.000155155286 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 269030400.00000000 CLP 372000.00000000 USD 2021-07-14 5786.54000000 N N N AMER AIRLN 15-2 AA PTT N/A 02377BAB2 247266.67000000 PA USD 255771.68000000 0.006858040932 Long DBT CORP US N 2 2027-09-22 Fixed 3.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J7MC6 758997.19000000 PA USD 785097.87000000 0.021050936242 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 -686.00000000 NC USD -97412.00000000 -0.00261192123 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Written Devon Energy Corp Devon Energy Corp 100.00000000 38.00000000 USD 2022-01-21 XXXX -10155.96000000 N N N Battalion CLO LTD 549300RRK5G3IT4Y7N27 07132JBE3 480000.00000000 PA USD 479758.08000000 0.012863818817 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 1.72600000 N N N N N N NEW HOME CO INC/THE 549300PLCE8TB3TVRQ85 645370AC1 215000.00000000 PA USD 227835.50000000 0.006108984328 Long DBT CORP US N 2 2025-10-15 Fixed 7.25000000 N N N N N N SMB Private Education Loan Trust N/A 83208AAF0 120000.00000000 PA USD 120266.86000000 0.003224731716 Long ABS-O CORP US N 2 2053-01-15 Fixed 3.00000000 N N N N N N Navient Corp 54930067J0ZNOEBRW338 63938CAH1 236000.00000000 PA USD 261301.56000000 0.007006314358 Long DBT CORP US N 2 2025-06-25 Fixed 6.75000000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 000000000 463000.00000000 PA USD 486579.66000000 0.013046726772 Long DBT NUSS UA Y 2 2032-09-25 Fixed 7.37500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181GFM6 1025000.71000000 PA USD 1110881.92000000 0.029786228397 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F030678 4900174.00000000 PA USD 5107761.44000000 0.136955103971 Long ABS-MBS USGSE US N 2 2051-07-14 Fixed 3.00000000 N N N N N N Gilead Sciences Inc 549300WTZWR07K8MNV44 375558BK8 790000.00000000 PA USD 930215.88000000 0.024942005232 Long DBT CORP US N 2 2047-03-01 Fixed 4.15000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 520000.00000000 OU Notional Amount USD 16049.37000000 0.000430333946 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 FED REPUBLIC OF BRAZIL FED REPUBLIC OF BRAZIL Y buy protection 2026-06-20 16608.38000000 USD 0.00000000 USD 520000.00000000 USD -559.01000000 N N N GLP CAPITAL LP / FIN II N/A 361841AQ2 1386000.00000000 PA USD 1493387.28000000 0.040042396772 Long DBT US N 2 2031-01-15 Fixed 4.00000000 N N N N N N FEDEX CORP 549300E707U7WNPZN687 31428XBZ8 1530000.00000000 PA USD 1781390.35000000 0.047764662360 Long DBT CORP US N 2 2030-05-15 Fixed 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PY3W2 51391.26000000 PA USD 53958.56000000 0.001446798226 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J55S4 631441.17000000 PA USD 703864.30000000 0.018872809452 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.50000000 N N N N N N EBAY INC OML71K8X303XQONU6T67 278642AX1 2118000.00000000 PA USD 2125170.57000000 0.056982488275 Long DBT CORP US N 2 2026-05-10 Fixed 1.40000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -49386.18000000 -0.00132419837 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3901380.00000000 BRL 735000.00000000 USD 2021-07-02 -49386.18000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828YU8 15364000.00000000 PA USD 15910742.38000000 0.426616904980 Long DBT UST US N 2 2026-11-30 Fixed 1.62500000 N N N N N N Green Plains Inc VJ5WLTHARBSDR14KIZ98 393222104 37956.00000000 NS USD 1276080.72000000 0.034215726348 Long EC CORP US N 1 N N N Soundview Home Equity Loan Trust N/A 83611MBW7 16941.27000000 PA USD 16369.07000000 0.000438906105 Long ABS-O CORP US N 2 2035-01-25 Floating 0.88700000 N N N N N N Natixis Commercial Mortgage Securities N/A 63875EAA7 3373432.60000000 PA USD 3379548.97000000 0.090616307358 Long ABS-MBS CORP US N 2 2025-08-18 Floating 2.95000000 N N N N N N PROMIGAS/GASES PACIFICO N/A 74348DAA5 200000.00000000 PA USD 198410.00000000 0.005319994384 Long DBT CORP XX N 2 2029-10-16 Fixed 3.75000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833EG1 1004000.00000000 PA USD 977862.28000000 0.026219554652 Long DBT CORP US N 2 2061-02-08 Fixed 2.80000000 N N N N N N Gracie Point International Funding N/A 38411EAB8 120000.00000000 PA USD 120000.00000000 0.003217576362 Long ABS-O CORP US N 2 2023-11-01 Floating 1.51000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 600000.00000000 OU Notional Amount -55218.25000000 -0.00148057446 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2040-12-15 31.67000000 GBP 0.00000000 GBP 600000.00000000 GBP -55260.81000000 N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBF5 3405000.00000000 PA USD 3785606.61000000 0.101503986229 Long DBT CORP US N 2 2024-10-01 Fixed 4.65000000 N N N N N N SMB Private Education Loan Trust N/A 83208AAG8 100000.00000000 PA USD 99830.77000000 0.002676776048 Long ABS-O CORP US N 2 2053-01-15 Fixed 3.93000000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 28370TAF6 512000.00000000 PA USD 598469.05000000 0.016046832243 Long DBT CORP US N 2 2042-11-01 Fixed 4.70000000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 539830BC2 1732000.00000000 PA USD 1982445.78000000 0.053155589020 Long DBT CORP US N 2 2035-03-01 Fixed 3.60000000 N N N N N N CBAM CLO Management LLC 254900JWJFDB3KD6V066 12480VAC9 2000000.00000000 PA USD 2000228.00000000 0.053632386109 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.43800000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBF7 1334000.00000000 PA USD 1304476.90000000 0.034977116994 Long DBT CORP US N 2 2033-02-15 Fixed 2.60000000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MCA6 200000.00000000 PA USD 201965.12000000 0.005415318301 Long DBT CORP JP N 2 2025-07-08 Fixed 1.47400000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAZ4 544000.00000000 PA USD 544509.25000000 0.014600000768 Long DBT CORP DK N 2 2026-09-11 Fixed 1.62100000 N N N N N N BDS Ltd N/A 05492EAA1 783908.86000000 PA USD 784151.09000000 0.021025550100 Long ABS-CBDO CORP KY N 2 2035-12-15 Floating 1.48200000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QAD2 1243000.00000000 PA USD 1340846.96000000 0.035952312372 Long DBT CORP US N 2 2024-02-06 Fixed 3.79000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BV5 1419000.00000000 PA USD 1426509.75000000 0.038249200441 Long DBT CORP JP N 2 2024-09-15 Fixed 0.84800000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -2600.94000000 -0.00006973935 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 744000.00000000 USD 2784048000.00000000 COP 2021-07-14 -2600.94000000 N N N CENTENNIAL RESOURCE PROD 5493004CTVUMQLRPOE23 15138AAA8 75000.00000000 PA USD 73500.00000000 0.001970765522 Long DBT CORP US N 2 2026-01-15 Fixed 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WEF61 130509.36000000 PA USD 137178.15000000 0.003678176441 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 2.50000000 N N N N N N GALAXY PIPELINE ASSETS 549300L82YB0C6JQIC26 36321PAE0 535000.00000000 PA USD 531046.95000000 0.014239034282 Long DBT CORP JE N 2 2040-09-30 Fixed 2.94000000 N N N N N N RR Ltd N/A 749756AC6 704000.00000000 PA USD 704934.21000000 0.018901497095 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 2.28400000 N N N N N N MEXICO CITY ARPT TRUST N/A 000000000 1388000.00000000 PA USD 1407154.40000000 0.037730222802 Long DBT CORP MX Y 2 2047-07-31 Fixed 5.50000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BX0 4000.00000000 PA USD 4674.40000000 0.000125335324 Long DBT CORP US N 2 2040-05-01 Fixed 4.25000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 000000000 1804000.00000000 PA 2287914.23000000 0.061346156222 Long DBT CORP US N 2 2027-03-19 Fixed 1.90000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DX2 503000.00000000 PA USD 490660.04000000 0.013156134557 Long DBT CORP US N 2 2028-04-15 Fixed 1.30000000 N N N N N N Carlyle Global Market Strategies N/A 14310MAW7 967059.77000000 PA USD 967763.79000000 0.025948782462 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 1.16000000 N N N N N N Carlyle Global Market Strategies 635400XFOCOSFVGDN267 14310DAU1 434054.29000000 PA USD 434072.52000000 0.011638845667 Long ABS-CBDO CORP KY N 2 2029-01-18 Floating 1.08000000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86360JAE1 192244.29000000 PA USD 170985.51000000 0.004584657794 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.51200000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 -192.00000000 NC USD -63360.00000000 -0.00169888031 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Written Diamondback Energy Inc Diamondback Energy Inc 100.00000000 130.00000000 USD 2021-12-17 XXXX -5731.97000000 N N N GALAXY PIPELINE ASSETS 549300L82YB0C6JQIC26 36321PAD2 470000.00000000 PA USD 461210.43000000 0.012366498149 Long DBT CORP JE N 2 2034-03-31 Fixed 2.16000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMG4 738000.00000000 PA USD 768909.25000000 0.020616868566 Long DBT CORP US N 2 2057-12-01 Fixed 3.80000000 N N N N N N COMM Mortgage Trust N/A 12624XAE8 19581783.17000000 PA USD 167216.68000000 0.004483603642 Long ABS-MBS CORP US N 2 2046-03-10 Variable 1.14500000 N N N N N N CROWNROCK LP/CROWNROCK F N/A 228701AF5 230000.00000000 PA USD 238050.00000000 0.006382867109 Long DBT CORP US N 2 2025-10-15 Fixed 5.62500000 N N N N N N Forestar Group Inc 549300BC2UB0GHV60V70 346232101 24203.00000000 NS USD 506084.73000000 0.013569718873 Long EC CORP US N 1 N N N Madison Park Funding Ltd 254900END3IQSN7CTN87 55819QAY3 1088686.19000000 PA USD 1088614.34000000 0.029189164738 Long ABS-CBDO CORP KY N 2 2028-01-22 Floating 1.10400000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833EE6 385000.00000000 PA USD 373277.57000000 0.010008742383 Long DBT CORP US N 2 2041-02-08 Fixed 2.37500000 N N N N N N J&J Ventures Gaming, LLC 549300BYPH8FLKS5ZS70 46604BAB4 634000.00000000 PA USD 637170.00000000 0.017084526092 Long LON CORP US N 2 2028-04-07 Floating 4.10400000 N N N N N N KENBOURNE INVEST SA 222100QGH6Y9KFYZ4B27 48855KAA8 733000.00000000 PA USD 776767.43000000 0.020827571018 Long DBT CORP LU N 2 2024-11-26 Fixed 6.87500000 N N N N N N UMBS, TBA N/A 01F022675 4471000.00000000 PA USD 4624341.35000000 0.123993095180 Long ABS-MBS USGSE US N 2 2051-07-14 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XEFF0 70790.43000000 PA USD 74413.21000000 0.001995251546 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 3.00000000 N N N N N N TICP CLO Ltd N/A 87248UAD4 250000.00000000 PA USD 250298.25000000 0.006711281107 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 7.23400000 N N N N N N Clear Creek CLO Ltd N/A 18452LAG3 250000.00000000 PA USD 250226.00000000 0.006709343858 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 1.38800000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AU2 711000.00000000 PA USD 732508.92000000 0.019640861554 Long DBT CORP CH N 2 2032-05-14 Fixed 3.09100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KE3D5 587868.40000000 PA USD 618182.81000000 0.016575419978 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 2.50000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95001XBF2 5335324.35000000 PA USD 461045.12000000 0.012362065669 Long ABS-MBS CORP US N 2 2052-05-15 Variable 1.58100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WH3T7 1030808.84000000 PA USD 1084009.85000000 0.029065703920 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N Trinitas CLO Ltd 549300095MXHZZMH2053 89641QAE0 560000.00000000 PA USD 560346.64000000 0.015024650865 Long ABS-CBDO CORP KY N 2 2034-01-25 Floating 2.17600000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 3913035.00000000 OU Notional Amount USD -107676.16000000 -0.00288713556 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 REPUBLIC OF PHILIPPINES REPUBLIC OF PHILIPPINES Y buy protection 2026-06-20 0.00000000 USD -100631.26000000 USD 3913035.00000000 USD -7044.90000000 N N N INVERSIONES CMPC CI 549300G475ACIABB4385 46128MAF8 200000.00000000 PA USD 209702.00000000 0.005622768320 Long DBT CORP CL N 2 2023-05-15 Fixed 4.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GLT1 1844022.79000000 PA USD 1957696.86000000 0.052491992853 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N Avoca CLO 549300CWET3O72JWIJ09 000000000 160000.00000000 PA 187705.19000000 0.005032964854 Long ABS-CBDO CORP IE Y 2 2032-07-15 Floating 5.75000000 N N N N N N Battalion CLO LTD 549300WH2OE0BGHQQP83 07132ACC5 1285000.00000000 PA USD 1285673.34000000 0.034472934576 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 1.26000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EP6D1 159887.94000000 PA USD 173796.08000000 0.004660017991 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XHBF7 675661.17000000 PA USD 744537.08000000 0.019963374249 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.50000000 N N N N N N Countrywide Asset-Backed Certificates N/A 12667AAA4 336872.21000000 PA USD 324762.90000000 0.008707911921 Long ABS-O CORP US N 2 2036-12-25 Floating 0.35200000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513EAD3 630000.00000000 PA USD 640212.41000000 0.017166102646 Long DBT CORP US N 2 2030-07-01 Fixed 2.25000000 N N N N N N Signal Peak CLO, LLC N/A 82666TAC3 3750000.00000000 PA USD 3749055.00000000 0.100523922926 Long ABS-CBDO CORP KY N 2 2034-04-17 Floating 1.35000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BY9 903000.00000000 PA USD 886291.49000000 0.023764254573 Long DBT CORP US N 2 2061-04-01 Fixed 3.85000000 N N N N N N Ares CLO Ltd 635400YF4AHA6NB2CU53 04015NAG9 390000.00000000 PA USD 389886.12000000 0.010454069699 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.35400000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDA6 3284000.00000000 PA USD 3456965.49000000 0.092692087065 Long DBT CORP US N 2 2030-02-01 Fixed 2.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YXK95 217344.89000000 PA USD 228975.17000000 0.006139542455 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFYM2 418732.14000000 PA USD 440111.29000000 0.011800764031 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCA5 321000.00000000 PA USD 372817.63000000 0.009996409949 Long DBT CORP US N 2 2039-11-21 Fixed 4.05000000 N N N N N N Mosaic Solar Loans LLC N/A 61946RAB5 520000.00000000 PA USD 516793.68000000 0.013856859410 Long ABS-O CORP US N 2 2047-04-22 Fixed 2.09000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05578AAN8 2283000.00000000 PA USD 2382823.74000000 0.063890977856 Long DBT CORP FR N 2 2029-10-01 Fixed 2.70000000 N N N N N N Olympic Tower Mortgage Trust N/A 68162MAC6 13300000.00000000 PA USD 291389.70000000 0.007813071759 Long ABS-MBS CORP US N 2 2039-05-10 Variable 0.51100000 N N N N N N Grupo KUO SAB De CV 549300WIYIAVCFZI6Z04 40052CAC0 321000.00000000 PA USD 335284.50000000 0.008990029016 Long DBT CORP MX N 2 2027-07-07 Fixed 5.75000000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC 6299.13000000 0.000168899431 N/A DFE MX N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 558000.00000000 USD 11265462.00000000 MXN 2021-07-14 6299.13000000 N N N PENINSULA PACIFIC ENTERT N/A 70715XAA4 1550000.00000000 PA USD 1664700.00000000 0.044635828094 Long DBT CORP US N 2 2027-11-15 Fixed 8.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 402.13000000 0.000010782366 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 143000.00000000 EUR 170028.14000000 USD 2021-07-20 402.13000000 N N N Lendmark Funding Trust N/A 52607MAC3 220000.00000000 PA USD 222665.78000000 0.005970367921 Long ABS-O CORP US N 2 2031-11-20 Fixed 3.41000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DVA2 527962.74000000 PA USD 565150.14000000 0.015153447766 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AR8 781000.00000000 PA USD 765276.56000000 0.020519464754 Long DBT CORP US N 2 2031-01-15 Fixed 2.15000000 N N N N N TICP CLO Ltd 254900JG2DPAYUCW8T83 87246MAS1 820000.00000000 PA USD 815347.32000000 0.021862018869 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 1.30400000 N N N N N N Navient Student Loan Trust N/A 63941XAB3 450000.00000000 PA USD 465009.53000000 0.012468363935 Long ABS-O CORP US N 2 2069-07-15 Fixed 2.69000000 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 44106MAQ5 789000.00000000 PA USD 797284.50000000 0.021377698014 Long DBT US N 2 2022-08-15 Fixed 5.00000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969KAC8 576300.30000000 PA USD 515217.89000000 0.013814607538 Long ABS-O CORP US N 2 2058-06-25 None 0.00000000 N N N N N N BX Trust N/A 056057AQ5 460000.00000000 PA USD 459850.82000000 0.012330042740 Long ABS-MBS CORP US N 2 2037-03-15 Floating 2.54400000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAK7 385000.00000000 PA USD 427765.88000000 0.011469744869 Long DBT US N 2 2028-02-15 Fixed 3.80000000 N N N N N N Octagon Investment Partners 51 Ltd N/A 67578JAA7 1920000.00000000 PA USD 1921171.20000000 0.051512625351 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 1.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179S5L7 8032781.33000000 PA USD 8523612.54000000 0.228544785291 Long ABS-MBS USGA US N 2 2047-05-20 Fixed 3.50000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46591EAX5 232000.00000000 PA USD 241967.23000000 0.006487900331 Long ABS-MBS CORP US N 2 2052-06-13 Fixed 3.75000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 2288.90000000 0.000061372587 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7380777.60000000 MXN 372000.00000000 USD 2021-07-14 2288.90000000 N N N General Motors Co 54930070NSV60J38I987 37045VAG5 514000.00000000 PA USD 561729.53000000 0.015061730483 Long DBT CORP US N 2 2025-04-01 Fixed 4.00000000 N N N N N N BX Trust N/A 12434AAE8 1171000.00000000 PA USD 1170996.25000000 0.031398082125 Long ABS-MBS CORP US N 2 2033-02-15 Floating 4.32300000 N N N N N N SUNOCO LP/FINANCE CORP N/A 86765LAL1 145000.00000000 PA USD 149422.50000000 0.004006485867 Long DBT CORP US N 2 2026-02-15 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128282A7 10766000.00000000 PA USD 11085615.63000000 0.297240123491 Long DBT UST US N 2 2026-08-15 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H4Q72 23246.14000000 PA USD 25089.11000000 0.000672717727 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4.50000000 N N N N N N COMM Mortgage Trust N/A 12632QAW3 467041.02000000 PA USD 492154.80000000 0.013196213761 Long ABS-MBS CORP US N 2 2047-07-15 Fixed 3.55000000 N N N N N N Morgan Stanley BAML Trust N/A 61765TAM5 170000.00000000 PA USD 182998.47000000 0.004906762929 Long ABS-MBS CORP US N 2 2048-10-15 Variable 4.67700000 N N N N N N LYB INTL FINANCE BV 549300J6QSW38QNOJK61 50247VAC3 405000.00000000 PA USD 504193.08000000 0.013518997804 Long DBT CORP NL N 2 2044-03-15 Fixed 4.87500000 N N N N N N Sprint Corp 549300ZTTY7CXOLJ6539 85207UAK1 734000.00000000 PA USD 895480.00000000 0.024010627345 Long DBT CORP US N 2 2026-03-01 Fixed 7.62500000 N N N N N N Babson CLO Ltd 549300LYPY4755WERL49 06759FAB2 870000.00000000 PA USD 870284.49000000 0.023335056700 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 1.37800000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -2551.52000000 -0.00006841425 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 369000.00000000 USD 412704360.00000000 KRW 2021-07-12 -2551.52000000 N N N Connect Finco Sarl N/A 000000000 1458594.05000000 PA USD 1461937.15000000 0.039199120148 Long LON CORP LU N 2 2026-12-11 Floating 4.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBK1 2995000.00000000 PA USD 3096962.23000000 0.083039270566 Long DBT CORP US N 2 2026-04-22 Fixed 2.08300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307JA52 303482.24000000 PA USD 318304.73000000 0.008534748128 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 2.50000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163LAL3 1239336.09000000 PA USD 134678.16000000 0.003611143868 Long ABS-MBS CORP US N 2 2053-12-17 Variable 1.57000000 N N N N N N Morgan Stanley BAML Trust N/A 61764PAJ1 1810000.00000000 PA USD 72978.11000000 0.001956772014 Long ABS-MBS CORP US N 2 2047-12-15 Variable 1.34100000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC -8031.67000000 -0.00021535426 N/A DFE US N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 38330000.00000000 CNY 5893930.77000000 USD 2021-09-15 -8031.67000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CCD1 10482000.00000000 PA USD 10459480.05000000 0.280451464807 Long DBT UST US N 2 2023-05-31 Fixed 0.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F5BJ1 228195.04000000 PA USD 236291.32000000 0.006335711383 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J75N1 154217.21000000 PA USD 161973.00000000 0.004343004135 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YXT21 65948.91000000 PA USD 68972.97000000 0.001849381649 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Anthem Inc 8MYN82XMYQH89CTMTH67 036752AG8 1045000.00000000 PA USD 1194337.96000000 0.032023946578 Long DBT CORP US N 2 2028-03-01 Fixed 4.10100000 N N N N N N CHENIERE CORP CHRISTI HD 549300I7CIEWU1BBLQ53 16412XAC9 2204000.00000000 PA USD 2525936.32000000 0.067728274978 Long DBT CORP US N 2 2025-03-31 Fixed 5.87500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2Q5 2631000.00000000 PA USD 2698572.47000000 0.072357191608 Long DBT CORP US N 2 2041-04-30 Fixed 3.06800000 N N N N N N ITT HOLDINGS LLC N/A 000000000 351000.00000000 PA USD 351000.00000000 0.009411410861 Long LON CORP US N 2 2028-07-30 None 0.00000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AD8 1735000.00000000 PA USD 1863900.59000000 0.049977020676 Long DBT CORP US N 2 2023-04-15 Fixed 5.62500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 -1481000.00000000 OU Notional Amount USD -88.86000000 -0.00000238261 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD -88.86000000 0.00000000 DFE RU -1481000.00000000 USD -105151000.00000000 RUB 2021-07-08 1.00000000 71.00000000 USD 2021-07-08 XXXX 3166.38000000 N N N Lehman ABS Manufactured Housing Contract N/A 52519SAL7 1530316.53000000 PA USD 1621381.23000000 0.043474316007 Long ABS-O CORP US N 2 2040-04-15 Variable 6.63000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017BJ7 5000.00000000 PA USD 6597.96000000 0.000176912001 Long DBT CORP US N 2 2035-05-01 Fixed 5.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H020675 44708000.00000000 PA USD 45532304.20000000 1.220863881176 Long ABS-MBS USGA US N 2 2051-07-21 Fixed 2.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1238000.00000000 OU Notional Amount USD 38209.85000000 0.001024525918 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 FED REPUBLIC OF BRAZIL FED REPUBLIC OF BRAZIL Y buy protection 2026-06-20 39256.43000000 USD 0.00000000 USD 1238000.00000000 USD -1046.58000000 N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBE2 1943000.00000000 PA USD 2400276.93000000 0.064358952619 Long DBT CORP US N 2 2039-02-14 Fixed 5.80000000 N N N N N N BRASKEM NETHERLANDS N/A 10554TAE5 479000.00000000 PA USD 524509.79000000 0.014063752520 Long DBT CORP NL N 2 2050-01-31 Fixed 5.87500000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 7199.59000000 0.000193043588 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 23019000.00000000 MXN 1151266.60000000 USD 2021-09-15 7199.59000000 N N N Caesars Entertainment Inc 549300FA4CTCW903Y781 12769G100 9247.00000000 NS USD 959376.25000000 0.025723886209 Long EC CORP US N 1 N N N New York Mortgage Trust N/A 62955DAA4 2952386.35000000 PA USD 2969646.30000000 0.079625531174 Long ABS-MBS CORP US N 2 2060-10-25 Variable 2.94400000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AJ5 3188000.00000000 PA USD 3577526.83000000 0.095924714714 Long DBT CORP US N 2 2024-05-15 Fixed 5.75000000 N N N N N N SG Mortgage Securities Trust N/A 78420MAF6 570000.00000000 PA USD 459637.11000000 0.012324312505 Long ABS-O CORP US N 2 2036-10-25 Floating 0.30200000 N N N N N N UNITED AIR 2016-1 AA PTT N/A 90931LAA6 136158.18000000 PA USD 143445.54000000 0.003846224823 Long DBT CORP US N 2 2028-07-07 Fixed 3.10000000 N N N N N N Henley CLO 6354009HFM8XXW6PPK55 000000000 250000.00000000 PA 294455.55000000 0.007895276813 Long ABS-CBDO CORP IE N 2 2034-04-25 Floating 2.10000000 N N N N N N Credit-Based Asset Servicing and Securitization N/A 12479DAD0 210704.27000000 PA USD 177587.56000000 0.004761679461 Long ABS-O CORP US N 2 2036-10-25 Floating 0.25200000 N N N N N N TAYLOR MORRISON COMM 549300O1Z08HI2MRK572 87724RAA0 45000.00000000 PA USD 50906.25000000 0.001364956222 Long DBT CORP US N 2 2027-06-15 Fixed 5.87500000 N N N N N N Penta CLO S.A. 549300FTCSBBS0J25486 000000000 530000.00000000 PA 624730.87000000 0.016750994003 Long ABS-CBDO CORP IE N 2 2036-07-25 Floating 0.00000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46652RAL8 180000.00000000 PA USD 180618.97000000 0.004842961071 Long ABS-MBS CORP US N 2 2033-10-15 Floating 2.84300000 N N N N N N Battalion CLO LTD 549300WYAEH0STKIKE49 07134QAE6 298000.00000000 PA USD 298888.64000000 0.008014141859 Long ABS-CBDO CORP KY N 2 2032-10-15 Floating 2.48400000 N N N N N N Regional Management Issuance Trust N/A 75907TAA0 2750000.00000000 PA USD 2785567.68000000 0.074689806036 Long ABS-O CORP US N 2 2028-11-15 Fixed 3.05000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523CB4 1374000.00000000 PA USD 1506794.38000000 0.040401883173 Long DBT CORP US N 2 2027-03-01 Fixed 3.40000000 N N N N N N NIELSEN CO LUX SARL/THE 549300MFMRJBOPHHM352 65410CAC4 204000.00000000 PA USD 209865.00000000 0.005627138861 Long DBT CORP LU N 2 2025-02-01 Fixed 5.00000000 N N N N N Countrywide Alternative Loan Trust N/A 23245FAE3 528258.30000000 PA USD 491527.13000000 0.013179383960 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.55200000 N N N N N N STAR ENERGY CO ISSUE N/A 85513LAB0 505000.00000000 PA USD 554490.00000000 0.014867615978 Long DBT CORP BM N 2 2038-10-14 Fixed 4.85000000 N N N N N N NATIONAL RETAIL PROP INC 5493008JKH5SOTI0JS97 637417AQ9 936000.00000000 PA USD 979577.71000000 0.026265550710 Long DBT US N 2 2051-04-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TLS2 4626994.07000000 PA USD 4910759.29000000 0.131672858460 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.50000000 N N N N N N MGM RESORTS INTL 54930066VBP7DZEGGJ87 552953CE9 59000.00000000 PA USD 65062.25000000 0.001744522980 Long DBT CORP US N 2 2025-06-15 Fixed 5.75000000 N N N N N N Carrington Mortgage Loan Trust N/A 14453MAC8 265568.23000000 PA USD 255598.61000000 0.006853400382 Long ABS-O CORP US N 2 2036-10-25 Floating 0.25200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181D7A8 514331.62000000 PA USD 557446.43000000 0.014946887139 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N Zekelman Industries, Inc. 549300S5LMRAKDWWI425 98931YAC7 268904.55000000 PA USD 266411.54000000 0.007143328949 Long LON CORP US N 2 2027-01-24 Floating 2.09200000 N N N N N N SM ENERGY CO 84BUTVXV5ODI6BXNMH43 78454LAT7 1129000.00000000 PA USD 1273895.86000000 0.034157143399 Long DBT CORP US N 2 2025-01-15 Fixed 10.00000000 N N N N N BANCO LATINOAMERICANO SA 549300CN3134K4LC0651 05968CAC6 389000.00000000 PA USD 398336.00000000 0.010680637484 Long DBT NUSS PA N 2 2025-09-14 Fixed 2.37500000 N N N N N N Embraer Overseas Ltd N/A 000000000 244000.00000000 PA USD 260160.12000000 0.006975708772 Long DBT CORP KY Y 2 2023-09-16 Fixed 5.69600000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFQ2 1525000.00000000 PA USD 1714823.06000000 0.045979784536 Long DBT CORP US N 2 2030-07-01 Fixed 3.60000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LAA9 656000.00000000 PA USD 932098.11000000 0.024992473721 Long DBT CORP US N 2 2040-05-01 Fixed 5.75000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 17300000.00000000 OU Notional Amount 7051.76000000 0.000189079802 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2023-06-17 75.94000000 PLN 0.00000000 PLN 17300000.00000000 PLN 7031.43000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 51900000.00000000 OU Notional Amount 25194.57000000 0.000675545440 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2023-06-17 227.82000000 PLN 0.00000000 PLN 51900000.00000000 PLN 25133.58000000 N N N EMBRAER NETHERLANDS FINA 724500PBR8LR26XBSP67 29082HAB8 174000.00000000 PA USD 185421.36000000 0.004971728209 Long DBT CORP NL N 2 2027-02-01 Fixed 5.40000000 N N N N N N Bausch Health Cos Inc B3BS7ACMDUWISF18KY76 91911KAP7 647000.00000000 PA USD 693778.10000000 0.018602366797 Long DBT CORP CA N 2 2025-12-15 Fixed 9.00000000 N N N N N N Sixth Street CLO XVI, LTD. N/A 83012KAA5 2890000.00000000 PA USD 2890297.67000000 0.077497945538 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 0.00000000 N N N N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MFA7 908000.00000000 PA USD 1169656.93000000 0.031362170755 Long DBT CORP US N 2 2045-12-09 Fixed 4.87500000 N N N N N N BSST Mortgage Trust N/A 05601PAU0 454000.00000000 PA USD 455133.96000000 0.012203568930 Long ABS-MBS CORP US N 2 2036-04-15 Floating 4.97500000 N N N N N N BOSTON SCIENTIFIC CORP Y6ZDD9FP4P8JSSJMW954 101137BA4 1187000.00000000 PA USD 1227725.10000000 0.032919160515 Long DBT CORP US N 2 2030-06-01 Fixed 2.65000000 N N N N N N Banc of America Commercial Mortgage Trust N/A 06427DAU7 4070000.00000000 PA USD 132361.28000000 0.003549021049 Long ABS-MBS CORP US N 2 2050-02-15 Variable 0.77800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GD3M2 330014.34000000 PA USD 364355.03000000 0.009769501101 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N ACE03 MH1 B2 ACE03 MH1 B2 N/A 000000000 614342.54000000 PA USD 505045.47000000 0.013541853053 Long DBT CORP US N 2 2030-08-15 None 0.00000000 N N N N N N Exelon Corp 3SOUA6IRML7435B56G12 30161NAY7 731000.00000000 PA USD 923337.50000000 0.024757574291 Long DBT CORP US N 2 2050-04-15 Fixed 4.70000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128286T2 5471000.00000000 PA USD 5903764.63000000 0.158298446045 Long DBT UST US N 2 2029-05-15 Fixed 2.37500000 N N N N N N Washington Mutual Asset-Backed CTFS N/A 93934XAA1 694462.83000000 PA USD 597767.35000000 0.016028017465 Long ABS-O CORP US N 2 2036-10-25 Floating 0.24700000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 2724.33000000 0.000073047831 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1119447.93000000 ZAR 81000.00000000 USD 2021-07-14 2724.33000000 N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAR0 2214000.00000000 PA USD 2666755.74000000 0.071504085288 Long DBT CORP US N 2 2035-05-14 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GTW6 62362.90000000 PA USD 67003.35000000 0.001796569959 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N NORTHERN STATES PWR-MINN 3S1GHB0TEH85KX44SB51 665772CS6 536000.00000000 PA USD 509097.92000000 0.013650511948 Long DBT CORP US N 2 2051-06-01 Fixed 2.60000000 N N N N N N FREMF Mortgage Trust N/A 30307RAE7 440000.00000000 PA USD 499694.14000000 0.013398367112 Long ABS-MBS USGSE US N 2 2050-08-25 Variable 4.37300000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300REQJRID6TODX95 95001RBB4 622000.00000000 PA USD 727643.28000000 0.019510398486 Long ABS-MBS CORP US N 2 2052-01-15 Variable 4.90400000 N N N N N N MGM GROWTH/MGM FINANCE N/A 55303XAC9 965000.00000000 PA USD 1045049.07000000 0.028021043213 Long DBT US N 2 2024-05-01 Fixed 5.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9WN8 1272212.16000000 PA USD 1478818.13000000 0.039651752167 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.50000000 N N N N N N Rumo Luxembourg Sarl 222100HOIQFT7YOSPB46 781467AB1 200000.00000000 PA USD 209502.00000000 0.005617405693 Long DBT CORP LU N 2 2025-01-18 Fixed 5.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELX65 88332.44000000 PA USD 98039.96000000 0.002628758815 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.50000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QCG9 394000.00000000 PA USD 409915.35000000 0.010991116174 Long DBT CORP US N 2 2051-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180UFX2 160473.89000000 PA USD 173697.69000000 0.004657379846 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 3.50000000 N N N N N N Bear Stearns Commercial Mortgage Securities Trust N/A 07388VAG3 204207.20000000 PA USD 202702.19000000 0.005435081460 Long ABS-MBS CORP US N 2 2045-01-12 Variable 5.51300000 N N N N N N Everi Payments Inc. 5493006Q4MDLHOY1JV70 30034YAB8 164423.15000000 PA USD 164377.11000000 0.004407465864 Long LON CORP US N 2 2024-05-09 Floating 3.50000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCE9 2672000.00000000 PA USD 3146549.82000000 0.084368869378 Long DBT CORP US N 2 2049-11-01 Fixed 3.99900000 N N N N N N Banc of America Merrill Lynch Large Loan Inc N/A 054966AG1 510000.00000000 PA USD 496775.29000000 0.013320103589 Long ABS-MBS CORP US N 2 2033-11-15 Floating 1.47300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KFAJ1 160935.58000000 PA USD 170769.80000000 0.004578873933 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -45.00000000 NC USD -7734.38000000 -0.00020738298 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 45.00000000 NC N/A -7734.38000000 0.00000000 DIR US Short 10 Year US Treasury Note TYQ1 Comdty 2021-09-21 45.00000000 USD 1000.00000000 133.50000000 USD 2021-07-23 XXXX 634.72000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFK47 417860.11000000 PA USD 443203.94000000 0.011883687677 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.00000000 N N N N N N UNITED AIR 2019-2 B PTT N/A 90932KAA7 914597.93000000 PA USD 905470.33000000 0.024278499425 Long DBT CORP US N 2 2028-05-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F020471 32328000.00000000 PA USD 33343932.62000000 0.894055412028 Long ABS-MBS USGSE US N 2 2036-07-19 Fixed 2.00000000 N N N N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 059165EH9 980000.00000000 PA USD 1081865.75000000 0.029008213875 Long DBT CORP US N 2 2046-08-15 Fixed 3.50000000 N N N N N N GS Mortgage Securities Trust N/A 36261PAZ5 110000.00000000 PA USD 116821.23000000 0.003132343569 Long ABS-MBS CORP US N 2 2052-11-10 Variable 3.93200000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CP5 1791000.00000000 PA USD 1802518.74000000 0.048331180762 Long DBT CORP US N 2 2027-12-02 Fixed 2.45000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZS2 15364000.00000000 PA USD 14874272.50000000 0.398825896758 Long DBT UST US N 2 2027-05-31 Fixed 0.50000000 N N N N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AD3 5384000.00000000 PA USD 6078752.44000000 0.162990418056 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 864.00000000 NC USD 7226326.91000000 0.193760488800 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Ultra Long Bond WNU1 Comdty 2021-09-21 159255673.09000000 USD 7226326.91000000 N N N BSST Mortgage Trust N/A 05601PAL0 697000.00000000 PA USD 698113.32000000 0.018718607642 Long ABS-MBS CORP US N 2 2036-04-15 Floating 1.67300000 N N N N N N OCP CLO Ltd 254900OVGEI8FTD7PT85 67105HBC8 911000.00000000 PA USD 901602.12000000 0.024174780583 Long ABS-CBDO CORP KY N 2 2029-04-24 Floating 2.07600000 N N N N N N BX Trust N/A 05608VAN6 430000.00000000 PA USD 432674.51000000 0.011601360634 Long ABS-MBS CORP US N 2 2034-01-15 Floating 3.07300000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 455780CQ7 1600000.00000000 PA USD 1658874.59000000 0.044479630581 Long DBT NUSS ID N 2 2030-02-14 Fixed 2.85000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAV5 250000.00000000 PA USD 293432.67000000 0.007867850192 Long DBT CORP US N 2 2025-12-15 Fixed 5.85000000 N N N N N Reynolds American Inc 02S2RPPVO9RP4NEU2740 761713BB1 1045000.00000000 PA USD 1279555.99000000 0.034308909236 Long DBT CORP US N 2 2045-08-15 Fixed 5.85000000 N N N N N N Countrywide Asset-Backed Certificates N/A 12666TAJ5 53776.48000000 PA USD 53005.55000000 0.001421245039 Long ABS-O CORP US N 2 2046-09-25 Floating 0.25200000 N N N N N N Longfellow Place CLO Ltd 549300FY38ZCUKZQU403 54303PBA2 250000.00000000 PA USD 249999.00000000 0.006703257276 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.93400000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404121AH8 90000.00000000 PA USD 103567.50000000 0.002776969499 Long DBT CORP US N 2 2026-09-01 Fixed 5.37500000 N N N N N N CEMEX SAB DE CV 549300RIG2CXWN6IV731 151290BZ5 479000.00000000 PA USD 486903.50000000 0.013055409938 Long DBT CORP MX N 2 2031-07-11 Fixed 3.87500000 N N N N N N Herschend Entertainment Company, LLC 54930087KQ7RPDXK0716 42778EAD3 924017.50000000 PA USD 933257.68000000 0.025023565430 Long LON CORP US N 2 2025-08-25 Floating 6.75000000 N N N N N N BX Commercial Mortgage Trust 2019-XL N/A 056054AK5 4200432.51000000 PA USD 4201754.81000000 0.112662224660 Long ABS-MBS CORP US N 2 2036-10-15 Floating 2.37300000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BL7 68000.00000000 PA USD 74486.52000000 0.001997217217 Long DBT CORP US N 2 2030-01-15 Fixed 5.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCSJ5 1013665.91000000 PA USD 1110038.56000000 0.029763615271 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.50000000 N N N N N N Los Angeles Community College District/CA N/A 54438CNZ1 785000.00000000 PA USD 1241457.72000000 0.033287375128 Long DBT MUN US N 2 2042-08-01 Fixed 6.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379Y6T0 2184996.51000000 PA USD 112497.82000000 0.003016419387 Long ABS-MBS USGA US N 2 2057-12-16 Variable 0.88200000 N N N N N N Regatta VII Funding Ltd 549300DA6HSLI0UPTQ25 75888ABE5 280000.00000000 PA USD 279930.00000000 0.007505801260 Long ABS-CBDO CORP KY N 2 2034-06-20 Variable 1.28800000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -4046000.00000000 NC USD -106064.68000000 -0.00284392672 N/A DIR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 4046000.00000000 OU Notional Amount N/A -106064.68000000 0.00000000 DIR US N/A N/A 2031-10-22 0.00000000 N/A 0.00000000 N/A 4046000.00000000 USD 1.00000000 0.01680000 USD 2021-10-20 XXXX -31715.56000000 N N N Countrywide Alternative Loan Trust N/A 02149VAA7 103540.39000000 PA USD 68289.18000000 0.001831047095 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EXCP6 40256.02000000 PA USD 42380.01000000 0.001136340986 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 2.50000000 N N N N N N SMB Private Education Loan Trust N/A 78448YAF8 1010000.00000000 PA USD 1005023.43000000 0.026947830270 Long ABS-O CORP US N 2 2053-01-15 Fixed 3.86000000 N N N N N N MID-ATLANTIC INTERSTATE N/A 59524QAA3 240000.00000000 PA USD 270089.99000000 0.007241959730 Long DBT CORP US N 2 2028-05-15 Fixed 4.10000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 969457BB5 615000.00000000 PA USD 852001.62000000 0.022844835613 Long DBT CORP US N 2 2031-01-15 Fixed 7.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXS8 1751000.00000000 PA USD 1738150.79000000 0.046605274141 Long DBT CORP US N 2 2026-02-12 Fixed 0.85500000 N N N N N BIOGEN INC W8J5WZB5IY3K0NDQT671 09062XAG8 821000.00000000 PA USD 806297.66000000 0.021619369102 Long DBT CORP US N 2 2050-05-01 Fixed 3.15000000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057BY9 279000.00000000 PA USD 281790.00000000 0.007555673694 Long DBT CORP US N 2 2022-01-15 Fixed 4.12500000 N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CN8 1730000.00000000 PA USD 2250124.50000000 0.060332895039 Long DBT CORP US N 2 2045-07-20 Fixed 5.12500000 N N N N N N PENSKE TRUCK LEASING/PTL N/A 709599BJ2 1003000.00000000 PA USD 1104601.21000000 0.029617822864 Long DBT CORP US N 2 2025-07-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ALJW8 173424.85000000 PA USD 195017.93000000 0.005229042349 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.00000000 N N N N N N Navient Corp 54930067J0ZNOEBRW338 63938CAB4 223000.00000000 PA USD 240561.25000000 0.006450201598 Long DBT CORP US N 2 2024-10-25 Fixed 5.87500000 N N N N N N LAM RESEARCH CORP 549300I4GMO6D34U1T02 512807AW8 480000.00000000 PA USD 483066.90000000 0.012952538659 Long DBT CORP US N 2 2050-06-15 Fixed 2.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFEW2 322707.74000000 PA USD 339345.56000000 0.009098918772 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BA4 845000.00000000 PA USD 877743.75000000 0.023535062855 Long DBT CORP US N 2 2030-01-15 Fixed 5.75000000 N N N N N N Washington Mutual Bank N/A 939ESCBE8 1310000.00000000 PA USD 0.13000000 0.000000003485 Long DBT CORP US N 3 2049-09-20 None 0.00000000 Y N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WJUH2 182896.45000000 PA USD 195960.88000000 0.005254325796 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N IHEARTCOMMUNICATIONS INC 54930076J6KDZL504O62 45174HBE6 324000.00000000 PA USD 338709.60000000 0.009081866690 Long DBT CORP US N 2 2027-08-15 Fixed 5.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307NDE1 15736.77000000 PA USD 16682.51000000 0.000447310415 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307LHB7 162164.89000000 PA USD 169882.15000000 0.004555073252 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 2.50000000 N N N N N N PENSKE TRUCK LEASING/PTL N/A 709599AZ7 900000.00000000 PA USD 984114.94000000 0.026387208077 Long DBT CORP US N 2 2025-03-10 Fixed 3.95000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404121AF2 1347000.00000000 PA USD 1443287.78000000 0.038699072047 Long DBT CORP US N 2 2023-05-01 Fixed 4.75000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KA8 1896000.00000000 PA USD 2121811.72000000 0.056892426972 Long DBT CORP US N 2 2029-05-15 Fixed 3.50000000 N N N N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 36164QNA2 2466000.00000000 PA USD 2955455.33000000 0.079245026761 Long DBT CORP IE N 2 2035-11-15 Fixed 4.41800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307NV50 97097.11000000 PA USD 102803.65000000 0.002756488285 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N CLEAR CHANNEL WORLDWIDE N/A 18453HAA4 640000.00000000 PA USD 656140.80000000 0.017593192739 Long DBT CORP US N 2 2027-08-15 Fixed 5.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRZ0 2038442.09000000 PA USD 2216840.75000000 0.059440453312 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WD6X4 13389.55000000 PA USD 14032.66000000 0.000376259626 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 2.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 560000.00000000 OU Notional Amount USD -1681.83000000 -0.00004509513 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -944.47000000 USD 560000.00000000 USD -737.36000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810RC4 3865000.00000000 PA USD 4977999.22000000 0.133475771872 Long DBT UST US N 2 2043-08-15 Fixed 3.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JADY8 211792.30000000 PA USD 229489.23000000 0.006153326016 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.50000000 N N N N N N Palmer Square Loan Funding Ltd N/A 69700PAC6 718000.00000000 PA USD 722567.92000000 0.019374312166 Long ABS-CBDO CORP KY N 2 2027-01-20 Floating 1.58800000 N N N N N N XPO Logistics Inc 54930096DB9LCLPN7H13 983793AF7 167000.00000000 PA USD 168252.50000000 0.004511377224 Long DBT CORP US N 2 2023-09-01 Fixed 6.12500000 N N N N N N VISA INC 549300JZ4OKEHW3DPJ59 92826CAK8 1283000.00000000 PA USD 1326275.60000000 0.035561608510 Long DBT CORP US N 2 2040-04-15 Fixed 2.70000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1729000.00000000 OU Notional Amount USD 1416.05000000 0.000037968741 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Put Purchased BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC USD 1416.05000000 0.00000000 DFE US 24206000.00000000 ZAR 1729000.00000000 USD 2021-07-08 1.00000000 14.00000000 USD 2021-07-08 XXXX -28718.21000000 N N N Motorola Solutions Inc 6S552MUG6KGJVEBSEC55 620076BN8 2555000.00000000 PA USD 2978954.88000000 0.079875123399 Long DBT CORP US N 2 2029-05-23 Fixed 4.60000000 N N N N N N CONTINUUM ENERGY LEVANTE 254900MFSMO37F3WJ232 21218MAB1 375000.00000000 PA USD 384000.00000000 0.010296244361 Long DBT CORP SG N 2 2027-02-09 Fixed 4.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBL4 2539000.00000000 PA USD 2685638.75000000 0.072010398010 Long DBT CORP US N 2 2034-04-15 Fixed 3.46900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XUAA0 772634.40000000 PA USD 818379.81000000 0.021943329437 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 3.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 8466.44000000 0.000227011810 N/A DFE BR N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 372000.00000000 USD 1892364.00000000 BRL 2021-07-02 8466.44000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BDB2 595196.77000000 PA USD 3526.72000000 0.000094562424 Long ABS-MBS USGA US N 2 2053-06-16 Variable 0.17400000 N N N N N N Armada Euro CLO 549300236OBWCGBX8R96 000000000 440000.00000000 PA 522101.53000000 0.013999179516 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 2.35000000 N N N N N N Buckeye Partners LP 549300C1PQJLVEIUBK50 118230AQ4 54000.00000000 PA USD 54945.00000000 0.001473247777 Long DBT CORP US N 2 2026-12-01 Fixed 3.95000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -12587.32000000 -0.00033750552 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 2833013.40000000 BRL 557000.00000000 USD 2021-07-02 -12587.32000000 N N N Battalion CLO LTD 549300O0R7FIDPTPCK50 07132LAN9 250000.00000000 PA USD 249874.00000000 0.006699905634 Long ABS-CBDO CORP KY N 2 2034-04-24 Floating 1.89600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EXEK5 420828.72000000 PA USD 472902.00000000 0.012679985809 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 4.50000000 N N N N N N NBCUniversal Media LLC VTBDOQJ6KOGQ6K786R46 63946BAG5 786000.00000000 PA USD 1131701.34000000 0.030344462345 Long DBT CORP US N 2 2041-04-01 Fixed 5.95000000 N N N N N N California Resources Corp 5493003Q8F0T4F4YMR48 13057Q305 73254.00000000 NS USD 2207875.56000000 0.059200068450 Long EC CORP US N 1 N N N GLP CAPITAL LP / FIN II N/A 361841AP4 1410000.00000000 PA USD 1513367.10000000 0.040578118410 Long DBT US N 2 2030-01-15 Fixed 4.00000000 N N N N N N Conair Holdings, LLC N/A 20600RAB8 214000.00000000 PA USD 214722.25000000 0.005757376968 Long LON CORP US N 2 2028-05-17 Floating 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJUF7 2405469.88000000 PA USD 2563487.77000000 0.068735147127 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N GENERACION MEDIT/FRIAS N/A 36875LAA7 1023000.00000000 PA USD 787720.23000000 0.021121249938 Long DBT CORP AR N 2 2023-07-27 Fixed 9.62500000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 000000000 397000.00000000 PA USD 392478.17000000 0.010523570689 Long DBT NUSS EG Y 2 2048-02-21 Fixed 7.90300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YNF0 35455.90000000 PA USD 40788.54000000 0.001093668684 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 5.50000000 N N N N N N BSST Mortgage Trust N/A 05601PAJ5 751000.00000000 PA USD 752200.02000000 0.020168841704 Long ABS-MBS CORP US N 2 2036-04-15 Floating 1.42300000 N N N N N N AMER AIRLINE 16-2 AA PTT N/A 023765AA8 432850.00000000 PA USD 441311.01000000 0.011832932287 Long DBT CORP US N 2 2028-06-15 Fixed 3.20000000 N N N N N N Natixis Commercial Mortgage Securities N/A 63874MAA0 221807.32000000 PA USD 219030.49000000 0.005872894394 Long ABS-MBS CORP US N 2 2035-06-15 Floating 1.02300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJEZ7 682368.55000000 PA USD 706554.35000000 0.018944938130 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1090.00000000 NC USD -380459.12000000 -0.01020130226 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 2 Year US Treasury Note TUU1 Comdty 2021-09-30 240529599.20000000 USD -380459.12000000 N N N OCP CLO Ltd 254900FZYL5HDKV64882 67092DAL3 87674.25000000 PA USD 87563.69000000 0.002347857159 Long ABS-CBDO CORP KY N 2 2027-10-26 Floating 0.99600000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AH2 510000.00000000 PA USD 587015.10000000 0.015739715920 Long DBT US N 2 2026-04-15 Fixed 5.37500000 N N N N N N EASTERN ENERGY GAS 549300BFOD6TDMVV4O24 257375AF2 265000.00000000 PA USD 316261.36000000 0.008479958970 Long DBT CORP US N 2 2043-11-01 Fixed 4.80000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 610000.00000000 OU Notional Amount USD -1831.99000000 -0.00004912139 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -880.63000000 USD 610000.00000000 USD -951.36000000 N N N UMBS, TBA N/A 01F032476 -7279000.00000000 PA USD -7773175.90000000 -0.20842322533 Short ABS-MBS USGSE US N 2 2036-07-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419EJ67 382672.46000000 PA USD 422229.07000000 0.011321285627 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.50000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AP2 849000.00000000 PA USD 814037.17000000 0.021826889639 Long DBT CORP US N 2 2030-09-01 Fixed 2.25000000 N N N N N N Prima Capital Ltd N/A 74165WAA3 1740000.00000000 PA USD 1748499.90000000 0.046882766239 Long ABS-CBDO CORP KY N 2 2040-08-24 Fixed 4.00000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 760942BB7 1950000.00000000 PA USD 2239360.50000000 0.060044278439 Long DBT NUSS UY N 2 2027-10-27 Fixed 4.37500000 N N N N N N Edison International 549300I7ROF15MAEVP56 281020AL1 1991000.00000000 PA USD 2026193.61000000 0.054328605551 Long DBT CORP US N 2 2022-09-15 Fixed 2.40000000 N N N N N N PRIMA Capital LTD N/A 74165GAB6 260000.00000000 PA USD 254969.78000000 0.006836539478 Long ABS-CBDO CORP KY N 2 2049-08-24 Fixed 4.00000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BN3 3662000.00000000 PA USD 3811165.49000000 0.102189299963 Long DBT CORP JP N 2 2025-02-25 Fixed 2.19300000 N N N N N N GS Mortgage Securities Trust N/A 36252WBC1 50000.00000000 PA USD 51149.11000000 0.001371468060 Long ABS-MBS CORP US N 2 2047-04-10 Variable 4.52900000 N N N N N N Sound Point CLO LTD N/A 83614XAJ0 250000.00000000 PA USD 251185.50000000 0.006735071062 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 4.88800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KE6X8 838008.91000000 PA USD 882515.99000000 0.023663021577 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307NM68 104307.49000000 PA USD 110760.36000000 0.002969832635 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N AZUL INVESTMENTS LLP 549300C6XNC8IDH04C74 05502FAC2 315000.00000000 PA USD 308700.00000000 0.008277215193 Long DBT CORP US N 2 2026-06-15 Fixed 7.25000000 N N N N N Wells Fargo Commercial Mortgage Trust N/A 95002GAJ1 260000.00000000 PA USD 246953.93000000 0.006621609399 Long ABS-MBS CORP US N 2 2037-02-15 Floating 2.81300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XU2S0 282869.12000000 PA USD 298995.99000000 0.008017020250 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.00000000 N N N N N N ACTIVISION BLIZZARD 549300TPQQDBP9GNOF40 00507VAQ2 850000.00000000 PA USD 762991.33000000 0.020458190570 Long DBT CORP US N 2 2050-09-15 Fixed 2.50000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969WAC2 1756535.71000000 PA USD 1101347.89000000 0.029530591151 Long ABS-MBS CORP US N 2 2059-12-25 None 0.00000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC 682.45000000 0.000018298624 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 208000.00000000 EUR 247693.89000000 USD 2021-09-15 682.45000000 N N N Greenpoint Manufactured Housing N/A 395383AG7 394253.37000000 PA USD 344271.86000000 0.009231008326 Long ABS-O CORP US N 2 2029-12-15 Variable 9.23000000 N N N N N N SMB Private Education Loan Trust N/A 78448YAL5 550000.00000000 PA USD 545871.76000000 0.014636533934 Long ABS-O CORP US N 2 2053-01-15 Fixed 3.86000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1471000.00000000 OU Notional Amount USD 18749.37000000 0.000502729414 N/A DFE 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 1.00000000 NC USD 18749.37000000 0.00000000 DFE US 108486250.00000000 RUB 1471000.00000000 USD 2021-07-16 1.00000000 73.75000000 USD 2021-07-16 XXXX -3745.16000000 N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AV2 6319000.00000000 PA USD 7029164.67000000 0.188473950774 Long DBT CORP US N 2 2030-06-01 Fixed 3.50000000 N N N N N N GSCG Trust N/A 36260TAN5 620000.00000000 PA USD 607107.22000000 0.016278448673 Long ABS-MBS CORP US N 2 2034-09-06 Variable 4.11800000 N N N N N N Bombardier Capital Mortgage Securitization Corp. N/A 09774XBQ4 850435.45000000 PA USD 220522.84000000 0.005912908978 Long ABS-O CORP US N 2 2030-06-15 Variable 8.29000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQA36 734879.71000000 PA USD 779471.44000000 0.020900074007 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LTL63 26957.38000000 PA USD 29213.23000000 0.000783298319 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.50000000 N N N N N N Kayne CLO N/A 48661TAJ4 540000.00000000 PA USD 540910.44000000 0.014503505384 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 1.26400000 N N N N N N Lamar Media Corporation N/A 513076BB4 104734.00000000 PA USD 103337.58000000 0.002770804623 Long LON CORP US N 2 2027-02-05 Floating 1.57700000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAD7 804000.00000000 PA USD 817764.48000000 0.021926830510 Long DBT US N 2 2027-02-15 Fixed 3.75000000 N N N N N N Anchorage Capital CLO LTD 549300UNU854VTZYQ112 03332PAA5 1890000.00000000 PA USD 1890391.23000000 0.050687317818 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 1.32000000 N N N N N N ORBIA ADVANCE CORP SAB 549300MVHZ20SBIOEQ79 68560EAA6 610000.00000000 PA USD 617015.00000000 0.016544107329 Long DBT CORP MX N 2 2026-05-11 Fixed 1.87500000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBX2 1146000.00000000 PA USD 1176772.84000000 0.031552970620 Long DBT CORP US N 2 2050-04-01 Fixed 3.60000000 N N N N N N TEXAS EASTERN TRANSMISSI 549300SIOULUXXIDGA69 882384AD2 1732000.00000000 PA USD 1883766.26000000 0.050509681594 Long DBT CORP US N 2 2028-01-15 Fixed 3.50000000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAV8 90000.00000000 PA USD 107037.00000000 0.002869997676 Long DBT CORP US N 2 2030-06-15 Fixed 4.