NPORT-P false 0000793769 XXXXXXXX S000000682 C000200770 C000001977 C000001976 HARBOR FUNDS 811-04676 0000793769 549300YJH4HL5M6WFP75 111 SOUTH WACKER DRIVE 34TH FLOOR CHICAGO 60606 312-443-4400 Harbor Bond Fund S000000682 EOW1NK32RWEIMTVXK597 2020-10-31 2020-01-31 N 4096551999.99 2040474436.15 2056077563.84 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1251110536.16000000 0.00000000 0.00000000 24873322.10000000 USD JPY EUR BRL GBP N Mansard Mortgages PLC 213800HN3U8VNBEANB34 000000000 966258.23000000 PA 1256807.61000000 0.061126468772 Long ABS-MBS CORP GB N 2 2049-12-15 Floating 1.45000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 182.00000000 NC 1009.24000000 0.000049085696 N/A DIR DE N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Call Purchased Euro-Bobl (FGBM) OEH0 Comdty 100000.00000000 140.00000000 EUR 2020-02-21 XXXX -102.94000000 N N N Central Nippon Expresswy 3538005TH2GJERPBFN83 000000000 1150000.00000000 PA USD 1170510.25000000 0.056929284701 Long DBT CORP JP N 2 2022-03-03 Fixed 2.85000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418RW64 15743.67000000 PA USD 16608.17000000 0.000807759896 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 4.50000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 456681AE5 13043259.00000000 PA USD 10947743.36000000 0.532457702595 Long ABS-MBS CORP US N 2 2037-07-25 Variable 3.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31419F2B1 50919.66000000 PA USD 54575.78000000 0.002654363870 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 5.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 904133.72000000 0.043973716551 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 89900000.00000000 BRL 21826745.65000000 USD 2020-04-02 904133.72000000 N N N MOODY'S CORPORATION 549300GCEDD8YCF5WU84 615369AB1 462000.00000000 PA USD 490170.58000000 0.023840082136 Long DBT CORP US N 2 2022-09-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417NKV2 20539.87000000 PA USD 21445.47000000 0.001043028258 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VBG4 10077932.31000000 PA USD 10452463.75000000 0.508369136156 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 3.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31407A6M8 6604.07000000 PA USD 7342.54000000 0.000357113959 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31419A2Z9 37637.38000000 PA USD 39572.61000000 0.001924665231 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417JTS9 13373.05000000 PA USD 13965.00000000 0.000679205894 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416M3R3 110063.99000000 PA USD 117308.54000000 0.005705453046 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31407FYD6 704030.43000000 PA USD 741246.15000000 0.036051468244 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 4.60000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31406TGD7 932.15000000 PA USD 1052.77000000 0.000051202834 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410UZJ4 38884.48000000 PA USD 41830.03000000 0.002034457781 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 5.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6PH5 4266.48000000 PA USD 4818.82000000 0.000234369562 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 6.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 7727.55000000 0.000375839420 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1853000.00000000 EUR 2064512.35000000 USD 2020-02-14 7727.55000000 N N N Svenska Handelsbanken AB NHBDILHZTYCNBV5UYZ31 86960BAT9 5500000.00000000 PA USD 5621936.38000000 0.273430170090 Long DBT CORP SE N 2 2021-05-24 Fixed 3.35000000 N N N N N N Natwest Markets Securities Inc. ZE2ZWJ5BTIQJ8M0C6K34 000000000 -13233000.00000000 PA USD -13233000.00000000 -0.64360412431 Short RA CORP US N 2 Reverse repurchase N 1.99000000 2020-02-20 13200000.00000000 USD 13834476.61000000 USD UST N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36295XTD7 74505.85000000 PA USD 80102.64000000 0.003895895826 Long ABS-MBS USGA US N 2 2038-03-15 Fixed 5.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828L57 21000000.00000000 PA USD 21243632.76000000 1.033211642090 Long DBT UST US N 2 2022-09-30 Fixed 1.75000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416S6C0 75072.18000000 PA USD 78261.00000000 0.003806325275 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 4.50000000 N N N N N N ESCROW GM CORP SR N/A 370ESC733 36000.00000000 NS USD 0.00000000 0.000000 Long STIV CORP DE N 3 N N N Fannie Mae 254900HROIFWPRGM1V77 31408BU55 270276.32000000 PA USD 310230.85000000 0.015088479902 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410XHU3 156762.77000000 PA USD 180259.15000000 0.008767137639 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36295NJS7 13019.00000000 PA USD 14044.00000000 0.000683048161 Long ABS-MBS USGA US N 2 2038-05-15 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410YGB4 9352.79000000 PA USD 10431.33000000 0.000507341268 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.00000000 N N N N N N MCCORMICK & CO 549300JQQA6MQ4OJP259 579780AL1 4400000.00000000 PA USD 4494814.54000000 0.218611137004 Long DBT CORP US N 2 2022-08-15 Fixed 2.70000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -6857.49000000 -0.00033352292 N/A DFE CA N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 4553280.57000000 USD 6017000.00000000 CAD 2020-03-03 -6857.49000000 N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 453140AB1 2100000.00000000 PA USD 2172253.88000000 0.105650385870 Long DBT CORP GB N 2 2023-02-11 Fixed 3.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31405NDA0 10267.08000000 PA USD 11059.66000000 0.000537900913 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 5.50000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -214.00000000 NC -224533.11000000 -0.01092045912 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Bobl (FGBM) OEH0 Comdty 2020-03-06 -28678984.56000000 EUR -224533.11000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31409TY85 81225.55000000 PA USD 91218.27000000 0.004436518913 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138ATHN3 18238.85000000 PA USD 19548.09000000 0.000950746720 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 5.00000000 N N N N N N Altice Financing SA 549300DIYGW8HVDF7Q17 02154CAD5 2200000.00000000 PA USD 2243087.00000000 0.109095446565 Long DBT CORP LU N 2 2023-02-15 Fixed 6.63000000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EBE4 3700000.00000000 PA USD 3878133.58000000 0.188618058394 Long DBT CORP GB N 2 2023-02-15 Variable 4.61000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q92H5 2585226.88000000 PA USD 2744177.69000000 0.133466642419 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402UNY4 22909.46000000 PA USD 25396.52000000 0.001235192701 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416MXC3 1088.88000000 PA USD 1129.06000000 0.000054913298 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416NBX9 125317.32000000 PA USD 131109.32000000 0.006376671887 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.50000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 000000000 300000.00000000 PA USD 324333.00000000 0.015774356264 Long DBT CORP CH N 2 2022-07-29 Variable 7.13000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418M7C0 1024.44000000 PA USD 1048.86000000 0.000051012666 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417BWC7 10172.36000000 PA USD 11120.60000000 0.000540864809 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.50000000 N N N N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAE3 6300000.00000000 PA USD 6733487.75000000 0.327491913166 Long DBT CORP US N 2 2023-12-15 Fixed 3.88000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAP1 400000.00000000 PA USD 400778.22000000 0.019492368724 Long DBT CORP US N 2 2021-02-10 Floating 2.47000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31407XFF3 3677.13000000 PA USD 4149.81000000 0.000201831393 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36296QMF3 15394.80000000 PA USD 17211.76000000 0.000837116279 Long ABS-MBS USGA US N 2 2039-03-15 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138AKGD5 43947.51000000 PA USD 48759.85000000 0.002371498568 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418NFL9 49366.00000000 PA USD 52076.39000000 0.002532802794 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138EGE26 174864.23000000 PA USD 201453.21000000 0.009797938246 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403YUG6 14133.69000000 PA USD 15301.92000000 0.000744228732 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36241KW53 1223.14000000 PA USD 1366.45000000 0.000066459068 Long ABS-MBS USGA US N 2 2038-11-15 Fixed 5.00000000 N N N N N N DC Office Trust N/A 23312BAA8 4900000.00000000 PA USD 5198454.10000000 0.252833559950 Long ABS-MBS CORP US N 2 2045-09-15 Fixed 2.97000000 N N N N N N Chase Mortgage Finance Corporation N/A 16163CAN2 1403951.78000000 PA USD 1329982.61000000 0.064685429839 Long ABS-MBS CORP US N 2 2036-09-25 Variable 4.04000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417TGY8 1006.04000000 PA USD 1041.47000000 0.000050653244 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 4.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746PM7 4408000.00000000 PA USD 4441280.40000000 0.216007434646 Long DBT CORP US N 2 2020-03-15 Variable 5.66000000 N N N N N N ODEBRECHT OIL & FINANCE N/A 67576JAB7 2182879.00000000 PA USD 25239.54000000 0.001227557775 Long DBT CORP KY N 2 2020-03-02 None 0.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31408DRS5 30072.05000000 PA USD 33942.16000000 0.001650820990 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Springleaf Finance Corp 5493008I795YYBFWFU90 85172FAM1 2800000.00000000 PA USD 3163972.00000000 0.153883883353 Long DBT CORP US N 2 2025-03-15 Fixed 6.88000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412PPU9 6698.12000000 PA USD 7312.19000000 0.000355637847 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HRT9 5500000.00000000 PA USD 5552604.20000000 0.270058109560 Long DBT CORP US N 2 2021-06-07 Fixed 2.40000000 N N N N N N Simon Property Group LP MR92GTD0MJTTTTQDVG45 828807CU9 6000000.00000000 PA USD 6014974.92000000 0.292546109435 Long DBT US N 2 2020-09-01 Fixed 2.50000000 N N N N N N Securitized Asset Backed Receivables LLC Trust 213800LBQA1Y9L22JB70 81375WFU5 7788545.76000000 PA USD 5933356.22000000 0.288576478064 Long ABS-O CORP US N 2 2035-08-25 Floating 2.32000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36225CL20 51623.39000000 PA USD 53191.68000000 0.002587046370 Long ABS-MBS USGA US N 2 2029-11-20 Floating 4.13000000 N N N N N N ZF NA CAPITAL 529900JYGMS9CW9IQX78 98877DAB1 5800000.00000000 PA USD 6036757.80000000 0.293605548067 Long DBT CORP US N 2 2022-04-29 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418PQT5 2764.69000000 PA USD 3048.95000000 0.000148289639 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 6.00000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07384MAA0 15751.94000000 PA USD 15653.15000000 0.000761311259 Long ABS-MBS CORP US N 2 2030-11-25 Variable 2.78000000 N N N N N N OVERSEA-CHINESE BANKING 5493007O3QFXCPOGWK22 000000000 3700000.00000000 PA USD 3714855.50000000 0.180676817126 Long DBT CORP SG N 2 2021-05-17 Floating 2.35000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410XPK6 1803.52000000 PA USD 2007.37000000 0.000097631044 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410G6K4 1552341.05000000 PA USD 1754753.33000000 0.085344704930 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Broadcom Inc 549300WV6GIDOZJTV909 11135FAC5 4900000.00000000 PA USD 5027152.31000000 0.244502075136 Long DBT CORP US N 2 2022-10-15 Fixed 3.13000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31394VL73 49295.09000000 PA USD 51857.24000000 0.002522144150 Long ABS-MBS USGSE US N 2 2035-05-25 Floating 4.24000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6SA7 151897.43000000 PA USD 174810.52000000 0.008502136450 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAC5 4000000.00000000 PA USD 4322712.88000000 0.210240749474 Long DBT US N 2 2026-06-15 Fixed 3.70000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36208ACE9 18794.86000000 PA USD 18776.48000000 0.000913218466 Long ABS-MBS USGA US N 2 2024-05-20 Floating 3.88000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31414HMG9 22494.66000000 PA USD 24794.80000000 0.001205927268 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6.00000000 N N N N N N American Express Co R4PP93JZOLY261QX3811 025816BW8 5200000.00000000 PA USD 5529824.35000000 0.268950181999 Long DBT CORP US N 2 2023-08-03 Fixed 3.70000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417Y2G1 7341.55000000 PA USD 7560.51000000 0.000367715213 Long ABS-MBS USGSE US N 2 2021-06-01 Fixed 3.00000000 N N N N N N SPIRIT REALTY LP 549300GTBVIBJRX5BW73 84861TAF5 4700000.00000000 PA USD 4903547.32000000 0.238490386074 Long DBT US N 2 2030-01-15 Fixed 3.40000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31415VQA6 533085.66000000 PA USD 612752.39000000 0.029802007510 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6.00000000 N N N N N N Natwest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC -895476.57000000 -0.04355266482 N/A DFE US N 2 Natwest Markets PLC RR3QWICWWIPCS8A4S074 225304835.99000000 CNY 31238971.76000000 USD 2020-03-18 -895476.57000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31417YR90 12403.22000000 PA USD 13335.38000000 0.000648583508 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 4.50000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251525AT8 5500000.00000000 PA USD 5511108.35000000 0.268039905056 Long DBT CORP DE N 2 2020-07-13 Fixed 2.70000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36241KV62 111424.22000000 PA USD 124439.19000000 0.006052261460 Long ABS-MBS USGA US N 2 2038-10-15 Fixed 5.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 312904M28 1060.50000000 PA USD 1088.05000000 0.000052918723 Long ABS-MBS USGSE US N 2 2020-12-15 Fixed 9.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 230000000.00000000 OU Notional Amount 432653.43000000 0.021042660919 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2048-03-21 59790847.00000000 JPY 0.00000000 JPY 230000000.00000000 JPY -128639.13000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31371LFF1 10413.43000000 PA USD 10864.87000000 0.000528427049 Long ABS-MBS USGSE US N 2 2023-09-01 Fixed 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31368HNQ2 1087655.42000000 PA USD 1222319.40000000 0.059449089932 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -2839.58000000 -0.00013810665 N/A DFE XX N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 1189403.50000000 USD 1069000.00000000 EUR 2020-02-14 -2839.58000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 184.00000000 NC 116099.03000000 0.005646626958 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Short-Term Euro-BTP Futures (FBTS) BTSH0 Comdty 2020-03-06 20681796.64000000 EUR 116099.03000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31418VWV0 52533.45000000 PA USD 57899.75000000 0.002816029463 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31414FAE1 639.09000000 PA USD 661.03000000 0.000032150051 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 6.00000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAB7 4804000.00000000 PA USD 5241091.94000000 0.254907306619 Long DBT CORP KY N 2 2023-10-01 Fixed 5.13000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1847800000.00000000 OU Notional Amount -1835780.65000000 -0.08928557376 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2038-12-20 11271588.00000000 JPY 0.00000000 JPY 1847800000.00000000 JPY -1935950.11000000 N N N AIR CANADA 2017-1AA PTT N/A 00908PAA5 3877440.00000000 PA USD 4103843.33000000 0.199595744935 Long DBT CORP CA N 2 2030-01-15 Fixed 3.30000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 139.00000000 NC USD 139.00000000 0.000006760445 N/A DIR US N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Call Purchased Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 150000.00000000 NC N/A 139.00000000 0.00000000 DIR US Long US Treasury Long Bond USH0 Comdty 2020-03-20 150000.00000000 USD 1000.00000000 195.00000000 USD 2020-02-21 XXXX -1056.40000000 N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAX8 5000000.00000000 PA USD 5127373.45000000 0.249376460313 Long DBT US N 2 2027-01-15 Fixed 2.75000000 N N N N N N SKANDINAVISKA ENSKILDA F3JS33DEI6XQ4ZBPTN86 83051GAH1 5300000.00000000 PA USD 5317150.80000000 0.258606527959 Long DBT CORP SE N 2 2021-05-17 Floating 2.33000000 N N N N N N London Clearing House F226TOH6YD6XJB17KS62 000000000 1204000000.00000000 OU Notional Amount -1193475.84000000 -0.05804624596 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2038-03-20 0.00000000 JPY -1608896.00000000 JPY 1204000000.00000000 JPY -1179092.05000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31410LBB7 19206.72000000 PA USD 22127.12000000 0.001076181190 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N The Bancorp Commercial Mortgage Trust 5493007HKNHP2VEB5M24 05972LAA4 3633690.77000000 PA USD 3634307.04000000 0.176759238265 Long ABS-MBS CORP US N 2 2035-09-15 Floating 2.58000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HBR5 5400000.00000000 PA USD 5422526.80000000 0.263731626440 Long DBT CORP US N 2 2020-10-30 Fixed 2.40000000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86359LPE3 349748.44000000 PA USD 342561.60000000 0.016660927876 Long ABS-MBS CORP US N 2 2035-07-19 Floating 1.91000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36225CC95 31496.35000000 PA USD 32630.21000000 0.001587012599 Long ABS-MBS USGA US N 2 2027-07-20 Floating 3.25000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6MZ8 29892.35000000 PA USD 34414.02000000 0.001673770513 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6.00000000 N N N N N N Eurohome UK Mortgages PLC 2138009XX8M6MTY8SG15 000000000 1976749.76000000 PA 2536149.70000000 0.123348931217 Long ABS-MBS CORP GB N 2 2044-06-15 Floating 0.95000000 N N N N N N EPR Properties 549300YSSXFHMPOWZ492 26884UAE9 600000.00000000 PA USD 672273.32000000 0.032696885167 Long DBT US N 2 2028-04-15 Fixed 4.95000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RK6 32500000.00000000 PA USD 35601464.93000000 1.731523438420 Long DBT UST US N 2 2045-02-15 Fixed 2.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138AVEY7 26334.69000000 PA USD 27932.80000000 0.001358547969 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403DLX5 39504.91000000 PA USD 44622.50000000 0.002170273183 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31389DS81 14105.19000000 PA USD 16278.06000000 0.000791704568 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 6.00000000 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 233851DL5 5300000.00000000 PA USD 5566390.56000000 0.270728627066 Long DBT CORP US N 2 2023-05-04 Fixed 3.70000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GGS7 800000.00000000 PA USD 860680.50000000 0.041860312817 Long DBT CORP US N 2 2022-01-24 Fixed 5.75000000 N N N N N N Freddie Mac N/A 3132ACYH7 1398900.01000000 PA USD 1463828.63000000 0.071195204682 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.00000000 N N N N N N SOUTHERN CALIF GAS CO XY0N0J73VHV5F4CUJV89 842434CP5 900000.00000000 PA USD 960697.13000000 0.046724751385 Long DBT CORP US N 2 2025-06-15 Fixed 3.20000000 N N N N N N BMW FINANCE NV 5299006ZHG3IXU0PNJ56 05600LAA4 4900000.00000000 PA USD 4973325.07000000 0.241884117480 Long DBT CORP NL N 2 2022-08-12 Fixed 2.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 10510000000.00000000 OU Notional Amount -2144401.48000000 -0.10429574825 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor Japan 6 Months JPY0006M Index Y 2026-03-18 0.00000000 JPY -64749292.00000000 JPY 10510000000.00000000 JPY -1580325.08000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31410QGT2 607.59000000 PA USD 696.73000000 0.000033886367 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416Q6H3 323222.87000000 PA USD 352529.29000000 0.017145719412 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403V4X4 721.95000000 PA USD 815.03000000 0.000039640041 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 640000000.00000000 OU Notional Amount -589535.03000000 -0.02867280108 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2038-10-31 4605322.00000000 JPY 0.00000000 JPY 640000000.00000000 JPY -630470.04000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -488.00000000 NC USD -2191765.37000000 -0.10659935250 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Long Bond USH0 Comdty 2020-03-20 -77611484.63000000 USD -2191765.37000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAY2 2600000.00000000 PA USD 2610876.76000000 0.126983378736 Long DBT CORP US N 2 2020-07-13 Fixed 3.20000000 N N N N N N EVERGY INC 549300PGTHDQY6PSUI61 30034WAA4 5000000.00000000 PA USD 5085916.50000000 0.247360147761 Long DBT CORP US N 2 2024-09-15 Fixed 2.45000000 N N N N N N TEVA PHARM FNC NL II 549300HSQCIKJAOYIT23 000000000 2200000.00000000 PA 2461977.90000000 0.119741489489 Long DBT CORP NL N 2 2022-04-15 Fixed 3.