NPORT-P false 0000710826 XXXXXXXX S000006511 C000017803 C000017802 C000017804 Brighthouse Funds Trust II 811-03618 0000710826 549300NPPA08K2CWOV06 Brighthouse Investment Advisers, LLC 11225 North Community House Road Charlotte 28277 980-949-5089 BlackRock Bond Income Portfolio S000006511 RQ2HPSR0HMOOPNZQJY98 2025-12-31 2025-03-31 N 3031488598.65 504002421.68 2527486176.97 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 20182392.27000000 0.00000000 0.00000000 0.00000000 EUR JPY USD UST Bloomberg US Aggregate LBUSTRUU Octagon Investment Partners XV Ltd 549300VYCI9AZ4NZBX86 67590EAS3 250000.00000000 PA USD 250056.75000000 0.009893496244 Long ABS-CBDO CORP KY N 2 2030-07-19 Floating 5.90500000 N N N N N N Countrywide Alternative Loan Trust N/A 02146SAA7 1446818.32000000 PA USD 1191139.19000000 0.047127426486 Long ABS-MBS CORP US N 2 2046-11-25 Floating 6.36500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M4QU2 152997.76000000 PA USD 142791.96000000 0.005649564428 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 3.50000000 N N N N N N Cedar Funding Ltd 2549004YLPCISGLL7978 15033LAY8 250000.00000000 PA USD 249999.00000000 0.009891211365 Long ABS-CBDO CORP KY N 2 2032-05-29 Floating 5.61300000 N N N N N N NELNET STUDENT LOAN TRUST N/A 64035GAD1 110000.00000000 PA USD 94315.01000000 0.003731573721 Long ABS-O CORP US N 2 2062-04-20 Fixed 3.36000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 946.26000000 0.000037438780 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 196000.00000000 USD 1123864.00000000 BRL 2025-04-02 946.26000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -430.42000000 -0.00001702956 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 727175.33000000 BRL 127000.00000000 USD 2025-04-02 -430.42000000 N N N 1211 Avenue of the Americas Trust N/A 90117PAQ8 230000.00000000 PA USD 212750.00000000 0.008417454541 Long ABS-MBS CORP US N 2 2035-08-10 Variable 4.14200000 N N N N N N CIFC Funding Ltd N/A 12563EAN3 250000.00000000 PA USD 250433.50000000 0.009908402359 Long ABS-CBDO CORP KY N 2 2037-07-25 Floating 5.72000000 N N N N N N Lehman ABS Mortgage Loan Trust N/A 52521MAB8 120208.58000000 PA USD 79328.13000000 0.003138617758 Long ABS-O CORP US N 2 2037-06-25 Floating 4.52500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X8XC0 59000.42000000 PA USD 57766.86000000 0.002285546030 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HH6H3 44253.95000000 PA USD 43146.53000000 0.001707092620 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GDC67 4378.73000000 PA USD 4218.89000000 0.000166920398 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.00000000 N N N N N N DIG HLDNG/DIG FIN/DIFL 5493007V023VOEW4FK27 000000000 123060.00000000 PA USD 123060.00000000 0.004868869358 Long DBT CORP XX N 2 2027-05-25 Fixed 12.00000000 N N Y N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSFD8 1267468.70000000 PA USD 1277957.35000000 0.050562387309 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W5MS4 267082.03000000 PA USD 240096.30000000 0.009499411003 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410K3K8 61430.12000000 PA USD 64058.59000000 0.002534478351 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176DHP1 213695.10000000 PA USD 205001.75000000 0.008110895001 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QUVV5 3373593.34000000 PA USD 3486719.44000000 0.137952067622 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMY58 1111237.50000000 PA USD 893516.45000000 0.035351981670 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.00000000 N N N N N N UBS Commercial Mortgage Trust N/A 90278MBB2 6498840.77000000 PA USD 333517.26000000 0.013195611633 Long ABS-MBS CORP US N 2 2052-10-15 Variable 1.43700000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LBG5 415000.00000000 PA USD 287497.06000000 0.011374822249 Long DBT CORP US N 2 2051-09-15 Fixed 3.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAH4 17436300.00000000 PA USD 16083624.63000000 0.636348668354 Long DBT UST US N 2 2027-08-31 Fixed 0.50000000 N N N N N N ASHTON WOODS USA/FINANCE N/A 045086AM7 77000.00000000 PA USD 69688.93000000 0.002757242774 Long DBT CORP US N 2 2029-08-01 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417TP44 11497.30000000 PA USD 11355.56000000 0.000449282773 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417AYD5 351130.73000000 PA USD 337665.46000000 0.013359735181 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N Fixed Income Clearing Corp 549300H47WTHXPU08X20 000000000 61045058.32000000 PA USD 61045058.32000000 2.415247959661 Long RA CORP US N 2 Repurchase N 3.25000000 2025-04-01 47292900.00000000 USD 62265959.49000000 USD UST N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -3.00000000 NC -4803.57000000 -0.00019005326 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 10 Year Euro BUND Futures RXM5 Comdty 2025-06-06 -382047.60000000 EUR -4803.57000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -195000.00000000 OU Notional Amount USD -292.89000000 -0.00001158819 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 1.00000000 NC USD -292.89000000 0.00000000 DFE MX -195000.00000000 USD -3880500.00000000 MXN 2025-04-15 1.00000000 19.90000000 USD 2025-04-15 XXXX 1239.23000000 N N N Option One Mortgage Loan Trust N/A 68402VAA0 865302.56000000 PA USD 736779.86000000 0.029150697903 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.86600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECG3 5931959.67000000 PA USD 5051065.08000000 0.199845408692 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 2.00000000 N N N N N N Progress Residential Trust N/A 74333QAN5 221000.00000000 PA USD 210556.80000000 0.008330680575 Long ABS-O CORP US N 2 2040-11-17 Fixed 4.05300000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 2783000.00000000 PA USD 2284274.41000000 0.090377325534 Long DBT CORP US N 2 2036-11-15 Fixed 3.18700000 N N N N N N Verus Securitization Trust N/A 92539DAE8 484000.00000000 PA USD 483858.48000000 0.019143862562 Long ABS-MBS CORP US N 2 2068-03-25 Variable 7.49300000 N N N N N N Credit Suisse Mortgage Trust N/A 12663YAM0 1646627.66000000 PA USD 1664069.55000000 0.065838917939 Long ABS-MBS CORP US N 2 2067-12-25 Variable 8.68000000 N N N N N N Credit Suisse Mortgage Trust N/A 12652FAJ1 301000.00000000 PA USD 100082.38000000 0.003959759737 Long ABS-MBS CORP US N 2 2032-11-10 Variable 3.77800000 N N N N N N DP WORLD SALAAM 549300SUYBT9X88E9435 000000000 200000.00000000 PA USD 199988.60000000 0.007912549703 Long DBT CORP KY Y 2 2025-10-01 Fixed 6.00000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 2131100000.00000000 PA 457079.39000000 0.018084347766 Long DBT NUSS CO N 2 2027-11-03 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WF4T0 16462.67000000 PA USD 16067.62000000 0.000635715445 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.50000000 N N N N N N Rad CLO Ltd N/A 750103AA1 250000.00000000 PA USD 250145.75000000 0.009897017529 Long ABS-CBDO CORP KY N 2 2034-01-20 Floating 5.64500000 N N N N N N New Residential Mortgage Loan Trust N/A 64830DAB9 159763.24000000 PA USD 155835.67000000 0.006165638863 Long ABS-MBS CORP US N 2 2057-12-25 Variable 4.25000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBK8 485000.00000000 PA USD 380293.42000000 0.015046310577 Long DBT CORP US N 2 2050-05-06 Fixed 4.45000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180E5C5 175415.30000000 PA USD 164576.97000000 0.006511488430 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178EDP1 77626.83000000 PA USD 72806.10000000 0.002880573617 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83C9 954030.08000000 PA USD 889234.43000000 0.035182563532 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UN81 15877.40000000 PA USD 14222.57000000 0.000562716034 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CYM0 34274.57000000 PA USD 32287.61000000 0.001277459409 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.00000000 N N N N N N JP Morgan Mortgage Trust N/A 46654CAQ8 444020.70000000 PA USD 12480.31000000 0.000493783511 Long ABS-MBS CORP US N 2 2052-02-25 Variable 0.50000000 N N N N N N BX TRUST 2024 VLT4 N/A 05612TAJ4 460000.00000000 PA USD 453097.42000000 0.017926801108 Long ABS-MBS CORP US N 2 2029-07-15 Floating 7.20900000 N N N N N N ARDAGH PKG FIN/HLDGS USA N/A 03969AAN0 982000.00000000 PA USD 901927.72000000 0.035684773599 Long DBT CORP XX Y 2 2026-08-15 Fixed 4.12500000 N N N N N N Regatta XIX Funding Ltd N/A 75888EAG3 250000.00000000 PA USD 250237.75000000 0.009900657510 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 6.14300000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 61000.00000000 OU Notional Amount 5669.07000000 0.000224296775 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 5669.07000000 0.00000000 DFE XX 1494500.00000000 CZK 61000.00000000 EUR 2025-06-06 1.00000000 24.50000000 EUR 2025-06-06 XXXX -989.96000000 N N N Nelnet Student Loan Trust N/A 64034QAC2 3120000.00000000 PA USD 2728829.38000000 0.107966144577 Long ABS-O CORP US N 2 2062-04-20 Fixed 2.68000000 N N N N N N EXPAND ENERGY CORP X2MT1W32SPAZ9WSKLE78 92735LAA0 1201000.00000000 PA USD 1216070.35000000 0.048113827924 Long DBT CORP US N 2 2029-04-15 Fixed 6.75000000 N N N N N N TYSN 2023-CRNR Mortgage Trust N/A 87332PAA8 320000.00000000 PA USD 335830.50000000 0.013287134982 Long ABS-MBS CORP US N 2 2033-12-10 Variable 6.58000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 736505.00000000 NC USD 46238.78000000 0.001829437502 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Call Purchased Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 736505.00000000 OU Notional Amount N/A 46238.78000000 0.00000000 DIR US N/A N/A 2037-01-13 0.00000000 N/A 0.00000000 N/A 736505.00000000 USD 1.00000000 4.35000000 USD 2027-01-13 XXXX 14495.41000000 N N N Avoca CLO 5493000BN1WPGQDK4X78 000000000 150000.00000000 PA 159969.15000000 0.006329180015 Long ABS-CBDO CORP IE Y 2 2035-04-15 Floating 4.08500000 N N N N N N Option One Mortgage Loan Trust N/A 68402VAB8 1259628.83000000 PA USD 1079815.05000000 0.042722886472 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.86600000 N N N N N N Conseco Finance Securitizations Corp. N/A 20846QEQ7 878313.81000000 PA USD 182958.65000000 0.007238759668 Long ABS-O CORP US N 2 2031-05-01 Fixed 7.96000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BP2 1578000.00000000 PA USD 1672960.33000000 0.066190681683 Long DBT CORP US N 2 2030-10-06 Fixed 6.37500000 N N N N N N UMBS, TBA N/A 01F062648 -10864000.00000000 PA USD -11202082.25000000 -0.44321042591 Short ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133USJU6 405968.46000000 PA USD 325684.67000000 0.012885715180 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WPHV9 268378.15000000 PA USD 241375.02000000 0.009550003564 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGS24 214887.01000000 PA USD 203385.01000000 0.008046928677 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 4.00000000 N N N N N N Hess Corp UASVRYNXNK17ULIGK870 42809HAC1 287000.00000000 PA USD 304724.43000000 0.012056423207 Long DBT CORP US N 2 2040-01-15 Fixed 6.00000000 N N N N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AC4 1253000.00000000 PA USD 1052364.98000000 0.041636824350 Long DBT CORP US N 2 2038-01-15 Fixed 3.40200000 N N N N N N Intuit Inc VI90HBPH7XSFMB9E4M29 461202103 217.00000000 NS USD 133235.83000000 0.005271476109 Long EC CORP US N 1 N N N WESTBAY 4A2 NOTES N/A 000000000 3134000.00000000 PA USD 3134000.00000000 0.123996721665 Long DBT CORP US Y 3 2030-02-06 Fixed 11.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJF94 18392.33000000 PA USD 17346.75000000 0.000686324228 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N Bayview Commercial Asset Trust N/A 07324NAA1 56615.47000000 PA USD 54499.60000000 0.002156276876 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.81000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMYM1 3742762.56000000 PA USD 3038687.99000000 0.120225701635 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RD71 140712.20000000 PA USD 130737.32000000 0.005172622552 Long ABS-MBS USGA US N 2 2045-05-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QS5C1 476901.34000000 PA USD 497754.72000000 0.019693667349 Long ABS-MBS USGSE US N 2 2053-09-01 Fixed 6.50000000 N N N N N N Hudson Yards N/A 44421MAN0 662050.00000000 PA USD 554501.04000000 0.021938835711 Long ABS-MBS CORP US N 2 2041-12-10 Variable 2.94300000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 4879000.00000000 OU Notional Amount -1897.97000000 -0.00007509319 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-01-09 6.90000000 MXN 0.00000000 MXN 4879000.00000000 MXN -1898.41000000 N N N ALLEGIANT TRAVEL CO 549300JM9OZXOHWL2K18 01748XAD4 175000.00000000 PA USD 169543.17000000 0.006707976152 Long DBT CORP US N 2 2027-08-15 Fixed 7.25000000 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587DR5 290000.00000000 PA USD 290680.42000000 0.011500771899 Long DBT CORP US N 2 2033-06-15 Fixed 5.20000000 N N N N N N SIXTH STREET LENDING PAR 549300S9P1HMDERGCR64 829932AE2 699000.00000000 PA USD 703528.74000000 0.027835117216 Long DBT CORP US N 2 2030-07-15 Fixed 6.12500000 N N N N N N Auto1 Car Funding 984500380CAE46K6F380 000000000 100000.00000000 PA 111398.95000000 0.004407499871 Long ABS-O CORP LU Y 2 2033-12-15 Floating 5.86800000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEB8 243000.00000000 PA USD 245698.55000000 0.009721064045 Long DBT CORP US N 2 2030-01-23 Fixed 5.01200000 N N N N N N Warner Bros Discovery Inc 5493006ZCRFWKF6B1K26 934423104 18898.00000000 NS USD 202775.54000000 0.008022814994 Long EC CORP US N 1 N N N Deutsche Bank Commercial Mortgage Trust N/A 23312JAN3 2060000.00000000 PA USD 36797.78000000 0.001455904302 Long ABS-MBS CORP US N 2 2050-06-10 Variable 1.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BCD6 567813.73000000 PA USD 522922.26000000 0.020689421163 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.50000000 N N N N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 16411QAK7 2955000.00000000 PA USD 2771272.64000000 0.109645412317 Long DBT CORP US N 2 2031-03-01 Fixed 4.00000000 N N N N N N Progress Residential Trust N/A 74333VAN4 1070000.00000000 PA USD 1046891.75000000 0.041420275985 Long ABS-O CORP US N 2 2026-05-17 Fixed 3.43600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QUZV8 82527.80000000 PA USD 78747.46000000 0.003115643548 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N CBAM CLO Management 25490038OT2B8HTRW786 12481QAE5 250000.00000000 PA USD 250037.00000000 0.009892714835 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 5.96400000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 7068327000.00000000 OU Notional Amount 4776.86000000 0.000188996483 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A N/A Y 2025-11-05 0.00000000 COP 0.00000000 COP 7068327000.00000000 COP 4776.86000000 N N N NatWest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC -22609.49000000 -0.00089454455 N/A DFE MX N 2 NatWest Markets PLC RR3QWICWWIPCS8A4S074 1383494.34000000 USD 27933782.81000000 MXN 2025-04-24 -22609.49000000 N N N Morgan Stanley Capital I Trust N/A 61691NAJ4 4067000.00000000 PA USD 3916041.50000000 0.154938196524 Long ABS-MBS CORP US N 2 2050-12-15 Variable 4.06100000 N N N N N N BX Trust N/A 12434GAA3 605027.35000000 PA USD 605027.35000000 0.023937909354 Long ABS-MBS CORP US N 2 2040-12-09 Floating 6.08100000 N N N N N N EUROPEAN UNION 529900FZRK8FGMPEOM08 000000000 19294541.00000000 PA 17750394.38000000 0.702294419717 Long DBT NUSS XX Y 2 2053-03-04 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DXJ6 2503860.94000000 PA USD 1893320.31000000 0.074909225112 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 1.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 1151.27000000 0.000045550001 N/A DFE BR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 85000.00000000 USD 491617.90000000 BRL 2025-04-02 1151.27000000 N N N CIFC Funding Ltd N/A 12555XAN1 940000.00000000 PA USD 941638.42000000 0.037255927592 Long ABS-CBDO CORP KY N 2 2037-07-16 Floating 5.75800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFWG2 954789.44000000 PA USD 772635.72000000 0.030569335137 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418XDE5 622.73000000 PA USD 620.84000000 0.000024563536 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GJ5A3 61345.03000000 PA USD 59028.38000000 0.002335458074 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.00000000 N N N N N N Mexico Government International Bonds 254900EGTWEU67VP6075 91087BAT7 458000.00000000 PA USD 420082.18000000 0.016620553015 Long DBT NUSS MX N 2 2033-05-19 Fixed 4.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179V4W7 18444596.02000000 PA USD 16395000.60000000 0.648668259766 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEV9 11482600.00000000 PA USD 11177593.44000000 0.442241526060 Long DBT UST US N 2 2029-06-30 Fixed 3.25000000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 65000.00000000 OU Notional Amount 213.04000000 0.000008428928 N/A DFE LU N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 Put Purchased HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 N/A 1.00000000 NC USD 213.04000000 0.00000000 DFE XX 66300.00000000 USD 65000.00000000 EUR 2025-04-16 1.00000000 1.02000000 EUR 2025-04-16 XXXX -4762.64000000 N N N TEACHERS INSURANCE AND ANNUITY ASSOCIATION OF AME 54930043TEPI4UKGHU90 87272HAA8 145271.56000000 PA USD 145349.72000000 0.005750762212 Long ABS-CBDO CORP KY N 2 2031-01-16 Floating 5.71900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WQA9 3169860.65000000 PA USD 2705022.77000000 0.107024235964 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSQK0 2073207.73000000 PA USD 2127630.05000000 0.084179690848 Long ABS-MBS USGSE US N 2 2053-07-01 Fixed 6.00000000 N N N N N N WILDFIRE INTERMEDIATE HO 5493003RHEMQJZEXIR02 96812HAA6 151000.00000000 PA USD 146798.03000000 0.005808064603 Long DBT CORP US N 2 2029-10-15 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9GP1 154588.11000000 PA USD 144279.23000000 0.005708408272 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVL94 10210469.26000000 PA USD 8624156.67000000 0.341214790750 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415YBM0 69298.06000000 PA USD 70179.06000000 0.002776634770 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.50000000 N N N N N N Argentina Republic Government International Bonds 549300KPBYGYF7HCHO27 040114HU7 46300.00000000 PA USD 30446.17000000 0.001204602829 Long DBT NUSS AR N 2 2038-01-09 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417F2C1 10773.82000000 PA USD 10513.96000000 0.000415984866 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCV39 393796.32000000 PA USD 357244.48000000 0.014134379180 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 2.00000000 N N N N N N Elmwood CLO 27 Ltd N/A 29003FAB8 250000.00000000 PA USD 250243.50000000 0.009900885008 Long ABS-CBDO CORP KY N 2 2037-04-18 Floating 6.24300000 N N N N N N Credit Suisse Mortgage Trust N/A 12595KAA9 280000.00000000 PA USD 278109.64000000 0.011003408941 Long ABS-MBS CORP US N 2 2030-12-15 Floating 5.31700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W6SU1 518094.14000000 PA USD 465962.07000000 0.018435791034 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKPN2 355089.95000000 PA USD 324597.97000000 0.012842719891 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 2.00000000 N N N N N N Visio 2019-2 Trust N/A 92837DAE7 169000.00000000 PA USD 137687.70000000 0.005447614363 Long ABS-MBS CORP US N 2 2054-11-25 Variable 3.91000000 N N N N N N MCR Mortgage Trust N/A 582923AE8 440000.00000000 PA USD 447330.14000000 0.017698618654 Long ABS-MBS CORP US N 2 2039-06-12 Fixed 8.72500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VBB5 2320000.00000000 PA USD 2252789.88000000 0.089131639987 Long DBT CORP US N 2 2054-09-01 Fixed 6.05000000 N N N N N N Yale Mortgage Loan Trust N/A 984582AA4 694467.87000000 PA USD 216560.08000000 0.008568200371 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.83500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KXL3 90221.41000000 PA USD 94075.41000000 0.003722093946 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 677415CR0 635000.00000000 PA USD 487067.27000000 0.019270818350 Long DBT CORP US N 2 2049-06-01 Fixed 4.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAW3 2766000.00000000 PA USD 2772018.18000000 0.109674909610 Long DBT CORP US N 2 2029-03-04 Fixed 4.78600000 N N N N N N BX Trust N/A 05608MAA4 1454472.00000000 PA USD 1315128.64000000 0.052033069536 Long ABS-MBS CORP US N 2 2044-03-09 Fixed 2.84300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407HZD1 85920.71000000 PA USD 89366.76000000 0.003535796192 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WC7G2 91589.31000000 PA USD 89374.43000000 0.003536099655 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 3.00000000 N N N N N N TRIVIUM PACKAGING FIN 724500GMZWW3PVYET548 89686QAA4 317000.00000000 PA USD 312090.87000000 0.012347876433 Long DBT CORP NL N 2 2026-08-15 Fixed 5.50000000 N N N N N N 6297782 LLC 254900Z1WAY7QFQ7O850 83007CAA0 361000.00000000 PA USD 361149.54000000 0.014288882894 Long DBT CORP US N 2 2027-09-01 Fixed 4.91100000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMN9 4088000.00000000 PA USD 2869855.06000000 0.113545826131 Long DBT CORP US N 2 2057-12-01 Fixed 3.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CET7 81857.76000000 PA USD 77252.64000000 0.003056500989 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DTQ5 1856439.62000000 PA USD 1489318.05000000 0.058924874192 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB29 687000.00000000 PA USD 692694.30000000 0.027406452557 Long DBT CORP US N 2 2030-07-23 Fixed 5.04900000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1479.78000000 -0.00005854750 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 31000.00000000 EUR 32065.53000000 USD 2025-04-16 -1479.78000000 N N N HUNGARY 5299003F3UFKGCCMAP43 000000000 820000.00000000 PA 902682.47000000 0.035714635285 Long DBT NUSS HU Y 2 2029-07-25 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWTB0 1289588.35000000 PA USD 1176326.38000000 0.046541357603 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H3KJ4 42984.82000000 PA USD 42093.62000000 0.001665434231 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3.50000000 N N N N N N Flatiron CLO Ltd 254900Z25NHHRUZ9O184 33883XAC4 250000.00000000 PA USD 249480.75000000 0.009870706802 Long ABS-CBDO CORP KY N 2 2037-10-17 Floating 5.87000000 N N N N N N UBS Securities LLC T6FIZBDPKLYJKFCRVK44 000000000 782000.00000000 OU Notional Amount USD 6595.39000000 0.000260946629 N/A DFE US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 Put Purchased UBS Securities LLC T6FIZBDPKLYJKFCRVK44 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 N/A 1.00000000 NC USD 6595.39000000 0.00000000 DFE US 117300000.00000000 JPY 782000.00000000 USD 2025-06-05 1.00000000 150.00000000 USD 2025-06-05 XXXX 1269.97000000 N N N WOM NEW HOLDCO COMMON N/A 000000000 1032.00000000 NS USD 29928.00000000 0.001184101431 Long EC CORP US N 3 N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 903724CA8 56538.00000000 PA USD 30261.40000000 0.001197292403 Long DBT NUSS UA N 2 2034-02-01 Variable 1.75000000 N N N N N N IHS HOLDING LTD 213800CLGMKL63VKTD94 44963HAB1 223000.00000000 PA USD 215036.58000000 0.008507923088 Long DBT CORP KY N 2 2028-11-29 Fixed 6.25000000 N N N N N N LGI HOMES INC 549300W02B4WNV8CV109 50187TAH9 232000.00000000 PA USD 241785.30000000 0.009566236294 Long DBT CORP US N 2 2028-12-15 Fixed 8.75000000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAB1 645000.00000000 PA USD 625723.59000000 0.024756756167 Long DBT US N 2 2029-12-01 Fixed 4.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QUZX4 74686.11000000 PA USD 71256.29000000 0.002819255379 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308HW0 100000.00000000 PA USD 95941.29000000 0.003795917495 Long DBT CORP US N 2 2027-12-01 Fixed 3.30000000 N N N N N N Vistra Corp 549300KP43CPCUJOOG15 92840M102 2985.00000000 NS USD 350558.40000000 0.013869844400 Long EC CORP US N 1 N N N OPEN Trust N/A 68373BAA9 68892.83000000 PA USD 69106.54000000 0.002734200512 Long ABS-MBS CORP US N 2 2040-11-15 Floating 7.40800000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCP4 14128300.00000000 PA USD 13517913.36000000 0.534836292406 Long DBT UST US N 2 2026-07-31 Fixed 0.62500000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45669NAT3 600199.59000000 PA USD 390278.10000000 0.015441354479 Long ABS-MBS CORP US N 2 2037-09-25 Variable 4.03300000 N N N N N N Clover CLO N/A 18914GAC5 250000.00000000 PA USD 250410.50000000 0.009907492364 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 5.82300000 N N N N N N ECOLAB INC 82DYEISM090VG8LTLS26 278865BG4 243000.00000000 PA USD 132133.01000000 0.005227843032 Long DBT CORP US N 2 2050-08-15 Fixed 2.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRVS0 285910.90000000 PA USD 286470.30000000 0.011334198485 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 5.50000000 N N N N N N STEM INC 549300GVWIYFILN5V546 85859NAA0 102000.00000000 PA USD 26519.73000000 0.001049253216 Long DBT CORP US N 2 2028-12-01 Fixed 0.50000000 N N N N Y Stem Inc USD XXXX N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H020642 -215000.00000000 PA USD -175806.06000000 -0.00695576741 Short ABS-MBS USGA US N 2 2055-04-20 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M7YQ5 39930.09000000 PA USD 37208.67000000 0.001472161167 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180E4C6 162660.76000000 PA USD 152557.99000000 0.006035957442 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H4SG0 35412.98000000 PA USD 34504.32000000 0.001365163549 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERM49 124418.85000000 PA USD 120955.05000000 0.004785587003 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CFF3 22425000.00000000 PA USD 20503107.53000000 0.811205525744 Long DBT UST US N 2 2032-08-15 Fixed 2.75000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHS1 910000.00000000 PA USD 750230.26000000 0.029682863029 Long DBT CORP US N 2 2050-03-15 Fixed 4.33000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHNX6 112278.24000000 PA USD 107519.39000000 0.004254005065 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 2.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 2835.91000000 0.000112202789 N/A DFE EG N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 138000.00000000 USD 7312482.00000000 EGP 2025-05-27 2835.91000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -119.69000000 -0.00000473553 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 11724383.00000000 THB 346000.00000000 USD 2025-04-24 -119.69000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138Y5X76 64786.95000000 PA USD 62434.60000000 0.002470225181 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 2.50000000 N N N N N N SUBWAY FUNDING LLC N/A 864300AC2 834907.50000000 PA USD 847113.01000000 0.033516029393 Long ABS-O CORP US N 2 2054-07-30 Fixed 6.26800000 N N N N N N BROOKFIELD RESID PROPERT N/A 11283YAG5 135000.00000000 PA USD 121721.90000000 0.004815927426 Long DBT CORP CA N 2 2029-06-15 Fixed 5.00000000 N N N N N N CIFC Funding Ltd 549300PC4RPZFE70AI24 12549AAN0 250000.00000000 PA USD 250505.75000000 0.009911260931 Long ABS-CBDO CORP KY N 2 2030-07-16 Floating 6.31900000 N N N N N N TENNECO INC 549300U0EXXFAQFAD785 880349AU9 410000.00000000 PA USD 391035.13000000 0.015471306374 Long DBT CORP US N 2 2028-11-17 Fixed 8.00000000 N N N N N N Foundation Finance Trust 54930021B3TF4B4HKE86 35042PAA8 385883.70000000 PA USD 361314.06000000 0.014295392128 Long ABS-O CORP US N 2 2042-01-15 Fixed 2.19000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGVA9 71221.29000000 PA USD 71845.56000000 0.002842569848 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 5.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 32000.00000000 OU Notional Amount USD 16675.39000000 0.000659761867 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 16675.39000000 0.00000000 DFE US 30400000.00000000 CLP 32000.00000000 USD 2025-04-08 1.00000000 950.00000000 USD 2025-04-08 XXXX 11526.59000000 N N N BX Trust N/A 05610MAC6 560000.00000000 PA USD 560525.00000000 0.022177173711 Long ABS-MBS CORP US N 2 2027-06-15 Floating 7.46000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QTEX3 1301272.36000000 PA USD 1355972.36000000 0.053649051470 Long ABS-MBS USGSE US N 2 2053-10-01 Fixed 6.50000000 N N N N N N Asset-Backed European Securitisation Transaction 213800WQKYRCMTF4FR47 000000000 100000.00000000 PA 109074.05000000 0.004315515194 Long ABS-O CORP LU Y 2 2034-03-21 Floating 3.98900000 N N N N N N Freddie Mac - SLST N/A 35564CGD3 1272561.74000000 PA USD 1258764.12000000 0.049803007093 Long ABS-MBS USGSE US N 2 2060-09-25 Variable 4.75000000 N N N N N N BPR Trust N/A 05592AAN0 492000.00000000 PA USD 489555.35000000 0.019369259245 Long ABS-MBS CORP US N 2 2038-09-15 Floating 8.03400000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBF1 1604000.00000000 PA USD 1281269.49000000 0.050693432141 Long DBT CORP US N 2 2047-08-15 Fixed 4.54000000 N N N N N N Mosaic Solar Loans LLC N/A 61945LAA1 95704.59000000 PA USD 84923.41000000 0.003359995032 Long ABS-O CORP US N 2 2040-09-20 Fixed 2.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179DLP3 127115.38000000 PA USD 119577.09000000 0.004731068010 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RXD6 72521.79000000 PA USD 67238.34000000 0.002660285172 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 3.50000000 N N N N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 1.00000000 NC 1154.16000000 0.000045664344 N/A DFE US N 2 Nomura International PLC DGQCSV2PHVF7I2743539 5064159.25000000 ZAR 276434.46000000 USD 2025-05-14 1154.16000000 N N N Progressive Corp/The 529900TACNVLY9DCR586 743315103 450.00000000 NS USD 127354.50000000 0.005038781266 Long EC CORP US N 1 N N N Trestles CLO LTD 254900EO5I6CR0IOWS98 89532WAA7 1170000.00000000 PA USD 1170035.10000000 0.046292443086 Long ABS-CBDO CORP KY N 2 2034-07-21 Floating 5.72500000 N N N N N N ACREC LLC N/A 00112HAA5 1870000.00000000 PA USD 1867842.02000000 0.073901176474 Long ABS-CBDO CORP US N 2 2042-08-18 Floating 5.62200000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579Y69 163809.01000000 PA USD 86499.50000000 0.003422353039 Long ABS-MBS CORP US N 2 2036-04-25 Variable 4.11700000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4840000.00000000 OU Notional Amount 95086.84000000 0.003762111178 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2054-04-22 0.00000000 EUR -9144.33000000 EUR 4840000.00000000 EUR 104827.71000000 N N N Fortuna Consumer Loan ABS 635400WJJIABFKEPEL72 000000000 100000.00000000 PA 108789.45000000 0.004304254994 Long ABS-O CORP IE N 2 2034-10-18 Floating 4.01800000 N N N N N N CIFC Funding Ltd 635400VBVF8AYJQBI411 17181NAC8 510000.00000000 PA USD 508980.00000000 0.020137795594 Long ABS-CBDO CORP KY N 2 2038-01-18 Floating 5.66900000 N N N N N N Residential Accredit Loans, Inc. N/A 74922NAB5 368608.21000000 PA USD 322029.92000000 0.012741114983 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.79500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36200MHW6 6802.28000000 PA USD 6927.07000000 0.000274069550 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 5.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHZ5 141000.00000000 PA USD 126576.12000000 0.005007984658 Long DBT CORP US N 2 2031-02-13 Fixed 2.49600000 N N N N N N CFSP Mortgage Trust N/A 15723BAA7 1122080.32000000 PA USD 1080983.01000000 0.042769096814 Long ABS-MBS CORP US N 2 2037-04-15 Fixed 6.50000000 N N N N N N VEGAS Trust N/A 92254BAC9 2180000.00000000 PA USD 2038683.24000000 0.080660509979 Long ABS-MBS CORP US N 2 2036-07-10 Variable 6.21700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W7G40 498696.15000000 PA USD 448523.58000000 0.017745837112 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4823000.00000000 OU Notional Amount USD 6792.48000000 0.000268744496 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2029-04-15 57.03000000 USD 0.00000000 USD 4823000.00000000 USD 6735.45000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36213FZ22 101549.66000000 PA USD 95469.68000000 0.003777258244 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 3.50000000 N N N N N N JW Commercial Mortgage Trust 2024-MRCO N/A 46657XAA4 1410000.00000000 PA USD 1409118.47000000 0.055751777510 Long ABS-MBS CORP US N 2 2039-06-15 Floating 5.94000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EBJ8 614727.69000000 PA USD 522491.33000000 0.020672371416 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 2.00000000 N N N N N N Union Pacific Corp 549300LMMRSZZCZ8CL11 907818108 504.00000000 NS USD 119064.96000000 0.004710805585 Long EC CORP US N 1 N N N MATTAMY GROUP CORP 5493008TNY7A82WCXU31 57701RAJ1 245000.00000000 PA USD 238010.62000000 0.009416891066 Long DBT CORP CA N 2 2027-12-15 Fixed 5.25000000 N N N N N N Owl Rock CLO Ltd 254900IC5H3CWUYT6A39 69122HAA8 460000.00000000 PA USD 459091.50000000 0.018163956906 Long ABS-CBDO CORP US N 2 2036-07-24 Floating 5.99700000 N N N N N N State of California N/A 13063DGE2 3765000.00000000 PA USD 3602347.11000000 0.142526876816 Long DBT MUN US N 2 2038-04-01 Fixed 4.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DSH6 1031663.96000000 PA USD 825896.93000000 0.032676615109 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83D7 676475.43000000 PA USD 627820.75000000 0.024839730310 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.50000000 N N N N N N ARES Commercial Mortgage Trust N/A 03990DAA5 100000.00000000 PA USD 99750.00000000 0.003946609121 Long ABS-MBS CORP US N 2 2041-07-15 Floating 6.01100000 N N N N N N Trinitas CLO Ltd 549300F3XEPDOX3FOP69 89641CAU5 500000.00000000 PA USD 497765.00000000 0.019694074077 Long ABS-CBDO CORP KY N 2 2035-01-25 Floating 5.37000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AR0 3024000.00000000 PA USD 2617445.31000000 0.103559233433 Long DBT US N 2 2032-01-15 Fixed 3.25000000 N N N N N N Dryden Senior Loan Fund N/A 26243EAA9 4281793.16000000 PA USD 4284469.28000000 0.169515043011 Long ABS-CBDO CORP KY N 2 2031-01-15 Floating 5.68400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307NNV2 62028.01000000 PA USD 59793.88000000 0.002365745084 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133L8JQ9 1007988.93000000 PA USD 917932.80000000 0.036318014648 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VMF4 400672.61000000 PA USD 377354.76000000 0.014930042484 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TNS0 199647.52000000 PA USD 188678.19000000 0.007465053289 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 4.00000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCA1 1739000.00000000 PA USD 1277234.51000000 0.050533788142 Long DBT CORP US N 2 2051-03-25 Fixed 3.95000000 N N N N N Colombia Government International Bonds 549300MHDRBVRF6B9117 195325EF8 115000.00000000 PA USD 118174.00000000 0.004675554749 Long DBT NUSS CO N 2 2033-04-20 Fixed 8.00000000 N N N N N N BRAVO Residential Funding Trust 254900TZWRKTBX2YNW23 10569NAC5 1247119.75000000 PA USD 1250964.74000000 0.049494424594 Long ABS-MBS CORP US N 2 2064-11-25 Variable 5.67800000 N N N N N N Home Equity Mortgage Trust N/A 225470W25 451837.67000000 PA USD 43460.41000000 0.001719511283 Long ABS-MBS CORP US N 2 2036-07-25 Variable 5.86700000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGJ4 8144900.00000000 PA USD 7983911.00000000 0.315883468433 Long DBT UST US N 2 2030-01-31 Fixed 3.50000000 N N N N N N APPLOVIN CORP 549300LLVXMUAOL3SQ07 03831WAC2 3819000.00000000 PA USD 3838373.90000000 0.151865277641 Long DBT CORP US N 2 2031-12-01 Fixed 5.37500000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBG7 219000.00000000 PA USD 219386.65000000 0.008680033623 Long DBT CORP US N 2 2059-02-14 Fixed 6.20000000 N N N N N N SONDER SECURED NOTES BND N/A 000000000 1810679.33000000 PA USD 1720145.36000000 0.068057557571 Long DBT CORP US Y 3 2027-01-19 Variable 13.56100000 N N N N N N Regional Management Issuance Trust N/A 758983AD2 102000.00000000 PA USD 105772.43000000 0.004184886586 Long ABS-O CORP US N 2 2036-07-15 Fixed 7.46000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 466330AL1 787000.00000000 PA USD 785032.50000000 0.031059813784 Long ABS-MBS CORP US N 2 2038-04-15 Floating 6.38400000 N N N N N N Palmer Square Loan Funding Ltd N/A 69702JAA2 270000.00000000 PA USD 270455.22000000 0.010700561786 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 9.56400000 N N N N N N Ajax Mortgage Loan Trust N/A 009740AB7 744000.00000000 PA USD 564997.69000000 0.022354135707 Long ABS-MBS CORP US N 2 2060-12-25 Variable 2.69300000 N N N N N N BX Trust N/A 05612TAL9 1180000.00000000 PA USD 1159341.86000000 0.045869365006 Long ABS-MBS CORP US N 2 2029-07-15 Floating 8.25700000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC 4474.83000000 0.000177046665 N/A DFE TR N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 304794.13000000 USD 12023035.67000000 TRY 2025-04-21 4474.83000000 N N N AEP TEXAS INC 5493001L78U618KXNZ75 00108WAN0 1070000.00000000 PA USD 722944.19000000 0.028603289568 Long DBT CORP US N 2 2051-05-15 Fixed 3.45000000 N N N N N N Quarzo Srl 815600702F68B2ED0B22 000000000 91073.14000000 PA 99285.37000000 0.003928226033 Long ABS-O CORP IT Y 2 2041-06-15 Floating 6.20100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H6PA1 1035959.03000000 PA USD 946057.80000000 0.037430780378 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N VEGAS Trust N/A 92254BAA3 970000.00000000 PA USD 947427.71000000 0.037484980872 Long ABS-MBS CORP US N 2 2036-07-10 Variable 6.21700000 N N N N N N Navient Student Loan Trust N/A 63942CAB8 146778.32000000 PA USD 138868.74000000 0.005494342215 Long ABS-O CORP US N 2 2060-04-15 Fixed 2.61000000 N N N N N N RTX CORP I07WOS4YJ0N7YRFE7309 75513EBZ3 740000.00000000 PA USD 794579.00000000 0.031437521092 Long DBT CORP US N 2 2028-11-01 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KEYV1 83104.14000000 PA USD 81125.90000000 0.003209746535 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.00000000 N N N N N N AMC Networks Inc 549300VGG9K75226LR46 00164V103 21427.00000000 NS USD 147417.76000000 0.005832584223 Long EC CORP US N 1 N N HUNGARY 5299003F3UFKGCCMAP43 000000000 50000.00000000 PA 56497.91000000 0.002235340019 Long DBT NUSS HU Y 2 2033-09-12 Fixed 5.37500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -114.14000000 -0.00000451594 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 2513581.65000000 TRY 66124.26000000 USD 2025-04-02 -114.14000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EEHB8 18715.95000000 PA USD 17445.57000000 0.000690234041 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.50000000 N N N N N N KSL Commercial Mortgage Trust N/A 500937AA5 6369000.00000000 PA USD 6361031.11000000 0.251674219545 Long ABS-MBS CORP US N 2 2039-12-15 Floating 5.86200000 N N N N N N Pfizer Inc 765LHXWGK1KXCLTFYQ30 717081EC3 137000.00000000 PA USD 124780.97000000 0.004936959542 Long DBT CORP US N 2 2036-12-15 Fixed 4.00000000 N N N N N N Cedar Funding Ltd 254900Q56WTD2BRLBE32 15032TBG0 510000.00000000 PA USD 509195.73000000 0.020146330952 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.90500000 N N N N N N Credit Suisse First Boston Mortgage Securities N/A 22540VHP0 202101.67000000 PA USD 204204.66000000 0.008079358133 Long ABS-O CORP US N 2 2031-09-25 Variable 8.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133L8KJ3 427828.18000000 PA USD 390688.27000000 0.015457582856 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 2.00000000 N N N N N N Quarzo Srl 815600702F68B2ED0B22 000000000 91073.14000000 PA 99464.79000000 0.003935324786 Long ABS-O CORP IT Y 2 2041-06-15 Floating 4.80100000 N N N N N N Countrywide Alternative Loan Trust N/A 02147TAP1 164217.35000000 PA USD 79614.64000000 0.003149953527 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.25000000 N N N N N N SOLVENTUM CORP 254900I70403OSGY4M28 83444MAT8 1102000.00000000 PA USD 1081974.46000000 0.042808323537 Long DBT CORP US N 2 2064-05-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKHJ2 1457474.97000000 PA USD 1484274.16000000 0.058725312665 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XR3E7 133977.67000000 PA USD 130245.86000000 0.005153177935 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.00000000 N N N N N N PIONEER MIDCO N/A 000000000 1331106.03000000 PA USD 1349475.29000000 0.053391994872 Long ABS-O CORP US Y 3 2030-11-18 Fixed 11.62500000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CK8 896000.00000000 PA USD 724058.65000000 0.028647383182 Long DBT CORP US N 2 2053-04-01 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138E7AT1 685619.51000000 PA USD 658827.40000000 0.026066508533 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 4.00000000 N N N N N N AGL Core CLO 15 Ltd 5493001O95I190NV0196 00121GAA6 250000.00000000 PA USD 250045.50000000 0.009893051138 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.70500000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CG7 671000.00000000 PA USD 412254.07000000 0.016310833814 Long DBT CORP US N 2 2062-06-30 Fixed 3.95000000 N N N N N N Nelnet Student Loan Trust N/A 64034YAC5 1640000.00000000 PA USD 1438445.64000000 0.056912107100 Long ABS-O CORP US N 2 2062-04-20 Fixed 2.90000000 N N N N N N J.P. Morgan Alternative Loan Trust N/A 466278AR9 110441.20000000 PA USD 97773.79000000 0.003868420365 Long ABS-MBS CORP US N 2 2037-05-25 Variable 4.89000000 N N N N N N Algoma Steel Group Inc 549300Q5EU337A1XCX27 015658107 44147.00000000 NS USD 239276.74000000 0.009466985108 Long EC CORP CA N 1 N N N MFT Trust N/A 55317BAG2 350781.00000000 PA USD 223619.31000000 0.008847498832 Long ABS-MBS CORP US N 2 2042-02-10 Variable 3.47700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HBPX0 40488.71000000 PA USD 39449.84000000 0.001560833066 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M4QV0 54514.03000000 PA USD 50877.33000000 0.002012961750 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 3.50000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92553PAW2 579000.00000000 PA USD 465716.10000000 0.018426059230 Long DBT CORP US N 2 2044-04-01 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERQ52 677993.04000000 PA USD 663827.33000000 0.026264330782 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307JA60 46870.95000000 PA USD 45404.52000000 0.001796430002 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 2.50000000 N N N N N N SPIRIT AIR 2017-1 PTT AA N/A 84858WAA4 145501.85000000 PA USD 131370.61000000 0.005197678673 Long DBT CORP US N 2 2030-02-15 Fixed 3.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBNR7 6924926.76000000 PA USD 6291109.06000000 0.248907753376 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 3.50000000 N N N N N N CLEAN HARBORS INC 5493000SJVZVZJKHJF48 184496AN7 72000.00000000 PA USD 70980.70000000 0.002808351659 Long DBT CORP US N 2 2027-07-15 Fixed 4.87500000 N N N N N N Goldman Home Improvement Trust Issuer Trust N/A 38149XAB5 308937.80000000 PA USD 298914.07000000 0.011826536292 Long ABS-O CORP US N 2 2051-06-25 Fixed 1.97000000 N N N N N N OHA Loan Funding Ltd N/A 67104LAE7 3424747.26000000 PA USD 3424921.92000000 0.135507048513 Long ABS-CBDO CORP KY N 2 2031-05-23 Floating 5.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WAFC6 285639.08000000 PA USD 279669.58000000 0.011065127973 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYWE5 380099.72000000 PA USD 323186.30000000 0.012786867162 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 2.00000000 N N N N N N Golden Bar Securitisation 549300GESLGUWWGJRM09 000000000 251635.76000000 PA 274443.19000000 0.010858345833 Long ABS-O CORP IT Y 2 2043-09-22 Floating 3.88700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179V7D6 689946.67000000 PA USD 564723.43000000 0.022343284610 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CLH2 13985500.00000000 PA USD 13942887.86000000 0.551650410081 Long DBT UST US N 2 2026-08-31 Fixed 3.75000000 N N N N N N Wells Fargo & Co PBLD0EJDB5FWOLXP3B76 949746101 1875.00000000 NS USD 134606.25000000 0.005325696782 Long EC CORP US N 1 N N N BX Trust N/A 05609BBM0 684050.45000000 PA USD 666949.19000000 0.026387847184 Long ABS-MBS CORP US Y 2 2036-02-15 Floating 7.43400000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -123560.74000000 -0.00488868113 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 13787136.41000000 PLN 3434733.34000000 USD 2025-04-14 -123560.74000000 N N N Synchrony Financial 549300RS7EWPM9MA6C78 87165BAP8 1339000.00000000 PA USD 1332776.77000000 0.052731317866 Long DBT CORP US N 2 2029-03-19 Fixed 5.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMJZ8 2463283.14000000 PA USD 1980807.61000000 0.078370660462 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NKJM4 405534.29000000 PA USD 408890.27000000 0.016177745054 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N Bundesrepublik Deutschland Bundesanleihe 529900AQBND3S6YJLY83 000000000 4447000.00000000 PA 4270127.49000000 0.168947610036 Long DBT NUSS DE Y 2 2054-08-15 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGR6 14800000.00000000 PA USD 14875850.00000000 0.588563060623 Long DBT UST US N 2 2026-03-15 Fixed 4.62500000 N N N N N N Velocity Commercial Capital Loan Trust N/A 92259LAH1 104570.77000000 PA USD 76882.55000000 0.003041858376 Long ABS-MBS CORP US N 2 2050-02-25 Variable 2.98000000 N N N N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 59259YBY4 170000.00000000 PA USD 185707.03000000 0.007347499333 Long DBT MUN US N 2 2039-11-15 Fixed 6.66800000 N N N N N N UZBEKISTAN INTL BOND 213800L6VDKUM3TCM927 000000000 119000.00000000 PA 130032.70000000 0.005144744259 Long DBT NUSS UZ Y 2 2027-05-29 Fixed 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QEBL5 2108949.41000000 PA USD 1783474.53000000 0.070563176418 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N Coreweave Compute Acquisition Co., IV, LLC N/A 000000000 2784000.00000000 PA USD 2766739.20000000 0.109466046746 Long LON CORP US Y 3 2029-05-16 Floating 10.32200000 N N N N N N Oriental Republic of Uruguay 549300RDR012H2V82H43 760942BG6 29000.00000000 PA USD 26520.50000000 0.001049283681 Long DBT NUSS UY N 2 2060-09-10 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFFP1 1212293.78000000 PA USD 981021.42000000 0.038814116134 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Emerald Technologies (US) Acquisitionco Inc N/A 29102UAB5 256483.25000000 PA USD 192362.44000000 0.007610820654 Long LON CORP US N 2 2027-12-29 Floating 10.67500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417KZW0 270864.75000000 PA USD 267554.20000000 0.010585782918 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.50000000 N N N N N N SHR Trust N/A 784234AG1 543000.00000000 PA USD 542999.67000000 0.021483783964 Long ABS-MBS CORP US N 2 2041-10-15 Floating 7.91900000 N N N N N N Regional Management Issuance Trust N/A 75907AAA1 261000.00000000 PA USD 262124.00000000 0.010370937035 Long ABS-O CORP US N 2 2033-12-15 Fixed 5.11000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -68.99000000 -0.00000272958 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 4470512533.00000000 IDR 269097.25000000 USD 2025-05-28 -68.99000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QE4W9 214286.49000000 PA USD 195181.66000000 0.007722363104 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 2.00000000 N N N N N N VANTAGE DRILL INTL LTD 549300T9QN1134QR7185 92210KAD0 25000.00000000 PA USD 25000.00000000 0.000989125093 Long DBT CORP KY N 2 2028-02-15 Fixed 9.50000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 26586000.00000000 PA 3650562.57000000 0.144434521670 Long DBT NUSS BR N 2 2035-01-01 Fixed 10.00000000 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AJ2 780000.00000000 PA USD 781550.64000000 0.030922053980 Long DBT US N 2 2028-04-01 Fixed 4.75000000 N N N N N N Angola Government International Bonds 549300QHR2R3J8JSGK83 000000000 200000.00000000 PA USD 177234.00000000 0.007012263869 Long DBT NUSS AO Y 2 2029-11-26 Fixed 8.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SW9 1431600.00000000 PA USD 1004356.88000000 0.039737383695 Long DBT UST US N 2 2041-02-15 Fixed 1.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XQQ42 2211129.71000000 PA USD 2294744.42000000 0.090791571519 Long ABS-MBS USGSE US N 2 2054-08-01 Fixed 6.50000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFS9 5959000.00000000 PA USD 6008791.74000000 0.237737867559 Long DBT CORP US N 2 2030-07-19 Fixed 5.04200000 N N N N N N Sequoia Mortgage Trust N/A 81744MAM4 135539.86000000 PA USD 107856.81000000 0.004267355089 Long ABS-MBS CORP US N 2 2037-07-20 Variable 4.79300000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 1303268.00000000 OU Notional Amount -104307.89000000 -0.00412694205 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 iTraxx Europe Crossover S43 2I667KLL0 Y buy protection 2030-06-20 0.00000000 EUR -109069.26000000 EUR 1303268.00000000 EUR 14362.02000000 N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBM4 2592000.00000000 PA USD 1900927.28000000 0.075210194909 Long DBT CORP US N 2 2041-02-04 Fixed 3.40000000 N N N N N N ABRA GLOBAL FINANCE N/A 000852AC7 318814.00000000 PA USD 303829.74000000 0.012021024794 Long DBT CORP KY N 2 2029-10-22 Fixed 14.00000000 N N N N N N Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC 1740.66000000 0.000068869219 N/A DFE US N 2 Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 221564.25000000 EUR 242353.18000000 USD 2025-06-18 1740.66000000 N N N United States Steel Corp JNLUVFYJT1OZSIQ24U47 912909108 27285.00000000 NS USD 1153064.10000000 0.045620985408 Long EC CORP US N 1 N N N United States Treasury 254900HROIFWPRGM1V77 91282CJT9 10412300.00000000 PA USD 10423281.75000000 0.412397181237 Long DBT UST US N 2 2027-01-15 Fixed 4.00000000 N N N N N N BX Trust N/A 12434GAG0 826274.19000000 PA USD 825241.35000000 0.032650677084 Long ABS-MBS CORP US N 2 2040-12-09 Floating 7.90800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERRX0 149639.87000000 PA USD 146434.35000000 0.005793675602 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.50000000 N N N N N N MGM RESORTS INTL 54930066VBP7DZEGGJ87 552953CJ8 12000.00000000 PA USD 11767.08000000 0.000465564564 Long DBT CORP US N 2 2032-04-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QAAJ9 49368.48000000 PA USD 46568.21000000 0.001842471401 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFGV7 1733820.06000000 PA USD 1395312.69000000 0.055205551773 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CAY5 249000.00000000 PA USD 255594.12000000 0.010112582309 Long DBT CORP US N 2 2045-10-15 Fixed 6.35000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 15578000.00000000 OU Notional Amount 3575.82000000 0.000141477331 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-03-07 69.52000000 MXN 0.00000000 MXN 15578000.00000000 MXN 3572.33000000 N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 124857AT0 417000.00000000 PA USD 400529.56000000 0.015846953532 Long DBT CORP US N 2 2028-02-15 Fixed 3.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRT4 5701481.26000000 PA USD 5128944.27000000 0.202926699134 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 3.00000000 N N N N N N Palmer Square CLO Ltd N/A 69701WAJ5 390000.00000000 PA USD 388243.05000000 0.015360837718 Long ABS-CBDO CORP KY N 2 2038-04-20 Floating 5.47200000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC N/A 329.05000000 0.000013018864 N/A DFE XX N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 428021.13000000 GBP 511000.00000000 EUR 2025-04-24 329.05000000 N N N BlueMountain EUR CLO 635400FUA3XKDDGLJL55 000000000 560000.00000000 PA 602500.18000000 0.023837921864 Long ABS-CBDO CORP IE N 2 2035-10-15 Floating 4.53500000 N N N N N N Symphony CLO Ltd N/A 87166VAY4 250000.00000000 PA USD 248589.75000000 0.009835454384 Long ABS-CBDO CORP KY N 2 2032-01-16 Floating 5.85800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H032654 8336000.00000000 PA USD 7608593.14000000 0.301034015905 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 3.50000000 N N N N N N EQT Corp 4NT01YGM4X7ZX86ISY52 26884LAF6 2789000.00000000 PA USD 2739098.43000000 0.108372439578 Long DBT CORP US N 2 2027-10-01 Fixed 3.90000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 733000.00000000 OU Notional Amount USD 69188.35000000 0.002737437325 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Turkiye Government International Bonds Turkiye Government International Bonds Y buy protection 2030-06-20 57663.82000000 USD 0.00000000 USD 733000.00000000 USD 11524.53000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QEJX1 2712744.09000000 PA USD 2294075.42000000 0.090765102531 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.50000000 N N N N N N Alorica Inc 549300I7BKCLNE05U640 000000000 797133.19000000 PA USD 788205.30000000 0.031185345628 Long LON CORP US Y 3 2027-12-21 Floating 11.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRF4 501345.14000000 PA USD 461676.13000000 0.018266217801 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N Elmwood CLO VI Ltd. N/A 29001VAU3 360000.00000000 PA USD 360199.08000000 0.014251277940 Long ABS-CBDO CORP KY N 2 2037-07-18 Floating 5.67300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFNC6 158605.11000000 PA USD 152549.89000000 0.006035636965 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XNA0 392575.70000000 PA USD 335007.22000000 0.013254561906 Long ABS-MBS USGA US N 2 2052-12-20 Fixed 2.50000000 N N N N N N Palmer Square CLO Ltd 5493006ZPBFJJGSXB826 69689ABY5 250000.00000000 PA USD 250027.00000000 0.009892319185 Long ABS-CBDO CORP KY N 2 2034-05-21 Floating 5.93000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UQ62 177892.23000000 PA USD 172957.95000000 0.006843081935 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 4.50000000 N N N N N N FNB CORP PCYSKIGYNYFDTBLVZU83 000000000 1328000.00000000 PA USD 1326633.61000000 0.052488263717 Long DBT CORP US N 2 2030-12-11 Fixed 5.72200000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46642NBF2 92420.97000000 PA USD 0.92000000 0.000000036399 Long ABS-MBS CORP US N 2 2047-09-15 Variable 0.40000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TB4 6549100.00000000 PA USD 3767011.60000000 0.149041827976 Long DBT UST US N 2 2051-11-15 Fixed 1.87500000 N N N N N N Onslow Bay Financial LLC 254900MBGY6CR10DAX67 67448YAC8 720905.86000000 PA USD 723251.62000000 0.028615453037 Long ABS-MBS CORP US N 2 2064-12-01 Variable 5.64800000 N N N N N N VISTA OIL & GAS ARGENTIN 549300FE4UJNCG1DB123 92841RAA8 194000.00000000 PA USD 188762.00000000 0.007468369232 Long DBT CORP AR N 2 2035-12-10 Fixed 7.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9MV4 30562.13000000 PA USD 28677.76000000 0.001134635681 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XTDH5 186937.86000000 PA USD 183800.47000000 0.007272066279 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.50000000 N N N N N N BX Trust 2019-OC11 N/A 05606FAL7 1743000.00000000 PA USD 1598018.48000000 0.063225607109 Long ABS-MBS CORP US N 2 2041-12-09 Variable 3.94400000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216DC1 137000.00000000 PA USD 81894.04000000 0.003240137997 Long DBT CORP US N 2 2051-03-15 Fixed 2.50000000 N N N N N N GreenPoint Mortgage Funding Trust N/A 39538WGJ1 82403.70000000 PA USD 76519.30000000 0.003027486389 Long ABS-MBS CORP US N 2 2036-03-25 Floating 6.63500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X55F0 185454.68000000 PA USD 180755.10000000 0.007151576204 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N Venture CDO Ltd 549300UP09C89Q3HWD39 92325QAC1 261896.41000000 PA USD 262049.10000000 0.010367973616 Long ABS-CBDO CORP KY N 2 2031-07-18 Floating 5.62500000 N N N N N N Eaton Vance CDO Ltd 5493001O5CL3BBUIEH94 27830BBQ6 250000.00000000 PA USD 248400.00000000 0.009827946924 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 6.11400000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 502431AT6 427000.00000000 PA USD 434876.31000000 0.017205882823 Long DBT CORP US N 2 2031-06-01 Fixed 5.25000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BW8 37000.00000000 PA USD 38126.03000000 0.001508456518 Long DBT CORP US N 2 2029-02-01 Fixed 5.87500000 N N N N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287Y109 578.00000000 NS USD 121102.56000000 0.004791423237 Long EC CORP US N 1 N N N FOUNDRY JV HOLDCO LLC 21380048QROAMGM6EP30 350930AH6 646000.00000000 PA USD 661370.14000000 0.026167112050 Long DBT CORP US N 2 2036-01-25 Fixed 6.10000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 8309049195.00000000 OU Notional Amount -22433.55000000 -0.00088758348 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2027-03-12 27004.00000000 JPY 0.00000000 JPY 8309049195.00000000 JPY -22615.56000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9PE9 171713.34000000 PA USD 161090.44000000 0.006373543858 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4.00000000 N N N N N N Origen Manufactured Housing N/A 68619AAG2 155582.56000000 PA USD 155416.80000000 0.006149066270 Long ABS-O CORP US N 2 2032-03-15 Variable 7.82000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 52000.00000000 OU Notional Amount USD 4576.88000000 0.000181084274 N/A DFE LU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 Call Purchased Standard Chartered Bank RILFO74KP1CM8P6PCT96 Standard Chartered Bank RILFO74KP1CM8P6PCT96 N/A 1.00000000 NC USD 4576.88000000 0.00000000 DFE US 1799200.00000000 TWD 52000.00000000 USD 2025-08-29 1.00000000 34.60000000 USD 2025-08-29 XXXX 598.88000000 N N N Washington Mutual Bank N/A 939MMIBF0 2190000.00000000 PA USD 0.22000000 0.000000008704 Long DBT CORP US N 3 2049-09-19 None 0.00000000 Y N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWSB1 2361749.37000000 PA USD 2086075.28000000 0.082535576218 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 1.50000000 N N N N N N BX Trust N/A 05613NAA5 1240000.00000000 PA USD 1241548.76000000 0.049121881310 Long ABS-MBS CORP US N 2 2041-10-15 Floating 7.19600000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -4809.09000000 -0.00019027166 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 122902.98000000 EUR 128391.62000000 USD 2025-05-14 -4809.09000000 N N N BX Trust 2019-OC11 N/A 05606FAA1 2018000.00000000 PA USD 1863272.07000000 0.073720366385 Long ABS-MBS CORP US N 2 2041-12-09 Fixed 3.20200000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JN8 2404000.00000000 PA USD 2007419.21000000 0.079423548515 Long DBT CORP US N 2 2050-07-01 Fixed 4.95000000 N N N N N N Octagon Investment Partners 37 Ltd N/A 67591VAE5 250000.00000000 PA USD 250036.50000000 0.009892695053 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 6.14200000 N N N N N N CNX RESOURCES CORP 549300JK3KH8PWM3B226 12653CAL2 978000.00000000 PA USD 994498.86000000 0.039347351097 Long DBT CORP US N 2 2032-03-01 Fixed 7.25000000 N N N N N N Flagstar Financial Inc 529900HVXOTLY61GL030 649445400 35731.00000000 NS USD 415194.22000000 0.016427160859 Long EC CORP US N 1 N N N ELM Trust 2024 N/A 26860XAC5 6760000.00000000 PA USD 119857.50000000 0.004742162433 Long ABS-MBS CORP US N 2 2039-06-10 Variable 1.45700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QMPY1 56300.14000000 PA USD 53847.49000000 0.002130476142 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 4.00000000 N N N N N N Great Wolf Trust N/A 362414AA2 2672000.00000000 PA USD 2671165.00000000 0.105684653168 Long ABS-MBS CORP US N 2 2041-05-15 Floating 6.01000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QT4C0 2911981.30000000 PA USD 3016608.26000000 0.119352117035 Long ABS-MBS USGSE US N 2 2054-02-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJVT7 791844.54000000 PA USD 721528.01000000 0.028547258401 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGPU7 1840902.52000000 PA USD 1466260.21000000 0.058012590666 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KT3 414000.00000000 PA USD 392108.53000000 0.015513775449 Long DBT CORP US N 2 2054-10-01 Fixed 5.90000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AS8 71000.00000000 PA USD 73278.96000000 0.002899282325 Long DBT CORP CO N 2 2033-01-13 Fixed 8.