NPORT-P false 0000710826 XXXXXXXX S000006522 C000017831 C000017832 C000017830 Brighthouse Funds Trust II 811-03618 0000710826 549300NPPA08K2CWOV06 Brighthouse Investment Advisers, LLC 125 High Street, Suite 732 Boston 02110 980-949-4301 Brighthouse/Wellington Balanced Portfolio S000006522 NXBVDGYPUHFPZAEIGB14 2022-12-31 2022-09-30 N 1253473349.60 194695069.16 1058778280.44 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 26064470.37000000 0.00000000 0.00000000 0.00000000 EUR USD UST 60% S&P 500 Index 40% Bloomberg US Agg 60%SPX 40%LBUSTRUU WESCO International Inc 529900TXOGREY3WNJ434 95082P105 9508.00000000 NS USD 1135065.04000000 0.107205168538 Long EC CORP US N 1 N N N Honeywell International Inc ISRPG12PN4EIEOEMW547 438516106 24617.00000000 NS USD 4110300.49000000 0.388211636556 Long EC CORP US N 1 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKP3 890000.00000000 PA USD 833961.60000000 0.078766406093 Long DBT CORP US N 2 2028-04-27 Fixed 4.37600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379JKC4 43089.35000000 PA USD 6825.13000000 0.000644623159 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 3.50000000 N N N N N N FMC Corp CKDHZ2X64EEBQCSP7013 302491303 31357.00000000 NS USD 3314434.90000000 0.313043340728 Long EC CORP US N 1 N N N BENCHMARK Mortgage Trust N/A 08163BBF7 2360530.50000000 PA USD 211742.89000000 0.019998794262 Long ABS-MBS CORP US N 2 2054-01-15 Variable 1.63100000 N N N N N N BENCHMARK Mortgage Trust N/A 08162FAK9 1986993.87000000 PA USD 86173.54000000 0.008138959930 Long ABS-MBS CORP US N 2 2052-08-15 Variable 1.17000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410K3K8 11218.27000000 PA USD 11791.38000000 0.001113677926 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6.00000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400HM8 415000.00000000 PA USD 328709.54000000 0.031046116649 Long DBT CORP US N 2 2032-02-01 Fixed 2.75000000 N N N N N N EVERGY INC 549300PGTHDQY6PSUI61 30034WAB2 345000.00000000 PA USD 285017.59000000 0.026919478352 Long DBT CORP US N 2 2029-09-15 Fixed 2.90000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WTZ1 1938900.96000000 PA USD 1717189.67000000 0.162185955428 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LHCY4 382798.00000000 PA USD 362386.08000000 0.034226814687 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3.89000000 N N N N N N Sempra Energy PBBKGKLRK5S5C0Y4T545 816851BG3 365000.00000000 PA USD 330033.47000000 0.031171159826 Long DBT CORP US N 2 2028-02-01 Fixed 3.40000000 N N N N N N ENERGEAN ISRAEL FINANCE 98450044QACBL3F8EB03 000000000 155000.00000000 PA USD 126712.50000000 0.011967803112 Long DBT CORP IL Y 2 2031-03-30 Fixed 5.87500000 N N N N N N Angel Oak Mortgage Trust N/A 034651AA7 315527.16000000 PA USD 296426.16000000 0.027997000455 Long ABS-MBS CORP US N 2 2053-04-25 Variable 0.99000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325CU7 800000.00000000 PA USD 484238.22000000 0.045735564182 Long DBT NUSS CO N 2 2045-06-15 Fixed 5.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDC7 95000.00000000 PA USD 85482.21000000 0.008073664862 Long DBT CORP US N 2 2033-04-26 Fixed 4.58600000 N N N N N N UBS AG LONDON N/A 000000000 1000000.00000000 PA USD 1000000.00000000 0.094448480713 Long STIV CORP US N 2 2023-03-23 Floating 3.55000000 N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SN9 11030000.00000000 PA USD 6173353.13000000 0.583063824036 Long DBT UST US N 2 2050-05-15 Fixed 1.25000000 N N N N N N BRAVO Residential Funding Trust N/A 10569TAA6 225493.27000000 PA USD 207097.30000000 0.019560025344 Long ABS-MBS CORP US N 2 2049-02-25 Variable 0.94100000 N N N N N N Equitable Holdings Inc 549300FIBAKMNHPZ4009 29452E101 146629.00000000 NS USD 3863674.15000000 0.364918153439 Long EC CORP US N 1 N N N Credit Suisse First Boston Mortgage Securities N/A 225458RW0 822.49000000 PA USD 811.47000000 0.000076642108 Long ABS-MBS CORP US N 2 2037-04-15 Fixed 4.87700000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RN0 19040000.00000000 PA USD 15535450.00000000 1.467299649700 Long DBT UST US N 2 2045-08-15 Fixed 2.87500000 N N N N N Shell PLC 21380068P1DRHMJ8KU70 780259305 238123.00000000 NS USD 11849000.48000000 1.119120093309 Long EC CORP GB N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNK77 381022.87000000 PA USD 359825.98000000 0.033985017132 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4.00000000 N N N N N N Assurant Inc H3F39CAXWQRVWURFXL38 04621X108 9210.00000000 NS USD 1337936.70000000 0.126366088605 Long EC CORP US N 1 N N N United States Treasury 254900HROIFWPRGM1V77 912810TE8 1889150.25000000 PA USD 1193952.80000000 0.112767028003 Long DBT UST US N 2 2052-02-15 Fixed 0.12500000 N N N N N N AZEK Co Inc/The 5493002LDDDU1RX46815 05478C105 44548.00000000 NS USD 740387.76000000 0.069928499070 Long EC CORP US N 1 N N N Salesforce Inc RCGZFPDMRW58VJ54VR07 79466L302 27309.00000000 NS USD 3928126.56000000 0.371005585642 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BHAD9 341110.13000000 PA USD 71009.03000000 0.006706695000 Long ABS-MBS USGSE US N 2 2039-04-15 Fixed 6.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SH5 390000.00000000 PA USD 353493.03000000 0.033386879626 Long DBT CORP US N 2 2026-10-23 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31396UCL2 72180.15000000 PA USD 74323.61000000 0.007019752045 Long ABS-MBS USGSE US N 2 2036-07-15 Fixed 6.50000000 N N N N N N QORVO INC 254900YAUJV2EUEVBR11 74736KAJ0 580000.00000000 PA USD 434507.00000000 0.041038526009 Long DBT CORP US N 2 2031-04-01 Fixed 3.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AGLE7 568217.35000000 PA USD 462983.93000000 0.043728128783 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Hyatt Hotels Corp T27JQIMTYSH41TCD5186 448579102 21734.00000000 NS USD 1759584.64000000 0.166190095934 Long EC CORP US N 1 N N N NiSource Inc 549300D8GOWWH0SJB189 65473QBE2 425000.00000000 PA USD 390453.38000000 0.036877728530 Long DBT CORP US N 2 2027-05-15 Fixed 3.49000000 N N N N N N REPUBLIC OF CHILE 549300FLZTJM5YJF8D34 168863DW5 220000.00000000 PA USD 160443.00000000 0.015153597591 Long DBT NUSS CL N 2 2052-01-31 Fixed 4.00000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBF9 155000.00000000 PA USD 126390.88000000 0.011937426592 Long DBT CORP US N 2 2054-10-15 Fixed 4.95000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379XH52 209022.62000000 PA USD 8976.60000000 0.000847826231 Long ABS-MBS USGA US N 2 2029-05-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418XDE5 4549.09000000 PA USD 4474.28000000 0.000422588948 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.50000000 N N N N N N Freddie Mac - SCRT N/A 35563PNN5 508395.35000000 PA USD 443161.01000000 0.041855884105 Long ABS-MBS USGSE US N 2 2059-08-25 Fixed 2.50000000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493007OD9MH69ES1S63 95000HBF8 890000.00000000 PA USD 812325.52000000 0.076722911208 Long ABS-MBS CORP US N 2 2049-10-15 Fixed 2.94200000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAT7 205000.00000000 PA USD 180191.89000000 0.017018850247 Long DBT NUSS MX N 2 2033-05-19 Fixed 4.87500000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AG2 720000.00000000 PA USD 550800.00000000 0.052022223176 Long DBT CORP US N 2 2030-07-15 Fixed 4.37500000 N N N N N N OZLM Ltd N/A 67108WBE8 256927.78000000 PA USD 253003.47000000 0.023895793356 Long ABS-CBDO CORP KY N 2 2029-07-17 Floating 3.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WQA9 1978169.44000000 PA USD 1705947.47000000 0.161124146718 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.50000000 N N N N N N NBC Global Finance Limited 549300KWU8YQOYSK5Y64 000000000 2010000.00000000 PA USD 2010000.00000000 0.189841446234 Long RA CORP US N 2 Repurchase Y 3.24000000 2022-10-07 33053.35000000 USD 2238330.42000000 USD EQT N N GSR Mortgage Loan Trust N/A 3622MPBG2 446224.64000000 PA USD 126504.46000000 0.011948154050 Long ABS-MBS CORP US N 2 2037-01-25 Floating 3.38400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AAXY5 323849.38000000 PA USD 318556.60000000 0.030087186891 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WNE4 595695.82000000 PA USD 513776.04000000 0.048525366404 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N SS&C Technologies Inc 549300KY09TR3J12JU49 78466CAC0 735000.00000000 PA USD 670462.62000000 0.063324175834 Long DBT CORP US N 2 2027-09-30 Fixed 5.50000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCY5 30000.00000000 PA USD 22034.08000000 0.002081085379 Long DBT CORP US N 2 2039-11-01 Fixed 3.25000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMN9 251000.00000000 PA USD 169561.69000000 0.016014844007 Long DBT CORP US N 2 2057-12-01 Fixed 3.80000000 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3E9 445000.00000000 PA USD 334758.11000000 0.031617394896 Long DBT CORP US N 2 2031-10-04 Fixed 2.64600000 N N N N N N Alnylam Pharmaceuticals Inc 529900S3ZI14OWRJII50 02043Q107 2275.00000000 NS USD 455364.00000000 0.043008437971 Long EC CORP US N 1 N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAW4 55000.00000000 PA USD 51227.55000000 0.004838364268 Long DBT CORP US N 2 2033-03-15 Fixed 4.60000000 N N N N N N AES CORP/THE 2NUNNB7D43COUIRE5295 00130HCB9 335000.00000000 PA USD 308913.55000000 0.029176415469 Long DBT CORP US N 2 2025-07-15 Fixed 3.30000000 N N N N N Cabot Corp K05C0SER542GQ6VLRO68 127055101 34785.00000000 NS USD 2222413.65000000 0.209903592759 Long EC CORP US N 1 N N IHS HOLDING LTD 213800CLGMKL63VKTD94 44963HAB1 390000.00000000 PA USD 297453.00000000 0.028093983933 Long DBT CORP KY N 2 2028-11-29 Fixed 6.25000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCT0 345000.00000000 PA USD 318656.65000000 0.030096636461 Long DBT CORP US N 2 2033-05-10 Fixed 5.26800000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 000000000 900000.00000000 PA USD 900000.00000000 0.085003632642 Long RA CORP US N 2 Repurchase Y 3.17000000 2022-10-07 11979.15000000 USD 1001206.01000000 USD EQT N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAM8 525000.00000000 PA USD 464399.82000000 0.043861857442 Long DBT CORP US N 2 2029-01-23 Fixed 3.50900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X0Z76 448457.71000000 PA USD 431919.78000000 0.040794167011 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 3.00000000 N N N N N N Duke Energy Progress LLC 0NIFZ782LS46WOC9QK20 26442RAB7 320000.00000000 PA USD 267228.72000000 0.025239346607 Long DBT CORP US N 2 2044-03-30 Fixed 4.37500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJW0 580000.00000000 PA USD 407755.74000000 0.038511910145 Long DBT CORP US N 2 2042-04-22 Fixed 3.31100000 N N N N N N Residential Accredit Loans, Inc. N/A 761118PY8 129479.00000000 PA USD 108732.23000000 0.010269593928 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 6.00000000 N N N N N N AKER BP ASA 549300NFTY73920OYK69 55037AAA6 200000.00000000 PA USD 172511.32000000 0.016293432079 Long DBT CORP NO N 2 2026-07-15 Fixed 2.00000000 N N N N N N PENSKE TRUCK LEASING/PTL N/A 709599BG8 455000.00000000 PA USD 428541.97000000 0.040475137988 Long DBT CORP US N 2 2024-11-01 Fixed 2.70000000 N N N N N N Welltower Inc T6IZ0MBEG5ACZDTR7D06 95040Q104 47249.00000000 NS USD 3039055.68000000 0.287034191779 Long EC US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJVM9 5249.83000000 PA USD 4685.93000000 0.000442578969 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 3.00000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GS6 315000.00000000 PA USD 265648.84000000 0.025090129341 Long DBT CORP US N 2 2029-08-01 Fixed 2.85000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379QFZ3 12461.37000000 PA USD 560.90000000 0.000052976152 Long ABS-MBS USGA US N 2 2026-12-16 Fixed 4.00000000 N N N N N N New Residential Mortgage Loan Trust N/A 64829NAA2 331430.24000000 PA USD 312299.99000000 0.029496259582 Long ABS-MBS CORP US N 2 2057-05-25 Variable 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CFF3 5615000.00000000 PA USD 5134215.63000000 0.484918865908 Long DBT UST US N 2 2032-08-15 Fixed 2.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378MSZ9 57656.07000000 PA USD 2936.24000000 0.000277323407 Long ABS-MBS USGA US N 2 2027-03-20 Fixed 3.50000000 N N N N N N CPT MORTGAGE TRUST N/A 12654YAA7 585000.00000000 PA USD 476452.84000000 0.045000246869 Long ABS-MBS CORP US N 2 2039-11-13 Fixed 2.86500000 N N N N N N COMM Mortgage Trust 549300YJIXJB9DCDOI21 12626BAD6 175000.00000000 PA USD 173780.39000000 0.016413293813 Long ABS-MBS CORP US N 2 2046-08-10 Variable 4.21000000 N N N N N N BX Trust N/A 05606DAS7 590000.00000000 PA USD 588637.28000000 0.055595896787 Long ABS-MBS CORP US N 2 2039-08-15 Floating 5.29600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGVA9 11323.22000000 PA USD 11412.67000000 0.001077909342 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 5.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 -34100000.00000000 NC USD -7648.63000000 -0.00072240148 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Call Written Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 N/A 34100000.00000000 OU Notional Amount N/A -7648.63000000 0.00000000 DCR US CDX.NA.IG.S38 2I65BYEA9 buy protection 2027-06-20 0.00000000 N/A 0.00000000 N/A 34100000.00000000 USD 1.00000000 85.00000000 USD 2022-10-19 XXXX 55777.37000000 N N N Citigroup Commercial Mortgage Trust N/A 17323VBF1 3756162.21000000 PA USD 76224.93000000 0.007199328830 Long ABS-MBS CORP US N 2 2048-04-10 Variable 1.15700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P76P3 242919.77000000 PA USD 228241.44000000 0.021557057243 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AKXK4 188434.09000000 PA USD 8520.54000000 0.000804752057 Long ABS-MBS USGSE US N 2 2044-08-25 Variable 0.09600000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AZ1 1720000.00000000 PA USD 1545847.78000000 0.146002974235 Long DBT CORP CH N 2 2033-08-12 Fixed 6.53700000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92556HAB3 410000.00000000 PA USD 361674.64000000 0.034159620260 Long DBT CORP US N 2 2031-01-15 Fixed 4.95000000 N N N N N N Bumble Inc N/A 12047B105 89340.00000000 NS USD 1919916.60000000 0.181333205966 Long EC CORP US N 1 N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ASAD8 331056.59000000 PA USD 64747.09000000 0.006115264281 Long ABS-MBS USGSE US N 2 2043-12-25 Fixed 5.00000000 N N N N N N Republic of Senegal 549300NP14ZLQGWIUZ97 000000000 245000.00000000 PA 193506.48000000 0.018276393044 Long DBT NUSS SN Y 2 2028-03-13 Fixed 4.75000000 N N N N N N HUNGARY 5299003F3UFKGCCMAP43 000000000 1320000.00000000 PA 863483.33000000 0.081554688639 Long DBT NUSS HU Y 2 2032-04-28 Fixed 1.62500000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69360FAA3 539742.02000000 PA USD 496586.25000000 0.046901816855 Long ABS-MBS CORP US N 2 2026-07-25 Variable 1.79300000 N N N N N N Vertex Pharmaceuticals Inc 54930015RAQRRZ5ZGJ91 92532F100 9184.00000000 NS USD 2659135.36000000 0.251151294763 Long EC CORP US N 1 N N N Okta Inc 549300N8J06I8MRHU620 679295105 3482.00000000 NS USD 198021.34000000 0.018702814711 Long EC CORP US N 1 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F82T9 962480.11000000 PA USD 51821.66000000 0.004894477055 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 0.97300000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AR0 215000.00000000 PA USD 161620.03000000 0.015264766286 Long DBT CORP US N 2 2032-01-15 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371G2B5 15763.91000000 PA USD 15685.56000000 0.001481477311 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 5.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -45.00000000 NC USD 79761.41000000 0.007533343994 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT Ultra 10-Year U.S. Treasury Notes Futures UXYZ2 Comdty 2022-12-20 -5411558.29000000 USD 79761.41000000 N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BT8 175000.00000000 PA USD 163840.45000000 0.015474481581 Long DBT CORP US N 2 2040-05-01 Fixed 5.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SGL5 84715.48000000 PA USD 78278.21000000 0.007393258007 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 3.50000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VAQ6 1460000.00000000 PA USD 1061155.02000000 0.100224479440 Long DBT CORP US N 2 2052-03-15 Fixed 5.14100000 N N N N N Sempra Energy PBBKGKLRK5S5C0Y4T545 816851BH1 165000.00000000 PA USD 128644.59000000 0.012150286077 Long DBT CORP US N 2 2038-02-01 Fixed 3.80000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128287D6 6272032.05000000 PA USD 5655363.91000000 0.534140529181 Long DBT UST US N 2 2029-07-15 Fixed 0.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AAF59 265018.86000000 PA USD 230375.17000000 0.021758584800 Long ABS-MBS USGSE US N 2 2042-12-25 Fixed 1.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WXGZ4 26196.10000000 PA USD 24071.15000000 0.002273483546 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324P102 7273.00000000 NS USD 3673155.92000000 0.346923996067 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQKA9 165301.38000000 PA USD 159951.89000000 0.015107212997 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 4.00000000 N N N N N N COMM Mortgage Trust 549300NGGFIEJ2ER3D22 12625KAE5 260000.00000000 PA USD 258053.22000000 0.024372734572 Long ABS-MBS CORP US N 2 2046-06-10 Variable 3.61200000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYJ7 660000.00000000 PA USD 497630.63000000 0.047000456959 Long DBT CORP US N 2 2032-07-21 Fixed 2.38300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FY44 64174.81000000 PA USD 57456.92000000 0.005426718800 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A6DE1 11089.78000000 PA USD 1118.85000000 0.000105673682 Long ABS-MBS USGSE US N 2 2042-05-25 Variable 5.52800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KXXW1 376431.68000000 PA USD 308408.98000000 0.029128759599 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N Chicago Transit Authority Sales Tax Receipts Fund N/A 16772PCX2 170000.00000000 PA USD 142661.08000000 0.013474122262 Long DBT MUN US N 2 2040-12-01 Fixed 3.91200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMV68 212468.27000000 PA USD 185897.38000000 0.017557725109 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N Philip Morris International Inc HL3H1H2BGXWVG3BSWR90 718172109 69217.00000000 NS USD 5745703.17000000 0.542672935037 Long EC CORP US N 1 N N N FREEPORT INDONESIA PT 549300T4HTQHRKLNE619 69377FAB2 450000.00000000 PA USD 372375.00000000 0.035170253005 Long DBT CORP ID N 2 2032-04-14 Fixed 5.31500000 N N N N N N United Rentals Inc 5323X5O7RN0NKFCDRY08 911363109 1091.00000000 NS USD 294700.92000000 0.027834054158 Long EC CORP US N 1 N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579BM9 36462.33000000 PA USD 32173.91000000 0.003038776918 Long ABS-MBS CORP US N 2 2034-09-25 Floating 3.38400000 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3G4 735000.00000000 PA USD 594738.15000000 0.056172114689 Long DBT CORP US N 2 2029-01-07 Fixed 2.71700000 N N N N N N AVANTOR FUNDING INC 5493003VM0XB4U8YD238 05352TAA7 780000.00000000 PA USD 694157.10000000 0.065562083471 Long DBT CORP US N 2 2028-07-15 Fixed 4.62500000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397UKE8 94230.84000000 PA USD 73036.43000000 0.006898179850 Long ABS-MBS USGSE US N 2 2041-06-25 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382E5F0 747075.01000000 PA USD 45321.60000000 0.004280556263 Long ABS-MBS USGA US N 2 2035-05-20 Fixed 3.00000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAR2 110000.00000000 PA USD 100617.00000000 0.009503122783 Long DBT CORP US N 2 2027-12-15 Fixed 4.25000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -30.00000000 NC 376580.37000000 0.035567443813 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 30 Year Euro BUXL Futures UBZ2 COMDTY 2022-12-08 -4783446.04000000 EUR 376580.37000000 N N N CLEAN HARBORS INC 5493000SJVZVZJKHJF48 184496AN7 1195000.00000000 PA USD 1089302.25000000 0.102882942550 Long DBT CORP US N 2 2027-07-15 Fixed 4.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ADEM7 491100.57000000 PA USD 441765.98000000 0.041724125641 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 3.00000000 N Y N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311VAH0 285000.00000000 PA USD 267053.14000000 0.025222763342 Long DBT CORP US N 2 2029-05-15 Fixed 5.12500000 N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAQ6 280000.00000000 PA USD 226800.00000000 0.021420915425 Long DBT CORP KY N 2 2030-07-08 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GQQ2 104074.04000000 PA USD 93206.20000000 0.008803183983 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N Verus Securitization Trust N/A 92538FAA2 249432.07000000 PA USD 207053.01000000 0.019555842221 Long ABS-MBS CORP US N 2 2066-02-25 Variable 1.03100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132L83D7 290226.22000000 PA USD 265432.37000000 0.025069684078 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9PN4 66523.07000000 PA USD 65177.35000000 0.006155901684 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 31000.00000000 PA USD 21721.68000000 0.002051579674 Long DBT CORP US N 2 2035-11-15 Fixed 3.13700000 N N N N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585A102 32135.00000000 NS USD 3191969.55000000 0.301476674481 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXHP0 359704.18000000 PA USD 338658.74000000 0.031985803473 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GMF0 35488.35000000 PA USD 32609.25000000 0.003079894119 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFD1 30000.00000000 PA USD 22903.54000000 0.002163204555 Long DBT CORP US N 2 2050-03-22 Fixed 4.00000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCB9 225000.00000000 PA USD 141653.19000000 0.013378928583 Long DBT CORP US N 2 2061-03-25 Fixed 4.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGYT0 141461.19000000 PA USD 115134.85000000 0.010874311659 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W7G81 15012.58000000 PA USD 13764.29000000 0.001300016278 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LHGY0 260000.00000000 PA USD 235807.89000000 0.022271696950 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3.40000000 N N N N N N Starwood Mortgage Residential Trust N/A 85573HAA8 180842.39000000 PA USD 168347.05000000 0.015900123105 Long ABS-MBS CORP US N 2 2065-05-25 Variable 0.94300000 N N N N N N Bank N/A 06541ABG4 565000.00000000 PA USD 443248.55000000 0.041864152125 Long ABS-MBS CORP US N 2 2054-02-15 Fixed 2.03600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M2CY6 274822.88000000 PA USD 232268.92000000 0.021937446610 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N SFAVE Commercial Mortgage Securities Trust 549300FIGODFFTOAAU64 78413MAA6 150000.00000000 PA USD 108463.64000000 0.010244226010 Long ABS-MBS CORP US N 2 2043-01-05 Variable 3.87200000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BN3 85000.00000000 PA USD 70217.65000000 0.006631950361 Long DBT CORP US N 2 2030-07-15 Fixed 4.00000000 N N N N N N MFRA TRUST N/A 55283WAA9 333156.57000000 PA USD 270278.06000000 0.025527352137 Long ABS-MBS CORP US N 2 2064-11-25 Variable 1.02900000 N N N N N N DR Horton Inc 529900ZIUEYVSB8QDD25 23331A109 4967.00000000 NS USD 334527.45000000 0.031595609409 Long EC CORP US N 1 N N CSAIL Commercial Mortgage Trust 549300D5DIOOMKWXVZ20 12634NAV0 10939549.90000000 PA USD 155255.19000000 0.014663616818 Long ABS-MBS CORP US N 2 2057-06-15 Variable 0.85800000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJT7 1905000.00000000 PA USD 1487298.90000000 0.140473121471 Long DBT CORP US N 2 2032-04-22 Fixed 2.68700000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JBD9 200000.00000000 PA USD 138081.22000000 0.013041561444 Long DBT CORP US N 2 2042-09-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KYEH3 431300.73000000 PA USD 350977.52000000 0.033149293528 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CV9 200000.00000000 PA USD 154752.99000000 0.014616184791 Long DBT CORP GB N 2 2029-08-17 Fixed 2.20600000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBL3 250000.00000000 PA USD 224602.97000000 0.021213409280 Long DBT CORP US N 2 2030-04-06 Fixed 3.63300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36183RD91 192644.74000000 PA USD 171170.99000000 0.016166839947 Long ABS-MBS USGA US N 2 2045-04-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BPXD6 77515.22000000 PA USD 79301.30000000 0.007489887303 Long ABS-MBS USGSE US N 2 2046-06-15 Fixed 5.50000000 N N N N N N Genmab A/S 529900MTJPDPE4MHJ122 372303206 12223.00000000 NS USD 392724.99000000 0.037092278643 Long EC CORP DK N 1 N N JetBlue Airways Corp 54930070J9H97ZO93T57 477143101 233227.00000000 NS USD 1546295.01000000 0.146045214429 Long EC CORP US N 1 N N N Schlumberger NV 213800ZUA17OK3QLGM62 806857108 73093.00000000 NS USD 2624038.70000000 0.247836468548 Long EC CORP CW N 1 N N N NMLT Trust N/A 62923JAA0 899767.66000000 PA USD 763879.89000000 0.072147295058 Long ABS-MBS CORP US N 2 2056-05-25 Variable 1.18500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M5VP1 63066.39000000 PA USD 60050.23000000 0.005671652989 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B0Q64 65121.55000000 PA USD 2741.32000000 0.000258913509 Long ABS-MBS USGSE US N 2 2028-03-15 Fixed 4.00000000 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAJ3 885000.00000000 PA USD 808557.58000000 0.076367035000 Long DBT CORP US N 2 2024-08-01 Fixed 1.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHNB9 394073.35000000 PA USD 366606.51000000 0.034625427889 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493002S7XBI8CVRR075 94989HAZ3 2703441.47000000 PA USD 54376.21000000 0.005135750421 Long ABS-MBS CORP US N 2 2048-05-15 Variable 1.21300000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAN2 205000.00000000 PA USD 192791.23000000 0.018208838768 Long DBT CORP US N 2 2029-08-15 Fixed 5.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X55F0 22545.75000000 PA USD 22065.78000000 0.002084079396 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418NYJ3 6299.40000000 PA USD 6196.66000000 0.000585265122 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N TAYLOR MORRISON COMM 549300O1Z08HI2MRK572 87724RAB8 623000.00000000 PA USD 546782.18000000 0.051642746182 Long DBT CORP US N 2 2028-01-15 Fixed 5.75000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W7GC2 196209.20000000 PA USD 175974.92000000 0.016620563837 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N ENERGEAN ISRAEL FINANCE 98450044QACBL3F8EB03 000000000 155000.00000000 PA USD 136787.50000000 0.012919371555 Long DBT CORP IL Y 2 2026-03-30 Fixed 4.87500000 N N N N N N agilon health Inc N/A 00857U107 156027.00000000 NS USD 3654152.34000000 0.345129136808 Long EC CORP US N 1 N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307DH58 195358.28000000 PA USD 187834.14000000 0.017740649149 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 3.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JN8 1350000.00000000 PA USD 988101.36000000 0.093324672242 Long DBT CORP US N 2 2050-07-01 Fixed 4.95000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 92873AAA6 555731.26000000 PA USD 515338.54000000 0.048672942156 Long ABS-MBS CORP US N 2 2051-02-27 Variable 2.24000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418BMM5 142046.71000000 PA USD 130515.05000000 0.012326948182 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KP7D9 1491156.67000000 PA USD 1214087.70000000 0.114668738717 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N ENERGO PRO AS 315700IQCL9IX158RO36 000000000 645000.00000000 PA USD 597882.75000000 0.056469117382 Long DBT CORP CZ N 2 2027-02-04 Fixed 8.50000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61772BAB9 335000.00000000 PA USD 289468.71000000 0.027339879873 Long DBT CORP US N 2 2027-05-04 Fixed 1.59300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335AZ68 771499.02000000 PA USD 686333.36000000 0.064823143114 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380KPS8 294434.76000000 PA USD 56345.69000000 0.005321764815 Long ABS-MBS USGA US N 2 2043-12-20 Fixed 5.00000000 N N N N N N Soundview Home Equity Loan Trust N/A 83612HAD0 408802.06000000 PA USD 380754.85000000 0.035961717106 Long ABS-MBS CORP US N 2 2036-11-25 Floating 3.58400000 N N N N N N CSAIL Commercial Mortgage Trust 549300C2HE5FJAWYZL57 12636MAG3 1504321.17000000 PA USD 75319.86000000 0.007113846344 Long ABS-MBS CORP US N 2 2049-01-15 Variable 2.02800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DWR9 223290.34000000 PA USD 181990.24000000 0.017188701672 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GFP6 123098.27000000 PA USD 110275.85000000 0.010415386491 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N Ball Corp 0BGI85ALH27ZJP15DY16 058498106 15649.00000000 NS USD 756159.68000000 0.071418132952 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WHL60 11214.74000000 PA USD 9964.49000000 0.000941130941 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KC0 155000.00000000 PA USD 127446.91000000 0.012037167021 Long DBT CORP US N 2 2032-03-01 Fixed 4.