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RW0 2876958.00000000 PA USD 3334117.79000000 0.162159144608 Long DBT UST US N 2 2047-02-15 Fixed 0.88000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36201XN87 778.94000000 PA USD 862.90000000 0.000041968261 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31404SZW8 12505.45000000 PA USD 13480.02000000 0.000655618262 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N Cantor Fitzgerald LP 549300RLUEEVQEMX0450 138616AC1 5400000.00000000 PA USD 5898455.75000000 0.286879048423 Long DBT CORP US N 2 2022-06-17 Fixed 6.50000000 N N N N N N DSLA Mortgage Loan Trust N/A 23332UGK4 1964363.28000000 PA USD 1844322.02000000 0.089700994380 Long ABS-MBS CORP US N 2 2046-03-19 Floating 3.07000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -7997.84000000 -0.00038898532 N/A DFE XX N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 2523202.56000000 USD 2266000.00000000 EUR 2020-02-14 -7997.84000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030633 600000.00000000 PA USD 616270.19000000 0.029973100277 Long ABS-MBS USGA US N 2 2050-03-23 Fixed 3.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418MWK4 200872.03000000 PA USD 226858.57000000 0.011033560892 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.50000000 N N N N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 2800000.00000000 PA USD 3092672.16000000 0.150416123126 Long DBT CORP US N 2 2025-12-15 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HJJS1 14033299.12000000 PA USD 14670741.38000000 0.713530541746 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31415RFA7 954.19000000 PA USD 1071.26000000 0.000052102120 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.50000000 N N N N N N Intercontinental Exchange 5R6J7JCQRIPQR1EEP713 000000000 6900000.00000000 OU Notional Amount USD 119607.67000000 0.005817274216 N/A DCR US N 2 Intercontinental Exchange 5R6J7JCQRIPQR1EEP713 MetLife Inc MetLife Inc Y sell protection 2021-12-20 1888.81000000 USD 0.00000000 USD 6900000.00000000 USD 117718.86000000 N N N Option One Mortgage Loan Trust N/A 68403KAD7 4364235.90000000 PA USD 3316670.46000000 0.161310571076 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.91000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 53944YAF0 2900000.00000000 PA USD 3213584.40000000 0.156296846797 Long DBT CORP GB N 2 2025-05-08 Fixed 4.45000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M5H45 406769.44000000 PA USD 468182.55000000 0.022770665768 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412XFF6 31089.65000000 PA USD 35847.03000000 0.001743466814 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31406HU70 12646.38000000 PA USD 14225.33000000 0.000691867381 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.50000000 N N N N N N SERVICE PROPERTIES TRUST 529900IS770AG1K9QG27 44106MAZ5 4800000.00000000 PA USD 5057345.76000000 0.245970572751 Long DBT US N 2 2024-10-01 Fixed 4.35000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H040632 262200000.00000000 PA USD 272073471.37000000 13.23264628508 Long ABS-MBS USGA US N 2 2050-03-23 Fixed 4.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC USD 1.00000000 0.000000048636 N/A DIR US N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Call Purchased Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 330000.00000000 NC N/A 1.00000000 0.00000000 DIR US Long US Treasury Long Bond USH0 Comdty 2020-03-20 330000.00000000 USD 1000.00000000 220.00000000 USD 2020-02-21 XXXX -7.60000000 N N N RECKITT BENCKISER TSY 213800LAXWIUOOBZ3908 75625QAC3 3400000.00000000 PA USD 3444979.65000000 0.167551055008 Long DBT CORP GB N 2 2022-06-24 Fixed 2.38000000 N N N N N N Rio Oil Finance Trust 549300V5D1W52HY8NO65 76716XAA0 1393596.81000000 PA USD 1559086.43000000 0.075828191378 Long DBT CORP US N 2 2024-07-06 Fixed 9.25000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402TXH3 2177.66000000 PA USD 2443.29000000 0.000118832579 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.50000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668BRX3 3001216.48000000 PA USD 2550110.53000000 0.124027934298 Long ABS-MBS CORP US N 2 2036-05-25 Floating 2.06000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAS5 5700000.00000000 PA USD 5836251.15000000 0.283853646994 Long DBT CORP US N 2 2022-06-18 Variable 3.51000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCB0 6600000.00000000 PA USD 6624676.41000000 0.322199732466 Long DBT CORP US N 2 2020-11-06 Fixed 2.45000000 N N N N N N JP Morgan ReRemic N/A 46633PAU6 25296.99000000 PA USD 25605.61000000 0.001245362064 Long ABS-MBS CORP US N 2 2036-09-27 Variable 3.88000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416WDZ2 2578.06000000 PA USD 2734.06000000 0.000132974555 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417YY84 8562.28000000 PA USD 9246.71000000 0.000449725738 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402Q5T4 4600.25000000 PA USD 5200.26000000 0.000252921392 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 17266.55000000 0.000839781061 N/A DFE GB N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 1240303.68000000 USD 952000.00000000 GBP 2020-02-14 17266.55000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HMN26 5006521.76000000 PA USD 5233273.39000000 0.254527041296 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N BANCO BILBAO VIZCAYA ARG K8MS7FD7N5Z2WQ51AZ71 000000000 4000000.00000000 PA 4447088.91000000 0.216289939067 Long DBT CORP ES N 2 2020-02-18 Variable 6.75000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416CE44 7815.96000000 PA USD 8168.28000000 0.000397274895 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410KJ54 352870.77000000 PA USD 398900.01000000 0.019401019543 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31409VDQ3 41646.24000000 PA USD 45925.12000000 0.002233627797 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 6.00000000 N N N N N N Owens Corning JO5M6676RDJIZ2U8X907 690742AE1 300000.00000000 PA USD 324500.20000000 0.015782488253 Long DBT CORP US N 2 2024-12-01 Fixed 4.20000000 N N N N N N Banco Espirito Santo SA UBGVXZLX4SCS302CM391 000000000 3500000.00000000 PA 1052612.75000000 0.051195186821 Long DBT CORP PT N 2 2018-01-15 Fixed 4.75000000 Y N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403DGZ6 4120.31000000 PA USD 4657.03000000 0.000226500696 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31407FG87 190480.57000000 PA USD 214464.98000000 0.010430782562 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.50000000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAE3 5000000.00000000 PA USD 5150629.40000000 0.250507543615 Long DBT CORP US N 2 2029-10-01 Fixed 2.85000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810QW1 2100000.00000000 PA USD 2498302.74000000 0.121508195212 Long DBT UST US N 2 2042-05-15 Fixed 3.00000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CJ7 1073000.00000000 PA USD 1076943.85000000 0.052378561438 Long DBT CORP US N 2 2020-07-20 Fixed 2.80000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828Y38 31970016.00000000 PA USD 34523410.98000000 1.679090885828 Long DBT UST US N 2 2028-07-15 Fixed 0.75000000 N N N N N N DEPOSITORY TRUST & CLEAR MLDY5N6PZ58ZE60QU102 249670AA8 3000000.00000000 PA USD 3019395.00000000 0.146852193375 Long DBT CORP US N 2 2020-06-15 Variable 4.88000000 N N N N N N ODEBRECHT DRILL VIII/IX 549300YNW6BY570L6488 675757AC2 8253.00000000 PA USD 4745.32000000 0.000230794795 Long DBT CORP KY N 2 2026-12-01 Fixed 7.35000000 N N Y N N N Fannie Mae 254900HROIFWPRGM1V77 31404EM37 12113.52000000 PA USD 13049.33000000 0.000634671095 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -12924.34000000 -0.00062859204 N/A DFE XX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1178398.73000000 USD 1050000.00000000 EUR 2020-02-14 -12924.34000000 N N N Volkswagen Bank GmbH N/A 000000000 2000000.00000000 PA 2220006.59000000 0.107972900878 Long DBT CORP DE N 2 2021-06-15 Floating 0.03000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31404EA48 12265.76000000 PA USD 13698.27000000 0.000666233134 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31406VQS8 54152.64000000 PA USD 56322.09000000 0.002739297922 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 4.43000000 N N N N N N Boston Properties LP BVHHEFJI6SHNOKQT2572 10112RAY0 4905000.00000000 PA USD 5087815.78000000 0.247452521708 Long DBT US N 2 2026-10-01 Fixed 2.75000000 N N N N N N TPG Real Estate Finance N/A 87276VAA3 5000000.00000000 PA USD 5004259.00000000 0.243388629301 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 2.82000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AD0 5100000.00000000 PA USD 5232238.92000000 0.254476728505 Long DBT CORP CH N 2 2023-12-14 Variable 3.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138EGSJ4 758934.18000000 PA USD 852546.84000000 0.041464721710 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.50000000 N N N N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAP4 1000000.00000000 PA USD 1034042.94000000 0.050292020018 Long DBT CORP US N 2 2022-11-06 Fixed 3.20000000 N N N N N N FHLMC STRUCTURED PASS THROUGH 254900HROIFWPRGM1V77 3133TCE95 24711.80000000 PA USD 24825.39000000 0.001207415052 Long ABS-MBS USGSE US N 2 2032-08-15 Variable 4.02000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31400PZ32 10647.76000000 PA USD 11867.93000000 0.000577212173 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 5.50000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967LG4 6800000.00000000 PA USD 6926763.22000000 0.336892116417 Long DBT CORP US N 2 2022-04-25 Fixed 2.75000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36295TU69 16417.70000000 PA USD 17650.98000000 0.000858478313 Long ABS-MBS USGA US N 2 2038-04-15 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410G2H5 565912.37000000 PA USD 636222.33000000 0.030943498493 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 94663.83000000 0.004604098194 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5919745.04000000 USD 4553000.00000000 GBP 2020-02-14 94663.83000000 N N N Duke Energy Corp I1BZKREC126H0VB1BL91 26441CAN5 4536000.00000000 PA USD 4855090.36000000 0.236133618954 Long DBT CORP US N 2 2024-04-15 Fixed 3.75000000 N N N N N N LETRA TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 55100000.00000000 PA 12655602.32000000 0.615521638997 Long DBT NUSS BR N 2 2020-07-01 None 0.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -84098.24000000 -0.00409022701 N/A DFE CN N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 7209964.02000000 USD 49961711.00000000 CNY 2020-03-18 -84098.24000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31417KTX5 1888.83000000 PA USD 1976.07000000 0.000096108728 Long ABS-MBS USGSE US N 2 2024-09-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412TDC4 1794.52000000 PA USD 1850.39000000 0.000089996118 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 6.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128286B1 22800000.00000000 PA USD 24985148.35000000 1.215185107284 Long DBT UST US N 2 2029-02-15 Fixed 2.63000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBG3 5000000.00000000 PA USD 5033996.00000000 0.244834926878 Long DBT CORP US N 2 2021-11-19 Fixed 2.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBCD8 9394399.88000000 PA USD 10127973.15000000 0.492587114811 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4.00000000 N N N N N N CENTENE ESCROW I CORP N/A 15137TAA8 500000.00000000 PA USD 532800.00000000 0.025913419287 Long DBT CORP US N 2 2026-06-01 Fixed 5.38000000 N N N N N N Rio Oil Finance Trust 549300V5D1W52HY8NO65 U76673AA7 2122168.69000000 PA USD 2374176.22000000 0.115471140863 Long DBT CORP US N 2 2024-07-06 Fixed 9.25000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36297ELM5 53807.68000000 PA USD 57849.65000000 0.002813592785 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 5.00000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61746BEE2 5200000.00000000 PA USD 5252042.80000000 0.255439915904 Long DBT CORP US N 2 2022-01-20 Floating 3.00000000 N N N N N N Telos CLO Ltd 549300S94NIRW4K03T89 87970UAS5 4663926.59000000 PA USD 4666894.25000000 0.226980456967 Long ABS-CBDO CORP KY N 2 2027-01-17 Floating 3.11000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -5456.47000000 -0.00026538249 N/A DFE JP N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 2051215.95000000 USD 221500000.00000000 JPY 2020-02-14 -5456.47000000 N N N WYNN LAS VEGAS LLC/CORP N/A 983130AV7 4800000.00000000 PA USD 5015952.00000000 0.243957333527 Long DBT CORP US N 2 2025-03-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31411AH24 38837.51000000 PA USD 43657.65000000 0.002123346451 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N Residential Funding Mtg Sec I N/A 74958WAC0 239428.65000000 PA USD 201524.51000000 0.009801406014 Long ABS-MBS CORP US N 2 2037-02-25 Variable 4.43000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RT7 14000000.00000000 PA USD 14672929.74000000 0.713636975474 Long DBT UST US N 2 2046-08-15 Fixed 2.25000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967LM1 3900000.00000000 PA USD 3983793.10000000 0.193756946238 Long DBT CORP US N 2 2023-07-24 Variable 2.88000000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 000000000 2000000.00000000 PA 2358781.95000000 0.114722420568 Long DBT CORP GB N 2 2020-12-15 Variable 8.00000000 N N N N N N ODEBRECHT DRILL VIII/IX 549300YNW6BY570L6488 000000000 937383.18000000 PA USD 939287.24000000 0.045683453606 Long DBT CORP KY N 2 2021-12-01 Fixed 6.35000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138EKSM8 407373.76000000 PA USD 457913.23000000 0.022271204066 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410LM58 6011.28000000 PA USD 6793.60000000 0.000330415550 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 5.50000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526BX6 3200000.00000000 PA USD 3296797.82000000 0.160344039445 Long DBT CORP DE N 2 2021-10-14 Fixed 4.25000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HBS3 5500000.00000000 PA USD 5513118.22000000 0.268137657691 Long DBT CORP US N 2 2020-10-30 Floating 2.22000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31376KR32 343688.97000000 PA USD 387930.07000000 0.018867482278 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -10851.20000000 -0.00052776219 N/A DFE XX N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 1371681.29000000 USD 1226000.00000000 EUR 2020-02-14 -10851.20000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 915.00000000 NC USD 915.00000000 0.000044502212 N/A DIR US N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Put Purchased Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 100000.00000000 NC N/A 915.00000000 0.00000000 DIR US Long 5 Year US Treasury Note FVH0 Comdty 2020-03-31 100000.00000000 USD 1000.00000000 110.75000000 USD 2020-02-21 XXXX -6954.00000000 N N N HSBC Securities (USA) Inc. CYYGQCGNHMHPSMRL3R97 000000000 13300000.00000000 PA USD 13300000.00000000 0.646862756245 Long RA CORP US N 2 Repurchase N 1.64000000 2020-02-03 13597400.00000000 USD 13736560.96000000 USD UST N N N EQT MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAD2 1550000.00000000 PA USD 1525711.76000000 0.074204971000 Long DBT CORP US N 2 2023-07-15 Fixed 4.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 595000000.00000000 OU Notional Amount -4793.40000000 -0.00023313322 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2026-09-19 0.00000000 JPY 0.00000000 JPY 595000000.00000000 JPY -4793.40000000 N N N American Express Co R4PP93JZOLY261QX3811 025816BS7 6400000.00000000 PA USD 6697692.99000000 0.325750988571 Long DBT CORP US N 2 2023-02-27 Fixed 3.40000000 N N N N N N Suntrust Adjustable Rate Mortgage Loan Trust 7E1PDLW1JL6TS0BS1G03 855541AA6 513835.77000000 PA USD 481031.00000000 0.023395566804 Long ABS-MBS CORP US N 2 2037-01-25 Variable 4.63000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -174437.85000000 -0.00848401116 N/A DFE CN N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 12027251.54000000 USD 83103846.00000000 CNY 2020-03-18 -174437.85000000 N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6PN2 1065.30000000 PA USD 1175.18000000 0.000057156404 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 6.00000000 N N N N N N Argent Securities Inc. N/A 040104TG6 6311209.25000000 PA USD 2352545.53000000 0.114419104190 Long ABS-O CORP US N 2 2036-05-25 Floating 1.82000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31382LHY5 14041.04000000 PA USD 15126.56000000 0.000735699871 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 5.50000000 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 12700000.00000000 PA 14582971.88000000 0.709261758236 Long DBT NUSS ES N 2 2029-10-31 Fixed 0.60000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410TBK0 2908.47000000 PA USD 3341.49000000 0.000162517701 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31368HMT7 43505.33000000 PA USD 50116.86000000 0.002437498510 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31406VU87 1158.04000000 PA USD 1283.55000000 0.000062427119 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.50000000 N N N N N N ODEBRECHT DRILL VIII/IX 549300YNW6BY570L6488 000000000 3301608.00000000 PA USD 1898362.69000000 0.092329332481 Long DBT CORP KY N 2 2026-12-01 Fixed 7.35000000 N N Y N N N Fannie Mae 254900HROIFWPRGM1V77 31418RFS5 44110.51000000 PA USD 46528.55000000 0.002262976398 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 4.50000000 N N N N N N CRH America Finance Inc 549300WEVUODRJ4CWK56 12636YAD4 3200000.00000000 PA USD 3694084.70000000 0.179666602319 Long DBT CORP US N 2 2048-04-04 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138A2SY6 73250.52000000 PA USD 78686.50000000 0.003827020020 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31413R2P0 788.62000000 PA USD 887.44000000 0.000043161795 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6.00000000 N N N N N N TESCO PROPERTY FIN 5 PLC 213800BN1HYPUZMXAF92 000000000 2255469.62000000 PA 4010448.82000000 0.195053381765 Long DBT CORP GB N 2 2041-10-13 Fixed 5.66000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SA7 5700000.00000000 PA USD 6918263.68000000 0.336478730261 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6PM4 2316.54000000 PA USD 2573.82000000 0.000125181075 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417YX85 21917.49000000 PA USD 22571.18000000 0.001097778624 Long ABS-MBS USGSE US N 2 2021-04-01 Fixed 3.00000000 N N N N N N BCAP LLC Trust 213800LBQA1Y9L22JB70 05533XAC6 1959436.84000000 PA USD 1412398.32000000 0.068693824826 Long ABS-MBS CORP US N 2 2036-02-26 Variable 5.25000000 N N N N N N Morgan Stanley Capital Inc IGJSJL3JD5P30I6NJZ34 617526AE8 2065198.86000000 PA USD 1436043.88000000 0.069843857316 Long ABS-O CORP US N 2 2036-11-25 Floating 1.81000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412U6S4 25744.48000000 PA USD 26923.65000000 0.001309466650 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36292DXW7 12689.29000000 PA USD 13762.99000000 0.000669380875 Long ABS-MBS USGA US N 2 2038-01-15 Fixed 5.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828U81 41700000.00000000 PA USD 42208218.75000000 2.052851482468 Long DBT UST US N 2 2021-12-31 Fixed 2.00000000 N N N N N N UMBS, TBA N/A 01F040420 2500000.00000000 PA USD 2613501.83000000 0.127111052421 Long ABS-MBS USGSE US N 2 2035-02-15 Fixed 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31419AGW1 74216.47000000 PA USD 80124.45000000 0.003896956584 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418RHJ3 195780.45000000 PA USD 206522.38000000 0.010044483906 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.50000000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EAS4 4200000.00000000 PA USD 4324261.62000000 0.210316074454 Long DBT CORP GB N 2 2023-01-10 Fixed 3.68000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31407PCL0 3739.19000000 PA USD 4211.43000000 0.000204828362 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RG5 6800000.00000000 PA USD 8602796.89000000 0.418408188547 Long DBT UST US N 2 2044-05-15 Fixed 3.