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DQD2 157595.90000000 PA USD 168378.87000000 0.004514765600 Long ABS-MBS USGA US N 2 2043-03-15 Fixed 3.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BN3 844000.00000000 PA USD 1074193.23000000 0.028802489550 Long DBT CORP US N 2 2048-04-01 Fixed 5.75000000 N N N N N N ARABIAN CENTRES SUKUK II 549300X92PKHJD8UYG94 03847QAA1 515000.00000000 PA USD 547043.30000000 0.014667946596 Long DBT CORP KY N 2 2026-10-07 Fixed 5.62500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAK5 353000.00000000 PA USD 438861.36000000 0.011767249487 Long DBT CORP US N 2 2042-02-15 Fixed 6.10000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBZ1 7269000.00000000 PA USD 7664775.10000000 0.205516659904 Long DBT CORP US N 2 2024-11-21 Fixed 2.60000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBQ2 581000.00000000 PA USD 584088.96000000 0.015661256929 Long DBT CORP US N 2 2061-02-08 Fixed 3.37900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J76Q3 1674620.73000000 PA USD 1759217.95000000 0.047170150775 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 2.50000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GCY4 885000.00000000 PA USD 917922.00000000 0.024612367751 Long DBT CORP US N 2 2026-01-01 Fixed 4.87500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 2291189.00000000 OU Notional Amount 529.04000000 0.000014185221 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A Y 2024-01-02 0.00000000 BRL 0.00000000 BRL 2291189.00000000 BRL 529.04000000 N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAG0 651000.00000000 PA USD 715866.74000000 0.019194632513 Long DBT CORP GB N 2 2028-11-03 Fixed 3.82300000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MBA0 268000.00000000 PA USD 294638.38000000 0.007900179059 Long DBT CORP US N 2 2030-01-15 Fixed 4.50000000 N N N N N N Dragoneer Growth Opportunities Corp N/A 000000000 9200.00000000 NS USD 18492.00000000 0.000495828517 N/A DE KY Y 1 N/A N/A Call Purchased Dragoneer Growth Opportunities Corp Dragoneer Growth Opportunities Corp 1.00000000 11.50000000 USD 2025-08-14 XXXX -3376.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YBX65 111393.16000000 PA USD 118126.50000000 0.003167341951 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N Palmer Square CLO Ltd 549300UP5H2PFBIITY41 69688XAS0 1312000.00000000 PA USD 1312376.54000000 0.035188931119 Long ABS-CBDO CORP KY N 2 2031-01-17 Floating 1.32000000 N N N N N N DUKE REALTY LP 2549009GZDBNY1KE9O81 26441YBF3 1944000.00000000 PA USD 1864685.52000000 0.049998067111 Long DBT US N 2 2031-02-01 Fixed 1.75000000 N N N N N N QUALCOMM Inc H1J8DDZKZP6H7RWC0H53 747525AV5 1824000.00000000 PA USD 2302900.63000000 0.061747988609 Long DBT CORP US N 2 2047-05-20 Fixed 4.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GYJX8 368817.48000000 PA USD 389748.52000000 0.010450380211 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N Symphony CLO Ltd N/A 87190GAC5 398000.00000000 PA USD 397899.70000000 0.010668938912 Long ABS-CBDO CORP KY N 2 2033-04-20 Floating 1.18900000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 8010.23000000 0.000214779389 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 823260780.00000000 KRW 739000.00000000 USD 2021-07-12 8010.23000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SLS4 247815.62000000 PA USD 263549.20000000 0.007066580636 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 3.50000000 N N N N N N Race Point CLO Ltd 549300C3570PBQ31OI09 74982WAA4 789000.00000000 PA USD 788801.96000000 0.021150254512 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.12400000 N N N N N N Exelon Corp 3SOUA6IRML7435B56G12 30161NAS0 166000.00000000 PA USD 216870.73000000 0.005814984455 Long DBT CORP US N 2 2045-06-15 Fixed 5.10000000 N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PDQ2 351000.00000000 PA USD 448375.61000000 0.012022356370 Long DBT CORP US N 2 2048-12-15 Fixed 4.45000000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 539830BN8 287000.00000000 PA USD 358968.83000000 0.009625080186 Long DBT CORP US N 2 2052-09-15 Fixed 4.09000000 N N N N N N Grifols Worldwide Operations USA, Inc. N/A 39843PAG8 1532903.35000000 PA USD 1519403.07000000 0.040739961697 Long LON CORP US N 2 2027-11-15 Floating 2.08800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8HY2 934512.65000000 PA USD 1051878.98000000 0.028204174522 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.50000000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 03846JX62 419000.00000000 PA USD 450911.88000000 0.012090361723 Long DBT NUSS EG N 2 2050-05-29 Fixed 8.87500000 N N N N N N Scholar Funding Trust N/A 80705XAA5 3502511.57000000 PA USD 3495817.57000000 0.093733833184 Long ABS-O CORP US N 2 2045-01-30 Floating 0.74500000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CD2 2496000.00000000 PA USD 2590653.66000000 0.069463549840 Long DBT CORP NL N 2 2029-11-07 Fixed 2.37500000 N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325DQ5 2124000.00000000 PA USD 2326374.72000000 0.062377402585 Long DBT NUSS CO N 2 2049-05-15 Fixed 5.20000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KHE7 105635.85000000 PA USD 125362.34000000 0.003361357516 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6.00000000 N N N N N N ROMANIA 315700IASY927EDWBK92 77586RAH3 924000.00000000 PA USD 956728.08000000 0.025652880465 Long DBT NUSS RO N 2 2031-02-14 Fixed 3.00000000 N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDG2 92000.00000000 PA USD 94686.40000000 0.002538839354 Long DBT CORP US N 2 2028-06-15 Fixed 4.62500000 N N N N N N Ajax Mortgage Loan Trust N/A 00969TAA3 3739482.28000000 PA USD 3755876.17000000 0.100706819887 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFG83 523371.75000000 PA USD 555122.92000000 0.014884586549 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Gray Television Inc 529900TM5726KDN7UU35 389284AA8 367000.00000000 PA USD 396818.75000000 0.010639955252 Long DBT CORP US N 2 2027-05-15 Fixed 7.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 -1382000.00000000 OU Notional Amount USD -23.49000000 -0.00000062984 N/A DFE LU N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Call Written Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 N/A 1.00000000 NC USD -23.49000000 0.00000000 DFE ID -1382000.00000000 USD -20453600000.00000000 IDR 2021-07-02 1.00000000 14800.00000000 USD 2021-07-02 XXXX 7773.75000000 N N N Georgia-Pacific LLC L2EVHWFHVAQK72TMH265 373298BU1 376000.00000000 PA USD 593446.00000000 0.015912148518 Long DBT CORP US N 2 2031-05-15 Fixed 8.87500000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05548WAA5 280000.00000000 PA USD 278254.45000000 0.007460874509 Long ABS-MBS CORP US N 2 2037-03-15 Floating 0.79500000 N N N N N N Jeld-Wen Inc. 549300XWE6NM0N1HFW16 47579SAT7 629944.13000000 PA USD 629796.72000000 0.016886825330 Long LON CORP US N 2 2024-12-14 Floating 2.10400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CS47 497110.63000000 PA USD 525572.62000000 0.014092250325 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46650FAA0 310107.41000000 PA USD 310950.34000000 0.008337553866 Long ABS-MBS CORP US N 2 2035-06-15 Floating 2.56000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 -924000.00000000 OU Notional Amount USD -2258.26000000 -0.00006055103 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Call Written BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC USD -2258.26000000 0.00000000 DFE BR -924000.00000000 USD -4989600.00000000 BRL 2021-08-02 1.00000000 5.40000000 USD 2021-08-02 XXXX 9507.85000000 N N N CSX CORP 549300JVQR4N1MMP3Q88 126408HQ9 625000.00000000 PA USD 642490.64000000 0.017227189138 Long DBT CORP US N 2 2030-02-15 Fixed 2.40000000 N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAM7 1998000.00000000 PA USD 2001412.46000000 0.053664145197 Long DBT CORP GB N 2 2026-08-21 Fixed 1.53200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELS79 1177169.73000000 PA USD 1393479.14000000 0.037363546191 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 6.00000000 N N N N N N College Ave Student Loans N/A 19425AAC8 190000.00000000 PA USD 189689.81000000 0.005086178741 Long ABS-O CORP US N 2 2052-06-25 Fixed 2.42000000 N N N N N N Mastercard Inc AR5L2ODV9HN37376R084 57636QAM6 568000.00000000 PA USD 620002.28000000 0.016624205675 Long DBT CORP US N 2 2029-06-01 Fixed 2.95000000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YAZ2 4029000.00000000 PA USD 4218121.34000000 0.113101062661 Long DBT CORP JP N 2 2025-09-13 Fixed 2.55500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JNXG7 301913.35000000 PA USD 336188.39000000 0.009014265142 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.00000000 N N N N N N Anchorage Capital CLO LTD 5493008PWA7TS1SR9447 033292AU7 590000.00000000 PA USD 591229.56000000 0.015852718810 Long ABS-CBDO CORP KY N 2 2030-10-13 Floating 2.33800000 N N N N N N Golden Nugget, Inc. N/A 51508PAG9 1362585.16000000 PA USD 1353855.08000000 0.036301100868 Long LON CORP US N 2 2023-10-04 Floating 3.25000000 N N N N N N Morgan Stanley Capital I Trust N/A 61765DAZ1 150000.00000000 PA USD 145336.17000000 0.003896918543 Long ABS-MBS CORP US N 2 2048-05-15 Variable 4.16600000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 500000.00000000 OU Notional Amount USD -1501.63000000 -0.00004026340 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1326.85000000 USD 500000.00000000 USD -174.78000000 N N N Palmer Square Loan Funding Ltd 549300KJI7MJ3X7YQQ90 69700NAA5 250000.00000000 PA USD 249367.25000000 0.006686318077 Long ABS-CBDO CORP KY N 2 2026-11-15 Floating 4.40600000 N N N N N N HILTON GRAND VACATIONS BWR LLC N/A 000000000 1162000.00000000 PA USD 1163997.48000000 0.031210423150 Long LON CORP US N 2 2028-05-20 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9YZ0 650346.25000000 PA USD 707015.13000000 0.018957293087 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.00000000 N N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 36962G4B7 177000.00000000 PA USD 264801.99000000 0.007100171865 Long DBT CORP US N 2 2039-01-10 Fixed 6.87500000 N N N N N N UMBS, TBA N/A 01F042673 650000.00000000 PA USD 699257.81000000 0.018749295008 Long ABS-MBS USGSE US N 2 2051-07-15 Fixed 4.50000000 N N N N N N APS Resecuritization Trust N/A 00214WAG6 192840.63000000 PA USD 192553.97000000 0.005162975853 Long ABS-MBS CORP US N 2 2047-04-27 Floating 2.69200000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HRS1 60000.00000000 PA USD 65314.50000000 0.001751286594 Long DBT CORP US N 2 2026-06-15 Fixed 3.20000000 N N N N N N Parker-Hannifin Corp 5493002CONDB4N2HKI23 701094AJ3 435000.00000000 PA USD 475596.97000000 0.012752246407 Long DBT CORP US N 2 2027-03-01 Fixed 3.25000000 N N N N N N Post Holdings Inc JM1I5YUAURL6DC8N1468 737446AN4 443000.00000000 PA USD 469580.00000000 0.012590912570 Long DBT CORP US N 2 2028-01-15 Fixed 5.62500000 N N N N N N Aimbridge Acquisition Co., Inc. 549300SPGKLVE9WYCQ20 00900YAE6 340290.00000000 PA USD 340821.53000000 0.009138494157 Long LON CORP US N 2 2026-02-02 Floating 5.50000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582AY8 560000.00000000 PA USD 696934.30000000 0.018686994417 Long DBT CORP NL N 2 2043-08-12 Fixed 4.55000000 N N N N N N Morgan Stanley BAML Trust N/A 61767CBA5 300000.00000000 PA USD 312541.53000000 0.008380218661 Long ABS-MBS CORP US N 2 2050-05-15 Variable 4.55800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HHNE1 77286.25000000 PA USD 84727.94000000 0.002271821808 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 02156LAC5 356000.00000000 PA USD 369421.20000000 0.009905341008 Long DBT CORP FR N 2 2028-01-15 Fixed 5.50000000 N N N N N N CSAIL Commercial Mortgage Trust 549300D5DIOOMKWXVZ20 12634NAT5 320000.00000000 PA USD 345487.52000000 0.009263603983 Long ABS-MBS CORP US N 2 2057-06-15 Fixed 3.50400000 N N N N N N Dryden Senior Loan Fund N/A 26246GAA1 400000.00000000 PA USD 400803.20000000 0.010746790854 Long ABS-CBDO CORP KY N 2 2034-05-20 Floating 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179NJA7 46346.10000000 PA USD 49764.70000000 0.001334347686 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GW4L4 47813.43000000 PA USD 52909.50000000 0.001418669638 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.50000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HAY1 231000.00000000 PA USD 231373.33000000 0.006203844646 Long DBT CORP US N 2 2021-07-15 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ARZW7 353637.06000000 PA USD 394536.33000000 0.010578756414 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N BRASKEM NETHERLANDS N/A 000000000 200000.00000000 PA USD 210740.00000000 0.005650600355 Long DBT CORP NL Y 2 2028-01-10 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5GJ2 552843.05000000 PA USD 597184.90000000 0.016012400154 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N Anchorage Capital CLO LTD 549300MP4QPQUMB6AD63 03328LAE2 1490000.00000000 PA USD 1455542.26000000 0.039027653091 Long ABS-CBDO CORP KY N 2 2031-01-28 Floating 2.03400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GW3B7 52768.75000000 PA USD 57644.74000000 0.001545636273 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.50000000 N N N N N N GS Mortgage Securities Trust N/A 36264KAX8 6292097.70000000 PA USD 808135.01000000 0.021668634218 Long ABS-MBS CORP US N 2 2053-12-12 Variable 1.85300000 N N N N N N UMBS, TBA N/A 01F040677 600000.00000000 PA USD 638906.25000000 0.017131080400 Long ABS-MBS USGSE US N 2 2051-07-14 Fixed 4.00000000 N N N N N N Commonwealth Edison Co D8YOXB8L2ZDC8P7Q0771 202795JM3 694000.00000000 PA USD 832455.71000000 0.022320748463 Long DBT CORP US N 2 2048-03-01 Fixed 4.00000000 N N N N N N FedEx Corp 549300E707U7WNPZN687 31428XBB1 425000.00000000 PA USD 485292.29000000 0.013012208344 Long DBT CORP US N 2 2045-02-01 Fixed 4.10000000 N N N N N N GRUPO AXO SA DE CV 4469000001BNKIG58H20 40054MAA0 226000.00000000 PA USD 225712.98000000 0.006052072910 Long DBT CORP MX N 2 2026-06-08 Fixed 5.75000000 N N N N N N HP Inc WHKXQACZ14C5XRO8LW03 428236BR3 160000.00000000 PA USD 210403.87000000 0.005641587656 Long DBT CORP US N 2 2041-09-15 Fixed 6.00000000 N N N N N N New Jersey Turnpike Authority 5493005YN67D71KSMI84 646139W35 492000.00000000 PA USD 807840.73000000 0.021660743648 Long DBT MUN US N 2 2040-01-01 Fixed 7.41400000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 2224000.00000000 OU Notional Amount USD 351.39000000 0.000009421867 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1.00000000 NC USD 351.39000000 0.00000000 DFE US 46704000.00000000 MXN 2224000.00000000 USD 2021-07-08 1.00000000 21.00000000 USD 2021-07-08 XXXX -10768.61000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196FZJ6 291645.58000000 PA USD 312249.29000000 0.008372382790 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 81761LAA0 264000.00000000 PA USD 298900.38000000 0.008014456646 Long DBT US N 2 2025-09-15 Fixed 7.50000000 N N N N N N SUZANO AUSTRIA G 254900287ZNSGVP1R341 86964WAK8 400000.00000000 PA USD 396148.00000000 0.010621970341 Long DBT CORP AT N 2 2032-01-15 Fixed 3.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138Y4T58 512832.87000000 PA USD 543444.66000000 0.014571455771 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 3.00000000 N N N N N N Carval CLO LTD N/A 14686AAW9 870000.00000000 PA USD 871113.60000000 0.023357287739 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 3.38800000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDP3 420000.00000000 PA USD 379421.52000000 0.010173480952 Long DBT CORP US N 2 2052-08-15 Fixed 2.45000000 N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2K9 1903000.00000000 PA USD 2006352.56000000 0.053796604772 Long DBT CORP FR N 2 2031-01-13 Fixed 3.05200000 N N N N N N EXPEDIA GROUP INC N/A 30212PAR6 665000.00000000 PA USD 694623.62000000 0.018625037840 Long DBT CORP US N 2 2030-02-15 Fixed 3.25000000 N N N N N N GS Mortgage Securities Trust N/A 36250WAN0 340000.00000000 PA USD 339764.96000000 0.009110164201 Long ABS-MBS CORP US N 2 2035-10-10 Variable 3.93200000 N N N N N N KLA CORP 549300H0BF5JCG96TJ81 482480AG5 1866000.00000000 PA USD 2154119.13000000 0.057758689962 Long DBT CORP US N 2 2029-03-15 Fixed 4.10000000 N N N N N N DiamondRock Hospitality Co 529900KKD4BPVBUAQ734 252784301 95444.00000000 NS USD 925806.80000000 0.024823783968 Long EC US N 1 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 220000.00000000 OU Notional Amount USD 3813.45000000 0.000102250554 N/A DCR US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y buy protection 2026-06-20 3965.57000000 USD 0.00000000 USD 220000.00000000 USD -152.12000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179QWD9 64123.72000000 PA USD 67866.95000000 0.001819725784 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179Q6P1 47132.63000000 PA USD 50242.01000000 0.001347145864 Long ABS-MBS USGA US N 2 2045-03-20 Fixed 3.50000000 N N N N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CM6 3173000.00000000 PA USD 3236460.00000000 0.086779643294 Long DBT CORP US N 2 2028-02-15 Fixed 4.50000000 N N N N N N Churchill Downs Inc 529900FODTBQC8MIS994 171484AE8 272000.00000000 PA USD 281441.12000000 0.007546319127 Long DBT CORP US N 2 2028-01-15 Fixed 4.75000000 N N N N N N Countrywide Home Equity Loan Trust N/A 126685AB2 150534.85000000 PA USD 147646.37000000 0.003958862251 Long ABS-O CORP US N 2 2035-05-15 Floating 0.25300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AACD4 776678.75000000 PA USD 836848.68000000 0.022438537767 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H5UJ8 365197.05000000 PA USD 411063.63000000 0.011021905162 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQZA3 428798.82000000 PA USD 478218.60000000 0.012822540530 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.50000000 N N N N N N Nelnet Student Loan Trust N/A 64034QAE8 260000.00000000 PA USD 259922.52000000 0.006969337971 Long ABS-O CORP US N 2 2062-04-20 Fixed 4.75000000 N N N N N N Golden Nugget Inc 91D14OD6M4H1RVBN7R43 38113YAE9 730000.00000000 PA USD 737460.60000000 0.019773631625 Long DBT CORP US N 2 2024-10-15 Fixed 6.75000000 N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QCE4 422000.00000000 PA USD 363869.26000000 0.009756476084 Long DBT CORP US N 2 2050-08-01 Fixed 2.05000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -2036.13000000 -0.00005459503 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 557000.00000000 USD 61647891.00000000 JPY 2021-07-14 -2036.13000000 N N N Lennar Corp 529900G61XVRLX5TJX09 526057CT9 1685000.00000000 PA USD 1955594.15000000 0.052435612603 Long DBT CORP US N 2 2026-06-01 Fixed 5.25000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHW2 11120000.00000000 PA USD 11632575.62000000 0.311905836285 Long DBT CORP US N 2 2025-10-22 Fixed 2.45600000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBR0 1411000.00000000 PA USD 1426212.10000000 0.038241219511 Long DBT CORP US N 2 2026-03-01 Fixed 1.75000000 N N N N N N Pikes Peak CLO 549300IOF5UIE4PES702 721327AA2 250000.00000000 PA USD 250103.75000000 0.006706065952 Long ABS-CBDO CORP KY N 2 2031-07-24 Floating 1.35600000 N N N N N N TRANSCONT GAS PIPE LINE N/A 893574AH6 3110000.00000000 PA USD 3949380.70000000 0.105895283236 Long DBT CORP US N 2 2026-02-01 Fixed 7.85000000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAM3 424000.00000000 PA USD 551795.98000000 0.014795380853 Long DBT US N 2 2049-02-15 Fixed 5.20000000 N N N N N N Navient Student Loan Trust N/A 63941FAC0 480000.00000000 PA USD 483006.96000000 0.012950931480 Long ABS-O CORP US N 2 2068-11-15 Floating 0.97300000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -257.00000000 NC USD -69495.35000000 -0.00186338829 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short 10 Year US Treasury Note TYU1 Comdty 2021-09-21 -33983004.65000000 USD -69495.35000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -79.00000000 NC -361654.77000000 -0.00969709866 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Buxl (FGBX) UBU1 Comdty 2021-09-08 -15750959.17000000 EUR -361654.77000000 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QBX9 62000.00000000 PA USD 50538.68000000 0.001355100518 Long DBT CORP MX N 2 2046-01-23 Fixed 5.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312944R78 91914.37000000 PA USD 105895.78000000 0.002839397988 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 5.50000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABE6 2085000.00000000 PA USD 2140148.35000000 0.057384089533 Long DBT CORP US N 2 2023-02-10 Fixed 2.37500000 N N N N N N Thimble Point Acquisition Corp N/A 88408P206 32244.00000000 NS USD 333725.40000000 0.008948224656 Long EC CORP US Y 1 N N N EOG Resources Inc XWTZDRYZPBUHIQBKDB46 26875PAP6 1268000.00000000 PA USD 1426603.15000000 0.038251704788 Long DBT CORP US N 2 2026-01-15 Fixed 4.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177PPP4 234537.93000000 PA USD 253025.27000000 0.006784401066 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AUPE1 106535.84000000 PA USD 118904.06000000 0.003188190774 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307MWZ5 411840.03000000 PA USD 437275.62000000 0.011724730824 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GSRR5 83202.52000000 PA USD 89147.13000000 0.002390314152 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WJUD1 315140.21000000 PA USD 336427.42000000 0.009020674286 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFAD8 258019.42000000 PA USD 271315.57000000 0.007274821374 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N HARTFORD FINL SVCS GRP IU7C3FTM7Y3BQM112U94 416515BB9 325000.00000000 PA USD 383463.09000000 0.010281848120 Long DBT CORP US N 2 2043-04-15 Fixed 4.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417TM62 242279.36000000 PA USD 280116.17000000 0.007510793062 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 1098000.00000000 OU Notional Amount USD -22220.90000000 -0.00059581202 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Republic of Chile Republic of Chile Y buy protection 2026-06-20 0.00000000 USD -21775.93000000 USD 1098000.00000000 USD -444.97000000 N N N State of Texas 549300X9CH74QB747L76 882722KF7 820000.00000000 PA USD 1181050.51000000 0.031667668369 Long DBT MUN US N 2 2039-04-01 Fixed 5.51700000 N N N N N N Reynolds American Inc 02S2RPPVO9RP4NEU2740 761713BG0 1851000.00000000 PA USD 2050493.71000000 0.054980167446 Long DBT CORP US N 2 2025-06-12 Fixed 4.45000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36182XAY7 101848.56000000 PA USD 109065.72000000 0.002924394022 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 4.00000000 N N N N N N OCP CLO Ltd 25490025Q5WQX513IQ05 67097QAG0 250000.00000000 PA USD 249319.00000000 0.006685024343 Long ABS-CBDO CORP KY N 2 2030-11-20 Floating 2.10500000 N N N N N N GS Mortgage Securities Trust 54930066YOFVQE068N73 36250PAL9 110000.00000000 PA USD 117839.01000000 0.003159633443 Long ABS-MBS CORP US N 2 2048-07-10 Variable 4.56900000 N N N N N N TAKEDA PHARMACEUTICAL 549300ZLMVP4X0OGR454 874060AW6 607000.00000000 PA USD 730886.75000000 0.019597366089 Long DBT CORP JP N 2 2028-11-26 Fixed 5.00000000 N N N N N N Caesars Resort Collection, LLC 549300V3UCT773B1KR38 12769LAD1 388067.50000000 PA USD 389831.27000000 0.010452598998 Long LON CORP US N 2 2025-07-21 Floating 4.60400000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAT8 315000.00000000 PA USD 346427.55000000 0.009288809136 Long DBT CORP US N 2 2029-12-15 Fixed 4.62500000 N N N N N N VEON HOLDINGS BV 5493000XDKGUH5NQGE22 91823N2A0 596000.00000000 PA USD 599576.00000000 0.016076513044 Long DBT CORP NL N 2 2027-11-25 Fixed 3.37500000 N N N N N N MPT OPER PARTNERSP/FINL N/A 55342UAJ3 80000.00000000 PA USD 85636.80000000 0.002296191195 Long DBT US N 2 2029-08-01 Fixed 4.62500000 N N N N N N TransDigm Inc 88Q84GB3X55CF5OC7582 893647BE6 3633000.00000000 PA USD 3832815.00000000 0.102769791227 Long DBT CORP US N 2 2026-03-15 Fixed 6.25000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -22918.01000000 -0.00061450372 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1954295.60000000 BRL 370000.00000000 USD 2021-07-02 -22918.01000000 N N N CALIFORNIA RESOURCES CRP 5493003Q8F0T4F4YMR48 13057QAH0 278000.00000000 PA USD 292544.96000000 0.007844047903 Long DBT CORP US N 2 2026-02-01 Fixed 7.12500000 N N N N N Natwest Markets Securities Inc ZE2ZWJ5BTIQJ8M0C6K34 000000000 7500000.00000000 PA USD 7500000.00000000 0.201098522679 Long RA CORP US N 2 Repurchase Y 0.05000000 2021-07-01 6877266.46000000 USD 7650010.73000000 USD UST N N BX Trust N/A 05609BAP4 1070000.00000000 PA USD 1070958.29000000 0.028715750662 Long ABS-MBS CORP US N 2 2036-02-15 Floating 2.47300000 N N N N N N ECL Entertainment, LLC N/A 000000000 860000.00000000 PA USD 879350.00000000 0.023578131455 Long LON CORP US N 2 2028-03-31 Floating 8.25000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46645JBG6 300000.00000000 PA USD 296414.82000000 0.007947810986 Long ABS-MBS CORP US N 2 2048-12-15 Variable 4.26500000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 5295.02000000 0.000141976093 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 18339402616.00000000 IDR 1264699.17000000 USD 2021-08-24 5295.02000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -2597.00000000 NC USD -162312.50000000 -0.00435210719 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 2597.00000000 NC N/A -162312.50000000 0.00000000 DIR US Short Eurodollar Time Deposit EDU2 Comdty 2022-09-19 2597.00000000 USD 2500.00000000 99.50000000 USD 2021-09-10 XXXX 60405.89000000 N N N Structured Adjustable Rate Mortgage Loan Trust N/A 86363GAF1 692658.91000000 PA USD 444979.81000000 0.011931304321 Long ABS-MBS CORP US N 2 2047-04-25 Variable 3.07100000 N N N N N N WOOF Holdings, Inc N/A 98082EAB0 319000.00000000 PA USD 319398.75000000 0.008564082236 Long LON CORP US N 2 2027-12-21 Floating 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RS91 48965.82000000 PA USD 52276.31000000 0.001401691828 Long ABS-MBS USGA US N 2 2045-11-20 Fixed 3.50000000 N N N N N N Galaxy CLO Ltd 549300BSLQRD3CFUV847 36321HAE8 430000.00000000 PA USD 430173.72000000 0.011534306611 Long ABS-CBDO CORP KY N 2 2026-11-15 Floating 1.83600000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAM4 2795000.00000000 PA USD 2797160.00000000 0.075000632493 Long DBT CORP US N 2 2026-08-15 Fixed 1.87500000 N N N N N LBM Acquisition LLC 549300FAEB3VWZL4NI86 50179JAE8 57101.57000000 PA USD 56833.88000000 0.001523894574 Long LON CORP US N 2 2027-12-17 Floating 4.50000000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 67054KAA7 1003000.00000000 PA USD 1043049.79000000 0.027967436246 Long DBT CORP FR N 2 2026-05-01 Fixed 7.37500000 N N N N N N Capex SA 529900C9G66T1U8FMX69 139612AE5 231000.00000000 PA USD 213677.31000000 0.005729358849 Long DBT CORP AR N 2 2024-05-15 Fixed 6.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GEB41 357153.17000000 PA USD 394350.60000000 0.010573776410 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N OIL & GAS HOLDING 549300OBH16L6TS6IW50 000000000 379000.00000000 PA USD 423809.17000000 0.011363653064 Long DBT CORP BH Y 2 2024-11-07 Fixed 7.62500000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BM5 68000.00000000 PA USD 71449.64000000 0.001915788940 Long DBT CORP US N 2 2027-11-15 Fixed 3.87500000 N N N N N N Indymac Home Equity Loan Asset-Backed Trust N/A 456606ER9 186476.19000000 PA USD 187599.84000000 0.005030140090 Long ABS-MBS CORP US N 2 2034-07-25 Floating 2.11700000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 550000.00000000 OU Notional Amount USD -1651.79000000 -0.00004428967 N/A DCR US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -527.90000000 USD 550000.00000000 USD -1123.89000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 530000.00000000 OU Notional Amount USD -1591.73000000 -0.00004267927 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -508.98000000 USD 530000.00000000 USD -1082.75000000 N N N Bayview Commercial Asset Trust N/A 07325MAB0 196261.26000000 PA USD 185802.20000000 0.004981939724 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.36200000 N N N N N N Centene Corp 549300Z7JJ4TQSQGT333 15137TAA8 2383000.00000000 PA USD 2490235.00000000 0.066771010616 Long DBT CORP US N 2 2026-06-01 Fixed 5.37500000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 340000.00000000 OU Notional Amount USD 89926.25000000 0.002411204803 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Markit CMBX.NA.BBB-.6 137BERAF4 Y buy protection 2063-05-11 34297.74000000 USD 0.00000000 USD 340000.00000000 USD 55628.51000000 N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCD3 658000.00000000 PA USD 695835.00000000 0.018657518737 Long DBT CORP US N 2 2030-03-01 Fixed 4.75000000 N N N N N N Rockford Tower CLO Ltd 549300V5ZF7112UGSH89 77341DAA5 3405000.00000000 PA USD 3406212.18000000 0.091331231644 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 1.37800000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAZ4 12344000.00000000 PA USD 12121711.59000000 0.325021105746 Long DBT UST US N 2 2025-11-30 Fixed 0.37500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 -34411000.00000000 NC USD -292094.33000000 -0.00783196509 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A 34411000.00000000 OU Notional Amount N/A -292094.33000000 -0.01000000 DIR US N/A N/A 2031-11-05 0.00000000 N/A 0.00000000 N/A 34411000.00000000 USD 1.00000000 0.01695000 USD 2021-11-03 XXXX 348810.55000000 N N N Genius Sports Ltd N/A 000000000 38425.00000000 NS USD 721237.25000000 0.019338632730 Long EC CORP GG N 1 N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585ABE1 50000.00000000 PA USD 57074.35000000 0.001530342329 Long DBT CORP US N 2 2048-04-01 Fixed 4.50000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YBB0 408000.00000000 PA USD 384898.68000000 0.010320340790 Long DBT CORP US N 2 2050-06-24 Fixed 2.45000000 N N N N N JBS USA LUX/JBS USA FIN N/A 472141AA8 407000.00000000 PA USD 447191.25000000 0.011990599964 Long DBT CORP XX N 2 2028-02-15 Fixed 6.75000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513EBX8 775000.00000000 PA USD 831683.87000000 0.022300053012 Long DBT CORP US N 2 2024-12-15 Fixed 3.15000000 N N N N N N DTE ELECTRIC CO 9N0FWODEJVKHC2DYLO03 23338VAP1 353000.00000000 PA USD 382228.16000000 0.010248735773 Long DBT CORP US N 2 2051-04-01 Fixed 3.25000000 N N N N N N NORTHERN STATES PWR-MINN 3S1GHB0TEH85KX44SB51 665772CR8 356000.00000000 PA USD 363148.93000000 0.009737161778 Long DBT CORP US N 2 2050-03-01 Fixed 2.90000000 N N N N N N UNITED WHOLESALE MTGE LL 549300HW662MN1WU8550 91153LAA5 1640000.00000000 PA USD 1698269.20000000 0.045535923631 Long DBT CORP US N 2 2025-11-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M9GM0 133089.82000000 PA USD 146273.73000000 0.003922057467 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 3.50000000 N N N N N N HarborView Mortgage Loan Trust N/A 41162DAA7 2614155.77000000 PA USD 2446308.67000000 0.065593207940 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.29800000 N N N N N N BANCO MERCANTIL DE NORTE 549300QTVYRPFHS0J362 05962GAH2 200000.00000000 PA USD 207540.00000000 0.005564798319 Long DBT CORP MX N 2 2022-07-06 Fixed 6.87500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -3403.71000000 -0.00009126414 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 937082.35000000 BRL 185000.00000000 USD 2021-07-02 -3403.71000000 N N N CAESARS RESORT / FINCO N/A 12770RAA1 460000.00000000 PA USD 484725.00000000 0.012996997520 Long DBT CORP US N 2 2025-07-01 Fixed 5.75000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A6DC8 261840.73000000 PA USD 300255.27000000 0.008050785496 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 5.00000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BS2 250000.00000000 PA USD 252387.13000000 0.006767290531 Long DBT CORP JP N 2 2025-07-17 Fixed 1.41200000 N N N N N N ALEN 2021-ACEN Mortgage Trust N/A 01449NAG1 453000.00000000 PA USD 453135.95000000 0.012149996015 Long ABS-MBS CORP US N 2 2034-04-15 Floating 3.17300000 N N N N N N Credit-Based Asset Servicing and Securitization N/A 1248P8AK5 344000.00000000 PA USD 353561.41000000 0.009480090297 Long ABS-O CORP US N 2 2036-10-25 Variable 6.25000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 25160PAF4 4651000.00000000 PA USD 4695120.27000000 0.125890900013 Long DBT CORP DE N 2 2026-03-19 Fixed 1.68600000 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAH3 5725000.00000000 PA USD 7026541.25000000 0.188403608656 Long DBT CORP US N 2 2036-02-01 Fixed 4.70000000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAX4 72000.00000000 PA USD 91962.00000000 0.002465789645 Long DBT CORP US N 2 2029-05-15 Fixed 6.37500000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 16212.91000000 0.000434718966 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 603000.00000000 EUR 731401.61000000 USD 2021-07-14 16212.91000000 N N N CONNECT FINCO SARL/CONNE N/A 20752TAA2 756000.00000000 PA USD 799470.00000000 0.021436298123 Long DBT CORP XX N 2 2026-10-01 Fixed 6.75000000 N N N N N N Xenia Hotels & Resorts Inc 54930075IWIPHF5IQL62 984017103 52617.00000000 NS USD 985516.41000000 0.026424785883 Long EC US N 1 N N United States Treasury 254900HROIFWPRGM1V77 9128284V9 2236000.00000000 PA USD 2486763.91000000 0.066677939807 Long DBT UST US N 2 2028-08-15 Fixed 2.87500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 8141.44000000 0.000218297540 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 557000.00000000 USD 2810900.50000000 BRL 2021-07-02 8141.44000000 N N N Conseco Finance Securitizations Corp. N/A 20846QER5 1658470.29000000 PA USD 702833.34000000 0.018845166181 Long ABS-O CORP US N 2 2031-05-01 Fixed 8.20000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 480000.00000000 OU Notional Amount USD 8320.26000000 0.000223092265 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y buy protection 2026-06-20 9549.19000000 USD 0.00000000 USD 480000.00000000 USD -1228.93000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MMRF2 216789.34000000 PA USD 227192.46000000 0.006091742409 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 2.50000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 12126.08000000 0.000325138236 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 451000.00000000 EUR 547035.04000000 USD 2021-07-14 12126.08000000 N N N Genesee & Wyoming Inc. (New) G617XSG94Z7G0RMW3L02 55316HAB1 906534.00000000 PA USD 901718.49000000 0.024177900828 Long LON CORP US N 2 2026-12-30 Floating 2.14700000 N N N N N N Merck & Co Inc 4YV9Y5M8S0BRK1RP0397 58933YAW5 345000.00000000 PA USD 422098.18000000 0.011317776056 Long DBT CORP US N 2 2049-03-07 Fixed 4.00000000 N N N N N N iHeartCommunications Inc 54930076J6KDZL504O62 45174HBC0 362706.00000000 PA USD 385828.51000000 0.010345272449 Long DBT CORP US N 2 2026-05-01 Fixed 6.37500000 N N N N N N 280 Park Avenue Mortgage Trust N/A 90205FAN0 1750000.00000000 PA USD 1728017.73000000 0.046333575022 Long ABS-MBS CORP US N 2 2034-09-15 Floating 2.19200000 N N N N N N ARABIAN CENTRES SUKUK 5493003T55GS691ILI42 000000000 285000.00000000 PA USD 298110.00000000 0.007993264079 Long DBT CORP KY Y 2 2024-11-26 Fixed 5.37500000 N N N N N N BAT INTL FINANCE PLC 21380041YBGOQDFAC823 05530QAN0 1577000.00000000 PA USD 1576116.08000000 0.042260615367 Long DBT CORP GB N 2 2026-03-25 Fixed 1.66800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QMHE4 48278.99000000 PA USD 52198.70000000 0.001399610860 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 4.00000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KJ9 2601000.00000000 PA USD 2597413.33000000 0.069644797793 Long DBT CORP US N 2 2030-05-15 Fixed 1.95000000 N N N N N MONDELEZ INTERNATIONAL 549300DV9GIB88LZ5P30 609207AT2 1287000.00000000 PA USD 1355650.16000000 0.036349232592 Long DBT CORP US N 2 2030-04-13 Fixed 2.75000000 N N N N N N DIAMOND SPORTS GR/DIAMON N/A 25277LAA4 255000.00000000 PA USD 165112.50000000 0.004427183976 Long DBT CORP US N 2 2026-08-15 Fixed 5.37500000 N N N N N N Spectacle Gary Holdings LLC 549300V1ELIRK8JURN28 84752PAD0 217094.59000000 PA USD 236633.10000000 0.006344875576 Long LON CORP US N 2 2025-12-23 Floating 11.00000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 760942BA9 610000.00000000 PA USD 798142.30000000 0.021400698322 Long DBT NUSS UY N 2 2050-06-18 Fixed 5.10000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 5786.54000000 0.000155155286 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 269030400.00000000 CLP 372000.00000000 USD 2021-07-14 5786.54000000 N N N TCI-Flatiron CLO Ltd N/A 87231BAL7 680000.00000000 PA USD 679828.64000000 0.018228338023 Long ABS-CBDO CORP KY N 2 2030-11-18 Floating 1.11600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335AAT5 911844.91000000 PA USD 1021414.99000000 0.027387339404 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -4046000.00000000 NC USD -31845.26000000 -0.00085387129 N/A DIR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 4046000.00000000 OU Notional Amount N/A -31845.26000000 0.00000000 DIR US N/A N/A 2031-10-22 0.00000000 N/A 0.00000000 N/A 4046000.00000000 USD 1.00000000 0.01680000 USD 2021-10-20 XXXX 48501.28000000 N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AS5 860000.00000000 PA USD 993078.05000000 0.026627537168 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7CL8 632568.35000000 PA USD 705222.73000000 0.018909233221 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N Interface Security Systems, LLC N/A 000000000 1213123.64000000 PA USD 1205602.27000000 0.032325978058 Long LON CORP US N 3 2023-08-07 Floating 8.75000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 130000.00000000 OU Notional Amount USD -10109.72000000 -0.00027107330 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Markit CMBX.NA.BBB-.9 137BERAI8 Y sell protection 2058-09-17 0.00000000 USD -28912.74000000 USD 130000.00000000 USD 18803.02000000 N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61746BDZ6 388000.00000000 PA USD 433782.29000000 0.011631063691 Long DBT CORP US N 2 2026-01-27 Fixed 3.87500000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 21077000.00000000 OU Notional Amount 2953.71000000 0.000079198228 N/A DIR US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A N/A Y 2026-09-15 0.00000000 CNY 0.00000000 CNY 21077000.00000000 CNY 2953.71000000 N N N Park River Holdings Inc N/A 70082HAC0 202000.00000000 PA USD 201221.49000000 0.005395379249 Long LON CORP US N 2 2027-12-28 Floating 4.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -11810.34000000 -0.00031667225 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 10103750000.00000000 IDR 685000.00000000 USD 2021-07-01 -11810.34000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCW4 1669000.00000000 PA USD 1797151.09000000 0.048187257230 Long DBT CORP US N 2 2023-03-20 Fixed 5.20000000 N N N N N N ALME Loan Funding BV 5493007Y7TGLM40XAY97 000000000 270000.00000000 PA 320153.82000000 0.008584328030 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 5.41000000 N N N N N N Bluemountain CLO Ltd N/A 09629PAE6 660000.00000000 PA USD 659766.36000000 0.017690405374 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 1.68400000 N N N N N N RELX Capital Inc 2R15C3RTKJN1RCBOV146 74949LAC6 2546000.00000000 PA USD 2891826.52000000 0.077538938802 Long DBT CORP US N 2 2029-03-18 Fixed 4.00000000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BG8 708000.00000000 PA USD 750834.00000000 0.020132214423 Long DBT CORP US N 2 2028-01-15 Fixed 4.87500000 N N N N N N Sovos Brands Intermediate, Inc. N/A 84611UAH1 168061.07000000 PA USD 168691.30000000 0.004523142829 Long LON CORP US N 2 2028-06-08 Floating 5.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300RD723OFH36TP29 94989XBF1 952938.19000000 PA USD 36791.80000000 0.000986503550 Long ABS-MBS CORP US N 2 2048-12-15 Variable 1.18600000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 2288.90000000 0.000061372587 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7380777.60000000 MXN 372000.00000000 USD 2021-07-14 2288.90000000 N N N RENEWABLE ENERGY GROUP I 549300HPU3BD8ZI0X358 75972AAD5 130000.00000000 PA USD 136337.50000000 0.003655635978 Long DBT CORP US N 2 2028-06-01 Fixed 5.87500000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AM9 850000.00000000 PA USD 830875.00000000 0.022278364670 Long DBT CORP US N 2 2050-03-01 Fixed 3.40000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 480000.00000000 OU Notional Amount USD -1441.56000000 -0.00003865274 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -230.64000000 USD 480000.00000000 USD -1210.92000000 N N N ASTRAZENECA PLC PY6ZZQWO2IZFZC3IOL08 046353AW8 2541000.00000000 PA USD 2404474.48000000 0.064471502099 Long DBT CORP GB N 2 2030-08-06 Fixed 1.37500000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46652DAJ4 270000.00000000 PA USD 260973.93000000 0.006997529570 Long ABS-MBS CORP US Y 2 2036-12-15 Floating 2.32300000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 250000.00000000 OU Notional Amount USD -21171.65000000 -0.00056767833 N/A DCR US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 BEAZER HOMES USA BEAZER HOMES USA Y buy protection 2024-06-20 0.00000000 USD -9471.60000000 USD 250000.00000000 USD -11700.05000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -192.28000000 -0.00000515562 N/A DFE ID N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 697002.62000000 USD 10103750000.00000000 IDR 2021-07-01 -192.28000000 N N N RHP HOTEL PPTY/RHP FINAN N/A 749571AF2 377000.00000000 PA USD 387197.85000000 0.010381988749 Long DBT US N 2 2027-10-15 Fixed 4.75000000 N N N N N Cedar Funding Ltd N/A 15033EAA6 380000.00000000 PA USD 380256.12000000 0.010195859196 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.16800000 N N N N N N CD Commercial Mortgage Trust N/A 12515HBC8 363000.00000000 PA USD 395664.12000000 0.010608996001 Long ABS-MBS CORP US N 2 2050-08-15 Variable 3.95600000 N N N N N N RR 1 Ltd N/A 78108YAL6 1620000.00000000 PA USD 1621056.24000000 0.043465602005 Long ABS-CBDO CORP KY N 2 2035-07-15 Floating 1.23000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69357AAA9 2917971.05000000 PA USD 2937319.24000000 0.078758741307 Long ABS-MBS CORP US N 2 2025-11-25 Variable 3.10400000 N N N N N N American Home Mortgage Assets N/A 02660UAE0 386138.12000000 PA USD 314140.35000000 0.008423088039 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.05600000 N N N N N N Conseco Financial Corp N/A 3935053Q3 404011.05000000 PA USD 223406.96000000 0.005990241281 Long ABS-O CORP US N 2 2030-03-01 Variable 7.50000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162RAF4 5133721.12000000 PA USD 487416.53000000 0.013069165881 Long ABS-MBS CORP US N 2 2054-02-15 Variable 1.38600000 N N N N N N Republic Finance Issuance Trust 2019-A N/A 76041QAA1 3210000.00000000 PA USD 3244277.02000000 0.086989242118 Long ABS-O CORP US N 2 2027-11-22 Fixed 3.43000000 N N N N N N TOLL BROS FINANCE CORP N/A 88947EAU4 121000.00000000 PA USD 129772.50000000 0.003479607737 Long DBT CORP US N 2 2029-11-01 Fixed 3.80000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969KAB0 230000.00000000 PA USD 224610.20000000 0.006022503919 Long ABS-O CORP US N 2 2058-06-25 Variable 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q83N3 9010513.43000000 PA USD 9957858.36000000 0.267001414033 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XBKL7 31520.74000000 PA USD 33437.54000000 0.000896565319 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.00000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46590KAL8 970000.00000000 PA USD 901178.21000000 0.024163414226 Long ABS-MBS CORP US N 2 2049-01-15 Variable 4.38800000 N N N N N N Highbridge Loan Management Ltd 2549009NI8GVCM3ROT27 40436TAS5 1160000.00000000 PA USD 1160121.80000000 0.031106504014 Long ABS-CBDO CORP KY N 2 2034-04-20 Variable 1.27800000 N N N N N N Countrywide Asset-Backed Certificates N/A 045427AC5 585165.89000000 PA USD 582704.68000000 0.015624140040 Long ABS-O CORP US N 2 2035-12-25 Floating 0.25200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FPF7 967945.39000000 PA USD 1056651.84000000 0.028332149868 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 4.00000000 N N N N N N Intel Corp KNX4USFCNGPY45LOCE31 458140BG4 1228000.00000000 PA USD 1402301.80000000 0.037600109377 Long DBT CORP US N 2 2047-12-08 Fixed 3.73400000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAH2 68000.00000000 PA USD 68850.00000000 0.001846084438 Long DBT CORP CA N 2 2028-01-15 Fixed 3.87500000 N N N N N N Elmwood CLO II Ltd. N/A 29001LAL5 750000.00000000 PA USD 750675.00000000 0.020127951135 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.33800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EW4P7 88904.12000000 PA USD 93514.28000000 0.002507411140 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N Massachusetts Housing Finance Agency 549300NLJBK1VP6K2K81 57586NXZ9 275000.00000000 PA USD 293923.33000000 0.007881006325 Long DBT MUN US N 2 2048-12-01 Fixed 4.50000000 N N N N N N LANDESBANK BADEN-WURTTEMBERG LDN N/A 000000000 200000.00000000 PA USD 200000.00000000 0.005362627271 Long STIV CORP US N 2 2021-07-01 Fixed 0.13000000 N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AF7 16000.00000000 PA USD 17038.71000000 0.000456861254 Long DBT CORP US N 2 2023-07-15 Fixed 3.75000000 N N N N N N WYNN RESORTS FINANCE LLC N/A 983133AA7 931000.00000000 PA USD 983368.75000000 0.026367200383 Long DBT CORP US N 2 2029-10-01 Fixed 5.12500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CM5 1072000.00000000 PA USD 1108058.99000000 0.029710536790 Long DBT CORP US N 2 2027-02-01 Fixed 2.70000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDM0 5464000.00000000 PA USD 5386537.47000000 0.144429963676 Long DBT CORP US N 2 2031-01-15 Fixed 1.95000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 19552.40000000 0.000524261167 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12288762.00000000 ZAR 874445.82000000 USD 2021-08-24 19552.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QA4A5 8118954.53000000 PA USD 9134821.99000000 0.244933227617 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 -32388000.00000000 NC USD -232510.21000000 -0.00623432796 N/A DIR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A 32388000.00000000 OU Notional Amount N/A -232510.21000000 -0.01000000 DIR US N/A N/A 2031-11-05 0.00000000 N/A 0.00000000 N/A 32388000.00000000 USD 1.00000000 0.01747500 USD 2021-11-03 XXXX 421889.33000000 N N N Ajax Mortgage Loan Trust N/A 00971FAA9 9865000.00000000 PA USD 9834809.15000000 0.263702078787 Long ABS-MBS CORP US N 2 2060-12-27 Variable 1.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KFAB8 548078.18000000 PA USD 577189.04000000 0.015476248433 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691LAQ2 1977000.00000000 PA USD 1975523.58000000 0.052969983127 Long ABS-MBS CORP US N 2 2034-11-15 Floating 2.67300000 N N N N N N SMB Private Education Loan Trust N/A 83208AAE3 150000.00000000 PA USD 149530.47000000 0.004009380881 Long ABS-O CORP US N 2 2053-01-15 Fixed 2.30000000 N N N N N N UNITED PARCEL SERVICE D01LMJZU09ULLNCY6Z23 911312BU9 787000.00000000 PA USD 834673.59000000 0.022380216782 Long DBT CORP US N 2 2029-09-01 Fixed 2.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHX0 579000.00000000 PA USD 609913.20000000 0.016353685797 Long DBT CORP US N 2 2030-10-22 Fixed 2.88400000 N N N N N N Duke Energy Florida LLC 7MOHLM3DKE63RX2ZCN83 26444HAF8 344000.00000000 PA USD 422393.75000000 0.011325701215 Long DBT CORP US N 2 2048-07-15 Fixed 4.20000000 N N N N N N Countrywide Asset-Backed Certificates N/A 126670NV6 982188.27000000 PA USD 966458.82000000 0.025913792124 Long ABS-O CORP US N 2 2036-04-25 Variable 4.58600000 N N N N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 05565EBS3 2242000.00000000 PA USD 2321709.94000000 0.062252325203 Long DBT CORP US N 2 2031-04-01 Fixed 2.55000000 N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAN9 2590000.00000000 PA USD 2772716.45000000 0.074345224253 Long DBT CORP US N 2 2029-12-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178EK65 107697.86000000 PA USD 115489.64000000 0.003096639465 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 3.50000000 N N N N N N EMPRESAS PUBLIC MEDELLIN 549300SU25TO8EMXB434 29246BAF5 253000.00000000 PA USD 249690.76000000 0.006694992395 Long DBT CORP CO N 2 2031-02-15 Fixed 4.37500000 N N N N N N Stars Group Holdings B.V. (The) 549300RNFXC8F8RT6R13 000000000 568386.47000000 PA USD 570467.33000000 0.015296018306 Long LON CORP NL N 2 2025-07-10 Floating 3.64700000 N N N N N N Mosaic Solar Loans LLC N/A 61946NAA6 220667.72000000 PA USD 224796.63000000 0.006027502692 Long ABS-O CORP US N 2 2046-04-20 Fixed 2.10000000 N N N N N N Pikes Peak CLO 549300NJA5BS4BQQJL72 72133CAA0 1180000.00000000 PA USD 1180000.00000000 0.031639500901 Long ABS-CBDO CORP KY N 2 2034-07-20 Variable 1.30100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CS54 412476.26000000 PA USD 443163.22000000 0.011882595846 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N Vista Point Securitization Trust N/A 92838TAE1 100000.00000000 PA USD 105204.23000000 0.002820855364 Long ABS-MBS CORP US N 2 2065-04-25 Variable 4.90000000 N N N N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2C4 250000.00000000 PA USD 267672.95000000 0.007177151307 Long DBT CORP CH N 2 2025-04-09 Fixed 2.95000000 N N N N N N BEAZER HOMES USA 549300DUPYT2T0F60I45 07556QBT1 1030000.00000000 PA USD 1143629.60000000 0.030664296407 Long DBT CORP US N 2 2029-10-15 Fixed 7.25000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1481000.00000000 OU Notional Amount USD 497.62000000 0.000013342752 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Put Purchased Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 N/A 1.00000000 NC USD 497.62000000 0.00000000 DFE US 28879500.00000000 MXN 1481000.00000000 USD 2021-07-08 1.00000000 19.50000000 USD 2021-07-08 XXXX -8857.86000000 N N N Tortoise Acquisition Corp II N/A 000000000 20140.00000000 NS USD 43703.80000000 0.001171835948 N/A DE KY N 1 N/A N/A Call Purchased Tortoise Acquisition Corp II Tortoise Acquisition Corp II 1.00000000 11.50000000 USD 2027-06-14 XXXX -26598.89000000 N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081FX0 1708000.00000000 PA USD 1856032.89000000 0.049766062963 Long DBT CORP US N 2 2049-10-01 Fixed 3.15000000 N N N N N N Riserva CLO, Ltd. 549300640C8OB2I8SN35 76761RAY5 940000.00000000 PA USD 939763.12000000 0.025197996680 Long ABS-CBDO CORP KY N 2 2034-01-18 Floating 1.