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J6GM3 441129.88000000 PA USD 417759.08000000 0.039456710410 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N ALCON FINANCE CORP 549300CUZUI9VU7XNK42 01400EAA1 200000.00000000 PA USD 178877.67000000 0.016894724165 Long DBT CORP US N 2 2026-09-23 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKP28 1972642.21000000 PA USD 1665317.10000000 0.157286670001 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RK6 3500000.00000000 PA USD 2668339.84000000 0.252020643915 Long DBT UST US N 2 2045-02-15 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B16D9 131678.92000000 PA USD 7513.43000000 0.000709632048 Long ABS-MBS USGSE US N 2 2028-03-15 Fixed 3.00000000 N N N N N N ALCON FINANCE CORP 549300CUZUI9VU7XNK42 01400EAB9 265000.00000000 PA USD 223536.24000000 0.021112658252 Long DBT CORP US N 2 2029-09-23 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RU4 1200000.00000000 PA USD 979968.74000000 0.092556558639 Long DBT UST US N 2 2046-11-15 Fixed 2.87500000 N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 120775.01000000 OU Notional Amount USD 0.00000000 0.000000 N/A DCR US N 3 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 PrimeX.ARM.2 7B579YAB1 Y sell protection 2037-12-25 3377.10000000 USD 0.00000000 USD 120775.01000000 USD -3377.10000000 N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDH1 220000.00000000 PA USD 172944.88000000 0.016334381163 Long DBT CORP US N 2 2040-04-01 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGCK3 182659.14000000 PA USD 161034.39000000 0.015209453478 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AJUU6 336695.25000000 PA USD 323814.17000000 0.030583756389 Long ABS-MBS USGSE US N 2 2041-09-15 Fixed 4.00000000 N Y N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GGRM9 60507.11000000 PA USD 56950.53000000 0.005378891034 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N Aclaris Therapeutics Inc 5493000B2LQ9QTW1DF52 00461U105 9585.00000000 NS USD 150867.90000000 0.014249243943 Long EC CORP US N 1 N N Countrywide Alternative Loan Trust N/A 12668APP4 359221.96000000 PA USD 214213.57000000 0.020232146234 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.50000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBQ0 504000.00000000 PA USD 382835.77000000 0.036158256839 Long DBT CORP US N 2 2042-07-15 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHBE6 472534.15000000 PA USD 399148.65000000 0.037698983571 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 2.50000000 N N N N N N New Residential Mortgage Loan Trust N/A 64829GAA7 316723.83000000 PA USD 295872.70000000 0.027944726999 Long ABS-MBS CORP US N 2 2035-11-26 Variable 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GBB1 31429.05000000 PA USD 28127.08000000 0.002656559972 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CM9 340000.00000000 PA USD 284153.29000000 0.026837846530 Long DBT CORP GB N 2 2027-05-24 Fixed 1.58900000 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AD5 310000.00000000 PA USD 274783.91000000 0.025952922824 Long DBT US N 2 2032-05-15 Fixed 5.12500000 N N N N N N CLECO CORPORATE HOLDINGS 5493002H80P81B3HXL31 18551PAE9 255000.00000000 PA USD 214335.73000000 0.020243684061 Long DBT CORP US N 2 2029-09-15 Fixed 3.37500000 N N N N N N Credit Suisse Mortgage Trust N/A 22946DAA0 446035.87000000 PA USD 345382.88000000 0.032620888280 Long ABS-MBS CORP US N 2 2066-05-25 Variable 0.93800000 N N N N N N MASTR Adjustable Rate Mortgages Trust N/A 576433UM6 37404.49000000 PA USD 35345.86000000 0.003338362776 Long ABS-MBS CORP US N 2 2034-11-21 Variable 3.81900000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KD8 115000.00000000 PA USD 86868.44000000 0.008204592179 Long DBT CORP US N 2 2052-03-01 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6GA3 316629.04000000 PA USD 291121.26000000 0.027495960710 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.50000000 N N N N N N OVINTIV INC N/A 292505AD6 85000.00000000 PA USD 82804.73000000 0.007820780944 Long DBT CORP US N 2 2034-08-15 Fixed 6.50000000 N N N N N N Bear Stearns Mortgage Funding Trust N/A 07400HAA1 79304.53000000 PA USD 66543.02000000 0.006284887141 Long ABS-MBS CORP US N 2 2036-10-25 Floating 3.26400000 N N N N N N Ball Corp 0BGI85ALH27ZJP15DY16 058498AS5 1200000.00000000 PA USD 1176240.00000000 0.111094080954 Long DBT CORP US N 2 2023-11-15 Fixed 4.00000000 N N N N N N COMM Mortgage Trust N/A 12624XAD0 145000.00000000 PA USD 144402.40000000 0.013638587291 Long ABS-MBS CORP US N 2 2046-03-10 Fixed 3.10100000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17322VAY2 3106152.52000000 PA USD 40748.68000000 0.003848650917 Long ABS-MBS CORP US N 2 2047-07-10 Variable 1.05600000 N N N N N N Morgan Stanley BAML Trust N/A 61763BAT1 160061.17000000 PA USD 156702.93000000 0.014800353661 Long ABS-MBS CORP US N 2 2046-11-15 Fixed 3.76600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7K40 207368.54000000 PA USD 190653.12000000 0.018006897527 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.50000000 N N N N N N EQUITABLE FINANCIAL LIFE 635400B4JJBON4TCHF02 29449WAF4 755000.00000000 PA USD 630683.19000000 0.059567069107 Long DBT CORP US N 2 2028-03-08 Fixed 1.80000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668AZX6 78917.65000000 PA USD 68063.05000000 0.006428451665 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.88400000 N N N N N N GS Mortgage Securities Trust N/A 36252WAE8 465000.00000000 PA USD 340973.81000000 0.032204458317 Long ABS-MBS CORP US N 2 2047-04-10 Variable 5.16800000 N N N N N N NATIXIS NY N/A 000000000 2001581.86000000 PA USD 2001581.86000000 0.189046365700 Long STIV CORP US N 2 2023-02-13 Floating 3.46000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A9T64 238739.72000000 PA USD 222497.51000000 0.021014551782 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 3.00000000 N N N N N N Teradyne Inc C3X4YJ278QNZHRJULN75 880770102 25238.00000000 NS USD 1896635.70000000 0.179134360331 Long EC CORP US N 1 N N Republic of Panama 549300SHS4T08CL0LP14 698299BB9 200000.00000000 PA USD 133370.26000000 0.012596618429 Long DBT NUSS PA N 2 2053-04-29 Fixed 4.30000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AQ2 195000.00000000 PA USD 159396.11000000 0.015054720421 Long DBT US N 2 2031-01-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241K4Z8 318794.04000000 PA USD 322635.84000000 0.030472464911 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 5.00000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XAP9 79148.77000000 PA USD 81796.01000000 0.007725508872 Long ABS-MBS USGSE US N 2 2024-11-25 Floating 7.98400000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAG8 265000.00000000 PA USD 249220.70000000 0.023538516477 Long DBT CORP US N 2 2029-04-15 Fixed 5.25000000 N N N N N N Towd Point Mortgage Trust N/A 89173UAA5 352443.24000000 PA USD 337791.26000000 0.031903871305 Long ABS-O CORP US N 2 2057-06-25 Variable 2.75000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162VAF5 6086046.71000000 PA USD 327827.95000000 0.030962851812 Long ABS-MBS CORP US N 2 2062-03-15 Variable 1.38500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419FVT0 302184.62000000 PA USD 288110.65000000 0.027211613169 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.00000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBW4 900000.00000000 PA USD 752885.33000000 0.071108875569 Long DBT CORP US N 2 2032-03-16 Fixed 4.74200000 N N N N N N Conagra Brands Inc 54930035UDEIH090K650 205887CE0 35000.00000000 PA USD 30150.41000000 0.002847660417 Long DBT CORP US N 2 2048-11-01 Fixed 5.40000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RT7 910000.00000000 PA USD 655271.09000000 0.061889358905 Long DBT UST US N 2 2046-08-15 Fixed 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ANMB0 108037.18000000 PA USD 8741.58000000 0.000825628950 Long ABS-MBS USGSE US N 2 2030-05-25 Fixed 3.50000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AJ8 305000.00000000 PA USD 303548.20000000 0.028669666313 Long DBT CORP US N 2 2023-06-15 Fixed 3.85000000 N N N N N N GALAXY PIPELINE ASSETS 549300L82YB0C6JQIC26 36321PAE0 241632.50000000 PA USD 183384.95000000 0.017320429913 Long DBT CORP JE N 2 2040-09-30 Fixed 2.94000000 N N N N N N TD Prime Services LLC 549300ZBQI1JB1844X09 000000000 1000000.00000000 PA USD 1000000.00000000 0.094448480713 Long RA CORP US N 2 Repurchase Y 3.15000000 2022-10-03 14115.45000000 USD 1100288.88000000 USD EQT N N EOG Resources Inc XWTZDRYZPBUHIQBKDB46 26875P101 9169.00000000 NS USD 1024452.37000000 0.096757969909 Long EC CORP US N 1 N N N NIKE Inc 787RXPR0UX0O0XUXPZ81 654106103 65626.00000000 NS USD 5454833.12000000 0.515200700729 Long EC CORP US N 1 N N N Bain Capital Credit CLO, Limited N/A 05683HAN5 1325000.00000000 PA USD 1263156.95000000 0.119303254830 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 3.96300000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBE8 2000.00000000 PA USD 1900.46000000 0.000179495559 Long DBT CORP US N 2 2025-06-15 Fixed 3.95000000 N N N N N N Agilent Technologies Inc QUIX8Y7A2WP0XRMW7G29 00846U101 30498.00000000 NS USD 3707031.90000000 0.350123530911 Long EC CORP US N 1 N N N HashiCorp Inc 549300XGOB9ZFQHMIP56 418100103 27482.00000000 NS USD 884645.58000000 0.083553431000 Long EC CORP US N 1 N N INVEST ENERGY RES LTD 254900A71Y7WHN7L5K89 46143NAB6 200000.00000000 PA USD 169322.55000000 0.015992257598 Long DBT CORP BM N 2 2029-04-26 Fixed 6.25000000 N N N N N N Verus Securitization Trust N/A 92538GAA0 580624.14000000 PA USD 496164.64000000 0.046861996431 Long ABS-MBS CORP US N 2 2066-11-25 Variable 1.82400000 N N N N N N GCAT N/A 36167YAA6 428155.26000000 PA USD 381229.06000000 0.036006505520 Long ABS-MBS CORP US N 2 2066-08-25 Variable 1.91500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ARE46 164581.15000000 PA USD 137534.79000000 0.012989951960 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 3.50000000 N Y N N N N LSTAR Securities Investment Ltd N/A 54912JAA0 447640.78000000 PA USD 435890.66000000 0.041169210594 Long ABS-MBS CORP US N 2 2024-05-01 Floating 6.06400000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XBF0 63180.05000000 PA USD 65415.08000000 0.006178354921 Long ABS-MBS USGSE US N 2 2028-04-25 Floating 8.78400000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AU2 250000.00000000 PA USD 175509.44000000 0.016576599958 Long DBT CORP CH N 2 2032-05-14 Fixed 3.09100000 N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 411.00000000 NC USD -334476.00000000 -0.03159075003 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year U.S. Treasury Notes FVZ2 COMDTY 2022-12-30 44520187.14000000 USD -334476.00000000 N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311VAD9 20000.00000000 PA USD 19750.00000000 0.001865357494 Long DBT CORP US N 2 2023-03-15 Fixed 3.87500000 N N N N N N NORTONLIFELOCK INC YF6ZV0M6AU4FY94MK914 668771AK4 260000.00000000 PA USD 249477.80000000 0.023562799181 Long DBT CORP US N 2 2027-09-30 Fixed 6.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WJEV9 106772.49000000 PA USD 95140.76000000 0.008985900235 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N AXIS Equipment Finance Receivables LLC 549300IFG1NMINYRYF89 03236XAB3 260000.00000000 PA USD 258428.25000000 0.024408155585 Long ABS-O CORP US N 2 2028-06-21 Fixed 5.30000000 N N N N N N Micron Technology Inc B3DXGBC8GAIYWI2Z0172 595112103 55956.00000000 NS USD 2803395.60000000 0.264776455258 Long EC CORP US N 1 N N N United States Treasury 254900HROIFWPRGM1V77 912810SC3 2465000.00000000 PA USD 2131454.69000000 0.201312657180 Long DBT UST US N 2 2048-05-15 Fixed 3.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UV82 311700.62000000 PA USD 286378.50000000 0.027048014234 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XHBF7 68701.35000000 PA USD 67372.55000000 0.006363234989 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.50000000 N N N N N N PARKER-HANNIFIN CORP 5493002CONDB4N2HKI23 701094AR5 220000.00000000 PA USD 209539.70000000 0.019790706314 Long DBT CORP US N 2 2027-09-15 Fixed 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31396ULP3 57447.68000000 PA USD 58775.95000000 0.005551299179 Long ABS-MBS USGSE US N 2 2036-07-15 Fixed 5.50000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAH3 30000.00000000 PA USD 27722.65000000 0.002618362173 Long DBT CORP US N 2 2027-07-01 Fixed 6.50000000 N N N N N N UMBS, TBA N/A 01F0326A7 -811000.00000000 PA USD -729836.64000000 -0.06893196181 Short ABS-MBS USGSE US N 2 2052-10-15 Fixed 3.50000000 N N N N N N Wingstop Funding LLC N/A 974153AB4 163762.50000000 PA USD 139165.54000000 0.013143973820 Long ABS-O CORP US N 2 2050-12-05 Fixed 2.84100000 N N N N N N HubSpot Inc 529900BLNVEW0MVKJB37 443573100 695.00000000 NS USD 187733.40000000 0.017731134409 Long EC CORP US N 1 N N N Onslow Bay Financial LLC N/A 67114VAA1 1056749.39000000 PA USD 907614.05000000 0.085722768096 Long ABS-MBS CORP US N 2 2061-11-25 Variable 2.30500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QVVE8 81583.13000000 PA USD 77608.06000000 0.007329963358 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.00000000 N N N N N N MSCI INC 549300HTIN2PD78UB763 55354GAM2 300000.00000000 PA USD 240695.80000000 0.022733352624 Long DBT CORP US N 2 2031-11-01 Fixed 3.62500000 N N N N N N Morgan Stanley BAML Trust N/A 61762XAU1 115000.00000000 PA USD 114012.89000000 0.010768344242 Long ABS-MBS CORP US N 2 2046-10-15 Variable 4.25900000 N N N N N N Morgan Stanley BAML Trust N/A 61690VBA5 750309.10000000 PA USD 14128.02000000 0.001334370024 Long ABS-MBS CORP US N 2 2048-10-15 Variable 1.12300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HPEN0 73919.20000000 PA USD 67970.77000000 0.006419735959 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.50000000 N N N N N N Bank N/A 06540YAN9 4987445.31000000 PA USD 502090.11000000 0.047421648070 Long ABS-MBS CORP US N 2 2063-03-15 Variable 1.89600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132Y2HF6 41562.95000000 PA USD 39306.28000000 0.003712418428 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N NORTH MACEDONIA 635400RD1N6RVNCE4958 000000000 425000.00000000 PA 376951.77000000 0.035602521978 Long DBT NUSS MK Y 2 2025-01-18 Fixed 2.75000000 N N N N N N OPEN TEXT CORP 549300HP7ONDQODZJV16 683715AD8 740000.00000000 PA USD 569970.20000000 0.053832819441 Long DBT CORP CA N 2 2029-12-01 Fixed 3.87500000 N N N N N Linde PLC 8945002PAZHZLBGKGF02 000000000 17204.00000000 NS USD 4638026.36000000 0.438054543211 Long EC CORP IE N 1 N N N New Residential Mortgage Loan Trust N/A 64828EAA3 90673.48000000 PA USD 83097.91000000 0.007848471349 Long ABS-MBS CORP US N 2 2059-09-25 Variable 2.49200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ANHJ9 277463.90000000 PA USD 9034.17000000 0.000853263631 Long ABS-MBS USGSE US N 2 2055-04-25 Floating 0.11100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AFXT6 56050.08000000 PA USD 2700.62000000 0.000255069455 Long ABS-MBS USGSE US N 2 2028-06-25 Fixed 2.50000000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAX2 40000.00000000 PA USD 35509.28000000 0.003353797547 Long DBT CORP US N 2 2052-06-15 Fixed 4.95000000 N N N N N N Chubb Ltd E0JAN6VLUDI1HITHT809 000000000 25049.00000000 NS USD 4555912.12000000 0.430298977998 Long EC CORP CH N 1 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FREK3 2484329.12000000 PA USD 155484.97000000 0.014685319190 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.24600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GFB22 197082.81000000 PA USD 198610.75000000 0.018758483590 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.00000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AP3 340000.00000000 PA USD 319163.71000000 0.030144527508 Long DBT CORP CH N 2 2028-05-12 Fixed 4.75100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KMYL3 319079.17000000 PA USD 269011.61000000 0.025407737858 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N Omnicom Group Inc HKUPACFHSSASQK8HLS17 681919106 97543.00000000 NS USD 6153987.87000000 0.581234804650 Long EC CORP US N 1 N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31394GXJ7 24917.94000000 PA USD 25430.70000000 0.002401890978 Long ABS-MBS USGSE US N 2 2033-08-15 Fixed 5.50000000 N N N N N N Towd Point Mortgage Trust N/A 89173HAA4 50650.30000000 PA USD 50179.16000000 0.004739345425 Long ABS-O CORP US N 2 2057-04-25 Variable 2.75000000 N N N N N N FIRSTCASH INC 549300V2X3UU7K0DG350 31944TAA8 585000.00000000 PA USD 500175.00000000 0.047240768840 Long DBT CORP US N 2 2030-01-01 Fixed 5.62500000 N N N N N N REPUBLIC OF CHILE 549300FLZTJM5YJF8D34 000000000 700000.00000000 PA 339587.36000000 0.032073510221 Long DBT NUSS CL N 2 2051-01-22 Fixed 1.25000000 N N N N N N KYNDRYL HOLDINGS INC 549300LQ4LWX2R8ZV130 50155QAL4 244000.00000000 PA USD 163608.92000000 0.015452613925 Long DBT CORP US N 2 2031-10-15 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M8VW0 111804.72000000 PA USD 106578.47000000 0.010066174568 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.00000000 N N N N N N General Dynamics Corp 9C1X8XOOTYY2FNYTVH06 369550108 17009.00000000 NS USD 3608799.53000000 0.340845632808 Long EC CORP US N 1 N N N MONDELEZ INTERNATIONAL 549300DV9GIB88LZ5P30 609207BB0 300000.00000000 PA USD 246406.15000000 0.023272686505 Long DBT CORP US N 2 2032-03-17 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TLS2 83928.65000000 PA USD 77277.64000000 0.007298755691 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MABU2 250055.23000000 PA USD 238645.28000000 0.022539684125 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.00000000 N N N N N N COMM Mortgage Trust N/A 12630DAZ7 2573384.33000000 PA USD 13370.79000000 0.001262850801 Long ABS-MBS CORP US N 2 2047-02-10 Variable 0.66000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYN8 75000.00000000 PA USD 57485.03000000 0.005429373747 Long DBT CORP US N 2 2032-10-21 Fixed 2.65000000 N N N N N N Chicago Board of Education 54930099NR6T9V7LVB43 167505KH8 325000.00000000 PA USD 281742.63000000 0.026610163355 Long DBT MUN US N 2 2039-12-01 Fixed 6.13800000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325BR5 225000.00000000 PA USD 148780.74000000 0.014052114852 Long DBT NUSS CO N 2 2044-02-26 Fixed 5.62500000 N N N N N N MFRA Trust N/A 55282YAA6 732768.62000000 PA USD 699791.98000000 0.066094289326 Long ABS-O CORP US N 2 2060-03-25 Variable 2.36300000 N N N N N N COMM Mortgage Trust N/A 12624QAS2 134038.24000000 PA USD 5.99000000 0.000000565746 Long ABS-MBS CORP US N 2 2045-10-15 Variable 1.70000000 N N N N N N Verus Securitization Trust N/A 92538QAA8 1161890.74000000 PA USD 983406.66000000 0.092881264960 Long ABS-MBS CORP US N 2 2066-10-25 Variable 1.82900000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAG7 115000.00000000 PA USD 98404.74000000 0.009294178188 Long DBT CORP US N 2 2027-01-15 Fixed 2.15000000 N N N N N N New Residential Mortgage Loan Trust N/A 64828FCQ3 441214.58000000 PA USD 426991.81000000 0.040328727731 Long ABS-MBS CORP US N 2 2048-01-25 Floating 3.19400000 N N N N N N ROGERS COMMUNICATIONS IN 54930030NVF3Y2OL0A78 775109CD1 310000.00000000 PA USD 247247.07000000 0.023352110122 Long DBT CORP CA N 2 2052-03-15 Fixed 4.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FFLC3 124180.99000000 PA USD 114058.80000000 0.010772680372 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N IVORY COAST 254900ICW11T82O6H590 000000000 460000.00000000 PA 301041.60000000 0.028432921751 Long DBT NUSS CI Y 2 2032-01-30 Fixed 4.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GTW6 6953.06000000 PA USD 6218.14000000 0.000587293875 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AE7 295000.00000000 PA USD 258086.28000000 0.024375857038 Long DBT CORP US N 2 2026-08-18 Fixed 3.50000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2L7 465000.00000000 PA USD 418101.64000000 0.039489064681 Long DBT CORP FR N 2 2026-06-09 Fixed 2.21900000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9WN8 72844.11000000 PA USD 75329.54000000 0.007114760605 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GAS5 178779.17000000 PA USD 160110.60000000 0.015122202916 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Chicago Board of Education 54930099NR6T9V7LVB43 167505NG7 480000.00000000 PA USD 453864.86000000 0.042866846476 Long DBT MUN US N 2 2029-11-01 Fixed 6.31900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DV7K5 460240.85000000 PA USD 374865.96000000 0.035405520393 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CP5 360000.00000000 PA USD 294713.09000000 0.027835203596 Long DBT CORP US N 2 2027-12-02 Fixed 2.45000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381TR23 321427.67000000 PA USD 45313.36000000 0.004279778008 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.50000000 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAB7 40000.00000000 PA USD 30776.08000000 0.002906753998 Long DBT CORP US N 2 2052-04-15 Fixed 4.95000000 N N N N N N Celanese Corp 549300FHJQTDPPN41627 150870103 18591.00000000 NS USD 1679510.94000000 0.158627256624 Long EC CORP US N 1 N N N PPG Industries Inc 549300BKPEP01R3V6C59 693506107 25048.00000000 NS USD 2772563.12000000 0.261864374366 Long EC CORP US N 1 N N N Aurora Innovation Inc N/A 051774107 87391.00000000 NS USD 193134.11000000 0.018241223263 Long EC CORP US N 1 N N Mercury Financial Credit Card Master Trust N/A 58940BAA4 495000.00000000 PA USD 470249.80000000 0.044414379165 Long ABS-O CORP US N 2 2026-03-20 Fixed 1.54000000 N N N N N N Ellington Financial Mortgage Trust N/A 31573CAA3 597828.41000000 PA USD 503426.82000000 0.047547898299 Long ABS-MBS CORP US N 2 2067-01-25 Variable 2.20600000 N N N N N N Firstkey Homes Trust N/A 33767PAA6 1188202.85000000 PA USD 1114135.54000000 0.105228409061 Long ABS-O CORP US N 2 2039-07-17 Fixed 4.25000000 N N N N N N CSAIL Commercial Mortgage Trust 549300FU8TZDHFLQZL50 12636LBA7 711323.65000000 PA USD 15338.41000000 0.001448689521 Long ABS-MBS CORP US N 2 2048-11-15 Variable 1.06600000 N N N N N N ONEOK Inc 2T3D6M0JSY48PSZI1Q41 682680AU7 95000.00000000 PA USD 86973.84000000 0.008214547049 Long DBT CORP US N 2 2028-07-15 Fixed 4.55000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CU7 425000.00000000 PA USD 409428.66000000 0.038669914897 Long DBT CORP US N 2 2027-05-01 Fixed 5.04000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36186NMD8 7832.93000000 PA USD 6957.97000000 0.000657169695 Long ABS-MBS USGA US N 2 2045-07-15 Fixed 3.00000000 N N N N N N MACQUARIE BANK LTD N/A 000000000 2001876.00000000 PA USD 2001876.00000000 0.189074146776 Long STIV CORP US N 2 2023-02-03 Floating 3.56000000 N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBM1 80000.00000000 PA USD 62776.78000000 0.005929171495 Long DBT US N 2 2031-04-15 Fixed 2.70000000 N N N N N N CONOCOPHILLIPS COMPANY 6VJJ5GQWIRDQ06DUXG89 20826FAY2 90000.00000000 PA USD 68014.59000000 0.006423874691 Long DBT CORP US N 2 2062-03-15 Fixed 4.02500000 N N N N N N JERSEY CENTRAL PWR & LT 549300W9UGH9ZPLNPF79 476556DD4 140000.00000000 PA USD 111078.57000000 0.010491202176 Long DBT CORP US N 2 2032-03-01 Fixed 2.75000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661EL7 345000.00000000 PA USD 325885.45000000 0.030779385639 Long DBT CORP US N 2 2033-04-15 Fixed 5.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CJ1 360000.00000000 PA USD 298104.11000000 0.028155480283 Long DBT CORP US N 2 2033-04-01 Fixed 4.40000000 N N N N N UMBS, TBA N/A 01F0206A2 1390000.00000000 PA USD 1125139.85000000 0.106267749422 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 2.00000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CN8 210000.00000000 PA USD 183888.81000000 0.017368018724 Long DBT CORP US N 2 2045-07-20 Fixed 5.12500000 N N N N N N Verus Securitization Trust N/A 92538HAA8 383801.50000000 PA USD 308010.15000000 0.029091090711 Long ABS-MBS CORP US N 2 2066-07-25 Variable 0.93800000 N N N N N N PENSKE TRUCK LEASING/PTL N/A 709599BJ2 405000.00000000 PA USD 385999.59000000 0.036457074831 Long DBT CORP US N 2 2025-07-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312932ZG4 3059.63000000 PA USD 3051.29000000 0.000288189704 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ALJW8 17626.39000000 PA USD 17628.52000000 0.001664986931 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.00000000 N N N N N N New Residential Mortgage Loan Trust N/A 64829JAA1 586136.32000000 PA USD 558477.02000000 0.052747306052 Long ABS-MBS CORP US N 2 2057-02-25 Variable 4.00000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -10807.51000000 -0.00102075289 N/A DFE XX N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 536365.04000000 USD 533000.00000000 EUR 2022-12-21 -10807.51000000 N N N Exelon Corp 3SOUA6IRML7435B56G12 30161N101 103473.00000000 NS USD 3876098.58000000 0.366091621976 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B5PK5 327973.35000000 PA USD 299479.06000000 0.028285342222 Long ABS-MBS USGSE US N 2 2049-08-25 Fixed 3.00000000 N N N N N N Progress Residential Trust N/A 74332YAA7 216425.81000000 PA USD 206285.63000000 0.019483364346 Long ABS-O CORP US N 2 2039-06-17 Fixed 4.45100000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AL3 235000.00000000 PA USD 214192.34000000 0.020230141093 Long DBT US N 2 2029-01-15 Fixed 5.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SEH6 357320.05000000 PA USD 330243.95000000 0.031191039342 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 3.50000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140CB4 390000.00000000 PA USD 344403.42000000 0.032528379771 Long DBT CORP US N 2 2052-08-05 Fixed 4.