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMKJ3 1339155.50000000 PA USD 1265145.36000000 0.050055480877 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4.00000000 N N N N N N CIFC Funding Ltd N/A 12565EAJ0 280000.00000000 PA USD 278639.48000000 0.011024372063 Long ABS-CBDO CORP KY N 2 2038-01-15 Floating 5.56900000 N N N N N N Birch Grove CLO Ltd. N/A 09076VAU5 250000.00000000 PA USD 248627.75000000 0.009836957854 Long ABS-CBDO CORP KY N 2 2038-01-19 Floating 5.90500000 N N N N N N UZBEKISTAN INTL BOND 213800L6VDKUM3TCM927 000000000 124000.00000000 PA 135496.26000000 0.005360910031 Long DBT NUSS UZ N 2 2027-05-29 Fixed 5.37500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RK6 17887000.00000000 PA USD 12896107.73000000 0.510234550341 Long DBT UST US N 2 2045-02-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGVN6 308333.69000000 PA USD 271143.99000000 0.010727812973 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2978000.00000000 OU Notional Amount 79821.49000000 0.003158137548 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2054-03-01 0.00000000 EUR -35711.47000000 EUR 2978000.00000000 EUR 118604.43000000 N N N Australia & New Zealand Banking Group Ltd. JHE42UYNWWTJB8YTTU19 000000000 1.00000000 NC 688.42000000 0.000027237339 N/A DFE US N 2 Australia & New Zealand Banking Group Ltd. JHE42UYNWWTJB8YTTU19 486754.72000000 EUR 527638.37000000 USD 2025-04-24 688.42000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H052645 15017000.00000000 PA USD 15047862.49000000 0.595368735430 Long ABS-MBS USGA US N 2 2055-04-20 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJJ25 116232.95000000 PA USD 109947.43000000 0.004350070477 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 4.00000000 N N N N N N SCG Hotel Issuer Inc N/A 78436EAA7 2258000.00000000 PA USD 2259408.31000000 0.089393498195 Long ABS-MBS CORP US N 2 2041-04-15 Floating 6.06000000 N N N N N N New York State Dormitory Authority 549300C8XO7EXTX2XU71 6499022F9 355000.00000000 PA USD 357534.27000000 0.014145844723 Long DBT MUN US N 2 2040-03-15 Fixed 5.38900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418RGR6 4992.55000000 PA USD 4925.84000000 0.000194890877 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 4.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 3284.92000000 0.000129967872 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 5338848.03000000 ZAR 293496.90000000 USD 2025-05-14 3284.92000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335B2J4 792159.23000000 PA USD 773981.37000000 0.030622575785 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.50000000 N N N N N N BLUE OWL CREDIT INCOME 5493003I42XBWPE05N35 69120VAF8 171000.00000000 PA USD 168884.17000000 0.006681902814 Long DBT CORP US N 2 2027-02-08 Fixed 4.70000000 N N N N N N FORESTAR GROUP INC 549300BC2UB0GHV60V70 346232AE1 287000.00000000 PA USD 280829.10000000 0.011111004386 Long DBT CORP US N 2 2028-03-01 Fixed 5.00000000 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 1517000.00000000 PA USD 1517101.64000000 0.060024132033 Long DBT US N 2 2028-02-15 Fixed 4.75000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBV2 136000.00000000 PA USD 130761.66000000 0.005173585564 Long DBT CORP US N 2 2037-05-15 Fixed 4.92600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HRMP2 636850.94000000 PA USD 573522.32000000 0.022691412725 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFGW5 1720915.02000000 PA USD 1387411.52000000 0.054892941953 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12642MAJ9 2614509.66000000 PA USD 1030116.54000000 0.040756564739 Long ABS-MBS CORP US N 2 2037-10-27 Fixed 6.50000000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBT2 480000.00000000 PA USD 325659.65000000 0.012884725264 Long DBT US N 2 2052-02-15 Fixed 3.40000000 N N N N N N Bayview Financial Revolving Mortgage Loan Trust N/A 073250BV3 93517.95000000 PA USD 98222.59000000 0.003886177138 Long ABS-MBS CORP US N 2 2040-12-28 Floating 5.44200000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TV0 12928400.00000000 PA USD 13214743.89000000 0.522841391197 Long DBT UST US N 2 2053-11-15 Fixed 4.75000000 N N N N N N UK Logisitics 635400H22JMICKOJRJ36 000000000 202000.00000000 PA 261458.10000000 0.010344590699 Long ABS-MBS CORP GB Y 2 2034-05-17 Floating 6.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFUZ2 309109.93000000 PA USD 249853.86000000 0.009885468900 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N MHC Commercial Mortgage Trust N/A 55316VAJ3 602400.01000000 PA USD 600894.01000000 0.023774373742 Long ABS-MBS CORP US N 2 2038-04-15 Floating 6.53400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XERE0 168818.61000000 PA USD 165637.96000000 0.006553466503 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 10495.05000000 0.000415236692 N/A DFE BR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 391000.00000000 USD 2291111.42000000 BRL 2025-04-02 10495.05000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FDW3 25315.85000000 PA USD 24930.26000000 0.000986365829 Long ABS-MBS USGA US N 2 2040-01-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QEB50 1346978.29000000 PA USD 1144268.51000000 0.045272987857 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N Progress Residential Trust N/A 74333WAN2 1233126.55000000 PA USD 1168323.90000000 0.046224739452 Long ABS-O CORP US N 2 2040-12-17 Fixed 4.60800000 N N N N N N One Bryant Park Trust N/A 68236JAA9 128000.00000000 PA USD 114279.88000000 0.004521483877 Long ABS-MBS CORP US N 2 2054-09-15 Fixed 2.51600000 N N N N N N Voyager OPTONE Delaware Trust N/A 92911BAA8 2823966.05000000 PA USD 619631.24000000 0.024515712317 Long ABS-MBS CORP US N 2 2038-02-25 Variable 5.99400000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 466330AQ0 450000.00000000 PA USD 448312.50000000 0.017737485731 Long ABS-MBS CORP US N 2 2038-04-15 Floating 7.63400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XATV4 1008659.86000000 PA USD 815216.84000000 0.032254057309 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Tricon Residential N/A 89614YAG1 795000.00000000 PA USD 766996.76000000 0.030346229664 Long ABS-O CORP US N 2 2038-07-17 Fixed 3.69200000 N N N N N N Rad CLO Ltd N/A 74936GAG3 250000.00000000 PA USD 249664.50000000 0.009877976871 Long ABS-CBDO CORP KY N 2 2036-04-17 Floating 8.45300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBG95 1722596.66000000 PA USD 1521509.51000000 0.060198529426 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416VGJ7 114095.86000000 PA USD 115985.94000000 0.004588984147 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312943Q63 78209.96000000 PA USD 75322.52000000 0.002980135784 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307MNN2 144401.18000000 PA USD 140020.19000000 0.005539899338 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 4285.50000000 0.000169555823 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 7582472.60000000 TRY 195503.16000000 USD 2025-05-07 4285.50000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJH35 108817.63000000 PA USD 101935.75000000 0.004033088328 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 3.00000000 N N N N N N Bayview Financial Acquisition Trust N/A 073250BE1 2877029.48000000 PA USD 2415321.78000000 0.095562215216 Long ABS-MBS CORP US N 2 2039-05-28 Floating 5.44200000 N N N N N N Avoca CLO 5493000BN1WPGQDK4X78 000000000 250000.00000000 PA 269537.19000000 0.010664239925 Long ABS-CBDO CORP IE N 2 2035-04-15 Floating 5.68500000 N N N N N N Sound Point CLO LTD 549300Q00FJ0WHHYC788 83608GAN6 179656.67000000 PA USD 179739.49000000 0.007111393590 Long ABS-CBDO CORP KY N 2 2031-01-26 Floating 5.63200000 N N N N N N Golden Ray S.A. N/A 000000000 100000.00000000 PA 106884.64000000 0.004228891179 Long ABS-O CORP LU Y 2 2057-12-27 Floating 4.56500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPJ54 219961.30000000 PA USD 214570.29000000 0.008489474322 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 3.00000000 N N N N N N Thermo Fisher Scientific Inc HCHV7422L5HDJZCRFL38 883556102 238.00000000 NS USD 118428.80000000 0.004685635912 Long EC CORP US N 1 N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KD8 4336000.00000000 PA USD 3740389.13000000 0.147988509851 Long DBT CORP US N 2 2052-03-01 Fixed 5.25000000 N N N N N N Costco Wholesale Corp 29DX7H14B9S6O3FD6V18 22160K105 134.00000000 NS USD 126734.52000000 0.005014251755 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WD7A3 5498.73000000 PA USD 5303.07000000 0.000209815984 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 2.50000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XEF9 316000.00000000 PA USD 317320.02000000 0.012554767772 Long DBT CORP US N 2 2026-04-06 Fixed 5.40000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 480000.00000000 OU Notional Amount USD -3841.23000000 -0.00015197827 N/A DCR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Avis Budget Car Rental LLC/Avis Budget Finance, Inc. Avis Budget Car Rental LLC/Avis Budget Finance, Inc. Y buy protection 2025-06-20 2650.45000000 USD 0.00000000 USD 480000.00000000 USD -6491.68000000 N N N CONNECT FINCO SARL/CONNE N/A 20752TAB0 200000.00000000 PA USD 182345.78000000 0.007214511464 Long DBT CORP XX N 2 2029-09-15 Fixed 9.00000000 N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 890000.00000000 OU Notional Amount 2681.36000000 0.000106088018 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-03-19 9.86000000 PLN 0.00000000 PLN 890000.00000000 PLN 2678.89000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB37 6255000.00000000 PA USD 6223811.01000000 0.246245105777 Long DBT CORP US N 2 2035-07-23 Fixed 5.33000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAV8 591000.00000000 PA USD 583121.57000000 0.023071207087 Long DBT CORP US N 2 2029-07-23 Fixed 4.20300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H022648 -217000.00000000 PA USD -185066.73000000 -0.00732216586 Short ABS-MBS USGA US N 2 2055-04-20 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TQ1 3561500.00000000 PA USD 3259607.24000000 0.128966372583 Long DBT UST US N 2 2043-02-15 Fixed 3.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31292LGU3 574654.25000000 PA USD 536338.86000000 0.021220248992 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J7MC6 330407.45000000 PA USD 311838.14000000 0.012337877169 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N Regatta XXVII Funding Ltd. 213800A3LAH3GG226R43 758970AA5 470000.00000000 PA USD 470695.60000000 0.018623073166 Long ABS-CBDO CORP JE N 2 2037-04-26 Floating 5.83000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133L8AU9 690253.68000000 PA USD 631007.32000000 0.024965806964 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 2.00000000 N N N N N N Bankers Healthcare Group Securitization Trust N/A 08862BAC9 130000.00000000 PA USD 122273.96000000 0.004837769682 Long ABS-O CORP US N 2 2034-10-17 Fixed 2.24000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNJL7 312630.50000000 PA USD 284862.49000000 0.011270585477 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 2.00000000 N N N N N N SMB Private Education Loan Trust N/A 83208AAF0 69429.49000000 PA USD 61793.82000000 0.002444872718 Long ABS-O CORP US N 2 2053-01-15 Fixed 3.00000000 N N N N N N Velocity Commercial Capital Loan Trust N/A 92258DAN7 240372.54000000 PA USD 202787.55000000 0.008023290170 Long ABS-MBS CORP US N 2 2051-12-26 Variable 4.48000000 N N N N N N 720 East CLO Ltd. N/A 81800WAA9 970000.00000000 PA USD 967867.94000000 0.038293698648 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 5.37800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181GFM6 476128.96000000 PA USD 447917.36000000 0.017721852015 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 3.50000000 N N N N N N AGL Core CLO 549300EIBQDZ5WXOZ105 001200AJ3 950000.00000000 PA USD 946600.90000000 0.037452268132 Long ABS-CBDO CORP KY N 2 2037-07-20 Floating 5.75300000 N N N N N N Toronto-Dominion Bank PT3QB789TSUIDF371261 000000000 1.00000000 NC -2670.00000000 -0.00010563855 N/A DFE ZA N 2 Toronto-Dominion Bank PT3QB789TSUIDF371261 248140.00000000 USD 4508486.13000000 ZAR 2025-04-24 -2670.00000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCE4 948000.00000000 PA USD 658523.59000000 0.026054488289 Long DBT CORP US N 2 2052-04-22 Fixed 3.32800000 N N N N N GLP CAPITAL LP / FIN II N/A 361841AQ2 3155000.00000000 PA USD 2941171.45000000 0.116367459367 Long DBT US N 2 2031-01-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128PY3W2 6120.89000000 PA USD 6006.27000000 0.000237638094 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J55S4 305163.26000000 PA USD 298787.77000000 0.011821539232 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.50000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AQ0 400000.00000000 PA USD 370327.01000000 0.014651989529 Long DBT CORP US Y 2 2027-04-15 Fixed 5.50000000 N N N N N N Soundview Home Equity Loan Trust N/A 83611MBW7 13173.92000000 PA USD 11001.59000000 0.000435277949 Long ABS-O CORP US N 2 2035-01-25 Floating 5.23000000 N N N N N N PROMIGAS/GASES PACIFICO N/A 74348DAA5 207000.00000000 PA USD 192928.14000000 0.007633202577 Long DBT CORP XX N 2 2029-10-16 Fixed 3.75000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 3557.78000000 0.000140763578 N/A DFE IN N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 192000.00000000 USD 16732800.00000000 INR 2025-04-16 3557.78000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KPKT4 1307641.45000000 PA USD 1252987.23000000 0.049574444419 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLH6 544853.99000000 PA USD 440648.38000000 0.017434254794 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.00000000 N N N N N N SMB Private Education Loan Trust N/A 83208AAG8 36791.88000000 PA USD 33037.08000000 0.001307112193 Long ABS-O CORP US N 2 2053-01-15 Fixed 3.93000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 1838000.00000000 OU Notional Amount USD -98320.13000000 -0.00389003630 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.HY.S43 2I65BRAD3 Y buy protection 2029-12-20 0.00000000 USD -109839.66000000 USD 1838000.00000000 USD 11519.53000000 N N N Czech Republic 3157007EFDLQABN47912 000000000 6790000.00000000 PA 289333.35000000 0.011447475069 Long DBT NUSS CZ Y 2 2036-12-04 Fixed 4.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRB86 1921460.12000000 PA USD 1937360.18000000 0.076651662733 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 03846JAC4 634000.00000000 PA USD 423131.60000000 0.016741203329 Long DBT NUSS EG N 2 2061-02-16 Fixed 7.50000000 N N N N N N VERITAS SERIES G PREFERRED STO N/A 000000000 2000.00000000 NS USD 40000.00000000 0.001582600148 Long EP CORP US N 2 N N N PG&E CORP 8YQ2GSDWYZXO2EDN3511 69331CAJ7 5358000.00000000 PA USD 5143639.28000000 0.203508107259 Long DBT CORP US N 2 2030-07-01 Fixed 5.25000000 N N N N N N NEWDAY FUNDING N/A 000000000 100000.00000000 PA 129320.13000000 0.005116551424 Long ABS-O CORP GB Y 2 2032-07-15 Floating 5.86300000 N N N N N N PERMIAN RESOURC OPTG LLC 5493004CTVUMQLRPOE23 15138AAA8 23000.00000000 PA USD 22899.14000000 0.000906004559 Long DBT CORP US N 2 2026-01-15 Fixed 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WEF61 48049.57000000 PA USD 46290.09000000 0.001831467583 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 2.50000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HBA5 414000.00000000 PA USD 358560.82000000 0.014186460177 Long DBT CORP XX N 2 2031-05-11 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJP7 7323200.00000000 PA USD 7374691.25000000 0.291779686757 Long DBT UST US N 2 2026-12-15 Fixed 4.37500000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 933636AA0 3814202.69000000 PA USD 3465118.85000000 0.137097440198 Long ABS-MBS CORP US N 2 2037-04-25 Variable 3.72700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KLUA3 9050364.03000000 PA USD 7651452.88000000 0.302729761678 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N COLOMBIA TELECOMUNICACIO 549300CK4YN0V1C3MN55 19533PAC4 200000.00000000 PA USD 180018.31000000 0.007122425105 Long DBT CORP CO N 2 2030-07-17 Fixed 4.95000000 N N N N N N UMBS, TBA N/A 01F012445 -2697000.00000000 PA USD -2366064.72000000 -0.09361335945 Short ABS-MBS USGSE US N 2 2040-04-01 Fixed 1.50000000 N N N N N N Carlyle Global Market Strategies N/A 14310MAW7 292559.38000000 PA USD 292627.84000000 0.011577821578 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 5.53400000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 95000.00000000 OU Notional Amount USD 2083.16000000 0.000082420233 N/A DFE US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Purchased Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A 1.00000000 NC USD 2083.16000000 0.00000000 DFE US 3800000.00000000 TRY 95000.00000000 USD 2025-05-29 1.00000000 40.00000000 USD 2025-05-29 XXXX 510.92000000 N N N Structured Asset Mortgage Investments Inc N/A 86360JAE1 117672.91000000 PA USD 82731.90000000 0.003273287931 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.85500000 N N N N N N REPUBLIC OF VENEZUELA 529900XM8PJTJK5OJI77 000000000 211400.00000000 PA USD 42282.97000000 0.001672925865 Long DBT NUSS VE Y 2 2031-08-05 None 0.00000000 Y N N N N N Foundation Finance Trust N/A 35040VAB5 227000.00000000 PA USD 225441.19000000 0.008919581521 Long ABS-O CORP US N 2 2050-03-15 Fixed 4.93000000 N N N N N N Cascade Funding Mortgage Trust 9845005986F840FBE847 12530XAD3 161000.00000000 PA USD 148660.35000000 0.005881747301 Long ABS-MBS CORP US N 2 2034-06-25 Variable 3.00000000 N N N N N N BNP Paribas Securities Services 549300WCGB70D06XZS54 000000000 6246000.00000000 OU Notional Amount -114320.14000000 -0.00452307676 N/A DIR US N 2 BNP Paribas Securities Services 549300WCGB70D06XZS54 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 6246000.00000000 BRL -114320.14000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 2048300.00000000 PA 82142.19000000 0.003249956053 Long DBT NUSS MX N 2 2042-11-13 Fixed 7.75000000 N N N N N N SONDER WARRANTS N/A 000000000 4323.00000000 NS USD 8602.77000000 0.000340368627 N/A DE US Y 1 N/A N/A Call Purchased Sonder Holdings Inc Sonder Holdings Inc 1.00000000 1.00000000 USD 2099-12-31 XXXX 8602.77000000 N N N AES ANDES SA 549300IF4IFG0FS0RM26 00111VAC1 285000.00000000 PA USD 294365.10000000 0.011646556277 Long DBT CORP CL N 2 2055-06-10 Fixed 8.15000000 N N N N N N Wells Fargo Commercial Mortgage Trust 54930012YCNUERXJ1I74 95004AAE3 640000.00000000 PA USD 656556.16000000 0.025976646914 Long ABS-MBS CORP US N 2 2043-07-15 Fixed 6.21500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XEFF0 15653.55000000 PA USD 15325.52000000 0.000606354255 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KNCZ4 4854206.20000000 PA USD 4099405.48000000 0.162192993075 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N NGP XI Midstream Holdings LLC 2549002U9Q0WZYCHRJ82 62927UAB9 203490.00000000 PA USD 204761.81000000 0.008101401774 Long LON CORP US N 2 2031-07-25 Floating 7.79900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNTW3 1004856.80000000 PA USD 992935.71000000 0.039285505062 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KE3D5 217566.05000000 PA USD 209845.31000000 0.008302530471 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 2.50000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95001XBF2 4594751.35000000 PA USD 195963.85000000 0.007753310454 Long ABS-MBS CORP US N 2 2052-05-15 Variable 1.38900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WH3T7 420758.56000000 PA USD 402877.10000000 0.015939833961 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N AEP TEXAS INC 5493001L78U618KXNZ75 00108WAR1 163000.00000000 PA USD 164009.37000000 0.006489031334 Long DBT CORP US N 2 2033-06-01 Fixed 5.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GLT1 1086110.38000000 PA USD 976832.44000000 0.038648379124 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N Banc of America Alternative Loan Trust N/A 059469AD8 239844.73000000 PA USD 67176.46000000 0.002657836889 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.49800000 N N N N N N Micron Technology Inc B3DXGBC8GAIYWI2Z0172 595112103 1437.00000000 NS USD 124860.93000000 0.004940123160 Long EC CORP US N 1 N N N PERMIAN RESOURC OPTG LLC 5493004CTVUMQLRPOE23 27034RAA1 358000.00000000 PA USD 364765.35000000 0.014431942430 Long DBT CORP US N 2 2027-04-15 Fixed 8.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SC3 2681000.00000000 PA USD 2086886.22000000 0.082567661062 Long DBT UST US N 2 2048-05-15 Fixed 3.12500000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 10850.61000000 0.000429304425 N/A DFE EG N 2 Citibank NA E57ODZWZ7FF32TWEFA76 203619.10000000 USD 11258100.00000000 EGP 2025-06-23 10850.61000000 N N N Battalion CLO LTD 549300WH2OE0BGHQQP83 07132ACC5 410106.06000000 PA USD 410205.72000000 0.016229790838 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 5.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EP6D1 71473.82000000 PA USD 68571.68000000 0.002713038774 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFVC2 112547.78000000 PA USD 102551.27000000 0.004057441379 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XHBF7 375015.04000000 PA USD 367251.56000000 0.014530309338 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.50000000 N N N N N N Oak Hill European Credit Partners PLC 635400RBBBEHFZ8TOH13 000000000 250000.00000000 PA 270459.81000000 0.010700743389 Long ABS-CBDO CORP IE N 2 2035-01-21 Floating 4.64400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCS8 25300000.00000000 PA USD 21343910.09000000 0.844471882160 Long DBT UST US N 2 2031-08-15 Fixed 1.25000000 N N N N N N TURKIYE GOVERNMENT BOND 5493000PCHOG3B6S3Q85 000000000 10052000.00000000 PA 224663.25000000 0.008888802322 Long DBT NUSS TR N 2 2033-10-05 Fixed 26.20000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 15231500.00000000 OU Notional Amount -4865.20000000 -0.00019249165 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2026-06-06 72.39000000 ZAR 0.00000000 ZAR 15231500.00000000 ZAR -4869.03000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 226373AT5 4553000.00000000 PA USD 4780312.94000000 0.189133099265 Long DBT CORP US N 2 2031-02-01 Fixed 7.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YXK95 69489.04000000 PA USD 67621.89000000 0.002675460329 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFYM2 160487.65000000 PA USD 154277.75000000 0.006103999753 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N Olympic Tower Mortgage Trust N/A 68162MAC6 13300000.00000000 PA USD 88681.74000000 0.003508693373 Long ABS-MBS CORP US N 2 2039-05-10 Variable 0.37900000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 15559000.00000000 OU Notional Amount -6644.63000000 -0.00026289481 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-03-19 172.24000000 ZAR 0.00000000 ZAR 15559000.00000000 ZAR -6653.83000000 N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC -786.75000000 -0.00003112776 N/A DFE CZ N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 884000.00000000 USD 20377844.24000000 CZK 2025-04-24 -786.75000000 N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 677415CU3 189000.00000000 PA USD 117214.76000000 0.004637602415 Long DBT CORP US N 2 2051-10-01 Fixed 2.90000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382VHH5 1389395.19000000 PA USD 238066.61000000 0.009419106310 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DVA2 242242.49000000 PA USD 227342.38000000 0.008994802110 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLU7 1631722.95000000 PA USD 1320170.19000000 0.052232538481 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AR8 584000.00000000 PA USD 508803.94000000 0.020130829780 Long DBT CORP US N 2 2031-01-15 Fixed 2.15000000 N N N N N N TICP CLO Ltd 254900JG2DPAYUCW8T83 87246MAS1 820000.00000000 PA USD 820529.72000000 0.032464261426 Long ABS-CBDO CORP KY N 2 2034-01-15 Floating 5.68400000 N N N N N N Navient Student Loan Trust N/A 63941XAB3 450000.00000000 PA USD 378747.50000000 0.014985146247 Long ABS-O CORP US N 2 2069-07-15 Fixed 2.69000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967424 1858.00000000 NS USD 131899.42000000 0.005218601043 Long EC CORP US N 1 N N N THAMES WATER UTIL LTD 213800JKM5UQHFJOTZ25 000000000 3000.00000000 PA 3100.20000000 0.000122659424 Long DBT CORP GB N 2 2027-03-22 None 0.00000000 N N N N N N BX Trust N/A 12434AAE8 979004.64000000 PA USD 968072.78000000 0.038301803144 Long ABS-MBS CORP US N 2 2033-02-15 Floating 8.68300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H4Q72 21461.55000000 PA USD 20910.75000000 0.000827333901 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4.50000000 N N N N N N CLYDESDALE ACQUISITION 254900QKSDYFR3K5YD98 18972EAB1 192000.00000000 PA USD 194715.89000000 0.007703934912 Long DBT CORP US N 2 2030-04-15 Fixed 8.75000000 N N N N N N SPRINT LLC 549300ZTTY7CXOLJ6539 85207UAK1 3297000.00000000 PA USD 3348719.71000000 0.132492107791 Long DBT CORP US N 2 2026-03-01 Fixed 7.62500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEQ5 4183000.00000000 PA USD 4155361.54000000 0.164406894797 Long DBT CORP US N 2 2030-10-22 Fixed 4.60300000 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 81761LAD4 828000.00000000 PA USD 827634.69000000 0.032745369590 Long DBT US N 2 2029-06-15 Fixed 8.37500000 N N N N N N Angel Oak Mortgage Trust 254900DRGJVOF9SOT744 03466DAA0 1640304.25000000 PA USD 1618047.78000000 0.064018066438 Long ABS-MBS CORP US N 2 2067-11-25 Variable 4.80000000 N N N N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 000000000 5279000.00000000 PA 1386928.47000000 0.054873830078 Long DBT NUSS PL N 2 2029-04-25 Fixed 5.75000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CT7 4186000.00000000 PA USD 4512909.86000000 0.178553295409 Long DBT CORP US N 2 2033-03-15 Fixed 7.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1250000.00000000 OU Notional Amount 48488.38000000 0.001918442935 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2054-03-22 0.00000000 EUR -1602.07000000 EUR 1250000.00000000 EUR 50228.34000000 N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 054989AD0 3075000.00000000 PA USD 3381550.84000000 0.133791071571 Long DBT CORP US N 2 2053-08-02 Fixed 7.08100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307JA52 89319.09000000 PA USD 86650.59000000 0.003428330915 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 2.50000000 N N N N N N VERITAS SERIES G 1 PREFERRED N/A 000000000 1382.00000000 NS USD 27640.00000000 0.001093576702 Long EP CORP US N 2 N N N Morgan Stanley BAML Trust N/A 61764PAJ1 1810000.00000000 PA USD 206.88000000 0.000008185207 Long ABS-MBS CORP US N 2 2047-12-15 Variable 1.18700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F5BJ1 96580.16000000 PA USD 91154.10000000 0.003606512305 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J75N1 44544.14000000 PA USD 43216.52000000 0.001709861774 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400HY2 744000.00000000 PA USD 761716.60000000 0.030137320114 Long DBT CORP US N 2 2028-10-01 Fixed 5.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YXT21 14204.82000000 PA USD 13718.89000000 0.000542787933 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N JP Morgan Mortgage Trust N/A 46654CAH8 3668381.36000000 PA USD 3276894.27000000 0.129650333990 Long ABS-MBS CORP US N 2 2052-02-25 Variable 2.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -996.87000000 -0.00003944116 N/A DFE XX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 844108.61000000 USD 778800.00000000 EUR 2025-04-24 -996.87000000 N N N Lehman ABS Manufactured Housing Contract N/A 52519SAL7 373499.96000000 PA USD 377084.66000000 0.014919355976 Long ABS-O CORP US N 2 2040-04-15 Variable 6.63000000 N N N N N N Service Experts Issuer N/A 81758VAA3 429645.15000000 PA USD 416814.87000000 0.016491281883 Long ABS-O CORP US N 2 2032-02-02 Fixed 2.67000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAC4 196000.00000000 PA USD 196431.21000000 0.007771801554 Long DBT CORP US N 2 2028-07-15 Fixed 5.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 350.92000000 0.000013884151 N/A DFE ID N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 269502.81000000 USD 4470512533.00000000 IDR 2025-04-08 350.92000000 N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BN6 247000.00000000 PA USD 239551.10000000 0.009477840163 Long DBT CORP US Y 2 2029-01-31 Fixed 11.75000000 N N N N N N Aimco 549300VLRW0CEQ83RF89 00140NAY6 330000.00000000 PA USD 327220.41000000 0.012946476739 Long ABS-CBDO CORP KY N 2 2037-07-17 Floating 5.95300000 N N N N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508BM5 487000.00000000 PA USD 300934.33000000 0.011906467886 Long DBT CORP US N 2 2051-09-15 Fixed 2.70000000 N N N N N N LBA Trust N/A 50177BAQ0 153000.00000000 PA USD 152100.12000000 0.006017841813 Long ABS-MBS CORP US N 2 2039-06-15 Floating 8.75600000 N N N N N N Caesars Entertainment Inc 549300FA4CTCW903Y781 12769G100 10266.00000000 NS USD 256650.00000000 0.010154358205 Long EC CORP US N 1 N N N SG Mortgage Securities Trust N/A 78420MAF6 570000.00000000 PA USD 427427.21000000 0.016911159154 Long ABS-O CORP US N 2 2036-10-25 Floating 4.85500000 N N N N N N BX Trust N/A 05612FAA3 530000.00000000 PA USD 529337.77000000 0.020943250840 Long ABS-MBS CORP US N 2 2041-03-15 Floating 6.40900000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 588350000.00000000 NC USD 429601.40000000 0.016997180990 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Purchased Goldman Sachs Group, Inc. Goldman Sachs Group, Inc. 1.00000000 0.40100000 USD 2025-08-19 XXXX 69237.02000000 N N N Vaco Holdings LLC 54930076HTNXBP03T379 91865FAJ8 270456.35000000 PA USD 250713.04000000 0.009919462360 Long LON CORP US N 2 2029-01-21 Floating 9.44900000 N N N N N N Colombia Government International Bonds 549300MHDRBVRF6B9117 195325EL5 380000.00000000 PA USD 381710.00000000 0.015102357570 Long DBT NUSS CO N 2 2035-11-14 Fixed 8.00000000 N N N N N N Credit-Based Asset Servicing and Securitization N/A 12479DAD0 144023.23000000 PA USD 95171.49000000 0.003765460356 Long ABS-O CORP US N 2 2036-10-25 Floating 4.75500000 N N N N N N JP Morgan Mortgage Trust N/A 46654CAY1 120572.59000000 PA USD 57808.65000000 0.002287199452 Long ABS-MBS CORP US N 2 2052-02-25 Variable 3.14500000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46652RAL8 180000.00000000 PA USD 178365.28000000 0.007057022967 Long ABS-MBS CORP US N 2 2033-10-15 Floating 7.45400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38383R2G1 1076266.66000000 PA USD 184893.68000000 0.007315319137 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 3.00000000 N N N N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 1.00000000 NC -293.99000000 -0.00001163171 N/A DFE PL N 2 Nomura International PLC DGQCSV2PHVF7I2743539 112000.00000000 USD 432982.95000000 PLN 2025-04-24 -293.99000000 N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CBU8 108000.00000000 PA USD 94214.60000000 0.003727600999 Long DBT CORP US N 2 2052-08-15 Fixed 5.00000000 N N N N N N Nelnet Student Loan Trust N/A 64035GAE9 160000.00000000 PA USD 139654.19000000 0.005525418547 Long ABS-O CORP US N 2 2062-04-20 Fixed 4.44000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AV8 1327000.00000000 PA USD 1338434.68000000 0.052955173096 Long DBT CORP US N 2 2026-06-30 Fixed 5.87500000 N N N N N N Countrywide Alternative Loan Trust N/A 23245FAE3 516613.24000000 PA USD 442197.01000000 0.017495526346 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.89500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAW0 749000.00000000 PA USD 715281.16000000 0.028300101757 Long DBT CORP US N 2 2054-05-15 Fixed 5.95000000 N N N N N Galaxy CLO Ltd 549300QR0537E9AXFW42 36321JAG9 250000.00000000 PA USD 250151.75000000 0.009897254919 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.16400000 N N N N N N Argent Securities Inc. N/A 040104MY4 1598960.52000000 PA USD 1289588.52000000 0.051022574594 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.91500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BEQS5 24853.46000000 PA USD 24565.54000000 0.000971935681 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 5.00000000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAV5 2633000.00000000 PA USD 2670043.33000000 0.105640274290 Long DBT CORP US N 2 2030-08-02 Fixed 5.93500000 N N N N N Carrington Mortgage Loan Trust N/A 14453MAC8 92957.63000000 PA USD 91277.24000000 0.003611384340 Long ABS-O CORP US N 2 2036-10-25 Floating 4.59500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1125.73000000 0.000044539511 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1077801.60000000 BRL 190000.00000000 USD 2025-04-02 1125.73000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181D7A8 296729.64000000 PA USD 278302.90000000 0.011011055274 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XTA35 687210.04000000 PA USD 551315.72000000 0.021812808513 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYN8 5942000.00000000 PA USD 5135438.74000000 0.203183652863 Long DBT CORP US N 2 2032-10-21 Fixed 2.65000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 825424531.00000000 OU Notional Amount -1022.24000000 -0.00004044492 N/A DIR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A N/A Y 2030-01-14 0.00000000 COP 0.00000000 COP 825424531.00000000 COP -1022.24000000 N N N NYC Commercial Mortgage Trust N/A 62956HAG1 198000.00000000 PA USD 197835.56000000 0.007827364667 Long ABS-MBS CORP US N 2 2029-08-15 Floating 8.15700000 N N N N N N Sixth Street CLO LTD. N/A 83012KAA5 2890000.00000000 PA USD 2890878.56000000 0.114377620987 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.65500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGVQ9 505835.34000000 PA USD 442171.19000000 0.017494504778 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.00000000 N N N N N N Connect Finco SARL 2594001KNYIQ456J2792 000000000 521055.58000000 PA USD 459571.02000000 0.018182929116 Long LON CORP LU N 2 2029-09-27 Floating 8.82500000 N N N N N N Banc of America Commercial Mortgage Trust N/A 06427DAU7 4070000.00000000 PA USD 39090.72000000 0.001546624482 Long ABS-MBS CORP US N 2 2050-02-15 Variable 0.58300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GD3M2 159790.68000000 PA USD 157822.87000000 0.006244262439 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N Cassia S.r.l. 815600A9D6ADF4638276 000000000 1242000.78000000 PA 1342948.19000000 0.053133750136 Long ABS-MBS CORP IT N 2 2034-05-22 Floating 5.03400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H050649 -115000.00000000 PA USD -113107.33000000 -0.00447509193 Short ABS-MBS USGA US N 2 2055-04-20 Fixed 5.00000000 N N N N N N ACE03 MH1 B2 N/A 000000000 206737.38000000 PA USD 192483.46000000 0.007615608811 Long DBT CORP US N 2 2030-08-15 Variable 0.00000000 N N N N N N Equity One ABS Inc N/A 294751CU4 2986236.88000000 PA USD 2529942.27000000 0.100097175329 Long ABS-O CORP US N 2 2033-12-25 Variable 5.45900000 N N N N N N ECL ENTERTAINMENT LLC 254900UPSGHOBB360Z85 26826TAL7 850875.22000000 PA USD 857256.78000000 0.033917367691 Long LON CORP US N 2 2030-08-31 Floating 7.82500000 N N N N N N Vantage Data Centers Jersey Borrower SPV Limited 213800S5S638C9IBQ379 000000000 480000.00000000 PA 627836.68000000 0.024840360581 Long ABS-O CORP JE Y 2 2039-05-28 Fixed 6.17200000 N N N N N N Washington Mutual Asset-Backed CTFS N/A 93934XAA1 480442.90000000 PA USD 361167.67000000 0.014289600207 Long ABS-O CORP US N 2 2036-10-25 Floating 4.63700000 N N N N N N SHR Trust N/A 784234AJ5 367000.00000000 PA USD 366999.74000000 0.014520346079 Long ABS-MBS CORP US N 2 2041-10-15 Floating 8.76900000 N N N N N N IVORY COAST 254900ICW11T82O6H590 000000000 100000.00000000 PA 95424.70000000 0.003775478610 Long DBT NUSS CI Y 2 2032-01-30 Fixed 4.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GTW6 34638.64000000 PA USD 31067.06000000 0.001229168344 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N TICP CLO Ltd N/A 87248TAW5 395000.00000000 PA USD 395480.72000000 0.015647196158 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 6.20200000 N N N N N N FREMF Mortgage Trust N/A 30307RAE7 304000.00000000 PA USD 295599.78000000 0.011695406396 Long ABS-MBS USGSE US N 2 2050-08-25 Variable 4.23600000 N N N N N N Rad CLO Ltd N/A 75009GAA5 640000.00000000 PA USD 643034.88000000 0.025441677420 Long ABS-CBDO CORP BM N 2 2037-07-20 Floating 5.75300000 N N N N N N Samsara Inc N/A 79589L106 3676.00000000 NS USD 140901.08000000 0.005574751754 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9WN8 672940.58000000 PA USD 685771.31000000 0.027132544432 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELX65 46198.18000000 PA USD 45580.95000000 0.001803410456 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -913.23000000 -0.00003613194 N/A DFE XX N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 134113.94000000 USD 122902.98000000 EUR 2025-05-14 -913.23000000 N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 903724BZ4 139186.00000000 PA USD 90488.30000000 0.003580169926 Long DBT NUSS UA N 2 2029-02-01 Variable 1.75000000 N N N N N N UBS Securities LLC T6FIZBDPKLYJKFCRVK44 000000000 -189000.00000000 OU Notional Amount USD -1662.82000000 -0.00006578947 N/A DFE US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 Put Written UBS Securities LLC T6FIZBDPKLYJKFCRVK44 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 N/A 1.00000000 NC USD -1662.82000000 0.00000000 DFE MX -189000.00000000 USD -3798900.00000000 MXN 2025-05-28 1.00000000 20.10000000 USD 2025-05-28 XXXX 1034.21000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180UFX2 101444.10000000 PA USD 95176.19000000 0.003765646311 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KFAJ1 54477.74000000 PA USD 53039.58000000 0.002098511180 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFK47 165988.60000000 PA USD 161425.09000000 0.006386784286 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.00000000 N N N N N N CVR ENERGY INC N/A 12663SAB7 503737.50000000 PA USD 505311.68000000 0.019992658500 Long LON CORP US N 2 2027-12-30 Floating 8.29900000 N N N N N N Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC 58406.19000000 0.002310841124 N/A DFE US N 2 Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 560178000.00000000 JPY 3825391.41000000 USD 2025-06-18 58406.19000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -587.41000000 -0.00002324087 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 5796315.00000000 ZAR 315000.00000000 USD 2025-04-24 -587.41000000 N N N OHA Credit Partners Ltd 254900U4U4HIDOPWSL06 67109YBC7 250000.00000000 PA USD 250243.00000000 0.009900865226 Long ABS-CBDO CORP KY N 2 2037-04-23 Floating 6.24000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 6241500.00000000 OU Notional Amount USD 54118.47000000 0.002141197466 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-04-15 858.68000000 USD 0.00000000 USD 6241500.00000000 USD 53259.79000000 N N N GS Mortgage Securities Trust N/A 36261PAZ5 60000.00000000 PA USD 53853.81000000 0.002130726193 Long ABS-MBS CORP US N 2 2052-11-10 Variable 3.80400000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 56675.10000000 0.002242350542 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 8546968.00000000 EUR 9338441.17000000 USD 2025-06-18 56675.10000000 N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAB7 1269000.00000000 PA USD 1071816.74000000 0.042406433307 Long DBT CORP US N 2 2052-04-15 Fixed 4.95000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZS2 13670000.00000000 PA USD 12713100.00000000 0.502993848822 Long DBT UST US N 2 2027-05-31 Fixed 0.50000000 N N N N N N BX Trust N/A 05608VAN6 301000.01000000 PA USD 297817.27000000 0.011783141396 Long ABS-MBS CORP US N 2 2034-01-15 Floating 7.43300000 N N N N N N Indonesia Government International Bonds 529900FWX0GRR7WG5W79 455780CQ7 662000.00000000 PA USD 604644.58000000 0.023922765058 Long DBT NUSS ID N 2 2030-02-14 Fixed 2.85000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CD0 577000.00000000 PA USD 519432.32000000 0.020551341674 Long DBT CORP US N 2 2043-12-05 Fixed 5.30000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAN0 2953000.00000000 PA USD 3187570.96000000 0.126116256897 Long DBT CORP US N 2 2030-06-01 Fixed 7.50000000 N N N N N N CITADEL PLC 213800XKX6NBEB5W9Z43 000000000 100000.00000000 PA 129167.31000000 0.005110505100 Long ABS-MBS CORP GB Y 2 2060-04-28 Floating 6.91400000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 31000.00000000 PA 33268.89000000 0.001316283756 Long DBT NUSS RO N 2 2034-09-10 Fixed 6.25000000 N N N N N N BX Trust N/A 05609TAA8 1260000.00000000 PA USD 1252912.50000000 0.049571487726 Long ABS-MBS CORP US N 2 2039-01-15 Floating 5.16900000 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AY3 722000.00000000 PA USD 711912.10000000 0.028166804886 Long DBT CORP US N 2 2028-11-15 Fixed 5.25000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 3540.45000000 0.000140077917 N/A DFE TR N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 277317.01000000 USD 11421301.00000000 TRY 2025-05-27 3540.45000000 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCG5 1139000.00000000 PA USD 1114347.55000000 0.044089164963 Long DBT CORP MX N 2 2027-03-13 Fixed 6.50000000 N N N N N N Duke Energy Corp I1BZKREC126H0VB1BL91 26441CAY1 681000.00000000 PA USD 511127.10000000 0.020222745614 Long DBT CORP US N 2 2047-08-15 Fixed 3.95000000 N N N N N N CITADEL PLC 213800XKX6NBEB5W9Z43 000000000 100000.00000000 PA 129276.08000000 0.005114808586 Long ABS-MBS CORP GB Y 2 2060-04-28 Floating 5.91400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLZ6 374900.31000000 PA USD 329023.00000000 0.013017796219 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCSJ5 461304.64000000 PA USD 449673.79000000 0.017791345175 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.50000000 N N N N N N Los Angeles Community College District/CA N/A 54438CNZ1 785000.00000000 PA USD 854679.98000000 0.033815416590 Long DBT MUN US N 2 2042-08-01 Fixed 6.60000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 352000.00000000 OU Notional Amount -4707.35000000 -0.00018624632 N/A DCR DE N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Deutsche Bank AG Deutsche Bank AG Y buy protection 2028-06-20 11207.42000000 EUR 0.00000000 EUR 352000.00000000 EUR -17075.03000000 N N N Regatta VII Funding Ltd 549300DA6HSLI0UPTQ25 75888ABE5 280000.00000000 PA USD 280080.92000000 0.011081402642 Long ABS-CBDO CORP KY N 2 2034-06-20 Floating 5.71600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QLZ82 4954078.21000000 PA USD 4171577.15000000 0.165048465467 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBM1 942000.00000000 PA USD 832765.61000000 0.032948374459 Long DBT US N 2 2031-04-15 Fixed 2.70000000 N N N N N N Countrywide Alternative Loan Trust N/A 02149VAA7 89322.80000000 PA USD 39827.18000000 0.001575762524 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EXCP6 15168.02000000 PA USD 14521.00000000 0.000574523419 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 2.50000000 N N N N N N SMB Private Education Loan Trust N/A 78448YAF8 271688.39000000 PA USD 240986.32000000 0.009534624647 Long ABS-O CORP US N 2 2053-01-15 Fixed 3.86000000 N N N N N N Republic of South Africa Government International Bonds 378900AAFB4F17004C49 836205AV6 200000.00000000 PA USD 137610.00000000 0.005444540162 Long DBT NUSS ZA N 2 2046-10-12 Fixed 5.00000000 N N N N N N LEBANESE REPUBLIC 529900QPC4K9S1KHL354 000000000 271000.00000000 PA USD 43400.65000000 0.001717146878 Long DBT NUSS LB Y 2 2028-11-03 None 0.00000000 Y N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 1802.40000000 0.000071311962 N/A DFE BR N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 326000.00000000 USD 1870588.00000000 BRL 2025-04-02 1802.40000000 N N N CVS Health Corp 549300EJG376EN5NQE29 126650CN8 143000.00000000 PA USD 124673.39000000 0.004932703139 Long DBT CORP US N 2 2045-07-20 Fixed 5.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ALJW8 82259.82000000 PA USD 82947.46000000 0.003281816563 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810UF3 4210000.00000000 PA USD 4215262.50000000 0.166776876503 Long DBT UST US N 2 2044-11-15 Fixed 4.62500000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CAT1 1066000.00000000 PA USD 799268.15000000 0.031623047329 Long DBT CORP US N 2 2047-12-01 Fixed 3.70000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 3170000.00000000 OU Notional Amount -3068.97000000 -0.00012142380 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 3170000.00000000 BRL -3068.97000000 N N N HIH Trust N/A 40444VAG6 180000.00000000 PA USD 180393.97000000 0.007137288094 Long ABS-MBS CORP US N 2 2041-10-15 Floating 7.95900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFEW2 120395.31000000 PA USD 115799.81000000 0.004581619913 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -7.00000000 NC USD 11846.31000000 0.000468699299 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME E-mini Russell 2000 Index Futures RTYM5 Index 2025-06-20 -721331.31000000 USD 11846.31000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 500000.00000000 OU Notional Amount USD 89062.50000000 0.003523758144 N/A DCR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-17 14985.89000000 USD 0.00000000 USD 500000.00000000 USD 74076.61000000 N N N Washington Mutual Bank N/A 939ESCBE8 1310000.00000000 PA USD 0.13000000 0.000000005143 Long DBT CORP US N 3 2049-09-20 None 0.00000000 Y N N N N N Morgan Stanley Bank AG 7CPI4ZQUQVBDH8SA1F44 000000000 32895000.00000000 OU Notional Amount 35.57000000 0.000001407327 N/A DFE US N 2 Morgan Stanley Bank AG 7CPI4ZQUQVBDH8SA1F44 Put Purchased Morgan Stanley Bank AG 7CPI4ZQUQVBDH8SA1F44 Morgan Stanley Bank AG 7CPI4ZQUQVBDH8SA1F44 N/A 1.00000000 NC USD 35.57000000 0.00000000 DFE XX 32566050.00000000 USD 32895000.00000000 EUR 2025-04-16 1.00000000 0.99000000 EUR 2025-04-16 XXXX -68857.07000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 275561000.00000000 NC USD 178932.78000000 0.007079476106 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Purchased Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 275561000.00000000 OU Notional Amount N/A 178932.78000000 0.01000000 DIR US N/A N/A 2026-05-20 0.00000000 N/A 0.00000000 N/A 275561000.00000000 USD 1.00000000 3.74000000 USD 2025-05-16 XXXX -369583.81000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WJUH2 103894.62000000 PA USD 93247.33000000 0.003689330958 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307NDE1 5192.11000000 PA USD 5062.95000000 0.000200315635 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 3.00000000 N N N N N N COMM Mortgage Trust N/A 20047DAC8 367000.00000000 PA USD 361722.43000000 0.014311549289 Long ABS-MBS CORP US N 2 2041-06-15 Floating 6.90900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307LHB7 66507.90000000 PA USD 64200.89000000 0.002540108451 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 2.50000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AL3 3374000.00000000 PA USD 3378801.20000000 0.133682282055 Long DBT US N 2 2029-01-15 Fixed 5.30000000 N N N N N NMLT Trust N/A 62917JAE0 1361000.00000000 PA USD 991258.76000000 0.039219156529 Long ABS-MBS CORP US N 2 2056-08-25 Variable 3.32200000 N N N N N N UMBS, TBA N/A 01F060642 104837000.00000000 PA USD 106476858.26000000 4.212757293400 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307NV50 31067.11000000 PA USD 30243.05000000 0.001196566385 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRZ0 1047591.70000000 PA USD 992407.72000000 0.039264615135 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WD6X4 4255.71000000 PA USD 4106.55000000 0.000162475666 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RC4 9487000.00000000 PA USD 8339665.94000000 0.329958913959 Long DBT UST US N 2 2043-08-15 Fixed 3.62500000 N N N N N N Banc of America Merrill Lynch Large Loan Inc N/A 05494CAA3 1435000.00000000 PA USD 1429687.49000000 0.056565590863 Long ABS-MBS CORP US N 2 2042-02-15 Floating 6.17000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGS73 337796.15000000 PA USD 320965.27000000 0.012698992102 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JADY8 114742.41000000 PA USD 107087.56000000 0.004236919710 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.50000000 N N N N N N RCO Mortgage LLC N/A 754921AA2 766769.02000000 PA USD 768897.03000000 0.030421413854 Long ABS-O CORP US N 2 2029-01-25 Variable 7.02100000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 590000.00000000 OU Notional Amount -47877.42000000 -0.00189427030 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2054-10-22 0.00000000 EUR -2598.07000000 EUR 590000.00000000 EUR -45053.73000000 N N N PG&E CORP 8YQ2GSDWYZXO2EDN3511 69331CAM0 4901000.00000000 PA USD 4816958.14000000 0.190582966739 Long DBT CORP US N 2 2055-03-15 Fixed 7.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPCT3 783491.68000000 PA USD 772451.36000000 0.030562040933 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 5.00000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBL4 320000.00000000 PA USD 281681.55000000 0.011144731574 Long DBT CORP US N 2 2034-04-15 Fixed 3.46900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XUAA0 221043.41000000 PA USD 214714.28000000 0.008495171287 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 3.00000000 N N N N N N BX Trust N/A 05593VAN3 1409000.00000000 PA USD 1400210.94000000 0.055399351053 Long ABS-MBS CORP US N 2 2030-03-15 Floating 7.26000000 N N N N N N Battalion CLO LTD 549300O0R7FIDPTPCK50 07132LAN9 250000.00000000 PA USD 249777.50000000 0.009882447717 Long ABS-CBDO CORP KY N 2 2034-04-24 Floating 6.27800000 N N N N N N Prodigy Finance Designated Activity Co 635400HTAZNW3LYYMQ40 742855AB5 52105.09000000 PA USD 52749.72000000 0.002087042868 Long ABS-O CORP IE N 2 2051-07-25 Floating 6.93500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EXEK5 243626.75000000 PA USD 239062.24000000 0.009458498415 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPML9 1068691.57000000 PA USD 1088232.61000000 0.043055927265 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6.00000000 N N N N N N AMC NETWORKS INC 549300VGG9K75226LR46 00164VAG8 261000.00000000 PA USD 270461.25000000 0.010700800363 Long DBT CORP US N 2 2029-01-15 Fixed 10.25000000 N N N N N GLP CAPITAL LP / FIN II N/A 361841AP4 1178000.00000000 PA USD 1113560.81000000 0.044058037592 Long DBT US N 2 2030-01-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJUF7 1484310.53000000 PA USD 1309733.12000000 0.051819595768 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -275561000.00000000 NC USD -8603.01000000 -0.00034037812 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 275561000.00000000 OU Notional Amount N/A -8603.01000000 0.00000000 DIR US N/A N/A 2026-05-20 0.00000000 N/A 0.00000000 N/A 275561000.00000000 USD 1.00000000 2.94000000 USD 2025-05-16 XXXX 112794.03000000 N N N Madison Park Funding Ltd N/A 55821YAC0 640000.00000000 PA USD 640442.24000000 0.025339099609 Long ABS-CBDO CORP KY N 2 2037-04-25 Floating 6.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YNF0 10567.34000000 PA USD 10739.37000000 0.000424903214 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 5.50000000 N N N N N N DELL INT LLC / EMC CORP N/A 24703DBH3 192000.00000000 PA USD 129758.26000000 0.005133886039 Long DBT CORP US N 2 2051-12-15 Fixed 3.45000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -525906000.00000000 NC USD -16418.79000000 -0.00064960948 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A 525906000.00000000 OU Notional Amount N/A -16418.79000000 0.00000000 DIR US N/A N/A 2026-05-20 0.00000000 N/A 0.00000000 N/A 525906000.00000000 USD 1.00000000 2.94000000 USD 2025-05-16 XXXX 288605.98000000 N N N Thunder Logistics N/A 000000000 79228.09000000 PA 85879.88000000 0.003397837771 Long ABS-MBS CORP IE Y 2 2036-11-17 Floating 4.60600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFA43 938134.16000000 PA USD 794681.69000000 0.031441584022 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 36611000.00000000 OU Notional Amount USD 7438.52000000 0.000294305071 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-05-16 66.63000000 USD 0.00000000 USD 36611000.00000000 USD 7371.89000000 N N N STATE STREET INST US GOVT FUND N/A 857492706 700000.00000000 NS USD 700000.00000000 0.027695502605 Long STIV RF US N 1 N N Velocity Commercial Capital Loan Trust N/A 922955AN9 108572.99000000 PA USD 109098.82000000 0.004316495219 Long ABS-MBS CORP US N 2 2055-02-25 Variable 10.15000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CR8 1216000.00000000 PA USD 1162132.79000000 0.045979788162 Long DBT CORP US N 2 2053-06-01 Fixed 5.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJEZ7 296837.95000000 PA USD 280318.21000000 0.011090791022 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.00000000 N N N N N N ELM Trust 2024 N/A 26860XAW1 7464000.00000000 PA USD 19940.08000000 0.000788929339 Long ABS-MBS CORP US N 2 2039-06-10 Variable 0.21900000 N N N N N N Lex Commercial Loan Master Trust N/A 52885AAA6 1711000.00000000 PA USD 1695944.40000000 0.067100046498 Long ABS-MBS CORP US N 2 2033-10-13 Variable 4.87400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPJ25 864739.29000000 PA USD 852554.21000000 0.033731310492 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.00000000 N N N N N N TICP CLO LTD N/A 87250FAL4 250000.00000000 PA USD 250117.75000000 0.009895909709 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.73400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419EJ67 234723.77000000 PA USD 231418.12000000 0.009156058779 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.50000000 N N N N N N PRIMA Capital LTD N/A 74165WAA3 729378.33000000 PA USD 675107.48000000 0.026710629959 Long ABS-CBDO CORP KY N 2 2040-08-24 Fixed 4.00000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 20100000.00000000 PA 3160389.45000000 0.125040820353 Long DBT NUSS BR N 2 2029-01-01 Fixed 10.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 195000.00000000 OU Notional Amount USD 2780.90000000 0.000110026318 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Purchased Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 1.00000000 NC USD 2780.90000000 0.00000000 DFE US 3978000.00000000 MXN 195000.00000000 USD 2025-04-15 1.00000000 20.40000000 USD 2025-04-15 XXXX 1073.28000000 N N N Uruguay Government International Bonds 549300RDR012H2V82H43 760942BB7 1266587.00000000 PA USD 1264382.97000000 0.050025316914 Long DBT NUSS UY N 2 2027-10-27 Fixed 4.37500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJR3 17354000.00000000 PA USD 17251638.47000000 0.682561140282 Long DBT UST US N 2 2028-12-31 Fixed 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KE6X8 309623.01000000 PA USD 298312.77000000 0.011802745855 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307NM68 32122.26000000 PA USD 31341.26000000 0.001240017068 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKEQ9 3741260.59000000 PA USD 3190384.74000000 0.126227584113 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 2.00000000 N N N N N N AZUL SECURED FINANCE LLP N/A 05501WAD4 401433.00000000 PA USD 351253.88000000 0.013897361069 Long DBT CORP US N 2 2028-08-28 Fixed 11.93000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XEA38 1138369.17000000 PA USD 920471.05000000 0.036418440519 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDU0 1169000.00000000 PA USD 1228683.30000000 0.048612859338 Long DBT CORP US N 2 2054-06-01 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XU2S0 46886.66000000 PA USD 45843.58000000 0.001813801413 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.00000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135CK0 1308000.00000000 PA USD 1036437.16000000 0.041006640093 Long DBT CORP US N 2 2062-04-13 Fixed 4.10000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38383P6D8 1192651.32000000 PA USD 201663.03000000 0.007978798532 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 3.