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DSX6 288671.39000000 PA USD 305959.07000000 0.008203722263 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 3.50000000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MBV1 2905000.00000000 PA USD 3034241.65000000 0.081357535102 Long DBT CORP JP N 2 2025-01-15 Fixed 2.34800000 N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NBU4 1411000.00000000 PA USD 1505163.47000000 0.040358153361 Long DBT CORP US N 2 2046-07-15 Fixed 3.40000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QBX3 1343000.00000000 PA USD 1508596.61000000 0.040450206612 Long DBT CORP US N 2 2028-09-01 Fixed 3.65000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2L6 739000.00000000 PA USD 873487.38000000 0.023420936226 Long DBT CORP US N 2 2031-04-04 Fixed 4.47800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQD25 49839.77000000 PA USD 52901.85000000 0.001418464517 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4752000.00000000 OU Notional Amount USD 41069.87000000 0.001101212024 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-05-11 97.43000000 USD 0.00000000 USD 4752000.00000000 USD 40972.44000000 N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AL3 816000.00000000 PA USD 915200.34000000 0.024539391510 Long DBT CORP US N 2 2026-12-15 Fixed 3.85000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6RM2 90545.86000000 PA USD 104827.98000000 0.002810766921 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N Freddie Mac - SCRT N/A 35563PEX3 162974.67000000 PA USD 85466.28000000 0.002291619019 Long ABS-MBS USGSE US N 2 2057-05-25 Variable 2.21800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A9TU5 182078.54000000 PA USD 210127.76000000 0.005634184281 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 5.00000000 N N N N N N Tricon American Homes N/A 89613TAF5 180000.00000000 PA USD 188681.18000000 0.005059134207 Long ABS-O CORP US N 2 2037-05-17 Fixed 4.96000000 N N N N N N PARK INTERMED HOLDINGS N/A 70052LAC7 892000.00000000 PA USD 922729.40000000 0.024741269223 Long DBT US N 2 2029-05-15 Fixed 4.87500000 N N N N N N Banco Espirito Santo SA 635400JV7IJL16OWIT96 000000000 200000.00000000 PA 33201.00000000 0.000890222940 Long DBT CORP PT Y 2 2019-01-21 None 0.00000000 Y N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JPTF9 306605.02000000 PA USD 335358.88000000 0.008992023378 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N TPGI Trust N/A 87267HAS6 315000.00000000 PA USD 314999.46000000 0.008446123473 Long ABS-MBS CORP US N 2 2026-06-15 Floating 3.10000000 N N N N N N Anchorage Capital CLO LTD 549300687XYK5L55VX28 03329AAG0 1010000.00000000 PA USD 1009491.97000000 0.027067645843 Long ABS-CBDO CORP KY N 2 2030-01-15 Floating 2.03400000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 499000.00000000 OU Notional Amount USD -45640.14000000 -0.00122375529 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 TENET HEALTHCARE CORP TENET HEALTHCARE CORP Y buy protection 2024-06-20 0.00000000 USD -3496.37000000 USD 499000.00000000 USD -42143.77000000 N N N Citigroup Commercial Mortgage Trust N/A 17328CAD4 220000.00000000 PA USD 239221.80000000 0.006414286743 Long ABS-MBS CORP US N 2 2072-12-15 Fixed 3.10200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XYBY9 322425.00000000 PA USD 349319.56000000 0.009366352994 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 3.50000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017CY3 2399000.00000000 PA USD 2760192.84000000 0.074009426991 Long DBT CORP US N 2 2028-11-16 Fixed 4.12500000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 92553PAP7 336000.00000000 PA USD 388771.17000000 0.010424174392 Long DBT CORP US N 2 2043-03-15 Fixed 4.37500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJK6 1121000.00000000 PA USD 1110259.67000000 0.029769543923 Long DBT CORP US N 2 2026-10-24 Fixed 1.19700000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BR9 235000.00000000 PA USD 265080.00000000 0.007107626185 Long DBT CORP US N 2 2025-02-01 Fixed 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83B1 1752181.75000000 PA USD 1887767.92000000 0.050616978649 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N XHR LP 549300M88BPT83ZL2164 98372MAA3 236000.00000000 PA USD 251045.00000000 0.006731303816 Long DBT US N 2 2025-08-15 Fixed 6.37500000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AL1 972000.00000000 PA USD 968082.79000000 0.025957335853 Long DBT CORP US N 2 2030-03-01 Fixed 2.65000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61772BAC7 1593000.00000000 PA USD 1688651.08000000 0.045278031667 Long DBT CORP US N 2 2042-04-22 Fixed 3.21700000 N N N N N N STARBUCKS CORP OQSJ1DU9TAOC51A47K68 855244AW9 507000.00000000 PA USD 512931.77000000 0.013753309491 Long DBT CORP US N 2 2030-03-12 Fixed 2.25000000 N N N N N N FIDELITY NATL INFO SERV 6WQI0GK1PRFVBA061U48 000000000 1750000.00000000 PA 2134089.96000000 0.057221645096 Long DBT CORP US N 2 2028-12-03 Fixed 1.00000000 N N N N N N Steele Creek CLO Ltd N/A 85816VAA4 670000.00000000 PA USD 669254.96000000 0.017944824500 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.43400000 N N N N N N OCP CLO Ltd 254900M77QLN2EBJHE11 67097LAA4 3270000.00000000 PA USD 3273410.61000000 0.087770405039 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 1.44400000 N N N N N N Palmer Square CLO Ltd 5493006ZPBFJJGSXB826 69689ABJ8 4195000.00000000 PA USD 4197315.64000000 0.112543196589 Long ABS-CBDO CORP KY N 2 2034-05-21 Floating 1.26500000 N N N N N N BX Trust N/A 056059AS7 399000.00000000 PA USD 399127.48000000 0.010701859545 Long ABS-MBS CORP US N 2 2035-11-15 Floating 2.12300000 N N N N N N NGPL PipeCo LLC 549300K3NT1HSQFEM073 62912XAC8 414000.00000000 PA USD 592228.34000000 0.015879499235 Long DBT CORP US N 2 2037-12-15 Fixed 7.76800000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 3360.35000000 0.000090101522 N/A DFE KR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 556000.00000000 USD 630002905.00000000 KRW 2021-07-23 3360.35000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CCL6 142405.08000000 PA USD 147447.52000000 0.003953530459 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.00000000 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 81761LAB8 135000.00000000 PA USD 144076.08000000 0.003863131578 Long DBT US N 2 2027-12-15 Fixed 5.50000000 N N N N N N Morgan Stanley Capital I Trust N/A 61768HAX4 2381351.96000000 PA USD 155219.14000000 0.004161911966 Long ABS-MBS CORP US N 2 2052-03-15 Variable 1.19000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QANL0 8799794.83000000 PA USD 9900809.23000000 0.265471747931 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4.50000000 N N N N N N MGM GROWTH/MGM FINANCE N/A 55303XAB1 278000.00000000 PA USD 296765.00000000 0.007957200411 Long DBT US N 2 2026-09-01 Fixed 4.50000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2D5 1590000.00000000 PA USD 1705374.23000000 0.045726431769 Long DBT CORP FR N 2 2025-01-09 Fixed 3.37500000 N N N N N N MPT OPER PARTNERSP/FINL N/A 55342UAG9 45000.00000000 PA USD 46350.00000000 0.001242788870 Long DBT US N 2 2026-08-01 Fixed 5.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128287C8 27956000.00000000 PA USD 28433217.59000000 0.762383740317 Long DBT UST US N 2 2022-07-15 Fixed 1.75000000 N N N N N N BANCO VOTORANTIM X2EUTZGMHS8RBQFIUS93 05967CAD5 276000.00000000 PA USD 284282.76000000 0.007622512407 Long DBT CORP BR N 2 2022-09-24 Fixed 4.00000000 N N N N N N BAE Systems Holdings Inc MF62XBVMNYTYMC18DL76 05523UAP5 1811000.00000000 PA USD 2000103.04000000 0.053629035540 Long DBT CORP US N 2 2025-12-15 Fixed 3.85000000 N N N N N N Washington Mutual Asset-Backed CTFS N/A 93934QAC2 1924262.76000000 PA USD 792886.70000000 0.021259779202 Long ABS-O CORP US N 2 2036-09-25 Floating 0.27200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140E1RT2 44696.32000000 PA USD 47373.91000000 0.001270243108 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AB6 1320000.00000000 PA USD 1417397.94000000 0.038004884237 Long DBT CORP US N 2 2035-01-15 Fixed 3.30200000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 114000.00000000 OU Notional Amount 51.64000000 0.000001384630 N/A DFE LU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 51.64000000 0.00000000 DFE XX 141930.00000000 USD 114000.00000000 EUR 2021-07-16 1.00000000 1.24500000 EUR 2021-07-16 XXXX -18055.56000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 620000.00000000 OU Notional Amount USD -1862.02000000 -0.00004992659 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -895.07000000 USD 620000.00000000 USD -966.95000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J7MK8 1182618.97000000 PA USD 1223899.03000000 0.032816571578 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 2.00000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 5000000.00000000 OU Notional Amount USD 37520.75000000 0.001006048985 N/A DCR US N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 Markit CMBX.NA.AAA.7 137BENAG1 Y sell protection 2047-01-17 0.00000000 USD -156398.27000000 USD 5000000.00000000 USD 193919.02000000 N N N Structured Asset Mortgage Investments Inc N/A 86359LSM2 1334777.95000000 PA USD 1247071.96000000 0.033437910510 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.55200000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7942.00000000 NC USD 7644175.00000000 0.204964306614 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 7942.00000000 NC N/A 7644175.00000000 0.20000000 DIR US Long Eurodollar Time Deposit EDU3 Comdty 2023-09-18 7942.00000000 USD 2500.00000000 99.37500000 USD 2021-09-10 XXXX 5973143.25000000 N N N Countrywide Alternative Loan Trust N/A 12667GGN7 1101318.65000000 PA USD 925588.72000000 0.024817936560 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.44200000 N N N N N N Option One Mortgage Loan Trust N/A 68403BAA3 1085474.84000000 PA USD 1099982.10000000 0.029493970037 Long ABS-MBS CORP US N 2 2037-03-25 Variable 5.82000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MAFB0 2625380.04000000 PA USD 2972915.22000000 0.079713181172 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7B99 12310002.23000000 PA USD 13084585.12000000 0.350838765001 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4.00000000 N N N N N N CIFC Funding Ltd 549300X1SKS4LNS5LQ62 12551AAL9 1170000.00000000 PA USD 1170599.04000000 0.031387431679 Long ABS-CBDO CORP KY N 2 2029-04-23 Floating 1.19600000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 14494.85000000 0.000388652389 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 370000.00000000 USD 1912400.50000000 BRL 2021-07-02 14494.85000000 N N N LAMAR MEDIA CORP N/A 513075BR1 54000.00000000 PA USD 54945.00000000 0.001473247777 Long DBT CORP US N 2 2028-02-15 Fixed 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRA5 22520.55000000 PA USD 24727.52000000 0.000663022365 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 3.50000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBD4 524000.00000000 PA USD 607515.74000000 0.016289402375 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N MHC Commercial Mortgage Trust N/A 55316VAL8 1040000.00000000 PA USD 1041626.25000000 0.027929266674 Long ABS-MBS CORP US N 2 2038-04-15 Floating 2.67400000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -13516.81000000 -0.00036242806 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2837636.50000000 BRL 557000.00000000 USD 2021-07-02 -13516.81000000 N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAN4 1362000.00000000 PA USD 1288951.85000000 0.034560841712 Long DBT CORP US N 2 2032-09-15 Fixed 1.85000000 N N N N N N Merrill Lynch First Franklin Mortgage Loan Trust N/A 59024QAD2 9059148.73000000 PA USD 7066564.51000000 0.189476757784 Long ABS-O CORP US N 2 2037-05-25 Floating 0.33200000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 5998.31000000 0.000160833503 N/A DFE BR N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 372000.00000000 USD 1880088.00000000 BRL 2021-07-02 5998.31000000 N N N Lehman Brothers Small Balance Commercial N/A 52520VAG8 430000.00000000 PA USD 398627.67000000 0.010688458071 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.54200000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 970000.00000000 OU Notional Amount USD 17904.91000000 0.000480086793 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 OCCIDENTAL PETROLEUM COR OCCIDENTAL PETROLEUM COR Y buy protection 2024-12-20 354176.96000000 USD 0.00000000 USD 970000.00000000 USD -336272.05000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRS6 7058028.45000000 PA USD 7555484.51000000 0.202586236412 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WQPF3 99532.82000000 PA USD 105560.22000000 0.002830400572 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 3.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 404456.58000000 OU Notional Amount USD -1331.46000000 -0.00003570061 N/A DE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Choice Hotels International Inc Choice Hotels International Inc Y equity-performance leg 2021-11-15 0.00000000 USD 0.00000000 USD 404456.58000000 USD -1331.46000000 N N N PARSLEY ENERGY LLC/FINAN N/A 701885AH8 126000.00000000 PA USD 136080.00000000 0.003648731595 Long DBT CORP US N 2 2027-10-15 Fixed 5.62500000 N N N N N N Extended Stay America Trust N/A 30227FAL4 1350000.00000000 PA USD 1360120.55000000 0.036469097769 Long ABS-MBS CORP US N 2 2038-07-15 Floating 2.92500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 6714.00000000 NC USD 2056162.50000000 0.055132165485 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 6714.00000000 NC N/A 2056162.50000000 0.06000000 DIR US Long Eurodollar Time Deposit EDU2 Comdty 2022-09-19 6714.00000000 USD 2500.00000000 99.75000000 USD 2021-09-10 XXXX 966189.64000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1280000.00000000 OU Notional Amount USD -13812.80000000 -0.00037036448 N/A DCR US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Markit CMBX.NA.AAA.9 137BENAI7 Y buy protection 2058-09-17 15972.39000000 USD 0.00000000 USD 1280000.00000000 USD -29785.19000000 N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BE7 1050000.00000000 PA USD 1067781.57000000 0.028630572836 Long DBT CORP US N 2 2031-04-27 Fixed 2.85000000 N N N N N N Freddie Mac - SCRT N/A 35563PCJ6 1078660.25000000 PA USD 170574.15000000 0.004573627942 Long ABS-MBS USGSE US N 2 2056-07-25 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178D7L9 185295.49000000 PA USD 200213.72000000 0.005368357774 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 3.50000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAB8 1420000.00000000 PA USD 1519912.62000000 0.040753624331 Long DBT CORP US N 2 2029-08-15 Fixed 3.20000000 N N N N N N Jaws Mustang Acquisition Corp N/A 000000000 14026.00000000 NS USD 141101.56000000 0.003783375368 Long EC CORP KY N 1 N N N Euro Galaxy CLO BV 724500J5YR97FFRHVO54 000000000 1670000.00000000 PA 1978996.97000000 0.053063115607 Long ABS-CBDO CORP NL N 2 2034-07-30 Floating 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBJE1 79106071.30000000 PA USD 84083666.58000000 2.254546817431 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 4.00000000 N N N N N N Ajax Mortgage Loan Trust N/A 009733AA4 3202837.95000000 PA USD 3242623.60000000 0.086944908742 Long ABS-MBS CORP US N 2 2061-01-25 Variable 2.11500000 N N N N N N Tishman Speyer Innovation Corp II N/A 88825H209 16712.00000000 NS USD 167955.60000000 0.004503416404 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418QGR8 24837.91000000 PA USD 26110.78000000 0.000700111904 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.50000000 N N N N N N St Pauls CLO 635400REBCMBKKLQ8M86 000000000 470000.00000000 PA 559566.88000000 0.015003743054 Long ABS-CBDO CORP IE N 2 2034-05-20 Floating 2.60000000 N N N N N N ANHEUSER-BUSCH INBEV FIN 5493000EYEKDT0FBSQ91 035242AB2 717000.00000000 PA USD 799582.49000000 0.021439314333 Long DBT CORP US N 2 2043-01-17 Fixed 4.00000000 N N N N N N Latch Inc N/A 51818V114 43584.00000000 NS USD 152544.00000000 0.004090183072 N/A DE US N 1 N/A N/A Call Purchased Latch Inc Latch Inc 1.00000000 11.50000000 USD 2026-06-04 XXXX 55704.43000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCX2 1117000.00000000 PA USD 1176077.39000000 0.031534323424 Long DBT CORP US N 2 2025-06-20 Fixed 2.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180KJT9 332278.30000000 PA USD 360119.95000000 0.009655945324 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 3.50000000 N N N N N N EXPEDIA GROUP INC CI7MUJI4USF3V0NJ1H64 30212PBH7 1126000.00000000 PA USD 1140991.42000000 0.030593558526 Long DBT CORP US N 2 2031-03-15 Fixed 2.95000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAL9 880000.00000000 PA USD 966426.10000000 0.025912914798 Long DBT CORP IE N 2 2026-04-03 Fixed 4.45000000 N N N N N N Shearer's Foods, Inc. 549300AQWIJSYS2CIH04 82087UAL1 165749.58000000 PA USD 166163.95000000 0.004455376649 Long LON CORP US N 2 2027-09-23 Floating 4.25000000 N N N N N N ANGLOGOLD HOLDINGS PLC 213800745ZIXC4L6A131 03512TAE1 200000.00000000 PA USD 206156.00000000 0.005527688938 Long DBT CORP IM N 2 2030-10-01 Fixed 3.75000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBL5 345000.00000000 PA USD 373883.40000000 0.010024986585 Long DBT CORP US N 2 2027-07-15 Fixed 6.50000000 N N N N N N Vodafone Group PLC 213800TB53ELEUKM7Q61 92857WBM1 2467000.00000000 PA USD 3250680.99000000 0.087160952638 Long DBT CORP GB N 2 2048-05-30 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EW4N2 46034.88000000 PA USD 48505.94000000 0.001300596383 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBS9 5324000.00000000 PA USD 5345004.83000000 0.143316343337 Long DBT UST US N 2 2028-03-31 Fixed 1.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307NXU3 37178.00000000 PA USD 39075.12000000 0.001047726520 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822AT1 665000.00000000 PA USD 698459.75000000 0.018727896516 Long DBT CORP JP N 2 2023-03-02 Fixed 3.45500000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448EU8 328000.00000000 PA USD 384016.29000000 0.010296681147 Long DBT CORP US N 2 2050-03-19 Fixed 3.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMSH9 2172213.69000000 PA USD 2357858.87000000 0.063221591392 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378KPD5 10151371.55000000 PA USD 288900.93000000 0.007746340029 Long ABS-MBS USGA US N 2 2051-09-16 Variable 0.75700000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 11209.00000000 NC USD 2381912.50000000 0.063866544653 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 11209.00000000 NC N/A 2381912.50000000 0.06000000 DIR US Long Eurodollar Time Deposit EDZ2 Comdty 2022-12-19 11209.00000000 USD 2500.00000000 99.37500000 USD 2021-12-10 XXXX -1394.47000000 N N N Bear Stearns Asset Backed Securities Trust N/A 073852AD7 2509546.15000000 PA USD 2434936.84000000 0.065288293512 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.44200000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12597BBA6 692000.00000000 PA USD 737197.29000000 0.019766571459 Long ABS-MBS CORP US N 2 2052-09-15 Fixed 3.93400000 N N N N N N Columbus McKinnon Corporation 549300W3HQB0HO1F3G69 19933MAP8 92000.00000000 PA USD 92000.00000000 0.002466808544 Long LON CORP US N 2 2028-05-14 Floating 3.25000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 550000.00000000 OU Notional Amount USD 9533.63000000 0.000255626521 N/A DCR US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y buy protection 2026-06-20 9705.20000000 USD 0.00000000 USD 550000.00000000 USD -171.57000000 N N N SMB Private Education Loan Trust N/A 78448YAE1 1880000.00000000 PA USD 1906077.48000000 0.051107915378 Long ABS-O CORP US N 2 2053-01-15 Fixed 2.99000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177MZY1 134146.80000000 PA USD 143872.40000000 0.003857670279 Long ABS-MBS USGA US N 2 2042-04-15 Fixed 3.50000000 N N N N N N HMH Trust N/A 40390AAA9 1210000.00000000 PA USD 1210219.74000000 0.032449786910 Long ABS-MBS CORP US N 2 2031-07-05 Fixed 3.06200000 N N N N N N HUNTINGTON INGALLS INDUS 5TZLZ6WJTBVJ0QWBG121 446413AS5 995000.00000000 PA USD 1084272.59000000 0.029072748804 Long DBT CORP US N 2 2025-05-01 Fixed 3.84400000 N N N N N N Progress Residential Trust N/A 74331FAL5 500000.00000000 PA USD 492078.10000000 0.013194157193 Long ABS-O CORP US N 2 2038-04-17 Fixed 2.75700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KFF6 307953.96000000 PA USD 364992.17000000 0.009786584823 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TUA1 64546.73000000 PA USD 68337.15000000 0.001832333321 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 3.50000000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 320275AE0 8125160.06000000 PA USD 4762909.51000000 0.127708542149 Long ABS-O CORP US N 2 2036-12-25 Floating 0.30200000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 505000.00000000 OU Notional Amount USD 8753.61000000 0.000234711738 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y buy protection 2026-06-20 8155.56000000 USD 0.00000000 USD 505000.00000000 USD 598.05000000 N N N American Home Mortgage Assets N/A 02660KAA0 258055.85000000 PA USD 109412.20000000 0.002933684237 Long ABS-MBS CORP US N 2 2046-11-25 Floating 1.03600000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 797000.00000000 OU Notional Amount USD -23039.54000000 -0.00061776232 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-02-02 15.90000000 USD 0.00000000 USD 797000.00000000 USD -23055.44000000 N N N Sound Point CLO LTD N/A 83614BAQ2 4840000.00000000 PA USD 4849873.60000000 0.130040322152 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 1.31800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GSSE0 324395.53000000 PA USD 351742.97000000 0.009431332217 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N Madison Park Funding Ltd N/A 55820TAN8 250000.00000000 PA USD 249874.75000000 0.006699925743 Long ABS-CBDO CORP KY N 2 2031-07-27 Variable 2.12500000 N N N N N N Washington Mutual Bank N/A 939ESCAY5 1247000.00000000 PA USD 0.12000000 0.000000003217 Long DBT CORP US N 3 2017-09-21 None 0.00000000 Y N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 15853.38000000 0.000425078839 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 557000.00000000 USD 11436235.99000000 MXN 2021-07-14 15853.38000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWQ3 502000.00000000 PA USD 537031.36000000 0.014399495083 Long DBT CORP US N 2 2025-09-29 Fixed 3.27200000 N N N N N N Galaxy CLO Ltd 5493006XOQ2X0XSJ4F36 36321JAC8 250000.00000000 PA USD 250022.50000000 0.006703887384 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 1.28400000 N N N N N N Gulf Stream Meridian 5 Ltd N/A 40256LAC4 250000.00000000 PA USD 249875.00000000 0.006699932447 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 1.89500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 3163924000.00000000 OU Notional Amount -67212.32000000 -0.00180217310 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A Y 2023-05-28 0.00000000 CLP 0.00000000 CLP 3163924000.00000000 CLP -67212.32000000 N N N Wells Fargo Commercial Mortgage Trust N/A 94990DAA4 270000.00000000 PA USD 300373.14000000 0.008053945960 Long ABS-MBS CORP US N 2 2036-06-15 Variable 3.87400000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 480000.00000000 OU Notional Amount USD -49734.88000000 -0.00133354811 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 AVIS BUDGET CAR/FINANCE AVIS BUDGET CAR/FINANCE Y buy protection 2025-06-20 47446.25000000 USD 0.00000000 USD 480000.00000000 USD -97181.13000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402C4G4 1074143.10000000 PA USD 1239877.04000000 0.033244992139 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZD5 27956000.00000000 PA USD 28097963.92000000 0.753394537949 Long DBT UST US N 2 2023-03-15 Fixed 0.50000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PCR1 424000.00000000 PA USD 555418.10000000 0.014892501250 Long DBT CORP US N 2 2045-07-15 Fixed 4.75000000 N N N N N N Madison Park Funding Ltd N/A 55821KAC0 860000.00000000 PA USD 860348.30000000 0.023068636282 Long ABS-CBDO CORP KY N 2 2034-07-17 Floating 1.25400000 N N N N N N Marble Point CLO XI Ltd 549300DBVCVH5X7MO467 56607FAA3 580000.00000000 PA USD 580392.66000000 0.015562147533 Long ABS-CBDO CORP KY N 2 2030-12-18 Floating 1.37000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828YM6 41246000.00000000 PA USD 42560716.25000000 1.141186288275 Long DBT UST US N 2 2024-10-31 Fixed 1.50000000 N N N N N N BankAmerica Manufactured Housing Contract Trust N/A 06606TAK7 4000000.00000000 PA USD 1607278.40000000 0.043096174903 Long ABS-O CORP US N 2 2025-12-10 Variable 7.42900000 N N N N N N Ballyrock Ltd N/A 05875PAJ4 250000.00000000 PA USD 249767.75000000 0.006697056738 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 4.68800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HHWE1 728341.30000000 PA USD 797015.73000000 0.021370491447 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -64775000.00000000 NC USD -445023.68000000 -0.01193248061 N/A DIR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 64775000.00000000 OU Notional Amount N/A -445023.68000000 -0.01000000 DIR US N/A N/A 2031-10-22 0.00000000 N/A 0.00000000 N/A 64775000.00000000 USD 1.00000000 0.01720000 USD 2021-10-20 XXXX 929825.70000000 N N N Extended Stay America Trust N/A 30227FAN0 1410000.00000000 PA USD 1415851.50000000 0.037963419331 Long ABS-MBS CORP US N 2 2038-07-15 Floating 3.77500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FCTF5 471033.68000000 PA USD 500583.08000000 0.013422202382 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.00000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBE1 216000.00000000 PA USD 224910.00000000 0.006030542498 Long DBT CORP US N 2 2027-02-01 Fixed 5.37500000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 3163924000.00000000 OU Notional Amount 71067.76000000 0.001905549539 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A Y 2023-04-01 0.00000000 CLP 0.00000000 CLP 3163924000.00000000 CLP 71067.76000000 N N N ANTHEM INC 8MYN82XMYQH89CTMTH67 036752AS2 778000.00000000 PA USD 855145.94000000 0.022929144694 Long DBT CORP US N 2 2051-03-15 Fixed 3.60000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404121AJ4 135000.00000000 PA USD 159975.00000000 0.004289431488 Long DBT CORP US N 2 2028-09-01 Fixed 5.62500000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2J2 484000.00000000 PA USD 509236.44000000 0.013654226103 Long DBT CORP FR N 2 2025-11-19 Fixed 2.81900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPQP2 294969.20000000 PA USD 313090.04000000 0.008394925934 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFZG4 397849.59000000 PA USD 418326.06000000 0.011216633688 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 823000.00000000 OU Notional Amount USD 14265.78000000 0.000382510304 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y buy protection 2026-06-20 14642.14000000 USD 0.00000000 USD 823000.00000000 USD -376.36000000 N N N Station Casinos LLC 5493004E7Q60TX54WL62 857691AF6 181000.00000000 PA USD 183715.00000000 0.004925975345 Long DBT CORP US N 2 2025-10-01 Fixed 5.00000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PBA3 3085000.00000000 PA USD 3435471.64000000 0.092115769534 Long DBT CORP US N 2 2027-01-29 Fixed 3.96000000 N N N N N N MDGH - GMTN BV 213800L53ZH5KG593W13 55276VAJ1 382000.00000000 PA USD 399904.34000000 0.010722689598 Long DBT CORP NL N 2 2029-11-07 Fixed 2.87500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828XB1 8178000.00000000 PA USD 8635137.44000000 0.231535117642 Long DBT UST US N 2 2025-05-15 Fixed 2.12500000 N N N N N N FORESTAR GROUP INC 549300BC2UB0GHV60V70 346232AF8 242000.00000000 PA USD 244190.10000000 0.006547502448 Long DBT CORP US N 2 2026-05-15 Fixed 3.85000000 N N N N N N MI Windows and Doors, LLC N/A 55336CAF9 530335.00000000 PA USD 532434.07000000 0.014276227320 Long LON CORP US N 2 2027-12-18 Floating 4.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -9294.24000000 -0.00024920772 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 558000.00000000 USD 680182.25000000 CAD 2021-07-14 -9294.24000000 N N N ORAZUL ENERGY EGENOR SCA N/A 68559BAA5 229000.00000000 PA USD 237301.25000000 0.006362790774 Long DBT CORP PE N 2 2027-04-28 Fixed 5.62500000 N N N N N N AON CORP LTS3U8DGK38SETRUWX71 037389BE2 1654000.00000000 PA USD 1736401.87000000 0.046558380111 Long DBT CORP US N 2 2030-05-15 Fixed 2.80000000 N N N N N N KNDL Mortgage Trust N/A 482598AN9 2728000.00000000 PA USD 2728833.40000000 0.073168582050 Long ABS-MBS CORP US N 2 2036-05-15 Floating 1.87300000 N N N N N N Babson CLO Ltd N/A 056162AQ3 250000.00000000 PA USD 247421.50000000 0.006634146417 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 1.58800000 N N N N N N HUNGARY 5299008DH62LEB10JK83 445545AL0 2054000.00000000 PA USD 2316788.76000000 0.062120372932 Long DBT NUSS HU N 2 2024-03-25 Fixed 5.37500000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1001000.00000000 OU Notional Amount USD -3872.08000000 -0.00010382260 N/A DCR US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Markit CMBX.NA.AAA.6 137BENAF3 Y buy protection 2063-05-11 145.17000000 USD 0.00000000 USD 1001000.00000000 USD -4017.25000000 N N N XPO Logistics Inc 54930096DB9LCLPN7H13 983793AG5 415000.00000000 PA USD 431081.25000000 0.011558640337 Long DBT CORP US N 2 2024-08-15 Fixed 6.75000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 240000.00000000 OU Notional Amount USD -18664.09000000 -0.00050044279 N/A DCR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Markit CMBX.NA.BBB-.9 137BERAI8 Y sell protection 2058-09-17 0.00000000 USD -312.93000000 USD 240000.00000000 USD -18351.16000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1550000.00000000 OU Notional Amount USD 956.35000000 0.000025642742 N/A DFE LU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 956.35000000 0.00000000 DFE US 1720500000.00000000 KRW 1550000.00000000 USD 2021-07-21 1.00000000 1110.00000000 USD 2021-07-21 XXXX -14250.70000000 N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BY1 578000.00000000 PA USD 582934.58000000 0.015630304380 Long DBT CORP US N 2 2028-05-12 Fixed 1.65000000 N N N N N N Flatiron CLO Ltd 5493008L4GGS612L9S27 33883GAA5 270000.00000000 PA USD 270276.21000000 0.007246952872 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 1.14000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAA6 420000.00000000 PA USD 465170.27000000 0.012472673878 Long DBT CORP XX N 2 2026-06-18 Fixed 3.87500000 N N N N N N ENCOMPASS HEALTH CORP 549300FVRPM9DRQZRG64 29261AAA8 223000.00000000 PA USD 231355.81000000 0.006203374880 Long DBT CORP US N 2 2028-02-01 Fixed 4.50000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GN7 1500000.00000000 PA USD 1633797.36000000 0.043807231393 Long DBT CORP US N 2 2025-08-01 Fixed 3.70000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 6238.80000000 0.000167281795 N/A DFE KZ N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 254360.00000000 USD 111613168.00000000 KZT 2021-07-15 6238.80000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1145.10000000 0.000030703722 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 186000.00000000 USD 137481900.00000000 CLP 2021-07-14 1145.10000000 N N N Bluemountain CLO Ltd 54930003J8R1CBTM3M23 09626UAU2 1095694.53000000 PA USD 1097686.50000000 0.029432417802 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 1.41800000 N N N N N N GS Mortgage Securities Trust N/A 36254CAA8 180000.00000000 PA USD 166635.25000000 0.004468013680 Long ABS-MBS CORP US N 2 2050-08-10 Fixed 3.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VES9 1715000.00000000 PA USD 1959269.51000000 0.052534160532 Long DBT CORP US N 2 2029-02-08 Fixed 3.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132VMSZ9 1825474.93000000 PA USD 1995986.74000000 0.053518664626 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4.50000000 N N N N N N ABC SUPPLY CO INC 549300H5GQ4C1BEKG397 024747AF4 367000.00000000 PA USD 376068.57000000 0.010083577847 Long DBT CORP US N 2 2028-01-15 Fixed 4.00000000 N N N N N N State of Illinois 54930048FV8RWPR02D67 452151LF8 3010000.00000000 PA USD 3539285.62000000 0.094899347936 Long DBT MUN US N 2 2033-06-01 Fixed 5.10000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H032670 16998496.00000000 PA USD 17844104.71000000 0.478456412763 Long ABS-MBS USGA US N 2 2051-07-21 Fixed 3.50000000 N N N N N N Ajax Mortgage Loan Trust N/A 00968BAB1 160928.94000000 PA USD 126280.94000000 0.003385988063 Long ABS-O CORP US N 2 2057-12-25 None 0.00000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 000000000 7500000.00000000 PA USD 7500000.00000000 0.201098522679 Long RA CORP US N 2 Repurchase Y 0.19000000 2021-07-01 62552.63000000 USD 8333598.62000000 USD EQT N N United States Treasury 254900HROIFWPRGM1V77 91282CBL4 1989000.00000000 PA USD 1930883.91000000 0.051773053568 Long DBT UST US N 2 2031-02-15 Fixed 1.12500000 N N N N N N Buttermilk Park CLO Ltd N/A 124166AA7 250000.00000000 PA USD 250026.25000000 0.006703987934 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 1.28400000 N N N N N N CRED SUIS GP FUN LTD 549300PXR5FKNXF0OH19 225433AH4 1397000.00000000 PA USD 1453692.51000000 0.038978055492 Long DBT CORP GG N 2 2022-09-15 Fixed 3.80000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCY3 1184000.00000000 PA USD 1437032.71000000 0.038531354003 Long DBT CORP US N 2 2035-03-15 Fixed 4.55000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FP67 17189.72000000 PA USD 18841.30000000 0.000505194346 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 4.00000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAG5 4592000.00000000 PA USD 4880377.60000000 0.130858230063 Long DBT NUSS MX N 2 2050-01-31 Fixed 4.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -2036.13000000 -0.00005459503 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 557000.00000000 USD 61647891.00000000 JPY 2021-07-14 -2036.13000000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAD1 2000000.00000000 PA USD 2104533.54000000 0.056429144776 Long DBT CORP ES N 2 2024-06-27 Fixed 2.70600000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAE2 2221000.00000000 PA USD 2199788.45000000 0.058983227667 Long DBT CORP US N 2 2026-03-01 Fixed 1.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828J27 9276000.00000000 PA USD 9739800.00000000 0.261154585492 Long DBT UST US N 2 2025-02-15 Fixed 2.00000000 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAJ9 1889000.00000000 PA USD 2041869.14000000 0.054748915674 Long DBT CORP US N 2 2030-05-01 Fixed 3.20000000 N N N N N N Anchorage Capital CLO LTD 54930014PVHLSZJQK139 03328TBC8 1480000.00000000 PA USD 1480728.16000000 0.039702966062 Long ABS-CBDO CORP KY N 2 2031-01-28 Floating 1.93400000 N N N N N N Bank N/A 06542BBH9 320000.00000000 PA USD 336537.44000000 0.009023624268 Long ABS-MBS CORP US N 2 2054-04-15 Fixed 2.64300000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 -2224000.00000000 OU Notional Amount USD -2.22000000 -0.00000005952 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Put Written BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC USD -2.22000000 0.00000000 DFE ZA -2224000.00000000 USD -29468000.00000000 ZAR 2021-07-12 1.00000000 13.25000000 USD 2021-07-12 XXXX 6023.10000000 N N N GS Mortgage-Backed Securities Trust N/A 36257LAT4 255896.04000000 PA USD 262535.24000000 0.007039393188 Long ABS-MBS CORP US N 2 2049-11-25 Variable 4.45400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQU26 25926.87000000 PA USD 27076.29000000 0.000726000255 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N KAR Auction Services, Inc. 5493004HKD20LBSG7D03 48562RAL3 232971.21000000 PA USD 230932.71000000 0.006192030242 Long LON CORP US N 2 2026-09-19 Floating 2.37500000 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 44106MAZ5 233000.00000000 PA USD 234631.00000000 0.006291192996 Long DBT US N 2 2024-10-01 Fixed 4.35000000 N N N N N N Security National Mortgage Loan Trust N/A 81441XAD6 76055.42000000 PA USD 76006.77000000 0.002037979888 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.44200000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 192.47000000 0.000005160724 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 10114025000.00000000 IDR 697711.44000000 USD 2021-07-01 192.47000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828Z94 5471000.00000000 PA USD 5525068.85000000 0.148144424458 Long DBT UST US N 2 2030-02-15 Fixed 1.50000000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CAU8 9000.00000000 PA USD 10573.04000000 0.000283496363 Long DBT CORP US N 2 2048-03-15 Fixed 3.95000000 N N N N N N TEGNA INC 549300YC5EDBGX85AO10 87901JAH8 99000.00000000 PA USD 103601.52000000 0.002777881682 Long DBT CORP US N 2 2029-09-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QUXG3 5693176.97000000 PA USD 6209686.64000000 0.166501174614 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N OCP CLO Ltd 254900MN6N176YEZLX15 671078AN3 500000.00000000 PA USD 500953.00000000 0.013432121097 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 1.25000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BN3 1034000.00000000 PA USD 991140.70000000 0.026575590738 Long DBT NUSS PA N 2 2032-09-29 Fixed 2.25200000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAA4 637000.00000000 PA USD 715835.12000000 0.019193784681 Long DBT CORP XX N 2 2029-04-15 Fixed 6.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 67.00000000 NC USD 7328.13000000 0.000196490148 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 67.00000000 NC N/A 7328.13000000 0.00000000 DIR US Long 10 Year US Treasury Note TYQ1 Comdty 2021-09-21 67.00000000 USD 1000.00000000 131.00000000 USD 2021-07-23 XXXX -47211.21000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379KCT3 1737077.04000000 PA USD 46387.43000000 0.001243792485 Long ABS-MBS USGA US N 2 2055-03-16 Variable 0.54900000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAN3 449000.00000000 PA USD 526580.28000000 0.014119268850 Long DBT CORP US N 2 2027-06-01 Fixed 5.50000000 N N N N N N MPT OPER PARTNERSP/FINL N/A 55342UAH7 722000.00000000 PA USD 765384.98000000 0.020522371834 Long DBT CORP US N 2 2027-10-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFCS3 940575.42000000 PA USD 1045228.74000000 0.028025860730 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFQ25 469796.34000000 PA USD 494564.05000000 0.013260813310 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 2.50000000 N N N N N N WASTE MANAGEMENT INC 549300YX8JIID70NFS41 94106LBQ1 415000.00000000 PA USD 419415.36000000 0.011245841238 Long DBT CORP US N 2 2029-06-01 Fixed 2.00000000 N N N N N N UMBS, TBA N/A 01F020695 125800000.00000000 PA USD 126512540.01000000 3.392197986197 Long ABS-MBS USGSE US N 2 2051-09-15 Fixed 2.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1383000.00000000 OU Notional Amount USD 5909.56000000 0.000158453838 N/A DFE LU N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Purchased Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD 5909.56000000 0.00000000 DFE US 27452550.00000000 MXN 1383000.00000000 USD 2021-07-09 1.00000000 19.85000000 USD 2021-07-09 XXXX -15587.79000000 N N N Meredith Corp 549300YC8BC386CCTS24 589433AB7 817000.00000000 PA USD 849680.00000000 0.022782585700 Long DBT CORP US N 2 2026-02-01 Fixed 6.87500000 N N N N N Norfolk Southern Corp 54930036C8MWP850MI84 655844BN7 409000.00000000 PA USD 488917.32000000 0.013109406768 Long DBT CORP US N 2 2043-08-15 Fixed 4.80000000 N N N N N N ALABAMA POWER CO 0RL818ELFOHP5JHOFU19 010392FT0 637000.00000000 PA USD 691393.05000000 0.018538416126 Long DBT CORP US N 2 2049-10-01 Fixed 3.45000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46590RAM1 5300000.00000000 PA USD 175451.20000000 0.004704396949 Long ABS-MBS CORP US N 2 2049-08-15 Variable 0.75000000 N N N N N N Republic Services Inc NKNQHM6BLECKVOQP7O46 760759AT7 584000.00000000 PA USD 664351.73000000 0.017813353525 Long DBT CORP US N 2 2028-05-15 Fixed 3.95000000 N N N N N N Voya CLO Ltd 549300KSCKXTOBY0IP86 92917NAJ7 1989000.00000000 PA USD 1991569.79000000 0.053400232344 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 1.24400000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -9294.24000000 -0.00024920772 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 558000.00000000 USD 680182.25000000 CAD 2021-07-14 -9294.24000000 N N N Ambac Assurance Corp 549300RYYRVPPB8NC636 023138AA8 162921.84000000 PA USD 228497.88000000 0.006126744813 Long DBT CORP US N 2 2099-12-31 Fixed 5.10000000 N N N N N N Eaton Vance CDO Ltd 549300R0C8KS2AMEHL81 27831BAG8 710000.00000000 PA USD 711713.94000000 0.019083282920 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 2.38400000 N N N N N N CAESARS ENTERTAIN INC 549300FA4CTCW903Y781 28470RAH5 2452000.00000000 PA USD 2599120.00000000 0.069690558968 Long DBT CORP US N 2 2025-07-01 Fixed 6.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H022671 45487800.00000000 PA USD 47072765.99000000 1.262168493205 Long ABS-MBS USGA US N 2 2051-07-21 Fixed 2.50000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969XAA4 1980800.46000000 PA USD 1992922.36000000 0.053436498988 Long ABS-MBS CORP US N 2 2059-11-25 Variable 3.00000000 N N N N N N Cano Health Inc N/A 13781Y111 36440.00000000 NS USD 134408.94000000 0.003603925235 N/A DE US N 1 N/A N/A Call Purchased Cano Health Inc Cano Health Inc 1.00000000 11.50000000 USD 2026-06-03 XXXX -42621.43000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 18357780.00000000 OU Notional Amount 7146.39000000 0.000191617129 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-06-16 167.58000000 ZAR 0.00000000 ZAR 18357780.00000000 ZAR 7134.36000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178N7H6 113795.53000000 PA USD 122029.39000000 0.003271990673 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 3.50000000 N N N N N N PFP III N/A 69346TAC8 230000.00000000 PA USD 229715.03000000 0.006159380422 Long ABS-CBDO CORP KY N 2 2036-04-14 Floating 1.49500000 N N N N N N Reinvent Technology Partners Y N/A 000000000 32867.00000000 NS USD 331628.03000000 0.008891987588 Long EC CORP KY Y 1 N N N ASG FINANCE DESIGNATED 5493005UOB0OMEJ4WK10 00217AAA4 1018000.00000000 PA USD 992550.00000000 0.026613378491 Long DBT CORP IE N 2 2024-12-03 Fixed 7.87500000 N N N N N BSST Mortgage Trust N/A 05601PAG1 604000.00000000 PA USD 604965.43000000 0.016221020566 Long ABS-MBS CORP US N 2 2036-04-15 Floating 1.17300000 N N N N N N ALBERTSONS COS/SAFEWAY N/A 013092AE1 90000.00000000 PA USD 95985.90000000 0.002573683025 Long DBT CORP US N 2 2030-02-15 Fixed 4.87500000 N N N N N N State Street Corp 549300ZFEEJ2IP5VME73 857477BA0 2815000.00000000 PA USD 2983900.00000000 0.080007717576 Long DBT CORP US N 2 2023-12-15 Fixed 5.62500000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92890KBG9 1540000.00000000 PA USD 1618251.56000000 0.043390399738 Long ABS-MBS CORP US N 2 2057-09-15 Variable 3.91000000 N N N N N N Corning Inc 549300X2937PB0CJ7I56 219350BF1 584000.00000000 PA USD 695837.41000000 0.018657583356 Long DBT CORP US N 2 2057-11-15 Fixed 4.37500000 N N N N N N ONE GAS INC 549300HXDWI0LATTX840 68235PAH1 370000.00000000 PA USD 363832.14000000 0.009755480780 Long DBT CORP US N 2 2030-05-15 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378NMM2 902064.91000000 PA USD 17163.86000000 0.000460216918 Long ABS-MBS USGA US N 2 2053-11-16 Variable 0.64400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XPQG1 113234.85000000 PA USD 121874.41000000 0.003267835173 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.50000000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BE3 439000.00000000 PA USD 454272.81000000 0.012180478797 Long DBT CORP US N 2 2026-09-15 Fixed 5.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RVB2 739827.47000000 PA USD 791425.68000000 0.021220604674 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 3.50000000 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAF1 420000.00000000 PA USD 427194.60000000 0.011454427060 Long DBT CORP US N 2 2025-03-20 Fixed 2.62500000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PBU5 807000.00000000 PA USD 1027916.47000000 0.027561664474 Long DBT CORP US N 2 2041-11-15 Fixed 4.62500000 N N N N N N CSC Holdings, LLC 3HG2WD2W22M120IUNG49 64072UAK8 971681.39000000 PA USD 964292.72000000 0.025855712189 Long LON CORP US N 2 2027-04-15 Floating 2.57300000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCL4 254000.00000000 PA USD 216458.80000000 0.005803939320 Long DBT CORP MX N 2 2048-02-12 Fixed 6.35000000 N N N N N N Citrix Systems Inc HCTKJGUQOPZ5NBK7NP58 177376AE0 1813000.00000000 PA USD 2054996.38000000 0.055100898150 Long DBT CORP US N 2 2027-12-01 Fixed 4.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 14511.03000000 0.000389086226 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1129555.98000000 USD 23019000.00000000 MXN 2021-09-15 14511.03000000 N N N Carval CLO LTD N/A 14686WAJ0 500000.00000000 PA USD 497145.50000000 0.013330030080 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 3.88800000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGF0 1466000.00000000 PA USD 1626713.67000000 0.043617295448 Long DBT CORP US N 2 2028-01-20 Fixed 3.82400000 N N N N N N Neuberger Berman CLO Ltd 549300UHUHCR3388B324 64131TAN4 440000.00000000 PA USD 440408.76000000 0.011808740134 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 1.24000000 N N N N N N ALABAMA POWER CO 0RL818ELFOHP5JHOFU19 010392FV5 315000.00000000 PA USD 322801.01000000 0.008655307497 Long DBT CORP US N 2 2051-07-15 Fixed 3.12500000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 000000000 1.00000000 NC 21663.70000000 0.000580871742 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 8900250.53000000 ZAR 644000.00000000 USD 2021-07-14 21663.70000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 5569.97000000 0.000149348365 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11008548.00000000 MXN 557000.00000000 USD 2021-07-14 5569.97000000 N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FN3 1190000.00000000 PA USD 1143578.11000000 0.030662915798 Long DBT CORP US N 2 2062-09-16 Fixed 2.97300000 N N N N N N TAKEDA PHARMACEUTICAL 549300ZLMVP4X0OGR454 874060AX4 1982000.00000000 PA USD 1966306.66000000 0.052722848594 Long DBT CORP JP N 2 2030-03-31 Fixed 2.05000000 N N N N N N AVIANCA HOLDINGS SA 529900VB3L5MRBU13P27 000000000 137000.00000000 PA USD 137000.00000000 0.003673399680 Long DBT CORP PA Y 2 2021-11-10 Fixed 11.00000000 N N Y N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 900000.00000000 OU Notional Amount USD -9712.12000000 -0.00026041239 N/A DCR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Markit CMBX.NA.AAA.9 137BENAI7 Y buy protection 2058-09-17 11071.33000000 USD 0.00000000 USD 900000.00000000 USD -20783.45000000 N N N Wells Fargo Commercial Mortgage Trust N/A 95002MBC2 92000.00000000 PA USD 96006.91000000 0.002574246369 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 3.56100000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46647TAA6 328000.00000000 PA USD 335219.51000000 0.008988286431 Long ABS-MBS CORP US N 2 2050-03-15 Variable 4.77300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M9MM3 167561.14000000 PA USD 181785.03000000 0.004874226797 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 3.50000000 N N N N N N Banc of America Merrill Lynch Large Loan Inc N/A 054966AU0 300000.00000000 PA USD 260544.00000000 0.006986001799 Long ABS-MBS CORP US N 2 2032-11-15 Floating 1.57300000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BU5 1371000.00000000 PA USD 1925528.05000000 0.051629446164 Long DBT CORP US N 2 2050-05-01 Fixed 5.25000000 N N N N N N SLM Student Loan Trust 549300JEA36NHBYED811 78445QAE1 3372000.00000000 PA USD 3760214.31000000 0.100823139026 Long ABS-O CORP US N 2 2041-10-15 Floating 4.82300000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 153.26000000 0.000004109381 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 372000.00000000 USD 7429531.92000000 MXN 2021-07-14 153.26000000 N N N Brex Inc N/A 05601DAA1 850000.00000000 PA USD 855418.33000000 0.022936448324 Long ABS-O CORP US N 2 2024-07-15 Fixed 2.09000000 N N N N N N REPUBLIC OF ECUADOR 5299003Y2U5XK0A35H71 000000000 928000.00000000 PA USD 635680.00000000 0.017044574519 Long DBT NUSS EC Y 2 2035-07-31 Variable 0.50000000 N N N N N N Under Armour Inc 549300D4549QKWETZ406 904311AA5 54000.00000000 PA USD 55948.32000000 0.001500149933 Long DBT CORP US N 2 2026-06-15 Fixed 3.25000000 N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PDL3 348000.00000000 PA USD 431468.93000000 0.011569035254 Long DBT CORP US N 2 2048-06-15 Fixed 4.25000000 N N N N N N AMER AIRLN 15-2 B PTT N/A 02377BAC0 1463196.79000000 PA USD 1431757.67000000 0.038389913636 Long DBT CORP US N 2 2025-03-22 Fixed 4.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200KRE9 38534.49000000 PA USD 42936.94000000 0.001151274026 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 6.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAS8 1310000.00000000 PA USD 1533730.38000000 0.041124121814 Long DBT CORP US N 2 2025-12-01 Fixed 5.95000000 N N N N N N ENTEL CHILE SA N/A 29245VAB1 1277000.00000000 PA USD 1411196.14000000 0.037838594528 Long DBT CORP CL N 2 2026-08-01 Fixed 4.75000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHM4 3058000.00000000 PA USD 3512997.77000000 0.094194488229 Long DBT CORP US N 2 2029-07-23 Fixed 4.27100000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804FX7 703000.00000000 PA USD 778325.30000000 0.020869342399 Long DBT CORP US N 2 2027-03-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W5M21 531710.96000000 PA USD 565285.89000000 0.015157087649 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HMN7 1787000.00000000 PA USD 1976613.78000000 0.052999214808 Long DBT CORP US N 2 2025-07-15 Fixed 3.90000000 N N N N N N Armada Euro CLO 549300236OBWCGBX8R96 000000000 250000.00000000 PA 297169.14000000 0.007968036672 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 3.30000000 N N N N N N Navient Student Loan Trust N/A 63942CAC6 710000.00000000 PA USD 716763.53000000 0.019218678265 Long ABS-O CORP US N 2 2060-04-15 Fixed 3.48000000 N N N N N N DBUBS Mortgage Trust N/A 23305JAA0 850000.00000000 PA USD 905761.79000000 0.024286314382 Long ABS-MBS CORP US N 2 2034-10-10 Fixed 3.45200000 N N N N N N Navient Corp 54930067J0ZNOEBRW338 63938CAF5 414000.00000000 PA USD 431677.80000000 0.011574635713 Long DBT CORP US N 2 2022-06-15 Fixed 6.50000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPBR3 512000.00000000 PA USD 529356.80000000 0.014193716060 Long DBT CORP US N 2 2026-05-01 Fixed 5.50000000 N N N N N N DH EUROPE FINANCE 222100KDGL314CKTZ511 000000000 700000.00000000 PA 868946.63000000 0.023299184477 Long DBT CORP LU N 2 2049-09-18 Fixed 1.80000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CZ1 870000.00000000 PA USD 1130021.86000000 0.030299430218 Long DBT CORP US N 2 2048-03-25 Fixed 5.05000000 N N N N N N Palmer Square CLO Ltd 549300A8L0VCZ9626397 69703PAA7 1040000.00000000 PA USD 1039665.12000000 0.027876682628 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 1.22000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBG6 68000.00000000 PA USD 71740.00000000 0.001923574402 Long DBT CORP US N 2 2028-01-15 Fixed 5.00000000 N N N N N N BX Trust N/A 05608WAS3 2293268.00000000 PA USD 2297627.96000000 0.061606611789 Long ABS-MBS CORP US N 2 2038-06-15 Floating 2.90000000 N N N N N N CENTERPOINT ENERGY RES 2JADVB0458J06WCD4N56 15189YAF3 2530000.00000000 PA USD 2425516.69000000 0.065035709745 Long DBT CORP US N 2 2030-10-01 Fixed 1.75000000 N N N N N N OCP CLO Ltd 254900NXH68CRC058O44 67102SAN4 180000.00000000 PA USD 180364.86000000 0.004836147585 Long ABS-CBDO CORP KY N 2 2031-04-26 Floating 1.57600000 N N N N N N Lam Research Corp 549300I4GMO6D34U1T02 512807AS7 1325000.00000000 PA USD 1483727.14000000 0.039783378121 Long DBT CORP US N 2 2026-03-15 Fixed 3.75000000 N N N N N N RATTLER MIDSTREAM LP 549300I45NRVEEN9M219 75419TAA1 225000.00000000 PA USD 236531.25000000 0.006342144659 Long DBT CORP US N 2 2025-07-15 Fixed 5.62500000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFE9 3892000.00000000 PA USD 4202469.59000000 0.112681390154 Long DBT CORP US N 2 2030-03-22 Fixed 3.15000000 N N N N N N Palmer Square Loan Funding Ltd N/A 69701FAC7 1120000.00000000 PA USD 1121540.00000000 0.030072004950 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.73800000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AP3 62000.00000000 PA USD 69994.57000000 0.001876773949 Long DBT CORP US N 2 2026-01-30 Fixed 4.50000000 N N N N N N OCP CLO Ltd 254900NXH68CRC058O44 67102SAL8 160000.00000000 PA USD 160115.20000000 0.004293190690 Long ABS-CBDO CORP KY N 2 2031-04-26 Floating 1.25600000 N N N N N N GREAT WST PTRLM/GRT FNCE N/A 39143GAD2 449000.00000000 PA USD 446755.00000000 0.011978902733 Long DBT CORP US N 2 2025-09-01 Fixed 12.00000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 000000000 810000.00000000 PA 937191.48000000 0.025129042946 Long DBT CORP US N 2 2041-03-09 Fixed 1.00000000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 33767BAB5 3191000.00000000 PA USD 3500910.91000000 0.093870401604 Long DBT CORP US N 2 2025-01-15 Fixed 4.35000000 N N N N N N TRI POINTE HOMES INC N/A 87265HAG4 60000.00000000 PA USD 66150.00000000 0.001773688970 Long DBT CORP US N 2 2028-06-15 Fixed 5.70000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -8391.17000000 -0.00022499358 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1882042.00000000 BRL 370000.00000000 USD 2021-07-02 -8391.17000000 N N N ANTHEM INC 8MYN82XMYQH89CTMTH67 036752AM5 372000.00000000 PA USD 377678.32000000 0.010126740293 Long DBT CORP US N 2 2050-05-15 Fixed 3.12500000 N N N N N N Voya CLO Ltd N/A 92915QAU7 357000.00000000 PA USD 356910.04000000 0.009569877569 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.22800000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FR4 724000.00000000 PA USD 803469.13000000 0.021543527341 Long DBT CORP US N 2 2071-04-06 Fixed 3.79900000 N N N N N N KKR Financial CLO Ltd 254900VCKMCY079T6M57 48251BAL4 748037.62000000 PA USD 748131.12000000 0.020059741733 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 1.43800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TLT0 976448.81000000 PA USD 1042951.85000000 0.027964810168 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.00000000 N N N N N N DTE Electric Co 9N0FWODEJVKHC2DYLO03 23338VAJ5 355000.00000000 PA USD 429136.79000000 0.011506503266 Long DBT CORP US N 2 2049-03-01 Fixed 3.95000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969LAA0 2406250.86000000 PA USD 2440154.45000000 0.065428194000 Long ABS-O CORP US N 2 2057-08-25 Variable 3.75000000 N N N N N N BX Trust N/A 056057AN2 200000.00000000 PA USD 200246.36000000 0.005369232955 Long ABS-MBS CORP US N 2 2037-03-15 Floating 2.02400000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 2136000.00000000 OU Notional Amount 13565.17000000 0.000363724752 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Put Purchased Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 N/A 1.00000000 NC USD 13565.17000000 0.00000000 DFE GB 2937000.00000000 USD 2136000.00000000 GBP 2021-07-29 1.00000000 1.37500000 GBP 2021-07-29 XXXX -481.25000000 N N N CSX Corp 549300JVQR4N1MMP3Q88 126408HK2 1116000.00000000 PA USD 1354294.08000000 0.036312871834 Long DBT CORP US N 2 2048-03-01 Fixed 4.30000000 N N N N N N ARM Master Trust N/A 04206RAA2 270000.00000000 PA USD 269797.23000000 0.007234109916 Long ABS-O CORP US N 2 2027-11-15 Fixed 2.43000000 N N N N N N Sunstone Hotel Investors Inc 529900ZQ2V52V96ATF67 867892101 65729.00000000 NS USD 816354.18000000 0.021889015944 Long EC US N 1 N N N Ajax Mortgage Loan Trust N/A 00969LAB8 440000.00000000 PA USD 435864.04000000 0.011686881937 Long ABS-O CORP US N 2 2057-08-25 Variable 5.25000000 N N N N N N UNITED PARCEL SERVICE D01LMJZU09ULLNCY6Z23 911312BV7 1408000.00000000 PA USD 1911231.39000000 0.051246107870 Long DBT CORP US N 2 2040-04-01 Fixed 5.20000000 N N N N N N JP Morgan Mortgage Trust N/A 46629AAM3 202391.43000000 PA USD 113295.99000000 0.003037820828 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.50000000 N N N N N N Life Financial Services Trust N/A 53218CAL4 1310000.00000000 PA USD 1314069.78000000 0.035234332194 Long ABS-MBS CORP US N 2 2038-03-15 Floating 2.42300000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAF3 6521000.00000000 PA USD 7169609.70000000 0.192239722514 Long DBT CORP US N 2 2028-05-01 Fixed 3.54000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GTR33 11077.57000000 PA USD 12010.73000000 0.000322045341 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.50000000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804FL3 1226000.00000000 PA USD 1439209.37000000 0.038589717084 Long DBT CORP US N 2 2043-01-15 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128285M8 4225000.00000000 PA USD 4779696.28000000 0.128158648102 Long DBT UST US N 2 2028-11-15 Fixed 3.12500000 N N N N N N ESC CB CHESAPEAKE ENER N/A 165ESCAE4 100000.00000000 PA USD 0.01000000 0.000000000268 Long DBT CORP US N 3 2021-06-15 None 0.00000000 N N N N N N DUKE ENERGY FLORIDA LLC 7MOHLM3DKE63RX2ZCN83 26444HAH4 3592000.00000000 PA USD 3764113.81000000 0.100927696851 Long DBT CORP US N 2 2029-12-01 Fixed 2.50000000 N N N N N N NGPL PipeCo LLC 549300K3NT1HSQFEM073 62912XAF1 990000.00000000 PA USD 1133885.63000000 0.030403030010 Long DBT CORP US N 2 2027-08-15 Fixed 4.