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128286Z8 10600000.00000000 PA USD 10795437.50000000 0.525050109483 Long DBT UST US N 2 2024-06-30 Fixed 1.75000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402CTT9 6926.49000000 PA USD 7849.42000000 0.000381766726 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6.00000000 N N N N N N BCAP LLC Trust 213800LBQA1Y9L22JB70 05530NAA5 5420587.10000000 PA USD 5119245.28000000 0.248981136219 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.87000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138ASU26 3893.53000000 PA USD 4071.49000000 0.000198022198 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31415AT68 37735.43000000 PA USD 39309.15000000 0.001911851512 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416PUV7 26751.92000000 PA USD 27975.06000000 0.001360603339 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.00000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526BP3 6000000.00000000 PA USD 6052633.08000000 0.294377662907 Long DBT CORP DE N 2 2021-01-22 Fixed 3.15000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128282L3 12197168.00000000 PA USD 12733830.83000000 0.619326384079 Long DBT UST US N 2 2027-07-15 Fixed 0.38000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138A8EM4 114581.27000000 PA USD 119865.11000000 0.005829795145 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36202KNW1 28116.23000000 PA USD 28855.79000000 0.001403438785 Long ABS-MBS USGA US N 2 2024-09-20 Floating 3.25000000 N N N N N N CBL & Associates LP 549300VS75TWHD9JTH89 12505JAD5 6600000.00000000 PA USD 3317671.50000000 0.161359257955 Long DBT US N 2 2026-12-15 Fixed 5.95000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 703.00000000 NC 1444941.92000000 0.070276625036 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Euro-Bund (FGBL) RXH0 Comdty 2020-03-06 121750254.88000000 EUR 1444941.92000000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAK9 6000000.00000000 PA USD 6099750.90000000 0.296669299216 Long DBT CORP GB N 2 2023-03-17 Variable 2.86000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31405XCA9 36358.64000000 PA USD 40947.98000000 0.001991558135 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412LEE6 60135.36000000 PA USD 64746.11000000 0.003149011065 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417KVV6 154960.61000000 PA USD 161994.14000000 0.007878795180 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.00000000 N N N N N N CRH America Finance Inc 549300WEVUODRJ4CWK56 12636YAC6 3200000.00000000 PA USD 3527349.31000000 0.171557210293 Long DBT CORP US N 2 2028-04-04 Fixed 3.95000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31414DM45 89035.08000000 PA USD 92183.64000000 0.004483470936 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138AMA39 50327.47000000 PA USD 52719.49000000 0.002564080797 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGP9 5600000.00000000 PA USD 6043553.71000000 0.293936075967 Long DBT CORP US N 2 2025-09-29 Fixed 3.55000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810QU5 11900000.00000000 PA USD 14437349.65000000 0.702179232141 Long DBT UST US N 2 2042-02-15 Fixed 3.13000000 N N N N N N BCAP LLC Trust 213800LBQA1Y9L22JB70 05534AAN1 433634.77000000 PA USD 438506.53000000 0.021327334032 Long ABS-MBS CORP US N 2 2037-03-26 Variable 4.85000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138ABSD2 11648.98000000 PA USD 12355.99000000 0.000600949605 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 000000000 4000000.00000000 PA 5706196.71000000 0.277528280564 Long DBT CORP GB N 2 2027-02-12 Fixed 3.25000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -419.00000000 NC -892654.25000000 -0.04341539763 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-OAT OATH0 Comdty 2020-03-06 -69260297.76000000 EUR -892654.25000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31417L3H6 49201.09000000 PA USD 51495.55000000 0.002504552887 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31413BSE2 25326.82000000 PA USD 29111.25000000 0.001415863414 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.00000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -262.00000000 NC -22792.65000000 -0.00110855010 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-Schatz Futures (FGBS) DUH0 Comdty 2020-03-06 -29345718.48000000 EUR -22792.65000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31411HQX1 2513.85000000 PA USD 2707.85000000 0.000131699798 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.50000000 N N N N N N Dryden Senior Loan Fund N/A 26250JAS9 5401270.30000000 PA USD 5407356.99000000 0.262993823049 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 2.73000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36296AXM1 57361.68000000 PA USD 61670.62000000 0.002999430618 Long ABS-MBS USGA US N 2 2038-04-15 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138L0MH1 5256923.44000000 PA USD 5346677.10000000 0.260042577869 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 2.31000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31414J6R9 22839.81000000 PA USD 25664.18000000 0.001248210692 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416BLC0 19636.15000000 PA USD 22186.28000000 0.001079058513 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N Deutsche Alt-A Securities INC 5299003GGM6YEXXXJ012 25151UAA5 4467031.40000000 PA USD 4301720.42000000 0.209219753945 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.81000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403CXW6 3047.08000000 PA USD 3443.29000000 0.000167468876 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417TPP7 1859.37000000 PA USD 1924.85000000 0.000093617577 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.50000000 N N N N N N GS Mortgage Securities Trust 5493006UCJFJVDKIY756 36251GAA2 6900000.00000000 PA USD 6949962.90000000 0.338020462954 Long ABS-MBS CORP US N 2 2029-02-10 Fixed 3.20000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCC8 7700000.00000000 PA USD 7709130.66000000 0.374943571953 Long DBT CORP US N 2 2020-11-06 Floating 2.45000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SG4 4395288.00000000 PA USD 5308977.17000000 0.258208992859 Long DBT UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N Delta Air Lines Inc Q2CCMS6R0AS67HJMBN42 247361ZJ0 700000.00000000 PA USD 722581.72000000 0.035143699474 Long DBT CORP US N 2 2022-03-15 Fixed 3.63000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3136A1GG4 74684074.80000000 PA USD 80567043.93000000 3.918482714218 Long ABS-MBS USGSE US N 2 2041-10-25 Fixed 3.50000000 N N N N N N Province of Quebec 549300WN65YFEQH74Y36 74814ZEL3 3800000.00000000 PA 3020661.18000000 0.146913775682 Long DBT NUSS CA N 2 2022-12-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810QV3 10358621.00000000 PA USD 11480603.12000000 0.558374028388 Long DBT UST US N 2 2042-02-15 Fixed 0.75000000 N N N N N N ODBRCHT OFFSHRE DRLL FIN 549300L7LF2PIRAWID66 000000000 3419276.00000000 PA USD 807128.65000000 0.039255749111 Long DBT CORP KY N 2 2026-12-01 Fixed 7.72000000 N N Y N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 990000000.00000000 OU Notional Amount -11101.23000000 -0.00053992272 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2026-09-18 0.00000000 JPY 0.00000000 JPY 990000000.00000000 JPY -11101.23000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UMM1 8045159.19000000 PA USD 8455027.15000000 0.411221215517 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31407UEZ6 150690.20000000 PA USD 172275.82000000 0.008378858027 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138A13G4 4680.69000000 PA USD 4894.65000000 0.000238057653 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 4.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RH3 70000000.00000000 PA USD 85207226.30000000 4.144164004244 Long DBT UST US N 2 2044-08-15 Fixed 3.13000000 N N N N N N Countrywide Asset-Backed Certificates N/A 23242NAC3 4486338.78000000 PA USD 3577988.87000000 0.174020130997 Long ABS-O CORP US N 2 2036-05-25 Floating 1.90000000 N N N N N N Reynolds American Inc 02S2RPPVO9RP4NEU2740 761713BF2 3600000.00000000 PA USD 3769047.61000000 0.183312520708 Long DBT CORP US N 2 2022-06-12 Fixed 4.00000000 N N N N N N PENSKE TRUCK LEASING/PTL N/A 709599AY0 3800000.00000000 PA USD 3881454.10000000 0.188779556192 Long DBT CORP US N 2 2023-03-14 Fixed 2.70000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410UKB7 256787.70000000 PA USD 295256.36000000 0.014360176152 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6.00000000 N N N N N N Structured Asset Securities Corporation N/A 863613AA3 20736898.19000000 PA USD 14982365.39000000 0.728686779793 Long ABS-O CORP US N 2 2037-01-25 Floating 1.89000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138EGUD4 39300.58000000 PA USD 40472.72000000 0.001968443249 Long ABS-MBS USGSE US N 2 2021-08-01 Fixed 3.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31408JMA6 69376.57000000 PA USD 74799.47000000 0.003637969272 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N RMAC Securities PLC 213800C48M2JTBGZT736 000000000 1611376.88000000 PA 2032034.26000000 0.098830622722 Long ABS-MBS CORP GB N 2 2044-06-12 Floating 0.95000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 1441.04000000 0.000070086850 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 846668.00000000 TRY 142155.39000000 USD 2020-02-24 1441.04000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31408AEN6 5298.75000000 PA USD 5981.87000000 0.000290936008 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36208ADK4 16472.33000000 PA USD 16461.68000000 0.000800635165 Long ABS-MBS USGA US N 2 2024-12-20 Floating 4.13000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410GUT8 3372.50000000 PA USD 3812.50000000 0.000185425884 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.50000000 N N N N N N UBS AG LONDON BFM8T61CT2L1QCEMIK50 902674XJ4 2700000.00000000 PA USD 2707404.62000000 0.131678136448 Long DBT CORP CH N 2 2020-12-01 Floating 2.39000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6SU3 162142.39000000 PA USD 182380.97000000 0.008870335108 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.50000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBN9 5000000.00000000 PA USD 5010384.75000000 0.243686563100 Long DBT CORP US N 2 2022-09-01 Fixed 1.95000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31414RJP1 114177.58000000 PA USD 126373.08000000 0.006146318710 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 2205.70000000 0.000107277081 N/A DFE XX N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 1013421.98000000 USD 915000.00000000 EUR 2020-02-14 2205.70000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31412REL7 4348.01000000 PA USD 4813.21000000 0.000234096713 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31371NWM3 14273.44000000 PA USD 15714.34000000 0.000764287314 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403NLD7 633.96000000 PA USD 683.14000000 0.000033225400 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.50000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -640789.81000000 -0.03116564380 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 167553093.67000000 CNY 23256727.56000000 USD 2020-03-18 -640789.81000000 N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36295VWP0 41433.73000000 PA USD 44546.18000000 0.002166561261 Long ABS-MBS USGA US N 2 2038-03-15 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31381BDB2 9077.65000000 PA USD 9783.93000000 0.000475854129 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5.50000000 N N N N N N GSAA Home Equity Trust N/A 3622EEAA0 1052089.01000000 PA USD 1039068.25000000 0.050536432490 Long ABS-MBS CORP US N 2 2047-08-25 Fixed 6.00000000 N N N N N N Freddie Mac N/A 3128MJ3B4 548401.87000000 PA USD 579098.68000000 0.028165215660 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810QE1 12000000.00000000 PA USD 17623593.72000000 0.857146346516 Long DBT UST US N 2 2040-02-15 Fixed 4.63000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31407MZ40 4789.26000000 PA USD 5406.14000000 0.000262934633 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31411EJ32 56339.30000000 PA USD 61953.39000000 0.003013183504 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138APTB4 938711.66000000 PA USD 1004313.88000000 0.048846108612 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416QEJ0 9167.21000000 PA USD 9582.32000000 0.000466048565 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3133TQFM4 14496.34000000 PA USD 14510.18000000 0.000705721430 Long ABS-MBS USGSE US N 2 2030-11-15 Floating 2.13000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 201603.86000000 0.009805265304 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 37613000.00000000 AUD 25381252.40000000 USD 2020-02-04 201603.86000000 N N N Freddie Mac 254900HROIFWPRGM1V77 3128Q2FY4 22958.66000000 PA USD 23997.04000000 0.001167127175 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.28000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402C4J8 819065.64000000 PA USD 925670.95000000 0.045021207676 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 166425.30000000 0.008094310396 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11401371.43000000 USD 8757000.00000000 GBP 2020-02-14 166425.30000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31417JQF0 3784.81000000 PA USD 3991.14000000 0.000194114272 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402DC73 51750.74000000 PA USD 58457.41000000 0.002843151981 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410YEU4 26501.35000000 PA USD 29572.38000000 0.001438291070 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402DJS0 8366.05000000 PA USD 9455.74000000 0.000459892183 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 5.50000000 N N N N N N Citibank,Argentina N/A 000000000 -32400000.00000000 NC USD -0.32000000 -0.00000001556 N/A DIR US N 2 Citibank,Argentina N/A Put Written US CPI Urban Consumers NSA CPURNSA Index 1.00000000 216.68700000 USD 2020-04-07 XXXX 289139.68000000 N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 025537AH4 1000000.00000000 PA USD 1002982.93000000 0.048781376132 Long DBT CORP US N 2 2020-11-13 Fixed 2.15000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138XXN51 222171.16000000 PA USD 245519.40000000 0.011941154571 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31407EJW4 678189.67000000 PA USD 766508.19000000 0.037280120335 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402QYY1 378978.99000000 PA USD 428200.22000000 0.020826073273 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N OneMain Financial Issuance Trust 2017-1 549300KQ3WN93FBBU117 68267LAA6 4059812.92000000 PA USD 4064070.45000000 0.197661339312 Long ABS-O CORP US N 2 2032-09-14 Fixed 2.37000000 N N N N N N Province of Quebec 549300WN65YFEQH74Y36 74814ZEH2 13900000.00000000 PA 11006197.29000000 0.535300685322 Long DBT NUSS CA N 2 2021-12-01 Fixed 4.25000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138ANJA2 80888.02000000 PA USD 87300.26000000 0.004245961413 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.50000000 N N N N N N GSAMP Trust N/A 3622MAAB7 109314.63000000 PA USD 63546.27000000 0.003090655290 Long ABS-O CORP US N 2 2036-12-25 Floating 1.73000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BW8 100000.00000000 PA USD 118135.00000000 0.005745649000 Long DBT CORP US N 2 2029-02-01 Fixed 5.88000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -203071.54000000 -0.00987664782 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 25395921.47000000 USD 37613000.00000000 AUD 2020-03-03 -203071.54000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 101818.19000000 0.004952059775 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9245415.98000000 USD 7076000.00000000 GBP 2020-02-14 101818.19000000 N N N Freddie Mac N/A 3132AD3K2 3499396.46000000 PA USD 3654959.61000000 0.177763702803 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -253.00000000 NC USD -525014.01000000 -0.02553473756 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short 10 Year US Treasury Note TYH0 Comdty 2020-03-20 -32784017.24000000 USD -525014.01000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 -148.00000000 NC USD -23125.00000000 -0.00112471437 N/A DIR US N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Put Written Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 955000.00000000 NC N/A -23125.00000000 0.00000000 DIR US Short 10 Year US Treasury Note TYH0 Comdty 2020-03-20 955000.00000000 USD 1000.00000000 130.25000000 USD 2020-02-21 XXXX 29906.36000000 N N N ROYAL BK SCOTLND GRP PLC 2138005O9XJIJN4JPN90 000000000 600000.00000000 PA 706992.45000000 0.034385495101 Long DBT CORP GB N 2 2025-03-04 Variable 2.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810QB7 4200000.00000000 PA USD 5870484.40000000 0.285518625524 Long DBT UST US N 2 2039-05-15 Fixed 4.25000000 N N N N N N LETRA TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 135000000.00000000 PA 31316525.86000000 1.523119867205 Long DBT NUSS BR N 2 2020-04-01 None 0.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31404JFS9 11011.58000000 PA USD 11867.16000000 0.000577174723 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.50000000 N N N N N N Venture CDO Ltd 549300OT41NOT6O55015 92329XAQ1 5400000.00000000 PA USD 5393341.80000000 0.262312176099 Long ABS-CBDO CORP KY N 2 2028-01-15 Floating 2.68000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H032647 5700000.00000000 PA USD 5874295.34000000 0.285703975536 Long ABS-MBS USGA US N 2 2050-04-21 Fixed 3.50000000 N N N N N N Scotia Capital (USA) Inc. 549300BLWPABP1VNME36 000000000 -58500000.00000000 PA USD -58500000.00000000 -2.84522340153 Short RA CORP US N 2 Reverse repurchase N 1.69000000 2020-04-13 50000000.00000000 USD 60862304.50000000 USD UST N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAD3 5300000.00000000 PA USD 5656137.16000000 0.275093569399 Long DBT CORP US N 2 2025-08-01 Fixed 4.13000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31414H5D5 276498.34000000 PA USD 317784.44000000 0.015455858552 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6.00000000 N N N N N N EPR Properties 549300YSSXFHMPOWZ492 26884UAD1 1900000.00000000 PA USD 2090747.14000000 0.101686199819 Long DBT US N 2 2027-06-01 Fixed 4.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 14.00000000 NC USD 14.00000000 0.000000680908 N/A DIR US N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Call Purchased Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 153000.00000000 NC N/A 14.00000000 0.00000000 DIR US Long 10 Year US Treasury Note TYH0 Comdty 2020-03-20 153000.00000000 USD 1000.00000000 149.00000000 USD 2020-02-21 XXXX -106.40000000 N N N Fannie Mae 254900HROIFWPRGM1V77 3138A8SV9 89602.09000000 PA USD 95042.57000000 0.004622518706 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.50000000 N N N N N N Countrywide Home Loans N/A 12544BAA1 751500.02000000 PA USD 718564.78000000 0.034948330385 Long ABS-MBS CORP US N 2 2047-09-25 Variable 4.30000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31404EJY3 7824.41000000 PA USD 8833.81000000 0.000429643810 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.50000000 N N N N N N UBS GROUP FUNDING SWITZE 506700Q800G1L95S7805 90351DAD9 8500000.00000000 PA USD 8632283.04000000 0.419842285710 Long DBT CORP CH N 2 2021-04-15 Fixed 3.00000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CW3 3900000.00000000 PA USD 3988057.28000000 0.193964340165 Long DBT CORP US N 2 2024-08-15 Fixed 2.90000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31413ALY7 116479.44000000 PA USD 124589.32000000 0.006059563228 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.00000000 N N N N N N Asset Backed Securities Corp Home Equity Ln Trst N/A 04541GEU2 4807878.46000000 PA USD 4853041.75000000 0.236033982148 Long ABS-MBS CORP US N 2 2033-08-15 Floating 2.92000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828D72 41000000.00000000 PA USD 41397988.23000000 2.013444869885 Long DBT UST US N 2 2021-08-31 Fixed 2.00000000 N N N N N N ZIMMER BIOMET HOLDINGS 2P2YLDVPES3BXQ1FRB91 98956PAK8 4900000.00000000 PA USD 4903159.28000000 0.238471513245 Long DBT CORP US N 2 2020-04-01 Fixed 2.70000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 000000000 2500000.00000000 PA USD 2840495.00000000 0.138151159759 Long DBT CORP CH N 2 2023-12-11 Variable 7.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410KNH3 15558.04000000 PA USD 17493.76000000 0.000850831715 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -319968.77000000 -0.01556209627 N/A DFE AU N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 11025654.02000000 USD 15992000.00000000 AUD 2020-02-04 -319968.77000000 N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -102242.18000000 -0.00497268107 N/A DFE CN N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 7138684.78000000 USD 49334736.68000000 CNY 2020-03-18 -102242.18000000 N N N WAMU Mortgage Pass-Through Certificates N/A 93363TAD4 1745417.48000000 PA USD 1692583.17000000 0.082320978535 Long ABS-MBS CORP US N 2 2046-09-25 Floating 3.07000000 N N N N N N Viterra Inc 549300IOJASF7KPJ2R34 92849TAJ7 200000.00000000 PA USD 203936.53000000 0.009918717736 Long DBT CORP CA N 2 2020-08-01 Fixed 5.95000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31419HDL3 38370.05000000 PA USD 40120.39000000 0.001951307222 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31419AN94 2756.32000000 PA USD 2883.82000000 0.000140258327 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -59727.94000000 -0.00290494585 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 165343000.00000000 MXN 8585455.77000000 USD 2020-04-22 -59727.94000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31404KMF6 6213.39000000 PA USD 6842.29000000 0.000332783651 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.50000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBB5 4800000.00000000 PA USD 4934879.52000000 0.240014268274 Long DBT CORP US N 2 2022-02-25 Fixed 3.20000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1190000000.00000000 OU Notional Amount -31579.82000000 -0.00153592551 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2026-09-13 0.00000000 JPY 0.00000000 JPY 1190000000.00000000 JPY -31579.82000000 N N N MOODY'S CORPORATION 549300GCEDD8YCF5WU84 615369AK1 300000.00000000 PA USD 307682.15000000 0.014964520571 Long DBT CORP US N 2 2023-01-15 Fixed 2.63000000 N N N N N N Adjustable Rate Mortgage Trust N/A 00703QAE2 2709289.21000000 PA USD 1464964.97000000 0.071250472052 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.78000000 N N N N N N Intercontinental Exchange 5R6J7JCQRIPQR1EEP713 000000000 8000000.00000000 OU Notional Amount USD 52435.55000000 0.002550271007 N/A DCR US N 2 Intercontinental Exchange 5R6J7JCQRIPQR1EEP713 Goldman Sachs Group Inc/The Goldman Sachs Group Inc/The Y sell protection 2020-09-20 127336.26000000 USD 0.00000000 USD 8000000.00000000 USD -74900.71000000 N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DAT2 1500000.00000000 PA USD 1503399.23000000 0.073119772154 Long DBT CORP US N 2 2020-08-14 Floating 2.