0001752724-22-021629.txt : 20220207 0001752724-22-021629.hdr.sgml : 20220207 20220207123157 ACCESSION NUMBER: 0001752724-22-021629 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20211231 FILED AS OF DATE: 20220207 PERIOD START: 20211231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: TCW STRATEGIC INCOME FUND INC CENTRAL INDEX KEY: 0000809559 IRS NUMBER: 930939398 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04980 FILM NUMBER: 22596432 BUSINESS ADDRESS: STREET 1: 865 S FIGUEROA ST STE 1800 CITY: LOS ANGELES STATE: CA ZIP: 90017 BUSINESS PHONE: 2132440000 MAIL ADDRESS: STREET 1: 865 S. FIGUEROA STREET, STREET 2: SUITE 1800 CITY: LOS ANGELES STATE: CA ZIP: 90017 FORMER COMPANY: FORMER CONFORMED NAME: TCW CONVERTIBLE SECURITIES FUND INC DATE OF NAME CHANGE: 19920703 NPORT-P 1 primary_doc.xml NPORT-P false 0000809559 XXXXXXXX TCW STRATEGIC INCOME FUND INC 811-04980 0000809559 54930062BZFVP7F6WJ47 865 S FIGUEROA ST SUITE 1800 LOS ANGELES 90017 213-244-0000 TCW STRATEGIC INCOME FUND INC 54930062BZFVP7F6WJ47 2021-12-31 2021-12-31 N 342411812.19 70878646.39 271533165.80 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 59870154.32000000 0.00000000 0.00000000 2834926.28000000 JPY USD N Deutsche Alt-A Securities INC Mortgage Loan Trust N/A 25150RAF2 375881.93000000 PA USD 369921.80000000 0.136234481305 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.48000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 265000.00000000 OU Notional Amount USD -2539.68000000 -0.00093531115 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2053-07-24 0.00000000 USD 0.00000000 USD 265000.00000000 USD -2539.68000000 N N N Bear Stearns Alt-A Trust N/A 07386HSN2 368062.43000000 PA USD 375300.12000000 0.138215204354 Long ABS-MBS CORP US N 2 2035-04-25 Variable 2.41000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 425000.00000000 PA USD 420278.25000000 0.154779711259 Long DBT CORP US N 2 2027-04-22 Fixed 1.58000000 N N N N N N Alabama Economic Settlement Authority N/A 01026CAD3 705000.00000000 PA USD 803162.65000000 0.295788047708 Long DBT MUN US N 2 2032-09-15 Fixed 4.26000000 N N N N N N INDONESIA ASAHAN ALUMINI 2549008P48EB9SN2OI80 74445PAC6 300000.00000000 PA USD 362121.00000000 0.133361609412 Long DBT CORP ID N 2 2028-11-15 Fixed 6.53000000 N N N N N N British American Tobacco PLC 213800FKA5MF17RJKT63 110448107 15706.00000000 NS USD 587561.46000000 0.216386627493 Long EC CORP GB N 1 N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BK6 530000.00000000 PA USD 561429.00000000 0.206762587673 Long DBT CORP GB N 2 2025-03-22 Fixed 4.27000000 N N N N N N Greenpoint Manufactured Housing N/A 395383AN2 559707.17000000 PA USD 476568.49000000 0.175510232275 Long ABS-O CORP US N 2 2030-03-20 Variable 8.14000000 N N N N N N Farmers Exchange Capital N/A 309588AC5 500000.00000000 PA USD 615583.69000000 0.226706630177 Long DBT CORP US N 2 2028-07-15 Fixed 7.05000000 N N N N N N CHINA AOYUAN GROUP LTD 549300YSOKQO5QD6MP25 000000000 400000.00000000 PA USD 79000.00000000 0.029094051832 Long DBT CORP KY Y 3 2024-02-08 Fixed 6.35000000 N N N N N N GS Mortgage Securities Trust N/A 36192KAA5 30442756.32000000 PA USD 28713.61000000 0.010574623514 Long ABS-MBS CORP US N 2 2045-05-10 Variable 0.40000000 N N N N N N Wells Fargo Alternative Loan Trust N/A 94985FAH1 1878299.08000000 PA USD 198766.87000000 0.073201691371 Long ABS-MBS CORP US N 3 2037-06-25 Floating 5.97000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 400000.00000000 OU Notional Amount USD -1692.52000000 -0.00062331980 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2053-07-24 0.00000000 USD 0.00000000 USD 400000.00000000 USD -1692.52000000 N N N COMERICA INC I9Q57JVPWHHZ3ZGBW498 200340AU1 395000.00000000 PA USD 431537.50000000 0.158926258134 Long DBT CORP US N 2 2025-07-01 Fixed 5.63000000 N N N N N N SPECTRUM BRANDS INC 549300VU3EH2E73C1Q04 84762LAX3 135000.00000000 PA USD 133955.10000000 0.049332868640 Long DBT CORP US N 2 2031-03-15 Fixed 3.88000000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 -24.00000000 NC USD -4872.00000000 -0.00179425595 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Written JPMorgan Chase & Co JPMorgan Chase & Co 100.00000000 170.00000000 USD 2022-03-18 XXXX 9323.13000000 N N N Hudson Yards N/A 44421MAN0 150000.00000000 PA USD 139378.56000000 0.051330215809 Long ABS-MBS CORP US N 2 2041-12-10 Variable 2.94000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAN5 565000.00000000 PA USD 560044.95000000 0.206252870933 Long DBT CORP GB N 2 2025-03-15 Fixed 1.09000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17307GW79 224596.13000000 PA USD 231170.19000000 0.085135158100 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.47000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGJ7 135000.00000000 PA USD 136498.50000000 0.050269549798 Long DBT CORP US N 2 2031-03-21 Fixed 2.55000000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92939KAH1 5215494.19000000 PA USD 105823.94000000 0.038972749309 Long ABS-MBS CORP US N 2 2047-11-15 Variable 0.85000000 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A3C3 425000.00000000 PA USD 413937.25000000 0.152444453251 Long DBT CORP US N 2 2028-08-19 Fixed 1.99000000 N N N N N N General Motors Co 54930070NSV60J38I987 37045VAE0 150000.00000000 PA USD 159414.48000000 0.058709027138 Long DBT CORP US N 2 2023-10-02 Fixed 4.88000000 N N N N N N HUDSON PACIFIC PROPERTIE 5493007NTUGLGZ8T3526 44409MAA4 275000.00000000 PA USD 294906.78000000 0.108608014468 Long DBT US N 2 2027-11-01 Fixed 3.95000000 N N N N N N Residential Accredit Loans, Inc. N/A 74923CAJ1 8431025.57000000 PA USD 93967.15000000 0.034606140919 Long ABS-MBS CORP US N 3 2037-01-25 Variable 0.33000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHT9 55000.00000000 PA USD 58847.19000000 0.021672192355 Long DBT CORP US N 2 2027-04-23 Fixed 3.56000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BV30 2472612.38000000 PA USD 63568.39000000 0.023410911817 Long ABS-MBS USGA US N 2 2053-02-16 Variable 0.73000000 N N N N N N Morgan Stanley Capital I Trust N/A 61768HAV8 230000.00000000 PA USD 250230.48000000 0.092154665255 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 3.81000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMN9 503000.00000000 PA USD 525449.02000000 0.193511911685 Long DBT CORP US N 2 2057-12-01 Fixed 3.80000000 N N N N N N Berry Global Inc 549300AP2Q7ERHX6RI89 085770AA3 85000.00000000 PA USD 88037.05000000 0.032422208808 Long DBT CORP US N 2 2026-07-15 Fixed 4.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396VS66 62855.04000000 PA USD 7818.87000000 0.002879526696 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 6.01000000 N N N N N N Comerica Inc I9Q57JVPWHHZ3ZGBW498 200340107 9417.00000000 NS USD 819279.00000000 0.301723363179 Long EC CORP US N 1 N N N JP Morgan ReRemic N/A 46645AAJ0 3346556.94000000 PA USD 1748910.29000000 0.644087172499 Long ABS-MBS CORP US N 2 2047-06-26 Variable 3.65000000 N N N N N N Asset Backed Securities Corp Home Equity Ln Trst N/A 04544RAS4 413101.13000000 PA USD 403609.10000000 0.148640811081 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.25000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46651EAA2 585000.00000000 PA USD 631806.70000000 0.232681226301 Long ABS-MBS CORP US N 2 2039-06-05 Fixed 3.40000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 423074AF0 210000.00000000 PA USD 260844.16000000 0.096063462167 Long DBT CORP US N 2 2028-07-15 Fixed 6.38000000 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 233851DV3 350000.00000000 PA USD 350316.54000000 0.129014273069 Long DBT CORP US N 2 2022-02-15 Floating 1.06000000 N N N N N N Merrill Lynch First Franklin Mortgage Loan Trust N/A 59024VAF6 537958.50000000 PA USD 506921.90000000 0.186688759918 Long ABS-O CORP US N 2 2037-06-25 Floating 0.23000000 N N N N N N Saxon Asset Securities Trust N/A 80557BAE4 2926000.00000000 PA USD 2719721.39000000 1.001616646713 Long ABS-O CORP US N 2 2047-09-25 Floating 0.59000000 N N N N N N CPT MORTGAGE TRUST N/A 12654YAA7 510000.00000000 PA USD 531726.82000000 0.195823894452 Long ABS-MBS CORP US N 2 2039-11-13 Fixed 2.87000000 N N N N N N Banc of America Funding Corporation N/A 058931BF2 133202.61000000 PA USD 132583.60000000 0.048827773804 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 5.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYG3 430000.00000000 PA USD 421778.40000000 0.155332185207 Long DBT CORP US N 2 2027-09-10 Fixed 1.54000000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBF1 135000.00000000 PA USD 141513.67000000 0.052116532278 Long DBT CORP US N 2 2047-08-15 Fixed 4.54000000 N N N N N N Residential Accredit Loans, Inc. N/A 74922NAB5 483582.20000000 PA USD 486949.58000000 0.179333371142 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.46000000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92930RAF9 2334653.88000000 PA USD 19460.27000000 0.007166811443 Long ABS-MBS CORP US N 2 2045-11-15 Variable 1.85000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FWGL8 3868479.45000000 PA USD 135410.90000000 0.049869009408 Long ABS-MBS USGSE US N 2 2027-05-25 Fixed 1.81000000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 -71.00000000 NC USD -17572.50000000 -0.00647158513 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Written Comerica Inc Comerica Inc 100.00000000 90.00000000 USD 2022-02-18 XXXX -782.61000000 N N N COMM Mortgage Trust N/A 12632QAY9 6269051.44000000 PA USD 128504.90000000 0.047325673687 Long ABS-MBS CORP US N 2 2047-07-15 Variable 1.00000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCA1 545000.00000000 PA USD 567410.40000000 0.208965412504 Long DBT CORP US N 2 2051-03-25 Fixed 3.95000000 N N N N N N Gracechurch Mortgage Finance Plc N/A 38406JAC2 10620000.00000000 PA USD 266139.86000000 0.098013757993 Long ABS-MBS CORP US N 2 2040-12-10 Variable 0.30000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MP3 440000.00000000 PA USD 503011.78000000 0.185248744299 Long DBT CORP US N 2 2031-03-31 Fixed 4.41000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45661XAF9 252528.46000000 PA USD 3068.46000000 0.001130049801 Long ABS-MBS CORP US N 3 2036-07-25 Variable 1.65000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBH8 505000.00000000 PA USD 511660.95000000 0.188434053163 Long DBT CORP US N 2 2026-03-13 Fixed 2.01000000 N N N N N N SLM Student Loan Trust 549300SRMXHPGI3BJ386 78444YAE5 260000.00000000 PA USD 260526.55000000 0.095946493030 Long ABS-O CORP US N 2 2073-07-25 Floating 1.97000000 N N N N N N MOLINA HEALTHCARE INC 549300NQQCEQ46YHZ591 60855RAL4 175000.00000000 PA USD 177506.00000000 0.065371756513 Long DBT CORP US N 2 2032-05-15 Fixed 3.88000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDD1 170000.00000000 PA USD 164385.75000000 0.060539842164 Long DBT CORP MX N 2 2050-01-23 Fixed 7.69000000 N N N N N N Banc of America Funding Corporation 549300LENCFK8RITKD65 05990PAA3 247845.03000000 PA USD 247866.34000000 0.091284001816 Long ABS-MBS CORP US N 2 2045-09-26 Floating 1.75000000 N N N N N N Ajax Mortgage Loan Trust N/A 00969PAB9 1300000.00000000 PA USD 1288730.17000000 0.474612434986 Long ABS-MBS CORP US N 2 2059-07-25 Variable 3.50000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABR5 75000.00000000 PA USD 75264.75000000 0.027718437185 Long DBT CORP US N 2 2026-02-15 Fixed 2.25000000 N N N N N N MFT Trust N/A 55317BAG2 175000.00000000 PA USD 167797.18000000 0.061796200661 Long ABS-MBS CORP US N 2 2042-02-10 Variable 3.48000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBY1 180000.00000000 PA USD 181903.40000000 0.066991227191 Long DBT CORP US N 2 2022-06-30 Fixed 3.15000000 N N N N N N HARVEST COMMERCIAL CAPITAL LOAN TRUST N/A 41753CAA4 573110.20000000 PA USD 575522.82000000 0.211953047541 Long ABS-MBS CORP US N 2 2046-09-25 Variable 3.29000000 N N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 36962GX74 2400000.00000000 PA USD 2084014.54000000 0.767499076534 Long DBT CORP US N 2 2036-08-15 Floating 0.64000000 N N N N N N Wells Fargo & Co PBLD0EJDB5FWOLXP3B76 949746101 19525.00000000 NS USD 936809.50000000 0.345007394304 Long EC CORP US N 1 N N N SFAVE Commercial Mortgage Securities Trust 549300FIGODFFTOAAU64 78413MAC2 805000.00000000 PA USD 875408.20000000 0.322394576522 Long ABS-MBS CORP US N 2 2043-01-05 Variable 3.66000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 000000000 300000.00000000 PA USD 327264.00000000 0.120524503530 Long DBT NUSS SA Y 2 2028-03-04 Fixed 3.63000000 N N N N N N Qwest Corp 549300R2L4N683OO1509 912920AK1 250000.00000000 PA USD 292852.50000000 0.107851466003 Long DBT CORP US N 2 2025-09-15 Fixed 7.25000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523BK5 170000.00000000 PA USD 190301.79000000 0.070084179013 Long DBT CORP US N 2 2047-10-15 Fixed 3.88000000 N N N N N N AGNC Investment Corp 5TRACI5HRMELWV32OF39 00123Q104 144641.00000000 NS USD 2175400.64000000 0.801154670587 Long EC US N 1 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 170.00000000 NC USD 76500.00000000 0.028173353989 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Call