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 6028000.00000000 OU Notional Amount USD 9045.26000000 0.000357875745 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-04-15 51.69000000 USD 0.00000000 USD 6028000.00000000 USD 8993.57000000 N N N UBS Securities LLC T6FIZBDPKLYJKFCRVK44 000000000 392000.00000000 OU Notional Amount USD 823.20000000 0.000032569911 N/A DFE US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 Put Purchased UBS Securities LLC T6FIZBDPKLYJKFCRVK44 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 N/A 1.00000000 NC USD 823.20000000 0.00000000 DFE US 57624000.00000000 JPY 392000.00000000 USD 2025-05-19 1.00000000 147.00000000 USD 2025-05-19 XXXX -39.20000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3N1 2646000.00000000 PA USD 2627742.55000000 0.103966643772 Long DBT CORP US N 2 2035-12-03 Fixed 5.21100000 N N N N N BNP Paribas Securities Services 549300WCGB70D06XZS54 000000000 6669000.00000000 OU Notional Amount -15931.73000000 -0.00063033895 N/A DIR US N 2 BNP Paribas Securities Services 549300WCGB70D06XZS54 N/A N/A Y 2025-07-01 0.00000000 BRL 0.00000000 BRL 6669000.00000000 BRL -15931.73000000 N N N Venture Global Inc 2549007XC91CAB3E0N98 92333F101 1377.00000000 NS USD 14183.10000000 0.000561154404 Long EC CORP US N 1 N N Greenpoint Manufactured Housing N/A 395383AG7 274440.36000000 PA USD 273032.34000000 0.010802525548 Long ABS-O CORP US N 2 2029-12-15 Variable 9.23000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404121AK1 1745000.00000000 PA USD 1729848.85000000 0.068441476189 Long DBT CORP US N 2 2034-09-15 Fixed 5.45000000 N N N N N N SMB Private Education Loan Trust N/A 78448YAL5 186319.97000000 PA USD 165244.41000000 0.006537895696 Long ABS-O CORP US N 2 2053-01-15 Fixed 3.86000000 N N N N N N Bombardier Capital Mortgage Securitization Corp. N/A 09774XBQ4 850435.45000000 PA USD 69700.67000000 0.002757707268 Long ABS-O CORP US N 2 2030-06-15 Variable 8.29000000 N N N N N N Residential Funding Mtg Sec I N/A 74958CAB6 28292.69000000 PA USD 23406.37000000 0.000926073116 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.68800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQA36 263637.47000000 PA USD 256383.69000000 0.010143821649 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LTL63 13300.08000000 PA USD 12397.29000000 0.000490498824 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.50000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92556HAE7 241000.00000000 PA USD 235136.76000000 0.009303186784 Long DBT CORP US N 2 2062-03-30 Fixed 6.37500000 N N N N N Hydrofarm Holdings LLC N/A 000000000 360794.16000000 PA USD 295851.21000000 0.011705354224 Long LON CORP US N 2 2028-10-25 Floating 9.93900000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAD7 786000.00000000 PA USD 769004.72000000 0.030425674609 Long DBT US N 2 2027-02-15 Fixed 3.75000000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 903724CE0 23080.00000000 PA USD 9131.03000000 0.000361269235 Long DBT NUSS UA N 2 2034-02-01 Variable 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DQD2 107881.60000000 PA USD 101180.70000000 0.004003214772 Long ABS-MBS USGA US N 2 2043-03-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGPQ6 1354840.65000000 PA USD 1230419.83000000 0.048681565154 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DP3F3 376085.22000000 PA USD 383116.29000000 0.015157997439 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J76Q3 690848.74000000 PA USD 661548.33000000 0.026174162138 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 2.50000000 N N N N N N CORP FINANCIERA DE DESAR 254900BOM7T4MG6T0J30 000000000 200000.00000000 PA USD 199727.02000000 0.007902200289 Long DBT NUSS PE Y 2 2025-07-15 Fixed 4.75000000 N N N N N N TRANSOCEAN INC DOL4HJ22ADYSIWES4H94 893830BY4 239000.00000000 PA USD 233616.51000000 0.009243038087 Long DBT CORP KY N 2 2029-05-15 Fixed 8.25000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92344GAM8 4000.00000000 PA USD 4576.88000000 0.000181084274 Long DBT CORP US N 2 2030-12-01 Fixed 7.75000000 N N N N N N Soundview Home Equity Loan Trust N/A 83611MGX0 158500.00000000 PA USD 125803.07000000 0.004977398932 Long ABS-O CORP US N 2 2035-11-25 Floating 5.45500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YBX65 43624.13000000 PA USD 42449.35000000 0.001679508690 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N MCR Mortgage Trust N/A 55286PAJ2 350476.11000000 PA USD 353490.94000000 0.013985870356 Long ABS-MBS CORP US N 2 2037-02-15 Floating 8.97400000 N N N N N N Ajax Mortgage Loan Trust N/A 009740AA9 3405553.53000000 PA USD 2969699.21000000 0.117496160297 Long ABS-MBS CORP US N 2 2060-12-25 Variable 1.74000000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081FA6 594000.00000000 PA USD 367059.89000000 0.014522725914 Long DBT CORP US N 2 2050-05-28 Fixed 2.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GYJX8 185598.95000000 PA USD 169522.12000000 0.006707143308 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N Symphony CLO Ltd N/A 87190GAC5 336803.04000000 PA USD 336944.50000000 0.013331210396 Long ABS-CBDO CORP KY N 2 2033-04-20 Floating 5.63500000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FCD1 939000.00000000 PA USD 916633.50000000 0.036266607839 Long DBT CORP US N 2 2034-10-15 Fixed 4.80000000 N N N N N N Rad CLO Ltd N/A 74936GAA6 250000.00000000 PA USD 249683.50000000 0.009878728606 Long ABS-CBDO CORP KY N 2 2036-04-17 Floating 5.65300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWS96 250515.37000000 PA USD 228308.03000000 0.009033008056 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SLS4 113286.77000000 PA USD 104863.23000000 0.004148914085 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JSAE9 542672.72000000 PA USD 438592.51000000 0.017352914290 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 33500.00000000 OU Notional Amount USD 875.72000000 0.000034647865 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 Call Purchased Standard Chartered Bank RILFO74KP1CM8P6PCT96 Standard Chartered Bank RILFO74KP1CM8P6PCT96 N/A 1.00000000 NC USD 875.72000000 0.00000000 DFE US 2948000.00000000 INR 33500.00000000 USD 2025-04-30 1.00000000 88.00000000 USD 2025-04-30 XXXX -2164.41000000 N N N Race Point CLO Ltd 549300C3570PBQ31OI09 74982WAA4 214412.28000000 PA USD 214408.85000000 0.008483086948 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 5.50400000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 50240000.00000000 OU Notional Amount USD -38780.95000000 -0.00153436843 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-05-16 91.44000000 USD 0.00000000 USD 50240000.00000000 USD -38872.39000000 N N N Lumen Technologies Inc 8M3THTGWLTYZVE6BBY25 550241103 57228.00000000 NS USD 224333.76000000 0.008875766049 Long EC CORP US N 1 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 4431000.00000000 PA 178614.91000000 0.007066899579 Long DBT NUSS MX N 2 2047-11-07 Fixed 8.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8HY2 491826.64000000 PA USD 482586.03000000 0.019093518073 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.50000000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 595620AS4 369000.00000000 PA USD 275896.37000000 0.010915840906 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 2211000.00000000 PA USD 2249800.84000000 0.089013378609 Long DBT US N 2 2028-06-01 Fixed 5.75000000 N N N N N N Scholar Funding Trust N/A 80705XAA5 2104834.59000000 PA USD 2074669.15000000 0.082084292642 Long ABS-O CORP US N 2 2045-01-30 Floating 5.09900000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 903724CD2 6180.00000000 PA USD 3203.09000000 0.000126730267 Long DBT NUSS UA N 2 2030-02-01 Variable 0.00000000 N N N N N N OHA Credit Partners Ltd 549300OYGEU6QQMCEG78 67109FAU9 540000.00000000 PA USD 540707.94000000 0.021393111658 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 5.75300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KHE7 58172.81000000 PA USD 60661.69000000 0.002400079990 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6.00000000 N N N N N N D.R. HORTON INC 529900ZIUEYVSB8QDD25 23331ABU2 661000.00000000 PA USD 664550.86000000 0.026292957249 Long DBT CORP US N 2 2035-10-15 Fixed 5.50000000 N N N N N N LESSEN HOLDINGS INC PREF N/A 000000000 23458.00000000 NS USD 69201.10000000 0.002737941779 Long EC CORP US Y 3 N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAN1 230000.00000000 PA USD 228424.66000000 0.009037622523 Long DBT CORP US N 2 2055-05-15 Fixed 6.12500000 N N N N N N Winchester PLC 213800AWJGG72JJNBW66 000000000 100000.00000000 PA 129777.53000000 0.005134648457 Long ABS-MBS CORP GB Y 2 2056-10-21 Floating 6.54200000 N N N N N N FOUNDRY JV HOLDCO LLC 21380048QROAMGM6EP30 350930AJ2 826000.00000000 PA USD 851309.09000000 0.033682047314 Long DBT CORP US N 2 2037-01-25 Fixed 6.20000000 N N N N N N LBA Trust N/A 50177BAA5 1840000.00000000 PA USD 1835400.00000000 0.072617607831 Long ABS-MBS CORP US N 2 2039-06-15 Floating 5.91000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFG83 167730.70000000 PA USD 163235.51000000 0.006458413560 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N UMBS, TBA N/A 01F042442 3450000.00000000 PA USD 3420883.86000000 0.135347282654 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 4.50000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 629000.00000000 OU Notional Amount USD 35983.83000000 0.001423700367 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Colombia Government International Bonds Colombia Government International Bonds Y buy protection 2030-06-20 34116.05000000 USD 0.00000000 USD 629000.00000000 USD 1867.78000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCAT5 580915.87000000 PA USD 529072.64000000 0.020932760970 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 2.00000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05548WAA5 1770000.00000000 PA USD 1677238.73000000 0.066359956595 Long ABS-MBS CORP US N 2 2037-03-15 Floating 5.23900000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEJ1 7155000.00000000 PA USD 7219761.77000000 0.285649901304 Long DBT CORP US N 2 2030-07-22 Fixed 4.99500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CS47 246825.58000000 PA USD 225429.81000000 0.008919131271 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46650FAA0 116290.30000000 PA USD 101693.61000000 0.004023508058 Long ABS-MBS CORP US N 2 2035-06-15 Floating 5.57600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRCJ1 1546748.40000000 PA USD 1585568.82000000 0.062733036265 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 736505.00000000 NC USD 19147.77000000 0.000757581591 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Purchased Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 736505.00000000 OU Notional Amount N/A 19147.77000000 0.00000000 DIR US N/A N/A 2037-01-13 0.00000000 N/A 0.00000000 N/A 736505.00000000 USD 1.00000000 4.34000000 USD 2027-01-13 XXXX -12289.75000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BM7G4 117991.21000000 PA USD 116399.46000000 0.004605345068 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWR71 344848.21000000 PA USD 305234.25000000 0.012076594237 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELS79 593986.82000000 PA USD 619335.70000000 0.024504019275 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 6.00000000 N N N N N N Peru Government International Bonds 254900STKLK2DBJJZ530 715638DT6 2017000.00000000 PA USD 1383702.34000000 0.054746188232 Long DBT NUSS PE N 2 2051-03-10 Fixed 3.55000000 N N N N N N College Ave Student Loans N/A 19425AAC8 120629.62000000 PA USD 109554.29000000 0.004334515891 Long ABS-O CORP US N 2 2052-06-25 Fixed 2.42000000 N N N N N N UMBS, TBA N/A 01F030447 -923000.00000000 PA USD -873041.78000000 -0.03454190127 Short ABS-MBS USGSE US N 2 2040-04-01 Fixed 3.00000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CW7 1635000.00000000 PA USD 1579875.94000000 0.062507797446 Long DBT CORP US N 2 2064-04-01 Fixed 6.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JNXG7 149980.52000000 PA USD 143822.59000000 0.005690341308 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.00000000 N N N N N N AREIT CRE Trust N/A 00193AAA2 3360000.00000000 PA USD 3361824.48000000 0.133010598065 Long ABS-CBDO CORP KY N 2 2041-05-17 Floating 6.00600000 N N N N N N RR Ltd 549300213Q1LH7O32902 74979VAV5 250000.00000000 PA USD 250660.25000000 0.009917373724 Long ABS-CBDO CORP KY N 2 2039-07-15 Floating 6.25200000 N N N N N N LESSEN INC N/A 527083AA7 1872224.00000000 PA USD 1743602.21000000 0.068985627928 Long DBT CORP US Y 3 2028-01-05 Variable 12.82300000 N N N N N N JP Morgan Mortgage Trust N/A 46654CAR6 7987293.54000000 PA USD 125392.52000000 0.004961155520 Long ABS-MBS CORP US N 2 2052-02-25 Variable 0.26900000 N N N N N N Atlas Funding 635400BMBKLDPBSN2U43 000000000 99898.99000000 PA 128890.89000000 0.005099568542 Long ABS-MBS CORP GB Y 2 2061-09-20 Floating 6.01400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SH2 2681000.00000000 PA USD 1976085.50000000 0.078183830163 Long DBT UST US N 2 2049-05-15 Fixed 2.87500000 N N N N N N UNITED WHOLESALE MTGE LL 549300HW662MN1WU8550 913229AA8 5000.00000000 PA USD 4820.59000000 0.000190726661 Long DBT CORP US N 2 2029-04-15 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMZU1 1587467.70000000 PA USD 1336225.16000000 0.052867753429 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9YZ0 251610.09000000 PA USD 249408.63000000 0.009867853374 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.00000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SAM5 1132000.00000000 PA USD 907273.01000000 0.035896260017 Long DBT CORP US N 2 2042-08-09 Fixed 4.25000000 N N N N N N Boston Scientific Corp Y6ZDD9FP4P8JSSJMW954 101137107 1329.00000000 NS USD 134069.52000000 0.005304461057 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HHNE1 53654.39000000 PA USD 52211.20000000 0.002065736322 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N GRAN TIERRA ENERGY INC 549300IH2S17MAIUCM32 38500TAC5 200000.00000000 PA USD 176915.58000000 0.006999665581 Long DBT CORP US N 2 2029-10-15 Fixed 9.50000000 N N N N N N SHER Trust N/A 81130BAA6 100000.00000000 PA USD 99781.20000000 0.003947843549 Long ABS-MBS CORP US N 2 2037-04-15 Floating 5.96000000 N N N N N N Dryden Senior Loan Fund N/A 26246GAA1 400000.00000000 PA USD 400092.00000000 0.015829641469 Long ABS-CBDO CORP KY N 2 2034-05-20 Floating 5.68400000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAN9 5429000.00000000 PA USD 4958977.00000000 0.196201943464 Long DBT CORP US N 2 2031-05-15 Fixed 3.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179NJA7 25631.88000000 PA USD 23906.88000000 0.000945875796 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 3.50000000 N N N N N N AB BSL CLO N/A 00037QAJ8 250000.00000000 PA USD 249718.25000000 0.009880103490 Long ABS-CBDO CORP KY N 2 2038-04-20 Floating 5.56800000 N N N N N N Ares Euro CLO 635400XCOLUI5RNVIZ11 000000000 297000.00000000 PA 319949.42000000 0.012658799993 Long ABS-CBDO CORP IE N 2 2032-04-20 Floating 4.44400000 N N N N N N ConnectWise LLC N/A 20786NAC1 405883.76000000 PA USD 406086.70000000 0.016066821797 Long LON CORP US N 2 2028-09-29 Floating 8.06100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDK88 263308.50000000 PA USD 240445.70000000 0.009513235015 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GW4L4 32401.13000000 PA USD 31562.91000000 0.001248786651 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ARZW7 211320.47000000 PA USD 208366.26000000 0.008244011852 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N Peru Government International Bonds 254900STKLK2DBJJZ530 715638DF6 21000.00000000 PA USD 18393.90000000 0.000727754721 Long DBT NUSS PE N 2 2031-01-23 Fixed 2.78300000 N N N N N N Lam Research Corp 549300I4GMO6D34U1T02 512807306 1695.00000000 NS USD 123226.50000000 0.004875456931 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5GJ2 317283.04000000 PA USD 295740.84000000 0.011700987435 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM2Q7 446001.24000000 PA USD 360254.30000000 0.014253462720 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQDV5 57136.49000000 PA USD 58638.40000000 0.002320028514 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GW3B7 26651.14000000 PA USD 25978.27000000 0.001027830349 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.50000000 N N N N N N Palmer Square CLO Ltd N/A 69688FAA8 250000.00000000 PA USD 250132.25000000 0.009896483402 Long ABS-CBDO CORP KY N 2 2035-01-15 Floating 5.71400000 N N N N N N GS Mortgage Securities Trust N/A 36264KAX8 2953182.65000000 PA USD 208818.66000000 0.008261911060 Long ABS-MBS CORP US N 2 2053-12-12 Variable 1.69500000 N N N N N N New Jersey Turnpike Authority 5493005YN67D71KSMI84 646139W35 492000.00000000 PA USD 591297.26000000 0.023394678292 Long DBT MUN US N 2 2040-01-01 Fixed 7.41400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196FZJ6 158396.16000000 PA USD 146259.10000000 0.005786741835 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N EVgo Inc N/A 30052F118 12581.00000000 NS USD 2531.30000000 0.000100150893 N/A DE US N 1 N/A N/A Call Purchased Climate Change Crisis Real Impact I Acquisition Corp Climate Change Crisis Real Impact I Acquisition Corp 1.00000000 11.50000000 USD 2026-07-01 XXXX -41995.81000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138Y4T58 193766.37000000 PA USD 188802.63000000 0.007469976758 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 3.00000000 N N N N N N PECO ENERGY CO YH65D4JBECK76IFEJ279 693304AX5 467000.00000000 PA USD 308409.69000000 0.012202230532 Long DBT CORP US N 2 2049-09-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042646 7409000.00000000 PA USD 7108009.38000000 0.281228417578 Long ABS-MBS USGA US N 2 2055-04-20 Fixed 4.50000000 N N N N N N Verdelite Static CLO Ltd N/A 92338VAA9 348142.30000000 PA USD 347913.57000000 0.013765201692 Long ABS-CBDO CORP JE N 2 2032-07-20 Floating 5.42300000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 000000000 37394000.00000000 PA 1953118.91000000 0.077275156944 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8.00000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAM1 8219000.00000000 PA USD 8058243.18000000 0.318824421412 Long DBT CORP US N 2 2026-12-01 Fixed 3.25000000 N N N N N N UMBS, TBA N/A 01F042657 -20681000.00000000 PA USD -19771816.29000000 -0.78227198511 Short ABS-MBS USGSE US N 2 2055-05-01 Fixed 4.50000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -16129.54000000 -0.00063816531 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1211827.89000000 BRL 196231.54000000 USD 2025-04-02 -16129.54000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMLV4 654454.14000000 PA USD 530827.98000000 0.021002211004 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N Naked Juice LLC 549300Y5TU1XQ1KVLJ64 62984CAB9 75000.00000000 PA USD 18187.50000000 0.000719588505 Long LON CORP US Y 2 2030-01-24 Floating 10.39900000 N N N N N N NatWest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC N/A -235.13000000 -0.00000930291 N/A DFE PL N 2 NatWest Markets PLC RR3QWICWWIPCS8A4S074 89000.00000000 EUR 372548.04000000 PLN 2025-04-24 -235.13000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QEBM3 2190175.66000000 PA USD 1851960.85000000 0.073272837923 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L6BK9 594266.46000000 PA USD 481029.57000000 0.019031936727 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N GS Mortgage Securities Trust N/A 36250WAN0 200000.00000000 PA USD 181434.36000000 0.007178451128 Long ABS-MBS CORP US N 2 2035-10-10 Variable 3.80500000 N N N N N N FOUNDRY JV HOLDCO LLC 21380048QROAMGM6EP30 350930AG8 590000.00000000 PA USD 600373.60000000 0.023753783718 Long DBT CORP US N 2 2033-01-25 Fixed 5.90000000 N N N N N N DiamondRock Hospitality Co 529900KKD4BPVBUAQ734 252784301 13856.00000000 NS USD 106968.32000000 0.004232201978 Long EC US N 1 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4730760.00000000 OU Notional Amount 134759.06000000 0.005331742710 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2054-02-20 0.00000000 EUR -51199.27000000 EUR 4730760.00000000 EUR 190361.87000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179QWD9 32730.41000000 PA USD 29481.05000000 0.001166417852 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179Q6P1 23073.72000000 PA USD 21448.82000000 0.000848622643 Long ABS-MBS USGA US N 2 2045-03-20 Fixed 3.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GMM8 1164000.00000000 PA USD 1184630.91000000 0.046869926363 Long DBT CORP US N 2 2036-01-24 Fixed 5.51100000 N N N N N N Countrywide Home Equity Loan Trust N/A 126685AB2 22365.51000000 PA USD 22104.42000000 0.000874561459 Long ABS-O CORP US N 2 2035-05-15 Floating 4.61400000 N N N N N N Mexico Government International Bonds 254900EGTWEU67VP6075 91087BAV2 5799000.00000000 PA USD 5808916.29000000 0.229829794636 Long DBT NUSS MX N 2 2035-02-09 Fixed 6.35000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AACD4 375630.47000000 PA USD 365034.58000000 0.014442594516 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H5UJ8 169623.89000000 PA USD 166498.33000000 0.006587507046 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N Anchorage Capital CLO LTD 54930014PVHLSZJQK139 03328TBU8 1480000.00000000 PA USD 1486528.28000000 0.058814496931 Long ABS-CBDO CORP KY N 2 2037-04-28 Floating 6.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECY4 936041.00000000 PA USD 795593.60000000 0.031477663745 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 2.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKB4 2187000.00000000 PA USD 1402055.76000000 0.055472341363 Long DBT CORP US N 2 2052-07-21 Fixed 2.97200000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQZA3 224852.28000000 PA USD 220154.40000000 0.008710409655 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.50000000 N N N N N N Nelnet Student Loan Trust N/A 64034QAE8 260000.00000000 PA USD 230477.91000000 0.009118859367 Long ABS-O CORP US N 2 2062-04-20 Fixed 4.75000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3551875.00000000 OU Notional Amount -4133.39000000 -0.00016353759 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2027-03-19 16.57000000 PLN 0.00000000 PLN 3551875.00000000 PLN -4137.38000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -1452.65000000 -0.00005747410 N/A DFE CN N 2 Bank of America NA B4TYDEB6GKMZO031MB27 1041000.00000000 USD 7541482.86000000 CNY 2025-04-24 -1452.65000000 N N N Navient Student Loan Trust N/A 63941FAC0 200597.24000000 PA USD 200294.12000000 0.007924637603 Long ABS-O CORP US N 2 2068-11-15 Floating 5.33400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KFQP3 1227739.88000000 PA USD 1049962.54000000 0.041541771803 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 2.00000000 N N N N N N DEVELOPMENT BANK OF KAZA 213800LCDPGJ1BI7KX98 25159XAF0 100000000.00000000 PA 183409.66000000 0.007256603880 Long DBT NUSS KZ N 2 2028-05-23 Fixed 13.48900000 N N N N N N Coast Investment Grade N/A 19033EAA8 2090000.00000000 PA USD 2085510.26000000 0.082513221199 Long ABS-MBS CORP US N 2 2036-08-15 Floating 6.91000000 N N N N N N Mexico Government International Bonds 254900EGTWEU67VP6075 91087BAR1 3805000.00000000 PA USD 3118996.55000000 0.123403110110 Long DBT NUSS MX N 2 2034-02-12 Fixed 3.50000000 N N N N N N Countrywide Home Loans N/A 12545AAZ7 933302.98000000 PA USD 394712.87000000 0.015616816170 Long ABS-MBS CORP US N 2 2038-01-25 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312944R78 60741.45000000 PA USD 61801.21000000 0.002445165103 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -5290.92000000 -0.00020933526 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 783443.76000000 BRL 132000.00000000 USD 2025-04-02 -5290.92000000 N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAM1 2443000.00000000 PA USD 2399734.69000000 0.094945511942 Long DBT CORP US N 2 2026-05-15 Fixed 3.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VMD9 260579.63000000 PA USD 231650.36000000 0.009165247355 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 3.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61748UAF9 3255000.00000000 PA USD 3324224.90000000 0.131522970542 Long DBT CORP US N 2 2036-01-18 Fixed 5.58700000 N N N N N N FIRST ABU DHABI BANK USA NV N/A 000000000 293618.17000000 PA USD 293618.17000000 0.011617003988 Long STIV CORP US N 2 2025-04-01 Fixed 4.32000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177PPP4 140386.71000000 PA USD 132155.54000000 0.005228734432 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AUPE1 60245.79000000 PA USD 59360.00000000 0.002348578620 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307MWZ5 157125.96000000 PA USD 153197.76000000 0.006061269944 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GSRR5 37126.75000000 PA USD 35026.76000000 0.001385833889 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N VIPER ENERGY INC 5299009LINL232255G03 92763MAA3 2858000.00000000 PA USD 2831490.62000000 0.112027936920 Long DBT CORP US N 2 2027-11-01 Fixed 5.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WJUD1 197051.43000000 PA USD 176693.47000000 0.006990877798 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFAD8 94543.26000000 PA USD 91032.72000000 0.003601709905 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Dryden Senior Loan Fund 5493002P75UIPU4MC757 26245CBQ5 910000.00000000 PA USD 910057.33000000 0.036006421648 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.36300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417TM62 150900.47000000 PA USD 153340.24000000 0.006066907166 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.50000000 N N N N N N State of Texas 549300X9CH74QB747L76 882722KF7 820000.00000000 PA USD 839512.88000000 0.033215330222 Long DBT MUN US N 2 2039-04-01 Fixed 5.51700000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 539830109 261.00000000 NS USD 116591.31000000 0.004612935614 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NVJY4 796000.00000000 PA USD 833983.95000000 0.032996578086 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 5.81000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36182XAY7 47866.76000000 PA USD 45408.76000000 0.001796597758 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 4.00000000 N N N N N N GS Mortgage Securities Trust 54930066YOFVQE068N73 36250PAL9 110000.00000000 PA USD 106668.63000000 0.004220344743 Long ABS-MBS CORP US N 2 2048-07-10 Variable 4.45100000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -16411.53000000 -0.00064932224 N/A DFE XX N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 4354868.80000000 USD 3995000.00000000 EUR 2025-06-18 -16411.53000000 N N N OLYMPUS WTR US HLDG CORP 549300YU2GGVCBN3MY89 25259KAA8 203000.00000000 PA USD 210757.65000000 0.008338627206 Long DBT CORP US N 2 2028-11-15 Fixed 9.75000000 N N N N N N Solaris Energy Infrastructure Inc 529900MTK3C8Y8TIIC10 83418M103 48023.00000000 NS USD 1044980.48000000 0.041344656580 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGMR7 473171.26000000 PA USD 445655.81000000 0.017632373781 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 4.00000000 N N N N N N NatWest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC -6442.41000000 -0.00025489397 N/A DFE HU N 2 NatWest Markets PLC RR3QWICWWIPCS8A4S074 532500.00000000 USD 196191051.75000000 HUF 2025-04-24 -6442.41000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 2622000.00000000 OU Notional Amount -24512.25000000 -0.00096982726 N/A DIR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A N/A Y 2029-01-02 0.00000000 BRL 0.00000000 BRL 2622000.00000000 BRL -24512.25000000 N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DK3 265000.00000000 PA USD 215484.47000000 0.008525643857 Long DBT CORP US N 2 2040-04-01 Fixed 4.12500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 7207000.00000000 OU Notional Amount 87273.30000000 0.003452968439 N/A DIR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 7207000.00000000 BRL 87273.30000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BJEZ1 425056.01000000 PA USD 407144.90000000 0.016108689484 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1750000.00000000 OU Notional Amount USD 12993.78000000 0.000514098954 N/A DCR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Markit iBoxx USD Liquid Investment Grade Index IBOXIG INDEX Y equity-performance leg 2025-06-20 14.23000000 USD 0.00000000 USD 1750000.00000000 USD -12979.55000000 N N N BX Trust N/A 05609BAP4 1070000.00000000 PA USD 1043250.00000000 0.041276190133 Long ABS-MBS CORP US N 2 2036-02-15 Floating 6.83400000 N N N N N N NEW GEN GAS BOND CORP N/A 000000000 896054.06000000 PA USD 882613.25000000 0.034920596521 Long DBT CORP US Y 3 2029-09-30 None 0.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 16500.00000000 OU Notional Amount USD 2.15000000 0.000000085064 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 2.15000000 0.00000000 DFE US 606375.00000000 TRY 16500.00000000 USD 2025-04-04 1.00000000 36.75000000 USD 2025-04-04 XXXX -3157.60000000 N N N Carlyle Global Market Strategies N/A 14314FBC1 520000.00000000 PA USD 520374.92000000 0.020588635646 Long ABS-CBDO CORP KY N 2 2037-10-21 Floating 6.07300000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46645JBG6 150000.00000000 PA USD 136431.75000000 0.005397922696 Long ABS-MBS CORP US N 2 2048-12-15 Variable 4.13300000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 86363GAF1 499034.76000000 PA USD 188163.70000000 0.007444697490 Long ABS-MBS CORP US N 2 2047-04-25 Variable 4.80700000 N N N N N N WOOF Holdings Inc 254900RX9Z723FXJSU14 98082EAB0 138521.93000000 PA USD 74109.23000000 0.002932131960 Long LON CORP US Y 2 2027-12-21 Floating 8.31100000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BW9 291000.00000000 PA USD 171097.69000000 0.006769480741 Long DBT CORP US N 2 2051-08-12 Fixed 3.05000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RS91 23993.57000000 PA USD 22257.96000000 0.000880636270 Long ABS-MBS USGA US N 2 2045-11-20 Fixed 3.50000000 N N N N N N Landsea Homes Corp 549300RP8AZAKHNILS36 51509P103 24362.00000000 NS USD 156404.04000000 0.006188126424 Long EC CORP US N 1 N N N BX Trust N/A 05612RAA7 611943.86000000 PA USD 610414.00000000 0.024151032182 Long ABS-MBS CORP US N 2 2034-05-15 Floating 5.86000000 N N N N N N BX Trust N/A 05612EAA6 194800.00000000 PA USD 194678.25000000 0.007702445685 Long ABS-MBS CORP US N 2 2039-02-15 Floating 5.76100000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 408309000.00000000 OU Notional Amount -1764.12000000 -0.00006979741 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2027-03-19 1904.93000000 HUF 0.00000000 HUF 408309000.00000000 HUF -1768.93000000 N N N JOHNSONVILLE AERO COMBST N/A 479281AA5 941000.00000000 PA USD 928626.04000000 0.036741092729 Long DBT CORP US N 2 2054-10-01 Fixed 5.07800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GEB41 162770.57000000 PA USD 159656.25000000 0.006316800125 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N Indymac Home Equity Loan Asset-Backed Trust N/A 456606ER9 98101.63000000 PA USD 95214.15000000 0.003767148199 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.94200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H050649 13509000.00000000 PA USD 13286669.15000000 0.525687114377 Long ABS-MBS USGA US N 2 2055-04-20 Fixed 5.00000000 N N N N N N Bayview Commercial Asset Trust N/A 07325MAB0 93963.40000000 PA USD 88858.74000000 0.003515696378 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.84000000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC -216.16000000 -0.00000855237 N/A DFE US N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 2244723.00000000 INR 26000.00000000 USD 2025-04-24 -216.16000000 N N N Elmwood CLO II Ltd. N/A 29001LAW1 1140000.00000000 PA USD 1140949.62000000 0.045141675962 Long ABS-CBDO CORP KY N 2 2037-10-20 Floating 5.64300000 N N N N N N Rockford Tower CLO Ltd 549300V5ZF7112UGSH89 77341DAA5 1074490.34000000 PA USD 1075169.42000000 0.042539082104 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 5.74500000 N N N N N N UBS Securities LLC T6FIZBDPKLYJKFCRVK44 000000000 653000.00000000 OU Notional Amount USD 2769.37000000 0.000109570134 N/A DFE US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 Put Purchased UBS Securities LLC T6FIZBDPKLYJKFCRVK44 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 N/A 1.00000000 NC USD 2769.37000000 0.00000000 DFE US 94032000.00000000 JPY 653000.00000000 USD 2025-08-07 1.00000000 144.00000000 USD 2025-08-07 XXXX -991.91000000 N N N CITADEL PLC 213800XKX6NBEB5W9Z43 000000000 100000.00000000 PA 129202.19000000 0.005111885128 Long ABS-MBS CORP GB Y 2 2060-04-28 Floating 8.21400000 N N N N N N Genius Sports Ltd N/A 000000000 112759.00000000 NS USD 1128717.59000000 0.044657715649 Long EC CORP GG N 1 N N N Clover CLO N/A 18914GAG6 250000.00000000 PA USD 250636.25000000 0.009916424164 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 6.24300000 N N N N N N WOM MOBILE SPA 549300T600VUO0QJ3063 97810LAA7 311792.00000000 PA USD 313818.65000000 0.012416236055 Long DBT CORP CL N 2 2031-04-01 Fixed 11.00000000 N N N N N N MCR Mortgage Trust N/A 582923AA6 520000.00000000 PA USD 525888.27000000 0.020806771360 Long ABS-MBS CORP US N 2 2039-06-12 Fixed 5.92400000 N N N N N N Regional Management Issuance Trust N/A 75907UAA7 173000.00000000 PA USD 163135.78000000 0.006454467742 Long ABS-O CORP US N 2 2033-08-15 Fixed 1.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B3GW1 1146296.81000000 PA USD 927616.06000000 0.036701132866 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M9GM0 79069.03000000 PA USD 73797.85000000 0.002919812209 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 3.50000000 N N N N N N Oak Hill Credit 254900ZA7EPUCGQUTA43 67109SAA5 490000.00000000 PA USD 490369.46000000 0.019401469510 Long ABS-CBDO CORP BM N 2 2037-04-20 Floating 5.77300000 N N N N N N SC GERMANY CONSUMER N/A 000000000 100000.00000000 PA 108364.29000000 0.004287433537 Long ABS-O CORP LU Y 2 2038-05-14 Floating 4.09200000 N N N N N N HarborView Mortgage Loan Trust 549300SZXFEQICAU3R39 41162DAA7 1039582.89000000 PA USD 815703.52000000 0.032273312805 Long ABS-MBS CORP US N 2 2036-12-19 Floating 4.84100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A6DC8 137446.89000000 PA USD 139410.58000000 0.005515780116 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 5.00000000 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAK7 131000.00000000 PA USD 130225.03000000 0.005152353796 Long DBT CORP US N 2 2035-02-15 Fixed 5.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -121.00000000 NC USD -47047.14000000 -0.00186142026 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 10 Year U.S. Treasury Notes TYM5 Comdty 2025-06-18 -13410421.61000000 USD -47047.14000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -254000.00000000 OU Notional Amount USD -5078.98000000 -0.00020094986 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Written Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD -5078.98000000 0.00000000 DFE CL -254000.00000000 USD -241300000.00000000 CLP 2025-05-23 1.00000000 950.00000000 USD 2025-05-23 XXXX -1421.38000000 N N N Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 000000000 361000.00000000 OU Notional Amount 6747.19000000 0.000266952597 N/A DFE LU N 2 Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 Put Purchased Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 N/A 1.00000000 NC USD 6747.19000000 0.00000000 DFE XX 4169550.00000000 NOK 361000.00000000 EUR 2025-05-08 1.00000000 11.55000000 EUR 2025-05-08 XXXX 4270.35000000 N N N Visio Trust N/A 92838CAE8 171000.00000000 PA USD 169503.27000000 0.006706397508 Long ABS-MBS CORP US N 2 2057-08-25 Variable 6.01500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 181000.00000000 OU Notional Amount 210.40000000 0.000008324476 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Call Purchased Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 1.00000000 NC USD 210.40000000 0.00000000 DFE XX 2135800.00000000 NOK 181000.00000000 EUR 2025-05-08 1.00000000 11.80000000 EUR 2025-05-08 XXXX -131.42000000 N N N SPIRIT AIR 2015-1 PTT A N/A 84858DAA6 12873.70000000 PA USD 11997.74000000 0.000474690627 Long DBT CORP US N 2 2028-04-01 Fixed 4.10000000 N N N N N N ALEN 2021-ACEN Mortgage Trust N/A 01449NAG1 142000.00000000 PA USD 94217.00000000 0.003727695955 Long ABS-MBS CORP US N 2 2034-04-15 Floating 7.53400000 N N N N N N Credit-Based Asset Servicing and Securitization N/A 1248P8AK5 106939.58000000 PA USD 106172.91000000 0.004200731579 Long ABS-O CORP US N 2 2036-10-25 Variable 6.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QN1 745500.00000000 PA USD 768447.42000000 0.030403625032 Long DBT UST US N 2 2041-02-15 Fixed 4.75000000 N N N N N N EXPAND ENERGY CORP X2MT1W32SPAZ9WSKLE78 845467AS8 1263000.00000000 PA USD 1253765.07000000 0.049605219661 Long DBT CORP US N 2 2030-03-15 Fixed 5.37500000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAU7 4977000.00000000 PA USD 5123323.50000000 0.202704313348 Long DBT CORP US N 2 2033-02-02 Fixed 7.25000000 N N N N N N Conseco Finance Securitizations Corp. N/A 20846QER5 1604917.80000000 PA USD 344394.98000000 0.013625988665 Long ABS-O CORP US N 2 2031-05-01 Fixed 8.20000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 1278.01000000 0.000050564470 N/A DFE BR N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 211083.07000000 USD 1211827.89000000 BRL 2025-04-02 1278.01000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EE63 233068.21000000 PA USD 223318.50000000 0.008835597283 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MMRF2 61400.39000000 PA USD 59827.17000000 0.002367062203 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 2.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 6028000.00000000 OU Notional Amount USD 8894.50000000 0.000351910925 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-04-15 51.69000000 USD 0.00000000 USD 6028000.00000000 USD 8842.81000000 N N N BX Trust N/A 05612FAG0 547000.00000000 PA USD 546003.09000000 0.021602614288 Long ABS-MBS CORP US N 2 2041-03-15 Floating 9.70800000 N N N N N N ELM Trust 2024 N/A 26860XAA9 710000.00000000 PA USD 719103.05000000 0.028451314850 Long ABS-MBS CORP US N 2 2039-06-10 Variable 5.41400000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918104 329.00000000 NS USD 123503.31000000 0.004886408919 Long EC CORP US N 1 N N N 280 Park Avenue Mortgage Trust N/A 90205FAN0 2998451.00000000 PA USD 2887068.14000000 0.114226861705 Long ABS-MBS CORP US Y 2 2034-09-15 Floating 6.74100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWXG4 470034.51000000 PA USD 428029.35000000 0.016934982826 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QMHE4 23006.08000000 PA USD 22012.11000000 0.000870909214 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 4.00000000 N N N N N N Uruguay Government International Bonds 549300RDR012H2V82H43 760942BA9 1478733.00000000 PA USD 1367828.03000000 0.054118121098 Long DBT NUSS UY N 2 2050-06-18 Fixed 5.10000000 N N N N N N TCI-Flatiron CLO Ltd N/A 87231BAL7 74535.31000000 PA USD 74515.04000000 0.002948187834 Long ABS-CBDO CORP KY N 2 2030-11-18 Floating 5.54500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335AAT5 423586.78000000 PA USD 416443.36000000 0.016476583088 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.50000000 N N N N N N CIFC Funding Ltd 635400BTAKRBKGRV3X14 12551MAL3 250000.00000000 PA USD 251008.75000000 0.009931162128 Long ABS-CBDO CORP KY N 2 2037-07-17 Floating 5.71300000 N N N N N N ELM Trust 2024 254900IIXJ23M1M8Y987 26860XAU5 710000.00000000 PA USD 719103.05000000 0.028451314850 Long ABS-MBS CORP US N 2 2039-06-10 Variable 5.41400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFRT0 1997858.75000000 PA USD 1618737.84000000 0.064045368665 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 388.87000000 0.000015385642 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 32000.00000000 USD 1317120.00000000 TRY 2025-05-27 388.87000000 N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 33767BAH2 2253000.00000000 PA USD 2208424.73000000 0.087376332662 Long DBT CORP US N 2 2035-01-15 Fixed 5.00000000 N N N N N N Agate Bay Mortgage Loan Trust N/A 00842ACG2 104000.00000000 PA USD 64246.30000000 0.002541905098 Long ABS-MBS CORP US N 2 2045-06-25 Variable 3.48800000 N N N N N N Signal Peak CLO, LLC N/A 82666VAA2 270000.00000000 PA USD 270607.50000000 0.010706586744 Long ABS-CBDO CORP KY N 2 2037-04-25 Floating 5.85000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AS5 3656000.00000000 PA USD 3672589.68000000 0.145306024359 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7CL8 320133.96000000 PA USD 316623.03000000 0.012527191360 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N Interface Security Systems LLC N/A 000000000 1855425.34000000 PA USD 932351.23000000 0.036888479885 Long LON CORP US Y 3 2028-08-07 Floating 11.42400000 N N Y N N N Park River Holdings Inc 254900PGY077KWCROT75 70082HAC0 87942.27000000 PA USD 81346.60000000 0.003218478531 Long LON CORP US N 2 2027-12-28 Floating 7.82200000 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AK9 890000.00000000 PA USD 884964.83000000 0.035013636793 Long DBT US N 2 2035-04-01 Fixed 5.62500000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -4907.19000000 -0.00019415299 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 125410.04000000 EUR 131010.64000000 USD 2025-05-14 -4907.19000000 N N N Bluemountain CLO Ltd N/A 09629PAE6 660000.00000000 PA USD 659848.86000000 0.026106922602 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 6.06400000 N N N N N N Octagon 57 Ltd N/A 67592XAE0 250000.00000000 PA USD 249644.00000000 0.009877165789 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 6.21400000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818GA0 704000.00000000 PA USD 493603.57000000 0.019529427084 Long DBT CORP US N 2 2072-02-14 Fixed 3.85000000 N N N N N N Vertiv Holdings Co 549300KTTIRAOGXCRV69 92537N108 1605.00000000 NS USD 115881.00000000 0.004584832196 Long EC CORP US N 1 N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDW8 647000.00000000 PA USD 367835.44000000 0.014553410552 Long DBT CORP US N 2 2063-11-01 Fixed 2.98700000 N N N N N N META PLATFORMS INC BQ4BKCS1HXDV9HN80Z93 30303M8R6 1411000.00000000 PA USD 1432796.85000000 0.056688612703 Long DBT CORP US N 2 2063-05-15 Fixed 5.75000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300RD723OFH36TP29 94989XBF1 846304.59000000 PA USD 1876.51000000 0.000074244125 Long ABS-MBS CORP US N 2 2048-12-15 Variable 0.98200000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1204312.00000000 OU Notional Amount 3331.82000000 0.000131823470 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-03-19 13.32000000 PLN 0.00000000 PLN 1204312.00000000 PLN 3328.52000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CZ98 225792.27000000 PA USD 212701.98000000 0.008415554630 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XBQ8 2323693.16000000 PA USD 1982939.82000000 0.078455021359 Long ABS-MBS USGA US N 2 2052-07-20 Fixed 2.50000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AM9 3216000.00000000 PA USD 2184134.63000000 0.086415294766 Long DBT CORP US N 2 2050-03-01 Fixed 3.40000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KV8 329000.00000000 PA USD 322016.27000000 0.012740574921 Long DBT CORP US N 2 2055-03-01 Fixed 6.15000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 3539.14000000 0.000140026087 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 2949000.00000000 EUR 3206069.93000000 USD 2025-06-18 3539.14000000 N N N REPUBLIC OF CHILE 549300FLZTJM5YJF8D34 000000000 155000.00000000 PA 167182.45000000 0.006614574256 Long DBT NUSS CL N 2 2032-01-14 Fixed 3.75000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 7697595372.00000000 OU Notional Amount -16723.47000000 -0.00066166415 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2027-03-12 25016.00000000 JPY 0.00000000 JPY 7697595372.00000000 JPY -16892.83000000 N N N UMBS, TBA N/A 01F052649 106278000.00000000 PA USD 106136724.65000000 4.199299905855 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCY5 14441000.00000000 PA USD 13194335.62000000 0.522033937919 Long DBT UST US N 2 2028-09-30 Fixed 1.25000000 N N N N N N CD Commercial Mortgage Trust N/A 12515HBC8 363000.00000000 PA USD 343584.00000000 0.013593902238 Long ABS-MBS CORP US N 2 2050-08-15 Variable 3.95600000 N N N N N N American Home Mortgage Assets N/A 02660UAE0 295950.89000000 PA USD 193641.79000000 0.007661438142 Long ABS-MBS CORP US N 2 2046-10-25 Floating 5.57500000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC 477.23000000 0.000018881606 N/A DFE TR N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 32352.63000000 USD 1276282.61000000 TRY 2025-04-21 477.23000000 N N N Conseco Financial Corp N/A 3935053Q3 346373.63000000 PA USD 99899.04000000 0.003952505889 Long ABS-O CORP US N 2 2030-03-01 Variable 7.50000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162RAF4 5050163.21000000 PA USD 264499.27000000 0.010464914602 Long ABS-MBS CORP US N 2 2054-02-15 Variable 1.25700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q83N3 4353342.37000000 PA USD 4252999.87000000 0.168269955687 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XBKL7 10943.30000000 PA USD 10694.17000000 0.000423114875 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FPF7 515017.75000000 PA USD 494461.61000000 0.019563375440 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 4.00000000 N N N N N N RMF Buyout Issuance Trust N/A 74969TAD2 509000.00000000 PA USD 478243.83000000 0.018921718914 Long ABS-O CORP US N 2 2031-11-25 Variable 3.69000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EW4P7 36776.04000000 PA USD 35165.07000000 0.001391306125 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -194853.00000000 OU Notional Amount USD -2388.90000000 -0.00009451683 N/A DFE US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A 1.00000000 NC USD -2388.90000000 0.00000000 DFE ZA -194853.00000000 USD -3585295.20000000 ZAR 2025-04-15 1.00000000 18.40000000 USD 2025-04-15 XXXX 190.95000000 N N N OCEANA A 4YR NOTE UPSIZE N/A 000000000 639000.00000000 PA 402792.83000000 0.015936499818 Long ABS-O CORP AU Y 3 2028-07-31 Fixed 10.50000000 N N N N N N BX Trust N/A 05612UAA0 1877884.62000000 PA USD 1870842.55000000 0.074019892454 Long ABS-MBS CORP US N 2 2037-06-15 Floating 5.86000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 9645000.00000000 OU Notional Amount USD 11964.21000000 0.000473364013 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2029-04-15 114.05000000 USD 0.00000000 USD 9645000.00000000 USD 11850.16000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QDYC2 502028.44000000 PA USD 472403.99000000 0.018690665622 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83P0 453969.75000000 PA USD 367148.26000000 0.014526222273 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.00000000 N N N N N N Anchorage Capital CLO LTD 54930064GO7DB3TVDY21 03328QBN0 540000.00000000 PA USD 540008.10000000 0.021365422486 Long ABS-CBDO CORP KY N 2 2034-04-22 Floating 6.39000000 N N N N N N SM ENERGY CO 84BUTVXV5ODI6BXNMH43 78454LAX8 30000.00000000 PA USD 29553.16000000 0.001169270885 Long DBT CORP US N 2 2029-08-01 Fixed 6.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SX7 5888700.00000000 PA USD 3850887.75000000 0.152360388163 Long DBT UST US N 2 2051-05-15 Fixed 2.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EAA8 8642871.58000000 PA USD 7196633.86000000 0.284734845459 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QA4A5 4478361.28000000 PA USD 4383379.09000000 0.173428410012 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.50000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BX9 254000.00000000 PA USD 218767.43000000 0.008655534182 Long DBT CORP US N 2 2048-12-06 Fixed 4.50000000 N N N N N N Ajax Mortgage Loan Trust N/A 00971FAA9 3254551.92000000 PA USD 3251066.62000000 0.128628462921 Long ABS-MBS CORP US N 2 2061-06-25 Variable 4.87500000 N N N N N N Norfolk Southern Corp 54930036C8MWP850MI84 655844BX5 181000.00000000 PA USD 141482.53000000 0.005597756826 Long DBT CORP US N 2 2047-11-01 Fixed 3.94200000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBS0 3348000.00000000 PA USD 3277441.67000000 0.129671991873 Long DBT CORP US N 2 2031-02-01 Fixed 4.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VSF8 6184931.21000000 PA USD 5060774.07000000 0.200229544917 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KFAB8 199008.63000000 PA USD 191531.77000000 0.007577955192 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TN8 6526000.00000000 PA USD 5496370.53000000 0.217463920478 Long DBT UST US N 2 2053-02-15 Fixed 3.62500000 N N N N N N SMB Private Education Loan Trust N/A 83208AAE3 121206.96000000 PA USD 117324.03000000 0.004641925683 Long ABS-O CORP US N 2 2053-01-15 Fixed 2.30000000 N N N N N N Countrywide Asset-Backed Certificates N/A 126670NV6 629394.63000000 PA USD 553663.16000000 0.021905684986 Long ABS-O CORP US N 2 2036-04-25 Variable 4.53200000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAN9 11200000.00000000 PA USD 10593241.01000000 0.419121619992 Long DBT CORP US N 2 2029-12-01 Fixed 3.50000000 N N N N N Palmer Square CLO Ltd 549300IUW4WDDDVSMS20 69701RAY3 250000.00000000 PA USD 250690.75000000 0.009918580456 Long ABS-CBDO CORP JE N 2 2036-11-15 Floating 5.97300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178EK65 23552.78000000 PA USD 22117.09000000 0.000875062748 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 3.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 3552363.21000000 OU Notional Amount USD 9941.05000000 0.000393317680 N/A DE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 GSISDRV5 GSISDRV5 GSISDRV5 INDEX Y equity-performance leg 2025-05-06 0.00000000 USD 0.00000000 USD 3552363.21000000 USD 9941.05000000 N N N JP Morgan Mortgage Trust N/A 46654CAP0 822059.30000000 PA USD 667023.85000000 0.026390801108 Long ABS-MBS CORP US N 2 2052-02-25 Variable 2.50000000 N N N N N N SITIO ROYAL OP / SIT FIN N/A 82983MAB6 200000.00000000 PA USD 205862.60000000 0.008144954535 Long DBT CORP US N 2 2028-11-01 Fixed 7.87500000 N N N N N N Mosaic Solar Loans LLC N/A 61946NAA6 108471.10000000 PA USD 95783.65000000 0.003789680468 Long ABS-O CORP US N 2 2046-04-20 Fixed 2.10000000 N N N N N N APA CORP 549300VCIWLRHYVSHC79 03743QAJ7 137000.00000000 PA USD 114585.08000000 0.004533559116 Long DBT CORP US N 2 2042-02-01 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CS54 182161.29000000 PA USD 171744.30000000 0.006795063868 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N Vista Point Securitization Trust N/A 92838TAE1 100000.00000000 PA USD 97060.44000000 0.003840196669 Long ABS-MBS CORP US N 2 2065-04-25 Variable 4.90000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -38038000.00000000 OU Notional Amount -14902.57000000 -0.00058962023 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD -14902.57000000 0.00000000 DFE US -38038000.00000000 AUD -24344320.00000000 USD 2025-04-10 1.00000000 0.64000000 AUD 2025-04-10 XXXX 187579.31000000 N N N BEAZER HOMES USA 549300DUPYT2T0F60I45 07556QBT1 772000.00000000 PA USD 759132.38000000 0.030035075440 Long DBT CORP US N 2 2029-10-15 Fixed 7.25000000 N N N N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081FX0 553000.00000000 PA USD 375960.21000000 0.014874867108 Long DBT CORP US N 2 2049-10-01 Fixed 3.15000000 N N N N N N Riserva CLO, Ltd. 549300640C8OB2I8SN35 76761RAY5 940000.00000000 PA USD 939772.52000000 0.037182103251 Long ABS-CBDO CORP KY N 2 2034-01-18 Floating 5.61500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DSX6 148880.71000000 PA USD 139634.73000000 0.005524648612 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 3.50000000 N N N N N N Australia & New Zealand Banking Group Ltd. JHE42UYNWWTJB8YTTU19 000000000 1.00000000 NC 1128.44000000 0.000044646732 N/A DFE US N 2 Australia & New Zealand Banking Group Ltd. JHE42UYNWWTJB8YTTU19 809323.60000000 EUR 877284.36000000 USD 2025-04-24 1128.44000000 N N N Stryker Corp 5493002F0SC4JTBU5137 863667101 339.00000000 NS USD 126192.75000000 0.004992816623 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQD25 15385.09000000 PA USD 15008.56000000 0.000593813732 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 3.00000000 N N N N N N PGA National Resort Commercial Mortgage Trust N/A 69381CAA5 371000.00000000 PA USD 370072.13000000 0.014641905200 Long ABS-MBS CORP US N 2 2039-06-15 Floating 6.21000000 N N N N N N SPIRIT AIR 2017-1 PTT A N/A 84858XAA2 383424.55000000 PA USD 340846.60000000 0.013485596997 Long DBT CORP US N 2 2030-02-15 Fixed 3.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKVQ8 490623.90000000 PA USD 434252.61000000 0.017181206131 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 1.50000000 N N N N N N Trane Technologies PLC 549300BURLR9SLYY2705 000000000 370.00000000 NS USD 124660.40000000 0.004932189190 Long EC CORP IE N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6RM2 43194.49000000 PA USD 44041.89000000 0.001742517541 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -2715000.00000000 NC USD -9340.36000000 -0.00036955137 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A 2715000.00000000 OU Notional Amount N/A -9340.36000000 0.00000000 DIR US N/A N/A 2025-05-27 0.00000000 N/A 0.00000000 N/A 2715000.00000000 USD 1.00000000 3.70000000 USD 2025-05-27 XXXX -2369.44000000 N N N Freddie Mac - SCRT N/A 35563PEX3 157224.88000000 PA USD 64226.54000000 0.002541123294 Long ABS-MBS USGSE US N 2 2057-05-25 Variable 3.90400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A9TU5 104093.50000000 PA USD 103895.50000000 0.004110625844 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 5.00000000 N N N N N N PARK INTERMED HOLDINGS N/A 70052LAC7 340000.00000000 PA USD 317330.13000000 0.012555167774 Long DBT US N 2 2029-05-15 Fixed 4.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JPTF9 73403.06000000 PA USD 71770.41000000 0.002839596538 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC N/A -430.05000000 -0.00001701492 N/A DFE XX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1337079.16000000 NOK 117000.00000000 EUR 2025-04-24 -430.05000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H062644 5560000.00000000 PA USD 5691482.16000000 0.225183512846 Long ABS-MBS USGA US N 2 2055-04-20 Fixed 6.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1069330.66000000 OU Notional Amount USD -358.07000000 -0.00001416704 N/A DCR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 CMBX.NA.AAA.9 137BENAI7 Y buy protection 2058-09-17 12692.28000000 USD 0.00000000 USD 1069330.66000000 USD -13050.35000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XYBY9 185679.30000000 PA USD 173079.59000000 0.006847894622 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 3.50000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92553PAP7 170000.00000000 PA USD 125914.99000000 0.004981827048 Long DBT CORP US N 2 2043-03-15 Fixed 4.37500000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBV6 1871000.00000000 PA USD 1722347.80000000 0.068144697118 Long DBT CORP US N 2 2052-03-16 Fixed 5.65000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KM8 705000.00000000 PA USD 736820.58000000 0.029152308990 Long DBT CORP US N 2 2033-06-15 Fixed 6.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83B1 935726.33000000 PA USD 861690.03000000 0.034092769244 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 9060.56000000 0.000358481090 N/A DFE PL N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 488817.96000000 USD 1929103.94000000 PLN 2025-04-14 9060.56000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GC51 130000.00000000 PA USD 129479.65000000 0.005122862834 Long DBT CORP US N 2 2056-01-28 Fixed 5.73400000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3395348847.00000000 OU Notional Amount -2708.84000000 -0.00010717526 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2027-03-12 11034.00000000 JPY 0.00000000 JPY 3395348847.00000000 JPY -2783.21000000 N N N CHARTER COMM OPT LLC/CAP N/A 161175CA0 2949000.00000000 PA USD 1906904.79000000 0.075446695114 Long DBT CORP US N 2 2052-06-01 Fixed 3.90000000 N N N N N N Viper Energy Inc 5299009LINL232255G03 927959106 3843.00000000 NS USD 173511.45000000 0.006864981165 Long EC CORP US N 1 N N N Oak Hill Credit N/A 67707EBJ2 2590000.00000000 PA USD 2582952.61000000 0.102194529629 Long ABS-CBDO CORP KY N 2 2038-01-21 Floating 5.52000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668BJD6 150525.24000000 PA USD 147602.13000000 0.005839878822 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.89500000 N N N N N N NVIDIA Corp 549300S4KLFTLO7GSQ80 67066G104 1171.00000000 NS USD 126912.98000000 0.005021312526 Long EC CORP US N 1 N N N Eastman Chemical Company 984500KE15B085F09569 33939NAC0 389940.00000000 PA USD 241762.80000000 0.009565346081 Long LON CORP US N 2 2028-11-01 Floating 9.81100000 N N N N N N Steele Creek CLO Ltd N/A 85816VAA4 131859.11000000 PA USD 131921.22000000 0.005219463560 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 5.81400000 N N N N N N Wells Fargo Commercial Mortgage Trust 54930012YCNUERXJ1I74 95004AAG8 407000.00000000 PA USD 413674.80000000 0.016367045001 Long ABS-MBS CORP US N 2 2043-07-15 Fixed 6.43200000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17312VAS7 258924.95000000 PA USD 238096.59000000 0.009420292469 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.93500000 N N N N N N CRESCENT ENERGY FINANCE 54930061FUL6DBLFUW14 45344LAE3 56000.00000000 PA USD 53996.28000000 0.002136363019 Long DBT CORP US N 2 2033-01-15 Fixed 7.37500000 N N N N N N BELGIUM KINGDOM 549300SZ25JZFHRHWD76 000000000 5290320.00000000 PA 5071313.67000000 0.200646544230 Long DBT NUSS BE Y 2 2054-06-22 Fixed 3.30000000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAT9 560000.00000000 PA USD 561592.08000000 0.022219392735 Long DBT CORP US N 2 2026-12-30 Fixed 5.05000000 N N N N N N OHA Loan Funding Ltd 54930016024GMIAF7A82 67110UAW9 610000.00000000 PA USD 610398.94000000 0.024150436333 Long ABS-CBDO CORP KY N 2 2037-07-20 Floating 5.75300000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FV5 402000.00000000 PA USD 273076.79000000 0.010804284212 Long DBT CORP US N 2 2061-05-20 Fixed 3.