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJ4K1 1190829.98000000 PA USD 1265441.12000000 0.033930445302 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WPHP2 219409.80000000 PA USD 233313.55000000 0.006255868030 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Legacy Mortgage Asset Trust N/A 52473FAA3 1562182.03000000 PA USD 1565996.88000000 0.041989287878 Long ABS-O CORP US N 2 2059-02-25 Variable 3.37500000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 539439AQ2 1186000.00000000 PA USD 1297216.33000000 0.034782438341 Long DBT CORP GB N 2 2028-11-07 Fixed 3.57400000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1366.00000000 NC USD -658121.87000000 -0.01764631144 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 5 Year US Treasury Note FVU1 Comdty 2021-09-30 169263075.68000000 USD -658121.87000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810SJ8 5055000.00000000 PA USD 5236664.06000000 0.140411387498 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N Nelnet Student Loan Trust N/A 64035DAF3 2130000.00000000 PA USD 2172061.96000000 0.058239793509 Long ABS-O CORP US N 2 2062-04-20 Fixed 3.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FDB9 39545.41000000 PA USD 43733.76000000 0.001172639270 Long ABS-MBS USGA US N 2 2039-12-20 Fixed 4.50000000 N N N N N N Athenahealth, Inc. 5493004JZ4RQIZBHP241 04685YAM1 138652.50000000 PA USD 139562.34000000 0.003742104052 Long LON CORP US N 2 2026-02-11 Floating 4.41000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGC2 1868000.00000000 PA USD 2000737.33000000 0.053646042844 Long DBT CORP US N 2 2061-03-22 Fixed 3.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178WQH5 197568.84000000 PA USD 211319.73000000 0.005666144735 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.50000000 N N N N N N HOWARD HUGHES CORP 549300BVHY25JZC1KI49 44267DAD9 749000.00000000 PA USD 795160.87000000 0.021320756833 Long DBT CORP US N 2 2028-08-01 Fixed 5.37500000 N N N N N N Knollwood CDO Ltd 549300E24U6UCPJEUI87 499169AD2 1015141.38000000 PA USD 101.51000000 0.000002721801 Long ABS-CBDO CORP KY N 2 2039-01-10 Floating 3.39700000 N Y N N N N HOMES BY WEST BAY LLC N/A 000000000 1259000.00000000 PA USD 1233820.00000000 0.033082583900 Long DBT CORP US N 3 2027-04-30 Fixed 9.50000000 N N N N N N BSST Mortgage Trust N/A 05601PAN6 589000.00000000 PA USD 589940.04000000 0.015818142735 Long ABS-MBS CORP US N 2 2036-04-15 Floating 2.17300000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 -225.00000000 NC USD -11475.00000000 -0.00030768073 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Written Caesars Entertainment Inc Caesars Entertainment Inc 100.00000000 115.00000000 USD 2021-07-16 XXXX 85012.36000000 N N N DIGITAL DUTCH FINCO BV 549300ONZ5IS6B6IMJ70 000000000 1550000.00000000 PA 1938792.05000000 0.051985095605 Long DBT NL Y 2 2030-03-15 Fixed 1.50000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBL6 2190000.00000000 PA USD 2117909.03000000 0.056787783613 Long DBT CORP US N 2 2032-02-04 Fixed 2.45000000 N N N N N N One Market Plaza Trust N/A 68245HAS3 21110000.00000000 PA USD 21954.40000000 0.000588666320 Long ABS-MBS CORP US N 2 2032-02-10 Variable 0.21800000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 490000.00000000 OU Notional Amount USD 8493.60000000 0.000227740054 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y buy protection 2026-06-20 9176.52000000 USD 0.00000000 USD 490000.00000000 USD -682.92000000 N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BE2 373000.00000000 PA USD 429584.91000000 0.011518518768 Long DBT CORP US N 2 2030-06-15 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390MJT2 598551.63000000 PA USD 690142.54000000 0.018504886030 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 12561.67000000 0.000336817770 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 398490000.00000000 CLP 555000.00000000 USD 2021-07-14 12561.67000000 N N N Kayne CLO N/A 48661WAL2 250000.00000000 PA USD 250125.00000000 0.006706635731 Long ABS-CBDO CORP KY N 2 2032-04-15 Floating 1.65600000 N N N N N N RR Ltd N/A 749757AA8 250000.00000000 PA USD 249414.75000000 0.006687591701 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 7.30400000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 0738794J4 1511124.38000000 PA USD 1364809.46000000 0.036594822152 Long ABS-MBS CORP US N 2 2035-12-25 Variable 6.25000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 490000.00000000 OU Notional Amount USD 8493.60000000 0.000227740054 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y buy protection 2026-06-20 9404.62000000 USD 0.00000000 USD 490000.00000000 USD -911.02000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -20230000.00000000 NC USD -415099.37000000 -0.01113011600 N/A DIR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 20230000.00000000 OU Notional Amount N/A -415099.37000000 -0.01000000 DIR US N/A N/A 2031-12-23 0.00000000 N/A 0.00000000 N/A 20230000.00000000 USD 1.00000000 0.01564000 USD 2021-12-21 XXXX -1395.87000000 N N N Regatta VI Funding Ltd. 2549001NU08X5ZRD6A39 75887NAW9 760000.00000000 PA USD 760272.84000000 0.020385299327 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.29500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -4382.00000000 NC USD -2054062.50000000 -0.05507585789 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 4382.00000000 NC N/A -2054062.50000000 -0.06000000 DIR US Short Eurodollar Time Deposit EDU3 Comdty 2023-09-18 4382.00000000 USD 2500.00000000 99.12500000 USD 2021-09-10 XXXX -750886.04000000 N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 000000000 4696000.00000000 PA USD 4801706.96000000 0.128748823466 Long DBT NUSS DO Y 2 2030-01-30 Fixed 4.50000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BN2 90000.00000000 PA USD 93412.80000000 0.002504690143 Long DBT CORP US N 2 2027-09-15 Fixed 4.62500000 N N N N N N GCT Commercial Mortgage Trust N/A 36167RAG8 100000.00000000 PA USD 100062.95000000 0.002683001522 Long ABS-MBS CORP US N 2 2038-02-15 Floating 2.42300000 N N N N N N Cascade MH Asset Trust N/A 14732FAA0 2267616.90000000 PA USD 2372077.17000000 0.063602828609 Long ABS-O CORP US N 2 2044-11-25 Variable 4.00000000 N N N N N N Churchill Downs Inc 529900FODTBQC8MIS994 171484AG3 537000.00000000 PA USD 559584.34000000 0.015004211211 Long DBT CORP US N 2 2027-04-01 Fixed 5.50000000 N N N N N NRG Energy Inc 5E2UPK5SW04M13XY7I38 629377CC4 533000.00000000 PA USD 551772.26000000 0.014794744845 Long DBT CORP US N 2 2027-01-15 Fixed 6.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419A4H7 120361.39000000 PA USD 141678.34000000 0.003798840649 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 6.00000000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAF1 952000.00000000 PA USD 1030515.20000000 0.027631344575 Long DBT CORP US N 2 2030-04-01 Fixed 2.85000000 N N N N N N SRS DISTRIBUTION INC 549300ZQ3XP75BCYM468 78471RAB2 147000.00000000 PA USD 150307.50000000 0.004030215493 Long DBT CORP US N 2 2028-07-01 Fixed 4.62500000 N N N N N N Crown Point CLO Ltd N/A 22846FAC2 1370000.00000000 PA USD 1372759.18000000 0.036807979079 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 1.17000000 N N N N N N MILLICOM INTL CELLULAR 549300CTHC1CP86P2G96 600814AR8 480000.00000000 PA USD 496800.00000000 0.013320766142 Long DBT CORP LU N 2 2031-04-27 Fixed 4.50000000 N N N N N N One New York Plaza Trust 2020-1NYP N/A 68249DAJ8 160000.00000000 PA USD 161797.22000000 0.004338290922 Long ABS-MBS CORP US N 2 2026-01-15 Floating 2.82300000 N N N N N N MICHAELS COMPANIES, INC. 549300H9LWMBP7HYLR98 59408UAB3 187000.00000000 PA USD 188012.98000000 0.005041217669 Long LON CORP US N 2 2028-04-15 Floating 5.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 2280.97000000 0.000061159959 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 370500.00000000 USD 273855075.00000000 CLP 2021-07-14 2280.97000000 N N N BIOGEN INC W8J5WZB5IY3K0NDQT671 09062XAH6 1791000.00000000 PA USD 1795879.99000000 0.048153175053 Long DBT CORP US N 2 2030-05-01 Fixed 2.25000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BS2 2120000.00000000 PA USD 2524709.25000000 0.067695373382 Long DBT CORP US N 2 2049-07-01 Fixed 5.12500000 N N N N N N Everi Payments Inc. 5493006Q4MDLHOY1JV70 30034YAF9 138600.00000000 PA USD 144837.00000000 0.003883534230 Long LON CORP US N 2 2024-05-09 Floating 11.50000000 N N N N N N Neuberger Berman CLO Ltd 549300LGCRX4YI1JNS93 64133WAA3 680000.00000000 PA USD 679999.32000000 0.018232914490 Long ABS-CBDO CORP KY N 2 2035-07-16 Floating 1.24100000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -1511.38000000 -0.00004052483 N/A DFE XX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 532927.14000000 USD 448000.00000000 EUR 2021-07-20 -1511.38000000 N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBX0 373000.00000000 PA USD 394043.11000000 0.010565531639 Long DBT CORP US N 2 2030-01-31 Fixed 2.80000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 16939000000.00000000 PA 1158627.60000000 0.031066439826 Long DBT NUSS ID N 2 2031-02-15 Fixed 6.50000000 N N N N N N Ajax Mortgage Loan Trust N/A 00970DAA5 2685968.60000000 PA USD 2689874.54000000 0.072123972825 Long ABS-O CORP US N 2 2057-06-25 Variable 4.37500000 N N N N N N MGM GROWTH/MGM FINANCE N/A 55303XAJ4 530000.00000000 PA USD 589688.60000000 0.015811400840 Long DBT US N 2 2027-02-01 Fixed 5.75000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPBM4 430000.00000000 PA USD 444430.80000000 0.011916583641 Long DBT CORP US N 2 2026-02-15 Fixed 5.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRK3 7884798.90000000 PA USD 8620258.88000000 0.231136176784 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.00000000 N N N N N N Canyon Capital CLO Ltd N/A 13887TAJ6 460000.00000000 PA USD 460048.30000000 0.012335337798 Long ABS-CBDO CORP KY N 2 2032-04-15 Variable 1.00000000 N N N N N N Oak Hill Credit Partners N/A 67112RAU8 343000.00000000 PA USD 343034.30000000 0.009197825461 Long ABS-CBDO CORP KY N 2 2035-07-02 Floating 0.00000000 N N N N N N Morgan Stanley Capital I Trust N/A 61767YAZ3 38000.00000000 PA USD 43894.77000000 0.001176956453 Long ABS-MBS CORP US N 2 2051-07-15 Fixed 4.17700000 N N N N N N BB-UBS Trust N/A 05538UAJ2 330000.00000000 PA USD 279188.28000000 0.007485913421 Long ABS-MBS CORP US N 2 2036-11-05 Variable 4.16000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 250000.00000000 OU Notional Amount USD -21171.65000000 -0.00056767833 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 BEAZER HOMES USA BEAZER HOMES USA Y buy protection 2024-06-20 0.00000000 USD -9940.49000000 USD 250000.00000000 USD -11231.16000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBS4 1720000.00000000 PA USD 1721002.19000000 0.046145466391 Long DBT CORP US N 2 2024-09-16 Fixed 0.65300000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BK9 517000.00000000 PA USD 542208.92000000 0.014538321706 Long DBT NUSS PA N 2 2030-01-23 Fixed 3.16000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216DQ0 883000.00000000 PA USD 917673.62000000 0.024605707904 Long DBT CORP US N 2 2041-05-05 Fixed 2.87500000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFK5 343000.00000000 PA USD 380091.07000000 0.010191433688 Long DBT CORP US N 2 2049-09-01 Fixed 3.62500000 N N N N N N PulteGroup Inc N/A 745867AX9 40000.00000000 PA USD 46779.20000000 0.001254297068 Long DBT CORP US N 2 2027-01-15 Fixed 5.00000000 N N N N N Hanesbrands Inc GX5LWVWZLL5S4W1L2F20 410345AJ1 385000.00000000 PA USD 408100.00000000 0.010942440947 Long DBT CORP US N 2 2024-05-15 Fixed 4.62500000 N N N N N N Pacific Gas & Electric Company 8YQ2GSDWYZXO2EDN3511 69338CAH4 1363230.00000000 PA USD 1347041.64000000 0.036118411172 Long LON CORP US N 2 2025-06-23 Floating 3.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -2224000.00000000 OU Notional Amount USD -38584.18000000 -0.00103456287 N/A DFE LU N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD -38584.18000000 0.00000000 DFE ZA -2224000.00000000 USD -31358400.00000000 ZAR 2021-07-12 1.00000000 14.10000000 USD 2021-07-12 XXXX -25393.64000000 N N N Nomura Asset Acceptance Corporation N/A 65536PAE0 237594.04000000 PA USD 75655.24000000 0.002028554266 Long ABS-MBS CORP US N 2 2036-05-25 Variable 7.13400000 N N N N N N Nelnet Student Loan Trust N/A 64035DAJ5 3661000.00000000 PA USD 3733223.11000000 0.100099420300 Long ABS-O CORP US N 2 2062-04-20 Fixed 2.85000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBW4 5332000.00000000 PA USD 5623969.76000000 0.150796268044 Long DBT CORP US N 2 2040-04-01 Fixed 3.60000000 N N N N N N DELL INT LLC / EMC CORP N/A 24703TAK2 367000.00000000 PA USD 600266.46000000 0.016095026442 Long DBT CORP US N 2 2046-07-15 Fixed 8.35000000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12595JAQ7 3940000.00000000 PA USD 56522.45000000 0.001515544159 Long ABS-MBS CORP US N 2 2050-11-15 Variable 0.21800000 N N N N N N Extended Stay America Trust N/A 30227FAJ9 2096000.00000000 PA USD 2105021.18000000 0.056442219934 Long ABS-MBS CORP US N 2 2038-07-15 Floating 2.32500000 N N N N N N AT&T INC 549300Z40J86GGSTL398 000000000 850000.00000000 PA 1154158.31000000 0.030946604143 Long DBT CORP US N 2 2038-05-19 Fixed 2.60000000 N N N N N N Gilead Sciences Inc 549300WTZWR07K8MNV44 375558AX1 1258000.00000000 PA USD 1590327.62000000 0.042641671327 Long DBT CORP US N 2 2044-04-01 Fixed 4.80000000 N N N N N N EASTERN ENERGY GAS 549300BFOD6TDMVV4O24 257375AJ4 254000.00000000 PA USD 296323.21000000 0.007945354635 Long DBT CORP US N 2 2044-12-15 Fixed 4.60000000 N N N N N N Dupont De Nemours Inc 5493004JF0SDFLM8GD76 26078JAC4 2562000.00000000 PA USD 2913391.60000000 0.078117166233 Long DBT CORP US N 2 2025-11-15 Fixed 4.49300000 N N N N N N MEGLOBAL CANADA ULC 635400MHHHT7LMKMQL03 58518N2A9 325000.00000000 PA USD 400572.90000000 0.010740615788 Long DBT CORP CA N 2 2030-05-18 Fixed 5.87500000 N N N N N N MARRIOTT OWNERSHIP RESOR BW4532OH033VURR0IT68 57164PAG1 706000.00000000 PA USD 750795.70000000 0.020131187480 Long DBT CORP US N 2 2025-09-15 Fixed 6.12500000 N N N N N N NRG Energy Inc 5E2UPK5SW04M13XY7I38 629377CE0 357000.00000000 PA USD 380205.00000000 0.010194488508 Long DBT CORP US N 2 2028-01-15 Fixed 5.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DQE0 122352.19000000 PA USD 130125.81000000 0.003489081087 Long ABS-MBS USGA US N 2 2043-03-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402DGM6 93794.40000000 PA USD 107952.86000000 0.002894554755 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N UBS Commercial Mortgage Trust N/A 90278PBB5 7299378.12000000 PA USD 478580.81000000 0.012832252516 Long ABS-MBS CORP US N 2 2052-12-15 Variable 1.17000000 N N N N N N HUNTINGTON INGALLS INDUS 5TZLZ6WJTBVJ0QWBG121 446413AT3 1224000.00000000 PA USD 1397944.35000000 0.037483272476 Long DBT CORP US N 2 2030-05-01 Fixed 4.20000000 N N N N N N ITAU UNIBANCO HLDG SA/KY 5493002W2IVG62O3ZJ94 46556JAB5 701000.00000000 PA USD 720978.50000000 0.019331694831 Long DBT CORP BR N 2 2025-01-24 Fixed 3.25000000 N N N N N N Loanpal Solar Loan Ltd. N/A 53948PAA6 1135857.07000000 PA USD 1152096.53000000 0.030891321355 Long ABS-O CORP US N 2 2048-01-20 Fixed 2.29000000 N N N N N N Octagon Investment Partners XVII Ltd 54930007Y57X4ONHQV20 67590GBG3 3670000.00000000 PA USD 3671295.51000000 0.098438947117 Long ABS-CBDO CORP KY N 2 2031-01-25 Floating 1.17600000 N N N N N N STARBUCKS CORP OQSJ1DU9TAOC51A47K68 855244AZ2 2171000.00000000 PA USD 2249484.41000000 0.060315732218 Long DBT CORP US N 2 2030-11-15 Fixed 2.55000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307MNP7 1928383.86000000 PA USD 2046119.74000000 0.054862887591 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KXB5 119508.37000000 PA USD 136074.41000000 0.003648581710 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZL7 41246000.00000000 PA USD 40802927.63000000 1.094054462320 Long DBT UST US N 2 2025-04-30 Fixed 0.37500000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCK0 2117000.00000000 PA USD 2339270.01000000 0.062723165754 Long DBT CORP US N 2 2025-04-09 Fixed 4.35000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202E7F0 169327.07000000 PA USD 185111.25000000 0.004963413187 Long ABS-MBS USGA US N 2 2039-07-20 Fixed 4.00000000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 539830BD0 280000.00000000 PA USD 325800.03000000 0.008735720629 Long DBT CORP US N 2 2045-03-01 Fixed 3.80000000 N N N N N N GREAT CANADIAN GAMING CORP N/A 000000000 139000.00000000 PA USD 139369.18000000 0.003736924827 Long LON CORP CA N 2 2026-11-01 None 0.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MFCX4 1111256.46000000 PA USD 1168406.74000000 0.031328649240 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 2.50000000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36192QAL8 250000.00000000 PA USD 234551.20000000 0.006289053308 Long ABS-MBS CORP US N 2 2030-12-10 Variable 3.57300000 N N N N N N American Rock Salt Company LLC N/A 02932JAP2 218000.00000000 PA USD 218817.50000000 0.005867183464 Long LON CORP US N 2 2028-06-04 Floating 4.75000000 N N N N N N Duke Energy Ohio Inc L6KC0HABGHNFU1Z6QY21 26442EAF7 921000.00000000 PA USD 1025640.73000000 0.027500644747 Long DBT CORP US N 2 2029-02-01 Fixed 3.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHD25 482079.71000000 PA USD 507528.37000000 0.013608427390 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FNBD5 256813.22000000 PA USD 284187.05000000 0.007619946122 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 60186.37000000 0.001613785345 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 1810749.03000000 USD 37538457.00000000 MXN 2021-08-24 60186.37000000 N N N Rockford Tower CLO Ltd N/A 77341KAA9 1260000.00000000 PA USD 1261872.36000000 0.033834755654 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 1.25300000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AU2 6277000.00000000 PA USD 6906846.55000000 0.185194218344 Long DBT CORP US N 2 2029-07-01 Fixed 3.50000000 N N N N N N Benefit Street Partners CLO Ltd 549300O9WKD0C6OLPZ76 08180NAN4 3800000.00000000 PA USD 3809614.00000000 0.102147699650 Long ABS-CBDO CORP KY N 2 2029-10-18 Floating 1.43000000 N N N N N N Silver Creek CLO 549300LSJSAR2PPV4U78 827551AL6 1830000.00000000 PA USD 1830168.36000000 0.049072553793 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.42800000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DCD5 54000.00000000 PA USD 59602.50000000 0.001598129959 Long DBT CORP US N 2 2029-09-01 Fixed 5.25000000 N N N N N N OZLM Ltd 549300Y1XB6AVMQY8652 67110HAW8 2570000.00000000 PA USD 2576121.74000000 0.069073903487 Long ABS-CBDO CORP KY N 2 2029-01-15 Floating 1.88400000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 35564KDX4 1160000.00000000 PA USD 1194550.72000000 0.032029651341 Long ABS-MBS USGSE US N 2 2033-08-25 Floating 3.41800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312938GD9 125693.64000000 PA USD 140291.23000000 0.003761647879 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.50000000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HT0 2744000.00000000 PA USD 868503.44000000 0.023287301163 Long DBT NUSS AR N 2 2035-07-09 Variable 0.12500000 N N N N N N BX Commercial Mortgage Trust 2019-XL N/A 056054AL3 4049253.15000000 PA USD 4053101.16000000 0.108676354073 Long ABS-MBS CORP US N 2 2036-10-15 Floating 2.72300000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17312TAJ2 2061689.09000000 PA USD 1647363.39000000 0.044170979206 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.29200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 3284.56000000 0.000088069355 N/A DFE CL N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 186000.00000000 USD 139053600.00000000 CLP 2021-07-14 3284.56000000 N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AD9 90000.00000000 PA USD 94203.00000000 0.002525877884 Long DBT CORP US N 2 2028-01-15 Fixed 4.75000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 2532.91000000 0.000067915261 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 3953515.00000000 MXN 199578.07000000 USD 2021-08-24 2532.91000000 N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 68233JBK9 10000.00000000 PA USD 12565.48000000 0.000336919928 Long DBT CORP US N 2 2029-03-15 Fixed 5.75000000 N N N N N N Anchorage Capital CLO LTD 549300PKM3N9LK4JM015 03329KAS2 1050000.00000000 PA USD 1052241.75000000 0.028213901523 Long ABS-CBDO CORP KY N 2 2028-07-28 Floating 1.78400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J7R64 1133174.35000000 PA USD 1235957.15000000 0.033139887594 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4.50000000 N N N N N N Hyundai Capital America 549300RIPPWJB5Z0FK07 44891AAY3 965000.00000000 PA USD 984071.06000000 0.026386031517 Long DBT CORP US N 2 2022-02-01 Fixed 3.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FL48 17386.07000000 PA USD 18216.88000000 0.000488451687 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177Q3X9 77309.51000000 PA USD 82361.24000000 0.002208363158 Long ABS-MBS USGA US N 2 2042-04-15 Fixed 3.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 2179.13000000 0.000058429309 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 689002.22000000 CAD 558000.00000000 USD 2021-07-14 2179.13000000 N N N CITY BREWING COMPANY, LLC N/A 17776EAB1 351000.00000000 PA USD 352755.00000000 0.009458467915 Long LON CORP US N 2 2028-04-05 Floating 4.25000000 N N N N N N Cox Communications Inc 5493001NEDZNIFRP2R92 224044CH8 1381000.00000000 PA USD 1473212.53000000 0.039501448450 Long DBT CORP US N 2 2024-08-15 Fixed 3.15000000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAG8 533000.00000000 PA USD 547017.69000000 0.014667259911 Long DBT CORP US N 2 2025-06-01 Fixed 1.65000000 N N N N N N 522 Funding CLO LTD N/A 33834WAE2 625000.00000000 PA USD 624683.13000000 0.016749713944 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 2.58800000 N N N N N N MEDTRONIC GLOBAL HLDINGS 549300JXMTTP8GKYIX14 000000000 700000.00000000 PA 881876.76000000 0.023645881816 Long DBT CORP LU N 2 2049-07-02 Fixed 1.75000000 N N N N N N Park Avenue Trust N/A 90187LAC3 5000000.00000000 PA USD 51103.00000000 0.001370231707 Long ABS-MBS CORP US N 2 2037-06-05 Variable 0.27100000 N N N N N N FEL ENERGY VI SARL N/A 000000000 952843.10000000 PA USD 1010013.69000000 0.027081634792 Long DBT CORP LU Y 2 2040-12-01 Fixed 5.75000000 N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAK2 2266000.00000000 PA USD 2684729.29000000 0.071986012535 Long DBT CORP US N 2 2048-07-24 Fixed 4.03200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414J6R9 173843.28000000 PA USD 200641.36000000 0.005379824144 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 254687FS0 506000.00000000 PA USD 674741.36000000 0.018091932091 Long DBT CORP US N 2 2050-03-23 Fixed 4.70000000 N N N N N N INTERPUBLIC GROUP COS 5493008IUOJ5VWTRC333 460690BR0 738000.00000000 PA USD 871240.67000000 0.023360694884 Long DBT CORP US N 2 2030-03-30 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJQF8 649085.55000000 PA USD 691730.63000000 0.018547467704 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 3.00000000 N N N N N N Molina Healthcare Inc 549300NQQCEQ46YHZ591 60855RAG5 283000.00000000 PA USD 296088.75000000 0.007939068027 Long DBT CORP US N 2 2022-11-15 Fixed 5.37500000 N N N N N N LoanCore 2018-CRE1 Issuer, Ltd. N/A 53946MAA5 249239.06000000 PA USD 249239.11000000 0.006682882242 Long ABS-CBDO CORP KY N 2 2028-05-15 Floating 1.20300000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 540000.00000000 OU Notional Amount USD -1621.76000000 -0.00004348447 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1561.93000000 USD 540000.00000000 USD -59.83000000 N N N AT&T INC 549300Z40J86GGSTL398 00206RMD1 1403000.00000000 PA USD 1407704.03000000 0.037744960107 Long DBT CORP US N 2 2055-09-15 Fixed 3.55000000 N N N N N N City of San Antonio TX Electric & Gas Systems Revenue 5493002G2FEH20Q4GQ04 796253Y30 875000.00000000 PA USD 1252317.15000000 0.033578550505 Long DBT MUN US N 2 2041-02-01 Fixed 5.80800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XFAL9 327298.22000000 PA USD 344366.46000000 0.009233544848 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 3.00000000 N N N N N N ACProducts, Inc. N/A 00488YAB2 759000.00000000 PA USD 756390.56000000 0.020281203224 Long LON CORP US N 2 2028-05-05 Floating 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JHYV9 1174182.60000000 PA USD 1292765.26000000 0.034663091194 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -6807.41000000 -0.00018252801 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1874164.70000000 BRL 370000.00000000 USD 2021-07-02 -6807.41000000 N N N Shackleton CLO LTD 549300TCSL4JHWNE1X86 81882LAN6 216758.88000000 PA USD 216940.09000000 0.005816844214 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 1.31800000 N N N N N N AMER AIRLINE 17-1B PTT N/A 02378WAA7 306087.50000000 PA USD 301476.60000000 0.008083533184 Long DBT CORP US N 2 2026-08-15 Fixed 4.95000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200JZ5 2645000.00000000 PA USD 2909661.48000000 0.078017150016 Long DBT CORP US N 2 2026-05-15 Fixed 3.30000000 N N N N N N Freddie Mac - STACR N/A 35564KBD0 1400000.00000000 PA USD 1386969.78000000 0.037189009834 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 2.66800000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -4046000.00000000 NC USD -27797.23000000 -0.00074533091 N/A DIR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 4046000.00000000 OU Notional Amount N/A -27797.23000000 0.00000000 DIR US N/A N/A 2031-10-22 0.00000000 N/A 0.00000000 N/A 4046000.00000000 USD 1.00000000 0.01720000 USD 2021-10-20 XXXX 45533.10000000 N N N TRANSCONT GAS PIPE LINE N/A 893574AR4 686000.00000000 PA USD 766533.12000000 0.020553157068 Long DBT CORP US N 2 2050-05-15 Fixed 3.95000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 661.74000000 0.000017743324 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1843266.00000000 BRL 370000.00000000 USD 2021-08-03 661.74000000 N N N Atrium Hotel Portfolio Trust N/A 04965JAG8 1540000.00000000 PA USD 1528375.62000000 0.040980543904 Long ABS-MBS CORP US N 2 2036-12-15 Floating 2.02300000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFH7 471000.00000000 PA USD 516326.76000000 0.013844339820 Long DBT CORP US N 2 2024-08-26 Fixed 4.20000000 N N N N N N Bausch Health Cos Inc B3BS7ACMDUWISF18KY76 91911KAN2 616000.00000000 PA USD 632016.00000000 0.016946331187 Long DBT CORP CA N 2 2025-11-01 Fixed 5.50000000 N N N N N N HERC HOLDINGS INC 549300TP80QLITMSBP82 42704LAA2 553000.00000000 PA USD 582983.66000000 0.015631620369 Long DBT CORP US N 2 2027-07-15 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERHD5 69054.56000000 PA USD 73268.11000000 0.001964547824 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 3.00000000 N N N N N N WASTE MANAGEMENT INC 549300YX8JIID70NFS41 94106LBR9 496000.00000000 PA USD 510970.88000000 0.013700731880 Long DBT CORP US N 2 2041-06-01 Fixed 2.95000000 N N N N N N UMBS, TBA N/A 01F020687 -3379000.00000000 PA USD -3405134.47000000 -0.09130233485 Short ABS-MBS USGSE US N 2 2051-08-15 Fixed 2.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -5716.96000000 -0.00015328962 N/A DFE TR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 345000.00000000 USD 2997705.00000000 TRY 2021-07-30 -5716.96000000 N N N AFFINITY GAMING N/A 00842XAA7 353000.00000000 PA USD 374621.25000000 0.010044770658 Long DBT CORP US N 2 2027-12-15 Fixed 6.87500000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967LP4 5327000.00000000 PA USD 5875045.28000000 0.157528390197 Long DBT CORP US N 2 2028-07-24 Fixed 3.66800000 N N N N N N Capital Four CLO 213800PN6YNVO1EZOF27 000000000 100000.00000000 PA 117110.14000000 0.003140090152 Long ABS-CBDO CORP IE Y 2 2033-01-15 Floating 6.47000000 N N N N N N SIMPAR EUROPE SA 54930068BSUST41D5C30 82883PAA2 520000.00000000 PA USD 533785.20000000 0.014312455353 Long DBT CORP LU N 2 2031-01-26 Fixed 5.20000000 N N N N N N Hanesbrands Inc GX5LWVWZLL5S4W1L2F20 410345AL6 80000.00000000 PA USD 86400.00000000 0.002316654981 Long DBT CORP US N 2 2026-05-15 Fixed 4.87500000 N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFL3 2352000.00000000 PA USD 2247292.02000000 0.060256947366 Long DBT CORP US N 2 2030-09-18 Fixed 1.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 -1729000.00000000 OU Notional Amount USD -1.73000000 -0.00000004638 N/A DFE LU N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Put Written BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC USD -1.73000000 0.00000000 DFE ZA -1729000.00000000 USD -23341500.00000000 ZAR 2021-07-08 1.00000000 13.50000000 USD 2021-07-08 XXXX 8642.86000000 N N N LAMB WESTON HLD 5493005SMYID1D2OY946 513272AB0 358000.00000000 PA USD 370082.50000000 0.009923072535 Long DBT CORP US N 2 2026-11-01 Fixed 4.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176Q4Q4 92930.77000000 PA USD 99173.33000000 0.002659148020 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 3.50000000 N N N N N N Ajax Mortgage Loan Trust N/A 00970CAA7 4485238.97000000 PA USD 4514329.78000000 0.121043339952 Long ABS-O CORP US N 2 2060-06-25 Variable 2.25000000 N N N N N N BRISTOW GROUP INC 5493005Q24EN3UC1PV68 11040GAA1 440000.00000000 PA USD 448800.00000000 0.012033735597 Long DBT CORP US N 2 2028-03-01 Fixed 6.87500000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 2956000.00000000 OU Notional Amount USD 28232.76000000 0.000757008843 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Purchased Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD 28232.76000000 0.00000000 DFE US 14839120.00000000 BRL 2956000.00000000 USD 2021-07-02 1.00000000 5.02000000 USD 2021-07-02 XXXX 19157.84000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2500000.00000000 OU Notional Amount -228974.05000000 -0.00613951242 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2040-12-15 131.94000000 GBP 0.00000000 GBP 2500000.00000000 GBP -229151.27000000 N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 -91.00000000 NC USD -45045.00000000 -0.00120779772 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Written Caesars Entertainment Inc Caesars Entertainment Inc 100.00000000 130.00000000 USD 2021-12-17 XXXX -7483.56000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFV1 402000.00000000 PA USD 375222.41000000 0.010060889643 Long DBT CORP US N 2 2060-11-20 Fixed 3.00000000 N N N N N N Arbour CLO 635400YH93RIIHDLXQ91 000000000 250000.00000000 PA 296557.89000000 0.007951647142 Long ABS-CBDO CORP IE N 2 2033-07-15 Floating 2.90000000 N N N N N N PulteGroup Inc N/A 745867AW1 42000.00000000 PA USD 49035.00000000 0.001314782141 Long DBT CORP US N 2 2026-03-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9DQ4 1874666.73000000 PA USD 1965668.47000000 0.052705736719 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 3.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 12518.97000000 0.000335672849 N/A DFE ID N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 685000.00000000 USD 10114025000.00000000 IDR 2021-07-01 12518.97000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAP8 3887000.00000000 PA USD 4090986.65000000 0.109692182882 Long DBT CORP US N 2 2025-05-15 Fixed 2.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKLH6 547235.40000000 PA USD 580130.08000000 0.015555106940 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202E4F3 23793.14000000 PA USD 25923.72000000 0.000695096239 Long ABS-MBS USGA US N 2 2039-04-20 Fixed 4.00000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RHJ4 2567000.00000000 PA USD 2972218.89000000 0.079694510381 Long DBT CORP US N 2 2029-03-01 Fixed 4.35000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 210000.00000000 OU Notional Amount USD 3597.31000000 0.000096455163 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Markit CMBX.NA.BBB-.14 137BERAN7 Y buy protection 2072-12-16 10632.41000000 USD 0.00000000 USD 210000.00000000 USD -7035.10000000 N N N Anchorage Capital Europe CLO 635400HYNZWTWNENDW97 000000000 264000.00000000 PA 314933.76000000 0.008444361850 Long ABS-CBDO CORP IE N 2 2034-04-15 Floating 2.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CQB3 322117.53000000 PA USD 344931.09000000 0.009248684350 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410K3E2 79671.55000000 PA USD 93088.19000000 0.002495986331 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N Northwest Pipeline LLC 549300FFKMN9OW536A14 66775VAB1 2329000.00000000 PA USD 2605551.91000000 0.069863018648 Long DBT CORP US N 2 2027-04-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8D36 2015014.82000000 PA USD 2216120.71000000 0.059421146781 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.50000000 N N N N N N AEP TRANSMISSION CO LLC 549300X123Z1I0LA3Y84 00115AAL3 730000.00000000 PA USD 760327.76000000 0.020386771905 Long DBT CORP US N 2 2049-09-15 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFGY6 407527.13000000 PA USD 428035.93000000 0.011476985756 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 3239000.00000000 OU Notional Amount USD 57466.66000000 0.001540861390 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Broadcom Inc Broadcom Inc Y sell protection 2024-06-20 0.00000000 USD -147382.71000000 USD 3239000.00000000 USD 204849.37000000 N N N Los Angeles Unified School District/CA N/A 544646ZR6 2020000.00000000 PA USD 2899586.17000000 0.077746999355 Long DBT MUN US N 2 2034-07-01 Fixed 6.75800000 N N N N N N TRUST F/1401 N/A 898324AC2 330000.00000000 PA USD 371250.00000000 0.009954376872 Long DBT MX N 2 2026-01-30 Fixed 5.25000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 505000.00000000 OU Notional Amount USD 8753.61000000 0.000234711738 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y buy protection 2026-06-20 8629.50000000 USD 0.00000000 USD 505000.00000000 USD 124.11000000 N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AD9 861000.00000000 PA USD 856702.81000000 0.022970889262 Long DBT CORP US N 2 2023-01-13 Floating 2.28800000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GF4 104285.71000000 PA USD 104339.46000000 0.002797668168 Long DBT CORP US N 2 2022-02-01 Fixed 1.84500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FSK5 386749.83000000 PA USD 411153.25000000 0.011024308155 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691MAQ0 120000.00000000 PA USD 119471.03000000 0.003203393018 Long ABS-MBS CORP US N 2 2035-07-15 Floating 2.62300000 N N N N N N Arbor Multifamily Mortgage Securities Trust N/A 03881BAS2 126000.00000000 PA USD 104753.25000000 0.002808763176 Long ABS-MBS CORP US N 2 2053-05-15 Fixed 1.75000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -268930.23000000 -0.00721086292 N/A DFE CN N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 26087436.80000000 USD 167677000.00000000 CNY 2021-09-15 -268930.23000000 N N N BSST Mortgage Trust N/A 05601PAQ9 576000.00000000 PA USD 577436.83000000 0.015482892460 Long ABS-MBS CORP US N 2 2036-04-15 Floating 2.97300000 N N N N N N Credit-Based Asset Servicing and Securitization N/A 12498NAD5 166936.83000000 PA USD 168105.97000000 0.004507448296 Long ABS-O CORP US N 2 2036-12-25 Variable 3.11400000 N N N N N N Trinitas CLO Ltd 635400UFTIJ9NEWTCB16 89640XBM7 160000.00000000 PA USD 159804.16000000 0.004284850732 Long ABS-CBDO CORP KY N 2 2031-10-18 Floating 1.53100000 N N N N N N Velocity Commercial Capital Loan Trust N/A 92257LAD2 150000.00000000 PA USD 151696.17000000 0.004067450091 Long ABS-MBS CORP US N 2 2047-05-25 Variable 4.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MKSW7 30784.31000000 PA USD 32670.63000000 0.000876002057 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828H86 14845000.00000000 PA USD 14970254.69000000 0.401399480306 Long DBT UST US N 2 2022-01-31 Fixed 1.50000000 N N N N N N OCTAGON INVESTMENT PARTNERS 24 LTD N/A 67573ABU6 560000.00000000 PA USD 559552.56000000 0.015003359090 Long ABS-CBDO CORP KY N 2 2031-04-21 Floating 1.88600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138Y1XZ3 172080.40000000 PA USD 182072.49000000 0.004881934501 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 3.00000000 N N N N N N FIDELITY NATL INFO SERV 6WQI0GK1PRFVBA061U48 000000000 900000.00000000 PA 1302243.91000000 0.034917243529 Long DBT CORP US N 2 2039-05-21 Fixed 2.95000000 N N N N N N BB-UBS Trust N/A 05538UAL7 85480000.00000000 PA USD 1719139.57000000 0.046095523707 Long ABS-MBS CORP US N 2 2036-11-05 Variable 0.73000000 N N N N N N BHMS Mortgage Trust N/A 05549GAA9 260000.00000000 PA USD 260158.76000000 0.006975672306 Long ABS-MBS CORP US N 2 2035-07-15 Floating 1.32300000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1960000.00000000 OU Notional Amount USD -21150.85000000 -0.00056712062 N/A DCR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Markit CMBX.NA.AAA.9 137BENAI7 Y buy protection 2058-09-17 26422.91000000 USD 0.00000000 USD 1960000.00000000 USD -47573.76000000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBQ2 1972000.00000000 PA USD 1990326.60000000 0.053366898521 Long DBT CORP US N 2 2030-08-15 Fixed 2.65000000 N N N N N Gracie Point International Funding N/A 38411EAC6 160000.00000000 PA USD 159999.95000000 0.004290100476 Long ABS-O CORP US N 2 2023-11-01 Floating 2.51000000 N N N N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 000000000 1.00000000 NC 25.38000000 0.000000680517 N/A DFE US N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 9000.00000000 EUR 10699.84000000 USD 2021-07-14 25.38000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 45.25000000 0.000001213294 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 626167200.00000000 KRW 556000.00000000 USD 2021-07-23 45.25000000 N N N University of California N/A 91412GHA6 239000.00000000 PA USD 336499.55000000 0.009022608318 Long DBT MUN US N 2 2112-05-15 Fixed 4.85800000 N N N N N N Credit Suisse Mortgage Trust N/A 12657XAA6 8074002.93000000 PA USD 8071621.10000000 0.216425477178 Long ABS-MBS CORP US N 2 2066-09-27 Variable 2.46500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFG91 559817.13000000 PA USD 592456.48000000 0.015885616384 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M1YD4 77066.06000000 PA USD 83511.01000000 0.002239192098 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196FZH0 393293.72000000 PA USD 422490.56000000 0.011328296994 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHV4 2381000.00000000 PA USD 2563294.41000000 0.068729962539 Long DBT CORP US N 2 2030-07-23 Fixed 3.19400000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GQ0 966000.00000000 PA USD 1089464.96000000 0.029211972528 Long DBT CORP US N 2 2029-03-01 Fixed 4.20000000 N N N N N N EMBRAER NETHERLANDS FINA 724500PBR8LR26XBSP67 29082HAC6 205000.00000000 PA USD 234468.75000000 0.006286842565 Long DBT CORP NL N 2 2028-01-17 Fixed 6.95000000 N N N N N N Elmwood CLO II Ltd. N/A 29001LAN1 250000.00000000 PA USD 250223.50000000 0.006709276825 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.83800000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DA2 1176000.00000000 PA USD 1427359.50000000 0.038271984904 Long DBT CORP US N 2 2044-07-16 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A5H40 516487.48000000 PA USD 546120.47000000 0.014643202629 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AF8 90000.00000000 PA USD 96075.00000000 0.002576072075 Long DBT CORP US N 2 2030-01-15 Fixed 4.87500000 N N N N N N Madison Park Funding Ltd 549300FNRP3W5DX0O430 55819YAA8 2030000.00000000 PA USD 2030730.80000000 0.054450261845 Long ABS-CBDO CORP KY N 2 2030-07-29 Floating 1.37700000 N N N N N N Pfizer Inc 765LHXWGK1KXCLTFYQ30 717081ET6 791000.00000000 PA USD 889661.79000000 0.023854622887 Long DBT CORP US N 2 2029-03-15 Fixed 3.45000000 N N N N N N State of California N/A 13063A5G5 780000.00000000 PA USD 1329899.14000000 0.035658766982 Long DBT MUN US N 2 2039-04-01 Fixed 7.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CR89 833233.68000000 PA USD 881299.86000000 0.023630413317 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N NRG Energy Inc 5E2UPK5SW04M13XY7I38 629377CL4 1196000.00000000 PA USD 1320119.91000000 0.035396555154 Long DBT CORP US N 2 2029-06-15 Fixed 4.45000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GU1 1858000.00000000 PA USD 1826845.22000000 0.048983449987 Long DBT CORP US N 2 2030-06-01 Fixed 2.25000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1478000.00000000 OU Notional Amount USD 37235.25000000 0.000998393835 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Put Purchased BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC USD 37235.25000000 0.00000000 DFE US 7463900.00000000 BRL 1478000.00000000 USD 2021-08-02 1.00000000 5.05000000 USD 2021-08-02 XXXX 17357.37000000 N N N CEDAR FAIR LP 549300TUVLNQQ6BVKH61 150190AE6 451000.00000000 PA USD 464530.00000000 0.012455506232 Long DBT CORP US N 2 2029-07-15 Fixed 5.25000000 N N N N N N ASHTON WOODS USA/FINANCE N/A 045086AK1 1207000.00000000 PA USD 1285455.00000000 0.034467080196 Long DBT CORP US N 2 2028-01-15 Fixed 6.62500000 N N N N N N Conseco Financial Corp N/A 393505N99 193352.12000000 PA USD 201492.77000000 0.005402653117 Long ABS-O CORP US N 2 2030-09-01 Fixed 6.28000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HBRA8 59319.86000000 PA USD 64543.94000000 0.001730625464 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.50000000 N N N N N N American Municipal Power Inc EARKGGZJJEMVD66XQ486 02765UEK6 510000.00000000 PA USD 958585.04000000 0.025702671387 Long DBT MUN US N 2 2050-02-15 Fixed 8.08400000 N N N N N N SUZANO AUSTRIA GMBH 254900287ZNSGVP1R341 86964WAJ1 135000.00000000 PA USD 141581.25000000 0.003796237361 Long DBT CORP AT N 2 2031-01-15 Fixed 3.75000000 N N N N N N Madison Park Euro Funding 635400X2NOVLPNW79680 000000000 250000.00000000 PA 295250.60000000 0.007916594597 Long ABS-CBDO CORP IE N 2 2034-05-25 Floating 3.20000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 7798600.00000000 OU Notional Amount USD 240697.39000000 0.006453851938 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 FED REPUBLIC OF BRAZIL FED REPUBLIC OF BRAZIL Y buy protection 2026-06-20 428092.51000000 USD 0.00000000 USD 7798600.00000000 USD -187395.12000000 N N N Baidu Inc 254900AL64IANZYI1E02 056752AM0 606000.00000000 PA USD 659381.93000000 0.017680097600 Long DBT CORP KY N 2 2024-05-14 Fixed 4.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307NN26 150581.40000000 PA USD 158565.83000000 0.004251647221 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140E0V36 98619.63000000 PA USD 104687.39000000 0.002806997262 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Freddie Mac - STACR N/A 35564KFG9 1148271.00000000 PA USD 1191584.70000000 0.031950123042 Long ABS-MBS USGSE US N 2 2033-10-25 Floating 3.51800000 N N N N N N Ajax Mortgage Loan Trust N/A 00969KAA2 1132865.18000000 PA USD 1140987.71000000 0.030593459050 Long ABS-O CORP US N 2 2058-06-25 Variable 4.37500000 N N N N N N ALLEGIANT TRAVEL CO 549300JM9OZXOHWL2K18 01748XAC6 892000.00000000 PA USD 963360.00000000 0.025830703041 Long DBT CORP US N 2 2024-02-05 Fixed 8.50000000 N N N N N N TEXTRON INC 3PPKBHUG1HD6BO7RNR87 883203CC3 446000.00000000 PA USD 446374.61000000 0.011968703284 Long DBT CORP US N 2 2031-03-15 Fixed 2.45000000 N N N N N N MASTR Resecuritization Trust N/A 57643EAA0 315718.45000000 PA USD 184012.77000000 0.004933959493 Long ABS-MBS CORP US N 2 2037-08-25 Variable 0.52600000 N N N N N N Science Strategic Acquisition Corp Alpha N/A 808641203 27544.00000000 NS USD 273787.36000000 0.007341097816 Long EC CORP US Y 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FBD72 2588634.09000000 PA USD 2729902.43000000 0.073197246097 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 3.00000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 29429CAH8 10000.00000000 PA USD 10565.70000000 0.000283299554 Long ABS-MBS CORP US N 2 2049-04-15 Variable 5.04900000 N N N N N N FIDELITY NATL INFO SERV 6WQI0GK1PRFVBA061U48 000000000 470000.00000000 PA 591108.53000000 0.015849473616 Long DBT CORP US N 2 2027-05-21 Fixed 1.50000000 N N N N N N COMM Mortgage Trust N/A 12592TAC9 60958000.00000000 PA USD 207866.78000000 0.005573560316 Long ABS-MBS CORP US N 2 2035-02-10 Variable 0.16800000 N N N N N N Chesapeake Energy Corp X2MT1W32SPAZ9WSKLE78 165167180 1473.00000000 NS USD 30726.78000000 0.000823881341 N/A DE US N 1 N/A N/A Call Purchased Chesapeake Energy Corp Chesapeake Energy Corp 1.00000000 36.18000000 USD 2026-02-09 XXXX -408851.92000000 N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174468G7 9249000.00000000 PA USD 10829568.08000000 0.290374685619 Long DBT CORP US N 2 2030-01-23 Fixed 4.43100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELS87 272780.72000000 PA USD 323177.06000000 0.008665390577 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 6.00000000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAJ3 610000.00000000 PA USD 686689.81000000 0.018412307510 Long DBT CORP US N 2 2028-09-21 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WEW8 96642.76000000 PA USD 106661.23000000 0.002859922104 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.50000000 N N N N N N Johnson & Johnson 549300G0CFPGEF6X2043 478160BV5 291000.00000000 PA USD 346103.07000000 0.009280108809 Long DBT CORP US N 2 2046-03-01 Fixed 3.70000000 N N N N N N Ajax Mortgage Loan Trust N/A 009703AA7 9945000.00000000 PA USD 9883368.85000000 0.265004116644 Long ABS-MBS CORP US N 2 2061-06-25 Variable 1.97500000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BA1 3637000.00000000 PA USD 5008809.66000000 0.134301896401 Long DBT CORP US N 2 2045-10-23 Fixed 6.48400000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -2023000.00000000 NC USD -63146.12000000 -0.00169314552 N/A DIR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 2023000.00000000 OU Notional Amount N/A -63146.12000000 0.00000000 DIR US N/A N/A 2031-11-05 0.00000000 N/A 0.00000000 N/A 2023000.00000000 USD 1.00000000 0.01747500 USD 2021-11-03 XXXX -18440.43000000 N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932AH0 1223000.00000000 PA USD 1330012.50000000 0.035661806519 Long DBT CORP US N 2 2027-07-15 Fixed 4.40000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128287F1 9024000.00000000 PA USD 9036747.84000000 0.242303552060 Long DBT UST US N 2 2021-07-31 Fixed 1.75000000 N N N N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 68233JBR4 937000.00000000 PA USD 985063.70000000 0.026412647308 Long DBT CORP US N 2 2049-09-15 Fixed 3.10000000 N N N N N N Oakwood Mortgage Investors Inc. N/A 67087TDS7 821403.74000000 PA USD 709522.14000000 0.019024513888 Long ABS-O CORP US N 2 2032-06-15 Variable 7.62000000 N N N N N N VICI Properties 1 LLC 549300XI4XP4JVS3XU20 92565EAB9 1487000.00000000 PA USD 1476311.44000000 0.039584539946 Long LON CORP US N 2 2024-12-20 Floating 1.84100000 N N N N N N International Paper Co 824LMFJDH41EY779Q875 460146CH4 367000.00000000 PA USD 521546.32000000 0.013984292594 Long DBT CORP US N 2 2041-11-15 Fixed 6.00000000 N N N N N N Palmer Square CLO Ltd 549300EYS8N79JYSXL17 69688MAA3 1240000.00000000 PA USD 1240395.56000000 0.033258895287 Long ABS-CBDO CORP KY N 2 2031-07-16 Floating 1.28400000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 873000.00000000 OU Notional Amount USD -2621.85000000 -0.00007030002 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 209.47000000 USD 0.00000000 USD 873000.00000000 USD -2831.32000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -2024.17000000 -0.00005427434 N/A DFE XX N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 713741.70000000 USD 600000.00000000 EUR 2021-07-20 -2024.17000000 N N N TARGA RESOURCES PARTNERS N/A 87612BBN1 349000.00000000 PA USD 393193.87000000 0.010542760851 Long DBT CORP US N 2 2029-01-15 Fixed 6.87500000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAN1 2982000.00000000 PA USD 3163780.84000000 0.084830887067 Long DBT US N 2 2029-11-15 Fixed 3.10000000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YBL2 1417000.00000000 PA USD 1386130.37000000 0.037166502619 Long DBT CORP JP N 2 2031-09-08 Fixed 1.97900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LVF0 492972.54000000 PA USD 568911.76000000 0.015254308596 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 5.00000000 N N N N N N Mosaic Solar Loans LLC N/A 61946NAB4 331001.60000000 PA USD 346539.15000000 0.009291801482 Long ABS-O CORP US N 2 2046-04-20 Fixed 3.10000000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAC9 5159000.00000000 PA USD 5260838.66000000 0.141059584344 Long DBT US N 2 2025-02-15 Fixed 3.50000000 N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109AX2 920000.00000000 PA USD 1002283.63000000 0.026874367639 Long DBT US N 2 2031-01-15 Fixed 3.25000000 N N N N N N Euro Galaxy CLO BV 54930001WDIPHC36X292 000000000 220000.00000000 PA 260664.16000000 0.006989223665 Long ABS-CBDO CORP IE Y 2 2031-04-11 Floating 0.71000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 -34411000.00000000 NC USD -947568.82000000 -0.02540729197 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A 34411000.00000000 OU Notional Amount N/A -947568.82000000 -0.03000000 DIR US N/A N/A 2031-11-05 0.00000000 N/A 0.00000000 N/A 34411000.00000000 USD 1.00000000 0.01695000 USD 2021-11-03 XXXX -306663.94000000 N N N Morgan Stanley Capital I Trust N/A 61691JAA2 1190000.00000000 PA USD 128940.07000000 0.003457287678 Long ABS-MBS CORP US N 2 2050-06-15 Variable 2.32300000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 556.00000000 NC USD 111200.00000000 0.002981620762 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Purchased Devon Energy Corp Devon Energy Corp 100.00000000 35.00000000 USD 2022-01-21 XXXX -1408.60000000 N N N BX Trust N/A 12434AAA6 2861000.00000000 PA USD 2860999.43000000 0.076712367834 Long ABS-MBS CORP US N 2 2033-02-15 Floating 0.98300000 N N N N N N NRG Energy Inc 5E2UPK5SW04M13XY7I38 629377CA8 409000.00000000 PA USD 423971.45000000 0.011368004300 Long DBT CORP US N 2 2026-05-15 Fixed 7.25000000 N N N N N N ANADOLU EFES BIR 7890006LGARYVIPOJX03 032523AB8 232000.00000000 PA USD 232301.60000000 0.006228734476 Long DBT CORP TR N 2 2028-06-29 Fixed 3.37500000 N N N N N N Long Beach Mortgage Loan Trust N/A 54251PAD9 531758.71000000 PA USD 331486.36000000 0.008888188971 Long ABS-O CORP US N 2 2036-06-25 Floating 0.39200000 N N N N N N BX Trust N/A 05607QBA5 184392.74000000 PA USD 184282.05000000 0.004941179734 Long ABS-MBS CORP US N 2 2036-12-15 Floating 2.57300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RD2 3865000.00000000 PA USD 5073416.41000000 0.136034205998 Long DBT UST US N 2 2043-11-15 Fixed 3.75000000 N N N N N N Bank N/A 06540AAE1 2531050.35000000 PA USD 147352.18000000 0.003950974094 Long ABS-MBS CORP US N 2 2062-09-15 Variable 0.96000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XWA84 144064.89000000 PA USD 157877.04000000 0.004233178601 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 000000000 1.00000000 NC 5576.00000000 0.000149510048 N/A DFE US N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 60921413.00000000 JPY 554000.00000000 USD 2021-07-14 5576.