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -158466.31000000 -0.00770721459 N/A DFE CN N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 8233125.03000000 USD 56614000.00000000 CNY 2020-03-18 -158466.31000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31412SCY9 7050.03000000 PA USD 7298.29000000 0.000354961803 Long ABS-MBS USGSE US N 2 2022-11-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138APZX9 37738.85000000 PA USD 39936.04000000 0.001942341120 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410XA71 5698.84000000 PA USD 6526.28000000 0.000317414095 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36202KFV2 9400.10000000 PA USD 9606.99000000 0.000467248423 Long ABS-MBS USGA US N 2 2023-09-20 Floating 3.25000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828F96 7800000.00000000 PA USD 7884855.50000000 0.383490177543 Long DBT UST US N 2 2021-10-31 Fixed 2.00000000 N N N N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAE4 4500000.00000000 PA USD 4594533.80000000 0.223461112596 Long DBT CORP NL N 2 2021-04-23 Fixed 3.93000000 N N N N N N Japan Tobacco Inc 353800Z0ENYBQO0XRJ31 000000000 800000.00000000 PA USD 800972.00000000 0.038956312450 Long DBT CORP JP N 2 2021-04-13 Fixed 2.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418AAX6 13945.60000000 PA USD 14541.66000000 0.000707252501 Long ABS-MBS USGSE US N 2 2021-12-01 Fixed 3.00000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92922F4M7 175025.19000000 PA USD 173318.22000000 0.008429556503 Long ABS-MBS CORP US N 2 2045-10-25 Floating 1.95000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VEN0 12695000.00000000 PA USD 13585124.78000000 0.660730169859 Long DBT CORP US N 2 2025-02-15 Fixed 3.38000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138AG4X3 145586.41000000 PA USD 155409.69000000 0.007558551911 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 9600000.00000000 PA 11788273.58000000 0.573337980401 Long DBT NUSS ES N 2 2028-07-30 Fixed 1.40000000 N N N N N N VOLKSWAGEN INTL FIN NV 5299004PWNHKYTR23649 000000000 1800000.00000000 PA 2054940.09000000 0.099944677483 Long DBT CORP NL N 2 2024-11-16 Floating 1.15000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M5GA2 145977.15000000 PA USD 168230.37000000 0.008182102317 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.00000000 N N N N N N EMC Corp KDMDXRWU7UTJ30FC8R59 268648AQ5 1080000.00000000 PA USD 1080675.00000000 0.052560030759 Long DBT CORP US N 2 2020-06-01 Fixed 2.65000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6NT1 369405.73000000 PA USD 416496.59000000 0.020256852043 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 -182.00000000 NC USD -2843.75000000 -0.00013830947 N/A DIR US N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Put Written Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 915000.00000000 NC N/A -2843.75000000 0.00000000 DIR US Short 10 Year US Treasury Note TYH0 Comdty 2020-03-20 915000.00000000 USD 1000.00000000 128.50000000 USD 2020-02-21 XXXX 39585.91000000 N N N Rockwell Collins Inc XO75O7GICH1NPWLBRL05 774341AH4 5500000.00000000 PA USD 5620162.85000000 0.273343912157 Long DBT CORP US N 2 2022-03-15 Fixed 2.80000000 N N N N N N CNH INDUSTRIAL CAPITAL L 549300WGC2HZ5J67V817 12592BAE4 2200000.00000000 PA USD 2240700.00000000 0.108979351723 Long DBT CORP US N 2 2020-11-06 Fixed 4.38000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 595000000.00000000 OU Notional Amount -5139.87000000 -0.00024998424 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2026-09-19 0.00000000 JPY 0.00000000 JPY 595000000.00000000 JPY -5139.87000000 N N N Mylan NV 549300A0CD4KNFGIIS89 000000000 5100000.00000000 PA 6104685.40000000 0.296909295026 Long DBT CORP NL N 2 2024-11-22 Fixed 2.25000000 N N N N N N CVS Pass-Through Trust 549300EJG376EN5NQE29 126650BQ2 511032.37000000 PA USD 608707.05000000 0.029605257151 Long DBT CORP US N 2 2030-01-10 Fixed 6.94000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 43.00000000 NC 348905.56000000 0.016969474602 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Euro-Buxl (FGBX) UBH0 Comdty 2020-03-06 8754101.28000000 EUR 348905.56000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 6852.89000000 0.000333299196 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 6017000.00000000 CAD 4553416.33000000 USD 2020-02-04 6852.89000000 N N N Tralee CLO Ltd 54930005YIOSJ9Z81114 89300JAA6 5900000.00000000 PA USD 5901587.10000000 0.287031345693 Long ABS-CBDO CORP KY N 2 2028-10-20 Floating 2.93000000 N N N N N N SMALL BUSINESS ADMINISTRATION 254900HROIFWPRGM1V77 83162CNF6 32796.84000000 PA USD 34046.74000000 0.001655907374 Long ABS-O USGA US N 2 2023-09-01 Fixed 5.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RF7 2538372.00000000 PA USD 3197237.65000000 0.155501801402 Long DBT UST US N 2 2044-02-15 Fixed 1.38000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410KAA2 3897.24000000 PA USD 4405.63000000 0.000214273531 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412PE49 756065.11000000 PA USD 790614.40000000 0.038452557136 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810QH4 10500000.00000000 PA USD 14982187.50000000 0.728678127882 Long DBT UST US N 2 2040-05-15 Fixed 4.38000000 N N N N N N Allegro CLO Ltd N/A 01749GAJ7 292609.12000000 PA USD 292698.83000000 0.014235787362 Long ABS-CBDO CORP KY N 2 2026-01-30 Floating 2.99000000 N N N N N N HARLEY-DAVIDSON FINL SER RLUFFFFW4GRYU77BTS24 41284VAB8 5300000.00000000 PA USD 5409956.61000000 0.263120258940 Long DBT CORP US N 2 2021-05-21 Fixed 3.55000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SB5 10013280.00000000 PA USD 12000530.87000000 0.583661389096 Long DBT UST US N 2 2048-02-15 Fixed 1.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 1200000.00000000 OU Notional Amount USD 17651.33000000 0.000858495336 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 General Electric Co General Electric Co Y sell protection 2024-06-20 0.00000000 USD -3521.27000000 USD 1200000.00000000 USD 21172.60000000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 000000000 -51882500.00000000 PA USD -51882500.00000000 -2.52337270307 Short RA CORP US N 2 Reverse repurchase N 1.87000000 2020-02-26 44500000.00000000 USD 54876099.61000000 USD UST N N N United States Treasury 254900HROIFWPRGM1V77 912810RL4 873824.00000000 PA USD 975071.65000000 0.047423874816 Long DBT UST US N 2 2045-02-15 Fixed 0.75000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3137BRC60 4516088.80000000 PA USD 4509067.19000000 0.219304333129 Long ABS-MBS USGSE US N 2 2041-06-15 Floating 2.08000000 N N N N N N UMBS, TBA N/A 01F042632 3500000.00000000 PA USD 3701954.73000000 0.180049371439 Long ABS-MBS USGSE US N 2 2050-03-15 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416NA28 3828.34000000 PA USD 4004.83000000 0.000194780103 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 4.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 -203.00000000 NC USD -41234.38000000 -0.00200548757 N/A DIR US N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Put Written Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 227000.00000000 NC N/A -41234.38000000 0.00000000 DIR US Short 10 Year US Treasury Note TYH0 Comdty 2020-03-20 227000.00000000 USD 1000.00000000 130.50000000 USD 2020-02-21 XXXX 52986.04000000 N N N Natwest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC 96.82000000 0.000004708966 N/A DFE MX N 2 Natwest Markets PLC RR3QWICWWIPCS8A4S074 46288.18000000 USD 877999.00000000 MXN 2020-02-12 96.82000000 N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251525AV3 3500000.00000000 PA USD 3503416.04000000 0.170393184654 Long DBT CORP DE N 2 2020-07-13 Floating 2.82000000 N N N N N N Telefonica Emisiones SAU 549300Y5MFC4SW5Z3K71 87938WAM5 1800000.00000000 PA USD 1813422.40000000 0.088198151270 Long DBT CORP ES N 2 2020-04-27 Fixed 5.13000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 5303.05000000 0.000257920717 N/A DFE GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 1719893.08000000 USD 1306000.00000000 GBP 2020-02-14 5303.05000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -125778.32000000 -0.00611739178 N/A DFE CN N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8161927.87000000 USD 56344000.00000000 CNY 2020-03-18 -125778.32000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31417MKJ1 2273.55000000 PA USD 2375.47000000 0.000115534065 Long ABS-MBS USGSE US N 2 2024-09-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138AA2P5 11438.80000000 PA USD 12368.56000000 0.000601560963 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417SAP5 49078.97000000 PA USD 51359.46000000 0.002497933974 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 4.50000000 N N N N N N Merrill Lynch Alternative Note Asset 9DJT3UXIJIZJI4WXO774 59023YAG9 560793.09000000 PA USD 391047.53000000 0.019019103990 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418AFW3 36749.86000000 PA USD 37845.92000000 0.001840685422 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 3.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31371NXK6 59982.19000000 PA USD 64760.68000000 0.003149719696 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418U2M5 1619.56000000 PA USD 1701.07000000 0.000082733746 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132GJCU1 159446.75000000 PA USD 174421.80000000 0.008483230548 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410GZC0 165091.67000000 PA USD 186629.10000000 0.009076948422 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36241KGU6 3840.98000000 PA USD 4292.25000000 0.000208759147 Long ABS-MBS USGA US N 2 2035-12-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C4W1 3623600.51000000 PA USD 3787528.86000000 0.184211380281 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.00000000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAT5 1800000.00000000 PA USD 1906257.91000000 0.092713326750 Long DBT CORP NL N 2 2022-06-15 Fixed 4.63000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 190000000.00000000 OU Notional Amount -30354.93000000 -0.00147635140 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2039-08-28 0.00000000 JPY 0.00000000 JPY 190000000.00000000 JPY -30354.93000000 N N N Fannie Mae 254900HROIFWPRGM1V77 3138AHFF8 4648.90000000 PA USD 4812.61000000 0.000234067531 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138ADHS7 148923.90000000 PA USD 154294.41000000 0.007504308821 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4.50000000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804FK5 1100000.00000000 PA USD 1122061.58000000 0.054572920775 Long DBT CORP US N 2 2022-01-15 Fixed 2.95000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31288VRT8 3246.92000000 PA USD 3380.65000000 0.000164422299 Long ABS-MBS USGSE US N 2 2024-06-01 Floating 4.25000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 3622A2D58 512324.05000000 PA USD 572234.82000000 0.027831382923 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 5.00000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 899.00000000 NC 5914303.70000000 0.287649834034 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Long-Term Euro-BTP (FBTP) IKH0 Comdty 2020-03-06 127746202.04000000 EUR 5914303.70000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31410SYK7 4540.31000000 PA USD 5025.65000000 0.000244429008 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417YZW0 20539.07000000 PA USD 21971.83000000 0.001068628459 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 4.00000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BQ2 5000000.00000000 PA USD 5050975.35000000 0.245660739596 Long DBT CORP GB N 2 2022-09-10 Variable 2.74000000 N N N N N N SMALL BUSINESS ADMINISTRATION 254900HROIFWPRGM1V77 83162CLF8 18955.17000000 PA USD 19224.11000000 0.000934989532 Long ABS-O USGA US N 2 2021-01-01 Fixed 6.29000000 N N N N N N HSI Asset Securitization Corporation Trust N/A 44328BAE8 4965912.48000000 PA USD 1915250.64000000 0.093150699841 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.83000000 N N N N N N Argent Securities Inc. N/A 040104NC1 1350110.40000000 PA USD 1353420.74000000 0.065825373701 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.02000000 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 3300000.00000000 PA 4310129.61000000 0.209628745812 Long DBT NUSS ES N 2 2035-07-30 Fixed 1.85000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31407HKX3 1448.80000000 PA USD 1636.83000000 0.000079609350 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N Countrywide Asset-Backed Certificates N/A 126670UW6 1200000.00000000 PA USD 1196401.08000000 0.058188518810 Long ABS-O CORP US N 2 2036-06-25 Floating 2.06000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H050623 33300000.00000000 PA USD 35256375.00000000 1.714739541934 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31374CN36 30350.64000000 PA USD 34938.29000000 0.001699269065 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 6.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 590000000.00000000 OU Notional Amount -14633.49000000 -0.00071171877 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2026-09-13 0.00000000 JPY 0.00000000 JPY 590000000.00000000 JPY -14633.49000000 N N N ICE Futures Europe - Financial Products Division N/A 000000000 -258.00000000 NC -850281.70000000 -0.04135455368 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Short United Kingdom Gilt G H0 Comdty 2020-03-27 -34170611.02000000 GBP -850281.70000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31412LH52 50969.99000000 PA USD 54944.71000000 0.002672307259 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 5.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 48999.75000000 0.002383166416 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4047416.35000000 USD 28721275.92000000 CNY 2020-03-18 48999.75000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31416BN53 1893.13000000 PA USD 2139.50000000 0.000104057358 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J6GR2 133959.86000000 PA USD 140483.42000000 0.006832593403 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138EGVH4 132778.20000000 PA USD 149291.47000000 0.007260984343 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 5.50000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RFZ0 6200000.00000000 PA USD 6244234.71000000 0.303696456778 Long DBT CORP US N 2 2021-06-01 Floating 2.66000000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PHB2 604723.03000000 PA USD 569096.20000000 0.027678732067 Long ABS-MBS CORP US N 2 2034-11-19 Floating 2.47000000 N N N N N N Towd Point Mortgage Funding N/A 000000000 16737923.00000000 PA 22117190.10000000 1.075698236728 Long ABS-MBS CORP GB N 2 2045-07-20 Variable 1.61000000 N N N N N N BANK OF NEW YORK/BARCLAYS LONDON G5GSEF7VJP5I7OUK5573 000000000 -1362000.00000000 PA USD -1362000.00000000 -0.06624263714 Short RA CORP US N 2 Reverse repurchase N -0.40000000 2021-10-28 1500000.00000000 USD 1565025.00000000 USD CDS N N N Fannie Mae 254900HROIFWPRGM1V77 31409GKP0 143292.50000000 PA USD 163784.98000000 0.007965895007 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.00000000 N N N N N N Credit Suisse First Boston Mortgage Securities 549300506SI9CRFV9Z86 225470FJ7 306452.31000000 PA USD 259951.24000000 0.012643065834 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 6.00000000 N N N N N N Crown Point CLO Ltd N/A 22845LAA4 5700000.00000000 PA USD 5699004.78000000 0.277178491717 Long ABS-CBDO CORP KY N 2 2028-07-17 Floating 2.78000000 N N N N N N Synchrony Bank 549300UATVPGSLE43Z27 87166FAC7 3000000.00000000 PA USD 3065288.70000000 0.149084293020 Long DBT CORP US N 2 2021-05-24 Fixed 3.65000000 N N N N N N London Clearing House F226TOH6YD6XJB17KS62 000000000 5900000000.00000000 OU Notional Amount -1234659.83000000 -0.06004928275 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2026-03-18 0.00000000 JPY -39146702.00000000 JPY 5900000000.00000000 JPY -884636.38000000 N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36296PMT5 43031.54000000 PA USD 47855.49000000 0.002327513846 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 5.00000000 N N N N N N Sprint Corp 549300ZTTY7CXOLJ6539 85207UAE5 1390000.00000000 PA USD 1460292.30000000 0.071023210684 Long DBT CORP US N 2 2021-09-15 Fixed 7.25000000 N N N N N N UMBS, TBA N/A 01F022634 28300000.00000000 PA USD 28500061.47000000 1.386137467342 Long ABS-MBS USGSE US N 2 2050-03-15 Fixed 2.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31406TQT1 846.44000000 PA USD 955.79000000 0.000046486086 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410E3F3 135383.35000000 PA USD 150138.96000000 0.007302203119 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138A2UF4 67917.22000000 PA USD 74865.65000000 0.003641188023 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.50000000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YAZ2 4900000.00000000 PA USD 4979993.53000000 0.242208446684 Long DBT CORP JP N 2 2025-09-13 Variable 2.56000000 N N N N N N Allergan Funding SCS 222100FLFVOSKCBCAR54 00507UAR2 2200000.00000000 PA USD 2265458.93000000 0.110183534407 Long DBT CORP LU N 2 2022-03-15 Fixed 3.45000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416QKD6 174814.84000000 PA USD 193000.27000000 0.009386818541 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402CWR9 11644.27000000 PA USD 13149.09000000 0.000639523052 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36296DKZ0 4525.54000000 PA USD 5034.11000000 0.000244840471 Long ABS-MBS USGA US N 2 2038-10-15 Fixed 5.00000000 N N N N N N BROADCOM CRP / CAYMN FI 549300WV6GIDOZJTV909 11134LAH2 3800000.00000000 PA USD 4019406.95000000 0.195489072041 Long DBT CORP US N 2 2027-01-15 Fixed 3.88000000 N N N N N N REGIONS BANK EQTWLK1G7ODGC2MGLV11 000000000 -1291313.00000000 PA USD -1291313.00000000 -0.06280468318 Short RA CORP US N 2 Reverse repurchase N -0.05000000 2021-10-21 1455000.00000000 USD 1518074.25000000 USD CDS N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 223.00000000 NC 1236.59000000 0.000060143159 N/A DIR DE N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Call Purchased Euro-Schatz Futures (FGBS) DUH0 Comdty 100000.00000000 114.10000000 EUR 2020-02-21 XXXX -126.13000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31406ELQ5 2693.94000000 PA USD 3031.64000000 0.000147447744 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N ALEXANDRIA REAL ESTATE E MGCJBT4MKTQBVLNUIS88 015271AT6 2100000.00000000 PA USD 2141231.86000000 0.104141589678 Long DBT US N 2 2029-12-15 Fixed 2.75000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416MKE3 35186.75000000 PA USD 37683.38000000 0.001832780079 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 5.00000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92922FJ25 361383.37000000 PA USD 361882.51000000 0.017600625402 Long ABS-MBS CORP US N 2 2045-04-25 Floating 2.12000000 N N N N N N Physicians Realty LP 549300P6Q1UMT0X60U20 71951QAB8 1400000.00000000 PA USD 1503315.63000000 0.073115706160 Long DBT US N 2 2028-01-15 Fixed 3.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J6GM3 526857.12000000 PA USD 556989.23000000 0.027089893873 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -137519.29000000 -0.00668842909 N/A DFE CN N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 8326279.23000000 USD 57414000.00000000 CNY 2020-03-18 -137519.29000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31412N4K9 139043.62000000 PA USD 145392.48000000 0.007071351906 Long ABS-MBS USGSE US N 2 2024-02-01 Fixed 4.00000000 N N N N N N CREDIT AGRICOLE LONDON 969500TJ5KRTCJQWXH05 22535WAE7 4900000.00000000 PA USD 5169281.12000000 0.251414694217 Long DBT CORP FR N 2 2023-04-24 Fixed 3.75000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 693674.25000000 0.033737747164 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 45343395.96000000 CAD 34956035.29000000 USD 2020-02-04 693674.25000000 N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 67054KAA7 1000000.00000000 PA USD 1065650.00000000 0.051829270390 Long DBT CORP FR N 2 2026-05-01 Fixed 7.38000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31371LKY4 17043.86000000 PA USD 19265.71000000 0.000937012802 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31376KHD1 1037.67000000 PA USD 1170.96000000 0.000056951158 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36295KKX0 39590.81000000 PA USD 44281.64000000 0.002153695015 Long ABS-MBS USGA US N 2 2038-05-15 Fixed 5.