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CCL6 57482.74000000 PA USD 54282.45000000 0.002147685336 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.00000000 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 81761LAB8 71000.00000000 PA USD 68485.58000000 0.002709632227 Long DBT US N 2 2027-12-15 Fixed 5.50000000 N N N N N N Morgan Stanley Capital I Trust N/A 61768HAX4 2168890.88000000 PA USD 69716.18000000 0.002758320921 Long ABS-MBS CORP US N 2 2052-03-15 Variable 0.99600000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAR4 3522000.00000000 PA USD 2978524.30000000 0.117845325016 Long DBT CORP US N 2 2031-10-28 Fixed 2.87500000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QANL0 4859198.62000000 PA USD 4763655.74000000 0.188474057085 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4.50000000 N N N N N N Washington Mutual Asset-Backed CTFS N/A 93934QAC2 1594587.74000000 PA USD 402544.43000000 0.015926671871 Long ABS-O CORP US N 2 2036-09-25 Floating 4.79500000 N N N N N N OT MIDCO LTD N/A 68877AAA2 346000.00000000 PA USD 297891.48000000 0.011786077515 Long DBT CORP US N 2 2030-02-15 Fixed 10.00000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140E1RT2 10828.28000000 PA USD 10538.05000000 0.000416937987 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 16411QAN1 2602000.00000000 PA USD 2289866.76000000 0.090598586883 Long DBT CORP US N 2 2032-01-31 Fixed 3.25000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AS8 1018000.00000000 PA USD 1080234.41000000 0.042739478452 Long DBT US N 2 2033-12-01 Fixed 6.75000000 N N N N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AB6 1797000.00000000 PA USD 1520999.08000000 0.060178334261 Long DBT CORP US N 2 2035-01-15 Fixed 3.30200000 N N N N N N MCR Mortgage Trust N/A 582923AV0 2421000.00000000 PA USD 35345.39000000 0.001398440486 Long ABS-MBS CORP US N 2 2039-06-12 Fixed 0.92000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J7MK8 543520.73000000 PA USD 511986.46000000 0.020256746195 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 2.00000000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86359LSM2 454059.69000000 PA USD 416870.84000000 0.016493496336 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.89500000 N N N N N N Ballyrock Ltd N/A 05875TAJ6 1010000.00000000 PA USD 1010958.49000000 0.039998576419 Long ABS-CBDO CORP KY N 2 2038-01-15 Floating 5.63200000 N N N N N N Countrywide Alternative Loan Trust N/A 12667GGN7 841717.38000000 PA USD 734308.27000000 0.029052909435 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.78500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MAFB0 1325048.00000000 PA USD 1339992.18000000 0.053016795589 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 5.00000000 N N N N N N DUKE ENERGY PROGRESS LLC 0NIFZ782LS46WOC9QK20 26442UAP9 379000.00000000 PA USD 290717.65000000 0.011502244904 Long DBT CORP US N 2 2052-04-01 Fixed 4.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ADS1 1125000.00000000 PA USD 1132074.56000000 0.044790534180 Long DBT CORP US N 2 2032-05-15 Fixed 5.12500000 N N N N N N Take-Two Interactive Software Inc BOMSTHHJK882EWYX3334 874054109 619.00000000 NS USD 128287.75000000 0.005075705306 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRA5 12900.91000000 PA USD 11825.11000000 0.000467860521 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 3.50000000 N N N N N N MHC Commercial Mortgage Trust N/A 55316VAL8 154400.00000000 PA USD 154014.00000000 0.006093564483 Long ABS-MBS CORP US N 2 2038-04-15 Floating 7.03400000 N N N N N N Merrill Lynch First Franklin Mortgage Loan Trust N/A 59024QAD2 3934327.64000000 PA USD 2700992.25000000 0.106864768425 Long ABS-O CORP US N 2 2037-05-25 Floating 4.91500000 N N N N N N Palmer Square Loan Funding Ltd N/A 69690CAQ6 1580000.00000000 PA USD 1580595.66000000 0.062536273171 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 5.90200000 N N N N N N Lehman Brothers Small Balance Commercial N/A 52520VAG8 171524.29000000 PA USD 162895.55000000 0.006444963042 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.88500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WQPF3 27352.00000000 PA USD 26830.57000000 0.001061551601 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 3.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 3128300.00000000 OU Notional Amount -8266.31000000 -0.00032705658 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 3128300.00000000 BRL -8266.31000000 N N N FIDELITY INST GOVT LEX N/A 316175108 700000.00000000 NS USD 700000.00000000 0.027695502605 Long STIV RF US N 1 N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XCH1 2649000.00000000 PA USD 2687509.15000000 0.106331309523 Long DBT US N 2 2034-02-15 Fixed 5.45000000 N N N N N N Extended Stay America Trust N/A 30227FAL4 835835.12000000 PA USD 834267.93000000 0.033007813755 Long ABS-MBS CORP US N 2 2038-07-15 Floating 7.28300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFM40 2821038.25000000 PA USD 2390976.44000000 0.094598991748 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Italian Stella Loans Srl N/A 000000000 92091.89000000 PA 100046.85000000 0.003958353992 Long ABS-O CORP IT Y 2 2036-12-29 Floating 4.06300000 N N N N N N Maverick Gaming LLC N/A 57770JAE6 469331.13000000 PA USD 301934.80000000 0.011946051485 Long LON CORP US N 2 2028-06-03 Floating 11.80500000 N N N N N N DISH NETWORK CORP 529900U350CWHH15G169 25470MAF6 459000.00000000 PA USD 417690.00000000 0.016525906404 Long DBT CORP US N 2 2025-12-15 None 0.00000000 N N N N Y DISH Network Corp USD XXXX N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2007188.00000000 OU Notional Amount 6833.34000000 0.000270361122 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-03-19 22.22000000 PLN 0.00000000 PLN 2007188.00000000 PLN 6827.84000000 N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BE7 150000.00000000 PA USD 132168.53000000 0.005229248381 Long DBT CORP US N 2 2031-04-27 Fixed 2.85000000 N N N N N N Oak Hill Credit N/A 67098WAN1 630000.00000000 PA USD 629977.95000000 0.024925079936 Long ABS-CBDO CORP KY N 2 2037-02-24 Floating 5.59000000 N N N N N N Freddie Mac - SCRT N/A 35563PCJ6 883244.26000000 PA USD 101766.79000000 0.004026403425 Long ABS-MBS USGSE US N 2 2056-07-25 Variable 0.75400000 N N N N N N UMBS, TBA N/A 01F022444 -67000.00000000 PA USD -61977.33000000 -0.00245213329 Short ABS-MBS USGSE US N 2 2040-04-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178D7L9 103349.92000000 PA USD 97184.46000000 0.003845103521 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 3.50000000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC 22250.25000000 0.000880331224 N/A DFE US N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 39395919.93000000 TRY 1015751.45000000 USD 2025-05-07 22250.25000000 N N N VERSA NETWORKS N/A 000000000 83584.00000000 NS USD 362754.56000000 0.014352385516 N/A DE US Y 3 N/A N/A Call Purchased PROJECT SASE - SERIES E PROJECT SASE - SERIES E 1.00000000 1.00000000 USD 2032-10-07 XXXX 362754.56000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBJE1 2178551.74000000 PA USD 2051910.04000000 0.081183828370 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 4.00000000 N N N N N N Ajax Mortgage Loan Trust N/A 009733AA4 1183513.04000000 PA USD 1182732.39000000 0.046794811412 Long ABS-MBS CORP US N 2 2061-01-25 Variable 5.11500000 N N N N N N Latch Inc N/A 51818V114 6439.00000000 NS USD 0.01000000 0.000000000395 N/A DE US N 2 N/A N/A Call Purchased Latch Inc Latch Inc 1.00000000 11.50000000 USD 2026-06-04 XXXX -14819.44000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQF35 606013.16000000 PA USD 621622.55000000 0.024594498504 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.00000000 N N N N N N Alphabet Inc 5493006MHB84DD0ZWV18 02079K107 746.00000000 NS USD 116547.58000000 0.004611205436 Long EC CORP US N 1 N N N ROMANIA 315700IASY927EDWBK92 000000000 32000.00000000 PA 32843.59000000 0.001299456760 Long DBT NUSS RO Y 2 2028-03-07 Fixed 2.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180KJT9 189899.63000000 PA USD 178106.79000000 0.007046795809 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 3.50000000 N N N N N N BX Trust N/A 05612FAE5 1141000.00000000 PA USD 1140522.83000000 0.045124790014 Long ABS-MBS CORP US N 2 2041-03-15 Floating 8.75800000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACX1 996000.00000000 PA USD 977579.86000000 0.038677950799 Long DBT CORP US N 2 2062-09-15 Fixed 5.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EW4N2 17524.47000000 PA USD 16751.55000000 0.000662775138 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJF7 238000.00000000 PA USD 204658.25000000 0.008097304423 Long DBT CORP US N 2 2031-07-23 Fixed 1.89800000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBS9 3772200.00000000 PA USD 3493558.19000000 0.138222642791 Long DBT UST US N 2 2028-03-31 Fixed 1.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307NXU3 9301.25000000 PA USD 8960.24000000 0.000354511928 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Soundview Home Equity Loan Trust N/A 83612QAE8 3398947.00000000 PA USD 3243360.20000000 0.128323558385 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.96000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 07387UFW6 2038192.08000000 PA USD 1900589.25000000 0.075196820750 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.99500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H052645 -118000.00000000 PA USD -118242.51000000 -0.00467826534 Short ABS-MBS USGA US N 2 2055-04-20 Fixed 5.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 207.44000000 0.000008207364 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 54000.00000000 GBP 69956.86000000 USD 2025-06-18 207.44000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMSH9 1140117.47000000 PA USD 1074028.04000000 0.042493923400 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 4.00000000 N N N N N N Countrywide Alternative Loan Trust N/A 23243VAD2 2249427.15000000 PA USD 1939921.05000000 0.076752983564 Long ABS-MBS CORP US N 2 2046-07-25 Floating 4.93500000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 073852AD7 2965000.00000000 PA USD 2800491.42000000 0.110801453456 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.78500000 N N N N N N Florida Power & Light Co A89MY1K3YLIGJMYWVX50 341081FU6 1746000.00000000 PA USD 1386389.75000000 0.054852515619 Long DBT CORP US N 2 2049-03-01 Fixed 3.99000000 N N N N N N Panama Government International Bonds 549300SHS4T08CL0LP14 698299BT0 200000.00000000 PA USD 187340.00000000 0.007412107797 Long DBT NUSS PA N 2 2035-02-14 Fixed 6.40000000 N N N N N N SMB Private Education Loan Trust N/A 78448YAE1 1070599.03000000 PA USD 924221.16000000 0.036566813635 Long ABS-O CORP US N 2 2053-01-15 Fixed 2.99000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XEP7 1303000.00000000 PA USD 1308288.81000000 0.051762451637 Long DBT CORP US N 2 2034-01-07 Fixed 6.10000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177MZY1 81267.19000000 PA USD 76527.92000000 0.003027827439 Long ABS-MBS USGA US N 2 2042-04-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFNP0 1546781.12000000 PA USD 1318791.89000000 0.052178006036 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N HMH Trust N/A 40390AAA9 740000.00000000 PA USD 580136.32000000 0.022953095660 Long ABS-MBS CORP US N 2 2031-07-05 Fixed 3.06200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CV35 41346.29000000 PA USD 38966.61000000 0.001541714069 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4822000.00000000 OU Notional Amount USD 6559.77000000 0.000259537324 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2029-04-15 57.02000000 USD 0.00000000 USD 4822000.00000000 USD 6502.75000000 N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 124857AN3 397000.00000000 PA USD 297418.98000000 0.011767383050 Long DBT CORP US N 2 2045-01-15 Fixed 4.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KFF6 155841.70000000 PA USD 162514.87000000 0.006429901436 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 6.00000000 N N N N N N OVINTIV INC 2549003MEX7YMKLGI239 69047QAD4 671000.00000000 PA USD 708833.28000000 0.028044991361 Long DBT CORP US N 2 2053-07-15 Fixed 7.10000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TUA1 27510.65000000 PA USD 25366.47000000 0.001003624479 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 3.50000000 N N N N N N MILEAGE PLUS HLDINGS LLC N/A 599191AA1 687208.50000000 PA USD 690170.55000000 0.027306600379 Long DBT CORP US N 2 2027-06-20 Fixed 6.50000000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 320275AE0 6501853.07000000 PA USD 2627975.54000000 0.103975862022 Long ABS-O CORP US N 2 2036-12-25 Floating 4.85500000 N N N N N N UMBS, TBA N/A 01F050643 34107000.00000000 PA USD 33426581.38000000 1.322522816725 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GSSE0 188716.10000000 PA USD 176132.56000000 0.006968685392 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 391000.00000000 OU Notional Amount USD 1.56000000 0.000000061721 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Call Purchased Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 1.00000000 NC USD 1.56000000 0.00000000 DFE US 2346000.00000000 BRL 391000.00000000 USD 2025-04-02 1.00000000 6.00000000 USD 2025-04-02 XXXX -6446.03000000 N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 466317AQ7 797620.41000000 PA USD 746673.92000000 0.029542156424 Long ABS-MBS CORP US N 2 2037-04-15 Floating 7.85900000 N N N N N N Madison Park Funding Ltd N/A 55820TAN8 250000.00000000 PA USD 250062.00000000 0.009893703960 Long ABS-CBDO CORP KY N 2 2031-07-27 Floating 6.56200000 N N N N N N Washington Mutual Bank N/A 939ESCAY5 1247000.00000000 PA USD 0.12000000 0.000000004747 Long DBT CORP US N 3 2017-09-21 None 0.00000000 Y N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 131000.00000000 OU Notional Amount -1751.88000000 -0.00006931313 N/A DCR DE N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Deutsche Bank AG Deutsche Bank AG Y buy protection 2028-06-20 4429.48000000 EUR 0.00000000 EUR 131000.00000000 EUR -6602.70000000 N N N Galaxy CLO Ltd 549300QR0537E9AXFW42 36321JAC8 73786.62000000 PA USD 73785.22000000 0.002919312503 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 5.66400000 N N N N N N VEDANTA RESOURCES 8945002DGA3BBXO3N634 92243XAH4 656000.00000000 PA USD 676273.68000000 0.026756770666 Long DBT CORP GB N 2 2029-09-17 Fixed 10.87500000 N N N N N N CITADEL PLC 213800XKX6NBEB5W9Z43 000000000 100000.00000000 PA 129275.56000000 0.005114788012 Long ABS-MBS CORP GB Y 2 2060-04-28 Floating 6.21400000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 117000.00000000 OU Notional Amount -2526.57000000 -0.00009996375 N/A DCR DE N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 UBS Group AG UBS Group AG Y buy protection 2028-06-20 4194.91000000 EUR 0.00000000 EUR 117000.00000000 EUR -7046.71000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1445000.00000000 OU Notional Amount USD 56922.11000000 0.002252123494 N/A DCR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Brazil Government International Bonds Brazil Government International Bonds Y buy protection 2030-06-20 62193.36000000 USD 0.00000000 USD 1445000.00000000 USD -5271.25000000 N N N AEP Transmission Co LLC 549300X123Z1I0LA3Y84 00115AAH2 176000.00000000 PA USD 133233.65000000 0.005271389858 Long DBT CORP US N 2 2047-12-01 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402C4G4 509116.16000000 PA USD 518996.05000000 0.020534080650 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N BNP Paribas Securities Services 549300WCGB70D06XZS54 000000000 616000.00000000 OU Notional Amount 7594.65000000 0.000300482355 N/A DFE US N 2 BNP Paribas Securities Services 549300WCGB70D06XZS54 Call Purchased BNP Paribas Securities Services 549300WCGB70D06XZS54 BNP Paribas Securities Services 549300WCGB70D06XZS54 N/A 1.00000000 NC USD 7594.65000000 0.00000000 DFE XX 665280.00000000 USD 616000.00000000 EUR 2025-05-05 1.00000000 1.08000000 EUR 2025-05-05 XXXX 1008.94000000 N N N Saluda Grade Alternative Mortgage Trust N/A 795935AA3 825000.00000000 PA USD 831273.14000000 0.032889324878 Long ABS-MBS CORP US N 2 2030-04-25 Variable 7.76200000 N N N N N N Madison Park Funding Ltd N/A 55821KAC0 860000.00000000 PA USD 860645.00000000 0.034051422628 Long ABS-CBDO CORP KY N 2 2034-07-17 Floating 5.68400000 N N N N N N OCEANA A 3 YEAR N/A 000000000 456000.00000000 PA 293137.65000000 0.011597992213 Long ABS-O CORP AU Y 3 2026-07-31 Fixed 12.50000000 N N N N N N Marble Point CLO XI Ltd 549300DBVCVH5X7MO467 56607FAA3 121114.22000000 PA USD 121090.24000000 0.004790935796 Long ABS-CBDO CORP KY N 2 2030-12-18 Floating 5.73500000 N N N N N N BankAmerica Manufactured Housing Contract Trust N/A 06606TAK7 4000000.00000000 PA USD 421157.60000000 0.016663102011 Long ABS-O CORP US N 2 2025-12-10 Variable 7.22300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEM9 7545000.00000000 PA USD 7248799.82000000 0.286798791860 Long DBT UST US N 2 2029-04-30 Fixed 2.87500000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 518000.00000000 OU Notional Amount 198.73000000 0.000007862753 N/A DFE LU N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 198.73000000 0.00000000 DFE AU 330225.00000000 USD 518000.00000000 AUD 2025-04-08 1.00000000 0.63750000 AUD 2025-04-08 XXXX -680.90000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HHWE1 463625.78000000 PA USD 438536.43000000 0.017350695485 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N Extended Stay America Trust N/A 30227FAN0 4295239.70000000 PA USD 4292559.90000000 0.169835148421 Long ABS-MBS CORP US N 2 2038-07-15 Floating 8.13300000 N N N N N N Argentina Republic Government International Bonds 549300KPBYGYF7HCHO27 040114HX1 35460.00000000 PA USD 27481.50000000 0.001087305649 Long DBT NUSS AR N 2 2029-07-09 Fixed 1.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FCTF5 309938.61000000 PA USD 275486.00000000 0.010899604615 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.00000000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AS2 1429000.00000000 PA USD 1012910.35000000 0.040075801768 Long DBT CORP US N 2 2051-03-15 Fixed 3.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPQP2 97734.18000000 PA USD 95281.73000000 0.003769822002 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BU2R0 21561989.57000000 PA USD 22183557.04000000 0.877692516862 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.64000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFZG4 136979.64000000 PA USD 131610.48000000 0.005207169131 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N Residential Asset Securitization Trust N/A 761143AA4 11347600.33000000 PA USD 3219381.16000000 0.127374827579 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.98500000 N N N N N N JPMorgan International Bank Ltd. PGBWEZU4QUV2UVGWJC76 000000000 484000.00000000 OU Notional Amount 885.89000000 0.000035050241 N/A DFE LU N 2 JPMorgan International Bank Ltd. PGBWEZU4QUV2UVGWJC76 Put Purchased JPMorgan International Bank Ltd. PGBWEZU4QUV2UVGWJC76 JPMorgan International Bank Ltd. PGBWEZU4QUV2UVGWJC76 N/A 1.00000000 NC USD 885.89000000 0.00000000 DFE CN 9196000.00000000 JPY 484000.00000000 CNY 2025-04-30 1.00000000 19.00000000 CNY 2025-04-30 XXXX -7396.73000000 N N N SAMARCO MINERACAO SA 529900U8HKV15GJC4O60 000000000 397855.00000000 PA USD 385217.18000000 0.015241119160 Long DBT CORP BR Y 2 2031-06-30 Fixed 9.00000000 N N Y N N N Babson CLO Ltd 549300QR3VQZ1T0JUI29 056162AQ3 250000.00000000 PA USD 250364.50000000 0.009905672374 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 5.95500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QLN44 4534184.46000000 PA USD 3618013.90000000 0.143146733421 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.00000000 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAA9 1119000.00000000 PA USD 1034370.51000000 0.040924873078 Long DBT CORP US N 2 2033-02-01 Fixed 4.20000000 N N N N N N DIRECTV FINANCING LLC N/A 25460HAF9 571000.00000000 PA USD 547446.25000000 0.021659712919 Long LON CORP US N 2 2031-02-15 None 0.00000000 N N N N N N BNP Paribas Securities Services 549300WCGB70D06XZS54 000000000 31000.00000000 OU Notional Amount 108.21000000 0.000004281329 N/A DFE KY N 2 BNP Paribas Securities Services 549300WCGB70D06XZS54 Put Purchased BNP Paribas Securities Services 549300WCGB70D06XZS54 BNP Paribas Securities Services 549300WCGB70D06XZS54 N/A 1.00000000 NC USD 108.21000000 0.00000000 DFE XX 31155.00000000 USD 31000.00000000 EUR 2025-04-30 1.00000000 1.00500000 EUR 2025-04-30 XXXX -4195.17000000 N N N EXPAND ENERGY CORP X2MT1W32SPAZ9WSKLE78 845467AT6 3014000.00000000 PA USD 2850769.05000000 0.112790688074 Long DBT CORP US N 2 2032-02-01 Fixed 4.75000000 N N N N N N Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 000000000 32895000.00000000 OU Notional Amount 106.71000000 0.000004221981 N/A DFE US N 2 Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 Put Purchased Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 N/A 1.00000000 NC USD 106.71000000 0.00000000 DFE XX 33223950.00000000 USD 32895000.00000000 EUR 2025-04-16 1.00000000 1.01000000 EUR 2025-04-16 XXXX -275903.48000000 N N N Countrywide Home Loans N/A 12669GN64 146823.60000000 PA USD 140664.83000000 0.005565404522 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.77500000 N N N N N N Flatiron CLO Ltd 5493008L4GGS612L9S27 33883GAA5 57472.95000000 PA USD 57459.85000000 0.002273399179 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 5.51400000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CT4 9000.00000000 PA USD 9141.72000000 0.000361692185 Long DBT CORP US N 2 2031-04-01 Fixed 5.45000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 112000.00000000 OU Notional Amount -2418.59000000 -0.00009569152 N/A DCR DE N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 UBS Group AG UBS Group AG Y buy protection 2028-06-20 3553.07000000 EUR 0.00000000 EUR 112000.00000000 EUR -6272.83000000 N N N Nigeria Government International Bonds 549300GSBZD84TNEQ285 000000000 209000.00000000 PA USD 189145.00000000 0.007483522629 Long DBT NUSS NG Y 2 2030-02-23 Fixed 7.14300000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAQ2 708000.00000000 PA USD 552774.87000000 0.021870539789 Long DBT CORP US N 2 2051-03-24 Fixed 4.40000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132VMSZ9 922414.22000000 PA USD 896247.10000000 0.035460019847 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQB54 563119.44000000 PA USD 577439.58000000 0.022846399132 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 6.00000000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AC1 6313000.00000000 PA USD 6189532.87000000 0.244888891041 Long DBT CORP US N 2 2028-07-01 Fixed 4.50000000 N N N N N N State of Illinois 54930048FV8RWPR02D67 452151LF8 2832941.18000000 PA USD 2827483.24000000 0.111869384915 Long DBT MUN US N 2 2033-06-01 Fixed 5.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDY42 745721.13000000 PA USD 602352.62000000 0.023832083652 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 467000.00000000 OU Notional Amount USD -83184.37000000 -0.00329118990 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.BBB-.9 137BERAI8 Y sell protection 2058-09-17 0.00000000 USD -55779.12000000 USD 467000.00000000 USD -27405.25000000 N N N Pretium Mortgage Credit Partners LLC 254900D7MDAANUUXWQ05 69391YAA5 303296.10000000 PA USD 304670.30000000 0.012054281553 Long ABS-O CORP US N 2 2054-04-25 Variable 7.12500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBN5 1375000.00000000 PA USD 915487.69000000 0.036221273862 Long DBT CORP US N 2 2051-04-22 Fixed 3.10900000 N N N N N N Marsh & McLennan Cos Inc 549300XMP3KDCKJXIU47 571748102 530.00000000 NS USD 129335.90000000 0.005117175364 Long EC CORP US N 1 N N N Walmart Inc Y87794H0US1R65VBXU25 931142103 1426.00000000 NS USD 125188.54000000 0.004953085051 Long EC CORP US N 1 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 10947000.00000000 OU Notional Amount -39399.82000000 -0.00155885402 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2035-01-03 177.50000000 MXN 0.00000000 MXN 10947000.00000000 MXN -39408.57000000 N N N NORTHWIND MIDSTREM PARTNER LLC N/A 000000000 2721000.00000000 PA USD 2666580.00000000 0.105503247625 Long LON CORP US N 2 2032-03-03 Floating 10.69500000 N N N N N N Medical Solutions Holdings Inc 549300JH2XHZ7TIKYR39 58462QAM3 274000.00000000 PA USD 141110.00000000 0.005583017675 Long LON CORP US N 2 2029-11-01 Floating 11.39100000 N N N N N N OZLM Ltd 5493002SZMQH8ZTTHX49 67112GAC2 250000.00000000 PA USD 250247.50000000 0.009901043269 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.11400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FP67 9081.86000000 PA USD 8719.36000000 0.000344981510 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 4.00000000 N N N N N N Mexico Government International Bonds 254900EGTWEU67VP6075 91087BAG5 4504000.00000000 PA USD 3231169.60000000 0.127841237251 Long DBT NUSS MX N 2 2050-01-31 Fixed 4.50000000 N N N N N N CIVITAS RESOURCES INC IIVIHPH28S64K95M2381 17888HAC7 56000.00000000 PA USD 57773.61000000 0.002285813094 Long DBT CORP US N 2 2030-11-01 Fixed 8.62500000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 903724CF7 19500.00000000 PA USD 10725.00000000 0.000424334664 Long DBT NUSS UA N 2 2035-02-01 Variable 0.00000000 N N N N N N GS Mortgage-Backed Securities Trust N/A 36257LAT4 242357.39000000 PA USD 215329.62000000 0.008519517216 Long ABS-MBS CORP US N 2 2049-11-25 Variable 4.37300000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEL5 1893000.00000000 PA USD 1660432.25000000 0.065695008151 Long DBT CORP US N 2 2033-01-21 Fixed 2.94300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQU26 9914.68000000 PA USD 9545.70000000 0.000377675656 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828Z94 4871000.00000000 PA USD 4345274.48000000 0.171920800975 Long DBT UST US N 2 2030-02-15 Fixed 1.50000000 N N N N N N BX Trust N/A 05613NAG2 302000.00000000 PA USD 302377.14000000 0.011963552669 Long ABS-MBS CORP US N 2 2041-10-15 Floating 8.24300000 N N N N N N Neuberger Berman CLO Ltd 549300LCOEVXWN75LP18 64134QAL1 250000.00000000 PA USD 248730.25000000 0.009841013267 Long ABS-CBDO CORP KY N 2 2037-01-20 Floating 5.79600000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CAU8 344000.00000000 PA USD 266573.57000000 0.010546984289 Long DBT CORP US N 2 2048-03-15 Fixed 3.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QUXG3 2540004.95000000 PA USD 2408354.66000000 0.095286561087 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N COMM Mortgage Trust N/A 20047DAJ3 484000.00000000 PA USD 484108.85000000 0.019153768452 Long ABS-MBS CORP US N 2 2041-06-15 Floating 8.80600000 N N N N N N Credit Suisse Mortgage Trust N/A 12658XAC1 1498379.67000000 PA USD 1492396.19000000 0.059046660812 Long ABS-MBS CORP US N 2 2061-02-25 Variable 3.68900000 N N N N N N UMBS, TBA N/A 01F022642 1743400.00000000 PA USD 1449525.19000000 0.057350469537 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 2.50000000 N N N N N N SC GERMANY CONSUMER N/A 000000000 100000.00000000 PA 108485.17000000 0.004292216154 Long ABS-O CORP LU Y 2 2038-05-14 Floating 3.79200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFCS3 454061.78000000 PA USD 443824.74000000 0.017559927490 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFQ25 195872.54000000 PA USD 188096.24000000 0.007442028435 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 2.50000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -51.00000000 NC 273281.95000000 0.010812401369 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 30 Year Euro BUXL Futures UBM5 Comdty 2025-06-06 -6334994.70000000 EUR 273281.95000000 N N N BX Trust N/A 12433KAA5 630000.00000000 PA USD 626850.00000000 0.024801322583 Long ABS-MBS CORP US N 2 2042-03-15 Floating 5.76200000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 6031000.00000000 OU Notional Amount 161965.92000000 0.006408182227 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2054-02-20 0.00000000 EUR -74269.53000000 EUR 6031000.00000000 EUR 242623.13000000 N N N DIG MIDCO/DIFL US II LLC N/A 000000000 51995.00000000 PA USD 47363.92000000 0.001873953671 Long DBT CORP LC N 2 2028-11-25 Fixed 10.50000000 N N Y N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46590RAM1 5300000.00000000 PA USD 44517.88000000 0.001761350087 Long ABS-MBS CORP US N 2 2049-08-15 Variable 0.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMVL5 948901.11000000 PA USD 832846.57000000 0.032951577642 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNNU2 2196766.02000000 PA USD 1770795.67000000 0.070061537275 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N REWORLD HOLDING CORP 40XIFLS8XDQGGHGPGC04 22303XAA3 101000.00000000 PA USD 93941.43000000 0.003716793027 Long DBT CORP US N 2 2029-12-01 Fixed 4.87500000 N N N N N N Bain Capital Credit CLO, Limited 254900KJZFJF5PZOFD13 056921AA7 1170000.00000000 PA USD 1171358.37000000 0.046344798269 Long ABS-CBDO CORP KY N 2 2037-07-15 Floating 5.82200000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 2890000.00000000 OU Notional Amount -54489.86000000 -0.00215589151 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 iTraxx Europe S43 2I666VDL6 Y buy protection 2030-06-20 0.00000000 EUR -59001.49000000 EUR 2890000.00000000 EUR 9821.99000000 N N N Ambac Assurance Corp 549300RYYRVPPB8NC636 023138AA8 162921.84000000 PA USD 224017.53000000 0.008863254408 Long DBT CORP US N 2 2099-12-31 Fixed 5.10000000 N N N N N N GS Mortgage Securities Trust N/A 36267CAA3 130000.00000000 PA USD 130000.00000000 0.005143450483 Long ABS-MBS CORP US N 2 2028-03-15 Floating 6.41000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178N7H6 83146.60000000 PA USD 78039.59000000 0.003087636668 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 3.50000000 N N N N N N Ukraine Government International Bonds 6354001WLTJXOMEXPY07 000000000 140880.00000000 PA USD 72717.21000000 0.002877056684 Long DBT NUSS UA Y 2 2036-02-01 Variable 1.75000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748CD2 597000.00000000 PA USD 576346.79000000 0.022803162891 Long DBT CORP US N 2 2055-03-15 Fixed 5.40000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -3169.01000000 -0.00012538189 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 189000.00000000 USD 779436000.00000000 COP 2025-04-24 -3169.01000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3744000.00000000 OU Notional Amount 3501.81000000 0.000138549125 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2025-12-20 11967.11000000 PLN 0.00000000 PLN 3744000.00000000 PLN 405.21000000 N N N REPUBLIC OF GUATEMALA 529900QKDFFU9UWW5315 401494AW9 200000.00000000 PA USD 201000.00000000 0.007952565748 Long DBT NUSS GT N 2 2036-06-13 Fixed 6.60000000 N N N N N N Golden Entertainment Inc 549300P8YYCKQVJ0Y638 381013101 2906.00000000 NS USD 76689.34000000 0.003034214022 Long EC CORP US N 1 N N N United States Treasury 254900HROIFWPRGM1V77 91282CFJ5 13516000.00000000 PA USD 13075146.06000000 0.517318202534 Long DBT UST US N 2 2029-08-31 Fixed 3.12500000 N N N N N N BNP Paribas Securities Services 549300WCGB70D06XZS54 000000000 38038000.00000000 OU Notional Amount 14902.57000000 0.000589620237 N/A DFE US N 2 BNP Paribas Securities Services 549300WCGB70D06XZS54 Call Purchased BNP Paribas Securities Services 549300WCGB70D06XZS54 BNP Paribas Securities Services 549300WCGB70D06XZS54 N/A 1.00000000 NC USD 14902.57000000 0.00000000 DFE AU 24344320.00000000 USD 38038000.00000000 AUD 2025-04-10 1.00000000 0.64000000 AUD 2025-04-10 XXXX -121110.06000000 N N N APPLOVIN CORP 549300LLVXMUAOL3SQ07 03831WAB4 874000.00000000 PA USD 877386.24000000 0.034713789851 Long DBT CORP US N 2 2029-12-01 Fixed 5.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XPQG1 12974.46000000 PA USD 12751.54000000 0.000504514727 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.50000000 N N N N N N Vasco Finance N/A 000000000 100000.00000000 PA 108199.93000000 0.004280930633 Long ABS-O CORP PT Y 2 2042-10-27 Floating 4.36500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RVB2 358439.89000000 PA USD 332441.89000000 0.013153064615 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179W7J1 3455415.62000000 PA USD 2948703.11000000 0.116665449523 Long ABS-MBS USGA US N 2 2052-06-20 Fixed 2.50000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072UAK8 153856.33000000 PA USD 145073.75000000 0.005739843458 Long LON CORP US Y 2 2027-04-15 Floating 9.00000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBY6 1282000.00000000 PA USD 1300116.16000000 0.051439100709 Long DBT CORP US N 2 2031-11-15 Fixed 5.15000000 N N N N N N JP Morgan Mortgage Trust N/A 46654CAL9 1743000.00000000 PA USD 1192001.10000000 0.047161527958 Long ABS-MBS CORP US N 2 2052-02-25 Variable 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQWT9 1273880.91000000 PA USD 1284422.34000000 0.050818174663 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 5.50000000 N N N N N N Ajax Mortgage Loan Trust N/A 009740AC5 293000.00000000 PA USD 210900.46000000 0.008344277484 Long ABS-MBS CORP US N 2 2060-12-25 Variable 2.94000000 N N N N N N GCAT N/A 36167HAF2 240000.00000000 PA USD 178761.72000000 0.007072708117 Long ABS-MBS CORP US N 2 2066-05-25 Variable 3.47100000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4992500.00000000 OU Notional Amount USD 42311.42000000 0.001674051489 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2029-04-15 0.00000000 USD -725.73000000 USD 4992500.00000000 USD 43037.15000000 N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FN3 745000.00000000 PA USD 434891.37000000 0.017206478672 Long DBT CORP US N 2 2062-09-16 Fixed 2.97300000 N N N N N N MC BRAZIL DWNSTRM 213800T2A7R9TYNXZI63 55292WAA8 211748.59000000 PA USD 174532.72000000 0.006905387716 Long DBT CORP LU N 2 2031-06-30 Fixed 7.25000000 N N N N N N HTL Commercial Mortgage Trust N/A 404300AJ4 3379000.00000000 PA USD 3493398.41000000 0.138216321095 Long ABS-MBS CORP US N 2 2039-05-10 Variable 10.26000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CAL5 6320000.00000000 PA USD 5796131.28000000 0.229323955668 Long DBT UST US N 2 2027-09-30 Fixed 0.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLW3 985986.64000000 PA USD 796802.16000000 0.031525480426 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 666000.00000000 OU Notional Amount USD 749.25000000 0.000029644079 N/A DFE LU N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC USD 749.25000000 0.00000000 DFE US 4895100.00000000 CNY 666000.00000000 USD 2025-04-30 1.00000000 7.35000000 CNY 2025-04-30 XXXX -5384.61000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M9MM3 96680.37000000 PA USD 88559.93000000 0.003503873960 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFZU8 257572.31000000 PA USD 234697.33000000 0.009285800735 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 2.00000000 N N N N N N SLM Student Loan Trust 549300JEA36NHBYED811 78445QAE1 1957384.43000000 PA USD 2058257.85000000 0.081434979496 Long ABS-O CORP US N 2 2041-10-15 Floating 9.18400000 N N N N N N Ecuador Government International Bonds 5299003Y2U5XK0A35H71 000000000 97870.00000000 PA USD 47515.28000000 0.001879942230 Long DBT NUSS EC Y 2 2035-07-31 Variable 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 700000.00000000 OU Notional Amount USD -6222.50000000 -0.00024619323 N/A DCR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Boeing Co. Boeing Co. Y buy protection 2029-06-20 7088.12000000 USD 0.00000000 USD 700000.00000000 USD -13310.62000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133A7KE8 366152.28000000 PA USD 309603.80000000 0.012249475499 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N OneMain Direct Auto Receivables Trust N/A 682684AD7 196000.00000000 PA USD 200961.58000000 0.007951045660 Long ABS-O CORP US N 2 2037-07-14 Fixed 6.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W5M21 315272.09000000 PA USD 283550.56000000 0.011218678961 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N MS GOVT US LEX N/A 61747C707 700000.00000000 NS USD 700000.00000000 0.027695502605 Long STIV RF US N 1 N N Cross Mortgage Trust N/A 22757NAA6 349684.47000000 PA USD 354982.19000000 0.014044871668 Long ABS-MBS CORP US N 2 2068-11-25 Variable 7.13500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLEB0 1621139.44000000 PA USD 1634554.79000000 0.064671166350 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N Navient Student Loan Trust N/A 63942CAC6 376000.00000000 PA USD 350722.80000000 0.013876348887 Long ABS-O CORP US N 2 2060-04-15 Fixed 3.48000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHU6 1143000.00000000 PA USD 988443.78000000 0.039107781835 Long DBT CORP US N 2 2040-04-23 Fixed 4.07800000 N N N N N N SREIT Trust N/A 78472UAL2 783827.44000000 PA USD 772070.03000000 0.030546953610 Long ABS-MBS CORP US N 2 2038-11-15 Floating 7.05900000 N N N N N N BMP Trust N/A 05593JAJ9 382000.00000000 PA USD 377223.13000000 0.014924834542 Long ABS-MBS CORP US N 2 2041-06-15 Floating 7.70800000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBG6 1900000.00000000 PA USD 1900424.14000000 0.075190288173 Long DBT CORP US N 2 2028-01-15 Fixed 5.00000000 N N N N N N DBSG 2024-ALTA Mortgage Trust N/A 239918AA3 374607.00000000 PA USD 380148.37000000 0.015040571674 Long ABS-MBS CORP US N 2 2037-06-10 Variable 5.94600000 N N N N N N BX Trust N/A 05608WAS3 605460.23000000 PA USD 593351.03000000 0.023475935710 Long ABS-MBS CORP US N 2 2038-06-15 Floating 7.23400000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -33730.23000000 -0.00133453667 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 44237766.73000000 ZAR 2370970.12000000 USD 2025-05-14 -33730.23000000 N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023204 5400.00000000 NS USD 323082.00000000 0.012782740532 Long EP CORP US N 1 N N N OCP CLO Ltd 254900NXH68CRC058O44 67102SAN4 180000.00000000 PA USD 180106.38000000 0.007125909595 Long ABS-CBDO CORP KY N 2 2031-04-26 Floating 5.96200000 N N N N N N UMBS, TBA N/A 01F042640 -20469000.00000000 PA USD -19577931.62000000 -0.77460093742 Short ABS-MBS USGSE US N 2 2055-04-01 Fixed 4.50000000 N N N N N N OCP CLO Ltd 254900NXH68CRC058O44 67102SAL8 40534.76000000 PA USD 40537.31000000 0.001603858821 Long ABS-CBDO CORP KY N 2 2031-04-26 Floating 5.64200000 N N N N N N Agate Bay Mortgage Loan Trust N/A 00841WBP6 130000.00000000 PA USD 85429.01000000 0.003379999098 Long ABS-MBS CORP US N 2 2045-01-25 Variable 3.62800000 N N N N N N UMBS, TBA N/A 01F032443 16000.00000000 PA USD 15390.57000000 0.000608927959 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 3.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 1692.64000000 0.000066969307 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 154474.55000000 EUR 169447.64000000 USD 2025-06-18 1692.64000000 N N N UBS Securities LLC T6FIZBDPKLYJKFCRVK44 000000000 389000.00000000 OU Notional Amount USD 419.73000000 0.000016606619 N/A DFE US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 Put Purchased UBS Securities LLC T6FIZBDPKLYJKFCRVK44 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 N/A 1.00000000 NC USD 419.73000000 0.00000000 DFE US 7741100.00000000 MXN 389000.00000000 USD 2025-06-17 1.00000000 19.90000000 USD 2025-06-17 XXXX -416.62000000 N N N Service Experts Issuer N/A 81758FAA8 544918.73000000 PA USD 553123.46000000 0.021884331753 Long ABS-O CORP US N 2 2035-11-20 Fixed 6.39000000 N N N N N N Ecuador Government International Bonds 5299003Y2U5XK0A35H71 000000000 135351.00000000 PA USD 59419.09000000 0.002350916517 Long DBT NUSS EC Y 2 2040-07-31 Variable 5.00000000 N N N N N N DREAM FINDERS HOMES INC N/A 000000000 2628.00000000 NS USD 2595150.00000000 0.102677119410 Long EP CORP US Y 3 N N N Amentum Holdings Inc 2549009FJIBLW40CU216 023939101 21539.00000000 NS USD 392009.80000000 0.015509869196 Long EC CORP US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TLT0 405659.55000000 PA USD 383938.39000000 0.015190523829 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.00000000 N N N N N N Countrywide Alternative Loan Trust N/A 126694S41 2038900.89000000 PA USD 1800635.54000000 0.071242151842 Long ABS-MBS CORP US N 2 2046-05-20 Floating 4.89400000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -16000.00000000 OU Notional Amount USD -8337.70000000 -0.00032988113 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Written Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD -8337.70000000 0.00000000 DFE CL -16000.00000000 USD -15200000.00000000 CLP 2025-04-08 1.00000000 950.00000000 USD 2025-04-08 XXXX 2774.30000000 N N N SONDER HOLDINGS CLS A LEGENDED N/A 000000000 4351.00000000 NS USD 8702.00000000 0.000344294662 Long EC CORP US Y 1 N N N ARM Master Trust N/A 04206RAA2 31449.91000000 PA USD 31331.99000000 0.001239650300 Long ABS-O CORP US N 2 2027-11-15 Fixed 2.43000000 N N N N N N JP Morgan Mortgage Trust N/A 46629AAM3 182325.64000000 PA USD 56786.36000000 0.002246752544 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.50000000 N N N N N N KEY BANK NA HUX2X73FUCYHUVH1BK78 49327V2B9 394000.00000000 PA USD 378307.58000000 0.014967740810 Long DBT CORP US N 2 2029-04-13 Fixed 3.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GTR33 6593.24000000 PA USD 6153.56000000 0.000243465624 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.50000000 N N N N N N Morgan Stanley Capital I Trust N/A 61769JAC5 97000.00000000 PA USD 75556.34000000 0.002989386873 Long ABS-MBS CORP US N 2 2052-06-15 Fixed 3.00000000 N N N N N N CATERPILLAR INC WRJR7GS4GTRECRRTVX92 149123CF6 1131000.00000000 PA USD 794645.38000000 0.031440147417 Long DBT CORP US N 2 2049-09-19 Fixed 3.25000000 N N N N N N ESC CB CHESAPEAKE ENER N/A 165ESCAE4 100000.00000000 PA USD 0.01000000 0.000000000395 Long DBT CORP US N 3 2021-06-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJTH6 66066.40000000 PA USD 67617.73000000 0.002675295739 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJ4K1 701395.21000000 PA USD 623424.58000000 0.024665795828 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2Z5 914000.00000000 PA USD 775541.39000000 0.030684297982 Long DBT CORP US N 2 2053-04-25 Fixed 4.61100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WPHP2 122312.64000000 PA USD 110006.86000000 0.004352421825 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Legacy Mortgage Asset Trust N/A 52473FAA3 562269.17000000 PA USD 538759.63000000 0.021316026766 Long ABS-MBS CORP US N 2 2059-02-25 Variable 3.37500000 N N N N N N ASTON MARTIN CAPITAL HOL 213800H4GKEF3CJ8C774 04625HAJ8 217000.00000000 PA USD 196206.19000000 0.007762898637 Long DBT CORP JE N 2 2029-03-31 Fixed 10.00000000 N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 2293115027.00000000 OU Notional Amount -75.89000000 -0.00000300258 N/A DIR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A N/A Y 2025-05-10 0.00000000 COP 0.00000000 COP 2293115027.00000000 COP -75.89000000 N N N BNP Paribas Securities Services 549300WCGB70D06XZS54 000000000 134000.00000000 OU Notional Amount -2893.67000000 -0.00011448806 N/A DCR DE N 2 BNP Paribas Securities Services 549300WCGB70D06XZS54 UBS Group AG UBS Group AG Y buy protection 2028-06-20 3553.88000000 EUR 0.00000000 EUR 134000.00000000 EUR -6815.39000000 N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298CK7 460960.00000000 PA USD 459047.02000000 0.018162197055 Long DBT CORP US N 2 2032-10-15 Fixed 10.00000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DG2 904000.00000000 PA USD 710591.36000000 0.028114549803 Long DBT CORP US N 2 2062-02-22 Fixed 4.40000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SJ8 7927000.00000000 PA USD 5113534.26000000 0.202317002031 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEK8 161000.00000000 PA USD 161643.60000000 0.006395429635 Long DBT CORP US N 2 2035-07-22 Fixed 5.29400000 N N N N N N Nelnet Student Loan Trust N/A 64035DAF3 277000.00000000 PA USD 239757.57000000 0.009486009149 Long ABS-O CORP US N 2 2062-04-20 Fixed 3.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FDB9 20932.75000000 PA USD 20618.22000000 0.000815759951 Long ABS-MBS USGA US N 2 2039-12-20 Fixed 4.50000000 N N N N N N BNP Paribas Securities Services 549300WCGB70D06XZS54 000000000 3183000.00000000 OU Notional Amount 30256.60000000 0.001197102491 N/A DIR US N 2 BNP Paribas Securities Services 549300WCGB70D06XZS54 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 3183000.00000000 BRL 30256.60000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFG9 272000.00000000 PA USD 249779.54000000 0.009882528429 Long DBT CORP US N 2 2044-04-01 Fixed 4.87500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEH5 1348000.00000000 PA USD 1400985.04000000 0.055429978322 Long DBT CORP US N 2 2035-04-22 Fixed 5.76600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNNR0 438535.59000000 PA USD 436395.26000000 0.017265980086 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178WQH5 51586.53000000 PA USD 48382.95000000 0.001914271596 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F032641 -264000.00000000 PA USD -238075.62000000 -0.00941946279 Short ABS-MBS USGSE US N 2 2055-04-01 Fixed 3.50000000 N N N N N N HOWARD HUGHES CORP 549300BVHY25JZC1KI49 44267DAD9 416000.00000000 PA USD 403640.72000000 0.015970046589 Long DBT CORP US N 2 2028-08-01 Fixed 5.37500000 N N N N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508CC6 141000.00000000 PA USD 131459.54000000 0.005201197189 Long DBT CORP US N 2 2053-03-14 Fixed 5.00000000 N N N N N N Knollwood CDO Ltd 549300E24U6UCPJEUI87 499169AD2 1358353.00000000 PA USD 135.84000000 0.000005374510 Long ABS-CBDO CORP KY N 2 2039-01-10 Floating 10.70000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACB9 2290000.00000000 PA USD 2018831.50000000 0.079875075812 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TR9 7906500.00000000 PA USD 6659990.86000000 0.263502563166 Long DBT UST US N 2 2053-05-15 Fixed 3.62500000 N N N N N N One Market Plaza Trust N/A 68245HAS3 17538711.60000000 PA USD 175.39000000 0.000006939306 Long ABS-MBS CORP US N 2 2032-02-10 Variable 0.00000000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 30247DAA9 131044.56000000 PA USD 84628.49000000 0.003348326521 Long ABS-O CORP US N 2 2036-10-25 Floating 4.67500000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 3372.38000000 0.000133428227 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 3884501.19000000 MXN 191541.10000000 USD 2025-06-06 3372.38000000 N N N Bear Stearns Asset Backed Securities Trust N/A 073877CH3 2142000.00000000 PA USD 2171345.40000000 0.085909288833 Long ABS-MBS CORP US N 2 2035-06-25 Floating 7.28400000 N N N N N N Whitebox CLO I Ltd 549300E4AC0513DYO913 96467FBC3 500000.00000000 PA USD 500498.50000000 0.019802225015 Long ABS-CBDO CORP KY N 2 2036-07-24 Floating 7.39700000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5749500.00000000 OU Notional Amount -135.74000000 -0.00000537055 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2028-03-19 37.28000000 CNY 0.00000000 CNY 5749500.00000000 CNY -140.87000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390MJT2 240580.97000000 PA USD 244486.63000000 0.009673114426 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.50000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 0738794J4 1137987.09000000 PA USD 1095577.50000000 0.043346527865 Long ABS-MBS CORP US N 2 2035-12-25 Variable 6.25000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 9090000.00000000 OU Notional Amount -144584.80000000 -0.00572049815 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 iTraxx Europe Senior Financials S43 2I667DCR3 Y buy protection 2030-06-20 0.00000000 EUR -159976.21000000 EUR 9090000.00000000 EUR 29789.91000000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119DC0 1354000.00000000 PA USD 1344327.78000000 0.053188333619 Long DBT CORP US N 2 2055-03-01 Fixed 6.20000000 N N N N N N Regatta VI Funding Ltd. 2549001NU08X5ZRD6A39 75887NAW9 760000.00000000 PA USD 760323.00000000 0.030082182325 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.71500000 N N N N N N CLOUD SOFTWARE GRP INC 04EEB871XLHVNY4RZJ65 18912UAA0 128000.00000000 PA USD 127665.90000000 0.005051101808 Long DBT CORP US N 2 2029-09-30 Fixed 9.00000000 N N N N N N Cedar Funding Ltd N/A 15034AAN5 250000.00000000 PA USD 250024.25000000 0.009892210381 Long ABS-CBDO CORP KY N 2 2037-10-15 Floating 6.00200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DUF7 1855466.46000000 PA USD 1403855.85000000 0.055543561930 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 1.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HKJ96 5128898.20000000 PA USD 5144730.95000000 0.203551299187 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.69000000 N N N N N N Morgan Stanley Bank AG 7CPI4ZQUQVBDH8SA1F44 000000000 1392000.00000000 NC 16371.44000000 0.000647736084 N/A DCR US N 2 Morgan Stanley Bank AG 7CPI4ZQUQVBDH8SA1F44 Put Purchased Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 N/A 1392000.00000000 OU Notional Amount N/A 16371.44000000 0.00000000 DCR US iTraxx Europe Crossover S42 2I667KKW7 buy protection 2029-12-20 0.00000000 N/A 0.00000000 N/A 1392000.00000000 EUR 1.00000000 3.00000000 EUR 2025-04-16 XXXX 3922.52000000 N N N Elmwood CLO II Ltd. N/A 29001LBA8 250000.00000000 PA USD 249825.75000000 0.009884356728 Long ABS-CBDO CORP KY N 2 2037-10-20 Floating 5.99300000 N N N N N N AGL Core 4 CLO Ltd 549300HS2AZ4GZPCZ864 001199AQ1 860000.00000000 PA USD 861949.62000000 0.034103039923 Long ABS-CBDO CORP KY N 2 2037-10-20 Floating 5.67300000 N N N N N N Cascade MH Asset Trust N/A 14732FAA0 1419705.79000000 PA USD 1341737.25000000 0.053085839290 Long ABS-O CORP US N 2 2044-11-25 Variable 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHXB8 353541.52000000 PA USD 349347.28000000 0.013821926433 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419A4H7 69976.76000000 PA USD 72971.11000000 0.002887102238 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 6.00000000 N N N N N N MAUSER PACKAGING SOLUT 549300DNGHXL0OMHW304 57763RAD9 187000.00000000 PA USD 183260.00000000 0.007250682582 Long DBT CORP US N 2 2027-04-15 Fixed 7.87500000 N N N N N N Fontainebleau Miami Beach Trust N/A 34461WAN0 469000.00000000 PA USD 468791.95000000 0.018547755246 Long ABS-MBS CORP US N 2 2039-12-15 Floating 9.96900000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAF1 141000.00000000 PA USD 131554.14000000 0.005204940038 Long DBT CORP US N 2 2030-04-01 Fixed 2.85000000 N N N N N N ARES Commercial Mortgage Trust N/A 03990DAQ0 1500000.00000000 PA USD 1488744.45000000 0.058902179705 Long ABS-MBS CORP US N 2 2041-07-15 Floating 8.25800000 N N N N N N ASHTON WOODS USA/FINANCE N/A 045086AP0 190000.00000000 PA USD 171800.00000000 0.006797267639 Long DBT CORP US N 2 2030-04-01 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNJM5 588343.37000000 PA USD 534813.90000000 0.021159913944 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 2.00000000 N N N N N N One New York Plaza Trust 2020-1NYP N/A 68249DAJ8 160000.00000000 PA USD 145711.36000000 0.005765070500 Long ABS-MBS CORP US N 2 2036-01-15 Floating 7.18400000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BS2 215000.00000000 PA USD 170644.37000000 0.006751545134 Long DBT CORP US N 2 2049-07-01 Fixed 5.12500000 N N N N N N BX Trust N/A 05608RAA3 713000.00000000 PA USD 711217.50000000 0.028139323034 Long ABS-MBS CORP US N 2 2036-10-15 Floating 5.33300000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 117000.00000000 OU Notional Amount -1564.66000000 -0.00006190577 N/A DCR DE N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Deutsche Bank AG Deutsche Bank AG Y buy protection 2028-06-20 3725.19000000 EUR 0.00000000 EUR 117000.00000000 EUR -5675.58000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 2496.88000000 0.000098789066 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 4688218.41000000 TRY 120726.14000000 USD 2025-05-07 2496.88000000 N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAP5 265000.00000000 PA USD 271126.59000000 0.010727124542 Long DBT CORP US N 2 2029-04-01 Fixed 6.37500000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1184000.00000000 OU Notional Amount 52916.55000000 0.002093643497 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2054-06-20 41.23000000 EUR 0.00000000 EUR 1184000.00000000 EUR 52872.21000000 N N N CONTINUUM ENERGY PTE LTD N/A 211926AA8 1420140.00000000 PA USD 1452093.15000000 0.057452070884 Long DBT CORP SG N 3 2027-09-11 Variable 12.85000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMY33 218734.11000000 PA USD 176520.57000000 0.006984037009 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.00000000 N N N N N N Gaea Mortgage Loan Trust N/A 362928AA1 311469.60000000 PA USD 305959.08000000 0.012105272139 Long ABS-MBS CORP US N 2 2030-02-25 Variable 6.75000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BY3 555000.00000000 PA USD 557266.56000000 0.022048253520 Long DBT CORP US N 2 2028-04-01 Fixed 4.90700000 N N N N N N Nomura Asset Acceptance Corporation N/A 65536PAE0 212447.49000000 PA USD 39251.61000000 0.001552990095 Long ABS-MBS CORP US N 2 2036-05-25 Variable 7.13400000 N N N N N N UMBS, TBA N/A 01F022444 2947000.00000000 PA USD 2726077.61000000 0.107857270787 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 2.50000000 N N N N N N Nelnet Student Loan Trust N/A 64035DAJ5 3661000.00000000 PA USD 3195811.37000000 0.126442288749 Long ABS-O CORP US N 2 2062-04-20 Fixed 2.85000000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12595JAQ7 3940000.00000000 PA USD 26048.13000000 0.001030594360 Long ABS-MBS CORP US N 2 2050-11-15 Variable 0.23500000 N N N N N N Extended Stay America Trust N/A 30227FAJ9 328271.00000000 PA USD 327860.66000000 0.012971808233 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.68300000 N N N N N N Whitebox CLO III Ltd 549300JXCQSPB1A61C68 96467JAE2 250000.00000000 PA USD 250036.00000000 0.009892675270 Long ABS-CBDO CORP KY N 2 2035-10-15 Floating 9.95200000 N N N N N N GEORGIA POWER CO D981X4Z4RWS7PDMJUZ03 373334KQ3 960000.00000000 PA USD 948963.00000000 0.037545724627 Long DBT CORP US N 2 2032-05-15 Fixed 4.70000000 N N N N N N Italian Stella Loans Srl N/A 000000000 92091.89000000 PA 100046.85000000 0.003958353992 Long ABS-O CORP IT Y 2 2036-12-29 Floating 4.66300000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 40000.00000000 OU Notional Amount USD -7762.50000000 -0.00030712334 N/A DCR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 CMBX.NA.BBB-.10 137BERAJ6 Y sell protection 2059-11-17 0.00000000 USD -3479.39000000 USD 40000.00000000 USD -4283.11000000 N N N UMBS, TBA N/A 01F032641 4783000.00000000 PA USD 4313317.05000000 0.170656405138 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 3.50000000 N N N N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAG2 1950000.00000000 PA USD 1630922.28000000 0.064527446079 Long DBT US N 2 2032-03-15 Fixed 2.35000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DQE0 93313.66000000 PA USD 87518.10000000 0.003462653952 Long ABS-MBS USGA US N 2 2043-03-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402DGM6 44261.53000000 PA USD 45764.91000000 0.001810688834 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N UBS Commercial Mortgage Trust N/A 90278PBB5 6810804.03000000 PA USD 224734.06000000 0.008891603920 Long ABS-MBS CORP US N 2 2052-12-15 Variable 0.98800000 N N N N N N Barclays Mortgage Loan Trust N/A 06744JAA4 1661409.74000000 PA USD 1652108.50000000 0.065365678952 Long ABS-O CORP US N 2 2051-11-25 Variable 2.00000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CX8 485000.00000000 PA USD 477438.70000000 0.018889863942 Long DBT CORP US N 2 2034-11-01 Fixed 6.25000000 N N N N N N Loanpal Solar Loan Ltd. N/A 53948PAA6 710000.69000000 PA USD 575023.45000000 0.022750804939 Long ABS-O CORP US N 2 2048-01-20 Fixed 2.29000000 N N N N N N Octagon Investment Partners XVII LTD 54930007Y57X4ONHQV20 67590GBG3 634651.97000000 PA USD 634712.26000000 0.025112392929 Long ABS-CBDO CORP KY N 2 2031-01-25 Floating 5.56200000 N N N N N N UMBS, TBA N/A 01F062663 -10164000.00000000 PA USD -10461241.10000000 -0.41389904306 Short ABS-MBS USGSE US N 2 2054-06-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307MNP7 637071.13000000 PA USD 622089.09000000 0.024612957161 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.00000000 N N N N N N Voya CLO Ltd 54930068MLVF3BECCK93 92917KAQ7 465797.56000000 PA USD 465797.09000000 0.018429263599 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 5.50200000 N N N N N N Dowson 635400IRBWDPWKGK1C24 000000000 500000.00000000 PA 642802.89000000 0.025432498735 Long ABS-O CORP GB Y 2 2031-08-20 Floating 8.41400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KXB5 54990.26000000 PA USD 55294.53000000 0.002187728285 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KFGF6 280767.77000000 PA USD 240345.88000000 0.009509285636 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 2.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKK4 887000.00000000 PA USD 777713.02000000 0.030770218531 Long DBT CORP US N 2 2033-02-04 Fixed 2.97200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QELS9 2241846.46000000 PA USD 1896056.80000000 0.075017494349 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.50000000 N N N N N N ARES CLO Ltd N/A 04018NAW1 350000.00000000 PA USD 349650.00000000 0.013833903551 Long ABS-CBDO CORP KY N 2 2038-01-25 Floating 5.55000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -4913.05000000 -0.00019438484 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 125559.83000000 EUR 131167.12000000 USD 2025-05-14 -4913.05000000 N N N Fontainebleau Miami Beach Trust N/A 34461WAA8 1285419.00000000 PA USD 1284615.61000000 0.050825821391 Long ABS-MBS CORP US N 2 2039-12-15 Floating 5.76900000 N N N N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93936LAC1 120981.48000000 PA USD 110794.14000000 0.004383570561 Long ABS-MBS CORP US N 2 2037-06-25 Floating 5.05500000 N N N N N N Lebanese Republic 529900QPC4K9S1KHL354 000000000 106000.00000000 PA USD 17050.74000000 0.000674612591 Long DBT NUSS LB Y 2 2027-03-23 None 0.00000000 Y N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 293300.00000000 OU Notional Amount USD 0.29000000 0.000000011473 N/A DFE KY N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Purchased Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 1.00000000 NC USD 0.29000000 0.00000000 DFE US 1803795.00000000 BRL 293300.00000000 USD 2025-04-02 1.00000000 6.15000000 USD 2025-04-02 XXXX -677.23000000 N N N CIVITAS RESOURCES INC IIVIHPH28S64K95M2381 097793AE3 294000.00000000 PA USD 289702.87000000 0.011462095129 Long DBT CORP US N 2 2026-10-15 Fixed 5.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 29206000.00000000 OU Notional Amount 3680.59000000 0.000145622557 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-02-25 48.19000000 MXN 0.00000000 MXN 29206000.00000000 MXN 3678.33000000 N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AZ9 1817000.00000000 PA USD 1871304.30000000 0.074038161595 Long DBT CORP US N 2 2037-09-15 Fixed 5.90000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202E7F0 91041.24000000 PA USD 87446.74000000 0.003459830593 Long ABS-MBS USGA US N 2 2039-07-20 Fixed 4.