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DYB2 2985551.61000000 PA USD 2430987.10000000 0.229603038229 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N KAISER FOUNDATION HOSPIT DW4Z57L3G4IRMHYZYK62 48305QAG8 270000.00000000 PA USD 178677.59000000 0.016875826913 Long DBT CORP US N 2 2051-06-01 Fixed 3.00200000 N N N N N Countrywide Home Loans N/A 12669GE49 4911.09000000 PA USD 4643.72000000 0.000438592298 Long ABS-MBS CORP US N 2 2035-06-20 Variable 3.12000000 N N N N N N Verus Securitization Trust N/A 92538DAA7 287665.51000000 PA USD 263041.34000000 0.024843854927 Long ABS-MBS CORP US N 2 2064-02-25 Variable 0.91800000 N N N N N N COLT Funding LLC N/A 19685GAA4 189533.84000000 PA USD 181465.67000000 0.017139156833 Long ABS-MBS CORP US N 2 2067-03-25 Variable 4.30100000 N N N N N N Buckhorn Park CLO, Ltd. N/A 118382AQ3 555000.00000000 PA USD 531400.29000000 0.050189950041 Long ABS-CBDO CORP KY N 2 2034-07-18 Floating 3.86000000 N N N N N N WF-RBS Commercial Mortgage Trust 549300FCX3YXSYSLU895 92938VAQ8 335000.00000000 PA USD 329614.61000000 0.031131599135 Long ABS-MBS CORP US N 2 2047-03-15 Fixed 4.10100000 N N N N N N Horizon Therapeutics Plc 529900P0GSQ79OOZEV53 000000000 5524.00000000 NS USD 341880.36000000 0.032290080587 Long EC CORP IE N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGGN1 103488.57000000 PA USD 86691.26000000 0.008187857798 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 2.00000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513ECN9 110000.00000000 PA USD 86387.36000000 0.008159154904 Long DBT CORP US N 2 2032-03-15 Fixed 2.37500000 N N N N N N Seagen Inc N/A 81181C104 5625.00000000 NS USD 769668.75000000 0.072694044090 Long EC CORP US N 1 N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -9029.55000000 -0.00085282727 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 66870000.00000000 MXN 3264945.41000000 USD 2022-12-21 -9029.55000000 N N N FAIR ISAAC CORP RI6HET5SJUEY30V1PS26 303250AF1 853000.00000000 PA USD 726824.24000000 0.068647445213 Long DBT CORP US N 2 2028-06-15 Fixed 4.00000000 N N N N N N FleetCor Technologies Inc 549300DG6RR0NQSFLN74 339041105 7207.00000000 NS USD 1269657.19000000 0.119917192622 Long EC CORP US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -86.00000000 NC USD 823212.19000000 0.077751140650 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT U.S. Long Bond Futures USZ2 COMDTY 2022-12-20 -11694149.69000000 USD 823212.19000000 N N N STATE STREET INST US GOVT FUND N/A 000000000 5000000.00000000 NS USD 5000000.00000000 0.472242403567 Long STIV RF US N 1 N N Advanced Micro Devices Inc R2I72C950HOYXII45366 007903107 53966.00000000 NS USD 3419285.76000000 0.322946345157 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EHZU9 27175.27000000 PA USD 27743.93000000 0.002620372037 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 3.04800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFBM2 415256.26000000 PA USD 366338.03000000 0.034600070361 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 3.00000000 N N N N N N Texas Instruments Inc WDJNR2L6D8RWOEB8T652 882508104 36704.00000000 NS USD 5681045.12000000 0.536566080448 Long EC CORP US N 1 N N N Avantor Funding, Inc. 5493003VM0XB4U8YD238 05350NAL8 6896.24000000 PA USD 6742.51000000 0.000636819825 Long LON CORP US N 2 2027-11-08 Floating 5.36500000 N N N N N N Starwood Residential Mortgage Trust N/A 85573GAA0 480678.92000000 PA USD 446376.37000000 0.042159569972 Long ABS-MBS CORP US N 2 2065-05-25 Variable 1.21900000 N N N N N N KINGDOM OF JORDAN 5493000JZ4MYPVMBVN50 000000000 430000.00000000 PA USD 349375.00000000 0.032997937949 Long DBT NUSS JO Y 2 2030-07-07 Fixed 5.85000000 N N N N N N CME Group Inc LCZ7XYGSLJUHFXXNXD88 12572Q105 10813.00000000 NS USD 1915306.69000000 0.180897806970 Long EC CORP US N 1 N N N Preston Ridge Partners Mortgage Trust N/A 69358DAA2 573077.21000000 PA USD 515417.28000000 0.048680379029 Long ABS-MBS CORP US N 2 2026-06-25 Variable 1.79300000 N N N N N N Pretium Mortgage Credit Partners LLC N/A 69362GAA9 473524.82000000 PA USD 440560.67000000 0.041610285943 Long ABS-O CORP US N 2 2051-07-25 Variable 2.48700000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XEP5 189151.40000000 PA USD 191112.09000000 0.018050246546 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 6.63400000 N N N N N N Inari Medical Inc N/A 45332Y109 5759.00000000 NS USD 418333.76000000 0.039510988063 Long EC CORP US N 1 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACA1 545000.00000000 PA USD 452243.16000000 0.042713679375 Long DBT CORP US N 2 2028-02-15 Fixed 2.05000000 N N N N N N Fannie Mae - CAS 549300Z5THZ1JXIHVK60 20754PAC4 179187.07000000 PA USD 174812.59000000 0.016510783535 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 5.23400000 N N N N N N PayPal Holdings Inc 5493005X2GO78EFZ3E94 70450Y103 37608.00000000 NS USD 3236920.56000000 0.305722229082 Long EC CORP US N 1 N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBX2 182000.00000000 PA USD 113877.84000000 0.010755588974 Long DBT CORP US N 2 2050-04-01 Fixed 3.60000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132LQA80 433002.29000000 PA USD 399342.44000000 0.037717286742 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 3.00000000 N N N N N N Centene Corp 549300Z7JJ4TQSQGT333 15135B101 48791.00000000 NS USD 3796427.71000000 0.358566829348 Long EC CORP US N 1 N N N CHARTER COMM OPT LLC/CAP N/A 161175BN3 5000.00000000 PA USD 4035.55000000 0.000381151566 Long DBT CORP US N 2 2048-04-01 Fixed 5.75000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBQ2 35000.00000000 PA USD 22804.97000000 0.002153894769 Long DBT CORP US N 2 2061-02-08 Fixed 3.37900000 N N N N N N Sempra Energy PBBKGKLRK5S5C0Y4T545 816851BJ7 50000.00000000 PA USD 37274.86000000 0.003520553895 Long DBT CORP US N 2 2048-02-01 Fixed 4.00000000 N N N N N N Alphabet Inc 5493006MHB84DD0ZWV18 02079K305 204614.00000000 NS USD 19571329.10000000 1.848482299038 Long EC CORP US N 1 N N N Countrywide Alternative Loan Trust N/A 12668A3N3 70198.98000000 PA USD 62666.07000000 0.005918715103 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.62400000 N N N N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 000000000 1010000.00000000 PA 689379.47000000 0.065110843576 Long DBT NUSS PH N 2 2033-04-28 Fixed 1.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WEDN9 76186.59000000 PA USD 70061.23000000 0.006617176730 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B3SL5 586399.06000000 PA USD 547177.70000000 0.051680102445 Long ABS-MBS USGSE US N 2 2058-12-25 Fixed 3.50000000 N N N N N N GCAT N/A 36166XAA9 420765.38000000 PA USD 355724.86000000 0.033597672579 Long ABS-MBS CORP US N 2 2066-05-25 Variable 1.03600000 N N N N N N COMM Mortgage Trust N/A 12626GAF0 95140.34000000 PA USD 94216.93000000 0.008898645895 Long ABS-MBS CORP US N 2 2046-08-10 Fixed 4.20500000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 595620AS4 45000.00000000 PA USD 34040.29000000 0.003215053673 Long DBT CORP US N 2 2048-08-01 Fixed 3.65000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AK5 270000.00000000 PA USD 252830.38000000 0.023879445269 Long DBT US N 2 2028-06-01 Fixed 5.75000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325DQ5 200000.00000000 PA USD 123308.04000000 0.011646257037 Long DBT NUSS CO N 2 2049-05-15 Fixed 5.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KHE7 9742.26000000 PA USD 10236.01000000 0.000966775593 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6.00000000 N N N N N N Bank N/A 06540VBC8 2245497.78000000 PA USD 80938.29000000 0.007644498522 Long ABS-MBS CORP US N 2 2062-11-15 Variable 0.76000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKVB1 792877.02000000 PA USD 670370.11000000 0.063315438405 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VBG8 85000.00000000 PA USD 65158.47000000 0.006154118497 Long DBT CORP US N 2 2042-11-01 Fixed 3.85000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJZF0 290976.11000000 PA USD 258538.80000000 0.024418596865 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N RR Ltd 549300FLUOZC8QYYKL96 74971CAA1 1175000.00000000 PA USD 1124861.58000000 0.106241467243 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 3.62200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371K3A7 19792.22000000 PA USD 20322.00000000 0.001919382025 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5.50000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45660LYF0 10771.81000000 PA USD 9679.52000000 0.000914215958 Long ABS-MBS CORP US N 2 2035-10-25 Variable 3.22500000 N N N N N N Visa Inc 549300JZ4OKEHW3DPJ59 92826C839 19464.00000000 NS USD 3457779.60000000 0.326582029862 Long EC CORP US N 1 N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3A9 375000.00000000 PA USD 357646.92000000 0.033779208225 Long DBT CORP US N 2 2028-07-25 Fixed 4.80800000 N N N N N N Sound Point CLO LTD N/A 83614VAC9 1300000.00000000 PA USD 1245259.60000000 0.117612877313 Long ABS-CBDO CORP KY N 2 2034-04-25 Floating 3.85300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YR6D5 91266.88000000 PA USD 86334.65000000 0.008154176525 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4.00000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VAL7 635000.00000000 PA USD 522403.38000000 0.049340205560 Long DBT CORP US N 2 2032-03-15 Fixed 4.27900000 N N N N N Ascendis Pharma A/S 549300B66JN3W3J8GH73 04351P101 3721.00000000 NS USD 384230.46000000 0.036289983190 Long EC CORP DK N 1 N N Freddie Mac - STACR N/A 35564XAH4 333863.39000000 PA USD 327387.91000000 0.030921290703 Long ABS-MBS USGSE US N 2 2049-09-25 Floating 4.93400000 N N N N N N Zoetis Inc 549300HD9Q1LOC9KLJ48 98978V103 17129.00000000 NS USD 2540059.41000000 0.239904752196 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H6C80 69304.07000000 PA USD 63325.47000000 0.005980994431 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WNF1 777733.44000000 PA USD 691040.43000000 0.065267718725 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N Boston Scientific Corp Y6ZDD9FP4P8JSSJMW954 101137107 93160.00000000 NS USD 3608086.80000000 0.340778316542 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AP2P6 30385.40000000 PA USD 2062.18000000 0.000194769767 Long ABS-MBS USGSE US N 2 2030-08-25 Fixed 3.50000000 N N N N N N MARVELL TECHNOLOGY INC N/A 573874AF1 380000.00000000 PA USD 313894.84000000 0.029646890741 Long DBT CORP US N 2 2028-04-15 Fixed 2.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31329QM40 307317.31000000 PA USD 289884.43000000 0.027379143995 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.00000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BE2 57000.00000000 PA USD 55887.74000000 0.005278512133 Long DBT CORP US N 2 2031-01-15 Fixed 6.35000000 N N N N N N Pretium Mortgage Credit Partners LLC N/A 69362NAA4 1166446.68000000 PA USD 1052297.27000000 0.099387878410 Long ABS-O CORP US N 2 2052-01-25 Variable 2.98100000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05552YAE6 245000.00000000 PA USD 233795.49000000 0.022081628828 Long ABS-MBS CORP US N 2 2055-06-15 Variable 4.60000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKW8 400000.00000000 PA USD 384333.62000000 0.036299726496 Long DBT CORP US N 2 2028-07-22 Fixed 4.94800000 N N N N N N Archer-Daniels-Midland Co 549300LO13MQ9HYSTR83 039483102 38728.00000000 NS USD 3115667.60000000 0.294270071228 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFX71 382626.67000000 PA USD 334984.97000000 0.031638821478 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 108.00000000 NC -172485.20000000 -0.01629096508 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SFE 10 Year Australian Bond Futures XMZ2 COMDTY 2022-12-15 12918236.52000000 AUD -172485.20000000 N N N Elevance Health Inc 8MYN82XMYQH89CTMTH67 036752103 8891.00000000 NS USD 4038647.84000000 0.381444152624 Long EC CORP US N 1 N N N Lennar Corp 529900G61XVRLX5TJX09 526057104 4597.00000000 NS USD 342706.35000000 0.032368094088 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ARZW7 27617.21000000 PA USD 27056.16000000 0.002555413205 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ARFZ6 48774.14000000 PA USD 2285.57000000 0.000215868614 Long ABS-MBS USGSE US N 2 2031-02-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AP2M3 75800.35000000 PA USD 7907.91000000 0.000746890085 Long ABS-MBS USGSE US N 2 2035-09-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379BCS5 107548.63000000 PA USD 100906.71000000 0.009530485453 Long ABS-MBS USGA US N 2 2039-12-16 Fixed 2.50000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAX3 555000.00000000 PA USD 417397.81000000 0.039422589007 Long DBT CORP IE N 2 2032-01-30 Fixed 3.30000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2T0 455000.00000000 PA USD 388559.32000000 0.036698837441 Long DBT CORP FR N 2 2028-01-20 Fixed 2.59100000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380TE93 204063.94000000 PA USD 31247.19000000 0.002951249622 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 4.00000000 N N N N N N Apellis Pharmaceuticals Inc 254900HS0ZFRXXSB9D42 03753U106 4537.00000000 NS USD 309877.10000000 0.029267421302 Long EC CORP US N 1 N N N Biogen Inc W8J5WZB5IY3K0NDQT671 09062X103 3742.00000000 NS USD 999114.00000000 0.094364799359 Long EC CORP US N 1 N N N COMM Mortgage Trust N/A 12630DAY0 190000.00000000 PA USD 187475.13000000 0.017706741200 Long ABS-MBS CORP US N 2 2047-02-10 Variable 4.23600000 N N N N N N Block Inc 549300OHIIUWSTIZME52 852234103 28997.00000000 NS USD 1594545.03000000 0.150602355512 Long EC CORP US N 1 N N N GSK PLC 5493000HZTVUYLO1D793 37733W204 23955.00000000 NS USD 704995.65000000 0.066585768052 Long EC CORP GB N 1 N N Edison International 549300I7ROF15MAEVP56 281020107 71304.00000000 NS USD 4034380.32000000 0.381041091844 Long EC CORP US N 1 N N N VCAT Asset Securitization, LLC N/A 91824MAA2 501313.54000000 PA USD 459533.22000000 0.043402214466 Long ABS-O CORP US N 2 2051-05-25 Variable 1.74300000 N N N N N N WENDYS FUNDING LLC 5493009DRVSTWJOXUL48 95058XAK4 1170187.50000000 PA USD 930263.96000000 0.087862017684 Long ABS-O CORP US N 2 2051-06-15 Fixed 2.37000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKY4 230000.00000000 PA USD 213360.07000000 0.020151534456 Long DBT CORP US N 2 2033-07-22 Fixed 5.01500000 N N N N N N GAP INC/THE T2ZG1WRWZ4BUCMQL9224 364760AQ1 913000.00000000 PA USD 580409.17000000 0.054818764298 Long DBT CORP US N 2 2031-10-01 Fixed 3.87500000 N N N N N Bear Stearns Mortgage Funding Trust N/A 07401MAG6 304919.95000000 PA USD 271846.20000000 0.025675460577 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.48400000 N N N N N N Bank N/A 06540XBH3 4557450.40000000 PA USD 150382.65000000 0.014203412818 Long ABS-MBS CORP US N 2 2062-11-15 Variable 0.71100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XHA68 88997.10000000 PA USD 87191.41000000 0.008235096205 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHW2 485000.00000000 PA USD 454097.69000000 0.042888836916 Long DBT CORP US N 2 2025-10-22 Fixed 2.45600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJZB9 148113.30000000 PA USD 131655.45000000 0.012434657230 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GK3 69000.00000000 PA USD 51273.78000000 0.004842730621 Long DBT CORP US N 2 2048-03-01 Fixed 4.12500000 N N N N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 63.00000000 NC -32250.44000000 -0.00304600506 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long Montreal Exchange 10 Year Canadian Bond Futures CNZ2 COMDTY 2022-12-19 7830719.15000000 CAD -32250.44000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0226A4 5365000.00000000 PA USD 4609184.65000000 0.435330487520 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X0BV9 118534.95000000 PA USD 108931.26000000 0.010288392009 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379V5S9 177923.30000000 PA USD 36551.19000000 0.003452204363 Long ABS-MBS USGA US N 2 2046-02-20 Fixed 6.00000000 N N N N N N VIPER ENERGY PARTNERS LP 5299009LINL232255G03 92763MAA3 535000.00000000 PA USD 492478.96000000 0.046513889555 Long DBT CORP US N 2 2027-11-01 Fixed 5.37500000 N N N N N N Freddie Mac - SCRT N/A 35563PKJ7 225020.89000000 PA USD 207258.26000000 0.019575227772 Long ABS-MBS USGSE US N 2 2058-08-25 Fixed 3.50000000 N N N N N N VCAT Asset Securitization, LLC N/A 91822YAA8 156827.78000000 PA USD 148069.72000000 0.013984960093 Long ABS-MBS CORP US N 2 2051-03-27 Variable 2.11500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGGS2 260373.48000000 PA USD 219776.96000000 0.020757599967 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N NORTONLIFELOCK INC YF6ZV0M6AU4FY94MK914 871503AU2 905000.00000000 PA USD 862012.50000000 0.081415770981 Long DBT CORP US N 2 2025-04-15 Fixed 5.00000000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 539830109 9350.00000000 NS USD 3611811.50000000 0.341130108798 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A5P34 127993.49000000 PA USD 7013.86000000 0.000662448420 Long ABS-MBS USGSE US N 2 2027-05-25 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BJQK2 99604.15000000 PA USD 8924.80000000 0.000842933800 Long ABS-MBS USGSE US N 2 2030-07-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJTR1 340975.25000000 PA USD 334441.55000000 0.031587496284 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.50000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAT8 1185000.00000000 PA USD 1064841.00000000 0.100572614651 Long DBT CORP US N 2 2029-12-15 Fixed 4.62500000 N N N N N N AmeriCredit Automobile Receivables Trust N/A 03066NAG9 535000.00000000 PA USD 518817.43000000 0.049001518031 Long ABS-O CORP US N 2 2025-09-18 Fixed 2.58000000 N N N N N N AMERICAN WATER CAPITAL C 5IDHQUFVC8Q2KIBBFF06 03040WBA2 240000.00000000 PA USD 222766.27000000 0.021039935755 Long DBT CORP US N 2 2032-06-01 Fixed 4.45000000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBG2 100000.00000000 PA USD 81284.00000000 0.007677150306 Long DBT CORP US N 2 2030-07-01 Fixed 4.12500000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B2JF8 35208.85000000 PA USD 1687.16000000 0.000159349698 Long ABS-MBS USGSE US N 2 2028-06-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380WH28 393387.94000000 PA USD 77359.78000000 0.007306513689 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 4.50000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DK3 155000.00000000 PA USD 123416.35000000 0.011656486752 Long DBT CORP US N 2 2040-04-01 Fixed 4.12500000 N N N N N N Bank N/A 065402BD0 2880671.79000000 PA USD 127676.27000000 0.012058829724 Long ABS-MBS CORP US N 2 2062-05-15 Variable 1.03900000 N N N N N N COMM Mortgage Trust 549300FVY7JUBJ0PIH53 12625FAE6 171029.23000000 PA USD 169906.54000000 0.016047414566 Long ABS-MBS CORP US N 2 2046-03-10 Fixed 3.21300000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 130000.00000000 PA USD 102526.58000000 0.009683479713 Long DBT CORP US N 2 2031-03-25 Fixed 2.87500000 N N N N N N United Therapeutics Corp 5299005C4HZL4UWROC14 91307C102 1534.00000000 NS USD 321188.92000000 0.030335805516 Long EC CORP US N 1 N N N Wells Fargo Mortgage Backed Securities Trust N/A 94984NAA0 48409.58000000 PA USD 44969.97000000 0.004247345344 Long ABS-MBS CORP US N 2 2036-10-25 Variable 4.24000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBL2 516000.00000000 PA USD 304232.51000000 0.028734298353 Long DBT CORP US N 2 2055-09-15 Fixed 4.00000000 N N N N N ROGERS COMMUNICATIONS IN 54930030NVF3Y2OL0A78 775109CC3 65000.00000000 PA USD 56215.34000000 0.005309453455 Long DBT CORP CA N 2 2032-03-15 Fixed 3.80000000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493002S7XBI8CVRR075 94989HBM1 80000.00000000 PA USD 69749.84000000 0.006587766418 Long ABS-MBS CORP US N 2 2048-05-15 Variable 4.28700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B05Q3 74488.69000000 PA USD 6987.32000000 0.000659941758 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380CF81 176420.77000000 PA USD 29438.47000000 0.002780418766 Long ABS-MBS USGA US N 2 2047-02-16 Fixed 5.50000000 N N N N N N Workday Inc 549300J0DYC0N31V7G13 98138H101 7503.00000000 NS USD 1142106.66000000 0.107870238849 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ABBJ7 4143.97000000 PA USD 4091.30000000 0.000386417069 Long ABS-MBS USGSE US N 2 2041-03-01 Floating 2.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A6DC8 21318.53000000 PA USD 21576.65000000 0.002037881811 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 5.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZM9 270000.00000000 PA USD 214448.75000000 0.020254358628 Long DBT CORP US N 2 2033-02-24 Fixed 3.10200000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAQ2 35000.00000000 PA USD 28150.82000000 0.002658802179 Long DBT CORP US N 2 2045-05-15 Fixed 5.35000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46652BAY5 305000.00000000 PA USD 276884.61000000 0.026151330747 Long ABS-MBS CORP US N 2 2037-01-16 Fixed 2.81200000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918104 169854.00000000 NS USD 39558996.60000000 3.736287127420 Long EC CORP US N 1 N N N Progress Residential Trust N/A 74333TAA7 809251.67000000 PA USD 693666.33000000 0.065515730990 Long ABS-O CORP US N 2 2038-10-17 Fixed 1.51000000 N N N N N N COLT Funding LLC N/A 19688EAA6 496695.02000000 PA USD 409979.02000000 0.038721895563 Long ABS-MBS CORP US N 2 2066-06-25 Variable 0.91000000 N N N N N N Insulet Corp 549300TZTYD2PYN92D43 45784P101 6228.00000000 NS USD 1428703.20000000 0.134938846630 Long EC CORP US N 1 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GGM0 110000.00000000 PA USD 109244.49000000 0.010317976106 Long DBT CORP US N 2 2041-02-01 Fixed 6.25000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 000000000 2000000.00000000 PA USD 2000000.00000000 0.188896961426 Long RA CORP US N 2 Repurchase Y 3.00000000 2022-10-03 2159828.80000000 USD 2041360.01000000 USD UST N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YER2 710000.00000000 PA USD 664358.91000000 0.062747689697 Long DBT CORP US N 2 2028-04-20 Fixed 4.21000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A7GL0 92264.78000000 PA USD 2814.92000000 0.000265864917 Long ABS-MBS USGSE US N 2 2027-02-25 Fixed 3.00000000 N N N N N N Chicago Board of Education 54930099NR6T9V7LVB43 167505KG0 85000.00000000 PA USD 79778.88000000 0.007534994009 Long DBT MUN US N 2 2029-12-01 Fixed 6.03800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJAR4 688846.39000000 PA USD 627191.74000000 0.059237306959 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N CAMB Commercial Mortgage Trust N/A 12482HAQ7 665000.00000000 PA USD 619613.02000000 0.058521508369 Long ABS-MBS CORP US N 2 2037-12-15 Floating 5.36800000 N N N N N N Align Technology Inc 549300N5YSE0U3LCP840 016255101 6422.00000000 NS USD 1330060.42000000 0.125622185926 Long EC CORP US N 1 N N N Toorak Mortgage Corp. N/A 89053BAA2 670000.00000000 PA USD 635639.72000000 0.060035205835 Long ABS-MBS CORP US N 2 2024-06-25 Variable 2.24000000 N N N N N N NRZ Excess Spread Collateralized Notes N/A 433674AA6 112898.08000000 PA USD 103164.96000000 0.009743773734 Long ABS-O CORP US N 2 2025-12-25 Fixed 3.84400000 N N N N N N AON CORP/AON GLOBAL HOLD N/A 03740LAD4 55000.00000000 PA USD 49336.43000000 0.004659750857 Long DBT CORP US N 2 2027-05-28 Fixed 2.85000000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BG8 65000.00000000 PA USD 59594.60000000 0.005628619428 Long DBT CORP US N 2 2028-01-15 Fixed 4.87500000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDW8 157000.00000000 PA USD 90933.75000000 0.008588554533 Long DBT CORP US N 2 2063-11-01 Fixed 2.98700000 N N N N N N American Tower Corp 5493006ORUSIL88JOE18 03027X100 14946.00000000 NS USD 3208906.20000000 0.303076315342 Long EC US N 1 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDH6 115000.00000000 PA USD 106047.88000000 0.010016061148 Long DBT CORP US N 2 2033-07-25 Fixed 4.91200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398SBC6 372434.37000000 PA USD 58607.95000000 0.005535431835 Long ABS-MBS USGSE US N 2 2040-11-25 Fixed 5.50000000 N N N N N N Mill City Mortgage Trust N/A 59980XAC1 356206.85000000 PA USD 342208.17000000 0.032321041744 Long ABS-O CORP US N 2 2058-08-25 Variable 3.50000000 N N N N N N Freddie Mac - SCRT N/A 35563PHE2 829845.02000000 PA USD 765971.77000000 0.072344869945 Long ABS-MBS USGSE US N 2 2058-03-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RXF1 40700.11000000 PA USD 40318.98000000 0.003808066404 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 4.50000000 N N N N N N Syneos Health Inc 549300F1ZGKDS8P6GU13 87166B102 42966.00000000 NS USD 2025846.90000000 0.191338161863 Long EC CORP US N 1 N N N Ashtead Capital Inc 213800J1134IW58IC398 045054AF0 1000000.00000000 PA USD 917370.00000000 0.086644202752 Long DBT CORP US N 2 2027-08-15 Fixed 4.37500000 N N N N N N REVOLUTION Medicines Inc 549300JU3X0LBCQ65892 76155X100 5811.00000000 NS USD 114592.92000000 0.010823127194 Long EC CORP US N 1 N N RR 1 Ltd N/A 78108YAL6 1365000.00000000 PA USD 1309202.90000000 0.123652224850 Long ABS-CBDO CORP KY N 2 2035-07-15 Floating 3.66200000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBT6 285000.00000000 PA USD 223032.92000000 0.021065120443 Long DBT CORP US N 2 2052-03-14 Fixed 4.95000000 N N N N N N Fannie Mae - CAS N/A 20755DAA4 179138.41000000 PA USD 178245.73000000 0.016835038392 Long ABS-MBS USGSE US N 2 2042-07-25 Floating 4.85500000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAG9 385000.00000000 PA USD 299060.53000000 0.028245812699 Long DBT CORP US N 2 2040-04-01 Fixed 3.50000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80287HAD0 235000.00000000 PA USD 229896.58000000 0.021713382702 Long ABS-O CORP US N 2 2027-03-15 Fixed 4.43000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBR1 1215000.00000000 PA USD 1070944.10000000 0.101149043174 Long DBT CORP US N 2 2029-04-15 Fixed 4.00000000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 1170000.00000000 PA 781757.45000000 0.073835803438 Long DBT NUSS ID N 2 2033-03-12 Fixed 1.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJJQ6 221453.31000000 PA USD 194216.21000000 0.018343425964 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.00000000 N N N N N N Morgan Stanley Mortgage Loan Trust N/A 61749CAG6 139544.79000000 PA USD 76972.19000000 0.007269906402 Long ABS-MBS CORP US N 2 2036-05-25 Variable 3.65100000 N N N N N N GreenPoint Mortgage Funding Trust N/A 39538WBW7 140660.82000000 PA USD 110930.17000000 0.010477186021 Long ABS-MBS CORP US N 2 2045-10-25 Floating 2.50400000 N N N N N N Bank N/A 06541RBC6 3641038.70000000 PA USD 138794.94000000 0.013108971213 Long ABS-MBS CORP US N 2 2052-12-15 Variable 0.81000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RBL5 1910000.00000000 PA USD 1693184.23000000 0.159918678091 Long DBT CORP FR N 2 2033-06-15 Fixed 6.22100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9T42 19062.23000000 PA USD 18676.54000000 0.001763970827 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBS0 65000.00000000 PA USD 55900.00000000 0.005279670071 Long DBT CORP US N 2 2031-02-01 Fixed 4.87500000 N N N N N N TELFON CELUAR DEL PARAGU 254900R8A8IKGF4THL54 87936VAB3 730000.00000000 PA USD 648152.97000000 0.061217063286 Long DBT CORP PY N 2 2027-04-15 Fixed 5.87500000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 000000000 1600000.00000000 PA USD 1600000.00000000 0.151117569141 Long RA CORP US N 2 Repurchase Y 3.05000000 2022-10-03 23437.56000000 USD 1772796.33000000 USD EQT 7729.09000000 USD 4906.36000000 USD UST N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAP5 440000.00000000 PA USD 399613.39000000 0.037742877558 Long DBT CORP US N 2 2029-04-15 Fixed 3.95000000 N N N N N N Moderna Inc 549300EI6OKH5K5Q2G38 60770K107 4591.00000000 NS USD 542885.75000000 0.051274734288 Long EC CORP US N 1 N N N Metlife Securitization Trust N/A 59166DAA5 325489.03000000 PA USD 306878.22000000 0.028984181643 Long ABS-MBS CORP US N 2 2057-03-25 Variable 3.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RLQ0 308353.38000000 PA USD 293115.02000000 0.027684268313 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 4.00000000 N N N N N N Kellogg Co LONOZNOJYIBXOHXWDB86 487836108 35693.00000000 NS USD 2486374.38000000 0.234834282675 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LGPZ9 175000.00000000 PA USD 162154.57000000 0.015315252777 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 3.65000000 N N N N N N Morgan Stanley Capital I Trust N/A 61760RAS1 265000.00000000 PA USD 136233.98000000 0.012867092432 Long ABS-MBS CORP US N 2 2049-07-15 Variable 5.25300000 N N N N N N NBM US Holdings Inc 5493008K1QMSP0J8UC24 62877VAA9 635000.00000000 PA USD 612787.40000000 0.057876838930 Long DBT CORP US N 2 2026-05-14 Fixed 7.00000000 N N N N N N Stryker Corp 5493002F0SC4JTBU5137 863667101 17434.00000000 NS USD 3531082.36000000 0.333505364176 Long EC CORP US N 1 N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378JXN7 65003.48000000 PA USD 12334.54000000 0.001164978563 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380BAQ8 53988.78000000 PA USD 2777.84000000 0.000262362767 Long ABS-MBS USGA US N 2 2028-09-20 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828Y38 3139624.60000000 PA USD 2950296.67000000 0.278651038135 Long DBT UST US N 2 2028-07-15 Fixed 0.75000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46638UAX4 302247.34000000 PA USD 277973.40000000 0.026254165308 Long ABS-MBS CORP US N 2 2045-10-15 Variable 2.73300000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92553PAP7 215000.00000000 PA USD 143264.49000000 0.013531113420 Long DBT CORP US N 2 2043-03-15 Fixed 4.37500000 N N N N N N Onslow Bay Financial LLC N/A 67114BAA5 567690.15000000 PA USD 493339.60000000 0.046595175695 Long ABS-MBS CORP US N 2 2066-02-25 Variable 1.07200000 N N N N N N Constellation Brands Inc 5493005GKEG8QCVY7037 21036P108 43144.00000000 NS USD 9909313.92000000 0.935919644657 Long EC CORP US N 1 N N N Santander Drive Auto Receivables Trust N/A 80286FAD5 735000.00000000 PA USD 715580.42000000 0.067585483497 Long ABS-O CORP US N 2 2027-11-15 Fixed 4.42000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ABXV6 8084.17000000 PA USD 7823.77000000 0.000738943189 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 4.00000000 N N N N N N NVIDIA Corp 549300S4KLFTLO7GSQ80 67066G104 12062.00000000 NS USD 1464206.18000000 0.138292049152 Long EC CORP US N 1 N N N CONOCOPHILLIPS COMPANY 6VJJ5GQWIRDQ06DUXG89 20826FAV8 50000.00000000 PA USD 38206.76000000 0.003608570434 Long DBT CORP US N 2 2052-03-15 Fixed 3.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A8GE4 46038.17000000 PA USD 2376.82000000 0.000224487037 Long ABS-MBS USGSE US N 2 2027-09-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394DEV8 189467.52000000 PA USD 196106.80000000 0.018521989317 Long ABS-MBS USGSE US N 2 2035-04-25 Fixed 5.