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 -133.00000000 NC USD -72734.38000000 -0.00353753094 N/A DIR US N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Call Written Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 1368000.00000000 NC N/A -72734.38000000 0.00000000 DIR US Short 5 Year US Treasury Note FVH0 Comdty 2020-03-31 1368000.00000000 USD 1000.00000000 120.00000000 USD 2020-02-21 XXXX -41728.09000000 N N N Fanniemae-Aces N/A 3136B75M9 4400000.00000000 PA USD 4600369.84000000 0.223744955973 Long ABS-MBS USGSE US N 2 2029-09-25 Fixed 2.44000000 N N N N N N CRED SUIS GP FUN LTD 549300PXR5FKNXF0OH19 225433AC5 4900000.00000000 PA USD 5264527.81000000 0.256047140564 Long DBT CORP GG N 2 2025-03-26 Fixed 3.75000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31408D6V1 2796.50000000 PA USD 3156.16000000 0.000153503936 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N Digital Realty Trust LP CD4SPTZ3YBTHY0C1AH38 25389JAT3 5500000.00000000 PA USD 6240165.14000000 0.303498527961 Long DBT US N 2 2028-07-15 Fixed 4.45000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31386C3V2 196314.35000000 PA USD 195210.09000000 0.009494296004 Long ABS-MBS USGSE US N 2 2040-10-01 Floating 3.64000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138A7T24 71125.18000000 PA USD 74374.39000000 0.003617294955 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X3AX6 2578086.17000000 PA USD 2696990.88000000 0.131171650692 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4.00000000 N N N N N N UMBS, TBA N/A 01F032633 102900000.00000000 PA USD 106226662.33000000 5.166471547484 Long ABS-MBS USGSE US N 2 2050-03-15 Fixed 3.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417YSY4 67790.50000000 PA USD 72520.08000000 0.003527108182 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4.00000000 N N N N N N GSR Mortgage Loan Trust 784F5XWPLTWKTBV3E584 362341XG9 213120.86000000 PA USD 214741.81000000 0.010444246548 Long ABS-MBS CORP US N 2 2035-11-25 Variable 4.14000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9500000.00000000 OU Notional Amount -622238.34000000 -0.03026336899 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 London Interbank Offer Rate 6 Months BP0006M Index Y 2050-06-17 133235.01000000 GBP 0.00000000 GBP 9500000.00000000 GBP -796596.41000000 N N N Fannie Mae 254900HROIFWPRGM1V77 3138AMYN9 29156.31000000 PA USD 30853.49000000 0.001500599517 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31414FTG6 1238.91000000 PA USD 1364.89000000 0.000066383196 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -8601.68000000 -0.00041835386 N/A DFE XX N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 2336220.52000000 USD 2097000.00000000 EUR 2020-02-14 -8601.68000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148YAB4 7700000.00000000 PA USD 7767945.96000000 0.377804130379 Long DBT CORP US N 2 2022-10-31 Floating 2.56000000 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 780082AE3 4300000.00000000 PA USD 4335551.71000000 0.210865182629 Long DBT CORP CA N 2 2021-03-22 Fixed 2.30000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5480000000.00000000 OU Notional Amount 1675348.14000000 0.081482730489 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2028-06-18 23527374.00000000 JPY 0.00000000 JPY 5480000000.00000000 JPY 1466163.83000000 N N N Mountain View CLO Ltd N/A 62431XAU0 4150454.10000000 PA USD 4148381.78000000 0.201761930238 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 2.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4YR1 4488682.85000000 PA USD 4739083.53000000 0.230491476262 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M8CB8 158624.97000000 PA USD 182843.41000000 0.008892826477 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31409WVE8 49460.62000000 PA USD 56533.36000000 0.002749573313 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416WUB6 23118.54000000 PA USD 24770.85000000 0.001204762428 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 5.00000000 N N N N N N JACKSON NATL LIFE GLOBAL 635400PQXLYXWJI5QD78 46849LTB7 6300000.00000000 PA USD 6440781.06000000 0.313255743522 Long DBT CORP US N 2 2021-06-11 Fixed 3.30000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBL0 5000000.00000000 PA USD 5297829.55000000 0.257666813897 Long DBT CORP IT N 2 2029-09-23 Fixed 4.00000000 N N N N N N SASOL Financing USA LLC 549300XRB1PFMESFEL85 80386WAA3 3900000.00000000 PA USD 4189575.00000000 0.203765415939 Long DBT CORP US N 2 2024-03-27 Fixed 5.88000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31419ACU9 5378.55000000 PA USD 5976.42000000 0.000290670940 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138A2NX3 53385.88000000 PA USD 55982.52000000 0.002722782495 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 4.00000000 N N N N N N Intercontinental Exchange 5R6J7JCQRIPQR1EEP713 000000000 5000000.00000000 OU Notional Amount 103760.52000000 0.005046527515 N/A DCR US N 2 Intercontinental Exchange 5R6J7JCQRIPQR1EEP713 Tesco PLC Tesco PLC Y sell protection 2022-06-20 0.00000000 EUR -225933.40000000 EUR 5000000.00000000 EUR 347730.45000000 N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36297FY22 22103.40000000 PA USD 24686.06000000 0.001200638557 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418MG30 7029.97000000 PA USD 8093.83000000 0.000393653923 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.00000000 N N N N N N HomeBanc Mortgage Trust N/A 43739HAA8 2494615.95000000 PA USD 2494558.82000000 0.121326104806 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.84000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 220000000.00000000 OU Notional Amount -240000.53000000 -0.01167273716 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2038-10-22 0.00000000 JPY 0.00000000 JPY 220000000.00000000 JPY -240000.53000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 1368.00000000 NC USD 1368.00000000 0.000066534454 N/A DIR US N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Put Purchased Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 55000.00000000 NC N/A 1368.00000000 0.00000000 DIR US Long 5 Year US Treasury Note FVH0 Comdty 2020-03-31 55000.00000000 USD 1000.00000000 111.00000000 USD 2020-02-21 XXXX -10396.80000000 N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -14350000.00000000 OU Notional Amount USD -396002.60000000 -0.01926010024 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 1.00000000 NC USD -396002.60000000 -0.02000000 DFE US 14350000.00000000 USD 60270000.00000000 BRL 2020-03-16 1.00000000 4.20000000 USD 2020-03-16 XXXX -230690.60000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CZ98 4316833.48000000 PA USD 4517056.85000000 0.219692920609 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31404JQ99 3231.07000000 PA USD 3585.36000000 0.000174378635 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 240449.56000000 0.011694576324 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 55100000.00000000 BRL 13007861.38000000 USD 2020-07-02 240449.56000000 N N N UMBS, TBA N/A 01F030637 186300000.00000000 PA USD 190405727.84000000 9.260629617707 Long ABS-MBS USGSE US N 2 2050-03-15 Fixed 3.00000000 N N N N N N AMBAC LSNI LLC 5493000UC0RBBNDHI717 02315QAA6 818140.86000000 PA USD 833475.27000000 0.040537151158 Long DBT CORP KY N 2 2023-02-12 Floating 6.94000000 N N N N N N IndyMac IMSC Mortgage Loan Trust N/A 45670JAE2 2971077.28000000 PA USD 1692319.08000000 0.082308134175 Long ABS-MBS CORP US N 2 2037-07-25 Fixed 6.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M5BS8 147765.77000000 PA USD 170328.61000000 0.008284152942 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.00000000 N N N N N N SMALL BUSINESS ADMINISTRATION 254900HROIFWPRGM1V77 83162CRY1 3291780.85000000 PA USD 3597381.23000000 0.174963303586 Long ABS-O USGA US N 2 2028-08-01 Fixed 6.02000000 N N N N N N BBVA BANCOMER SA TEXAS 549300WIWQK5Q9MCUN92 000000000 289000.00000000 PA USD 301372.81000000 0.014657657634 Long DBT CORP MX N 2 2021-03-10 Fixed 6.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31415XH79 40026.15000000 PA USD 43902.07000000 0.002135234135 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TAL9 5023089.73000000 PA USD 5297107.91000000 0.257631715999 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.00000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397YS6 3400000.00000000 PA USD 3409412.39000000 0.165821195170 Long DBT CORP US N 2 2020-11-02 Fixed 2.34000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403TA79 30515.99000000 PA USD 32956.83000000 0.001602898187 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 3622A2FL1 478269.48000000 PA USD 534420.57000000 0.025992237812 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 5.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 -13400000.00000000 NC USD -0.13000000 -0.00000000632 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written US CPI Urban Consumers NSA CPURNSA Index 1.00000000 215.94900000 USD 2020-03-12 XXXX 113599.87000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 -5100000.00000000 NC USD -0.05000000 -0.00000000243 N/A DIR US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Put Written US CPI Urban Consumers NSA CPURNSA Index 1.00000000 215.94900000 USD 2020-03-10 XXXX 38249.95000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31413NY66 56369.49000000 PA USD 63754.83000000 0.003100798876 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.00000000 N N N N N N FirstEnergy Corp 549300SVYJS666PQJH88 337932AG2 1100000.00000000 PA USD 1124451.83000000 0.054689173685 Long DBT CORP US N 2 2022-07-15 Fixed 2.85000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36202KVB8 4314.18000000 PA USD 4407.87000000 0.000214382476 Long ABS-MBS USGA US N 2 2025-10-20 Floating 4.13000000 N N N N N N FannieMae Whole Loan 254900HROIFWPRGM1V77 31392GVX0 149765.37000000 PA USD 165114.78000000 0.008030571555 Long ABS-MBS USGSE US N 2 2042-12-25 Variable 5.28000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397XQ1 1550000.00000000 PA USD 1563228.61000000 0.076029651677 Long DBT CORP US N 2 2021-01-15 Fixed 3.20000000 N N N N N N B3 SA-BRASIL BOLSA BALCA 4GTK5S46E6H318LMDS44 P1728MAA1 1300000.00000000 PA USD 1322750.00000000 0.064333662467 Long DBT CORP BR N 2 2020-07-16 Fixed 5.50000000 N N N N N N UBS AG LONDON BFM8T61CT2L1QCEMIK50 902674XK1 3400000.00000000 PA USD 3417629.00000000 0.166220820658 Long DBT CORP CH N 2 2020-12-01 Fixed 2.45000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 -207.00000000 NC USD -16171.88000000 -0.00078654036 N/A DIR US N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Put Written Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 139000.00000000 NC N/A -16171.88000000 0.00000000 DIR US Short 5 Year US Treasury Note FVH0 Comdty 2020-03-31 139000.00000000 USD 1000.00000000 119.50000000 USD 2020-02-21 XXXX 28894.09000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31410GEK5 2720.05000000 PA USD 3072.94000000 0.000149456423 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412QEP0 3257.56000000 PA USD 3408.85000000 0.000165793842 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.50000000 N N N N N N Bear Stearns Alt-A Trust 8I5DZWZKVSZI1NUHU748 07386HTY7 85326.37000000 PA USD 85707.68000000 0.004168504219 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.10000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138EGUA0 125090.05000000 PA USD 128820.85000000 0.006265369179 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C3D4 2605827.31000000 PA USD 2726108.44000000 0.132587821001 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TZ65 3398484.81000000 PA USD 3599301.14000000 0.175056680900 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36296QRY7 5804.56000000 PA USD 6490.76000000 0.000315686534 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 5.00000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -44593.52000000 -0.00216886370 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 1478000.00000000 GBP 1907810.68000000 USD 2020-02-14 -44593.52000000 N N N Fannie Mae 254900HROIFWPRGM1V77 3138AGFZ6 225788.05000000 PA USD 241994.24000000 0.011769703840 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31405R7C4 478373.87000000 PA USD 539742.51000000 0.026251077269 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 5.50000000 N N N N N N BRANDYWINE OPER PARTNERS IXBXSCONLDQ1ZI73YU71 105340AN3 5000000.00000000 PA USD 5383742.35000000 0.261845294393 Long DBT US N 2 2024-10-01 Fixed 4.10000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1580000000.00000000 OU Notional Amount -12258.52000000 -0.00059620902 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2026-09-18 0.00000000 JPY -76110.00000000 JPY 1580000000.00000000 JPY -11554.53000000 N N N PLATIN 1426 GMBH 06/23 6.875 213800NMYXIGFN77O655 000000000 2700000.00000000 PA 3063185.88000000 0.148982019641 Long DBT CORP DE N 2 2023-06-15 Fixed 6.88000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31385XTY3 2593.96000000 PA USD 2917.63000000 0.000141902720 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36225CUC8 221230.27000000 PA USD 229476.41000000 0.011160882937 Long ABS-MBS USGA US N 2 2032-02-20 Floating 4.00000000 N N N N N N FHLMC STRUCTURED PASS THROUGH 254900HROIFWPRGM1V77 31395M2F5 84617.86000000 PA USD 85791.21000000 0.004172566809 Long ABS-MBS CORP US N 2 2045-02-25 Floating 3.32000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CB3 9000000.00000000 PA USD 9414666.81000000 0.457894535477 Long DBT CORP DE N 2 2025-11-26 Variable 3.96000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410CUU4 1276.45000000 PA USD 1407.63000000 0.000068461911 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138EGUL6 856495.72000000 PA USD 903628.53000000 0.043949145980 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.50000000 N N N N N N JAPAN INT'L COOP AGENCY 254900XEIG78M2AJB031 47109LAB0 6900000.00000000 PA USD 7281725.66000000 0.354156175236 Long DBT NUSS JP N 2 2027-04-27 Fixed 2.75000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31381SVJ8 421322.99000000 PA USD 430000.68000000 0.020913640981 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 3.33000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36241LJY3 52261.49000000 PA USD 57740.90000000 0.002808303588 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410KKV5 3248.69000000 PA USD 3654.08000000 0.000177720921 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N CNH INDUSTRIAL CAP LLC 549300WGC2HZ5J67V817 12592BAG9 500000.00000000 PA USD 515974.94000000 0.025095110664 Long DBT CORP US N 2 2021-10-15 Fixed 3.88000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412XS62 981.37000000 PA USD 1128.17000000 0.000054870011 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.00000000 N N N N N N Cent CLO LP N/A 15137KAE9 5200000.00000000 PA USD 5207720.44000000 0.253284240419 Long ABS-CBDO CORP KY N 2 2026-10-15 Variable 2.90000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138ANQA4 255108.09000000 PA USD 272918.77000000 0.013273758480 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.50000000 N N N N N N ODBRCHT OFFSHRE DRLL FIN 549300L7LF2PIRAWID66 000000000 770321.92000000 PA USD 768275.75000000 0.037366087909 Long DBT CORP KY N 2 2022-12-01 Fixed 6.72000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418UC69 248583.14000000 PA USD 262224.29000000 0.012753618570 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.50000000 N N N N N N Natwest Markets Securities Inc. ZE2ZWJ5BTIQJ8M0C6K34 000000000 -18802263.00000000 PA USD -18802263.00000000 -0.91447245622 Short RA CORP US N 2 Reverse repurchase N 2.00000000 2020-02-04 17162000.00000000 USD 19105254.42000000 USD UST N N N BRITISH TELECOMMUNICATIO 549300OWFMSO9NYV4H90 111021AM3 1300000.00000000 PA USD 1417950.60000000 0.068963867168 Long DBT CORP GB N 2 2023-12-04 Fixed 4.50000000 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 233851DU5 5900000.00000000 PA USD 5982639.18000000 0.290973418766 Long DBT CORP US N 2 2022-08-15 Fixed 2.55000000 N N N N N N Navient Student Loan Trust N/A 63940JAA7 134324.16000000 PA USD 134326.15000000 0.006533126588 Long ABS-O CORP US N 2 2066-07-26 Floating 1.96000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36225CAY2 4111.40000000 PA USD 4214.45000000 0.000204975243 Long ABS-MBS USGA US N 2 2026-12-20 Floating 4.13000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6KC1 5740.97000000 PA USD 6606.90000000 0.000321335153 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418MWY4 331453.40000000 PA USD 346166.94000000 0.016836278265 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403RRY6 10757.48000000 PA USD 12147.53000000 0.000590810882 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36295NJT5 42611.15000000 PA USD 47650.45000000 0.002317541460 Long ABS-MBS USGA US N 2 2038-05-15 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402CVQ2 224922.29000000 PA USD 254238.97000000 0.012365242171 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.50000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 243608.51000000 0.011848215956 N/A DFE MX N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 8401575.20000000 USD 165343000.00000000 MXN 2020-04-22 243608.51000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31412HMC0 1045.41000000 PA USD 1154.02000000 0.000056127259 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3136APAH5 3935451.49000000 PA USD 3915582.58000000 0.190439439098 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 2.00000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CV0 5800000.00000000 PA USD 6086614.71000000 0.296030403572 Long DBT CORP US N 2 2023-03-09 Fixed 3.70000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36211SCZ8 1134.03000000 PA USD 1263.92000000 0.000061472389 Long ABS-MBS USGA US N 2 2035-04-15 Fixed 5.00000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 106124.35000000 0.005161495454 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 34771395.96000000 CAD 26379263.32000000 USD 2020-03-03 106124.35000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31417Y7D3 147214.24000000 PA USD 159005.95000000 0.007733460682 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 5.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 -140.00000000 NC -124213.55000000 -0.00604128716 N/A DIR DE N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Call Written Euro-Bund (FGBL) RXJ0 Comdty 100000.00000000 171.50000000 EUR 2020-03-27 XXXX 65633.11000000 N N N CHARTER COMM OPT LLC/CAP 0J0XRGZE3PBRFEZ7MV65 161175AX2 1800000.00000000 PA USD 1810765.78000000 0.088068943110 Long DBT CORP US N 2 2020-07-23 Fixed 3.58000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AP4 4500000.00000000 PA USD 4785153.75000000 0.232732161186 Long DBT US N 2 2030-01-15 Fixed 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402DP95 925.79000000 PA USD 1044.56000000 0.000050803530 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 5.50000000 N N N N N N Rio Oil Finance Trust N/A 76716XAB8 5748013.38000000 PA USD 6732360.67000000 0.327437096168 Long DBT CORP US N 2 2027-01-06 Fixed 9.75000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31408EXX5 884.41000000 PA USD 996.85000000 0.000048483093 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417YWU7 807.70000000 PA USD 831.79000000 0.000040455185 Long ABS-MBS USGSE US N 2 2021-02-01 Fixed 3.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -163070.04000000 -0.00793112297 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5465035.22000000 USD 7920000.00000000 AUD 2020-02-04 -163070.04000000 N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579PK8 395659.58000000 PA USD 398272.87000000 0.019370517776 Long ABS-MBS CORP US N 2 2035-04-25 Variable 4.15000000 N N N N N N ERAC USA Finance LLC LTKX5ODQW6Z7BQ2K1V47 26884TAH5 2600000.00000000 PA USD 2693654.00000000 0.131009357203 Long DBT CORP US N 2 2022-10-15 Fixed 3.30000000 N N N N N N ARGENT LETRAS DEL TESORO 549300KPBYGYF7HCHO27 000000000 3060000.00000000 PA 42705.29000000 0.002077027187 Long DBT NUSS AR N 2 2020-02-26 None 0.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -285707.66000000 -0.01389576273 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9457705.76000000 USD 13701000.00000000 AUD 2020-02-04 -285707.66000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31410F2H7 85261.78000000 PA USD 96344.58000000 0.004685843651 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828N71 17861085.00000000 PA USD 18730591.91000000 0.910986639775 Long DBT UST US N 2 2026-01-15 Fixed 0.63000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138EGRS5 4389.33000000 PA USD 4578.25000000 0.000222669128 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1310000000.00000000 OU Notional Amount -162940.27000000 -0.00792481144 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2039-08-22 11422747.00000000 JPY 0.00000000 JPY 1310000000.00000000 JPY -270098.82000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 -125.00000000 NC -19408.37000000 -0.00094395125 N/A DIR DE N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Put Written Euro-Bund (FGBL) RXH0 Comdty 100000.00000000 173.00000000 EUR 2020-02-21 XXXX 15130.21000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 23214.02000000 0.001129043982 N/A DFE XX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3401060.72000000 USD 3085000.00000000 EUR 2020-02-14 23214.02000000 N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397VU4 2700000.00000000 PA USD 2835314.74000000 0.137899211093 Long DBT CORP US N 2 2021-08-02 Fixed 5.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042620 7200000.00000000 PA USD 7566750.00000000 0.368018703821 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403BMY6 28109.06000000 PA USD 31177.32000000 0.001516349409 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403DLV9 4211.07000000 PA USD 4851.00000000 0.000235934678 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418THP5 63280.10000000 PA USD 66760.49000000 0.003246983050 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 4.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RQ3 1700000.00000000 PA USD 1867111.33000000 0.090809382040 Long DBT UST US N 2 2046-02-15 Fixed 2.