NPORT-P false 0000810893 XXXXXXXX S000009704 C000026632 C000026634 C000064152 C000200449 C000026636 C000026630 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO StocksPLUS Fund S000009704 C0FSZ71JI1IAVNM4U731 2024-03-31 2024-03-31 N 2967192610.450000 457386419.400000 2509806191.050000 0.000000 0.000000 510612.300000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 12889436.330000 GBP CAD DKK EUR BRL USD JPY N S&P 500 Index SPTR FREDDIE MAC-3891 N/A 3137ADTZ0 557243.310000 PA USD 552008.840000 0.0219941 Long ABS-MBS USGSE US N 2 2041-07-15 Floating 5.98312 N N N N N N TOYOTA AUTO RECEIVABLES 2023-C OWNER TRUST N/A 89231FAB6 4767209.690000 PA USD 4767888.060000 0.18997 Long ABS-O CORP US N 2 2026-08-17 Fixed 5.6 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828WU0 23765661.000000 PA USD 23795091.210000 0.948085 Long DBT UST US N 2 2024-07-15 Fixed 0.125 N N N N N N WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687106 10298.000000 NS USD 1260063.280000 0.0502056 Long EC CORP US N 1 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H32 N/A 38376RMP8 1229164.450000 PA USD 1224721.020000 0.0487974 Long ABS-MBS USGSE US N 2 2065-12-20 Floating 6.19443 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076102 10298.000000 NS USD 3950312.800000 0.157395 Long EC CORP US N 1 N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A N/A ACI1XGH29 1546616.590000 PA 1657967.080000 0.0660596 Long ABS-CBDO CORP IE N 2 2031-11-15 Floating 4.651 N N N N N N FNMA PASS THRU POOLS N/A 3140H5NN7 120336.230000 PA USD 109771.870000 0.0043737 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 31300MNY5 273358.990000 PA USD 280461.920000 0.0111746 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 5.985 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECF0 5100000.000000 PA USD 5112343.070000 0.203695 Long DBT CORP GB N 2 2027-05-09 Floating 5.829 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAF1 600000.000000 PA USD 582056.400000 0.0231913 Long DBT CORP US N 2 2025-03-20 Fixed 2.625 N N N N N N N/A N/A 000000000 1.000000 NC 48555.680000 0.0019346 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 52191000.000000 GBP 65931856.920000 USD 2024-05-02 48555.680000 N N N FHLMC PASS THRU POOLS N/A 3128M6N79 110941.020000 PA USD 114514.560000 0.0045627 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 6 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BT5 700000.000000 PA USD 622114.600000 0.0247874 Long DBT CORP US N 2 2028-03-09 Fixed 2.75 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A 92922F4M7 35024.950000 PA USD 33565.130000 0.0013374 Long ABS-MBS CORP US N 2 2045-10-25 Floating 6.02389 N N N N N N BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 06428CAD6 3700000.000000 PA USD 3719919.280000 0.148215 Long DBT CORP US N 2 2025-08-18 Floating 6.11271 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A86 400000.000000 PA USD 379786.360000 0.0151321 Long DBT CORP US N 2 2027-08-17 Fixed 4.125 N N N N N N MARINER FINANCE ISSUANCE TRUST 2021-A N/A 56848DAA7 7800000.000000 PA USD 7184580.780000 0.28626 Long ABS-O CORP US N 2 2036-03-20 Fixed 1.86 N N N N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 580135101 10298.000000 NS USD 2903521.100000 0.115687 Long EC CORP US N 1 N N N MFA LLC 2018-NPL1 N/A 55282YAA6 376037.290000 PA USD 372758.170000 0.0148521 Long ABS-MBS CORP US N 2 2060-03-25 Fixed 5.3633 N N N N N N LIBERTY LENDING ABS TRUST 2021-1A N/A 53934QAA0 149118.080000 PA USD 148713.060000 0.0059253 Long ABS-O CORP US N 2 2029-05-15 Fixed 1.07 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WE39 400000.000000 PA USD 397749.200000 0.0158478 Long DBT CORP US N 2 2024-05-03 None 0 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFN3 473054.170000 PA USD 441473.170000 0.0175899 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.93889 N N N N N N N/A N/A 000000000 1.000000 NC USD 5585.960000 0.0002226 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 VERIZON COMMUNICATIONS INC VERIZON COMMUNICATIONS SR UNSEC Y Single Leg Swap 2024-12-20 2892.620000 USD 0.000000 USD 1000000.000000 USD 2693.340000 N N N WASHINGTON MUTUAL 2002 AR2 N/A 929227LE4 92551.870000 PA USD 86577.300000 0.0034496 Long ABS-MBS CORP US N 2 2034-02-27 Floating 4.397 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC N/A 05377RHL1 4500000.000000 PA USD 4587971.400000 0.182802 Long ABS-O CORP US N 2 2028-08-21 Fixed 5.9 N N N N N N N/A N/A 000000000 1.000000 NC -458.570000 -0.0000183 N/A DFE CA N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 200000.000000 CAD 147200.540000 USD 2024-04-05 -458.570000 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339ME69 350000.000000 PA USD 347890.320000 0.0138612 Long DBT CORP US N 2 2024-05-06 None 0 N N N N N N INDEPENDENCE PLAZA TRUST 2018-INDP N/A 45378YAL8 3300000.000000 PA USD 3132979.740000 0.12483 Long ABS-MBS CORP US N 2 2035-07-10 Fixed 3.911 N N N N N N WALMART INC Y87794H0US1R65VBXU25 931142103 10298.000000 NS USD 619630.660000 0.0246884 Long EC CORP US N 1 N N N N/A N/A 000000000 130000000.000000 PA 95972832.310000 3.82391 Long RA CA N 2 Repurchase N 4.960000 2024-04-05 133504000.000000 CAD 131211736.320000 CAD N N N UMBS PASS THRU POOLS N/A 01F052656 21500000.000000 PA USD 21394959.600000 0.852455 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 5.5 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2019-SMP N/A 36259NAC5 1500000.000000 PA USD 1490166.750000 0.0593738 Long ABS-MBS CORP US N 2 2032-08-15 Floating 7.12023 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAD8 1300000.000000 PA USD 1299250.680000 0.051767 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.11 N N N N N N HERTZ VEHICLE FINANCING LLC 2022-1A N/A 42806MAJ8 2400000.000000 PA USD 2315392.320000 0.0922538 Long ABS-O CORP US N 2 2026-06-25 Fixed 1.99 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC1 N/A 17311BAS2 791142.530000 PA USD 433972.290000 0.0172911 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.76389 N N N N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 458140100 10298.000000 NS USD 454862.660000 0.0181234 Long EC CORP US N 1 N N N CREDIT SUISSE AG/NEW YORK BRANCH 549300D0YARF5HYP1809 22550UAF8 3100000.000000 PA USD 3114671.370000 0.1241 Long DBT CORP CH N 2 2025-02-21 Floating 6.59103 N N N N N N LEHMAN XS TRUST 2005-5N N/A 86359DUM7 2363098.150000 PA USD 2271427.900000 0.0905021 Long ABS-MBS CORP US N 2 2035-11-25 Floating 5.80389 N N N N N N N/A N/A 000000000 1.000000 NC 24689.300000 0.0009837 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6800000.000000 BRL 1368815.170000 USD 2024-07-02 24689.300000 N N N BGCLO 19A N/A 09075JAL3 1129716.990000 PA USD 1133318.720000 0.0451556 Long ABS-CBDO CORP KY N 2 2031-06-15 Floating 6.72088 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWQ3 400000.000000 PA USD 395227.730000 0.0157473 Long DBT CORP US N 2 2025-09-29 Floating 3.272 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AHL3 N/A 17312GAA9 329845.840000 PA USD 233824.850000 0.0093165 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.50389 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271JD46 1650000.000000 PA USD 1648259.480000 0.0656728 Long DBT CORP US N 2 2024-04-04 None 0 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WDH9 900000.000000 PA USD 897201.450000 0.0357478 Long DBT CORP US N 2 2024-04-17 None 0 N N N N N N HOME PARTNERS OF AMERICA TRUST 2021-2 N/A 43732VAT3 787668.180000 PA USD 715403.250000 0.0285043 Long ABS-MBS CORP US N 2 2026-12-17 Fixed 1.901 N N N N N N N/A N/A 000000000 1.000000 NC USD 15378555.960000 0.612739 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2025-01-22 0.000000 USD 0.000000 USD 144777152.910000 USD 15378555.960000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A45 400000.000000 PA USD 384975.340000 0.0153388 Long DBT CORP US N 2 2027-01-09 Fixed 4.271 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI2M2QV6 57700000.000000 PA 8157124.320000 0.32501 Long DBT CORP DK N 2 2025-04-01 Fixed 1 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAM2 7500000.000000 PA USD 7526267.930000 0.299874 Long DBT CORP US N 2 2026-08-10 Floating 5.798 N N N N N N BENEFIT STREET PARTNERS CLO IV LTD 2014-IVA N/A 08180FBU4 8900000.000000 PA USD 8898638.120000 0.354555 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 6.67121 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-2A N/A 30166DAB4 5900000.000000 PA USD 5901164.660000 0.235124 Long ABS-O CORP US N 2 2026-05-15 Fixed 5.7 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7JE4 6812.570000 PA USD 6777.080000 0.00027 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 5 N N N N N N TOWD POINT MORTGAGE TRUST 2022-4 N/A 89180YAA8 4617209.310000 PA USD 4303574.750000 0.17147 Long ABS-MBS CORP US N 2 2062-09-25 Variable 3.75 N N N N N N N/A N/A 000000000 1.000000 NC USD 556420.300000 0.0221699 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SR UNSEC Y Single Leg Swap 2028-06-20 413953.170000 USD 0.000000 USD 3440000.000000 USD 142467.130000 N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933Y105 10298.000000 NS USD 1358821.100000 0.0541405 Long EC CORP US N 1 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PDW0 1250000.000000 PA USD 1243332.400000 0.049539 Long DBT CORP US N 2 2024-04-30 None 0 N N N N N N GNMA PASS THRU POOLS N/A 36202KY33 7538.300000 PA USD 7407.250000 0.0002951 Long ABS-MBS USGSE US N 2 2026-03-20 Floating 3.625 N N N N N N GNMA PASS THRU POOLS N/A 36225CE69 10004.510000 PA USD 9794.140000 0.0003902 Long ABS-MBS USGSE US N 2 2028-01-20 Floating 3.625 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7DU4 3647.750000 PA USD 3619.210000 0.0001442 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 5 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AT6 700000.000000 PA USD 682544.950000 0.0271951 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641ZPR58 200000.000000 PA 147483.670000 0.0058763 Long DBT CORP CA N 2 2024-04-05 None 0 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-16 N/A 23242FAA4 6727161.760000 PA USD 6287756.340000 0.250528 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.72389 N N N N N N N/A N/A 000000000 1.000000 NC USD 6446391.450000 0.256848 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-16 610464.470000 USD 0.000000 USD 72100000.000000 USD 5835926.980000 N N N CREDIT BASED ASSET SRVC & SEC 2007-SP2 N/A 1248MHAG7 1888000.000000 PA USD 1792073.170000 0.0714029 Long ABS-MBS CORP US N 2 2046-03-25 Floating 7.01889 N N N N N N FNMA PASS THRU POOLS N/A 31406M6U5 53338.320000 PA USD 52912.880000 0.0021082 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.94 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-5 N/A 80286PAB7 1372434.860000 PA USD 1376138.510000 0.0548305 Long ABS-O CORP US N 2 2027-07-15 Fixed 6.31 N N N N N N 510 ASSET BACKED 2021-NPL1 TRUST N/A 33835CAA3 703986.900000 PA USD 687518.820000 0.0273933 Long ABS-MBS CORP US N 2 2061-06-25 Fixed 2.2395 N N N N N N UMBS PASS THRU POOLS N/A 01F062648 50900000.000000 PA USD 52008318.490000 2.0722 Long ABS-MBS USGSE US N 2 2054-04-11 Fixed 6.5 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1 N/A 36261WAA5 2215999.730000 PA USD 2027609.390000 0.0807875 Long ABS-MBS CORP US N 2 2060-12-25 Variable 1.75 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 124421.310000 PA USD 116461.340000 0.0046403 Long ABS-MBS CORP US N 2 2035-07-19 Floating 5.9408 N N N N N N N/A N/A 000000000 1.000000 NC -4253.020000 -0.0001695 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 5717422.960000 USD 39500000.000000 DKK 2024-04-02 -4253.020000 N N N N/A N/A 000000000 30000000.000000 PA 22147576.690000 0.882442 Long RA CA N 2 Repurchase N 4.980000 2024-04-02 29500000.000000 CAD 30207926.550000 CAD N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6C6 4100000.000000 PA USD 4119782.050000 0.164147 Long DBT CORP US N 2 2025-08-01 Floating 6.13749 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2019-SMP N/A 36259NAA9 8250000.000000 PA USD 8230972.200000 0.327952 Long ABS-MBS CORP US N 2 2032-08-15 Floating 6.77023 N N N N N N FREDDIE MAC 3439 N/A 31397TAL6 9002.560000 PA USD 8808.270000 0.000351 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 5.76312 N N N N N N TOWD POINT MORTGAGE TRUST 2019-4 N/A 89178BAA2 1749463.220000 PA USD 1637247.750000 0.065234 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.9 N N N N N N VENTURE XXVII CLO LTD 2017-27A N/A 92331LBC3 846437.990000 PA USD 847993.890000 0.0337872 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.62942 N N N N N N N/A N/A 000000000 1.000000 NC USD -1426030.690000 -0.0568184 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2024-07-21 8749.030000 USD 0.000000 USD 53900000.000000 USD -1434779.720000 N N N INTERNATIONAL BUSINESS MACHINES CORPORATION (IBM) VGRQXHF3J8VDLUA7XE92 459200101 10298.000000 NS USD 1966506.080000 0.0783529 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC -2753.360000 -0.0001097 N/A DFE CA N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1819000.000000 CAD 1340147.580000 USD 2024-04-02 -2753.360000 N N N CS FIRST BOSTON MTGE SEC CORP 2002-AR21 N/A 22540V4R0 498.460000 PA USD 386.970000 0.0000154 Long ABS-MBS CORP US N 3 2032-06-25 Floating 0.098 N N N N N N WELLFLEET CLO LTD 2015-1 N/A 949496BJ1 2015610.050000 PA USD 2015609.970000 0.0803094 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 6.46942 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2018-B N/A 78449LAC2 4108206.120000 PA USD 4090864.560000 0.162995 Long ABS-O CORP US N 2 2037-01-15 Floating 6.15981 N N N N N N PARK PLACE SEC INC 2005-WHQ2 N/A 70069FHX8 4326000.000000 PA USD 3923833.840000 0.15634 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.37389 N N N N N N GNMA PASS THRU POOLS N/A 36225FC72 679067.780000 PA USD 680627.000000 0.0271187 Long ABS-MBS USGSE US N 2 2041-04-20 Floating 3.875 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-3 N/A 80285XAB1 5041279.930000 PA USD 5047701.510000 0.201119 Long ABS-O CORP US N 2 2026-08-17 Fixed 6.08 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 3400000.000000 PA USD 3439270.000000 0.137033 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N N/A N/A 000000000 1.000000 NC 20482.950000 0.0008161 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3400000.000000 EUR 3688572.620000 USD 2024-04-02 20482.950000 N N N BEAR STEARNS ARM 2003-1 N/A 07384MTN2 7723.790000 PA USD 7411.270000 0.0002953 Long ABS-MBS CORP US N 3 2033-04-25 Floating 6.50003 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-1 N/A 80288AAB8 1000000.000000 PA USD 1000609.200000 0.039868 Long ABS-O CORP US N 2 2027-02-16 Fixed 5.71 N N N N N N FREDDIE MAC-3372 N/A 31397KQ61 36463.560000 PA USD 36251.410000 0.0014444 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 6.03312 N N N N N N GREENPOINT MTGE FUNDING TR 2005-AR5 N/A 39538WEA2 75165.260000 PA USD 65742.780000 0.0026194 Long ABS-MBS CORP US N 2 2045-11-25 Floating 5.98389 N N N N N N N/A N/A 000000000 1.000000 NC USD 5443220.240000 0.216878 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-07-06 0.000000 USD -7761.690000 USD 28000000.000000 USD 5450981.930000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2MBCX7 3150000000.000000 PA 20808644.470000 0.829094 Long DBT NUSS JP N 2 2024-04-08 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -2583.650000 -0.0001029 N/A DFE DK N 2 UBS AG