Purchased Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 170.00000000 NC N/A 76500.00000000 0.03000000 DIR US Long CME 3 Month Eurodollar EDU2 Comdty 2023-09-18 170.00000000 USD 2500.00000000 98.75000000 USD 2022-09-16 XXXX -30354.40000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 27313.21000000 0.010058885410 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 320000000.00000000 JPY 2807276.11000000 USD 2022-02-28 27313.21000000 N N N 321 Henderson Receivables LLC N/A 46620JAA9 203590.85000000 PA USD 228341.20000000 0.084093300104 Long ABS-O CORP US N 2 2060-08-16 Fixed 3.99000000 N N N N N N UNIFRAX ESCROW ISS CORP N/A 90473LAA0 280000.00000000 PA USD 284667.60000000 0.104837138093 Long DBT CORP US N 2 2028-09-30 Fixed 5.25000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RCQ3 530000.00000000 PA USD 641596.84000000 0.236286730613 Long DBT CORP US N 2 2046-05-15 Fixed 4.75000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CV9 1075000.00000000 PA USD 1055456.50000000 0.388702609086 Long DBT CORP GB N 2 2029-08-17 Fixed 2.21000000 N N N N N N UBS-Barclays Commercial Mortgage Trust N/A 90270YAC3 12264708.52000000 PA USD 69463.63000000 0.025582005717 Long ABS-MBS CORP US N 2 2046-03-10 Variable 0.90000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDF6 130000.00000000 PA USD 115537.50000000 0.042550050804 Long DBT CORP MX N 2 2060-01-28 Fixed 6.95000000 N N N N N N EFS Volunteer No 2 LLC N/A 26845BAB5 964486.82000000 PA USD 977299.29000000 0.359918939228 Long ABS-O CORP US N 2 2036-03-25 Floating 1.45000000 N N N N N N Apidos CLO 549300OGB01ASKLNI660 03769HAC1 725000.00000000 PA USD 721032.08000000 0.265541072257 Long ABS-CBDO CORP KY N 2 2034-10-22 Floating 1.73000000 N N N N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 105756CC2 200000.00000000 PA USD 194630.00000000 0.071678168457 Long DBT NUSS BR N 2 2030-06-12 Fixed 3.88000000 N N N N N N BX Trust 2019-OC11 N/A 05606FAA1 265000.00000000 PA USD 279596.15000000 0.102969428863 Long ABS-MBS CORP US N 2 2041-12-09 Fixed 3.20000000 N N N N N N Lehman Mortgage Trust N/A 52520QAQ7 2970721.02000000 PA USD 712344.74000000 0.262341706178 Long ABS-MBS CORP US N 3 2036-11-25 Floating 6.45000000 N N N N N N PT PERTAMINA (PERSERO) 254900NDAKGNZ2IBBL45 69370PAH4 200000.00000000 PA USD 204660.00000000 0.075372008202 Long DBT CORP ID N 2 2030-08-27 Fixed 3.10000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 3190000.00000000 OU Notional Amount USD -33313.17000000 -0.01226854550 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-07-24 0.00000000 USD 0.00000000 USD 3190000.00000000 USD -33313.17000000 N N N Merrill Lynch Alternative Note Asset N/A 59024BAB9 781473.89000000 PA USD 737476.13000000 0.271597072802 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.52000000 N N N N N N NCR CORP 549300YKTY8JX1DV2R67 62886EBA5 285000.00000000 PA USD 295111.80000000 0.108683519057 Long DBT CORP US N 2 2029-04-15 Fixed 5.13000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BTAF8 2500000.00000000 PA USD 207593.13000000 0.076452218788 Long ABS-MBS USGSE US N 2 2044-12-25 Variable 1.89000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38374M7D5 1037781.42000000 PA USD 211770.30000000 0.077990583351 Long ABS-MBS USGA US N 2 2036-07-20 Floating 6.50000000 N N N N N N UBS AG LONDON BFM8T61CT2L1QCEMIK50 902674YK0 425000.00000000 PA USD 419878.75000000 0.154632583744 Long DBT CORP CH N 2 2024-08-09 Fixed 0.70000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAH8 275000.00000000 PA USD 281020.63000000 0.103494035129 Long DBT CORP GB N 2 2024-01-05 Fixed 3.37000000 N N N N N N One Bryant Park Trust N/A 68236JAA9 1295000.00000000 PA USD 1311887.90000000 0.483140943808 Long ABS-MBS CORP US N 2 2054-09-15 Fixed 2.52000000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAB2 25000.00000000 PA USD 27229.50000000 0.010028056764 Long DBT CORP XX N 2 2030-01-15 Fixed 5.50000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CM9 285000.00000000 PA USD 278879.06000000 0.102705339577 Long DBT CORP GB N 2 2027-05-24 Fixed 1.59000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137AWQK4 12555000.00000000 PA USD 124108.06000000 0.045706409246 Long ABS-MBS USGSE US N 2 2040-10-25 Variable 1.69000000 N N N N N N Colony American Finance Ltd N/A 21873CAE3 1650000.00000000 PA USD 275644.22000000 0.101514015493 Long ABS-O CORP US N 2 2053-08-15 Variable 2.61000000 N N N N N N US AIRWAYS 2010-1A PTT N/A 90345KAA8 289915.52000000 PA USD 293791.69000000 0.108197350085 Long DBT CORP US N 2 2023-04-22 Fixed 6.25000000 N N N N N N Ball Corp 0BGI85ALH27ZJP15DY16 058498AS5 90000.00000000 PA USD 94162.50000000 0.034678084248 Long DBT CORP US N 2 2023-11-15 Fixed 4.00000000 N N N N N N Hudson Yards N/A 44421MAA8 550000.00000000 PA USD 576456.32000000 0.212296836116 Long ABS-MBS CORP US N 2 2041-12-10 Variable 2.94000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137APLC2 699320.84000000 PA USD 137625.36000000 0.050684548826 Long ABS-MBS USGSE US N 2 2042-04-15 Floating 6.50000000 N N N N N N JP Morgan Mortgage Acquisition Corp N/A 46628SAH6 2063157.15000000 PA USD 825129.58000000 0.303878009733 Long ABS-MBS CORP US N 2 2036-07-25 Variable 6.91000000 N N N N N N Cedar Funding Ltd N/A 15033TAN5 1375000.00000000 PA USD 1372626.75000000 0.505509795076 Long ABS-CBDO CORP KY N 2 2034-10-25 Floating 1.26000000 N N N N N N UBS-Barclays Commercial Mortgage Trust N/A 90349DAJ1 11346906.88000000 PA USD 80944.29000000 0.029810093275 Long ABS-MBS CORP US N 2 2049-08-10 Variable 1.81000000 N N N N N N Banc of America Funding Corporation 549300R847L762RQF071 05990RAD3 552904.65000000 PA USD 546053.33000000 0.201100049193 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.30000000 N N N N N N MICHAELS COS INC/THE 549300H9LWMBP7HYLR98 55916AAB0 415000.00000000 PA USD 409482.58000000 0.150803891227 Long DBT CORP US N 2 2029-05-01 Fixed 7.88000000 N N N N N N Morgan Stanley BAML Trust N/A 61766RBA3 6866920.45000000 PA USD 338682.70000000 0.124729772513 Long ABS-MBS CORP US N 2 2049-11-15 Variable 1.29000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31381L3H8 412596.96000000 PA USD 461484.54000000 0.169955128184 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 5.97000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46644RAE5 26458000.00000000 PA USD 398513.04000000 0.146764038501 Long ABS-MBS CORP US N 2 2048-05-15 Variable 0.50000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668BMF7 5130077.33000000 PA USD 994929.25000000 0.366411685684 Long ABS-MBS CORP US N 3 2036-04-25 Floating 5.40000000 N N N N N N Banc of America Merrill Lynch Large Loan Inc N/A 05491YAA8 590000.00000000 PA USD 659294.55000000 0.242804427981 Long ABS-MBS CORP US N 2 2038-08-10 Variable 4.09000000 N N N N N N ASBURY AUTOMOTIVE GROUP 549300JH4DTA7U42GL91 043436AX2 290000.00000000 PA USD 300382.00000000 0.110624423766 Long DBT CORP US N 2 2032-02-15 Fixed 5.00000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AU2 270000.00000000 PA USD 274930.20000000 0.101251056823 Long DBT CORP CH N 2 2032-05-14 Fixed 3.09000000 N N N N N N GS Mortgage Securities Trust N/A 36192BAC1 6186622.49000000 PA USD 61.87000000 0.000022785430 Long ABS-MBS CORP US N 2 2045-01-10 Variable 0.52000000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 32029AAE7 628387.96000000 PA USD 602433.78000000 0.221863792669 Long ABS-O CORP US N 2 2037-12-25 Floating 0.31000000 N N N N N N Park Avenue Institutional Advisers CLO N/A 70015QAC2 420000.00000000 PA USD 419923.98000000 0.154649241009 Long ABS-CBDO CORP KY N 2 2034-01-20 Floating 1.88000000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAD2 1417812.50000000 PA USD 1485179.86000000 0.546960757307 Long DBT CORP US N 2 2025-03-20 Fixed 4.74000000 N N N N N N Eaton Vance CDO Ltd 5493004NKU3QU5G6QW39 278300AJ7 850000.00000000 PA USD 850878.05000000 0.313360634047 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 1.29000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 917288BK7 200000.00000000 PA USD 230802.00000000 0.084999561405 Long DBT NUSS UY N 2 2031-01-23 Fixed 4.38000000 N N N N N N FIRSTCASH INC 549300V2X3UU7K0DG350 31944TAA8 280000.00000000 PA USD 285681.20000000 0.105210425827 Long DBT CORP US N 2 2030-01-01 Fixed 5.63000000 N N N N N N J.P. Morgan Alternative Loan Trust N/A 46628GAQ2 401980.37000000 PA USD 278031.49000000 0.102393197229 Long ABS-MBS CORP US N 2 2036-05-25 Variable 3.04000000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAT4 125000.00000000 PA USD 131210.94000000 0.048322251763 Long DBT CORP US N 2 2030-05-15 Fixed 4.80000000 N N N N N N COMM Mortgage Trust 549300BCCWSDWINK2593 12626LAF9 9591924.79000000 PA USD 122825.08000000 0.045233914478 Long ABS-MBS CORP US N 2 2050-08-10 Variable 0.91000000 N N N N N N MICHAELS COS INC/THE 549300H9LWMBP7HYLR98 55916AAA2 175000.00000000 PA USD 175366.63000000 0.064583871175 Long DBT CORP US N 2 2028-05-01 Fixed 5.25000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAX3 350000.00000000 PA USD 400766.48000000 0.147593933440 Long DBT CORP US N 2 2040-04-15 Fixed 4.38000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 530000.00000000 OU Notional Amount USD -666.58000000 -0.00024548750 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2053-07-24 0.00000000 USD 0.00000000 USD 530000.00000000 USD -666.58000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LF5C8 1110787.45000000 PA USD 1235510.55000000 0.455012759255 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.41000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AQ1 480000.00000000 PA USD 482995.44000000 0.177877143875 Long DBT CORP CH N 2 2026-06-05 Fixed 2.19000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAP1 385000.00000000 PA USD 397974.68000000 0.146565771745 Long DBT CORP US N 2 2024-04-23 Fixed 3.56000000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BE6 675000.00000000 PA USD 698349.09000000 0.257187400273 Long DBT CORP US N 2 2054-09-15 Fixed 4.38000000 N N N N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAR0 816000.00000000 PA USD 977680.74000000 0.360059419305 Long DBT CORP US N 2 2035-05-14 Fixed 4.50000000 N N N N N N MOZART DEBT MERGER SUB N/A 62482BAA0 284000.00000000 PA USD 283221.84000000 0.104304694848 Long DBT CORP US N 2 2029-04-01 Fixed 3.88000000 N N N N N N SLM Student Loan Trust 549300MHMWVKFEDI8G73 784442AD7 225000.00000000 PA USD 216375.66000000 0.079686641358 Long ABS-O CORP US N 2 2083-01-25 Floating 1.32000000 N N N N N N CIM Trust N/A 12566LAB0 1125788.20000000 PA USD 1121923.48000000 0.413181011127 Long ABS-MBS CORP US N 2 2057-06-25 Variable 1.95000000 N N N N N N MODIVCARE INC 549300EFZIFW7F7I0Q28 743815AE2 270000.00000000 PA USD 283824.00000000 0.104526457813 Long DBT CORP US N 2 2025-11-15 Fixed 5.88000000 N N N N N N Reynolds American Inc 02S2RPPVO9RP4NEU2740 761713BB1 975000.00000000 PA USD 1187442.75000000 0.437310391348 Long DBT CORP US N 2 2045-08-15 Fixed 5.85000000 N N N N N N Wells Fargo Mortgage Backed Securities Trust N/A 94983UAD9 138161.93000000 PA USD 134637.00000000 0.049583998184 Long ABS-MBS CORP US N 2 2037-04-25 Variable 2.67000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAB2 210000.00000000 PA USD 246699.60000000 0.090854315815 Long DBT CORP US N 2 2046-06-01 Fixed 4.38000000 N N N N N N BLOOMIN' BRANDS INC/OSI N/A 094234AA9 285000.00000000 PA USD 290343.75000000 0.106927545717 Long DBT CORP US N 2 2029-04-15 Fixed 5.13000000 N N N N N N Asset Backed Funding Certificates N/A 00076BAB0 1075504.06000000 PA USD 1036747.84000000 0.381812599925 Long ABS-O CORP US N 2 2037-05-25 Floating 0.40000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46642EBA3 1681765.66000000 PA USD 35367.03000000 0.013024939290 Long ABS-MBS CORP US N 2 2047-08-15 Variable 0.96000000 N N N N N N AMSR Trust N/A 00180AAJ8 685000.00000000 PA USD 724573.55000000 0.266845321773 Long ABS-O CORP US N 2 2037-04-17 Fixed 8.19000000 N N N N N N Lehman XS Trust N/A 525226AG1 664778.02000000 PA USD 676142.40000000 0.249009139641 Long ABS-MBS CORP US N 2 2046-08-25 Floating 0.50000000 N N N N N N COMM Mortgage Trust 549300MGZ5FI5VFL1177 12591KAF2 8927965.14000000 PA USD 144302.70000000 0.053143673839 Long ABS-MBS CORP US N 2 2046-10-10 Variable 1.11000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AL3 210000.00000000 PA USD 238764.75000000 0.087932076104 Long DBT CORP US N 2 2029-01-15 Fixed 5.30000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAC4 110000.00000000 PA USD 113563.33000000 0.041823005180 Long DBT CORP KY N 2 2023-03-15 Fixed 4.50000000 N N N N N N COMM Mortgage Trust N/A 12626GAG8 6051210.10000000 PA USD 80637.82000000 0.029697226768 Long ABS-MBS CORP US N 2 2046-08-10 Variable 1.00000000 N N N N N N SUNOCO LP/FINANCE CORP N/A 86765LAT4 283000.00000000 PA USD 289061.86000000 0.106455452374 Long DBT CORP US N 2 2029-05-15 Fixed 4.50000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AH2 621000.00000000 PA USD 692334.27000000 0.254972267553 Long DBT CORP US N 2 2026-04-15 Fixed 5.38000000 N N N N N N Residential Accredit Loans, Inc. N/A 75116BAH1 9273088.64000000 