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 3.00000000 NC USD 1453.13000000 0.000057493093 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 3.00000000 NC N/A 1453.13000000 0.00000000 DIR US Long CBOT US Long Bond USM5 Comdty 2025-06-18 3.00000000 USD 1000.00000000 115.00000000 USD 2025-04-25 XXXX -825.00000000 N N N Merrill Lynch Mortgage Investors Trust N/A 59023NAA6 96745.51000000 PA USD 51367.45000000 0.002032353350 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.75500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MFCX4 449823.21000000 PA USD 432238.04000000 0.017101499661 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 2.50000000 N N N N N N HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 000000000 19000.00000000 OU Notional Amount USD 2033.36000000 0.000080449895 N/A DFE US N 2 HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 Call Purchased HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 N/A 1.00000000 NC USD 2033.36000000 0.00000000 DFE US 28120.00000000 CAD 19000.00000000 USD 2025-05-16 1.00000000 1.48000000 USD 2025-05-16 XXXX 228.36000000 N N N Digital Room Holdings Inc 549300I680V3FDWE2N30 78473KAB5 501490.00000000 PA USD 499609.41000000 0.019767048166 Long LON CORP US N 2 2028-12-21 Floating 9.67500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHD25 211868.41000000 PA USD 202939.83000000 0.008029315129 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FNBD5 109350.58000000 PA USD 106015.59000000 0.004194507212 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGK0 171000.00000000 PA USD 134734.83000000 0.005330784050 Long DBT CORP US N 2 2045-05-01 Fixed 3.90000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1905700.00000000 OU Notional Amount -16070.16000000 -0.00063581594 N/A DIR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A Y 2029-01-02 0.00000000 BRL 0.00000000 BRL 1905700.00000000 BRL -16070.16000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312938GD9 71413.54000000 PA USD 70607.81000000 0.002793598265 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 4.50000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAG4 3384000.00000000 PA USD 3649009.40000000 0.144373070493 Long DBT CORP US N 2 2030-02-01 Fixed 7.00000000 N N N N N Argentina Republic Government International Bonds 549300KPBYGYF7HCHO27 040114HT0 73800.00000000 PA USD 46112.16000000 0.001824427782 Long DBT NUSS AR N 2 2035-07-09 Variable 4.12500000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17312TAJ2 1523904.40000000 PA USD 989570.94000000 0.039152377924 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.63500000 N N N N N N RR Ltd 549300RLLUH00ZYECJ34 74989HAQ5 250000.00000000 PA USD 250019.25000000 0.009892012556 Long ABS-CBDO CORP KY N 2 2036-01-15 Floating 5.90200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNE57 2049662.53000000 PA USD 1732356.73000000 0.068540700470 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 828000.00000000 OU Notional Amount -34685.99000000 -0.00137235132 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2054-06-24 28.84000000 EUR 0.00000000 EUR 828000.00000000 EUR -34717.03000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J7R64 502093.07000000 PA USD 489111.69000000 0.019351705835 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FL48 4678.19000000 PA USD 4567.91000000 0.000180729376 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177Q3X9 53779.11000000 PA USD 50625.93000000 0.002003015108 Long ABS-MBS USGA US N 2 2042-04-15 Fixed 3.50000000 N N N N N N STORE CAPITAL LLC 254900Z9PIEFQ6AYXK50 862123AA4 1230000.00000000 PA USD 1231926.87000000 0.048741191197 Long DBT US N 2 2030-04-30 Fixed 5.40000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMX75 1865752.76000000 PA USD 1591286.89000000 0.062959271726 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VBD2 608000.00000000 PA USD 621326.48000000 0.024582784493 Long DBT US N 2 2029-06-01 Fixed 5.60000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 736505.00000000 NC USD 45854.98000000 0.001814252454 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Call Purchased Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 736505.00000000 OU Notional Amount N/A 45854.98000000 0.00000000 DIR US N/A N/A 2037-01-13 0.00000000 N/A 0.00000000 N/A 736505.00000000 USD 1.00000000 4.34000000 USD 2027-01-13 XXXX 13665.88000000 N N N Countrywide Home Loans N/A 12544XAV7 103453.31000000 PA USD 48625.90000000 0.001923883914 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.75000000 N N N N N N 522 Funding CLO LTD N/A 33834WAE2 625000.00000000 PA USD 625062.50000000 0.024730600139 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 6.95500000 N N N N N N Noria 9695003DRUTU793B4N34 000000000 100000.00000000 PA 109075.24000000 0.004315562276 Long ABS-O CORP FR Y 2 2043-02-25 Floating 5.92400000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEV4 726000.00000000 PA USD 737322.43000000 0.029172164687 Long DBT CORP US N 2 2031-01-24 Fixed 5.14000000 N N N N N N Park Avenue Trust N/A 90187LAC3 5000000.00000000 PA USD 17653.00000000 0.000698441010 Long ABS-MBS CORP US N 2 2037-06-05 Variable 0.14900000 N N N N N N BENIN INTL GOV BOND 635400Q11P6AE5A5Y230 000000000 100000.00000000 PA 88828.77000000 0.003514510615 Long DBT NUSS BJ Y 2 2035-01-22 Fixed 4.95000000 N N N N N N Exmoor Funding PLC 635400TJWGCUUIZAGH30 000000000 100000.00000000 PA 130631.64000000 0.005168441322 Long ABS-MBS CORP GB Y 2 2094-03-25 Floating 6.38000000 N N N N N N TransDigm Group Inc N/A 893641100 94.00000000 NS USD 130029.26000000 0.005144608155 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414J6R9 121889.67000000 PA USD 124107.75000000 0.004910323590 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N Netflix Inc 549300Y7VHGU0I7CE873 64110L106 144.00000000 NS USD 134284.32000000 0.005312959620 Long EC CORP US N 1 N N N EUROPEAN UNION 529900FZRK8FGMPEOM08 000000000 2020000.00000000 PA 1679271.77000000 0.066440393830 Long DBT NUSS XX Y 2 2052-10-04 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJN2 13883000.00000000 PA USD 14098837.34000000 0.557820551837 Long DBT UST US N 2 2028-11-30 Fixed 4.37500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 5207000.00000000 OU Notional Amount -9519.39000000 -0.00037663470 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2029-12-14 46.18000000 MXN 0.00000000 MXN 5207000.00000000 MXN -9521.79000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJQF8 365330.81000000 PA USD 341956.08000000 0.013529493578 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 3.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 7286580.00000000 OU Notional Amount 1822.66000000 0.000072113549 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-03-19 80.66000000 CZK 0.00000000 CZK 7286580.00000000 CZK 1819.35000000 N N N CIFC Funding Ltd 54930034H2IEPBE5Q044 12549JBC4 330000.00000000 PA USD 329613.90000000 0.013041175180 Long ABS-CBDO CORP KY N 2 2031-01-18 Floating 5.95500000 N N N N N N City of San Antonio TX Electric & Gas Systems Revenue 5493002G2FEH20Q4GQ04 796253Y30 875000.00000000 PA USD 894707.98000000 0.035399124559 Long DBT MUN US N 2 2041-02-01 Fixed 5.80800000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 000000000 6533.00000000 PA USD 6533.00000000 0.000258478169 Long RA CORP US N 2 Repurchase Y 4.30000000 2025-04-01 7304.77000000 USD 6663.66000000 USD UST N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XFAL9 80851.79000000 PA USD 79032.29000000 0.003126912848 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JHYV9 558999.69000000 PA USD 544318.18000000 0.021535950817 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.50000000 N N N N N N SAMARCO MINERACAO SA 529900U8HKV15GJC4O60 79588YAA7 208679.00000000 PA USD 202050.33000000 0.007994122058 Long DBT CORP BR N 2 2031-06-30 Fixed 9.00000000 N N Y N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFD2 1852000.00000000 PA USD 1877104.69000000 0.074267654047 Long DBT CORP US N 2 2029-04-20 Fixed 5.16400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMH80 2052345.76000000 PA USD 1657778.45000000 0.065590010545 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -528.00000000 NC USD -176185.47000000 -0.00697077877 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Ultra 10 Year U.S. Treasury Notes Futures UXYM5 Comdty 2025-06-18 -60081814.53000000 USD -176185.47000000 N N N UMBS, TBA N/A 01F020646 -7705000.00000000 PA USD -6122220.49000000 -0.24222567647 Short ABS-MBS USGSE US N 2 2055-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QHPG4 296199.23000000 PA USD 262173.54000000 0.010372897086 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHVB0 253164.75000000 PA USD 251945.85000000 0.009968238493 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5.00000000 N N N N N N Intuitive Surgical Inc 54930052SRG011710797 46120E602 260.00000000 NS USD 128770.20000000 0.005094793442 Long EC CORP US N 1 N N N Atrium Hotel Portfolio Trust N/A 04965JAG8 1041000.00000000 PA USD 985306.19000000 0.038983643075 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.56700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XB2F6 367316.13000000 PA USD 345963.54000000 0.013688048747 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 4.00000000 N N N N N N Toronto-Dominion Bank PT3QB789TSUIDF371261 000000000 1.00000000 NC -1116.21000000 -0.00004416285 N/A DFE CA N 2 Toronto-Dominion Bank PT3QB789TSUIDF371261 212900.00000000 USD 304425.50000000 CAD 2025-04-24 -1116.21000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERHD5 35812.05000000 PA USD 33439.67000000 0.001323040668 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 3.00000000 N N N N N N REMIC FUNDING TRUST 98-1 N/A 75806CAA9 617793.27000000 PA USD 617364.52000000 0.024426029531 Long ABS-MBS CORP US N 2 2059-07-25 Variable 7.50000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -190000.00000000 OU Notional Amount USD -3023.09000000 -0.00011960856 N/A DFE US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A 1.00000000 NC USD -3023.09000000 0.00000000 DFE TR -190000.00000000 USD -7505000.00000000 TRY 2025-05-16 1.00000000 39.50000000 USD 2025-05-16 XXXX 168.91000000 N N N Australia & New Zealand Banking Group Ltd. JHE42UYNWWTJB8YTTU19 000000000 1.00000000 NC 276.78000000 0.000010950801 N/A DFE US N 2 Australia & New Zealand Banking Group Ltd. JHE42UYNWWTJB8YTTU19 197089.74000000 EUR 213641.79000000 USD 2025-04-24 276.78000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 50240000.00000000 OU Notional Amount USD 41867.23000000 0.001656477110 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-05-16 91.44000000 USD 0.00000000 USD 50240000.00000000 USD 41775.79000000 N N N AFFINITY INTERACTIVE N/A 00842XAA7 194000.00000000 PA USD 147016.30000000 0.005816700456 Long DBT CORP US N 2 2027-12-15 Fixed 6.87500000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2569500.00000000 OU Notional Amount USD 84608.06000000 0.003347518208 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2034-10-09 40.34000000 USD 0.00000000 USD 2569500.00000000 USD 84567.72000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEP7 8311000.00000000 PA USD 8302615.95000000 0.328493030966 Long DBT CORP US N 2 2028-10-22 Fixed 4.50500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNEL2 4046497.44000000 PA USD 3268475.31000000 0.129317237806 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KP1 1330000.00000000 PA USD 1441190.30000000 0.057020699584 Long DBT CORP US N 2 2034-03-15 Fixed 6.95000000 N N N N N N Pony 2221001FWHVHKUW4NQ77 000000000 100000.00000000 PA 108333.68000000 0.004286222452 Long ABS-O CORP LU Y 2 2033-01-14 Floating 3.59200000 N N N N N N Securitized Asset Backed Receivables LLC Trust N/A 81378GAD0 82000.00000000 PA USD 59368.45000000 0.002348912945 Long ABS-O CORP US N 2 2037-01-25 Floating 4.87500000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAL4 3201000.00000000 PA USD 3078764.76000000 0.121811339189 Long DBT CORP US N 2 2031-01-15 Fixed 4.75000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFL3 1441000.00000000 PA USD 1222335.40000000 0.048361704650 Long DBT CORP US N 2 2030-09-18 Fixed 1.50000000 N N N N N N SREIT Trust N/A 85236WCQ7 342700.00000000 PA USD 339273.00000000 0.013423337507 Long ABS-MBS CORP US N 2 2036-11-15 Floating 7.05200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWEC3 220922.82000000 PA USD 211440.13000000 0.008365629530 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176Q4Q4 42146.40000000 PA USD 39675.27000000 0.001569752205 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQQM1 644185.95000000 PA USD 656101.78000000 0.025958669367 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 6.00000000 N N N N N N Directv Financing LLC N/A 25460HAB8 44609.69000000 PA USD 44737.14000000 0.001770025110 Long LON CORP US N 2 2027-08-02 Floating 9.55200000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBX3 2937000.00000000 PA USD 2498485.72000000 0.098852596812 Long DBT CORP US N 2 2032-02-04 Fixed 1.95300000 N N N N N N Exmoor Funding PLC 635400TJWGCUUIZAGH30 000000000 100000.00000000 PA 129050.93000000 0.005105900525 Long ABS-MBS CORP GB Y 2 2094-03-25 Floating 7.28000000 N N N N N N CIFC Funding Ltd N/A 12555QAN6 250000.00000000 PA USD 250110.50000000 0.009895622863 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 5.71400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BUJD0 592077.84000000 PA USD 596867.64000000 0.023615070398 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.50000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LBF7 988000.00000000 PA USD 655895.20000000 0.025950496029 Long DBT CORP US N 2 2051-02-15 Fixed 3.05000000 N N N N N N Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC 17625.51000000 0.000697353368 N/A DFE US N 2 Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 3443000.00000000 GBP 4464796.67000000 USD 2025-06-18 17625.51000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9DQ4 908737.03000000 PA USD 848408.80000000 0.033567297330 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJG7 14030900.00000000 PA USD 14635982.56000000 0.579072704466 Long DBT UST US N 2 2030-10-31 Fixed 4.87500000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 919000.00000000 OU Notional Amount -90146.21000000 -0.00356663513 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2054-11-07 32.42000000 EUR 0.00000000 EUR 919000.00000000 EUR -90181.51000000 N N N Mastercard Inc AR5L2ODV9HN37376R084 57636Q104 233.00000000 NS USD 127711.96000000 0.005052924172 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKLH6 230122.58000000 PA USD 222164.28000000 0.008789930565 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 3.00000000 N N N N N N PRM5 Trust N/A 693980AG9 262000.00000000 PA USD 257901.40000000 0.010203869850 Long ABS-MBS CORP US N 2 2033-03-10 Variable 5.25000000 N N N N N N CIFC Funding Ltd 549300ZXX0SJBZWIWI81 12550TAY1 250000.00000000 PA USD 250015.25000000 0.009891854296 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.62500000 N N N N N N Agate Bay Mortgage Loan Trust 549300GXWD0QSMEEID35 00841YCG1 150000.00000000 PA USD 99087.05000000 0.003920379502 Long ABS-MBS CORP US N 2 2045-04-25 Variable 3.46300000 N N N N N N The BAHA Trust N/A 05493XAA8 1450000.00000000 PA USD 1470495.46000000 0.058180158348 Long ABS-MBS CORP US N 2 2041-12-10 Variable 5.57400000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1178.73000000 -0.00004663645 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 48292.33000000 USD 1868224.96000000 TRY 2025-05-07 -1178.73000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202E4F3 11980.89000000 PA USD 11520.21000000 0.000455797151 Long ABS-MBS USGA US N 2 2039-04-20 Fixed 4.00000000 N N N N N N JP Morgan Mortgage Trust N/A 46654CAU9 167877.49000000 PA USD 140153.06000000 0.005545156340 Long ABS-MBS CORP US N 2 2052-02-25 Variable 3.26900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QST68 4115685.34000000 PA USD 4199324.63000000 0.166146294617 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H060648 9872000.00000000 PA USD 10019005.04000000 0.396401971701 Long ABS-MBS USGA US N 2 2055-04-20 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CQB3 146128.99000000 PA USD 137863.15000000 0.005454556042 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410K3E2 42600.01000000 PA USD 44301.64000000 0.001752794551 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 000000000 2846000.00000000 PA 661742.58000000 0.026181847640 Long DBT NUSS PL N 2 2029-10-25 Fixed 2.75000000 N N N N N N Credit-Based Asset Servicing and Securitization N/A 1248P8AL3 3827024.26000000 PA USD 3083508.46000000 0.121999023697 Long ABS-O CORP US N 2 2036-10-25 Variable 6.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8D36 893933.27000000 PA USD 870820.50000000 0.034454016323 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.50000000 N N N N N N AEP TRANSMISSION CO LLC 549300X123Z1I0LA3Y84 00115AAL3 1126000.00000000 PA USD 754016.99000000 0.029832685016 Long DBT CORP US N 2 2049-09-15 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFGY6 137466.88000000 PA USD 132289.93000000 0.005234051572 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KMVG7 521084.75000000 PA USD 456229.86000000 0.018050736109 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3.00000000 N N N N N N Countrywide Home Loans N/A 12544LAA9 5515531.73000000 PA USD 2379503.53000000 0.094145066021 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.00000000 N N N N N N ARES STRATEGIC INCOME FU 549300IANZJVZPTICV54 04020EAE7 4485000.00000000 PA USD 4485103.24000000 0.177453126385 Long DBT CORP US N 2 2028-03-15 Fixed 5.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KSBC0 319654.25000000 PA USD 256288.61000000 0.010140059808 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.00000000 N N N N N N DISH NETWORK CORP 529900U350CWHH15G169 25470MAB5 130000.00000000 PA USD 107900.00000000 0.004269063901 Long DBT CORP US N 2 2026-08-15 Fixed 3.37500000 N N N N Y DISH Network Corp USD XXXX N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FSK5 213846.22000000 PA USD 192332.39000000 0.007609631726 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 060505104 3143.00000000 NS USD 131157.39000000 0.005189242623 Long EC CORP US N 1 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -2026.20000000 -0.00008016661 N/A DFE ID N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 589000.00000000 USD 9732636000.00000000 IDR 2025-04-24 -2026.20000000 N N N Arbor Multifamily Mortgage Securities Trust N/A 03881BAS2 126000.00000000 PA USD 96729.41000000 0.003827099466 Long ABS-MBS CORP US N 2 2053-05-15 Fixed 1.75000000 N N N N N N TURKIYE GOVERNMENT BOND 5493000PCHOG3B6S3Q85 000000000 8160000.00000000 PA 189502.79000000 0.007497678591 Long DBT NUSS TR N 2 2029-09-12 Fixed 30.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5160760.00000000 OU Notional Amount 164508.05000000 0.006508761610 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2054-02-19 0.00000000 EUR -39335.26000000 EUR 5160760.00000000 EUR 207226.32000000 N N N Credit-Based Asset Servicing and Securitization N/A 12498NAD5 132269.32000000 PA USD 110145.57000000 0.004357909887 Long ABS-O CORP US N 2 2036-12-25 Variable 2.99200000 N N N N N N Trinitas CLO Ltd 635400UFTIJ9NEWTCB16 89640XBM7 160000.00000000 PA USD 160071.84000000 0.006333242945 Long ABS-CBDO CORP KY N 2 2031-10-18 Floating 5.95500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MKSW7 7677.77000000 PA USD 7520.01000000 0.000297529223 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 3.00000000 N N N N N N Stratton Mortgage Funding PLC 635400HN3D5CAXKQB937 000000000 100000.00000000 PA 128936.09000000 0.005101356880 Long ABS-MBS CORP GB Y 2 2049-06-25 Floating 5.98000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 109117.52000000 0.004317235084 N/A DFE BR N 2 UBS AG BFM8T61CT2L1QCEMIK50 4512266.25000000 USD 26803764.00000000 BRL 2025-06-18 109117.52000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -2541.98000000 -0.00010057344 N/A DFE NG N 2 Citibank NA E57ODZWZ7FF32TWEFA76 51385.00000000 USD 81599380.00000000 NGN 2025-09-04 -2541.98000000 N N N OCP CLO Ltd 254900K70GBA8CMARX66 670898AQ8 436000.00000000 PA USD 434310.50000000 0.017183496549 Long ABS-CBDO CORP KY N 2 2036-10-17 Floating 5.55300000 N N N N N N Fanatics Commerce Intermediate Holdco LLC 254900YDIRBC66RGAG10 30709UAB0 82823.00000000 PA USD 82823.00000000 0.003276892303 Long LON CORP US N 2 2028-11-24 Floating 7.68900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138Y1XZ3 74128.96000000 PA USD 72479.16000000 0.002867638235 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 3.00000000 N N N N N N Spectacle Gary Holdings LLC 549300V1ELIRK8JURN28 40443NAC4 1260551.36000000 PA USD 1258975.67000000 0.049811377069 Long LON CORP US N 2 2028-12-11 Floating 8.67500000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -350.92000000 -0.00001388415 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 4470512533.00000000 IDR 269502.81000000 USD 2025-04-08 -350.92000000 N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MBE2 84000.00000000 PA USD 84248.81000000 0.003333304481 Long DBT CORP US N 2 2028-06-15 Fixed 5.87500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -4066.40000000 -0.00016088713 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 5010642.00000000 BRL 874000.00000000 USD 2025-04-02 -4066.40000000 N N N BHMS Mortgage Trust N/A 05549GAA9 4059844.00000000 PA USD 4056547.41000000 0.160497313376 Long ABS-MBS CORP US N 2 2035-07-15 Floating 5.86600000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807CJ9 1254000.00000000 PA USD 1131382.36000000 0.044763147284 Long DBT CORP US N 2 2053-03-15 Fixed 4.95000000 N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 -391000.00000000 OU Notional Amount USD -4949.28000000 -0.00019581828 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Put Written Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 1.00000000 NC USD -4949.28000000 0.00000000 DFE BR -391000.00000000 USD -2248250.00000000 BRL 2025-04-10 1.00000000 5.75000000 USD 2025-04-10 XXXX -2220.10000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJSE3 809816.40000000 PA USD 615245.07000000 0.024342173484 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 1.50000000 N N N N N N INVESCO GOVT AND AGCY LEX N/A 825252885 700000.00000000 NS USD 700000.00000000 0.027695502605 Long STIV RF US N 1 N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 58.16000000 0.000002301100 N/A DFE ID N 2 Bank of America NA B4TYDEB6GKMZO031MB27 269795.57000000 USD 4470512533.00000000 IDR 2025-04-08 58.16000000 N N N University of California N/A 91412GHA6 239000.00000000 PA USD 205574.82000000 0.008133568518 Long DBT MUN US N 2 2112-05-15 Fixed 4.85800000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -4909.97000000 -0.00019426298 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 125481.05000000 EUR 131084.82000000 USD 2025-05-14 -4909.97000000 N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93935QAB3 2005617.37000000 PA USD 1686076.19000000 0.066709610733 Long ABS-MBS CORP US N 2 2047-01-25 Floating 5.33500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFG91 204291.10000000 PA USD 198816.60000000 0.007866179519 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Palladyne AI Corp N/A 80359A205 1162.00000000 NS USD 6832.56000000 0.000270330261 Long EC CORP US N 1 N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M1YD4 44290.20000000 PA USD 41283.28000000 0.001633373126 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 137781000.00000000 NC USD 89466.71000000 0.003539750714 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Purchased Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 137781000.00000000 OU Notional Amount N/A 89466.71000000 0.00000000 DIR US N/A N/A 2026-05-20 0.00000000 N/A 0.00000000 N/A 137781000.00000000 USD 1.00000000 3.74000000 USD 2025-05-16 XXXX -207783.24000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -47500.00000000 OU Notional Amount USD -645.29000000 -0.00002553090 N/A DFE LU N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A 1.00000000 NC USD -645.29000000 0.00000000 DFE TR -47500.00000000 USD -2280000.00000000 TRY 2025-05-29 1.00000000 48.00000000 USD 2025-05-29 XXXX -149.65000000 N N N GRUPO POSADAS SAB CV 529900NRFIXN5G8NUX35 000000000 188026.00000000 PA USD 176264.58000000 0.006973908763 Long DBT CORP MX Y 2 2027-12-30 Variable 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196FZH0 244398.69000000 PA USD 225821.92000000 0.008934645105 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N Myers Park CLO LTD N/A 62848FAC6 290000.00000000 PA USD 290000.58000000 0.011473874027 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 5.95500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPQ43 319648.03000000 PA USD 322292.99000000 0.012751523349 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.50000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SAV5 316000.00000000 PA USD 231486.94000000 0.009158781642 Long DBT CORP US N 2 2046-09-16 Fixed 3.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPEZ7 336648.83000000 PA USD 317081.32000000 0.012545323606 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95003PAA9 421000.00000000 PA USD 422732.84000000 0.016725426388 Long ABS-MBS CORP US N 2 2035-07-15 Variable 4.95400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A5H40 245452.30000000 PA USD 224029.49000000 0.008863727605 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Sri Lanka Government International Bonds 254900IG6Y30I2QE2R92 000000000 136710.00000000 PA USD 127823.85000000 0.005057351101 Long DBT NUSS LK Y 2 2028-04-15 Fixed 4.00000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -1304.31000000 -0.00005160503 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 21074900.00000000 INR 245000.00000000 USD 2025-04-16 -1304.31000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QM4G6 3772851.42000000 PA USD 3185902.13000000 0.126050229632 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KR7 769000.00000000 PA USD 776498.50000000 0.030722166042 Long DBT CORP US N 2 2034-05-15 Fixed 5.80000000 N N N N N N State of California N/A 13063A5G5 780000.00000000 PA USD 943479.11000000 0.037328754499 Long DBT MUN US N 2 2039-04-01 Fixed 7.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CR89 406049.15000000 PA USD 370914.84000000 0.014675247025 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AU3 3164000.00000000 PA USD 3109490.61000000 0.123027007559 Long DBT US N 2 2054-09-15 Fixed 6.25000000 N N N N N N NRG Energy Inc 5E2UPK5SW04M13XY7I38 629377CL4 699000.00000000 PA USD 678769.54000000 0.026855519376 Long DBT CORP US N 2 2029-06-15 Fixed 4.45000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4742500.00000000 OU Notional Amount USD 41323.43000000 0.001634961661 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2029-04-15 0.00000000 USD -875.09000000 USD 4742500.00000000 USD 42198.52000000 N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GU1 1192000.00000000 PA USD 1040732.55000000 0.041176587214 Long DBT CORP US N 2 2030-06-01 Fixed 2.25000000 N N N N N N Hermitage Plc 635400OUUMGTAI2EJA52 000000000 89120.60000000 PA 115032.02000000 0.004551242299 Long ABS-O CORP GB Y 2 2033-04-21 Floating 8.36400000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 525906000.00000000 NC USD 341491.80000000 0.013511124338 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Purchased Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A 525906000.00000000 OU Notional Amount N/A 341491.80000000 0.01000000 DIR US N/A N/A 2026-05-20 0.00000000 N/A 0.00000000 N/A 525906000.00000000 USD 1.00000000 3.74000000 USD 2025-05-16 XXXX -778687.27000000 N N N ASHTON WOODS USA/FINANCE N/A 045086AK1 727000.00000000 PA USD 721224.64000000 0.028535255566 Long DBT CORP US N 2 2028-01-15 Fixed 6.62500000 N N N N N N Elmwood CLO II Ltd. N/A 29001RAJ7 250000.00000000 PA USD 250096.75000000 0.009895078844 Long ABS-CBDO CORP KY N 2 2037-10-20 Floating 10.04300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HBRA8 54432.62000000 PA USD 53036.04000000 0.002098371120 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.50000000 N N N N N N American Municipal Power Inc EARKGGZJJEMVD66XQ486 02765UEK6 510000.00000000 PA USD 646261.19000000 0.025569326387 Long DBT MUN US N 2 2050-02-15 Fixed 8.08400000 N N N N N N Madison Park Euro Funding 635400X2NOVLPNW79680 000000000 250000.00000000 PA 270552.53000000 0.010704411856 Long ABS-CBDO CORP IE N 2 2034-05-25 Floating 5.98500000 N N N N N N Home Depot Inc/The QEKMOTMBBKA8I816DO57 437076102 335.00000000 NS USD 122774.15000000 0.004857559701 Long EC CORP US N 1 N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CCF0 975000.00000000 PA USD 953982.56000000 0.037744323537 Long DBT CORP US N 2 2054-06-15 Fixed 5.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFK67 16891324.99000000 PA USD 14064903.80000000 0.556477971201 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 1.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31307NN26 48347.68000000 PA USD 46606.00000000 0.001843966563 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140E0V36 32752.50000000 PA USD 31693.87000000 0.001253968084 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QDP4 32000.00000000 PA USD 33338.38000000 0.001319033128 Long DBT CORP MX N 2 2033-02-07 Fixed 10.00000000 N N N N N N MASTR Resecuritization Trust N/A 57643EAA0 210217.34000000 PA USD 85435.08000000 0.003380239258 Long ABS-MBS CORP US N 2 2037-08-25 Variable 3.89000000 N N N N N N Juniper Valley Park CLO, Ltd 213800ACSV8GAJ4CCO70 48206KAS5 270000.00000000 PA USD 268042.50000000 0.010605102510 Long ABS-CBDO CORP JE N 2 2036-07-20 Floating 5.84300000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 23120704.00000000 OU Notional Amount -7501.09000000 -0.00029678065 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2029-03-20 0.00000000 CZK -422272.04000000 CZK 23120704.00000000 CZK 10530.05000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FBD72 841200.07000000 PA USD 814576.78000000 0.032228733332 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJSK0 506590.74000000 PA USD 448324.44000000 0.017737958137 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 1.50000000 N N N N N N CENT Trust 2023-CITY N/A 12516WAA9 2110000.00000000 PA USD 2113941.48000000 0.083638102525 Long ABS-MBS CORP US N 2 2038-09-15 Floating 6.93900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELS87 153140.58000000 PA USD 159683.54000000 0.006317879854 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 6.00000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XCD0 166000.00000000 PA USD 169654.41000000 0.006712377363 Long DBT US N 2 2033-07-15 Fixed 5.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WEW8 55437.29000000 PA USD 54736.67000000 0.002165656552 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.50000000 N N N N N N Ajax Mortgage Loan Trust N/A 009703AA7 5076336.56000000 PA USD 5004457.66000000 0.198001385946 Long ABS-O CORP US N 2 2061-06-25 Variable 4.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9W74 98825.42000000 PA USD 93126.25000000 0.003684540427 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QC6E1 387200.93000000 PA USD 364101.78000000 0.014405688281 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4.00000000 N N N N N N New York Mortgage Trust N/A 62956VAA3 1030377.63000000 PA USD 1023017.95000000 0.040475708999 Long ABS-MBS CORP US N 2 2064-05-25 Variable 7.37500000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBA0 11199000.00000000 PA USD 10923030.32000000 0.432169735270 Long DBT CORP US N 2 2027-03-15 Fixed 3.75500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JR7K1 978651.82000000 PA USD 790200.82000000 0.031264298384 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932AH0 3919000.00000000 PA USD 3853453.12000000 0.152461887036 Long DBT CORP US N 2 2027-07-15 Fixed 3.90000000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 92553PBB7 570000.00000000 PA USD 557775.55000000 0.022068391711 Long DBT CORP US N 2 2026-10-04 Fixed 3.70000000 N N N N N N Oakwood Mortgage Investors Inc. N/A 67087TDS7 633004.52000000 PA USD 636741.08000000 0.025192663200 Long ABS-O CORP US N 2 2032-06-15 Variable 7.62000000 N N N N N N Toronto-Dominion Bank PT3QB789TSUIDF371261 000000000 1.00000000 NC -13384.82000000 -0.00052957045 N/A DFE US N 2 Toronto-Dominion Bank PT3QB789TSUIDF371261 236519.74000000 EUR 242554.78000000 USD 2025-04-16 -13384.82000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 5360626.00000000 OU Notional Amount -24902.48000000 -0.00098526671 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 5360626.00000000 BRL -24902.48000000 N N N SCC POWER PLC 529900IYGYC6VSDSDF37 78397YAC6 383530.00000000 PA USD 96078.10000000 0.003801330384 Long DBT CORP GB N 2 2032-05-17 Fixed 4.00000000 N N Y N N N Elmwood CLO XII Ltd. N/A 29002YAJ1 760000.00000000 PA USD 760624.72000000 0.030094119878 Long ABS-CBDO CORP KY N 2 2037-10-15 Floating 5.66200000 N N N N N N EASTERN ENERGY GAS 549300BFOD6TDMVV4O24 27636AAA0 255000.00000000 PA USD 246184.60000000 0.009740294615 Long DBT CORP US N 2 2054-10-15 Fixed 5.65000000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46514BRM1 1440000.00000000 PA USD 1321338.24000000 0.052278752384 Long DBT NUSS IL N 2 2054-03-12 Fixed 5.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQGC4 1003704.09000000 PA USD 989560.95000000 0.039151982670 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LVF0 273229.94000000 PA USD 277128.55000000 0.010964592112 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGWN5 6734670.70000000 PA USD 5652940.01000000 0.223658592537 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Voya CLO Ltd N/A 92919AAS3 250000.00000000 PA USD 247725.50000000 0.009801260329 Long ABS-CBDO CORP KY N 2 2038-04-20 Floating 5.85300000 N N N N N N JW Commercial Mortgage Trust 2024-MRCO N/A 46657XAG1 310000.00000000 PA USD 310909.20000000 0.012301123655 Long ABS-MBS CORP US N 2 2039-06-15 Floating 7.50800000 N N N N N N Morgan Stanley Capital I Trust N/A 61691JAA2 1190000.00000000 PA USD 48841.41000000 0.001932410568 Long ABS-MBS CORP US N 2 2050-06-15 Variable 2.14100000 N N N N N N BX Trust N/A 12434AAA6 2391914.83000000 PA USD 2370724.14000000 0.093797709423 Long ABS-MBS CORP US N 2 2033-02-15 Floating 5.34300000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 284198714.00000000 OU Notional Amount -469.88000000 -0.00001859080 N/A DIR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A N/A Y 2030-01-14 0.00000000 COP 0.00000000 COP 284198714.00000000 COP -469.88000000 N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCK9 700000.00000000 PA USD 771655.89000000 0.030530568160 Long DBT CORP US N 2 2052-11-09 Fixed 6.90000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBK0 2009000.00000000 PA USD 1634736.82000000 0.064678368368 Long DBT CORP US N 2 2049-09-06 Fixed 4.75800000 N N N N N N Long Beach Mortgage Loan Trust N/A 54251PAD9 441661.39000000 PA USD 205781.92000000 0.008141762430 Long ABS-O CORP US N 2 2036-06-25 Floating 4.73500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RD2 9487000.00000000 PA USD 8470112.19000000 0.335120020326 Long DBT UST US N 2 2043-11-15 Fixed 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVL60 8691153.36000000 PA USD 7020367.69000000 0.277760873787 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XWA84 82043.23000000 PA USD 75536.14000000 0.002988587660 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9WD3 6157339.69000000 PA USD 5625273.81000000 0.222563979231 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N Whitebox CLO III Ltd 549300JXCQSPB1A61C68 96467HAU0 250000.00000000 PA USD 250086.25000000 0.009894663412 Long ABS-CBDO CORP KY N 2 2035-10-15 Floating 7.15200000 N N N N N N Consumo Santander N/A 000000000 100000.00000000 PA 108401.59000000 0.004288909311 Long ABS-O CORP ES Y 2 2038-07-20 Floating 4.18500000 N N N N N N Madison Park Funding Ltd 254900END3IQSN7CTN87 55819QBJ5 1094000.00000000 PA USD 1101382.31000000 0.043576195194 Long ABS-CBDO CORP KY N 2 2037-01-22 Floating 5.89000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HLPX8 26557.06000000 PA USD 25815.30000000 0.001021382440 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1770.58000000 0.000070053004 N/A DFE TR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 136281.24000000 USD 5269995.48000000 TRY 2025-04-07 1770.58000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FLN4 270438.99000000 PA USD 259645.19000000 0.010272862908 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 4.00000000 N N N N N N LGI HOMES INC 549300W02B4WNV8CV109 50187TAK2 253000.00000000 PA USD 239262.10000000 0.009466405877 Long DBT CORP US N 2 2032-11-15 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9EC5 42057.86000000 PA USD 39464.72000000 0.001561421793 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XKSW5 59637.97000000 PA USD 58342.97000000 0.002308339825 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.00000000 N N N N N N ROCC Trust N/A 74970WAA8 1814000.00000000 PA USD 1827840.64000000 0.072318521725 Long ABS-MBS CORP US N 2 2041-11-13 Fixed 5.38800000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKQ1 3291000.00000000 PA USD 3180219.67000000 0.125825403081 Long DBT CORP US N 2 2033-04-27 Fixed 4.57100000 N N N N N N TICP CLO Ltd N/A 87249QAN0 260000.00000000 PA USD 260453.96000000 0.010304861896 Long ABS-CBDO CORP KY N 2 2037-04-25 Floating 6.35000000 N N N N N N Alabama Power Co 0RL818ELFOHP5JHOFU19 010392FM5 575000.00000000 PA USD 445936.94000000 0.017643496691 Long DBT CORP US N 2 2045-03-01 Fixed 3.75000000 N N N N N N Municipal Electric Authority of Georgia JA0WNILDDF2KUPS83B16 626207YF5 449000.00000000 PA USD 491535.16000000 0.019447590435 Long DBT MUN US N 2 2057-04-01 Fixed 6.63700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83A3 1750226.48000000 PA USD 1539536.98000000 0.060911786344 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAR3 230000.00000000 PA USD 234419.65000000 0.009274814324 Long DBT CORP US N 2 2032-04-15 Fixed 6.87500000 N N N N N N VEDANTA RESOURCES 8945002DGA3BBXO3N634 92243XAM3 200000.00000000 PA USD 198013.54000000 0.007834406447 Long DBT CORP GB N 2 2030-07-24 Fixed 9.47500000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -85.43000000 -0.00000338003 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 130000.00000000 USD 741351.00000000 BRL 2025-04-02 -85.43000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132J7RZ7 273707.08000000 PA USD 246485.97000000 0.009752218320 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRR8 483953.08000000 PA USD 433488.74000000 0.017150983611 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9B86 1358909.29000000 PA USD 1312492.21000000 0.051928759174 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.50000000 N N N N N N Toronto-Dominion Bank PT3QB789TSUIDF371261 000000000 1.00000000 NC 2465.74000000 0.000097557012 N/A DFE US N 2 Toronto-Dominion Bank PT3QB789TSUIDF371261 31161000.00000000 JPY 212011.68000000 USD 2025-06-18 2465.74000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31329KW83 44572.88000000 PA USD 41523.82000000 0.001642890092 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 3.00000000 N N N N N N Fairstone Financial Issuance Trust I 549300LY2ZF7LX6T3F37 30575PAQ9 323000.00000000 PA 222346.01000000 0.008797120713 Long ABS-O CORP CA N 2 2039-10-20 Fixed 3.73500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382RHG6 1191774.40000000 PA USD 205678.69000000 0.008137678135 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRJ6 2155020.95000000 PA USD 2026324.67000000 0.080171543111 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDV8 520000.00000000 PA USD 516347.10000000 0.020429274933 Long DBT CORP US N 2 2055-05-15 Fixed 6.62500000 N N N N N N Benefit Street Partners CLO Ltd N/A 08181JAH5 2100000.00000000 PA USD 2105718.30000000 0.083312752377 Long ABS-CBDO CORP KY N 2 2037-07-20 Floating 5.82300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9ZP3 224619.59000000 PA USD 204575.66000000 0.008094036749 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 2.00000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 387500.00000000 OU Notional Amount 55.73000000 0.000002204957 N/A DFE US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A 1.00000000 NC USD 55.73000000 0.00000000 DFE XX 392343.75000000 USD 387500.00000000 EUR 2025-05-08 1.00000000 1.01250000 EUR 2025-05-08 XXXX -1334.08000000 N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804GL2 179000.00000000 PA USD 171351.46000000 0.006779521152 Long DBT CORP US N 2 2053-04-01 Fixed 5.45000000 N N N N N N Madison Park Funding Ltd N/A 55821GAG0 260000.00000000 PA USD 259989.86000000 0.010286499778 Long ABS-CBDO CORP KY N 2 2034-07-19 Floating 6.25500000 N N N N N N CPPIB CAPITAL INC N/A 12673CAB0 424865.38000000 PA USD 422651.83000000 0.016722221227 Long LON CORP US N 2 2031-08-20 Floating 7.04900000 N N N N N N SoFi Personal Loan Trust N/A 83407RAA3 1035419.52000000 PA USD 1043240.56000000 0.041275816639 Long ABS-O CORP US N 2 2031-02-12 Fixed 6.06000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1337.97000000 0.000052936788 N/A DFE TR N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 85764.53000000 USD 3386167.47000000 TRY 2025-04-21 1337.97000000 N N N Nelnet Student Loan Trust N/A 64034QAD0 142000.00000000 PA USD 123253.49000000 0.004876524790 Long ABS-O CORP US N 2 2062-04-20 Fixed 3.57000000 N N N N N N NGPL PIPECO LLC 549300K3NT1HSQFEM073 62928CAA0 3594000.00000000 PA USD 3147263.00000000 0.124521472310 Long DBT CORP US N 2 2031-07-15 Fixed 3.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181GFS3 161335.01000000 PA USD 151929.29000000 0.006011082924 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 3.50000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 5846.80000000 0.000231328663 N/A DFE BR N 2 Citibank NA E57ODZWZ7FF32TWEFA76 390000.00000000 USD 2258880.00000000 BRL 2025-04-02 5846.80000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FM78 578448.91000000 PA USD 555361.63000000 0.021972884958 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 4.00000000 N N N N N N Elmwood CLO 23 Ltd N/A 29003YAA9 250000.00000000 PA USD 250086.75000000 0.009894683194 Long ABS-CBDO CORP KY N 2 2036-04-16 Floating 6.10800000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 000000000 18842850.00000000 PA 911941.36000000 0.036080963302 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7.00000000 N N N N N N Bluemountain CLO Ltd N/A 09629EAL5 99514.39000000 PA USD 99556.88000000 0.003938968327 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 5.55500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XCXH0 337820.64000000 PA USD 331415.44000000 0.013112453117 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.50000000 N N N N N N NJ Trust 2023-GSP N/A 65486XAA1 350000.00000000 PA USD 366839.20000000 0.014513994313 Long ABS-MBS CORP US N 2 2029-01-06 Variable 6.48100000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SZ2 2681000.00000000 PA USD 1596661.19000000 0.063171905925 Long DBT UST US N 2 2051-08-15 Fixed 2.00000000 N N N N N N AMC NETWORKS INC 549300VGG9K75226LR46 00164VAF0 405000.00000000 PA USD 303813.42000000 0.012020379093 Long DBT CORP US N 2 2029-02-15 Fixed 4.25000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 9645000.00000000 OU Notional Amount USD -4704.58000000 -0.00018613672 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2029-04-15 114.05000000 USD 0.00000000 USD 9645000.00000000 USD -4818.63000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X6T70 1071084.51000000 PA USD 1043939.62000000 0.041303474951 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.50000000 N N N N N N El Salvador Government International Bonds 529900AKDMUSFSDOM949 000000000 150000.00000000 PA USD 156034.45000000 0.006173503595 Long DBT NUSS SV Y 2 2030-04-17 Fixed 9.25000000 N N N N N N UMBS, TBA N/A 01F062663 700000.00000000 PA USD 720471.15000000 0.028505443731 Long ABS-MBS USGSE US N 2 2054-06-01 Fixed 6.50000000 N N N N N N NORFOLK SOUTHERN CORP 54930036C8MWP850MI84 655844CD8 326000.00000000 PA USD 228727.57000000 0.009049607158 Long DBT CORP US N 2 2049-11-01 Fixed 3.40000000 N N N N N N Residential Funding Mtg Sec I N/A 749574AC3 722582.06000000 PA USD 516019.19000000 0.020416301173 Long ABS-MBS CORP US N 2 2036-08-25 Variable 5.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XB2A1 22800.75000000 PA USD 22387.23000000 0.000885750838 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 3.50000000 N N N N N N Taubman Centers Commercial Mortgage Trust N/A 87231EAG2 100000.00000000 PA USD 99838.14000000 0.003950096380 Long ABS-MBS CORP US N 2 2039-12-15 Floating 7.06000000 N N N N N N NatWest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC -5.53000000 -0.00000021879 N/A DFE US N 2 NatWest Markets PLC RR3QWICWWIPCS8A4S074 2000.00000000 GBP 2577.78000000 USD 2025-06-18 -5.53000000 N N N Fremont Home Loan Trust N/A 35729MAA5 589990.47000000 PA USD 432567.74000000 0.017114544243 Long ABS-O CORP US N 2 2037-02-25 Floating 4.71500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2AE2 2596655.29000000 PA USD 2546973.64000000 0.100771021547 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 4.50000000 N N N N N N Flatiron CLO Ltd N/A 33883PAQ0 2390000.00000000 PA USD 2392390.00000000 0.094654919255 Long ABS-CBDO CORP KY N 2 2037-10-19 Floating 5.65300000 N N N N N N Ashford Hospitality Trust N/A 04410RAL0 138000.00000000 PA USD 136620.00000000 0.005405370808 Long ABS-MBS CORP US N 2 2035-04-15 Floating 6.59200000 N N N N N N GEORGIA POWER CO D981X4Z4RWS7PDMJUZ03 373334KT7 1302000.00000000 PA USD 1293019.03000000 0.051158302735 Long DBT CORP US N 2 2033-05-17 Fixed 4.95000000 N N N N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 374422AP8 148962.00000000 PA USD 106180.11000000 0.004201016447 Long DBT NUSS GH N 2 2035-07-03 Variable 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GKD37 96806.35000000 PA USD 93220.86000000 0.003688283672 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.00000000 N N N N N N UBS Securities LLC T6FIZBDPKLYJKFCRVK44 000000000 647000.00000000 OU Notional Amount USD 1019.03000000 0.000040317925 N/A DFE US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 Call Purchased UBS Securities LLC T6FIZBDPKLYJKFCRVK44 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 N/A 1.00000000 NC USD 1019.03000000 0.00000000 DFE US 947855.00000000 CAD 647000.00000000 USD 2025-04-17 1.00000000 1.46500000 USD 2025-04-17 XXXX -449.66000000 N N N INSIGHT M INC WARRANTS N/A 000000000 499269.00000000 NS USD 25712.35000000 0.001017309223 N/A DE US Y 3 N/A N/A Call Purchased Insight M Inc Insight M Inc 1.00000000 1.00000000 USD 2099-12-31 XXXX 25712.02000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGJX6 135863.80000000 PA USD 119937.26000000 0.004745318138 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 1.50000000 N N N N N N Mexico Government International Bonds 254900EGTWEU67VP6075 000000000 4211000.00000000 PA USD 4310379.60000000 0.170540184918 Long DBT NUSS MX N 2 2037-05-13 Fixed 6.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XSTM9 179179.46000000 PA USD 176087.34000000 0.006966896262 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.50000000 N N N N N N Oak Hill Credit N/A 67098DBC6 250000.00000000 PA USD 249857.00000000 0.009885593135 Long ABS-CBDO CORP KY N 2 2038-01-22 Floating 5.58000000 N N N N N N NEWDAY FUNDING N/A 000000000 111000.00000000 PA 144323.06000000 0.005710142406 Long ABS-O CORP GB Y 2 2032-07-15 Floating 6.36300000 N N N N N N GSR Mortgage Loan Trust N/A 362669AK9 341711.64000000 PA USD 221313.68000000 0.008756276573 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.00000000 N N N N N N OCTAGON INVESTMENT PARTNERS 39, LTD. N/A 67592CAN6 860000.00000000 PA USD 861799.12000000 0.034097085390 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 6.09300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPJ62 181142.01000000 PA USD 176662.61000000 0.006989656822 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 138000.00000000 OU Notional Amount USD -24581.25000000 -0.00097255724 N/A DCR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 CMBX.NA.BBB-.9 137BERAI8 Y sell protection 2058-09-17 0.00000000 USD -161.82000000 USD 138000.00000000 USD -24419.43000000 N N N META PLATFORMS INC BQ4BKCS1HXDV9HN80Z93 30303M8W5 1256000.00000000 PA USD 1235778.15000000 0.048893567104 Long DBT CORP US N 2 2064-08-15 Fixed 5.55000000 N N N N N N Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 000000000 -32895000.00000000 OU Notional Amount -35.57000000 -0.00000140732 N/A DFE US N 2 Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 Put Written Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 N/A 1.00000000 NC USD -35.57000000 0.00000000 DFE US -32895000.00000000 EUR -32566050.00000000 USD 2025-04-16 1.00000000 0.99000000 EUR 2025-04-16 XXXX 144601.88000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERLF5 1254488.68000000 PA USD 1115034.02000000 0.044116325151 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BM8 200000.00000000 PA USD 193352.14000000 0.007649978138 Long DBT CORP US Y 2 2028-05-15 Fixed 11.25000000 N N N N N N Conseco Financial Corp N/A 3935053P5 323435.17000000 PA USD 97623.96000000 0.003862492340 Long ABS-O CORP US N 2 2030-03-01 Variable 7.86000000 N N N N N N Veritas US Inc 549300RFUWCPWS8FQ104 000000000 152114.60000000 PA USD 152685.03000000 0.006040983780 Long LON CORP US N 2 2029-12-09 Floating 16.79900000 N N N N N N ARES CLO Ltd N/A 04018EAA9 250000.00000000 PA USD 249938.25000000 0.009888807791 Long ABS-CBDO CORP KY N 2 2034-04-25 Floating 5.59200000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -2103.28000000 -0.00008321628 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 1124760.00000000 BRL 195000.00000000 USD 2025-04-02 -2103.28000000 N N N Morgan Stanley ReRemic Trust N/A 61690HAE9 3371685.25000000 PA USD 3048745.24000000 0.120623616769 Long ABS-MBS CORP US N 2 2046-12-27 Floating 4.18800000 N N N N N N CommScope Holding Co Inc 254900AW4CEPCQWSRI58 20337X109 48144.00000000 NS USD 255644.64000000 0.010114581133 Long EC CORP US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M6SF8 37191.04000000 PA USD 34712.20000000 0.001373388322 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 3.50000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 32000.00000000 PA 34191.70000000 0.001352794737 Long DBT NUSS RO N 2 2032-07-11 Fixed 5.87500000 N N N N N N Cardiff Automobile Receivables Securitisation 6354006GQBBANLIO8R45 000000000 259000.00000000 PA 335328.56000000 0.013267275724 Long ABS-O CORP GB Y 2 2031-08-20 Floating 6.36300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ENGF0 1527564.49000000 PA USD 1495650.43000000 0.059175414830 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4.50000000 N N N N N N Countrywide Alternative Loan Trust N/A 12667GYX5 4398158.01000000 PA USD 4169248.40000000 0.164956328465 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.99500000 N N N N N N CHENIERE CORP CHRISTI HD 549300I7CIEWU1BBLQ53 16412XAL9 2774000.00000000 PA USD 2219747.09000000 0.087824301878 Long DBT CORP US N 2 2039-12-31 Fixed 2.74200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VXX3 791698.07000000 PA USD 647801.07000000 0.025630251745 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 2.00000000 N N N N N N COMM Mortgage Trust N/A 12636GAJ0 270000.00000000 PA USD 189644.68000000 0.007503292470 Long ABS-MBS CORP US N 2 2036-10-10 Variable 3.17900000 N N N N N N HILL FL 724500H2AN902EY7W191 000000000 100000.00000000 PA 108322.98000000 0.004285799106 Long ABS-O CORP NL Y 2 2032-10-18 Floating 4.32900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVL52 7889692.69000000 PA USD 6684569.51000000 0.264475017545 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB86 328000.00000000 PA USD 319605.30000000 0.012645184884 Long DBT CORP US N 2 2045-11-19 Fixed 5.56100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VKP4 19836.53000000 PA USD 19277.05000000 0.000762696555 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 4.50000000 N N N N N N Regatta 31 Funding Ltd. N/A 758962AE4 250000.00000000 PA USD 250086.00000000 0.009894653520 Long ABS-CBDO CORP KY N 2 2038-03-25 Floating 5.83100000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEW2 1326000.00000000 PA USD 1354563.13000000 0.053593295280 Long DBT CORP US N 2 2036-01-24 Fixed 5.50200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TV51 11300.68000000 PA USD 10432.16000000 0.000412748449 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XHT76 495265.14000000 PA USD 484918.66000000 0.019185808587 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CMM0 23481000.00000000 PA USD 24258808.13000000 0.959799833963 Long DBT UST US N 2 2035-02-15 Fixed 4.62500000 N N N N N N GS Mortgage Securities Trust N/A 36265AAA9 1140000.00000000 PA USD 1128934.82000000 0.044666310355 Long ABS-MBS CORP US N 2 2036-11-15 Floating 5.31900000 N N N N N N DUKE ENERGY PROGRESS LLC 0NIFZ782LS46WOC9QK20 26442UAK0 2065000.00000000 PA USD 1208203.40000000 0.047802572018 Long DBT CORP US N 2 2050-08-15 Fixed 2.50000000 N N N N N N FS Trust N/A 30338DAA9 1727000.00000000 PA USD 1730203.93000000 0.068455524930 Long ABS-MBS CORP US N 2 2039-08-15 Floating 6.13000000 N N N N N N Rad CLO Ltd N/A 74936GAE8 250000.00000000 PA USD 249777.75000000 0.009882457608 Long ABS-CBDO CORP KY N 2 2036-04-17 Floating 6.90300000 N N N N N N Velocity Commercial Capital Loan Trust N/A 92258VAE7 66639.29000000 PA USD 61321.35000000 0.002426179441 Long ABS-MBS CORP US N 2 2047-11-25 Variable 4.24000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -1387.27000000 -0.00005488734 N/A DFE CO N 2 Citibank NA E57ODZWZ7FF32TWEFA76 195000.00000000 USD 812075160.00000000 COP 2025-04-24 -1387.27000000 N N N DUKE ENERGY FLORIDA LLC 7MOHLM3DKE63RX2ZCN83 26444HAL5 1771000.00000000 PA USD 1124682.41000000 0.044498063738 Long DBT CORP US N 2 2051-12-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRE7 2182935.82000000 PA USD 2034659.75000000 0.080501320582 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.50000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 3528200000.00000000 PA 723270.37000000 0.028616194881 Long DBT NUSS CO N 2 2030-09-18 Fixed 7.75000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCR5 3656000.00000000 PA USD 3161933.39000000 0.125101906345 Long DBT CORP US N 2 2032-11-08 Fixed 2.54500000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83Z8 751628.73000000 PA USD 686957.77000000 0.027179486727 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N CORE SCIENTIFIC INC N/A 21874AAE6 71000.00000000 PA USD 59506.88000000 0.002354389928 Long DBT CORP US N 2 2031-06-15 None 0.00000000 N N N N Y Core Scientific, Inc. USD XXXX N N N Asimi Funding Holdings Limited 635400ED9TX8KJO28Q39 000000000 100000.00000000 PA 129124.56000000 0.005108813697 Long ABS-O CORP GB Y 2 2031-09-16 Floating 5.81300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TAL9 352830.14000000 PA USD 334664.12000000 0.013240987153 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.00000000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12597BAX7 4150000.00000000 PA USD 86221.23000000 0.003411343285 Long ABS-MBS CORP US N 2 2052-09-15 Variable 0.53300000 N N N N N N Silver Point CLO, Ltd 254900DVAEEJOXQ8PL85 82809EAA8 1090000.00000000 PA USD 1092293.36000000 0.043216590854 Long ABS-CBDO CORP JE N 2 2037-04-15 Floating 5.93200000 N N N N N N VERISIGN INC LMPL4N8ZOJRMF0KOF759 92343EAQ5 435000.00000000 PA USD 438834.28000000 0.017362479921 Long DBT CORP US N 2 2032-06-01 Fixed 5.25000000 N N N N N N JPMDB Commercial Mortgage Securities Trust N/A 46646RAA1 2067000.00000000 PA USD 19976.52000000 0.000790371088 Long ABS-MBS CORP US N 2 2049-12-15 Variable 0.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WPHS6 530747.10000000 PA USD 477345.64000000 0.018886182023 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N BFLD Trust N/A 05493AAN0 663000.00000000 PA USD 9885.33000000 0.000391113118 Long ABS-MBS CORP US N 2 2035-10-15 Floating 8.13400000 N N N N N N Park Avenue Trust N/A 90187LAN9 207000.00000000 PA USD 191064.81000000 0.007559479918 Long ABS-MBS CORP US N 2 2037-06-05 Variable 3.65700000 N N N N N N Oakwood Mortgage Investors Inc. N/A 67087TCW9 143556.71000000 PA USD 63426.08000000 0.002509453091 Long ABS-O CORP US N 2 2031-09-15 Variable 6.93000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BJX5 531195.40000000 PA USD 493938.58000000 0.019542681756 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.50000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 1300.44000000 0.000051451913 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 76023356.00000000 CLP 81358.00000000 USD 2025-04-24 1300.44000000 N N N Apidos CLO Ltd 254900C9NN5XS59HZV73 03762YBH9 650000.00000000 PA USD 647853.05000000 0.025632308334 Long ABS-CBDO CORP KY N 2 2037-01-20 Floating 5.93100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LTFX1 12439.50000000 PA USD 11595.17000000 0.000458762944 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.50000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JJ7 639000.00000000 PA USD 424743.58000000 0.016804981323 Long DBT CORP US N 2 2050-08-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FKM7 23305.58000000 PA USD 22375.38000000 0.000885281992 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 4.00000000 N N N N N N Cardiff Automobile Receivables Securitisation 6354006GQBBANLIO8R45 000000000 197000.00000000 PA 255334.74000000 0.010102319938 Long ABS-O CORP GB Y 2 2031-08-20 Floating 7.06300000 N N N N N N DIGICEL GROUP HOLDINGS N/A 25381HAH1 145972.56000000 PA USD 8758.35000000 0.000346524150 Long DBT CORP BM N 3 2030-12-31 None 0.00000000 N N N N N N Kinder Morgan Inc 549300WR7IX8XE0TBO16 49456B101 29668.00000000 NS USD 846428.04000000 0.033488928553 Long EC CORP US N 1 N N N AGL CLO Ltd. 54930005OE1IFBESDA27 00120BAA8 1310000.00000000 PA USD 1310437.54000000 0.051847466148 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.71500000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 000000000 4506000.00000000 PA 192381.80000000 0.007611586633 Long DBT NUSS ZA N 2 2044-01-31 Fixed 8.75000000 N N N N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 000000000 2649000.00000000 PA 670116.49000000 0.026513161421 Long DBT NUSS PL N 2 2029-07-25 Fixed 4.