BFM8T61CT2L1QCEMIK50 39500000.000000 DKK 5826640.200000 USD 2025-04-01 -2583.650000 N N N BPCE SA 9695005MSX1OYEMGDF46 05571AAT2 300000.000000 PA USD 300705.210000 0.0119812 Long DBT CORP FR N 2 2027-01-18 Fixed 5.203 N N N N N N BNPAM-2018-1A N/A ACI1W1J88 1150000.000000 PA 1235792.590000 0.0492386 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 4.542 N N N N N N FNMA PASS THRU POOLS N/A 31405PRS1 10200.740000 PA USD 10186.020000 0.0004058 Long ABS-MBS USGSE US N 2 2044-07-01 Floating 6.289 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-24 N/A 23243HAA9 1242142.940000 PA USD 1107512.900000 0.0441274 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.58389 N N N N N N N/A N/A 000000000 291900000.000000 PA USD 291900000.000000 11.6304 Long RA US N 2 Repurchase N 5.400000 2024-04-01 294795000.000000 USD 295127210.380000 USD UST N N N GLG EURO CLO III DAC A N/A ACI1VVSK6 126101.010000 PA 135981.450000 0.005418 Long ABS-CBDO CORP IE N 2 2030-10-15 Floating 4.622 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816109 10298.000000 NS USD 2344751.620000 0.0934236 Long EC CORP US N 1 N N N TIKEHAU CLO BV N/A ACI1ZJMY5 5500000.000000 PA 5920622.760000 0.2359 Long ABS-CBDO CORP IE N 2 2034-08-04 Floating 4.754 N N N N N N N/A N/A 000000000 1.000000 NC USD 814845.950000 0.0324665 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-22 0.000000 USD -12676.630000 USD 2200000.000000 USD 827522.580000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SF6 4000000.000000 PA USD 3119921.880000 0.124309 Long DBT UST US N 2 2049-02-15 Fixed 3 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBA0 1700000.000000 PA USD 1622813.520000 0.0646589 Long DBT CORP US N 2 2027-03-15 Fixed 3.755 N N N N N N INVESCO EURO CLO I DAC 1A N/A ACI1VT7W8 400000.000000 PA 426135.050000 0.0169788 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 4.592 N N N N N N UMBS PASS THRU POOLS N/A 01F052649 5000000.000000 PA USD 4975962.600000 0.198261 Long ABS-MBS USGSE US N 2 2054-04-11 Fixed 5.5 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UDR3 1600000.000000 PA USD 1593059.460000 0.0634734 Long DBT CORP CA N 2 2024-04-25 None 0 N N N N N N MIDOCEAN CREDIT CLO II 2013-2A N/A 59863KAS6 583737.510000 PA USD 583883.440000 0.0232641 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 6.6112 N N N N N N BACARDI-MARTINI BV 5493002XXBV8B88K2408 05634EDH2 850000.000000 PA USD 847261.900000 0.0337581 Long DBT CORP US N 2 2024-04-17 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 1204059.870000 0.0479742 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3370000000.000000 JPY 23513487.110000 USD 2024-04-15 1204059.870000 N N N CHEVRON CORPORATION N/A 166764100 10298.000000 NS USD 1624406.520000 0.0647224 Long EC CORP US N 1 N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UDH5 2500000.000000 PA USD 2492297.230000 0.0993024 Long DBT CORP CA N 2 2024-04-17 None 0 N N N N N N GSAMP TRUST 2004-WF N/A 36242DKL6 19475.250000 PA USD 18966.070000 0.0007557 Long ABS-MBS CORP US N 3 2034-10-25 Floating 7.09389 N N N N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 04273LD44 550000.000000 PA USD 549385.610000 0.0218896 Long DBT CORP US N 2 2024-04-04 None 0 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XD11 950000.000000 PA USD 949428.260000 0.0378287 Long DBT CORP US N 2 2024-04-01 None 0 N N N N N N FREDDIE MAC 3355 N/A 31397KC90 720223.390000 PA USD 718929.000000 0.0286448 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 6.13312 N N N N N N MORGAN STANLEY CAPITAL I INC 2021-230P N/A 61772WAG2 4225000.000000 PA USD 3945096.710000 0.157187 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.88871 N N N N N N N/A N/A 000000000 36800000.000000 PA USD 36800000.000000 1.46625 Long RA US N 2 Repurchase N 5.260000 2024-04-01 37465000.000000 USD 37532320.110000 USD UST N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JDJ5 2250000.000000 PA USD 2242775.990000 0.0893605 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N MF1 2021-FL6 LTD N/A 55283TAA6 958132.510000 PA USD 953916.730000 0.0380076 Long ABS-CBDO CORP KY N 2 2036-07-16 Floating 6.54115 N N N N N N FANNIE MAE-2005-75 N/A 31394FAF2 83665.120000 PA USD 82622.550000 0.003292 Long ABS-MBS USGSE US N 2 2035-09-25 Floating 5.83487 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GLV9 7900000.000000 PA USD 8007734.830000 0.319058 Long DBT CORP US N 2 2027-09-15 Floating 5.933 N N N N N N N/A N/A 000000000 1.000000 NC 3040.420000 0.0001211 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 1339860.520000 USD 1819000.000000 CAD 2024-04-02 3040.420000 N N N TOWD POINT ASSET TRUST 2021-SL1 N/A 89179XAL9 5639317.210000 PA USD 5581178.670000 0.222375 Long ABS-O CORP US N 2 2061-11-20 Floating 6.14323 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZW6 200000.000000 PA USD 194226.390000 0.0077387 Long DBT CORP US N 2 2026-08-01 Fixed 4.542 N N N N N N ACHV ABS TRUST 2024-1PL N/A 00092BAA2 2000000.000000 PA USD 2001013.000000 0.0797278 Long ABS-O CORP US N 2 2031-04-25 Fixed 5.9 N N N N N N ARGENT SECURITIES TRUST 2006-W5 N/A 04012XAA3 3797289.250000 PA USD 2441972.920000 0.0972973 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.74389 N N N N N N N/A N/A 000000000 1.000000 NC USD 683326.670000 0.0272263 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-17 0.000000 USD -276682.130000 USD 15200000.000000 USD 960008.800000 N N N N/A N/A 000000000 1.000000 NC USD 42912873.000000 1.70981 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2024-09-11 0.000000 USD 0.000000 USD 286964661.720000 USD 42912873.000000 N N N N/A N/A 000000000 1.000000 NC USD 2289493.830000 0.0912219 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 78838.010000 USD 0.000000 USD 27200000.000000 USD 2210655.820000 N N N FNMA PASS THRU POOLS N/A 3138E0KF5 624839.600000 PA USD 606957.200000 0.0241834 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B93 200000.000000 PA USD 176457.680000 0.0070307 Long DBT CORP US N 2 2029-02-10 Fixed 2.9 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYM0 500000.000000 PA USD 459733.300000 0.0183175 Long DBT CORP US N 2 2027-10-21 Floating 1.948 N N N N N N BSPRT-2021-FL6 N/A 05601HAA2 9784149.310000 PA USD 9725173.100000 0.387487 Long ABS-CBDO CORP KY N 2 2036-03-15 Floating 6.53981 N N N N N N N/A N/A 000000000 1.000000 NC 132286.790000 0.0052708 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 14500000.000000 CAD 10841645.140000 USD 2024-05-01 132286.790000 N N N N/A N/A 000000000 1.000000 NC USD -62235.230000 -0.0024797 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.40 Y Single Leg Swap 2028-12-20 0.000000 USD -124360.000000 USD 2600000.000000 USD 62124.770000 N N N AVON FINANCE 4A N/A ACI2JTXR2 8021234.300000 PA 10126200.990000 0.403465 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 6.09252 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625H100 10320.000000 NS USD 2067096.000000 0.0823608 Long EC CORP US N 1 N N N GLS AUTO SELECT RECEIVABLES TRUST 2024-1 N/A 37988XAB1 600000.000000 PA USD 598196.040000 0.0238344 Long ABS-O CORP US N 2 2030-03-15 Fixed 5.24 N N N N N N PAGAYA AI DEBT TRUST 2022-6 N/A 69546NAE5 3700000.000000 PA USD 3704039.330000 0.147583 Long ABS-O CORP US N 3 2030-05-15 Fixed 6.811 N N N N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579Y101 10320.000000 NS USD 1094642.400000 0.0436146 Long EC CORP US N 1 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-RLJ N/A 05492HAA4 5000000.000000 PA USD 4998755.000000 0.199169 Long ABS-MBS CORP US N 2 2036-04-15 Floating 6.42301 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAE2 6051396.470000 PA USD 6060817.280000 0.241485 Long ABS-O CORP US N 2 2026-10-15 Floating 5.98864 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL1 N/A 52475PAA9 64636.590000 PA USD 64685.960000 0.0025773 Long ABS-MBS CORP US N 2 2060-09-25 Variable 4.991 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74762EAG7 6243000.000000 PA USD 6092491.760000 0.242748 Long DBT CORP US N 2 2024-10-01 Fixed 0.95 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XDG8 300000.000000 PA USD 299139.410000 0.0119188 Long DBT CORP US N 2 2024-04-16 None 0 N N N N N N N/A N/A 000000000 171568110.000000 PA USD 171568110.000000 6.83591 Long RA US N 2 Repurchase N 5.320000 2026-03-14 252800000.000000 USD 172470552.510000 USD UST N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A 00774MAV7 2600000.000000 PA USD 2415426.050000 0.0962395 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2023-B N/A 44933XAD9 3200000.000000 PA USD 3222744.000000 0.128406 Long ABS-O CORP US N 2 2028-04-17 Fixed 5.48 N N N N N N ROGERS COMMUNICATIONS INC 54930030NVF3Y2OL0A78 77511LDB6 400000.000000 PA USD 399149.990000 0.0159036 Long DBT CORP CA N 2 2024-04-11 None 0 N N N N N N FANNIE MAE REMICS 2010-109 N/A 31398NRZ9 472820.200000 PA USD 443035.880000 0.0176522 Long ABS-MBS USGSE US N 2 2040-10-25 Fixed 3 N N N N N N STRUCTURED ASSET SEC CORP 2006-WF1 N/A 863576FL3 281239.760000 PA USD 274222.420000 0.010926 Long ABS-MBS CORP US N 3 2036-02-25 Floating 6.08889 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2024-1 N/A 17331QAB2 1900000.000000 PA USD 1898893.060000 0.075659 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.43 N N N N N N CHASE FUNDING MORTGAGE LOAN AS 2002-4 N/A 161546DQ6 48621.860000 PA USD 47798.700000 0.0019045 Long ABS-MBS CORP US N 2 2032-10-25 Floating 6.18389 N N N N N N FNMA PASS THRU POOLS N/A 31407YHH5 30517.620000 PA USD 30468.530000 0.001214 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 6.874 N N N N N N TOWD POINT MORTGAGE TRUST 2021-SJ2 N/A 89180LAA6 3796958.980000 PA USD 3590470.480000 0.143058 Long ABS-MBS CORP US N 2 2061-12-25 Variable 2.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 437961.010000 0.01745 N/A DE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 S&P 500 INDEX N/A N/A Y 2024-08-21 0.000000 USD 0.000000 USD 15840941.520000 USD 437961.010000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRJ7 521.530000 PA USD 519.560000 0.0000207 Long ABS-MBS USGSE US N 2 2066-02-20 Floating 6.21443 N N N N N N FREDDIE MAC 3368 N/A 31397KL82 432908.540000 PA USD 432545.810000 0.0172342 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 6.15312 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XD52 250000.000000 PA USD 249698.560000 0.0099489 Long DBT CORP US N 2 2024-04-05 None 0 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B28 600000.000000 PA USD 577520.080000 0.0230105 Long DBT CORP US N 2 2025-11-13 Fixed 3.375 N N N N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2DN7 1450000.000000 PA USD 1444434.960000 0.0575517 Long DBT CORP US N 2 2024-04-22 None 0 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PDJ9 350000.000000 PA USD 348819.920000 0.0138983 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339ME77 850000.000000 PA USD 844744.170000 0.0336577 Long DBT CORP US N 2 2024-05-07 None 0 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4 N/A 126670KK3 424011.840000 PA USD 364239.530000 0.0145127 Long ABS-MBS CORP US N 2 2036-03-25 Floating 5.98389 N N N N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAC4 5400000.000000 PA USD 5343257.880000 0.212895 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.79048 N N N N N N FANNIE MAE 2009-111 N/A 31398GRA9 26008.210000 PA USD 25950.780000 0.001034 Long ABS-MBS USGSE US N 2 2040-01-25 Floating 6.18487 N N N N N N STRUCTURED ASSET MTGE INV 1999-1 N/A 86358HGW3 38761.380000 PA USD 35654.690000 0.0014206 Long ABS-MBS CORP US N 3 2029-06-25 Floating 3.90506 N N N N N N GNMA PASS THRU POOLS N/A 36202KZ65 4818.800000 PA USD 4786.870000 0.0001907 Long ABS-MBS USGSE US N 2 2026-05-20 Floating 3.875 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XDC7 1000000.000000 PA USD 997736.670000 0.0397535 Long DBT CORP US N 2 2024-04-12 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -53227.350000 -0.0021208 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7898065.000000 USD 54159480.110000 DKK 2024-05-02 -53227.350000 N N N EXPEDIA GROUP INC N/A 30212PAS4 300000.000000 PA USD 301365.830000 0.0120075 Long DBT CORP US N 2 2025-05-01 Fixed 6.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 156721.570000 0.0062444 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-07-17 0.000000 USD 0.000000 USD 5663800.320000 USD 156721.570000 N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1 N/A 69363JAA2 4975325.350000 PA USD 4852981.600000 0.193361 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 3.721 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT3 N/A 83611MGU6 817611.110000 PA USD 801655.020000 0.0319409 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.14889 N N N N N N PROCTER & GAMBLE COMPANY 2572IBTT8CCZW6AU4141 742718109 10298.000000 NS USD 1670850.500000 0.0665729 Long EC CORP US N 1 N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 02665WEJ6 5400000.000000 PA USD 5378743.010000 0.214309 Long DBT CORP US N 2 2025-05-23 Fixed 5 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 2574P0ED2 1130000.000000 PA USD 1122023.480000 0.0447056 Long DBT CORP US N 2 2024-05-13 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31385HJE3 13811.470000 PA USD 13661.280000 0.0005443 Long ABS-MBS USGSE US N 2 2036-12-01 Floating 5.136 N N N N N N FREDDIE MAC 3404 N/A 31397PST8 179933.260000 PA USD 180774.990000 0.0072027 Long ABS-MBS USGSE US N 2 2038-01-15 Floating 6.28812 N N N N N N N/A N/A 000000000 1.000000 NC USD -203.790000 -0.0000081 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.35 Y Single Leg Swap 2026-06-20 0.000000 USD -2346.000000 USD 92000.000000 USD 2142.210000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBJ9 5000000.000000 PA USD 4375488.300000 0.174336 Long DBT UST US N 2 2028-01-31 Fixed 0.75 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EG26 800000.000000 PA USD 788384.000000 0.0314121 Long DBT CORP US N 2 2024-07-02 None 0 N N N N N N FANNIE MAE 2007-65 N/A 31396WLX2 39024.490000 PA USD 38432.120000 0.0015313 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.81487 N N N N N N VISA INC 549300JZ4OKEHW3DPJ59 92826C839 10298.000000 NS USD 2873965.840000 0.11451 Long EC CORP US N 1 N N N FREDDIE MAC 3360 N/A 31397KE23 345835.800000 PA USD 344867.490000 0.0137408 Long ABS-MBS USGSE US N 2 2037-08-15 Floating 6.10312 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPKII9 2300000.000000 PA USD 264500.000000 0.0105387 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 20772812.930000 0.827666 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2024-07-12 0.000000 USD 0.000000 USD 104411897.140000 USD 20772812.930000 N N N N/A N/A 000000000 1.000000 NC 62577.270000 0.0024933 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 14800000.000000 BRL 2988027.700000 USD 2024-07-02 62577.270000 N N N N/A N/A 000000000 1.000000 NC USD 131874.400000 0.0052544 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-15 0.000000 USD -2775.590000 USD 400000.000000 USD 134649.990000 N N N AVIS BUDGET RENTAL CAR FUNDING AESOP LL N/A 05377RDL5 300000.000000 PA USD 298243.500000 0.0118831 Long ABS-O CORP US N 2 2025-09-22 Fixed 3.35 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAD0 2700000.000000 PA USD 2701037.070000 0.107619 Long ABS-O CORP US N 2 2029-03-12 Fixed 5.38 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AD3 600000.000000 PA USD 560671.760000 0.0223392 Long DBT CORP JP N 2 2030-09-17 