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31415TJ50 117036.54000000 PA USD 134158.91000000 0.006524992653 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410XYJ9 418.94000000 PA USD 461.55000000 0.000022448083 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412T4Y6 15482.44000000 PA USD 17068.30000000 0.000830138915 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403QR93 14479.94000000 PA USD 15595.32000000 0.000758498622 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31414QAF4 1357.20000000 PA USD 1520.75000000 0.000073963649 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.50000000 N N N N N N TAKEDA PHARMACEUTICAL 549300ZLMVP4X0OGR454 874060AT3 3900000.00000000 PA USD 4239108.63000000 0.206174548302 Long DBT CORP JP N 2 2023-11-26 Fixed 4.40000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418NYK0 137975.99000000 PA USD 144358.55000000 0.007021065378 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N London Clearing House F226TOH6YD6XJB17KS62 000000000 1020000000.00000000 OU Notional Amount -251363.55000000 -0.01222539238 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2028-03-20 8048669.00000000 JPY 0.00000000 JPY 1020000000.00000000 JPY -324469.43000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31410SBV8 58884.73000000 PA USD 67704.77000000 0.003292909333 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.00000000 N N N N N N Air Lease Corp 5493004NW4M4P8TMMK63 00912XAM6 2500000.00000000 PA USD 2554769.33000000 0.124254521080 Long DBT CORP US N 2 2021-04-01 Fixed 3.88000000 N N N N N N Trillium Credit Card Trust II 549300P7QN1SDIOQVL28 89621AAD1 8100000.00000000 PA USD 8101227.96000000 0.394013732870 Long ABS-O CORP CA N 2 2023-02-27 Floating 1.91000000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 000000000 1100000.00000000 PA USD 1144033.00000000 0.055641529294 Long DBT CORP CH N 2 2021-03-22 Variable 6.88000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10500000.00000000 OU Notional Amount 267149.63000000 0.012993168871 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 London Interbank Offer Rate 6 Months BP0006M Index Y 2050-03-18 204583.83000000 GBP 0.00000000 GBP 10500000.00000000 GBP 11716.45000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31416VB37 243306.77000000 PA USD 269483.08000000 0.013106659239 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36296JJ71 144022.35000000 PA USD 160849.97000000 0.007823146987 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 5.00000000 N N N N N N American Tower Corp 5493006ORUSIL88JOE18 03027XAH3 2099000.00000000 PA USD 2128159.75000000 0.103505810647 Long DBT US N 2 2021-02-15 Fixed 3.30000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31419HCV2 181645.50000000 PA USD 198690.22000000 0.009663556642 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 5.00000000 N N N N N N BANQUE FED CRED MUTUEL VBHFXSYT7OG62HNT8T76 06675FAR8 6300000.00000000 PA USD 6694206.31000000 0.325581409365 Long DBT CORP FR N 2 2023-07-20 Fixed 3.75000000 N N N N N N Arrow Electronics Inc 549300YNNLBXT8N8R512 042735BD1 2100000.00000000 PA USD 2160586.24000000 0.105082915061 Long DBT CORP US N 2 2022-04-01 Fixed 3.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402DP79 216478.22000000 PA USD 244660.42000000 0.011899376964 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31406BXE5 16064.28000000 PA USD 17758.81000000 0.000863722765 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.50000000 N N N N N N London Clearing House F226TOH6YD6XJB17KS62 000000000 2180000000.00000000 OU Notional Amount -537223.90000000 -0.02612858140 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2027-09-20 0.00000000 JPY -12381599.00000000 JPY 2180000000.00000000 JPY -423869.00000000 N N N AT&T Inc 549300Z40J86GGSTL398 00206RCM2 5000000.00000000 PA USD 5130118.85000000 0.249509986404 Long DBT CORP US N 2 2022-06-30 Fixed 3.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410FYT6 13084.58000000 PA USD 15063.66000000 0.000732640648 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N Sempra Energy PBBKGKLRK5S5C0Y4T545 816851BB4 5200000.00000000 PA USD 5208169.62000000 0.253306086871 Long DBT CORP US N 2 2021-03-15 Floating 2.34000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138ATS68 12365.91000000 PA USD 12968.93000000 0.000630760737 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 4.00000000 N N N N N N CHICAGO IL TRANSIT AUTH SALES 549300CB8XLRGIPN3E12 167725AB6 150000.00000000 PA USD 157923.00000000 0.007680790004 Long DBT MUN US N 2 2021-12-01 Fixed 6.30000000 N N N N N N First Horizon Mortgage Pass-Through Trust TF3RXI1ZB1TQ30H9JV10 32051GJ89 954850.54000000 PA USD 929317.26000000 0.045198550693 Long ABS-MBS CORP US N 2 2036-02-25 Variable 4.02000000 N N N N N N TEVA PHARMACEUTICALS NE 5493004T21MOAFINJP35 88167AAK7 3000000.00000000 PA USD 3130050.00000000 0.152234042871 Long DBT CORP NL N 2 2028-03-01 Fixed 6.75000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410FV44 10099.06000000 PA USD 11634.21000000 0.000565844898 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410PAB9 1054.77000000 PA USD 1162.52000000 0.000056540668 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.00000000 N N N N N N GREENKO SOLAR MAURITIUS 2138007S1PL541B3KP92 39530VAA6 4900000.00000000 PA USD 5028625.00000000 0.244573701325 Long DBT CORP MU N 2 2025-01-29 Fixed 5.55000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31405QNW4 21578.79000000 PA USD 23095.21000000 0.001123265503 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417SBP4 4819.59000000 PA USD 5355.18000000 0.000260456127 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.00000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404121AH8 4000000.00000000 PA USD 4510300.00000000 0.219364292443 Long DBT CORP US N 2 2026-09-01 Fixed 5.38000000 N N N N N N BROADCOM CRP / CAYMN FI N/A 11134LAD1 3800000.00000000 PA USD 3868876.48000000 0.188167827325 Long DBT CORP US N 2 2022-01-15 Fixed 3.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SJ1 3100000.00000000 PA USD 3165036.42000000 0.153935652801 Long DBT CORP US N 2 2023-10-31 Floating 3.01000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138ACCZ8 369882.63000000 PA USD 406363.83000000 0.019764032113 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N PROVINCIA DE BUENOS AIRE 549300L6AYROPOTQ4L07 000000000 310000.00000000 PA 2697.87000000 0.000131214407 Long DBT NUSS AR N 2 2025-04-12 Floating 39.29000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412MTG3 180951.17000000 PA USD 199295.44000000 0.009692992302 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M75R3 301205.45000000 PA USD 338700.49000000 0.016473137782 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.50000000 N N N N N N Residential Asset Mortgage Products, INC. N/A 76112BAM2 325710.16000000 PA USD 327216.24000000 0.015914586383 Long ABS-O CORP US N 2 2034-08-25 Floating 2.56000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 7197.09000000 0.000350039810 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 2612000.00000000 EUR 2906453.37000000 USD 2020-02-14 7197.09000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31414LZV3 30577.05000000 PA USD 33528.39000000 0.001630696749 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.00000000 N N N N N N AVALONBAY COMMUNITIES K9G90K85RBWD2LAGQX17 05348EAV1 3000000.00000000 PA USD 3232852.80000000 0.157233990431 Long DBT US N 2 2025-06-01 Fixed 3.45000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403DC56 1148.30000000 PA USD 1188.74000000 0.000057815912 Long ABS-MBS USGSE US N 2 2020-12-01 Fixed 4.50000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAC5 3300000.00000000 PA USD 3437296.37000000 0.167177368716 Long DBT CORP US N 2 2023-05-01 Fixed 3.88000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RB6 16800000.00000000 PA USD 19585453.10000000 0.952563922900 Long DBT UST US N 2 2043-05-15 Fixed 2.88000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31407BZS1 6833.01000000 PA USD 7714.68000000 0.000375213471 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.50000000 N N N N N N JAPAN FIN ORG MUNICIPAL 5493007YYYNZ4NMEOD64 471068AK2 6800000.00000000 PA USD 6936308.31000000 0.337356354253 Long DBT NUSS JP N 2 2022-04-20 Fixed 2.63000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 200000.00000000 OU Notional Amount USD 454.83000000 0.000022121247 N/A DCR US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 Petrobras Global Finance BV Petrobras Global Finance BV Y sell protection 2020-03-20 0.00000000 USD -36496.87000000 USD 200000.00000000 USD 36951.70000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 86000000.00000000 OU Notional Amount USD 5136761.90000000 0.249833079760 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE Libor USD 3 Months US0003M Index Y 2023-08-22 0.00000000 USD -1931867.00000000 USD 86000000.00000000 USD 7068628.90000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 723000000.00000000 OU Notional Amount -22597.13000000 -0.00109904073 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2026-09-24 107506.00000000 JPY 0.00000000 JPY 723000000.00000000 JPY -23588.47000000 N N N London Clearing House F226TOH6YD6XJB17KS62 000000000 660000000.00000000 OU Notional Amount -265668.11000000 -0.01292111322 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2029-03-20 0.00000000 JPY -5346368.00000000 JPY 660000000.00000000 JPY -216919.77000000 N N N Evergreen Credit Card Trust 5493002G9KVV6J3CNU15 30023JBH0 6000000.00000000 PA USD 6047161.80000000 0.294111560106 Long ABS-O CORP CA N 2 2024-09-15 Fixed 1.90000000 N N N N N N NORDEA BANK AB 6SCPQ280AIY8EP3XFW53 65557CAY9 2500000.00000000 PA USD 2647923.93000000 0.128785215916 Long DBT CORP SE N 2 2023-08-30 Fixed 3.75000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 4900000.00000000 OU Notional Amount USD 10555.21000000 0.000513366333 N/A DCR US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 Brazilian Government International Bond Brazilian Government International Bond Y sell protection 2020-03-20 13012.02000000 USD 0.00000000 USD 4900000.00000000 USD -2456.81000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31410VGA2 53513.75000000 PA USD 59116.33000000 0.002875199410 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.00000000 N N N N N N First Franklin Mtg Loan Asset N/A 32028HAD5 54889.02000000 PA USD 55018.14000000 0.002675878622 Long ABS-O CORP US N 2 2036-07-25 Floating 1.81000000 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AC9 3200000.00000000 PA USD 3392028.80000000 0.164975721716 Long DBT CORP US N 2 2023-04-20 Fixed 3.90000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417Y6B8 13670.07000000 PA USD 14077.78000000 0.000684691095 Long ABS-MBS USGSE US N 2 2021-10-01 Fixed 3.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416BLD8 3737422.80000000 PA USD 4211899.50000000 0.204851196962 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N ROYAL BK SCOTLND GRP PLC 2138005O9XJIJN4JPN90 780097BF7 700000.00000000 PA USD 711857.18000000 0.034622097556 Long DBT CORP GB N 2 2023-05-15 Floating 3.38000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138L0N80 6000000.00000000 PA USD 6423860.46000000 0.312432788187 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 2.87000000 N N N N N N Freddie Mac N/A 3132XGGJ9 5900000.00000000 PA USD 6001428.14000000 0.291887244214 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 2.70000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402C4H2 2980.02000000 PA USD 3366.72000000 0.000163744795 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31419LK69 72123.54000000 PA USD 78110.24000000 0.003798992867 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31413BPY1 26727.89000000 PA USD 30753.53000000 0.001495737833 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 2600000.00000000 OU Notional Amount USD 30054.28000000 0.001461728902 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 General Electric Co General Electric Co Y sell protection 2024-12-20 0.00000000 USD -37114.71000000 USD 2600000.00000000 USD 67168.99000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31416VGC2 4173.73000000 PA USD 4692.08000000 0.000228205398 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31371MER4 11342.50000000 PA USD 13050.17000000 0.000634711950 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6.00000000 N N N N N N JP Morgan Mortgage Trust N/A 46628BAG5 1980757.63000000 PA USD 1799690.24000000 0.087530269852 Long ABS-MBS CORP US N 2 2036-10-25 Variable 4.10000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138ATUZ1 188105.95000000 PA USD 205657.73000000 0.010002430531 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.50000000 N N N N N N Standard Chartered PLC U4LOSYZ7YG4W3S5F2G91 853254BM1 5000000.00000000 PA USD 5194918.15000000 0.252661584434 Long DBT CORP GB N 2 2023-01-20 Variable 4.25000000 N N N N N N Countrywide Asset-Backed Certificates N/A 12667LAD4 1093775.41000000 PA USD 1089391.67000000 0.052983977314 Long ABS-O CORP US N 2 2037-05-25 Floating 1.81000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416BMS4 3084.30000000 PA USD 3545.25000000 0.000172427833 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138APZP6 345812.12000000 PA USD 365946.44000000 0.017798279911 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416B2P2 689537.40000000 PA USD 774718.01000000 0.037679415583 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.50000000 N N N N N N WASHINGTON PG LP 549300K4BNOIQ154O537 939648AE1 5800000.00000000 PA USD 5188593.00000000 0.252353952557 Long DBT US N 2 2024-08-15 Fixed 6.45000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07384M4C3 25345.82000000 PA USD 25460.63000000 0.001238310774 Long ABS-MBS CORP US N 2 2035-01-25 Variable 3.84000000 N N N N N N Ally Auto Receivables Trust N/A 02007JAB3 31071.21000000 PA USD 31079.45000000 0.001511589375 Long ABS-O CORP US N 2 2021-05-17 Fixed 2.72000000 N N N N N N Wells Fargo Bank NA KB1H1DSPRFMYMCUFXT09 94988J5T0 2500000.00000000 PA USD 2579787.03000000 0.125471289379 Long DBT CORP US N 2 2021-10-22 Fixed 3.63000000 N N N N N N WALGREENS BOOTS ALLIANCE 549300RPTUOIXG4LIH86 931427AF5 1600000.00000000 PA USD 1634119.36000000 0.079477515281 Long DBT CORP US N 2 2021-11-18 Fixed 3.30000000 N N N N N N NISSAN MOTOR ACCEPTANCE 7D6DIU2QXTUJRFNNJA49 654740AN9 2600000.00000000 PA USD 2615676.52000000 0.127216821291 Long DBT CORP US N 2 2021-03-08 Fixed 2.55000000 N N N N N N Mitsubishi Corp KVIPTY4PULAPGC1VVD26 000000000 400000.00000000 PA USD 406378.00000000 0.019764721290 Long DBT CORP JP N 2 2022-07-14 Fixed 2.63000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402C4G4 3137396.76000000 PA USD 3546310.06000000 0.172479390970 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 447464.31000000 0.021763007284 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 45100000.00000000 BRL 10943680.09000000 USD 2020-04-02 447464.31000000 N N N Towd Point Mortgage Funding 635400655NWVVZHH1395 000000000 6282475.15000000 PA 8353137.86000000 0.406265697700 Long ABS-MBS CORP GB N 2 2051-10-20 Variable 1.72000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403TRH9 18026.76000000 PA USD 19524.17000000 0.000949583339 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.50000000 N N N N N N BGC Partners Inc TF1LXM1YNB81WKUH5G19 05541TAK7 6300000.00000000 PA USD 6803931.39000000 0.330918030995 Long DBT CORP US N 2 2023-07-24 Fixed 5.38000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31372TUK5 17037.32000000 PA USD 18757.24000000 0.000912282704 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 6.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 -15600000.00000000 NC USD -0.16000000 -0.00000000778 N/A DIR US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Put Written US CPI Urban Consumers NSA CPURNSA Index 1.00000000 218.01100000 USD 2020-10-13 XXXX 152879.84000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31376KMK9 99614.16000000 PA USD 112481.15000000 0.005470666670 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418MJV5 62622.47000000 PA USD 69028.19000000 0.003357275582 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 6.00000000 N N N N N N UMBS, TBA N/A 01F040636 14200000.00000000 PA USD 14838677.66000000 0.721698340615 Long ABS-MBS USGSE US N 2 2050-03-15 Fixed 4.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 3659.00000000 NC USD 4574900.87000000 0.222506239572 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 5 Year US Treasury Note FVH0 Comdty 2020-03-31 435677124.40000000 USD 4574900.87000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31407JE32 12211.88000000 PA USD 13445.04000000 0.000653916964 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403KJ61 63563.81000000 PA USD 71750.17000000 0.003489662611 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.50000000 N N N N N N CBL & Associates LP 549300VS75TWHD9JTH89 12505JAB9 2700000.00000000 PA USD 1465870.50000000 0.071294513678 Long DBT US N 2 2024-10-15 Fixed 4.60000000 N N N N N N BMW US Capital LLC KK5MZM9DIXLXZL9DZL15 05565EAL9 1000000.00000000 PA USD 1002852.33000000 0.048775024232 Long DBT CORP US N 2 2021-09-15 Fixed 1.85000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 2.00000000 NC USD 2.00000000 0.000000097272 N/A DIR US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 250000.00000000 NC N/A 2.00000000 0.00000000 DIR US Long 10 Year US Treasury Note TYH0 Comdty 2020-03-20 250000.00000000 USD 1000.00000000 148.50000000 USD 2020-02-21 XXXX -15.20000000 N N N Cox Communications Inc 5493001NEDZNIFRP2R92 224044BW6 4700000.00000000 PA USD 4867327.71000000 0.236728798348 Long DBT CORP US N 2 2022-12-15 Fixed 3.25000000 N N N N N N London Clearing House F226TOH6YD6XJB17KS62 000000000 770000000.00000000 OU Notional Amount -246952.69000000 -0.01201086448 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2028-06-18 0.00000000 JPY -73303.00000000 JPY 770000000.00000000 JPY -246290.25000000 N N N UMBS, TBA N/A 01F030629 42800000.00000000 PA USD 43769687.07000000 2.128795520158 Long ABS-MBS USGSE US N 2 2050-02-15 Fixed 3.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138AMK38 94939.31000000 PA USD 100720.88000000 0.004898690680 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.50000000 N N N N N N DEUTSCHE TELEKOM INT FIN 529900ERDFHS6C1M4U58 25156PAY9 6080000.00000000 PA USD 6201186.56000000 0.301602754149 Long DBT CORP NL N 2 2022-01-19 Fixed 2.82000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410DXY1 61831.50000000 PA USD 70609.09000000 0.003434164704 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412NBR6 45417.84000000 PA USD 50739.72000000 0.002467792115 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 4200000.00000000 OU Notional Amount USD 20125.54000000 0.000978831750 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 AXA Equitable Holdings Inc AXA Equitable Holdings Inc Y sell protection 2023-06-20 0.00000000 USD -114235.86000000 USD 4200000.00000000 USD 134361.40000000 N N N IndyMac ARM Trust N/A 45660UAT6 2304.37000000 PA USD 2330.73000000 0.000113358077 Long ABS-MBS CORP US N 2 2032-01-25 Variable 3.53000000 N N N N N N GSMPS Mortgage Loan Trust N/A 36298XAA0 4694353.99000000 PA USD 4045064.28000000 0.196736949575 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.06000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418USW5 29338.05000000 PA USD 30681.23000000 0.001492221428 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31409TU22 7008.31000000 PA USD 8059.08000000 0.000391963812 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138A9RW6 8918.11000000 PA USD 9322.72000000 0.000453422583 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416CLT1 930372.71000000 PA USD 1071810.07000000 0.052128873387 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138ASVH2 8120.60000000 PA USD 8878.19000000 0.000431802289 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418AGV4 55754.36000000 PA USD 60951.34000000 0.002964447502 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.50000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -2294.29000000 -0.00011158577 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3165318.15000000 USD 4186000.00000000 CAD 2020-02-04 -2294.29000000 N N N Park Place Securities Inc N/A 70069FLW5 4739268.09000000 PA USD 4754572.61000000 0.231244807764 Long ABS-O CORP US N 2 2035-08-25 Floating 2.14000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31393APU5 429465.10000000 PA USD 477901.98000000 0.023243382856 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 5.00000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAK1 5500000.00000000 PA USD 6030798.79000000 0.293315723884 Long DBT CORP IE N 2 2024-01-16 Fixed 4.88000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138A4DW2 42042.94000000 PA USD 43557.42000000 0.002118471635 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138A1MN8 13238.86000000 PA USD 14099.31000000 0.000685738235 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417YU54 49700.51000000 PA USD 52451.29000000 0.002551036542 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 4.50000000 N N N N N N Provident Funding Mortgage Loan Trust N/A 743873BM2 1359521.91000000 PA USD 1385491.77000000 0.067385189856 Long ABS-MBS CORP US N 2 2035-10-25 Variable 4.61000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 60285.42000000 0.002932059619 N/A DFE CN N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 5232356.79000000 USD 37108397.56000000 CNY 2020-03-18 60285.42000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31406ARR5 