PA USD 109434.50000000 0.040302443231 Long ABS-MBS CORP US N 3 2037-02-25 Variable 0.35000000 N N N N N N SUNOCO LP/FINANCE CORP N/A 86765LAU1 86000.00000000 PA USD 88272.98000000 0.032509096905 Long DBT CORP US N 2 2030-04-30 Fixed 4.50000000 N N N N N N Oakwood Mortgage Investors Inc. N/A 67087TAD3 65179.57000000 PA USD 65747.03000000 0.024213259476 Long ABS-O CORP US N 2 2026-12-15 Fixed 6.99000000 N N N N N N MASTR Alternative Loans Trust N/A 5764342J2 5921451.63000000 PA USD 1046768.16000000 0.385502874728 Long ABS-MBS CORP US N 3 2036-03-25 Floating 7.00000000 N N N N N N Colony American Finance Ltd N/A 21872UAC8 470000.00000000 PA USD 472293.37000000 0.173935794770 Long ABS-O CORP US N 2 2050-03-15 Fixed 2.30000000 N N N N N N Countrywide Home Loans N/A 12669FW25 540885.19000000 PA USD 274701.96000000 0.101167000793 Long ABS-MBS CORP US N 2 2034-09-20 Variable 2.87000000 N N N N N N LXP INDUSTRIAL TRUST 549300S4MH2ICXDBFV43 529043AE1 275000.00000000 PA USD 272827.49000000 0.100476672599 Long DBT US N 2 2030-09-15 Fixed 2.70000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45660NX83 309342.75000000 PA USD 314295.76000000 0.115748571292 Long ABS-MBS CORP US N 2 2034-10-25 Variable 2.81000000 N N N N N N Bombardier Capital Mortgage Securitization Corp. N/A 09774XBQ4 3316690.47000000 PA USD 777078.36000000 0.286181747894 Long ABS-O CORP US N 2 2030-06-15 Variable 8.29000000 N N N N N N DIRECTV FIN LLC/COINC N/A 25461LAA0 225000.00000000 PA USD 230627.25000000 0.084935204626 Long DBT CORP US N 2 2027-08-15 Fixed 5.88000000 N N N N N N Royal Dutch Shell PLC 21380068P1DRHMJ8KU70 780259206 18856.00000000 NS USD 818350.40000000 0.301381379172 Long EC CORP GB N 1 N N N CHARTER COMM OPT LLC/CAP N/A 161175BN3 150000.00000000 PA USD 188368.50000000 0.069372188640 Long DBT CORP US N 2 2048-04-01 Fixed 5.75000000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 000000000 200000.00000000 PA USD 202500.00000000 0.074576525266 Long DBT NUSS EG Y 2 2025-10-06 Fixed 5.25000000 N N N N N N Nomura Asset Acceptance Corporation N/A 65535VRY6 176959.88000000 PA USD 152390.08000000 0.056122087167 Long ABS-MBS CORP US N 2 2036-02-25 Variable 4.48000000 N N N N N N Transocean Poseidon Ltd N/A 89383JAA6 314000.00000000 PA USD 303729.06000000 0.111857076134 Long DBT CORP KY N 2 2027-02-01 Fixed 6.88000000 N N N N N N Lumen Technologies Inc 8M3THTGWLTYZVE6BBY25 550241103 46584.00000000 NS USD 584629.20000000 0.215306737310 Long EC CORP US N 1 N N N GLP CAPITAL LP / FIN II N/A 361841AK5 345000.00000000 PA USD 398826.90000000 0.146879626591 Long DBT CORP US N 2 2028-06-01 Fixed 5.75000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAK9 275000.00000000 PA USD 276078.14000000 0.101673819176 Long DBT CORP GB N 2 2023-03-17 Fixed 2.86000000 N N N N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAA1 425000.00000000 PA USD 443117.75000000 0.163191022612 Long DBT CORP US N 2 2029-08-15 Fixed 3.88000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAH4 305000.00000000 PA USD 311755.75000000 0.114813138601 Long DBT CORP KY N 2 2025-02-15 Fixed 2.88000000 N N N N N N COMM Mortgage Trust N/A 20049AAC2 5644863.27000000 PA USD 98150.62000000 0.036146825641 Long ABS-MBS CORP US N 2 2037-02-10 Variable 0.60000000 N N N N N N Banc of California Multifamily Housing S6XOOCT0IEG5ABCC6L87 3137FMUM2 3471472.55000000 PA USD 18524.30000000 0.006822113219 Long ABS-MBS CORP US N 2 2024-08-25 Fixed 0.36000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAM7 55000.00000000 PA USD 54148.81000000 0.019941877022 Long DBT CORP GB N 2 2026-08-21 Fixed 1.53000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276TAH7 7159447.80000000 PA USD 289977.68000000 0.106792729774 Long ABS-MBS CORP US N 2 2050-11-15 Variable 0.99000000 N N N N N N GRAPHIC PACKAGING INTERN SO75N4VY5NXGQSK8YQ65 38869AAA5 130000.00000000 PA USD 141212.50000000 0.052005617650 Long DBT CORP US N 2 2027-07-15 Fixed 4.75000000 N N N N N N Residential Asset Securitization Trust N/A 45660L4F3 953750.17000000 PA USD 451848.20000000 0.166406265204 Long ABS-MBS CORP US N 2 2036-02-25 Fixed 6.00000000 N N N N N N Citimortgage Alternative Loan Trust N/A 17309KAG2 719463.73000000 PA USD 717562.26000000 0.264263209941 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.00000000 N N N N N N Bacardi Ltd 549300R32WTQNHNN5055 067316AH2 205000.00000000 PA USD 268166.43000000 0.098760101444 Long DBT CORP BM N 2 2048-05-15 Fixed 5.30000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAX3 445000.00000000 PA USD 453957.85000000 0.167183205286 Long DBT CORP IE N 2 2032-01-30 Fixed 3.30000000 N N N N N N Global SC Finance SRL N/A 37952UAE3 112375.02000000 PA USD 113076.24000000 0.041643620095 Long ABS-O CORP BB N 2 2029-07-17 Fixed 3.09000000 N N N N N N Gaming and Leisure Properties Inc 5493006GWRDBCZYWTM57 36467J108 15119.00000000 NS USD 735690.54000000 0.270939477257 Long EC US N 1 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137AYCG4 5400000.00000000 PA USD 71259.48000000 0.026243379805 Long ABS-MBS USGSE US N 2 2040-11-25 Variable 1.75000000 N N N N N N State Street Global Advisors 549300BZ5TGIFZUZDZ37 857492706 3661860.63000000 NS USD 3661860.63000000 1.348586873066 Long STIV RF US N 1 N N N Residential Asset Securitization Trust N/A 76114HAQ8 1562309.31000000 PA USD 297303.24000000 0.109490580689 Long ABS-MBS CORP US N 3 2037-05-25 Fixed 6.00000000 N N N N N N Golden Nugget Inc 91D14OD6M4H1RVBN7R43 38113YAE9 415000.00000000 PA USD 415522.90000000 0.153028415065 Long DBT CORP US N 2 2024-10-15 Fixed 6.75000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RHK1 348000.00000000 PA USD 416917.92000000 0.153542171827 Long DBT CORP US N 2 2039-03-01 Fixed 4.85000000 N N N N N N CHANGE HEALTH / FIN INC N/A 15911NAA3 25000.00000000 PA USD 25283.75000000 0.009311477633 Long DBT CORP US N 2 2025-03-01 Fixed 5.75000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BLN38 2330000.00000000 PA USD 115388.82000000 0.042495295062 Long ABS-MBS USGSE US N 2 2043-10-25 Variable 1.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31381L3F2 544627.96000000 PA USD 609159.56000000 0.224340757124 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 5.97000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -252.00000000 NC USD -390131.91000000 -0.14367744317 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Ultra 10-Year US Treasury Note Futures UXYH2 COMDTY 2022-03-22 -36512118.09000000 USD -390131.91000000 N N N COOF Securitization Trust II N/A 12593RAA6 3484018.63000000 PA USD 240027.28000000 0.088397039563 Long ABS-O USGA US N 2 2041-08-25 Variable 2.44000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 1090000.00000000 PA USD 1108599.89000000 0.408274210899 Long DBT CORP US N 2 2028-06-02 Fixed 2.39000000 N N N N N N CIM Trust N/A 12555VAA3 897427.48000000 PA USD 838969.41000000 0.308974930383 Long ABS-MBS CORP US N 2 2058-10-25 Variable 3.25000000 N N N N N N IRON MOUNTAIN INFO MGMT N/A 46285MAA8 280000.00000000 PA USD 286921.60000000 0.105667239268 Long DBT US N 2 2032-07-15 Fixed 5.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 625000.00000000 OU Notional Amount USD 3805.87000000 0.001401622519 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2053-12-07 0.00000000 USD 0.00000000 USD 625000.00000000 USD 3805.87000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137B5JN4 26239839.91000000 PA USD 31965.37000000 0.011772178881 Long ABS-MBS USGSE US N 2 2023-07-25 Variable 0.06000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 60000.00000000 PA USD 60373.80000000 0.022234410968 Long DBT CORP US N 2 2031-03-25 Fixed 2.88000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BW9 644000.00000000 PA USD 661014.48000000 0.243437842317 Long DBT CORP US N 2 2051-08-12 Fixed 3.05000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46651EAJ3 150000.00000000 PA USD 159130.47000000 0.058604432180 Long ABS-MBS CORP US N 2 2039-06-05 Variable 3.75000000 N N N N N N ROCKIES EXPRESS PIPELINE W2ZGZGZKY5GGNY6F3V51 77340RAR8 425000.00000000 PA USD 456828.25000000 0.168240313721 Long DBT CORP US N 2 2029-07-15 Fixed 4.95000000 N N N N N N INTELSAT JACKSON HLDG 8XJ8KF85PBKK1TLMFN29 45824TBA2 535000.00000000 PA USD 249109.38000000 0.091741787514 Long DBT CORP LU N 2 2024-10-15 None 0.00000000 Y N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46635TAR3 51987799.51000000 PA USD 467250.75000000 0.172078703028 Long ABS-MBS CORP US N 2 2046-02-15 Variable 0.39000000 N N N N N N Residential Accredit Loans, Inc. N/A 748940AB9 371017.87000000 PA USD 358250.48000000 0.131936177646 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6.00000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46637YAC3 4228800.74000000 PA USD 15491.79000000 0.005705303053 Long ABS-MBS CORP US N 2 2032-07-05 Variable 1.43000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXM1 215000.00000000 PA USD 209614.25000000 0.077196555117 Long DBT CORP US N 2 2026-12-09 Fixed 1.09000000 N N N N N N SLM Student Loan Trust 54930067BGNOZYMNWK87 78445FAE5 305000.00000000 PA USD 306907.32000000 0.113027562985 Long ABS-O CORP US N 2 2083-07-26 Floating 1.97000000 N N N N N N Oakwood Mortgage Investors Inc. N/A 67087TBW0 692970.90000000 PA USD 248980.08000000 0.091694169022 Long ABS-O CORP US N 2 2030-07-15 Variable 7.40000000 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAH3 250000.00000000 PA USD 302480.00000000 0.111397073395 Long DBT CORP US N 2 2036-02-01 Fixed 4.70000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 197677AJ6 235000.00000000 PA USD 291148.55000000 0.107223936767 Long DBT CORP US N 2 2027-12-01 Fixed 7.05000000 N N N N N N MACQUARIE GROUP LTD ACMHD8HWFMFUIQQ8Y590 55608JAZ1 555000.00000000 PA USD 553776.25000000 0.203944239506 Long DBT CORP AU N 2 2033-01-14 Fixed 2.87000000 N N N N N N COMM Mortgage Trust N/A 12592RBH1 16972529.28000000 PA USD 353385.03000000 0.130144333919 Long ABS-MBS CORP US N 2 2047-12-10 Variable 0.85000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAJ9 634000.00000000 PA USD 603041.78000000 0.222087706385 Long DBT CORP US N 2 2028-02-15 Fixed 6.63000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DG7 513000.00000000 PA USD 291943.17000000 0.107516578735 Long DBT CORP US N 2 2036-10-10 None 0.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133T5X32 42978.47000000 PA USD 43069.37000000 0.015861550419 Long ABS-MBS USGSE US N 2 2024-02-15 Floating 1.10000000 N N N N N N DIAMOND SPORTS GR/DIAMON N/A 25277LAA4 522000.00000000 PA USD 264262.50000000 0.097322365472 Long DBT CORP US N 2 2026-08-15 Fixed 5.38000000 N N N N N N T-Mobile USA Inc 549300V2JRLO5DIFGE82 87264AAV7 186000.00000000 PA USD 196695.00000000 0.072438664875 Long DBT CORP US N 2 2028-02-01 Fixed 4.75000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397YJ6 345000.00000000 PA USD 344846.49000000 0.126999767775 Long DBT CORP US N 2 2022-03-28 Floating 1.49000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07384MYZ9 277807.05000000 PA USD 282386.89000000 0.103997200182 Long ABS-MBS CORP US N 2 2033-10-25 Variable 2.62000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AM9 450000.00000000 PA USD 442125.00000000 0.162825413498 Long DBT CORP US N 2 2050-03-01 Fixed 3.40000000 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAJ9 454000.00000000 PA USD 575148.27000000 0.211815108591 Long DBT CORP US N 2 2046-02-01 Fixed 4.90000000 N N N N N N Highbridge Loan Management Ltd 2549009NI8GVCM3ROT27 40436TAS5 875000.00000000 PA USD 873922.00000000 0.321847240069 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 1.27000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BX6 208000.00000000 PA USD 229584.16000000 0.084551056340 Long DBT CORP US N 2 2029-06-15 Fixed 4.13000000 N N N N N N Transocean Pontus Ltd N/A 89382PAA3 68340.00000000 PA USD 66873.42000000 0.024628085413 Long DBT CORP KY N 2 2025-08-01 Fixed 6.13000000 N N N N N N SINCLAIR TELEVISION GROU 549300CQGEN0CH65UD62 829259BA7 285000.00000000 PA USD 270469.28000000 0.099608193055 Long DBT CORP US N 2 2030-12-01 Fixed 4.13000000 N N N N N N Merrill Lynch First Franklin Mortgage Loan Trust N/A 59024VAG4 1098499.03000000 PA USD 1040051.63000000 0.383029316855 Long ABS-O CORP US N 2 2037-06-25 Floating 0.28000000 N N N N N N Residential Accredit Loans, Inc. N/A 761118BS6 384725.63000000 PA USD 271277.43000000 0.099905817840 Long ABS-MBS CORP US N 2 2035-07-25 Variable 3.44000000 N N N N N N Credit-Based Asset Servicing and Securitization N/A 1248MBAH8 902207.23000000 PA USD 710331.93000000 0.261600430248 Long ABS-O CORP US N 2 2037-02-25 Variable 3.63000000 N N N N N N Banc of America Alternative Loan Trust N/A 05948KQ85 401626.24000000 PA USD 345368.08000000 0.127191858490 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.50000000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92936YAK7 3127045.66000000 PA USD 10631.49000000 0.003915355963 Long ABS-MBS CORP US N 2 2045-08-15 Variable 1.76000000 N N N N N N VMED O2 UK FINAN 213800MRR46ECNGZ7L69 92858RAA8 260000.00000000 PA USD 255221.20000000 0.093992643310 Long DBT CORP GB N 2 2031-01-31 Fixed 4.25000000 N N N N N N Gracechurch Mortgage Finance Plc N/A 38406JAA6 1350000.00000000 PA USD 1350838.08000000 0.497485482489 Long ABS-MBS CORP US N 2 2040-12-10 Fixed 2.35000000 N N N N N N Humana Inc 529900YLDW34GJAO4J06 444859BE1 125000.00000000 PA USD 161149.81000000 0.059348112973 Long DBT CORP US N 2 2044-10-01 Fixed 4.95000000 N N N N N N HERTZ CORP/THE 549300PD0C69OJ0NLB27 428040DA4 140000.00000000 PA USD 140875.00000000 0.051881323441 Long DBT CORP US N 2 2026-12-01 Fixed 4.63000000 N N N N N N bmo sba coof trust N/A 05588XAA4 7133137.47000000 PA USD 411842.39000000 0.151672960018 Long ABS-O USGA US N 2 2045-10-25 Variable 1.57000000 N N N N N N Long Beach Mortgage Loan Trust N/A 542514HT4 562389.55000000 PA USD 559433.18000000 0.206027568806 Long ABS-O CORP US N 2 2034-10-25 Floating 1.00000000 N N N N N N Chevron Corp N/A 166764100 6954.00000000 NS USD 816051.90000000 0.300534889576 Long EC CORP US N 1 N N N BX Trust N/A 056059AS7 360500.00000000 PA USD 359721.00000000 0.132477739483 Long ABS-MBS CORP US N 2 2035-11-15 Floating 2.16000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 07332VBJ3 3829919.05000000 PA USD 226387.28000000 0.083373712133 Long ABS-MBS CORP US N 2 2050-02-15 Variable 1.44000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -170.00000000 NC USD -42500.00000000 -0.01565186332 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Call Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 170.00000000 NC N/A -42500.00000000 -0.02000000 DIR US Short CME 3 Month Eurodollar EDU2 Comdty 2023-09-18 170.00000000 USD 2500.00000000 99.00000000 USD 2022-09-16 XXXX 13770.60000000 N N N Countrywide Asset-Backed Certificates N/A 126698AC3 520290.96000000 PA USD 520235.60000000 0.191591917866 Long ABS-O CORP US N 2 2047-10-25 Floating 1.