Fixed 4.81 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ACL9 5500000.000000 PA USD 5531978.210000 0.220415 Long DBT CORP US N 2 2025-08-04 Floating 6.48663 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526CK3 500000.000000 PA USD 421384.650000 0.0167895 Long DBT CORP DE Y 2 2032-05-28 Floating 3.035 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PB8 1698.600000 PA USD 1746.210000 0.0000696 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 6 N N N N N N LEHMAN MORTGAGE TRUST 2007-5 N/A 52521RBH3 629638.910000 PA USD 432101.600000 0.0172165 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.76389 N N N N N N COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2014-277P N/A 12592FAA3 2700000.000000 PA USD 2582647.740000 0.102902 Long ABS-MBS CORP US N 2 2049-08-10 Variable 3.6113 N N N N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAB8 897114.250000 PA USD 901810.060000 0.0359315 Long ABS-O CORP US N 2 2041-02-20 Fixed 6.64 N N N N N N N/A N/A 000000000 1.000000 NC USD 245963.230000 0.0098001 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.41 Y Single Leg Swap 2028-12-20 18242.330000 USD 0.000000 USD 3267000.000000 USD 227720.900000 N N N N/A N/A 000000000 1.000000 NC 1087.990000 0.0000433 N/A DFE CA N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 383000.000000 CAD 283842.830000 USD 2024-04-02 1087.990000 N N N MF1 2020-FL4 LTD N/A 58003UAC2 12000000.000000 PA USD 11942259.600000 0.475824 Long ABS-CBDO CORP US N 2 2035-11-15 Floating 7.53981 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNNH4 496445.210000 PA 510239.480000 0.0203298 Long ABS-CBDO CORP IE N 2 2031-01-15 Fixed 1.05 N N N N N N AMCOR FLEXIBLES NORTH AMERICA INC PTVU09TE3QPJPL7K4E13 02343BDA2 250000.000000 PA USD 249498.210000 0.0099409 Long DBT CORP US N 2 2024-04-10 None 0 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271JDN4 1400000.000000 PA USD 1394657.100000 0.0555683 Long DBT CORP US N 2 2024-04-22 None 0 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2022-A N/A 78450FAA5 4222988.430000 PA USD 3875090.200000 0.154398 Long ABS-O CORP US N 2 2054-11-16 Fixed 2.85 N N N N N N DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2006-AR2 N/A 251508AA5 2175551.180000 PA USD 1889257.560000 0.075275 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.68389 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MDQ6 450000.000000 PA USD 448130.930000 0.0178552 Long DBT CORP US N 2 2024-04-24 None 0 N N N N N N TOWD POINT MORTGAGE TRUST 2018-3 N/A 89175MAA1 4448366.060000 PA USD 4285820.540000 0.170763 Long ABS-MBS CORP US N 2 2058-05-25 Variable 3.75 N N N N N N CPS AUTO RECEIVABLES TRUST 2024-A N/A 22411CAA8 1948718.920000 PA USD 1948218.290000 0.0776243 Long ABS-O CORP US N 2 2027-09-15 Fixed 5.71 N N N N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PD91 650000.000000 PA USD 648755.380000 0.0258488 Long DBT CORP US N 2 2024-04-09 None 0 N N N N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251UD54 400000.000000 PA USD 399508.500000 0.0159179 Long DBT CORP US N 2 2024-04-05 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YL8 51561081.000000 PA USD 51244186.080000 2.04176 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N NAVIENT STUDENT LOAN TRUST 2019-BA N/A 63941LAC7 2787737.500000 PA USD 2784454.100000 0.110943 Long ABS-O CORP US N 2 2059-12-15 Floating 6.41981 N N N N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 7867858.090000 PA USD 7784280.980000 0.310155 Long ABS-MBS CORP KY N 2 2037-01-20 Floating 6.56864 N N N N N N N/A N/A 000000000 1.000000 NC 89016.850000 0.0035468 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 22613801.900000 BRL 4597889.900000 USD 2024-04-02 89016.850000 N N N PRIME MORTGAGE TRUST 2004-CL1 N/A 74160MDL3 13119.250000 PA USD 12252.180000 0.0004882 Long ABS-MBS CORP US N 2 2034-02-25 Floating 5.84389 N N N N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-18 N/A 863579XK9 254099.930000 PA USD 223027.850000 0.0088863 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.14528 N N N N N N BMO 2022-C1 MORTGAGE TRUST N/A 05609MCJ2 5737000.000000 PA USD 4965036.740000 0.197825 Long ABS-MBS CORP US N 2 2055-02-17 Variable 3.26866 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE3 N/A 617538AB9 4037433.040000 PA USD 2037396.510000 0.0811774 Long ABS-MBS CORP US N 2 2036-12-25 Floating 5.55389 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRY8 900000.000000 PA USD 866959.650000 0.0345429 Long DBT CORP US N 2 2028-02-01 Floating 3.782 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAL5 800000.000000 PA USD 697890.620000 0.0278066 Long DBT UST US N 2 2027-09-30 Fixed 0.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 131291.150000 0.0052311 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-05-15 0.000000 USD 0.000000 USD 4723520.970000 USD 131291.150000 N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BDF6 800000.000000 PA USD 797812.800000 0.0317878 Long DBT CORP US N 2 2024-04-15 None 0 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5 N/A 46654PAG1 8900000.000000 PA USD 8844062.610000 0.35238 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.95548 N N N N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A 78486DAA8 1962881.950000 PA USD 1949755.570000 0.0776855 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.49048 N N N N N N TOWD POINT MORTGAGE TRUST 2018-1 N/A 89176EAA8 101146.150000 PA USD 98558.110000 0.0039269 Long ABS-MBS CORP US N 2 2058-01-25 Variable 3 N N N N N N N/A N/A 000000000 1.000000 NC USD 1601434.380000 0.0638071 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-01-06 0.000000 USD -143045.020000 USD 11300000.000000 USD 1744479.400000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 800000.000000 PA USD 690490.030000 0.0275117 Long DBT CORP GB N 2 2031-06-04 Floating 2.848 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141G104 10298.000000 NS USD 4301371.620000 0.171383 Long EC CORP US N 1 N N N AUSTIN FAIRMONT HOTEL TRUST 2019-FAIR N/A 05223HAA0 3605000.000000 PA USD 3590054.750000 0.143041 Long ABS-MBS CORP US N 2 2032-09-15 Floating 6.423 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2A0 100000.000000 PA USD 95102.060000 0.0037892 Long DBT CORP US N 2 2028-05-22 Floating 3.584 N N N N N N LAD AUTO RECEIVABLES TRUST 2023-2A N/A 505713AB3 2700420.650000 PA USD 2703441.880000 0.107715 Long ABS-O CORP US N 2 2027-06-15 Fixed 5.93 N N N N N N AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 03065UAB5 9903743.730000 PA USD 9937065.870000 0.39593 Long ABS-O CORP US N 2 2027-04-19 Fixed 6.19 N N N N N N N/A N/A 000000000 -71.000000 NC USD -79381.900000 -0.0031629 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-06-18 -8130054.650000 USD -79381.900000 N N N N/A N/A 000000000 1.000000 NC USD 36015.600000 0.001435 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-06-20 15299.190000 USD 0.000000 USD 2000000.000000 USD 20716.410000 N N N N/A N/A 000000000 1.000000 NC USD -19508.460000 -0.0007773 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.36 Y Single Leg Swap 2026-12-20 0.000000 USD -138699.200000 USD 3772000.000000 USD 119190.740000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 4815979.200000 PA USD 3778033.780000 0.150531 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2022-5A N/A 05377RFV1 10800000.000000 PA USD 10946502.000000 0.436149 Long ABS-O CORP US N 2 2027-04-20 Fixed 6.12 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBA3 2356000.000000 PA USD 2300712.810000 0.0916689 Long DBT CORP US N 2 2027-01-29 Floating 3.96 N N N N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-1 N/A 107933AC7 500000.000000 PA USD 499306.800000 0.0198942 Long ABS-O CORP US N 2 2028-01-18 Fixed 5.53 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2H5 400000.000000 PA USD 392434.940000 0.0156361 Long DBT CORP US N 2 2025-10-30 Floating 2.406 N N N N N N HILTON ORLANDO TRUST 2018-ORL N/A 432885AG6 900000.000000 PA USD 899660.340000 0.0358458 Long ABS-MBS CORP US N 2 2034-12-15 Floating 6.67233 N N N N N N GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3 N/A 36267KAD9 3100000.000000 PA USD 3115543.710000 0.124135 Long ABS-O CORP US N 2 2028-06-16 Fixed 5.45 N N N N N N DT AUTO OWNER TRUST 2023-3A N/A 23345WAA3 6714187.490000 PA USD 6734881.960000 0.268343 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.29 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A 30227FAA8 7862599.350000 PA USD 7865181.430000 0.313378 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.51948 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-9 N/A 12670FAA8 317645.870000 PA USD 271426.930000 0.0108147 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.64389 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2023-C N/A 83207DAB4 1171310.510000 PA USD 1182537.520000 0.0471167 Long ABS-O CORP US N 2 2052-11-15 Floating 6.86864 N N N N N N FANNIE MAE 2007-63 N/A 31396WTU0 20402.480000 PA USD 20072.410000 0.0007998 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 5.78487 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 8911Z1RT8 800000.000000 PA 588174.670000 0.0234351 Long DBT CORP CA N 2 2024-04-26 None 0 N N N N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JX7 724384.230000 PA USD 402603.990000 0.0160412 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N SREIT TRUST 2021-IND N/A 78473JAG7 9000000.000000 PA USD 8904766.500000 0.354799 Long ABS-MBS CORP US N 2 2038-10-15 Floating 6.53648 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2NGK99 3770000000.000000 PA 24908049.810000 0.992429 Long DBT NUSS JP N 2 2024-07-01 None 0 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 1294963.950000 PA USD 1294057.240000 0.05156 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 6.53019 N N N N N N VIBRANT CLO VI LTD 2017-6A N/A 92558EAJ1 9560.230000 PA USD 9568.340000 0.0003812 Long ABS-CBDO CORP KY N 2 2029-06-20 Floating 6.54412 N N N N N N AMERICAN EXPRESS COMPANY R4PP93JZOLY261QX3811 025816DP1 1100000.000000 PA USD 1098681.330000 0.0437755 Long DBT CORP US N 2 2028-02-16 Floating 5.098 N N N N N N N/A N/A 000000000 1.000000 NC USD 1053400.920000 0.0419714 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-06-20 0.000000 USD -1238005.510000 USD 361100000.000000 USD 2291406.430000 N N N N/A N/A 000000000 1.000000 NC USD 313254.750000 0.0124812 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-16 0.000000 USD -1404.010000 USD 800000.000000 USD 314658.760000 N N N FREDDIE MAC REMICS 3376 N/A 31397KZG9 115382.510000 PA USD 115235.050000 0.0045914 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 6.14312 N N N N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAA0 5480000.000000 PA USD 5421157.400000 0.215999 Long ABS-MBS CORP US N 2 2038-11-15 Floating 6.565 N N N N N N AMERIQUEST MTGE SECURITIES INC 2004-R12 N/A 03072SXE0 507833.190000 PA USD 494046.230000 0.0196846 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.35889 N N N N N N FNMA PASS THRU POOLS N/A 31418CSG0 6231526.510000 PA USD 5845197.230000 0.232894 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 3 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XD37 550000.000000 PA USD 549502.970000 0.0218942 Long DBT CORP US N 2 2024-04-03 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31418CS47 893823.230000 PA USD 815353.060000 0.0324867 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140H5LR0 41682.260000 PA USD 38022.820000 0.001515 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAB5 4090539.330000 PA USD 4098757.220000 0.16331 Long ABS-O CORP US N 2 2026-07-15 Fixed 6.13 N N N N N N FANNIE MAE 2007-14 N/A 31396PZU8 6799.100000 PA USD 6662.180000 0.0002654 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 5.78487 N N N N N N N/A N/A 000000000 1.000000 NC USD 6251.100000 0.0002491 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 3483.550000 USD 0.000000 USD 300000.000000 USD 2767.550000 N N N ENEL FINANCE INTERNATIONAL NV 0YQH6LCEF474UTUV4B96 29278GAM0 800000.000000 PA USD 732095.570000 0.0291694 Long DBT CORP NL N 2 2026-07-12 Fixed 1.375 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833100 10298.000000 NS USD 1765901.040000 0.0703601 Long EC CORP US N 1 N N N SALESFORCE INC RCGZFPDMRW58VJ54VR07 79466L302 10298.000000 NS USD 3101551.640000 0.123577 Long EC CORP US N 1 N N N TRAVELERS COMPANIES INC 549300Y650407RU8B149 89417E109 10298.000000 NS USD 2369981.720000 0.0944289 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 570753.280000 0.0227409 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 S&P 500 INDEX N/A N/A Y 2024-07-10 0.000000 USD 0.000000 USD 20597648.820000 USD 570753.280000 N N N N/A N/A 000000000 1.000000 NC 6126.980000 0.0002441 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 1700000.000000 CAD 1261302.570000 USD 2024-04-09 6126.980000 N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-B N/A 78449YAA8 2407229.260000 PA USD 2184476.060000 0.0870376 Long ABS-O CORP US N 2 2051-07-17 Fixed 1.31 N N N N N N N/A N/A 000000000 1.000000 NC USD 346430.810000 0.0138031 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2024-08-07 0.000000 USD 0.000000 USD 12544432.740000 USD 346430.810000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PDG5 1000000.000000 PA USD 996953.670000 0.0397223 Long DBT CORP US N 2 2024-04-16 None 0 N N N N N N HERA COMMERCIAL MORTGAGE 2021-FL1 N/A 42704RAA9 1632861.800000 PA USD 1610807.490000 0.0641806 Long ABS-CBDO CORP KY N 2 2038-02-18 Floating 6.49115 N N N N N N CHASE AUTO OWNER TRUST 2024-1A N/A 16144BAB4 6900000.000000 PA USD 6906078.900000 0.275164 Long ABS-O CORP US N 2 2027-04-26 Fixed 5.48 N N N N N N FANNIE MAE REMICS 2018-27 N/A 3136B1M35 421991.080000 PA USD 408708.870000 0.0162845 Long ABS-MBS USGSE US N 2 2058-05-25 Floating 5.79815 N N N N N N ARES LII CLO LTD 2019-52A N/A 04009AAL4 1750000.000000 PA USD 1753807.110000 0.0698782 Long ABS-CBDO CORP KY N 2 2031-04-22 Floating 6.62942 N N N N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAC2 5855264.130000 PA USD 5880024.870000 0.234282 Long ABS-O CORP US N 2 2027-08-16 Fixed 6.27 N N N N N N N/A N/A 000000000 1.000000 NC USD 2883607.910000 0.114894 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.42 Y Single Leg Swap 2029-06-20 2814576.590000 USD 0.000000 USD 125800000.000000 USD 69031.320000 N N N N/A N/A 000000000 1.000000 NC 2672.570000 0.0001065 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 44800000.000000 DKK 6614045.440000 USD 2025-04-01 2672.570000 N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2 N/A 52607QAA8 2126219.210000 PA USD 2075749.570000 0.0827056 Long ABS-O CORP US N 2 2028-04-15 Fixed 3.25 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2022-1 N/A 69546MAA5 1567010.790000 PA USD 1551842.280000 0.0618312 Long ABS-O CORP US N 2 2029-10-15 Fixed 2.03 N N N N N N BANK OF AMERICA AUTO TRUST 2023-1A N/A 06428AAB4 6467718.030000 PA USD 6474633.310000 0.257973 Long ABS-O CORP US N 2 2026-05-15 Fixed 5.83 N N N N N N N/A N/A 000000000 -2.000000 NC -6842.270000 -0.0002726 N/A DIR GB N 1 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2024-06-26 -252278.500000 GBP -6842.270000 N N N OPORTUN ISSUANCE TRUST 2024-1A N/A 68377JAA8 5513156.080000 PA USD 5515731.830000 0.219767 Long ABS-O CORP US N 2 2031-04-08 Fixed 6.334 N N N N N N ALLY AUTO RECEIVABLES TRUST 2023-1 N/A 02007WAC2 3200000.000000 PA USD 3218855.040000 0.128251 