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196FZG2 96054.04000000 PA USD 88872.14000000 0.003516226549 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N Freddie Mac - SCRT N/A 35563PCG2 773472.67000000 PA USD 112009.83000000 0.004431669340 Long ABS-MBS USGSE US N 2 2056-07-25 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJDN5 295512.05000000 PA USD 282716.73000000 0.011185688474 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -361.93000000 -0.00001431976 N/A DFE XX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 684154.48000000 USD 631633.52000000 EUR 2025-04-24 -361.93000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRN7 850696.45000000 PA USD 782723.21000000 0.030968446717 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.50000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863BC3 727000.00000000 PA USD 611096.85000000 0.024178049144 Long DBT CORP GB N 2 2052-03-16 Fixed 4.75000000 N N N N N N SELECT MEDICAL CORP 549300X05KS0JKR8CB50 816196AV1 377000.00000000 PA USD 367325.73000000 0.014533243874 Long DBT CORP US N 2 2032-12-01 Fixed 6.25000000 N N N N N N Ballyrock Ltd 254900Y6C4AXEAZ9T124 05876EAE9 250000.00000000 PA USD 249111.00000000 0.009856077642 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 10.70500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9F88 35730.00000000 PA USD 34811.31000000 0.001377309609 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 2.50000000 N N N N N N LATAM AIRLINES GROUP SA 549300HX3UUDPEFTG707 51817RAD8 95000.00000000 PA USD 94180.63000000 0.003726256976 Long DBT CORP CL N 2 2030-04-15 Fixed 7.87500000 N N N N N N VERSA NETWORKS N/A 000000000 678151.00000000 NS USD 3587418.79000000 0.141936237779 Long EP CORP US Y 3 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3142GQLA8 514521.60000000 PA USD 534333.17000000 0.021140893860 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 6.50000000 N N N N N N ASSOC BANC-CORP 549300N3CIN473IW5094 045487AD7 172000.00000000 PA USD 174041.61000000 0.006885956947 Long DBT CORP US N 2 2030-08-29 Fixed 6.45500000 N N N N N N ServiceNow Inc 549300HJTQM36M0E1G39 81762P102 160.00000000 NS USD 127382.40000000 0.005039885130 Long EC CORP US N 1 N N N Irwin Home Equity N/A 464125AD5 15366.27000000 PA USD 15420.15000000 0.000610098292 Long ABS-MBS CORP US N 2 2037-09-25 Variable 6.53000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4128000.00000000 OU Notional Amount 749.83000000 0.000029667026 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-06-18 11398.02000000 CZK 0.00000000 CZK 4128000.00000000 CZK 257.07000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQLB6 2370140.01000000 PA USD 2383352.19000000 0.094297338269 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.00000000 N N N N N N MFRA Trust N/A 55283FAE8 540000.00000000 PA USD 437585.44000000 0.017313069562 Long ABS-MBS CORP US N 2 2065-04-25 Variable 3.51400000 N N N N N N Rockford Tower CLO Ltd 549300G18KVCW7VUKI86 77340GAQ4 939000.00000000 PA USD 939775.61000000 0.037182225507 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 7.41400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179USV5 687656.31000000 PA USD 667394.10000000 0.026405450050 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 4.50000000 N N N N N N Elmwood CLO 30 Ltd N/A 29001JAA4 390000.00000000 PA USD 390397.80000000 0.015446090410 Long ABS-CBDO CORP KY N 2 2037-07-17 Floating 5.73300000 N N N N N N Neuberger Berman CLO Ltd 5493007YBEOXQIHH3C54 64132DAL2 250000.00000000 PA USD 250044.25000000 0.009893001682 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 5.95500000 N N N N N N EQUINIX EU 2 FINANCING C 254900FSZR46BPMCKI50 29390XAA2 524000.00000000 PA USD 533961.12000000 0.021126173700 Long DBT US N 2 2034-06-15 Fixed 5.50000000 N N N N N N CIFC Funding Ltd N/A 12547DAL0 1380000.00000000 PA USD 1379948.94000000 0.054597684947 Long ABS-CBDO CORP KY N 2 2037-07-23 Floating 5.65000000 N N N N N N Uruguay Government International Bonds 549300RDR012H2V82H43 760942BE1 64385.00000000 PA USD 66960.40000000 0.002649288475 Long DBT NUSS UY N 2 2034-10-28 Fixed 5.75000000 N N N N N N BNP Paribas Securities Services 549300WCGB70D06XZS54 000000000 4178000.00000000 OU Notional Amount -8780.81000000 -0.00034741278 N/A DIR US N 2 BNP Paribas Securities Services 549300WCGB70D06XZS54 N/A N/A Y 2025-07-01 0.00000000 BRL 0.00000000 BRL 4178000.00000000 BRL -8780.81000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 105000.00000000 OU Notional Amount USD 18703.12000000 0.000739989012 N/A DCR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-17 5153.35000000 USD 0.00000000 USD 105000.00000000 USD 13549.77000000 N N N First Franklin Mtg Loan Asset Backed Certificates N/A 320275AD2 3534456.26000000 PA USD 1425151.44000000 0.056386122028 Long ABS-O CORP US N 2 2036-12-25 Floating 4.71500000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -2541.98000000 -0.00010057344 N/A DFE NG N 2 Citibank NA E57ODZWZ7FF32TWEFA76 51385.00000000 USD 81599380.00000000 NGN 2025-09-04 -2541.98000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181FEB3 168027.72000000 PA USD 157594.01000000 0.006235207592 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8ZR7 720774.70000000 PA USD 702142.56000000 0.027780273000 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N 280 Park Avenue Mortgage Trust N/A 90205FAL4 500000.00000000 PA USD 482500.00000000 0.019090114296 Long ABS-MBS CORP US Y 2 2034-09-15 Floating 6.15800000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -518000.00000000 OU Notional Amount -2211.33000000 -0.00008749127 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Call Written Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD -2211.33000000 0.00000000 DFE US -518000.00000000 AUD -330225.00000000 USD 2025-05-28 1.00000000 0.63750000 AUD 2025-05-28 XXXX 1108.73000000 N N N JP Morgan Mortgage Trust N/A 46654CAJ4 2351328.60000000 PA USD 43640.19000000 0.001726624279 Long ABS-MBS CORP US N 2 2052-02-25 Variable 0.50000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17328QAN1 7730000.00000000 PA USD 290818.83000000 0.011506248091 Long ABS-MBS CORP US N 2 2042-11-10 Variable 0.80100000 N N N N N N MINERAL RESOURCES LTD 5299007V1ACKFFX2P066 603051AD5 56000.00000000 PA USD 54163.18000000 0.002142966418 Long DBT CORP AU N 2 2030-05-01 Fixed 8.50000000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CAZ7 1643000.00000000 PA USD 1109045.77000000 0.043879400018 Long DBT CORP US N 2 2049-08-15 Fixed 3.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XAY55 1883473.82000000 PA USD 1773979.16000000 0.070187492068 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 4.00000000 N N N N N N Hudson Yards N/A 44855PAA6 116000.00000000 PA USD 118015.49000000 0.004669283301 Long ABS-MBS CORP US N 2 2040-01-13 Variable 5.46700000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAU6 3016000.00000000 PA USD 3000262.66000000 0.118705403310 Long DBT CORP US N 2 2034-12-30 Fixed 5.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM2W4 179896.02000000 PA USD 146919.12000000 0.005812855529 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N UBER TECHNOLOGIES INC 549300B2FTG34FILDR98 90353TAP5 131000.00000000 PA USD 127228.52000000 0.005033796867 Long DBT CORP US N 2 2034-09-15 Fixed 4.80000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -5.00000000 NC USD -781.25000000 -0.00003091015 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A 5.00000000 NC N/A -781.25000000 0.00000000 DIR US Short CBOT US Long Bond USM5 Comdty 2025-06-18 5.00000000 USD 1000.00000000 113.00000000 USD 2025-04-25 XXXX 617.25000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31391T6C7 158975.08000000 PA USD 161975.35000000 0.006408555325 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.50000000 N N N N N N VOLCAN CIA MINERA SAA-CM 549300XKJ91C4SZLG750 92863UAC0 30000.00000000 PA USD 29717.40000000 0.001175769041 Long DBT CORP PE N 2 2030-01-24 Fixed 8.75000000 N N N N N N Argentina Republic Government International Bonds 549300KPBYGYF7HCHO27 040114HV5 70800.00000000 PA USD 40889.55000000 0.001617795197 Long DBT NUSS AR N 2 2041-07-09 Variable 3.50000000 N N N N N N EXPAND ENERGY CORP X2MT1W32SPAZ9WSKLE78 845467AR0 1928000.00000000 PA USD 1919953.49000000 0.075962966978 Long DBT CORP US N 2 2029-02-01 Fixed 5.37500000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XBB4 1858000.00000000 PA USD 1747805.01000000 0.069151911726 Long DBT CORP US N 2 2064-04-18 Fixed 5.90000000 N N N N N N ALLIED UNIVERSAL N/A 019576AB3 127000.00000000 PA USD 127404.62000000 0.005040764264 Long DBT CORP US N 2 2027-07-15 Fixed 9.75000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJEP9 83349.27000000 PA USD 79778.55000000 0.003156438627 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AX4 2167000.00000000 PA USD 2127148.11000000 0.084160622890 Long DBT CORP US N 2 2030-05-15 Fixed 4.50000000 N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -588350000.00000000 NC USD -90547.07000000 -0.00358249516 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Goldman Sachs Group, Inc. Goldman Sachs Group, Inc. 1.00000000 0.80100000 USD 2025-08-19 XXXX -9060.59000000 N N N Mexico Government International Bonds 254900EGTWEU67VP6075 000000000 299000.00000000 PA USD 305428.50000000 0.012084279739 Long DBT NUSS MX N 2 2055-05-13 Fixed 7.37500000 N N N N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 059165EL0 192000.00000000 PA USD 128062.30000000 0.005066785376 Long DBT CORP US N 2 2049-09-15 Fixed 3.20000000 N N N N N N JP Morgan Mortgage Trust N/A 46654CAM7 1117000.00000000 PA USD 48006.98000000 0.001899396342 Long ABS-MBS CORP US N 2 2052-02-25 Variable 0.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XTDQ5 99047.14000000 PA USD 97408.75000000 0.003853977556 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SR0 9628000.00000000 PA USD 6092342.68000000 0.241043560812 Long DBT UST US N 2 2040-05-15 Fixed 1.12500000 N N N N N N THAMES WATER UTIL FIN 213800ESMPQ4RQ7G8351 000000000 400000.00000000 PA 403910.11000000 0.015980705005 Long DBT CORP GB Y 2 2025-06-19 Fixed 4.00000000 N N N N N N BANCOLOMBIA SA 54930052NWJRPNMP1W58 05968LAN2 200000.00000000 PA USD 211393.75000000 0.008363794505 Long DBT CORP CO N 2 2034-12-24 Fixed 8.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM2S3 952841.53000000 PA USD 768900.64000000 0.030421556683 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXR0 2749000.00000000 PA USD 2327776.37000000 0.092098480743 Long DBT CORP US N 2 2032-01-27 Fixed 1.99200000 N N N N N N WEEKLEY HOMES LLC/ FINAN N/A 948565AD8 177000.00000000 PA USD 167363.34000000 0.006621731170 Long DBT CORP US N 2 2028-09-15 Fixed 4.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5EJ4 29881.32000000 PA USD 28588.86000000 0.001131118352 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 2.50000000 N N N N N N Park Blue CLO Ltd 213800RLFYTJFPXOL592 70019KAA5 500000.00000000 PA USD 499025.00000000 0.019743925982 Long ABS-CBDO CORP KY N 2 2038-01-25 Floating 5.64100000 N N N N N N Credit Suisse Mortgage Trust N/A 12661NAB0 560000.00000000 PA USD 539185.86000000 0.021332890557 Long ABS-MBS CORP US N 2 2067-03-25 Variable 4.26500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFQ3 3287000.00000000 PA USD 3388756.74000000 0.134076173032 Long DBT CORP US N 2 2030-04-18 Fixed 5.65600000 N N N N N N AGL CLO Ltd. N/A 00121BAA7 250000.00000000 PA USD 250431.25000000 0.009908313338 Long ABS-CBDO CORP KY N 2 2037-07-21 Floating 5.67300000 N N N N N N OZLM Ltd 549300SDDOLWC85Q9Q65 67111VAC0 77565.24000000 PA USD 77588.82000000 0.003069801952 Long ABS-CBDO CORP KY N 2 2031-01-17 Floating 5.63400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HHWM3 84319.33000000 PA USD 79951.11000000 0.003163265964 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FEH5 20878.74000000 PA USD 20560.73000000 0.000813485358 Long ABS-MBS USGA US N 2 2040-02-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BAA4 61118.77000000 PA USD 58823.47000000 0.002327350809 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.00000000 N N N N N N META PLATFORMS INC BQ4BKCS1HXDV9HN80Z93 30303M8K1 1298000.00000000 PA USD 1112490.01000000 0.044015671386 Long DBT CORP US N 2 2062-08-15 Fixed 4.65000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 6817.88000000 0.000269749447 N/A DFE IN N 2 Citibank NA E57ODZWZ7FF32TWEFA76 324000.00000000 USD 28306260.00000000 INR 2025-04-16 6817.88000000 N N N OCP CLO Ltd 2549003HLFPQ7ATPYA23 67113LAW6 250000.00000000 PA USD 250066.00000000 0.009893862220 Long ABS-CBDO CORP KY N 2 2037-07-20 Floating 5.69300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XCY30 487874.77000000 PA USD 478404.15000000 0.018928061975 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQQ58 1322628.78000000 PA USD 1357348.34000000 0.053703492124 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 6.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 736505.00000000 NC USD 18962.37000000 0.000750246239 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Purchased Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 736505.00000000 OU Notional Amount N/A 18962.37000000 0.00000000 DIR US N/A N/A 2037-01-13 0.00000000 N/A 0.00000000 N/A 736505.00000000 USD 1.00000000 4.35000000 USD 2027-01-13 XXXX -12781.00000000 N N N Dryden Senior Loan Fund 549300ENU7ZZLTPT3E22 26250UAQ8 89426.50000000 PA USD 89407.01000000 0.003537388683 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 5.46400000 N N N N N N Countrywide Home Loans N/A 12544RBY3 2823521.19000000 PA USD 1238662.37000000 0.049007681279 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6.00000000 N N N N N N Deutsche Alt-A Securities INC Mortgage Loan Trust N/A 25151XAF8 254226.85000000 PA USD 228509.31000000 0.009040971700 Long ABS-MBS CORP US N 2 2047-08-25 Floating 4.77500000 N N N N N N Nelnet Student Loan Trust N/A 64035GAC3 2102119.00000000 PA USD 1806452.18000000 0.071472287225 Long ABS-O CORP US N 2 2062-04-20 Fixed 2.53000000 N N N N N N Thunder Logistics N/A 000000000 117257.57000000 PA 127249.30000000 0.005034619028 Long ABS-MBS CORP IE Y 2 2036-11-17 Floating 5.85600000 N N N N N N BNP Paribas Securities Services 549300WCGB70D06XZS54 000000000 622000.00000000 OU Notional Amount 7900.66000000 0.000312589642 N/A DFE US N 2 BNP Paribas Securities Services 549300WCGB70D06XZS54 Call Purchased BNP Paribas Securities Services 549300WCGB70D06XZS54 BNP Paribas Securities Services 549300WCGB70D06XZS54 N/A 1.00000000 NC USD 7900.66000000 0.00000000 DFE XX 665540.00000000 USD 622000.00000000 EUR 2025-04-03 1.00000000 1.07000000 EUR 2025-04-03 XXXX 4079.60000000 N N N Palladyne AI Corp N/A 80359A114 102425.00000000 NS USD 28679.00000000 0.001134684741 N/A DE US N 1 N/A N/A Call Purchased Sarcos Technology and Robotics Corp Sarcos Technology and Robotics Corp 1.00000000 11.50000000 USD 2026-09-24 XXXX -79731.53000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179V4U1 9217060.70000000 PA USD 7541791.53000000 0.298391009957 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KXQ6 80616.85000000 PA USD 81692.82000000 0.003232176727 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417C3C7 16118.89000000 PA USD 15803.21000000 0.000625254062 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.50000000 N N N N N N UMBS, TBA N/A 01F022642 -3241000.00000000 PA USD -2694683.46000000 -0.10661516112 Short ABS-MBS USGSE US N 2 2055-04-01 Fixed 2.50000000 N N N N N N Euro Galaxy CLO DAC 635400H1W7SGWXGQOB43 000000000 290000.00000000 PA 311937.53000000 0.012341809535 Long ABS-CBDO CORP IE N 2 2034-04-24 Floating 5.92100000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DJ3 825000.00000000 PA USD 683938.45000000 0.027060027320 Long DBT CORP US N 2 2045-09-15 Fixed 4.37500000 N N N N N N Sixth Street CLO LTD. N/A 83012QAC8 250000.00000000 PA USD 249548.75000000 0.009873397222 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 6.20500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRXY4 388335.00000000 PA USD 398528.83000000 0.015767794642 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 6.00000000 N N N N N N PIEDMONT NATURAL GAS CO VXB4M3BDPKF3I2AZ3G89 720186AN5 558000.00000000 PA USD 487612.50000000 0.019292390377 Long DBT CORP US N 2 2031-03-15 Fixed 2.50000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46644RBB0 289511.71000000 PA USD 2.90000000 0.000000114738 Long ABS-MBS CORP US N 2 2048-05-15 Variable 0.52300000 N N N N N N Noria 9695003DRUTU793B4N34 000000000 100000.00000000 PA 107702.53000000 0.004261251000 Long ABS-O CORP FR Y 2 2043-02-25 Floating 4.02400000 N N N N N N Nelnet Student Loan Trust N/A 64035DAG1 374000.00000000 PA USD 335942.36000000 0.013291560723 Long ABS-O CORP US N 2 2062-04-20 Fixed 4.93000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -137781000.00000000 NC USD -4301.52000000 -0.00017018965 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Call Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 137781000.00000000 OU Notional Amount N/A -4301.52000000 0.00000000 DIR US N/A N/A 2026-05-20 0.00000000 N/A 0.00000000 N/A 137781000.00000000 USD 1.00000000 2.94000000 USD 2025-05-16 XXXX 62854.16000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BMP0 539572.24000000 PA USD 549357.78000000 0.021735342610 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N TRANSOCEAN TITAN FIN LTD N/A 89386MAA6 99523.81000000 PA USD 101668.55000000 0.004022516559 Long DBT CORP KY N 2 2028-02-01 Fixed 8.37500000 N N N N N N Flowco Holdings Inc N/A 342909108 20548.00000000 NS USD 527056.20000000 0.020852980514 Long EC CORP US N 1 N N N EXPAND ENERGY CORP X2MT1W32SPAZ9WSKLE78 165167DG9 368000.00000000 PA USD 367349.23000000 0.014534173652 Long DBT CORP US N 2 2029-02-01 Fixed 5.87500000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -93.01000000 -0.00000367994 N/A DFE JP N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 51100.00000000 USD 7631726.00000000 JPY 2025-04-24 -93.01000000 N N N AT&T INC 549300Z40J86GGSTL398 00206RKJ0 1205000.00000000 PA USD 821677.62000000 0.032509678093 Long DBT CORP US N 2 2053-09-15 Fixed 3.50000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 100000.00000000 PA 105909.19000000 0.004190297496 Long DBT CORP MX Y 2 2026-04-16 Fixed 3.75000000 N N N N N N Snowflake Inc 254900CJNSY1K7T53Z16 833445109 848.00000000 NS USD 123943.68000000 0.004903832160 Long EC CORP US N 1 N N N OCP CLO Ltd 2549004IE8HHQL34D058 671025AE4 250000.00000000 PA USD 247843.25000000 0.009805919108 Long ABS-CBDO CORP KY N 2 2037-01-17 Floating 9.13200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132J72F8 841190.14000000 PA USD 757535.58000000 0.029971898042 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N RESORT CMNTYS LOANCO LP N/A 76125UAA1 4335291.00000000 PA USD 4346129.23000000 0.171954619162 Long DBT CORP CA N 3 2028-11-21 Fixed 12.00000000 N N N N N N Meta Platforms Inc BQ4BKCS1HXDV9HN80Z93 30303M102 209.00000000 NS USD 120459.24000000 0.004765970278 Long EC CORP US N 1 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -1664.31000000 -0.00006584843 N/A DFE MX N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 127000.00000000 USD 2572664.40000000 MXN 2025-04-24 -1664.31000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFAD3 803876.09000000 PA USD 707674.11000000 0.027999128796 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 1.50000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MBF9 1694000.00000000 PA USD 1663876.11000000 0.065831264485 Long DBT CORP US N 2 2030-01-15 Fixed 4.50000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HDJ1 126000.00000000 PA USD 125709.57000000 0.004973699604 Long DBT CORP US N 2 2036-01-30 Fixed 6.18300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QB7 898000.00000000 PA USD 884600.15000000 0.034999208227 Long DBT UST US N 2 2039-05-15 Fixed 4.25000000 N N N N N N WELLS FARGO COMMERCIAL MORTGAG 54930012YCNUERXJ1I74 95004AAC7 5050000.00000000 PA USD 45288.40000000 0.001791835714 Long ABS-MBS CORP US N 2 2043-07-15 Variable 0.09100000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DU1 1331000.00000000 PA USD 1297070.25000000 0.051318589269 Long DBT CORP US N 2 2063-03-02 Fixed 5.75000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1812.14000000 -0.00007169732 N/A DFE MY N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 457000.00000000 USD 2018294.80000000 MYR 2025-04-24 -1812.14000000 N N N GoldenTree Loan Management US CLO, LTD 549300TMEEKUOKVHYV65 38138KAL4 910000.00000000 PA USD 908457.55000000 0.035943126347 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.37300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RX8 6579700.00000000 PA USD 5055060.14000000 0.200003473255 Long DBT UST US N 2 2047-05-15 Fixed 3.00000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XDB8 2974000.00000000 PA USD 2970213.77000000 0.117516518866 Long DBT CORP US N 2 2055-08-03 Fixed 6.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCV1 5030000.00000000 PA USD 4587124.19000000 0.181489585652 Long DBT UST US N 2 2028-08-31 Fixed 1.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417F4H8 335261.99000000 PA USD 301530.03000000 0.011930036759 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H022648 5746000.00000000 PA USD 4900430.48000000 0.193885550182 Long ABS-MBS USGA US N 2 2055-04-20 Fixed 2.50000000 N N N N N N CHENIERE ENERGY PARTNERS 5493005UEC8AZ34LDV29 16411QAS0 1704000.00000000 PA USD 1728122.97000000 0.068373191740 Long DBT CORP US N 2 2034-08-15 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402CTT9 59573.94000000 PA USD 61681.00000000 0.002440408994 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6.00000000 N N N N N N INSIGHT M INC SERIES D N/A 000000000 481839.00000000 NS USD 103691.75000000 0.004102564474 Long EP CORP US Y 3 N N N LCM Ltd Partnership N/A 50201MAQ6 174402.99000000 PA USD 174514.08000000 0.006904650224 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 5.63400000 N N N N N N Countrywide Asset-Backed Certificates N/A 12668HAF7 883444.64000000 PA USD 774598.16000000 0.030646979083 Long ABS-O CORP US N 2 2037-06-25 Floating 4.81000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416TL49 49939.89000000 PA USD 49329.50000000 0.001951721851 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.50000000 N N N N N N Chase Mortgage Finance Corporation N/A 161636AA3 6202262.49000000 PA USD 2511598.75000000 0.099371413892 Long ABS-MBS CORP US N 2 2037-12-25 Fixed 6.00000000 N N N N N N Voya CLO Ltd N/A 92917RAL3 1172149.82000000 PA USD 1170718.63000000 0.046319486953 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 5.49300000 N N N N N N Lendmark Funding Trust N/A 52590AAD6 100000.00000000 PA USD 100049.38000000 0.003958454092 Long ABS-O CORP US N 2 2034-02-21 Fixed 5.69000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 66922500.00000000 OU Notional Amount 3325.61000000 0.000131577772 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-03-19 741.39000000 INR 0.00000000 INR 66922500.00000000 INR 3317.04000000 N N N Sixth Street CLO LTD. 549300T5OQR4UD880D68 83012CAC9 300000.00000000 PA USD 300525.00000000 0.011890272743 Long ABS-CBDO CORP KY N 2 2037-07-21 Floating 5.67300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179DEK2 300612.57000000 PA USD 283080.21000000 0.011200069562 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 3.50000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 000000000 130000.00000000 PA 129184.56000000 0.005111187597 Long DBT CORP MX Y 2 2029-02-26 Fixed 4.75000000 N N N N N N AEP Transmission Co LLC 549300X123Z1I0LA3Y84 00115AAJ8 169000.00000000 PA USD 138165.46000000 0.005466516939 Long DBT CORP US N 2 2048-09-15 Fixed 4.25000000 N N N N N N CFCRE Commercial Mortgage Trust N/A 12531YAS7 2370000.00000000 PA USD 16842.64000000 0.000666379114 Long ABS-MBS CORP US N 2 2058-05-10 Variable 0.70000000 N N N N N N Morgan Stanley Bank AG 7CPI4ZQUQVBDH8SA1F44 000000000 -32895000.00000000 OU Notional Amount -106.71000000 -0.00000422198 N/A DFE US N 2 Morgan Stanley Bank AG 7CPI4ZQUQVBDH8SA1F44 Put Written Morgan Stanley Bank AG 7CPI4ZQUQVBDH8SA1F44 Morgan Stanley Bank AG 7CPI4ZQUQVBDH8SA1F44 N/A 1.00000000 NC USD -106.71000000 0.00000000 DFE US -32895000.00000000 EUR -33223950.00000000 USD 2025-04-16 1.00000000 1.01000000 EUR 2025-04-16 XXXX 144019.43000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XQF30 153517.22000000 PA USD 149129.30000000 0.005900301309 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.00000000 N N N N N N Olympic Tower Mortgage Trust N/A 68162MAN2 1049000.00000000 PA USD 799468.60000000 0.031630978134 Long ABS-MBS CORP US N 2 2039-05-10 Variable 3.94500000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -396000.00000000 OU Notional Amount USD -4752.00000000 -0.00018801289 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 1.00000000 NC USD -4752.00000000 0.00000000 DFE CL -396000.00000000 USD -368280000.00000000 CLP 2025-05-29 1.00000000 930.00000000 USD 2025-05-29 XXXX 63.36000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KNDA8 1835182.05000000 PA USD 1557100.18000000 0.061606674417 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 3622.29000000 0.000143315917 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 4470512533.00000000 IDR 273476.02000000 USD 2025-04-08 3622.29000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138E2GK5 40955.00000000 PA USD 41305.75000000 0.001634262152 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJC71 186742.24000000 PA USD 178632.35000000 0.007067589592 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133L8GG4 1481172.77000000 PA USD 1353979.65000000 0.053570209892 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DTP7 2132140.94000000 PA USD 1614594.09000000 0.063881421180 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 1.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCF6 10986000.00000000 PA USD 10579174.69000000 0.418565085989 Long DBT UST US N 2 2026-05-31 Fixed 0.75000000 N N N N N N Diameter Capital CLO 25490018I1ROE4V49X69 25255DAL4 250000.00000000 PA USD 249477.00000000 0.009870558433 Long ABS-CBDO CORP KY N 2 2037-10-15 Floating 5.69200000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 27733.79000000 0.001097287504 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 368620000.00000000 JPY 2506563.90000000 USD 2025-06-18 27733.79000000 N N N Countrywide Alternative Loan Trust N/A 12667GJJ3 68573.17000000 PA USD 55019.90000000 0.002176862548 Long ABS-MBS CORP US N 2 2025-06-25 Fixed 5.50000000 N N N N N N Regatta 31 Funding Ltd. N/A 758962AA2 270000.00000000 PA USD 268438.32000000 0.010620763130 Long ABS-CBDO CORP KY N 2 2038-03-25 Floating 5.40100000 N N N N N N TTAN N/A 87303TAQ0 507569.36000000 PA USD 505983.21000000 0.020019227587 Long ABS-MBS CORP US N 2 2038-03-15 Floating 7.33400000 N N N N N N Golub Capital Partners CLO, LTD 2549005QZPXI5WPU4V74 38178AAA1 390000.00000000 PA USD 390248.43000000 0.015440180585 Long ABS-CBDO CORP KY N 2 2034-01-20 Floating 5.87500000 N N N N N N UMBS, TBA N/A 01F040644 2887000.00000000 PA USD 2689853.29000000 0.106424055431 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5YR4 272076.30000000 PA USD 256912.31000000 0.010164736501 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H3H82 72883.16000000 PA USD 71376.90000000 0.002824027314 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMKH7 662629.95000000 PA USD 624221.82000000 0.024697338631 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4.00000000 N N N N N N Port Authority of New York & New Jersey 54930006MR4KZ4W74Z83 73358WRP1 1350000.00000000 PA USD 1285966.67000000 0.050879276085 Long DBT MUN US N 2 2046-08-01 Fixed 4.96000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XQR0 1631064.11000000 PA USD 1391879.98000000 0.055069736589 Long ABS-MBS USGA US N 2 2053-01-20 Fixed 2.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGZ1 1285000.00000000 PA USD 1288241.90000000 0.050969295568 Long DBT CORP US N 2 2035-04-02 Fixed 5.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179MG87 109938.97000000 PA USD 111022.45000000 0.004392603647 Long ABS-MBS USGA US N 2 2042-07-20 Fixed 5.00000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 7737500.00000000 OU Notional Amount -490.64000000 -0.00001941217 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2035-03-19 132.95000000 INR 0.00000000 INR 7737500.00000000 INR -492.17000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WHU9 55823.47000000 PA USD 55077.62000000 0.002179146240 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 4.50000000 N N N N N N Cedar Funding Ltd 254900Q56WTD2BRLBE32 15032TBE5 535000.00000000 PA USD 533701.02000000 0.021115882842 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.63500000 N N N N N N TURKISH AIRLN 15-1 A PTT N/A 10010YAA0 370705.75000000 PA USD 358763.83000000 0.014194492269 Long DBT CORP TR N 2 2027-03-15 Fixed 4.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNAY9 5697582.51000000 PA USD 4797969.16000000 0.189831667675 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSA76 1217370.15000000 PA USD 1249325.54000000 0.049429569640 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EJCD8 10327.32000000 PA USD 10303.74000000 0.000407667511 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 4.50000000 N N N N N N BENCHMARK Mortgage Trust N/A 08160JAG2 3343143.94000000 PA USD 107154.78000000 0.004239579269 Long ABS-MBS CORP US N 2 2052-03-15 Variable 1.01200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVMD4 14325814.68000000 PA USD 12573769.84000000 0.497481250523 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 3.00000000 N N N N N N Residential Asset Securitization Trust N/A 76114BAB4 3552233.72000000 PA USD 2490436.25000000 0.098534119501 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 6.25000000 N N N N N N Mortgage Loan Resecuritization Trust N/A 61914WAA4 540349.20000000 PA USD 527417.83000000 0.020867288407 Long ABS-MBS CORP US N 2 2036-04-16 Floating 5.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCE9 14508000.00000000 PA USD 13375129.18000000 0.529187035793 Long DBT UST US N 2 2028-05-31 Fixed 1.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFG26 214404.14000000 PA USD 206329.31000000 0.008163419918 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 2.50000000 N N N N N N Progress Residential Trust N/A 74333DAN4 967000.00000000 PA USD 962022.95000000 0.038062441597 Long ABS-O CORP US N 2 2038-04-19 Fixed 3.39500000 N N N N N N Flatiron CLO Ltd 25490077CXFU133A8B24 33883MAL8 250000.00000000 PA USD 250000.00000000 0.009891250930 Long ABS-CBDO CORP KY N 2 2036-05-20 Floating 6.24200000 N N N N N N BX Trust N/A 05609BBK4 672188.30000000 PA USD 655383.59000000 0.025930254177 Long ABS-MBS CORP US N 2 2036-02-15 Floating 6.83400000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CC6 2516000.00000000 PA USD 1670682.90000000 0.066100575157 Long DBT CORP US N 2 2061-12-01 Fixed 4.40000000 N N N N N N Option One Mortgage Loan Trust N/A 68402YAD8 930000.00000000 PA USD 795905.16000000 0.031489990618 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.64500000 N N N N N N CHENIERE ENERGY INC MIHC87W9WTYSYZWV1J40 16411RAN9 4816000.00000000 PA USD 4871792.78000000 0.192752499475 Long DBT CORP US N 2 2034-04-15 Fixed 5.65000000 N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1000000.00000000 OU Notional Amount -21594.55000000 -0.00085438845 N/A DCR DE N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 UBS Group AG UBS Group AG Y buy protection 2028-06-20 21186.89000000 EUR 0.00000000 EUR 1000000.00000000 EUR -44701.43000000 N N N Countrywide Alternative Loan Trust N/A 12668BSQ7 1254834.56000000 PA USD 480435.25000000 0.019008422454 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6.00000000 N N N N N N Boeing Co/The RVHJWBXLJ1RFUBSY1F30 097023105 845.00000000 NS USD 144114.75000000 0.005701900620 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNE40 572520.48000000 PA USD 486200.11000000 0.019236509161 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3129414T1 78241.84000000 PA USD 75352.71000000 0.002981330251 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.00000000 N N N N N N 522 Funding CLO LTD 6354003JXBM4LA5YCP98 04623TAA3 112381.52000000 PA USD 112417.71000000 0.004447807114 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 5.59500000 N N N N N N Nelnet Student Loan Trust N/A 64034YAE1 100000.00000000 PA USD 85849.55000000 0.003396637765 Long ABS-O CORP US N 2 2062-04-20 Fixed 4.38000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 114000.00000000 PA 132108.47000000 0.005226872107 Long DBT NUSS RO Y 2 2029-09-27 Fixed 6.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BCH7 285917.89000000 PA USD 279179.09000000 0.011045721735 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.50000000 N N N N N N Autodesk Inc FRKKVKAIQEF3FCSTPG55 052769106 503.00000000 NS USD 131685.40000000 0.005210133341 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417MBY8 78210.27000000 PA USD 79665.56000000 0.003151968177 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1320.00000000 0.000052225804 N/A DFE TR N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 84612.71000000 USD 3340691.09000000 TRY 2025-04-21 1320.00000000 N N N Bear Stearns Asset Backed Securities Trust N/A 07388CAF7 389946.02000000 PA USD 379531.93000000 0.015016182223 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.91500000 N N N N N N Philippines Government International Bonds 529900RAHBALMYIJ3T08 718286CP0 2044000.00000000 PA USD 1429852.69000000 0.056572127002 Long DBT NUSS PH N 2 2046-07-06 Fixed 3.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJC97 87886.49000000 PA USD 84161.20000000 0.003329838191 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.50000000 N N N N N N FIVE POINT OP CO LP/FIVE N/A 33834YAB4 394604.00000000 PA USD 401933.93000000 0.015902517436 Long DBT CORP US N 2 2028-01-15 Variable 10.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H040640 -87000.00000000 PA USD -81436.01000000 -0.00322201603 Short ABS-MBS USGA US N 2 2055-04-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X54U8 221841.25000000 PA USD 216218.16000000 0.008554672305 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 792000.00000000 OU Notional Amount 35420.99000000 0.001401431601 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2054-06-19 27.58000000 EUR 0.00000000 EUR 792000.00000000 EUR 35391.43000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XMEK8 1627825.87000000 PA USD 1696254.25000000 0.067112305715 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 6.50000000 N N N N N N GE Vernova Inc 254900DP080RU6OK2553 36828A101 810.00000000 NS USD 247276.80000000 0.009783507512 Long EC CORP US N 1 N N N EXTRA SPACE STORAGE LP 549300YNKSKNZFR8UC42 30225VAU1 1376000.00000000 PA USD 1368041.77000000 0.054126577722 Long DBT US N 2 2035-06-15 Fixed 5.40000000 N N N N N N Sycamore Tree CLO Ltd N/A 87122YAE5 320000.00000000 PA USD 320081.92000000 0.012664042356 Long ABS-CBDO CORP KY N 2 2036-04-20 Floating 6.54300000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAY9 880000.00000000 PA USD 859571.24000000 0.034008939310 Long DBT CORP US N 2 2056-03-04 Fixed 5.61200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WTY4 2160305.51000000 PA USD 1843511.83000000 0.072938552416 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 2.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 44.08000000 0.000001744025 N/A DFE XX N 2 UBS AG BFM8T61CT2L1QCEMIK50 30037.45000000 USD 27799.04000000 EUR 2025-04-16 44.08000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617ALXR6 48560.16000000 PA USD 47517.45000000 0.001880028086 Long ABS-MBS USGA US N 2 2047-05-15 Fixed 4.50000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17312TAK9 692224.00000000 PA USD 449404.35000000 0.017780684780 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.70500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHFF4 23373.58000000 PA USD 20756.79000000 0.000821242473 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.00000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BT2 319000.00000000 PA USD 192973.49000000 0.007634996850 Long DBT CORP US N 2 2050-06-03 Fixed 2.50000000 N N N N N N LSTAR Commercial Mortgage Trust N/A 54910TBA9 590843.15000000 PA USD 6776.79000000 0.000268123721 Long ABS-MBS CORP US N 2 2050-03-10 Variable 0.84200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERA91 26602.55000000 PA USD 23845.83000000 0.000943460352 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM7D1 2811181.76000000 PA USD 2273817.93000000 0.089963614864 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N BX Trust N/A 12434AAC2 1466416.85000000 PA USD 1450048.27000000 0.057371165200 Long ABS-MBS CORP US N 2 2033-02-15 Floating 6.58300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WDR6 5328684.58000000 PA USD 4549184.19000000 0.179988489410 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 2.50000000 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AN7 1523000.00000000 PA USD 1537908.51000000 0.060847355922 Long DBT CORP US N 2 2027-06-15 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CLH5 409819.68000000 PA USD 388572.21000000 0.015373860935 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138Y4UY3 35658.48000000 PA USD 34661.05000000 0.001371364572 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N UMBS, TBA N/A 01F052649 -1568000.00000000 PA USD -1565915.66000000 -0.06195545891 Short ABS-MBS USGSE US N 2 2055-04-01 Fixed 5.50000000 N N N N N N BAIN CAPITAL SPECIALTY F 549300V2JL72R0EYBK64 05684BAD9 395000.00000000 PA USD 388213.04000000 0.015359650372 Long DBT CORP US N 2 2030-03-15 Fixed 5.95000000 N N N N N N PETROLEOS DE VENEZUELA S 549300YWR8TN1OFD4P06 000000000 113900.00000000 PA USD 17085.00000000 0.000675968088 Long DBT CORP VE Y 2 2035-05-17 None 0.00000000 Y N N N N N PCL Funding 213800OC928ETRJNHM43 000000000 100000.00000000 PA 129457.18000000 0.005121973808 Long ABS-O CORP GB Y 2 2029-07-16 Floating 5.76300000 N N N N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93934FHC9 1646470.53000000 PA USD 1442908.32000000 0.057088673051 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.95500000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 2236000.00000000 OU Notional Amount -1950.59000000 -0.00007717510 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 2236000.00000000 BRL -1950.59000000 N N N VIPER ENERGY INC 5299009LINL232255G03 92763MAB1 1143000.00000000 PA USD 1194637.31000000 0.047265829617 Long DBT CORP US N 2 2031-11-01 Fixed 7.37500000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGR4 5061000.00000000 PA USD 4952634.53000000 0.195951003614 Long DBT CORP US N 2 2028-07-21 Fixed 3.59300000 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020AT4 238000.00000000 PA USD 215018.39000000 0.008507203400 Long DBT CORP US N 2 2026-12-15 Fixed 5.00000000 N N N N N N ZIONS BANCORP NA 8WH0EE09O9V05QJZ3V89 98971DAC4 1278000.00000000 PA USD 1303859.81000000 0.051587218236 Long DBT CORP US N 2 2035-11-19 Fixed 6.81600000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 3618.89000000 0.000143181396 N/A DFE BR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 874000.00000000 USD 5038697.40000000 BRL 2025-05-05 3618.89000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DV6T7 2051556.32000000 PA USD 1553565.05000000 0.061466806986 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 1.50000000 N N N N N N Origen Manufactured Housing 5493005G5GFEQWMCSY59 68620KAA0 67396.45000000 PA USD 66848.28000000 0.002644852447 Long ABS-O CORP US N 2 2037-10-15 Floating 6.16000000 N N N N N N CALIFORNIA RESOURCES CRP 5493003Q8F0T4F4YMR48 13057QAK3 179000.00000000 PA USD 181912.33000000 0.007197362013 Long DBT CORP US N 2 2029-06-15 Fixed 8.25000000 N N N N N N COMM Mortgage Trust N/A 20047DAA2 1220000.00000000 PA USD 1216176.64000000 0.048118033288 Long ABS-MBS CORP US N 2 2041-06-15 Floating 6.16000000 N N N N N N FREEWIRE EQUITY N/A 000000000 25.00000000 NS USD 0.00000000 0.000000 Long EC CORP US Y 3 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3142GTNA0 3295947.08000000 PA USD 3313857.85000000 0.131112798170 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177U6C3 20773.48000000 PA USD 19927.96000000 0.000788449811 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQA51 210112.67000000 PA USD 204478.26000000 0.008090183118 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.00000000 N N N N N N Saxon Asset Securities Trust N/A 805564QE4 164114.01000000 PA USD 123122.04000000 0.004871323970 Long ABS-O CORP US N 2 2035-08-25 Variable 3.65400000 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587EA1 2204000.00000000 PA USD 2133096.55000000 0.084395972940 Long DBT CORP US N 2 2035-03-15 Fixed 4.85000000 N N N N N N Invesco Euro CLO 5493004UWK07M4U35L23 000000000 100000.00000000 PA 108151.05000000 0.004278996695 Long ABS-CBDO CORP IE Y 2 2034-01-15 Floating 6.58500000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBG9 168000.00000000 PA USD 130923.11000000 0.005179973334 Long DBT CORP US N 2 2055-05-15 Fixed 4.37500000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 634000.00000000 NC USD 23935.21000000 0.000946996672 N/A DIR US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 Put Purchased BNP Paribas SA R0MUWSFPU8MPRO8K5P83 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 N/A 634000.00000000 OU Notional Amount N/A 23935.21000000 0.00000000 DIR US N/A N/A 2037-03-31 0.00000000 N/A 0.00000000 N/A 634000.00000000 USD 1.00000000 4.00000000 USD 2027-03-29 XXXX -2565.99000000 N N N Boyd Gaming Corp 254900787YGRYS2A1Z35 103304101 3810.00000000 NS USD 250812.30000000 0.009923389583 Long EC CORP US N 1 N N N LANDSEA HOMES CORP 4A2 549300RP8AZAKHNILS36 000000000 3104000.00000000 PA USD 3247715.20000000 0.128495863977 Long ABS-O CORP US N 3 2028-07-17 Fixed 11.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L6U44 908920.31000000 PA USD 733593.66000000 0.029024635888 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402TTQ8 256400.66000000 PA USD 250822.53000000 0.009923794333 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RJE0 25257.79000000 PA USD 23401.97000000 0.000925899030 Long ABS-MBS USGA US N 2 2045-07-20 Fixed 3.50000000 N N N N N N Washington Mutual Bank N/A 939MMIBD5 250000.00000000 PA USD 0.03000000 0.000000001186 Long DBT CORP US N 3 2049-09-19 None 0.00000000 Y N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36183AF47 73514.10000000 PA USD 70032.83000000 0.002770849179 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 4.00000000 N N N N N N MINERAL RESOURCES LTD 5299007V1ACKFFX2P066 603051AE3 125000.00000000 PA USD 124986.65000000 0.004945097272 Long DBT CORP AU N 2 2028-10-01 Fixed 9.25000000 N N N N N UMBS, TBA N/A 01F042640 20469000.00000000 PA USD 19577931.62000000 0.774600937421 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 4.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -3939.63000000 -0.00015587147 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 190484.96000000 USD 7397197.59000000 TRY 2025-05-07 -3939.63000000 N N N Vasco Finance N/A 000000000 100000.00000000 PA 109253.33000000 0.004322608408 Long ABS-O CORP PT Y 2 2042-10-27 Floating 6.56500000 N N N N N N Chase Funding Mortgage Loan Asset-Backed CTFS N/A 161551FS0 2122.31000000 PA USD 2112.47000000 0.000083579883 Long ABS-O CORP US N 2 2032-04-25 Variable 6.33300000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5991500.00000000 OU Notional Amount USD 53068.27000000 0.002099646300 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-04-15 1011.97000000 USD 0.00000000 USD 5991500.00000000 USD 52056.30000000 N N N Ajax Mortgage Loan Trust N/A 009723AA5 2599484.76000000 PA USD 2589928.27000000 0.102470521643 Long ABS-MBS CORP US N 2 2060-03-25 Variable 5.00000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -6043.79000000 -0.00023912257 N/A DFE CL N 2 Citibank NA E57ODZWZ7FF32TWEFA76 336638.00000000 USD 313935133.00000000 CLP 2025-04-24 -6043.79000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810TJ7 14868800.00000000 PA USD 11072028.72000000 0.438064857520 Long DBT UST US N 2 2052-08-15 Fixed 3.00000000 N N N N N N Allied Universal Holdco LLC 98450038B4549046D794 01957TAH0 597334.85000000 PA USD 597334.85000000 0.023633555563 Long LON CORP US N 2 2028-05-12 Floating 8.17500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KKX33 427551.74000000 PA USD 343136.27000000 0.013576187799 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N BX Trust N/A 05612TAA3 2434000.00000000 PA USD 2421830.00000000 0.095819712964 Long ABS-MBS CORP US N 2 2029-07-15 Floating 5.81100000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBS4 3429000.00000000 PA USD 2993081.93000000 0.118421297701 Long DBT US N 2 2031-05-15 Fixed 2.50000000 N N N N N N OCP CLO Ltd 254900XAI48J82ID5O83 67570QAK7 222902.58000000 PA USD 223221.11000000 0.008831744048 Long ABS-CBDO CORP KY N 2 2033-04-10 Floating 5.55100000 N N N N N N BX Trust N/A 05611VAG6 3314552.11000000 PA USD 3306265.73000000 0.130812415914 Long ABS-MBS CORP US N 2 2039-02-15 Floating 7.45900000 N N N N N N UNION PACIFIC RR 2014-1 N/A 907825AA1 546450.36000000 PA USD 538913.44000000 0.021322112259 Long DBT CORP US N 2 2026-05-14 Fixed 3.22700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179W5B0 4446038.04000000 PA USD 3794057.68000000 0.150111906232 Long ABS-MBS USGA US N 2 2052-05-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8GB3 1152120.24000000 PA USD 1109491.53000000 0.043897036514 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 2.50000000 N N N N N N Anchorage Capital CLO LTD 54930014PVHLSZJQK139 03328TBS3 830000.00000000 PA USD 829558.44000000 0.032821482766 Long ABS-CBDO CORP KY N 2 2037-04-28 Floating 5.86000000 N N N N N N 510 Loan Acquisition Trust N/A 33831HAA6 607645.75000000 PA USD 606399.59000000 0.023992202035 Long ABS-O CORP US N 2 2060-09-25 Variable 8.10700000 N N N N N N Consumo Santander N/A 000000000 100000.00000000 PA 108112.34000000 0.004277465134 Long ABS-O CORP ES Y 2 2038-07-20 Floating 4.53500000 N N N N N N CIFC Funding Ltd N/A 12560EAL0 1190000.00000000 PA USD 1190470.05000000 0.047100951959 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 5.68500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YED3 4398000.00000000 PA USD 3744698.34000000 0.148159003761 Long DBT CORP US N 2 2032-07-21 Fixed 2.23900000 N N N N N N Nelnet Student Loan Trust N/A 64034UAA7 479612.21000000 PA USD 487589.38000000 0.019291475634 Long ABS-O CORP US N 2 2053-11-25 Floating 6.59000000 N N N N N N AES PANAMA GENERATION HL N/A 000000000 189633.40000000 PA USD 169247.71000000 0.006696286276 Long DBT CORP PA Y 2 2030-05-31 Fixed 4.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GW4M2 38536.80000000 PA USD 37531.90000000 0.001484949763 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.50000000 N N N N N N Chile Government International Bonds 549300FLZTJM5YJF8D34 168863DY1 200000.00000000 PA USD 171418.00000000 0.006782153808 Long DBT NUSS CL N 2 2042-03-07 Fixed 4.34000000 N N N N N N BXP Trust N/A 05607CAN9 500000.00000000 PA USD 423563.50000000 0.016758291454 Long ABS-MBS CORP US N 2 2037-08-13 Variable 3.55200000 N N N N N N Morgan Stanley Mortgage Loan Trust N/A 61749EAE7 268350.00000000 PA USD 59784.52000000 0.002365374756 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.51200000 N N N N N N Natixis Commercial Mortgage Securities N/A 63874NAA8 265000.00000000 PA USD 258658.82000000 0.010233837176 Long ABS-MBS CORP US N 2 2038-06-17 Fixed 4.40400000 N N N N N N IREN Ltd 254900FZF02RB3NNGB71 000000000 19934.00000000 NS USD 121398.06000000 0.004803114695 Long EC CORP AU N 1 N N N Nomura Asset Acceptance Corporation N/A 65538AAB7 48392.89000000 PA USD 59069.41000000 0.002337081426 Long ABS-O CORP US N 2 2036-10-25 Floating 4.83500000 N N N N N N NatWest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC -4479.49000000 -0.00017723103 N/A DFE US N 2 NatWest Markets PLC RR3QWICWWIPCS8A4S074 2436000.00000000 GBP 3141994.21000000 USD 2025-06-18 -4479.49000000 N N N GOL FINANCE SA 5299007RH8MA67ZC6J07 36254VAK4 143140.00000000 PA USD 147434.20000000 0.005833234671 Long DBT CORP LU N 2 2025-04-29 Floating 14.82400000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 07387UCF6 1364429.66000000 PA USD 1390935.62000000 0.055032372982 Long ABS-MBS CORP US N 2 2036-02-25 Variable 6.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KEXZ3 66511.69000000 PA USD 64956.42000000 0.002570000999 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.00000000 N N N N N N SMB Private Education Loan Trust N/A 83206EAB3 545630.76000000 PA USD 545628.14000000 0.021587779390 Long ABS-O CORP US N 2 2052-06-17 Floating 5.44700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A24Y5 381896.63000000 PA USD 347909.02000000 0.013765021671 Long ABS-MBS USGA US N 2 2045-02-15 Fixed 3.00000000 N N N N N N Battalion CLO LTD 549300WH2OE0BGHQQP83 07132ACE1 642000.00000000 PA USD 641754.76000000 0.025391029468 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 6.10500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WLG5 113620.04000000 PA USD 112172.38000000 0.004438100632 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFUY5 305387.91000000 PA USD 250373.83000000 0.009906041515 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBG4 342000.00000000 PA USD 292546.55000000 0.011574605339 Long DBT US N 2 2030-10-15 Fixed 1.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KFAD4 364613.24000000 PA USD 351096.61000000 0.013891138681 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 2.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 -586500.00000000 OU Notional Amount USD -0.59000000 -0.00000002334 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Call Written Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 1.00000000 NC USD -0.59000000 0.00000000 DFE BR -586500.00000000 USD -3606975.00000000 BRL 2025-04-02 1.00000000 6.15000000 USD 2025-04-02 XXXX 5659.14000000 N N N Brignole CO N/A 000000000 73454.46000000 PA 80084.97000000 0.003168562136 Long ABS-O CORP IT Y 2 2042-02-24 Floating 6.37300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HKBM5 19058535.51000000 PA USD 19158021.83000000 0.757987205016 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.74000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJXF5 2889986.63000000 PA USD 2722006.97000000 0.107696215900 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N Cordatus CLO PLC 2138005AFEIY5AMT4165 000000000 250000.00000000 PA 268436.43000000 0.010620688352 Long ABS-CBDO CORP IE Y 2 2034-02-22 Floating 3.83400000 N N N N N N Octagon Investment Partners Ltd N/A 67576FAA7 789021.42000000 PA USD 789229.72000000 0.031225876809 Long ABS-CBDO CORP KY N 2 2031-04-16 Floating 5.52900000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAW3 3462000.00000000 PA USD 3437189.78000000 0.135992426440 Long DBT CORP US N 2 2031-03-06 Fixed 5.45000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668PAD4 3240224.21000000 PA USD 2846376.90000000 0.112616912643 Long ABS-MBS CORP US N 2 2046-12-20 Floating 4.72400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWBB8 3250301.98000000 PA USD 2602484.19000000 0.102967296664 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Apidos CLO Ltd 5493003SQW0Q40KVFQ19 03765XAJ5 250000.00000000 PA USD 250463.25000000 0.009909579418 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.05500000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAL3 1887000.00000000 PA USD 1899372.89000000 0.075148695462 Long DBT CORP US N 2 2029-01-15 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQGA8 1699284.03000000 PA USD 1713345.79000000 0.067788532559 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N Bluemountain CLO Ltd 5493001GLQHON6UV2U40 09630PAA1 100000.00000000 PA USD 100070.90000000 0.003959305530 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 5.82400000 N N N N N N MSWF Commercial Mortgage Trust N/A 55361AAV6 8240722.43000000 PA USD 497856.65000000 0.019697700210 Long ABS-MBS CORP US N 2 2056-12-15 Variable 0.90700000 N N N N N N RBC US GOVT MONEY MKT FUND N/A 74926P696 700000.00000000 NS USD 700000.00000000 0.027695502605 Long STIV RF US N 1 N N Braccan Mortgage Funding 635400RGKRFPCFMYJF13 000000000 524614.73000000 PA 678557.80000000 0.026847141882 Long ABS-MBS CORP GB Y 2 2067-02-15 Floating 8.82000000 N N N N N N Cross Mortgage Trust N/A 22758NAA5 772587.86000000 PA USD 775140.18000000 0.030668424107 Long ABS-MBS CORP US N 2 2070-02-25 Variable 5.73500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RDH9 693765.77000000 PA USD 715700.07000000 0.028316675933 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N UBS Europe SE 5299007QVIQ7IO64NX37 000000000 -900000.00000000 OU Notional Amount -1613.52000000 -0.00006383892 N/A DFE US N 2 UBS Europe SE 5299007QVIQ7IO64NX37 Put Written UBS Europe SE 5299007QVIQ7IO64NX37 UBS Europe SE 5299007QVIQ7IO64NX37 N/A 1.00000000 NC USD -1613.52000000 0.00000000 DFE US -900000.00000000 EUR -918000.00000000 USD 2025-07-15 1.00000000 1.02000000 EUR 2025-07-15 XXXX 388.03000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEG7 1143000.00000000 PA USD 1178957.19000000 0.046645445610 Long DBT CORP US N 2 2030-04-22 Fixed 5.58100000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 124857AR4 1489000.00000000 PA USD 1440612.62000000 0.056997843672 Long DBT CORP US N 2 2027-01-15 Fixed 2.90000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 4457000000.00000000 PA 262123.28000000 0.010370908548 Long DBT NUSS ID N 2 2035-07-15 Fixed 6.75000000 N N N N N N Anchorage Capital CLO LTD 549300PKM3N9LK4JM015 03329KBC6 1050000.00000000 PA USD 1056390.30000000 0.041796086151 Long ABS-CBDO CORP KY N 2 2034-10-27 Floating 6.36200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1428.96000000 0.000056536807 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3850119.00000000 MXN 189000.00000000 USD 2025-04-24 1428.96000000 N N N Option One Mortgage Loan Trust N/A 68402VAF9 21979.22000000 PA USD 21367.84000000 0.000845418669 Long ABS-MBS CORP US N 2 2037-01-25 Variable 5.86000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CE2 11000.00000000 PA USD 7376.46000000 0.000291849667 Long DBT CORP US N 2 2052-03-17 Fixed 2.92100000 N N N N N N Ace Securities Corp. N/A 00442LAB5 974177.03000000 PA USD 154370.82000000 0.006107682067 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.69500000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -4039.13000000 -0.00015980819 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 165482.99000000 USD 6401833.58000000 TRY 2025-05-07 -4039.13000000 N N N United States Treasury 254900HROIFWPRGM1V77 912810QD3 898000.00000000 PA USD 893474.92000000 0.035350338535 Long DBT UST US N 2 2039-11-15 Fixed 4.37500000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46639YAT4 3771087.60000000 PA USD 10818.50000000 0.000428033992 Long ABS-MBS CORP US N 2 2046-04-15 Variable 0.63100000 N N N N N N Credit Suisse First Boston Mortgage Securities N/A 225470FK4 407217.07000000 PA USD 85440.49000000 0.003380453304 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.78500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMSG1 1966587.26000000 PA USD 1736869.69000000 0.068719255750 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XDC6 8767000.00000000 PA USD 8754933.01000000 0.346388957129 Long DBT CORP US N 2 2065-08-03 Fixed 6.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DVB0 44687.64000000 PA USD 41914.08000000 0.001658330731 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N Countrywide Alternative Loan Trust N/A 02150TAA8 357834.10000000 PA USD 327351.93000000 0.012951680328 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.71500000 N N N N N N Japan Government Thirty Year Bonds 353800WZS8AXZXFUC241 000000000 970100000.00000000 PA 6222248.18000000 0.246183272403 Long DBT NUSS JP N 2 2054-12-20 Fixed 2.30000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 054989AC2 3137000.00000000 PA USD 3426694.23000000 0.135577169965 Long DBT CORP US N 2 2043-08-02 Fixed 7.07900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMMP6 2147576.64000000 PA USD 1886157.59000000 0.074625832069 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N Tricon Residential N/A 89614YAH9 639000.00000000 PA USD 618817.44000000 0.024483514317 Long ABS-O CORP US N 2 2038-07-17 Fixed 4.13300000 N N N N N N Mariner Finance Issuance Trust N/A 56847JAE7 400000.00000000 PA USD 367419.08000000 0.014536937267 Long ABS-O CORP US N 2 2036-11-20 Fixed 4.68000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHQ5 575000.00000000 PA USD 559498.61000000 0.022136564587 Long DBT CORP US N 2 2030-02-07 Fixed 3.97400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XX3E4 48131.70000000 PA USD 47200.07000000 0.001867470945 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQKR6 1030301.64000000 PA USD 1015775.80000000 0.040189173308 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NGT26 211215.89000000 PA USD 216760.41000000 0.008576126428 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.00000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PED6 150000.00000000 PA USD 140100.00000000 0.005543057021 Long DBT NUSS DO N 2 2030-01-30 Fixed 4.50000000 N N N N N N BX Trust N/A 05609BAR0 209120.00000000 PA USD 203892.00000000 0.008066987738 Long ABS-MBS CORP US N 2 2036-02-15 Floating 7.43400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QDSX3 416455.08000000 PA USD 380358.78000000 0.015048896546 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XQXV8 129289.38000000 PA USD 126852.99000000 0.005018939021 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312942H40 91777.57000000 PA USD 88503.36000000 0.003501635767 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SB89 296759.92000000 PA USD 274909.90000000 0.010876811216 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.50000000 N N N N N N CIFC Funding Ltd 549300X1SKS4LNS5LQ62 17181PAC3 1170000.00000000 PA USD 1172187.90000000 0.046377618626 Long ABS-CBDO CORP KY N 2 2037-04-21 Floating 5.84300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KFAC6 192287.47000000 PA USD 184963.46000000 0.007318079983 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 2.50000000 N N N N N N U.K. Gilts ECTRVYYCEF89VWYS6K36 000000000 7772027.00000000 PA 8686164.51000000 0.343668131171 Long DBT NUSS GB Y 2 2054-07-31 Fixed 4.37500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SQ2 9628000.00000000 PA USD 6033672.06000000 0.238722257513 Long DBT UST US N 2 2040-08-15 Fixed 1.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MAAK5 382688.18000000 PA USD 378488.90000000 0.014974914737 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.50000000 N N N N N N Oak Hill Credit N/A 67690AAS0 350000.00000000 PA USD 350458.85000000 0.013865905704 Long ABS-CBDO CORP KY N 2 2037-10-19 Floating 5.99300000 N N N N N N American Auto Auction Group, LLC 5493002VI1KML1L8HW19 02403MAQ3 246606.50000000 PA USD 247377.15000000 0.009787477860 Long LON CORP US N 2 2027-12-30 Floating 8.79900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416YVG0 48021.08000000 PA USD 47334.87000000 0.001872804307 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 33767BAA7 965000.00000000 PA USD 940436.09000000 0.037208357401 Long DBT CORP US N 2 2044-07-15 Fixed 5.45000000 N N N N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAF8 254000.00000000 PA USD 241043.17000000 0.009536873918 Long DBT CORP US N 2 2029-09-30 Fixed 9.00000000 N N N N N N STL HOLDING CO LLC 984500BC2I63E7F48656 861036AB7 178000.00000000 PA USD 182686.56000000 0.007227994426 Long DBT CORP US N 2 2029-02-15 Fixed 8.