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FBTD8 3455000.00000000 PA USD 178473.55000000 0.065728084992 Long ABS-MBS USGSE US N 2 2045-11-25 Variable 1.95000000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07401CAV5 738880.73000000 PA USD 738508.33000000 0.271977210527 Long ABS-MBS CORP US N 2 2047-06-25 Variable 3.27000000 N N N N N N NATIONWIDE MUTUAL INSURA Z7LVXXWM8HZPKF5T2355 638671AJ6 1000000.00000000 PA USD 1001213.71000000 0.368726121190 Long DBT CORP US N 2 2024-12-15 Variable 2.49000000 N N N N N N Mid-State Trust 5493001662PV30WKJE68 59560UAB7 152819.06000000 PA USD 157903.88000000 0.058152704674 Long ABS-O CORP US N 2 2037-08-15 Fixed 6.50000000 N N N N N N Allegro CLO Ltd 254900E0ZQX4DLP7HF87 01750TAG1 475000.00000000 PA USD 474952.50000000 0.174915096872 Long ABS-CBDO CORP KY N 2 2032-01-21 Floating 1.83000000 N N N N N N TITAN ACQ/CO-BORROWER N/A 88827AAA1 140000.00000000 PA USD 142800.00000000 0.052590260780 Long DBT CORP XX N 2 2026-04-15 Fixed 7.75000000 N N N N N N Conseco Finance Securitizations Corp. N/A 20846QAM0 1350846.62000000 PA USD 684223.67000000 0.251985302783 Long ABS-O CORP US N 2 2030-06-01 Variable 7.36000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137B4H25 4020000.00000000 PA USD 95708.96000000 0.035247613203 Long ABS-MBS USGSE US N 2 2041-10-25 Variable 1.66000000 N N N N N N Credit Suisse First Boston Mortgage Securities N/A 225470RS4 962332.14000000 PA USD 347300.95000000 0.127903694186 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 6.50000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17322MAL0 4702110.78000000 PA USD 128446.15000000 0.047304037288 Long ABS-MBS CORP US N 2 2047-05-10 Variable 1.35000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7445000.00000000 OU Notional Amount USD 6920.13000000 0.002548539505 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-12-07 0.00000000 USD 0.00000000 USD 7445000.00000000 USD 6920.13000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133T4DA1 19903.97000000 PA USD 22027.76000000 0.008112364445 Long ABS-MBS USGSE US N 2 2024-02-15 Floating 15.94000000 N N N N N N WAMU Asset-Backed Certificates N/A 933631AD5 1734769.87000000 PA USD 1090010.12000000 0.401427986444 Long ABS-O CORP US N 2 2037-01-25 Floating 0.25000000 N N N N N N USQ Rail I LLC 25490077I8NB6ADB4I38 90352WAD6 403106.34000000 PA USD 403025.00000000 0.148425699237 Long ABS-O CORP US N 2 2051-02-28 Fixed 2.25000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJQ3 1085000.00000000 PA USD 1077144.49000000 0.396689843329 Long DBT CORP US N 2 2027-03-11 Fixed 1.66000000 N N N N N N Morgan Stanley BAML Trust N/A 61690FAN3 8633971.42000000 PA USD 215971.02000000 0.079537620888 Long ABS-MBS CORP US N 2 2048-04-15 Variable 1.02000000 N N N N N N Scholar Funding Trust N/A 80705WAB5 605993.04000000 PA USD 615674.75000000 0.226740165675 Long ABS-O CORP US N 2 2046-03-28 Floating 1.20000000 N N N N N N Neuberger Berman CLO Ltd 549300LCOEVXWN75LP18 64134AAA0 800000.00000000 PA USD 800097.60000000 0.294659253738 Long ABS-CBDO CORP KY N 2 2035-07-17 Floating 1.24000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BH9 400000.00000000 PA USD 396108.00000000 0.145878312445 Long DBT CORP US N 2 2031-11-15 Fixed 4.50000000 N N N N N N Rockford Tower CLO Ltd N/A 77341EAG0 900000.00000000 PA USD 900315.90000000 0.331567562786 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 3.88000000 N N N N N N Carvana Auto Receivables Trust N/A 14687GAH8 2200.00000000 PA USD 862656.08000000 0.317698236772 Long ABS-O CORP US N 2 2028-06-12 None 0.00000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHC6 830000.00000000 PA USD 847346.23000000 0.312059938425 Long DBT CORP US N 2 2023-12-20 Fixed 3.00000000 N N N N N N BX Trust N/A 12433AAN9 994508.34000000 PA USD 1001859.15000000 0.368963823276 Long ABS-MBS CORP US N 2 2032-11-15 Floating 4.86000000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAC0 650000.00000000 PA USD 665541.50000000 0.245105049336 Long DBT CORP XX N 2 2031-12-01 Fixed 3.75000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404121AJ4 100000.00000000 PA USD 117017.00000000 0.043094919788 Long DBT CORP US N 2 2028-09-01 Fixed 5.63000000 N N N N N N NATIONAL CINEMEDIA LLC 7LJEQIVQVLNGS4X6T547 63530QAJ8 317000.00000000 PA USD 284956.06000000 0.104943371893 Long DBT CORP US N 2 2028-04-15 Fixed 5.88000000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 32028PAE5 739023.49000000 PA USD 725024.91000000 0.267011548244 Long ABS-O CORP US N 2 2036-08-25 Floating 0.40000000 N N N N N N AMCOR FINANCE USA INC 549300ZMT7FVT8R77U18 02343UAG0 400000.00000000 PA USD 426764.00000000 0.157168277673 Long DBT CORP US N 2 2026-04-28 Fixed 3.63000000 N N N N N N SLM Student Loan Trust SCSW2GRYW6ZPGKE5DL61 78442GRC2 344801.35000000 PA USD 326483.61000000 0.120237102174 Long ABS-O CORP US N 2 2041-01-25 Floating 0.42000000 N N N N N N Dryden Senior Loan Fund 549300XS2BVK8BZTXN05 26246BAL8 1375000.00000000 PA USD 1375929.50000000 0.506726128996 Long ABS-CBDO CORP KY N 2 2035-10-15 Floating 1.27000000 N N N N N N HERTZ CORP/THE 549300PD0C69OJ0NLB27 428040DB2 140000.00000000 PA USD 141050.00000000 0.051945772290 Long DBT CORP US N 2 2029-12-01 Fixed 5.00000000 N N N N N N Morgan Stanley Mortgage Loan Trust N/A 61756XBK0 334560.42000000 PA USD 336125.46000000 0.123787994372 Long ABS-MBS CORP US N 2 2037-11-25 Variable 2.83000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17307GE20 487907.22000000 PA USD 438443.97000000 0.161469766946 Long ABS-MBS CORP US N 2 2035-10-25 Variable 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378KGP8 7355814.66000000 PA USD 28465.53000000 0.010483260826 Long ABS-MBS USGA US N 2 2055-02-16 Variable 0.14000000 N N N N N N GS Mortgage Securities Trust N/A 36248FAJ1 706438.50000000 PA USD 7.06000000 0.000002600050 Long ABS-MBS CORP US N 2 2044-03-10 Variable 0.00000000 N N N N N N IHS Markit Ltd 549300HLPTRASHS0E726 44962LAB3 370000.00000000 PA USD 403806.96000000 0.148713678791 Long DBT CORP BM N 2 2025-02-15 Fixed 4.75000000 N N N N N N JP Morgan Mortgage Trust N/A 466247HA4 200935.07000000 PA USD 201344.64000000 0.074151030282 Long ABS-MBS CORP US N 2 2034-12-25 Variable 2.43000000 N N N N N N Adjustable Rate Mortgage Trust N/A 225470A94 358557.64000000 PA USD 247687.49000000 0.091218135092 Long ABS-MBS CORP US N 2 2036-03-25 Variable 3.46000000 N N N N N N CAESARS ENTERTAIN INC 549300FA4CTCW903Y781 28470RAH5 273000.00000000 PA USD 286925.73000000 0.105668760261 Long DBT CORP US N 2 2025-07-01 Fixed 6.25000000 N N N N N N PILGRIM'S PRIDE CORP 549300ZSLGV64ZL3HD75 72147KAF5 285000.00000000 PA USD 300347.25000000 0.110611626066 Long DBT CORP US N 2 2031-04-15 Fixed 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376G3C2 4427142.00000000 PA USD 6.64000000 0.000002445373 Long ABS-MBS USGA US N 2 2051-09-16 None 0.00000000 N N N N N N New York State Dormitory Authority 549300C8XO7EXTX2XU71 6499022E2 1000000.00000000 PA USD 1202936.20000000 0.443016305745 Long DBT MUN US N 2 2033-03-15 Fixed 5.29000000 N N N N N N County of Miami-Dade FL Aviation Revenue N/A 59333P2N7 130000.00000000 PA USD 137422.48000000 0.050609832355 Long DBT MUN US N 2 2030-10-01 Fixed 3.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31396JM36 1644870.69000000 PA USD 276520.77000000 0.101836830571 Long ABS-MBS USGSE US N 2 2036-03-15 Floating 5.52000000 N N N N N N MOLINA HEALTHCARE INC 549300NQQCEQ46YHZ591 60855RAK6 520000.00000000 PA USD 540831.20000000 0.199176847663 Long DBT CORP US N 2 2030-11-15 Fixed 3.88000000 N N N N N N New Residential Investment Corp 549300WNTHGEO5LP2G31 64828T201 55339.00000000 NS USD 592680.69000000 0.218271933100 Long EC US N 1 N N N Trestles CLO LTD N/A 89532UAA1 525000.00000000 PA USD 525358.58000000 0.193478604520 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 1.33000000 N N N N N N Exxon Mobil Corp J3WHBG0MTS7O8ZVMDC91 30231G102 19680.00000000 NS USD 1204219.20000000 0.443488807878 Long EC CORP US N 1 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGF0 120000.00000000 PA USD 130144.86000000 0.047929636741 Long DBT CORP US N 2 2028-01-20 Fixed 3.82000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BYPS3 11730396.20000000 PA USD 195272.97000000 0.071914960894 Long ABS-MBS USGSE US N 2 2024-04-25 Variable 0.89000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DE2 705000.00000000 PA USD 704562.90000000 0.259475816858 Long DBT CORP US N 2 2024-02-04 Fixed 1.43000000 N N N N N N Bayview Commercial Asset Trust N/A 07324SAF9 222217.40000000 PA USD 219187.99000000 0.080722363824 Long ABS-MBS CORP US N 2 2033-12-25 Floating 0.97000000 N N N N N N SEALED AIR CORP Q0M0CZB4YN6JZ65WXI09 81211KAY6 25000.00000000 PA USD 26156.25000000 0.009632801180 Long DBT CORP US N 2 2027-12-01 Fixed 4.00000000 N N N N N N Countrywide Alternative Loan Trust N/A 12667GQS5 808.29000000 PA USD 796.08000000 0.000293179655 Long ABS-MBS CORP US N 2 2020-07-25 Fixed 5.25000000 N N N N N N USA COM PART/USA COM FIN N/A 91740PAF5 127000.00000000 PA USD 134277.10000000 0.049451454522 Long DBT CORP US N 2 2027-09-01 Fixed 6.88000000 N N N N N N GLOBAL PART/GLP FINANCE N/A 37954FAJ3 275000.00000000 PA USD 288358.13000000 0.106196283297 Long DBT CORP US N 2 2029-01-15 Fixed 6.88000000 N N N N N N Legacy Mortgage Asset Trust N/A 52473CAA0 861561.37000000 PA USD 863139.84000000 0.317876395488 Long ABS-O CORP US N 2 2059-05-25 Variable 3.44000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CZ1 685000.00000000 PA USD 896836.25000000 0.330286080286 Long DBT CORP US N 2 2048-03-25 Fixed 5.05000000 N N N N N N Palmer Square CLO Ltd 549300A8L0VCZ9626397 69703PAA7 600000.00000000 PA USD 599622.00000000 0.220828272757 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 1.15000000 N N N N N N Palmer Square Loan Funding Ltd N/A 69701FAC7 350000.00000000 PA USD 350074.55000000 0.128925153201 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.68000000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 33767BAB5 750000.00000000 PA USD 796964.18000000 0.293505280525 Long DBT CORP US N 2 2025-01-15 Fixed 4.35000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17323FAD2 913853.51000000 PA USD 900757.53000000 0.331730205901 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.34000000 N N N N N N Residential Accredit Loans, Inc. N/A 761118SB5 283585.03000000 PA USD 273856.33000000 0.100855572906 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75000000 N N N N N N IHS Markit Ltd 549300HLPTRASHS0E726 44962LAC1 398000.00000000 PA USD 431163.35000000 0.158788466495 Long DBT CORP BM N 2 2026-03-01 Fixed 4.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BQC21 14695129.76000000 PA USD 151331.92000000 0.055732388916 Long ABS-MBS USGSE US N 2 2023-03-25 Variable 1.31000000 N N N N N N Lehman XS Trust N/A 525229AE0 499484.78000000 PA USD 519471.46000000 0.191310501046 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.52000000 N N N N N N RBSSP Resecuritization Trust N/A 74931TAH8 927851.31000000 PA USD 917749.42000000 0.337987964489 Long ABS-MBS CORP US N 2 2036-01-26 Floating 0.75000000 N N N N N N Carvana Auto Receivables Trust N/A 14687AAK4 2000.00000000 PA USD 594999.97000000 0.219126075537 Long ABS-O CORP US N 2 2027-09-08 None 0.00000000 N N N N N N Morgan Stanley Capital Inc N/A 61749HAA8 28416.11000000 PA USD 28398.63000000 0.010458622951 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.38000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACB9 140000.00000000 PA USD 139407.87000000 0.051341010071 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N WF-RBS Commercial Mortgage Trust 549300GADFYEKC4OLM57 92890PAL8 6896075.73000000 PA USD 46085.44000000 0.016972306076 Long ABS-MBS CORP US N 2 2046-06-15 Variable 0.66000000 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBS8 529000.00000000 PA USD 668792.37000000 0.246302276935 Long DBT CORP GB N 2 2049-06-19 Fixed 4.