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.46 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 8424C0DB3 1100000.000000 PA USD 1097591.130000 0.0437321 Long DBT CORP US N 2 2024-04-11 None 0 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WDJ5 300000.000000 PA USD 299020.800000 0.0119141 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02 N/A 38376RPV2 2436809.460000 PA USD 2438862.230000 0.0971733 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 6.44443 N N N N N N MOUNTAIN VIEW CLO LLC 2017-2A N/A 62432LAL5 18992740.820000 PA USD 19028023.250000 0.758147 Long ABS-CBDO CORP KY N 2 2031-01-16 Floating 6.6156 N N N N N N FANNIE MAE 2009-99 N/A 31398F4R9 46681.410000 PA USD 46852.530000 0.0018668 Long ABS-MBS USGSE US N 2 2039-12-25 Floating 6.25487 N N N N N N N/A N/A 000000000 -310.000000 NC USD -1470498.450000 -0.0585901 N/A DE US N 1 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A DOW JONES INDUSTRIAL AVERAGE 2024-06-21 -62272800.000000 USD -1470498.450000 N N N BANK OF AMERICA CREDIT CARD TRUST 2023-A2 N/A 05522RDH8 11000000.000000 PA USD 11035412.300000 0.439692 Long ABS-MBS CORP US N 2 2028-11-15 Fixed 4.98 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BDB5 250000.000000 PA USD 249469.930000 0.0099398 Long DBT CORP US N 2 2024-04-11 None 0 N N N N N N DRIVE AUTO RECEIVABLES TRUST 2024-1 N/A 26208WAB0 7900000.000000 PA USD 7906407.690000 0.315021 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.83 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-1A N/A 30167PAB6 3400000.000000 PA USD 3398253.420000 0.135399 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.53 N N N N N N FNMA PASS THRU POOLS N/A 31384UJH8 1441.710000 PA USD 1432.520000 0.0000571 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 8 N N N N N N TOYOTA MOTOR CREDIT CORPORATION Z2VZBHUMB7PWWJ63I008 89236TKY0 5500000.000000 PA USD 5507773.480000 0.21945 Long DBT CORP US N 2 2024-08-22 Floating 5.86 N N N N N N N/A N/A 000000000 -19.000000 NC -39886.800000 -0.0015892 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A GERMANY GOVT 2024-06-06 -2734043.000000 EUR -39886.800000 N N N FNMA PASS THRU POOLS N/A 31403VDD8 38899.270000 PA USD 38824.260000 0.0015469 Long ABS-MBS USGSE US N 2 2033-12-01 Floating 6.067 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397C35 400000.000000 PA USD 419704.960000 0.0167226 Long DBT CORP US N 2 2027-11-04 Fixed 7.35 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UDG7 900000.000000 PA USD 897367.550000 0.0357545 Long DBT CORP CA N 2 2024-04-16 None 0 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI1K2ZL2 1000000.000000 PA 1071246.170000 0.0426824 Long DBT CORP US N 2 2024-07-19 Fixed 1.744 N N N N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAC1 328118.900000 PA USD 292609.020000 0.0116586 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.38 N N N N N N HONEYWELL INTERNATIONAL INC ISRPG12PN4EIEOEMW547 438516106 10298.000000 NS USD 2113664.500000 0.0842162 Long EC CORP US N 1 N N N ARES L CLO LTD 2018-50A N/A 04018LAJ4 700000.000000 PA USD 700210.000000 0.027899 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 6.6256 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AD9 4500000.000000 PA USD 4503276.000000 0.179427 Long ABS-O CORP US N 2 2029-02-15 Fixed 4.99 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI2MSWK6 67500000.000000 PA 9544125.200000 0.380273 Long DBT CORP DK N 2 2025-04-01 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 780846.000000 PA USD 625941.400000 0.0249398 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N GNMA PASS THRU POOLS N/A 36202KM77 40.920000 PA USD 40.780000 0.0000016 Long ABS-MBS USGSE US N 2 2024-08-20 Floating 3.625 N N N N N N PALMER SQUARE LOAN FUNDING 2021-3 N/A 69702BAC5 14900000.000000 PA USD 14899357.660000 0.593646 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 6.97942 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 500000.000000 PA USD 490668.800000 0.0195501 Long DBT CORP KY N 2 2028-08-08 Variable 5.4 N N N N N N LONG BEACH MORTGAGE LOAD TR 2006-1 N/A 542514RH9 689559.320000 PA USD 670742.280000 0.0267249 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.88389 N N N N N N N/A N/A 000000000 108.000000 NC USD 180401.580000 0.0071879 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-18 12988687.500000 USD 180401.580000 N N N READY CAPITAL MORTGAGE FINANCING 2021-FL6 LLC N/A 75575TAA1 2548016.240000 PA USD 2533743.780000 0.100954 Long ABS-MBS CORP US N 2 2036-07-25 Floating 6.39389 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 ACI1WKQ05 1600000.000000 PA 1864964.620000 0.0743071 Long DBT CORP GB N 2 2027-07-24 Floating 1.75 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7JU8 2176.930000 PA USD 2164.970000 0.0000863 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A 36225CER3 7512.430000 PA USD 7404.770000 0.000295 Long ABS-MBS USGSE US N 2 2027-12-20 Floating 3.75 N N N N N N GSR MORTGAGE LOAN TRUST 2004-2F N/A 36229RLL1 3437.710000 PA USD 3288.410000 0.000131 Long ABS-MBS CORP US N 3 2034-01-25 Floating 5.79389 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BDA7 350000.000000 PA USD 349311.400000 0.0139179 Long DBT CORP US N 2 2024-04-10 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31361ULM1 142.720000 PA USD 140.500000 0.0000056 Long ABS-MBS USGSE US N 2 2027-02-01 Floating 4.866 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-14 N/A 126670LS5 8900000.000000 PA USD 8424424.050000 0.33566 Long ABS-MBS CORP US N 2 2036-04-25 Floating 6.53889 N N N N N N FREDDIE MAC 3360 N/A 31397KE31 398377.670000 PA USD 398067.250000 0.0158605 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 6.15312 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-NUGS N/A 61692AAA0 1800000.000000 PA USD 1454489.100000 0.0579522 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.39048 N N N N N N NATIONAL GRID NORTH AMERICA INC (AKA: NATIONAL GRID HOLDINGS INC) 5Q3U0WRKWZZGRMPYFT08 63627ADJ4 450000.000000 PA USD 448555.200000 0.0178721 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N N/A N/A 000000000 210.000000 NC USD 56324.520000 0.0022442 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-28 22462617.240000 USD 56324.520000 N N N GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2023-1A N/A 36252MCQ1 2002613.840000 PA 1489495.510000 0.059347 Long ABS-O CORP CA N 2 2025-04-21 Fixed 5.458 N N N N N N WORLD OMNI AUTO RECEIVABLES TRUST 2023-C N/A 98164FAB8 1597879.710000 PA USD 1598605.790000 0.0636944 Long ABS-O CORP US N 2 2026-12-15 Fixed 5.57 N N N N N N FANNIE MAE 2003-25 N/A 31393APU5 81203.230000 PA USD 79369.130000 0.0031624 Long ABS-MBS USGSE US N 2 2033-04-25 Fixed 5 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855AD27 2200000.000000 PA USD 2198334.070000 0.0875898 Long DBT CORP US N 2 2024-04-02 None 0 N N N N N N FREDDIE MAC REMICS 4638 N/A 3137BTH38 234295.120000 PA USD 232017.160000 0.0092444 Long ABS-MBS USGSE US N 2 2040-07-15 Floating 5.86327 N N N N N N LEGACY MORTGAGE ASSET TRUST 2020-RPL1 N/A 52474HAA8 1798018.000000 PA USD 1688549.810000 0.0672781 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3 N N N N N N CATAMARAN CLO LTD 2014-1A N/A 14889DAJ7 1745371.140000 PA USD 1749564.410000 0.0697091 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 6.67942 N N N N N N FIFTH THIRD AUTO TRUST 2023-1 N/A 31680EAB7 2888094.320000 PA USD 2890687.830000 0.115176 Long ABS-O CORP US N 2 2026-11-16 Fixed 5.8 N N N N N N NELNET STUDENT LOAN TRUST 2017-3A N/A 64032KAA1 989289.980000 PA USD 982000.590000 0.0391266 Long ABS-O CORP US N 2 2066-02-25 Floating 6.28487 N N N N N N FNMA PASS THRU POOLS N/A 31418CU77 6842665.190000 PA USD 6241937.960000 0.248702 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FHLMC PASS THRU POOLS N/A 31292HYL2 2905.040000 PA USD 3007.010000 0.0001198 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -47933.820000 -0.0019099 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 65920792.430000 USD 52191000.000000 GBP 2024-04-02 -47933.820000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAN0 1500000.000000 PA USD 1506555.480000 0.0600268 Long DBT CORP US N 2 2026-08-10 Floating 6.39887 N N N N N N GSAMP TRUST 2005-HE5 N/A 362341ZE2 346000.000000 PA USD 327651.450000 0.0130549 Long ABS-MBS CORP US N 2 2035-11-25 Floating 6.34389 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641ZPR90 1700000.000000 PA 1252908.350000 0.0499205 Long DBT CORP CA N 2 2024-04-09 None 0 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG006 400000.000000 PA USD 46000.000000 0.0018328 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 343923.360000 0.0137032 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL MOTORS COMPANY GENERAL MOTORS CO SRUNSEC Y Single Leg Swap 2026-12-20 525878.060000 USD 0.000000 USD 2920000.000000 USD -181954.700000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JC8 3700000.000000 PA USD 3716436.810000 0.148077 Long DBT CORP US N 2 2029-06-01 Fixed 5.15 N N N N N N N/A N/A 000000000 1.000000 NC USD 1121180.830000 0.044672 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2025-12-20 6120.550000 USD 0.000000 USD 108700000.000000 USD 1115060.280000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JA2 2100000.000000 PA USD 2094514.070000 0.0834532 Long DBT CORP US N 2 2027-02-01 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC 20171.420000 0.0008037 N/A DFE DK N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 122075000.000000 DKK 17702367.680000 USD 2024-05-02 20171.420000 N N N M&T BANK AUTO RECEIVABLES TRUST 2024-1A N/A 55286TAA3 3800000.000000 PA USD 3801211.820000 0.151454 Long ABS-O CORP US N 2 2025-03-17 Fixed 5.643 N N N N N N IMPAC CMB TR 2005-4 N/A 45254NPA9 4039130.720000 PA USD 3691414.480000 0.14708 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.98389 N N N N N N N/A N/A 000000000 20000000.000000 PA 14765051.120000 0.588295 Long RA CA N 2 Repurchase N 4.980000 2024-04-04 22889000.000000 CAD 20342127.470000 CAD N N N AMERICAN HONDA FINANCE CORPORATION B6Q2VFHD1797Q7NZ3E43 02665WFA4 5000000.000000 PA USD 5009455.350000 0.199595 Long DBT CORP US N 2 2025-02-12 Floating 5.88352 N N N N N N HERTZ VEHICLE FINANCING III LLC 2021-1A N/A 42806MAA7 9600000.000000 PA USD 9375151.680000 0.373541 Long ABS-O CORP US N 2 2025-12-26 Fixed 1.21 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849CJL6 3200000.000000 PA USD 3206065.980000 0.127742 Long DBT CORP US N 2 2024-06-28 Floating 6.48968 N N N N N N GNMA PASS THRU POOLS N/A 36202K5J0 607.420000 PA USD 600.760000 0.0000239 Long ABS-MBS USGSE US N 2 2026-08-20 Floating 3.625 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641ZPSA6 14500000.000000 PA 10653493.780000 0.424475 Long DBT CORP CA N 2 2024-05-01 None 0 N N N N N N LONG BEACH MTGE LOAN TRUST 2004-4 N/A 542514HN7 49476.290000 PA USD 47519.540000 0.0018934 Long ABS-MBS CORP US N 2 2034-10-25 Floating 6.00389 N N N N N N N/A N/A 000000000 1.000000 NC -1490.680000 -0.0000594 N/A DFE MX N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1648389.080000 MXN 97012.570000 USD 2024-05-14 -1490.680000 N N N CITIGROUP MTGE LOAN TR INC 2007-WFH4 N/A 17313JAF1 20202.420000 PA USD 19689.610000 0.0007845 Long ABS-MBS CORP US N 3 2037-07-25 Floating 7.91889 N N N N N N PRET 2021-NPL6 LLC N/A 69362GAA9 4309762.530000 PA USD 4214360.760000 0.167916 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 2.4871 N N N N N N TRILLIUM CREDIT CARD TRUST II 2023-3A N/A 89621ABT5 10800000.000000 PA USD 10848290.040000 0.432236 Long ABS-MBS CORP CA N 2 2028-08-26 Floating 6.17571 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BDH2 400000.000000 PA USD 398783.110000 0.015889 Long DBT CORP US N 2 2024-04-17 None 0 N N N N N N TRINITY SQUARE 2021-1 PLC A N/A ACI1WK7V8 5551932.900000 PA 7012130.230000 0.279389 Long ABS-MBS CORP GB N 2 2059-07-15 Floating 6.06879 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAG9 500000.000000 PA USD 462271.000000 0.0184186 Long DBT CORP US N 2 2028-03-20 Fixed 3.375 N N N N N N FREDDIE MAC 3597 N/A 31398L5U8 13858.990000 PA USD 13889.540000 0.0005534 Long ABS-MBS USGSE US N 2 2039-11-15 Floating 6.28312 N N N N N N N/A N/A 000000000 1.000000 NC USD 3941220.070000 0.157033 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2051-06-16 1586003.510000 USD 0.000000 USD 8700000.000000 USD 2355216.560000 N N N N/A N/A 000000000 1.000000 NC -8471.060000 -0.0003375 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2532770.600000 USD 2000000.000000 GBP 2024-04-02 -8471.060000 N N N N/A N/A 000000000 1.000000 NC USD 52702284.210000 2.09985 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2024-06-12 0.000000 USD 0.000000 USD 228520327.390000 USD 52702284.210000 N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 812456.000000 PA 872126.730000 0.0347488 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.722 N N N N N N N/A N/A 000000000 1.000000 NC 46130.220000 0.001838 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 50020219.180000 CAD 36975297.310000 USD 2024-04-04 46130.220000 N N N OZLM XIV LTD 2015-14A N/A 67110HBN7 9375000.000000 PA USD 9389288.810000 0.374104 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 6.8256 N N N N N N UMBS PASS THRU POOLS N/A 01F060659 23300000.000000 PA USD 23509391.740000 0.936701 Long ABS-MBS USGSE US N 2 2054-05-15 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 356371.970000 0.0141992 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-03-20 0.000000 USD -19651.990000 USD 1100000.000000 USD 376023.960000 N N N GSAA HOME EQUITY TRUST 2005-15 N/A 362341D71 751676.240000 PA USD 249366.340000 0.0099357 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.94389 N N N N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2EF3 850000.000000 PA USD 843683.930000 0.0336155 Long DBT CORP US N 2 2024-05-15 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 133430.900000 0.0053164 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 39120748.000000 EUR 42387878.150000 USD 2024-05-02 133430.900000 N N N NEW YORK MORTGAGE TRUST 2021-SP1 N/A 62955RAA3 9200281.090000 PA USD 8820397.800000 0.351437 Long ABS-MBS CORP US N 2 2051-08-25 Fixed 1.6696 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCK0 500000.000000 PA USD 494218.890000 0.0196915 Long DBT CORP US N 2 2025-06-23 Floating 0.969 N N N N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JDR7 1050000.000000 PA USD 1045472.670000 0.0416555 Long DBT CORP US N 2 2024-04-25 None 0 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAA4 18672339.830000 PA USD 18517863.560000 0.73782 Long ABS-MBS CORP US N 2 2035-04-15 Floating 6.398 N N N N N N THL CREDIT WIND RIVER 2019-3 CLO LTD N/A 97314JAC9 10800000.000000 PA USD 10827931.720000 0.431425 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 7.2256 N N N N N N JP MORGAN MORTGAGE ACQI CORP 2006-CH1 N/A 46629TAL4 2200000.000000 PA USD 1997579.320000 0.079591 Long ABS-MBS CORP US N 2 2036-07-25 Floating 6.10389 N N N N N N AQUEDUCT EUROPEAN CLO 1-2017 DAC N/A ACI1VHTC4 430763.240000 PA 465297.240000 0.0185392 Long ABS-CBDO CORP IE N 2 2030-07-20 Floating 4.61 N N N N N N DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 ACI1QTHL7 2400000.000000 PA 2495918.390000 0.0994467 Long DBT CORP DE N 2 2026-09-03 Floating 1.375 N N N N N N ARGENT SECURITIES INC 2004-W9 N/A 040104LB5 633823.140000 PA USD 643233.130000 0.0256288 Long ABS-MBS CORP US N 2 2034-06-26 