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9WD3 12059103.20000000 PA USD 12766833.40000000 0.342318844805 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N OP SERVICIOS MEGA 4469000001BP4DCM0P31 68373NAA3 892000.00000000 PA USD 896460.00000000 0.024036904218 Long DBT CORP MX N 2 2025-02-11 Fixed 8.25000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NBH1 718000.00000000 PA USD 804160.00000000 0.021562051733 Long DBT CORP NL N 2 2031-01-03 Fixed 5.60000000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 -512.00000000 NC USD -263680.00000000 -0.00707008779 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Written Caesars Entertainment Inc Caesars Entertainment Inc 100.00000000 130.00000000 USD 2022-01-21 XXXX 49574.23000000 N N N GEORGIA-PACIFIC LLC L2EVHWFHVAQK72TMH265 37331NAN1 744000.00000000 PA USD 731658.08000000 0.019618047865 Long DBT CORP US N 2 2026-05-15 Fixed 0.95000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H040673 13998500.00000000 PA USD 14782087.88000000 0.396354137972 Long ABS-MBS USGA US N 2 2051-07-21 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HLPX8 48279.18000000 PA USD 52468.01000000 0.001406831906 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N Madison Park Funding Ltd N/A 55820BAJ6 790000.00000000 PA USD 790000.00000000 0.021182377722 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 29463000.00000000 OU Notional Amount USD -290568.82000000 -0.00779106139 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-04-26 601.26000000 USD 0.00000000 USD 29463000.00000000 USD -291170.08000000 N N N IMT Trust N/A 44974ABC0 570000.00000000 PA USD 586966.34000000 0.015738408511 Long ABS-MBS CORP US N 2 2034-06-15 Variable 3.61300000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDC1 256000.00000000 PA USD 262748.16000000 0.007045102241 Long DBT CORP US N 2 2024-09-01 Fixed 4.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FLN4 516385.24000000 PA USD 564983.66000000 0.015148983915 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 4.00000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556CG5 480000.00000000 PA USD 571544.44000000 0.015324899003 Long DBT CORP US N 2 2030-03-25 Fixed 4.49700000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBB5 17000.00000000 PA USD 17038.10000000 0.000456844898 Long DBT US N 2 2025-09-15 Fixed 1.30000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 000000000 1740000.00000000 PA 2029513.08000000 0.054417610952 Long DBT CORP US N 2 2039-06-26 Fixed 1.40800000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 -2726000.00000000 OU Notional Amount -3.24000000 -0.00000008687 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Call Written BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC USD -3.24000000 0.00000000 DFE US -2726000.00000000 EUR -3393870.00000000 USD 2021-07-16 1.00000000 1.24500000 EUR 2021-07-16 XXXX 11763.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XKSW5 158979.88000000 PA USD 167106.24000000 0.004480642399 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.00000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661EA1 155000.00000000 PA USD 160157.47000000 0.004294324081 Long DBT CORP US N 2 2031-04-01 Fixed 2.62500000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 210000.00000000 OU Notional Amount USD -16331.08000000 -0.00043788747 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Markit CMBX.NA.BBB-.9 137BERAI8 Y sell protection 2058-09-17 0.00000000 USD -23065.16000000 USD 210000.00000000 USD 6734.08000000 N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 01626PAH9 2338000.00000000 PA USD 2569537.77000000 0.068897366602 Long DBT CORP CA N 2 2027-07-26 Fixed 3.55000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCD6 1736000.00000000 PA USD 1807055.28000000 0.048452819627 Long DBT CORP US N 2 2042-04-22 Fixed 3.15700000 N N N N N N Alabama Power Co 0RL818ELFOHP5JHOFU19 010392FM5 554000.00000000 PA USD 626806.90000000 0.016806658879 Long DBT CORP US N 2 2045-03-01 Fixed 3.75000000 N N N N N N WYNN LAS VEGAS LLC/CORP N/A 983130AX3 498000.00000000 PA USD 534901.80000000 0.014342394901 Long DBT CORP US N 2 2027-05-15 Fixed 5.25000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 316306000.00000000 OU Notional Amount 342782.12000000 0.009191063724 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A Y 2026-06-16 0.00000000 CNY 0.00000000 CNY 316306000.00000000 CNY 342782.12000000 N N N Municipal Electric Authority of Georgia JA0WNILDDF2KUPS83B16 626207YF5 466000.00000000 PA USD 706119.92000000 0.018933289699 Long DBT MUN US N 2 2057-04-01 Fixed 6.63700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83A3 3035125.20000000 PA USD 3227607.95000000 0.086542292071 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128284S6 7432000.00000000 PA USD 7788503.75000000 0.208834213068 Long DBT UST US N 2 2023-05-31 Fixed 2.75000000 N N N N N N AMN HEALTHCARE INC 549300H27NUKBFFQEE84 00175PAB9 350000.00000000 PA USD 363720.00000000 0.009752473955 Long DBT CORP US N 2 2027-10-01 Fixed 4.62500000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BT9 407000.00000000 PA USD 392021.90000000 0.010511336659 Long DBT CORP US N 2 2050-10-01 Fixed 2.80000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132J7RZ7 573888.99000000 PA USD 610363.07000000 0.016365748223 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRR8 794770.82000000 PA USD 850749.79000000 0.022811270125 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9B86 3004120.38000000 PA USD 3234223.59000000 0.086719678128 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.50000000 N N N N N N MDGH - GMTN BV 213800L53ZH5KG593W13 55276VAH5 572000.00000000 PA USD 600600.00000000 0.016103969696 Long DBT CORP NL N 2 2024-11-07 Fixed 2.50000000 N N N N N N ORIX Corp 35380016EMHNBOVYE123 686330AH4 22000.00000000 PA USD 22571.78000000 0.000605220214 Long DBT CORP JP N 2 2022-07-18 Fixed 2.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31329KW83 95865.18000000 PA USD 100300.25000000 0.002689364279 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 3.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 550000.00000000 OU Notional Amount USD -1651.79000000 -0.00004428967 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1723.72000000 USD 550000.00000000 USD 71.93000000 N N N Norfolk Southern Corp 54930036C8MWP850MI84 655844BS6 709000.00000000 PA USD 765446.21000000 0.020524013602 Long DBT CORP US N 2 2026-06-15 Fixed 2.90000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 6542.62000000 0.000175428162 N/A DFE CL N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 370500.00000000 USD 276985800.00000000 CLP 2021-07-14 6542.62000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRJ6 3884623.59000000 PA USD 4325441.24000000 0.115978645773 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 891906AC3 2735000.00000000 PA USD 3126953.07000000 0.083843419048 Long DBT CORP US N 2 2026-04-01 Fixed 4.80000000 N N N N N N Cydsa SAB de CV 4469000001BNTACN9916 232553AA5 509000.00000000 PA USD 536358.75000000 0.014381460300 Long DBT CORP MX N 2 2027-10-04 Fixed 6.25000000 N N N N N N OWENS-BROCKWAY V2UQUCDZJ9WY98W8QU33 69073TAR4 327000.00000000 PA USD 352626.99000000 0.009455035566 Long DBT CORP US N 2 2023-08-15 Fixed 5.87500000 N N N N N N GS Mortgage Securities Trust N/A 36228CUV3 840000.00000000 PA USD 957560.10000000 0.025675189531 Long ABS-MBS CORP US N 2 2032-05-03 Fixed 5.36600000 N N N N N N Nelnet Student Loan Trust N/A 64034QAD0 870000.00000000 PA USD 869686.02000000 0.023319009842 Long ABS-O CORP US N 2 2062-04-20 Fixed 3.57000000 N N N N N N NGPL PIPECO LLC 549300K3NT1HSQFEM073 62928CAA0 1957000.00000000 PA USD 2016941.68000000 0.054080532290 Long DBT CORP US N 2 2031-07-15 Fixed 3.25000000 N N N N N N CENTRAIS ELETRICAS BRASI 254900I8KYDELP4B4Z08 15236FAA8 361000.00000000 PA USD 371378.75000000 0.009957829063 Long DBT CORP BR N 2 2025-02-04 Fixed 3.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181GFS3 369731.71000000 PA USD 400743.40000000 0.010745187428 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 3.50000000 N N N N N N Matador Resources Co 549300CI3Q2UUK5R4G79 576485AE6 94000.00000000 PA USD 96820.00000000 0.002596047862 Long DBT CORP US N 2 2026-09-15 Fixed 5.87500000 N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -8055.09000000 -0.00021598222 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1890318.00000000 BRL 372000.00000000 USD 2021-07-02 -8055.09000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FM78 1075869.28000000 PA USD 1176959.07000000 0.031557964030 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 4.00000000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 000000000 44678185.00000000 PA 2684132.70000000 0.071970016086 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XCXH0 1207531.75000000 PA USD 1305077.40000000 0.034993218283 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.50000000 N N N N N N Teleflex Inc UUL85LWXB4NGSWWXIQ25 879369AF3 214000.00000000 PA USD 227950.66000000 0.006112072129 Long DBT CORP US N 2 2027-11-15 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X6T70 2041425.39000000 PA USD 2293969.98000000 0.061508529873 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 520000.00000000 OU Notional Amount USD 16049.37000000 0.000430333946 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 FED REPUBLIC OF BRAZIL FED REPUBLIC OF BRAZIL Y buy protection 2026-06-20 16608.38000000 USD 0.00000000 USD 520000.00000000 USD -559.01000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -20230000.00000000 NC USD -331078.11000000 -0.00887724250 N/A DIR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Written Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 20230000.00000000 OU Notional Amount N/A -331078.11000000 -0.01000000 DIR US N/A N/A 2031-12-23 0.00000000 N/A 0.00000000 N/A 20230000.00000000 USD 1.00000000 0.01564000 USD 2021-12-21 XXXX 82625.39000000 N N N American Money Management Corporation 549300R4YQWFRASHVE93 00176DAQ2 470000.00000000 PA USD 470466.71000000 0.012614688046 Long ABS-CBDO CORP KY N 2 2029-07-24 Floating 1.22600000 N N N N N N NORFOLK SOUTHERN CORP 54930036C8MWP850MI84 655844CD8 863000.00000000 PA USD 910627.51000000 0.024416779596 Long DBT CORP US N 2 2049-11-01 Fixed 3.40000000 N N N N N N Residential Funding Mtg Sec I N/A 749574AC3 1011705.85000000 PA USD 829172.57000000 0.022232717183 Long ABS-MBS CORP US N 2 2036-08-25 Variable 4.46000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XB2A1 92641.65000000 PA USD 100129.78000000 0.002684793444 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 3.50000000 N N N N N N CIFC Funding Ltd 635400VBVF8AYJQBI411 12551RAA6 1289000.00000000 PA USD 1287832.17000000 0.034530819579 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 1.19000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMF6 20000.00000000 PA USD 19812.84000000 0.000531244380 Long DBT CORP US N 2 2033-12-01 Fixed 2.55000000 N N N N N N Fremont Home Loan Trust N/A 35729MAA5 869185.06000000 PA USD 712518.71000000 0.019104861328 Long ABS-O CORP US N 2 2037-02-25 Floating 0.37200000 N N N N N N PLAYTIKA HOLDING CORP 254900E35Z4TKA4UFG64 72815LAA5 161000.00000000 PA USD 160888.91000000 0.004313936282 Long DBT CORP US N 2 2029-03-15 Fixed 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2AE2 4952585.49000000 PA USD 5576796.69000000 0.149531410085 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 4.50000000 N N N N N N Ashford Hospitality Trust N/A 04410RAL0 138000.00000000 PA USD 137472.66000000 0.003686073177 Long ABS-MBS CORP US N 2 2035-04-15 Floating 2.17300000 N N N N N N Battalion CLO LTD 549300WYAEH0STKIKE49 07134QAJ5 258000.00000000 PA USD 260140.37000000 0.006975179212 Long ABS-CBDO CORP KY N 2 2032-10-15 Floating 4.18400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GKD37 184393.65000000 PA USD 202308.79000000 0.005424533172 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.00000000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC 1047.17000000 0.000028077911 N/A DFE US N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 19092299.26000000 MXN 957401.00000000 USD 2021-07-14 1047.17000000 N N N Trinitas CLO Ltd 549300095MXHZZMH2053 89641QAG5 400000.00000000 PA USD 405845.20000000 0.010881982687 Long ABS-CBDO CORP KY N 2 2034-01-25 Floating 3.17600000 N N N N N N BUCKEYE PARTNERS LP 549300C1PQJLVEIUBK50 118230AT8 219000.00000000 PA USD 226938.75000000 0.006084939648 Long DBT CORP US N 2 2025-03-01 Fixed 4.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XSTM9 500861.32000000 PA USD 541858.99000000 0.014528938985 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.50000000 N N N N N N GSR Mortgage Loan Trust N/A 362669AK9 423371.42000000 PA USD 365594.30000000 0.009802729817 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 2484000.00000000 OU Notional Amount 10394.33000000 0.000278704587 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased UBS AG BFM8T61CT2L1QCEMIK50 UBS AG BFM8T61CT2L1QCEMIK50 N/A 1.00000000 NC USD 10394.33000000 0.00000000 DFE XX 2936088.00000000 USD 2484000.00000000 EUR 2021-07-20 1.00000000 1.18200000 EUR 2021-07-20 XXXX -2673.75000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPJ62 489934.68000000 PA USD 519660.03000000 0.013933715243 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.00000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325DP7 4645000.00000000 PA USD 5062585.50000000 0.135743795332 Long DBT NUSS CO N 2 2029-03-15 Fixed 4.50000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERLF5 2017997.96000000 PA USD 2144595.33000000 0.057503327014 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N MGM RESORTS INTL 54930066VBP7DZEGGJ87 552953CD1 35000.00000000 PA USD 36968.75000000 0.000991248134 Long DBT CORP US N 2 2026-09-01 Fixed 4.62500000 N N N N N Conseco Financial Corp N/A 3935053P5 377255.58000000 PA USD 216880.57000000 0.005815248296 Long ABS-O CORP US N 2 2030-03-01 Variable 7.86000000 N N N N N N ARES CLO Ltd N/A 04018EAA9 250000.00000000 PA USD 249935.00000000 0.006701541235 Long ABS-CBDO CORP KY N 2 2034-04-25 Floating 1.21500000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDA5 135000.00000000 PA USD 141581.25000000 0.003796237361 Long DBT CORP US N 2 2027-11-01 Fixed 5.12500000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBS3 359000.00000000 PA USD 378739.23000000 0.010155186617 Long DBT CORP GB N 2 2042-03-10 Fixed 3.81100000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 540000.00000000 OU Notional Amount USD -1621.76000000 -0.00004348447 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1431.53000000 USD 540000.00000000 USD -190.23000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 33829.08000000 0.000907063734 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10142103.06000000 ZAR 743000.00000000 USD 2021-07-14 33829.08000000 N N N ECOLAB INC 82DYEISM090VG8LTLS26 278865BE9 1238000.00000000 PA USD 1514545.59000000 0.040609717424 Long DBT CORP US N 2 2030-03-24 Fixed 4.80000000 N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 1929000.00000000 PA USD 2025766.88000000 0.054317163581 Long DBT CORP US N 2 2033-04-15 Fixed 3.41900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M6SF8 81962.30000000 PA USD 90080.83000000 0.002415349577 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 3.50000000 N N N N N N INRETAIL CONSUMER N/A 45790TAB1 330000.00000000 PA USD 325752.90000000 0.008734456926 Long DBT CORP PE N 2 2028-03-22 Fixed 3.25000000 N N N N N N Gulf Stream Meridian 1 Ltd. N/A 402562AA0 1860000.00000000 PA USD 1861510.32000000 0.049912930040 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 1.30600000 N N N N N N Voya CLO Ltd 5493000X4YEVJOIVRG48 92912QAH9 360000.00000000 PA USD 360194.40000000 0.009657941562 Long ABS-CBDO CORP KY N 2 2026-07-25 Floating 2.82600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ENGF0 3068161.03000000 PA USD 3416725.08000000 0.091613115465 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4.50000000 N N N N N N DOW CHEMICAL CO/THE ZQUIP1CSZO8LXRBSOU78 260543DD2 1165000.00000000 PA USD 1258774.08000000 0.033751681050 Long DBT CORP US N 2 2050-11-15 Fixed 3.60000000 N N N N N N Verus Securitization Trust N/A 92538CAD3 391000.00000000 PA USD 394400.41000000 0.010575111972 Long ABS-MBS CORP US N 2 2065-05-25 Variable 2.60100000 N N N N N N Signal Peak CLO, LLC N/A 56845AAW8 522000.00000000 PA USD 523953.85000000 0.014048846024 Long ABS-CBDO CORP KY N 2 2029-07-23 Floating 1.67300000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 942000.00000000 PA USD 1042794.00000000 0.027960577714 Long DBT CORP MX Y 2 2025-10-16 Fixed 6.87500000 N N N N N SASOL Financing USA LLC 549300XRB1PFMESFEL85 80386WAA3 289000.00000000 PA USD 308652.00000000 0.008275928162 Long DBT CORP US N 2 2024-03-27 Fixed 5.87500000 N N N N N N SM Energy Co 84BUTVXV5ODI6BXNMH43 78454LAM2 906000.00000000 PA USD 906000.00000000 0.024292701539 Long DBT CORP US N 2 2021-07-01 Fixed 1.50000000 N N N N Y SM Energy Co USD XXXX N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 23747220.00000000 OU Notional Amount 6361.45000000 0.000170570426 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-06-16 216.90000000 ZAR 0.00000000 ZAR 23747220.00000000 ZAR 6345.74000000 N N N Playtika Holding Corp 254900E35Z4TKA4UFG64 72814CAF5 1073310.00000000 PA USD 1070199.55000000 0.028695406463 Long LON CORP US N 2 2028-03-13 Floating 2.85400000 N N N N N N COMM Mortgage Trust N/A 12636GAJ0 270000.00000000 PA USD 261538.09000000 0.007012656469 Long ABS-MBS CORP US N 2 2036-10-10 Variable 3.28500000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513EBY6 525000.00000000 PA USD 681084.34000000 0.018262007279 Long DBT CORP US N 2 2027-08-15 Fixed 7.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBC4 12344000.00000000 PA USD 12110139.09000000 0.324710810726 Long DBT UST US N 2 2025-12-31 Fixed 0.37500000 N N N N N N Entergy Louisiana LLC 0V5453U14HDZO63CGH17 29364WBB3 1310000.00000000 PA USD 1590229.37000000 0.042639036937 Long DBT CORP US N 2 2048-09-01 Fixed 4.20000000 N N N N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 16411QAD3 219000.00000000 PA USD 227212.50000000 0.006092279744 Long DBT CORP US N 2 2026-10-01 Fixed 5.62500000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 -321.00000000 NC USD -86670.00000000 -0.00232389452 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Written Diamondback Energy Inc Diamondback Energy Inc 100.00000000 135.00000000 USD 2021-12-17 XXXX -7137.75000000 N N N Jamestown CLO Ltd 254900TDIR3OOT3N8P57 47047JAC8 260000.00000000 PA USD 262037.88000000 0.007026057407 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 2.33800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VKP4 54652.47000000 PA USD 58156.48000000 0.001559357628 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 4.50000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBK1 3188000.00000000 PA USD 3346887.24000000 0.089740543938 Long DBT CORP US N 2 2023-05-09 Fixed 3.70000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BK2 1435000.00000000 PA USD 1550517.50000000 0.041574237151 Long DBT CORP US N 2 2025-12-15 Fixed 8.00000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAX4 389000.00000000 PA USD 454879.35000000 0.012196742037 Long DBT CORP US N 2 2029-12-05 Fixed 4.45200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TV51 25943.61000000 PA USD 27497.70000000 0.000737299579 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 3.50000000 N N N N N N Avery Point CLO Ltd 549300V091GOUE8M6G49 05363XAN7 87439.01000000 PA USD 87425.28000000 0.002344145953 Long ABS-CBDO CORP KY N 2 2026-07-17 Floating 1.17000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XHT76 806070.26000000 PA USD 896067.12000000 0.024026369873 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.50000000 N N N N N N OneMain Financial Issuance Trust N/A 68269BAA6 3280000.00000000 PA USD 3525210.18000000 0.094521941244 Long ABS-O CORP US N 2 2036-10-14 Fixed 3.14000000 N N N N N N Oak Hill Credit Partners N/A 67112RAG9 343000.00000000 PA USD 342828.50000000 0.009192307317 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 1.98800000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 17633205.00000000 OU Notional Amount -2165.13000000 -0.00005805392 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A Y 2024-01-02 0.00000000 BRL 0.00000000 BRL 17633205.00000000 BRL -2165.13000000 N N N VICI PROPERTIES / NOTE N/A 92564RAE5 958000.00000000 PA USD 983693.56000000 0.026375909558 Long DBT US N 2 2030-08-15 Fixed 4.12500000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 000000000 2000000.00000000 PA 2299591.63000000 0.061659263941 Long DBT CORP US N 2 2039-08-01 Fixed 1.45000000 N N N N N N Velocity Commercial Capital Loan Trust N/A 92258VAE7 133842.53000000 PA USD 135371.00000000 0.003629721081 Long ABS-MBS CORP US N 2 2047-11-25 Variable 4.24000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRE7 3930624.27000000 PA USD 4230717.10000000 0.113438794491 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.50000000 N N N N N N Madison Park Funding Ltd N/A 55819MAN6 550000.00000000 PA USD 549861.95000000 0.014743523443 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 1.17800000 N N N N N N Benefit Street Partners CLO Ltd 549300Y1V90IQ456QX97 08180EBL7 290000.00000000 PA USD 290006.96000000 0.007775996163 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 1.83800000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 02156LAA9 692000.00000000 PA USD 753934.00000000 0.020215335146 Long DBT CORP FR N 2 2027-02-01 Fixed 8.12500000 N N N N N N CHESAPEAKE ENERGY CORP N/A 000000000 1107.00000000 NS USD 55559.78000000 0.001489731957 Long EC CORP US Y 2 N N N Allegiant Travel Company 549300JM9OZXOHWL2K18 01748LAE8 1148870.99000000 PA USD 1144131.90000000 0.030677764645 Long LON CORP US N 2 2024-02-05 Floating 3.15600000 N N N N N N Oak Hill Credit Partners N/A 67707EAU8 2340000.00000000 PA USD 2341263.60000000 0.062776620155 Long ABS-CBDO CORP KY N 2 2034-04-21 Floating 1.33600000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 53944YAD5 579000.00000000 PA USD 639496.07000000 0.017146895324 Long DBT CORP GB N 2 2027-01-11 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83Z8 1590766.62000000 PA USD 1678405.12000000 0.045003305345 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N Lendmark Funding Trust N/A 52607MAB5 290000.00000000 PA USD 292871.49000000 0.007852803196 Long ABS-O CORP US N 2 2031-11-20 Fixed 2.47000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 16320000.00000000 OU Notional Amount USD 185553.01000000 0.004975258158 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-05-21 335.56000000 USD 0.00000000 USD 16320000.00000000 USD 185217.45000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TAL9 831138.73000000 PA USD 890324.93000000 0.023872403750 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.00000000 N N N N N N Battalion CLO LTD 5493000R542V1ZNEEG67 07131XBB9 250000.00000000 PA USD 250506.00000000 0.006716851536 Long ABS-CBDO CORP KY N 2 2028-07-17 Floating 3.12000000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12597BAX7 4150000.00000000 PA USD 161935.49000000 0.004341998374 Long ABS-MBS CORP US N 2 2052-09-15 Variable 0.70100000 N N N N N N AMER AIRLINE 19-1AA PTT N/A 02377LAA2 1139761.16000000 PA USD 1173834.43000000 0.031474182632 Long DBT CORP US N 2 2033-08-15 Fixed 3.15000000 N N N N N N JPMDB Commercial Mortgage Securities Trust N/A 46646RAA1 2067000.00000000 PA USD 70178.78000000 0.001881713197 Long ABS-MBS CORP US N 2 2049-12-15 Variable 0.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WPHS6 906188.87000000 PA USD 963542.27000000 0.025835590271 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N BFLD Trust N/A 05493AAN0 980000.00000000 PA USD 988649.58000000 0.026508795998 Long ABS-MBS CORP US N 2 2035-10-15 Floating 3.77300000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0RJ0 682210.00000000 PA USD 716879.57000000 0.019221789662 Long ABS-MBS USGSE US N 2 2030-03-25 Floating 4.54200000 N N N N N N Mariner Finance Issuance Trust N/A 56847MAC4 490000.00000000 PA USD 498042.96000000 0.013354093798 Long ABS-O CORP US N 2 2032-07-20 Fixed 4.01000000 N N N N N N Park Avenue Trust N/A 90187LAN9 207000.00000000 PA USD 201598.85000000 0.005405497454 Long ABS-MBS CORP US N 2 2037-06-05 Variable 3.77900000 N N N N N N Oakwood Mortgage Investors Inc. N/A 67087TCW9 200955.00000000 PA USD 156027.09000000 0.004183575639 Long ABS-O CORP US N 2 2031-09-15 Variable 6.93000000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 -556.00000000 NC USD -63384.00000000 -0.00169952383 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Written Devon Energy Corp Devon Energy Corp 100.00000000 40.00000000 USD 2022-01-21 XXXX -6455.82000000 N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BT5 1323000.00000000 PA USD 1531451.51000000 0.041063018162 Long DBT CORP US N 2 2026-06-15 Fixed 5.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BJX5 896391.47000000 PA USD 984638.46000000 0.026401245290 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LTFX1 26089.46000000 PA USD 28192.23000000 0.000755922107 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.50000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969VAC4 1109979.11000000 PA USD 968595.85000000 0.025971092601 Long ABS-O CORP US N 2 2059-09-25 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FKM7 44772.05000000 PA USD 48986.76000000 0.001313488675 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRV9 1740741.85000000 PA USD 1851737.19000000 0.049650881773 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Sprint Corp 549300ZTTY7CXOLJ6539 85207UAJ4 728000.00000000 PA USD 864958.64000000 0.023192253957 Long DBT CORP US N 2 2025-02-15 Fixed 7.62500000 N N N N N N ESH Hospitality Inc 54930042FMK7X7SQ2896 26907YAA2 512000.00000000 PA USD 521523.20000000 0.013983672675 Long DBT US N 2 2025-05-01 Fixed 5.25000000 N N N N N N AGL CLO 1 Ltd. 54930005OE1IFBESDA27 00120BAA8 1310000.00000000 PA USD 1310586.88000000 0.035140944721 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 1.29000000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 539830BB4 514000.00000000 PA USD 624076.94000000 0.016733460089 Long DBT CORP US N 2 2042-12-15 Fixed 4.07000000 N N N N N N Nucor Corp 549300GGJCRSI2TIEJ46 670346AP0 341000.00000000 PA USD 388258.32000000 0.010410423276 Long DBT CORP US N 2 2028-05-01 Fixed 3.95000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -7132.02000000 -0.00019123182 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 517000.00000000 USD 7436528000.00000000 IDR 2021-09-13 -7132.02000000 N N N NISSAN MOTOR ACCEPTANCE 7D6DIU2QXTUJRFNNJA49 654740BT5 608000.00000000 PA USD 613470.13000000 0.016449058246 Long DBT CORP US N 2 2028-03-09 Fixed 2.75000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1550000.00000000 OU Notional Amount USD 8078.60000000 0.000216612603 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 8078.60000000 0.00000000 DFE US 1754600000.00000000 KRW 1550000.00000000 USD 2021-07-21 1.00000000 1132.00000000 USD 2021-07-21 XXXX -6578.20000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196FZG2 142722.82000000 PA USD 153830.32000000 0.004124673346 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PCQ3 386000.00000000 PA USD 487581.85000000 0.013073598629 Long DBT CORP US N 2 2035-07-15 Fixed 4.62500000 N N N N N N Freddie Mac - SCRT N/A 35563PCG2 799681.82000000 PA USD 131424.75000000 0.003523909742 Long ABS-MBS USGSE US N 2 2056-07-25 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJDN5 682183.77000000 PA USD 718243.55000000 0.019258362243 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N EMPRESAS PUBLIC MEDELLIN 549300SU25TO8EMXB434 29246BAE8 323000.00000000 PA USD 319770.00000000 0.008574036612 Long DBT CORP CO N 2 2029-07-18 Fixed 4.25000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556BZ4 399000.00000000 PA USD 418845.46000000 0.011230560431 Long DBT CORP US N 2 2029-10-01 Fixed 2.60000000 N N N N N N CFCRE Commercial Mortgage Trust N/A 12528DAE9 220000.00000000 PA USD 227834.88000000 0.006108967704 Long ABS-MBS CORP US N 2 2033-02-15 Fixed 4.69000000 N N N N N N TICP CLO Ltd 254900JG2DPAYUCW8T83 87246MAU6 1050000.00000000 PA USD 1049472.90000000 0.028139659970 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 1.68400000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 236000.00000000 OU Notional Amount USD -18353.03000000 -0.00049210229 N/A DCR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Markit CMBX.NA.BBB-.9 137BERAI8 Y sell protection 2058-09-17 0.00000000 USD -11304.91000000 USD 236000.00000000 USD -7048.12000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRN7 1539502.30000000 PA USD 1670142.96000000 0.044781770922 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.50000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCA1 1020000.00000000 PA USD 1100804.40000000 0.029516018479 Long DBT CORP US N 2 2024-01-29 Fixed 3.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9F88 128983.98000000 PA USD 135651.25000000 0.003637235463 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 2.50000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AN9 570000.00000000 PA USD 603810.63000000 0.016190056756 Long DBT US N 2 2024-09-01 Fixed 3.35000000 N N N N N N Cedar Funding Ltd 2549004YLPCISGLL7978 15033LAS1 250000.00000000 PA USD 250507.00000000 0.006716878349 Long ABS-CBDO CORP KY N 2 2032-05-29 Floating 1.48500000 N N N N N N AMER AIRLINE 16-1 B PTT N/A 02376YAA5 864303.06000000 PA USD 849251.40000000 0.022771093589 Long DBT CORP US N 2 2025-07-15 Fixed 5.25000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1146000.00000000 OU Notional Amount 7165.32000000 0.000192124702 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 7165.32000000 0.00000000 DFE XX 5157000.00000000 PLN 1146000.00000000 EUR 2021-07-05 1.00000000 4.50000000 EUR 2021-07-05 XXXX 1072.37000000 N N N Palmer Square Loan Funding Ltd N/A 69689JAA9 262000.00000000 PA USD 262366.80000000 0.007034876784 Long ABS-CBDO CORP KY N 2 2027-10-24 Floating 6.07600000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174468C6 259000.00000000 PA USD 288074.23000000 0.007724173610 Long DBT CORP US N 2 2025-07-23 Fixed 4.00000000 N N N N N N Irwin Home Equity N/A 464125AD5 96824.86000000 PA USD 96586.04000000 0.002589774660 Long ABS-MBS CORP US N 2 2037-09-25 Variable 6.53000000 N N N N N N TOYOTA MOTOR CREDIT CORP Z2VZBHUMB7PWWJ63I008 89236TGU3 550000.00000000 PA USD 563716.43000000 0.015115005504 Long DBT CORP US N 2 2030-02-13 Fixed 2.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQLB6 5110306.09000000 PA USD 5802108.97000000 0.155572738972 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.00000000 N N N N N N MFRA Trust N/A 55283FAE8 540000.00000000 PA USD 540510.08000000 0.014492770477 Long ABS-MBS CORP US N 2 2065-04-25 Variable 3.51400000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 064058AD2 830000.00000000 PA USD 836017.50000000 0.022416251224 Long DBT CORP US N 2 2021-09-20 Variable 3.55500000 N N N N N N AMERICAN AXLE & MFG INC RY5TAKFOBLDUGX31MS24 02406PAR1 302000.00000000 PA USD 311953.92000000 0.008364462994 Long DBT CORP US N 2 2025-04-01 Fixed 6.25000000 N N N N N Rockford Tower CLO Ltd 549300G18KVCW7VUKI86 77340GAQ4 939000.00000000 PA USD 938991.55000000 0.025177308468 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 3.03400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179USV5 2008846.17000000 PA USD 2142410.37000000 0.057444741384 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 4.50000000 N N N N N N Navient Corp 54930067J0ZNOEBRW338 63938CAE8 239000.00000000 PA USD 263796.25000000 0.007073204821 Long DBT CORP US N 2 2023-09-25 Fixed 7.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 9745866.00000000 OU Notional Amount -14653.99000000 -0.00039291943 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A Y 2029-01-02 0.00000000 BRL 0.00000000 BRL 9745866.00000000 BRL -14653.99000000 N N N CSAIL Commercial Mortgage Trust N/A 22945DAY9 92808.00000000 PA USD 83054.19000000 0.002226943321 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 3.00000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969TAB1 570000.00000000 PA USD 560706.21000000 0.015034292065 Long ABS-MBS CORP US N 2 2059-09-25 Variable 4.87500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 110000.00000000 OU Notional Amount USD -10778.03000000 -0.00028899278 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-08-23 2.12000000 USD 0.00000000 USD 110000.00000000 USD -10780.15000000 N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 92553PAU6 1152000.00000000 PA USD 1578373.21000000 0.042321136102 Long DBT CORP US N 2 2043-09-01 Fixed 5.85000000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 000000000 638000.00000000 PA USD 664286.88000000 0.017811614693 Long DBT NUSS UA Y 2 2033-03-15 Fixed 7.25300000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -3560.00000000 NC USD -1090250.00000000 -0.02923302191 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 3560.00000000 NC N/A -1090250.00000000 -0.03000000 DIR US Short Eurodollar Time Deposit EDU3 Comdty 2023-09-18 3560.00000000 USD 2500.00000000 99.00000000 USD 2021-09-10 XXXX -17254.80000000 N N N First Franklin Mtg Loan Asset Backed Certificates N/A 320275AD2 4416898.15000000 PA USD 2548313.49000000 0.068328277088 Long ABS-O CORP US N 2 2036-12-25 Floating 0.23200000 N N N N N N RYDER SYSTEM INC ZXJ6Y2OSPZXIVGRILD15 78355HKQ1 3580000.00000000 PA USD 4040409.59000000 0.108336053276 Long DBT CORP US N 2 2025-06-01 Fixed 4.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181FEB3 250739.65000000 PA USD 268815.45000000 0.007207785315 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 3.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDY7 1358000.00000000 PA USD 1546543.23000000 0.041467674508 Long DBT CORP US N 2 2027-03-16 Fixed 4.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8ZR7 1475917.92000000 PA USD 1626075.11000000 0.043600173651 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N 280 Park Avenue Mortgage Trust N/A 90205FAL4 500000.00000000 PA USD 499399.80000000 0.013390474934 Long ABS-MBS CORP US N 2 2034-09-15 Floating 1.60900000 N N N N N N VISTRA CORP 549300ZH5GKBTJZ7NM23 92840VAF9 561000.00000000 PA USD 575939.43000000 0.015442742470 Long DBT CORP US N 2 2027-07-31 Fixed 5.00000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -26.00000000 NC -37019.14000000 -0.00099259924 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Bund (FGBL) RXU1 Comdty 2021-09-08 -4456639.98000000 EUR -37019.14000000 N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAX9 350000.00000000 PA USD 357654.96000000 0.009589851211 Long DBT CORP DK N 2 2023-01-12 Fixed 5.00000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17328QAN1 7730000.00000000 PA USD 505307.78000000 0.013548886407 Long ABS-MBS CORP US N 2 2042-11-10 Variable 0.91200000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBQ7 1699000.00000000 PA USD 1853385.90000000 0.049695088859 Long DBT CORP US N 2 2047-11-15 Fixed 4.00000000 N N N N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBC2 146000.00000000 PA USD 146824.11000000 0.003936814881 Long DBT CORP US N 2 2021-10-05 Fixed 3.50000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45667SAK3 462264.14000000 PA USD 467656.45000000 0.012539336162 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.27200000 N N N N N N UNITED AIR 2020-1 A PTT N/A 90931GAA7 5400613.75000000 PA USD 5992423.27000000 0.160675662249 Long DBT CORP US N 2 2029-04-15 Fixed 5.87500000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -33.00000000 NC USD -515.63000000 -0.00001382565 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 33.00000000 NC N/A -515.63000000 0.00000000 DIR US Short 10 Year US Treasury Note TYQ1 Comdty 2021-09-21 33.00000000 USD 1000.00000000 129.00000000 USD 2021-07-23 XXXX 8715.46000000 N N N CITRIX SYSTEMS INC HCTKJGUQOPZ5NBK7NP58 177376AF7 998000.00000000 PA USD 1049973.10000000 0.028153071901 Long DBT CORP US N 2 2030-03-01 Fixed 3.30000000 N N N N N N SEAGATE HDD CAYMAN 529900BD50TRWEG1SF63 81180WAZ4 570000.00000000 PA USD 583566.00000000 0.015647234731 Long DBT CORP KY N 2 2029-06-01 Fixed 4.09100000 N N N N N N AGILENT TECHNOLOGIES INC QUIX8Y7A2WP0XRMW7G29 00846UAM3 1723000.00000000 PA USD 1704686.90000000 0.045708002296 Long DBT CORP US N 2 2030-06-04 Fixed 2.10000000 N N N N N N Avery Point CLO Ltd 549300ZZJXJNKXU40667 05364CBE1 1707820.47000000 PA USD 1707311.54000000 0.045778377126 Long ABS-CBDO CORP KY N 2 2028-01-15 Floating 1.14400000 N N N N N N AGILENT TECHNOLOGIES INC QUIX8Y7A2WP0XRMW7G29 00846UAN1 428000.00000000 PA USD 427971.28000000 0.011475252287 Long DBT CORP US N 2 2031-03-12 Fixed 2.30000000 N N N N N N Norfolk Southern Corp 54930036C8MWP850MI84 655844BV9 451000.00000000 PA USD 533232.38000000 0.014297632515 Long DBT CORP US N 2 2052-08-15 Fixed 4.05000000 N N N N N N Cablevision Lightpath LLC 5493002ZVBLRLGES1R71 12687HAB3 204970.00000000 PA USD 205247.53000000 0.005503330008 Long LON CORP US N 2 2027-11-30 Floating 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31391T6C7 315967.09000000 PA USD 363941.69000000 0.009758418160 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.50000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969WAA6 4693345.80000000 PA USD 4694013.19000000 0.125861215726 Long ABS-MBS CORP US N 2 2059-12-25 Variable 2.37500000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBE4 2705000.00000000 PA USD 3012283.05000000 0.080768756166 Long DBT CORP US N 2 2035-05-15 Fixed 3.90000000 N N N N N N Pilgrim's Pride Corp 549300ZSLGV64ZL3HD75 72147KAE8 842000.00000000 PA USD 896730.00000000 0.024044143765 Long DBT CORP US N 2 2027-09-30 Fixed 5.87500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 588.19000000 0.000015771218 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1420802.00000000 USD 28376115.46000000 MXN 2021-07-14 588.19000000 N N N Quicken Loans Inc 549300FGXN1K3HLB1R50 74840LAB8 428000.00000000 PA USD 449400.00000000 0.012049823478 Long DBT CORP US N 2 2028-01-15 Fixed 5.25000000 N N N N N N Johnson & Johnson 549300G0CFPGEF6X2043 478160CG7 298000.00000000 PA USD 358373.82000000 0.009609126102 Long DBT CORP US N 2 2047-03-03 Fixed 3.75000000 N N N N N N BANCO DAVIVIENDA SA 549300P161V4IPKAQS70 059501AD8 200000.00000000 PA USD 209650.00000000 0.005621374037 Long DBT CORP CO N 2 2031-04-22 Fixed 6.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJEP9 217342.38000000 PA USD 228470.68000000 0.006126015496 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAA3 2843000.00000000 PA USD 2957345.46000000 0.079295707074 Long DBT US N 2 2026-12-01 Fixed 4.25000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFU3 1799000.00000000 PA USD 1708901.02000000 0.045820996070 Long DBT CORP US N 2 2050-11-20 Fixed 2.87500000 N N N N N N Symphony CLO Ltd 5493005CJY0RF4FJJP54 87166RAC1 840000.00000000 PA USD 839919.36000000 0.022520872328 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 1.56400000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAP8 1496000.00000000 PA USD 1496772.76000000 0.040133172109 Long DBT CORP GB N 2 2027-05-11 Fixed 1.62700000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 000000000 2110000.00000000 PA 2877582.97000000 0.077157024554 Long DBT CORP US N 2 2031-06-15 Fixed 3.12500000 N N N N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 059165EL0 625000.00000000 PA USD 653833.68000000 0.017531331616 Long DBT CORP US N 2 2049-09-15 Fixed 3.20000000 N N N N N N AMEREN ILLINOIS CO RC71E2BZ6UOMFPDJSE79 02361DAU4 775000.00000000 PA USD 837753.75000000 0.022462805532 Long DBT CORP US N 2 2050-03-15 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XTDQ5 520683.40000000 PA USD 559666.29000000 0.015006408548 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SR0 10822000.00000000 PA USD 9342429.69000000 0.250499841186 Long DBT UST US N 2 2040-05-15 Fixed 1.12500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 8055.61000000 0.000215996169 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 24183584.00000000 MXN 1213377.49000000 USD 2021-08-24 8055.61000000 N N N Voya CLO 2017-4, Ltd. N/A 92916QAA0 1020000.00000000 PA USD 1020027.54000000 0.027350137518 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.31400000 N N N N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAY5 3575000.00000000 PA USD 3876262.21000000 0.103934747193 Long DBT CORP US N 2 2026-05-14 Fixed 3.20000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 7654.71000000 0.000205246783 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 370000.00000000 USD 1878379.00000000 BRL 2021-07-02 7654.71000000 N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DR5 1646000.00000000 PA USD 1805006.60000000 0.048397888091 Long DBT CORP US N 2 2030-06-30 Fixed 3.40000000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 595620AT2 2047000.00000000 PA USD 2314631.45000000 0.062062528685 Long DBT CORP US N 2 2029-04-15 Fixed 3.65000000 N N N N N N WEEKLEY HOMES LLC/ FINAN N/A 948565AD8 318000.00000000 PA USD 329130.00000000 0.008825007569 Long DBT CORP US N 2 2028-09-15 Fixed 4.87500000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 467000.00000000 OU Notional Amount USD -36317.22000000 -0.00097377857 N/A DCR US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Markit CMBX.NA.BBB-.9 137BERAI8 Y sell protection 2058-09-17 0.00000000 USD -57312.44000000 USD 467000.00000000 USD 20995.22000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5EJ4 70336.94000000 PA USD 73928.68000000 0.001982259777 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 2.50000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AN7 235000.00000000 PA USD 240522.50000000 0.006449162589 Long DBT CORP CA N 2 2028-06-01 Fixed 4.87500000 N N N N N N Ameren Illinois Co RC71E2BZ6UOMFPDJSE79 02361DAS9 800000.00000000 PA USD 906045.43000000 0.024293919660 Long DBT CORP US N 2 2028-05-15 Fixed 3.80000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HHWM3 116107.62000000 PA USD 126365.64000000 0.003388259136 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AT8 955000.00000000 PA USD 1012086.35000000 0.027137209307 Long DBT CORP CH N 2 2023-06-09 Fixed 3.80000000 N N N N N N NISSAN MOTOR CO 353800DRBDH1LUTNAY26 654744AB7 1720000.00000000 PA USD 1836659.58000000 0.049246603760 Long DBT CORP JP N 2 2025-09-17 Fixed 3.52200000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 5397000.00000000 OU Notional Amount USD -66862.35000000 -0.00179278930 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 REPUBLIC OF INDONESIA REPUBLIC OF INDONESIA Y buy protection 2026-06-20 0.00000000 USD -29639.35000000 USD 5397000.00000000 USD -37223.00000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FEH5 38899.32000000 PA USD 43019.38000000 0.001153484501 Long ABS-MBS USGA US N 2 2040-02-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BAA4 163447.36000000 PA USD 178030.35000000 0.004773552050 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.00000000 N N N N N N Tenet Healthcare Corp 0W9AIBT6U6ADJ2I8HK17 88033GCX6 1353000.00000000 PA USD 1412193.75000000 0.037865343581 Long DBT CORP US N 2 2027-02-01 Fixed 6.25000000 N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 285000.00000000 OU Notional Amount USD -5213.93000000 -0.00013980181 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Broadcom Inc Broadcom Inc Y buy protection 2024-12-20 6071.80000000 USD 0.00000000 USD 285000.00000000 USD -11285.73000000 N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBN4 2885000.00000000 PA USD 3314389.70000000 0.088869182967 Long DBT CORP US N 2 2030-04-02 Fixed 4.90600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XCY30 1646604.18000000 PA USD 1779539.85000000 0.047715044651 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 3.50000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RAE2 8000000.00000000 PA USD 7934480.96000000 0.212748319904 Long DBT CORP US N 2 2022-11-27 None 0.00000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBF1 41000.00000000 PA USD 45684.62000000 0.001224947945 Long DBT CORP US N 2 2045-05-15 Fixed 4.12500000 N N N N N N CENTURY COMMUNITIES 5299002QMB2O7ZL1CA26 156504AL6 239000.00000000 PA USD 253638.75000000 0.006800850389 Long DBT CORP US N 2 2027-06-01 Fixed 6.75000000 N N N N N N CONSUMERS ENERGY CO 7NKTFWJ1G6MELP9TU740 210518DF0 445000.00000000 PA USD 470094.56000000 0.012604709538 Long DBT CORP US N 2 2050-08-15 Fixed 3.10000000 N N N N N N Deutsche Alt-A Securities INC Mortgage Loan Trust N/A 25151XAF8 355748.77000000 PA USD 381375.31000000 0.010225868190 Long ABS-MBS CORP US N 2 2047-08-25 Floating 0.26200000 N N N N N N BROADCOM CRP / CAYMN FI N/A 11134LAH2 1941000.00000000 PA USD 2144762.01000000 0.057507796228 Long DBT CORP XX N 2 2027-01-15 Fixed 3.87500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828YB0 2246000.00000000 PA USD 2297149.15000000 0.061593773392 Long DBT UST US N 2 2029-08-15 Fixed 1.62500000 N N N N N N CANADIAN PACIFIC RAILWAY 54930036474DURYNB481 13648TAA5 842000.00000000 PA USD 838031.27000000 0.022470246714 Long DBT CORP CA N 2 2030-03-05 Fixed 2.05000000 N N N N N N TPGI Trust N/A 87267HAU1 215000.00000000 PA USD 214999.42000000 0.005764808765 Long ABS-MBS CORP US N 2 2026-06-15 Floating 3.95000000 N N N N N N Decarbonization Plus Acquisition Corp N/A 242797116 32814.00000000 NS USD 75144.06000000 0.002014847927 N/A DE US Y 1 N/A N/A Call Purchased Decarbonization Plus Acquisition Corp Decarbonization Plus Acquisition Corp 1.00000000 11.50000000 USD 2025-10-02 XXXX 11039.77000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KXQ6 157870.99000000 PA USD 182173.39000000 0.004884639946 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 5.00000000 N N N N N N MFT Trust N/A 55317BAJ6 944000.00000000 PA USD 913617.27000000 0.024496944438 Long ABS-MBS CORP US N 2 2042-02-10 Variable 3.59300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417C3C7 82058.67000000 PA USD 86027.59000000 0.002306669501 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.50000000 N N N N N N Euro Galaxy CLO DAC 635400H1W7SGWXGQOB43 000000000 290000.00000000 PA 344787.38000000 0.009244831034 Long ABS-CBDO CORP NL N 2 2034-04-24 Floating 3.25000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FE3 311000.00000000 PA USD 361740.99000000 0.009699410490 Long DBT CORP US N 2 2059-08-15 Fixed 3.95000000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 321.00000000 NC USD 180402.00000000 0.004837143425 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Purchased Diamondback Energy Inc Diamondback Energy Inc 100.00000000 115.00000000 USD 2021-12-17 XXXX 3134.66000000 N N N Hudson Yards N/A 44421GAL7 511000.00000000 PA USD 527394.21000000 0.014141092866 Long ABS-MBS CORP US N 2 2039-07-10 Variable 3.55800000 N N N N N N DELTA AIR LINES 2019-1AA N/A 24737BAA3 2715000.00000000 PA USD 2870330.04000000 0.076962550752 Long DBT CORP US N 2 2024-04-25 Fixed 3.20400000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 734000.00000000 OU Notional Amount USD -2204.39000000 -0.00005910660 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1769.37000000 USD 734000.00000000 USD -435.02000000 N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BN1 1712000.00000000 PA USD 1734003.75000000 0.046494078992 Long DBT CORP US N 2 2030-11-15 Fixed 2.25000000 N N N N N N Park Avenue Institutional Advisers CLO 549300ZWX1MRCB6KO574 70017KAN9 730000.00000000 PA USD 729631.35000000 0.019563704878 Long ABS-CBDO CORP KY N 2 2034-02-14 Floating 1.70400000 N N N N N N Rockford Tower CLO Ltd 5493007GXSFXDXOXG741 77340EAY2 1160000.00000000 PA USD 1160619.44000000 0.031119847303 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.83400000 N N N N N N Taylor Morrison Home Corp 5299009UDLLGLKOOJE30 87724P106 37132.00000000 NS USD 981027.44000000 0.026304422518 Long EC CORP US N 1 N N N Mariner Finance Issuance Trust N/A 56847MAA8 3470000.00000000 PA USD 3557228.51000000 0.095380453092 Long ABS-O CORP US N 2 2032-07-20 Fixed 2.96000000 N N N N N N PIEDMONT NATURAL GAS CO VXB4M3BDPKF3I2AZ3G89 720186AN5 810000.00000000 PA USD 822690.29000000 0.022058906925 Long DBT CORP US N 2 2031-03-15 Fixed 2.50000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46644RBB0 778617.40000000 PA USD 17012.01000000 0.000456145343 Long ABS-MBS CORP US N 2 2048-05-15 Variable 0.79100000 N N N N N N Nelnet Student Loan Trust N/A 64035DAG1 860000.00000000 PA USD 880897.74000000 0.023619631219 Long ABS-O CORP US N 2 2062-04-20 Fixed 4.93000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BMP0 1106715.15000000 PA USD 1279783.55000000 0.034315010833 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N Countrywide Asset-Backed Certificates N/A 12666MAA9 13253.60000000 PA USD 24174.79000000 0.000648201940 Long ABS-O CORP US N 2 2025-12-25 Floating 0.31200000 N N N N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348BL9 1400000.00000000 PA USD 1416228.39000000 0.037973524934 Long DBT CORP US N 2 2030-05-15 Fixed 2.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132J72F8 1436319.95000000 PA USD 1522149.00000000 0.040813588693 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36198QTX6 37762.77000000 PA USD 40707.29000000 0.001091490117 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 4.00000000 N N N N N N RRAM 549300YH0VOGWM5JZF65 74988LAA2 860000.00000000 PA USD 860552.12000000 0.023074101336 Long ABS-CBDO CORP KY N 2 2030-01-15 Floating 1.27400000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2G7 1059000.00000000 PA USD 1121446.83000000 0.030069506770 Long DBT CORP US N 2 2030-10-30 Fixed 2.87900000 N N N N N N KLABIN AUSTRIA GMBH 984500578YEA8DD41B09 49836AAC8 340000.00000000 PA USD 333587.60000000 0.008944529805 Long DBT CORP AT N 2 2031-01-12 Fixed 3.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QB7 1010000.00000000 PA USD 1382161.33000000 0.037060080209 Long DBT UST US N 2 2039-05-15 Fixed 4.25000000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 23636AAT8 2770000.00000000 PA USD 3071526.74000000 0.082357265304 Long DBT CORP DK N 2 2024-01-12 Fixed 5.37500000 N N N N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 37443GAK7 317000.00000000 PA USD 251539.50000000 0.006744562912 Long DBT NUSS GH N 2 2025-04-07 None 0.00000000 N N N N N N Harvest CLO 635400H4BIBT9YC1IC52 000000000 250000.00000000 PA 296446.13000000 0.007948650506 Long ABS-CBDO CORP IE N 2 2032-10-20 Floating 2.05000000 N N N N N N Netflix Inc 549300Y7VHGU0I7CE873 64110LAS5 145000.00000000 PA USD 168562.50000000 0.004519689297 Long DBT CORP US N 2 2028-04-15 Fixed 4.87500000 N N N N N N State Street Corp 549300ZFEEJ2IP5VME73 857477AQ6 280000.00000000 PA USD 280224.00000000 0.007513684322 Long DBT CORP US N 2 2021-09-15 Variable 3.71600000 N N N N N WYNN LAS VEGAS LLC/CORP N/A 983130AV7 998000.00000000 PA USD 1074706.28000000 0.028816246029 Long DBT CORP US N 2 2025-03-01 Fixed 5.50000000 N N N N N N CHC Commercial Mortgage Trust 2019-CHC N/A 162665AG8 1685695.92000000 PA USD 1681463.64000000 0.045085313859 Long ABS-MBS CORP US N 2 2034-06-15 Floating 1.57300000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAK3 1293000.00000000 PA USD 1339092.48000000 0.035905269261 Long DBT CORP US N 2 2030-02-15 Fixed 2.56500000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 413875AW5 2859000.00000000 PA USD 3318882.90000000 0.088989659751 Long DBT CORP US N 2 2028-06-15 Fixed 4.40000000 N N N N N N MEDTRONIC GLOBAL HLDINGS 549300JXMTTP8GKYIX14 000000000 630000.00000000 PA 782688.43000000 0.020986331598 Long DBT CORP LU N 2 2039-07-02 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417F4H8 571556.78000000 PA USD 607594.90000000 0.016291524903 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402CTT9 127447.85000000 PA USD 146501.13000000 0.003928154775 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6.00000000 N N N N N N ROPER TECHNOLOGIES INC 54930003T4SXCIWVXY35 776743AG1 411000.00000000 PA USD 439438.87000000 0.011782734342 Long DBT CORP US N 2 2029-09-15 Fixed 2.95000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAW0 2091000.00000000 PA USD 2329834.19000000 0.062470161826 Long DBT US N 2 2029-08-15 Fixed 3.