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378XDR9 2358681.75000000 PA USD 28826.39000000 0.010616158035 Long ABS-MBS USGA US N 2 2055-05-16 Variable 0.28000000 N N N N N N GRAY ESCROW II INC N/A 389286AA3 140000.00000000 PA USD 144307.80000000 0.053145552063 Long DBT CORP US N 2 2031-11-15 Fixed 5.38000000 N N N N N N CABLE ONE INC 549300648QS85T0XSH18 12685JAC9 415000.00000000 PA USD 410850.00000000 0.151307483485 Long DBT CORP US N 2 2030-11-15 Fixed 4.00000000 N N N N N N SLM Student Loan Trust 549300IZGFDRVV7YTH38 78444EAE9 150000.00000000 PA USD 140420.49000000 0.051713936891 Long ABS-O CORP US N 2 2070-10-27 Floating 0.87000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BN2 176000.00000000 PA USD 179786.64000000 0.066211668644 Long DBT CORP US N 2 2027-09-15 Fixed 4.63000000 N N N N N N DC Office Trust N/A 23312BAA8 550000.00000000 PA USD 574444.75000000 0.211556016852 Long ABS-MBS CORP US N 2 2045-09-15 Fixed 2.97000000 N N N N N N CYRUSONE LP/CYRUSONE FIN N/A 23283PAQ7 280000.00000000 PA USD 289314.20000000 0.106548383932 Long DBT US N 2 2024-11-15 Fixed 2.90000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7515000.00000000 OU Notional Amount USD -34847.05000000 -0.01283344150 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-09-28 0.00000000 USD 0.00000000 USD 7515000.00000000 USD -34847.05000000 N N N ENBRIDGE ENERGY PARTNERS CZ6VG2MNE1J6YDI02G48 29250RAW6 50000.00000000 PA USD 57042.00000000 0.021007378539 Long DBT CORP US N 2 2025-10-15 Fixed 5.88000000 N N N N N N Ace Securities Corp. N/A 00442JAD6 1286552.51000000 PA USD 748772.15000000 0.275757161300 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.36000000 N N N N N N USA Compression Partners LP N/A 90290N109 63481.00000000 NS USD 1107743.45000000 0.407958801915 Long EC CORP US N 1 N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BK9 250000.00000000 PA USD 259703.75000000 0.095643472956 Long DBT NUSS PA N 2 2030-01-23 Fixed 3.16000000 N N N N N N Bear Stearns Mortgage Funding Trust N/A 07401VAD3 29967474.25000000 PA USD 712684.97000000 0.262467005789 Long ABS-MBS CORP US N 3 2037-03-25 Fixed 0.50000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162MAX6 1040000.00000000 PA USD 1050956.36000000 0.387045301410 Long ABS-MBS CORP US N 2 2053-03-15 Fixed 2.29000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAF8 85000.00000000 PA USD 89089.35000000 0.032809748944 Long DBT CORP KY N 2 2024-07-01 Fixed 3.95000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B7HP9 7900000.00000000 PA USD 305694.45000000 0.112580888268 Long ABS-MBS USGSE US N 2 2029-03-25 Variable 0.70000000 N N N N N N INTELSAT JACKSON HLDG 8XJ8KF85PBKK1TLMFN29 45824TAY1 621000.00000000 PA USD 287106.93000000 0.105735492441 Long DBT CORP LU N 2 2025-07-15 None 0.00000000 Y N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07387AEG6 135707.98000000 PA USD 139005.72000000 0.051192906616 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.38000000 N N N N N N Credit Suisse Mortgage Trust N/A 22942JAH6 526412.59000000 PA USD 372740.28000000 0.137272468687 Long ABS-MBS CORP US N 2 2036-07-25 Fixed 6.00000000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 -168.00000000 NC USD -158760.00000000 -0.05846799580 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Written Pfizer Inc Pfizer Inc 100.00000000 50.00000000 USD 2022-03-18 XXXX -77033.96000000 N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 59261AG76 55000.00000000 PA USD 75069.01000000 0.027646350227 Long DBT MUN US N 2 2049-11-15 Fixed 5.18000000 N N N N N N LUMEN TECHNOLOGIES INC 8M3THTGWLTYZVE6BBY25 550241AA1 425000.00000000 PA USD 425658.75000000 0.156761237157 Long DBT CORP US N 2 2029-06-15 Fixed 5.38000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17324KAV0 6443850.21000000 PA USD 155829.70000000 0.057388827453 Long ABS-MBS CORP US N 2 2048-11-10 Variable 0.72000000 N N N N N N Morgan Stanley BAML Trust N/A 61765LAV2 9771413.89000000 PA USD 212752.80000000 0.078352417603 Long ABS-MBS CORP US N 2 2048-05-15 Variable 0.72000000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 -102.00000000 NC USD -8823.00000000 -0.00324932682 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Written Bank of America Corp Bank of America Corp 100.00000000 45.00000000 USD 2022-01-21 XXXX 4076.56000000 N N N ACRISURE LLC / FIN INC N/A 00489LAF0 280000.00000000 PA USD 273369.60000000 0.100676320402 Long DBT CORP US N 2 2029-02-15 Fixed 4.25000000 N N N N N N Securitized Asset Backed Receivables LLC Trust N/A 81378GAD0 4614000.00000000 PA USD 3741446.92000000 1.377896843273 Long ABS-O CORP US N 2 2037-01-25 Floating 0.32000000 N N N N N N JETBLUE AIRWAYS CORP N/A 477164AA5 747650.42000000 PA USD 805466.23000000 0.296636408162 Long DBT CORP US N 2 2032-11-15 Fixed 4.00000000 N N N N N N INTERTAPE POLYMER GROUP 549300ESFR3Z1YNR6O65 460919AB9 268000.00000000 PA USD 268353.76000000 0.098829091175 Long DBT CORP CA N 2 2029-06-15 Fixed 4.38000000 N N N N N N Mid-State Trust 5493001662PV30WKJE68 59560UAD3 152819.06000000 PA USD 160539.33000000 0.059123285926 Long ABS-O CORP US N 2 2037-08-15 Fixed 8.90000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AM0 85000.00000000 PA USD 86753.76000000 0.031949599874 Long DBT CORP CH N 2 2025-09-11 Fixed 2.59000000 N N N N N N Merrill Lynch Mortgage Backed Securities Trust N/A 59025GAA9 161437.20000000 PA USD 157503.33000000 0.058005190465 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.61000000 N N N N N N PIEDMONT OPERATING PARTN 549300WKGDPAS39FBD10 720198AC4 425000.00000000 PA USD 435930.63000000 0.160544156260 Long DBT US N 2 2023-06-01 Fixed 3.40000000 N N N N N N Stratus CLO N/A 86315XAG1 750000.00000000 PA USD 716246.85000000 0.263778771882 Long ABS-CBDO CORP KY N 2 2029-12-29 Variable 1.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BPCS6 690000.00000000 PA USD 99369.59000000 0.036595746861 Long ABS-MBS USGSE US N 2 2029-03-25 Variable 4.08000000 N N N N N N Structured Receivables Finance LLC N/A 86365LAB7 332948.95000000 PA USD 390770.33000000 0.143912559944 Long ABS-O CORP US N 2 2036-08-15 Fixed 7.97000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206R102 41349.00000000 NS USD 1017185.40000000 0.374608161401 Long EC CORP US N 1 N N N Residential Accredit Loans, Inc. N/A 75115DAB1 2835783.25000000 PA USD 484530.43000000 0.178442448668 Long ABS-MBS CORP US N 3 2036-09-25 Floating 7.06000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46639YAS6 21467842.19000000 PA USD 242352.62000000 0.089253413772 Long ABS-MBS CORP US N 2 2046-04-15 Variable 1.23000000 N N N N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 45262BAA1 270000.00000000 PA USD 279323.10000000 0.102868870245 Long DBT CORP GB N 2 2024-07-26 Fixed 3.13000000 N N N N N N Colony American Finance Ltd N/A 21873CAC7 1552291.91000000 PA USD 223775.84000000 0.082411973263 Long ABS-O CORP US N 2 2053-08-15 Variable 3.67000000 N N N N N N SLM Student Loan Trust 549300JQFJDGC1WO7674 78445CAE2 225000.00000000 PA USD 227027.41000000 0.083609458657 Long ABS-O CORP US N 2 2083-07-26 Floating 1.97000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 060505104 20516.00000000 NS USD 912756.84000000 0.336149301434 Long EC CORP US N 1 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137B1UJ9 4095000.00000000 PA USD 68178.31000000 0.025108649177 Long ABS-MBS USGSE US N 2 2041-01-25 Variable 1.71000000 N N N N N N NYT Mortgage Trust N/A 62954PAN0 525000.00000000 PA USD 521020.39000000 0.191880939650 Long ABS-MBS CORP US N 2 2035-12-15 Floating 2.61000000 N N N N N N Countrywide Alternative Loan Trust N/A 12668ABD6 642400.27000000 PA USD 582989.62000000 0.214702914202 Long ABS-MBS CORP US N 2 2035-10-25 Fixed 5.50000000 N N N N N N ARCHROCK PARTNERS LP/FIN N/A 03959KAC4 140000.00000000 PA USD 146825.00000000 0.054072584307 Long DBT CORP US N 2 2028-04-01 Fixed 6.25000000 N N N N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 000000000 200000.00000000 PA USD 213378.20000000 0.078582739375 Long DBT NUSS SA Y 2 2026-10-26 Fixed 3.25000000 N N N N N N Oakwood Mortgage Investors Inc. N/A 67087TCL3 1671028.16000000 PA USD 305198.92000000 0.112398394907 Long ABS-O CORP US N 2 2031-06-15 Variable 6.61000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 073879L55 387975.51000000 PA USD 392387.26000000 0.144508041529 Long ABS-MBS CORP US N 2 2035-09-25 Variable 5.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137AVXQ5 2500000.00000000 PA USD 25969.63000000 0.009564072927 Long ABS-MBS USGSE US N 2 2040-08-25 Variable 1.81000000 N N N N N N UMBS, TBA N/A 01F020620 13625000.00000000 PA USD 13553747.38000000 4.991562389834 Long ABS-MBS USGSE US N 2 2052-02-15 Fixed 2.00000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162QBE8 555000.00000000 PA USD 537675.90000000 0.198014816501 Long ABS-MBS CORP US N 2 2048-09-15 Variable 3.54000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAR2 406000.00000000 PA USD 394666.86000000 0.145347570650 Long DBT CORP KY N 2 2027-11-18 Fixed 2.53000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378XLU3 1760187.39000000 PA USD 62137.52000000 0.022883952248 Long ABS-MBS USGA US N 2 2054-11-16 Variable 0.92000000 N N N N N N Education Loan Asset-Backed Trust 5493000CKEJUMJ3IL355 28140DAD5 999241.48000000 PA USD 1000090.40000000 0.368312429552 Long ABS-O CORP US N 2 2032-04-26 Floating 0.90000000 N N N N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 92769XAP0 225000.00000000 PA USD 237963.38000000 0.087636948252 Long DBT CORP GB N 2 2029-05-15 Fixed 5.50000000 N N N N N N FRONTIER COMMUNICATIONS N/A 35906ABF4 350000.00000000 PA USD 361410.00000000 0.133099762946 Long DBT CORP US N 2 2028-05-01 Fixed 5.00000000 N N N N N N CIFC Funding Ltd 635400VBVF8AYJQBI411 12547WAC8 650000.00000000 PA USD 480894.05000000 0.177103245779 Long ABS-CBDO CORP KY N 2 2031-04-18 Variable 0.00000000 N N N N N N Credit-Based Asset Servicing and Securitization N/A 12498NAB9 2039309.66000000 PA USD 2029628.65000000 0.747469887893 Long ABS-O CORP US N 2 2036-12-25 Variable 3.07000000 N N N N N N Energy Transfer LP MTLVN9N7JE8MIBIJ1H73 29273V100 103400.00000000 NS USD 850982.00000000 0.313398916663 Long EC CORP US N 1 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 706451BG5 385000.00000000 PA USD 370562.50000000 0.136470437748 Long DBT CORP MX N 2 2035-06-15 Fixed 6.63000000 N N N N N N Banc of America Funding Corporation N/A 058931AW6 185618.98000000 PA USD 183203.07000000 0.067469868537 Long ABS-MBS CORP US N 2 2036-03-25 Fixed 6.00000000 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08576PAH4 335000.00000000 PA USD 328088.95000000 0.120828315404 Long DBT CORP US N 2 2026-01-15 Fixed 1.57000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397TTP7 109396.02000000 PA USD 20166.14000000 0.007426768638 Long ABS-MBS USGSE US N 2 2038-06-15 Floating 6.14000000 N N N N N N TRANSMONTAIGE PARTNERS N/A 89376VAA8 265000.00000000 PA USD 263012.50000000 0.096862016551 Long DBT CORP US N 2 2026-02-15 Fixed 6.13000000 N N N N N N DSLA Mortgage Loan Trust N/A 23332QAC7 375807.75000000 PA USD 327119.38000000 0.120471243001 Long ABS-MBS CORP US N 2 2036-10-19 Floating 0.30000000 N N N N N N SUNAC CHINA HOLDINGS LTD 549300OLARYHDXP3WK18 000000000 200000.00000000 PA USD 127214.00000000 0.046850262149 Long DBT CORP KY Y 2 2025-01-10 Fixed 6.50000000 N N N N N N Nelnet Student Loan Trust N/A 64033MAB4 575000.00000000 PA USD 578270.58000000 0.212964990223 Long ABS-O CORP US N 2 2048-11-25 Floating 1.05000000 N N N N N N Oakwood Mortgage Investors Inc. N/A 67087TBC4 1741180.43000000 PA USD 687797.09000000 0.253301318818 Long ABS-O CORP US N 2 2029-09-15 Variable 8.15000000 N N N N N N Credit-Based Asset Servicing and Securitization N/A 81375WHH2 1052723.71000000 PA USD 858488.61000000 0.316163444517 Long ABS-O CORP US N 2 2036-01-25 Variable 2.92000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DR3 450000.00000000 PA USD 410895.00000000 0.151324056046 Long DBT NUSS CO N 2 2030-01-30 Fixed 3.00000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAB1 120000.00000000 PA USD 126555.96000000 0.046607919746 Long DBT CORP IE N 2 2027-07-21 Fixed 3.65000000 N N N N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 539439AP4 150000.00000000 PA USD 152492.47000000 0.056159795268 Long DBT CORP GB N 2 2023-11-07 Fixed 2.91000000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 -97.00000000 NC USD -13725.50000000 -0.00505481529 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Written Wells Fargo & Co Wells Fargo & Co 100.00000000 55.00000000 USD 2022-06-17 XXXX 15516.64000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CG2 430000.00000000 PA USD 433116.62000000 0.159507815085 Long DBT CORP GB N 2 2026-06-04 Fixed 2.10000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FPJQ9 7957874.72000000 PA USD 352198.03000000 0.129707186583 Long ABS-MBS USGSE US N 2 2027-06-25 Variable 1.20000000 N N N N N N Gracechurch Mortgage Finance Plc N/A 38406JAN8 376000.00000000 PA USD 339174.80000000 0.124911002676 Long ABS-MBS CORP US N 2 2040-12-10 Variable 2.68000000 N N N N N N GS Mortgage Securities Trust N/A 36252TAT2 4176872.11000000 PA USD 262321.77000000 0.096607635103 Long ABS-MBS CORP US N 2 2049-05-10 Variable 1.74000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEB7 425000.00000000 PA USD 420886.58000000 0.155003746507 Long DBT CORP US N 2 2025-01-22 Fixed 0.79000000 N N N N N N Structured Adjustable Rate Mortgage Loan Trust N/A 863579ZE1 136804.79000000 PA USD 130202.73000000 0.047950949054 Long ABS-MBS CORP US N 2 2035-10-25 Variable 2.76000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796K65 3000000.00000000 PA USD 3000000.24000000 1.104837499743 Long STIV UST US N 1 2022-01-06 None 0.00000000 N N N N N N SLC Student Loan Trust 25490083RPF52FIUZ551 784423AH8 240798.48000000 PA USD 224229.85000000 0.082579175674 Long ABS-O CORP US N 2 2031-08-15 Floating 0.44000000 N N N N N N CYRUSONE LP/CYRUSONE FIN N/A 23283PAR5 1045000.00000000 PA USD 1135193.95000000 0.418068248368 Long DBT US N 2 2029-11-15 Fixed 3.45000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05493BAL2 705000.00000000 PA USD 708508.34000000 0.260928840096 Long ABS-MBS CORP US N 2 2037-10-15 Floating 4.74000000 N N N N N N Countrywide Home Loans N/A 126694C63 735401.31000000 PA USD 572359.46000000 0.210788048050 Long ABS-MBS CORP US N 2 2036-04-20 Variable 3.16000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17318UAK0 2873421.90000000 PA USD 13818.86000000 0.005089197836 Long ABS-MBS CORP US N 2 2045-09-10 Variable 1.72000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376GH94 2068943.86000000 PA USD 9.93000000 0.000003657011 Long ABS-MBS USGA US N 2 2050-08-16 None 0.00000000 N N N N N N Residential Accredit Loans, Inc. N/A 74922EAV1 3304315.89000000 PA USD 74686.13000000 0.027505343511 Long ABS-MBS CORP US N 3 2036-06-25 Variable 0.76000000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 836205AT1 350000.00000000 PA USD 374220.00000000 0.137817418692 Long DBT NUSS ZA N 2 2026-04-14 Fixed 4.88000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBF5 325000.00000000 PA USD 369961.09000000 0.136248950992 Long DBT CORP US N 2 2045-03-15 Fixed 5.15000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46647TAU2 12416207.98000000 PA USD 471545.85000000 0.173660498750 Long ABS-MBS CORP US N 2 2050-03-15 Variable 0.96000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 29429JAC4 14000000.00000000 PA USD 314925.80000000 0.115980601880 Long ABS-MBS CORP US N 2 2036-05-10 Variable 1.18000000 N N N N N N First Franklin Mtg Loan Asset Backed Certificates N/A 30247DAD3 679356.94000000 PA USD 547758.44000000 0.201728005632 Long ABS-O CORP US N 2 2036-10-25 Floating 0.42000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45661EGC2 566081.69000000 PA USD 414866.67000000 0.152786739247 Long ABS-MBS CORP US N 2 2036-06-25 Variable 2.94000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BDCY0 3110000.00000000 PA USD 184679.79000000 0.068013713704 Long ABS-MBS USGSE US N 2 2042-08-25 Variable 2.11000000 N N N N N N BCRR Trust N/A 81753WAJ7 695788.77000000 PA USD 636618.89000000 0.234453455482 Long ABS-MBS CORP US N 2 2026-05-26 Floating 2.02000000 N N N N N N Oakwood Mortgage Investors Inc. N/A 67087TCW9 376499.83000000 PA USD 282091.78000000 0.103888517326 Long ABS-O CORP US N 2 2031-09-15 Variable 6.93000000 N N N N N N CIT Education Loan Trust N/A 17284LAA2 526722.78000000 PA USD 506936.58000000 0.186694166256 Long ABS-O CORP US N 2 2042-03-25 Floating 0.31000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397XA6 1150000.00000000 PA USD 1151460.50000000 0.424058879366 Long DBT CORP US N 2 2022-01-09 Fixed 3.22000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BT5 250000.00000000 PA USD 281395.00000000 0.103631907789 Long DBT CORP US N 2 2026-06-15 Fixed 5.25000000 N N N N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAQ6 285000.00000000 PA USD 351116.24000000 0.129308785895 Long DBT CORP US N 2 2048-06-25 Fixed 4.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38373M8V5 5144547.65000000 PA USD 482.56000000 0.000177716780 Long ABS-MBS USGA US N 2 2049-10-16 Variable 0.02000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BEVK7 4875000.00000000 PA USD 258916.13000000 0.095353408942 Long ABS-MBS USGSE US N 2 2042-11-25 Variable 2.04000000 N N N N N N Sunoco LP 54930001NJU8E40NQ561 86765K109 19213.00000000 NS USD 784466.79000000 0.288902752519 Long EC CORP US N 1 N N N SLM Student Loan Trust 549300Y3YMECZJOAL893 78442GLB0 282808.70000000 PA USD 270294.03000000 0.099543652136 Long ABS-O CORP US N 2 2039-07-25 Floating 0.59000000 N N N N N N Residential Funding Mtg Sec I N/A 749577AP7 20810989.41000000 PA USD 238943.46000000 0.087997891269 Long ABS-MBS CORP US N 3 2036-09-25 Variable 0.36000000 N N N N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAL7 590000.00000000 PA USD 659583.28000000 0.242910761216 Long DBT CORP US N 2 2028-12-15 Fixed 4.38000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FPHY4 4419887.60000000 PA USD 257217.61000000 0.094727879462 Long ABS-MBS USGSE US N 2 2029-08-25 Variable 1.04000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46639EAG6 5517461.58000000 PA USD 48426.76000000 0.017834565386 Long ABS-MBS CORP US N 2 2047-12-15 Variable 1.39000000 N N N N N N Annaly Capital Management Inc 2DTL0G3FPRYUT58TI025 035710409 165767.00000000 NS USD 1296297.94000000 0.477399486792 Long EC US N 1 N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAJ4 475000.00000000 PA USD 504362.01000000 0.185746005838 Long DBT CORP GB N 2 2024-11-15 Fixed 4.80000000 N N N N N N Credit-Based Asset Servicing and Securitization N/A 17311YAC7 1253540.18000000 PA USD 646287.71000000 0.238014280169 Long ABS-O CORP US N 2 2037-03-25 Variable 3.31000000 N N N N N N Pilgrim's Pride Corp 549300ZSLGV64ZL3HD75 72147KAE8 250000.00000000 PA USD 264167.50000000 0.097287378954 Long DBT CORP US N 2 2027-09-30 Fixed 5.88000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAF2 135000.00000000 PA USD 140385.15000000 0.051700921906 Long DBT CORP IE N 2 2023-07-03 Fixed 4.13000000 N N N N N N Residential Accredit Loans, Inc. N/A 75115EAK9 7652867.00000000 PA USD 97932.97000000 0.036066669687 Long ABS-MBS CORP US N 3 2036-08-25 Variable 0.35000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAP8 395000.00000000 PA USD 388747.15000000 0.143167464959 Long DBT CORP GB N 2 2027-05-11 Fixed 1.63000000 N N N N N N ENDO DAC/FIN LLC/FINCO N/A 29273DAC4 475000.00000000 PA USD 361142.50000000 0.133001248276 Long DBT CORP XX N 2 2028-06-30 Fixed 6.00000000 N N N N N N OT MERGER CORP N/A 688777AA9 425000.00000000 PA USD 414345.25000000 0.152594711139 Long DBT CORP US N 2 2029-10-15 Fixed 7.88000000 N N N N N N Latitude Management Real Estate Capital Inc N/A 50209TAA8 890000.00000000 PA USD 889039.91000000 0.327414850919 Long ABS-CBDO CORP US N 2 2035-12-22 Floating 1.50000000 N N N N N N JP Morgan ReRemic N/A 46645AAE1 1863000.00000000 PA USD 1808415.59000000 0.666001733037 Long ABS-MBS CORP US N 2 2047-06-26 Floating 0.47000000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAC1 150000.00000000 PA USD 157141.47000000 0.057871924977 Long DBT CORP GB N 2 2024-08-01 Fixed 4.36000000 N N N N N N MED Trust N/A 58403YBA3 670000.00000000 PA USD 667711.41000000 0.245904181919 Long ABS-MBS CORP US N 2 2038-11-15 Floating 5.36000000 N N N N N N Manhattan West N/A 563136AA8 695000.00000000 PA USD 694485.10000000 0.255764373369 Long ABS-MBS CORP US N 2 2039-09-10 Fixed 2.13000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AS6 25000.00000000 PA USD 25924.38000000 0.009547408296 Long DBT CORP US N 2 2028-02-01 Fixed 5.38000000 N N N N N N MFT Trust N/A 55317BAJ6 180000.00000000 PA USD 168828.50000000 0.062176014301 Long ABS-MBS CORP US N 2 2042-02-10 Variable 3.48000000 N N N N N N Sprint Corp 549300ZTTY7CXOLJ6539 85207UAF2 373000.00000000 PA USD 411316.43000000 0.151479259923 Long DBT CORP US N 2 2023-09-15 Fixed 7.88000000 N N N N N N Pfizer Inc 765LHXWGK1KXCLTFYQ30 717081103 16874.00000000 NS USD 996409.70000000 0.366956904532 Long EC CORP US N 1 N N N Artera Services LLC 549300J2G34D0WX8Z443 73939VAA2 254000.00000000 PA USD 268386.56000000 0.098841170731 Long DBT CORP US N 2 2025-12-04 Fixed 9.03000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJZ3 570000.00000000 PA USD 566956.20000000 0.208798140120 Long DBT CORP US N 2 2029-06-14 Fixed 2.09000000 N N N N N N JAPAN TREASURY DISC BILL 353800WZS8AXZXFUC241 000000000 320000000.00000000 PA 2779346.79000000 1.023575437575 Long STIV NUSS JP N 2 2022-02-28 None 0.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 282.00000000 NC USD 108282.83000000 0.039878307197 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year US Treasury Note FVH2 COMDTY 2022-03-31 34007107.94000000 USD 108282.83000000 N N N CALI Mortgage Trust 2019-101C N/A 129890AA7 680000.00000000 PA USD 755920.57000000 0.278389775250 Long ABS-MBS CORP US N 2 2039-03-10 Fixed 3.96000000 N N N N N N Conseco Financial Corp N/A 393505PD8 87012.43000000 PA USD 90419.16000000 0.033299490223 Long ABS-O CORP US N 2 2027-09-15 Variable 7.95000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 000000000 350000.00000000 PA USD 402215.63000000 0.148127625152 Long DBT NUSS QA Y 2 2028-04-23 Fixed 4.50000000 N N N N N N Verizon Communications Inc 2S72QS2UO2OESLG6Y829 92343V104 10086.00000000 NS USD 524068.56000000 0.193003517067 Long EC CORP US N 1 N N N Transocean Proteus Ltd 5493000CTMQ2LH21VM89 893829AA9 97500.00000000 PA USD 96328.05000000 0.035475611134 Long DBT CORP KY N 2 2024-12-01 Fixed 6.25000000 N N N N N N ENDO LUX FIN CO I SARL N/A 29280BAA3 110000.00000000 PA USD 107907.80000000 0.039740191472 Long DBT CORP LU N 2 2029-04-01 Fixed 6.13000000 N N N N N N SLM Student Loan Trust 549300EQOYJZL2D96G46 78445AAE6 515000.00000000 PA USD 517576.72000000 0.190612707834 Long ABS-O CORP US N 2 2073-04-25 Floating 1.97000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45669EAC0 752325.42000000 PA USD 708203.04000000 0.260816404476 Long ABS-MBS CORP US N 2 2037-05-25 Variable 2.98000000 N N N N N N Oakwood Mortgage Investors Inc. N/A 67087TDE8 85623.43000000 PA USD 87009.77000000 0.032043883016 Long ABS-O CORP US N 2 2024-05-15 Variable 6.03000000 N N N N N N HSI Asset Loan Obligation N/A 40432BAR0 372294.06000000 PA USD 342655.06000000 0.126192709826 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.00000000 N N N N N N Colony American Finance Ltd N/A 21872FAB3 1512626.86000000 PA USD 80014.25000000 0.029467578947 Long ABS-O CORP US N 2 2052-03-15 Variable 2.16000000 N N N N N N Oakwood Mortgage Investors Inc. N/A 67087TAU5 695184.61000000 PA USD 524604.56000000 0.193200914685 Long ABS-O CORP US N 2 2030-03-15 Variable 7.61000000 N N N N N N TCI-Flatiron CLO Ltd 549300EEOTVLW827QY91 87230AAN6 280000.00000000 PA USD 280000.00000000 0.103118158393 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 1.72000000 N N N N N N BX Trust N/A 12433AAJ8 766951.35000000 PA USD 768630.44000000 0.283070555206 Long ABS-MBS CORP US N 2 2032-11-15 Floating 3.71000000 N N N N N N Freddie Mac Multiclass Certificates N/A 3137FQKX0 1295000.00000000 PA USD 134492.81000000 0.049530896015 Long ABS-MBS USGSE US N 2 2033-07-25 Variable 1.01000000 N N N N N N Residential Accredit Loans, Inc. N/A 76110H7A1 729402.29000000 PA USD 614549.37000000 0.226325711700 Long ABS-MBS CORP US N 2 2035-07-25 Variable 3.35000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAW1 248000.00000000 PA USD 252523.52000000 0.092999144047 Long DBT CORP US N 2 2030-10-15 Fixed 3.00000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAF0 135000.00000000 PA USD 138528.90000000 0.051017303758 Long DBT CORP US N 2 2030-10-01 Fixed 2.78000000 N N N N N N Countrywide Home Loans N/A 12670AAG6 10443088.33000000 PA USD 44679.71000000 0.016454605045 Long ABS-MBS CORP US N 3 2036-09-25 Variable 0.17000000 N N N N N N Popular ABS Mortgage Pass-Through Trust N/A 73316PJE1 41524.38000000 PA USD 41444.92000000 0.015263299375 Long ABS-O CORP US N 2 2036-01-25 Variable 3.42000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BRQL2 5202424.11000000 PA USD 234942.51000000 0.086524424855 Long ABS-MBS USGSE US N 2 2026-07-25 Variable 1.17000000 N N N N N N MFT Trust N/A 55316TAE9 220000.00000000 PA USD 206481.93000000 0.076042987011 Long ABS-MBS CORP US N 2 2040-08-10 Variable 3.28000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 94988HAK7 4904598.00000000 PA USD 33444.94000000 0.012317073644 Long ABS-MBS CORP US N 2 2045-10-15 Variable 1.72000000 N N N N N N GSR Mortgage Loan Trust