Floating 6.31389 N N N N N N N/A N/A 000000000 1.000000 NC USD 1023928.030000 0.0407971 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 724755.920000 USD 0.000000 USD 5800000.000000 USD 299172.110000 N N N FREDDIE MAC 3609 N/A 31398LN38 47896.530000 PA USD 47964.910000 0.0019111 Long ABS-MBS USGSE US N 2 2036-08-15 Floating 6.18312 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 84262LDP2 1100000.000000 PA USD 1095604.870000 0.043653 Long DBT CORP US N 2 2024-04-23 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -12239.660000 -0.0004877 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1587693.540000 USD 2134000.000000 CAD 2024-04-02 -12239.660000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 4894621.000000 PA USD 4773833.650000 0.190207 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 2693021.040000 PA USD 26195015.610000 1.04371 Long STIV RF US N 1 N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC3 N/A 021464AA0 1401151.630000 PA USD 1250659.400000 0.0498309 Long ABS-MBS CORP US N 2 2046-04-25 Floating 5.80389 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016HZT0 4900000.000000 PA USD 4890920.150000 0.194872 Long DBT CORP CA N 2 2027-01-19 Fixed 4.875 N N N N N N N/A N/A 000000000 1.000000 NC USD 456.320000 0.0000182 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2031-06-20 0.000000 USD -652.000000 USD 100000.000000 USD 1108.320000 N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 12665JD14 4000000.000000 PA USD 3997604.120000 0.159279 Long DBT CORP US N 2 2024-04-01 None 0 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26244HE74 1350000.000000 PA USD 1341652.500000 0.0534564 Long DBT CORP US N 2 2024-05-07 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 479806.860000 0.0191173 N/A DFE JP N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 2739773000.000000 JPY 18791606.450000 USD 2024-06-17 479806.860000 N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 685163.700000 PA 732666.040000 0.0291921 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 4.642 N N N N N N PRESTIGE AUTO RECEIVABLES TRUST 2024-1A N/A 74113QAA9 4675000.000000 PA USD 4676682.070000 0.186336 Long ABS-O CORP US N 2 2025-04-15 Fixed 5.648 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2023-3 N/A 301989AC3 1300000.000000 PA USD 1300878.540000 0.0518318 Long ABS-O CORP US N 2 2026-07-15 Fixed 6.04 N N N N N N TTAN 2021-MHC N/A 87303TAA5 2266822.650000 PA USD 2264677.100000 0.0902331 Long ABS-MBS CORP US N 2 2038-03-15 Floating 6.29048 N N N N N N N/A N/A 000000000 1.000000 NC USD 152082.310000 0.0060595 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-06-20 0.000000 USD -240022.100000 USD 10700000.000000 USD 392104.410000 N N N AAMES MORTGAGE INVESTMENT TRUST 2005-4 N/A 00252FCW9 2200000.000000 PA USD 2074574.040000 0.0826587 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.35889 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BC1 1400000.000000 PA USD 1430644.680000 0.0570022 Long DBT CORP CH N 2 2027-12-22 Floating 6.327 N N N N N N N/A N/A 000000000 871000.000000 PA USD 871000.000000 0.0347039 Long RA US N 2 Repurchase N 2.600000 2024-04-01 864300.000000 USD 888456.790000 USD UST N N N N/A N/A 000000000 1.000000 NC -308369.490000 -0.0122866 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 130141326.030000 CAD 95774390.710000 USD 2024-04-05 -308369.490000 N N N N/A N/A 000000000 1.000000 NC 24456.660000 0.0009744 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 5723000.000000 EUR 6198714.650000 USD 2024-04-02 24456.660000 N N N GE-WMC MORTGAGE SECURITIES LLC 2005-2 N/A 367910AV8 5905186.200000 PA USD 5616270.830000 0.223773 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.08389 N N N N N N N/A N/A 000000000 1.000000 NC -1166.480000 -0.0000465 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 800000.000000 CAD 589651.410000 USD 2024-04-26 -1166.480000 N N N APIDOS CLO XXVI LLC 2017-26A N/A 03766GAN2 10500000.000000 PA USD 10524948.320000 0.419353 Long ABS-CBDO CORP KY N 2 2029-07-18 Floating 6.85952 N N N N N N N/A N/A 000000000 40000000.000000 PA 29530102.250000 1.17659 Long RA CA N 2 Repurchase N 4.980000 2024-04-05 47089000.000000 CAD 41012932.100000 CAD N N N N/A N/A 000000000 1.000000 NC USD 317220.050000 0.0126392 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-01-13 0.000000 USD -2725.240000 USD 1100000.000000 USD 319945.290000 N N N BACARDI-MARTINI BV 5493002XXBV8B88K2408 05634EDJ8 650000.000000 PA USD 647799.310000 0.0258107 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 ACI1M15X9 700000.000000 PA 689519.400000 0.027473 Long DBT CORP US N 2 2030-05-04 Floating 1.741 N N N N N N ASSET BACKED SEC HOME EQTY LN 2004-HE2 N/A 04541GHW5 1063400.090000 PA USD 1036427.800000 0.0412951 Long ABS-MBS CORP US N 2 2034-04-25 Floating 6.26889 N N N N N N FNMA PASS THRU POOLS N/A 31384VZC9 237.510000 PA USD 244.250000 0.0000097 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 8 N N N N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2FB1 1350000.000000 PA USD 1334278.130000 0.0531626 Long DBT CORP US N 2 2024-06-11 None 0 N N N N N N VOLKSWAGEN AUTO LEASE TRUST 2024-A N/A 92866EAB5 12000000.000000 PA USD 12024178.800000 0.479088 Long ABS-O CORP US N 2 2026-12-21 Fixed 5.4 N N N N N N N/A N/A 000000000 1.000000 NC USD 93148.160000 0.0037114 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-20 0.000000 USD -96443.280000 USD 11300000.000000 USD 189591.440000 N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC N/A 74140QAA6 481279.830000 PA USD 470445.310000 0.0187443 Long ABS-MBS CORP US N 2 2061-02-25 Variable 1.9917 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZX4 200000.000000 PA USD 197959.730000 0.0078875 Long DBT CORP US N 2 2024-11-01 Fixed 4.063 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 18364.380000 PA USD 17925.930000 0.0007142 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.98 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EE28 250000.000000 PA USD 248648.610000 0.0099071 Long DBT CORP US N 2 2024-05-02 None 0 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BD82 250000.000000 PA USD 249584.410000 0.0099444 Long DBT CORP US N 2 2024-04-08 None 0 N N N N N N FANNIE MAE 2007-4 N/A 31396PMC2 35920.850000 PA USD 35463.520000 0.001413 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 5.87987 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAA8 1267673.610000 PA USD 1156007.920000 0.0460596 Long ABS-MBS CORP US N 2 2058-10-25 Variable 0.94054 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U8A1 100000.000000 PA USD 99616.770000 0.0039691 Long DBT CORP US N 2 2028-01-14 Floating 4.952 N N N N N N CREDIT-BASED ASSET SERVC SEC 2005-CB3 N/A 12489WLH5 1995000.000000 PA USD 1898165.690000 0.07563 Long ABS-MBS CORP US N 2 2035-06-25 Floating 6.49389 N N N N N N FANNIE MAE 2004-11 N/A 31393T7H3 21393.840000 PA USD 21349.570000 0.0008506 Long ABS-MBS USGSE US N 2 2034-03-25 Floating 5.55613 N N N N N N FNMA PASS THRU POOLS N/A 31362JUL7 470.810000 PA USD 461.540000 0.0000184 Long ABS-MBS USGSE US N 2 2028-04-01 Floating 4.517 N N N N N N N/A N/A 000000000 1.000000 NC 845.660000 0.0000337 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3770000000.000000 JPY 25251713.370000 USD 2024-07-01 845.660000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI1VBJN4 49600000.000000 PA 9656620.780000 0.384756 Long DBT NUSS BR N 2 2024-07-01 None 0 N N N N N N EAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-HE9 N/A 073879KC1 5731867.630000 PA USD 5668540.240000 0.225856 Long ABS-MBS CORP US N 2 2034-11-25 Floating 6.41889 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 ACI2NCY93 3400000.000000 PA 3677512.990000 0.146526 Long DBT CORP US N 2 2027-03-19 Floating 4.585 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2021-P3 N/A 14687JAE9 3631487.090000 PA USD 3519480.040000 0.140229 Long ABS-O CORP US N 2 2026-11-10 Fixed 0.7 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AC2 800000.000000 PA USD 740627.590000 0.0295094 Long DBT CORP CH N 2 2027-01-30 Floating 1.364 N N N N N N VASA TRUST 2021-VASA N/A 92230AAA4 4300000.000000 PA USD 3936184.310000 0.156832 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.34048 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKN8 1900000.000000 PA USD 1914865.240000 0.0762953 Long DBT CORP US N 2 2026-04-02 Floating 6.67079 N N N N N N RESIDENTIAL ASSET MTGE PROD 2005-EFC1 N/A 76112BRR3 2900000.000000 PA USD 2741579.960000 0.109235 Long ABS-MBS CORP US N 2 2035-05-25 Floating 6.50889 N N N N N N FANNIE MAE 2009-87 N/A 31398FM57 46823.330000 PA USD 46992.590000 0.0018724 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 6.18487 N N N N N N FANNIE MAE 2009-47 N/A 31396QFA2 25137.960000 PA USD 25316.680000 0.0010087 Long ABS-MBS USGSE US N 2 2039-07-25 Floating 6.33487 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2 N/A 74143FAA7 1677038.720000 PA USD 1625737.940000 0.0647754 Long ABS-MBS CORP US N 2 2051-07-25 Variable 1.7436 N N N N N N GSAMP TRUST 2006-HE4 N/A 362439AA9 131314.710000 PA USD 126855.340000 0.0050544 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.72389 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-3 N/A 379929AB8 4245848.720000 PA USD 4246759.880000 0.169207 Long ABS-O CORP US N 2 2026-01-20 Fixed 5.58 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2023-3A N/A 36267PAC0 3543410.960000 PA USD 3549973.000000 0.141444 Long ABS-O CORP US N 2 2027-03-15 Fixed 6.04 N N N N N N AMMC CLO XII LTD 2013-12A N/A 00176CAW1 637474.660000 PA USD 638948.520000 0.0254581 Long ABS-CBDO CORP KY N 2 2030-11-10 Floating 6.51296 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A 64828XAA1 1706907.210000 PA USD 1596501.210000 0.0636105 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-3 N/A 1266714M5 425004.690000 PA USD 406546.690000 0.0161983 Long ABS-MBS CORP US N 2 2034-08-25 Floating 5.84389 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MDS2 700000.000000 PA USD 696870.790000 0.0277659 Long DBT CORP US N 2 2024-04-26 None 0 N N N N N N TRICOLOR AUTO SECURITIZATION TRUST 2024-1 N/A 89616LAA0 2484806.960000 PA USD 2487981.050000 0.0991304 Long ABS-O CORP US N 2 2027-10-15 Fixed 6.61 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE7 N/A 61750MAB1 27122.260000 PA USD 11685.100000 0.0004656 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.60389 N N N N N N JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 48125LRU8 7000000.000000 PA USD 7021899.290000 0.279778 Long DBT CORP US N 2 2026-12-08 Fixed 5.11 N N N N N N FNMA PASS THRU POOLS N/A 3138E0LC1 413876.890000 PA USD 401774.530000 0.0160082 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N M&T BANK AUTO RECEIVABLES TRUST 2024-1A N/A 55286TAB1 1600000.000000 PA USD 1600072.240000 0.0637528 Long ABS-O CORP US N 2 2032-02-17 Fixed 5.59 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 167451.110000 PA USD 126659.280000 0.0050466 Long ABS-MBS CORP US N 2 2036-01-26 Floating 5.11463 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR N/A 95002NAA5 7300000.000000 PA USD 6765969.960000 0.269581 Long ABS-MBS CORP US N 2 2031-09-15 Variable 2.50052 N N N N N N ALLY AUTO RECEIVABLES TRUST 2024-1 N/A 02008FAA2 10900000.000000 PA USD 10901580.500000 0.43436 Long ABS-O CORP US N 2 2025-03-17 Fixed 5.528 N N N N N N GS MORTGAGE SECURITIES TRUST 2020-DUNE N/A 36258BAA6 1150000.000000 PA USD 1144052.660000 0.0455833 Long ABS-MBS CORP US N 2 2036-12-15 Floating 6.69448 N N N N N N FNMA PASS THRU POOLS N/A 31373UCE5 1378.910000 PA USD 1358.980000 0.0000541 Long ABS-MBS USGSE US N 2 2028-11-01 Floating 4.46 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZQ8 9920.530000 PA USD 8991.080000 0.0003582 Long ABS-MBS CORP US N 3 2034-01-25 Floating 6.3183 N N N N N N CS FIRST BOSTON MTGE SEC CORP 2001-HE17 N/A 22540A7A0 47551.730000 PA USD 46022.130000 0.0018337 Long ABS-MBS CORP US N 2 2032-01-25 Floating 6.06389 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 66360.370000 PA USD 39366.800000 0.0015685 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.86989 N N N N N N N/A N/A 000000000 1.000000 NC 28684.080000 0.0011429 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 23924336.400000 USD 32445091.680000 CAD 2024-04-02 28684.080000 N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A N/A 78435VAB8 2700000.000000 PA USD 2696580.990000 0.107442 Long ABS-O CORP US N 2 2027-06-21 Fixed 5.35 N N N N N N BANK OF AMERICA CREDIT CARD TRUST 2023-A1 N/A 05522RDG0 5700000.000000 PA USD 5677340.790000 0.226206 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.79 N N N N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAG1 7105000.000000 PA USD 6986870.850000 0.278383 Long ABS-MBS CORP US N 2 2035-04-15 Floating 6.748 N N N N N N FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF7 N/A 320277AF3 12141200.000000 PA USD 10116101.260000 0.403063 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.92389 N N N N N N FNMA PASS THRU POOLS N/A 31418CYL2 613809.750000 PA USD 559148.370000 0.0222785 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.5 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EDS2 500000.000000 PA USD 497764.410000 0.0198328 Long DBT CORP US N 2 2024-04-26 None 0 N N N N N N NATIONAL GRID NORTH AMERICA INC (AKA: NATIONAL GRID HOLDINGS INC) 5Q3U0WRKWZZGRMPYFT08 63627ADF2 250000.000000 PA USD 249314.130000 0.0099336 Long DBT CORP US N 2 2024-04-15 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CEZ0 1698096.000000 PA USD 1540646.180000 0.0613851 Long DBT UST US N 2 2032-07-15 Fixed 0.625 N N N N N N DOW INC 5493003S21INSLK2IP73 260557103 10298.000000 NS USD 596563.140000 0.0237693 Long EC CORP US N 1 N N N NEW ORLEANS HOTEL TRUST 2019-HNLA N/A 647622AA7 1900000.000000 PA USD 1855863.950000 0.0739445 Long ABS-MBS CORP US N 2 2032-04-15 Floating 6.36171 N N N N N N THEOREM FUNDING TRUST 2023-1A N/A 88338QAA8 998862.620000 PA USD 1006662.640000 0.0401092 Long ABS-O CORP US N 2 2029-04-15 Fixed 7.58 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-N3 N/A 14686RAA0 3549924.610000 PA USD 3565052.970000 0.142045 Long ABS-O CORP US N 2 2027-09-10 Fixed 6.41 N N N N N N MHC COMMERCIAL MORTGAGE TRUST 2021 MHC2 N/A 55293AAA5 1088465.270000 PA USD 1084005.500000 0.0431908 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.28948 N N N N N N STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A N/A ACI2MKRM5 2200000.000000 PA 2785615.030000 0.110989 Long ABS-MBS CORP GB N 2 2060-06-20 Floating 6.36626 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-N1 N/A 14687QAC7 2314000.000000 PA USD 2316031.230000 0.0922793 Long ABS-O CORP US N 2 2028-03-10 Fixed 5.6 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8 N/A 07384MZV7 134951.930000 PA USD 132055.820000 0.0052616 Long ABS-MBS CORP US N 2 2034-01-25 Floating 5.89373 N N N N N N CHASE ISSUANCE TRUST 2024-A2 N/A 161571HW7 11100000.000000 PA USD 11072079.060000 0.441153 Long ABS-MBS CORP US N 2 2031-01-15 Fixed 4.63 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 84262LDQ0 600000.000000 PA USD 597507.900000 0.0238069 Long DBT CORP US N 2 2024-04-24 None 0 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XDH6 1000000.000000 PA USD 996979.910000 0.0397234 Long DBT CORP US N 2 2024-04-17 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -32951.010000 -0.0013129 N/A DFE CA N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 