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -179.00000000 NC USD 593672.44000000 0.056071459999 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 10 Year U.S. Treasury Notes TYZ2 COMDTY 2022-12-20 -20652859.94000000 USD 593672.44000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8FN0 245070.60000000 PA USD 224001.14000000 0.021156567351 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N PacifiCorp SGY07Y7FNYBNLM6Z1M11 695114CT3 63000.00000000 PA USD 50078.74000000 0.004729860909 Long DBT CORP US N 2 2049-01-15 Fixed 4.12500000 N N N N N N Johnson Controls International plc 549300XQ6S1GYKGBL205 000000000 39071.00000000 NS USD 1923074.62000000 0.181631476157 Long EC CORP IE N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKF86 156745.55000000 PA USD 137304.97000000 0.012968245810 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3.00000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 07332VBJ3 5180859.23000000 PA USD 242463.69000000 0.022900327148 Long ABS-MBS CORP US N 2 2050-02-15 Variable 1.60300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131XYTF6 117564.05000000 PA USD 107390.73000000 0.010142891291 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N Legacy Mortgage Asset Trust N/A 52475WAA4 206949.10000000 PA USD 189158.00000000 0.017865685714 Long ABS-MBS CORP US N 2 2060-11-25 Variable 1.65000000 N N N N N N Adobe Inc FU4LY2G4933NH2E1CP29 00724F101 4491.00000000 NS USD 1235923.20000000 0.116731068518 Long EC CORP US N 1 N N N Willis North America Inc 5493004KVU1HWZCP0C66 970648AF8 130000.00000000 PA USD 126219.32000000 0.011921223010 Long DBT CORP US N 2 2024-05-15 Fixed 3.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7GK9 598399.28000000 PA USD 549765.13000000 0.051924481277 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N COMM Mortgage Trust N/A 12592GBD4 225000.00000000 PA USD 218397.06000000 0.020627270509 Long ABS-MBS CORP US N 2 2047-08-10 Fixed 3.79600000 N N N N N N Ryman Hospitality Properties Inc 529900GCCWW9SRMPJR11 78377T107 31316.00000000 NS USD 2304544.44000000 0.217660721094 Long EC US N 1 N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFM32 2082560.96000000 PA USD 1753749.70000000 0.165638994716 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N SUTTER HEALTH 549300MJCC12LU768G81 86944BAJ2 210000.00000000 PA USD 145672.61000000 0.013758556696 Long DBT CORP US N 2 2050-08-15 Fixed 3.36100000 N N N N N N Westlake Automobile Receivables Trust N/A 96042QAL4 415000.00000000 PA USD 394879.51000000 0.037295769784 Long ABS-O CORP US N 2 2026-02-17 Fixed 1.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SWX1 411093.23000000 PA USD 379899.38000000 0.035880919264 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 3.50000000 N N N N N N DUKE ENERGY PROGRESS LLC 0NIFZ782LS46WOC9QK20 26442UAP9 130000.00000000 PA USD 101838.16000000 0.009618459490 Long DBT CORP US N 2 2052-04-01 Fixed 4.00000000 N N N N N N LAMAR MEDIA CORP N/A 513075BR1 398000.00000000 PA USD 347658.97000000 0.032835861522 Long DBT CORP US N 2 2028-02-15 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YUH8 81892.41000000 PA USD 78059.88000000 0.007372637070 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N Westlake Automobile Receivables Trust N/A 96042HAL4 765000.00000000 PA USD 760328.53000000 0.071811874501 Long ABS-O CORP US N 2 2024-11-15 Fixed 2.72000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9EE6 13686.61000000 PA USD 12556.31000000 0.001185924402 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N BPR Trust N/A 055980AA4 575000.00000000 PA USD 567863.39000000 0.053633834438 Long ABS-MBS CORP US N 2 2024-08-15 Floating 6.07700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AYYN5 62525.29000000 PA USD 2145.02000000 0.000202593880 Long ABS-MBS USGSE US N 2 2032-05-15 Fixed 3.00000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69357PAA6 444718.00000000 PA USD 404923.70000000 0.038244428269 Long ABS-MBS CORP US N 2 2026-04-25 Variable 1.86700000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBH1 110000.00000000 PA USD 91797.20000000 0.008670106073 Long DBT CORP US N 2 2028-12-01 Fixed 3.27600000 N N N N N N Celldex Therapeutics Inc 529900F018DMYWH38923 15117B202 5565.00000000 NS USD 156432.15000000 0.014774778902 Long EC CORP US N 1 N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYVC0 522129.23000000 PA USD 437371.47000000 0.041309070848 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 2.00000000 N N N N N N Morgan Stanley BAML Trust N/A 61761QAE3 325568.80000000 PA USD 324673.62000000 0.030664930136 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 3.13400000 N N N N N N EXELON CORP 3SOUA6IRML7435B56G12 30161NBF7 60000.00000000 PA USD 46292.00000000 0.004372209069 Long DBT CORP US N 2 2052-03-15 Fixed 4.10000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAB8 470000.00000000 PA USD 391614.74000000 0.036987417218 Long DBT CORP US N 2 2029-08-15 Fixed 3.20000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92927XAA2 71011.52000000 PA USD 63268.93000000 0.005975654314 Long ABS-MBS CORP US N 2 2037-06-25 Variable 3.19800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F5Z63 36853.51000000 PA USD 34906.92000000 0.003296905560 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 4.00000000 N N N N N N PUGET ENERGY INC SYBSJ96YIDMIUY7WDR33 745310AK8 360000.00000000 PA USD 317221.52000000 0.029961090613 Long DBT CORP US N 2 2030-06-15 Fixed 4.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418QGR8 1340.67000000 PA USD 1318.73000000 0.000124552044 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.50000000 N N N N N N Harriman Park CLO N/A 413717AN9 1655000.00000000 PA USD 1588440.87000000 0.150025826874 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 3.83000000 N N N N N N Fluor Corp CQ7WZ4NOFWT7FAE6Q943 343412102 73095.00000000 NS USD 1819334.55000000 0.171833384157 Long EC CORP US N 1 N N AstraZeneca PLC PY6ZZQWO2IZFZC3IOL08 046353108 73168.00000000 NS USD 4012533.12000000 0.378977656996 Long EC CORP GB N 1 N N N Toronto-Dominion Bank PT3QB789TSUIDF371261 000000000 1.00000000 NC -4314.24000000 -0.00040747341 N/A DFE XX N 2 Toronto-Dominion Bank PT3QB789TSUIDF371261 167996.32000000 USD 166000.00000000 EUR 2022-12-21 -4314.24000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 000000000 600000.00000000 PA USD 600000.00000000 0.056669088428 Long RA CORP US N 2 Repurchase Y 3.07000000 2022-10-03 2898.41000000 USD 1839.88000000 USD UST 8789.08000000 USD 664798.67000000 USD EQT N N Kennametal Inc 549300GZDSG25XUV0Y08 489170100 30598.00000000 NS USD 629706.84000000 0.059474854332 Long EC CORP US N 1 N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJF7 65000.00000000 PA USD 48399.62000000 0.004571270576 Long DBT CORP US N 2 2031-07-23 Fixed 1.89800000 N N N N N N TEVA PHARMACEUTICAL INDU 5493004T21MOAFINJP35 88167AAP6 300000.00000000 PA USD 254793.00000000 0.024064811746 Long DBT CORP NL N 2 2027-05-09 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XAUM2 1106694.02000000 PA USD 940897.95000000 0.088866381883 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07332CAA5 435731.53000000 PA USD 417363.44000000 0.039419342813 Long ABS-O CORP US N 2 2057-07-28 Variable 3.50000000 N N N N N N Renaissance Home Equity Loan Trust N/A 75971EAH9 239171.17000000 PA USD 103199.11000000 0.009746999150 Long ABS-MBS CORP US N 2 2036-11-25 Variable 6.12000000 N N N N N N Pretium Mortgage Credit Partners LLC N/A 74140QAA6 902196.97000000 PA USD 842307.24000000 0.079554639111 Long ABS-MBS CORP US N 2 2061-02-25 Variable 1.99200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AAN26 238820.26000000 PA USD 228601.17000000 0.021591033195 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 3.87500000 N N N N N N Ceridian HCM Holding Inc 549300T64GVCHFJ8L449 15677J108 37389.00000000 NS USD 2089297.32000000 0.197330957632 Long EC CORP US N 1 N N N MARVELL TECHNOLOGY INC N/A 573874AJ3 375000.00000000 PA USD 290915.03000000 0.027476482600 Long DBT CORP US N 2 2031-04-15 Fixed 2.95000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 -34100000.00000000 NC USD -62553.04000000 -0.00590803959 N/A DCR US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 Call Written Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 N/A 34100000.00000000 OU Notional Amount N/A -62553.04000000 -0.01000000 DCR US CDX.NA.IG.S38 2I65BYEA9 buy protection 2027-12-20 0.00000000 N/A 0.00000000 N/A 34100000.00000000 USD 1.00000000 105.00000000 USD 2022-10-19 XXXX 12466.96000000 N N N Exeter Automobile Receivables Trust N/A 30166BAD4 370000.00000000 PA USD 362935.92000000 0.034278746240 Long ABS-O CORP US N 2 2027-01-15 Fixed 4.57000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACV5 230000.00000000 PA USD 219973.26000000 0.020776140204 Long DBT CORP US N 2 2033-01-15 Fixed 5.20000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJQ3 120000.00000000 PA USD 103979.53000000 0.009820708633 Long DBT CORP US N 2 2027-03-11 Fixed 1.65800000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAT6 190000.00000000 PA USD 140227.81000000 0.013244303608 Long DBT CORP US N 2 2047-09-20 Fixed 5.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KFF6 27309.20000000 PA USD 28726.65000000 0.002713188448 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 107973.70000000 PA USD 99457.08000000 0.009393570102 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 3.50000000 N N N N N N Wells Fargo Mortgage Backed Securities Trust N/A 94984DAB0 48007.63000000 PA USD 45371.85000000 0.004285302299 Long ABS-MBS CORP US N 2 2036-09-25 Variable 4.16600000 N N N N N N HOWARD UNIVERSITY N/A 442851AT8 260000.00000000 PA USD 220461.20000000 0.020822225396 Long DBT CORP US N 2 2029-10-01 Fixed 2.70100000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CP2 370000.00000000 PA USD 300130.41000000 0.028346861240 Long DBT CORP DE N 2 2027-11-16 Fixed 2.31100000 N N N N N N OPEN TEXT HOLDINGS INC N/A 683720AC0 130000.00000000 PA USD 97905.28000000 0.009247004949 Long DBT CORP US N 2 2031-12-01 Fixed 4.12500000 N N N N N N TRUIST BANK JJKC32MCHWDI71265Z06 89788KAA4 375000.00000000 PA USD 293933.37000000 0.027761560227 Long DBT CORP US N 2 2030-03-11 Fixed 2.25000000 N N N N N Madison Park Funding Ltd N/A 55821KAC0 1330000.00000000 PA USD 1270443.93000000 0.119991499020 Long ABS-CBDO CORP KY N 2 2034-07-17 Floating 3.86000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FVNJ7 3038774.78000000 PA USD 202974.05000000 0.019170590646 Long ABS-MBS USGSE US N 2 2030-06-25 Variable 1.21100000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBM7 205000.00000000 PA USD 142021.65000000 0.013413729070 Long DBT CORP US N 2 2041-04-22 Fixed 3.10900000 N N N N N N Morgan Stanley Capital I Trust N/A 61691JAW4 1502003.15000000 PA USD 59842.06000000 0.005651991649 Long ABS-MBS CORP US N 2 2050-06-15 Variable 1.48300000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PBA3 1360000.00000000 PA USD 1283273.02000000 0.121203187079 Long DBT CORP US N 2 2027-01-29 Fixed 3.96000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q7QD2 354635.56000000 PA USD 324053.83000000 0.030606391912 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N Illumina Inc SQ95QG8SR5Q56LSNF682 452327109 11358.00000000 NS USD 2166992.82000000 0.204669179566 Long EC CORP US N 1 N N N JPMBB Commercial Mortgage Securities Trust N/A 46639NAP6 245450.25000000 PA USD 242249.09000000 0.022880058504 Long ABS-MBS CORP US N 2 2045-07-15 Fixed 3.36300000 N N N N N N UMBS, TBA N/A 01F0426A6 6745000.00000000 PA USD 6425139.49000000 0.606844663202 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 4.50000000 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAA9 290000.00000000 PA USD 241511.47000000 0.022810391416 Long DBT CORP US N 2 2033-02-01 Fixed 4.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B2GA4 270885.22000000 PA USD 55040.65000000 0.005198505769 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 5.50000000 N N N N N N BINOM Securitization Trust N/A 05552UAA2 364017.46000000 PA USD 315738.59000000 0.029821030128 Long ABS-MBS CORP US N 2 2056-06-25 Variable 2.03400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4TQ9 147271.78000000 PA USD 142498.59000000 0.013458775329 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.50000000 N N N N N N LSTAR Securities Investment Ltd N/A 54912PAA6 729593.88000000 PA USD 668026.37000000 0.063094075723 Long ABS-MBS CORP US N 2 2026-03-02 Floating 4.26400000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JG3 840000.00000000 PA USD 611227.62000000 0.057729520079 Long DBT CORP US N 2 2031-02-01 Fixed 2.50000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69360XAA4 1077077.12000000 PA USD 994500.85000000 0.093929094350 Long ABS-MBS CORP US N 2 2026-10-25 Variable 2.36300000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBJ6 70000.00000000 PA USD 59540.60000000 0.005623519210 Long DBT CORP US N 2 2028-07-15 Fixed 4.00000000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AC1 386000.00000000 PA USD 345161.20000000 0.032599950941 Long DBT CORP US N 2 2028-07-01 Fixed 4.50000000 N N N N N Freddie Mac - STACR 549300KB1O80CETXGJ21 35564TAH3 302314.05000000 PA USD 297975.84000000 0.028143365377 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 5.13400000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBN5 185000.00000000 PA USD 116794.59000000 0.011031071581 Long DBT CORP US N 2 2051-04-22 Fixed 3.10900000 N N N N N N Marsh & McLennan Cos Inc 549300XMP3KDCKJXIU47 571748102 22556.00000000 NS USD 3367385.24000000 0.318044419895 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A8CC2 227713.33000000 PA USD 28642.94000000 0.002705282166 Long ABS-MBS USGSE US N 2 2042-01-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X4PM6 3656.74000000 PA USD 3506.62000000 0.000331194931 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Mirati Therapeutics Inc 529900GYRW59IDQV6N54 60468T105 2079.00000000 NS USD 145197.36000000 0.013713670055 Long EC CORP US N 1 N N N HOWARD UNIVERSITY N/A 442851AY7 115000.00000000 PA USD 84374.85000000 0.007969076392 Long DBT CORP US N 2 2041-10-01 Fixed 3.47600000 N N N N N N DUKE ENERGY INDIANA LLC 6URPHM2EAWGJ2C6ISB97 26443TAC0 265000.00000000 PA USD 164549.18000000 0.015541420053 Long DBT CORP US N 2 2050-04-01 Fixed 2.75000000 N N N N N N Varonis Systems Inc 549300SHIVNRRH7STS26 922280102 9120.00000000 NS USD 241862.40000000 0.022843536221 Long EC CORP US N 1 N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B2DL3 378376.31000000 PA USD 60990.74000000 0.005760482730 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 5.00000000 N N N N N N Bluemountain CLO Ltd N/A 09609NAL9 825000.00000000 PA USD 790082.70000000 0.074622110653 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 3.81000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9VL3 19933.24000000 PA USD 20613.42000000 0.001946906201 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394VV56 12578.17000000 PA USD 10573.07000000 0.000998610397 Long ABS-MBS USGSE US N 2 2036-03-25 None 0.00000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBU1 443000.00000000 PA USD 422136.84000000 0.039870183191 Long DBT CORP US N 2 2039-01-23 Fixed 5.45000000 N N N N N N GMAC Mortgage Corporation Loan Trust N/A 361856DG9 11814.98000000 PA USD 12135.83000000 0.001146210705 Long ABS-O CORP US N 2 2034-10-25 Floating 3.58400000 N N N N N N New Residential Mortgage Loan Trust N/A 64828MAA5 481944.98000000 PA USD 457435.48000000 0.043204086110 Long ABS-MBS CORP US N 2 2057-04-25 Variable 4.00000000 N N N N N N TD Prime Services LLC 549300ZBQI1JB1844X09 000000000 2000000.00000000 PA USD 2000000.00000000 0.188896961426 Long RA CORP US N 2 Repurchase Y 3.15000000 2022-10-03 27864.46000000 USD 2200577.69000000 USD EQT N N Puget Energy Inc SYBSJ96YIDMIUY7WDR33 745310AH5 270000.00000000 PA USD 255409.64000000 0.024123052457 Long DBT CORP US N 2 2025-05-15 Fixed 3.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JN7C5 23592.92000000 PA USD 23140.96000000 0.002185628514 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N GoDaddy Inc 549300J8H1TB0I2CB447 380237107 37046.00000000 NS USD 2625820.48000000 0.248004754962 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GCKE3 27250.86000000 PA USD 26033.65000000 0.002458838689 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0406A6 1070000.00000000 PA USD 999154.29000000 0.094368604688 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 4.00000000 N N N N N N EVERGY INC 549300PGTHDQY6PSUI61 30034WAA4 165000.00000000 PA USD 156072.10000000 0.014740772726 Long DBT CORP US N 2 2024-09-15 Fixed 2.45000000 N N N N N N Residential Accredit Loans, Inc. N/A 75114RAE5 459508.28000000 PA USD 391364.26000000 0.036963759762 Long ABS-MBS CORP US N 2 2036-04-25 Floating 3.68400000 N N N N N N Westpac Banking Corp. EN5TNI6CI43VEPAMHL14 000000000 1.00000000 NC -1986.92000000 -0.00018766157 N/A DFE XX N 2 Westpac Banking Corp. EN5TNI6CI43VEPAMHL14 59177.05000000 USD 58000.00000000 EUR 2022-12-21 -1986.92000000 N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612KAC6 225000.00000000 PA USD 204399.18000000 0.019305192010 Long DBT CORP US N 2 2052-07-01 Fixed 6.25000000 N N N N N N New York Transportation Development Corp N/A 650117AA2 1150000.00000000 PA USD 1095601.90000000 0.103477934921 Long DBT MUN US N 2 2035-09-01 Fixed 4.24800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AAKA2 29707.47000000 PA USD 3638.27000000 0.000343629073 Long ABS-MBS USGSE US N 2 2042-11-25 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ALQU8 1120410.06000000 PA USD 70238.28000000 0.006633898833 Long ABS-MBS USGSE US N 2 2034-03-25 Fixed 3.50000000 N N N N N N Ares Management Corp 529900JUV61FH7B8VW38 03990B101 121698.00000000 NS USD 7539191.10000000 0.712065145203 Long EC CORP US N 1 N N N Upstart Securitization Trust N/A 91679LAA0 146802.82000000 PA USD 142101.93000000 0.013421311394 Long ABS-O CORP US N 2 2031-07-20 Fixed 0.83000000 N N N N N N FIRSTCASH INC 549300V2X3UU7K0DG350 33767DAB1 758000.00000000 PA USD 634521.80000000 0.059929619989 Long DBT CORP US N 2 2028-09-01 Fixed 4.62500000 N N N N N N Myovant Sciences Ltd N/A 000000000 42678.00000000 NS USD 766496.88000000 0.072394465787 Long EC CORP BM N 1 N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELLB7 35570.19000000 PA USD 32683.56000000 0.003086912586 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N ALABAMA POWER CO 0RL818ELFOHP5JHOFU19 010392FT0 245000.00000000 PA USD 173513.02000000 0.016388041123 Long DBT CORP US N 2 2049-10-01 Fixed 3.45000000 N N N N N N COMM Mortgage Trust N/A 12591RBA7 115000.00000000 PA USD 113223.38000000 0.010693776222 Long ABS-MBS CORP US N 2 2047-02-10 Variable 4.07400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KL2S5 206506.75000000 PA USD 174935.08000000 0.016522352529 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N ONSLOW BAY FINANCIAL LLC N/A 67114JAA8 536284.22000000 PA USD 427886.65000000 0.040413244010 Long ABS-MBS CORP US N 2 2061-07-25 Variable 1.05400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GWY8 111637.78000000 PA USD 99980.10000000 0.009442968546 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 120775.01000000 OU Notional Amount USD 0.00000000 0.000000 N/A DCR GB N 3 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 PrimeX.ARM.2 7B579YAB1 Y buy protection 2037-12-25 0.00000000 USD -243.25000000 USD 120775.01000000 USD 243.25000000 N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCV5 815000.00000000 PA USD 758929.35000000 0.071679724076 Long DBT CORP US N 2 2030-07-26 Fixed 5.24700000 N N N N N N Drive Auto Receivables Trust N/A 26209AAG6 465000.00000000 PA USD 457949.48000000 0.043252632629 Long ABS-O CORP US N 2 2027-02-16 Fixed 2.70000000 N N N N N N PENSKE TRUCK LEASING/PTL N/A 709599BN3 285000.00000000 PA USD 267443.30000000 0.025259613362 Long DBT CORP US N 2 2027-07-01 Fixed 4.40000000 N N N N N N Airbnb Inc 549300HMUDNO0RY56D37 009066101 62688.00000000 NS USD 6584747.52000000 0.621919399145 Long EC CORP US N 1 N N N PACCAR Inc KDTEY8BWE486IKZ3CC07 693718108 20917.00000000 NS USD 1750543.73000000 0.165336195721 Long EC CORP US N 1 N N N Freddie Mac - SCRT N/A 35563PLK3 225157.74000000 PA USD 208000.07000000 0.019645290599 Long ABS-MBS USGSE US N 2 2058-10-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6QS3 66028.32000000 PA USD 60390.85000000 0.005703824031 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.50000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 93363RAA4 124079.24000000 PA USD 106046.70000000 0.010015949699 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.98400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XF3N9 260646.09000000 PA USD 218660.43000000 0.020652145405 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31379FN75 573.05000000 PA USD 582.51000000 0.000055017184 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 6.00000000 N N N N N N Guidewire Software Inc 549300WXSG0J8IXZCK32 40171V100 9466.00000000 NS USD 582916.28000000 0.055055557029 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLW3 443997.26000000 PA USD 362392.11000000 0.034227384212 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Etsy Inc 54930089Q7XT501AEA40 29786A106 62232.00000000 NS USD 6231290.16000000 0.588535888496 Long EC CORP US N 1 N N OGLETHORPE POWER CORP 3EERXCUSWMS9GV5D9M98 677050AR7 130000.00000000 PA USD 101589.61000000 0.009594984320 Long DBT CORP US N 2 2047-04-01 Fixed 4.50000000 N N N N N N Angel Oak Mortgage Trust N/A 03465EAA9 616529.36000000 PA USD 524190.09000000 0.049508957605 Long ABS-MBS CORP US N 2 2066-05-25 Variable 1.06800000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AV0 250000.00000000 PA USD 232487.29000000 0.021958071325 Long DBT CORP CH N 2 2028-08-11 Fixed 6.44200000 N N N N N N Residential Funding Mtg Sec I N/A 76111XVZ3 50734.11000000 PA USD 25666.42000000 0.002424154374 Long ABS-MBS CORP US N 2 2035-08-25 Variable 3.46300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F5SH7 95172.10000000 PA USD 87050.80000000 0.008221815804 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XEC4 324527.31000000 PA USD 331925.59000000 0.031349867685 Long ABS-MBS USGSE US N 2 2029-05-25 Floating 7.43400000 N N N N N N GSK CONSUMER HEALTHCARE 549300N8C3A3L0UVQB07 36264FAC5 490000.00000000 PA USD 427058.12000000 0.040334990610 Long DBT CORP US N 2 2029-03-24 Fixed 3.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LHG53 380000.00000000 PA USD 348395.61000000 0.032905436051 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 3.52000000 N N N N N N Imperial Fund LLC N/A 45276PAA4 1249584.60000000 PA USD 1122466.98000000 0.106015300912 Long ABS-MBS CORP US N 2 2067-03-25 Variable 3.63800000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCZ0 205000.00000000 PA USD 173989.69000000 0.016433061880 Long DBT CORP US N 2 2042-10-01 Fixed 4.62500000 N N N N N N Countrywide Alternative Loan Trust N/A 12667F4T9 135652.38000000 PA USD 109300.48000000 0.010323264277 Long ABS-MBS CORP US N 2 2038-03-01 Floating 3.53400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QD2M5 726699.44000000 PA USD 627387.07000000 0.059255755580 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 2.50000000 N N N N N N Flowserve Corp 6Y0GK87T6V7NJKZJVM41 34354P105 46873.00000000 NS USD 1139013.90000000 0.107578132366 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DYX4 887792.24000000 PA USD 722690.79000000 0.068257047141 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DG1 375000.00000000 PA USD 350577.15000000 0.033111479190 Long DBT CORP GB N 2 2028-08-11 Fixed 5.21000000 N N N N N N SBA Tower Trust N/A 78403DAN0 545000.00000000 PA USD 509869.30000000 0.048156380747 Long DBT US N 2 2025-01-15 Fixed 2.83600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X4QC7 17703.05000000 PA USD 16994.12000000 0.001605068815 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGN8 455000.00000000 PA USD 348905.78000000 0.032953620833 Long DBT CORP US N 2 2032-03-15 Fixed 2.35500000 N N N N N N MIZUHO BANK LIMITED NEW YORK N/A 000000000 2000000.00000000 PA USD 2000000.00000000 0.188896961426 Long STIV CORP US N 2 2022-10-26 Floating 3.30000000 N N N N N Credit Suisse Mortgage Trust N/A 126416AA4 1272764.35000000 PA USD 1090463.38000000 0.102992609514 Long ABS-MBS CORP US N 2 2066-11-25 Variable 2.26500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 65984.74000000 OU Notional Amount USD -4838.88000000 -0.00045702486 N/A DCR GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 ABX-HE-PENAAA 06 0A08AWAB5 Y sell protection 2046-05-25 0.00000000 USD -1658.41000000 USD 65984.74000000 USD -3180.47000000 N N N American Credit Acceptance Receivables Trust N/A 02528GAC7 55000.00000000 PA USD 54206.99000000 0.005119767849 Long ABS-O CORP US N 2 2026-10-13 Fixed 4.55000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 000000000 270000.00000000 PA USD 140486.40000000 0.013268727040 Long DBT NUSS EG Y 2 2048-02-21 Fixed 7.90300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QG4T1 436116.63000000 PA USD 355256.30000000 0.033553417798 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Assured Guaranty Ltd 549300BBOQUJEPH87M14 000000000 39236.00000000 NS USD 1900984.20000000 0.179545069550 Long EC CORP BM N 1 N N N Arroyo Mortgage Trust N/A 042858AA8 377900.45000000 PA USD 353645.63000000 0.033401292464 Long ABS-MBS CORP US N 2 2049-04-25 Variable 3.34700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617G1SM1 80641.11000000 PA USD 75899.39000000 0.007168582072 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N Marvell Technology Inc N/A 573874104 45750.00000000 NS USD 1963132.50000000 0.185414882064 Long EC CORP US N 1 N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CBT1 375000.00000000 PA USD 339120.45000000 0.032029411281 Long DBT CORP US N 2 2032-08-15 Fixed 4.50000000 N N N N N N Apex Credit CLO LLC 549300RQCC84IFW6Y440 03755FAC1 865091.77000000 PA USD 848566.79000000 0.080145844099 Long ABS-CBDO CORP KY N 2 2029-04-24 Floating 3.78300000 N N N N N N Dominos Pizza Master Issuer LLC N/A 25755TAJ9 673750.00000000 PA USD 634141.59000000 0.059893709732 Long ABS-O CORP US N 2 2048-07-25 Fixed 4.11600000 N N N N N N WF-RBS Commercial Mortgage Trust 549300QGM7D5K3CV2643 96221TAE7 40000.00000000 PA USD 39318.31000000 0.003713554643 Long ABS-MBS CORP US N 2 2047-03-15 Fixed 4.04500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDA1 780000.00000000 PA USD 730941.37000000 0.069036301887 Long DBT CORP US N 2 2028-04-26 Fixed 4.32300000 N N N N N N Knollwood CDO Ltd 549300E24U6UCPJEUI87 499169AD2 778867.43000000 PA USD 77.89000000 0.000007356592 Long ABS-CBDO CORP KY N 2 2039-01-10 Floating 5.59100000 N Y N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416RHU0 18899.42000000 PA USD 18598.38000000 0.001756588734 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 4.50000000 N N N N N N Deephaven Residential Mortgage Trust N/A 24381WAA6 214430.60000000 PA USD 181138.68000000 0.017108273124 Long ABS-MBS CORP US N 2 2066-04-25 Variable 0.89900000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BH4 245000.00000000 PA USD 220320.54000000 0.020808940272 Long DBT CORP US N 2 2039-03-15 Fixed 4.75000000 N N N N N N Summit Issuer, LLC N/A 86613XAA3 320000.00000000 PA USD 280967.81000000 0.026536982783 Long ABS-O CORP US N 2 2050-12-20 Fixed 2.29000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 3440000.00000000 OU Notional Amount USD 342610.24000000 0.032359016644 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.EM.S38 2I65BZFC1 Y buy protection 2027-12-20 292474.20000000 USD 0.00000000 USD 3440000.00000000 USD 50136.04000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QHM77 2168666.08000000 PA USD 1764510.35000000 0.166655321760 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFB32 714574.91000000 PA USD 607160.16000000 0.057345354661 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Intra-Cellular Therapies Inc 5299002U2KGF193IJA20 46116X101 11938.00000000 NS USD 555475.14000000 0.052463783047 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FJB36 109601.47000000 PA USD 100692.72000000 0.009510274422 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WQAV4 618891.37000000 PA USD 554744.57000000 0.052394781820 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N State of California N/A 13063A7D0 180000.00000000 PA USD 215441.89000000 0.020348159192 Long DBT MUN US N 2 2039-10-01 Fixed 7.