N/A 36242D4W0 177564.16000000 PA USD 163813.80000000 0.060329204912 Long ABS-MBS CORP US N 2 2035-05-25 Variable 2.85000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137B3NY0 54774456.42000000 PA USD 125800.49000000 0.046329695906 Long ABS-MBS USGSE US N 2 2023-04-25 Variable 0.19000000 N N N N N N UBS Commercial Mortgage Trust N/A 90269GAG6 856080.67000000 PA USD 36.21000000 0.000013335387 Long ABS-MBS CORP US N 2 2045-05-10 Variable 1.85000000 N N N N N N SLM Student Loan Trust 549300DP3T6QDZHB8271 78444CAF0 126204.60000000 PA USD 121457.31000000 0.044730193323 Long ABS-O CORP US N 2 2043-04-27 Floating 0.97000000 N N N N N N Asset Backed Securities Corp Home Equity Ln Trst N/A 04541GXC1 1227074.97000000 PA USD 1224797.03000000 0.451067193354 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.64000000 N N N N N N JP Morgan Mortgage Trust N/A 46630WAA8 146980.64000000 PA USD 85528.55000000 0.031498380593 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FG7J8 2400000.00000000 PA USD 167692.08000000 0.061757494524 Long ABS-MBS USGSE US N 2 2046-05-25 Variable 2.17000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796L72 8500000.00000000 PA USD 8499753.25000000 3.130281792633 Long STIV UST US N 1 2022-02-10 None 0.00000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BP7 75000.00000000 PA USD 77545.50000000 0.028558389827 Long DBT CORP US N 2 2027-03-01 Fixed 3.40000000 N N N N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50076QAE6 303000.00000000 PA USD 377739.35000000 0.139113521873 Long DBT CORP US N 2 2042-06-04 Fixed 5.00000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209S103 12670.00000000 NS USD 600431.30000000 0.221126321063 Long EC CORP US N 1 N N N Structured Adjustable Rate Mortgage Loan Trust N/A 86364JAD9 265786.68000000 PA USD 217952.55000000 0.080267377046 Long ABS-MBS CORP US N 2 2047-10-25 Variable 3.20000000 N N N N N N Structured Asset Mortgage Investments Inc N/A 86360QAM7 777325.48000000 PA USD 697424.89000000 0.256847036694 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.46000000 N N N N N N Brazos Higher Education Authority, Inc. N/A 10620NCE6 2200000.00000000 PA USD 2239669.08000000 0.824823396214 Long ABS-O CORP US N 2 2035-02-25 Floating 1.38000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PED6 200000.00000000 PA USD 204294.00000000 0.075237218038 Long DBT NUSS DO N 2 2030-01-30 Fixed 4.50000000 N N N N N N Regatta XII Funding Ltd. N/A 75888HAN1 725000.00000000 PA USD 724420.00000000 0.266788772511 Long ABS-CBDO CORP KY N 2 2032-10-15 Floating 1.72000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45668RAC2 1686302.95000000 PA USD 1618622.00000000 0.596104713481 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.29000000 N N N N N N DBWF Mortgage Trust N/A 23307CAA3 615000.00000000 PA USD 664293.60000000 0.244645473801 Long ABS-MBS CORP US N 2 2036-12-10 Fixed 3.79000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 4725000.00000000 OU Notional Amount USD -52935.12000000 -0.01949490031 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-07-24 0.00000000 USD 0.00000000 USD 4725000.00000000 USD -52935.12000000 N N N GS Mortgage Securities Trust N/A 36258PAC1 3150000.00000000 PA USD 32813.08000000 0.012084372788 Long ABS-MBS CORP US N 2 2037-02-10 Variable 0.35000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136AT5H3 1399494.33000000 PA USD 42950.55000000 0.015817791492 Long ABS-MBS USGSE US N 2 2039-07-25 Variable 2.93000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162YBM3 535000.00000000 PA USD 504563.58000000 0.185820239864 Long ABS-MBS CORP US N 2 2062-12-15 Variable 3.29000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJR1 395000.00000000 PA USD 391891.35000000 0.144325408222 Long DBT CORP US N 2 2025-04-22 Fixed 0.98000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RDR0 705000.00000000 PA USD 873050.85000000 0.321526413698 Long DBT CORP US N 2 2037-03-01 Fixed 5.25000000 N N N N N N Credit Suisse First Boston Mortgage Securities N/A 22541SJL3 117051.48000000 PA USD 117972.13000000 0.043446674240 Long ABS-MBS CORP US N 2 2034-06-25 Floating 0.84000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAE5 130000.00000000 PA USD 138192.33000000 0.050893352048 Long DBT CORP IE N 2 2028-01-23 Fixed 3.88000000 N N N N N N CINEMARK USA INC 54930008H2137JSCPQ09 172441BF3 300000.00000000 PA USD 293190.00000000 0.107975760211 Long DBT CORP US N 2 2028-07-15 Fixed 5.25000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BP7A1 8413726.37000000 PA USD 314664.11000000 0.115884226913 Long ABS-MBS USGSE US N 2 2026-03-25 Variable 1.05000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -70.00000000 NC USD -67928.87000000 -0.02501678562 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CME Ultra Long Term US Treasury Bond Future WNH2 COMDTY 2022-03-22 -13730821.13000000 USD -67928.87000000 N N N MASTR Alternative Loans Trust N/A 55291YAG2 1060946.17000000 PA USD 676121.05000000 0.249001276881 Long ABS-MBS CORP US N 2 2047-10-25 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376G6L9 1628301.80000000 PA USD 546.05000000 0.000201098822 Long ABS-MBS USGA US N 2 2051-08-16 Variable 0.04000000 N N N N N N PRIME HEALTHCARE SERVICE N/A 74165HAB4 455000.00000000 PA USD 483437.50000000 0.178039945350 Long DBT CORP US N 2 2025-11-01 Fixed 7.25000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BX1 165000.00000000 PA USD 156885.30000000 0.057777582910 Long DBT CORP US N 2 2032-02-01 Fixed 2.30000000 N N N N N N Ace Securities Corp. N/A 004421FD0 375566.93000000 PA USD 367990.21000000 0.135523117007 Long ABS-MBS CORP US N 2 2034-05-25 Floating 0.74000000 N N N N N N UMBS, TBA N/A 01F022626 16050000.00000000 PA USD 16347337.49000000 6.020383345009 Long ABS-MBS USGSE US N 2 2052-02-15 Fixed 2.50000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46643ABG7 9416049.32000000 PA USD 129348.27000000 0.047636269263 Long ABS-MBS CORP US N 2 2047-09-15 Variable 0.60000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAY7 635000.00000000 PA USD 629113.55000000 0.231689395343 Long DBT CORP US N 2 2028-07-15 Fixed 2.45000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378BBQ1 4443591.06000000 PA USD 44.44000000 0.000016366324 Long ABS-MBS USGA US N 2 2052-05-16 Variable 0.00000000 N N N N N N TotalEnergies SE 529900S21EQ1BO4ESM68 89151E109 16370.00000000 NS USD 809660.20000000 0.298180959815 Long EC CORP FR N 1 N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397YL1 645000.00000000 PA USD 647451.00000000 0.238442695606 Long DBT CORP US N 2 2022-03-28 Fixed 3.34000000 N N N N N N DBGS Mortgage Trust N/A 33830CAJ9 685000.00000000 PA USD 665492.74000000 0.245087092046 Long ABS-MBS CORP US N 2 2033-06-15 Floating 2.16000000 N N N N N N USA COM PART/USA COM FIN N/A 91740PAC2 162000.00000000 PA USD 168657.39000000 0.062112998057 Long DBT CORP US N 2 2026-04-01 Fixed 6.88000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABU8 489000.00000000 PA USD 494193.18000000 0.182001037900 Long DBT CORP US N 2 2026-04-15 Fixed 2.63000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -170.00000000 NC USD -43562.50000000 -0.01604315991 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 170.00000000 NC N/A -43562.50000000 -0.02000000 DIR US Short CME 3 Month Eurodollar EDU2 Comdty 2023-09-18 170.00000000 USD 2500.00000000 97.87500000 USD 2022-09-16 XXXX -859.71000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCK0 495000.00000000 PA USD 490634.10000000 0.180690302989 Long DBT CORP US N 2 2025-06-23 Fixed 0.97000000 N N N N N N SFAVE Commercial Mortgage Securities Trust 549300FIGODFFTOAAU64 78413MAE8 65000.00000000 PA USD 70785.77000000 0.026068922295 Long ABS-MBS CORP US N 2 2043-01-05 Variable 4.14000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEG6 920000.00000000 PA USD 912630.80000000 0.336102883532 Long DBT CORP US N 2 2025-10-21 Fixed 1.16000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225433AC5 330000.00000000 PA USD 350445.42000000 0.129061736884 Long DBT CORP CH N 2 2025-03-26 Fixed 3.75000000 N N N N N N Air Lease Corp 5493004NW4M4P8TMMK63 00912XBE3 490000.00000000 PA USD 490434.99000000 0.180616974930 Long DBT CORP US N 2 2022-01-15 Fixed 3.50000000 N N N N N N Student Loan Consolidation Center Student Loan 5493008KMDJ3GC7JUA63 86386MAX2 1050000.00000000 PA USD 968160.90000000 0.356553460844 Long ABS-O CORP US N 2 2042-07-01 Floating 1.65000000 N N N N N N Structured Receivables Finance LLC N/A 86365FAC8 522004.89000000 PA USD 575312.58000000 0.211875620536 Long ABS-O CORP US N 2 2046-01-16 Fixed 7.61000000 N N N N N N TENCENT HOLDINGS LTD 254900N4SLUMW4XUYY11 88032WBB1 285000.00000000 PA USD 296407.77000000 0.109160797770 Long DBT CORP KY N 2 2041-04-22 Fixed 3.68000000 N N N N N N Oak Hill Credit Partners N/A 67098WAA9 1400000.00000000 PA USD 1400210.00000000 0.515668130585 Long ABS-CBDO CORP KY N 2 2032-10-19 Floating 1.37000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2K8 285000.00000000 PA USD 289418.65000000 0.106586850688 Long DBT CORP US N 2 2026-02-11 Fixed 2.16000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCC4 75000.00000000 PA USD 66710.63000000 0.024568133253 Long DBT CORP MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N MACQUARIE GROUP LTD ACMHD8HWFMFUIQQ8Y590 55607PAG0 160000.00000000 PA USD 159486.40000000 0.058735513774 Long DBT CORP AU N 2 2032-06-23 Fixed 2.69000000 N N N N N N North Carolina State Education Assistance Authority N/A 658262GA2 1287237.00000000 PA USD 1285891.45000000 0.473566993634 Long DBT MUN US N 2 2041-10-25 Floating 1.02000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796P37 3000000.00000000 PA USD 2999317.20000000 1.104585950362 Long STIV UST US N 1 2022-04-28 None 0.00000000 N N N N N N Bayview Commercial Asset Trust N/A 07324SAR3 210413.59000000 PA USD 209975.93000000 0.077329754316 Long ABS-MBS CORP US N 2 2034-08-25 Floating 0.75000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAM2 438000.00000000 PA USD 427750.80000000 0.157531695525 Long DBT NUSS MX N 2 2031-05-24 Fixed 2.66000000 N N N N N N Goal Capital Funding Trust 5493009VZI2B6V83UU74 38021BAG5 184194.32000000 PA USD 173863.62000000 0.064030343949 Long ABS-O CORP US N 2 2042-08-25 Floating 0.63000000 N N N N N N CIM Trust N/A 12592SAC1 1096000.00000000 PA USD 981669.12000000 0.361528256449 Long ABS-MBS CORP US N 2 2061-08-25 Variable 2.00000000 N N N N N N Bayview Commercial Asset Trust N/A 07324SAX0 106871.19000000 PA USD 106026.91000000 0.039047498926 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.66000000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBN1 500000.00000000 PA USD 522713.51000000 0.192504480423 Long DBT CORP US N 2 2030-09-15 Fixed 3.80000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCM6 270000.00000000 PA USD 266133.60000000 0.098011452566 Long DBT CORP US N 2 2025-08-09 Fixed 0.77000000 N N N N N N DEUTSCHE ALT-B SECURITIES INC MORTGAGE L N/A 251511AB7 1158312.05000000 PA USD 1152642.11000000 0.424494041677 Long ABS-MBS CORP US N 2 2036-06-25 Variable 4.94000000 N N N N N N BP PLC 213800LH1BZH3DI6G760 055622104 25680.00000000 NS USD 683858.40000000 0.251850781463 Long EC CORP GB N 1 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137B3NZ7 4500000.00000000 PA USD 93222.23000000 0.034331802424 Long ABS-MBS USGSE US N 2 2041-07-25 Variable 1.66000000 N N N N N N PETRONAS CAPITAL LTD 549300G7YFX3540OYR85 716743AP4 200000.00000000 PA USD 216600.13000000 0.079769308976 Long DBT CORP MY N 2 2030-04-21 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31395V2Z1 55309.79000000 PA USD 60353.25000000 0.022226842832 Long ABS-MBS USGSE US N 2 2035-03-15 Floating 21.57000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396VE20 1003041.20000000 PA USD 164733.27000000 0.060667826530 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 6.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZE7 700000.00000000 PA USD 701729.00000000 0.258432150611 Long DBT CORP US N 2 2023-12-06 Fixed 1.22000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796L98 5000000.00000000 PA USD 4999651.75000000 1.841267432385 Long STIV UST US N 1 2022-03-03 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31396Q4H9 185233.40000000 PA USD 27804.42000000 0.010239787805 Long ABS-MBS USGSE US N 2 2039-09-25 Floating 6.65000000 N N N N N N COMM Mortgage Trust N/A 126192AJ2 18671016.00000000 PA USD 186.71000000 0.000068761397 Long ABS-MBS CORP US N 2 2044-12-10 Variable 0.55000000 N N N N N N ZHENRO PROPERTIES GROUP 549300I66TVJEL841P38 000000000 200000.00000000 PA USD 129500.00000000 0.047692148256 Long DBT CORP KY Y 2 2026-01-07 Fixed 6.63000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137AUPG8 3475000.00000000 PA USD 32306.66000000 0.011897868867 Long ABS-MBS USGSE US N 2 2040-07-25 Variable 1.97000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375DLA4 760271.00000000 PA USD 60771.35000000 0.022380820339 Long ABS-MBS USGA US N 2 2038-05-20 Floating 6.