87548.12000000 PA USD 97139.01000000 0.004724481785 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 6.00000000 N N N N N N GE CAPITAL UK FUNDING UN BR7Z6BPTFF652NNO9651 000000000 3730000.00000000 PA 5098840.73000000 0.247988734455 Long DBT CORP IE N 2 2020-11-04 Fixed 5.88000000 N N N N N N UMBS, TBA N/A 01F052623 1000000.00000000 PA USD 1078151.28000000 0.052437286363 Long ABS-MBS USGSE US N 2 2050-02-15 Fixed 5.50000000 N N N N N N Alba PLC 2138008XOOHJFP498784 000000000 2457280.00000000 PA 3099002.43000000 0.150724004021 Long ABS-MBS CORP GB N 2 2039-03-17 Floating 0.96000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31371NJ63 688979.37000000 PA USD 759405.19000000 0.036934656715 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 6.00000000 N N N N N N Residential Asset Securitization Trust N/A 761128AD9 17894982.02000000 PA USD 7114216.31000000 0.346009140662 Long ABS-MBS CORP US N 2 2037-08-25 Fixed 6.25000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KAW0 1624000.00000000 PA USD 1667900.70000000 0.081120514582 Long DBT CORP US N 2 2023-01-15 Fixed 2.80000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410GUV3 28442.65000000 PA USD 32150.75000000 0.001563693440 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.50000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 000000000 5500000.00000000 PA USD 5810062.50000000 0.282579928023 Long DBT NUSS QA N 2 2024-03-14 Fixed 3.38000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418MGG1 1933.29000000 PA USD 2185.48000000 0.000106293655 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -19222.15000000 -0.00093489420 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4565785.59000000 USD 6017000.00000000 CAD 2020-02-04 -19222.15000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31417Y4T1 1522.37000000 PA USD 1567.77000000 0.000076250528 Long ABS-MBS USGSE US N 2 2021-08-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36202KMP7 465.06000000 PA USD 476.99000000 0.000023199027 Long ABS-MBS USGA US N 2 2024-07-20 Floating 3.25000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RAL6 4900000.00000000 PA USD 5237470.50000000 0.254731173186 Long DBT CORP FR N 2 2023-09-14 Fixed 4.25000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -8954.83000000 -0.00043552977 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3950266.93000000 USD 5216000.00000000 CAD 2020-02-04 -8954.83000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31415MFQ3 40792.97000000 PA USD 42612.48000000 0.002072513252 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410KJV7 1245350.57000000 PA USD 1434696.55000000 0.069778328173 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 6.00000000 N N N N N N UniCredit SpA 549300TRUWO2CD2G5692 904678AG4 10600000.00000000 PA USD 12514627.12000000 0.608665127235 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83000000 N N N N N N Monarch Grove CLO LTD N/A 60909GAA8 4300000.00000000 PA USD 4296565.59000000 0.208969042100 Long ABS-CBDO CORP KY N 2 2028-01-25 Floating 2.67000000 N N N N N N INTL LEASE FINANCE CORP N/A 459745GF6 837000.00000000 PA USD 882445.74000000 0.042918893504 Long DBT CORP US N 2 2020-12-15 Fixed 8.25000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410KXK5 1148256.01000000 PA USD 1290846.77000000 0.062782007483 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31371NZ81 16856.37000000 PA USD 18175.85000000 0.000884006047 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418QC92 2515.15000000 PA USD 2629.55000000 0.000127891575 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.00000000 N N N N N N Delta Air Lines Inc Q2CCMS6R0AS67HJMBN42 247361ZM3 3000000.00000000 PA USD 3049391.61000000 0.148311117422 Long DBT CORP US N 2 2021-04-19 Fixed 3.40000000 N N N N N N Duke Energy Corp I1BZKREC126H0VB1BL91 26441CBA2 5300000.00000000 PA USD 5325283.12000000 0.259002053894 Long DBT CORP US N 2 2021-05-14 Floating 2.41000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138A9PG3 65972.91000000 PA USD 70697.88000000 0.003438483121 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.00000000 N N N N N N BAT INTL FINANCE PLC 21380041YBGOQDFAC823 05530QAF7 3600000.00000000 PA USD 3704213.12000000 0.180159211167 Long DBT CORP GB N 2 2022-06-07 Fixed 3.25000000 N N N N N N John Deere Capital Corp E0KSF7PFQ210NWI8Z391 24422EUG2 5600000.00000000 PA USD 5644203.54000000 0.274513162307 Long DBT CORP US N 2 2023-06-07 Floating 2.44000000 N N N N N N Specialty Underwriting & Residential Finance N/A 84751YAC4 2947994.55000000 PA USD 1469731.23000000 0.071482285291 Long ABS-O CORP US N 2 2037-09-25 Floating 1.90000000 N N N N N N Freddie Mac N/A 3128MJ3T5 2370312.18000000 PA USD 2498309.42000000 0.121508520103 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N SPRINT COMMUNICATIONS 549300JKU50UT08ZWD77 852061AS9 800000.00000000 PA USD 827424.00000000 0.040242839791 Long DBT CORP US N 2 2022-11-15 Fixed 6.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6PE2 39223.32000000 PA USD 45202.81000000 0.002198497313 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31409YMG9 50630.29000000 PA USD 56132.02000000 0.002730053621 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31371NZE8 10356.40000000 PA USD 10759.99000000 0.000523326074 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 6.00000000 N N N N N N ERP Operating LP DX5HQV5MLU50FEWZ5072 26884ABD4 4100000.00000000 PA USD 4393328.19000000 0.213675216697 Long DBT US N 2 2025-06-01 Fixed 3.38000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -88127.36000000 -0.00428618849 N/A DFE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 62022000.00000000 EUR 68754779.60000000 USD 2020-02-14 -88127.36000000 N N N Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 000000000 -14350000.00000000 OU Notional Amount USD -273927.15000000 -0.01332280235 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 1.00000000 NC USD -273927.15000000 -0.01000000 DFE US 14350000.00000000 USD 60987500.00000000 BRL 2020-03-12 1.00000000 4.25000000 USD 2020-03-12 XXXX -166302.15000000 N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6PK8 7595.27000000 PA USD 8445.24000000 0.000410745204 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 6.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWT7 3400000.00000000 PA USD 3528281.15000000 0.171602531541 Long DBT CORP US N 2 2023-02-23 Fixed 3.20000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810QZ4 5200000.00000000 PA USD 6302968.78000000 0.306553064478 Long DBT UST US N 2 2043-02-15 Fixed 3.13000000 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 233851DJ0 5300000.00000000 PA USD 5396013.90000000 0.262442137149 Long DBT CORP US N 2 2021-05-04 Fixed 3.35000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31407PKY3 22605.72000000 PA USD 24919.69000000 0.001212001455 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6N79 227557.70000000 PA USD 262212.54000000 0.012753047093 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828J84 804000.00000000 PA USD 803684.42000000 0.039088234516 Long DBT UST US N 2 2020-03-31 Fixed 1.38000000 N N N N N N ENERGY TRANSFER PARTNERS 5493008K8W3OKZE54J59 29273RAX7 1100000.00000000 PA USD 1111987.82000000 0.054082970387 Long DBT CORP US N 2 2020-10-01 Fixed 4.15000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BL7 4800000.00000000 PA USD 4896155.90000000 0.238130894773 Long DBT CORP JP N 2 2022-07-18 Fixed 2.62000000 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 45262BAC7 5600000.00000000 PA USD 5879729.46000000 0.285968271013 Long DBT CORP GB N 2 2029-07-26 Fixed 3.88000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -17677.23000000 -0.00085975501 N/A DFE JP N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 65439495.21000000 USD 7083400000.00000000 JPY 2020-02-14 -17677.23000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31410ENX2 22098.62000000 PA USD 24342.87000000 0.001183947066 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.00000000 N N N N N N US BANK NA CINCINNATI 6BYL5QZYBDK8S7L73M02 90331HNP4 6300000.00000000 PA USD 6413502.63000000 0.311929021686 Long DBT CORP US N 2 2021-04-26 Fixed 3.15000000 N N N N N N Residential Funding Mtg Sec I N/A 76111XG98 287912.42000000 PA USD 265097.23000000 0.012893347734 Long ABS-MBS CORP US N 2 2036-02-25 Variable 5.01000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31419FVG8 22746.60000000 PA USD 24335.23000000 0.001183575485 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402HGD7 70869.43000000 PA USD 78662.40000000 0.003825847885 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31419ACV7 67438.73000000 PA USD 77692.57000000 0.003778678945 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 6.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 198.00000000 NC 2195.92000000 0.000106801418 N/A DIR DE N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Put Purchased Euro-Bund (FGBL) RXH0 Comdty 100000.00000000 157.00000000 EUR 2020-02-21 XXXX -111.99000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31416AWL0 23244.15000000 PA USD 26095.31000000 0.001269179259 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.50000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FAQ1 5400000.00000000 PA USD 5531544.22000000 0.269033830108 Long DBT CORP US N 2 2021-07-23 Fixed 3.40000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31415P3Z9 3840.12000000 PA USD 4286.48000000 0.000208478516 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416WMP4 131381.86000000 PA USD 136222.89000000 0.006625376999 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31401LDU4 11818.64000000 PA USD 12901.76000000 0.000627493837 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31385XNR4 1650.19000000 PA USD 1846.88000000 0.000089825405 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.50000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RGD8 3500000.00000000 PA USD 3564799.14000000 0.173378631365 Long DBT CORP US N 2 2024-06-12 Floating 3.07000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 1572.32000000 0.000076471823 N/A DFE IN N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 137681.22000000 USD 10029457.50000000 INR 2020-03-18 1572.32000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31417WHP9 24046.45000000 PA USD 26454.47000000 0.001286647472 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128284H0 18742731.00000000 PA USD 19165646.29000000 0.932146074013 Long DBT UST US N 2 2023-04-15 Fixed 0.63000000 N N N N N N AIA Group Ltd ZP5ILWVSYE4LJGMMVD57 00131LAG0 5900000.00000000 PA USD 5898446.24000000 0.286878585892 Long DBT CORP HK N 2 2021-09-20 Floating 2.43000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418DKE1 6277.58000000 PA USD 6464.81000000 0.000314424422 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 3.00000000 N N N N N N WYNN LAS VEGAS LLC/CORP N/A 983130AU9 5200000.00000000 PA USD 5375552.00000000 0.261446946094 Long DBT CORP US N 2 2023-05-30 Fixed 4.25000000 N N N N N N Morgan Stanley Dean Witter Capital I Trust N/A 61746WPY0 283584.56000000 PA USD 285006.45000000 0.013861658480 Long ABS-MBS CORP US N 2 2032-07-25 Floating 2.56000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416MY24 211372.80000000 PA USD 221037.91000000 0.010750465541 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.00000000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MAD2 6900000.00000000 PA USD 7010570.91000000 0.340968212157 Long DBT CORP JP N 2 2021-03-09 Floating 3.57000000 N N N N N N Allergan Funding SCS 222100FLFVOSKCBCAR54 00507UAP6 6700000.00000000 PA USD 6702011.74000000 0.325961036580 Long DBT CORP LU N 2 2020-03-12 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3132A5KB0 1350973.48000000 PA USD 1414528.62000000 0.068797434730 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31405QUG1 11115.68000000 PA USD 12315.42000000 0.000598976430 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668AV4 6500000.00000000 PA USD 6530092.34000000 0.317599513502 Long DBT CORP US N 2 2020-11-13 Floating 2.67000000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 86362TAA5 1729676.88000000 PA USD 1712027.43000000 0.083266675348 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.81000000 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 5400000.00000000 PA 6675910.22000000 0.324691555289 Long DBT NUSS ES N 2 2029-04-30 Fixed 1.45000000 N N N N N N AERCAP IRELAND CAP/GLOBA 549300SZYINBBLJQU475 00774MAA3 2000000.00000000 PA USD 2060466.22000000 0.100213447986 Long DBT CORP IE N 2 2022-05-26 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128L1WP1 709668.52000000 PA USD 811395.79000000 0.039463287001 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3129433W1 157929.30000000 PA USD 172754.15000000 0.008402122227 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410G4B6 33040.54000000 PA USD 37966.04000000 0.001846527614 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31408F4X4 333410.27000000 PA USD 364523.31000000 0.017729064137 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.50000000 N N N N N N Banc of America Funding Corporation 9DJT3UXIJIZJI4WXO774 059522AG7 799330.66000000 PA USD 798013.12000000 0.038812403482 Long ABS-MBS CORP US N 2 2047-05-20 Floating 1.95000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -11877.58000000 -0.00057768151 N/A DFE JP N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 5377955.49000000 USD 581000000.00000000 JPY 2020-02-14 -11877.58000000 N N N IndyMac INDX Mortgage Loan Trust N/A 45660LV97 982187.81000000 PA USD 918406.69000000 0.044667900965 Long ABS-MBS CORP US N 2 2036-01-25 Variable 3.63000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416HVG7 93879.99000000 PA USD 103590.82000000 0.005038273935 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31413Y7J4 4978.72000000 PA USD 5716.72000000 0.000278040094 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.00000000 N N N N N N Residential Accredit Loans, Inc. N/A 74923HAT8 1871207.26000000 PA USD 1759704.45000000 0.085585509075 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6.00000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822AT1 3900000.00000000 PA USD 4085657.63000000 0.198711259820 Long DBT CORP JP N 2 2023-03-02 Fixed 3.46000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138AMGL3 300596.52000000 PA USD 315210.53000000 0.015330673100 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138AJZM7 113817.90000000 PA USD 124437.15000000 0.006052162242 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.50000000 N N N N N N Ally Financial Inc 549300JBN1OSM8YNAI90 02005NAZ3 200000.00000000 PA USD 200922.00000000 0.009772102158 Long DBT CORP US N 2 2020-03-30 Fixed 4.13000000 N N N N N N E*TRADE Financial Corp 549300LYE2HSVYJFJD24 269246BP8 5100000.00000000 PA USD 5220530.60000000 0.253907279171 Long DBT CORP US N 2 2022-08-24 Fixed 2.95000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31404JTX3 26828.06000000 PA USD 29776.40000000 0.001448213847 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.50000000 N N N N N N New Jersey Transportation Trust Fund Authority 549300YUVD5TEXR6L889 6461366P1 1400000.00000000 PA USD 1421280.00000000 0.069125796856 Long DBT MUN US N 2 2023-06-15 Fixed 2.55000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36297HN87 2303.62000000 PA USD 2476.67000000 0.000120456058 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36202KWG6 17028.40000000 PA USD 17055.44000000 0.000829513453 Long ABS-MBS USGA US N 2 2025-11-20 Floating 4.13000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -106023.69000000 -0.00515659972 N/A DFE CA N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 26379973.78000000 USD 34771395.96000000 CAD 2020-02-04 -106023.69000000 N N N Freddie Mac 254900HROIFWPRGM1V77 312911E97 25885.26000000 PA USD 27272.75000000 0.001326445581 Long ABS-MBS USGSE US N 2 2022-08-15 Fixed 8.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H032639 52400000.00000000 PA USD 54008844.01000000 2.626790202852 Long ABS-MBS USGA US N 2 2050-03-23 Fixed 3.50000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967KV2 3000000.00000000 PA USD 3027599.25000000 0.147251217718 Long DBT CORP US N 2 2021-08-02 Fixed 2.35000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -51114.42000000 -0.00248601613 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4098213.27000000 USD 5356000.00000000 CAD 2020-02-04 -51114.42000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31371NEZ4 8854.33000000 PA USD 9758.86000000 0.000474634817 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 6.00000000 N N N N N N City of Chicago IL T5UYO5SYLC8K73MJQX30 167486D22 816000.00000000 PA USD 937404.48000000 0.045591883131 Long DBT MUN US N 2 2042-01-01 Fixed 7.75000000 N N N N N N MORGAN STANLEY BAML TRUST N/A 61690FAK9 6000000.00000000 PA USD 6170014.80000000 0.300086675158 Long ABS-MBS CORP US N 2 2048-04-15 Fixed 3.04000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 320000000.00000000 OU Notional Amount -339084.00000000 -0.01649179028 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2038-11-12 124594.00000000 JPY 0.00000000 JPY 320000000.00000000 JPY -340176.90000000 N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05367AAJ2 3900000.00000000 PA USD 3948547.71000000 0.192042740966 Long DBT CORP US N 2 2022-01-20 Fixed 2.88000000 N N N N N N BBVA USA C90VT034M03BN29IRA40 05552JAA7 2900000.00000000 PA USD 2924953.37000000 0.142258902165 Long DBT CORP US N 2 2024-08-27 Fixed 2.50000000 N N N N N N JP Morgan Mortgage Trust N/A 466247N90 506556.15000000 PA USD 533774.63000000 0.025960821682 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 5.50000000 N N N N N N UMBS, TBA N/A 01F060626 -9000000.00000000 PA USD -9926367.21000000 -0.48278174834 Short ABS-MBS USGSE US N 2 2050-02-15 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417V6E8 14972.64000000 PA USD 15499.89000000 0.000753857260 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 4.50000000 N N N N N N Navient Corp 54930067J0ZNOEBRW338 78442FEJ3 33000.00000000 PA USD 33287.60000000 0.001618985615 Long DBT CORP US N 2 2020-03-25 Fixed 8.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 01N040629 5000000.00000000 PA USD 5256640.65000000 0.255663538304 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.00000000 N N N N N N AIG Global Funding N/A 00138CAG3 6400000.00000000 PA USD 6554541.31000000 0.318788620880 Long DBT CORP US N 2 2021-06-25 Fixed 3.35000000 N N N N N N GSR Mortgage Loan Trust 784F5XWPLTWKTBV3E584 36242D4T7 430307.88000000 PA USD 385961.43000000 0.018771734918 Long ABS-MBS CORP US N 2 2035-05-25 Variable 4.41000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417Y3M7 3839.16000000 PA USD 3953.66000000 0.000192291383 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 3.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 2700000.00000000 OU Notional Amount USD 44084.10000000 0.002144087400 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 General Electric Co General Electric Co Y sell protection 2023-12-20 0.00000000 USD -119335.52000000 USD 2700000.00000000 USD 163419.62000000 N N N Countrywide Alternative Loan Trust N/A 12667GQB2 1965090.56000000 PA USD 1770880.07000000 0.086129049854 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138A6H86 48897.42000000 PA USD 51124.60000000 0.002486511253 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.00000000 N N N N N N UMBS, TBA N/A 01F030629 -42800000.00000000 PA USD -43769687.07000000 -2.12879552015 Short ABS-MBS USGSE US N 2 2050-02-15 Fixed 3.00000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397YM9 3400000.00000000 PA USD 3408440.36000000 0.165773919230 Long DBT CORP US N 2 2020-06-12 Fixed 2.43000000 N N N N N N People's Financial Realty Mortgage Securities Tr N/A 71103XAB0 4629438.09000000 PA USD 1286938.42000000 0.062591919810 Long ABS-O CORP US N 2 2036-09-25 Floating 1.79000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138AJNT5 117730.97000000 PA USD 127167.90000000 0.006184975812 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418NLH1 54908.41000000 PA USD 58840.18000000 0.002861768497 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 -14800000.00000000 NC USD -0.15000000 -0.00000000729 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written US CPI Urban Consumers NSA CPURNSA Index 1.00000000 0.00100000 USD 2020-09-29 XXXX 190919.85000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31419CVH3 12121.85000000 PA USD 12824.66000000 0.000623743978 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31419BZ99 192870.58000000 PA USD 199662.41000000 0.009710840364 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138ANLY7 186166.85000000 PA USD 202560.37000000 0.009851786409 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 297000000.00000000 OU Notional Amount -6488.05000000 -0.00031555472 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2026-09-20 0.00000000 JPY 0.00000000 JPY 297000000.00000000 JPY -6488.05000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31416KTJ7 39958.39000000 PA USD 42916.64000000 0.002087306469 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4.50000000 N N N N N N GUARDIAN LIFE GLOB FUND 635400NHILJ5JEKILC36 40139LAE3 4000000.00000000 PA USD 4212058.48000000 0.204858929160 Long DBT CORP US N 2 2023-04-25 Fixed 3.40000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31415TSZ4 13605.66000000 PA USD 15537.93000000 0.000755707385 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UKZ4 363411.58000000 PA USD 385755.85000000 0.018761736268 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416W6E7 6387.54000000 PA USD 6625.84000000 0.000322256325 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 3.