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMR56 2696136.58000000 PA USD 2484553.30000000 0.098301360562 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHHS9 2585449.43000000 PA USD 2060391.50000000 0.081519397366 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QEBK7 2162724.30000000 PA USD 1829144.17000000 0.072370095894 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N College Ave Student Loans N/A 19425AAD6 66916.52000000 PA USD 61695.10000000 0.002440966861 Long ABS-O CORP US N 2 2052-06-25 Fixed 2.72000000 N N N N N N Bombardier Capital Mortgage Securitization Corp. N/A 09774XBP6 1178846.56000000 PA USD 91256.40000000 0.003610559805 Long ABS-O CORP US N 2 2030-06-15 Variable 7.83000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 250.00000000 NC USD 225174.47000000 0.008909028743 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT U.S. Long Bond Futures USM5 Comdty 2025-06-18 29095138.03000000 USD 225174.47000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 195000.00000000 OU Notional Amount USD 292.89000000 0.000011588193 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Purchased Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1.00000000 NC USD 292.89000000 0.00000000 DFE US 3880500.00000000 MXN 195000.00000000 USD 2025-04-15 1.00000000 19.90000000 USD 2025-04-15 XXXX -354.71000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J6D46 1440479.41000000 PA USD 1412166.25000000 0.055872362937 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A 01F030645 -2264300.00000000 PA USD -1962158.92000000 -0.07763282497 Short ABS-MBS USGSE US N 2 2055-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X55B9 282783.41000000 PA USD 275616.44000000 0.010904765474 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N Toronto-Dominion Bank PT3QB789TSUIDF371261 000000000 1.00000000 NC -1218.80000000 -0.00004822182 N/A DFE AU N 2 Toronto-Dominion Bank PT3QB789TSUIDF371261 177145.42000000 USD 281500.00000000 AUD 2025-04-24 -1218.80000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312938YY3 39914.86000000 PA USD 40088.63000000 0.001586106795 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 5.50000000 N N N N N N Saudi Government International Bonds 635400FMICXSM3SI3H65 000000000 200000.00000000 PA USD 197532.80000000 0.007815385967 Long DBT NUSS SA Y 2 2030-04-17 Fixed 4.50000000 N N N N N N Mill City Solar Loan 2019-2 Ltd. N/A 59982VAA7 837928.16000000 PA USD 752605.96000000 0.029776857608 Long ABS-O CORP KY N 2 2043-07-20 Fixed 3.69000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEE7 3772300.00000000 PA USD 3557603.09000000 0.140756579498 Long DBT UST US N 2 2029-03-31 Fixed 2.37500000 N N N N N N Euro Parfums Fze N/A 000000000 174970.00000000 PA USD 178031.98000000 0.007043835951 Long LON CORP LU N 3 2028-06-23 Floating 10.99500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TG33 661035.47000000 PA USD 592382.63000000 0.023437620961 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 3.00000000 N N N N N N FREMF Mortgage Trust N/A 30297YAA2 24858590.41000000 PA USD 69733.32000000 0.002758999065 Long ABS-MBS USGSE US N 2 2029-01-25 Fixed 0.10000000 N N N N N N Live Nation Entertainment Inc 5493007B9BM9ZXJINO78 538034109 1019.00000000 NS USD 133061.02000000 0.005264559751 Long EC CORP US N 1 N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 28622HAC5 82000.00000000 PA USD 73561.67000000 0.002910467747 Long DBT CORP US N 2 2053-02-15 Fixed 5.12500000 N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 700000.00000000 OU Notional Amount USD -6604.23000000 -0.00026129638 N/A DCR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Boeing Co. Boeing Co. Y buy protection 2028-12-20 0.00000000 USD -2546.48000000 USD 700000.00000000 USD -4057.75000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4817000.00000000 OU Notional Amount -71.67000000 -0.00000283562 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-06-18 53.71000000 CZK 0.00000000 CZK 4817000.00000000 CZK -74.00000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197MRS9 48592.92000000 PA USD 47427.49000000 0.001876468818 Long ABS-MBS USGA US N 2 2047-04-15 Fixed 4.50000000 N N N N N N ROMANIA 315700IASY927EDWBK92 77586RAN0 14000.00000000 PA USD 13950.80000000 0.000551963453 Long DBT NUSS RO N 2 2027-11-25 Fixed 5.25000000 N N N N N N Service Properties Trust 529900IS770AG1K9QG27 81761L102 32028.00000000 NS USD 83593.08000000 0.003307360521 Long EC US N 1 N N N PETROLEOS DE VENEZUELA S 549300YWR8TN1OFD4P06 000000000 66800.00000000 PA USD 10187.00000000 0.000403048692 Long DBT CORP VE Y 2 2035-05-17 None 0.00000000 Y N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H040640 3081000.00000000 PA USD 2883957.88000000 0.114103804257 Long ABS-MBS USGA US N 2 2055-04-20 Fixed 4.00000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FCG4 1517000.00000000 PA USD 1539302.77000000 0.060902519824 Long DBT CORP US N 2 2032-04-15 Fixed 5.20000000 N N N N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBP3 323000.00000000 PA USD 329126.49000000 0.013021890801 Long DBT CORP US N 2 2028-07-01 Fixed 5.25000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM2T1 1161527.21000000 PA USD 939951.21000000 0.037189173122 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 000000000 -361000.00000000 OU Notional Amount -122.97000000 -0.00000486530 N/A DFE US N 2 Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 Call Written Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 Goldman Sachs Bank Europe SE 8IBZUGJ7JPLH368JE346 N/A 1.00000000 NC USD -122.97000000 0.00000000 DFE NO -361000.00000000 EUR -4332000.00000000 NOK 2025-05-08 1.00000000 12.00000000 EUR 2025-05-08 XXXX 1077.27000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LQ2K9 89720.59000000 PA USD 83630.96000000 0.003308859243 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86360QAE5 712739.76000000 PA USD 617440.25000000 0.024429025789 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.81500000 N N N N N N Aurora Innovation Inc N/A 051774115 2636.00000000 NS USD 3716.76000000 0.000147053623 N/A DE US N 1 N/A N/A Call Purchased Aurora Innovation Inc Aurora Innovation Inc 1.00000000 11.50000000 USD 2026-11-03 XXXX -877.68000000 N N N AT&T REIGN II LB PTT N/A 046912AA9 2750000.00000000 PA USD 2802501.63000000 0.110880987422 Long DBT CORP US N 2 2044-12-15 Fixed 6.08800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FGD2 1310.26000000 PA USD 1289.50000000 0.000051019072 Long ABS-MBS USGA US N 2 2040-05-20 Fixed 4.50000000 N N N N N N JP Morgan Mortgage Trust N/A 46654CAS4 513723.46000000 PA USD 438192.50000000 0.017337087893 Long ABS-MBS CORP US N 2 2052-02-25 Variable 3.26900000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 2879000.00000000 OU Notional Amount USD -72197.66000000 -0.00285650068 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Dominion Energy, Inc. Dominion Energy, Inc. Y buy protection 2029-12-20 0.00000000 USD -73244.66000000 USD 2879000.00000000 USD 1047.00000000 N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBT1 343000.00000000 PA USD 265347.45000000 0.010498472846 Long DBT CORP US N 2 2040-09-25 Fixed 3.73400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133L8FQ3 480840.29000000 PA USD 424707.86000000 0.016803568061 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 1.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CHE4 19772100.00000000 PA USD 19609907.09000000 0.775866047010 Long DBT UST US N 2 2028-05-31 Fixed 3.62500000 N N N N N N HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 000000000 692000.00000000 OU Notional Amount USD 1591.60000000 0.000062971659 N/A DFE KY N 2 HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 Call Purchased HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 N/A 1.00000000 NC USD 1591.60000000 0.00000000 DFE US 5086200.00000000 CNY 692000.00000000 USD 2025-07-02 1.00000000 7.35000000 CNY 2025-07-02 XXXX -650.48000000 N N N UBS Europe SE 5299007QVIQ7IO64NX37 000000000 600000.00000000 OU Notional Amount 3701.94000000 0.000146467269 N/A DFE US N 2 UBS Europe SE 5299007QVIQ7IO64NX37 Put Purchased UBS Europe SE 5299007QVIQ7IO64NX37 UBS Europe SE 5299007QVIQ7IO64NX37 N/A 1.00000000 NC USD 3701.94000000 0.00000000 DFE XX 633000.00000000 USD 600000.00000000 EUR 2025-07-15 1.00000000 1.05500000 EUR 2025-07-15 XXXX -252.35000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NAYE7 500441.92000000 PA USD 501551.77000000 0.019843897646 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.50000000 N N N N N N BX Trust N/A 05611VAJ0 1963459.02000000 PA USD 1924626.94000000 0.076147872045 Long ABS-MBS CORP US N 2 2039-02-15 Floating 8.50700000 N N N N N N BX Trust N/A 05611VAA9 1098370.64000000 PA USD 1099059.10000000 0.043484277382 Long ABS-MBS CORP US N 2 2039-02-15 Floating 5.76100000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC 416.35000000 0.000016472889 N/A DFE US N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 2192935517.50000000 COP 523250.00000000 USD 2025-04-24 416.35000000 N N N Bain Capital Credit CLO, Limited 254900XV68IP5ZAT0548 05683NAG7 250000.00000000 PA USD 250574.75000000 0.009913990916 Long ABS-CBDO CORP KY N 2 2034-07-24 Floating 7.65800000 N N N N N N Dowson 635400IRBWDPWKGK1C24 000000000 500000.00000000 PA 642891.37000000 0.025435999447 Long ABS-O CORP GB Y 2 2031-08-20 Floating 11.41400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SF6 12024800.00000000 PA USD 9093285.31000000 0.359775867138 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMR23 948695.65000000 PA USD 899806.62000000 0.035600852269 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A 59023CAD4 362792.90000000 PA USD 239610.89000000 0.009480205754 Long ABS-MBS CORP US N 2 2036-05-25 Variable 5.82600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWA52 14217917.75000000 PA USD 11337644.15000000 0.448573932997 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2M4 1052000.00000000 PA USD 946898.46000000 0.037464041094 Long DBT CORP US N 2 2051-04-04 Fixed 5.01300000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 9772.34000000 0.000386642668 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 984000.00000000 AUD 625014.17000000 USD 2025-06-18 9772.34000000 N N N PECO Energy Co YH65D4JBECK76IFEJ279 693304AV9 266000.00000000 PA USD 202042.37000000 0.007993807121 Long DBT CORP US N 2 2047-09-15 Fixed 3.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382QQP8 1401781.57000000 PA USD 238172.92000000 0.009423312466 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YAVZ5 184752.91000000 PA USD 178234.10000000 0.007051832829 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 2.50000000 N N N N N N Bayview Commercial Asset Trust N/A 07324NAB9 57608.73000000 PA USD 55563.03000000 0.002198351488 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.88500000 N N N N N N Velocity Commercial Capital Loan Trust N/A 92258DAA5 2047762.58000000 PA USD 1809457.08000000 0.071591176105 Long ABS-MBS CORP US N 2 2051-12-26 Variable 2.52000000 N N N N N N Carlyle Global Market Strategies N/A 14315BAA4 349708.89000000 PA USD 349842.83000000 0.013841532871 Long ABS-CBDO CORP KY N 2 2030-01-15 Floating 5.74400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RZ3 17887000.00000000 PA USD 13047727.96000000 0.516233405305 Long DBT UST US N 2 2047-11-15 Fixed 2.75000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BG2 473000.00000000 PA USD 407835.28000000 0.016136004371 Long DBT CORP US N 2 2031-09-23 Fixed 2.62500000 N N N N N N CROWN CASTLE INC 54930012H97VSM0I2R19 22822VAY7 515000.00000000 PA USD 439761.37000000 0.017399160240 Long DBT US N 2 2031-07-15 Fixed 2.50000000 N N N N N N Loanpal Solar Loan Ltd. N/A 53948KAA7 757539.39000000 PA USD 622501.63000000 0.024629279308 Long ABS-O CORP US N 2 2047-07-20 Fixed 2.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVL78 275522.26000000 PA USD 242887.85000000 0.009609858689 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -1886.76000000 -0.00007464966 N/A DFE EG N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 192401.93000000 USD 10789900.00000000 EGP 2025-12-22 -1886.76000000 N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140CC2 444000.00000000 PA USD 361171.73000000 0.014289760841 Long DBT CORP US N 2 2062-08-05 Fixed 5.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSAX9 2057751.38000000 PA USD 2074779.87000000 0.082088673279 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N Countrywide Home Equity Loan Trust N/A 126686AA2 71373.80000000 PA USD 69645.90000000 0.002755540292 Long ABS-O CORP US N 2 2036-11-15 Floating 4.58400000 N N N N N N CD Commercial Mortgage Trust N/A 12515GAD9 350000.00000000 PA USD 333850.34000000 0.013208789944 Long ABS-MBS CORP US N 2 2050-02-10 Fixed 3.63100000 N N N N N N EASTERN ENERGY GAS 549300BFOD6TDMVV4O24 27636AAC6 613000.00000000 PA USD 641044.69000000 0.025362935546 Long DBT CORP US N 2 2055-01-15 Fixed 6.20000000 N N N N N N Countrywide Asset-Backed Certificates N/A 232422AF2 511500.76000000 PA USD 382503.59000000 0.015133755962 Long ABS-O CORP US N 2 2046-04-25 Floating 4.85500000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ADU6 390000.00000000 PA USD 392620.62000000 0.015534036291 Long DBT CORP US N 2 2055-11-15 Fixed 5.87500000 N N N N N N DELL INT LLC / EMC CORP N/A 24703DBF7 168000.00000000 PA USD 124083.74000000 0.004909373634 Long DBT CORP US N 2 2041-12-15 Fixed 3.37500000 N N N N N N BWAY Mortgage Trust N/A 05604FAN5 600000.00000000 PA USD 540398.22000000 0.021380857585 Long ABS-MBS CORP US N 2 2033-03-10 Fixed 3.63300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MEK91 269006.79000000 PA USD 262035.61000000 0.010367439885 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N MOTOROLA SOLUTIONS INC 6S552MUG6KGJVEBSEC55 620076BU2 150000.00000000 PA USD 132880.88000000 0.005257432511 Long DBT CORP US N 2 2031-05-24 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFG21 256274.64000000 PA USD 234024.52000000 0.009259181004 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KNQV8 391463.72000000 PA USD 315125.46000000 0.012467939997 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N CIFC Funding Ltd N/A 12575WAA7 1090000.00000000 PA USD 1092953.90000000 0.043242725121 Long ABS-CBDO CORP KY N 2 2037-07-21 Floating 5.77300000 N N N N N N Synchrony Financial 549300RS7EWPM9MA6C78 87165BAM5 191000.00000000 PA USD 186234.81000000 0.007368380950 Long DBT CORP US N 2 2027-12-01 Fixed 3.95000000 N N N N N N Whitebox CLO I Ltd 549300E4AC0513DYO913 96467CAG2 250000.00000000 PA USD 251369.68000000 0.009945442324 Long ABS-CBDO CORP KY N 2 2036-07-24 Floating 10.04700000 N N N N N N Oak Hill Credit N/A 67112RBC7 550000.00000000 PA USD 548219.10000000 0.021690290732 Long ABS-CBDO CORP KY N 2 2038-01-20 Floating 5.61300000 N N N N N N Ingersoll Rand Inc 5299004C02FMZCUOIR50 45687V106 1500.00000000 NS USD 120045.00000000 0.004749580871 Long EC CORP US N 1 N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PFA1 12350000.00000000 PA 202887.98000000 0.008027263683 Long DBT NUSS DO N 2 2036-06-01 Fixed 10.75000000 N N N N N N NatWest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC 19555.85000000 0.000773727278 N/A DFE US N 2 NatWest Markets PLC RR3QWICWWIPCS8A4S074 5290900.00000000 GBP 6853577.90000000 USD 2025-06-18 19555.85000000 N N N One Market Plaza Trust N/A 68245HAU8 3507742.32000000 PA USD 6619.11000000 0.000261885111 Long ABS-MBS CORP US N 2 2032-02-10 Variable 0.09000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEE2 462000.00000000 PA USD 471233.07000000 0.018644338168 Long DBT CORP US N 2 2028-04-22 Fixed 5.57100000 N N N N N N Countrywide Home Loans N/A 12544XAA3 189353.13000000 PA USD 89001.18000000 0.003521332017 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XWXG8 223287.31000000 PA USD 219138.86000000 0.008670229811 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.50000000 N N N N N N AEP Texas Inc 5493001L78U618KXNZ75 00108WAJ9 172000.00000000 PA USD 131137.22000000 0.005188444597 Long DBT CORP US N 2 2049-05-01 Fixed 4.15000000 N N N N N N Angel Oak Mortgage Trust 254900DKH168ZWJSMI96 03466QAA1 939518.90000000 PA USD 944774.94000000 0.037380024017 Long ABS-MBS CORP US N 2 2070-02-25 Variable 5.63700000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 21592000.00000000 OU Notional Amount -8570.56000000 -0.00033909423 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2026-05-07 70.17000000 ZAR 0.00000000 ZAR 21592000.00000000 ZAR -8574.36000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFKC4 1332344.50000000 PA USD 1078185.62000000 0.042658418068 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAE1 56000.00000000 PA USD 55170.53000000 0.002182822224 Long DBT CORP US N 2 2030-01-15 Fixed 7.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 -196000.00000000 OU Notional Amount USD -30.38000000 -0.00000120198 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 1.00000000 NC USD -30.38000000 0.00000000 DFE MX -196000.00000000 USD -3969000.00000000 MXN 2025-04-01 1.00000000 20.25000000 USD 2025-04-01 XXXX 1590.74000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMUR4 1813617.26000000 PA USD 1616568.31000000 0.063959531202 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 3.00000000 N N N N N N Rockford Tower CLO Ltd 549300G18KVCW7VUKI86 77340GAL5 1781000.00000000 PA USD 1782038.32000000 0.070506352764 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 6.06400000 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AC7 4039000.00000000 PA USD 4004116.37000000 0.158422879083 Long DBT US N 2 2030-02-15 Fixed 4.95000000 N N N N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 682691AG5 10000.00000000 PA USD 10059.44000000 0.000398001781 Long DBT CORP US N 2 2031-11-15 Fixed 7.12500000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -12325.46000000 -0.00048765687 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 7639573377.40000000 COP 1811484.45000000 USD 2025-04-14 -12325.46000000 N N N Miltonia Mortgage Finance 815600BC278905BA4594 000000000 258000.00000000 PA 278104.08000000 0.011003188960 Long ABS-MBS CORP IT Y 2 2062-04-28 Floating 3.94100000 N N N N N N Hilton USA Trust N/A 403956AE5 1203000.00000000 PA USD 1199992.50000000 0.047477707729 Long ABS-MBS CORP US N 2 2037-05-15 Floating 6.75900000 N N N N N N SAN DIEGO G & E KNIRVXKVNJJ4P8OTMS63 797440BY9 467000.00000000 PA USD 317884.06000000 0.012577084017 Long DBT CORP US N 2 2050-04-15 Fixed 3.32000000 N N N N N N Deutsche Bank Commercial Mortgage Trust N/A 23312LAS7 240000.00000000 PA USD 235314.41000000 0.009310215507 Long ABS-MBS CORP US N 2 2049-05-10 Fixed 3.27600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XC4K5 141973.00000000 PA USD 139055.17000000 0.005501718318 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.00000000 N N N N N N Progress Residential Trust N/A 74333EAG7 1340000.00000000 PA USD 1293773.48000000 0.051188152552 Long ABS-O CORP US N 2 2038-05-17 Fixed 3.40700000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 5854000.00000000 OU Notional Amount USD -172843.26000000 -0.00683854422 N/A DCR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 American Electric Power Co., Inc. American Electric Power Co., Inc. Y buy protection 2029-12-20 0.00000000 USD -153771.17000000 USD 5854000.00000000 USD -19072.09000000 N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 81761LAE2 899000.00000000 PA USD 889663.97000000 0.035199558284 Long DBT US N 2 2032-06-15 Fixed 8.87500000 N N N N N BX Trust N/A 05610DAA0 5434000.00000000 PA USD 5437396.25000000 0.215130602871 Long ABS-MBS CORP US N 2 2038-05-15 Floating 7.00900000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RH3 6418100.00000000 PA USD 5176598.78000000 0.204812149999 Long DBT UST US N 2 2044-08-15 Fixed 3.12500000 N N N N N N M&T BANK CORPORATION 549300WYXDDBYRASEG81 55261FAV6 1777000.00000000 PA USD 1742766.66000000 0.068952569390 Long DBT CORP US N 2 2036-01-16 Fixed 5.38500000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EAB6 1207335.45000000 PA USD 1029191.84000000 0.040719978980 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 2.00000000 N N N N N N Clover Holdings SPV III LLC 549300RFUWCPWS8FQ104 000000000 68774.71000000 PA USD 69978.27000000 0.002768690513 Long LON CORP US N 2 2027-12-09 Fixed 15.00000000 N N N N N N Rad CLO Ltd N/A 74936GAC2 460000.00000000 PA USD 459386.82000000 0.018175641243 Long ABS-CBDO CORP KY N 2 2036-04-17 Floating 6.20300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCUV8 360272.73000000 PA USD 326833.72000000 0.012931177348 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QDS54 205596.57000000 PA USD 187967.41000000 0.007436931276 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 2.00000000 N N N N N N Conseco Financial Corp N/A 393505F64 1009227.12000000 PA USD 1026274.38000000 0.040604549664 Long ABS-O CORP US N 2 2030-04-01 Variable 6.83000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 377.62000000 0.000014940536 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 7192601.83000000 CZK 312118.21000000 USD 2025-04-24 377.62000000 N N N CHEVRON CORP N/A 166764CA6 336000.00000000 PA USD 228362.02000000 0.009035144171 Long DBT CORP US N 2 2050-05-11 Fixed 3.07800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GUMN4 397127.59000000 PA USD 386859.50000000 0.015306097557 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4.50000000 N N N N N N BPR Trust N/A 05593GAA4 1000000.00000000 PA USD 1043126.50000000 0.041271303855 Long ABS-MBS CORP US N 2 2039-12-05 Fixed 7.49700000 N N N N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081GZ4 740000.00000000 PA USD 757198.39000000 0.029958557118 Long DBT CORP US N 2 2065-03-15 Fixed 5.80000000 N N N N N N ELM Trust 2024 254900IIXJ23M1M8Y987 26860XBG5 924000.00000000 PA USD 932582.57000000 0.036897632853 Long ABS-MBS CORP US N 2 2039-06-10 Variable 7.26700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BKV7 621608.40000000 PA USD 578010.60000000 0.022868991540 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N ZAYO GROUP HOLDINGS INC 529900Z6OTS7RT0V0I47 98919VAA3 71000.00000000 PA USD 64669.54000000 0.002558650590 Long DBT CORP US N 2 2027-03-01 Fixed 4.00000000 N N N N N N Morgan Stanley Mortgage Loan Trust 549300SRGEL7X4RBPX12 61752RAK8 3127950.50000000 PA USD 1097907.81000000 0.043438726589 Long ABS-MBS CORP US N 2 2047-01-25 Variable 6.46300000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CBC7 385000.00000000 PA USD 269177.65000000 0.010650014724 Long DBT CORP US N 2 2051-04-15 Fixed 3.45000000 N N N N N N Bank N/A 06540AAF8 8619000.00000000 PA USD 129612.52000000 0.005128119836 Long ABS-MBS CORP US N 2 2062-09-15 Variable 0.36500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QLN36 3891121.69000000 PA USD 3102231.36000000 0.122739795305 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.00000000 N N N N N N OCP CLO Ltd 254900MN6N176YEZLX15 671078AW3 500000.00000000 PA USD 499982.50000000 0.019781809473 Long ABS-CBDO CORP KY N 2 2037-07-20 Floating 5.66300000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -753.22000000 -0.00002980115 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 5530140.00000000 TRY 126000.00000000 USD 2025-07-31 -753.22000000 N N N CHARTER COMM OPT LLC/CAP N/A 161175BV5 229000.00000000 PA USD 144412.48000000 0.005713680308 Long DBT CORP US N 2 2051-04-01 Fixed 3.70000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -718.99000000 -0.00002844684 N/A DFE PL N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 209857.36000000 USD 810337.52000000 PLN 2025-04-14 -718.99000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312943WD1 61344.70000000 PA USD 59130.87000000 0.002339513091 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFYN0 149509.51000000 PA USD 143498.47000000 0.005677517499 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N RTX CORP I07WOS4YJ0N7YRFE7309 913017AT6 360000.00000000 PA USD 383114.54000000 0.015157928201 Long DBT CORP US N 2 2028-08-01 Fixed 6.70000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC N/A 2281.48000000 0.000090266764 N/A DFE CO N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 240000.00000000 GBP 1309828800.00000000 COP 2025-04-24 2281.48000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPR34 302888.65000000 PA USD 298532.46000000 0.011811437891 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312944SL6 54126.64000000 PA USD 52218.05000000 0.002066007342 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYWN5 398825.42000000 PA USD 339601.23000000 0.013436323929 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 2.00000000 N N N N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 -96.00000000 NC -1484.31000000 -0.00005872673 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Short Montreal Exchange 10 Year Canadian Bond Futures CNM5 Comdty 2025-06-19 -11916264.00000000 CAD -1484.31000000 N N N Whitebox CLO I Ltd 549300E4AC0513DYO913 96467FAU4 400000.00000000 PA USD 399600.00000000 0.015810175487 Long ABS-CBDO CORP KY N 2 2036-07-24 Floating 5.61700000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 32028KAE6 1284336.12000000 PA USD 1093829.26000000 0.043277358743 Long ABS-O CORP US N 2 2036-12-25 Floating 4.58500000 N N N N N N Hermitage Plc 635400OUUMGTAI2EJA52 000000000 74267.17000000 PA 96536.65000000 0.003819472916 Long ABS-O CORP GB Y 2 2033-04-21 Floating 6.81400000 N N N N N N MASTR Asset Backed Securities Trust N/A 57645FAQ0 290819.07000000 PA USD 269069.32000000 0.010645728647 Long ABS-MBS CORP US N 2 2036-06-25 Floating 4.95500000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DP9 194000.00000000 PA USD 160897.37000000 0.006365905042 Long DBT CORP US N 2 2050-06-30 Fixed 4.37500000 N N N N N N OHA Loan Funding Ltd 25490072LQI0R2J4XC93 67109BDC5 310000.00000000 PA USD 310157.17000000 0.012271369585 Long ABS-CBDO CORP KY N 2 2037-01-19 Floating 5.70500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CHM6 12977300.00000000 PA USD 13058915.02000000 0.516676021376 Long DBT UST US N 2 2026-07-15 Fixed 4.50000000 N N N N N N Solaris Energy Infrastructure LLC N/A 83418UAB1 1604000.00000000 PA USD 1604000.00000000 0.063462265970 Long LON CORP US N 3 2029-09-11 Floating 10.29900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRBU6 2835758.86000000 PA USD 2787395.64000000 0.110283318872 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYM0 375000.00000000 PA USD 359697.21000000 0.014231421452 Long DBT CORP US N 2 2027-10-21 Fixed 1.94800000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 58260000.00000000 OU Notional Amount -1118.25000000 -0.00004424356 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2030-03-19 644.98000000 HUF 0.00000000 HUF 58260000.00000000 HUF -1119.95000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5XZ7 21537.86000000 PA USD 21029.93000000 0.000832049258 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 2.50000000 N N N N N N Masimo Corp 549300Q4A8JK0PIYCU29 574795100 757.00000000 NS USD 126116.20000000 0.004989787922 Long EC CORP US N 1 N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023DU6 952000.00000000 PA USD 1031578.85000000 0.040814421040 Long DBT CORP US N 2 2064-05-01 Fixed 7.00800000 N N N N N N Gracie Point International Funding N/A 383931AA0 351790.53000000 PA USD 352758.24000000 0.013956881078 Long ABS-O CORP US N 2 2026-09-01 Floating 6.37400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMQ73 212249.95000000 PA USD 203897.70000000 0.008067213259 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GTPY7 17276.11000000 PA USD 16124.02000000 0.000637946911 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.50000000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807CM2 745000.00000000 PA USD 697774.49000000 0.027607450294 Long DBT CORP US N 2 2054-06-01 Fixed 5.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133A8RR0 290159.41000000 PA USD 234083.10000000 0.009261498722 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.00000000 N N N N N N Home Partners of America Trust N/A 43732VAL0 1359478.73000000 PA USD 1301733.51000000 0.051503091168 Long ABS-O CORP US N 2 2026-12-17 Fixed 3.79900000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEV3 75000.00000000 PA USD 77995.97000000 0.003085910843 Long DBT CORP US N 2 2028-10-18 Fixed 6.29600000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 4455.41000000 0.000176278313 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 7865521.32000000 TRY 202811.10000000 USD 2025-05-07 4455.41000000 N N N BX Trust N/A 05605VAA7 204000.00000000 PA USD 181749.76000000 0.007190929930 Long ABS-MBS CORP US N 2 2044-03-09 Variable 2.84300000 N N N N N N Fort Greene Park CLO N/A 18914KAA0 1170000.00000000 PA USD 1161340.83000000 0.045948454261 Long ABS-CBDO CORP KY N 2 2034-04-22 Floating 5.26700000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAS2 25000.00000000 PA USD 24671.48000000 0.000976127198 Long DBT CORP KY N 2 2054-06-28 Fixed 6.40000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312943JY0 37499.30000000 PA USD 36138.23000000 0.001429809204 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N UBS Europe SE 5299007QVIQ7IO64NX37 000000000 -775000.00000000 OU Notional Amount -111.46000000 -0.00000440991 N/A DFE US N 2 UBS Europe SE 5299007QVIQ7IO64NX37 Put Written UBS Europe SE 5299007QVIQ7IO64NX37 UBS Europe SE 5299007QVIQ7IO64NX37 N/A 1.00000000 NC USD -111.46000000 0.00000000 DFE US -775000.00000000 EUR -784687.50000000 USD 2025-05-08 1.00000000 1.01250000 EUR 2025-05-08 XXXX 2193.29000000 N N N HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 000000000 69000.00000000 OU Notional Amount USD 164.91000000 0.000006524664 N/A DFE LU N 2 HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 Call Purchased HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 N/A 1.00000000 NC USD 164.91000000 0.00000000 DFE US 526470.00000000 CNY 69000.00000000 USD 2025-04-30 1.00000000 7.63000000 CNY 2025-04-30 XXXX -6065.79000000 N N N Bankers Healthcare Group Securitization Trust N/A 06616PAC1 100000.00000000 PA USD 99735.50000000 0.003946035428 Long ABS-O CORP US N 2 2031-09-17 Fixed 5.17000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412MJ82 57141.95000000 PA USD 58158.46000000 0.002301039686 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRB85 368537.46000000 PA USD 371586.21000000 0.014701809781 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.50000000 N N N N N N Blackstone Mortgage Trust Inc 549300OLDJ20R2Y2UW20 09257W100 78544.00000000 NS USD 1570880.00000000 0.062151873047 Long EC US N 1 N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X5EH6 53934.94000000 PA USD 52980.08000000 0.002096157062 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 600000.00000000 OU Notional Amount -8023.89000000 -0.00031746523 N/A DCR DE N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Deutsche Bank AG Deutsche Bank AG Y buy protection 2028-06-20 29841.74000000 EUR 0.00000000 EUR 600000.00000000 EUR -40426.01000000 N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 -83.00000000 NC USD -28635.00000000 -0.00113294388 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Written U.S. Steel Corp. U.S. Steel Corp. 100.00000000 45.00000000 USD 2025-05-16 XXXX -8872.09000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418MGR7 52544.89000000 PA USD 54787.23000000 0.002167656958 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBKH2 504305.27000000 PA USD 461012.45000000 0.018239959300 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 2.00000000 N N N N N N REGIONAL MGMT ISSUANCE N/A 75907WAA3 3710000.00000000 PA USD 3524500.00000000 0.139446855619 Long ABS-O CORP US N 3 2033-10-17 Fixed 3.87500000 N N N N N N Ivory Coast Government International Bonds 254900ICW11T82O6H590 000000000 200000.00000000 PA USD 194486.00000000 0.007694839313 Long DBT NUSS CI Y 2 2033-01-30 Fixed 7.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GVGT3 386855.95000000 PA USD 361057.95000000 0.014285259135 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -29.00000000 NC 60777.48000000 0.002404661222 N/A DE DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex EURO STOXX 50 Futures VGM5 Index 2025-06-20 -1561017.80000000 EUR 60777.48000000 N N N SCC POWER PLC 529900IYGYC6VSDSDF37 78397YAB8 437329.00000000 PA USD 278797.24000000 0.011030613838 Long DBT CORP GB N 2 2028-12-31 Fixed 8.00000000 N N Y N N N OZLM Ltd 5493002SZMQH8ZTTHX49 67112GAA6 212942.63000000 PA USD 213012.05000000 0.008427822551 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 5.58400000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 462.65000000 0.000018304748 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 100994.86000000 EUR 109876.14000000 USD 2025-05-07 462.65000000 N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46651MAN6 570000.00000000 PA USD 546804.76000000 0.021634332364 Long ABS-MBS CORP US N 2 2036-07-15 Floating 6.52700000 N N N N N N McKesson Corp 549300WZWOM80UCFSF54 58155Q103 190.00000000 NS USD 127868.10000000 0.005059101852 Long EC CORP US N 1 N N N MIDWEST GMNG BOR/MWG FIN N/A 59833DAB6 232000.00000000 PA USD 217736.64000000 0.008614750972 Long DBT CORP US N 2 2029-05-01 Fixed 4.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJVE9 693702.05000000 PA USD 609209.06000000 0.024103358726 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Morgan Stanley Bank AG 7CPI4ZQUQVBDH8SA1F44 000000000 -696000.00000000 NC -572.05000000 -0.00002263316 N/A DCR KY N 2 Morgan Stanley Bank AG 7CPI4ZQUQVBDH8SA1F44 Call Written Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 N/A 696000.00000000 OU Notional Amount N/A -572.05000000 0.00000000 DCR KY iTraxx Europe Crossover S42 2I667KKW7 buy protection 2029-12-20 0.00000000 N/A 0.00000000 N/A 696000.00000000 EUR 1.00000000 2.87500000 EUR 2025-04-16 XXXX 1002.82000000 N N N Citigroup Mortgage Loan Trust Inc 549300R1KUK063S4I339 17313JAM6 4602562.00000000 PA USD 4078216.04000000 0.161354632803 Long ABS-O CORP US N 2 2037-07-25 Floating 8.18500000 N N N N N N REPUBLIC OF GUATEMALA 529900QKDFFU9UWW5315 401494AV1 73000.00000000 PA USD 71510.80000000 0.002829325068 Long DBT NUSS GT N 2 2029-08-10 Fixed 5.25000000 N N N N N N Bally's Corporation 549300NS4D5IK406VT62 05875CAB0 1294566.57000000 PA USD 1157827.98000000 0.045809468338 Long LON CORP US N 2 2028-10-02 Floating 7.80200000 N N N N N N Winchester PLC 213800AWJGG72JJNBW66 000000000 100000.00000000 PA 129320.00000000 0.005116546281 Long ABS-MBS CORP GB Y 2 2056-10-21 Floating 6.09200000 N N N N N N UMBS, TBA N/A 01F032443 -1853000.00000000 PA USD -1782419.86000000 -0.07052144839 Short ABS-MBS USGSE US N 2 2040-04-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CHF1 9307000.00000000 PA USD 9208476.66000000 0.364333413330 Long DBT UST US N 2 2030-05-31 Fixed 3.75000000 N N N N N N KONDOR FINANCE PLC (NAK) 213800PUC1T9GI6EIO63 50050MAB1 442505.22000000 PA USD 356446.80000000 0.014102818968 Long DBT CORP GB N 2 2028-11-08 Fixed 7.62500000 N N Y N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932AJ6 1382000.00000000 PA USD 1181812.68000000 0.046758423083 Long DBT CORP US N 2 2047-07-15 Fixed 4.85000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137HBC77 341000.00000000 PA USD 347231.20000000 0.013738203720 Long ABS-MBS USGSE US N 2 2031-10-25 Fixed 5.02800000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 36611000.00000000 OU Notional Amount USD 23262.67000000 0.000920387625 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2026-05-16 26425.98000000 USD 0.00000000 USD 36611000.00000000 USD -3163.31000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM7F6 2052646.20000000 PA USD 1663129.18000000 0.065801712197 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N UBS Europe SE 5299007QVIQ7IO64NX37 000000000 775000.00000000 OU Notional Amount 828.79000000 0.000032791079 N/A DFE US N 2 UBS Europe SE 5299007QVIQ7IO64NX37 Put Purchased UBS Europe SE 5299007QVIQ7IO64NX37 UBS Europe SE 5299007QVIQ7IO64NX37 N/A 1.00000000 NC USD 828.79000000 0.00000000 DFE XX 807937.50000000 USD 775000.00000000 EUR 2025-05-08 1.00000000 1.04250000 EUR 2025-05-08 XXXX -4080.24000000 N N N BWAY Mortgage Trust N/A 05604FAC9 1206068.31000000 PA USD 1139932.23000000 0.045101422923 Long ABS-MBS CORP US N 2 2033-03-10 Fixed 3.45400000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 708000.00000000 OU Notional Amount USD 11847.47000000 0.000468745194 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Mexico Government International Bonds Mexico Government International Bonds Y buy protection 2030-06-20 11384.97000000 USD 0.00000000 USD 708000.00000000 USD 462.50000000 N N N AZUL SECURED FINANCE LLP N/A 05501WAG7 148019.00000000 PA USD 165038.96000000 0.006529767066 Long DBT CORP US N 2 2030-01-28 Fixed 4.35800000 N N Y N N N EESTI ENERGIA AS 5493005044RTLQ5RZU70 000000000 200000.00000000 PA 228500.25000000 0.009040613241 Long DBT CORP EE Y 2 2029-07-15 Fixed 7.87500000 N N N N N N BX Trust N/A 123910AA9 656399.81000000 PA USD 654758.81000000 0.025905534754 Long ABS-MBS CORP US N 2 2039-12-15 Floating 5.61200000 N N N N N N Australia & New Zealand Banking Group Ltd. JHE42UYNWWTJB8YTTU19 000000000 1.00000000 NC 174.14000000 0.000006889849 N/A DFE US N 2 Australia & New Zealand Banking Group Ltd. JHE42UYNWWTJB8YTTU19 124000.00000000 EUR 134413.81000000 USD 2025-04-24 174.14000000 N N N Benefit Street Partners CLO Ltd 2549001UGYKGM9DWMY60 08181VAY1 250000.00000000 PA USD 250312.75000000 0.009903624885 Long ABS-CBDO CORP KY N 2 2038-01-17 Floating 5.64200000 N N N N N N Mexico Government International Bonds 254900EGTWEU67VP6075 91087BAM2 3275000.00000000 PA USD 2755265.88000000 0.109012104798 Long DBT NUSS MX N 2 2031-05-24 Fixed 2.65900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CRC0 405417.10000000 PA USD 370369.30000000 0.014653662733 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N CIFC Funding Ltd 549300X1SKS4LNS5LQ62 17181PAE9 250000.00000000 PA USD 250792.25000000 0.009922596304 Long ABS-CBDO CORP KY N 2 2037-04-21 Floating 6.34300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FMDA1 265511.96000000 PA USD 248743.73000000 0.009841546603 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 3.00000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 93364BAA8 1243416.32000000 PA USD 1029665.35000000 0.040738713405 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.38500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FB47 75282.77000000 PA USD 76580.89000000 0.003029923197 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 5.00000000 N N N N N N Octagon Investment Partners XVI LTD N/A 67590BAQ3 1509318.66000000 PA USD 1509955.59000000 0.059741398538 Long ABS-CBDO CORP KY N 2 2030-07-17 Floating 5.58400000 N N N N N N APPLOVIN CORP 549300LLVXMUAOL3SQ07 03831WAD0 182000.00000000 PA USD 181959.35000000 0.007199222360 Long DBT CORP US N 2 2034-12-01 Fixed 5.50000000 N N N N N EXPAND ENERGY CORP X2MT1W32SPAZ9WSKLE78 165167DH7 5202000.00000000 PA USD 5220633.56000000 0.206554386234 Long DBT CORP US N 2 2035-01-15 Fixed 5.70000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBJ3 928000.00000000 PA USD 709698.63000000 0.028079228937 Long DBT CORP US N 2 2046-07-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CPF5 23271.00000000 PA USD 21964.34000000 0.000869019193 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YTRT3 27112.65000000 PA USD 26188.22000000 0.001036137021 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D6NY2 895897.26000000 PA USD 816512.22000000 0.032305309023 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 2.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 126395AN2 423000.00000000 PA USD 388150.13000000 0.015357161338 Long ABS-MBS CORP US N 2 2037-10-15 Floating 9.79600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M8YB3 12819.18000000 PA USD 12560.42000000 0.000496953064 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.50000000 N N N N N N Canyon Capital CLO Ltd N/A 13877BAA6 551760.05000000 PA USD 552067.38000000 0.021842547944 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 5.63400000 N N N N N N Countrywide Alternative Loan Trust N/A 23245QAA7 739560.36000000 PA USD 630982.69000000 0.024964832478 Long ABS-MBS CORP US N 2 2047-03-20 Floating 4.62400000 N N N N N N UBS Securities LLC T6FIZBDPKLYJKFCRVK44 000000000 32000.00000000 OU Notional Amount USD 1798.11000000 0.000071142228 N/A DFE US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 Call Purchased UBS Securities LLC T6FIZBDPKLYJKFCRVK44 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 N/A 1.00000000 NC USD 1798.11000000 0.00000000 DFE US 48800.00000000 CAD 32000.00000000 USD 2025-07-18 1.00000000 1.52500000 USD 2025-07-18 XXXX 95.71000000 N N N USAVFLOW II LTD 254900MV3KWOGGVL7L93 000000000 295000.00000000 PA USD 296475.00000000 0.011730034478 Long LON CORP KY Y 3 2029-08-16 Floating 10.82500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QZ4 3443000.00000000 PA USD 2825815.36000000 0.111803395237 Long DBT UST US N 2 2043-02-15 Fixed 3.12500000 N N N N N N PARAMOUNT GLOBAL 5KYC8KF17ROCY24M3H09 124857AK9 152000.00000000 PA USD 117554.93000000 0.004651061243 Long DBT CORP US N 2 2044-08-15 Fixed 4.90000000 N N N N N N APPLOVIN CORP 549300LLVXMUAOL3SQ07 03831WAE8 2915000.00000000 PA USD 2862908.02000000 0.113270966468 Long DBT CORP US N 2 2054-12-01 Fixed 5.95000000 N N N N N N ANTERO RESOURCES CORP APVBKPOULHUX7YZLKU17 03674XAQ9 997000.00000000 PA USD 1022057.84000000 0.040437722244 Long DBT CORP US N 2 2029-02-01 Fixed 7.62500000 N N N N N N Rakuten Group Inc 529900IMXUCQKUL1H943 000000000 42394.00000000 NS 242602.65000000 0.009598574750 Long EC CORP JP N 2 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2131125.00000000 OU Notional Amount -2349.47000000 -0.00009295678 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2027-03-19 9.95000000 PLN 0.00000000 PLN 2131125.00000000 PLN -2351.88000000 N N N Hermitage Plc 635400OUUMGTAI2EJA52 000000000 84664.57000000 PA 109279.11000000 0.004323628393 Long ABS-O CORP GB Y 2 2033-04-21 Floating 6.06400000 N N N N N N Residential Asset Securitization Trust N/A 761143AB2 11347600.33000000 PA USD 1249951.79000000 0.049454347224 Long ABS-MBS CORP US N 2 2037-09-25 Floating 2.01500000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12597BAW9 2859490.36000000 PA USD 126087.23000000 0.004988641724 Long ABS-MBS CORP US N 2 2052-09-15 Variable 1.32000000 N N N N N N SCF Rahoituspalvelut DAC 875500BJTX1DZ2QIPK23 000000000 100000.00000000 PA 108119.15000000 0.004277734572 Long ABS-O CORP IE Y 2 2034-06-25 Floating 3.77400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFAF3 15909.61000000 PA USD 15302.40000000 0.000605439512 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 457.11000000 0.000018085558 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 259714.57000000 SGD 194000.00000000 USD 2025-04-24 457.11000000 N N N ANTERO RESOURCES CORP APVBKPOULHUX7YZLKU17 03674XAS5 4941000.00000000 PA USD 4851104.43000000 0.191933964830 Long DBT CORP US N 2 2030-03-01 Fixed 5.37500000 N N N N N Cedar Funding Ltd 635400NWFWJ92O7QGD64 15032AAN7 495662.93000000 PA USD 495629.22000000 0.019609571934 Long ABS-CBDO CORP KY N 2 2031-07-17 Floating 5.66400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJET1 232723.95000000 PA USD 222833.52000000 0.008816409048 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAQ2 2928000.00000000 PA USD 3010026.81000000 0.119091721942 Long DBT CORP US N 2 2028-04-01 Fixed 5.70000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 2965000.00000000 PA USD 2950175.00000000 0.116723684856 Long DBT CORP MX N 2 2026-03-20 Fixed 7.50000000 N N N N N N Taubman Centers Commercial Mortgage Trust N/A 87231EAA5 1329000.00000000 PA USD 1325677.50000000 0.052450435222 Long ABS-MBS CORP US N 2 2039-12-15 Floating 5.56200000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1606.00000000 NC USD 1268591.74000000 0.050191836915 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year U.S. Treasury Notes FVM5 Comdty 2025-06-30 172430345.76000000 USD 1268591.74000000 N N N BXP Trust N/A 05607TAJ1 327000.00000000 PA USD 250432.00000000 0.009908343012 Long ABS-MBS CORP US N 2 2044-01-15 Variable 2.77500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJ4W5 568249.96000000 PA USD 503414.65000000 0.019917602501 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.00000000 N N N N N N Hess Corp UASVRYNXNK17ULIGK870 023551AJ3 498000.00000000 PA USD 563608.80000000 0.022299184269 Long DBT CORP US N 2 2031-08-15 Fixed 7.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DPF8 131400.40000000 PA USD 123281.75000000 0.004877642897 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 3.50000000 N N N N N N Pakistan Global Sukuk Programme Co. Ltd. 213800X5OY6CVYNY1M70 000000000 200000.00000000 PA USD 186696.20000000 0.007386635847 Long DBT NUSS PK Y 2 2029-01-31 Fixed 7.95000000 N N N N N N D.R. HORTON INC 529900ZIUEYVSB8QDD25 23331ABS7 1906000.00000000 PA USD 1857486.07000000 0.073491443273 Long DBT CORP US N 2 2034-10-15 Fixed 5.00000000 N N N N N N BankAmerica Manufactured Housing Contract Trust N/A 06606FAM3 470000.00000000 PA USD 56083.74000000 0.002218953381 Long ABS-O CORP US N 2 2022-02-10 Variable 7.07000000 N N N N N N DREYFUS TREASURY & AGENCY LEX N/A 261908107 700000.00000000 NS USD 700000.00000000 0.027695502605 Long STIV RF US N 1 N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDS49 1205722.02000000 PA USD 975714.51000000 0.038604148220 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -4931.85000000 -0.00019512866 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 126040.24000000 EUR 131668.98000000 USD 2025-05-14 -4931.85000000 N N N BWAY Mortgage Trust N/A 05604FAL9 1495000.00000000 PA USD 1357313.64000000 0.053702119218 Long ABS-MBS CORP US N 2 2033-03-10 Fixed 3.44600000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300DNBJ7A0SEFVK31 95000GAA2 1430000.00000000 PA USD 19619.76000000 0.000776255877 Long ABS-MBS CORP US N 2 2049-08-15 Variable 1.24000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A5V66 89383.27000000 PA USD 90829.78000000 0.003593680583 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 5.50000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LBJ9 560000.00000000 PA USD 473985.28000000 0.018753229367 Long DBT CORP US N 2 2053-01-15 Fixed 4.45000000 N N N N N N Voya CLO Ltd 549300KSCKXTOBY0IP86 92917NAW8 1990000.00000000 PA USD 1989860.70000000 0.078728846002 Long ABS-CBDO CORP KY N 2 2037-10-15 Floating 5.81900000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -196315.56000000 -0.00776722586 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 48223200.00000000 BRL 8118110.50000000 USD 2025-06-18 -196315.56000000 N N N Bayview Commercial Asset Trust 5493003DOWFR7J1QCW02 07326FAE8 758543.02000000 PA USD 665989.32000000 0.026349869924 Long ABS-MBS CORP US N 2 2037-12-25 Floating 5.93500000 N N N N N N 522 Funding CLO LTD N/A 33834WAG7 360000.00000000 PA USD 360037.08000000 0.014244868410 Long ABS-CBDO CORP KY N 2 2030-04-20 Floating 8.20500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WSC7 288620.35000000 PA USD 285002.63000000 0.011276130116 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 4.50000000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 33767BAC3 3186000.00000000 PA USD 2726474.36000000 0.107872968202 Long DBT CORP US N 2 2049-04-01 Fixed 4.55000000 N N N N N LIFEPOINT HEALTH INC 549300G8ZVHRTBBBSZ90 53219LAY5 127000.00000000 PA USD 127871.08000000 0.005059219756 Long DBT CORP US N 2 2032-02-15 Fixed 8.37500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 10350668.13000000 OU Notional Amount USD 28965.65000000 0.001146026050 N/A DE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 GSISDRV5 GSISDRV5 GSISDRV5 INDEX Y equity-performance leg 2025-05-06 0.00000000 USD 0.00000000 USD 10350668.13000000 USD 28965.65000000 N N N KONDOR FINANCE PLC (NAK) 213800PUC1T9GI6EIO63 000000000 644855.43000000 PA 613358.07000000 0.024267514322 Long DBT CORP GB Y 2 2026-07-19 Fixed 7.12500000 N N N N N N Bayview Commercial Asset Trust N/A 07324SDF6 51133.50000000 PA USD 48196.75000000 0.001906904593 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.97500000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBU5 273000.00000000 PA USD 251912.94000000 0.009966936408 Long DBT CORP US N 2 2032-01-15 Fixed 4.00000000 N N N N N N Washington Mutual Mortgage Pass-Through CTFS N/A 93935EAF1 858715.92000000 PA USD 291310.36000000 0.011525695477 Long ABS-MBS CORP US N 2 2036-10-25 Variable 4.10800000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 757.43000000 0.000029967720 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 42622782.00000000 CLP 45642.00000000 USD 2025-04-24 757.43000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLP8 3121066.71000000 PA USD 2657395.14000000 0.105139848605 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Impac Secured Assets Corp. N/A 45255RAA5 122889.34000000 PA USD 111770.90000000 0.004422216074 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.77500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SP4 2681000.00000000 PA USD 1366158.00000000 0.054052046355 Long DBT UST US N 2 2050-08-15 Fixed 1.37500000 N N N N N N SOFI PERS LN TR 2024 1 N/A 83407R105 23003.00000000 PA USD 675923.53000000 0.026742916980 Long ABS-O CORP US N 2 2031-02-12 Fixed 1.74900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNFD9 379373.21000000 PA USD 323197.62000000 0.012787315038 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAQ6 834000.00000000 PA USD 731165.65000000 0.028928571663 Long DBT CORP US N 2 2033-01-25 Fixed 3.05700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030641 -152000.00000000 PA USD -134615.10000000 -0.00532604693 Short ABS-MBS USGA US N 2 2055-04-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31391JQR4 11745.70000000 PA USD 11930.38000000 0.000472025529 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.50000000 N N N N N N J&J Ventures Gaming, LLC 549300BYPH8FLKS5ZS70 46604BAH1 313344.56000000 PA USD 309525.52000000 0.012246378350 Long LON CORP US N 2 2030-04-26 Floating 7.82500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382TBX1 1619456.69000000 PA USD 273094.16000000 0.010804971456 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 3.00000000 N N N N N N Banc of America Merrill Lynch Large Loan Inc N/A 05494CAJ4 585000.00000000 PA USD 583388.33000000 0.023081761448 Long ABS-MBS CORP US N 2 2042-02-15 Floating 9.57000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M57A4 336847.12000000 PA USD 321306.83000000 0.012712505924 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4.00000000 N N N N N N DUKE ENERGY PROGRESS LLC 0NIFZ782LS46WOC9QK20 26442UAR5 391000.00000000 PA USD 372140.94000000 0.014723757676 Long DBT CORP US N 2 2053-03-15 Fixed 5.35000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDL3 79800.00000000 PA USD 79769.94000000 0.003156097973 Long DBT CORP MX N 2 2029-06-02 Fixed 8.75000000 N N N N N N ANSYS Inc 549300VJV8H15Z5FJ571 03662Q105 393.00000000 NS USD 124408.08000000 0.004922206148 Long EC CORP US N 1 N N N Silver Point CLO, Ltd 254900U97WKD6RJ07L38 827918AA1 770000.00000000 PA USD 768299.84000000 0.030397786029 Long ABS-CBDO CORP KY N 2 2038-04-15 Floating 0.00000000 N N N N N N Toronto-Dominion Bank PT3QB789TSUIDF371261 000000000 1.00000000 NC -2994.83000000 -0.00011849046 N/A DFE US N 2 Toronto-Dominion Bank PT3QB789TSUIDF371261 52920.83000000 EUR 54271.16000000 USD 2025-04-16 -2994.83000000 N N N Washington Mutual Bank N/A 939ESCAZ2 3780000.00000000 PA USD 0.38000000 0.000000015034 Long DBT CORP US N 3 2049-09-21 None 0.00000000 Y N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BEU6 328196.21000000 PA USD 320325.46000000 0.012673678017 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.50000000 N N N N N N Pony 2221001FWHVHKUW4NQ77 000000000 100000.00000000 PA 108120.45000000 0.004277786006 Long ABS-O CORP LU Y 2 2033-01-14 Floating 4.04200000 N N N N N N BX Trust N/A 05608VAL0 196000.00000000 PA USD 194180.22000000 0.007682741127 Long ABS-MBS CORP US N 2 2034-01-15 Floating 6.68300000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAR0 4682000.00000000 PA USD 4237699.41000000 0.167664592930 Long DBT CORP US N 2 2031-03-24 Fixed 3.12500000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 466330AN7 959000.00000000 PA USD 956003.13000000 0.037824267397 Long ABS-MBS CORP US N 2 2038-04-15 Floating 7.13400000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -10320000.00000000 NC -4381.52000000 -0.00017335485 N/A DIR KY N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 10320000.00000000 OU Notional Amount N/A -4381.52000000 0.00000000 DIR KY N/A N/A 2025-06-26 0.00000000 N/A 0.00000000 N/A 10320000.00000000 CZK 1.00000000 3.70000000 CZK 2025-06-26 XXXX -9.16000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390MJS4 1255.50000000 PA USD 1268.42000000 0.000050185042 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 5.00000000 N N N N N N PECO ENERGY CO YH65D4JBECK76IFEJ279 693304BD8 643000.00000000 PA USD 552967.19000000 0.021878148930 Long DBT CORP US N 2 2052-05-15 Fixed 4.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A5WW8 4761.56000000 PA USD 4706.05000000 0.000186194885 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QSGT9 395357.51000000 PA USD 378595.55000000 0.014979134345 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJEN4 160707.86000000 PA USD 153728.58000000 0.006082271839 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N Navient Student Loan Trust N/A 63943CAA9 2042946.05000000 PA USD 2078732.34000000 0.082245052769 Long ABS-O CORP US N 2 2072-10-15 Fixed 5.66000000 N N N N N N RR Ltd N/A 74988CAA2 1860000.00000000 PA USD 1859947.92000000 0.073588846378 Long ABS-CBDO CORP KY N 2 2039-10-15 Floating 5.66200000 N N N N N N WILLIAM CARTER TGI2A0HXEYNQPU7TYV27 96926JAC1 21000.00000000 PA USD 20854.22000000 0.000825097291 Long DBT CORP US N 2 2027-03-15 Fixed 5.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WJTW1 383635.18000000 PA USD 340427.05000000 0.013468997500 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2577900.00000000 NC USD 103485.83000000 0.004094417249 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Purchased Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 2577900.00000000 OU Notional Amount N/A 103485.83000000 0.00000000 DIR US N/A N/A 2037-03-31 0.00000000 N/A 0.00000000 N/A 2577900.00000000 USD 1.00000000 3.93000000 USD 2027-03-29 XXXX -5366.00000000 N N N CIFC Funding Ltd N/A 12563EAQ6 730000.00000000 PA USD 730508.81000000 0.028902583786 Long ABS-CBDO CORP KY N 2 2037-07-25 Floating 6.05000000 N N N N N N Chase Mortgage Finance Corporation N/A 161630AL2 1154392.47000000 PA USD 1141995.56000000 0.045183058582 Long ABS-MBS CORP US N 2 2037-02-25 Variable 5.98600000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PFL1 203000.00000000 PA USD 199266.28000000 0.007883971109 Long DBT CORP US N 2 2054-07-15 Fixed 5.62500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEP2 1552500.00000000 PA USD 1436305.08000000 0.056827415836 Long DBT UST US N 2 2032-05-15 Fixed 2.87500000 N N N N N N IVORY COAST 254900ICW11T82O6H590 221625AV8 200000.00000000 PA USD 191706.12000000 0.007584853351 Long DBT NUSS CI N 2 2036-04-01 Fixed 8.07500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410G4B6 129438.46000000 PA USD 134984.84000000 0.005340675697 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371KWH0 42135.02000000 PA USD 43386.76000000 0.001716597320 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 5.50000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAK6 3453000.00000000 PA USD 3344194.24000000 0.132313057553 Long DBT CORP US N 2 2029-01-15 Fixed 4.50000000 N N N N N BLUE OWL CAPITAL CORP 2549000BD79OOCPF2L94 69121KAH7 2625000.00000000 PA USD 2631808.86000000 0.104127527342 Long DBT CORP US N 2 2029-03-15 Fixed 5.95000000 N N N N N N NatWest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC -38.79000000 -0.00000153472 N/A DFE US N 2 NatWest Markets PLC RR3QWICWWIPCS8A4S074 31904.64000000 EUR 34485.44000000 USD 2025-04-16 -38.79000000 N N N NISOURCE INC 549300D8GOWWH0SJB189 65473PAU9 220000.00000000 PA USD 218685.75000000 0.008652302512 Long DBT CORP US N 2 2055-04-01 Fixed 5.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EP4Z4 155215.08000000 PA USD 150946.06000000 0.005972181425 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKLB9 115801.91000000 PA USD 110377.68000000 0.004367093320 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 2.50000000 N N N N N N BX Trust N/A 12433BAA5 1963767.57000000 PA USD 1962540.22000000 0.077647911109 Long ABS-MBS CORP US N 2 2041-05-15 Floating 5.96000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 229.03000000 0.000009061572 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 61123.50000000 USD 2513581.65000000 TRY 2025-06-02 229.03000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KYYM0 1526718.68000000 PA USD 1222425.97000000 0.048365288053 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N GSAA Home Equity Trust N/A 3622ELAC0 156001.40000000 PA USD 45154.03000000 0.001786519365 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.77200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNNT5 1194932.89000000 PA USD 965189.45000000 0.038187724182 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N UMBS, TBA N/A 01F062648 10864000.00000000 PA USD 11202082.25000000 0.443210425919 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8MY0 392166.71000000 PA USD 334356.62000000 0.013228820914 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 37000.00000000 PA 32718.99000000 0.001294526961 Long DBT NUSS RO Y 2 2031-07-16 Fixed 2.12400000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -163000.00000000 OU Notional Amount USD -1.14000000 -0.00000004510 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Written Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD -1.14000000 0.00000000 DFE TR -163000.00000000 USD -6031000.00000000 TRY 2025-04-04 1.00000000 37.00000000 USD 2025-04-04 XXXX 1382.73000000 N N N BX Trust N/A 05609BCD9 162000.00000000 PA USD 161804.51000000 0.006401796040 Long ABS-MBS CORP US N 2 2036-02-15 Floating 5.23400000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAS1 3336000.00000000 PA USD 3371204.81000000 0.133381730856 Long DBT CORP US N 2 2034-04-15 Fixed 6.00000000 N N N N N N GS Mortgage Securities Trust N/A 36257CAA5 602463.96000000 PA USD 521819.40000000 0.020645786503 Long ABS-MBS CORP US N 2 2034-05-10 Fixed 2.85600000 N N N N N N Howmet Aerospace Inc 549300HO5WFZUT5N2T22 443201108 1023.00000000 NS USD 132713.79000000 0.005250821595 Long EC CORP US N 1 N N N Natixis New York Branch 2549003L5ZG5M2ZSE107 000000000 372212.23000000 PA USD 372212.23000000 0.014726578265 Long RA CORP US N 2 Repurchase Y 4.35000000 2025-04-01 381423.18000000 USD 379702.47000000 USD UST N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M5G37 283451.89000000 PA USD 279489.36000000 0.011057997568 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177YDZ6 166141.14000000 PA USD 155936.46000000 0.006169626620 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 3.50000000 N N N N N N MATTAMY GROUP CORP 5493008TNY7A82WCXU31 57701RAM4 337000.00000000 PA USD 310200.34000000 0.012273077606 Long DBT CORP CA N 2 2030-03-01 Fixed 4.