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416TL49 104193.22000000 PA USD 116227.78000000 0.003116431313 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJD2 2130000.00000000 PA USD 2134657.97000000 0.057236875225 Long DBT CORP US N 2 2026-06-19 Fixed 1.31900000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 818000.00000000 OU Notional Amount USD -2456.67000000 -0.00006587102 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 196.40000000 USD 0.00000000 USD 818000.00000000 USD -2653.07000000 N N N Chase Mortgage Finance Corporation N/A 161636AA3 7000304.94000000 PA USD 4406497.35000000 0.118152014303 Long ABS-MBS CORP US N 2 2037-12-25 Fixed 6.00000000 N N N N N N HASBRO INC 549300NUB6D2R1ITYR45 418056AW7 695000.00000000 PA USD 715033.26000000 0.019172284300 Long DBT CORP US N 2 2022-11-19 Fixed 2.60000000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC 1152.82000000 0.000030910719 N/A DFE US N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 21018657.20000000 MXN 1054000.00000000 USD 2021-07-14 1152.82000000 N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAE5 1905000.00000000 PA USD 1909398.49000000 0.051196962072 Long DBT CORP GB N 2 2021-08-05 Fixed 2.87500000 N N N N N N Dryden Senior Loan Fund 549300KYL9TWDEEU3W90 26250JAW0 660000.00000000 PA USD 660041.58000000 0.017697784886 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 2.03400000 N N N N N N Autodesk Inc FRKKVKAIQEF3FCSTPG55 052769AE6 2478000.00000000 PA USD 2730724.83000000 0.073219297221 Long DBT CORP US N 2 2027-06-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179DEK2 442404.88000000 PA USD 479497.57000000 0.012856833727 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 3.50000000 N N N N N N CFCRE Commercial Mortgage Trust N/A 12531YAS7 2370000.00000000 PA USD 78511.70000000 0.002105144917 Long ABS-MBS CORP US N 2 2058-05-10 Variable 0.86700000 N N N N N N Darling Ingredients Inc L1N0SPPKS7EXZYUMZ898 237266AH4 216000.00000000 PA USD 226800.00000000 0.006081219325 Long DBT CORP US N 2 2027-04-15 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XQF30 323175.14000000 PA USD 340136.53000000 0.009120127158 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.00000000 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AV5 723000.00000000 PA USD 729173.27000000 0.019551422316 Long DBT CORP NL N 2 2027-04-01 Fixed 1.72600000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 19755000.00000000 OU Notional Amount -496.83000000 -0.00001332157 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A Y 2026-06-16 0.00000000 CNY 0.00000000 CNY 19755000.00000000 CNY -496.83000000 N N N Carlyle Global Market Strategies 549300XYKYPK3H877P92 14311MAQ9 640000.00000000 PA USD 640026.88000000 0.017161128005 Long ABS-CBDO CORP KY N 2 2028-07-28 Floating 1.78400000 N N N N N N Olympic Tower Mortgage Trust N/A 68162MAN2 1049000.00000000 PA USD 945428.77000000 0.025349910526 Long ABS-MBS CORP US N 2 2039-05-10 Variable 4.07700000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 8549000.00000000 OU Notional Amount USD -406.08000000 -0.00001088827 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-04-07 60.86000000 USD 0.00000000 USD 8549000.00000000 USD -466.94000000 N N N Dryden Senior Loan Fund 5493002P75UIPU4MC757 26245CBE2 910000.00000000 PA USD 910326.69000000 0.024408713668 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.22800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138E2GK5 47850.16000000 PA USD 52416.02000000 0.001405437891 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJC71 426928.12000000 PA USD 448969.84000000 0.012038289540 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N NEWMONT CORP 549300VSP3RIX7FGDZ51 651639AY2 1311000.00000000 PA USD 1307418.62000000 0.035055993734 Long DBT CORP US N 2 2030-10-01 Fixed 2.25000000 N N N N N Anchorage Capital CLO LTD 54930064GO7DB3TVDY21 03328QAY7 890000.00000000 PA USD 890035.60000000 0.023864645905 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 1.23400000 N N N N N N Anchorage Capital CLO LTD 54930014PVHLSZJQK139 03328TBG9 250000.00000000 PA USD 250255.00000000 0.006710121439 Long ABS-CBDO CORP KY N 2 2031-01-28 Floating 3.68400000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBF2 4906000.00000000 PA USD 5109697.12000000 0.137007005623 Long DBT CORP US N 2 2025-10-15 Fixed 2.30100000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCF6 12344000.00000000 PA USD 12273600.69000000 0.329093728896 Long DBT UST US N 2 2026-05-31 Fixed 0.75000000 N N N N N N ACTIVISION BLIZZARD 549300TPQQDBP9GNOF40 00507VAP4 1290000.00000000 PA USD 1206196.90000000 0.032341921953 Long DBT CORP US N 2 2030-09-15 Fixed 1.35000000 N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAG5 492000.00000000 PA USD 550574.24000000 0.014762622171 Long DBT CORP US N 2 2024-12-01 Fixed 4.87500000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61744YAK4 3066000.00000000 PA USD 3396365.95000000 0.091067223336 Long DBT CORP US N 2 2028-07-22 Fixed 3.59100000 N N N N N N WYNN RESORTS FINANCE LLC N/A 983133AB5 1027000.00000000 PA USD 1106592.50000000 0.029671215594 Long DBT CORP US N 2 2025-04-15 Fixed 7.75000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAW0 682000.00000000 PA USD 751107.94000000 0.020139559614 Long DBT CORP US N 2 2023-10-02 Fixed 5.40000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969VAA8 2824807.77000000 PA USD 2842500.11000000 0.076216343045 Long ABS-O CORP US N 2 2059-09-25 Variable 3.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAH3 2975000.00000000 PA USD 3235020.21000000 0.086741038009 Long DBT CORP US N 2 2026-11-16 Fixed 3.50000000 N N N N N N GILBERT PARK CLO LTD N/A 375415AG1 861000.00000000 PA USD 861068.88000000 0.023087957292 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 3.13400000 N N N N N N CENTERPOINT ENER HOUSTON 549300S8SEQBOJLKHW63 15189XAS7 406000.00000000 PA USD 484805.45000000 0.012999154637 Long DBT CORP US N 2 2048-03-01 Fixed 3.95000000 N N N N N N LEIDOS INC 5493006I78VIN6J1BQ95 52532XAF2 2712000.00000000 PA USD 3079557.36000000 0.082572591413 Long DBT CORP US N 2 2030-05-15 Fixed 4.37500000 N N N N N N KAR Auction Services Inc 5493004HKD20LBSG7D03 48238TAA7 438000.00000000 PA USD 449475.60000000 0.012051850552 Long DBT CORP US N 2 2025-06-01 Fixed 5.12500000 N N N N N SELECT MEDICAL CORP 549300X05KS0JKR8CB50 816196AT6 2969000.00000000 PA USD 3162044.38000000 0.084784327128 Long DBT CORP US N 2 2026-08-15 Fixed 6.25000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBJ3 2925000.00000000 PA USD 3103175.91000000 0.083205878815 Long DBT CORP US N 2 2026-09-06 Fixed 3.21500000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1848000.00000000 OU Notional Amount USD 75150.77000000 0.002015027843 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Purchased Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD 75150.77000000 0.00000000 DFE US 9572640.00000000 BRL 1848000.00000000 USD 2021-07-02 1.00000000 5.18000000 USD 2021-07-02 XXXX 43128.63000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5YR4 526381.23000000 PA USD 574669.23000000 0.015408684424 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H3H82 148135.59000000 PA USD 161239.88000000 0.004323346888 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 3.50000000 N N N N N N BLUE RACER MID LLC/FINAN N/A 095796AH1 160000.00000000 PA USD 173388.80000000 0.004649097537 Long DBT CORP US N 2 2025-12-15 Fixed 7.62500000 N N N N N N Port Authority of New York & New Jersey 54930006MR4KZ4W74Z83 73358WRP1 1350000.00000000 PA USD 1833542.73000000 0.049163031236 Long DBT MUN US N 2 2046-08-01 Fixed 4.96000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1298000.00000000 OU Notional Amount USD 11356.20000000 0.000304495339 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Call Purchased BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC USD 11356.20000000 0.00000000 DFE US 19015700.00000000 ZAR 1298000.00000000 USD 2021-08-02 1.00000000 14.65000000 USD 2021-08-02 XXXX -3064.58000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179MG87 194505.74000000 PA USD 220148.92000000 0.005902883010 Long ABS-MBS USGA US N 2 2042-07-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WHU9 99888.11000000 PA USD 111026.72000000 0.002976974582 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 4.50000000 N N N N N N Cedar Funding Ltd 254900Q56WTD2BRLBE32 15032TBE5 535000.00000000 PA USD 535192.07000000 0.014350177950 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.26400000 N N N N N N TURKISH AIRLN 15-1 A PTT N/A 10010YAA0 871141.38000000 PA USD 812606.95000000 0.021788540955 Long DBT CORP TR N 2 2027-03-15 Fixed 4.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRP2 3034494.00000000 PA USD 3317084.93000000 0.088941450536 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EJCD8 612737.49000000 PA USD 646761.01000000 0.017341691151 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4.50000000 N N N N N N Benchmark Mortgage Trust N/A 08160JAG2 3590425.58000000 PA USD 240969.98000000 0.006461160931 Long ABS-MBS CORP US N 2 2052-03-15 Variable 1.20800000 N N N N N N Mortgage Loan Resecuritization Trust N/A 61914WAA4 1216058.85000000 PA USD 1124395.50000000 0.030148569861 Long ABS-MBS CORP US N 2 2036-04-16 Floating 0.43200000 N N N N N N BX Trust N/A 12433AAJ8 1257486.41000000 PA USD 1263001.62000000 0.033865034656 Long ABS-MBS CORP US N 2 2032-11-15 Floating 3.67300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCE9 5324000.00000000 PA USD 5337310.00000000 0.143110020811 Long DBT UST US N 2 2028-05-31 Fixed 1.25000000 N N N N N N Motorola Solutions Inc 6S552MUG6KGJVEBSEC55 620076BE8 870000.00000000 PA USD 1133187.31000000 0.030384305861 Long DBT CORP US N 2 2044-09-01 Fixed 5.50000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KK6 600000.00000000 PA USD 609768.52000000 0.016349806473 Long DBT CORP US N 2 2040-05-15 Fixed 2.85000000 N N N N N N UMBS, TBA N/A 01F022477 8643800.00000000 PA USD 9013525.06000000 0.241680876493 Long ABS-MBS USGSE US N 2 2036-07-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFG26 719460.64000000 PA USD 755938.15000000 0.020269072693 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N CHARLES RIVER LABORATORI 549300BSQ0R4UZ5KX287 159864AE7 135000.00000000 PA USD 139556.25000000 0.003741940760 Long DBT CORP US N 2 2028-05-01 Fixed 4.25000000 N N N N N N CONSUMERS ENERGY CO 7NKTFWJ1G6MELP9TU740 210518DH6 615000.00000000 PA USD 696743.39000000 0.018681875522 Long DBT CORP US N 2 2051-08-01 Fixed 3.50000000 N N N N N N APS Resecuritization Trust N/A 00214WAE1 1546377.83000000 PA USD 1547571.48000000 0.041495245115 Long ABS-MBS CORP US N 2 2046-09-27 Floating 2.94200000 N N N N N N Progress Residential Trust N/A 74333DAN4 967000.00000000 PA USD 963198.43000000 0.025826370842 Long ABS-O CORP US N 2 2038-04-19 Fixed 3.39500000 N N N N N N BX Trust N/A 05609BBK4 850000.00000000 PA USD 850761.26000000 0.022811577671 Long ABS-MBS CORP US N 2 2036-02-15 Floating 2.47300000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CC6 849000.00000000 PA USD 912238.06000000 0.024459963493 Long DBT CORP US N 2 2061-12-01 Fixed 4.40000000 N N N N N Option One Mortgage Loan Trust N/A 68402YAD8 930000.00000000 PA USD 751810.42000000 0.020158395306 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.30200000 N N N N N N Synchrony Financial 549300RS7EWPM9MA6C78 87165BAL7 396000.00000000 PA USD 432383.53000000 0.011593558548 Long DBT CORP US N 2 2026-08-04 Fixed 3.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3129414T1 143535.53000000 PA USD 156407.68000000 0.004193780451 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.00000000 N N N N N N 522 Funding CLO LTD N/A 04623TAA3 500000.00000000 PA USD 500199.00000000 0.013411903992 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.22800000 N N N N N N PECO ENERGY CO YH65D4JBECK76IFEJ279 693304BA4 1079000.00000000 PA USD 1127139.76000000 0.030222152078 Long DBT CORP US N 2 2051-03-15 Fixed 3.05000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 1136400.00000000 OU Notional Amount USD 45696.92000000 0.001225277747 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 REPUBLIC OF SOUTH AFRICA REPUBLIC OF SOUTH AFRICA Y buy protection 2026-06-20 76729.69000000 USD 0.00000000 USD 1136400.00000000 USD -31032.77000000 N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BQ1 633000.00000000 PA USD 635612.56000000 0.017042766241 Long DBT CORP US N 2 2050-06-15 Fixed 2.80000000 N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MBM1 1916000.00000000 PA USD 2025455.72000000 0.054308820406 Long DBT CORP JP N 2 2024-07-16 Fixed 2.69600000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1310000.00000000 OU Notional Amount USD -1775.89000000 -0.00004761718 N/A DCR US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Markit CMBX.NA.A.8 137BEOAH7 Y sell protection 2059-11-17 0.00000000 USD -59735.94000000 USD 1310000.00000000 USD 57960.05000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BCH7 570689.15000000 PA USD 630883.23000000 0.016915958071 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.50000000 N N N N N N Morgan Stanley Capital I Trust N/A 61768HAW6 403000.00000000 PA USD 462539.70000000 0.012402140046 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 4.07100000 N N N N N N Caliber Home Loans, Inc. N/A 000000000 5350000.00000000 PA USD 5336625.00000000 0.143091653812 Long LON CORP US N 2 2025-07-24 Floating 3.34200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417MBY8 115773.89000000 PA USD 132287.57000000 0.003547044652 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 5.50000000 N N N N N N Apidos CLO 549300336HZNKBNFER56 03765PAJ2 166974.16000000 PA USD 167025.76000000 0.004478484478 Long ABS-CBDO CORP KY N 2 2027-07-18 Floating 1.12000000 N N N N N N ALM Loan Funding 54930043PK0RM9DTQU62 001626BA7 650000.00000000 PA USD 655813.60000000 0.017584419481 Long ABS-CBDO CORP KY N 2 2029-04-16 Floating 1.63400000 N N N N N N BX Trust N/A 05608WAU8 1810000.00000000 PA USD 1813434.84000000 0.048623875640 Long ABS-MBS CORP US N 2 2038-06-15 Floating 3.85000000 N N N N N N VISTRA CORP 549300ZH5GKBTJZ7NM23 92840VAB8 563000.00000000 PA USD 584112.50000000 0.015661888110 Long DBT CORP US N 2 2027-02-15 Fixed 5.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJC97 236922.87000000 PA USD 249633.60000000 0.006693459756 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N UMBS, TBA N/A 01F022683 156487646.00000000 PA USD 161549043.30000000 4.331636526394 Long ABS-MBS USGSE US N 2 2051-08-12 Fixed 2.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 460000.00000000 OU Notional Amount USD -1097.30000000 -0.00002942205 N/A DCR US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 BOEING CO BOEING CO Y buy protection 2024-12-20 0.00000000 USD -6382.80000000 USD 460000.00000000 USD 5285.50000000 N N N IHEARTCOMMUNICATIONS INC 54930076J6KDZL504O62 45174HBG1 45000.00000000 PA USD 46293.75000000 0.001241280631 Long DBT CORP US N 2 2028-01-15 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X54U8 762287.97000000 PA USD 848587.65000000 0.022753296370 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N CHEVRON USA INC VA8TZDWPEZYU430RZ444 166756AW6 565000.00000000 PA USD 761592.21000000 0.020420675775 Long DBT CORP US N 2 2047-08-15 Fixed 4.95000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 2179.13000000 0.000058429309 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 689002.22000000 CAD 558000.00000000 USD 2021-07-14 2179.13000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 190000.00000000 OU Notional Amount USD 3293.44000000 0.000088307455 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y buy protection 2026-06-20 3558.25000000 USD 0.00000000 USD 190000.00000000 USD -264.81000000 N N N UNITED AIR 2014-1 B PTT N/A 90932PAB4 211578.14000000 PA USD 215052.87000000 0.005766241927 Long DBT CORP US N 2 2023-10-11 Fixed 4.75000000 N N N N N N Tricon American Homes N/A 89613TAE8 260000.00000000 PA USD 271708.40000000 0.007285354378 Long ABS-O CORP US N 2 2037-05-17 Fixed 4.56400000 N N N N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 059165EJ5 699000.00000000 PA USD 800730.27000000 0.021470089914 Long DBT CORP US N 2 2047-08-15 Fixed 3.75000000 N N N N N N Aetna Inc 549300QKBENKLBXQ8968 00817YAJ7 639000.00000000 PA USD 763441.06000000 0.020470249242 Long DBT CORP US N 2 2042-05-15 Fixed 4.50000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCX5 3058000.00000000 PA USD 3344981.74000000 0.089689451507 Long DBT CORP US N 2 2025-03-15 Fixed 3.80000000 N N N N N N UNITED AIR 2016-2 B PTT N/A 90933JAA9 59519.68000000 PA USD 59222.08000000 0.001587929706 Long DBT CORP US N 2 2025-10-07 Fixed 3.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617ALXR6 85891.53000000 PA USD 98118.47000000 0.002630863915 Long ABS-MBS USGA US N 2 2047-05-15 Fixed 4.50000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17312TAK9 936509.33000000 PA USD 754921.01000000 0.020241799980 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.36200000 N N N N N N PARKER-HANNIFIN CORP 5493002CONDB4N2HKI23 701094AP9 318000.00000000 PA USD 377753.39000000 0.010128753155 Long DBT CORP US N 2 2049-06-14 Fixed 4.00000000 N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 35565TBD0 410000.00000000 PA USD 429062.46000000 0.011504510245 Long ABS-MBS USGSE US N 2 2050-11-25 Floating 4.01800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHFF4 37818.12000000 PA USD 40195.01000000 0.001077754284 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.00000000 N N N N N N NEXSTAR BROADCASTING INC 5493006PK6I4I2OOT688 65336YAN3 433000.00000000 PA USD 444907.50000000 0.011929365463 Long DBT CORP US N 2 2028-11-01 Fixed 4.75000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BT2 3129000.00000000 PA USD 2956598.89000000 0.079275689191 Long DBT CORP US N 2 2050-06-03 Fixed 2.50000000 N N N N N N LSTAR Commercial Mortgage Trust N/A 54910TBA9 805413.62000000 PA USD 22485.86000000 0.000602916430 Long ABS-MBS CORP US N 2 2050-03-10 Variable 1.13900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERA91 51189.65000000 PA USD 54923.84000000 0.001472680411 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 13336.20000000 0.000357585349 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 1411000.00000000 EUR 1688976.31000000 USD 2021-09-15 13336.20000000 N N N MCM Capital LLC N/A 55282BAB4 2078294.55000000 PA USD 1059930.22000000 0.028420053518 Long ABS-MBS CORP US N 2 2028-10-25 None 0.00000000 N N N N N N BX Trust N/A 12434AAC2 1754000.00000000 PA USD 1753998.60000000 0.047030203632 Long ABS-MBS CORP US N 2 2033-02-15 Floating 2.22300000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12597BAC3 177000.00000000 PA USD 158515.85000000 0.004250307100 Long ABS-MBS CORP US N 2 2052-09-15 Fixed 2.50000000 N N N N N N TRANS-ALLEGHENY INTERSTA N/A 893045AE4 3450000.00000000 PA USD 3729533.46000000 0.100000489212 Long DBT CORP US N 2 2025-06-01 Fixed 3.85000000 N N N N N N ArcLight Clean Transition Corp II N/A 000000000 21772.00000000 NS USD 218808.60000000 0.005866944827 Long EC CORP KY N 1 N N N PROMIGAS/GASES PACIFICO N/A 000000000 266000.00000000 PA USD 263885.30000000 0.007075592531 Long DBT CORP XX Y 2 2029-10-16 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CLH5 871495.66000000 PA USD 932896.11000000 0.025013870604 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N Buckeye Partners, L.P. 549300C1PQJLVEIUBK50 11823LAK1 2491557.12000000 PA USD 2476849.46000000 0.066412102307 Long LON CORP US N 2 2026-11-01 Floating 2.35400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138Y4UY3 110643.56000000 PA USD 117442.77000000 0.003149009006 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691JAC8 1510000.00000000 PA USD 1272764.05000000 0.034126796023 Long ABS-MBS CORP US N 2 2050-06-15 Fixed 2.54600000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XDL7 75000.00000000 PA USD 75269.61000000 0.002018214316 Long DBT CORP US N 2 2031-06-10 Fixed 2.70000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 732000.00000000 OU Notional Amount USD -2198.39000000 -0.00005894573 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -704.27000000 USD 732000.00000000 USD -1494.12000000 N N N OQ SAOC 549300YK417GKI6EQ392 67624L2A5 205000.00000000 PA USD 206038.12000000 0.005524528206 Long DBT CORP OM N 2 2028-05-06 Fixed 5.12500000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46649XAL1 265000.00000000 PA USD 276883.26000000 0.007424108605 Long ABS-MBS CORP US N 2 2031-07-05 Variable 4.76700000 N N N N N N Grupo Aval Ltd 549300J4FW1ELLQ80113 000000000 204000.00000000 PA USD 209547.78000000 0.005618633198 Long DBT CORP KY Y 2 2022-09-26 Fixed 4.75000000 N N N N N N UNITED AIR 2014-2 B PTT N/A 90932QAB2 98468.43000000 PA USD 100681.64000000 0.002699590541 Long DBT CORP US N 2 2022-09-03 Fixed 4.62500000 N N N N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 254687FM3 2280000.00000000 PA USD 2250245.45000000 0.060336138088 Long DBT CORP US N 2 2049-09-01 Fixed 2.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128282R0 22796000.00000000 PA USD 24379253.32000000 0.653684243558 Long DBT UST US N 2 2027-08-15 Fixed 2.25000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC -491.23000000 -0.00001317141 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 5869700.00000000 MXN 292057.54000000 USD 2021-08-24 -491.23000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -7132.02000000 -0.00019123182 N/A DFE ID N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 517000.00000000 USD 7436528000.00000000 IDR 2021-09-13 -7132.02000000 N N N Morgan Stanley BAML Trust N/A 61690VAE8 85000.00000000 PA USD 83036.85000000 0.002226478381 Long ABS-MBS CORP US N 2 2048-10-15 Fixed 3.06000000 N N N N N N Origen Manufactured Housing 5493005G5GFEQWMCSY59 68620KAA0 472461.83000000 PA USD 454550.05000000 0.012187912471 Long ABS-O CORP US N 2 2037-10-15 Floating 1.27300000 N N N N N N NEXSTAR BROADCASTING INC 5493006PK6I4I2OOT688 65343HAA9 523000.00000000 PA USD 554380.00000000 0.014864666533 Long DBT CORP US N 2 2027-07-15 Fixed 5.62500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 520000.00000000 OU Notional Amount USD 16049.37000000 0.000430333946 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 FED REPUBLIC OF BRAZIL FED REPUBLIC OF BRAZIL Y buy protection 2026-06-20 16608.38000000 USD 0.00000000 USD 520000.00000000 USD -559.01000000 N N N CELULOSA ARAUCO CONSTITU 549300QEKV8G0AMNQD28 151191BE2 325000.00000000 PA USD 353765.75000000 0.009485569293 Long DBT CORP CL N 2 2029-04-30 Fixed 4.25000000 N N N N N N Atrium CDO Corp 549300O252OCTN35RH57 04965CAN8 1119000.00000000 PA USD 1113478.85000000 0.029855860236 Long ABS-CBDO CORP KY N 2 2027-04-22 Floating 1.83400000 N N N N N N Oi SA 254900YEMWCRRAGD4978 000000000 706000.00000000 PA USD 727180.00000000 0.019497976496 Long DBT CORP BR Y 2 2025-07-27 Fixed 10.00000000 N N Y N N N SEAWORLD PARKS & ENTERTA 549300UZV72O3371JJ53 81282UAE2 276000.00000000 PA USD 296010.00000000 0.007936956493 Long DBT CORP US N 2 2025-08-01 Fixed 9.50000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 2495000.00000000 PA USD 2883619.65000000 0.077318886878 Long DBT CORP GB N 2 2029-06-19 Fixed 4.58300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177U6C3 23656.73000000 PA USD 25374.66000000 0.000680374218 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQA51 637446.41000000 PA USD 674056.06000000 0.018073557049 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N AEP Texas Inc 5493001L78U618KXNZ75 00108WAH3 1018000.00000000 PA USD 1146804.89000000 0.030749435890 Long DBT CORP US N 2 2028-06-01 Fixed 3.95000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCP5 1388000.00000000 PA USD 1426995.86000000 0.038262234575 Long DBT CORP MX N 2 2029-01-23 Fixed 6.50000000 N N N N N N MARRIOTT OWNERSHIP/ILG N/A 57165PAB1 334000.00000000 PA USD 346942.50000000 0.009302616560 Long DBT CORP US N 2 2026-09-15 Fixed 6.50000000 N N N N N Invesco Euro CLO 5493004UWK07M4U35L23 000000000 100000.00000000 PA 119369.70000000 0.003200676043 Long ABS-CBDO CORP IE Y 2 2034-01-15 Floating 3.80000000 N N N N N N Avenue of Americas N/A 00183HAG6 460000.00000000 PA USD 459878.15000000 0.012330775543 Long ABS-MBS CORP US N 2 2029-12-13 Variable 3.11000000 N N N N N N Dryden Senior Loan Fund 549300K4FV16ICO2FF98 26251BAL0 2205000.00000000 PA USD 2204993.39000000 0.059122788433 Long ABS-CBDO CORP KY N 2 2030-08-15 Floating 1.35600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402TTQ8 526843.07000000 PA USD 576147.20000000 0.015448313435 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.00000000 N N N N N N Amgen Inc 62QBXGPJ34PQ72Z12S66 031162BZ2 2298000.00000000 PA USD 2790108.68000000 0.074811564488 Long DBT CORP US N 2 2045-05-01 Fixed 4.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RJE0 53226.81000000 PA USD 56938.69000000 0.001526704858 Long ABS-MBS USGA US N 2 2045-07-20 Fixed 3.50000000 N N N N N N Washington Mutual Bank N/A 939MMIBD5 250000.00000000 PA USD 0.03000000 0.000000000804 Long DBT CORP US N 3 2017-09-19 None 0.00000000 Y N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36183AF47 118310.99000000 PA USD 128324.56000000 0.003440783925 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 4.00000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAE3 3575000.00000000 PA USD 3668645.91000000 0.098367903031 Long DBT CORP CH N 2 2023-08-15 Fixed 2.85900000 N N N N N N BSST Mortgage Trust N/A 05601PAS5 641000.00000000 PA USD 642600.83000000 0.017230143678 Long ABS-MBS CORP US N 2 2036-04-15 Floating 3.87300000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95000XAM9 150000.00000000 PA USD 141671.52000000 0.003798657783 Long ABS-MBS CORP US N 2 2050-09-15 Variable 4.49300000 N N N N N N Ajax Mortgage Loan Trust N/A 00970DAC1 1451031.47000000 PA USD 1630679.61000000 0.043723634738 Long ABS-O CORP US N 2 2057-06-25 None 0.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128282N9 7432000.00000000 PA USD 7805922.50000000 0.209301264387 Long DBT UST US N 2 2024-07-31 Fixed 2.12500000 N N N N N N Chase Funding Mortgage Loan Asset-Backed CTFS N/A 161551FS0 135027.51000000 PA USD 137563.87000000 0.003688518804 Long ABS-O CORP US N 2 2032-04-25 Variable 6.33300000 N N N N N N Ajax Mortgage Loan Trust N/A 009723AA5 7080000.00000000 PA USD 7094160.00000000 0.190216679420 Long ABS-O CORP US N 2 2060-03-25 Variable 2.00000000 N N N N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAS7 1206000.00000000 PA USD 1240033.32000000 0.033249182496 Long DBT CORP US N 2 2030-06-01 Fixed 4.62500000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBS4 664000.00000000 PA USD 675306.75000000 0.018107091970 Long DBT US N 2 2031-05-15 Fixed 2.50000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DG2 4771000.00000000 PA USD 5176731.18000000 0.138804399014 Long DBT CORP US N 2 2029-08-15 Fixed 3.25000000 N N N N N N Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 000000000 1.00000000 NC -25.33000000 -0.00000067917 N/A DFE XX N 2 Australia and New Zealand Banking Group Limited JHE42UYNWWTJB8YTTU19 10701.09000000 USD 9000.00000000 EUR 2021-07-20 -25.33000000 N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AP9 349000.00000000 PA USD 373866.25000000 0.010024526740 Long DBT CORP US N 2 2029-12-15 Fixed 5.50000000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAM6 2884000.00000000 PA USD 2872243.00000000 0.077013843210 Long DBT CORP US N 2 2028-06-15 Fixed 1.55000000 N N N N N N UNION PACIFIC RR 2014-1 N/A 907825AA1 632415.78000000 PA USD 685328.05000000 0.018375794454 Long DBT CORP US N 2 2026-05-14 Fixed 3.22700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8GB3 2982972.95000000 PA USD 3130955.08000000 0.083950725488 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 2.50000000 N N N N N N 510 Loan Acquisition Trust N/A 33831HAA6 1085417.24000000 PA USD 1101905.60000000 0.029545545105 Long ABS-O CORP US N 2 2060-09-25 Variable 5.10700000 N N N N N N UNITED AIR 2016-2 AA PTT N/A 90932EAA1 434386.02000000 PA USD 443381.63000000 0.011888452103 Long DBT CORP US N 2 2028-10-07 Fixed 2.87500000 N N N N N N BRITISH AIR 20-1 B PPT N/A 11042WAA4 164017.44000000 PA USD 189607.44000000 0.005083970143 Long DBT CORP US N 2 2028-11-15 Fixed 8.37500000 N N N N N N RRE Loan Management 549300YT0EWEDPE3LK61 000000000 1630000.00000000 PA 1930463.05000000 0.051761768992 Long ABS-CBDO CORP IE N 2 2035-07-15 Floating 0.86000000 N N N N N N Rotor Acquisition Corp N/A 77879W113 79421.00000000 NS USD 97687.83000000 0.002619317106 N/A DE US N 1 N/A N/A Call Purchased Rotor Acquisition Corp Rotor Acquisition Corp 1.00000000 11.50000000 USD 2027-06-15 XXXX 15753.13000000 N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HRY8 1672000.00000000 PA USD 1856673.70000000 0.049783245089 Long DBT CORP US N 2 2028-02-01 Fixed 3.78200000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBZ7 3308000.00000000 PA USD 3507660.06000000 0.094051367483 Long DBT CORP US N 2 2041-03-25 Fixed 3.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030682 17600000.00000000 PA USD 18356593.73000000 0.492197850738 Long ABS-MBS USGA US N 2 2051-08-19 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GW4M2 72780.94000000 PA USD 78846.76000000 0.002114128927 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.50000000 N N N N N N Velocity Commercial Capital Loan Trust N/A 92258TAF9 160000.00000000 PA USD 162389.65000000 0.004354175828 Long ABS-MBS CORP US N 2 2046-10-25 Variable 7.22600000 N N N N N N XP INC 5493008KDA8NBZRJST80 98379XAA2 658000.00000000 PA USD 650597.50000000 0.017444559481 Long DBT CORP KY N 2 2026-07-01 Fixed 3.25000000 N N N N N N Devon Energy Corp 54930042348RKR3ZPN35 25179M103 11942.00000000 NS USD 348586.98000000 0.009346710227 Long EC CORP US N 1 N N N BXP Trust N/A 05607CAN9 500000.00000000 PA USD 512286.10000000 0.013735997053 Long ABS-MBS CORP US N 2 2037-08-13 Variable 3.67000000 N N N N N N Natixis Commercial Mortgage Securities N/A 63874NAA8 265000.00000000 PA USD 296836.38000000 0.007959114332 Long ABS-MBS CORP US N 2 2038-06-17 Fixed 4.40400000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEF5 358000.00000000 PA USD 381902.68000000 0.010240008634 Long DBT CORP US N 2 2051-05-15 Fixed 3.25000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468Q5 528000.00000000 PA USD 548223.28000000 0.014699585560 Long DBT CORP US N 2 2026-04-28 Fixed 2.18800000 N N N N N N Neuberger Berman CLO Ltd 549300P0MOXZPIM3AS61 64131QAA8 1770000.00000000 PA USD 1771003.59000000 0.047486160747 Long ABS-CBDO CORP KY N 2 2030-10-18 Floating 1.36000000 N N N N N N Nomura Asset Acceptance Corporation N/A 65538AAB7 172434.33000000 PA USD 195752.90000000 0.005248749200 Long ABS-O CORP US N 2 2036-10-25 Floating 0.49200000 N N N N N N Grippen Park CLO LTD 549300P7KR0IARP7PG22 39862EAD6 250000.00000000 PA USD 249876.25000000 0.006699965963 Long ABS-CBDO CORP KY N 2 2030-01-20 Floating 3.48800000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EBD6 3147000.00000000 PA USD 3685063.01000000 0.098808096972 Long DBT CORP GB N 2 2029-05-16 Fixed 4.97200000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 07387UCF6 2339249.66000000 PA USD 2043531.54000000 0.054793489832 Long ABS-MBS CORP US N 2 2036-02-25 Variable 6.25000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAZ3 3116000.00000000 PA USD 3255726.46000000 0.087296237514 Long DBT US N 2 2025-03-15 Fixed 2.40000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KEXZ3 183380.47000000 PA USD 194293.41000000 0.005209615695 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828N30 7432000.00000000 PA USD 7647992.50000000 0.205066665762 Long DBT UST US N 2 2022-12-31 Fixed 2.12500000 N N N N N N PIEDMONT NATURAL GAS CO VXB4M3BDPKF3I2AZ3G89 720186AK1 135000.00000000 PA USD 145210.34000000 0.003893544646 Long DBT CORP US N 2 2046-11-01 Fixed 3.64000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A24Y5 667545.35000000 PA USD 698780.38000000 0.018736493612 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 3.00000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162XBJ2 3961710.72000000 PA USD 429483.91000000 0.011515810642 Long ABS-MBS CORP US N 2 2053-10-15 Variable 1.74000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AD0 380000.00000000 PA USD 388246.00000000 0.010410092938 Long DBT CORP CH N 2 2031-02-10 Fixed 4.37500000 N N N N N N Gray Television Inc 529900TM5726KDN7UU35 389375AJ5 301000.00000000 PA USD 310782.50000000 0.008333053549 Long DBT CORP US N 2 2026-07-15 Fixed 5.87500000 N N N N N N Battalion CLO LTD 549300WH2OE0BGHQQP83 07132ACE1 642000.00000000 PA USD 642038.52000000 0.017215066383 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 1.74000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030674 83461420.00000000 PA USD 87081885.43000000 2.334938468285 Long ABS-MBS USGA US N 2 2051-07-21 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WLG5 186328.45000000 PA USD 205237.74000000 0.005503067508 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 4.50000000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 686.00000000 NC USD 302526.00000000 0.008111670889 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Purchased Devon Energy Corp Devon Energy Corp 100.00000000 28.00000000 USD 2022-01-21 XXXX 11433.19000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KFAD4 972886.43000000 PA USD 1022592.70000000 0.027418917503 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZH6 27956000.00000000 PA USD 27971288.58000000 0.749997974785 Long DBT UST US N 2 2023-04-15 Fixed 0.25000000 N N N N N N Anchorage Capital CLO LTD 549300V7DN3VJ8H1GE96 03330AAC6 1270000.00000000 PA USD 1269359.92000000 0.034035520621 Long ABS-CBDO CORP KY N 2 2031-01-28 Floating 1.68400000 N N N N N N Cordatus CLO PLC 2138005AFEIY5AMT4165 000000000 250000.00000000 PA 294435.10000000 0.007894728484 Long ABS-CBDO CORP IE Y 2 2034-02-22 Floating 1.30000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 29429JAL4 1107000.00000000 PA USD 1138167.47000000 0.030517839570 Long ABS-MBS CORP US N 2 2036-05-10 Variable 4.88800000 N N N N N N Octagon Investment Partners Ltd N/A 67576FAA7 2210000.00000000 PA USD 2210853.06000000 0.059279904563 Long ABS-CBDO CORP KY N 2 2031-04-16 Floating 1.14400000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBS4 798000.00000000 PA USD 809125.21000000 0.021695184585 Long DBT CORP US N 2 2022-01-14 Fixed 3.45000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 15381574.00000000 OU Notional Amount USD 618523.85000000 0.016584564330 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 REPUBLIC OF SOUTH AFRICA REPUBLIC OF SOUTH AFRICA Y buy protection 2026-06-20 1038563.33000000 USD 0.00000000 USD 15381574.00000000 USD -420039.48000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VER1 302000.00000000 PA USD 351389.18000000 0.009421845997 Long DBT CORP US N 2 2028-09-21 Fixed 4.32900000 N N N N N N Select Medical Corporation 549300X05KS0JKR8CB50 816194AV6 242053.53000000 PA USD 240767.74000000 0.006455738243 Long LON CORP US N 2 2025-03-06 Floating 2.36000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CG2 1650000.00000000 PA USD 1659918.63000000 0.044507624568 Long DBT CORP DE N 2 2025-04-01 Fixed 1.44700000 N N N N N N Apidos CLO 5493003SQW0Q40KVFQ19 03765XAJ5 250000.00000000 PA USD 249740.75000000 0.006696332783 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.68800000 N N N N N N Tenet Healthcare Corp 0W9AIBT6U6ADJ2I8HK17 88033GCS7 616000.00000000 PA USD 625055.20000000 0.016759690308 Long DBT CORP US N 2 2024-07-15 Fixed 4.62500000 N N N N N N Intelsat Jackson Holdings S.A. 8XJ8KF85PBKK1TLMFN29 000000000 322905.47000000 PA USD 326941.79000000 0.008766334796 Long LON CORP LU N 2 2022-07-13 Floating 6.50000000 N N N N N N Bluemountain CLO Ltd 5493001GLQHON6UV2U40 09630PAA1 100000.00000000 PA USD 100317.30000000 0.002689821443 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 1.42300000 N N N N N N Beazer Homes USA Inc 549300DUPYT2T0F60I45 07556Q881 10319.00000000 NS USD 199053.51000000 0.005337248906 Long EC CORP US N 1 N N N DOW CHEMICAL CO/THE ZQUIP1CSZO8LXRBSOU78 000000000 859000.00000000 PA 1041132.68000000 0.027916032514 Long DBT CORP US N 2 2032-03-15 Fixed 1.12500000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148LAC0 1754000.00000000 PA USD 1896417.38000000 0.050848897800 Long DBT CORP US N 2 2025-01-23 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RDH9 1480648.55000000 PA USD 1731939.88000000 0.046438740165 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N VISTRA CORP 549300ZH5GKBTJZ7NM23 92840VAA0 435000.00000000 PA USD 448593.75000000 0.012028205387 Long DBT CORP US N 2 2026-09-01 Fixed 5.50000000 N N N N N N ALBERTSONS COS/SAFEWAY N/A 013092AC5 121000.00000000 PA USD 126559.95000000 0.003393469196 Long DBT CORP US N 2 2027-01-15 Fixed 4.62500000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AK3 272000.00000000 PA USD 274040.00000000 0.007347871887 Long DBT CORP US N 2 2025-03-01 Fixed 2.05000000 N N N N N N LCM Ltd Partnership 549300VQTTD2PAP2Y421 50188WAE8 697421.32000000 PA USD 697495.25000000 0.018702035246 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 1.22800000 N N N N N N International Paper Co 824LMFJDH41EY779Q875 460146CK7 352000.00000000 PA USD 448232.95000000 0.012018531208 Long DBT CORP US N 2 2044-06-15 Fixed 4.80000000 N N N N N N Freddie Mac - STACR N/A 35566CBD6 610000.00000000 PA USD 614577.81000000 0.016478758621 Long ABS-MBS USGSE US N 2 2050-12-25 Floating 3.01800000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CE2 3506000.00000000 PA USD 3721085.63000000 0.099773976394 Long DBT CORP US N 2 2052-03-17 Fixed 2.92100000 N N N N N N Ace Securities Corp. N/A 00442LAB5 1084731.74000000 PA USD 253287.90000000 0.006791443000 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.35200000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 -2206000.00000000 OU Notional Amount USD -5960.61000000 -0.00015982264 N/A DFE US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD -5960.61000000 0.00000000 DFE RU -2206000.00000000 USD -159273200.00000000 RUB 2021-07-16 1.00000000 72.20000000 USD 2021-07-16 XXXX 9060.04000000 N N N Atrium Hotel Portfolio Trust N/A 04965JAJ2 178038.00000000 PA USD 170103.79000000 0.004561016116 Long ABS-MBS CORP US N 2 2036-12-15 Floating 3.12300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QD3 1010000.00000000 PA USD 1405044.14000000 0.037673640113 Long DBT UST US N 2 2039-11-15 Fixed 4.37500000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46639YAT4 4900000.00000000 PA USD 44543.45000000 0.001194349598 Long ABS-MBS CORP US N 2 2046-04-15 Variable 0.65000000 N N N N N N Credit Suisse First Boston Mortgage Securities N/A 225470FK4 426379.58000000 PA USD 78641.96000000 0.002108637596 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.44200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMSG1 2954437.80000000 PA USD 3161084.56000000 0.084758591344 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DVB0 88174.14000000 PA USD 93185.86000000 0.002498605170 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N Countrywide Alternative Loan Trust N/A 02150TAA8 589307.19000000 PA USD 533005.02000000 0.014291536280 Long ABS-MBS CORP US N 2 2047-04-25 Floating 0.23200000 N N N N N N KLA CORP 549300H0BF5JCG96TJ81 482480AJ9 2136000.00000000 PA USD 2260165.83000000 0.060602134589 Long DBT CORP US N 2 2050-03-01 Fixed 3.30000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHQ5 1307000.00000000 PA USD 1482113.05000000 0.039740099306 Long DBT CORP US N 2 2030-02-07 Fixed 3.97400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XX3E4 94859.90000000 PA USD 101982.53000000 0.002734471482 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 3.50000000 N N N N N N GCT Commercial Mortgage Trust N/A 36167RAA1 310000.00000000 PA USD 310368.84000000 0.008321962027 Long ABS-MBS CORP US N 2 2038-02-15 Floating 0.87300000 N N N N N N Bausch Health Cos Inc B3BS7ACMDUWISF18KY76 071734AC1 183000.00000000 PA USD 194232.54000000 0.005207983580 Long DBT CORP CA N 2 2027-08-15 Fixed 5.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 191000.00000000 OU Notional Amount -22484.00000000 -0.00060286655 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2041-01-15 6.50000000 GBP 0.00000000 GBP 191000.00000000 GBP -22492.95000000 N N N BX Trust N/A 05609BAR0 1410000.00000000 PA USD 1412673.92000000 0.037878218445 Long ABS-MBS CORP US N 2 2036-02-15 Floating 3.07300000 N N N N N N Aramark Services Inc 42YMHYH0XMHJEXDUB065 038522AQ1 496000.00000000 PA USD 519411.20000000 0.013927043331 Long DBT CORP US N 2 2028-02-01 Fixed 5.00000000 N N N N N Level 3 Financing Inc 254900AE5FEFIJOXWL19 527298BM4 309000.00000000 PA USD 318427.59000000 0.008538042390 Long DBT CORP US N 2 2026-03-15 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XQXV8 619523.65000000 PA USD 665581.63000000 0.017846331002 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 3.50000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LAE1 269000.00000000 PA USD 369162.08000000 0.009898393188 Long DBT CORP US N 2 2041-06-01 Fixed 5.40000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC N/A -15149.48000000 -0.00040620507 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1146000.00000000 EUR 5123994.05000000 PLN 2021-07-07 -15149.48000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1728000.00000000 OU Notional Amount USD 527.04000000 0.000014131595 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Put Purchased Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 N/A 1.00000000 NC USD 527.04000000 0.00000000 DFE US 24969600000.00000000 IDR 1728000.00000000 USD 2021-07-02 1.00000000 14450.00000000 USD 2021-07-02 XXXX -16300.22000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312942H40 171659.67000000 PA USD 188841.69000000 0.005063437983 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SB89 644547.36000000 PA USD 686972.12000000 0.018419877127 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.50000000 N N N N N N Aon Corp LTS3U8DGK38SETRUWX71 037389BB8 1072000.00000000 PA USD 1253453.13000000 0.033609009692 Long DBT CORP US N 2 2028-12-15 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KFAC6 515802.15000000 PA USD 542577.74000000 0.014548210927 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SQ2 10822000.00000000 PA USD 9310301.88000000 0.249638393836 Long DBT UST US N 2 2040-08-15 Fixed 1.12500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 3603.91000000 0.000096632130 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1086095.76000000 USD 7077000.00000000 CNY 2021-09-15 3603.91000000 N N N ING Financial Markets LLC KBVRJ5K57JZ3E2AVWX40 000000000 5336910.50000000 PA USD 5336910.50000000 0.143099308963 Long RA CORP US N 2 Repurchase Y 0.04000000 2021-07-01 522839.34000000 USD 526236.81000000 USD CDS 4778616.28000000 USD 4917429.30000000 USD AMBS N N Owl Rock CLO I, Ltd N/A 69120WAA7 250000.00000000 PA USD 249935.00000000 0.006701541235 Long ABS-CBDO CORP KY N 2 2032-06-21 Floating 1.64100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MAAK5 726718.29000000 PA USD 807596.72000000 0.021654200975 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.50000000 N N N N N N OZLM Ltd 5493009C40QUU66J8E83 67112CAA5 690000.00000000 PA USD 689826.12000000 0.018496401818 Long ABS-CBDO CORP KY N 2 2030-11-22 Floating 1.40400000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 480000.00000000 OU Notional Amount USD -1441.56000000 -0.00003865274 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -230.64000000 USD 480000.00000000 USD -1210.92000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416YVG0 101298.30000000 PA USD 112766.84000000 0.003023632657 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N GOL Equity Finance SA 222100H9BH197YU7RY14 36256KAA8 100000.00000000 PA USD 89562.50000000 0.002401451525 Long DBT CORP LU N 2 2024-07-15 Fixed 3.75000000 N N N N Y Gol Linhas Aereas Inteligentes SA USD XXXX N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMR56 4848942.57000000 PA USD 5283218.23000000 0.141659650806 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N NRG Energy Inc 5E2UPK5SW04M13XY7I38 629377CH3 320000.00000000 PA USD 340400.00000000 0.009127191616 Long DBT CORP US N 2 2029-06-15 Fixed 5.25000000 N N N N N N College Ave Student Loans N/A 19425AAD6 100000.00000000 PA USD 99985.24000000 0.002680917873 Long ABS-O CORP US N 2 2052-06-25 Fixed 3.78000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCC3 780000.00000000 PA USD 908103.19000000 0.024349094659 Long DBT CORP US N 2 2047-11-01 Fixed 3.96900000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 48128KAU5 320000.00000000 PA USD 351654.62000000 0.009428963276 Long ABS-MBS CORP US N 2 2050-07-15 Fixed 3.49000000 N N N N N N Bombardier Capital Mortgage Securitization Corp. N/A 09774XBP6 1178846.56000000 PA USD 288719.92000000 0.007741486584 Long ABS-O CORP US N 2 2030-06-15 Variable 7.83000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DJ6 3917000.00000000 PA USD 4383397.54000000 0.117532635948 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J6D46 2686050.42000000 PA USD 3018335.78000000 0.080931048841 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A 01F020687 1335000.00000000 PA USD 1345325.40000000 0.036072393395 Long ABS-MBS USGSE US N 2 2051-08-15 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X55B9 546769.70000000 PA USD 608448.17000000 0.016314403748 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312938YY3 85183.82000000 PA USD 95074.94000000 0.002549257330 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 5.50000000 N N N N N N GEORGIA-PACIFIC LLC L2EVHWFHVAQK72TMH265 37331NAJ0 836000.00000000 PA USD 857379.99000000 0.022989046581 Long DBT CORP US N 2 2025-09-30 Fixed 1.75000000 N N N N N N Mill City Solar Loan 2019-2 Ltd. N/A 59982VAA7 1414347.10000000 PA USD 1499117.97000000 0.040196054545 Long ABS-O CORP KY N 2 2043-07-20 Fixed 3.69000000 N N N N N N DTE Electric Co 9N0FWODEJVKHC2DYLO03 23338VAH9 1373000.00000000 PA USD 1669310.43000000 0.044759448182 Long DBT CORP US N 2 2048-05-15 Fixed 4.05000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 10200000.00000000 PA 483545.70000000 0.012965376789 Long DBT CORP MX N 2 2024-09-12 Fixed 7.19000000 N N N N N N Aon Corp LTS3U8DGK38SETRUWX71 037389BC6 2463000.00000000 PA USD 2771526.98000000 0.074313330832 Long DBT CORP US N 2 2029-05-02 Fixed 3.75000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 693585AA9 3706651.64000000 PA USD 3726332.85000000 0.099914670819 Long ABS-MBS CORP US N 2 2025-09-25 Variable 2.85700000 N N N N N N BRF GmbH 5299002S6DY5RA2IOQ11 05583BAA7 580000.00000000 PA USD 609725.00000000 0.016348639565 Long DBT CORP AT N 2 2026-09-29 Fixed 4.35000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJN97 7255.68000000 PA USD 8075.80000000 0.000216537526 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.50000000 N N N N N N BX Trust N/A 05607QAX6 3217168.04000000 PA USD 3217165.79000000 0.086262305011 Long ABS-MBS CORP US N 2 2036-12-15 Floating 2.07300000 N N N N N N Sirius XM Radio Inc WP5O65E6BMU84LNO4227 82967NAW8 340000.00000000 PA USD 351050.00000000 0.009412751518 Long DBT CORP US N 2 2026-07-15 Fixed 5.37500000 N N N N N N Alabama Power Co 0RL818ELFOHP5JHOFU19 010392FB9 34000.00000000 PA USD 48214.04000000 0.001292769628 Long DBT CORP US N 2 2039-03-01 Fixed 6.00000000 N N N N N N FREMF Mortgage Trust N/A 30297YAA2 25367633.23000000 PA USD 152956.68000000 0.004101248317 Long ABS-MBS USGSE US N 2 2029-01-25 Fixed 0.10000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 1610000.00000000 OU Notional Amount USD -17373.91000000 -0.00046584901 N/A DCR US N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 Markit CMBX.NA.AAA.9 137BENAI7 Y buy protection 2058-09-17 19805.38000000 USD 0.00000000 USD 1610000.00000000 USD -37179.29000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFT6 368000.00000000 PA USD 354132.72000000 0.009495408909 Long DBT CORP US N 2 2040-11-20 Fixed 2.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ARZX5 25023.87000000 PA USD 26909.30000000 0.000721522730 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJR1 2731000.00000000 PA USD 2739751.60000000 0.073461333235 Long DBT CORP US N 2 2025-04-22 Fixed 0.97600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197MRS9 101665.55000000 PA USD 115061.59000000 0.003085162102 Long ABS-MBS USGA US N 2 2047-04-15 Fixed 4.50000000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 595620AB1 206000.00000000 PA USD 292036.80000000 0.007830422539 Long DBT CORP US N 2 2031-12-30 Fixed 6.75000000 N N N N N N Service Properties Trust 529900IS770AG1K9QG27 81761L102 97042.00000000 NS USD 1222729.20000000 0.032785204767 Long EC US N 1 N N N VERTICAL US NEWCO INC 549300C2AFWPAYWS5574 92537RAA7 926000.00000000 PA USD 975772.50000000 0.026163521096 Long DBT CORP US N 2 2027-07-15 Fixed 5.25000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1816000.00000000 OU Notional Amount 55.99000000 0.000001501267 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Call Purchased BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC USD 55.99000000 0.00000000 DFE XX 2224600.00000000 USD 1816000.00000000 EUR 2021-07-16 1.00000000 1.22500000 EUR 2021-07-16 XXXX -19728.79000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042679 -4255000.00000000 PA USD -4534234.38000000 -0.12157704470 Short ABS-MBS USGA US N 2 2051-07-21 Fixed 4.50000000 N N N N N N Climate Real Impact Solutions II Acquisition Corp N/A 187171202 9082.00000000 NS USD 91909.84000000 0.002464391072 Long EC CORP US N 1 N N N Florida Power & Light Co A89MY1K3YLIGJMYWVX50 341081FP7 410000.00000000 PA USD 482225.34000000 0.012929973796 Long DBT CORP US N 2 2047-12-01 Fixed 3.70000000 N N N N N N Morgan Stanley Capital I Trust N/A 61765DAC2 110000.00000000 PA USD 98822.82000000 0.002649749747 Long ABS-MBS CORP US N 2 2048-05-15 Variable 4.16600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LQ2K9 162400.55000000 PA USD 175507.24000000 0.004705899557 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N Ajax Mortgage Loan Trust N/A 00970YAA9 1339087.72000000 PA USD 1340063.11000000 0.035931294895 Long ABS-O CORP US N 2 2058-10-25 Variable 3.95000000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86360QAE5 924171.88000000 PA USD 866627.86000000 0.023237010981 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.47200000 N N N N N N Stoneway Capital Corp 549300CV1RKODDF74O91 000000000 1193765.88000000 PA USD 340223.28000000 0.009122453198 Long DBT CORP CA Y 2 2027-03-01 None 0.00000000 Y N N N N N ROCKFORD TOWER EUROPE CLO 635400J1BXSISHD5XN53 000000000 407000.00000000 PA 482601.26000000 0.012940053390 Long ABS-CBDO CORP IE Y 2 2031-12-20 Floating 1.85000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FGD2 2489.35000000 PA USD 2753.03000000 0.000073817368 Long ABS-MBS USGA US N 2 2040-05-20 Fixed 4.50000000 N N N N N N Anchorage Capital CLO LTD 54930014PVHLSZJQK139 03328TBA2 830000.00000000 PA USD 830951.18000000 0.022280407295 Long ABS-CBDO CORP KY N 2 2031-01-28 Floating 1.27400000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 11304.36000000 0.000303105346 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 7804185.49000000 ZAR 557000.00000000 USD 2021-07-14 11304.36000000 N N N Eskom Holdings SOC Ltd 3789001900ED06F65111 000000000 741000.00000000 PA USD 781755.00000000 0.020961303413 Long DBT CORP ZA Y 2 2025-02-11 Fixed 7.12500000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1185000.00000000 OU Notional Amount USD -2826.73000000 -0.00007579349 N/A DCR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 BOEING CO BOEING CO Y buy protection 2024-12-20 0.00000000 USD -9744.05000000 USD 1185000.00000000 USD 6917.32000000 N N N VOYA EURO CLO 635400URG3IUW6R6W254 000000000 1030000.00000000 PA 1221322.63000000 0.032747490214 Long ABS-CBDO CORP IE N 2 2035-07-15 Floating 0.00000000 N N N N N N TBA 33 CENT CLAIMS FRN BRSQ34E97 N/A 000000000 271437.50000000 PA USD 4207.28000000 0.000112810372 Long DBT CORP US N 2 2049-12-31 Fixed 0.00000000 N N N N N N Trestles CLO LTD N/A 89532TAA4 1170000.00000000 PA USD 1171847.43000000 0.031420904930 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 1.51800000 N N N N N N FMG RESOURCES AUG 2006 549300EFD6S2NFE9D745 30251GBA4 54000.00000000 PA USD 58725.00000000 0.001574601432 Long DBT CORP AU N 2 2027-09-15 Fixed 4.50000000 N N N N N N Latam Finance Ltd N/A 000000000 200000.00000000 PA USD 187000.00000000 0.005014056498 Long DBT CORP KY Y 2 2024-04-11 None 0.00000000 Y N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMR23 1900981.41000000 PA USD 2057687.44000000 0.055173053909 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 59023CAD4 711900.12000000 PA USD 616160.37000000 0.016521192018 Long ABS-MBS CORP US N 2 2036-05-25 Variable 2.71300000 N N N N N N CHENIERE ENERGY INC MIHC87W9WTYSYZWV1J40 16411RAJ8 426000.00000000 PA USD 449430.00000000 0.012050627873 Long DBT CORP US N 2 2028-10-15 Fixed 4.62500000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 465968AK1 110000.00000000 PA USD 120411.92000000 0.003228621230 Long ABS-MBS CORP US N 2 2050-09-15 Fixed 4.