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376GXY1 5219597.25000000 PA USD 57961.54000000 0.021346025937 Long ABS-MBS USGA US N 2 2050-09-16 Variable 0.29000000 N N N N N N Bear Stearns Asset Backed Securities Trust N/A 07387UFD8 181834.54000000 PA USD 303372.15000000 0.111725633627 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.56000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46643GAG5 7459652.20000000 PA USD 140195.21000000 0.051630970967 Long ABS-MBS CORP US N 2 2047-11-15 Variable 0.86000000 N N N N N N SLC Student Loan Trust N/A 784427AG1 329348.04000000 PA USD 304468.04000000 0.112129227051 Long ABS-O CORP US N 2 2055-03-15 Floating 0.41000000 N N N N N N CODELCO INC 549300UVMBCBCIPSUI70 000000000 350000.00000000 PA USD 357399.61000000 0.131622819977 Long DBT CORP CL Y 2 2030-01-14 Fixed 3.15000000 N N N N N N SLM Student Loan Trust 549300R59P5DXM48DO55 78445GAE3 260000.00000000 PA USD 261325.69000000 0.096240799620 Long ABS-O CORP US N 2 2075-10-25 Floating 2.37000000 N N N N N N Credit-Based Asset Servicing and Securitization N/A 1248MBAJ4 886429.44000000 PA USD 697823.32000000 0.256993770151 Long ABS-O CORP US N 2 2037-02-25 Variable 3.63000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BN8 315000.00000000 PA USD 338955.75000000 0.124830331131 Long DBT CORP US N 2 2024-03-15 Fixed 5.00000000 N N N N N N ADTALEM GLOBAL EDUCATION 549300Z467EZLMODV621 00737WAA7 270000.00000000 PA USD 264429.90000000 0.097384015400 Long DBT CORP US N 2 2028-03-01 Fixed 5.50000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST N/A 92938EAZ6 11281922.35000000 PA USD 95051.32000000 0.035005418111 Long ABS-MBS CORP US N 2 2046-09-15 Variable 0.62000000 N N N N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 718286CJ4 200000.00000000 PA USD 206777.80000000 0.076151949759 Long DBT NUSS PH N 2 2030-05-05 Fixed 2.46000000 N N N N N N OCP CLO Ltd 2549000M7NBNQ7XU2038 671000AE7 400000.00000000 PA USD 398916.80000000 0.146912734886 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 1.83000000 N N N N N N TEXAS EASTERN TRANSMISSI 549300SIOULUXXIDGA69 882384AC4 300000.00000000 PA USD 303291.00000000 0.111695747775 Long DBT CORP US N 2 2022-10-15 Fixed 2.80000000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAA5 520000.00000000 PA USD 535745.16000000 0.197303765240 Long DBT CORP GB N 2 2024-03-08 Fixed 3.77000000 N N N N N N Residential Accredit Loans, Inc. N/A 75115AAC5 641178.39000000 PA USD 625614.87000000 0.230400904492 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.00000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAV1 831000.00000000 PA USD 981651.99000000 0.361521947828 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYL2 285000.00000000 PA USD 283887.81000000 0.104549957705 Long DBT CORP US N 2 2024-10-21 Fixed 0.93000000 N N N N N N SLM Student Loan Trust 549300OORAXMFXOHG132 78444GAD6 225000.00000000 PA USD 211439.52000000 0.077868763978 Long ABS-O CORP US N 2 2083-04-26 Floating 1.32000000 N N N N N N Credit Suisse Mortgage Trust N/A 126395AQ5 1017000.00000000 PA USD 1027829.83000000 0.378528282897 Long ABS-MBS CORP US N 2 2037-10-15 Floating 6.27000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYA6 705000.00000000 PA USD 690815.40000000 0.254412899420 Long DBT CORP US N 2 2027-03-09 Fixed 1.43000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397CW39 379397.58000000 PA USD 79719.36000000 0.029358977112 Long ABS-MBS USGSE US N 2 2036-11-15 Floating 6.54000000 N N N N N N FARMERS INS EXCH 549300UWG2TLX1GZVT44 309601AE2 5000.00000000 PA USD 5730.14000000 0.002110291014 Long DBT CORP US N 2 2057-11-01 Fixed 4.75000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAF1 157000.00000000 PA USD 164130.94000000 0.060446000957 Long DBT CORP CA N 2 2026-12-15 Fixed 5.13000000 N N N N N N GS Mortgage Securities Trust N/A 36252RAW9 66563000.00000000 PA USD 197492.42000000 0.072732338025 Long ABS-MBS CORP US N 2 2047-01-10 Variable 0.09000000 N N N N N N CIM Trust N/A 12564UAA4 491697.48000000 PA USD 492280.73000000 0.181296722464 Long ABS-MBS CORP US N 2 2057-06-25 Variable 2.57000000 N N N N N N Citimortgage Alternative Loan Trust N/A 18974BAH2 632100.08000000 PA USD 630357.63000000 0.232147564052 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.00000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAB6 132000.00000000 PA USD 141620.27000000 0.052155790834 Long DBT CORP KY N 2 2024-02-15 Fixed 5.50000000 N N N N N N HEALTHEQUITY INC 529900LRJU1RAFQHM467 42226AAA5 285000.00000000 PA USD 283777.35000000 0.104509277591 Long DBT CORP US N 2 2029-10-01 Fixed 4.50000000 N N N N N N WMG ACQUISITION CORP 549300NAS11NXI33CP80 92933BAT1 140000.00000000 PA USD 139825.00000000 0.051494630347 Long DBT CORP US N 2 2029-12-01 Fixed 3.75000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAW6 55000.00000000 PA USD 55169.95000000 0.020317941580 Long DBT CORP US N 2 2022-04-10 Fixed 3.45000000 N N N N N N EVERARC ESCROW SARL N/A 29977LAA9 285000.00000000 PA USD 285639.83000000 0.105195190119 Long DBT CORP LU N 2 2029-10-30 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397GWM8 82173.00000000 PA USD 8783.60000000 0.003234816628 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 6.00000000 N N N N N N Oakwood Mortgage Investors Inc. N/A 67087TCV1 649834.07000000 PA USD 447354.03000000 0.164751156155 Long ABS-O CORP US N 2 2022-09-15 Variable 5.90000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 640000.00000000 OU Notional Amount USD -15503.68000000 -0.00570968189 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2053-09-28 0.00000000 USD 0.00000000 USD 640000.00000000 USD -15503.68000000 N N N Residential Accredit Loans, Inc. N/A 75116CCP9 196633.67000000 PA USD 191058.65000000 0.070362914761 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 5.50000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AT5 190000.00000000 PA USD 183758.50000000 0.067674421818 Long DBT CORP CH N 2 2027-02-02 Fixed 1.31000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 6380000.00000000 OU Notional Amount USD -72471.06000000 -0.02668957944 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-07-24 0.00000000 USD 0.00000000 USD 6380000.00000000 USD -72471.06000000 N N N CIM Trust N/A 12598HAB1 1112399.40000000 PA USD 1106664.31000000 0.407561377167 Long ABS-MBS CORP US N 2 2061-05-01 Variable 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38374NU62 1669764.84000000 PA USD 168533.87000000 0.062067508218 Long ABS-MBS USGA US N 2 2036-11-20 Floating 4.65000000 N N N N N N Banc of America Funding Corporation 54930023UHZHF7UJ8596 05990QAT0 1574462.08000000 PA USD 1491802.35000000 0.549399682210 Long ABS-MBS CORP US N 2 2036-05-27 Variable 0.26000000 N N N N N N Morgan Stanley Capital I Trust 5493005SNWQW3UUOQX45 61760VAA1 552945.05000000 PA USD 5.53000000 0.000002036583 Long ABS-MBS CORP US N 2 2045-03-15 Variable 1.78000000 N N N N N N ABU DHABI GOVT INT'L 213800FER4348CINTA77 000000000 200000.00000000 PA USD 207938.00000000 0.076579227214 Long DBT NUSS AE Y 2 2029-09-30 Fixed 2.50000000 N N N N N N First Horizon Alternative Mortgage Securities N/A 32051GA88 271083.16000000 PA USD 235383.08000000 0.086686677594 Long ABS-MBS CORP US N 2 2035-12-25 Variable 2.30000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FMU91 3750000.00000000 PA USD 315959.63000000 0.116361339900 Long ABS-MBS USGSE US N 2 2047-05-25 Variable 2.15000000 N N N N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAN3 515000.00000000 PA USD 602410.95000000 0.221855384857 Long DBT CORP US N 2 2038-06-25 Fixed 4.63000000 N N N N N N Magnetite CLO Ltd 549300B54XJTQC6DWJ15 55951PBA4 402030.23000000 PA USD 401206.07000000 0.147755825266 Long ABS-CBDO CORP KY N 2 2028-01-15 Floating 0.92000000 N N N N N N SES GLOBAL AMERICAS HLDG 5299000YGN3VJ3R60481 78413KAB8 675000.00000000 PA USD 773276.46000000 0.284781587443 Long DBT CORP US N 2 2044-03-25 Fixed 5.30000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FNB25 2290000.00000000 PA USD 217937.01000000 0.080261653989 Long ABS-MBS USGSE US N 2 2029-06-25 Variable 1.60000000 N N N N N N GSC Capital Corp Mortgage Trust N/A 362480AD7 242782.14000000 PA USD 237545.60000000 0.087483088594 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.46000000 N N N N N N MASTR Asset Backed Securities Trust N/A 576457AD7 2000000.00000000 PA USD 1853919.60000000 0.682759910575 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.38000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625H100 7204.00000000 NS USD 1140753.40000000 0.420115677817 Long EC CORP US N 1 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 235000.00000000 PA USD 257260.66000000 0.094743733879 Long DBT CORP US N 2 2030-04-15 Fixed 3.88000000 N N N N N N Credit-Based Asset Servicing and Securitization N/A 12489WGJ7 377867.82000000 PA USD 371929.48000000 0.136973867963 Long ABS-O CORP US N 2 2032-12-25 Variable 3.38000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BZ1 312000.00000000 PA USD 401463.48000000 0.147850623999 Long DBT CORP US N 2 2049-06-15 Fixed 5.25000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 000000000 200000.00000000 PA USD 208980.00000000 0.076962974075 Long DBT CORP KZ Y 2 2033-04-14 Fixed 3.50000000 N N N N N N COMM Mortgage Trust N/A 12656KAL1 370000.00000000 PA USD 347303.53000000 0.127904644346 Long ABS-MBS CORP US N 2 2046-11-10 Variable 2.68000000 N N N N N N Options Clearing Corp. 549300CII6SLYGKNHA04 000000000 -103.00000000 NC USD -47380.00000000 -0.01744906551 N/A DE US N 1 Options Clearing Corp. 549300CII6SLYGKNHA04 Call Written Bank of America Corp Bank of America Corp 100.00000000 42.00000000 USD 2022-06-17 XXXX -11694.09000000 N N N Chimera Investment Corp 2JBBQFJOL123LOUBE657 16934Q208 48368.00000000 NS USD 729389.44000000 0.268618913586 Long EC US N 1 N N N DNB BANK ASA 549300GKFG0RYRRQ1414 25601B2B0 430000.00000000 PA USD 420034.56000000 0.154689965316 Long DBT CORP NO N 2 2028-03-30 Fixed 1.61000000 N N N N N N Adjustable Rate Mortgage Trust N/A 007036KJ4 433845.85000000 PA USD 381374.48000000 0.140452264413 Long ABS-MBS CORP US N 2 2035-08-25 Variable 2.86000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAL7 285000.00000000 PA USD 301238.20000000 0.110939744363 Long DBT CORP GB N 2 2025-07-09 Fixed 3.87000000 N N N N N N SLM Student Loan Trust 549300QFNKDN6MY4H751 78447T103 1000.00000000 PA USD 940329.70000000 0.346303810523 Long ABS-O CORP US N 2 2029-10-28 None 0.00000000 N N N N N N Soundview Home Equity Loan Trust N/A 83611MKY3 142443.35000000 PA USD 142467.43000000 0.052467782187 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.70000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NA5 430000.00000000 PA USD 422509.40000000 0.155601397256 Long DBT CORP US N 2 2027-06-09 Fixed 1.46000000 N N N N N N SLM Student Loan Trust 549300MTK92VF84VT259 78445JAB3 260000.00000000 PA USD 262470.85000000 0.096662538156 Long ABS-O CORP US N 2 2083-10-25 Floating 2.37000000 N N N N N N DIAMOND SPORTS GR/DIAMON N/A 25277LAC0 630000.00000000 PA USD 177975.00000000 0.065544479428 Long DBT CORP US N 2 2027-08-15 Fixed 6.63000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BL7 125000.00000000 PA USD 149830.00000000 0.055179263114 Long DBT CORP US N 2 2047-05-01 Fixed 5.38000000 N N N N N N Blackrock Rainier CLO Ltd 549300HF4E86WXQDUX86 09261MAA4 700000.00000000 PA USD 701992.90000000 0.258529339475 Long ABS-CBDO CORP KY N 2 2033-04-20 Floating 1.83000000 N N N N N N ATHENE GLOBAL FU 549300LM1QSI4MSIL320 04685A2Z3 285000.00000000 PA USD 280095.15000000 0.103153200153 Long DBT CORP US N 2 2026-06-29 Fixed 1.61000000 N N N N N N GSAA Home Equity Trust N/A 36244SAF5 1243891.93000000 PA USD 539018.80000000 0.198509378554 Long ABS-MBS CORP US N 2 2036-07-25 Variable 6.54000000 N N N N N N Commercial Mortgage Pass-through Certificates N/A 44965LAA2 240000.00000000 PA USD 266769.34000000 0.098245582344 Long ABS-MBS CORP US N 2 2041-02-11 Fixed 4.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380BP58 1881126.51000000 PA USD 255233.50000000 0.093997173143 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 3.50000000 N N N N N N Gracechurch Mortgage Finance Plc N/A 38406JAJ7 1249000.00000000 PA USD 1192640.50000000 0.439224614233 Long ABS-MBS CORP US N 2 2040-12-10 Variable 2.68000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BQ5 315000.00000000 PA USD 320964.53000000 0.118204540154 Long DBT CORP US N 2 2029-11-15 Fixed 3.88000000 N N N N N N SFAVE Commercial Mortgage Securities Trust 549300FIGODFFTOAAU64 78413MAQ1 880000.00000000 PA USD 720830.00000000 0.265466650409 Long ABS-MBS CORP US N 2 2043-01-05 Variable 4.39000000 N N N N N N NGL ENRGY OP/FIN CORP N/A 62922LAA6 225000.00000000 PA USD 232215.75000000 0.085520216035 Long DBT CORP US N 2 2026-02-01 Fixed 7.50000000 N N N N N N SOUTHERN CO GAS CAPITAL E8CD46SWUD2TSN8PA636 001192AL7 640000.00000000 PA USD 688571.15000000 0.253586388967 Long DBT CORP US N 2 2025-11-15 Fixed 3.88000000 N N N N N N IndyMac INDX Mortgage Loan Trust N/A 45660LXA2 445346.41000000 PA USD 420204.47000000 0.154752539625 Long ABS-MBS CORP US N 2 2035-10-25 Variable 2.74000000 N N N N N N 2022-01-24 TCW STRATEGIC INCOME FUND INC Richard Villa Richard Villa Treasurer