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M9X51 472978.09000000 PA USD 399494.09000000 0.037731609854 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KTYL8 563780.05000000 PA USD 471896.86000000 0.044569941480 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379LG91 101278.07000000 PA USD 19054.49000000 0.001799667631 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2CX8 174258.38000000 PA USD 184477.86000000 0.017423653602 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 5.50000000 N N N N N N Regatta VI Funding Ltd. 2549001NU08X5ZRD6A39 75887NAW9 1200000.00000000 PA USD 1134793.20000000 0.107179493664 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 3.87000000 N N N N N N Credit Suisse Mortgage Trust N/A 12659FAA3 545591.23000000 PA USD 456682.01000000 0.043132922013 Long ABS-MBS CORP US N 2 2066-10-25 Variable 1.84100000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680AY9 210000.00000000 PA USD 176161.77000000 0.016638211536 Long DBT CORP US N 2 2029-09-01 Fixed 3.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X53X3 71768.63000000 PA USD 69754.88000000 0.006588242438 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EHJ29 31201.53000000 PA USD 31800.93000000 0.003003549523 Long ABS-MBS USGSE US N 2 2041-06-01 Floating 3.26700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJYM6 464537.85000000 PA USD 413760.53000000 0.039079053437 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419BBT1 41308.82000000 PA USD 39381.44000000 0.003719517176 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.00000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 000000000 1000000.00000000 PA USD 1000000.00000000 0.094448480713 Long RA CORP US N 2 Repurchase Y 3.16000000 2022-10-03 13310.19000000 USD 1112451.17000000 USD EQT N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RAZ2 20000.00000000 PA USD 17327.38000000 0.001636544715 Long DBT CORP US N 2 2043-10-01 Fixed 5.95000000 N N N N N Angel Oak Mortgage Trust N/A 03465MAA1 540664.17000000 PA USD 461675.03000000 0.043604505166 Long ABS-MBS CORP US N 2 2066-11-25 Variable 1.82000000 N N N N N N BAT INTL FINANCE PLC 21380041YBGOQDFAC823 05530QAP5 585000.00000000 PA USD 521385.69000000 0.049244086286 Long DBT CORP GB N 2 2028-03-16 Fixed 4.44800000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEK7 455000.00000000 PA USD 397669.95000000 0.037559322602 Long DBT CORP US N 2 2028-01-21 Fixed 2.47500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KNA94 186563.42000000 PA USD 151604.38000000 0.014318803360 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N New Residential Mortgage Loan Trust N/A 64830CAA3 478697.40000000 PA USD 454850.04000000 0.042959895230 Long ABS-MBS CORP US N 2 2057-09-25 Variable 3.94400000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BS2 305000.00000000 PA USD 223576.29000000 0.021116440914 Long DBT CORP US N 2 2049-07-01 Fixed 5.12500000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBX0 105000.00000000 PA USD 87684.53000000 0.008281670640 Long DBT CORP US N 2 2030-01-31 Fixed 2.80000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379VRH9 149969.48000000 PA USD 9037.30000000 0.000853559254 Long ABS-MBS USGA US N 2 2042-04-20 Fixed 3.50000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BB8 240000.00000000 PA USD 195023.19000000 0.018419643999 Long DBT CORP US N 2 2030-03-15 Fixed 3.10000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CC4 165000.00000000 PA USD 126183.81000000 0.011917869145 Long DBT CORP US N 2 2040-04-15 Fixed 3.30000000 N N N N N N TJX Cos Inc/The V167QI9I69W364E2DY52 872540109 95594.00000000 NS USD 5938299.28000000 0.560863345018 Long EC CORP US N 1 N N N Incyte Corp 549300Z4WN6JVZ3T4680 45337C102 7686.00000000 NS USD 512195.04000000 0.048376043356 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419A3M7 237753.32000000 PA USD 232958.19000000 0.022002547115 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36198KLS8 809076.58000000 PA USD 718700.23000000 0.067880144811 Long ABS-MBS USGA US N 2 2045-05-15 Fixed 3.00000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFK5 175000.00000000 PA USD 127412.39000000 0.012033906659 Long DBT CORP US N 2 2049-09-01 Fixed 3.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HLE25 83403.59000000 PA USD 79586.90000000 0.007516861789 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.00000000 N N N N N N Legacy Mortgage Asset Trust N/A 52474XAA3 403769.84000000 PA USD 367732.78000000 0.034731802379 Long ABS-MBS CORP US N 2 2061-07-25 Variable 1.75000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBW4 163000.00000000 PA USD 110629.39000000 0.010448777807 Long DBT CORP US N 2 2040-04-01 Fixed 3.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LBZA4 200057.00000000 PA USD 162808.46000000 0.015377011694 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GT7A2 98713.83000000 PA USD 90210.31000000 0.008520226724 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBG4 85000.00000000 PA USD 55134.53000000 0.005207372593 Long DBT CORP US N 2 2050-02-24 Fixed 3.00000000 N N N N N N Monster Beverage Corp 52990090AP0E7HCB6F33 61174X109 49867.00000000 NS USD 4336434.32000000 0.409569633237 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UMK5 322461.91000000 PA USD 296945.84000000 0.028046083442 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 3.50000000 N N N N N N GEORGIA POWER CO D981X4Z4RWS7PDMJUZ03 373334KQ3 170000.00000000 PA USD 159209.74000000 0.015037118057 Long DBT CORP US N 2 2032-05-15 Fixed 4.70000000 N N N N N N Crown Finance US, Inc. N/A 22834KAJ0 3491.62000000 PA USD 3766.59000000 0.000355748702 Long LON CORP US N 2 2025-02-28 Floating 10.07600000 N N N N N N FORESIGHT ENERGY LLC 549300HM3UR1W0JJ7F28 000000000 1358.87000000 NS USD 14947.57000000 0.001411775276 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402DGM6 41467.20000000 PA USD 43576.24000000 0.004115709663 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N Hologic Inc 549300DYP6F5ZJL0LB74 436440AM3 658000.00000000 PA USD 607005.00000000 0.057330700035 Long DBT CORP US N 2 2028-02-01 Fixed 4.62500000 N N N N N UBS-Barclays Commercial Mortgage Trust N/A 90270YBF5 145129.07000000 PA USD 144580.51000000 0.013655409510 Long ABS-MBS CORP US N 2 2046-03-10 Fixed 3.18500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKK4 150000.00000000 PA USD 117262.66000000 0.011075280081 Long DBT CORP US N 2 2033-02-04 Fixed 2.97200000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92937EAZ7 144870.24000000 PA USD 144360.67000000 0.013634645956 Long ABS-MBS CORP US N 2 2045-03-15 Fixed 3.07100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DVA7 642768.75000000 PA USD 523089.78000000 0.049405034997 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.00000000 N N N N N N SUMITOMO MITSUI TRUST BANK LTD,NY N/A 000000000 1000839.00000000 PA USD 1000839.00000000 0.094527722988 Long STIV CORP US N 2 2023-02-24 Floating 3.41000000 N N N N N Crown Finance US, Inc. N/A 22834KAB7 79970.32000000 PA USD 34753.74000000 0.003282437942 Long LON CORP US N 2 2025-02-28 Floating 4.00000000 N N N N N N UMBS, TBA N/A 01F0406A0 444000.00000000 PA USD 411966.09000000 0.038909571305 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 4.00000000 N N N N N N JBS USA/FOOD/FINANCE P77IMDGVZE8EFBTF2M92 46590XAR7 410000.00000000 PA USD 350291.70000000 0.033084518871 Long DBT CORP XX N 2 2027-01-15 Fixed 2.50000000 N N N N N N NORTH MACEDONIA 635400RD1N6RVNCE4958 000000000 515000.00000000 PA 440963.79000000 0.041648360015 Long DBT NUSS MK N 2 2026-06-03 Fixed 3.67500000 N N N N N N Hershey Co/The 21X2CX66SU2BR6QTAD08 427866108 26582.00000000 NS USD 5860533.54000000 0.553518489023 Long EC CORP US N 1 N N N GLS Auto Receivables Trust N/A 38014QAC0 90000.00000000 PA USD 88808.88000000 0.008387863789 Long ABS-O CORP US N 2 2027-01-15 Fixed 4.92000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDU2 54000.00000000 PA USD 32231.22000000 0.003044189760 Long DBT CORP US N 2 2056-11-01 Fixed 2.93700000 N N N N N N Angel Oak Mortgage Trust N/A 03465HAA2 770799.69000000 PA USD 636942.62000000 0.060158262760 Long ABS-MBS CORP US N 2 2066-07-25 Variable 0.95100000 N N N N N N OneMain Holdings Inc 549300E3VEW8SMS5XW09 68268W103 26600.00000000 NS USD 785232.00000000 0.074163969407 Long EC CORP US N 1 N N Morgan Stanley BAML Trust N/A 61690KAE2 110574.85000000 PA USD 110224.02000000 0.010410491227 Long ABS-MBS CORP US N 2 2046-02-15 Fixed 2.91800000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 03846JAE0 200000.00000000 PA USD 115042.80000000 0.010865617677 Long DBT NUSS EG N 2 2033-09-30 Fixed 7.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AMVN4 32450.93000000 PA USD 1367.31000000 0.000129140352 Long ABS-MBS USGSE US N 2 2027-03-15 Fixed 3.50000000 N N N N N N COREBRIDGE FINANCIAL INC 549300XY1661QCIA7J65 21871XAG4 70000.00000000 PA USD 59084.84000000 0.005580473371 Long DBT CORP US N 2 2032-04-05 Fixed 3.90000000 N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468U6 880000.00000000 PA USD 643122.56000000 0.060741948704 Long DBT CORP US N 2 2032-02-13 Fixed 1.79400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ARZH2 20766.18000000 PA USD 1093.65000000 0.000103293580 Long ABS-MBS USGSE US N 2 2027-07-15 Fixed 4.00000000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92939KAV0 86805.84000000 PA USD 5191.34000000 0.000490314175 Long ABS-MBS CORP US N 2 2047-11-15 Fixed 3.01600000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 3180000.00000000 OU Notional Amount USD -133289.70000000 -0.01258900965 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.HY.S39 2I65BRZH6 Y sell protection 2027-12-20 0.00000000 USD -139700.12000000 USD 3180000.00000000 USD 6410.42000000 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEH1 340000.00000000 PA USD 316790.80000000 0.029920409764 Long DBT CORP US N 2 2029-05-15 Fixed 4.00000000 N N N N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 59261AG76 1390000.00000000 PA USD 1236146.74000000 0.116752181531 Long DBT MUN US N 2 2049-11-15 Fixed 5.17500000 N N N N N N COREBRIDGE FINANCIAL INC 549300XY1661QCIA7J65 21871XAN9 1005000.00000000 PA USD 919030.01000000 0.086800988174 Long DBT CORP US N 2 2052-12-15 Fixed 6.87500000 N N N N N N BX Commercial Mortgage Trust 2019-XL N/A 056054AA7 914065.42000000 PA USD 900273.64000000 0.085029477524 Long ABS-MBS CORP US N 2 2036-10-15 Floating 3.73800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419FFW1 98433.36000000 PA USD 93828.56000000 0.008861964939 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N BENCHMARK Mortgage Trust N/A 08160JAE7 1600000.00000000 PA USD 1484898.40000000 0.140246397893 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 4.01600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KLTH0 800094.88000000 PA USD 650795.56000000 0.061466651897 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F83S0 1657961.75000000 PA USD 101115.44000000 0.009550199684 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 1.12000000 N N N N N N COMM Mortgage Trust 549300YJIXJB9DCDOI21 12626BAF1 622318.53000000 PA USD 2223.73000000 0.000210027920 Long ABS-MBS CORP US N 2 2046-08-10 Variable 0.80300000 N N N N N N CON EDISON CO OF NY INC VZFZPMWDHTQCFKYOBP05 209111GC1 250000.00000000 PA USD 165881.30000000 0.015667236763 Long DBT CORP US N 2 2051-12-01 Fixed 3.20000000 N N N N N N Affirm Asset Securitization Trust N/A 00832PAA6 69795.68000000 PA USD 69246.29000000 0.006540206885 Long ABS-O CORP US N 2 2024-10-15 Fixed 3.46000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDGU4 129628.51000000 PA USD 113481.19000000 0.010718125985 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3.00000000 N N N N N N State of Illinois 54930048FV8RWPR02D67 452152KJ9 70000.00000000 PA USD 70123.59000000 0.006623066537 Long DBT MUN US N 2 2023-01-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GPSA7 127146.85000000 PA USD 120435.74000000 0.011374972666 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N UMBS, TBA N/A 01F0306A1 14276000.00000000 PA USD 12422908.25000000 1.173324810255 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 3.00000000 N N N N N N SG Commercial Mortgage Securities Trust N/A 78397FAA1 1230000.00000000 PA USD 1128853.66000000 0.106618513134 Long ABS-MBS CORP US N 2 2037-03-15 Fixed 2.63200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WJFD8 222224.97000000 PA USD 197774.32000000 0.018679484048 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05552EAA8 1802000.00000000 PA USD 1761214.25000000 0.166344010123 Long ABS-MBS CORP US N 2 2036-08-15 Floating 3.79300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A9GA0 82799.48000000 PA USD 5079.08000000 0.000479711389 Long ABS-MBS USGSE US N 2 2027-10-25 Fixed 3.50000000 N N N N N N BENCHMARK Mortgage Trust N/A 08161HAG5 4261235.80000000 PA USD 76527.53000000 0.007227908941 Long ABS-MBS CORP US N 2 2051-07-15 Variable 0.65800000 N N N N N N GCAT N/A 36167HAA3 566550.45000000 PA USD 470459.64000000 0.044434198235 Long ABS-MBS CORP US N 2 2066-05-25 Variable 1.09100000 N N N N N N Hanesbrands Inc GX5LWVWZLL5S4W1L2F20 410345AL6 140000.00000000 PA USD 125853.00000000 0.011886624643 Long DBT CORP US N 2 2026-05-15 Fixed 4.87500000 N N N N N HOWARD UNIVERSITY N/A 442851AV3 100000.00000000 PA USD 81768.73000000 0.007722932318 Long DBT CORP US N 2 2031-10-01 Fixed 2.90100000 N N N N N N Freddie Mac - SCRT N/A 35563PJH3 1148226.74000000 PA USD 1060374.65000000 0.100150774679 Long ABS-MBS USGSE US N 2 2058-07-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X8NY3 14758.37000000 PA USD 14163.23000000 0.001337695555 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Bank N/A 06540RAF1 795731.93000000 PA USD 25088.95000000 0.002369613210 Long ABS-MBS CORP US N 2 2054-11-15 Variable 0.90000000 N N N N N N 510 Assets Backed Trust N/A 33835JAA8 853417.12000000 PA USD 790701.71000000 0.074680575207 Long ABS-MBS CORP US N 2 2061-06-25 Variable 2.11600000 N N N N N N UMBS, TBA N/A 01F0124A1 1976000.00000000 PA USD 1694188.43000000 0.160013523255 Long ABS-MBS USGSE US N 2 2037-10-15 Fixed 1.50000000 N N N N N N PulteGroup Inc N/A 745867AW1 583000.00000000 PA USD 575104.69000000 0.054317764221 Long DBT CORP US N 2 2026-03-01 Fixed 5.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NE7 415000.00000000 PA USD 314461.05000000 0.029700368416 Long DBT CORP US N 2 2032-11-03 Fixed 2.52000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 168.00000000 NC USD -145854.21000000 -0.01377570854 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year U.S. Treasury Notes Futures TUZ2 COMDTY 2022-12-30 34651479.38000000 USD -145854.21000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396WJS6 105362.27000000 PA USD 88998.43000000 0.008405766499 Long ABS-MBS USGSE US N 2 2036-06-25 None 0.00000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206R102 176764.00000000 NS USD 2711559.76000000 0.256102699695 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X5NJ2 79050.99000000 PA USD 76832.69000000 0.007256730839 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Cargurus Inc 54930027BKQN6B7X7G78 141788109 112718.00000000 NS USD 1597214.06000000 0.150854441341 Long EC CORP US N 1 N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410K3E2 6927.07000000 PA USD 7178.40000000 0.000677988973 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KG1 400000.00000000 PA USD 364766.98000000 0.034451687075 Long DBT CORP US N 2 2032-06-15 Fixed 5.90000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378P4B1 30345.24000000 PA USD 5639.31000000 0.000532624261 Long ABS-MBS USGA US N 2 2044-01-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F8BQ9 26211.00000000 PA USD 24851.64000000 0.002347199641 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9TW0 58805.48000000 PA USD 57615.02000000 0.005441651105 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N ICON PLC 6354008SRQGEMC4XFI67 000000000 5720.00000000 NS USD 1051221.60000000 0.099286283013 Long EC CORP IE N 1 N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBF5 44000.00000000 PA USD 37665.95000000 0.003557491752 Long DBT CORP US N 2 2029-05-15 Fixed 4.12500000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AE7 420000.00000000 PA USD 343830.82000000 0.032474298571 Long DBT CORP US N 2 2030-10-01 Fixed 3.75000000 N N N N N UBS-Barclays Commercial Mortgage Trust 549300G1IXWLFE766Q13 90349GBF1 300119.00000000 PA USD 297658.89000000 0.028113429931 Long ABS-MBS CORP US N 2 2046-04-10 Fixed 3.24400000 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587CV7 335000.00000000 PA USD 310343.78000000 0.029311498519 Long DBT CORP US N 2 2026-07-01 Fixed 3.25000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CK6 120000.00000000 PA USD 84037.58000000 0.007937221753 Long DBT CORP NL N 2 2041-11-26 Fixed 2.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXJJ2 612105.00000000 PA USD 555887.58000000 0.052502737378 Long ABS-MBS USGSE US N 2 2058-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WUUT8 22636.67000000 PA USD 21935.34000000 0.002071759536 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N CELANESE US HOLDINGS LLC 549300ZCGJ6T8YDJ4M34 15089QAM6 395000.00000000 PA USD 373829.91000000 0.035307667044 Long DBT CORP US N 2 2027-07-15 Fixed 6.16500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DXK3 764041.12000000 PA USD 622231.99000000 0.058768866106 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAV6 110000.00000000 PA USD 104040.64000000 0.009826480380 Long DBT CORP US N 2 2029-06-15 Fixed 4.35000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACQ6 25000.00000000 PA USD 19511.68000000 0.001842848532 Long DBT CORP US N 2 2032-03-15 Fixed 2.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FU30 185265.24000000 PA USD 165871.48000000 0.015666309279 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N LSTAR Securities Investment Ltd N/A 50220XAA4 234916.43000000 PA USD 233311.20000000 0.022035888373 Long ABS-MBS CORP US N 2 2024-04-01 Floating 6.06400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJZT2 239538.08000000 PA USD 195103.43000000 0.018427222545 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N MFRA Trust N/A 55283FAA6 266084.34000000 PA USD 244842.64000000 0.023125015361 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.15300000 N N N N N N WF-RBS Commercial Mortgage Trust 549300QGM7D5K3CV2643 96221TAH0 1313051.39000000 PA USD 15059.12000000 0.001422311004 Long ABS-MBS CORP US N 2 2047-03-15 Variable 1.41900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXFR8 583919.45000000 PA USD 490463.14000000 0.046323498418 Long ABS-MBS USGSE US N 2 2057-01-01 Fixed 2.50000000 N N N N N N Towd Point Mortgage Trust N/A 89179TAA2 1254927.77000000 PA USD 1104618.80000000 0.104329567427 Long ABS-MBS CORP US N 2 2060-11-30 Variable 2.91800000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHV4 45000.00000000 PA USD 37926.62000000 0.003582111637 Long DBT CORP US N 2 2030-07-23 Fixed 3.19400000 N N N N N N Tesla Inc 54930043XZGB27CTOV49 88160R101 22216.00000000 NS USD 5892794.00000000 0.556565440457 Long EC CORP US N 1 N N N AMERICAN WATER CAPITAL C 5IDHQUFVC8Q2KIBBFF06 03040WAV7 140000.00000000 PA USD 111975.48000000 0.010575913963 Long DBT CORP US N 2 2049-06-01 Fixed 4.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380CP80 216415.30000000 PA USD 42550.88000000 0.004018865969 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 6.00000000 N N N N N N Karuna Therapeutics Inc N/A 48576A100 2490.00000000 NS USD 560075.70000000 0.052898298949 Long EC CORP US N 1 N N N Wells Fargo Commercial Mortgage Trust 549300ZVNWG0TX42H716 94989VAG4 4623521.99000000 PA USD 99176.86000000 0.009367103748 Long ABS-MBS CORP US N 2 2057-09-15 Variable 1.03000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQFE7 99152.68000000 PA USD 97153.05000000 0.009175957969 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36183QUL7 23472.95000000 PA USD 20856.06000000 0.001969823180 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QCYW0 215450.59000000 PA USD 189919.77000000 0.017937633733 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GU1 150000.00000000 PA USD 118829.04000000 0.011223222292 Long DBT CORP US N 2 2030-06-01 Fixed 2.25000000 N N N N N N Freddie Mac - SCRT N/A 35563PFJ3 418242.31000000 PA USD 388523.06000000 0.036695412739 Long ABS-MBS USGSE US N 2 2057-11-25 Fixed 3.50000000 N N N N N N LEIDOS INC 5493006I78VIN6J1BQ95 52532XAD7 235000.00000000 PA USD 225214.39000000 0.021271156970 Long DBT CORP US N 2 2025-05-15 Fixed 3.62500000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92936CBA6 105000.00000000 PA USD 68507.11000000 0.006470392457 Long ABS-MBS CORP US N 2 2044-06-15 Variable 5.00000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -35.00000000 NC 229985.47000000 0.021721778227 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 10 Year Euro BUND Futures RXZ2 COMDTY 2022-12-08 -5081817.05000000 EUR 229985.47000000 N N N BENCHMARK Mortgage Trust N/A 08161CAE1 795000.00000000 PA USD 740261.15000000 0.069916540948 Long ABS-MBS CORP US N 2 2051-02-15 Variable 3.88200000 N N N N N N Oglethorpe Power Corp 3EERXCUSWMS9GV5D9M98 677050AN6 115000.00000000 PA USD 96471.81000000 0.009111615886 Long DBT CORP US N 2 2048-10-01 Fixed 5.05000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACW3 155000.00000000 PA USD 146415.33000000 0.013828705471 Long DBT CORP US N 2 2053-01-15 Fixed 5.65000000 N N N N N N SUMITOMO BK NY N/A 000000000 1000222.00000000 PA USD 1000222.00000000 0.094469448276 Long STIV CORP US N 2 2023-03-06 Floating 3.37000000 N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BA1 1290000.00000000 PA USD 1135957.28000000 0.107289439251 Long DBT CORP US N 2 2045-10-23 Fixed 6.48400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGQX0 684614.61000000 PA USD 644205.44000000 0.060844225075 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4.00000000 N N N N N N Intel Corp KNX4USFCNGPY45LOCE31 458140100 23467.00000000 NS USD 604744.59000000 0.057117207745 Long EC CORP US N 1 N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BJ3 60000.00000000 PA USD 54900.00000000 0.005185221591 Long DBT CORP US N 2 2027-11-15 Fixed 4.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BVST5 115916.96000000 PA USD 109030.35000000 0.010297750909 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.00000000 N N N N N N New Residential Mortgage Loan Trust N/A 64831EAA8 224672.70000000 PA USD 210203.64000000 0.019853414438 Long ABS-MBS CORP US N 2 2058-10-25 Variable 0.94100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LVF0 46640.32000000 PA USD 47204.38000000 0.004458381974 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8KB0 216361.35000000 PA USD 197977.64000000 0.018698687313 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AWF91 148738.72000000 PA USD 127360.16000000 0.012028973615 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 1.75000000 N N N N N N NanoString Technologies Inc 549300G4CK0Y3WRDMY89 63009R109 24785.00000000 NS USD 316504.45000000 0.029893364441 Long EC CORP US N 1 N N United States Treasury 254900HROIFWPRGM1V77 912810RV2 6040000.00000000 PA USD 5049770.33000000 0.476943135620 Long DBT UST US N 2 2047-02-15 Fixed 3.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2U6 565000.00000000 PA USD 458196.98000000 0.043276008628 Long DBT CORP US N 2 2033-03-02 Fixed 3.35000000 N N N N N N Bank N/A 06540AAE1 4070172.13000000 PA USD 173923.34000000 0.016426795223 Long ABS-MBS CORP US N 2 2062-09-15 Variable 0.93800000 N N N N N N Flagship Credit Auto Trust N/A 33845PAE4 503000.00000000 PA USD 488789.39000000 0.046165415274 Long ABS-O CORP US N 2 2028-07-17 Fixed 4.69000000 N N N N N N INTL AIRPORT FINANCE SA 959800M9M5LP0KXUP789 45900TAA0 919292.26000000 PA USD 846164.16000000 0.079918919346 Long DBT CORP ES N 2 2033-03-15 Fixed 12.00000000 N N N N N N Adjustable Rate Mortgage Trust N/A 007036SE7 40000.60000000 PA USD 39346.75000000 0.003716240758 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.62400000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEU5 90000.00000000 PA USD 83390.64000000 0.007876119253 Long DBT CORP US N 2 2033-07-20 Fixed 4.88900000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCD6 625000.00000000 PA USD 427921.03000000 0.040416491148 Long DBT CORP US N 2 2042-04-22 Fixed 3.15700000 N N N N N N Municipal Electric Authority of Georgia JA0WNILDDF2KUPS83B16 626207YF5 191000.00000000 PA USD 206916.64000000 0.019542962282 Long DBT MUN US N 2 2057-04-01 Fixed 6.63700000 N N N N N N PacifiCorp SGY07Y7FNYBNLM6Z1M11 695114CV8 80000.00000000 PA USD 64326.40000000 0.006075530749 Long DBT CORP US N 2 2050-02-15 Fixed 4.15000000 N N N N N N SERVICE CORP INTL 549300RKVM2ME20JHZ15 817565CF9 785000.00000000 PA USD 613940.65000000 0.057985761640 Long DBT CORP US N 2 2030-08-15 Fixed 3.37500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BM71 838358.90000000 PA USD 14136.83000000 0.001335202115 Long ABS-MBS USGA US N 2 2053-02-16 Variable 0.64600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDDV5 142130.58000000 PA USD 118967.27000000 0.011236277906 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 2.00000000 N N N N N N Fortune Brands Home & Security Inc 54930032LHW54PQUJD44 34964C106 8729.00000000 NS USD 468660.01000000 0.044264225915 Long EC CORP US N 1 N N N BENCHMARK Mortgage Trust N/A 08163AAF0 1325326.18000000 PA USD 108117.33000000 0.010211517557 Long ABS-MBS CORP US N 2 2053-07-15 Variable 1.91500000 N N N N N N Toronto-Dominion Bank PT3QB789TSUIDF371261 000000000 1.00000000 NC -7240.96000000 -0.00068389767 N/A DFE US N 2 Toronto-Dominion Bank PT3QB789TSUIDF371261 449333.68000000 EUR 433946.25000000 USD 2022-10-31 -7240.96000000 N N N CHARTER COMM OPT LLC/CAP N/A 161175CE2 107000.00000000 PA USD 67892.70000000 0.006412362366 Long DBT CORP US N 2 2042-03-01 Fixed 3.50000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 72152300.00000000 PA 3179509.08000000 0.300299802020 Long DBT NUSS MX N 2 2031-05-29 Fixed 7.75000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBU3 425000.00000000 PA USD 386104.08000000 0.036466943753 Long DBT CORP US N 2 2032-09-01 Fixed 4.95000000 N N N N N N BANK OF NOVA SCOTIA HOUSTON N/A 000000000 1000000.00000000 PA USD 1000000.00000000 0.094448480713 Long STIV CORP US N 2 2023-03-15 Floating 3.47000000 N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBL1 835000.00000000 PA USD 733317.88000000 0.069260759646 Long DBT CORP US N 2 2026-09-01 Fixed 3.12500000 N N N N N N LSTAR Securities Investment Ltd N/A 54912MAA3 491842.21000000 PA USD 491583.70000000 0.046429333608 Long ABS-MBS CORP US N 2 2026-02-01 Floating 4.36400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D5G3 275053.27000000 PA USD 230228.14000000 0.021744698040 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 2.00000000 N N N N N N BAYVIEW OPPORTUNITY MASTER FUND TRUST N/A 07332GAA6 396366.93000000 PA USD 384287.77000000 0.036295396033 Long ABS-O CORP US N 2 2057-10-28 Variable 3.50000000 N N N N N N NGPL PIPECO LLC 549300K3NT1HSQFEM073 62928CAA0 210000.00000000 PA USD 164438.13000000 0.015530931549 Long DBT CORP US N 2 2031-07-15 Fixed 3.25000000 N N N N N N Arista Networks Inc 635400H1WKBLOQERUU95 040413106 39717.00000000 NS USD 4483652.13000000 0.423474131726 Long EC CORP US N 1 N N N BLACK KNIGHT INFOSERV LL 549300H5PS5C68DAUX66 092174AA9 1658000.00000000 PA USD 1406912.48000000 0.132880746232 Long DBT CORP US N 2 2028-09-01 Fixed 3.62500000 N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEL2 60000.00000000 PA USD 53417.83000000 0.005045232886 Long DBT CORP US N 2 2062-05-15 Fixed 4.95000000 N N N N N N CIM Trust N/A 12553HAA6 43685.84000000 PA USD 43549.22000000 0.004113157665 Long ABS-MBS CORP US N 2 2057-04-25 Variable 3.00000000 N N N N N N IPALCO Enterprises Inc 5493000YFVK2DZX0JV43 462613AM2 335000.00000000 PA USD 321334.69000000 0.030349573271 Long DBT CORP US N 2 2024-09-01 Fixed 3.70000000 N N N N N N New Residential Mortgage Loan Trust N/A 64829KBV1 604268.27000000 PA USD 573737.31000000 0.054188617258 Long ABS-MBS CORP US N 2 2057-03-25 Variable 4.00000000 N N N N N N FedEx Corp 549300E707U7WNPZN687 31428X106 8781.00000000 NS USD 1303715.07000000 0.123133907644 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380CG23 112355.74000000 PA USD 20324.29000000 0.001919598312 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 5.50000000 N N N N N N BUILDERS FIRSTSOURCE INC 549300W0SKP6L3H7DP63 12008RAN7 785000.00000000 PA USD 667250.00000000 0.063020748756 Long DBT CORP US N 2 2030-03-01 Fixed 5.00000000 N N N N N N BRAVO Residential Funding Trust N/A 10569EAA9 219133.62000000 PA USD 207173.85000000 0.019567255376 Long ABS-MBS CORP US N 2 2060-03-25 Variable 0.97000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AP4 590000.00000000 PA USD 413000.00000000 0.039007222534 Long DBT CORP CO N 2 2031-11-02 Fixed 4.62500000 N N N N N N Ford Motor Co 20S05OYHG0MQM4VUIC57 345370860 90549.00000000 NS USD 1014148.80000000 0.095784813377 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2AE2 401237.63000000 PA USD 395774.11000000 0.037380263395 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 4.50000000 N N N N N N National Bank of Canada BSGEFEIOM18Y80CKCV46 000000000 2700000.00000000 PA USD 2700000.00000000 0.255010897926 Long RA CORP US N 2 Repurchase Y 3.20000000 2022-10-07 43943.46000000 USD 2427334.21000000 USD EQT 592786.76000000 USD 532000.92000000 USD UST N N ITC HOLDINGS CORP 549300HTO5U9D3SLE207 465685AQ8 290000.00000000 PA USD 238099.19000000 0.022488106754 Long DBT CORP US N 2 2030-05-14 Fixed 2.95000000 N N N N N N GSR Mortgage Loan Trust N/A 362669AK9 139228.92000000 PA USD 98265.38000000 0.009281015847 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418BPB6 12618.77000000 PA USD 11990.29000000 0.001132464673 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 4.00000000 N N N N N N Angel Oak Mortgage Trust N/A 03464MAA2 31237.72000000 PA USD 31044.72000000 0.002932126638 Long ABS-MBS CORP US N 2 2048-11-25 Variable 3.92000000 N N N N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93934NAA3 56605.52000000 PA USD 37233.38000000 0.003516636172 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.68400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MMXN8 242637.26000000 PA USD 226384.46000000 0.021381668304 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 3.00000000 N N N N N N LEVIATHAN BOND LTD 254900D9T8VKYVQNZ220 000000000 480000.00000000 PA USD 440400.00000000 0.041595110906 Long DBT CORP IL Y 2 2027-06-30 Fixed 6.50000000 N N N N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CBL8 680000.00000000 PA USD 533513.01000000 0.050389493235 Long DBT CORP US N 2 2031-06-15 Fixed 2.55000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 480000.00000000 PA USD 366343.86000000 0.034600620995 Long DBT CORP US N 2 2033-04-15 Fixed 3.41900000 N N N N N N Match Group Inc 15OMOPB0A8K0EFUVD031 57667L107 25135.00000000 NS USD 1200196.25000000 0.113356712370 Long EC CORP US N 1 N N N Towd Point Mortgage Trust N/A 89173FAA8 256484.70000000 PA USD 252573.03000000 0.023855138952 Long ABS-O CORP US N 2 2056-10-25 Variable 2.75000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136AHAG5 200534.38000000 PA USD 197044.82000000 0.018610583881 Long ABS-MBS USGSE US N 2 2023-10-25 Variable 3.32900000 N N N N N N AKER BP ASA 549300NFTY73920OYK69 55037AAB4 780000.00000000 PA USD 610689.67000000 0.057678711518 Long DBT CORP NO N 2 2031-07-15 Fixed 3.