20038202.740000 CAD 14760949.320000 USD 2024-04-04 -32951.010000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYA6 4500000.000000 PA USD 4169011.190000 0.166109 Long DBT CORP US N 2 2027-03-09 Floating 1.431 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABT1 400000.000000 PA USD 347797.360000 0.0138575 Long DBT CORP US N 2 2031-02-15 Fixed 2.875 N N N N N N MORGAN STANLEY ABS CAPITAL I 2006-HE8 N/A 61750SAA0 79149.080000 PA USD 69105.140000 0.0027534 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.57389 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A N/A 96041CAC6 6193226.080000 PA USD 6198935.000000 0.246989 Long ABS-O CORP US N 2 2026-10-15 Fixed 5.96 N N N N N N AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST 2023-1 N/A 02582JJZ4 5500000.000000 PA USD 5491966.150000 0.21882 Long ABS-MBS CORP US N 2 2028-05-15 Fixed 4.87 N N N N N N LONG BEACH MTGE LOAN TRUST 2001-1 N/A 542514AJ3 2813769.770000 PA USD 2740580.520000 0.109195 Long ABS-MBS CORP US N 2 2031-04-21 Floating 5.88312 N N N N N N ACCUNIA EUROPEAN CLO I DAC 1A N/A ACI19ZJ97 1281341.750000 PA 1383921.060000 0.0551406 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 4.892 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 736755.750000 PA USD 741730.180000 0.0295533 Long ABS-O CORP US N 2 2032-01-26 Fixed 7.13 N N N N N N N/A N/A 000000000 1.000000 NC USD 743893.490000 0.0296395 N/A DE US N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 S&P 500 INDEX N/A N/A Y 2024-09-25 0.000000 USD 0.000000 USD 14808232.730000 USD 743893.490000 N N N N/A N/A 000000000 1.000000 NC USD 2181716.410000 0.0869277 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-07-21 0.000000 USD -3243.920000 USD 11500000.000000 USD 2184960.330000 N N N FHLMC STRUCTURED PASS THRU SEC T-59 N/A 31394PPQ0 335618.380000 PA USD 338599.070000 0.013491 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 6.5 N N N N N N FANNIE MAE 2007-96 N/A 31396XNT7 96842.160000 PA USD 96776.430000 0.0038559 Long ABS-MBS USGSE US N 2 2037-06-25 Floating 6.15487 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAU5 300000.000000 PA USD 262042.970000 0.0104408 Long DBT UST US N 2 2027-10-31 Fixed 0.5 N N N N N N GNMA PASS THRU POOLS N/A 36202KVA0 2112.950000 PA USD 2085.980000 0.0000831 Long ABS-MBS USGSE US N 2 2025-10-20 Floating 3.75 N N N N N N HONDA AUTO RECEIVABLES OWNER TRUST 2023-3 N/A 43815QAB3 6000000.000000 PA USD 6005630.400000 0.239287 Long ABS-O CORP US N 2 2026-03-18 Fixed 5.71 N N N N N N GPMT LLC 2021-FL3 N/A 36264BAA8 1031720.010000 PA USD 1024914.730000 0.0408364 Long ABS-MBS CORP KY N 2 2035-07-16 Floating 6.69115 N N N N N N N/A N/A 000000000 1.000000 NC USD 492339.320000 0.0196166 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 104028.620000 USD 0.000000 USD 7100000.000000 USD 388310.700000 N N N N/A N/A 000000000 1.000000 NC 15881.660000 0.0006328 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2900000.000000 CAD 2157782.090000 USD 2024-05-02 15881.660000 N N N N/A N/A 000000000 -502745.730000 PA USD -510612.300000 -0.0203447 Short RA US N 2 Reverse repurchase N 4.300000 2025-11-21 600000.000000 USD 543863.040000 USD CDS N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EAN5 200000.000000 PA USD 196319.100000 0.0078221 Long DBT CORP GB N 2 2026-01-12 Fixed 4.375 N N N N N N LCCM 2021-FL2 TRUST N/A 50202KAA4 1442096.840000 PA USD 1412969.320000 0.0562979 Long ABS-CBDO CORP US N 2 2038-12-13 Floating 6.63981 N N N N N N FNMA PASS THRU POOLS N/A 31418CZG2 287253.190000 PA USD 261882.270000 0.0104344 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 393515.040000 0.0156791 N/A DFE GB N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 54191000.000000 GBP 68790673.180000 USD 2024-04-02 393515.040000 N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAA9 3389169.600000 PA USD 2351844.430000 0.0937062 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.88905 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 10249626.610000 PA USD 99831363.220000 3.97765 Long STIV RF US N 1 N N N AFC HOME EQUITY LOAN TR 1998-2 N/A 00105HDN3 31586.870000 PA USD 29872.530000 0.0011902 Long ABS-MBS CORP US N 3 2028-06-25 Floating 5.99389 N N N N N N MARLETTE FUNDING TRUST 2023-1A N/A 57110PAA9 3289396.120000 PA USD 3289978.670000 0.131085 Long ABS-O CORP US N 2 2033-04-15 Fixed 6.07 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DA4 11000000.000000 PA USD 10718027.760000 0.427046 Long DBT CORP GB N 2 2026-03-10 Floating 2.999 N N N N N N AMAZONCOM INC ZXTILKJKG63JELOEG630 023135106 10298.000000 NS USD 1857553.240000 0.0740118 Long EC CORP US N 1 N N N LIBERTY LENDING ABS TRUST 2023-1A N/A 75525AAA3 942676.900000 PA USD 945378.050000 0.0376674 Long ABS-O CORP US N 2 2031-02-18 Fixed 7.05 N N N N N N UPSTART SECURITIZATION TRUST 2021-5 N/A 91679JAA5 104656.100000 PA USD 104379.170000 0.0041589 Long ABS-O CORP US N 2 2031-11-20 Fixed 1.31 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BY7 2950000.000000 PA USD 2959873.150000 0.117932 Long DBT CORP US N 2 2025-09-12 Floating 6.25784 N N N N N N NATIONAL GRID NORTH AMERICA INC (AKA: NATIONAL GRID HOLDINGS INC) 5Q3U0WRKWZZGRMPYFT08 63627ADS4 800000.000000 PA USD 796423.760000 0.0317325 Long DBT CORP US N 2 2024-04-26 None 0 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRL2 624574.350000 PA USD 624878.460000 0.0248975 Long ABS-MBS USGSE US N 2 2066-03-20 Floating 6.44443 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668BU5 2650000.000000 PA USD 2662660.380000 0.10609 Long DBT CORP US N 2 2025-09-12 Fixed 5.8 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XDP8 900000.000000 PA USD 896463.060000 0.0357184 Long DBT CORP US N 2 2024-04-23 None 0 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBW5 1400000.000000 PA USD 1295975.910000 0.0516365 Long DBT CORP US N 2 2027-02-04 Floating 1.04 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-1 N/A 17331KAC3 3421178.360000 PA USD 3429160.310000 0.13663 Long ABS-O CORP US N 2 2026-07-15 Floating 6.26864 N N N N N N FREDDIE MAC 4559 N/A 3137BNCR3 99380.010000 PA USD 99758.490000 0.0039747 Long ABS-MBS USGSE US N 2 2042-03-15 Floating 5.86945 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAL9 500000.000000 PA USD 458904.000000 0.0182844 Long DBT CORP KY N 2 2030-06-18 Variable 4.625 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRGY6 89347.520000 PA USD 91578.820000 0.0036488 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 5.494 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAB6 181553.460000 PA USD 165132.580000 0.0065795 Long ABS-MBS CORP US N 2 2058-10-25 Variable 1.14689 N N N N N N N/A N/A 000000000 1.000000 NC USD 10152.790000 0.0004045 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-12-20 12475.150000 USD 0.000000 USD 800000.000000 USD -2322.360000 N N N FANNIE MAE 2007-42 N/A 31396VN53 15446.020000 PA USD 15063.940000 0.0006002 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 5.68487 N N N N N N N/A N/A 000000000 1.000000 NC 130935.580000 0.005217 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 30077769.860000 CAD 22336249.240000 USD 2024-04-02 130935.580000 N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2023-2A N/A 30168CAB4 3073835.670000 PA USD 3074364.980000 0.122494 Long ABS-O CORP US N 2 2025-11-17 Fixed 5.87 N N N N N N N/A N/A 000000000 1.000000 NC USD 719934.080000 0.0286848 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-10-16 0.000000 USD 0.000000 USD 25995958.500000 USD 719934.080000 N N N STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2 N/A 78486BAA2 5508408.400000 PA USD 5406142.150000 0.215401 Long ABS-CBDO CORP KY N 2 2038-04-18 Floating 6.64115 N N N N N N AT&T INC 549300Z40J86GGSTL398 0020A2DJ8 3750000.000000 PA USD 3738274.990000 0.148947 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N CRB SECURITIZATION TRUST 2023-1 N/A 12670DAA3 3586867.140000 PA USD 3617503.290000 0.144135 Long ABS-O CORP US N 2 2033-10-20 Fixed 6.96 N N N N N N N/A N/A 000000000 1.000000 NC -40432.490000 -0.001611 N/A DFE DK N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10027976.340000 USD 68952374.340000 DKK 2024-05-02 -40432.490000 N N N GNMA PASS THRU POOLS N/A 36202KWD3 757.990000 PA USD 746.460000 0.0000297 Long ABS-MBS USGSE US N 2 2025-11-20 Floating 3.75 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XDF0 1350000.000000 PA USD 1346331.710000 0.0536429 Long DBT CORP US N 2 2024-04-15 None 0 N N N N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAA5 1722556.920000 PA USD 1536359.890000 0.0612143 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.02 N N N N N N N/A N/A 000000000 1.000000 NC USD 454760.730000 0.0181194 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-06-21 33055.370000 USD 0.000000 USD 9400000.000000 USD 421705.360000 N N N MASTER CREDIT CARD TRUST II 2023-2A N/A 576339DJ1 10800000.000000 PA USD 10852816.320000 0.432416 Long ABS-MBS CORP CA N 2 2027-01-21 Floating 6.16864 N N N N N N CSMC 2021-RPL2 TRUST N/A 12656TAB4 1467866.370000 PA USD 1209357.490000 0.0481853 Long ABS-MBS CORP US N 2 2060-01-25 Variable 1.11456 N N N N N N N/A N/A 000000000 -22.000000 NC USD 4174.240000 0.0001663 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2024-06-28 -4497710.930000 USD 4174.240000 N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAR4 3800000.000000 PA USD 3718503.570000 0.148159 Long DBT CORP GB N 2 2026-03-18 Floating 3.511 N N N N N N WASHINGTON MUTUAL 2002-AR6 N/A 929227QB5 33430.370000 PA USD 30589.440000 0.0012188 Long ABS-MBS CORP US N 2 2042-06-25 Floating 6.48905 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNPD1 3127604.850000 PA 3361495.390000 0.133935 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 4.662 N N N N N N WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-4A N/A 96041AAC0 11400000.000000 PA USD 11457793.440000 0.456521 Long ABS-O CORP US N 2 2027-01-15 Fixed 6.23 N N N N N N ALIMENTATION COUCHE-TARD INC 549300OSW32RVX8CCZ87 01626UDC6 1000000.000000 PA USD 997697.500000 0.039752 Long DBT CORP CA N 2 2024-04-12 None 0 N N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 1473432.340000 PA USD 1343852.810000 0.0535441 Long ABS-MBS CORP US N 2 2035-10-25 Floating 5.76389 N N N N N N N/A N/A 000000000 1.000000 NC USD 1794949.560000 0.0715175 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.41 Y Single Leg Swap 2028-12-20 1693317.060000 USD 0.000000 USD 77500000.000000 USD 101632.500000 N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 2574P0DP6 2200000.000000 PA USD 2191276.820000 0.0873086 Long DBT CORP US N 2 2024-04-23 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 51623.980000 0.0020569 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.HY.42 Y Single Leg Swap 2029-06-20 49175.000000 USD 0.000000 USD 700000.000000 USD 2448.980000 N N N VERUS SECURITIZATION TRUST 2021-R3 N/A 92538EAB3 218745.930000 PA USD 195458.850000 0.0077878 Long ABS-MBS CORP US N 2 2064-04-25 Fixed 1.277 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9 N/A 12658XAC1 3126182.380000 PA USD 3029195.700000 0.120694 Long ABS-MBS CORP US N 2 2061-02-25 Fixed 2.43639 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A 07384MSJ2 2580.180000 PA USD 1858.240000 0.000074 Long ABS-MBS CORP US N 3 2033-02-25 Floating 3.25002 N N N N N N FANNIE MAE 2009-111 N/A 31398GQS1 22517.630000 PA USD 22469.170000 0.0008953 Long ABS-MBS USGSE US N 2 2038-03-25 Floating 6.18487 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 1451316.820000 PA USD 1477398.290000 0.058865 Long ABS-MBS CORP US N 2 2058-05-25 Floating 6.44389 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAH3 2700000.000000 PA USD 2591152.040000 0.103241 Long DBT CORP US N 2 2026-11-16 Fixed 3.5 N N N N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EE69 250000.000000 PA USD 248493.080000 0.0099009 Long DBT CORP US N 2 2024-05-06 None 0 N N N N N N BEAR STEARNS ALT-A TRUST 2006-6 N/A 073868AV3 2981268.910000 PA USD 1656779.380000 0.0660122 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.33275 N N N N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2D23 750000.000000 PA USD 749435.190000 0.0298603 Long DBT CORP US N 2 2024-04-02 None 0 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAN5 1600000.000000 PA USD 1450101.440000 0.0577774 Long DBT CORP KY N 2 2027-03-08 Variable 2.3 N N N N N N N/A N/A 000000000 1.000000 NC USD 27836.270000 0.0011091 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-20 0.000000 USD -149872.490000 USD 7700000.000000 USD 177708.760000 N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2023-3 N/A 301989AB5 1755962.230000 PA USD 1756808.430000 0.0699978 Long ABS-O CORP US N 2 2025-09-15 Fixed 6.11 N N N N N N IMPAC CMB TR 2003-11 N/A 45254NFY8 789.330000 PA USD 766.280000 0.0000305 Long ABS-MBS CORP US N 3 2033-10-25 Floating 6.20389 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 7800Z8SA9 2100000.000000 PA 1542966.300000 0.0614775 Long DBT CORP CA N 2 2024-05-01 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RL4 4059450.000000 PA USD 3119562.420000 0.124295 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-D N/A 78449MAA4 6308842.160000 PA USD 5678715.640000 0.226261 Long ABS-O CORP US N 2 2053-03-17 Fixed 1.34 N N N N N N RIPON MORTGAGES PLC 1RA N/A ACI23KYX4 33952353.380000 PA 42847444.100000 1.7072 Long ABS-MBS CORP GB N 2 2056-08-28 Floating 5.9028 N N N N N N PRPM 2024-NQM1 TRUST N/A 693977AA8 1700000.000000 PA USD 1700781.150000 0.0677654 Long ABS-MBS CORP US N 2 2068-12-25 Fixed 6.265 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAY7 1500000.000000 PA USD 1313144.540000 0.0523206 Long DBT UST US N 2 2027-11-30 Fixed 0.625 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAC9 136442.630000 PA USD 105967.960000 0.0042222 Long ABS-MBS CORP US N 2 2046-12-26 Floating 4.19835 N N N N N N AVOLON HOLDINGS FUNDING LTD 635400ZRKEX9L1BKCH30 05401AAM3 400000.000000 PA USD 372841.370000 0.0148554 Long DBT CORP KY N 2 2026-02-21 Fixed 2.125 N N N N N N N/A N/A 000000000 1.000000 NC -16358.530000 -0.0006518 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5804425.750000 USD 40017828.550000 DKK 2024-04-02 -16358.530000 N N N N/A N/A 000000000 1.000000 NC 10562.570000 0.0004209 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 40900000.000000 DKK 6046391.820000 USD 2025-04-01 10562.570000 N N N USAA AUTO OWNER TRUST 2023-A N/A 90291VAB6 3900000.000000 PA USD 3904459.650000 0.155568 Long ABS-O CORP US N 2 2026-07-15 Fixed 5.83 N N N N N N EQUIFAX INC 5493004MCF8JDC86VS77 29442KD80 250000.000000 PA USD 249583.870000 0.0099443 Long DBT CORP US N 2 2024-04-08 None 0 N N N N N N FNMA PASS THRU POOLS N/A 31362L4P2 1720.380000 PA USD 1686.190000 0.0000672 Long ABS-MBS USGSE US N 2 2027-11-01 Floating 4.583 N N N N N N GSR MORTGAGE LOAN TRUST 2006-AR1 N/A 3623414A4 14671.030000 PA USD 13352.770000 0.000532 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.71251 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH N/A 46654EAE1 7000000.000000 PA USD 6543152.700000 0.260703 Long ABS-MBS CORP US N 2 2038-06-15 Floating 6.73048 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 599435.530000 PA 642003.200000 0.0255798 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.722 N N N N N N AMCOR FLEXIBLES NORTH AMERICA INC PTVU09TE3QPJPL7K4E13 02343BDF1 1100000.000000 PA USD 1096915.600000 0.0437052 Long DBT CORP US N 2 2024-04-15 None 0 N N N N N N MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2 N/A 55275NAE1 3478492.890000 PA USD 2669974.960000 0.106382 Long ABS-MBS CORP US N 2 2046-12-25 Floating 5.88905 N N N N N N FHLMC PASS THRU POOLS N/A 3128M6PN2 57.040000 PA USD 57.810000 0.0000023 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 6 N N N N N N CSMC 2021-ADV TRUST N/A 12660WAA3 7900000.000000 PA USD 7116697.620000 0.283556 Long ABS-MBS CORP US N 2 2038-07-15 Floating 6.84048 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2N6SC6 7330000000.000000 PA 48423273.820000 1.92936 Long DBT NUSS JP N 2 2024-06-17 None 0 N N N N N N N/A N/A 000000000 3088.000000 NC USD 15498590.570000 0.617521 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Long S&P 500 INDEX N/A N/A 2024-06-21 819632400.000000 USD 15498590.570000 N N N DRYDEN 52 EURO CLO 2017 17-52A N/A ACI1YL2T4 3841590.970000 PA 4121748.390000 0.164226 Long ABS-CBDO CORP IE N 2 2034-05-15 Floating 4.761 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PEA0 1500000.000000 PA USD 1495295.840000 0.0595781 Long DBT CORP US N 2 2028-01-23 Floating 5.04 N N N N N N LIBERTY LENDING ABS TRUST 2022-1A N/A 50203YAA3 617104.070000 PA USD 615451.470000 0.0245219 Long ABS-O CORP US N 2 2029-11-15 Fixed 3.76 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106103 10298.000000 NS USD 967806.040000 0.038561 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 139469.790000 0.005557 N/A DE US N 2 Wells Fargo Bank, National Association KB1H1DSPRFMYMCUFXT09 S&P 500 INDEX N/A N/A Y 2024-06-26 0.000000 USD 0.000000 USD 5033260.050000 USD 139469.790000 N N N FNMA PASS THRU POOLS N/A 3138ENEW5 118835.570000 PA USD 122228.340000 0.00487 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 5.889 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797HQ3 284000.000000 PA USD 282421.970000 0.0112527 Long DBT UST US N 2 2024-05-09 None 0 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YT4 300000.000000 PA USD 281184.140000 0.0112034 Long DBT CORP US N 2 2027-11-02 Fixed 3.815 N N N N N N BSREP COMMERCIAL MORTGAGE TRUST 2021-DC N/A 05591UAC1 11656785.110000 PA USD 10781557.550000 0.429577 Long ABS-MBS CORP US N 2 2038-08-15 Floating 6.79048 N N N N N N DRYDEN 36 SENIOR LOAN FUND 2014-36A N/A 26249KAZ4 1738290.160000 PA USD 1739154.910000 0.0692944 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 6.5956 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 17325FBC1 4700000.000000 PA USD 4751456.630000 0.189316 Long DBT CORP US N 2 2026-12-04 Fixed 5.488 N N N N N N N/A N/A 000000000 1.000000 NC USD -6470.250000 -0.0002578 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.38 Y Single Leg Swap 2027-12-20 0.000000 USD -42270.000000 USD 500000.000000 USD 35799.750000 N N N SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A N/A ACI1YTXT3 449798.040000 PA 484201.890000 0.0192924 Long ABS-CBDO CORP IE N 2 2032-07-20 Floating 4.85 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-2 N/A 12668NAA5 241023.120000 PA USD 216692.660000 0.0086338 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.58389 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2007-FS1 N/A 17313EAA3 126292.870000 PA USD 119385.500000 0.0047568 Long ABS-MBS CORP US N 2 2037-10-25 Variable 5.75 N N N N N N ANCHORAGE CAPITAL CLO 11 LTD 2019-11A N/A 03330NAJ3 2650000.000000 PA USD 2650806.130000 0.105618 Long ABS-CBDO CORP KY N 2 2032-07-22 Floating 6.71942 N N N N N N N/A N/A 000000000 1.000000 NC USD 33098.690000 0.0013188 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2026-06-20 48689.520000 USD 0.000000 USD 2900000.000000 USD -15590.830000 N N N VENTURE 36 CLO LTD N/A 92332LAU3 950000.000000 PA USD 951601.010000 0.0379153 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 6.70942 N N N N N N SFO COMMERCIAL MORTGAGE TRUST 2021-555 N/A 78432WAC7 6400000.000000 PA USD 6097072.640000 0.24293 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.93948 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZR8 600000.000000 PA USD 574077.010000 0.0228734 Long DBT CORP US N 2 2028-03-15 Floating 3.615 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 U94974KM0 900000.000000 PA 818459.340000 0.0326105 Long DBT CORP US N 2 2030-03-25 Fixed 0.625 N N N N N N N/A N/A 000000000 1.000000 NC USD 27925.250000 0.0011126 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.40 Y Single Leg Swap 2028-06-20 12435.110000 USD 0.000000 USD 1200000.000000 USD 15490.140000 N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A 64831EAC4 129681.040000 PA USD 117802.370000 0.0046937 Long ABS-MBS CORP US N 2 2058-10-25 Variable 1.35311 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR N/A 95002NAG2 1300000.000000 PA USD 1198479.490000 0.0477519 Long ABS-MBS CORP US N 2 2031-09-15 Variable 2.696 N N N N N N GLS AUTO RECEIVABLES ISSUER TRUST 2023-2A N/A 379928AC8 4321930.130000 PA USD 4314451.030000 0.171904 Long ABS-O CORP US N 2 2027-01-15 Fixed 5.7 N N N N N N FNMA PASS THRU POOLS N/A 31385HJD5 10915.800000 PA USD 10872.560000 0.0004332 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 5.705 N N N N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BD17 300000.000000 PA USD 299819.310000 0.0119459 Long DBT CORP US N 2 2024-04-01 None 0 N N N N N N COCA COLA COMPANY UWJKFUJFZ02DKWI3RY53 191216100 10298.000000 NS USD 630031.640000 0.0251028 Long EC CORP US N 1 N N N MOUNTAIN VIEW CLO LLC 2017-1A N/A 62432HAJ9 563298.270000 PA USD 563303.550000 0.0224441 Long ABS-CBDO CORP KY N 2 2029-10-16 Floating 6.6656 N N N N N N CATERPILLAR INCORPORATED WRJR7GS4GTRECRRTVX92 149123101 10298.000000 NS USD 3773496.140000 0.15035 Long EC CORP US N 1 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2NBLB4 7340000000.000000 PA 48488365.840000 1.93196 Long DBT NUSS JP N 2 2024-06-24 None 0 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2F9 4300000.000000 PA USD 4106945.350000 0.163636 Long DBT CORP US N 2 2027-06-17 Floating 3.196 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45856WDQ9 550000.000000 PA USD 547678.450000 0.0218215 Long DBT CORP US N 2 2024-04-24 None 0 N N N N N N BENEFIT STREET PARTNERS CLO XVII LTD N/A 08182BAL2 12400000.000000 PA USD 12402747.340000 0.494171 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 6.6556 N N N N N N MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 61690U7W4 3700000.000000 PA USD 3772240.980000 0.1503 Long DBT CORP US N 2 2026-10-30 Fixed 5.882 N N N N N N N/A N/A 000000000 1.000000 NC 7758.730000 0.0003091 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 19700000.000000 BRL 3901770.450000 USD 2024-07-02 7758.730000 N N N FNMA PASS THRU POOLS N/A 31362QGF0 1733.400000 PA USD 1699.700000 0.0000677 Long ABS-MBS USGSE US N 2 2028-11-01 Floating 4.575 N N N N N N N/A N/A 000000000 1.000000 NC USD -5179.430000 -0.0002064 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.EM.39 Y Single Leg Swap 2028-06-20 0.000000 USD -20410.000000 USD 300000.000000 USD 15230.570000 N N N N/A N/A 000000000 1.000000 NC USD 1936231.920000 0.0771467 N/A DE US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 S&P 500 INDEX N/A N/A Y 2024-04-10 0.000000 USD 0.000000 USD 69934659.420000 USD 1936231.920000 N N N SOUND POINT CLO IX LTD 2015-2A N/A 83609GBQ7 6100000.000000 PA USD 6116651.230000 0.24371 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 7.37942 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 ACI1TC740 300000.000000 PA 376420.390000 0.014998 Long DBT CORP US N 2 2024-06-14 Fixed 2.748 N N N N N N GNMA PASS THRU POOLS N/A 36225CB62 11725.600000 PA USD 11540.990000 0.0004598 Long ABS-MBS USGSE US N 2 2027-04-20 Floating 3.875 N N N N N N AMERICAN ELECTRIC POWER COMPANY INC 1B4S6S7G0TW5EE83BO58 0255E2E14 2250000.000000 PA USD 2238187.120000 0.0891777 Long DBT CORP US N 2 2024-05-01 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 207421.390000 0.0082644 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-05-15 0.000000 USD 0.000000 USD 4129010.880000 USD 207421.390000 N N N L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP) 549300UTE50ZMDBG8A20 50248BDJ8 300000.000000 PA USD 299041.000000 0.0119149 Long DBT CORP US N 2 2024-04-18 None 0 N N N N N N BLACK DIAMOND CLO 2017-2 DAC N/A ACI1XBRF0 2144438.750000 PA 2310634.940000 0.0920643 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 4.83 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SB5 250096.000000 PA USD 197203.970000 0.0078573 Long DBT UST US N 2 2048-02-15 Fixed 1 N N N N N N GNMA PASS THRU POOLS N/A 36202KYK5 1784.240000 PA USD 1749.080000 0.0000697 Long ABS-MBS USGSE US N 2 2026-02-20 Floating 3.625 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A N/A 83406TAB8 1700099.400000 PA USD 1598609.250000 0.0636945 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54 N N N N N N GCAT LLC 2019-RPL1 N/A 36167CAA4 5598388.130000 PA USD 5303891.640000 0.211327 Long ABS-MBS CORP US N 2 2068-10-25 Variable 2.65 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 84262LDN7 450000.000000 PA USD 448272.920000 0.0178609 Long DBT CORP US N 2 2024-04-22 None 0 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJS9 500000.000000 PA USD 461079.750000 0.0183711 Long DBT CORP US N 2 2027-07-22 Floating 1.734 N N N N N N N/A N/A 000000000 1.000000 NC -8155.960000 -0.000325 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 6345980.330000 USD 43818767.000000 DKK 2024-04-02 -8155.960000 N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2024-1 N/A 35105AAB3 2300000.000000 PA USD 2296164.060000 0.0914877 Long ABS-O CORP US N 2 2029-01-16 Fixed 5.49 N N N N N N N/A N/A 000000000 1.000000 NC 818669.230000 0.0326188 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 4590227000.000000 JPY 31498333.900000 USD 2024-06-17 818669.230000 N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339MDR4 700000.000000 PA USD 696981.780000 0.0277703 Long DBT CORP US N 2 2024-04-25 None 0 N N N N N N N/A N/A 000000000 50000000.000000 PA 36912627.810000 1.47074 Long RA CA N 2 Repurchase N 4.920000 2024-04-04 51231000.000000 CAD 50403559.920000 CAD N N N FHLMC PASS THRU POOLS N/A 3128P7LT8 18846.780000 PA USD 18703.990000 0.0007452 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 5 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXJ8 100000.000000 PA USD 98134.020000 0.00391 Long DBT CORP US N 2 2025-04-01 Fixed 3.5 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A10 N/A 59020UZ65 63608.690000 PA USD 59364.320000 0.0023653 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.86389 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 2574P0DG6 300000.000000 PA USD 299133.500000 0.0119186 Long DBT CORP US N 2 2024-04-16 None 0 N N N N N N HARVEST CLO XI DAC 11A N/A ACI1XMR09 606243.330000 PA 653228.260000 0.026027 Long ABS-CBDO CORP IE N 2 2030-06-26 Floating 4.553 N N N N N N N/A N/A 000000000 1.000000 NC 1073909.000000 0.0427885 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 7340000000.000000 JPY 50184088.090000 USD 2024-06-24 1073909.000000 N N N N/A N/A 000000000 1.000000 NC 1239694.080000 0.049394 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3150000000.000000 JPY 22070492.450000 USD 2024-04-08 1239694.080000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 134123.000000 PA USD 103116.350000 0.0041085 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N CAMPBELL SOUP COMPANY 5493007JDSMX8Z5Z1902 13443CD32 800000.000000 PA USD 799240.100000 0.0318447 Long DBT CORP US N 2 2024-04-03 None 0 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-1A N/A 30167PAC4 1000000.000000 PA USD 998333.700000 0.0397773 Long ABS-O CORP US N 2 2027-08-16 Fixed 5.31 N N N N N N N/A N/A 000000000 20600000.000000 PA USD 20600000.000000 0.820781 Long RA US N 2 Repurchase N 5.400000 2024-04-01 22762000.000000 USD 20997055.920000 USD UST N N N N/A N/A 000000000 1.000000 NC USD 23585213.730000 0.939723 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2024-07-24 0.000000 USD 0.000000 USD 140315534.940000 USD 23585213.730000 N N N GNMA PASS THRU POOLS N/A 36225CFM3 834.180000 PA USD 815.870000 0.0000325 Long ABS-MBS USGSE US N 2 2028-02-20 Floating 3.625 N N N N N N VENTURE CLO LTD 2013-4A N/A 92328GBA3 49268.240000 PA USD 49336.240000 0.0019657 Long ABS-CBDO CORP KY N 2 2029-08-28 Floating 6.62942 N N N N N N FHLMC PASS THRU POOLS N/A 3128P7LB7 7912.870000 PA USD 7849.700000 0.0003128 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5 N N N N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 ACI2MMBZ9 1100000.000000 PA 1193425.700000 0.0475505 Long DBT CORP US N 2 2025-05-29 Fixed 4.375 N N N N N N N/A N/A 000000000 1.000000 NC USD 34826.950000 0.0013876 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2050-02-07 0.000000 USD -387.370000 USD 100000.000000 USD 35214.320000 N N N CROWN CASTLE INTERNATIONAL CORP (CCI) 54930012H97VSM0I2R19 22823PE25 2550000.000000 PA USD 2535567.130000 0.101026 Long DBT CORP US N 2 2024-05-02 None 0 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397A60 400000.000000 PA USD 396536.030000 0.0157995 Long DBT CORP US N 2 2025-06-16 Fixed 5.125 N N N N N N N/A N/A 000000000 1.000000 NC USD 130887.030000 0.005215 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-07-10 0.000000 USD 0.000000 USD 4723520.970000 USD 130887.030000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 36193098.000000 PA USD 35577293.430000 1.41753 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N N/A N/A 000000000 1.000000 NC USD 24501935.120000 0.976248 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2025-01-22 0.000000 USD 0.000000 USD 236664622.440000 USD 24501935.120000 N N N PAGAYA AI DEBT TRUST 2024-1 N/A 69548AAA9 500000.000000 PA USD 501876.200000 0.0199966 Long ABS-O CORP US N 2 2031-07-15 Fixed 6.66 N N N N N N NEXTERA ENERGY CAPITAL HOLDINGS INC UMI46YPGBLUE4VGNNT48 65339ME85 650000.000000 PA USD 645879.610000 0.0257342 Long DBT CORP US N 2 2024-05-08 None 0 N N N N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF11 N/A 32028PAE5 1961972.400000 PA USD 1795061.130000 0.0715219 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.74389 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QD3 2800000.000000 PA USD 2825593.740000 0.112582 Long DBT UST US N 2 2039-11-15 Fixed 4.375 N N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 13010.610000 PA USD 11940.380000 0.0004757 Long ABS-MBS CORP US N 2 2042-11-25 Floating 6.28905 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BS7 100000.000000 PA USD 92640.600000 0.0036911 Long DBT CORP US N 2 2026-03-09 Fixed 2 N N N N N N CARLYLE US CLO LTD 2017-1A N/A 14314BAL1 1362106.260000 PA USD 1365115.340000 0.0543913 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 6.57942 N N N N N N MF1 2024-FL14 LLC N/A 000000000 900000.000000 PA USD 901971.000000 0.0359379 Long ABS-CBDO CORP US N 2 2039-03-19 Floating 7.06332 N N N N N N ENBRIDGE (US) INC 5493003FRODSVHJWFS32 29251UDF2 1750000.000000 PA USD 1745115.750000 0.0695319 Long DBT CORP US N 2 2024-04-15 None 0 N N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2006-C N/A 43709BAB5 3639773.800000 PA USD 3442703.710000 0.13717 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.70389 N N N N N N N/A N/A 000000000 1.000000 NC USD 388260.700000 0.0154697 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-11-13 0.000000 USD 0.000000 USD 14015693.370000 USD 388260.700000 N N N FANNIE MAE 2007-14 N/A 31396PZS3 18357.560000 PA USD 17995.650000 0.000717 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 