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197MQM3 61408.18000000 PA USD 59840.69000000 0.002367597122 Long ABS-MBS USGA US N 2 2047-03-15 Fixed 4.50000000 N N N N N N Maverick Gaming LLC N/A 57770JAD8 267246.48000000 PA USD 244530.53000000 0.009674851329 Long LON CORP US N 2 2028-06-03 Floating 11.80500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140N8U97 475532.68000000 PA USD 468828.35000000 0.018549195412 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.00000000 N N N N N N Conseco Finance Securitizations Corp. N/A 20846QBP2 586390.78000000 PA USD 85241.40000000 0.003372576308 Long ABS-O CORP US N 2 2029-09-01 Variable 8.06000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NGTP5 410645.28000000 PA USD 413377.39000000 0.016355277974 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVMA0 7964517.81000000 PA USD 7020525.89000000 0.277767132970 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust 54930012YCNUERXJ1I74 95004AAJ2 170000.00000000 PA USD 171136.28000000 0.006771007555 Long ABS-MBS CORP US N 2 2043-07-15 Fixed 7.08200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179NJB5 55677.34000000 PA USD 53300.23000000 0.002108823798 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 4.00000000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12596WAE4 6891888.79000000 PA USD 357775.18000000 0.014155376328 Long ABS-MBS CORP US N 2 2052-06-15 Variable 1.53500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HNDN6 29476.88000000 PA USD 27512.69000000 0.001088539682 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F020448 -3338000.00000000 PA USD -3016294.11000000 -0.11933968768 Short ABS-MBS USGSE US N 2 2040-04-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ARHV6 5836.53000000 PA USD 5824.08000000 0.000230429746 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 5.00000000 N N N N N N Hilton USA Trust N/A 403956AG0 815000.00000000 PA USD 810925.00000000 0.032084250643 Long ABS-MBS CORP US N 2 2037-05-15 Floating 7.50800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDQE9 543808.85000000 PA USD 440074.63000000 0.017411554374 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N OneMain Financial Issuance Trust N/A 68269NAA0 2497000.00000000 PA USD 2599443.92000000 0.102847008370 Long ABS-O CORP US N 2 2041-05-14 Fixed 5.79000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAL3 177000.00000000 PA USD 177009.68000000 0.007003388648 Long DBT CORP US N 2 2026-03-11 Fixed 4.90000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CFZ9 6100000.00000000 PA USD 6097378.89000000 0.241242818479 Long DBT UST US N 2 2027-11-30 Fixed 3.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ELX6 401134.14000000 PA USD 394762.54000000 0.015618781364 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042646 -95000.00000000 PA USD -91140.63000000 -0.00360597936 Short ABS-MBS USGA US N 2 2055-04-20 Fixed 4.50000000 N N N N N N MercadoLibre Inc 549300DKPDN9M5S8GB14 58733R102 64.00000000 NS USD 124855.68000000 0.004939915443 Long EC CORP US N 1 N N N Bombardier Capital Mortgage Securitization Corp. N/A 09774XBN1 1270292.46000000 PA USD 95242.59000000 0.003768273427 Long ABS-O CORP US N 2 2030-06-15 Variable 7.57500000 N N N N N N UWM HOLDINGS LLC N/A 903522AA8 196000.00000000 PA USD 194399.05000000 0.007691399136 Long DBT CORP US N 2 2030-02-01 Fixed 6.62500000 N N N N N N Zambia Government International Bonds 213800DMLAZ6LGMMD849 000000000 70000.00000000 PA USD 42855.40000000 0.001695574060 Long DBT NUSS ZM Y 2 2053-12-31 Fixed 0.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QM4F8 2506506.79000000 PA USD 2120212.79000000 0.083886226928 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Countrywide Alternative Loan Trust N/A 02150EBG7 513043.19000000 PA USD 240466.47000000 0.009514056780 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828X88 13530500.00000000 PA USD 13110314.52000000 0.518709642784 Long DBT UST US N 2 2027-05-15 Fixed 2.37500000 N N N N N N Bryant Park Funding Ltd 5493004CTFWJSWYD8564 11765AAQ2 250000.00000000 PA USD 249704.25000000 0.009879549580 Long ABS-CBDO CORP KY N 2 2038-04-15 Floating 5.49300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RQ28 64680.18000000 PA USD 60018.15000000 0.002374618328 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 3.50000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AW0 369000.00000000 PA USD 379394.90000000 0.015010760630 Long DBT CORP GB N 2 2030-04-01 Fixed 5.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QTAC0 63708.47000000 PA USD 58831.32000000 0.002327661394 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 115449124.00000000 OU Notional Amount USD 5975415.76000000 0.236417346786 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.HY.S44 2I65BRAD4 Y sell protection 2030-06-20 6707228.04000000 USD 0.00000000 USD 115449124.00000000 USD -731812.28000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCU8 3604000.00000000 PA USD 3181403.75000000 0.125872251211 Long DBT CORP US N 2 2033-01-25 Fixed 2.96300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YNTH0 24555.74000000 PA USD 23616.14000000 0.000934372667 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179N2J6 643455.91000000 PA USD 599743.96000000 0.023728872009 Long ABS-MBS USGA US N 2 2044-02-20 Fixed 3.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 61600.00000000 OU Notional Amount 2635.39000000 0.000104269215 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Purchased UBS Switzerland AG 549300WOIFUSNYH0FL22 UBS Switzerland AG 549300WOIFUSNYH0FL22 N/A 1.00000000 NC USD 2635.39000000 0.00000000 DFE AU 40964.00000000 USD 61600.00000000 AUD 2025-06-16 1.00000000 0.66500000 AUD 2025-06-16 XXXX -2906.32000000 N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBQ7 385000.00000000 PA USD 338307.26000000 0.013385128001 Long DBT CORP US N 2 2050-04-02 Fixed 5.28200000 N N N N N N Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 000000000 1.00000000 NC -868.98000000 -0.00003438119 N/A DFE SG N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 194000.00000000 USD 259161.88000000 SGD 2025-04-24 -868.98000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FMUR1 5887597.51000000 PA USD 140494.56000000 0.005558667789 Long ABS-MBS USGSE US N 2 2029-05-25 Variable 0.78700000 N N N N N N PETROLEOS DE VENEZUELA S 549300YWR8TN1OFD4P06 000000000 147100.00000000 PA USD 20226.25000000 0.000800251656 Long DBT CORP VE Y 2 2026-11-15 None 0.00000000 Y N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DV74 12626214.15000000 PA USD 10125358.10000000 0.400609830916 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAT6 2640000.00000000 PA USD 2003942.21000000 0.079285980998 Long DBT CORP US N 2 2052-03-15 Fixed 4.25000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312941KX4 25503.71000000 PA USD 25197.53000000 0.000996940368 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 4.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 37000.00000000 OU Notional Amount -799.00000000 -0.00003161243 N/A DCR DE N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 UBS Group AG UBS Group AG Y buy protection 2028-06-20 1222.27000000 EUR 0.00000000 EUR 37000.00000000 EUR -2124.89000000 N N N Bluemountain CLO Ltd 549300KGXMRFX2DKIX03 09626YAN0 75429.87000000 PA USD 75450.01000000 0.002985179926 Long ABS-CBDO CORP KY N 2 2030-10-22 Floating 5.73200000 N N N N N N CIFC Funding Ltd N/A 12598YAA6 390000.00000000 PA USD 391704.69000000 0.015497797517 Long ABS-CBDO CORP KY N 2 2037-01-20 Floating 5.89300000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 000000000 116000.00000000 PA USD 84179.58000000 0.003330565396 Long DBT NUSS UA Y 2 2041-08-01 None 0.00000000 N N N N N N OFFICE CHERIFIEN DES PHO 213800D26TAPVTCVWG40 67091TAF2 200000.00000000 PA USD 205352.40000000 0.008124768470 Long DBT CORP MA N 2 2034-05-02 Fixed 6.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179F7F6 124371.22000000 PA USD 116652.72000000 0.004615365301 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 3.50000000 N N N N N N XHR LP 549300M88BPT83ZL2164 98372MAC9 52000.00000000 PA USD 48708.36000000 0.001927146444 Long DBT US N 2 2029-06-01 Fixed 4.87500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810UC0 852000.00000000 PA USD 804208.13000000 0.031818497656 Long DBT UST US N 2 2054-08-15 Fixed 4.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CKE0 10412300.00000000 PA USD 10477783.58000000 0.414553546344 Long DBT UST US N 2 2027-03-15 Fixed 4.25000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -1350.78000000 -0.00005344361 N/A DFE GB N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 800903.55000000 USD 619000.00000000 GBP 2025-04-24 -1350.78000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7CB3 915504.68000000 PA USD 860862.76000000 0.034060038303 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 4.00000000 N N N N N N SMB Private Education Loan Trust 549300ZLJ4U248VKSJ66 78448QAE8 437427.38000000 PA USD 434158.57000000 0.017177485438 Long ABS-O CORP US N 2 2040-12-17 Fixed 3.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAV1 1097000.00000000 PA USD 982364.42000000 0.038867251934 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179NDR6 329821.88000000 PA USD 307625.85000000 0.012171217900 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 3.50000000 N N N N N N Bear Stearns Structured Products Inc. N/A 07402LAC6 695890.25000000 PA USD 690346.51000000 0.027313562237 Long ABS-MBS CORP US N 2 2037-03-25 Floating 6.43500000 N N N N N N J.P. Morgan Alternative Loan Trust N/A 466287AD1 386140.35000000 PA USD 317553.52000000 0.012564006200 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.85500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPF86 1651602.56000000 PA USD 1628330.06000000 0.064424884885 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WCK85 281788.41000000 PA USD 273709.91000000 0.010829333607 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM6P5 335037.27000000 PA USD 315564.18000000 0.012485297956 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 4.00000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BS0 159000.00000000 PA USD 171033.12000000 0.006766926029 Long DBT CORP US N 2 2052-11-01 Fixed 6.25000000 N N N N N N T-Mobile US Inc 549300QHIJYOHPACPG31 872590104 470.00000000 NS USD 125353.70000000 0.004959619607 Long EC CORP US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X82Y2 439799.81000000 PA USD 389735.17000000 0.015419873451 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFZF6 186212.26000000 PA USD 178913.29000000 0.007078704984 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 2.50000000 N N N N N N Bain Capital Credit CLO, Limited N/A 05682VAQ8 250000.00000000 PA USD 250375.75000000 0.009906117480 Long ABS-CBDO CORP KY N 2 2031-07-19 Floating 5.84300000 N N N N N N RR Ltd 549300RJ4N2AJDFNE876 74983AAL7 250000.00000000 PA USD 249446.50000000 0.009869351701 Long ABS-CBDO CORP KY N 2 2040-04-15 Floating 0.00000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308KJ5 794000.00000000 PA USD 817773.57000000 0.032355214341 Long DBT CORP US N 2 2033-01-15 Fixed 6.15000000 N N N N N N Bayview Commercial Asset Trust N/A 07324SCT7 34111.73000000 PA USD 32746.76000000 0.001295625681 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.11000000 N N N N N N CIVITAS RESOURCES INC IIVIHPH28S64K95M2381 17888HAA1 268000.00000000 PA USD 276572.48000000 0.010942591200 Long DBT CORP US N 2 2028-07-01 Fixed 8.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XJDZ7 172303.97000000 PA USD 169171.00000000 0.006693251244 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XLUU4 352030.73000000 PA USD 346231.07000000 0.013698633573 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.50000000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AG2 1305000.00000000 PA USD 1228857.17000000 0.048619738505 Long DBT CORP US N 2 2029-06-15 Fixed 3.62500000 N N N N N N Benefit Street Partners CLO Ltd N/A 08182KAE8 250000.00000000 PA USD 250974.50000000 0.009929807026 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 11.31400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QM4E1 2069457.69000000 PA USD 1755293.75000000 0.069448203752 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N JP Morgan Mortgage Trust N/A 46654CAF2 4075634.96000000 PA USD 114555.91000000 0.004532405005 Long ABS-MBS CORP US N 2 2052-02-25 Variable 0.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H060648 -79000.00000000 PA USD -80176.40000000 -0.00317217956 Short ABS-MBS USGA US N 2 2055-04-20 Fixed 6.00000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AW9 170000.00000000 PA USD 166884.63000000 0.006602791007 Long DBT CORP CO N 2 2032-02-01 Fixed 7.75000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863BD1 439000.00000000 PA USD 441185.68000000 0.017455513071 Long DBT CORP GB N 2 2033-05-02 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 000000000 3427845973.00000000 OU Notional Amount -180.60000000 -0.00000714543 N/A DIR US N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N/A N/A Y 2025-05-10 0.00000000 COP 0.00000000 COP 3427845973.00000000 COP -180.60000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312934WB4 228630.78000000 PA USD 224710.98000000 0.008890690760 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RLV2 1635000.00000000 PA USD 1102696.25000000 0.043628181235 Long DBT CORP US N 2 2059-09-15 Fixed 3.65000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 3930000.00000000 PA 189583.68000000 0.007500879004 Long DBT NUSS MX N 2 2029-03-01 Fixed 8.50000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -518000.00000000 OU Notional Amount -198.73000000 -0.00000786275 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 1.00000000 NC USD -198.73000000 0.00000000 DFE US -518000.00000000 AUD -330225.00000000 USD 2025-04-08 1.00000000 0.63750000 AUD 2025-04-08 XXXX 2887.19000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36198QTY4 92192.36000000 PA USD 87825.99000000 0.003474835621 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 4.00000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CV9 181000.00000000 PA USD 175122.22000000 0.006928711286 Long DBT CORP US N 2 2054-04-01 Fixed 6.00000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCQ4 29000.00000000 PA USD 25748.95000000 0.001018757302 Long DBT CORP US N 2 2032-02-01 Fixed 4.75000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 1536.24000000 0.000060781341 N/A DFE TR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 126000.00000000 USD 5013540.00000000 TRY 2025-04-30 1536.24000000 N N N Bay Area Toll Authority 5493001FUZGUQMIP5D78 072024NV0 1215000.00000000 PA USD 1416266.94000000 0.056034606752 Long DBT MUN US N 2 2050-04-01 Fixed 7.04300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SA7 12026300.00000000 PA USD 9167235.03000000 0.362701688085 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAR0 2019000.00000000 PA USD 2058382.88000000 0.081439926309 Long DBT CORP US N 2 2034-02-01 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CXN9 34702.37000000 PA USD 32690.64000000 0.001293405293 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNEJ7 795063.08000000 PA USD 644864.68000000 0.025514073464 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 59259YGF0 330000.00000000 PA USD 362439.89000000 0.014339935596 Long DBT MUN US N 2 2040-11-15 Fixed 6.81400000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 154747.66000000 0.006122591743 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 23301800.00000000 EUR 25459844.94000000 USD 2025-06-18 154747.66000000 N N N Battalion CLO LTD 549300WYAEH0STKIKE49 07134QAQ9 298000.00000000 PA USD 295779.30000000 0.011702509105 Long ABS-CBDO CORP KY N 2 2036-10-15 Floating 6.31400000 N N N N N N Goldman Sachs Fin Square Govt Fd N/A 38141W273 300000.00000000 NS USD 300000.00000000 0.011869501116 Long STIV RF US N 1 N N United States Treasury 254900HROIFWPRGM1V77 912810UD8 3582800.00000000 PA USD 3356635.75000000 0.132805305943 Long DBT UST US N 2 2044-08-15 Fixed 4.12500000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CB3 190000.00000000 PA USD 125291.15000000 0.004957144816 Long DBT CORP US N 2 2051-07-15 Fixed 3.50000000 N N N N N N Fortuna Consumer Loan ABS 635400WJJIABFKEPEL72 000000000 300000.00000000 PA 329125.35000000 0.013021845697 Long ABS-O CORP IE N 2 2034-10-18 Floating 6.46800000 N N N N N N Bluemountain CLO Ltd N/A 09630AAS5 970000.00000000 PA USD 968933.97000000 0.038335876129 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 6.15000000 N N N N N N Palmer Square CLO Ltd 549300Y43K78UTRMTN21 69700GAJ1 550000.00000000 PA USD 550139.70000000 0.021766279278 Long ABS-CBDO CORP KY N 2 2034-11-14 Floating 5.73000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNHX4 470141.19000000 PA USD 442814.11000000 0.017519941910 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 4.00000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967LS8 1702000.00000000 PA USD 1654247.56000000 0.065450310869 Long DBT CORP US N 2 2028-10-27 Fixed 3.52000000 N N N N N N CIFC Funding Ltd N/A 12560EAQ9 250000.00000000 PA USD 251035.00000000 0.009932200709 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 6.20500000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3700406.00000000 OU Notional Amount -956.47000000 -0.00003784273 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2026-09-19 17.17000000 PLN 0.00000000 PLN 3700406.00000000 PLN -960.66000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BFU5 294652.05000000 PA USD 287707.39000000 0.011383143956 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.50000000 N N N N N N Dryden Senior Loan Fund N/A 26251YAE6 250000.00000000 PA USD 250068.25000000 0.009893951242 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 6.15500000 N N N N N N Countrywide Alternative Loan Trust N/A 23242GAE4 487420.68000000 PA USD 452208.68000000 0.017891638107 Long ABS-MBS CORP US N 2 2046-10-25 Floating 4.81500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ECKY8 33506.06000000 PA USD 31231.83000000 0.001235687470 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBL9 3196000.00000000 PA USD 2867834.53000000 0.113465883854 Long DBT CORP US N 2 2031-04-22 Fixed 2.52200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202DZX2 218970.05000000 PA USD 219429.45000000 0.008681727006 Long ABS-MBS USGA US N 2 2033-10-20 Fixed 5.00000000 N N N N N N ORL TRUST N/A 67120DAA3 2560000.00000000 PA USD 2558400.00000000 0.101223105523 Long ABS-MBS CORP US N 2 2039-12-15 Floating 5.81200000 N N N N N N CHENIERE CORP CHRISTI HD 549300I7CIEWU1BBLQ53 16412XAG0 1850000.00000000 PA USD 1865205.96000000 0.073796880750 Long DBT CORP US N 2 2027-06-30 Fixed 5.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179S5M5 137810.09000000 PA USD 129921.96000000 0.005140362831 Long ABS-MBS USGA US N 2 2047-05-20 Fixed 4.00000000 N N N N N N JP Morgan Mortgage Trust N/A 46654CAV7 88984.24000000 PA USD 72158.07000000 0.002854934308 Long ABS-MBS CORP US N 2 2052-02-25 Variable 3.26900000 N N N N N N Benefit Street Partners CLO Ltd 549300D98ZLKNSI8CN63 08180XAN2 595570.76000000 PA USD 595850.08000000 0.023574810633 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 5.65500000 N N N N N N Voya Euro CLO 549300IGE7MPYA8F0423 000000000 340000.00000000 PA 366816.90000000 0.014513112013 Long ABS-CBDO CORP IE N 2 2035-04-15 Floating 4.53500000 N N N N N N Aimco N/A 00901WAE9 250000.00000000 PA USD 250431.75000000 0.009908333120 Long ABS-CBDO CORP JE N 2 2037-04-18 Floating 6.21300000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 87703.00000000 OU Notional Amount -1325.74000000 -0.00005245290 N/A DIR US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 N/A N/A Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 87703.00000000 BRL -1325.74000000 N N N Elmwood CLO 29 Ltd N/A 289913AC9 730000.00000000 PA USD 731186.98000000 0.028929415585 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 5.81300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNEK4 1818180.99000000 PA USD 1471317.64000000 0.058212687903 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17312GAB7 514214.67000000 PA USD 355435.16000000 0.014062793428 Long ABS-O CORP US N 2 2045-07-25 Floating 4.60500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132G0B58 50115.03000000 PA USD 49380.17000000 0.001953726609 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 3.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJL4 469000.00000000 PA USD 401311.41000000 0.015877887430 Long DBT CORP US N 2 2031-10-24 Fixed 1.92200000 N N N N N N RR Ltd N/A 74988FAA5 1620000.00000000 PA USD 1616042.34000000 0.063938721197 Long ABS-CBDO CORP KY N 2 2040-04-15 Floating 5.47200000 N N N N N N Panama Government International Bonds 549300SHS4T08CL0LP14 698299BM5 1811000.00000000 PA USD 1101812.40000000 0.043593211707 Long DBT NUSS PA N 2 2056-04-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QHPS8 377306.96000000 PA USD 343634.36000000 0.013595894732 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 2.00000000 N N N N N N ELP 2021-ELP N/A 26863LAQ7 411662.83000000 PA USD 409475.87000000 0.016200914320 Long ABS-MBS CORP US N 2 2038-11-15 Floating 7.55000000 N N N N N N Edenbrook Mortgage Funding Plc 635400URO7UOS6PWLH17 000000000 138923.54000000 PA 180707.52000000 0.007149693701 Long ABS-MBS CORP GB Y 2 2057-03-22 Floating 7.03000000 N N N N N N Nelnet Student Loan Trust N/A 64034YAD3 170000.00000000 PA USD 145646.43000000 0.005762501545 Long ABS-O CORP US N 2 2062-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H062644 -45000.00000000 PA USD -46064.15000000 -0.00182252826 Short ABS-MBS USGA US N 2 2055-04-20 Fixed 6.50000000 N N N N N N UMBS, TBA N/A 01F040446 -586000.00000000 PA USD -570907.56000000 -0.02258795973 Short ABS-MBS USGSE US N 2 2040-04-01 Fixed 4.00000000 N N N N N N BCPE North Star US Holdco 2 Inc 254900AGB0JDUDNIJC95 05552DAD4 188930.39000000 PA USD 184821.15000000 0.007312449487 Long LON CORP US N 2 2028-06-09 Floating 8.43900000 N N N N N N ARES Commercial Mortgage Trust N/A 04021EAA4 1120000.00000000 PA USD 1117200.00000000 0.044202022158 Long ABS-MBS CORP US N 2 2034-10-15 Floating 5.76200000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QC5 9665200.00000000 PA USD 9762229.52000000 0.386242647297 Long DBT UST US N 2 2039-08-15 Fixed 4.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -4891.21000000 -0.00019352074 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 125001.76000000 EUR 130584.13000000 USD 2025-05-14 -4891.21000000 N N N OCP CLO Ltd N/A 67116HAJ1 2700000.00000000 PA USD 2685717.00000000 0.106260403102 Long ABS-CBDO CORP JE N 2 2037-04-17 Floating 5.39900000 N N N N N N Countrywide Alternative Loan Trust N/A 02150JAA0 1940193.95000000 PA USD 940867.95000000 0.037225443943 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 6.00000000 N N N N N N BXP Trust N/A 05607CAL3 260000.00000000 PA USD 232234.70000000 0.009188366769 Long ABS-MBS CORP US N 2 2037-08-13 Variable 3.55200000 N N N N N N Coreweave Compute Acquisition Co II LLC N/A 000000000 2072400.00000000 PA USD 2056857.00000000 0.081379554861 Long LON CORP US Y 3 2028-06-30 Floating 13.95000000 N N N N N N Bluemountain CLO Ltd N/A 09629VAE3 250000.00000000 PA USD 250060.00000000 0.009893624830 Long ABS-CBDO CORP KY N 2 2031-08-15 Floating 6.28500000 N N N N N N Hilton USA Trust N/A 403956AA3 1946000.00000000 PA USD 1944783.56000000 0.076945368790 Long ABS-MBS CORP US N 2 2037-05-15 Floating 5.86000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 3000000.00000000 OU Notional Amount USD -81132.43000000 -0.00321000489 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 American Express Co. American Express Co. Y buy protection 2029-12-20 0.00000000 USD -80421.30000000 USD 3000000.00000000 USD -711.13000000 N N N Anchorage Capital CLO LTD 549300UNU854VTZYQ112 03332PAN7 1890000.00000000 PA USD 1885267.44000000 0.074590613281 Long ABS-CBDO CORP KY N 2 2038-02-15 Floating 5.55200000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 2174.00000000 NC USD 742261.73000000 0.029367588110 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year U.S. Treasury Notes Futures TUM5 Comdty 2025-06-30 449649396.69000000 USD 742261.73000000 N N N LCM Ltd Partnership N/A 50200FAC3 550503.94000000 PA USD 550563.94000000 0.021783064335 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 5.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KFAE2 12946.09000000 PA USD 12490.97000000 0.000494205274 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N PILGRIM'S PRIDE CORP 549300ZSLGV64ZL3HD75 72147KAK4 436000.00000000 PA USD 451319.73000000 0.017856466797 Long DBT CORP US N 2 2033-07-01 Fixed 6.25000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDU7 865000.00000000 PA USD 882644.73000000 0.034921842027 Long DBT CORP US N 2 2029-07-24 Fixed 5.29900000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810UG1 7816000.00000000 PA USD 7868513.75000000 0.311317775808 Long DBT UST US N 2 2055-02-15 Fixed 4.62500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEH4 2132000.00000000 PA USD 1829961.52000000 0.072402434350 Long DBT CORP US N 2 2032-10-20 Fixed 2.51100000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2577900.00000000 NC USD 116006.74000000 0.004589807099 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Purchased Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 2577900.00000000 OU Notional Amount N/A 116006.74000000 0.00000000 DIR US N/A N/A 2037-03-31 0.00000000 N/A 0.00000000 N/A 2577900.00000000 USD 1.00000000 3.93000000 USD 2027-03-29 XXXX 7154.91000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWS47 624195.48000000 PA USD 568655.20000000 0.022498845104 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 2.00000000 N N N N N N UBER TECHNOLOGIES INC 549300B2FTG34FILDR98 90353TAQ3 309000.00000000 PA USD 288638.11000000 0.011419967896 Long DBT CORP US N 2 2054-09-15 Fixed 5.35000000 N N N N N N Bridge Street CLO Ltd N/A 10806JAA1 250000.00000000 PA USD 250258.00000000 0.009901458701 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.78500000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GB78 830000.00000000 PA USD 807053.24000000 0.031931064444 Long DBT CORP US N 2 2035-10-23 Fixed 5.01600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196FZE7 105653.43000000 PA USD 98014.58000000 0.003877947222 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QM3K8 1593665.74000000 PA USD 1289653.94000000 0.051025162936 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030641 1270000.00000000 PA USD 1124744.56000000 0.044500522703 Long ABS-MBS USGA US N 2 2055-04-20 Fixed 3.00000000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAJ3 219000.00000000 PA USD 164049.17000000 0.006490606021 Long DBT CORP US N 2 2060-04-01 Fixed 3.70000000 N N N N N N Anchorage Capital CLO LTD 54930014PVHLSZJQK139 03328TBY0 250000.00000000 PA USD 252879.50000000 0.010005178358 Long ABS-CBDO CORP KY N 2 2037-04-28 Floating 8.10000000 N N N N N N SONDER BRIDGE NOTES N/A 000000000 241190.20000000 PA USD 229130.69000000 0.009065556602 Long DBT CORP US Y 3 2027-12-10 Fixed 13.56100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EH3N0 855861.56000000 PA USD 890109.54000000 0.035217187263 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 6.50000000 N N N N N N Anchorage Capital CLO LTD 54930064GO7DB3TVDY21 03328QBL4 890000.00000000 PA USD 890324.85000000 0.035225706004 Long ABS-CBDO CORP KY N 2 2034-04-22 Floating 5.73000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XND4 4347417.13000000 PA USD 4073019.59000000 0.161149035239 Long ABS-MBS USGA US N 2 2052-12-20 Fixed 4.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967PL9 2717000.00000000 PA USD 2732329.45000000 0.108104624859 Long DBT CORP US N 2 2035-06-11 Fixed 5.44900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNNX6 834906.68000000 PA USD 675624.99000000 0.026731105244 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810ST6 9628000.00000000 PA USD 6256695.63000000 0.247546185890 Long DBT UST US N 2 2040-11-15 Fixed 1.37500000 N N N N N N Ajax Mortgage Loan Trust N/A 009740AD3 449000.00000000 PA USD 288704.08000000 0.011422577999 Long ABS-MBS CORP US N 2 2060-12-25 Variable 3.72900000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -262.85000000 -0.00001039966 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 175000.00000000 EUR 189188.30000000 USD 2025-04-24 -262.85000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC N/A -2733.66000000 -0.00010815726 N/A DFE ZA N 2 Citibank NA E57ODZWZ7FF32TWEFA76 270000.00000000 EUR 5318320.14000000 ZAR 2025-04-24 -2733.66000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H8AS4 49152.85000000 PA USD 47891.76000000 0.001894837662 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.50000000 N N N N N N S&P Global Inc Y6X4K52KMJMZE7I7MY94 78409V104 256.00000000 NS USD 130073.60000000 0.005146362468 Long EC CORP US N 1 N N N Canyon Capital CLO Ltd 25490032WO5XW3V7KL43 13876RAS3 290000.00000000 PA USD 290679.76000000 0.011500745786 Long ABS-CBDO CORP KY N 2 2037-10-15 Floating 6.25200000 N N N N N N ALLSPRING GOVT FUND LEX N/A 09248U700 700000.00000000 NS USD 700000.00000000 0.027695502605 Long STIV RF US N 1 N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 593000.00000000 OU Notional Amount 3832.52000000 0.000151633668 N/A DFE KY N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Purchased Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD 3832.52000000 0.00000000 DFE XX 640440.00000000 USD 593000.00000000 EUR 2025-04-16 1.00000000 1.08000000 EUR 2025-04-16 XXXX 1399.85000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9ZF2 192906.50000000 PA USD 194843.79000000 0.007708995276 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 5.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCJ3 545000.00000000 PA USD 504601.18000000 0.019964547565 Long DBT CORP US N 2 2029-06-01 Fixed 2.06900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132G5AU3 31933.25000000 PA USD 31414.13000000 0.001242900170 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 3.00000000 N N N N N N KEY BANK NA HUX2X73FUCYHUVH1BK78 49327M3H5 2160000.00000000 PA USD 2103584.93000000 0.083228345585 Long DBT CORP US N 2 2033-01-26 Fixed 5.00000000 N N N N N N Mortimer BTL Plc 213800F12CZ391USLI51 000000000 100000.00000000 PA 129359.27000000 0.005118099999 Long ABS-MBS CORP GB Y 2 2067-09-22 Floating 6.03000000 N N N N N N Rockford Tower CLO Ltd 5493007GXSFXDXOXG741 77340EAW6 856000.00000000 PA USD 855964.90000000 0.033866254454 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.65500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BMN27 37992.61000000 PA USD 37541.89000000 0.001485345017 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WTV37 34172.71000000 PA USD 33505.39000000 0.001325640880 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFGB1 1951370.48000000 PA USD 1640416.88000000 0.064903099963 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Eli Lilly & Co FRDRIPF3EKNDJ2CQJL29 532457108 151.00000000 NS USD 124712.41000000 0.004934246965 Long EC CORP US N 1 N N N Norfolk Southern Corp 54930036C8MWP850MI84 655844BY3 543000.00000000 PA USD 436505.86000000 0.017270355975 Long DBT CORP US N 2 2048-02-28 Fixed 4.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417F4J4 333297.80000000 PA USD 299762.78000000 0.011860115506 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Romark CLO Ltd N/A 77587AAC0 264827.17000000 PA USD 264958.26000000 0.010483074543 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 5.58500000 N N N N N N Dryden Senior Loan Fund 254900XGNUOV0Y3IBA68 26252VAS0 610000.00000000 PA USD 610187.88000000 0.024142085743 Long ABS-CBDO CORP KY N 2 2034-05-20 Floating 5.70400000 N N N N N N CFK Trust N/A 12528XAJ4 728000.00000000 PA USD 671671.66000000 0.026574691728 Long ABS-MBS CORP US N 2 2039-01-15 Variable 4.63700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FMA1 151447.58000000 PA USD 145402.88000000 0.005752865488 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 4.00000000 N N N N N N NEWDAY FUNDING N/A 000000000 246000.00000000 PA 320851.12000000 0.012694475757 Long ABS-O CORP GB Y 2 2032-07-15 Floating 7.11300000 N N N N N N CRSO TR 2023 BRND N/A 228925AA1 5522122.00000000 PA USD 5779879.19000000 0.228680941667 Long ABS-MBS CORP US N 2 2040-07-10 Variable 7.12100000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJM2 255000.00000000 PA USD 159043.11000000 0.006292541239 Long DBT CORP US N 2 2051-10-24 Fixed 2.83100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412RHS9 16283.98000000 PA USD 16074.82000000 0.000636000313 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810TT5 1956200.00000000 PA USD 1802607.74000000 0.071320181943 Long DBT UST US N 2 2053-08-15 Fixed 4.12500000 N N N N N N Asimi Funding Holdings Limited 635400ED9TX8KJO28Q39 000000000 100000.00000000 PA 129369.73000000 0.005118513849 Long ABS-O CORP GB Y 2 2031-09-16 Floating 6.41300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J6DA2 16588.85000000 PA USD 15881.07000000 0.000628334593 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8XE2 1473044.98000000 PA USD 1190192.49000000 0.047089970297 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.00000000 N N N N N N MASTR Asset Backed Securities Trust N/A 576457AD7 621846.00000000 PA USD 524117.18000000 0.020736698177 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.99500000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625H100 7468.00000000 NS USD 1831900.40000000 0.072479146144 Long EC CORP US N 1 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 156000.00000000 PA USD 149548.14000000 0.005916872715 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804GD0 729000.00000000 PA USD 412398.04000000 0.016316529987 Long DBT CORP US N 2 2050-12-15 Fixed 2.45000000 N N N N N N Amazon.com Inc ZXTILKJKG63JELOEG630 023135106 644.00000000 NS USD 122527.44000000 0.004847798619 Long EC CORP US N 1 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CBA0 807000.00000000 PA USD 804064.92000000 0.031812831552 Long DBT CORP US N 2 2036-03-27 Fixed 5.33300000 N N N N N N WOM CHILE HOLDCO SPA N/A 97810KAA9 546844.00000000 PA USD 546844.00000000 0.021635884895 Long DBT CORP CL N 2 2032-04-01 Fixed 5.00000000 N N N N N WOM Chile Holdco SpA USD XXXX N N N HR OTTAWA LP N/A 44331MAB5 3772000.00000000 PA USD 3710612.21000000 0.146810385900 Long DBT CORP CA N 2 2031-03-31 Fixed 11.00000000 N N N N N N OCEANA A 4 YEAR N/A 000000000 759000.00000000 PA 497405.12000000 0.019679835424 Long ABS-O CORP AU Y 3 2027-07-31 Fixed 12.50000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 92873KAA4 1089468.18000000 PA USD 1088284.47000000 0.043057979106 Long ABS-O CORP US N 2 2051-12-26 Variable 5.73400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XPHS5 150248.36000000 PA USD 147700.60000000 0.005843774788 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CKK6 5030000.00000000 PA USD 5073030.09000000 0.200714454394 Long DBT UST US N 2 2026-04-30 Fixed 4.87500000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 903724CB6 33920.00000000 PA USD 17821.57000000 0.000705110483 Long DBT NUSS UA N 2 2035-02-01 Variable 1.75000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400FA6 444000.00000000 PA USD 434146.10000000 0.017176992062 Long DBT CORP US N 2 2035-07-15 Fixed 5.35000000 N N N N N N SCG Hotel Issuer Inc N/A 78398EAJ4 581000.00000000 PA USD 581758.70000000 0.023017285131 Long ABS-MBS CORP US N 2 2035-03-15 Floating 7.26000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGPR4 800906.14000000 PA USD 725864.34000000 0.028718825314 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 2.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 1057.52000000 0.000041840782 N/A DFE XX N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 188393.63000000 USD 175000.00000000 EUR 2025-04-24 1057.52000000 N N N REPUBLIC OF NIGERIA 549300GSBZD84TNEQ285 65412AFD9 200000.00000000 PA USD 200713.60000000 0.007941234331 Long DBT NUSS NG N 2 2034-12-09 Fixed 10.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412TMY6 39456.82000000 PA USD 39996.36000000 0.001582456132 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 -16000.00000000 OU Notional Amount USD -8337.70000000 -0.00032988113 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Put Written Bank of America NA B4TYDEB6GKMZO031MB27 Bank of America NA B4TYDEB6GKMZO031MB27 N/A 1.00000000 NC USD -8337.70000000 0.00000000 DFE CL -16000.00000000 USD -15200000.00000000 CLP 2025-04-08 1.00000000 950.00000000 USD 2025-04-08 XXXX -888.10000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CCB5 14416000.00000000 PA USD 12545861.91000000 0.496377073169 Long DBT UST US N 2 2031-05-15 Fixed 1.62500000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61744YAP3 3364000.00000000 PA USD 3290426.66000000 0.130185743051 Long DBT CORP US N 2 2029-01-24 Fixed 3.77200000 N N N N N N Australia & New Zealand Banking Group Ltd. JHE42UYNWWTJB8YTTU19 000000000 1.00000000 NC N/A -581.17000000 -0.00002299399 N/A DFE AU N 2 Australia & New Zealand Banking Group Ltd. JHE42UYNWWTJB8YTTU19 96000.00000000 EUR 165364.35000000 AUD 2025-04-24 -581.17000000 N N N Ukraine Government International Bonds 6354001WLTJXOMEXPY07 000000000 136080.00000000 PA USD 72846.35000000 0.002882166108 Long DBT NUSS UA Y 2 2034-02-01 Variable 1.75000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 634000.00000000 NC USD 30433.71000000 0.001204109849 N/A DIR US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 Call Purchased BNP Paribas SA R0MUWSFPU8MPRO8K5P83 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 N/A 634000.00000000 OU Notional Amount N/A 30433.71000000 0.00000000 DIR US N/A N/A 2027-03-29 0.00000000 N/A 0.00000000 N/A 634000.00000000 USD 1.00000000 4.00000000 USD 2027-03-29 XXXX 3932.51000000 N N N APOLLO DEBT SOLUTIONS BD 549300UMUGX092P8DW87 03770DAD5 2243000.00000000 PA USD 2314206.70000000 0.091561596699 Long DBT CORP US N 2 2031-07-29 Fixed 6.70000000 N N N N N N Altice USA Inc 54930064K3612MGCER95 02156K103 73406.00000000 NS USD 195259.96000000 0.007725461044 Long EC CORP US Y 1 N N N OCEANA A 2 YEAR N/A 000000000 304000.00000000 PA 190904.18000000 0.007553124592 Long ABS-O CORP AU Y 3 2025-07-31 Fixed 12.00000000 N N N N N N New York City Municipal Water Finance Authority 549300Q2EHQ6RJPQKP05 64972FY34 270000.00000000 PA USD 279142.04000000 0.011044255851 Long DBT MUN US N 2 2044-06-15 Fixed 5.88200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHWU7 313261.51000000 PA USD 312393.91000000 0.012359866211 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5.00000000 N N N N N N HPS CORPORATE LENDING FU 549300ZS7IHUA6FKFV61 40440VAD7 675000.00000000 PA USD 671895.74000000 0.026583557454 Long DBT CORP US N 2 2028-01-14 Fixed 5.45000000 N N N N N N FULL HOUSE RESORTS INC 5493009DKIWW0H901Y82 359678AC3 97000.00000000 PA USD 95858.55000000 0.003792643887 Long DBT CORP US N 2 2028-02-15 Fixed 8.25000000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 12057000.00000000 OU Notional Amount USD 18845.85000000 0.000745636125 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-04-15 103.39000000 USD 0.00000000 USD 12057000.00000000 USD 18742.46000000 N N N Countrywide Asset-Backed Certificates N/A 126683AE1 27565.13000000 PA USD 42495.62000000 0.001681339363 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 6.15500000 N N N N N N Madison Park Funding Ltd N/A 55817HAN9 250000.00000000 PA USD 250589.50000000 0.009914574500 Long ABS-CBDO CORP KY N 2 2036-07-17 Floating 6.15300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KMW84 3759676.19000000 PA USD 3012768.17000000 0.119200183860 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FR75 2385354.84000000 PA USD 2137973.89000000 0.084588944916 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 666807BP6 650000.00000000 PA USD 519106.85000000 0.020538464452 Long DBT CORP US N 2 2047-10-15 Fixed 4.03000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HNMK2 80884.83000000 PA USD 75490.96000000 0.002986800113 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N Palmer Square CLO Ltd 5493006ZPBFJJGSXB826 69689ABU3 4195000.00000000 PA USD 4176365.81000000 0.165237928818 Long ABS-CBDO CORP KY N 2 2034-05-21 Floating 5.38000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 2618.54000000 OU Notional Amount USD 0.00000000 0.000000 N/A DCR GB N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 CMBX.NA.AAA.6 137BENAF3 Y buy protection 2063-05-11 0.00000000 USD -0.96000000 USD 2618.54000000 USD 0.96000000 N N N Long Beach Mortgage Loan Trust N/A 54251TAD1 491036.95000000 PA USD 193727.87000000 0.007664843897 Long ABS-O CORP US N 2 2036-08-25 Floating 4.75500000 N N N N N N CIFC Funding Ltd N/A 12553SAG9 250000.00000000 PA USD 250112.50000000 0.009895701993 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 6.21400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RBX6 34400.19000000 PA USD 31966.96000000 0.001264772891 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 3.50000000 N N N N N N Countrywide Home Loans N/A 126694E95 3102929.66000000 PA USD 848534.59000000 0.033572274211 Long ABS-MBS CORP US N 2 2046-04-25 Floating 5.59500000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC -632.73000000 -0.00002503396 N/A DFE NG N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 51200.00000000 USD 84480000.00000000 NGN 2025-09-04 -632.73000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -812.58000000 -0.00003214973 N/A DFE CH N 2 Bank of America NA B4TYDEB6GKMZO031MB27 199000.00000000 USD 174876.07000000 CHF 2025-04-24 -812.58000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179NBB3 603051.22000000 PA USD 562467.75000000 0.022254038622 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J7X91 13018.65000000 PA USD 12679.42000000 0.000501661299 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5JU4 565176.75000000 PA USD 520039.61000000 0.020575369105 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZK3 136000.00000000 PA USD 131270.49000000 0.005193717425 Long DBT CORP US N 2 2028-02-24 Fixed 2.64000000 N N N N N N Countrywide Alternative Loan Trust N/A 02146YAD8 1181413.18000000 PA USD 1001110.98000000 0.039608959650 Long ABS-MBS CORP US N 2 2046-07-20 Floating 4.83400000 N N N N N N DUKE ENERGY PROGRESS LLC 0NIFZ782LS46WOC9QK20 26442UAV6 469000.00000000 PA USD 458758.79000000 0.018150793234 Long DBT CORP US N 2 2055-03-15 Fixed 5.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCGT9 2703996.38000000 PA USD 2176101.44000000 0.086097461573 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.00000000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBU9 624000.00000000 PA USD 581773.33000000 0.023017863967 Long DBT US N 2 2032-04-15 Fixed 3.90000000 N N N N N N Port of Beaumont Navigation District 549300G8PKBXALUKJY33 73360CAS3 1475000.00000000 PA USD 1515143.60000000 0.059946662173 Long DBT MUN US N 2 2026-07-01 Fixed 10.00000000 N N N N N N Philippines Government International Bonds 529900RAHBALMYIJ3T08 718286CC9 1834000.00000000 PA USD 1758751.93000000 0.069585026657 Long DBT NUSS PH N 2 2028-02-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFKW5 149061.72000000 PA USD 146639.79000000 0.005801803837 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJZ5 8864000.00000000 PA USD 8743505.00000000 0.345936807871 Long DBT UST US N 2 2034-02-15 Fixed 4.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NN7 2891000.00000000 PA USD 2644417.19000000 0.104626375965 Long DBT CORP US N 2 2033-03-17 Fixed 3.78500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QQ4 1862500.00000000 PA USD 1836163.10000000 0.072647799886 Long DBT UST US N 2 2041-05-15 Fixed 4.37500000 N N N N N N Mariner Finance Issuance Trust N/A 56847GAD5 183000.00000000 PA USD 187365.21000000 0.007413105231 Long ABS-O CORP US N 2 2038-11-20 Fixed 6.36000000 N N N N N N Thunder Logistics N/A 000000000 79228.09000000 PA 85896.85000000 0.003398509189 Long ABS-MBS CORP IE Y 2 2036-11-17 Floating 5.10600000 N N N N N N Regatta XXIV Funding Ltd. N/A 75889HAN0 250000.00000000 PA USD 249926.00000000 0.009888323120 Long ABS-CBDO CORP KY N 2 2038-01-20 Floating 5.63500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EW4R3 77375.42000000 PA USD 73954.57000000 0.002926012837 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LBL4 236000.00000000 PA USD 235111.58000000 0.009302190537 Long DBT CORP US N 2 2055-03-15 Fixed 5.50000000 N N N N N N MP Clo III, LTD 549300FWSFBNCWDD1P18 553205AC9 142159.74000000 PA USD 142149.79000000 0.005624156970 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 5.80500000 N N N N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC -7035.52000000 -0.00027836037 N/A DFE ID N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 1781930.07000000 USD 29498747434.00000000 IDR 2025-06-18 -7035.52000000 N N N Golub Capital Partners CLO 52(B)-R, Ltd. 254900GLBB9HMWF4NZ09 381945AC8 250000.00000000 PA USD 250764.50000000 0.009921498375 Long ABS-CBDO CORP KY N 2 2037-04-20 Floating 6.29300000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 903724CC4 22617.00000000 PA USD 11667.06000000 0.000461607272 Long DBT NUSS UA N 2 2036-02-01 Variable 1.75000000 N N N N N N Trinitas CLO Ltd 549300095MXHZZMH2053 89641QAS9 560000.00000000 PA USD 559991.60000000 0.022156069738 Long ABS-CBDO CORP KY N 2 2034-01-25 Floating 6.25000000 N N N N N N Henley CLO 6354009HFM8XXW6PPK55 000000000 100000.00000000 PA 107427.12000000 0.004250354402 Long ABS-CBDO CORP IE Y 2 2034-04-25 Floating 4.02300000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -5690.88000000 -0.00022515968 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 4207174.40000000 MXN 198108.42000000 USD 2025-06-06 -5690.88000000 N N N Invitation Homes Inc N/A 46187W107 20048.00000000 NS USD 698672.80000000 0.027642991932 Long EC US N 1 N N N IVORY COAST 254900ICW11T82O6H590 000000000 327000.00000000 PA 336757.89000000 0.013323827171 Long DBT NUSS CI Y 2 2030-03-22 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLEP9 506327.89000000 PA USD 519619.31000000 0.020558739934 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.00000000 N N N N N N HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 000000000 659000.00000000 OU Notional Amount USD 86.33000000 0.000003415646 N/A DFE US N 2 HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 Put Purchased HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 N/A 1.00000000 NC USD 86.33000000 0.00000000 DFE US 876470.00000000 SGD 659000.00000000 USD 2025-04-03 1.00000000 1.33000000 USD 2025-04-03 XXXX -2174.04000000 N N N Velocity Commercial Capital Loan Trust N/A 92258VAF4 39172.86000000 PA USD 35425.61000000 0.001401614391 Long ABS-MBS CORP US N 2 2047-11-25 Variable 5.00000000 N N N N N N ONE GAS INC 549300HXDWI0LATTX840 68235PAN8 171000.00000000 PA USD 174486.82000000 0.006903571682 Long DBT CORP US N 2 2029-04-01 Fixed 5.10000000 N N N N N N Lendmark Funding Trust N/A 52604EAD2 327000.00000000 PA USD 335431.14000000 0.013271334302 Long ABS-O CORP US N 2 2033-05-20 Fixed 8.69000000 N N N N N N JP Morgan Mortgage Trust N/A 46654CAW5 36694.53000000 PA USD 28004.81000000 0.001108010411 Long ABS-MBS CORP US N 2 2052-02-25 Variable 3.26900000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -30.00000000 NC USD -8412.97000000 -0.00033285918 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT Ultra Long-Term U.S. Treasury Bond Futures WNM5 Comdty 2025-06-18 -3659087.03000000 USD -8412.97000000 N N N JP Morgan Mortgage Trust N/A 46654CAT2 120174.60000000 PA USD 101395.18000000 0.004011700674 Long ABS-MBS CORP US N 2 2052-02-25 Variable 3.26900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RLP2 34142.83000000 PA USD 31699.54000000 0.001254192418 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 3.50000000 N N N N N N Velocity Commercial Capital Loan Trust N/A 922955AK5 313598.48000000 PA USD 314751.21000000 0.012453132795 Long ABS-MBS CORP US N 2 2055-02-25 Variable 7.33000000 N N N N N N Legacy Mortgage Asset Trust N/A 52476DAA5 2376870.38000000 PA USD 2374208.05000000 0.093935550335 Long ABS-MBS CORP US N 2 2061-04-25 Variable 4.75000000 N N N N N N Banc of America Alternative Loan Trust N/A 05948XTV3 557724.22000000 PA USD 556274.47000000 0.022009001476 Long ABS-MBS CORP US N 2 2033-10-25 Fixed 5.50000000 N N N N N N Edenbrook Mortgage Funding Plc 635400URO7UOS6PWLH17 000000000 241131.57000000 PA 312425.96000000 0.012361134270 Long ABS-MBS CORP GB Y 2 2057-03-22 Floating 6.43000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBQ4 1786000.00000000 PA USD 1802644.88000000 0.071321651387 Long DBT CORP US N 2 2030-03-01 Fixed 5.50000000 N N N N N N OHIO POWER COMPANY 06ZODLC132CY1O2Y7D77 677415CS8 855000.00000000 PA USD 772812.71000000 0.030576337747 Long DBT CORP US N 2 2030-04-01 Fixed 2.60000000 N N N N N N Benefit Street Partners CLO Ltd N/A 08182FAN9 310000.00000000 PA USD 310127.72000000 0.012270204396 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 5.73400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BFTR3 204015.21000000 PA USD 198471.73000000 0.007852534736 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.50000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400FC2 546000.00000000 PA USD 538972.95000000 0.021324466772 Long DBT CORP US N 2 2036-02-01 Fixed 5.62500000 N N N N N N Carlyle Global Market Strategies N/A 14318RAE8 250000.00000000 PA USD 250028.75000000 0.009892388424 Long ABS-CBDO CORP KY N 2 2035-07-20 Floating 6.89300000 N N N N N N Indonesia Government International Bonds 529900FWX0GRR7WG5W79 455780CW4 1965000.00000000 PA USD 1260468.17000000 0.049870427837 Long DBT NUSS ID N 2 2051-03-12 Fixed 3.05000000 N N N N N N Capital One Financial Corp ZUE8T73ROZOF6FLBAR73 14040H105 764.00000000 NS USD 136985.20000000 0.005419819947 Long EC CORP US N 1 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFX7 1237000.00000000 PA USD 1052900.98000000 0.041658031192 Long DBT CORP US N 2 2030-10-30 Fixed 1.68000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QM4T8 1156854.24000000 PA USD 979167.13000000 0.038740751143 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Progress Residential Trust N/A 74333WAL6 305212.00000000 PA USD 282623.08000000 0.011181983212 Long ABS-O CORP US N 2 2040-12-17 Fixed 3.66600000 N N N N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 12057000.00000000 OU Notional Amount USD -2728.32000000 -0.00010794599 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-04-15 103.39000000 USD 0.00000000 USD 12057000.00000000 USD -2831.71000000 N N N PRP Advisors, LLC N/A 69359XAA7 808693.03000000 PA USD 808664.00000000 0.031994794170 Long ABS-MBS CORP US N 2 2025-10-25 Variable 6.61000000 N N N N N N Argent Securities Inc. N/A 04012MAQ2 528219.75000000 PA USD 140829.30000000 0.005571911778 Long ABS-O CORP US N 2 2036-07-25 Floating 4.73500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RA58 59647.39000000 PA USD 60652.28000000 0.002399707683 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.50000000 N N N N N N Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC 3022.32000000 0.000119578102 N/A DFE US N 2 Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 384703.91000000 EUR 420799.91000000 USD 2025-06-18 3022.32000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197MRR1 83099.64000000 PA USD 80935.74000000 0.003202222854 Long ABS-MBS USGA US N 2 2047-04-15 Fixed 4.50000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAM2 750000.00000000 PA USD 765835.63000000 0.030300289551 Long DBT CORP US N 2 2027-06-01 Fixed 7.50000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 2920300000.00000000 PA 619936.78000000 0.024527801008 Long DBT NUSS CO N 2 2028-04-28 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRH0 99146.23000000 PA USD 93461.77000000 0.003697815277 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYK4 1096000.00000000 PA USD 774166.72000000 0.030629909158 Long DBT CORP US N 2 2042-07-21 Fixed 2.90800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XWBS9 129520.05000000 PA USD 119511.03000000 0.004728454346 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Mortimer BTL Plc 213800F12CZ391USLI51 000000000 100000.00000000 PA 129346.09000000 0.005117578532 Long ABS-MBS CORP GB Y 2 2067-09-22 Floating 6.58000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 073879EV6 1779.00000000 PA USD 1741.73000000 0.000068911553 Long ABS-MBS CORP US N 2 2034-08-25 Floating 6.16000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9ZW6 1427609.15000000 PA USD 1415228.61000000 0.055993525222 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177Q6Y4 69720.47000000 PA USD 65656.22000000 0.002597688588 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UPB2 818372.26000000 PA USD 795672.84000000 0.031480798876 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 4.50000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDQ1 1834000.00000000 PA USD 963658.13000000 0.038127137500 Long DBT CORP US N 2 2062-08-15 Fixed 2.65000000 N N N N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 984245AX8 192000.00000000 PA USD 200716.61000000 0.007941353421 Long DBT CORP AR N 2 2031-01-17 Fixed 9.50000000 N N N N N N Panama Government International Bonds 549300SHS4T08CL0LP14 698299BF0 1279000.00000000 PA USD 1211980.40000000 0.047952009037 Long DBT NUSS PA N 2 2028-03-17 Fixed 3.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGSZ1 309782.19000000 PA USD 294024.18000000 0.011633067776 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYWH8 1370717.05000000 PA USD 1162551.61000000 0.045996358777 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 2.00000000 N N N N N N Prodigy Finance Designated Activity Co 635400HTAZNW3LYYMQ40 742855AA7 226217.60000000 PA USD 226657.84000000 0.008967718283 Long ABS-O CORP IE N 2 2051-07-25 Floating 5.68500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36189MS74 29699.17000000 PA USD 27919.93000000 0.001104652134 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMRG2 262110.42000000 PA USD 239038.37000000 0.009457553998 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.50000000 N N N N N N Bayview Commercial Asset Trust N/A 07324SCR1 45821.72000000 PA USD 43902.65000000 0.001737008510 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.88500000 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 281020BC0 370000.00000000 PA USD 374731.39000000 0.014826248840 Long DBT CORP US N 2 2030-03-15 Fixed 6.25000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 21582.82000000 OU Notional Amount USD -7.23000000 -0.00000028605 N/A DCR US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 CMBX.NA.AAA.9 137BENAI7 Y buy protection 2058-09-17 280.74000000 USD 0.00000000 USD 21582.82000000 USD -287.97000000 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAR4 897000.00000000 PA USD 755302.09000000 0.029883530002 Long DBT CORP US N 2 2050-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36196FZF4 124677.93000000 PA USD 115510.64000000 0.004570178901 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SS8 3942300.00000000 PA USD 2145935.58000000 0.084903949210 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H020642 11573000.00000000 PA USD 9463272.31000000 0.374414404170 Long ABS-MBS USGA US N 2 2055-04-20 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LSK41 116735.05000000 PA USD 112112.41000000 0.004435727918 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.00000000 N N N N N N AIR CANADA 2017-1B PTT N/A 00908PAC1 3637.57000000 PA USD 3564.02000000 0.000141010464 Long DBT CORP CA N 2 2026-01-15 Fixed 3.70000000 N N N N N N RR Ltd N/A 74989MAN1 750000.00000000 PA USD 748344.00000000 0.029608233145 Long ABS-CBDO CORP KY N 2 2038-04-15 Floating 5.43900000 N N N N N N GEORGIA POWER CO D981X4Z4RWS7PDMJUZ03 373334KP5 997000.00000000 PA USD 675803.62000000 0.026738172740 Long DBT CORP US N 2 2051-03-15 Fixed 3.25000000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAQ5 2735000.00000000 PA USD 2937811.19000000 0.116234510667 Long DBT CORP US N 2 2033-10-15 Fixed 6.95000000 N N N N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 000000000 538565.82000000 PA 122290.83000000 0.004838437144 Long DBT NUSS PL N 2 2036-08-25 Fixed 2.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1277.10000000 -0.00005052846 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 730739.52000000 BRL 126000.00000000 USD 2025-05-05 -1277.10000000 N N N Canyon Capital CLO Ltd 254900FXDN97BW4YMK55 13887AAE8 660000.00000000 PA USD 661650.00000000 0.026178184712 Long ABS-CBDO CORP JE N 2 2037-05-15 Floating 6.35200000 N N N N N N Cedar Funding Ltd 549300PQ60B57EBTK013 15032DAR2 3020000.00000000 PA USD 3016333.72000000 0.119341254859 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 5.60500000 N N N N N N HLTN Commercial Mortgage Trust 2024-DPLO N/A 40424UAA5 2918633.00000000 PA USD 2918633.00000000 0.115475725509 Long ABS-MBS CORP US N 2 2041-06-15 Floating 5.96100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJH27 267622.08000000 PA USD 250694.86000000 0.009918743069 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 3.00000000 N N N N N N SCG Hotel Issuer Inc N/A 78398EAG0 100000.00000000 PA USD 99374.36000000 0.003931746923 Long ABS-MBS CORP US N 2 2035-03-15 Floating 6.46000000 N N N N N N BNP Paribas Securities Services 549300WCGB70D06XZS54 000000000 -1232000.00000000 OU Notional Amount -5832.21000000 -0.00023075141 N/A DFE US N 2 BNP Paribas Securities Services 549300WCGB70D06XZS54 Call Written BNP Paribas Securities Services 549300WCGB70D06XZS54 BNP Paribas Securities Services 549300WCGB70D06XZS54 N/A 1.00000000 NC USD -5832.21000000 0.00000000 DFE US -1232000.00000000 EUR -1355200.00000000 USD 2025-05-05 1.00000000 1.10000000 EUR 2025-05-05 XXXX -17.05000000 N N N 2025-04-30 Brighthouse Funds Trust II Alan Otis Alan Otis Treasurer XXXX