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNF73 718292.98000000 PA USD 584474.63000000 0.055202740819 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KELG1 233759.93000000 PA USD 190601.42000000 0.018002014540 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDG8 550000.00000000 PA USD 528095.66000000 0.049877832758 Long DBT CORP US N 2 2028-07-25 Fixed 4.85100000 N N N N N N GALAXY PIPELINE ASSETS 549300L82YB0C6JQIC26 36321PAB6 840000.00000000 PA USD 649250.13000000 0.061320688381 Long DBT CORP JE N 2 2036-03-31 Fixed 2.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H23B2 61114.26000000 PA USD 55839.85000000 0.005273988995 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6WG2 161155.46000000 PA USD 148178.55000000 0.013995238921 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967ML2 35000.00000000 PA USD 27924.78000000 0.002637453045 Long DBT CORP US N 2 2031-01-29 Fixed 2.66600000 N N N N N N Blueprint Medicines Corp 5299004CC60O9T5HVM83 09627Y109 2211.00000000 NS USD 145682.79000000 0.013759518181 Long EC CORP US N 1 N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AYCZ2 71954.85000000 PA USD 3500.79000000 0.000330644296 Long ABS-MBS USGSE US N 2 2041-03-15 Fixed 3.50000000 N N N N N N MARATHON PETROLEUM CORP 3BNYRYQHD39K4LCKQF12 56585ABH4 400000.00000000 PA USD 392726.15000000 0.037092388203 Long DBT CORP US N 2 2025-05-01 Fixed 4.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XHT76 73860.85000000 PA USD 72365.56000000 0.006834817197 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DU67 1046756.78000000 PA USD 877164.30000000 0.082846835471 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B2AV2 62911.14000000 PA USD 3057.98000000 0.000288821565 Long ABS-MBS USGSE US N 2 2028-05-15 Fixed 2.50000000 N N N N N N Artera Services, LLC 549300J2G34D0WX8Z443 73937UAK4 99000.00000000 PA USD 81345.03000000 0.007682914497 Long LON CORP US N 2 2025-03-06 Floating 7.17400000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBX6 50000.00000000 PA USD 43773.66000000 0.004134355682 Long DBT CORP US N 2 2029-11-21 Fixed 3.20000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 65984.53000000 OU Notional Amount USD 4838.87000000 0.000457023919 N/A DCR US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 ABX-HE-PENAAA 06 0A08AWAB5 Y buy protection 2046-05-25 8451.45000000 USD 0.00000000 USD 65984.53000000 USD -3612.58000000 N N N KKR Financial CLO Ltd 5493008X0MRR4A6VYF15 48252KAA7 1230000.00000000 PA USD 1193065.56000000 0.112683229533 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 3.51200000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCR5 535000.00000000 PA USD 405966.13000000 0.038342884199 Long DBT CORP US N 2 2032-11-08 Fixed 2.54500000 N N N N N N Ovintiv Inc N/A 292505AE4 190000.00000000 PA USD 185953.71000000 0.017563045392 Long DBT CORP US N 2 2037-08-15 Fixed 6.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132L6NA5 5504.12000000 PA USD 5216.51000000 0.000492691444 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.00000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162PAY7 1998247.22000000 PA USD 40502.27000000 0.003825377866 Long ABS-MBS CORP US N 2 2051-01-15 Variable 0.67700000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKA9 45000.00000000 PA USD 30400.05000000 0.002871238536 Long DBT CORP US N 2 2051-06-01 Fixed 3.65000000 N N N N N N Starwood Mortgage Residential Trust N/A 85573RAA6 828095.80000000 PA USD 678769.76000000 0.064108772586 Long ABS-MBS CORP US N 2 2066-11-25 Variable 1.92000000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QBC1 165000.00000000 PA USD 159356.03000000 0.015050934926 Long DBT CORP XX N 2 2028-12-01 Fixed 5.55000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 000000000 650000.00000000 PA 460276.41000000 0.043472407632 Long DBT NUSS SA Y 2 2039-07-09 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6YJ4 125461.26000000 PA USD 115368.53000000 0.010896382380 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.50000000 N N N N N N Fixed Income Clearing Corp 549300H47WTHXPU08X20 000000000 29986765.29000000 PA USD 29986765.29000000 2.832204423152 Long RA CORP US N 2 Repurchase N 1.10000000 2022-10-03 24420000.00000000 USD 30586539.58000000 USD UST N N N GTP ACQUISITION PARTNERS N/A 36246MAU3 1355000.00000000 PA USD 1279130.30000000 0.120811913469 Long DBT CORP US N 2 2025-06-16 Fixed 3.48200000 N N N N N N Goldman Sachs Group Inc/The 784F5XWPLTWKTBV3E584 38141G104 19531.00000000 NS USD 5723559.55000000 0.540581503770 Long EC CORP US N 1 N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 31395QCR9 67016.77000000 PA USD 2768.08000000 0.000261440950 Long ABS-MBS USGSE US N 2 2027-05-25 Fixed 4.00000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAV3 20000.00000000 PA USD 16350.00000000 0.001544232659 Long DBT CORP US N 2 2030-02-15 Fixed 3.37500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAP4 35000.00000000 PA USD 28034.99000000 0.002647862212 Long DBT CORP US N 2 2044-04-01 Fixed 5.30000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69360HAA9 462752.51000000 PA USD 417676.34000000 0.039448895742 Long ABS-MBS CORP US N 2 2026-10-25 Variable 2.48700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BTKX8 301517.39000000 PA USD 280383.01000000 0.026481749312 Long ABS-MBS USGSE US N 2 2046-12-15 Fixed 3.50000000 N N N N N N Angel Oak Mortgage Trust N/A 03463WAA1 827.26000000 PA USD 824.04000000 0.000077829326 Long ABS-MBS CORP US N 2 2049-03-25 Variable 3.62800000 N N N N N N ServiceNow Inc 549300HJTQM36M0E1G39 81762P102 6408.00000000 NS USD 2419724.88000000 0.228539338660 Long EC CORP US N 1 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DH9 1605000.00000000 PA USD 1427155.57000000 0.134792675328 Long DBT CORP GB N 2 2033-08-11 Fixed 5.40200000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -46.00000000 NC USD 231603.32000000 0.021874581702 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT Ultra Long Term U.S. Treasury Bond Futures WNZ2 COMDTY 2022-12-20 -6533603.32000000 USD 231603.32000000 N N N Sysco Corp 5RGWIFLMGH3YS7KWI652 871829107 64780.00000000 NS USD 4580593.80000000 0.432630125175 Long EC CORP US N 1 N N N Republic of Indonesia 529900FWX0GRR7WG5W79 000000000 100000.00000000 PA 97248.80000000 0.009185001411 Long DBT NUSS ID Y 2 2023-06-14 Fixed 2.62500000 N N N N N N AvalonBay Communities Inc K9G90K85RBWD2LAGQX17 053484101 8735.00000000 NS USD 1608899.65000000 0.151958127562 Long EC US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SNV5 90005.54000000 PA USD 83167.57000000 0.007855050631 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FGRW9 152592.38000000 PA USD 136040.15000000 0.012848785483 Long ABS-MBS USGSE US N 2 2039-09-25 Fixed 2.00000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBQ7 135000.00000000 PA USD 90456.68000000 0.008543495996 Long DBT CORP US N 2 2047-11-15 Fixed 4.00000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBP4 245000.00000000 PA USD 155596.57000000 0.014695859640 Long DBT CORP US N 2 2051-06-04 Fixed 2.93900000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F1XN3 271408.20000000 PA USD 251999.77000000 0.023800995416 Long ABS-MBS USGSE US N 2 2046-05-15 Fixed 3.00000000 N N N N N N COX COMMUNICATIONS INC 5493001NEDZNIFRP2R92 224044CN5 350000.00000000 PA USD 271682.04000000 0.025659955915 Long DBT CORP US N 2 2031-06-15 Fixed 2.60000000 N N N N N N GRAMERCY PARK DUS N/A 000000000 382500.00000000 PA USD 357958.80000000 0.033808664818 Long ABS-O CORP US N 2 2031-10-01 Fixed 3.89000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138Y3XN6 144214.31000000 PA USD 132194.83000000 0.012485600851 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KEUJ2 125394.66000000 PA USD 119186.48000000 0.011256981957 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 3.00000000 N N N N N N Middleby Corp/The JDFO86U9VQRBKW5KYA35 596278101 11788.00000000 NS USD 1510867.96000000 0.142699183380 Long EC CORP US N 1 N N N SentinelOne Inc N/A 81730H109 12636.00000000 NS USD 322976.16000000 0.030504607618 Long EC CORP US N 1 N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 148955000.00000000 PA 779415.70000000 0.073614628709 Long DBT NUSS RU N 2 2031-03-12 Fixed 5.90000000 N Y N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AX4 605000.00000000 PA USD 551136.54000000 0.052054008868 Long DBT CORP US N 2 2030-05-15 Fixed 4.50000000 N N N N N Dexcom Inc 549300YSK3QDSFR5EU59 252131107 18150.00000000 NS USD 1461801.00000000 0.138064883555 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0326A3 5170000.00000000 PA USD 4702074.62000000 0.444103804060 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 3.50000000 N N N N N N GSR Mortgage Loan Trust N/A 3623414D8 176541.48000000 PA USD 173680.04000000 0.016403815908 Long ABS-MBS CORP US N 2 2036-01-25 Variable 2.88900000 N N N N N N Deutsche Bank Commercial Mortgage Trust N/A 233063AW6 1009293.09000000 PA USD 73424.26000000 0.006934809804 Long ABS-MBS CORP US N 2 2053-09-15 Variable 1.82700000 N N N N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932107 118593.00000000 NS USD 4387941.00000000 0.414434360910 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FHLJ4 94559.38000000 PA USD 86737.22000000 0.008192198650 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.50000000 N N N N N N METINVEST BV 635400TMCKVEU87EJ582 000000000 355000.00000000 PA 155171.33000000 0.014655696368 Long DBT CORP NL N 2 2025-06-17 Fixed 5.62500000 N N N N N N Apollo Aviation Securitization Equity Trust N/A 00255UAA3 134895.70000000 PA USD 108834.62000000 0.010279264508 Long ABS-O CORP US N 2 2040-01-16 Fixed 3.35100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2EW8 314815.15000000 PA USD 303086.82000000 0.028626089673 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 4.00000000 N N N N N N Charles Schwab Corp/The 549300VSGCJ7E698NM85 808513105 110694.00000000 NS USD 7955577.78000000 0.751392234519 Long EC CORP US N 1 N N N COMM Mortgage Trust 549300CJNWCNIHR7IT87 12625CAC7 1065000.00000000 PA USD 1063486.95000000 0.100444726686 Long ABS-MBS CORP US N 2 2031-03-10 Fixed 3.42400000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBF1 15000.00000000 PA USD 10306.94000000 0.000973474823 Long DBT CORP US N 2 2045-05-15 Fixed 4.12500000 N N N N N N Westpac Banking Corp. EN5TNI6CI43VEPAMHL14 000000000 1.00000000 NC -2682.02000000 -0.00025331271 N/A DFE XX N 2 Westpac Banking Corp. EN5TNI6CI43VEPAMHL14 132838.86000000 USD 132000.00000000 EUR 2022-12-21 -2682.02000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31283H3M5 46621.64000000 PA USD 46987.63000000 0.004437910265 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.50000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 11104000.00000000 PA 1911593.26000000 0.180547079149 Long DBT NUSS BR N 2 2031-01-01 Fixed 10.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KXQ6 17267.81000000 PA USD 17477.78000000 0.001650749767 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 5.00000000 N N N N N N Countrywide Home Loans N/A 17025RAA3 184692.76000000 PA USD 165272.61000000 0.015609746918 Long ABS-MBS CORP US N 2 2047-09-25 Variable 3.33900000 N N N N N N Qualtrics International Inc 549300NW34K5PVZGTN68 747601201 30991.00000000 NS USD 315488.38000000 0.029797398173 Long EC CORP US N 1 N N WF-RBS Commercial Mortgage Trust N/A 92937UAF5 100000.00000000 PA USD 98464.79000000 0.009299849819 Long ABS-MBS CORP US N 2 2045-05-15 Fixed 3.34500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3B7 1560000.00000000 PA USD 1438216.45000000 0.135837358639 Long DBT CORP US N 2 2033-07-25 Fixed 4.89700000 N N N N N N Duke Energy Corp I1BZKREC126H0VB1BL91 26441C204 62357.00000000 NS USD 5800448.14000000 0.547843514280 Long EC CORP US N 1 N N N Octagon Investment Partners 45, Ltd. N/A 67577MAN3 1155000.00000000 PA USD 1109913.42000000 0.104829636242 Long ABS-CBDO CORP KY N 2 2035-04-15 Floating 3.66800000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBF5 1304000.00000000 PA USD 1058960.09000000 0.100017171636 Long DBT CORP US N 2 2029-02-15 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BMP0 112401.54000000 PA USD 115779.20000000 0.010935169538 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AH0 125000.00000000 PA USD 87912.50000000 0.008303202060 Long DBT CORP US N 2 2031-01-15 Fixed 3.37500000 N N N N N N Bear Stearns Alt-A Trust N/A 07386HA92 306724.46000000 PA USD 300980.28000000 0.028427130170 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.56400000 N N N N N N Snowflake Inc 254900CJNSY1K7T53Z16 833445109 1802.00000000 NS USD 306267.92000000 0.028926539735 Long EC CORP US N 1 N N N Meta Platforms Inc BQ4BKCS1HXDV9HN80Z93 30303M102 110278.00000000 NS USD 14962519.04000000 1.413187190974 Long EC CORP US N 1 N N N Pfizer Inc 765LHXWGK1KXCLTFYQ30 717081103 198362.00000000 NS USD 8680321.12000000 0.819843141889 Long EC CORP US N 1 N N N VeriSign Inc LMPL4N8ZOJRMF0KOF759 92343E102 16384.00000000 NS USD 2845900.80000000 0.268791006821 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JGWZ4 160741.55000000 PA USD 151883.70000000 0.014345184710 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N COLT Funding LLC N/A 19688FAA3 865322.83000000 PA USD 691562.89000000 0.065317064278 Long ABS-MBS CORP US N 2 2066-09-27 Variable 0.95600000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 23636AAT8 450000.00000000 PA USD 447470.69000000 0.042262926834 Long DBT CORP DK N 2 2024-01-12 Fixed 5.37500000 N N N N N N COREBRIDGE FINANCIAL INC 549300XY1661QCIA7J65 21871XAE9 160000.00000000 PA USD 141014.23000000 0.013318579782 Long DBT CORP US N 2 2029-04-05 Fixed 3.85000000 N N N N N N Bank N/A 06650AAF4 6856917.16000000 PA USD 198099.08000000 0.018710157136 Long ABS-MBS CORP US N 2 2050-11-15 Variable 0.84200000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAK3 455000.00000000 PA USD 372155.80000000 0.035149549898 Long DBT CORP US N 2 2030-02-15 Fixed 2.56500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402CTT9 79944.90000000 PA USD 82593.22000000 0.007800804146 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6.00000000 N N N N N N BAXTER INTERNATIONAL INC J5OIVXX3P24RJRW5CK77 071813CS6 1485000.00000000 PA USD 1155941.09000000 0.109176879744 Long DBT CORP US N 2 2032-02-01 Fixed 2.53900000 N N N N N Morgan Stanley Capital I Trust N/A 61764BAA1 1140000.00000000 PA USD 1060054.88000000 0.100120572888 Long ABS-MBS CORP US N 2 2032-09-09 Fixed 3.91200000 N N N N N N Waste Connections Inc 549300HDLRTPBQU69P29 94106B101 12527.00000000 NS USD 1692773.51000000 0.159879886211 Long EC CORP CA N 1 N N N CLECO CORPORATE HOLDINGS 5493002H80P81B3HXL31 18551PAD1 20000.00000000 PA USD 16941.53000000 0.001600101769 Long DBT CORP US N 2 2046-05-01 Fixed 4.97300000 N N N N N N XCEL ENERGY INC LGJNMI9GH8XIDG5RCM61 98388MAD9 185000.00000000 PA USD 171458.77000000 0.016194020331 Long DBT CORP US N 2 2032-06-01 Fixed 4.60000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 738000.00000000 PA 475192.97000000 0.044881254062 Long DBT NUSS RO Y 2 2049-04-03 Fixed 4.62500000 N N N N N N Sarepta Therapeutics Inc 549300IKDPIED8J8IG21 803607100 2254.00000000 NS USD 249157.16000000 0.023532515220 Long EC CORP US N 1 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEJ7 195000.00000000 PA USD 181104.77000000 0.017105070376 Long DBT CORP US N 2 2032-05-15 Fixed 4.20000000 N N N N N N Raytheon Technologies Corp I07WOS4YJ0N7YRFE7309 75513E101 55288.00000000 NS USD 4525875.68000000 0.427462081874 Long EC CORP US N 1 N N N Voya Financial Inc 549300T065Z4KJ686G75 929089100 14360.00000000 NS USD 868780.00000000 0.082054951074 Long EC CORP US N 1 N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0206A8 1160000.00000000 PA USD 965790.63000000 0.091217457690 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A6U85 23537.82000000 PA USD 779.40000000 0.000073613145 Long ABS-MBS USGSE US N 2 2027-07-25 Fixed 4.50000000 N N N N N N Edwards Lifesciences Corp YA13X31F3V31L8TMPR58 28176E108 31852.00000000 NS USD 2631930.76000000 0.248581861625 Long EC CORP US N 1 N N N LANDSBANKI ISLANDS ESC N/A 515ESCAA9 320000.00000000 PA USD 0.00000000 0.000000 Long DBT CORP US N 3 2049-08-25 None 0.00000000 Y N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61744YAK4 550000.00000000 PA USD 494774.50000000 0.046730699820 Long DBT CORP US N 2 2028-07-22 Fixed 3.59100000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CH3 125000.00000000 PA USD 87805.53000000 0.008293098906 Long DBT CORP NL N 2 2050-04-06 Fixed 3.25000000 N N N N N N Philadelphia Authority for Industrial Development 549300DIY68KQZEW7M79 71781LBH1 1235000.00000000 PA USD 1307359.27000000 0.123478096798 Long DBT MUN US N 2 2028-10-15 Fixed 6.55000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03881EAA5 210000.00000000 PA USD 205884.84000000 0.019445510339 Long ABS-CBDO CORP KY N 2 2036-05-15 Floating 3.91800000 N N N N N N OZLM Ltd 5493005RYHNVNU6C8029 67109WAJ7 134.62000000 PA USD 134.27000000 0.000012681597 Long ABS-CBDO CORP KY N 2 2027-04-30 Floating 3.83200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WJBW0 68680.55000000 PA USD 61173.63000000 0.005777756413 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EJCD8 134252.34000000 PA USD 132073.57000000 0.012474148028 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4.50000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBR0 180000.00000000 PA USD 153448.14000000 0.014492943691 Long DBT US N 2 2026-09-15 Fixed 1.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCPV4 875883.75000000 PA USD 829011.72000000 0.078298897447 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B6WW9 2339015.73000000 PA USD 133183.56000000 0.012578984898 Long ABS-MBS USGSE US N 2 2029-05-25 Variable 1.51000000 N N N N N N Hess Corp UASVRYNXNK17ULIGK870 023551AM6 127000.00000000 PA USD 132788.39000000 0.012541661691 Long DBT CORP US N 2 2033-03-15 Fixed 7.12500000 N N N N N N GS Mortgage Securities Trust 549300WF5YRKNHB1FX69 36198EAG0 9902295.78000000 PA USD 2268.62000000 0.000214267712 Long ABS-MBS CORP US N 2 2046-07-10 Variable 0.08800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QLD29 452633.29000000 PA USD 368002.19000000 0.034757247744 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.00000000 N N N N N N TELEFLEX INC UUL85LWXB4NGSWWXIQ25 879369AG1 30000.00000000 PA USD 26093.10000000 0.002464453652 Long DBT CORP US N 2 2028-06-01 Fixed 4.25000000 N N N N N N Boeing Co/The RVHJWBXLJ1RFUBSY1F30 097023105 16350.00000000 NS USD 1979658.00000000 0.186975690432 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X4PR5 25875.86000000 PA USD 25066.51000000 0.002367493786 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 -34100000.00000000 NC USD -129208.31000000 -0.01220352857 N/A DCR US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 Put Written Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 N/A 34100000.00000000 OU Notional Amount N/A -129208.31000000 -0.01000000 DCR US CDX.NA.IG.S39 2I65BYEB7 sell protection 2027-12-20 0.00000000 N/A 0.00000000 N/A 34100000.00000000 USD 1.00000000 105.00000000 USD 2022-10-19 XXXX -18383.31000000 N N N National Bank Financial Inc. 254900XZG349Z8CSZB72 000000000 10000000.00000000 PA USD 10000000.00000000 0.944484807134 Long RA CORP US N 2 Repurchase Y 3.07000000 2022-10-03 10734448.00000000 USD 10225508.00000000 USD UST N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHB89 325493.38000000 PA USD 275302.05000000 0.026001860359 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AG7H6 546665.21000000 PA USD 444741.91000000 0.042005197709 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X54U8 39426.09000000 PA USD 38625.20000000 0.003648091457 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N QORVO INC 254900YAUJV2EUEVBR11 74736KAH4 150000.00000000 PA USD 128494.50000000 0.012136110305 Long DBT CORP US N 2 2029-10-15 Fixed 4.37500000 N N N N N N FS LUXEMBOURG SARL 222100EKR3JUJPGGOY81 30315XAB0 245000.00000000 PA USD 247385.27000000 0.023365162902 Long DBT CORP LU N 2 2025-12-15 Fixed 10.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379QGG4 21548.30000000 PA USD 1064.76000000 0.000100564964 Long ABS-MBS USGA US N 2 2027-02-16 Fixed 3.50000000 N N N N N N Adjustable Rate Mortgage Trust N/A 007036TQ9 69859.85000000 PA USD 64346.82000000 0.006077459387 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.58400000 N N N N N N WEX Inc T9M5IGROL1TL1G5OV478 96208T104 11042.00000000 NS USD 1401671.48000000 0.132385741745 Long EC CORP US N 1 N N N Allstate Corp/The OBT0W1ED8G0NWVOLOJ77 020002101 16160.00000000 NS USD 2012404.80000000 0.190068575940 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M2FC1 251955.42000000 PA USD 212267.28000000 0.020048322101 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ACR60 402979.32000000 PA USD 360410.04000000 0.034040180711 Long ABS-MBS USGSE US N 2 2043-03-25 Fixed 3.00000000 N Y N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WDS4 692435.21000000 PA USD 615292.19000000 0.058113412540 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WXEX1 24764.49000000 PA USD 22755.75000000 0.002149246014 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCP9 40000.00000000 PA USD 33824.22000000 0.003194646190 Long DBT CORP US N 2 2027-09-22 Fixed 1.47000000 N N N N N N Firstkey Homes Trust N/A 33768NAA0 289236.40000000 PA USD 273011.45000000 0.025785516669 Long ABS-O CORP US N 2 2039-05-17 Fixed 4.14500000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967ME8 155000.00000000 PA USD 137545.32000000 0.012990946503 Long DBT CORP US N 2 2030-03-20 Fixed 3.98000000 N N N N N N Exeter Automobile Receivables Trust N/A 30167HAG3 315000.00000000 PA USD 310112.93000000 0.029289695088 Long ABS-O CORP US N 2 2025-12-15 Fixed 2.73000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 620000.00000000 PA USD 552657.63000000 0.052197673508 Long DBT CORP GB N 2 2029-06-19 Fixed 4.58300000 N N N N N N Mill City Mortgage Trust N/A 59980YAB1 770439.30000000 PA USD 732917.21000000 0.069222916973 Long ABS-O CORP US N 2 2066-04-25 Variable 3.48500000 N N N N N N Progress Residential Trust N/A 74332XAA9 765000.00000000 PA USD 718313.50000000 0.067843618750 Long ABS-O CORP US N 2 2041-05-17 Fixed 4.43800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WJEU1 57022.04000000 PA USD 50727.53000000 0.004791138138 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Progress Residential Trust N/A 74333CAA4 350000.00000000 PA USD 341662.30000000 0.032269485152 Long ABS-O CORP US N 2 2027-10-27 Fixed 4.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380CEN9 156416.74000000 PA USD 28122.63000000 0.002656139677 Long ABS-MBS USGA US N 2 2039-03-20 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A9CW2 111726.27000000 PA USD 106505.86000000 0.010059316664 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12651RAA5 315510.69000000 PA USD 281039.35000000 0.026543739628 Long ABS-MBS CORP US N 2 2047-04-25 Variable 3.25000000 N N N N N N Voya CLO Ltd 54930085W413OSH6FR69 92914NAJ0 1115111.63000000 PA USD 1097099.23000000 0.103619355465 Long ABS-CBDO CORP KY N 2 2029-01-18 Floating 3.64000000 N N N N N N TAYLOR MORRISON COMM 549300O1Z08HI2MRK572 87724RAJ1 120000.00000000 PA USD 96864.60000000 0.009148714304 Long DBT CORP US N 2 2030-08-01 Fixed 5.12500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TJ7 2540000.00000000 PA USD 2191940.63000000 0.207025462317 Long DBT UST US N 2 2052-08-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ANV61 205645.48000000 PA USD 8351.65000000 0.000788800653 Long ABS-MBS USGSE US N 2 2055-06-25 Variable 0.33700000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YED3 490000.00000000 PA USD 368096.52000000 0.034766157069 Long DBT CORP US N 2 2032-07-21 Fixed 2.23900000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AT8 125000.00000000 PA USD 112982.33000000 0.010671009415 Long DBT CORP US N 2 2031-01-15 Fixed 5.75000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAZ8 55000.00000000 PA USD 44030.47000000 0.004158610996 Long DBT CORP US N 2 2050-04-15 Fixed 4.50000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAB9 80000.00000000 PA USD 67724.67000000 0.006396492188 Long DBT CORP US N 2 2029-10-01 Fixed 3.34700000 N N N N N N Countrywide Alternative Loan Trust N/A 12667GN33 170408.55000000 PA USD 142491.11000000 0.013458068854 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.45400000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAZ3 255000.00000000 PA USD 236722.93000000 0.022358121088 Long DBT US N 2 2025-03-15 Fixed 2.40000000 N N N N N N Palo Alto Networks Inc 549300QXR2YVZV231H43 697435105 5145.00000000 NS USD 842699.55000000 0.079591692195 Long EC CORP US N 1 N N AT&T INC 549300Z40J86GGSTL398 00206RLJ9 1039000.00000000 PA USD 682452.59000000 0.064456610284 Long DBT CORP US N 2 2055-09-15 Fixed 3.55000000 N N N N N N COMM Mortgage Trust N/A 12659DAA8 205000.00000000 PA USD 178385.44000000 0.016848233789 Long ABS-MBS CORP US N 2 2039-01-10 Fixed 2.81900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419A2H9 9351.08000000 PA USD 9342.08000000 0.000882345262 Long ABS-MBS USGSE US N 2 2040-12-01 Floating 2.21900000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 201606.58000000 0.019041435182 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 9752000.00000000 EUR 9817435.92000000 USD 2022-12-21 201606.58000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELE90 60602.76000000 PA USD 54337.26000000 0.005132071653 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F2LL8 2416657.55000000 PA USD 68541.00000000 0.006473593316 Long ABS-MBS USGSE US N 2 2027-06-25 Variable 0.88700000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BR4 200000.00000000 PA USD 184083.93000000 0.017386447512 Long DBT CORP US N 2 2029-03-30 Fixed 5.05000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWBB8 1103044.38000000 PA USD 897905.49000000 0.084805809354 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N CF Hippolyta Issuer LLC N/A 12530MAB1 249702.84000000 PA USD 208053.63000000 0.019650349260 Long ABS-O CORP US N 2 2060-07-15 Fixed 1.99000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D6D9 130539.60000000 PA USD 114253.71000000 0.010791089325 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N HOWARD UNIVERSITY N/A 442851AU5 100000.00000000 PA USD 83210.03000000 0.007859060913 Long DBT CORP US N 2 2030-10-01 Fixed 2.80100000 N N N N N N Georgia Power Co D981X4Z4RWS7PDMJUZ03 373334JW2 365000.00000000 PA USD 291247.54000000 0.027507887664 Long DBT CORP US N 2 2042-03-15 Fixed 4.30000000 N N N N N N Starbucks Corp OQSJ1DU9TAOC51A47K68 855244109 51777.00000000 NS USD 4362730.02000000 0.412053222152 Long EC CORP US N 1 N N N CSL Finance PLC 2549007CCNBNAF4HBC02 12661PAC3 325000.00000000 PA USD 296699.78000000 0.028022843449 Long DBT CORP GB N 2 2032-04-27 Fixed 4.25000000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22535GAA0 370000.00000000 PA USD 352459.63000000 0.033289276566 Long ABS-O CORP US N 2 2030-05-15 Fixed 1.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RDH9 354855.87000000 PA USD 372789.21000000 0.035209374510 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N EVERGY METRO 1128SIJQ26096WL7IO82 30037DAA3 10000.00000000 PA USD 8131.55000000 0.000768012543 Long DBT CORP US N 2 2030-06-01 Fixed 2.25000000 N N N N N N O'REILLY AUTOMOTIVE INC 549300K2RLMQL149Q332 67103HAL1 370000.00000000 PA USD 346231.65000000 0.032701053317 Long DBT CORP US N 2 2032-06-15 Fixed 4.70000000 N N N N N N LAMAR MEDIA CORP N/A 513075BZ3 130000.00000000 PA USD 102246.30000000 0.009657007693 Long DBT CORP US N 2 2031-01-15 Fixed 3.62500000 N N N N N N LCM Ltd Partnership 549300VQTTD2PAP2Y421 50188WAE8 394381.84000000 PA USD 390652.57000000 0.036896541723 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 3.75000000 N N N N N N Emerson Electric Co FGLT0EWZSUIRRITFOA30 291011104 8989.00000000 NS USD 658174.58000000 0.062163589125 Long EC CORP US N 1 N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAN3 840000.00000000 PA USD 618737.70000000 0.058438835725 Long DBT CORP GB N 2 2031-09-02 Fixed 2.15000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DZW5 671589.35000000 PA USD 567953.70000000 0.053642364080 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X54P9 40397.00000000 PA USD 39576.57000000 0.003737946908 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N GS Mortgage Securities Trust N/A 36191YAA6 148573.42000000 PA USD 1.49000000 0.000000140728 Long ABS-MBS CORP US N 2 2044-08-10 Variable 0.09300000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BK5 275000.00000000 PA USD 165920.08000000 0.015670899475 Long DBT CORP US N 2 2060-02-15 Fixed 3.10000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SQ2 4162000.00000000 PA USD 2578163.89000000 0.243503662440 Long DBT UST US N 2 2040-08-15 Fixed 1.12500000 N N N N N N Sapphire Aviation Finance I Limited N/A 80307AAA7 190727.57000000 PA USD 157901.30000000 0.014913537887 Long ABS-O CORP US N 2 2040-03-15 Fixed 3.22800000 N N N N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 084659BD2 165000.00000000 PA USD 124737.00000000 0.011781220138 Long DBT CORP US N 2 2031-05-15 Fixed 1.65000000 N N N N N N Science Applications International Corp 549300LZPNZIXQGZPZ48 808625107 19348.00000000 NS USD 1710943.64000000 0.161596027384 Long EC CORP US N 1 N N Commonwealth Edison Co D8YOXB8L2ZDC8P7Q0771 202795JJ0 325000.00000000 PA USD 243911.61000000 0.023037080992 Long DBT CORP US N 2 2046-06-15 Fixed 3.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KH4B9 248332.18000000 PA USD 210161.95000000 0.019849476881 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJYY0 462131.13000000 PA USD 412260.24000000 0.038937353326 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X55B9 49706.84000000 PA USD 48697.28000000 0.004599384110 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCY0 445000.00000000 PA USD 360459.03000000 0.034044807742 Long DBT CORP US N 2 2030-06-21 Fixed 3.60000000 N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BC7 90000.00000000 PA USD 81943.71000000 0.007739458913 Long DBT CORP US N 2 2055-10-23 Fixed 6.83400000 N N N N N N EPR Properties 549300YSSXFHMPOWZ492 26884UAE9 400000.00000000 PA USD 344285.59000000 0.032517250907 Long DBT US N 2 2028-04-15 Fixed 4.95000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDT6 60000.00000000 PA USD 47139.75000000 0.004452277768 Long DBT CORP US N 2 2039-08-15 Fixed 3.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFT6 65000.00000000 PA USD 42364.18000000 0.004001232437 Long DBT CORP US N 2 2040-11-20 Fixed 2.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397CNW5 10376.35000000 PA USD 8594.90000000 0.000811775246 Long ABS-MBS USGSE US N 2 2036-11-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HGL88 317040.38000000 PA USD 265728.52000000 0.025097654996 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCEW4 222823.11000000 PA USD 190341.63000000 0.017977477770 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 48845.55000000 0.004613387987 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 9480000.00000000 BRL 1775646.67000000 USD 2022-12-21 48845.55000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FUZX5 2358677.81000000 PA USD 198184.60000000 0.018718234370 Long ABS-MBS USGSE US N 2 2030-05-25 Variable 1.53500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJGF3 313378.04000000 PA USD 264819.00000000 0.025011752214 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WLQ9 474842.45000000 PA USD 421912.91000000 0.039849033342 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 3.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 485000.00000000 PA USD 440804.98000000 0.041633360651 Long DBT CORP US N 2 2029-05-01 Fixed 4.22300000 N N N N N N Finance America Mortgage Loan Trust N/A 317350AC0 43496.15000000 PA USD 40957.00000000 0.003868326424 Long ABS-O CORP US N 2 2033-09-25 Floating 4.13400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LUN4 205288.36000000 PA USD 202478.27000000 0.019123764978 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWA52 316569.06000000 PA USD 257843.37000000 0.024352914558 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N KERNEL HOLDING SA 5493003GR6L4DZOS2U12 000000000 520000.00000000 PA USD 197600.00000000 0.018663019788 Long DBT CORP LU Y 2 2024-10-17 Fixed 6.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -1458.02000000 -0.00013770777 N/A DFE XX N 2 UBS AG BFM8T61CT2L1QCEMIK50 57662.11000000 USD 57000.00000000 EUR 2022-12-21 -1458.02000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179V4X5 86919.34000000 PA USD 79762.03000000 0.007533402552 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 3.50000000 N N N N N N Laboratory Corp of America Holdings OZ7UA8IXAIFILY2VZH07 50540R409 1845.00000000 NS USD 377874.45000000 0.035689667702 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNDQ3 231444.74000000 PA USD 194924.73000000 0.018410344601 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B6XE8 4170247.84000000 PA USD 379125.57000000 0.035807834086 Long ABS-MBS USGSE US N 2 2034-06-25 Variable 1.32100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179T4P7 835833.41000000 PA USD 791852.49000000 0.074789264629 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WVQ61 35047.56000000 PA USD 31360.35000000 0.002961937412 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N Sedgwick Claims Management Services, Inc. 549300BIN4DWJG5VWF64 81527CAM9 130612.50000000 PA USD 125159.43000000 0.011821118010 Long LON CORP US N 2 2026-09-03 Floating 6.86500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHDR5 202926.16000000 PA USD 178109.71000000 0.016822191509 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 3.00000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 617446448 111708.00000000 NS USD 8826049.08000000 0.833606926308 Long EC CORP US N 1 N N N WF-RBS Commercial Mortgage Trust N/A 92890NAU3 64184.50000000 PA USD 64041.11000000 0.006048585542 Long ABS-MBS CORP US N 2 2045-12-15 Fixed 2.87500000 N N N N N N Republic of Angola 549300QHR2R3J8JSGK83 000000000 205000.00000000 PA USD 161191.50000000 0.015224292278 Long DBT NUSS AO Y 2 2028-05-09 Fixed 8.25000000 N N N N N N Pretium Mortgage Credit Partners LLC N/A 741386AA4 524336.23000000 PA USD 487718.27000000 0.046064249617 Long ABS-O CORP US N 2 2060-06-27 Variable 1.99200000 N N N N N N Pioneer Natural Resources Co FY8JBF7CCL2VE4F1B628 723787107 7307.00000000 NS USD 1582184.71000000 0.149434942067 Long EC CORP US N 1 N N Ingersoll Rand Inc 5299004C02FMZCUOIR50 45687V106 33924.00000000 NS USD 1467552.24000000 0.138608079435 Long EC CORP US N 1 N N Caterpillar Inc WRJR7GS4GTRECRRTVX92 149123101 9966.00000000 NS USD 1635221.28000000 0.154444165526 Long EC CORP US N 1 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 1986000.00000000 OU Notional Amount USD 150473.26000000 0.014211970795 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 FED REPUBLIC OF BRAZIL FED REPUBLIC OF BRAZIL Y buy protection 2027-06-20 105559.26000000 USD 0.00000000 USD 1986000.00000000 USD 44914.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFPU9 1023449.55000000 PA USD 874916.97000000 0.082634578566 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N AUTOZONE INC GA3JGKJ41LJKXDN23E90 053332BB7 220000.00000000 PA USD 206334.20000000 0.019487951709 Long DBT CORP US N 2 2032-08-01 Fixed 4.75000000 N N N N N N Crown Finance US, Inc. N/A 000000000 3068.22000000 PA USD 3135.06000000 0.000296101653 Long LON CORP US N 2 2023-09-07 None 0.00000000 N N N N N N GSAA Home Equity Trust N/A 362375AC1 435618.24000000 PA USD 122075.91000000 0.011529884231 Long ABS-MBS CORP US N 2 2036-06-25 Variable 5.98500000 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AC7 596000.00000000 PA USD 538614.14000000 0.050871287213 Long DBT US N 2 2030-02-15 Fixed 4.95000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378H3E4 358938.63000000 PA USD 55245.72000000 0.005217874319 Long ABS-MBS USGA US N 2 2042-10-20 Fixed 3.50000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CY9 300000.00000000 PA USD 277514.33000000 0.026210806844 Long DBT CORP US N 2 2030-05-01 Fixed 5.15000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46643ABG7 2749187.32000000 PA USD 24157.38000000 0.002281627839 Long ABS-MBS CORP US N 2 2047-09-15 Variable 0.74700000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AX8 385000.00000000 PA USD 296348.57000000 0.027989672198 Long DBT CORP GB N 2 2030-09-10 Fixed 2.62500000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGL2 180000.00000000 PA USD 120016.74000000 0.011335398753 Long DBT CORP US N 2 2041-09-03 Fixed 2.85000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RH3 2010000.00000000 PA USD 1717529.30000000 0.162218032965 Long DBT UST US N 2 2044-08-15 Fixed 3.12500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29279FAA7 60000.00000000 PA USD 53227.59000000 0.005027265007 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N MASTR Adjustable Rate Mortgages Trust N/A 576433EE2 48736.79000000 PA USD 45354.85000000 0.004283696675 Long ABS-MBS CORP US N 2 2033-09-25 Variable 3.26900000 N N N N N N ON Semiconductor Corp ZV20P4CNJVT8V1ZGJ064 682189105 49385.00000000 NS USD 3078167.05000000 0.290728201254 Long EC CORP US N 1 N N HCA Healthcare Inc 529900PH4ZGUH2MNEU89 40412C101 15622.00000000 NS USD 2871167.38000000 0.271177396915 Long EC CORP US N 1 N N N Legacy Mortgage Asset Trust N/A 52474MAA7 740062.66000000 PA USD 739377.29000000 0.069833061714 Long ABS-MBS CORP US N 2 2059-11-25 Variable 3.25000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80286WAG1 140000.00000000 PA USD 134575.32000000 0.012710434515 Long ABS-O CORP US N 2 2027-01-15 Fixed 1.48000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135BF2 320000.00000000 PA USD 278158.13000000 0.026271612776 Long DBT CORP US N 2 2037-08-22 Fixed 3.87500000 N N N N N N GOVT OF BERMUDA 549300FP5PUZXX9FVJ40 085209AJ3 405000.00000000 PA USD 384546.73000000 0.036319854411 Long DBT NUSS BM N 2 2032-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TEZ4 73967.98000000 PA USD 68229.17000000 0.006444141446 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617GGRL1 90499.85000000 PA USD 85172.85000000 0.008044446280 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N Freddie Mac - SCRT N/A 35563PLG2 671547.16000000 PA USD 619895.18000000 0.058548157952 Long ABS-MBS USGSE US N 2 2058-10-25 Fixed 3.50000000 N N N N N N Countrywide Home Loans N/A 126694M96 174904.37000000 PA USD 146749.66000000 0.013860282432 Long ABS-MBS CORP US N 2 2046-04-25 Floating 3.48400000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YET8 440000.00000000 PA USD 428437.91000000 0.040465309679 Long DBT CORP US N 2 2026-07-17 Fixed 4.67900000 N N N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 000000000 300000.00000000 PA 176467.82000000 0.016667117493 Long DBT NUSS PH N 2 2041-04-28 Fixed 1.75000000 N N N N N N Carvana Auto Receivables Trust N/A 14686JAC4 970000.00000000 PA USD 952869.99000000 0.089997122872 Long ABS-O CORP US N 2 2027-04-12 Fixed 4.13000000 N N N N N N KLA Corp 549300H0BF5JCG96TJ81 482480100 8233.00000000 NS USD 2491552.79000000 0.235323375632 Long EC CORP US N 1 N N N GO DADDY OPCO/FINCO N/A 38016LAA3 983000.00000000 PA USD 905363.43000000 0.085510200457 Long DBT CORP US N 2 2027-12-01 Fixed 5.25000000 N N N N N N Cirrus Funding 2018-1, Ltd N/A 17275GAA4 940000.00000000 PA USD 906733.40000000 0.085639592042 Long ABS-CBDO CORP KY N 2 2037-01-25 Fixed 4.80000000 N N N N N N AES Corp/The 2NUNNB7D43COUIRE5295 00130H105 134618.00000000 NS USD 3042366.80000000 0.287346922033 Long EC CORP US N 1 N N N CDW LLC/CDW FINANCE N/A 12513GBG3 120000.00000000 PA USD 104084.92000000 0.009830662559 Long DBT CORP US N 2 2026-12-01 Fixed 2.67000000 N N N N N N Hartford Financial Services Group Inc/The IU7C3FTM7Y3BQM112U94 416515104 36774.00000000 NS USD 2277781.56000000 0.215133007739 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GVGT3 59550.65000000 PA USD 55277.22000000 0.005220849447 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N OZLM Ltd 5493002SZMQH8ZTTHX49 67112GAA6 900000.00000000 PA USD 877413.60000000 0.082870381477 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 3.53200000 N N N N N N Electronic Arts Inc 549300O7A67PUEYKDL45 285512109 7297.00000000 NS USD 844335.87000000 0.079746240133 Long EC CORP US N 1 N N N McKesson Corp 549300WZWOM80UCFSF54 58155Q103 5998.00000000 NS USD 2038540.26000000 0.192537030430 Long EC CORP US N 1 N N N Paragon Offshore Finance Company N/A 000000000 587.29000000 PA USD 0.00000000 0.000000 Long LON CORP KY N 3 2022-07-18 None 0.00000000 Y N N N N N Credit Suisse Mortgage Trust N/A 12662EAA1 634857.87000000 PA USD 550672.92000000 0.052010220664 Long ABS-MBS CORP US N 2 2066-02-25 Variable 1.17900000 N N N N N N PARKER-HANNIFIN CORP 5493002CONDB4N2HKI23 701094AS3 200000.00000000 PA USD 188542.26000000 0.017807530007 Long DBT CORP US N 2 2029-09-15 Fixed 4.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FUZE7 1484380.02000000 PA USD 135292.04000000 0.012778127630 Long ABS-MBS USGSE US N 2 2030-05-25 Variable 1.68000000 N N N N N N Nokia OYJ 549300A0JPRWG1KI7U06 654902AE5 720000.00000000 PA USD 648900.00000000 0.061287619134 Long DBT CORP FI N 2 2027-06-12 Fixed 4.37500000 N N N N N N BANK OF IRELAND GROUP 635400C8EK6DRI12LJ39 06279JAC3 925000.00000000 PA USD 905181.45000000 0.085493012722 Long DBT CORP IE N 2 2026-09-16 Fixed 6.25300000 N N N N N N Humana Inc 529900YLDW34GJAO4J06 444859102 15598.00000000 NS USD 7567993.62000000 0.714785499458 Long EC CORP US N 1 N N N NXP BV/NXP FDG/NXP USA 724500RKKW4NOJ9YQF60 62954HAV0 116000.00000000 PA USD 103873.77000000 0.009810719762 Long DBT CORP XX N 2 2029-06-18 Fixed 4.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FB47 7082.75000000 PA USD 7192.81000000 0.000679349976 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 5.00000000 N N N N N N UMBS, TBA N/A 01F0406A0 -900000.00000000 PA USD -835066.40000000 -0.07887075277 Short ABS-MBS USGSE US N 2 2052-10-15 Fixed 4.00000000 N N N N N N TOLL BROS FINANCE CORP N/A 88947EAR1 130000.00000000 PA USD 125210.80000000 0.011825969828 Long DBT CORP US N 2 2025-11-15 Fixed 4.87500000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBJ3 225000.00000000 PA USD 152059.88000000 0.014361824643 Long DBT CORP US N 2 2046-07-15 Fixed 4.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKD0 230000.00000000 PA USD 175910.50000000 0.016614479466 Long DBT CORP US N 2 2032-10-20 Fixed 2.57200000 N N N N N N AON CORP LTS3U8DGK38SETRUWX71 037389BD4 350000.00000000 PA USD 349147.61000000 0.032976461309 Long DBT CORP US N 2 2022-11-15 Fixed 2.20000000 N N N N N N GSAA Home Equity Trust N/A 362351AC2 48535.43000000 PA USD 25797.28000000 0.002436513902 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.18400000 N N N N N N Fannie Mae - CAS N/A 20753MAF5 29819.33000000 PA USD 29734.33000000 0.002808362293 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 5.23400000 N N N N N N Fortive Corp 549300MU9YQJYHDQEF63 34959J108 23556.00000000 NS USD 1373314.80000000 0.129707496401 Long EC CORP US N 1 N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BL7 1170000.00000000 PA USD 694439.94000000 0.065588797279 Long DBT NUSS PA N 2 2060-07-23 Fixed 3.87000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QZ4 2555000.00000000 PA USD 2196102.34000000 0.207418529504 Long DBT UST US N 2 2043-02-15 Fixed 3.12500000 N N N N N N Avant Loans Funding Trust N/A 05353LAA3 455000.00000000 PA USD 427147.45000000 0.040343427693 Long ABS-O CORP US N 2 2030-07-15 Fixed 1.21000000 N N N N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 85172FAP4 155000.00000000 PA USD 149294.45000000 0.014100633981 Long DBT CORP US N 2 2024-03-15 Fixed 6.12500000 N N N N N N State of Illinois 54930048FV8RWPR02D67 452151LE1 242727.28000000 PA USD 242666.55000000 0.022919486967 Long DBT MUN US N 2 2023-06-01 Fixed 4.95000000 N N N N N N WMG ACQUISITION CORP 549300NAS11NXI33CP80 92933BAQ7 855000.00000000 PA USD 700473.05000000 0.066158615353 Long DBT CORP US N 2 2030-07-15 Fixed 3.87500000 N N N N N N Affirm Inc N/A 00834AAA7 155958.58000000 PA USD 152431.22000000 0.014396897142 Long ABS-O CORP US N 2 2025-01-15 Fixed 1.90000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376VPU5 251878.17000000 PA USD 55850.46000000 0.005274991094 Long ABS-MBS USGA US N 2 2040-02-16 Fixed 5.00000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAQ2 45000.00000000 PA USD 44115.75000000 0.004166665563 Long DBT CORP US N 2 2028-04-01 Fixed 5.70000000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBN1 560000.00000000 PA USD 469566.73000000 0.044349864242 Long DBT CORP US N 2 2030-09-15 Fixed 3.80000000 N N N N N N Rapid7 Inc 549300GNVG5D60KEYN14 753422104 4392.00000000 NS USD 188416.80000000 0.017795680500 Long EC CORP US N 1 N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0426A2 5310000.00000000 PA USD 5082458.22000000 0.480030457168 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A9BW7 46836.57000000 PA USD 6188.18000000 0.000584464199 Long ABS-MBS USGSE US N 2 2042-03-25 Fixed 4.00000000 N N N N N N Angel Oak Mortgage Trust N/A 03465DAA1 306577.77000000 PA USD 260307.34000000 0.024585632781 Long ABS-MBS CORP US N 2 2066-04-25 Variable 0.98500000 N N N N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833100 157898.00000000 NS USD 21821503.60000000 2.061007861903 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379GUD7 364170.67000000 PA USD 31032.62000000 0.002930983811 Long ABS-MBS USGA US N 2 2029-10-20 Fixed 3.50000000 N N N N N N Hess Corp UASVRYNXNK17ULIGK870 023551AJ3 285000.00000000 PA USD 300985.99000000 0.028427669471 Long DBT CORP US N 2 2031-08-15 Fixed 7.30000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 000000000 200000.00000000 PA 147979.72000000 0.013976459730 Long DBT NUSS MX N 2 2030-01-17 Fixed 1.12500000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DC0 630000.00000000 PA USD 517089.18000000 0.048838287444 Long DBT CORP GB N 2 2033-03-29 Fixed 4.76200000 N N N N N N DREYFUS TREASURY & AGENCY LEX N/A 000000000 1000000.00000000 NS USD 1000000.00000000 0.094448480713 Long STIV RF US N 1 N N BP PLC 213800LH1BZH3DI6G760 055622104 176311.00000000 NS USD 5033679.05000000 0.475423338671 Long EC CORP GB N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A5V66 7962.54000000 PA USD 8002.06000000 0.000755782409 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 5.50000000 N N N N N N Danaher Corp S4BKK9OTCEWQ3YHPFM11 235851102 28381.00000000 NS USD 7330528.49000000 0.692357278707 Long EC CORP US N 1 N N N Arab Republic of Egypt 529900GFIVH4086NMH82 000000000 200000.00000000 PA USD 110895.60000000 0.010473920937 Long DBT NUSS EG Y 2 2047-01-31 Fixed 8.50000000 N N N N N N Reynolds American Inc 02S2RPPVO9RP4NEU2740 761713BA3 120000.00000000 PA USD 101484.02000000 0.009585011505 Long DBT CORP US N 2 2035-08-15 Fixed 5.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EKQQ1 381115.40000000 PA USD 341813.32000000 0.032283748761 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746RW3 175000.00000000 PA USD 160356.04000000 0.015145384351 Long DBT CORP US N 2 2026-04-22 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AR4X3 248928.61000000 PA USD 9341.72000000 0.000882311261 Long ABS-MBS USGSE US N 2 2046-05-25 Variable 0.27300000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 -34100000.00000000 NC USD -237516.73000000 -0.02243309429 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Put Written Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 N/A 34100000.00000000 OU Notional Amount N/A -237516.73000000 -0.02000000 DCR US CDX.NA.IG.S38 2I65BYEA9 sell protection 2027-06-20 0.00000000 N/A 0.00000000 N/A 34100000.00000000 USD 1.00000000 85.00000000 USD 2022-10-19 XXXX -137262.73000000 N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBQ5 135000.00000000 PA USD 104112.79000000 0.009833294838 Long DBT CORP US N 2 2048-02-15 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396VGT9 52803.60000000 PA USD 53577.71000000 0.005060333309 Long ABS-MBS USGSE US N 2 2037-04-25 Fixed 5.50000000 N N N N N N Regeneron Pharmaceuticals Inc 549300RCBFWIRX3HYQ56 75886F107 2544.00000000 NS USD 1752485.28000000 0.165519572168 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WQAX0 303502.75000000 PA USD 271899.24000000 0.025680470125 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDRV0 1728913.91000000 PA USD 1461216.68000000 0.138009695419 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DYH9 342977.20000000 PA USD 287356.78000000 0.027140411293 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AGCV9 410304.46000000 PA USD 334444.62000000 0.031587786241 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHG68 1013251.62000000 PA USD 958106.93000000 0.090491743899 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.00000000 N N N N N N ENERGEAN ISRAEL FINANCE 98450044QACBL3F8EB03 000000000 180000.00000000 PA USD 168750.00000000 0.015938181120 Long DBT CORP IL Y 2 2024-03-30 Fixed 4.50000000 N N N N N N Builders FirstSource Inc 549300W0SKP6L3H7DP63 12008R107 32965.00000000 NS USD 1942297.80000000 0.183447076303 Long EC CORP US N 1 N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92556HAD9 260000.00000000 PA USD 210810.48000000 0.019910729554 Long DBT CORP US N 2 2032-05-19 Fixed 4.20000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400HQ9 435000.00000000 PA USD 422201.93000000 0.039876330842 Long DBT CORP US N 2 2027-06-01 Fixed 4.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375GLU3 39066.15000000 PA USD 4620.38000000 0.000436387871 Long ABS-MBS USGA US N 2 2042-05-16 Fixed 4.00000000 N N N N N N TriNet Group Inc 5299003FJVBETSFKE990 896288107 14154.00000000 NS USD 1008047.88000000 0.095208590752 Long EC CORP US N 1 N N N Deutsche Alt-A Securities INC Mortgage Loan Trust N/A 25150MAC0 171680.74000000 PA USD 159507.79000000 0.015065268427 Long ABS-MBS CORP US N 2 2036-12-25 Floating 3.23400000 N N N N N N Bank 549300GL0Y86051URC66 065404BB0 1700000.00000000 PA USD 1570053.70000000 0.148289186603 Long ABS-MBS CORP US N 2 2061-02-15 Fixed 3.68800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378EAS2 45963.52000000 PA USD 2276.26000000 0.000214989298 Long ABS-MBS USGA US N 2 2040-07-20 Fixed 3.50000000 N N N N N N Venture CLO 43 Limited 549300OLN5VHTMLSN650 92290CAB5 500000.00000000 PA USD 478296.50000000 0.045174377755 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 3.75200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JLA38 368476.99000000 PA USD 348125.11000000 0.032879887737 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380CNU3 55950.21000000 PA USD 12042.67000000 0.001137411885 Long ABS-MBS USGA US N 2 2047-01-16 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AFB27 26790.28000000 PA USD 1204.35000000 0.000113749027 Long ABS-MBS USGSE US N 2 2026-09-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KYBS2 809664.54000000 PA USD 659053.71000000 0.062246621618 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N WILLIAM CARTER TGI2A0HXEYNQPU7TYV27 96926JAC1 765000.00000000 PA USD 715229.10000000 0.067552301857 Long DBT CORP US N 2 2027-03-15 Fixed 5.62500000 N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 000000000 1330000.00000000 PA 854302.46000000 0.080687569416 Long DBT NUSS MX N 2 2033-10-25 Fixed 1.45000000 N N N N N N WENDYS FUNDING LLC 5493009DRVSTWJOXUL48 95058XAE8 414337.50000000 PA USD 368259.86000000 0.034781584284 Long ABS-O CORP US N 2 2048-03-15 Fixed 3.88400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410G4B6 22731.57000000 PA USD 23758.26000000 0.002243931561 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6.00000000 N N N N N N JP Morgan Mortgage Trust N/A 46628KAH3 12121.09000000 PA USD 10137.39000000 0.000957461083 Long ABS-MBS CORP US N 2 2036-05-25 Variable 3.26200000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDY5 315000.00000000 PA USD 220559.61000000 0.020831520071 Long DBT CORP US N 2 2040-05-15 Fixed 2.75000000 N N N N N N Teleflex Inc UUL85LWXB4NGSWWXIQ25 879369106 6238.00000000 NS USD 1256707.48000000 0.118694112187 Long EC CORP US N 1 N N N Dominos Pizza Master Issuer LLC N/A 25755TAN0 513500.00000000 PA USD 422859.03000000 0.039938392939 Long ABS-O CORP US N 2 2051-04-25 Fixed 2.66200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378JAS1 64914.53000000 PA USD 8397.64000000 0.000793144339 Long ABS-MBS USGA US N 2 2043-02-16 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A3NU1 416000.00000000 PA USD 382008.31000000 0.036080104499 Long ABS-MBS USGSE US N 2 2042-01-25 Fixed 3.50000000 N N N N N N MIT UFJ TR NY N/A 000000000 2001790.00000000 PA USD 2001790.00000000 0.189066024207 Long STIV CORP US N 2 2023-02-14 Floating 3.52000000 N N N N N Syndax Pharmaceuticals Inc 529900OF94TRHKZVBS87 87164F105 5925.00000000 NS USD 142377.75000000 0.013447362174 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EWKL8 38733.42000000 PA USD 36735.16000000 0.003469580050 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KMLL7 182188.56000000 PA USD 148106.14000000 0.013988399907 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.00000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -125.00000000 NC -39908.87000000 -0.00376933213 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 2 Year Euro SCHATZ Futures DUZ2 COMDTY 2022-12-08 -13354903.75000000 EUR -39908.87000000 N N N WF-RBS Commercial Mortgage Trust 549300UVB571ELWL8972 92890FAT3 84712.58000000 PA USD 82685.30000000 0.007809500962 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 3.72300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M5G37 38369.77000000 PA USD 37593.07000000 0.003550608346 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.50000000 N N N N N N COMM Mortgage Trust N/A 12591UAF0 235125.00000000 PA USD 230600.04000000 0.021779823430 Long ABS-MBS CORP US N 2 2047-03-10 Fixed 3.96100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AU88 16653.31000000 PA USD 15876.91000000 0.001499550027 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BLP93 95508.87000000 PA USD 86717.73000000 0.008190357849 Long ABS-MBS USGSE US N 2 2045-10-15 Fixed 3.50000000 N Y N N N N New York Times Co/The 529900J1WEMMIW7BOH57 650111107 59136.00000000 NS USD 1700160.00000000 0.160577528969 Long EC CORP US N 1 N N N HUMANA INC 529900YLDW34GJAO4J06 444859BT8 465000.00000000 PA USD 416989.34000000 0.039384009636 Long DBT CORP US N 2 2029-03-23 Fixed 3.70000000 N N N N N N Morgan Stanley BAML