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YAVZ5 498458.87000000 PA USD 523547.80000000 0.014037958550 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 2.50000000 N N N N N N Bayview Commercial Asset Trust N/A 07324NAB9 138466.53000000 PA USD 132767.87000000 0.003559923002 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.39200000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1860000.00000000 OU Notional Amount USD 47312.82000000 0.001268605094 N/A DFE LU N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Put Purchased Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 1.00000000 NC USD 47312.82000000 0.00000000 DFE US 9448800.00000000 BRL 1860000.00000000 USD 2021-07-14 1.00000000 5.08000000 USD 2021-07-14 XXXX 17515.62000000 N N N AMER AIRLINE 16-3 AA PTT N/A 023771R91 1703195.33000000 PA USD 1730356.70000000 0.046396290143 Long DBT CORP US N 2 2028-10-15 Fixed 3.00000000 N N N N N N Carlyle Global Market Strategies N/A 14315BAA4 1550000.00000000 PA USD 1551046.25000000 0.041588414597 Long ABS-CBDO CORP KY N 2 2030-01-15 Floating 1.36400000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1483000.00000000 OU Notional Amount USD 35.59000000 0.000000954279 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Put Purchased BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 1.00000000 NC USD 35.59000000 0.00000000 DFE US 20168800.00000000 ZAR 1483000.00000000 USD 2021-07-12 1.00000000 13.60000000 USD 2021-07-12 XXXX -15639.10000000 N N N AT&T INC 549300Z40J86GGSTL398 00206RJY9 1964000.00000000 PA USD 2041555.47000000 0.054740505198 Long DBT CORP US N 2 2031-06-01 Fixed 2.75000000 N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -12787.61000000 -0.00034287593 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2824062.00000000 BRL 555000.00000000 USD 2021-07-02 -12787.61000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810RZ3 20100000.00000000 PA USD 22881023.54000000 0.613512004172 Long DBT UST US N 2 2047-11-15 Fixed 2.75000000 N N N N N N SALESFORCE.COM INC RCGZFPDMRW58VJ54VR07 79466LAM6 162000.00000000 PA USD 164141.65000000 0.004401152443 Long DBT CORP US N 2 2061-07-15 Fixed 3.05000000 N N N N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MFH2 522000.00000000 PA USD 649559.93000000 0.017416738975 Long DBT CORP US N 2 2048-09-01 Fixed 4.45000000 N N N N N N Loanpal Solar Loan Ltd. N/A 53948KAA7 1181100.23000000 PA USD 1226641.57000000 0.032890107677 Long ABS-O CORP US N 2 2047-07-20 Fixed 2.75000000 N N N N N N Countrywide Home Equity Loan Trust N/A 126686AA2 395615.63000000 PA USD 345981.46000000 0.009276848064 Long ABS-O CORP US N 2 2036-11-15 Floating 0.22300000 N N N N N N CD Commercial Mortgage Trust N/A 12515GAD9 350000.00000000 PA USD 386825.01000000 0.010371991739 Long ABS-MBS CORP US N 2 2050-02-10 Fixed 3.63100000 N N N N N N ALM Loan Funding N/A 00166FAG1 1220000.00000000 PA USD 1222555.90000000 0.032780558051 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 2.03400000 N N N N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585AAM4 360000.00000000 PA USD 469668.74000000 0.012593291968 Long DBT CORP US N 2 2045-12-15 Fixed 5.85000000 N N N N N N UMBS, TBA N/A 01F050676 -1795000.00000000 PA USD -1967207.81000000 -0.05274701125 Short ABS-MBS USGSE US N 2 2051-07-15 Fixed 5.00000000 N N N N N N NATL BANK CANADA N/A 000000000 1000000.00000000 PA USD 1000000.00000000 0.026813136357 Long STIV CORP US N 2 2021-07-07 Floating 0.13000000 N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBZ3 5324000.00000000 PA USD 5340637.50000000 0.143199241522 Long DBT UST US N 2 2028-04-30 Fixed 1.25000000 N N N N N N BWAY Mortgage Trust N/A 05604FAN5 600000.00000000 PA USD 627083.82000000 0.016814083973 Long ABS-MBS CORP US N 2 2033-03-10 Fixed 3.63300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MEK91 771573.57000000 PA USD 817564.42000000 0.021921466274 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 000000000 1820000.00000000 PA USD 2168013.12000000 0.058131231410 Long DBT NUSS UA Y 2 2028-11-01 Fixed 9.75000000 N N N N N N MOTOROLA SOLUTIONS INC 6S552MUG6KGJVEBSEC55 620076BU2 2975000.00000000 PA USD 3036547.93000000 0.081419373702 Long DBT CORP US N 2 2031-05-24 Fixed 2.75000000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAE3 327000.00000000 PA USD 351717.93000000 0.009430660816 Long DBT CORP US N 2 2023-08-28 Fixed 5.27200000 N N N N N N HP INC WHKXQACZ14C5XRO8LW03 40434LAC9 340000.00000000 PA USD 364151.41000000 0.009764041411 Long DBT CORP US N 2 2030-06-17 Fixed 3.40000000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 23636AAS0 1557000.00000000 PA USD 1593124.38000000 0.042716661235 Long DBT CORP DK N 2 2022-01-12 Fixed 5.00000000 N N N N N N Lam Research Corp 549300I4GMO6D34U1T02 512807AT5 1285000.00000000 PA USD 1732903.53000000 0.046464578643 Long DBT CORP US N 2 2049-03-15 Fixed 4.87500000 N N N N N N MOODY'S CORPORATION 549300GCEDD8YCF5WU84 615369AM7 399000.00000000 PA USD 437266.96000000 0.011724498623 Long DBT CORP US N 2 2028-01-15 Fixed 3.25000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61746BEF9 3448000.00000000 PA USD 3823211.15000000 0.102512281887 Long DBT CORP US N 2 2027-01-20 Fixed 3.62500000 N N N N N N Duke Energy Florida LLC 7MOHLM3DKE63RX2ZCN83 26444HAE1 755000.00000000 PA USD 855584.88000000 0.022940914052 Long DBT CORP US N 2 2028-07-15 Fixed 3.80000000 N N N N N N One Market Plaza Trust N/A 68245HAU8 4222000.00000000 PA USD 4.22000000 0.000000113151 Long ABS-MBS CORP US N 2 2032-02-10 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XWXG8 579893.21000000 PA USD 623427.71000000 0.016716052197 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.50000000 N N N N N N AEP TRANSMISSION CO LLC 549300X123Z1I0LA3Y84 00115AAK5 840000.00000000 PA USD 969557.02000000 0.025996864583 Long DBT CORP US N 2 2049-06-15 Fixed 3.80000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46651EAN4 336000.00000000 PA USD 336488.28000000 0.009022306134 Long ABS-MBS CORP US N 2 2039-06-05 Variable 3.90900000 N N N N N N Morgan Stanley Capital I Trust N/A 61692AAN2 220000.00000000 PA USD 220869.33000000 0.005922199462 Long ABS-MBS CORP US N 2 2036-12-15 Floating 3.74400000 N N N N N N UNITED AIR 2015-1 AA PTT N/A 90932LAA5 174394.29000000 PA USD 184195.25000000 0.004938852354 Long DBT CORP US N 2 2027-12-01 Fixed 3.45000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 530000.00000000 OU Notional Amount USD -1591.73000000 -0.00004267927 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -381.66000000 USD 530000.00000000 USD -1210.07000000 N N N GS Mortgage Securities Trust N/A 36254CAE0 60000.00000000 PA USD 53743.21000000 0.001441024018 Long ABS-MBS CORP US N 2 2050-08-10 Fixed 3.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 11979000.00000000 OU Notional Amount 3660.62000000 0.000098152703 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2023-06-18 52.66000000 PLN 0.00000000 PLN 11979000.00000000 PLN 3646.64000000 N N N Rockford Tower CLO Ltd 549300G18KVCW7VUKI86 77340GAL5 1781000.00000000 PA USD 1781046.31000000 0.047755437568 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 1.68400000 N N N N N N Deutsche Bank Commercial Mortgage Trust N/A 23312LAS7 240000.00000000 PA USD 258409.18000000 0.006928760579 Long ABS-MBS CORP US N 2 2049-05-10 Fixed 3.27600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XC4K5 533278.01000000 PA USD 561914.37000000 0.015066686623 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.00000000 N N N N N N LIQUID TELECOM FINANCE 635400MXAVJRJJCWVI87 536333AB3 231000.00000000 PA USD 236532.45000000 0.006342176834 Long DBT CORP GB N 2 2026-09-04 Fixed 5.50000000 N N N N N N Progress Residential Trust N/A 74333EAG7 1340000.00000000 PA USD 1337520.06000000 0.035863107749 Long ABS-O CORP US N 2 2038-05-17 Fixed 3.40700000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 35564KDY2 1050000.00000000 PA USD 1178088.24000000 0.031588240620 Long ABS-MBS USGSE US N 2 2033-08-25 Floating 6.01800000 N N N N N N FRESB Multifamily Mortgage Pass-Through Certifica 549300P6Y1UBYR0WQ049 30297DAJ9 372149.19000000 PA USD 404013.24000000 0.010832862094 Long ABS-MBS USGSE US N 2 2028-06-25 Variable 3.66000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AC1 215000.00000000 PA USD 222659.38000000 0.005970196317 Long DBT CORP US N 2 2027-02-15 Fixed 5.00000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46646GAA5 238000.00000000 PA USD 253747.15000000 0.006803756933 Long ABS-MBS CORP US N 2 2038-09-06 Variable 2.94900000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CG5 1767000.00000000 PA USD 1883509.71000000 0.050502802684 Long DBT CORP NL N 2 2030-04-06 Fixed 2.75000000 N N N N N N ITAU UNIBANCO HLDG SA/KY 5493002W2IVG62O3ZJ94 46556JAA7 901000.00000000 PA USD 920011.10000000 0.024668383074 Long DBT CORP BR N 2 2023-01-24 Fixed 2.90000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAY7 1230000.00000000 PA USD 1246605.00000000 0.033425389848 Long DBT CORP US N 2 2028-07-15 Fixed 2.45000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CX1 1089000.00000000 PA USD 1503755.03000000 0.040320388667 Long DBT CORP US N 2 2060-05-01 Fixed 5.93000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AX8 482000.00000000 PA USD 483823.10000000 0.012972814753 Long DBT CORP GB N 2 2030-09-10 Fixed 2.62500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 490000.00000000 OU Notional Amount USD 8493.60000000 0.000227740054 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 REPUBLIC OF COLOMBIA REPUBLIC OF COLOMBIA Y buy protection 2026-06-20 9748.12000000 USD 0.00000000 USD 490000.00000000 USD -1254.52000000 N N N LBM Acquisition LLC 549300FAEB3VWZL4NI86 50179JAB4 256957.07000000 PA USD 255752.46000000 0.006857525583 Long LON CORP US N 2 2027-12-17 Floating 4.50000000 N N N N N N MARINER CLO LLC 549300SC4HK60KIV1S28 56844XBJ7 1412000.00000000 PA USD 1412073.42000000 0.037862117156 Long ABS-CBDO CORP US N 2 2029-04-20 Floating 1.68800000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46651MAQ9 774000.00000000 PA USD 765169.43000000 0.020516592263 Long ABS-MBS CORP US N 2 2036-07-15 Floating 3.07300000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148LAE6 1485000.00000000 PA USD 1624508.99000000 0.043558181062 Long DBT CORP US N 2 2025-05-22 Fixed 3.75000000 N N N N N N Signal Peak CLO, LLC N/A 56845AAY4 1015000.00000000 PA USD 1006259.84000000 0.026980982300 Long ABS-CBDO CORP KY N 2 2029-07-23 Floating 2.22300000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -64775000.00000000 NC USD -1879479.01000000 -0.05039472697 N/A DIR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 64775000.00000000 OU Notional Amount N/A -1879479.01000000 -0.05000000 DIR US N/A N/A 2031-10-22 0.00000000 N/A 0.00000000 N/A 64775000.00000000 USD 1.00000000 0.01720000 USD 2021-10-20 XXXX -504629.63000000 N N N TOYOTA MOTOR CREDIT CORP Z2VZBHUMB7PWWJ63I008 89236THX6 1458000.00000000 PA USD 1423015.68000000 0.038155513466 Long DBT CORP US N 2 2031-01-10 Fixed 1.65000000 N N N N N N Conseco Financial Corp N/A 393505F64 139673.23000000 PA USD 136650.98000000 0.003664041360 Long ABS-O CORP US N 2 2030-04-01 Variable 6.83000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GUMN4 887757.19000000 PA USD 977544.29000000 0.026211028343 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4.50000000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 064058AJ9 255000.00000000 PA USD 265518.75000000 0.007119390449 Long DBT CORP US N 2 2026-03-20 Fixed 3.70000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 4829.78000000 0.000129501549 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 36162000.00000000 JPY 330538.99000000 USD 2021-09-15 4829.78000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BKV7 1111865.19000000 PA USD 1219916.13000000 0.032709777538 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17308CC53 7557000.00000000 PA USD 8004237.24000000 0.214618704552 Long DBT CORP US N 2 2030-11-05 Fixed 2.97600000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CBC7 1481000.00000000 PA USD 1642075.60000000 0.044029196971 Long DBT CORP US N 2 2051-04-15 Fixed 3.45000000 N N N N N N Bank N/A 06540AAF8 8619000.00000000 PA USD 245634.60000000 0.006586234023 Long ABS-MBS CORP US N 2 2062-09-15 Variable 0.46200000 N N N N N N VEDANTA RESOURCES 8945002DGA3BBXO3N634 92243XAE1 900000.00000000 PA USD 882450.00000000 0.023661252178 Long DBT CORP GB N 2 2025-03-11 Fixed 8.95000000 N N N N N N Genius Sports Ltd N/A 000000000 53873.00000000 NS USD 427751.62000000 0.011469362514 N/A DE GG N 1 N/A N/A Call Purchased Genius Sports Ltd Genius Sports Ltd 1.00000000 11.50000000 USD 2028-12-31 XXXX 227429.87000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 060505FL3 1765000.00000000 PA USD 2020148.40000000 0.054166514511 Long DBT CORP US N 2 2028-03-15 Fixed 5.87500000 N N N N N N Atmos Energy Corp QVLWEGTD2S8GJMO8D383 049560AQ8 368000.00000000 PA USD 444521.89000000 0.011919026050 Long DBT CORP US N 2 2049-03-15 Fixed 4.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312943WD1 143359.65000000 PA USD 158393.07000000 0.004247014983 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFYN0 387897.59000000 PA USD 407246.50000000 0.010919555935 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1090000.00000000 OU Notional Amount USD -11762.46000000 -0.00031538844 N/A DCR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Markit CMBX.NA.AAA.9 137BENAI7 Y buy protection 2058-09-17 13408.62000000 USD 0.00000000 USD 1090000.00000000 USD -25171.08000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RAR0 1104000.00000000 PA USD 1433351.44000000 0.038432647608 Long DBT CORP US N 2 2042-02-01 Fixed 6.50000000 N N N N N N JUNIPER NETWORKS INC AUHIXNGG7U2U7JEHM527 48203RAP9 723000.00000000 PA USD 690771.95000000 0.018521762487 Long DBT CORP US N 2 2030-12-10 Fixed 2.00000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967KY6 973000.00000000 PA USD 1054012.53000000 0.028261381689 Long DBT CORP US N 2 2026-10-21 Fixed 3.20000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 655.40000000 0.000017573329 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 409060800.00000000 CLP 557000.00000000 USD 2021-08-18 655.40000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312944SL6 96146.46000000 PA USD 106231.06000000 0.002848387897 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -5049.60000000 -0.00013539561 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 554000.00000000 USD 60979888.00000000 JPY 2021-07-14 -5049.60000000 N N N CSX CORP 549300JVQR4N1MMP3Q88 126408HT3 431000.00000000 PA USD 391259.76000000 0.010490901296 Long DBT CORP US N 2 2051-05-15 Fixed 2.50000000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 32028KAE6 2212614.75000000 PA USD 2074689.42000000 0.055628930317 Long ABS-O CORP US N 2 2036-12-25 Floating 0.24200000 N N N N N N MASTR Asset Backed Securities Trust N/A 57645FAQ0 436685.59000000 PA USD 405661.35000000 0.010877053092 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.61200000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513EAB7 906000.00000000 PA 1200327.42000000 0.032184542785 Long DBT CORP US N 2 2030-05-18 Fixed 2.15000000 N N N N N N HCA Healthcare Inc 529900PH4ZGUH2MNEU89 40412C101 5002.00000000 NS USD 1034113.48000000 0.027727825748 Long EC CORP US N 1 N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFR0 17000.00000000 PA USD 20483.87000000 0.000549236799 Long DBT CORP US N 2 2050-04-01 Fixed 4.20000000 N N N N N N American Tower Corp 5493006ORUSIL88JOE18 03027XAD2 292000.00000000 PA USD 323841.02000000 0.008683193427 Long DBT US N 2 2024-02-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5XZ7 87745.52000000 PA USD 91846.88000000 0.002462702917 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 2.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMC3 2278000.00000000 PA USD 2288639.49000000 0.061365602718 Long DBT CORP US N 2 2053-09-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMQ73 386655.11000000 PA USD 424540.23000000 0.011383255076 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.00000000 N N N N N N Fixed Income Clearing Corp 549300H47WTHXPU08X20 000000000 425093957.76000000 PA USD 425093957.76000000 11.39810225408 Long RA CORP US N 2 Repurchase N 0.00000000 2021-07-01 439293500.00000000 USD 433595857.73374900 USD UST N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GTPY7 31975.45000000 PA USD 34570.87000000 0.000926953451 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.50000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135BF2 394000.00000000 PA USD 469825.50000000 0.012597495195 Long DBT CORP US N 2 2037-08-22 Fixed 3.87500000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YDA4 49000.00000000 PA USD 62307.66000000 0.001670663783 Long DBT CORP US N 2 2044-06-15 Fixed 4.85000000 N N N N N N CEDAR FAIR/CAN/MAGNUM/MI N/A 150190AB2 451000.00000000 PA USD 464530.00000000 0.012455506232 Long DBT CORP US N 2 2027-04-15 Fixed 5.37500000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -8961.42000000 -0.00024028377 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1296000.00000000 USD 1449498240.00000000 KRW 2021-07-12 -8961.42000000 N N N Banc of America Merrill Lynch Large Loan Inc 549300UQK6PJ8BF5JQ90 05526QAN6 250000.00000000 PA USD 256305.43000000 0.006872352443 Long ABS-MBS CORP US N 2 2033-04-14 Variable 3.71600000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKG6 1066000.00000000 PA USD 1058061.58000000 0.028369949418 Long DBT CORP US N 2 2028-02-01 Fixed 1.65000000 N N N N N N MEGLOBAL CANADA ULC 635400MHHHT7LMKMQL03 58518N2B7 555000.00000000 PA USD 622210.50000000 0.016683414979 Long DBT CORP CA N 2 2025-05-18 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312943JY0 57026.57000000 PA USD 62783.91000000 0.001683433539 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N BX Trust 2019-OC11 N/A 05606FAN3 2517000.00000000 PA USD 2632385.57000000 0.070582513233 Long ABS-MBS CORP US N 2 2041-12-09 Variable 4.07500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BR5 859000.00000000 PA USD 876953.67000000 0.023513878332 Long DBT CORP US N 2 2026-06-15 Fixed 2.25000000 N N N N N N Bankers Healthcare Group Securitization Trust N/A 06616PAC1 100000.00000000 PA USD 105772.27000000 0.002836086298 Long ABS-O CORP US N 2 2031-09-17 Fixed 5.17000000 N N N N N N Madison Park Funding Ltd N/A 55819BAL4 5000000.00000000 PA USD 5002845.00000000 0.134141965159 Long ABS-CBDO CORP KY N 2 2030-10-21 Floating 1.37600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412MJ82 117458.25000000 PA USD 136648.93000000 0.003663986393 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 000000000 422000.00000000 PA USD 447362.20000000 0.011995183669 Long DBT NUSS EG Y 2 2032-05-29 Fixed 7.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X5EH6 264146.56000000 PA USD 282784.02000000 0.007582326487 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418MGR7 98201.40000000 PA USD 116539.69000000 0.003124794599 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 8145.68000000 0.000218411228 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 370000.00000000 USD 1880821.00000000 BRL 2021-07-02 8145.68000000 N N N Diamondback Energy Inc 549300R22LSX6OHWEN64 25278X109 4363.00000000 NS USD 409642.07000000 0.010983788680 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GVGT3 677077.13000000 PA USD 743966.52000000 0.019948075746 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N Battalion CLO LTD 549300RRK5G3IT4Y7N27 07132JBC7 6220000.00000000 PA USD 6218432.56000000 0.166735680159 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 1.34600000 N N N N N N ATENTO LUXCO 1 SA 549300MLFF3HYCZQTC48 04684LAC2 200000.00000000 PA USD 217613.97000000 0.005834913050 Long DBT CORP LU N 2 2026-02-10 Fixed 8.00000000 N N N N N N OZLM Ltd 5493002SZMQH8ZTTHX49 67112GAA6 520000.00000000 PA USD 520213.72000000 0.013948561409 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 1.20400000 N N N N N N Madison Park Euro Funding 635400X2NOVLPNW79680 000000000 250000.00000000 PA 283517.01000000 0.007601980248 Long ABS-CBDO CORP IE N 2 2034-05-25 Floating 6.02000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46651MAN6 570000.00000000 PA USD 562618.39000000 0.015085563608 Long ABS-MBS CORP US N 2 2036-07-15 Floating 2.23300000 N N N N N N MIDWEST GMNG BOR/MWG FIN N/A 59833DAB6 609000.00000000 PA USD 609761.25000000 0.016349611541 Long DBT CORP US N 2 2029-05-01 Fixed 4.87500000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAG8 65000.00000000 PA USD 76067.55000000 0.002039609590 Long DBT CORP US N 2 2028-08-28 Fixed 5.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJVE9 1280234.04000000 PA USD 1356955.30000000 0.036384227489 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 000000000 623000.00000000 PA 797396.09000000 0.021380690091 Long DBT CORP US N 2 2027-06-15 Fixed 2.20000000 N N N N N N Bausch Health Cos Inc B3BS7ACMDUWISF18KY76 071734AF4 318000.00000000 PA USD 324967.38000000 0.008713394671 Long DBT CORP CA N 2 2029-05-30 Fixed 7.25000000 N N N N N N RR Ltd 549300213Q1LH7O32902 74979VAE3 250000.00000000 PA USD 250012.75000000 0.006703625956 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 1.83400000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 500000.00000000 OU Notional Amount USD 38883.53000000 0.001042589391 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Markit CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-17 16665.65000000 USD 0.00000000 USD 500000.00000000 USD 22217.88000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828Y87 14357000.00000000 PA USD 14919502.81000000 0.400038663227 Long DBT UST US N 2 2024-07-31 Fixed 1.75000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DT1 4711000.00000000 PA USD 5212524.25000000 0.139764123481 Long DBT CORP US N 2 2025-04-15 Fixed 4.00000000 N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAY2 3966000.00000000 PA USD 4280611.36000000 0.114776616088 Long DBT CORP US N 2 2024-12-05 Fixed 4.02300000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MU2 780000.00000000 PA USD 806325.00000000 0.021620102173 Long DBT CORP US N 2 2025-12-10 Fixed 4.00000000 N N N N N N COMMONWEALTH EDISON CO D8YOXB8L2ZDC8P7Q0771 202795JT8 775000.00000000 PA USD 808993.41000000 0.021691650614 Long DBT CORP US N 2 2051-03-15 Fixed 3.12500000 N N N N N N Gilead Sciences Inc 549300WTZWR07K8MNV44 375558BD4 369000.00000000 PA USD 467948.29000000 0.012547161307 Long DBT CORP US N 2 2046-03-01 Fixed 4.75000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 540000.00000000 OU Notional Amount USD -1621.76000000 -0.00004348447 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1300.30000000 USD 540000.00000000 USD -321.46000000 N N N BWAY Mortgage Trust N/A 05604FAC9 1847304.00000000 PA USD 1976896.99000000 0.053006808557 Long ABS-MBS CORP US N 2 2033-03-10 Fixed 3.45400000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAM2 13548000.00000000 PA USD 13234905.72000000 0.354869331746 Long DBT NUSS MX N 2 2031-05-24 Fixed 2.65900000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CRC0 840162.20000000 PA USD 888758.51000000 0.023830403117 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N BOYD GAMING CORP 254900787YGRYS2A1Z35 103304BS9 302000.00000000 PA USD 332915.74000000 0.008926515132 Long DBT CORP US N 2 2025-06-01 Fixed 8.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FMDA1 461387.38000000 PA USD 489571.59000000 0.013126949799 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 3.00000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05492NAG8 237000.00000000 PA USD 229896.92000000 0.006164257464 Long ABS-MBS CORP US N 2 2034-11-15 Floating 2.23300000 N N N N N N SRS Distribution Inc. N/A 78466YAN8 950000.00000000 PA USD 950371.45000000 0.025482439278 Long LON CORP US N 2 2028-06-02 Floating 4.25000000 N N N N N N Aimco N/A 00900LAH7 250000.00000000 PA USD 250105.75000000 0.006706119578 Long ABS-CBDO CORP KY N 2 2028-01-15 Floating 1.48400000 N N N N N N Antares CLO N/A 03666BAA2 1820000.00000000 PA USD 1820000.00000000 0.048799908170 Long ABS-CBDO CORP KY N 2 2033-07-25 Floating 0.00000000 N N N N N N Axtel SAB de CV 549300BVRDR8XTSXAD13 05462GAJ3 451000.00000000 PA USD 466785.00000000 0.012515969854 Long DBT CORP MX N 2 2024-11-14 Fixed 6.37500000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 93364BAA8 509176.90000000 PA USD 484184.97000000 0.012982517622 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.86600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FB47 142317.71000000 PA USD 161919.91000000 0.004341580625 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 5.00000000 N N N N N N Octagon Investment Partners XVI Ltd N/A 67590BAQ3 3370000.00000000 PA USD 3371445.73000000 0.090399034079 Long ABS-CBDO CORP KY N 2 2030-07-17 Floating 1.21000000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 90352JAF0 2545000.00000000 PA USD 2802681.25000000 0.075148674522 Long DBT CORP CH N 2 2024-01-31 Fixed 7.00000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBJ3 3603000.00000000 PA USD 3906995.34000000 0.104758798798 Long DBT CORP US N 2 2046-07-15 Fixed 4.00000000 N N N N N N LITIGATION FEE RESIDUAL FDG N/A 53688TAA2 592017.76000000 PA USD 592017.76000000 0.015873852924 Long DBT CORP US N 2 2027-10-30 Fixed 4.00000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -14208.54000000 -0.00038097552 N/A DFE ZA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 372000.00000000 USD 5116901.66000000 ZAR 2021-07-14 -14208.54000000 N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AY4 3240000.00000000 PA USD 3232083.51000000 0.086662295871 Long DBT CORP US N 2 2030-09-01 Fixed 2.50000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YTRT3 73280.01000000 PA USD 77236.65000000 0.002070956828 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 126395AN2 750000.00000000 PA USD 762336.38000000 0.020440629307 Long ABS-MBS CORP US N 2 2037-10-15 Floating 4.93500000 N N N N N N SHELF DRILL HOLD LTD 54930078ZJ3XP4MRYB68 822538AG9 72000.00000000 PA USD 74340.00000000 0.001993288556 Long DBT CORP KY N 2 2024-11-15 Fixed 8.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M8YB3 58727.10000000 PA USD 61528.85000000 0.001649781444 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.50000000 N N N N N N Countrywide Alternative Loan Trust N/A 23245QAA7 1239055.83000000 PA USD 1065565.09000000 0.028571142055 Long ABS-MBS CORP US N 2 2047-03-20 Floating 0.28300000 N N N N N N Madison Park Funding Ltd 549300VE70J453FXBE45 55818HBQ0 1560491.81000000 PA USD 1560618.21000000 0.041845068866 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 1.19800000 N N N N N N Euro Galaxy CLO BV 5493000DO5029DBEJL19 000000000 250000.00000000 PA 297003.14000000 0.007963585691 Long ABS-CBDO CORP IE N 2 2035-07-25 Floating 2.40000000 N N N N N N Cedar Funding Ltd 549300PTCF9P2JDL1E69 15032EAA7 5150000.00000000 PA USD 5154336.30000000 0.138203922043 Long ABS-CBDO CORP KY N 2 2030-10-17 Floating 1.44000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QZ4 3865000.00000000 PA USD 4618071.09000000 0.123824969843 Long DBT UST US N 2 2043-02-15 Fixed 3.12500000 N N N N N N OMNICOM GROUP INC HKUPACFHSSASQK8HLS17 681919BC9 738000.00000000 PA USD 851980.69000000 0.022844274414 Long DBT CORP US N 2 2030-06-01 Fixed 4.20000000 N N N N N N UNITED PARCEL SERVICE D01LMJZU09ULLNCY6Z23 911312BY1 2302000.00000000 PA USD 2786126.78000000 0.074704797260 Long DBT CORP US N 2 2030-04-01 Fixed 4.45000000 N N N N N N Logan CLO I Ltd N/A 540543AA3 730000.00000000 PA USD 730248.93000000 0.019580264134 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 1.31200000 N N N N N N Palmer Square Loan Funding Ltd N/A 69701EAC0 980000.00000000 PA USD 975623.32000000 0.026159521112 Long ABS-CBDO CORP KY N 2 2028-02-20 Floating 1.50500000 N N N N N N Conseco Financial Corp N/A 393505P22 965202.66000000 PA USD 915192.81000000 0.024539189607 Long ABS-O CORP US N 2 2030-09-01 Variable 6.98000000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12597BAW9 5889739.25000000 PA USD 511631.05000000 0.013718433108 Long ABS-MBS CORP US N 2 2052-09-15 Variable 1.50600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFAF3 45125.99000000 PA USD 47377.25000000 0.001270332664 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Cedar Funding Ltd 635400NWFWJ92O7QGD64 15032AAN7 770000.00000000 PA USD 770564.41000000 0.020661248597 Long ABS-CBDO CORP KY N 2 2031-07-17 Floating 1.29000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJET1 575101.62000000 PA USD 605960.00000000 0.016247688107 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 6019.41000000 0.000161399261 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 620529493.00000000 KRW 557000.00000000 USD 2021-07-12 6019.41000000 N N N DP World Crescent Ltd 21380096JRTWB8TL9236 000000000 398000.00000000 PA USD 418895.00000000 0.011231888754 Long DBT CORP KY Y 2 2023-05-31 Fixed 3.90800000 N N N N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 68233JBP8 243000.00000000 PA USD 288764.24000000 0.007742674942 Long DBT CORP US N 2 2049-06-01 Fixed 3.80000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBU4 10482000.00000000 PA USD 10466031.30000000 0.280627124366 Long DBT UST US N 2 2023-03-31 Fixed 0.12500000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 000000000 26900483.00000000 PA 1720316.73000000 0.046127087059 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25000000 N N N N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 677415CT6 1525000.00000000 PA USD 1461716.50000000 0.039193203830 Long DBT CORP US N 2 2031-01-15 Fixed 1.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394C3E0 13106.01000000 PA USD 13710.85000000 0.000367630890 Long ABS-MBS USGSE US N 2 2035-04-25 Fixed 5.00000000 N N N N N N APPLIED MATERIALS INC 41BNNE1AFPNAZELZ6K07 038222AP0 659000.00000000 PA USD 654008.91000000 0.017536030082 Long DBT CORP US N 2 2050-06-01 Fixed 2.75000000 N N N N N N Ovintiv Inc N/A 69047Q102 12193.00000000 NS USD 383713.71000000 0.010288568028 Long EC CORP US N 1 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 -64775000.00000000 NC USD -509831.07000000 -0.01367016999 N/A DIR US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Put Written Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 N/A 64775000.00000000 OU Notional Amount N/A -509831.07000000 -0.01000000 DIR US N/A N/A 2031-10-22 0.00000000 N/A 0.00000000 N/A 64775000.00000000 USD 1.00000000 0.01680000 USD 2021-10-20 XXXX 873115.18000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJ4W5 916946.21000000 PA USD 972987.30000000 0.026088841148 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DPF8 223558.59000000 PA USD 237723.75000000 0.006374119324 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 3.50000000 N N N N N N BankAmerica Manufactured Housing Contract Trust N/A 06606FAM3 470000.00000000 PA USD 227765.95000000 0.006107119474 Long ABS-O CORP US N 2 2022-02-10 Variable 7.07000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AM8 10394000.00000000 PA USD 11879690.30000000 0.318531755896 Long DBT CORP US N 2 2025-03-01 Fixed 5.62500000 N N N N N N XPO Logistics, Inc. 54930096DB9LCLPN7H13 98379EAE6 1462420.00000000 PA USD 1457517.97000000 0.039080628072 Long LON CORP US N 2 2025-02-24 Floating 1.88100000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513AQ8 660000.00000000 PA USD 720154.49000000 0.019309600538 Long DBT CORP US N 2 2027-03-02 Fixed 3.20000000 N N N N N N CENTERPOINT ENER HOUSTON 549300S8SEQBOJLKHW63 15189XAV0 1250000.00000000 PA USD 1281545.29000000 0.034362248608 Long DBT CORP US N 2 2031-04-01 Fixed 2.35000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAL0 405000.00000000 PA USD 475261.25000000 0.012743244701 Long DBT CORP US N 2 2048-11-15 Fixed 3.96400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379UE85 1568851.13000000 PA USD 84986.71000000 0.002278760243 Long ABS-MBS USGA US N 2 2058-05-16 Variable 0.94100000 N N N N N N BWAY Mortgage Trust N/A 05604FAL9 1495000.00000000 PA USD 1568799.03000000 0.042064422308 Long ABS-MBS CORP US N 2 2033-03-10 Fixed 3.44600000 N N N N N N Bain Capital Credit CLO, Limited 549300GUKNMHLHIJO049 05682QAU0 250000.00000000 PA USD 250006.50000000 0.006703458374 Long ABS-CBDO CORP KY N 2 2030-07-20 Variable 1.59300000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300DNBJ7A0SEFVK31 95000GAA2 1430000.00000000 PA USD 77277.20000000 0.002072044100 Long ABS-MBS CORP US N 2 2049-08-15 Variable 1.39800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A5V66 148313.50000000 PA USD 169598.65000000 0.004547471728 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 12270.09000000 0.000328999596 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 457000.00000000 EUR 554361.61000000 USD 2021-07-20 12270.09000000 N N N Suncor Energy Inc 549300W70ZOQDVLCHY06 867229AE6 417000.00000000 PA USD 589941.50000000 0.015818181882 Long DBT CORP CA N 2 2038-06-15 Fixed 6.50000000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057BZ6 225000.00000000 PA USD 246093.75000000 0.006598545275 Long DBT CORP US N 2 2024-04-30 Fixed 4.50000000 N N N N N N Bayview Commercial Asset Trust 5493003DOWFR7J1QCW02 07326FAE8 1280000.00000000 PA USD 1228859.90000000 0.032949588062 Long ABS-MBS CORP US N 2 2037-12-25 Floating 1.59200000 N N N N N N 522 Funding CLO LTD N/A 33834WAG7 360000.00000000 PA USD 360038.16000000 0.009653752277 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 3.83800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WSC7 343982.16000000 PA USD 383513.10000000 0.010283189045 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 4.50000000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 33767BAC3 2814000.00000000 PA USD 3300435.47000000 0.088495026295 Long DBT CORP US N 2 2049-04-01 Fixed 4.55000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 5460.05000000 0.000146401065 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 371000.00000000 USD 1872437.00000000 BRL 2021-07-02 5460.05000000 N N N ODBRCHT OFFSHRE DRLL FIN 549300L7LF2PIRAWID66 67576GAD9 235.00000000 PA USD 55.81000000 0.000001496441 Long DBT CORP KY N 2 2026-12-01 Fixed 7.72000000 N N Y N N N BRITISH AIR 20-1 A PPT N/A 11044MAA4 212772.85000000 PA USD 228978.80000000 0.006139639787 Long DBT CORP US N 2 2034-05-15 Fixed 4.25000000 N N N N N N Dorchester Park CLO Ltd 549300UGHN2HEE8W3M89 25820NAC8 934000.00000000 PA USD 933533.00000000 0.025030947623 Long ABS-CBDO CORP IE N 2 2028-04-20 Floating 1.63800000 N N N N N N Bayview Commercial Asset Trust N/A 07324SDF6 97346.88000000 PA USD 92256.37000000 0.002473682628 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.63200000 N N N N N N Impac Secured Assets Corp. N/A 45255RAA5 240752.54000000 PA USD 222011.83000000 0.005952833470 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.26200000 N N N N N N OneMain Financial Issuance Trust N/A 68269LAA4 2332000.00000000 PA USD 2432867.63000000 0.065232811502 Long ABS-O CORP US N 2 2032-05-14 Fixed 3.84000000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057BV5 45000.00000000 PA USD 50456.25000000 0.001352890311 Long DBT CORP US N 2 2025-05-30 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31391JQR4 28021.48000000 PA USD 31261.09000000 0.000838207868 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.50000000 N N N N N N Ecopetrol SA 254900IDGKCJICKBPA66 279158AL3 2112000.00000000 PA USD 2328691.20000000 0.062439514679 Long DBT CORP CO N 2 2026-06-26 Fixed 5.37500000 N N N N N N Towd Point Mortgage Trust N/A 89177KAC9 2110000.00000000 PA USD 2143078.89000000 0.057462666502 Long ABS-O CORP US N 2 2058-11-25 Variable 4.50000000 N N N N N N American Money Management Corporation 549300YZO1X7UK2OVY35 00176CAN1 500000.00000000 PA USD 499875.00000000 0.013403216536 Long ABS-CBDO CORP KY N 2 2030-11-10 Floating 1.36200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M57A4 584363.29000000 PA USD 643277.15000000 0.017248277938 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4.00000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162DAF5 12666258.80000000 PA USD 913062.47000000 0.024482068510 Long ABS-MBS CORP US N 2 2057-08-15 Variable 1.26300000 N N N N N N Washington Mutual Bank N/A 939ESCAZ2 3780000.00000000 PA USD 0.38000000 0.000000010188 Long DBT CORP US N 3 2017-09-21 None 0.00000000 Y N N N N N ALBERTSONS COS/SAFEWAY N/A 013093AD1 175000.00000000 PA USD 178937.50000000 0.004797875586 Long DBT CORP US N 2 2025-03-15 Fixed 5.75000000 N N N N N N Gilead Sciences Inc 549300WTZWR07K8MNV44 375558BA0 420000.00000000 PA USD 513865.32000000 0.013778340894 Long DBT CORP US N 2 2045-02-01 Fixed 4.50000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAM1 168000.00000000 PA USD 189655.20000000 0.005085250738 Long DBT CORP NL N 2 2024-03-17 Fixed 6.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BEU6 683573.81000000 PA USD 756728.32000000 0.020290259629 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.50000000 N N N N N N Climate Change Crisis Real Impact I Acquisition Corp N/A 18716C118 19550.00000000 NS USD 79762.05000000 0.002138670722 N/A DE US N 1 N/A N/A Call Purchased Climate Change Crisis Real Impact I Acquisition Corp Climate Change Crisis Real Impact I Acquisition Corp 1.00000000 11.50000000 USD 2025-09-15 XXXX 10586.07000000 N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAM3 421000.00000000 PA USD 439945.00000000 0.011796305274 Long DBT CORP US N 2 2026-08-15 Fixed 5.37500000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCR5 1344000.00000000 PA USD 1479613.90000000 0.039673089256 Long DBT CORP US N 2 2024-01-17 Fixed 5.10000000 N N N N N N BX Trust N/A 05608VAL0 280000.00000000 PA USD 279916.39000000 0.007505436333 Long ABS-MBS CORP US N 2 2034-01-15 Floating 2.32300000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 455780CF1 1895000.00000000 PA USD 2141452.10000000 0.057419047159 Long DBT NUSS ID N 2 2028-04-24 Fixed 4.10000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAR0 341000.00000000 PA USD 353397.40000000 0.009475692674 Long DBT CORP US N 2 2031-03-24 Fixed 3.12500000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 466330AN7 1030000.00000000 PA USD 1032243.55000000 0.027677687060 Long ABS-MBS CORP US N 2 2038-04-15 Floating 2.52300000 N N N N N N Kestrel Bidco Inc. N/A 000000000 3301212.50000000 PA USD 3239727.42000000 0.086867253072 Long LON CORP CA N 2 2026-12-11 Floating 4.00000000 N N N N N N Benefit Street Partners CLO Ltd N/A 08181JAA0 1030000.00000000 PA USD 1030398.61000000 0.027628218432 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.27800000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 4786420.00000000 OU Notional Amount USD -470840.14000000 -0.01262470087 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.HY.S33.V2 2I65BRSP6 Y buy protection 2024-12-20 67824.23000000 USD 0.00000000 USD 4786420.00000000 USD -538664.37000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390MJS4 2376.80000000 PA USD 2625.39000000 0.000070394940 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.00000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBV4 3477000.00000000 PA USD 3751467.11000000 0.100588599160 Long DBT CORP US N 2 2029-07-31 Fixed 3.12500000 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AR8 608000.00000000 PA USD 673137.84000000 0.018048936691 Long DBT CORP US N 2 2025-04-15 Fixed 4.95000000 N N N N N N Advanced Drainage Systems Inc 6QQTOZ5MF5DHM7K92I60 00769QAG8 163870.72000000 PA USD 164690.07000000 0.004415857303 Long LON CORP US N 2 2026-07-31 Floating 2.37500000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFM6 998000.00000000 PA USD 1095267.91000000 0.029367567818 Long DBT CORP US N 2 2025-01-22 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A5WW8 17572.27000000 PA USD 19502.95000000 0.000522935257 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QSGT9 802905.35000000 PA USD 876920.06000000 0.023512977143 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJEN4 370749.29000000 PA USD 390348.92000000 0.010466478818 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N MAF GLOBAL SECURITIES 54930037VUDNYTS17017 000000000 204000.00000000 PA USD 222266.16000000 0.005959652855 Long DBT CORP KY Y 2 2024-05-07 Fixed 4.75000000 N N N N N N PENSKE TRUCK LEASING/PTL N/A 709599BM5 1452000.00000000 PA USD 1461603.69000000 0.039190179040 Long DBT CORP US N 2 2026-06-15 Fixed 1.70000000 N N N N N N INDIA GREEN ENERGY HLDNG 2549005BFUXXT5HWAG36 45410FAA3 375000.00000000 PA USD 392437.50000000 0.010522480199 Long DBT CORP MU N 2 2024-04-29 Fixed 5.37500000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CT4 333000.00000000 PA USD 341740.96000000 0.009163146959 Long DBT CORP GB N 2 2032-05-24 Fixed 2.80400000 N N N N N N Velocity Commercial Capital Loan Trust N/A 92258TAE2 114540.05000000 PA USD 114964.03000000 0.003082546212 Long ABS-MBS CORP US N 2 2046-10-25 Variable 5.49800000 N N N N N N WILLIAM CARTER TGI2A0HXEYNQPU7TYV27 96926JAC1 262000.00000000 PA USD 275676.40000000 0.007391748903 Long DBT CORP US N 2 2027-03-15 Fixed 5.62500000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95001AAD8 305000.00000000 PA USD 248691.42000000 0.006668196955 Long ABS-MBS CORP US N 2 2050-11-15 Variable 2.60000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WJTW1 622429.31000000 PA USD 660813.91000000 0.017718493475 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410G4B6 286686.46000000 PA USD 339222.57000000 0.009095621024 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6.00000000 N N N N N N Sirius XM Radio Inc WP5O65E6BMU84LNO4227 82967NBA5 650000.00000000 PA USD 681037.50000000 0.018260751351 Long DBT CORP US N 2 2027-08-01 Fixed 5.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 745324.68000000 0.019984492275 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 30214000.00000000 EUR 36626111.46000000 USD 2021-09-15 745324.68000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371KWH0 96679.62000000 PA USD 111508.23000000 0.002989885375 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379UEH5 3153823.82000000 PA USD 128861.46000000 0.003455179898 Long ABS-MBS USGA US N 2 2058-02-16 Variable 0.76200000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDY5 696000.00000000 PA USD 704842.87000000 0.018899047983 Long DBT CORP US N 2 2040-05-15 Fixed 2.75000000 N N N N N N OZLM Funding Ltd 549300788AI08GTXXH35 67108FAN6 10503397.82000000 PA USD 10500750.96000000 0.281558067344 Long ABS-CBDO CORP KY N 2 2030-10-22 Floating 1.43400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EP4Z4 409939.51000000 PA USD 434806.06000000 0.011658514175 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWB6 583000.00000000 PA USD 642415.17000000 0.017225165551 Long DBT CORP US N 2 2027-01-26 Fixed 3.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKLB9 246620.60000000 PA USD 260505.82000000 0.006984978073 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 2.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -4046000.00000000 NC USD -117396.71000000 -0.00314777399 N/A DIR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 4046000.00000000 OU Notional Amount N/A -117396.71000000 0.00000000 DIR US N/A N/A 2031-10-22 0.00000000 N/A 0.00000000 N/A 4046000.00000000 USD 1.00000000 0.01720000 USD 2021-10-20 XXXX -35032.03000000 N N N M/I HOMES INC 5299005M71FH9CCSFB69 55305BAS0 1010000.00000000 PA USD 1053682.50000000 0.028252532549 Long DBT CORP US N 2 2028-02-01 Fixed 4.95000000 N N N N N N Agilent Technologies Inc QUIX8Y7A2WP0XRMW7G29 00846UAK7 680000.00000000 PA USD 733304.02000000 0.019662180679 Long DBT CORP US N 2 2026-09-22 Fixed 3.05000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRL1 8149918.45000000 PA USD 8949069.14000000 0.239952611121 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.50000000 N N N N N N VTR COMUNICACIONES SPA 213800XDZJKMC1AEUV94 918367AA1 226000.00000000 PA USD 235858.12000000 0.006324095932 Long DBT CORP CL N 2 2028-01-15 Fixed 5.12500000 N N N N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833AL4 1446000.00000000 PA USD 1718336.26000000 0.046073984447 Long DBT CORP US N 2 2043-05-04 Fixed 3.85000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BN8 2089000.00000000 PA USD 2308188.14000000 0.061889763336 Long DBT CORP US N 2 2024-03-15 Fixed 5.00000000 N N N N N N QUICKEN LOANS LLC/QUICKN N/A 74841CAA9 564000.00000000 PA USD 556950.00000000 0.014933576294 Long DBT CORP US N 2 2029-03-01 Fixed 3.62500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 -32388000.00000000 NC USD -1010962.27000000 -0.02710706919 N/A DIR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A 32388000.00000000 OU Notional Amount N/A -1010962.27000000 -0.03000000 DIR US N/A N/A 2031-11-05 0.00000000 N/A 0.00000000 N/A 32388000.00000000 USD 1.00000000 0.01747500 USD 2021-11-03 XXXX -356562.73000000 N N N GS Mortgage Securities Trust N/A 36257CAA5 710000.00000000 PA USD 707770.39000000 0.018977543976 Long ABS-MBS CORP US N 2 2034-05-10 Fixed 2.85600000 N N N N N N Great Lakes CLO Ltd N/A 39055VAB9 420000.00000000 PA USD 420139.44000000 0.011265256093 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 1.90400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M5G37 503087.01000000 PA USD 555939.84000000 0.014906490736 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177YDZ6 258802.22000000 PA USD 280482.71000000 0.007520621149 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 3.50000000 N N N N N N MATTAMY GROUP CORP 5493008TNY7A82WCXU31 57701RAM4 662000.00000000 PA USD 676233.00000000 0.018131927638 Long DBT CORP CA N 2 2030-03-01 Fixed 4.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197MQM3 108322.12000000 PA USD 123091.74000000 0.003300475609 Long ABS-MBS USGA US N 2 2047-03-15 Fixed 4.50000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBW9 463000.00000000 PA USD 467973.12000000 0.012547827078 Long DBT CORP US N 2 2028-06-15 Fixed 1.90000000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC -11888.51000000 -0.00031876823 N/A DFE XX N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 557471.93000000 USD 460000.00000000 EUR 2021-07-14 -11888.51000000 N N N PERFORMANCE FOOD GROUP I 549300OMUOGBYK0FFO76 69346VAA7 490000.00000000 PA USD 514965.50000000 0.013807840170 Long DBT CORP US N 2 2027-10-15 Fixed 5.50000000 N N N N N N BRASKEM NETHERLANDS N/A 10554TAF2 491000.00000000 PA USD 572019.91000000 0.015337647845 Long DBT CORP NL N 2 2081-01-23 Fixed 8.50000000 N N N N N N Conseco Finance Securitizations Corp. N/A 20846QBP2 649686.39000000 PA USD 202068.38000000 0.005418087026 Long ABS-O CORP US N 2 2029-09-01 Variable 8.06000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179NJB5 98431.81000000 PA USD 107861.62000000 0.002892108324 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 4.00000000 N N N N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 16411QAG6 135000.00000000 PA USD 145125.00000000 0.003891256413 Long DBT CORP US N 2 2029-10-01 Fixed 4.50000000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12596WAE4 7145036.22000000 PA USD 714174.95000000 0.019149270317 Long ABS-MBS CORP US N 2 2052-06-15 Variable 1.72200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HNDN6 57069.49000000 PA USD 60648.50000000 0.001626176500 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.50000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 000000000 830000.00000000 PA 1039297.63000000 0.027866829069 Long DBT CORP US N 2 2026-09-21 Fixed 1.34900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ARHV6 11956.24000000 PA USD 13833.32000000 0.000370914695 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 5.00000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAL9 1600000.00000000 PA USD 1617064.40000000 0.043358568255 Long DBT CORP ES N 2 2026-03-25 Fixed 1.84900000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DCC7 54000.00000000 PA USD 57037.50000000 0.001529354264 Long DBT CORP US N 2 2027-09-01 Fixed 5.00000000 N N N N N N LAMB WESTON HLD 5493005SMYID1D2OY946 513272AA2 356000.00000000 PA USD 368381.68000000 0.009877468217 Long DBT CORP US N 2 2024-11-01 Fixed 4.62500000 N N N N N N ING Groep NV 549300NYKK9MWM7GGW15 45685NAA4 915000.00000000 PA USD 1044172.46000000 0.027997538550 Long DBT CORP NL N 2 2026-01-06 Fixed 4.62500000 N N N N N N Genneia SA 529900YZ70LX0XWS9P67 000000000 477000.00000000 PA USD 461497.50000000 0.012374195396 Long DBT CORP AR Y 2 2022-01-20 Fixed 8.75000000 N N N N N N Bombardier Capital Mortgage Securitization Corp. N/A 09774XBN1 1270292.46000000 PA USD 300984.37000000 0.008070334954 Long ABS-O CORP US N 2 2030-06-15 Variable 7.57500000 N N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 595620AV7 680000.00000000 PA USD 726292.72000000 0.019474185736 Long DBT CORP US N 2 2050-04-15 Fixed 3.15000000 N N N N N N MGM RESORTS INTL 54930066VBP7DZEGGJ87 552953CF6 59000.00000000 PA USD 64752.50000000 0.001736217611 Long DBT CORP US N 2 2027-04-15 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 530000.00000000 OU Notional Amount USD -1591.73000000 -0.00004267927 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1529.00000000 USD 530000.00000000 USD -62.73000000 N N N CAESARS RESORT / FINCO N/A 12652AAA1 756000.00000000 PA USD 765450.00000000 0.020524115224 Long DBT CORP US N 2 2025-10-15 Fixed 5.25000000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 595620AQ8 70000.00000000 PA USD 76471.01000000 0.002050427618 Long DBT CORP US N 2 2027-05-01 Fixed 3.10000000 N N N N N N Countrywide Alternative Loan Trust N/A 02150EBG7 648301.56000000 PA USD 477579.06000000 0.012805392457 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 5.50000000 N N N N N N Buckeye Partners LP 549300C1PQJLVEIUBK50 118230AK7 391000.00000000 PA USD 404196.25000000 0.010837769166 Long DBT CORP US N 2 2023-07-01 Fixed 4.15000000 N N N N N N NSTAR ELECTRIC CO 54930080R72Y2Z31UR68 67021CAP2 442000.00000000 PA USD 508485.34000000 0.013634086757 Long DBT CORP US N 2 2030-04-01 Fixed 3.95000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 7898.71000000 0.000211789188 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 370000.00000000 USD 1879592.60000000 BRL 2021-07-02 7898.71000000 N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AP2 9000.00000000 PA USD 9269.79000000 0.000248552143 Long DBT CORP US N 2 2022-11-15 Fixed 3.12500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CW3 700000.00000000 PA USD 942641.72000000 0.025275180974 Long DBT CORP US N 2 2050-05-01 Fixed 5.80500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RQ28 133932.41000000 PA USD 142706.07000000 0.003826397313 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 3.50000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AW0 802000.00000000 PA USD 981266.96000000 0.026310844801 Long DBT CORP GB N 2 2030-04-01 Fixed 5.62500000 N N N N N N Battalion CLO LTD 549300CDYR56PY734566 07134UAA5 730000.00000000 PA USD 729817.50000000 0.019568696143 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 1.29900000 N N N N N N CITIZENS FINANCIAL GROUP 2138004JDDA4ZQUPFW65 174610AT2 680000.00000000 PA USD 736750.56000000 0.019754593226 Long DBT CORP US N 2 2030-04-30 Fixed 3.25000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AY3 387000.00000000 PA USD 424732.50000000 0.011388410437 Long DBT CORP US N 2 2028-04-01 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QTAC0 123280.70000000 PA USD 135496.83000000 0.003633094978 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 59675000.00000000 OU Notional Amount USD -592886.04000000 -0.01589713423 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2031-06-17 0.00000000 USD -3705.29000000 USD 59675000.00000000 USD -589180.75000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YNTH0 145680.02000000 PA USD 152591.89000000 0.004091467153 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179N2J6 1212666.57000000 PA USD 1302321.57000000 0.034919325837 Long ABS-MBS USGA US N 2 2044-02-20 Fixed 3.50000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 8466.44000000 0.000227011810 N/A DFE BR N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 372000.00000000 USD 1892364.00000000 BRL 2021-07-02 8466.44000000 N N N CNTL AMR BOTTLING CORP 549300DT8SH0CF6BTT37 15238XAB5 294000.00000000 PA USD 307540.17000000 0.008246116513 Long DBT CORP VG N 2 2027-01-31 Fixed 5.75000000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAH7 1113000.00000000 PA USD 1256462.55000000 0.033689701680 Long DBT CORP US N 2 2050-04-01 Fixed 3.