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138AACD1 12714.22000000 PA USD 13330.35000000 0.000648338867 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 4.00000000 N N N N N N UMBS, TBA N/A 01F050627 -4400000.00000000 PA USD -4714875.00000000 -0.22931406299 Short ABS-MBS USGSE US N 2 2050-02-15 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138AKXQ7 136269.49000000 PA USD 148842.27000000 0.007239136918 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.50000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAD3 1900000.00000000 PA USD 2096298.50000000 0.101956197415 Long DBT CORP KY N 2 2024-05-15 Fixed 5.25000000 N N N N N N FORTUNE BRANDS HOME & SE 54930032LHW54PQUJD44 34964CAE6 4700000.00000000 PA USD 4923758.54000000 0.239473384982 Long DBT CORP US N 2 2029-09-15 Fixed 3.25000000 N N N N N N ANHEUSER-BUSCH INBEV FIN 5493000EYEKDT0FBSQ91 03524BAE6 4700000.00000000 PA USD 5052706.42000000 0.245744932431 Long DBT CORP US N 2 2024-02-01 Fixed 3.70000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403DD97 61269.82000000 PA USD 69231.44000000 0.003367160909 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EAR6 6300000.00000000 PA USD 6449169.57000000 0.313663729589 Long DBT CORP GB N 2 2021-08-10 Floating 4.01000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410GVB6 1500.31000000 PA USD 1553.14000000 0.000075538979 Long ABS-MBS USGSE US N 2 2022-01-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416NSU7 8459.74000000 PA USD 8503.19000000 0.000413563678 Long ABS-MBS USGSE US N 2 2024-02-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31407ALV1 6864.59000000 PA USD 7410.03000000 0.000360396423 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RE0 1800000.00000000 PA USD 2361832.04000000 0.114870765652 Long DBT UST US N 2 2044-02-15 Fixed 3.63000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412SYY5 5342.98000000 PA USD 6117.74000000 0.000297544222 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31411J2U9 75278.96000000 PA USD 82971.94000000 0.004035447954 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 955.00000000 NC USD 955.00000000 0.000046447664 N/A DIR US N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Put Purchased Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 80000.00000000 NC N/A 955.00000000 0.00000000 DIR US Long 5 Year US Treasury Note FVH0 Comdty 2020-03-31 80000.00000000 USD 1000.00000000 110.00000000 USD 2020-02-21 XXXX -7258.00000000 N N N Fannie Mae 254900HROIFWPRGM1V77 31418S4V8 14104.48000000 PA USD 15672.65000000 0.000762259667 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.00000000 N N N N N N Societe Generale O2RNE8IBXP4R0TD8PU41 000000000 1.00000000 NC -1945997.69000000 -0.09464612251 N/A DFE US N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 60507000.00000000 GBP 77982365.51000000 USD 2020-02-14 -1945997.69000000 N N N JP Morgan Mortgage Acquisition Corp 8I5DZWZKVSZI1NUHU748 46630KAC0 865590.71000000 PA USD 670833.75000000 0.032626869812 Long ABS-O CORP US N 2 2035-05-25 Variable 4.23000000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAC1 5300000.00000000 PA USD 5672675.12000000 0.275897914541 Long DBT CORP GB N 2 2024-08-01 Variable 4.36000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36202KVP7 2266.76000000 PA USD 2276.97000000 0.000110743390 Long ABS-MBS USGA US N 2 2025-10-20 Floating 4.13000000 N N N N N N First Nationwide Trust N/A 22540A3S5 409.47000000 PA USD 425.71000000 0.000020704958 Long ABS-MBS CORP US N 2 2031-08-21 Fixed 6.75000000 N N N N N N Countrywide Alternative Loan Trust N/A 02146XAC2 1159386.68000000 PA USD 775449.29000000 0.037714982335 Long ABS-MBS CORP US N 2 2036-12-25 Fixed 5.75000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31400EKU3 38674.10000000 PA USD 43247.43000000 0.002103394869 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.50000000 N N N N N N Mid-State Trust 5493001662PV30WKJE68 59560UAA9 906862.24000000 PA USD 978479.51000000 0.047589620508 Long ABS-O CORP US N 2 2037-08-15 Fixed 6.01000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412T6Y4 17154.11000000 PA USD 18902.54000000 0.000919349558 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 6.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6N61 1000.87000000 PA USD 1153.29000000 0.000056091755 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31407MHB4 4004.01000000 PA USD 4491.15000000 0.000218432907 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36202KQ99 12324.06000000 PA USD 12615.91000000 0.000613591151 Long ABS-MBS USGA US N 2 2025-01-20 Floating 4.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31408DFG4 147629.85000000 PA USD 163224.76000000 0.007938647980 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410GNL3 39393.62000000 PA USD 44533.12000000 0.002165926071 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.50000000 N N N N N N ONTARIO (PROVINCE OF) C7PVKCRGLG18EBQGZV36 68323AAW4 5600000.00000000 PA 4380347.59000000 0.213043888374 Long DBT NUSS CA N 2 2022-06-02 Fixed 3.15000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403NS81 14729.48000000 PA USD 16631.41000000 0.000808890203 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31401H4J8 2730.08000000 PA USD 2983.56000000 0.000145109311 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418QFG3 46988.24000000 PA USD 49573.88000000 0.002411089974 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07384MG97 296058.02000000 PA USD 306842.26000000 0.014923671431 Long ABS-MBS CORP US N 2 2034-04-25 Variable 4.49000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128KLUV7 254574.12000000 PA USD 292818.15000000 0.014241590645 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N Ally Financial Inc 549300JBN1OSM8YNAI90 02005NAJ9 200000.00000000 PA USD 205862.50000000 0.010012389786 Long DBT CORP US N 2 2020-09-15 Fixed 7.50000000 N N N N N N Tyson Foods Inc WD6L6041MNRW1JE49D58 902494BF9 1100000.00000000 PA USD 1109011.86000000 0.053938230711 Long DBT CORP US N 2 2021-08-23 Fixed 2.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042638 85600000.00000000 PA USD 90080625.00000000 4.381188073068 Long ABS-MBS USGA US N 2 2050-03-23 Fixed 4.50000000 N N N N N N LoanCore 2018-CRE1 Issuer, Ltd N/A 53946MAA5 5200000.00000000 PA USD 5203288.48000000 0.253068686294 Long ABS-CBDO CORP KY N 2 2028-05-15 Floating 2.81000000 N N N N N N INTERSTATE POWER & LIGHT EF9UQIIO4KY2BWOK3P26 461070AL8 4800000.00000000 PA USD 5077911.41000000 0.246970809822 Long DBT CORP US N 2 2024-12-01 Fixed 3.25000000 N N N N N N SPRINT COMMUNICATIONS 549300JKU50UT08ZWD77 852061AR1 1400000.00000000 PA USD 1426390.00000000 0.069374328336 Long DBT CORP US N 2 2020-08-15 Fixed 7.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417W3U3 1141.85000000 PA USD 1182.06000000 0.000057491021 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31411BSA2 1976.44000000 PA USD 2179.66000000 0.000106010592 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.00000000 N N N N N N TOYOTA MOTOR CREDIT CORPORATIO 2018 TERM LOAN N/A 000000000 5200000.00000000 PA USD 5200226.41000000 0.252919758546 Long LON CORP US N 3 2020-03-30 Floating 2.54000000 N N N N N N IXIS Real Estate Capital Trust N/A 45071KAU8 1966341.89000000 PA USD 1916639.06000000 0.093218227449 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.71000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31407CJ24 2387.54000000 PA USD 2471.62000000 0.000120210445 Long ABS-MBS USGSE US N 2 2020-07-01 Fixed 4.50000000 N N N N N N SMALL BUSINESS ADMINISTRATION 254900HROIFWPRGM1V77 83162CSG9 1519370.97000000 PA USD 1673706.09000000 0.081402867257 Long ABS-O USGA US N 2 2029-01-01 Fixed 5.72000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 01N050628 23500000.00000000 PA USD 25229453.13000000 1.227067187235 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417Y4Y0 19020.50000000 PA USD 20177.22000000 0.000981345273 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138MBG59 9982.35000000 PA USD 10562.48000000 0.000513719919 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.50000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 227.00000000 NC USD 227.00000000 0.000011040439 N/A DIR US N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Call Purchased Chicago Board Of Trade 549300EX04Q2QBFQTQ27 Chicago Board Of Trade 549300EX04Q2QBFQTQ27 N/A 122000.00000000 NC N/A 227.00000000 0.00000000 DIR US Long US Treasury Long Bond USH0 Comdty 2020-03-20 122000.00000000 USD 1000.00000000 194.00000000 USD 2020-02-21 XXXX -1725.20000000 N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36176FDK1 19957.44000000 PA USD 21456.62000000 0.001043570552 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36202J4Z8 15777.83000000 PA USD 15893.13000000 0.000772982998 Long ABS-MBS USGA US N 2 2022-08-20 Floating 3.25000000 N N N N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 9583.00000000 0.000466081638 N/A DFE XX N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 1910674.80000000 USD 1730000.00000000 EUR 2020-02-14 9583.00000000 N N N Fannie Mae 254900HROIFWPRGM1V77 3138AJUJ9 177639.89000000 PA USD 183932.46000000 0.008945793837 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418ND31 1583.13000000 PA USD 1670.03000000 0.000081224075 Long ABS-MBS USGSE US N 2 2025-02-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31406QJN8 254315.45000000 PA USD 286208.03000000 0.013920098883 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.50000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 073882AA0 226622.63000000 PA USD 223912.61000000 0.010890280305 Long ABS-MBS CORP US N 2 2036-10-25 Variable 4.58000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31419ADH7 49456.60000000 PA USD 56955.00000000 0.002770080321 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416XMJ6 150601.35000000 PA USD 162310.27000000 0.007894170572 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417YEQ6 70875.05000000 PA USD 74720.43000000 0.003634125059 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 4.00000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397XF5 1300000.00000000 PA USD 1300655.30000000 0.063259058066 Long DBT CORP US N 2 2020-03-27 Fixed 2.46000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31414MXM3 20767.80000000 PA USD 22864.31000000 0.001112035382 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410QCP4 295627.43000000 PA USD 339370.32000000 0.016505715833 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138ALGM3 79327.84000000 PA USD 84987.31000000 0.004133468089 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138ABSV2 7764.83000000 PA USD 8284.75000000 0.000402939565 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36296ANK6 39368.55000000 PA USD 42325.87000000 0.002058573603 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 5.00000000 N N N N N N ROYAL BK SCOTLND GRP PLC 2138005O9XJIJN4JPN90 780097BB6 2700000.00000000 PA USD 2920792.50000000 0.142056532854 Long DBT CORP GB N 2 2021-08-15 Variable 8.63000000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668AU6 4800000.00000000 PA USD 5581677.36000000 0.271472120418 Long DBT CORP US N 2 2028-11-13 Fixed 4.75000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31411UX55 21923.36000000 PA USD 24668.97000000 0.001199807363 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410KFH2 1666203.23000000 PA USD 1874513.17000000 0.091169380132 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31403MJR1 17736.34000000 PA USD 19109.37000000 0.000929409003 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.50000000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAU2 700000.00000000 PA USD 719331.69000000 0.034985630048 Long DBT CORP NL N 2 2021-06-01 Fixed 4.13000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36296DP28 736631.18000000 PA USD 822691.21000000 0.040012654408 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31406WRE6 439192.12000000 PA USD 460661.20000000 0.022404855152 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.41000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 3138EGZZ0 97191.73000000 PA USD 106555.86000000 0.005182482503 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 3620C06E3 462783.43000000 PA USD 514063.82000000 0.025002160864 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 5.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31418TZ83 41483.41000000 PA USD 43029.24000000 0.002092782916 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 4.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412PMQ1 1045868.08000000 PA USD 1093840.41000000 0.053200347556 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.00000000 N N N N N N SKANDINAVISKA ENSKILDA F3JS33DEI6XQ4ZBPTN86 83051GAJ7 5300000.00000000 PA USD 5404240.40000000 0.262842243650 Long DBT CORP SE N 2 2021-05-17 Fixed 3.25000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31385XAS6 2179.10000000 PA USD 2509.65000000 0.000122060083 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31415QAU0 479587.91000000 PA USD 538048.57000000 0.026168690299 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31405PFT2 408.43000000 PA USD 461.00000000 0.000022421333 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 5.50000000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22535FAA2 6300000.00000000 PA USD 6388956.00000000 0.310735164488 Long ABS-O CORP US N 2 2027-05-17 Fixed 3.47000000 N N N N N N OMEGA HLTHCARE INVESTORS 549300OJ7ENK42CZ8E73 681936BJ8 2300000.00000000 PA USD 2461701.71000000 0.119728056630 Long DBT US N 2 2023-08-01 Fixed 4.38000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417YXB8 5087.71000000 PA USD 5353.30000000 0.000260364691 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128285W6 36671400.00000000 PA USD 40019952.08000000 1.946422293780 Long DBT UST US N 2 2029-01-15 Fixed 0.88000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410GRN5 40972.01000000 PA USD 46294.07000000 0.002251572159 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBB4 5900000.00000000 PA USD 5900866.06000000 0.286996276977 Long DBT CORP US N 2 2021-10-05 Floating 2.62000000 N N N N N N Hawksmoor Mortgages plc N/A 000000000 18016763.71000000 PA 23911690.33000000 1.162976083710 Long ABS-MBS CORP GB N 2 2053-05-25 Variable 1.76000000 N N N N N N UMBS, TBA N/A 01F032435 11000000.00000000 PA USD 11466989.27000000 0.557711901130 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 3.50000000 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 233851CK8 4861000.00000000 PA USD 4886050.82000000 0.237639421096 Long DBT CORP US N 2 2021-10-30 Fixed 2.20000000 N N N N N N TTX Co 549300I8CNSYS1OGX775 87305QCK5 250000.00000000 PA USD 250493.60000000 0.012183081241 Long DBT CORP US N 2 2020-06-15 Fixed 2.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 01N030638 2000000.00000000 PA USD 2056383.86000000 0.100014897111 Long ABS-MBS USGA US N 2 2050-03-23 Fixed 3.00000000 N N N N N N MITSUBISHI UFJ LEASE&FIN 353800MZ3QX9RLMH7B09 000000000 3000000.00000000 PA USD 3010455.00000000 0.146417384876 Long DBT CORP JP N 2 2021-09-07 Fixed 2.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1020000000.00000000 OU Notional Amount -125926.86000000 -0.00612461622 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2039-08-22 2848165.00000000 JPY 0.00000000 JPY 1020000000.00000000 JPY -152694.06000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128282P4 25100000.00000000 PA USD 25443654.39000000 1.237485143434 Long DBT UST US N 2 2022-07-31 Fixed 1.88000000 N N N N N N GSAA Home Equity Trust N/A 362351AB4 4256348.25000000 PA USD 2097303.26000000 0.102005065221 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.84000000 N N N N N N Air Lease Corp 5493004NW4M4P8TMMK63 00914AAA0 3600000.00000000 PA USD 3888539.32000000 0.189124155060 Long DBT CORP US N 2 2024-02-01 Fixed 4.25000000 N N N N N N Westlake Automobile Receivables Trust 5493000EWZKZ6H2PNY04 96042GAC6 2279906.13000000 PA USD 2286254.30000000 0.111194944208 Long ABS-O CORP US N 2 2022-01-18 Fixed 2.98000000 N N N N N N Lloyds Bank PLC H7FNTJ4851HG0EXQ1Z70 53944VAP4 4900000.00000000 PA USD 5000139.88000000 0.243188290555 Long DBT CORP GB N 2 2021-05-07 Fixed 3.30000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417WLV1 15127.94000000 PA USD 15898.76000000 0.000773256820 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M4NU3 684659.81000000 PA USD 786435.12000000 0.038249292430 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6.00000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31412MRS9 107856.70000000 PA USD 112337.56000000 0.005463682984 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36241KXW3 94448.37000000 PA USD 105540.42000000 0.005133095261 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 5.00000000 N N N N N N CRED SUIS GP FUN LTD 549300PXR5FKNXF0OH19 225433AH4 4845000.00000000 PA USD 5074727.08000000 0.246815935801 Long DBT CORP GG N 2 2022-09-15 Fixed 3.80000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. 254900HROIFWPRGM1V77 3137AWQJ7 18025406.01000000 PA USD 486121.77000000 0.023643163008 Long ABS-MBS CORP US N 2 2022-08-25 Variable 1.37000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31410FEY7 17643.19000000 PA USD 19707.60000000 0.000958504695 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6.00000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBQ1 4900000.00000000 PA USD 5011057.81000000 0.243719298246 Long DBT CORP US N 2 2024-11-21 Fixed 2.60000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31416KGP7 57697.69000000 PA USD 61190.83000000 0.002976095409 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 4.50000000 N N N N N N MASTR Asset Backed Securities N/A 57644UAF2 5421320.49000000 PA USD 3199431.86000000 0.155608519652 Long ABS-MBS CORP US N 2 2036-06-25 Floating 1.90000000 N N N N N N Bacardi Ltd 549300R32WTQNHNN5055 067316AE9 4700000.00000000 PA USD 5179112.69000000 0.251892865380 Long DBT CORP BM N 2 2025-05-15 Fixed 4.45000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31402QWA5 6751.78000000 PA USD 7631.92000000 0.000371188331 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WEKJ7 3666355.19000000 PA USD 3868157.39000000 0.188132853450 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 3.50000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31417VRQ8 103711.65000000 PA USD 108436.82000000 0.005273965433 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4.50000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -462.00000000 NC 257586.04000000 0.012528031263 N/A DIR GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Euribor 3 Month ERU0 Comdty 2020-09-14 -116252008.38000000 EUR 257586.04000000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAP5 3300000.00000000 PA USD 3461604.86000000 0.168359643667 Long DBT CORP US N 2 2058-04-15 Fixed 4.90000000 N N N N N N JP Morgan Mortgage Acquisition Corp 8I5DZWZKVSZI1NUHU748 46626LGF1 2046079.30000000 PA USD 2040233.04000000 0.099229381025 Long ABS-O CORP US N 2 2036-01-25 Floating 2.24000000 N N N N N N Argent Securities Inc. N/A 040104MG3 939275.05000000 PA USD 947872.80000000 0.046101023457 Long ABS-O CORP US N 2 2034-11-25 Floating 2.79000000 N N N N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 000000000 218.00000000 NC 2417.73000000 0.000117589435 N/A DIR DE N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Put Purchased Long-Term Euro-BTP (FBTP) IKH0 Comdty 100000.00000000 101.00000000 EUR 2020-02-21 XXXX -123.30000000 N N N HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -222658.99000000 -0.01082930887 N/A DFE US N 2 HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 55832707.92000000 CNY 7740566.74000000 USD 2020-03-18 -222658.99000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 46718.66000000 0.002272222644 N/A DFE CN N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 4413731.66000000 USD 31273635.60000000 CNY 2020-03-18 46718.66000000 N N N Sofi Professional Loan Program 2018-B Trust N/A 83404RAA6 1824955.69000000 PA USD 1827699.33000000 0.088892528285 Long ABS-O CORP US N 2 2047-08-25 Fixed 2.64000000 N N N N N N DELL INT LLC / EMC CORP 549300TJB5YBRUPOG437 25272KAG8 4000000.00000000 PA USD 4384416.52000000 0.213241786064 Long DBT CORP US N 2 2023-06-15 Fixed 5.45000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -327.00000000 NC 150048.55000000 0.007297805911 N/A DIR GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Euribor 3 Month ERZ0 Comdty 2020-12-14 -82257257.23000000 EUR 150048.55000000 N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89117FJB6 5900000.00000000 PA USD 6071835.20000000 0.295311582927 Long DBT CORP CA N 2 2021-10-22 Fixed 3.35000000 N N N N N N Government National Mortgage Association 254900HROIFWPRGM1V77 36241KZG6 45766.78000000 PA USD 51160.84000000 0.002488273832 Long ABS-MBS USGA US N 2 2039-01-15 Fixed 5.00000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668BAT0 2202454.69000000 PA USD 1942587.50000000 0.094480263496 Long ABS-MBS CORP US N 2 2036-02-25 Variable 3.23000000 N N N N N N Fannie Mae 254900HROIFWPRGM1V77 31415LRU3 12368.90000000 PA USD 13962.79000000 0.000679098407 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.50000000 N N N N N N 2020-02-28 HARBOR FUNDS Gregg Boland Gregg Boland President, Harbor Services Group XXXX