Trust N/A 61764PBV3 1762170.38000000 PA USD 26397.31000000 0.002493185824 Long ABS-MBS CORP US N 2 2047-12-15 Variable 1.10200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H4FG0 165903.20000000 PA USD 141083.27000000 0.013325100505 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CG81 333438.25000000 PA USD 304809.78000000 0.028788820627 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 3.00000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 693583AA4 569771.31000000 PA USD 522040.71000000 0.049305951930 Long ABS-MBS CORP US N 2 2026-04-25 Variable 1.86700000 N N N N N N BANK OF MONTREAL CHICAGO N/A 000000000 1000000.00000000 PA USD 1000000.00000000 0.094448480713 Long STIV CORP US N 2 2022-10-04 Floating 3.40000000 N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 595620AV7 140000.00000000 PA USD 95180.07000000 0.008989613005 Long DBT CORP US N 2 2050-04-15 Fixed 3.15000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131YBFP8 175108.05000000 PA USD 159848.17000000 0.015097416801 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 3.50000000 N N N N N N National Bank Of Canada BSGEFEIOM18Y80CKCV46 000000000 2200000.00000000 PA USD 2200000.00000000 0.207786657569 Long RA CORP US N 2 Repurchase Y 3.07000000 2022-10-07 2363099.80000000 USD 2249611.66000000 USD UST N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBV1 280000.00000000 PA USD 256111.52000000 0.024189343957 Long DBT US N 2 2027-03-15 Fixed 3.65000000 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAR7 45000.00000000 PA USD 29985.68000000 0.002832101919 Long DBT CORP US N 2 2051-06-15 Fixed 4.12500000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKQR2 112020.31000000 PA USD 93837.54000000 0.008862813086 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 2.00000000 N N N N N N REPUBLIC OF ANGOLA 549300QHR2R3J8JSGK83 000000000 400000.00000000 PA USD 300088.00000000 0.028342855680 Long DBT NUSS AO Y 2 2029-11-26 Fixed 8.00000000 N N N N N N ASHTEAD CAPITAL INC 213800J1134IW58IC398 04505AAA7 200000.00000000 PA USD 185396.44000000 0.017510412087 Long DBT CORP US N 2 2032-08-11 Fixed 5.50000000 N N N N N N COMM Mortgage Trust N/A 12659DAJ9 210000.00000000 PA USD 177381.56000000 0.016753418848 Long ABS-MBS CORP US N 2 2039-01-10 Variable 4.08400000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 969457BZ2 300000.00000000 PA USD 272295.35000000 0.025717882112 Long DBT CORP US N 2 2032-08-15 Fixed 4.65000000 N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 100000.00000000 PA 94874.14000000 0.008960718381 Long DBT NUSS ID Y 2 2024-07-18 Fixed 2.15000000 N N N N N N Clean Harbors Inc 5493000SJVZVZJKHJF48 184496107 7216.00000000 NS USD 793615.68000000 0.074955795246 Long EC CORP US N 1 N N N New Residential Mortgage Loan Trust N/A 64830MAG8 346231.70000000 PA USD 328625.85000000 0.031038212255 Long ABS-MBS CORP US N 2 2059-08-25 Variable 3.50000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 1045000.00000000 PA 523710.55000000 0.049463665781 Long DBT NUSS RO Y 2 2041-04-14 Fixed 2.75000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PBD7 190000.00000000 PA USD 165867.69000000 0.015665951319 Long DBT CORP US N 2 2030-05-06 Fixed 3.70200000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36192RAA0 1200000.00000000 PA USD 1140047.52000000 0.107675756205 Long ABS-MBS CORP US N 2 2034-11-05 Fixed 2.95400000 N N N N N N Trupanion Inc 549300J86GFKIDGMQP18 898202106 33780.00000000 NS USD 2007545.40000000 0.189609612993 Long EC CORP US N 1 N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAR7 410000.00000000 PA USD 369659.83000000 0.034913809324 Long DBT CORP US N 2 2029-04-23 Fixed 4.00500000 N N N N N N T-Mobile US Inc 549300QHIJYOHPACPG31 872590104 58796.00000000 NS USD 7888659.32000000 0.745071887640 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379F3V9 58093.38000000 PA USD 1519.40000000 0.000143505021 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 3.50000000 N N N N N N MSCI INC 549300HTIN2PD78UB763 55354GAH3 190000.00000000 PA USD 164103.00000000 0.015499279030 Long DBT CORP US N 2 2029-11-15 Fixed 4.00000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JN3G0 14556.08000000 PA USD 14290.78000000 0.001349742459 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 310000.00000000 PA 187183.18000000 0.017679166966 Long DBT NUSS RO Y 2 2038-02-08 Fixed 3.37500000 N N N N N N MSCI INC 549300HTIN2PD78UB763 55354GAL4 295000.00000000 PA USD 248379.38000000 0.023459055081 Long DBT CORP US N 2 2031-02-15 Fixed 3.87500000 N N N N N N Livent Corp 254900OOLQ2VNMZTJL47 53814L108 33591.00000000 NS USD 1029564.15000000 0.097240769764 Long EC CORP US N 1 N N GCAT N/A 36168KAA5 1083835.23000000 PA USD 861870.11000000 0.081402322461 Long ABS-MBS CORP US N 2 2066-07-25 Variable 1.26200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXG55 1040151.57000000 PA USD 945861.26000000 0.089335158972 Long ABS-MBS USGSE US N 2 2057-09-01 Fixed 3.50000000 N N N N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 535000.00000000 PA USD 512021.47000000 0.048359649934 Long DBT CORP US N 2 2025-12-15 Fixed 4.25000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBE7 283000.00000000 PA USD 243110.42000000 0.022961409814 Long DBT CORP US N 2 2029-08-01 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WVCS8 25232.94000000 PA USD 24606.54000000 0.002324050318 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887CF7 255000.00000000 PA USD 205666.97000000 0.019424932849 Long DBT CORP US N 2 2027-11-01 Fixed 1.37500000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AG2 155000.00000000 PA USD 129037.50000000 0.012187395830 Long DBT CORP US N 2 2029-06-15 Fixed 3.62500000 N N N N N N Charter Communications Inc 0J0XRGZE3PBRFEZ7MV65 16119P108 10584.00000000 NS USD 3210656.40000000 0.303241619073 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KTMS6 81450.44000000 PA USD 68230.18000000 0.006444236839 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 2.00000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RLV2 31000.00000000 PA USD 20084.91000000 0.001896989234 Long DBT CORP US N 2 2059-09-15 Fixed 3.65000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FQXL2 1143212.44000000 PA USD 22804.46000000 0.002153846600 Long ABS-MBS USGSE US N 2 2026-10-25 Variable 0.75200000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJA8 835000.00000000 PA USD 629825.09000000 0.059486022865 Long DBT CORP US N 2 2051-03-20 Fixed 4.08300000 N N N N N N Westlake Automobile Receivables Trust N/A 96042VAE9 560000.00000000 PA USD 546543.87000000 0.051620238164 Long ABS-O CORP US N 2 2027-09-15 Fixed 4.31000000 N N N N N N Symphony CLO Ltd 54930085JMJSZBQ6N270 87159QBV9 96440.98000000 PA USD 96167.38000000 0.009082862935 Long ABS-CBDO CORP KY N 2 2026-07-14 Floating 3.43300000 N N N N N N BENIN INTL GOV BOND 635400Q11P6AE5A5Y230 000000000 620000.00000000 PA 382564.52000000 0.036132637688 Long DBT NUSS BJ N 2 2035-01-22 Fixed 4.95000000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55284JAC3 685000.00000000 PA USD 660064.22000000 0.062342062752 Long ABS-CBDO CORP KY N 2 2037-02-19 Floating 4.03400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F4UB0 25646.69000000 PA USD 24313.58000000 0.002296380691 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132LQCS4 285684.36000000 PA USD 263478.03000000 0.024885099634 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 3.00000000 N N N N N N Goldman Sachs Fin Square Govt Fd N/A 000000000 5000000.00000000 NS USD 5000000.00000000 0.472242403567 Long STIV RF US N 1 N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H0306A7 8855000.00000000 PA USD 7824568.53000000 0.739018609897 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 3.00000000 N N N N N N Rexford Industrial Realty Inc 549300MSLO0DF0EMX355 76169C100 56291.00000000 NS USD 2927132.00000000 0.276463170247 Long EC US N 1 N N N Barclays Commercial Mortgage Securities LLC N/A 05491UBJ6 475000.00000000 PA USD 418206.53000000 0.039498971382 Long ABS-MBS CORP US N 2 2051-12-15 Variable 5.13400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6MR9 169941.54000000 PA USD 158484.91000000 0.014968658965 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ALXM1 19051.33000000 PA USD 16927.41000000 0.001598768156 Long ABS-MBS USGA US N 2 2044-12-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AKT45 253334.84000000 PA USD 50303.53000000 0.004751091983 Long ABS-MBS USGSE US N 2 2044-09-25 Fixed 5.50000000 N N N N N N BOOZ ALLEN HAMILTON INC 549300D7XCH2480XU542 09951LAA1 1530000.00000000 PA USD 1316202.62000000 0.124313337770 Long DBT CORP US N 2 2028-09-01 Fixed 3.87500000 N N N N N N Progress Residential Trust 5493002EEQ4GX2578787 74331UAA6 280000.00000000 PA USD 253938.89000000 0.023984142354 Long ABS-O CORP US N 2 2039-04-17 Fixed 3.20000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17328DAA8 357352.81000000 PA USD 344910.07000000 0.032576232094 Long ABS-O CORP US N 2 2070-11-25 Variable 3.22800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379PN94 500394.57000000 PA USD 75125.74000000 0.007095512005 Long ABS-MBS USGA US N 2 2044-11-20 Fixed 4.00000000 N N N N N N Ellington Financial Mortgage Trust N/A 31572LAA4 205207.19000000 PA USD 170876.48000000 0.016139023925 Long ABS-MBS CORP US N 2 2066-06-25 Variable 0.93100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ABFW8 283811.67000000 PA USD 13935.92000000 0.001316226471 Long ABS-MBS USGSE US N 2 2028-01-25 Fixed 3.00000000 N N N N N N Tricon Residential N/A 89616TAA3 773000.00000000 PA USD 753967.19000000 0.071211055603 Long ABS-O CORP US N 2 2040-07-17 Fixed 4.84900000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05492VAH8 1280000.00000000 PA USD 77014.78000000 0.007273928963 Long ABS-MBS CORP US N 2 2053-04-15 Variable 1.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCR64 274298.40000000 PA USD 251864.72000000 0.023788240149 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Alkermes PLC N/A 000000000 16719.00000000 NS USD 373335.27000000 0.035260949048 Long EC CORP IE N 1 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJL4 60000.00000000 PA USD 44381.84000000 0.004191797359 Long DBT CORP US N 2 2031-10-24 Fixed 1.92200000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBJ7 570000.00000000 PA USD 499870.12000000 0.047211973388 Long DBT CORP US N 2 2045-12-15 Fixed 6.12500000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBY0 885000.00000000 PA USD 534986.77000000 0.050528687628 Long DBT CORP US N 2 2060-04-01 Fixed 3.85000000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBJ7 105000.00000000 PA USD 81750.12000000 0.007721174632 Long DBT CORP US N 2 2031-12-01 Fixed 3.56900000 N N N N N N Performance Food Group Co 549300EUK8GR9IT1YK57 71377A103 289325.00000000 NS USD 12426508.75000000 1.173664872010 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQFD9 110870.62000000 PA USD 108628.40000000 0.010259787342 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYB4 910000.00000000 PA USD 705366.43000000 0.066620787659 Long DBT CORP US N 2 2032-04-22 Fixed 2.61500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31329QG54 436565.89000000 PA USD 411502.84000000 0.038865818047 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.00000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 29278GAX6 625000.00000000 PA USD 532845.60000000 0.050326457374 Long DBT CORP NL N 2 2032-06-15 Fixed 5.00000000 N N N N N N Elanco Animal Health Inc 549300SHPNDCE059M934 28414H103 66319.00000000 NS USD 823018.79000000 0.077732874314 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWDC4 4011395.88000000 PA USD 3254370.46000000 0.307370345625 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N Novartis AG 5493007HIVTX6SY6XD66 66987V109 37839.00000000 NS USD 2876142.39000000 0.271647279051 Long EC CORP CH N 1 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEH4 55000.00000000 PA USD 42032.46000000 0.003969901987 Long DBT CORP US N 2 2032-10-20 Fixed 2.51100000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CS9 785000.00000000 PA USD 750322.98000000 0.070866865505 Long DBT CORP US N 2 2032-09-15 Fixed 4.50000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2N3 235000.00000000 PA USD 200284.32000000 0.018916549734 Long DBT CORP FR N 2 2027-01-13 Fixed 1.32300000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BXR20 4075937.15000000 PA USD 90821.25000000 0.008577929079 Long ABS-MBS USGSE US N 2 2027-03-25 Variable 0.73900000 N N N N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 59261AG35 505000.00000000 PA USD 475289.89000000 0.044890408008 Long DBT MUN US N 2 2045-11-15 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418BYW0 62256.67000000 PA USD 58792.05000000 0.005552819800 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 3.00000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07388DAC2 147873.28000000 PA USD 130286.15000000 0.012305328925 Long ABS-MBS CORP US N 2 2036-07-25 Variable 3.27700000 N N N N N N FIN DEPT GOVT SHARJAH 254900ZNL8O3F1CLJO24 38381CAC6 550000.00000000 PA USD 426489.80000000 0.040281313649 Long DBT NUSS AE N 2 2033-03-10 Fixed 3.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AT4Q4 78875.70000000 PA USD 13992.98000000 0.001321615701 Long ABS-MBS USGSE US N 2 2046-10-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X63P4 307002.34000000 PA USD 259583.77000000 0.024517292694 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EH3N0 189100.09000000 PA USD 198533.85000000 0.018751220502 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 6.50000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KCH1 625000.00000000 PA USD 604058.03000000 0.057052363196 Long DBT CORP US N 2 2027-07-15 Fixed 4.62500000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 693587AA5 146271.34000000 PA USD 139085.80000000 0.013136442498 Long ABS-MBS CORP US N 2 2025-11-25 Variable 2.36300000 N N N N N N UMBS, TBA N/A 01F0226A8 22696000.00000000 PA USD 19037599.76000000 1.798072373763 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810ST6 3040000.00000000 PA USD 1965193.74000000 0.185609563050 Long DBT UST US N 2 2040-11-15 Fixed 1.37500000 N N N N N N S&P Global Inc Y6X4K52KMJMZE7I7MY94 78409V104 25812.00000000 NS USD 7881694.20000000 0.744414042638 Long EC CORP US N 1 N N N Wellfleet CLO Ltd 254900A99ZMAJM1OOV76 94949WAM8 1065000.00000000 PA USD 1032118.13000000 0.097481989295 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 3.88000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FHJ20 136623.36000000 PA USD 29463.24000000 0.002782758254 Long ABS-MBS USGSE US N 2 2048-02-15 Fixed 5.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468X0 635000.00000000 PA USD 463577.88000000 0.043784226458 Long DBT CORP US N 2 2032-04-28 Fixed 1.92800000 N N N N N N PTC Therapeutics Inc 549300UJLWOIWFDGB318 69366J200 5400.00000000 NS USD 271080.00000000 0.025603094151 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398EX82 233785.71000000 PA USD 231116.63000000 0.021828614571 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 4.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FT6T9 357234.68000000 PA USD 57612.27000000 0.005441391371 Long ABS-MBS USGSE US N 2 2040-05-25 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QLRC2 1017024.40000000 PA USD 860175.76000000 0.081242293678 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379FK73 133602.08000000 PA USD 17643.96000000 0.001666445215 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 3.50000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BZ2 950000.00000000 PA USD 883876.26000000 0.083480769895 Long DBT CORP US N 2 2029-08-05 Fixed 4.00000000 N N N N N N Waters Corp 5T547R1474YC9HOD8Q74 941848103 3452.00000000 NS USD 930417.56000000 0.087876524971 Long EC CORP US N 1 N N N Eli Lilly & Co FRDRIPF3EKNDJ2CQJL29 532457108 33181.00000000 NS USD 10729076.35000000 1.013344960716 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJJW3 991052.79000000 PA USD 837485.59000000 0.079099241594 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N Global Payments Inc 549300NOMHGVQBX6S778 37940X102 46375.00000000 NS USD 5010818.75000000 0.473264218068 Long EC CORP US N 1 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 345000.00000000 PA USD 306020.40000000 0.028903161847 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135106 252337.00000000 NS USD 28514081.00000000 2.693111629391 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AQ6X1 91092.43000000 PA USD 84860.12000000 0.008014909407 Long ABS-MBS USGSE US N 2 2041-11-15 Fixed 3.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378GRL4 131842.97000000 PA USD 21815.86000000 0.002060474832 Long ABS-MBS USGA US N 2 2041-10-16 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KME92 88579.96000000 PA USD 74681.69000000 0.007053572157 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N UiPath Inc 5493000YP61KBELDHT53 90364P105 21181.00000000 NS USD 267092.41000000 0.025226472334 Long EC CORP US N 1 N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AQUG0 167675.04000000 PA USD 141260.56000000 0.013341845276 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Westinghouse Air Brake Technologies Corp 06BTX5UWZD0GQ5N5Y745 929740108 41825.00000000 NS USD 3402463.75000000 0.321357531870 Long EC CORP US N 1 N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CL4 155000.00000000 PA USD 102752.48000000 0.009704815625 Long DBT CORP NL N 2 2051-11-26 Fixed 3.00000000 N N N N N N Countrywide Home Loans N/A 12669GKF7 68943.57000000 PA USD 58956.63000000 0.005568364131 Long ABS-MBS CORP US N 2 2035-02-25 Floating 3.76400000 N N N N N N GS Mortgage Securities Trust N/A 36269CAA1 90000.00000000 PA USD 88484.09000000 0.008357187867 Long ABS-MBS CORP US N 2 2036-08-15 Floating 3.57600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KTS30 661874.99000000 PA USD 538795.66000000 0.050888431502 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N CITIBANK NY N/A 000000000 999852.00000000 PA USD 999852.00000000 0.094434502338 Long STIV CORP US N 2 2023-03-27 Floating 3.36000000 N N N N N UMBS, TBA N/A 01F0324A9 4645000.00000000 PA USD 4389525.00000000 0.414583967303 Long ABS-MBS USGSE US N 2 2037-10-15 Fixed 3.50000000 N N N N N N Royalty Pharma PLC 549300FGFN7VOK8BZR03 000000000 6094.00000000 NS USD 244856.92000000 0.023126364086 Long EC CORP GB N 1 N N N United States Treasury 254900HROIFWPRGM1V77 912828ZZ6 1837356.30000000 PA USD 1617645.09000000 0.152784121084 Long DBT UST US N 2 2030-07-15 Fixed 0.12500000 N N N N N N GAP INC/THE T2ZG1WRWZ4BUCMQL9224 364760AP3 487000.00000000 PA USD 316550.00000000 0.029897666569 Long DBT CORP US N 2 2029-10-01 Fixed 3.62500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCC8 225000.00000000 PA USD 174408.85000000 0.016472650905 Long DBT CORP US N 2 2032-04-22 Fixed 2.58000000 N N N N N Morgan Stanley Capital Inc N/A 61748LAD4 8182.31000000 PA USD 7107.36000000 0.000671279353 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.38400000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECA1 200000.00000000 PA USD 181688.67000000 0.017160218844 Long DBT CORP GB N 2 2033-08-09 Fixed 5.74600000 N N N N N N UMBS, TBA N/A 01F0506A9 6430000.00000000 PA USD 6263254.54000000 0.591554875624 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BCJ58 89661.85000000 PA USD 2775.48000000 0.000262139869 Long ABS-MBS USGSE US N 2 2027-07-15 Fixed 4.00000000 N N N N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAH5 180000.00000000 PA USD 139614.60000000 0.013186386855 Long DBT CORP NO N 2 2050-04-06 Fixed 3.70000000 N N N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAG7 170000.00000000 PA USD 135995.84000000 0.012844600471 Long DBT CORP NO N 2 2040-04-06 Fixed 3.62500000 N N N N N N UMBS, TBA N/A 01F0126A9 2125000.00000000 PA USD 1629111.34000000 0.153867090976 Long ABS-MBS USGSE US N 2 2052-10-15 Fixed 1.50000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 635000.00000000 PA 317439.01000000 0.029981632213 Long DBT NUSS RO N 2 2040-12-02 Fixed 2.62500000 N N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAK9 395000.00000000 PA USD 301070.38000000 0.028435639978 Long DBT CORP GB N 2 2030-09-02 Fixed 2.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HLX57 118021.06000000 PA USD 112557.40000000 0.010630875423 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.00000000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CAM6 275000.00000000 PA USD 229965.71000000 0.021719911925 Long DBT CORP US N 2 2041-12-15 Fixed 4.25000000 N N N N N N Credit Suisse Mortgage Trust N/A 12662GAC2 312395.09000000 PA USD 290593.35000000 0.027446100412 Long ABS-MBS CORP US N 2 2060-12-27 Variable 1.79600000 N N N N N N Tullow Oil PLC 2138003EYHWO75RKS857 899415AE3 500000.00000000 PA USD 323060.00000000 0.030512526179 Long DBT CORP GB N 2 2025-03-01 Fixed 7.00000000 N N N N N N GSAA Home Equity Trust N/A 362334BS2 547008.86000000 PA USD 309698.37000000 0.029250540525 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.68400000 N N N N N N Alabama Power Co 0RL818ELFOHP5JHOFU19 010392FL7 225000.00000000 PA USD 182281.06000000 0.017216169179 Long DBT CORP US N 2 2044-08-15 Fixed 4.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B9YL5 601328.34000000 PA USD 60240.53000000 0.005689626535 Long ABS-MBS USGSE US N 2 2039-11-25 Fixed 3.50000000 N N N N N N WF-RBS Commercial Mortgage Trust 549300UVB571ELWL8972 92890FAU0 160281.00000000 PA USD 156518.18000000 0.014782904305 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 3.99500000 N N N N N N CSL FINANCE PLC 2549007CCNBNAF4HBC02 12661PAB5 325000.00000000 PA USD 299347.39000000 0.028272906191 Long DBT CORP GB N 2 2029-04-27 Fixed 4.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGJS9 924360.23000000 PA USD 809843.20000000 0.076488459856 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N TRANSCONT GAS PIPE LINE N/A 893574AP8 125000.00000000 PA USD 105677.15000000 0.009981046263 Long DBT CORP US N 2 2030-05-15 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FVE5 27017.42000000 PA USD 24220.32000000 0.002287572426 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276CAF8 720556.62000000 PA USD 28374.29000000 0.002679908581 Long ABS-MBS CORP US N 2 2050-08-15 Variable 1.23700000 N N N N N N Baxter International Inc J5OIVXX3P24RJRW5CK77 071813109 44112.00000000 NS USD 2375872.32000000 0.224397530993 Long EC CORP US N 1 N N N Bristol-Myers Squibb Co HLYYNH7UQUORYSJQCN42 110122108 78611.00000000 NS USD 5588455.99000000 0.527821177789 Long EC CORP US N 1 N N N Natixis New York Branch 2549003L5ZG5M2ZSE107 000000000 3080998.10000000 PA USD 3080998.10000000 0.290995589626 Long RA CORP US N 2 Repurchase Y 2.95000000 2022-10-03 3383980.96000000 USD 3143390.62000000 USD UST N N Genpact Ltd 529900OSEC6Q0L4L5B35 000000000 36411.00000000 NS USD 1593709.47000000 0.150523438140 Long EC CORP BM N 1 N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBG3 517000.00000000 PA USD 385801.60000000 0.036438374976 Long DBT CORP US N 2 2049-05-15 Fixed 5.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128UGL47 16703.82000000 PA USD 16599.45000000 0.001567792833 Long ABS-MBS USGSE US N 2 2041-02-01 Floating 2.40000000 N N N N N N COMM Mortgage Trust N/A 12624QAR4 49417.76000000 PA USD 49318.21000000 0.004658030006 Long ABS-MBS CORP US N 2 2045-10-15 Fixed 2.85300000 N N N N N N Ingevity Corp 5493009UTFC4B5IMGF87 45688C107 13224.00000000 NS USD 801771.12000000 0.075726064163 Long EC CORP US N 1 N N N SERVICE CORP INTL 549300RKVM2ME20JHZ15 817565CE2 858000.00000000 PA USD 779733.24000000 0.073644619879 Long DBT CORP US N 2 2029-06-01 Fixed 5.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EB82 4892774.43000000 PA USD 3973271.22000000 0.375269430191 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N Legacy Mortgage Asset Trust N/A 52476DAA5 312240.45000000 PA USD 289688.42000000 0.027360631149 Long ABS-MBS CORP US N 2 2061-04-25 Variable 1.75000000 N N N N N N COMM Mortgage Trust N/A 12624PAY1 273830.65000000 PA USD 19129.81000000 0.001806781490 Long ABS-MBS CORP US N 2 2045-10-15 Variable 4.75000000 N N N N N N State Board of Administration Finance Corp 549300S34SOJ0RULXM35 341271AD6 975000.00000000 PA USD 882713.23000000 0.083370923479 Long DBT MUN US N 2 2025-07-01 Fixed 1.25800000 N N N N N N American International Group Inc ODVCVCQG2BP6VHV36M30 026874784 95975.00000000 NS USD 4556893.00000000 0.430391620623 Long EC CORP US N 1 N N N Santander Drive Auto Receivables Trust N/A 802918AD4 165000.00000000 PA USD 162559.24000000 0.015353473243 Long ABS-O CORP US N 2 2027-06-15 Fixed 4.72000000 N N N N N N HOWARD UNIVERSITY N/A 442851AQ4 100000.00000000 PA USD 89263.83000000 0.008430833126 Long DBT CORP US N 2 2026-10-01 Fixed 2.29100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WMWM9 251314.41000000 PA USD 225398.10000000 0.021288508100 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N HSBC US GOVT FUND LEX N/A 000000000 800000.00000000 NS USD 800000.00000000 0.075558784570 Long STIV RF US N 1 N N Morgan Stanley Capital I Trust N/A 617451CX5 12136.56000000 PA USD 5158.04000000 0.000487169041 Long ABS-MBS CORP US N 2 2052-10-12 Variable 5.29900000 N N N N N N KAISER FOUNDATION HOSPIT DW4Z57L3G4IRMHYZYK62 48305QAF0 205000.00000000 PA USD 143064.18000000 0.013512194445 Long DBT CORP US N 2 2041-06-01 Fixed 2.81000000 N N N N N N Dominos Pizza Master Issuer LLC N/A 25755TAL4 321750.00000000 PA USD 277433.76000000 0.026203197130 Long ABS-O CORP US N 2 2049-10-25 Fixed 3.66800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XHAT8 35629.95000000 PA USD 34907.29000000 0.003296940506 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.50000000 N N N N N N Bluemountain CLO Ltd N/A 09631BAA1 1560000.00000000 PA USD 1497656.16000000 0.141451348943 Long ABS-CBDO CORP KY N 2 2034-04-19 Floating 3.88800000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B75H0 1888780.64000000 PA USD 29669.34000000 0.002802224086 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 0.40500000 N N N N N N Crown Finance US, Inc. N/A 000000000 36511.85000000 PA USD 37297.95000000 0.003522734711 Long LON CORP US N 2 2023-09-08 None 0.00000000 N N N N N N Exeter Automobile Receivables Trust N/A 30167GAG5 1029742.56000000 PA USD 1016052.85000000 0.095964648007 Long ABS-O CORP US N 2 2025-09-15 Fixed 2.58000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SS8 3460000.00000000 PA USD 2148173.45000000 0.202891718661 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BSAJ2 97520.85000000 PA USD 15980.75000000 0.001509357558 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 5.00000000 N N N N N N GOVT OF BERMUDA 549300FP5PUZXX9FVJ40 085209AG9 200000.00000000 PA USD 159097.98000000 0.015026562495 Long DBT NUSS BM N 2 2030-08-20 Fixed 2.37500000 N N N N N GO DADDY OPCO/FINCO N/A 38016LAC9 170000.00000000 PA USD 139039.60000000 0.013132078979 Long DBT CORP US N 2 2029-03-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379AMX5 218149.97000000 PA USD 200096.27000000 0.018898788697 Long ABS-MBS USGA US N 2 2041-07-20 Fixed 2.50000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XCB8 29023.97000000 PA USD 30054.31000000 0.002838583918 Long ABS-MBS USGSE US N 2 2028-09-25 Floating 9.08400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375C5T3 594759.37000000 PA USD 124809.54000000 0.011788071431 Long ABS-MBS USGA US N 2 2042-09-16 Fixed 4.00000000 N N N N N N Republic of Senegal 549300NP14ZLQGWIUZ97 000000000 485000.00000000 PA USD 363719.93000000 0.034352794793 Long DBT NUSS SN Y 2 2033-05-23 Fixed 6.25000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2X0 720000.00000000 PA USD 688296.69000000 0.065008576650 Long DBT CORP US N 2 2026-04-25 Fixed 3.90800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXGL0 657063.82000000 PA USD 638127.85000000 0.060270205933 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 4.50000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46639EAQ4 130000.00000000 PA USD 107872.30000000 0.010188374846 Long ABS-MBS CORP US N 2 2047-12-15 Variable 4.47200000 N N N N N N ConocoPhillips WPTL2Z3FIYTHSP5V2253 20825C104 68548.00000000 NS USD 7015202.32000000 0.662575201021 Long EC CORP US N 1 N N N Venture CDO Ltd 5493005OM8P21GK6YE73 923260AC7 1300000.00000000 PA USD 1238451.50000000 0.116969862612 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 3.64200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VVX5 740165.53000000 PA USD 621363.20000000 0.058686810211 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.00000000 N N N N N N 2022-10-28 Brighthouse Funds Trust II Alan Otis Alan Otis Treasurer XXXX