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKF8 374000.00000000 PA USD 368949.65000000 0.009892697274 Long DBT CORP US N 2 2061-02-01 Fixed 3.50000000 N N N N N N OFFICE CHERIFIEN DES PHO 213800D26TAPVTCVWG40 67091TAD7 380000.00000000 PA USD 383610.00000000 0.010285787238 Long DBT CORP MA N 2 2031-06-23 Fixed 3.75000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FMUR1 6292507.57000000 PA USD 330720.35000000 0.008867649840 Long ABS-MBS USGSE US N 2 2029-05-25 Variable 0.93900000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 3696000.00000000 OU Notional Amount USD 3769.92000000 0.000101083379 N/A DFE LU N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Purchased Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD 3769.92000000 0.00000000 DFE US 73180800.00000000 MXN 3696000.00000000 USD 2021-07-02 1.00000000 19.80000000 USD 2021-07-02 XXXX -25738.94000000 N N N MCM Capital LLC N/A 58287PAB2 874706.09000000 PA USD 396017.06000000 0.010618459429 Long ABS-O CORP US N 2 2058-05-28 None 0.00000000 N N N N N N Palmer Square CLO Ltd 5493006ZPBFJJGSXB826 69689ABL3 250000.00000000 PA USD 250231.00000000 0.006709477923 Long ABS-CBDO CORP KY N 2 2034-05-21 Floating 1.83500000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFU8 879000.00000000 PA USD 998363.59000000 0.026769259072 Long DBT CORP US N 2 2026-03-03 Fixed 4.45000000 N N N N N N Signal Parent, Inc N/A 82666KAB4 560000.00000000 PA USD 554050.00000000 0.014855818198 Long LON CORP US N 2 2028-04-03 Floating 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312941KX4 41956.52000000 PA USD 46825.03000000 0.001255525914 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 4.50000000 N N N N N N CVC Cordatus Loan Fund 5493000ECZZ2KY8H5K38 000000000 140000.00000000 PA 164110.24000000 0.004400310242 Long ABS-CBDO CORP IE Y 2 2034-04-29 Floating 5.83000000 N N N N N N Bluemountain CLO Ltd 549300KGXMRFX2DKIX03 09626YAN0 745093.09000000 PA USD 745231.68000000 0.019981998653 Long ABS-CBDO CORP KY N 2 2030-10-22 Floating 1.36400000 N N N N N N Union Pacific Corp 549300LMMRSZZCZ8CL11 907818EH7 992000.00000000 PA USD 1058402.45000000 0.028379089212 Long DBT CORP US N 2 2026-03-01 Fixed 2.75000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969VAB6 432000.00000000 PA USD 419924.00000000 0.011259479471 Long ABS-O CORP US N 2 2059-09-25 Variable 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179F7F6 222238.30000000 PA USD 240857.88000000 0.006458155179 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 3.50000000 N N N N N N XHR LP 549300M88BPT83ZL2164 98372MAC9 137000.00000000 PA USD 141452.50000000 0.003792785170 Long DBT US N 2 2029-06-01 Fixed 4.87500000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 -1729000.00000000 OU Notional Amount USD -19240.31000000 -0.00051589305 N/A DFE LU N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Put Written Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 N/A 1.00000000 NC USD -19240.31000000 0.00000000 DFE BR -1729000.00000000 USD -8627710.00000000 BRL 2021-07-08 1.00000000 4.99000000 USD 2021-07-08 XXXX -6355.80000000 N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PBD7 652000.00000000 PA USD 728076.86000000 0.019522024125 Long DBT CORP US N 2 2030-05-06 Fixed 3.70200000 N N N N N N SMB Private Education Loan Trust 549300ZLJ4U248VKSJ66 78448QAE8 1340000.00000000 PA USD 1384121.78000000 0.037112646022 Long ABS-O CORP US N 2 2040-12-17 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179NDR6 595619.94000000 PA USD 639267.81000000 0.017140774958 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RB6 3865000.00000000 PA USD 4445051.93000000 0.119185783514 Long DBT UST US N 2 2043-05-15 Fixed 2.87500000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CU2 1335000.00000000 PA USD 1376135.33000000 0.036898504249 Long DBT CORP US N 2 2030-02-21 Fixed 2.45000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 620000.00000000 OU Notional Amount USD -1862.02000000 -0.00004992659 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1342.74000000 USD 620000.00000000 USD -519.28000000 N N N J.P. Morgan Alternative Loan Trust N/A 466287AD1 890145.91000000 PA USD 895003.61000000 0.023997853835 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.51200000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAR7 2500000.00000000 PA USD 2826345.55000000 0.075783188625 Long DBT CORP US N 2 2029-04-23 Fixed 4.00500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WCK85 819871.36000000 PA USD 869147.03000000 0.023304557829 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 3.00000000 N N N N N N TRUST FIBRAUNO N/A 898339AB2 237000.00000000 PA USD 277292.37000000 0.007435078127 Long DBT MX N 2 2050-01-15 Fixed 6.39000000 N N N N N N Oportun Funding LLC N/A 68377GAB2 170000.00000000 PA USD 170530.77000000 0.004572464789 Long ABS-O CORP US N 2 2031-05-08 Fixed 1.96000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X82Y2 755940.88000000 PA USD 802758.19000000 0.021524464810 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.00000000 N N N N N N UNITED AIR 2019-1 AA PTT N/A 90931CAA6 220756.37000000 PA USD 241449.37000000 0.006474014881 Long DBT CORP US N 2 2031-08-25 Fixed 4.15000000 N N N N N N OneMain Financial Issuance Trust N/A 68269MAD6 100000.00000000 PA USD 100191.29000000 0.002686442720 Long ABS-O CORP US N 2 2036-06-16 Fixed 2.22000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFZF6 448095.16000000 PA USD 471712.48000000 0.012648091047 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N TOLL BROS FINANCE CORP N/A 88947EAN0 119000.00000000 PA USD 124057.50000000 0.003326370663 Long DBT CORP US N 2 2023-04-15 Fixed 4.37500000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 91.00000000 NC USD 138411.00000000 0.003711233016 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Purchased Caesars Entertainment Inc Caesars Entertainment Inc 100.00000000 100.00000000 USD 2021-12-17 XXXX 13992.64000000 N N N TAKEDA PHARMACEUTICAL 549300ZLMVP4X0OGR454 000000000 1790000.00000000 PA 2281700.91000000 0.061179557626 Long DBT CORP JP N 2 2040-07-09 Fixed 2.00000000 N N N N N N Bayview Commercial Asset Trust N/A 07324SCT7 65964.56000000 PA USD 63695.29000000 0.001707870496 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.76700000 N N N N N N Palmer Square Loan Funding Ltd 5493008LHKT4A5V5Z173 69700LAC5 945000.00000000 PA USD 945973.35000000 0.025364512423 Long ABS-CBDO CORP KY N 2 2026-08-15 Floating 1.50600000 N N N N N N Waste Pro USA Inc 549300BY1QXU5BI3UF28 94107JAA1 227000.00000000 PA USD 234320.75000000 0.006282874221 Long DBT CORP US N 2 2026-02-15 Fixed 5.50000000 N N N N N N Bain Capital Euro CLO 635400QZZRPWR4S6DL27 000000000 250000.00000000 PA 292582.36000000 0.007845050714 Long ABS-CBDO CORP IE Y 2 2032-04-15 Floating 6.81000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XJDZ7 607207.95000000 PA USD 649263.05000000 0.017408778691 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.50000000 N N N N N N GEOPARK LTD 529900ZR5QI19AH4KZ07 37255BAB5 200000.00000000 PA USD 202002.00000000 0.005416307170 Long DBT CORP BM N 2 2027-01-17 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XLUU4 1111486.54000000 PA USD 1205040.92000000 0.032310926504 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.50000000 N N N N N N OZLM Ltd 5493002HF6D1C4B1AK86 67112AAE1 320000.00000000 PA USD 318735.68000000 0.008546303249 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 2.08800000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYA6 3151000.00000000 PA USD 3142116.61000000 0.084250001114 Long DBT CORP US N 2 2027-03-09 Fixed 1.43100000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 40000.00000000 OU Notional Amount USD -3534.41000000 -0.00009476861 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Markit CMBX.NA.BBB-.10 137BERAJ6 Y sell protection 2059-11-17 0.00000000 USD -3575.13000000 USD 40000.00000000 USD 40.72000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -2023000.00000000 NC USD -14522.91000000 -0.00038940476 N/A DIR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 2023000.00000000 OU Notional Amount N/A -14522.91000000 0.00000000 DIR US N/A N/A 2031-11-05 0.00000000 N/A 0.00000000 N/A 2023000.00000000 USD 1.00000000 0.01747500 USD 2021-11-03 XXXX 22256.90000000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAC3 1000000.00000000 PA USD 1088122.42000000 0.029175974820 Long DBT CORP ES N 2 2029-06-27 Fixed 3.30600000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 395.10000000 0.000010593870 N/A DFE MX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 954401.00000000 USD 19061201.33000000 MXN 2021-07-14 395.10000000 N N N UNITED AIR 2014-1 A PTT N/A 90932PAA6 200863.26000000 PA USD 211760.03000000 0.005677950559 Long DBT CORP US N 2 2027-10-11 Fixed 4.00000000 N N N N N N BANCO GNB SUDAMERIS SA 549300SO7QUETMQD9D84 059593AE3 150000.00000000 PA USD 152250.00000000 0.004082300010 Long DBT CORP CO N 2 2031-04-16 Fixed 7.50000000 N N N N N N SCIH Salt Holdings Inc. N/A 78397GAF8 1015000.00000000 PA USD 1018013.54000000 0.027296135861 Long LON CORP US N 2 2027-03-16 Floating 4.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312934WB4 478669.43000000 PA USD 528609.16000000 0.014173669486 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36198QTY4 120642.06000000 PA USD 130188.80000000 0.003490770046 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 4.00000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 666807BN1 3173000.00000000 PA USD 3465697.73000000 0.092926225807 Long DBT CORP US N 2 2028-01-15 Fixed 3.25000000 N N N N N N Flatiron CLO Ltd N/A 33883PAC1 2390000.00000000 PA USD 2390236.61000000 0.064089740150 Long ABS-CBDO CORP KY N 2 2034-07-19 Floating 1.24100000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 -64775000.00000000 NC USD -1698057.19000000 -0.04553023897 N/A DIR US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Call Written Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 N/A 64775000.00000000 OU Notional Amount N/A -1698057.19000000 -0.05000000 DIR US N/A N/A 2031-10-22 0.00000000 N/A 0.00000000 N/A 64775000.00000000 USD 1.00000000 0.01680000 USD 2021-10-20 XXXX -315110.94000000 N N N Bay Area Toll Authority 5493001FUZGUQMIP5D78 072024NV0 1215000.00000000 PA USD 2108850.35000000 0.056544891991 Long DBT MUN US N 2 2050-04-01 Fixed 7.04300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SA7 23806000.00000000 PA USD 28377495.94000000 0.760889668118 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAG0 309000.00000000 PA USD 340139.80000000 0.009120214837 Long DBT CORP IE N 2 2025-10-01 Fixed 4.45000000 N N N N N N Deutsche Alt-A Securities INC Mortgage Loan Trust 5299003GGM6YEXXXJ012 25152DAB0 12510.64000000 PA USD 12117.41000000 0.000324905766 Long ABS-MBS CORP US N 2 2037-01-27 Floating 0.59000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 2077.65000000 0.000055708312 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2769465.27000000 BRL 557000.00000000 USD 2021-08-03 2077.65000000 N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 59259YGF0 330000.00000000 PA USD 483689.09000000 0.012969221524 Long DBT MUN US N 2 2040-11-15 Fixed 6.81400000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -1515.00000000 NC USD -4160167.29000000 -0.11154713281 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US 10 Year Ultra Bond UXYU1 Comdty 2021-09-21 -218852567.09000000 USD -4160167.29000000 N N N Aimbridge Acquisition Co., Inc. 549300SPGKLVE9WYCQ20 00900YAD8 835929.32000000 PA USD 818165.82000000 0.021937591694 Long LON CORP US N 2 2026-02-02 Floating 3.85400000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CB3 211000.00000000 PA USD 210903.86000000 0.005654993956 Long DBT CORP US N 2 2051-07-15 Fixed 3.50000000 N N N N N N Navient Corp 54930067J0ZNOEBRW338 63938CAJ7 233000.00000000 PA USD 260086.25000000 0.006973728085 Long DBT CORP US N 2 2026-06-15 Fixed 6.75000000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 064058AF7 1770000.00000000 PA USD 1950009.00000000 0.052285857214 Long DBT CORP US N 2 2026-09-20 Fixed 4.62500000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 540000.00000000 OU Notional Amount USD -1621.76000000 -0.00004348447 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1300.30000000 USD 540000.00000000 USD -321.46000000 N N N BANCO INDUSTRIAL SA 529900GF99QF67JEQU85 05991CAA1 160000.00000000 PA USD 166800.00000000 0.004472431144 Long DBT CORP GT N 2 2031-01-29 Fixed 4.87500000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAS0 1386000.00000000 PA USD 1578273.57000000 0.042318464441 Long DBT CORP US N 2 2032-11-15 Fixed 4.30000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 16320000.00000000 OU Notional Amount USD 179131.58000000 0.004803079480 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2031-05-21 335.56000000 USD 0.00000000 USD 16320000.00000000 USD 178796.02000000 N N N PROLOGIS EURO FINANCE 549300MI5D1784PRQH06 000000000 1255000.00000000 PA 1465776.81000000 0.039302073475 Long DBT US N 2 2049-09-10 Fixed 1.50000000 N N N N N N Lehman Brothers Small Balance Commercial N/A 52521GAA3 220555.08000000 PA USD 214155.17000000 0.005742171774 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.34200000 N N N N N N HPS Loan Management 6-2015, Ltd. 549300OYG05TXUTUVD98 40436KAC9 1380564.86000000 PA USD 1381038.39000000 0.037029970665 Long ABS-CBDO CORP KY N 2 2031-02-05 Floating 1.17600000 N N N N N N IMT Trust N/A 44974AAS6 540000.00000000 PA USD 572801.44000000 0.015358603116 Long ABS-MBS CORP US N 2 2034-06-15 Fixed 3.47800000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XAV7 1418000.00000000 PA USD 1643854.33000000 0.044076890301 Long DBT CORP US N 2 2034-07-08 Fixed 4.30000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FG8 1513000.00000000 PA USD 1722545.11000000 0.046186836916 Long DBT CORP US N 2 2060-03-20 Fixed 3.83900000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967LS8 978000.00000000 PA USD 1070994.03000000 0.028716708964 Long DBT CORP US N 2 2028-10-27 Fixed 3.52000000 N N N N N N DIGICEL GROUP HOLDINGS N/A 25381YAB7 282690.00000000 PA USD 237459.60000000 0.006367036634 Long DBT CORP BM N 2 2025-04-01 Fixed 8.00000000 N N Y N N N Cold Storage Trust N/A 193051AQ2 1582614.74000000 PA USD 1589560.99000000 0.042621115573 Long ABS-MBS CORP US N 2 2037-11-15 Floating 2.83800000 N N N N N N Sound Point CLO LTD N/A 83615CAA4 350000.00000000 PA USD 350889.70000000 0.009408453372 Long ABS-CBDO CORP KY N 2 2032-01-25 Floating 1.53500000 N N N N N N Ajax Mortgage Loan Trust N/A 00969XAB2 400000.00000000 PA USD 388818.52000000 0.010425443995 Long ABS-MBS CORP US N 2 2059-11-25 Variable 4.25000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RGQ9 2520000.00000000 PA USD 2912679.76000000 0.078098079570 Long DBT CORP US N 2 2030-02-15 Fixed 4.30000000 N N N N N N Banc of America Commercial Mortgage Trust N/A 06427DAA1 2000000.00000000 PA USD 119720.00000000 0.003210068684 Long ABS-MBS CORP US N 2 2050-02-15 Variable 1.43500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BFU5 699866.48000000 PA USD 768303.72000000 0.020600632408 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.50000000 N N N N N N Dryden Senior Loan Fund N/A 26251YAE6 250000.00000000 PA USD 251697.00000000 0.006748785981 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 1.79000000 N N N N N N Countrywide Alternative Loan Trust N/A 23242GAE4 759417.68000000 PA USD 735351.89000000 0.019717090497 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.47200000 N N N N N N Foundation Building Materials Holding Company LLC 549300ZVE6MONHB01I28 35039KAB2 171055.28000000 PA USD 170108.32000000 0.004561137579 Long LON CORP US N 2 2028-02-03 Floating 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ECKY8 49521.45000000 PA USD 53663.06000000 0.001438874945 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202DZX2 475944.10000000 PA USD 535927.55000000 0.014369898475 Long ABS-MBS USGA US N 2 2033-10-20 Fixed 5.00000000 N N N N N N CHENIERE CORP CHRISTI HD 549300I7CIEWU1BBLQ53 16412XAG0 2439000.00000000 PA USD 2836036.59000000 0.076043035801 Long DBT CORP US N 2 2027-06-30 Fixed 5.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179S5M5 322246.78000000 PA USD 344905.21000000 0.009247990426 Long ABS-MBS USGA US N 2 2047-05-20 Fixed 4.00000000 N N N N N N Benefit Street Partners CLO Ltd 549300D98ZLKNSI8CN63 08180XAN2 2000000.00000000 PA USD 2000094.00000000 0.053628793149 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 1.28800000 N N N N N N Freddie Mac - STACR N/A 35564KCP2 866467.00000000 PA USD 875137.04000000 0.023465168784 Long ABS-MBS USGSE US N 2 2033-08-25 Floating 5.01800000 N N N N N N GS Mortgage Securities Trust N/A 36263JAW4 160000.00000000 PA USD 161064.62000000 0.004318647618 Long ABS-MBS CORP US N 2 2037-11-15 Floating 2.57300000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 2861.87000000 0.000076735710 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14775847.82000000 MXN 743000.00000000 USD 2021-07-14 2861.87000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828YY0 41246000.00000000 PA USD 42921618.75000000 1.150863216219 Long DBT UST US N 2 2024-12-31 Fixed 1.75000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 480000.00000000 OU Notional Amount USD -1441.56000000 -0.00003865274 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -230.61000000 USD 480000.00000000 USD -1210.95000000 N N N Navient Student Loan Trust N/A 63942CAD4 230000.00000000 PA USD 224554.43000000 0.006021008551 Long ABS-O CORP US N 2 2060-04-15 Fixed 4.00000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17312GAB7 732155.52000000 PA USD 633741.88000000 0.016992607443 Long ABS-O CORP US N 2 2045-07-25 Floating 0.26200000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAA4 563000.00000000 PA USD 683331.87000000 0.018322270607 Long DBT CORP US N 2 2048-02-22 Fixed 4.26000000 N N N N N N Intelsat Jackson Holdings S.A. 8XJ8KF85PBKK1TLMFN29 000000000 342231.00000000 PA USD 349546.19000000 0.009372429655 Long LON CORP LU Y 2 2024-01-02 Floating 8.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132G0B58 263574.90000000 PA USD 277065.56000000 0.007428996640 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 3.00000000 N N N N N N GE-WMC Mortgage Securities LLC N/A 367910AU0 45100.21000000 PA USD 45149.97000000 0.001210612302 Long ABS-O CORP US N 2 2035-12-25 Floating 0.59200000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -13516.81000000 -0.00036242806 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2837636.50000000 BRL 557000.00000000 USD 2021-07-02 -13516.81000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 7435.05000000 0.000199357009 N/A DFE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2982525.00000000 TRY 345000.00000000 USD 2021-07-30 7435.05000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJL4 1613000.00000000 PA USD 1571957.80000000 0.042149118839 Long DBT CORP US N 2 2031-10-24 Fixed 1.92200000 N N N N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 760759AV2 540000.00000000 PA USD 548364.61000000 0.014703375061 Long DBT CORP US N 2 2030-03-01 Fixed 2.30000000 N N N N N N CSX Corp 549300JVQR4N1MMP3Q88 126408HL0 407000.00000000 PA USD 532733.78000000 0.014284263485 Long DBT CORP US N 2 2068-03-01 Fixed 4.65000000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBC1 544000.00000000 PA USD 592796.80000000 0.015894741430 Long DBT CORP US N 2 2029-07-01 Fixed 5.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 31231134.00000000 OU Notional Amount -42435.43000000 -0.00113782697 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A Y 2024-01-02 0.00000000 BRL 0.00000000 BRL 31231134.00000000 BRL -42435.43000000 N N N Home Loan Mortgage Loan Trust N/A 43718RAD5 588212.98000000 PA USD 562081.85000000 0.015071177288 Long ABS-MBS CORP US N 2 2036-04-15 Floating 0.79300000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325DL6 3520000.00000000 PA USD 3737641.60000000 0.100217893875 Long DBT NUSS CO N 2 2027-04-25 Fixed 3.87500000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCL3 1021000.00000000 PA USD 1265429.47000000 0.033930132929 Long DBT CORP US N 2 2038-10-15 Fixed 4.60000000 N N N N N N BAUSCH HEALTH AMERICAS KOO0397YRO83WY5MGD97 91911XAW4 745000.00000000 PA USD 809740.50000000 0.021711682440 Long DBT CORP US N 2 2027-01-31 Fixed 8.50000000 N N N N N N Consumers Energy Co 7NKTFWJ1G6MELP9TU740 210518DA1 337000.00000000 PA USD 398363.22000000 0.010681367337 Long DBT CORP US N 2 2047-07-15 Fixed 3.95000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QC5 1010000.00000000 PA USD 1424021.10000000 0.038182471929 Long DBT UST US N 2 2039-08-15 Fixed 4.50000000 N N N N N N DOW CHEMICAL CO/THE ZQUIP1CSZO8LXRBSOU78 260543CN1 526000.00000000 PA USD 598834.73000000 0.016056637270 Long DBT CORP US N 2 2025-11-30 Fixed 4.55000000 N N N N N N AMER AIRLINE 16-1 AA PTT N/A 02376UAA3 141411.63000000 PA USD 144005.49000000 0.003861238839 Long DBT CORP US N 2 2028-01-15 Fixed 3.57500000 N N N N N N Countrywide Alternative Loan Trust N/A 02150JAA0 2295601.76000000 PA USD 1527395.39000000 0.040954260863 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6.00000000 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 44106MAR3 1350000.00000000 PA USD 1383750.00000000 0.037102677434 Long DBT US N 2 2023-06-15 Fixed 4.50000000 N N N N N N BXP Trust N/A 05607CAL3 260000.00000000 PA USD 274037.04000000 0.007347792520 Long ABS-MBS CORP US N 2 2037-08-13 Variable 3.67000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 500000.00000000 OU Notional Amount USD -1501.63000000 -0.00004026340 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1810.55000000 USD 500000.00000000 USD 308.92000000 N N N LCM Ltd Partnership N/A 50200FAC3 2590000.00000000 PA USD 2591517.74000000 0.069486718534 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 1.25800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KFAE2 41738.38000000 PA USD 43800.78000000 0.001174436286 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -6951.87000000 -0.00018640143 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1879857.00000000 BRL 371000.00000000 USD 2021-07-02 -6951.87000000 N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 192.00000000 NC USD 276480.00000000 0.007413295940 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Purchased Diamondback Energy Inc Diamondback Energy Inc 100.00000000 90.00000000 USD 2021-12-17 XXXX 20740.06000000 N N N DEUTSCHE TELEKOM INT FIN 529900ERDFHS6C1M4U58 25156PBA0 348000.00000000 PA USD 382760.75000000 0.010263016181 Long DBT CORP NL N 2 2027-01-19 Fixed 3.60000000 N N N N N N AIR CANADA 2017-1AA PTT N/A 00908PAA5 526688.00000000 PA USD 532843.30000000 0.014287200059 Long DBT CORP CA N 2 2030-01-15 Fixed 3.30000000 N N N N N N HYUNDAI CAPITAL SERVICES 549300MALMDAGL2ZJJ27 44920UAK4 1220000.00000000 PA USD 1251065.97000000 0.033545002445 Long DBT CORP KR N 2 2022-08-29 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196FZE7 176557.44000000 PA USD 191372.78000000 0.005131304445 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N OLEODUCTO CENTRAL SA 254900W4CPYCQFVH5E92 680617AC1 614000.00000000 PA USD 633476.08000000 0.016985480512 Long DBT CORP CO N 2 2027-07-14 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EH3N0 1746174.51000000 PA USD 2064663.17000000 0.055360095109 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 6.50000000 N N N N N N ALIBABA GROUP HOLDING 5493001NTNQJDH60PM02 01609WAQ5 1400000.00000000 PA USD 1523200.00000000 0.040841769299 Long DBT CORP KY N 2 2024-11-28 Fixed 3.60000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810ST6 10822000.00000000 PA USD 9721199.69000000 0.260655852844 Long DBT UST US N 2 2040-11-15 Fixed 1.37500000 N N N N N N Woodmont Trust 254900PE376ILSXG5546 97988QAL8 1570000.00000000 PA USD 1569602.79000000 0.042085973635 Long ABS-CBDO CORP US N 2 2033-04-20 Variable 1.77600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H8AS4 96073.40000000 PA USD 104388.52000000 0.002798983620 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBB6 383000.00000000 PA USD 410491.89000000 0.011006575020 Long DBT CORP US N 2 2025-11-15 Fixed 3.15000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 611000.00000000 OU Notional Amount USD -1834.99000000 -0.00004920183 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1030.05000000 USD 611000.00000000 USD -804.94000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9ZF2 339027.75000000 PA USD 387913.96000000 0.010401189904 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 5.00000000 N N N N N N AEP TEXAS INC 5493001L78U618KXNZ75 00108WAK6 480000.00000000 PA USD 496187.15000000 0.013304333711 Long DBT CORP US N 2 2050-01-15 Fixed 3.45000000 N N N N N N DOW CHEMICAL CO/THE ZQUIP1CSZO8LXRBSOU78 260543DC4 713000.00000000 PA USD 704122.75000000 0.018879739308 Long DBT CORP US N 2 2030-11-15 Fixed 2.10000000 N N N N N Visa Inc 549300JZ4OKEHW3DPJ59 92826CAE2 788000.00000000 PA USD 968757.27000000 0.025975420777 Long DBT CORP US N 2 2035-12-14 Fixed 4.15000000 N N N N N N Ajax Mortgage Loan Trust N/A 00968EAA7 2639079.74000000 PA USD 2666338.79000000 0.071492905551 Long ABS-O CORP US N 2 2058-08-25 Variable 3.75000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 530000.00000000 OU Notional Amount USD -1591.73000000 -0.00004267927 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -254.40000000 USD 530000.00000000 USD -1337.33000000 N N N ARDAGH PKG FIN/HLDGS USA N/A 03969AAP5 210000.00000000 PA USD 214200.00000000 0.005743373807 Long DBT CORP XX N 2 2027-08-15 Fixed 5.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132G5AU3 155676.85000000 PA USD 163652.65000000 0.004388040819 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 3.00000000 N N N N N N CEMEX SAB DE CV 549300RIG2CXWN6IV731 151290BX0 288000.00000000 PA USD 316684.80000000 0.008491312724 Long DBT CORP MX N 2 2030-09-17 Fixed 5.20000000 N N N N N N Rockford Tower CLO Ltd 5493007GXSFXDXOXG741 77340EAW6 1856000.00000000 PA USD 1856000.00000000 0.049765181079 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.28400000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBK1 2628000.00000000 PA USD 2609294.13000000 0.069963359304 Long DBT US N 2 2025-09-15 Fixed 1.00000000 N N N N N N Trestles CLO LTD 254900QSBDX181YYBH38 89531FAU1 250000.00000000 PA USD 249870.75000000 0.006699818491 Long ABS-CBDO CORP KY N 2 2032-04-25 Floating 3.10300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WTV37 106835.59000000 PA USD 113250.96000000 0.003036613433 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H050672 5289000.00000000 PA USD 5698071.09000000 0.152783157109 Long ABS-MBS USGA US N 2 2051-07-21 Fixed 5.00000000 N N N N N N JOHNSON CONTROLS INTL PL 549300XQ6S1GYKGBL205 478375AS7 11000.00000000 PA USD 14581.66000000 0.000390980037 Long DBT CORP IE N 2 2045-09-14 Fixed 5.12500000 N N N N N N WIN Waste Innovations Holdings, Inc. 549300DJBUN7Z75R2S83 38723BAJ0 132000.00000000 PA USD 131855.59000000 0.003535461914 Long LON CORP US N 2 2028-03-24 Floating 3.25000000 N N N N N N NBK TIER 1 FNC LTD 5493005X9UY5UCTPFR46 62879NAA5 637000.00000000 PA USD 639172.17000000 0.017138210550 Long DBT CORP AE N 2 2026-08-24 Fixed 3.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417F4J4 478602.93000000 PA USD 508134.95000000 0.013624691702 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Romark CLO Ltd N/A 77587AAC0 247404.46000000 PA USD 247418.56000000 0.006634067586 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.21800000 N N N N N N Dryden Senior Loan Fund 254900XGNUOV0Y3IBA68 26252VAS0 610000.00000000 PA USD 610226.92000000 0.016362097614 Long ABS-CBDO CORP KY N 2 2034-05-20 Variable 1.25400000 N N N N N N CFK Trust N/A 12528XAJ4 728000.00000000 PA USD 813627.80000000 0.021815913145 Long ABS-MBS CORP US N 2 2039-01-15 Variable 4.79100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FMA1 286045.38000000 PA USD 312948.05000000 0.008391118737 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412RHS9 32346.17000000 PA USD 36087.61000000 0.000967622007 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 4.50000000 N N N N N N TRANSCANADA PIPELINES 5BV01I6231JPDAPMGH09 89352HAM1 509000.00000000 PA USD 603763.98000000 0.016188805923 Long DBT CORP CA N 2 2034-03-01 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J6DA2 42331.65000000 PA USD 44460.56000000 0.001192127057 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N MASTR Asset Backed Securities Trust N/A 576457AD7 621846.00000000 PA USD 555437.14000000 0.014893011772 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.37200000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 8173000.00000000 PA USD 9135942.86000000 0.244963281657 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N Countrywide Home Equity Loan Trust N/A 23242YAT2 313912.31000000 PA USD 295642.27000000 0.007927096498 Long ABS-O CORP US N 2 2033-12-15 Floating 0.37300000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057CD4 80000.00000000 PA USD 92469.44000000 0.002479395703 Long DBT CORP US N 2 2027-11-29 Fixed 4.75000000 N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDL1 857000.00000000 PA USD 867712.50000000 0.023266093581 Long DBT CORP US N 2 2029-06-01 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XPHS5 464967.07000000 PA USD 499948.79000000 0.013405195077 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -8055.09000000 -0.00021598222 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1890318.00000000 BRL 372000.00000000 USD 2021-07-02 -8055.09000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCK8 924000.00000000 PA USD 1195460.98000000 0.032054058266 Long DBT CORP US N 2 2046-08-21 Fixed 4.86200000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95000AAC1 283000.00000000 PA USD 242831.46000000 0.006511073048 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 3.24100000 N N N N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAC9 285000.00000000 PA USD 294405.00000000 0.007893921409 Long DBT CORP US N 2 2026-09-18 Fixed 4.37500000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556CE0 1500000.00000000 PA 1890856.44000000 0.050699791557 Long DBT CORP US N 2 2049-10-01 Fixed 1.87500000 N N N N N N Anchorage Capital Europe CLO 635400HYNZWTWNENDW97 000000000 350000.00000000 PA 418160.00000000 0.011212181099 Long ABS-CBDO CORP IE N 2 2034-04-15 Floating 3.55000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 550000.00000000 OU Notional Amount USD -1651.79000000 -0.00004428967 N/A DCR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1324.38000000 USD 550000.00000000 USD -327.41000000 N N N Oak Hill Credit Partners N/A 67112RAS3 550000.00000000 PA USD 550110.55000000 0.014750189188 Long ABS-CBDO CORP KY N 2 2035-07-02 Floating 0.00000000 N N N N N N SITKA HOLDINGS L N/A 82987VAA4 920000.00000000 PA USD 920000.00000000 0.024668085448 Long DBT CORP KY N 2 2026-07-06 Floating 4.64300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412TMY6 140548.42000000 PA USD 157153.80000000 0.004213786268 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCB5 1989000.00000000 PA USD 2019456.56000000 0.054147964110 Long DBT UST US N 2 2031-05-15 Fixed 1.62500000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61744YAP3 1405000.00000000 PA USD 1576870.32000000 0.042280838907 Long DBT CORP US N 2 2029-01-24 Fixed 3.77200000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAD5 372000.00000000 PA USD 399492.76000000 0.010711653847 Long DBT CORP US N 2 2026-10-01 Fixed 2.65000000 N N N N N N FEDEX CORP 549300E707U7WNPZN687 31428XCD6 3465000.00000000 PA USD 3526409.43000000 0.094554096898 Long DBT CORP US N 2 2031-05-15 Fixed 2.40000000 N N N N N NVIDIA Corp 549300S4KLFTLO7GSQ80 67066GAE4 332000.00000000 PA USD 365236.94000000 0.009793147874 Long DBT CORP US N 2 2026-09-16 Fixed 3.20000000 N N N N N N Netflix Inc 549300Y7VHGU0I7CE873 64110LAU0 80000.00000000 PA USD 97167.71000000 0.002605371057 Long DBT CORP US N 2 2029-11-15 Fixed 5.37500000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GV9 617000.00000000 PA USD 612432.10000000 0.016421225406 Long DBT CORP US N 2 2026-02-01 Fixed 1.20000000 N N N N N N BRF SA 254900MTXR9LUVQFU480 10552TAH0 450000.00000000 PA USD 461475.00000000 0.012373592100 Long DBT CORP BR N 2 2050-09-21 Fixed 5.75000000 N N N N N Trinity Acquisition PLC 549300FJZWZN6MJNGB63 89641UAC5 190000.00000000 PA USD 214723.34000000 0.005757406194 Long DBT CORP GB N 2 2026-03-15 Fixed 4.40000000 N N N N N N Altice USA Inc 54930064K3612MGCER95 02156K103 13273.00000000 NS USD 453140.22000000 0.012150110507 Long EC CORP US N 1 N N N New York City Water & Sewer System N/A 64972FY34 270000.00000000 PA USD 418046.48000000 0.011209137271 Long DBT MUN US N 2 2044-06-15 Fixed 5.88200000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 -1848000.00000000 OU Notional Amount USD -54892.99000000 -0.00147185322 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A 1.00000000 NC USD -54892.99000000 0.00000000 DFE ZA -1848000.00000000 USD -25872000.00000000 ZAR 2021-08-02 1.00000000 14.00000000 USD 2021-08-02 XXXX -24065.56000000 N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBS3 1307000.00000000 PA USD 1290371.37000000 0.034598903495 Long DBT CORP US N 2 2031-03-25 Fixed 2.72600000 N N N N N Countrywide Asset-Backed Certificates N/A 126683AE1 136497.79000000 PA USD 164961.17000000 0.004423126344 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 6.15500000 N N N N N N Ajax Mortgage Loan Trust N/A 00969LAC6 1107517.70000000 PA USD 1224243.09000000 0.032825796906 Long ABS-O CORP US N 2 2057-08-25 None 0.00000000 N N N N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 37443GAM3 479000.00000000 PA USD 494107.66000000 0.013248576062 Long DBT NUSS GH N 2 2034-04-07 Fixed 8.62500000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCB7 569000.00000000 PA USD 621973.90000000 0.016677070991 Long DBT CORP US N 2 2029-06-01 Fixed 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FR75 3966508.59000000 PA USD 4216724.04000000 0.113063596665 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 666807BP6 700000.00000000 PA USD 835159.01000000 0.022393232415 Long DBT CORP US N 2 2047-10-15 Fixed 4.03000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HNMK2 134921.69000000 PA USD 146372.23000000 0.003924698561 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46637WAJ2 68304.31000000 PA USD 68380.48000000 0.001833495134 Long ABS-MBS CORP US N 2 2045-06-15 Floating 1.38200000 N N N N N N CITGO HOLDING INC 549300NYHOALWZ2BSL72 17302WAB4 375000.00000000 PA USD 382500.00000000 0.010256024656 Long DBT CORP US N 2 2024-08-01 Fixed 9.25000000 N N N N N N KKR Industrial Portfolio Trust N/A 48254CAS4 560000.00000000 PA USD 558936.90000000 0.014986851314 Long ABS-MBS CORP US N 2 2037-12-15 Floating 2.12300000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 5998.31000000 0.000160833503 N/A DFE BR N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 372000.00000000 USD 1880088.00000000 BRL 2021-07-02 5998.31000000 N N N Ajax Mortgage Loan Trust N/A 00969WAB4 732498.76000000 PA USD 730718.71000000 0.019592860410 Long ABS-MBS CORP US N 2 2059-12-25 Variable 3.50000000 N N N N N N Long Beach Mortgage Loan Trust N/A 54251TAD1 595771.43000000 PA USD 318937.06000000 0.008551702879 Long ABS-O CORP US N 2 2036-08-25 Floating 0.25200000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 250000.00000000 OU Notional Amount USD -21171.65000000 -0.00056767833 N/A DCR US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 BEAZER HOMES USA BEAZER HOMES USA Y buy protection 2024-06-20 0.00000000 USD -8777.20000000 USD 250000.00000000 USD -12394.45000000 N N N HUMANA INC 529900YLDW34GJAO4J06 444859BN1 713000.00000000 PA USD 860199.78000000 0.023064653995 Long DBT CORP US N 2 2030-04-01 Fixed 4.87500000 N N N N N N Canyon Capital CLO Ltd N/A 13876RAE4 290000.00000000 PA USD 289853.26000000 0.007771874983 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 1.92500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RBX6 71373.02000000 PA USD 76097.73000000 0.002040418810 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 3.50000000 N N N N N N Velocity Commercial Capital Loan Trust N/A 92257LAE0 150000.00000000 PA USD 153648.05000000 0.004119786115 Long ABS-MBS CORP US N 2 2047-05-25 Variable 5.35000000 N N N N N N Countrywide Home Loans N/A 126694E95 3504542.55000000 PA USD 1453216.74000000 0.038965298606 Long ABS-MBS CORP US N 2 2046-04-25 Floating 1.07600000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 550000.00000000 OU Notional Amount USD -1651.79000000 -0.00004428967 N/A DCR US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -659.97000000 USD 550000.00000000 USD -991.82000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179NBB3 1084225.62000000 PA USD 1162774.24000000 0.031177624249 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J7X91 49542.33000000 PA USD 51937.47000000 0.001392606465 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5JU4 1143904.33000000 PA USD 1239903.24000000 0.033245694643 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.50000000 N N N N N N Countrywide Alternative Loan Trust N/A 02146YAD8 2034814.50000000 PA USD 1605776.30000000 0.043055898891 Long ABS-MBS CORP US N 2 2046-07-20 Floating 0.29300000 N N N N N N Alabama Power Co 0RL818ELFOHP5JHOFU19 010392FL7 10000.00000000 PA USD 11987.69000000 0.000321427566 Long DBT CORP US N 2 2044-08-15 Fixed 4.15000000 N N N N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 718286CC9 5114000.00000000 PA USD 5514337.98000000 0.147856696178 Long DBT NUSS PH N 2 2028-02-01 Fixed 3.00000000 N N N N N N NBC Global Finance Limited 549300KWU8YQOYSK5Y64 000000000 1100000.00000000 PA USD 1100000.00000000 0.029494449993 Long RA CORP US N 2 Repurchase Y 0.26000000 2021-07-07 11038.80000000 USD 1222010.10000000 USD EQT 397.76000000 USD 428.07000000 USD UST N N Buckeye Partners LP 549300C1PQJLVEIUBK50 118230AN1 500000.00000000 PA USD 523125.00000000 0.014026621956 Long DBT CORP US N 2 2024-10-15 Fixed 4.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFKW5 428536.63000000 PA USD 465841.11000000 0.012490661203 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.50000000 N N N N N N CENTERPOINT ENER HOUSTON 549300S8SEQBOJLKHW63 15189XAW8 870000.00000000 PA USD 953394.48000000 0.025563496194 Long DBT CORP US N 2 2051-04-01 Fixed 3.35000000 N N N N N Dryden Senior Loan Fund 549300KYL9TWDEEU3W90 26250JAS9 1198280.65000000 PA USD 1198489.15000000 0.032135253001 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 1.08400000 N N N N N N UMBS, TBA N/A 01F040677 -51547000.00000000 PA USD -54889500.78000000 -1.47175966899 Short ABS-MBS USGSE US N 2 2051-07-14 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EW4R3 169085.02000000 PA USD 177759.06000000 0.004766277914 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N UNITED AIR 2019-2 AA PTT N/A 90932JAA0 557441.06000000 PA USD 558683.71000000 0.014980062496 Long DBT CORP US N 2 2032-05-01 Fixed 2.70000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NA5 2483000.00000000 PA USD 2472310.01000000 0.066290385415 Long DBT CORP US N 2 2027-06-09 Fixed 1.46200000 N N N N N N RELX CAPITAL INC 2R15C3RTKJN1RCBOV146 74949LAD4 2389000.00000000 PA USD 2552434.24000000 0.068438767320 Long DBT CORP US N 2 2030-05-22 Fixed 3.00000000 N N N N N N MP Clo III, LTD 549300FWSFBNCWDD1P18 553205AC9 1010000.00000000 PA USD 1010287.85000000 0.027088985882 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 1.43800000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BL7 745000.00000000 PA USD 912930.67000000 0.024478534539 Long DBT CORP US N 2 2047-05-01 Fixed 5.37500000 N N N N N N Octagon Investment Partners 33 Ltd 549300IDWDG12HO3TO90 675711AA3 250000.00000000 PA USD 250092.50000000 0.006705764304 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 1.37800000 N N N N N N Park Hotels & Resorts Inc 5493005UZ5TQN0H6HS73 700517105 45010.00000000 NS USD 927656.10000000 0.024873369501 Long EC US N 1 N N N TVC Mortgage Trust 2020-RTL1 N/A 90114YAA7 390000.00000000 PA USD 392974.80000000 0.010536886897 Long ABS-MBS CORP US N 2 2024-09-25 Fixed 3.47400000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 7000000.00000000 PA USD 7000000.00000000 0.187691954501 Long RA CORP US N 2 Repurchase Y 0.20000000 2021-07-01 72969.82000000 USD 7778374.16000000 USD EQT N N Henley CLO 6354009HFM8XXW6PPK55 000000000 100000.00000000 PA 117920.83000000 0.003161827294 Long ABS-CBDO CORP IE Y 2 2034-04-25 Floating 1.35000000 N N N N N N Ziggo BV 213800TQASLF9JXH5J59 98954NAA7 687000.00000000 PA USD 713793.00000000 0.019139029039 Long DBT CORP NL N 2 2027-01-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36223XLE0 114.87000000 PA USD 115.31000000 0.000003091822 Long ABS-MBS USGA US N 2 2022-05-15 Fixed 8.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFR0 2558000.00000000 PA USD 2451428.91000000 0.065730497634 Long DBT CORP US N 2 2031-01-20 Fixed 1.75000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PDK5 1126000.00000000 PA USD 1293942.18000000 0.034694648110 Long DBT CORP US N 2 2028-06-15 Fixed 3.85000000 N N N N N N Velocity Commercial Capital Loan Trust N/A 92258VAF4 78705.55000000 PA USD 78467.78000000 0.002103967284 Long ABS-MBS CORP US N 2 2047-11-25 Variable 5.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 5569.97000000 0.000149348365 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11008548.00000000 MXN 557000.00000000 USD 2021-07-14 5569.97000000 N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DN7 1205000.00000000 PA USD 1161448.87000000 0.031142086923 Long DBT CORP US N 2 2030-08-21 Fixed 1.75000000 N N N N N N Whitebox CLO I Ltd 549300E4AC0513DYO913 96467FAG5 250000.00000000 PA USD 251427.25000000 0.006741553138 Long ABS-CBDO CORP KY N 2 2032-07-24 Floating 4.52600000 N N N N N N GEORGIA-PACIFIC LLC L2EVHWFHVAQK72TMH265 37331NAK7 664000.00000000 PA USD 678198.18000000 0.018184620277 Long DBT CORP US N 2 2030-04-30 Fixed 2.30000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 560000.00000000 OU Notional Amount USD -1681.83000000 -0.00004509513 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1214.74000000 USD 560000.00000000 USD -467.09000000 N N N Triton Water Holdings, Inc N/A 89678QAB2 377000.00000000 PA USD 377202.07000000 0.010113970537 Long LON CORP US N 2 2028-03-31 Floating 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RLP2 70193.94000000 PA USD 74793.65000000 0.002005452336 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 3.50000000 N N N N N N CDO Repack SPC Ltd N/A 125092AA4 222719.92000000 PA USD 225795.10000000 0.006054274805 Long ABS-CBDO CORP KY N 2 2030-05-20 None 0.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -1729000.00000000 OU Notional Amount USD -546.36000000 -0.00001464962 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Written Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD -546.36000000 0.00000000 DFE MX -1729000.00000000 USD -33629050.00000000 MXN 2021-07-09 1.00000000 19.45000000 USD 2021-07-09 XXXX 11783.14000000 N N N CNH INDUSTRIAL CAP LLC 549300PNSJ5B81UMVO28 12592BAJ3 3850000.00000000 PA USD 4166019.09000000 0.111704037927 Long DBT CORP US N 2 2024-01-15 Fixed 4.20000000 N N N N N N Legacy Mortgage Asset Trust N/A 52476DAA5 3961682.98000000 PA USD 3965719.54000000 0.106333378780 Long ABS-MBS CORP US N 2 2061-04-25 Variable 1.75000000 N N N N N N PENSKE TRUCK LEASING/PTL N/A 709599BL7 863000.00000000 PA USD 854773.23000000 0.022919151170 Long DBT CORP US N 2 2025-11-15 Fixed 1.20000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBQ4 90000.00000000 PA USD 98969.40000000 0.002653680017 Long DBT CORP US N 2 2030-03-01 Fixed 5.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJS9 5800000.00000000 PA USD 5844608.90000000 0.156712295390 Long DBT CORP US N 2 2027-07-22 Fixed 1.73400000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 620000.00000000 OU Notional Amount USD -1862.02000000 -0.00004992659 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1342.74000000 USD 620000.00000000 USD -519.28000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BFTR3 555025.37000000 PA USD 603386.91000000 0.016178695494 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.50000000 N N N N N N Discover Bank X05BVSK68TQ7YTOSNR22 25466AAJ0 621000.00000000 PA USD 677916.72000000 0.018177073452 Long DBT CORP US N 2 2026-07-27 Fixed 3.45000000 N N N N N N Textron Inc 3PPKBHUG1HD6BO7RNR87 883203CA7 1540000.00000000 PA USD 1723155.83000000 0.046203212234 Long DBT CORP US N 2 2029-09-17 Fixed 3.90000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -402.84000000 -0.00001080140 N/A DFE XX N 2 UBS AG BFM8T61CT2L1QCEMIK50 170008.12000000 USD 143000.00000000 EUR 2021-07-14 -402.84000000 N N N CIFC Funding Ltd N/A 12547DAA4 1100000.00000000 PA USD 1102274.80000000 0.029555444515 Long ABS-CBDO CORP KY N 2 2033-07-15 Floating 0.00000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69359XAA7 1449155.21000000 PA USD 1455283.11000000 0.039020704466 Long ABS-O CORP US N 2 2025-10-25 Variable 2.95100000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAY7 610000.00000000 PA USD 613060.27000000 0.016438068614 Long DBT CORP DK N 2 2023-12-08 Fixed 1.17100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RA58 127078.41000000 PA USD 146332.20000000 0.003923625232 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197MRR1 140368.09000000 PA USD 159653.20000000 0.004280803021 Long ABS-MBS USGA US N 2 2047-04-15 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRH0 203180.03000000 PA USD 219465.22000000 0.005884550869 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.00000000 N N N N N N Morgan Stanley Capital I Trust N/A 61764BAN3 527000.00000000 PA USD 539937.80000000 0.014477425855 Long ABS-MBS CORP US N 2 2032-09-09 Variable 4.43800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XWBS9 240532.33000000 PA USD 261666.43000000 0.007016097667 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 073879EV6 50058.47000000 PA USD 50200.26000000 0.001346026416 Long ABS-MBS CORP US N 2 2034-08-25 Floating 1.81700000 N N N N N N The Enterprise Development Authority N/A 000000000 594475.00000000 PA USD 597447.38000000 0.016019438066 Long LON CORP US N 2 2028-02-18 Floating 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9ZW6 3282405.01000000 PA USD 3545431.18000000 0.095064129674 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177Q6Y4 151822.16000000 PA USD 164051.44000000 0.004398733630 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UPB2 2341438.04000000 PA USD 2497317.50000000 0.066960914654 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 4.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RME9 1905000.00000000 PA USD 1931857.81000000 0.051799166882 Long DBT CORP US N 2 2059-09-15 Fixed 3.65000000 N N N N N N Republic of Panama 549300SHS4T08CL0LP14 698299BF0 4307000.00000000 PA USD 4722625.50000000 0.126628401495 Long DBT NUSS PA N 2 2028-03-17 Fixed 3.87500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJE0 1270000.00000000 PA USD 1232534.01000000 0.033048102475 Long DBT CORP US N 2 2041-06-19 Fixed 2.67600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36189MS74 72306.70000000 PA USD 77592.08000000 0.002080487021 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 4.00000000 N N N N N N Northern Genesis Acquisition Corp II N/A 66516U200 9015.00000000 NS USD 94432.13000000 0.002532021578 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRG2 512797.82000000 PA USD 551979.48000000 0.014800301063 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.50000000 N N N N N N Bayview Commercial Asset Trust N/A 07324SCR1 88609.11000000 PA USD 84979.05000000 0.002278554855 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.54200000 N N N N N N ENCOMPASS HEALTH CORP 549300FVRPM9DRQZRG64 29261AAB6 225000.00000000 PA USD 239062.50000000 0.006410015410 Long DBT CORP US N 2 2030-02-01 Fixed 4.75000000 N N N N N N Synchrony Financial 549300RS7EWPM9MA6C78 87165BAG8 24000.00000000 PA USD 26839.46000000 0.000719650100 Long DBT CORP US N 2 2025-07-23 Fixed 4.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 550000.00000000 OU Notional Amount USD -1651.79000000 -0.00004428967 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES UNITED MEXICAN STATES Y buy protection 2026-06-20 0.00000000 USD -1589.79000000 USD 550000.00000000 USD -62.00000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196FZF4 201850.62000000 PA USD 215941.21000000 0.005790061108 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163DAG2 2428617.90000000 PA USD 210599.54000000 0.005646834182 Long ABS-MBS CORP US N 2 2054-04-15 Variable 1.23200000 N N N N N N CSX CORP 549300JVQR4N1MMP3Q88 126408HR7 309000.00000000 PA USD 327654.45000000 0.008785443445 Long DBT CORP US N 2 2049-09-15 Fixed 3.35000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LSK41 320240.15000000 PA USD 352127.10000000 0.009441631947 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.00000000 N N N N N N SUNOCO LP/FINANCE CORP N/A 86765LAQ0 119000.00000000 PA USD 124444.25000000 0.003336740644 Long DBT CORP US N 2 2027-04-15 Fixed 6.00000000 N N N N N Ajax Mortgage Loan Trust N/A 00968EAB5 814621.31000000 PA USD 525267.82000000 0.014084077681 Long ABS-O CORP US N 2 2058-08-25 None 0.00000000 N N N N N N Lendmark Funding Trust N/A 52604AAA6 2630000.00000000 PA USD 2701778.75000000 0.072443162031 Long ABS-O CORP US N 2 2028-04-20 Fixed 2.78000000 N N N N N N AIR CANADA 2017-1B PTT N/A 00908PAC1 7552.91000000 PA USD 7363.14000000 0.000197428876 Long DBT CORP CA N 2 2026-01-15 Fixed 3.70000000 N N N N N N AMC Networks Inc 549300VGG9K75226LR46 00164VAE3 335000.00000000 PA USD 343944.50000000 0.009222230777 Long DBT CORP US N 2 2025-08-01 Fixed 4.75000000 N N N N N BURGAN BANK 558600NC81HKXMFSTY52 000000000 292000.00000000 PA USD 295219.59000000 0.007915763122 Long DBT CORP KW Y 2 2024-07-09 Fixed 5.74900000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 000000000 1046000.00000000 PA 1379827.78000000 0.036997510414 Long DBT CORP US N 2 2030-03-21 Fixed 1.97900000 N N N N N N DT MIDSTREAM INC N/A 23345NAB1 717000.00000000 PA USD 719072.85000000 0.019280598377 Long LON CORP US N 2 2028-05-25 None 0.00000000 N N N N N N CIFC Funding Ltd 549300QSQ98IRWUWDV20 12549FBP3 250000.00000000 PA USD 249999.75000000 0.006703277386 Long ABS-CBDO CORP KY N 2 2031-04-27 Floating 1.78100000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 460000.00000000 OU Notional Amount USD -45591.62000000 -0.00122245432 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 AVIS BUDGET CAR/FINANCE AVIS BUDGET CAR/FINANCE Y buy protection 2024-12-20 26848.33000000 USD 0.00000000 USD 460000.00000000 USD -72439.95000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828S76 16708000.00000000 PA USD 16722950.65000000 0.448394756074 Long DBT UST US N 2 2021-07-31 Fixed 1.12500000 N N N N N N Upstart Pass Through Trust N/A 91534HAA4 240000.00000000 PA USD 239908.22000000 0.006432691816 Long ABS-O CORP US N 2 2027-07-20 Fixed 2.00000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DR5 931000.00000000 PA USD 1041379.83000000 0.027922659381 Long DBT CORP US N 2 2029-04-05 Fixed 3.65000000 N N N N N N Cedar Funding Ltd 549300PQ60B57EBTK013 15032DAR2 3020000.00000000 PA USD 3019238.96000000 0.080955265929 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.23800000 N N N N N N Voya CLO Ltd 5493008LKHQG3J8X7O71 92914XAL3 358459.84000000 PA USD 358422.20000000 0.009610423322 Long ABS-CBDO CORP KY N 2 2027-07-23 Floating 1.14300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJH27 530063.27000000 PA USD 563910.55000000 0.015120210470 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 3.00000000 N N N N N N ALBERTSONS COS/SAFEWAY N/A 013092AD3 334000.00000000 PA USD 342854.34000000 0.009193000169 Long DBT CORP US N 2 2023-02-15 Fixed 3.50000000 N N N N N N 2021-07-30 Brighthouse Funds Trust II Alan Otis Alan Otis Treasurer