5.79487 N N N N N N FREDDIE MAC-3271 N/A 31397FFP2 1332.300000 PA USD 1302.490000 0.0000519 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 5.73312 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 36143L2K0 5900000.000000 PA USD 5931854.810000 0.236347 Long DBT CORP US N 2 2025-04-11 Floating 6.70571 N N N N N N N/A N/A 000000000 1.000000 NC -120123.550000 -0.0047862 N/A DFE BR N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4312581.490000 USD 21026853.570000 BRL 2024-04-02 -120123.550000 N N N N/A N/A 000000000 1.000000 NC USD 363605.790000 0.0144874 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2024-06-12 0.000000 USD 0.000000 USD 85165720.170000 USD 363605.790000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6 N/A 80287DAC1 2600000.000000 PA USD 2638783.680000 0.105139 Long ABS-O CORP US N 2 2028-07-17 Fixed 5.93 N N N N N N CSMC TRUST 2021-RPL4 N/A 12662GAC2 1886332.680000 PA USD 1834199.350000 0.0730813 Long ABS-MBS CORP US N 2 2060-12-27 Fixed 1.79561 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 952NPG907 400000.000000 PA USD 46000.000000 0.0018328 Long DBT CORP US N 2 2060-12-31 None 0 N N N N N N FREDDIE MAC-3271 N/A 31397FFJ6 37371.060000 PA USD 36791.190000 0.0014659 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 5.77312 N N N N N N FNMA PASS THRU POOLS N/A 3140H5N64 44351.900000 PA USD 40377.560000 0.0016088 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N MORGAN STANLEY ABS CAPITAL I 2004-WMC2 N/A 61746RHS3 644451.540000 PA USD 646146.000000 0.0257449 Long ABS-MBS CORP US N 2 2034-07-25 Floating 6.35889 N N N N N N GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-3 N/A 379929AC6 779849.760000 PA USD 780129.880000 0.0310833 Long ABS-O CORP US N 2 2026-01-20 Floating 5.76931 N N N N N N N/A N/A 000000000 1.000000 NC USD 534463.590000 0.021295 N/A DE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 S&P 500 INDEX N/A N/A Y 2024-04-17 0.000000 USD 0.000000 USD 19225947.180000 USD 534463.590000 N N N MICROSOFT CORPORATION INR2EJN1ERAN0W5ZP974 594918104 10298.000000 NS USD 4332574.560000 0.172626 Long EC CORP US N 1 N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040XD45 750000.000000 PA USD 749208.860000 0.0298513 Long DBT CORP US N 2 2024-04-04 None 0 N N N N N N ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL1 N/A 03881CAA9 3880874.680000 PA USD 3865167.690000 0.154003 Long ABS-CBDO CORP KY N 2 2035-12-15 Floating 6.40981 N N N N N N BEAR STEARNS ALT-A TR 2004-12 N/A 07386HNV9 2247699.220000 PA USD 2103601.700000 0.0838153 Long ABS-MBS CORP US N 2 2035-01-25 Floating 7.01889 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04 N/A 38376RRA6 165405.790000 PA USD 164999.700000 0.0065742 Long ABS-MBS USGSE US N 2 2066-01-20 Floating 6.24443 N N N N N N CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A N/A 22540VK43 30544.330000 PA USD 28401.350000 0.0011316 Long ABS-MBS CORP US N 2 2032-03-25 Floating 6.06469 N N N N N N CSMC 2018-RPL9 TRUST N/A 12654PAA6 2836079.330000 PA USD 2746672.500000 0.109438 Long ABS-MBS CORP US N 2 2057-09-25 Variable 3.85 N N N N N N N/A N/A 000000000 767.000000 NC USD 373613.660000 0.0148862 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2024-06-18 84927273.050000 USD 373613.660000 N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 N/A 85573HAD2 2564000.000000 PA USD 2222016.760000 0.0885334 Long ABS-MBS CORP US N 2 2065-05-25 Variable 2.175 N N N N N N N/A N/A 000000000 1.000000 NC -7192.550000 -0.0002866 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 4112237.870000 CAD 3028721.750000 USD 2024-04-02 -7192.550000 N N N SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A N/A 78435VAC6 500000.000000 PA USD 497967.000000 0.0198409 Long ABS-O CORP US N 2 2029-05-21 Fixed 4.95 N N N N N N BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-1 N/A 107933AB9 500000.000000 PA USD 499919.900000 0.0199187 Long ABS-O CORP US N 2 2026-09-15 Fixed 5.82 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR5 N/A 94983RAA2 1102098.190000 PA USD 1038460.510000 0.0413761 Long ABS-MBS CORP US N 2 2036-04-25 Floating 6.28566 N N N N N N UNITEDHEALTH GROUP INCORPORATED 549300GHBMY8T5GXDE41 91324P102 10298.000000 NS USD 5094420.600000 0.202981 Long EC CORP US N 1 N N N BX COMMERCIAL MORTGAGE TRUST 2021-MC N/A 05608GAA7 10500000.000000 PA USD 10221982.050000 0.407282 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.13948 N N N N N N GNMA PASS THRU POOLS N/A 36225CCY0 1012.010000 PA USD 1009.770000 0.0000402 Long ABS-MBS USGSE US N 2 2027-06-20 Floating 3.875 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 577666.010000 PA 619550.110000 0.0246852 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 4.582 N N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9 N/A 07389MAC1 815000.000000 PA USD 766697.230000 0.0305481 Long ABS-MBS CORP US N 2 2036-11-25 Floating 5.90389 N N N N N N GNMA PASS THRU POOLS N/A 36225CC61 24355.270000 PA USD 23919.960000 0.0009531 Long ABS-MBS USGSE US N 2 2027-07-20 Floating 3.625 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271JDH7 2900000.000000 PA USD 2891177.560000 0.115195 Long DBT CORP US N 2 2024-04-17 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -131058.310000 -0.0052218 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 42336473.490000 USD 39120748.000000 EUR 2024-04-02 -131058.310000 N N N BWAY MORTGAGE TRUST 2021-1450 N/A 12430YAA8 5000000.000000 PA USD 4754562.500000 0.189439 Long ABS-MBS CORP US N 2 2036-09-15 Floating 6.68981 N N N N N N MERRILL LYNCH MORTGAGE INV 2006-OPT1 N/A 59022VAD3 524219.070000 PA USD 488206.320000 0.019452 Long ABS-MBS CORP US N 2 2037-08-25 Floating 5.74389 N N N N N N CITIZENS AUTO RECEIVABLES TRUST 2023-2 N/A 17295FAB0 2981277.350000 PA USD 2987739.570000 0.119043 Long ABS-O CORP US N 2 2026-10-15 Fixed 6.09 N N N N N N FNMA PASS THRU POOLS N/A 31363EH73 261.780000 PA USD 256.820000 0.0000102 Long ABS-MBS USGSE US N 2 2029-08-01 Floating 5.6 N N N N N N N/A N/A 000000000 1.000000 NC -57857.330000 -0.0023053 N/A DFE CA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 40049117.810000 CAD 29510227.610000 USD 2024-04-05 -57857.330000 N N N CVC CORDATUS LOAN FUND XXIV DAC 24A N/A ACI2N2L65 5880703.520000 PA 6344396.420000 0.252784 Long ABS-CBDO CORP IE N 2 2034-10-23 Floating 5.145 N N N N N N FNMA PASS THRU POOLS N/A 31384WV31 2486.460000 PA USD 2485.990000 0.0000991 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 8 N N N N N N RAMP TRUST 2006-RZ5 N/A 749239AF6 5404935.710000 PA USD 4700887.160000 0.187301 Long ABS-MBS CORP US N 2 2046-08-25 Floating 5.80389 N N N N N N FANNIE MAE REMICS 2011-60 N/A 31397U3F4 31610.020000 PA USD 26478.940000 0.001055 Long ABS-MBS USGSE US N 2 2039-08-25 None 0 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-B N/A 78449XAA0 2218978.590000 PA USD 2022864.600000 0.0805984 Long ABS-O CORP US N 2 2053-07-15 Fixed 1.29 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 1800000.000000 PA USD 1669120.070000 0.0665039 Long DBT CORP US N 2 2027-04-22 Floating 1.578 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC N/A 74143EAA0 566631.990000 PA USD 548540.340000 0.0218559 Long ABS-MBS CORP US N 2 2051-07-25 Fixed 1.8677 N N N N N N AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2023-3 N/A 02530EAA2 3616864.250000 PA USD 3620808.080000 0.144266 Long ABS-O CORP US N 2 2027-03-12 Fixed 6 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07 N/A 38376RRG3 190766.040000 PA USD 191303.280000 0.0076222 Long ABS-MBS USGSE US N 2 2066-03-20 Floating 6.59443 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 654744AC5 6300000.000000 PA USD 5992785.540000 0.238775 Long DBT CORP JP N 2 2027-09-17 Fixed 4.345 N N N N N N JOHNSON & JOHNSON COMPANY 549300G0CFPGEF6X2043 478160104 10298.000000 NS USD 1629040.620000 0.064907 Long EC CORP US N 1 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AP3 250000.000000 PA USD 232292.530000 0.0092554 Long DBT CORP CH N 2 2031-04-01 Floating 4.194 N N N N N N N/A N/A 000000000 1.000000 NC USD 1295150.370000 0.0516036 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 275272.340000 USD 0.000000 USD 44800000.000000 USD 1019878.030000 N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-4 N/A 802927AC7 9594245.770000 PA USD 9612892.190000 0.383013 Long ABS-O CORP US N 2 2027-02-16 Fixed 6.18 N N N N N N N/A N/A 000000000 1.000000 NC -28828.600000 -0.0011486 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 32431095.950000 CAD 23924336.400000 USD 2024-05-02 -28828.600000 N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VAZ6 1700000.000000 PA USD 1666511.140000 0.0664 Long DBT CORP US N 2 2025-03-15 Fixed 3.638 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 097023105 10298.000000 NS USD 1987411.020000 0.0791858 Long EC CORP US N 1 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEZ4 7600000.000000 PA USD 7573328.480000 0.30175 Long DBT CORP US N 2 2027-01-28 Floating 5.05 N N N N N N N/A N/A 000000000 1.000000 NC USD 1374069.060000 0.054748 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2028-12-20 0.000000 USD -40948.360000 USD 86150000.000000 USD 1415017.420000 N N N VW CREDIT INC 549300UUPJ2NXDB68M19 91842JDP1 600000.000000 PA USD 597602.660000 0.0238107 Long DBT CORP US N 2 2024-04-23 None 0 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2023-P2 N/A 14686TAC2 4900000.000000 PA USD 4897588.710000 0.195138 Long ABS-O CORP US N 2 2028-04-10 Fixed 5.42 N N N N N N SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-2 N/A 80287JAB0 4216865.830000 PA USD 4218838.480000 0.168094 Long ABS-O CORP US N 2 2026-03-16 Fixed 5.87 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 71855AD43 1750000.000000 PA USD 1748143.790000 0.0696525 Long DBT CORP US N 2 2024-04-04 None 0 N N N N N N CISCO SYSTEMS INC 549300LKFJ962MZ46593 17275R102 10298.000000 NS USD 513973.180000 0.0204786 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC USD 12581.480000 0.0005013 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 AT&T INC AT&T INC Y Single Leg Swap 2028-06-20 0.000000 USD -4234.890000 USD 800000.000000 USD 16816.370000 N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAE6 2901371.840000 PA USD 2695474.540000 0.107398 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.75389 N N N N N N SPECIALTY UNDERWRITING & RESID 2005-BC2 N/A 84751PFW4 77581.400000 PA USD 76284.840000 0.0030395 Long ABS-MBS CORP US N 2 2035-12-25 Floating 6.41889 N N N N N N MICROCHIP TECHNOLOGY INCORPORATED 5493007PTFULNYZJ1R12 59501QDK5 250000.000000 PA USD 249146.020000 0.0099269 Long DBT CORP US N 2 2024-04-19 None 0 N N N N N N HYUNDAI AUTO RECEIVABLES TRUST 2024-A N/A 448973AB3 4300000.000000 PA USD 4297494.820000 0.171228 Long ABS-O CORP US N 2 2027-04-15 Fixed 5.29 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397B51 400000.000000 PA USD 361814.900000 0.014416 Long DBT CORP US N 2 2028-02-16 Fixed 2.9 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR8 N/A 86359LRW1 94950.450000 PA USD 77434.260000 0.0030853 Long ABS-MBS CORP US N 2 2036-02-25 Floating 6.00389 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162100 10298.000000 NS USD 2927927.360000 0.11666 Long EC CORP US N 1 N N N NELNET STUDENT LOAN TRUST 2023-AA N/A 64032PAA0 897114.250000 PA USD 898951.900000 0.0358176 Long ABS-O CORP US N 2 2041-02-20 Floating 7.51931 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343V104 10298.000000 NS USD 432104.080000 0.0172166 Long EC CORP US N 1 N N N ENTERGY CORPORATION 4XM3TW50JULSLG8BNC79 29366EEM4 250000.000000 PA USD 247930.380000 0.0098785 Long DBT CORP US N 2 2024-05-21 None 0 N N N N N N AVANT LOANS FUNDING TRUST 2021-REV1 N/A 05353LAA3 152401.190000 PA USD 152203.830000 0.0060644 Long ABS-O CORP US N 2 2030-07-15 Fixed 1.21 N N N N N N N/A N/A 000000000 1.000000 NC USD 367913.760000 0.0146591 N/A DE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 S&P 500 INDEX N/A N/A Y 2025-02-19 0.000000 USD 0.000000 USD 7328453.860000 USD 367913.760000 N N N FNMA PASS THRU POOLS N/A 31362M2L1 899.670000 PA USD 883.320000 0.0000352 Long ABS-MBS USGSE US N 2 2028-07-01 Floating 4.484 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 23371DAJ3 1900000.000000 PA USD 1869069.560000 0.0744707 Long DBT CORP US N 2 2024-08-01 Fixed 1.55 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D26 200000.000000 PA USD 204401.820000 0.0081441 Long DBT CORP US N 2 2026-06-10 Fixed 6.95 N N N N N N BHR 2018-PRME N/A 10482TAA0 84492.490000 PA USD 84391.040000 0.0033625 Long ABS-MBS CORP US N 2 2035-06-15 Floating 6.318 N N N N N N FNMA PASS THRU POOLS N/A 3140H6PA1 9720.490000 PA USD 8867.110000 0.0003533 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N CONSTELLATION ENERGY GENERATION LLC S2PEWKCZFFECR4533P43 21038PD29 1950000.000000 PA USD 1948375.400000 0.0776305 Long DBT CORP US N 2 2024-04-02 None 0 N N N N N N APIDOS CLO 2017-27A N/A 03767JAF2 3088357.740000 PA USD 3095639.560000 0.123342 Long ABS-CBDO CORP KY N 2 2030-07-17 Floating 6.50814 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2024-P1 N/A 14688NAA7 3400000.000000 PA USD 3400215.900000 0.135477 Long ABS-O CORP US N 2 2025-04-10 Fixed 5.634 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-RLJ N/A 05492HAG1 3700000.000000 PA USD 3696176.050000 0.147269 Long ABS-MBS CORP US N 2 2036-04-15 Floating 6.72301 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2MFLJ9 3370000000.000000 PA 22262013.410000 0.887001 Long DBT NUSS JP N 2 2024-04-15 None 0 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECP8 400000.000000 PA USD 401536.360000 0.0159987 Long DBT CORP GB N 2 2028-03-12 Floating 5.674 N N N N N N STRUCTURED ASSET SECUR CORP 2004-23XS N/A 86359BU74 1757054.620000 PA USD 1759888.750000 0.0701205 Long ABS-MBS CORP US N 2 2035-01-25 Floating 6.26889 N N N N N N N/A N/A 000000000 1.000000 NC 241934.750000 0.0096396 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 29997748.000000 EUR 32605002.270000 USD 2024-04-02 241934.750000 N N N N/A N/A 000000000 1.000000 NC 8386.760000 0.0003342 N/A DFE BR N 2 BANCO SANTANDER, S.A. 5493006QMFDDMYWIAM13 8300000.000000 BRL 1649010.990000 USD 2024-07-02 8386.760000 N N N FHLMC PASS THRU POOLS N/A 3128MJ2X7 354897.000000 PA USD 336745.210000 0.0134172 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 8911Z1S26 2900000.000000 PA 2130313.390000 0.0848796 Long DBT CORP CA N 2 2024-05-02 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 934952.600000 0.037252 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-01-15 0.000000 USD -27252.570000 USD 7700000.000000 USD 962205.170000 N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 2574P0DV3 750000.000000 PA USD 746334.440000 0.0297367 Long DBT CORP US N 2 2024-04-29 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 11499.360000 0.0004582 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2100000.000000 CAD 1562509.880000 USD 2024-05-01 11499.360000 N N N FNMA PASS THRU POOLS N/A 31418CUA0 658815.650000 PA USD 600976.990000 0.0239452 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAD3 2908996.340000 PA USD 1105267.050000 0.0440379 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.76389 N N N N N N BMW VEHICLE OWNER TRUST 2023-A N/A 05592XAD2 3000000.000000 PA USD 3013833.600000 0.120082 Long ABS-O CORP US N 2 2028-02-25 Fixed 5.47 N N N N N N 2024-05-28 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer