NPORT-P false 0000814679 XXXXXXXX S000033830 C000104491 Advanced Series Trust 811-05186 0000814679 549300VWSUPW8FKG9V43 655 Broad Street 17th Floor Newark 07102-4077 1-888-778-2888 AST Prudential Core Bond Portfolio S000033830 ZPBIE1WV1TE1L7UGYR74 2020-12-31 2020-06-30 N 4839057243.79 812498714.90 4026558528.89 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 173551432.31000000 0.00000000 1202049.87000000 USD EUR N BRINKER INTERNATIONAL IN 52990067JY6PBGJNTG76 109641AH3 2000000.00000000 PA USD 1867131.88000000 0.046370414501 Long DBT CORP US N 2 2024-10-01 Fixed 5.00000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134A4KX1 3400000.00000000 PA USD 5341373.28000000 0.132653561141 Long DBT USGSE US N 2 2032-07-15 Fixed 6.25000000 N N N N N N BAY AREA CA TOLL AUTH TOLL BRI 5493001FUZGUQMIP5D78 072024ND0 4890000.00000000 PA USD 8434467.31000000 0.209470873190 Long DBT MUN US N 2 2049-04-01 Fixed 6.26300000 N N N N N N FHLMC Multifamily Structured P N/A 3137F4X80 8075000.00000000 PA USD 9454946.44000000 0.234814578557 Long ABS-MBS USGSE US N 2 2028-02-25 Variable 3.65000000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC -189019.53000000 -0.00469431969 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2028-10-22 0.00000000 USD 0.00000000 USD -2931000.00000000 GBP -189019.53000000 N N N Sound Point CLO LTD 549300Q00FJ0WHHYC788 83608GAN6 4000000.00000000 PA USD 3870075.60000000 0.096113730180 Long ABS-CBDO CORP KY N 2 2031-01-26 Floating 2.06138000 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAE0 2540000.00000000 PA USD 2610812.48000000 0.064839799577 Long DBT CORP US N 2 2021-05-25 Fixed 3.55100000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 115938.66000000 0.002879348683 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 -12417803.00000000 GBP 15506371.38000000 USD 2020-08-04 115938.66000000 N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299AW4 1890000.00000000 PA USD 2717628.01000000 0.067492574378 Long DBT NUSS PA N 2 2036-01-26 Fixed 6.70000000 N N N N N N Bear Stearns Asset Backed Secu N/A 07384YJQ0 750153.38000000 PA USD 730596.43000000 0.018144438352 Long ABS-MBS CORP US N 2 2043-03-25 Floating 1.68450000 N N N N N N CENTERPOINT ENER HOUSTON 549300S8SEQBOJLKHW63 15189XAS7 1750000.00000000 PA USD 2126550.81000000 0.052813110618 Long DBT CORP US N 2 2048-03-01 Fixed 3.95000000 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BM2 5100000.00000000 PA USD 3323203.86000000 0.082532113619 Long DBT CORP CA N 2 2025-03-15 Fixed 7.50000000 N N N N N N Citigroup Commercial Mortgage N/A 17321RAD8 6771000.00000000 PA USD 7236905.74000000 0.179729307001 Long ABS-MBS CORP US N 2 2046-11-10 Fixed 4.13100000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128283F5 4600000.00000000 PA USD 5178593.75000000 0.128610914577 Long DBT UST US N 2 2027-11-15 Fixed 2.25000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AJ3 340000.00000000 PA USD 275989.91000000 0.006854238129 Long DBT CORP US N 2 2048-03-01 Fixed 5.30000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAE5 3600000.00000000 PA USD 3746494.91000000 0.093044590886 Long DBT CORP ES N 2 2023-02-23 Fixed 3.12500000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 164662.27000000 0.004089404607 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-02-11 0.00000000 USD -2637.23000000 USD 58900000.00000000 ZAR 167299.50000000 N N N Pnmac Gmsr Issuer Trust N/A 69354WAD8 1800000.00000000 PA USD 1718355.60000000 0.042675540108 Long ABS-O CORP US N 2 2025-08-25 Floating 2.83450000 N N N N N N CURATORS OF THE UNIV OF MISSOU G0G4PRB87K0V5MXIV248 231266GC5 400000.00000000 PA USD 632995.97000000 0.015720520773 Long DBT MUN US N 2 2041-11-01 Fixed 5.79200000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -3744.23000000 -0.00009298834 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2021-03-16 0.00000000 USD 0.00000000 USD -65880000.00000000 USD -3744.23000000 N N N Pnmac Gmsr Issuer Trust N/A 69354WAC0 1470000.00000000 PA USD 1440706.87000000 0.035780105011 Long ABS-O CORP US N 2 2023-02-25 Floating 3.03450000 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAG2 5000000.00000000 PA USD 5465985.80000000 0.135748326040 Long DBT CORP BM N 2 2023-08-01 Fixed 4.12500000 N N N N N N GS Mortgage Securities Trust N/A 36257UAK3 22000000.00000000 PA USD 23791827.40000000 0.590872508850 Long ABS-MBS CORP US N 2 2052-09-01 Fixed 2.74880000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCQ3 5091000.00000000 PA USD 4644865.74000000 0.115355723918 Long DBT CORP MX N 2 2027-01-23 Fixed 6.49000000 N N N N N N PENNSYLVANIA ST TURNPIKE COMMI 549300J8LLBYEYEXZJ24 709223VZ1 500000.00000000 PA USD 755140.00000000 0.018753980466 Long DBT MUN US N 2 2039-12-01 Fixed 6.10500000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC 253663.44000000 0.006299757924 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2024-06-28 0.00000000 USD 0.00000000 USD 76000000.00000000 CNY 253663.44000000 N N N CIM Trust N/A 12552CAH3 6200000.00000000 PA USD 6160082.54000000 0.152986290794 Long ABS-MBS CORP US N 2 2057-05-25 Variable 4.00000000 N N N N N N Towd Point Mortgage Trust N/A 89177WAA7 6784262.84000000 PA USD 6912539.68000000 0.171673642153 Long ABS-MBS CORP US N 2 2058-11-25 Variable 3.00000000 N N N N N N FHLMC Multifamily Structured P N/A 3137BMTY2 127595698.91400000 PA USD 3823762.39000000 0.094963536791 Long ABS-MBS USGSE US N 2 2025-11-25 Variable 0.79202100 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KM2 3315000.00000000 PA USD 3518705.52000000 0.087387417685 Long DBT CORP US N 2 N/A Fixed 6.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178CVF7 18496.43000000 PA USD 19743.41000000 0.000490329641 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 3.50000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 395604.97000000 0.009824890589 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-04-03 0.00000000 USD -754.29000000 USD 36000000.00000000 ZAR 396359.26000000 N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059E5L4 600000.00000000 PA USD 480520.31000000 0.011933771893 Long DBT USGA US N 2 2033-03-15 None 0.00000000 N N N N N N Deutsche Bank Commercial Mortg N/A 23312VAE6 11300000.00000000 PA USD 11934890.50000000 0.296404247308 Long ABS-MBS CORP US N 2 2049-08-10 Fixed 2.63200000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -161402.02000000 -0.00400843595 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES Mexico Government International Bond Y Default Event 2023-06-20 0.00000000 USD -65417.18000000 USD 1405000.00000000 USD -95984.84000000 N N N REPUBLIC OF SLOVENIA 485100000LWQHIX4XX88 000000000 3097000.00000000 PA USD 3562486.25000000 0.088474716670 Long DBT NUSS SI N 2 2024-02-18 Fixed 5.25000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 25160PAC1 2125000.00000000 PA USD 2153333.35000000 0.053478257786 Long DBT CORP DE N 2 2021-02-04 Fixed 4.25000000 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26882PBE1 2050000.00000000 PA USD 2628142.64000000 0.065270195904 Long DBT CORP US N 2 2037-10-15 Fixed 7.00000000 N N N N N N J.P. MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC USD -63237.60000000 -0.00157051237 N/A DCR CORP US N 2 J.P. MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 HELLENIC REPUBLIC Hellenic Republic Government Bond Y Default Event 2024-06-20 0.00000000 USD -427377.91000000 USD 7000000.00000000 USD 364140.31000000 N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BW5 1244000.00000000 PA USD 1552085.43000000 0.038546203137 Long DBT CORP US N 2 2041-08-04 Fixed 7.00000000 N N N N N N Morgan Stanley Dean Witter Cap N/A 61746WYU8 362902.07000000 PA USD 360026.72000000 0.008941301049 Long ABS-MBS CORP US N 2 2032-11-25 Floating 1.75950000 N N N N N N MidOcean Credit CLO 549300N3ZTBJCCPR2038 59803AAA0 41500000.00000000 PA USD 40258071.00000000 0.999813381853 Long ABS-CBDO CORP KY N 2 2032-10-23 Floating 2.43300000 N N N N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAA3 2060000.00000000 PA USD 1856344.57000000 0.046102510535 Long DBT CORP US N 2 2024-03-27 Fixed 5.87500000 N N N N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 984245AM2 440000.00000000 PA USD 371738.32000000 0.009232159853 Long DBT CORP AR N 2 2021-03-23 Fixed 8.50000000 N N N N N N Legacy Mortgage Asset Trust N/A 52475MAB4 9406709.96000000 PA USD 9368052.14000000 0.232656549576 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3.85800000 N N N N N N COMM Mortgage Trust N/A 12593GAF9 4620000.00000000 PA USD 5085594.36000000 0.126301265050 Long ABS-MBS CORP US N 2 2050-07-10 Fixed 3.90200000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680AZ6 6410000.00000000 PA USD 5970827.44000000 0.148286120694 Long DBT CORP US N 2 2049-09-01 Fixed 4.45000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 1422.12000000 0.000035318498 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES Mexico Government International Bond Y Default Event 2023-06-20 18639.47000000 USD 0.00000000 USD -1685000.00000000 USD -17217.35000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3620C0SS8 28732.75000000 PA USD 30615.66000000 0.000760343101 Long ABS-MBS USGA US N 2 2042-07-15 Fixed 3.50000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 1443.22000000 0.000035842518 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES Mexico Government International Bond Y Default Event 2023-06-20 7463.86000000 USD 0.00000000 USD -1710000.00000000 USD -6020.64000000 N N N UPJOHN INC N/A 91533BAF7 2930000.00000000 PA USD 3133249.47000000 0.077814576579 Long DBT CORP US N 2 2050-06-22 Fixed 4.00000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BU7 1032000.00000000 PA USD 1331266.84000000 0.033062150480 Long DBT CORP US N 2 2056-08-08 Fixed 3.95000000 N N N N N N SALT RIVER AZ PROJ AGRIC IMPT SHB8HO6GKXJ83RX5OV39 79575DE63 2455000.00000000 PA USD 3379651.22000000 0.083933989677 Long DBT MUN US N 2 2041-01-01 Fixed 4.83900000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BC0 246000.00000000 PA USD 374860.56000000 0.009309701009 Long DBT CORP US N 2 2039-12-16 Fixed 6.85000000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC -259550.15000000 -0.00644595497 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2026-05-11 0.00000000 USD -84692.41000000 USD -5135000.00000000 EUR -174857.74000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36177PMV4 10547.53000000 PA USD 11338.66000000 0.000281596800 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 3.50000000 N N N N N N BELLEMEADE RE LT 254900SCWI9IDKK5LV64 07877GAA7 975646.50000000 PA USD 972048.41000000 0.024140923397 Long ABS-MBS CORP BM N 2 2029-07-25 Floating 1.28450000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC 67440.21000000 0.001674884632 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2030-02-18 0.00000000 USD 0.00000000 USD 4161000000.00000000 COP 67440.21000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LD1 1540000.00000000 PA USD 1733371.53000000 0.043048462292 Long DBT CORP US N 2 2028-01-10 Fixed 3.88700000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 33767BAA7 855000.00000000 PA USD 1094681.37000000 0.027186525717 Long DBT CORP US N 2 2044-07-15 Fixed 5.45000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CX6 5650000.00000000 PA USD 6605499.69000000 0.164048272056 Long DBT CORP US N 2 2028-03-25 Fixed 4.30000000 N N N N N N BENCHMARK Mortgage Trust N/A 08161CAD3 7550000.00000000 PA USD 8551399.54000000 0.212374897288 Long ABS-MBS CORP US N 2 2051-02-15 Fixed 3.61470000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -62567.94000000 -0.00155388129 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 PETROLEOS MEXICANOS PETROLEOS MEXICANOS Y Default Event 2024-12-20 0.00000000 USD -29966.89000000 USD 355000.00000000 USD -32601.05000000 N N N PSEG POWER LLC N/A 69362BBB7 3750000.00000000 PA USD 3826972.61000000 0.095043262938 Long DBT CORP US N 2 2021-06-15 Fixed 3.00000000 N N N N N N MARINER CLO LLC 635400SMPSPMTZRZQF40 56844YAA5 15000000.00000000 PA USD 14662617.00000000 0.364147618736 Long ABS-CBDO CORP KY N 2 2031-04-25 Floating 2.10138000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCD3 1840000.00000000 PA USD 1884814.19000000 0.046809556510 Long DBT CORP US N 2 2030-03-01 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417BYR2 1561256.43000000 PA USD 1689130.19000000 0.041949724010 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.50000000 N N N N N N CSAIL Commercial Mortgage Trus 549300D5DIOOMKWXVZ20 12634NAS7 21772724.93000000 PA USD 23234600.11000000 0.577033711128 Long ABS-MBS CORP US N 2 2057-06-15 Fixed 3.23120000 N N N N N N Countrywide Asset-Backed Certi N/A 126673NE8 8356.72000000 PA USD 8412.99000000 0.000208937481 Long ABS-MBS CORP US N 2 2035-03-25 Variable 4.63400000 N N N N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -154.00000000 NC -263428.91000000 -0.00654228438 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESREPUB. DEUTSCHLAND Bundesrepublik Deutschland Bundesanleihe 2020-09-08 -30142705.25000000 USD -263428.91000000 N N N ASCENSION HEALTH N/A 04352EAB1 2505000.00000000 PA USD 2696484.03000000 0.066967461435 Long DBT CORP US N 2 2039-11-15 Fixed 3.10600000 N N N N N N Wells Fargo Commercial Mortgag 549300W6NRTMFPYUPG47 94989EAD9 15000000.00000000 PA USD 15785497.50000000 0.392034472782 Long ABS-MBS CORP US N 2 2050-04-15 Fixed 2.92500000 N N N N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 29646AAB2 2110000.00000000 PA USD 1957981.95000000 0.048626685442 Long DBT CORP ZA N 2 2025-02-11 Fixed 7.12500000 N N N N N N MASTR Asset Backed Securities N/A 57643LDJ2 1560125.55000000 PA USD 1525551.92000000 0.037887240656 Long ABS-MBS CORP US N 2 2034-04-25 Floating 1.08450000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCP5 1100000.00000000 PA USD 962070.04000000 0.023893109540 Long DBT CORP MX N 2 2029-01-23 Fixed 6.50000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AA6 7740000.00000000 PA USD 8351472.07000000 0.207409677770 Long DBT CORP CH N 2 2030-08-13 Fixed 3.12600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LTJV1 1186270.06000000 PA USD 1297069.27000000 0.032212850271 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KG5 1940000.00000000 PA USD 2167725.68000000 0.053835692799 Long DBT CORP US N 2 2026-01-12 Fixed 3.70000000 N N N N N N WELLTOWER INC T6IZ0MBEG5ACZDTR7D06 95040QAJ3 10050000.00000000 PA USD 10401484.68000000 0.258321954228 Long DBT CORP US N 2 2030-01-15 Fixed 3.10000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GFD1 1600000.00000000 PA USD 2315606.54000000 0.057508329343 Long DBT CORP US N 2 2037-10-01 Fixed 6.75000000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 1355000.00000000 PA 1507119.07000000 0.037429458908 Long DBT NUSS ID N 2 2026-09-18 Fixed 1.45000000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -116549.96000000 -0.00289453038 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 -15503627.05000000 USD 12417803.00000000 GBP 2020-07-02 -116549.96000000 N N N COMMONWEALTH EDISON CO D8YOXB8L2ZDC8P7Q0771 202795HT0 2110000.00000000 PA USD 3186270.30000000 0.079131354409 Long DBT CORP US N 2 2038-01-15 Fixed 6.45000000 N N N N N N COX COMMUNICATIONS INC 5493001NEDZNIFRP2R92 224044CH8 7280000.00000000 PA USD 7822912.48000000 0.194282845359 Long DBT CORP US N 2 2024-08-15 Fixed 3.15000000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 1899000.00000000 PA 2021516.36000000 0.050204569125 Long DBT NUSS ID N 2 2027-02-14 Fixed 0.90000000 N N N N N N FHLMC Multifamily Structured P N/A 3137FL6P4 7500000.00000000 PA USD 8887017.00000000 0.220709991826 Long ABS-MBS USGSE US N 2 2029-01-25 Fixed 3.56300000 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452151LF8 1050000.00000000 PA USD 1065487.48000000 0.026461492422 Long DBT MUN US N 2 2033-06-01 Fixed 5.10000000 N N N N N N SOUTHERN COPPER CORP 2549007U6NAP46Q9TU15 84265VAA3 1700000.00000000 PA USD 2371746.94000000 0.058902582018 Long DBT CORP US N 2 2035-07-27 Fixed 7.50000000 N N N N N N Bank N/A 06540AAC5 17000000.00000000 PA USD 18475831.20000000 0.458849190131 Long ABS-MBS CORP US N 2 2062-09-15 Fixed 2.75800000 N N N N N N CALIFORNIA ST N/A 13063A5E0 3170000.00000000 PA USD 5148428.54000000 0.127861758448 Long DBT MUN US N 2 2034-04-01 Fixed 7.50000000 N N N N N N PLAINS ALL AMER PIPELINE 5521FA2ITF25TVH63740 72650RBN1 4120000.00000000 PA USD 4057588.26000000 0.100770626600 Long DBT CORP US N 2 2030-09-15 Fixed 3.80000000 N N N N N N Radnor Re LTD 549300ED4YNDE7SVU538 750496AB7 260000.00000000 PA USD 244607.35000000 0.006074848986 Long ABS-MBS CORP BM N 2 2028-03-25 Floating 2.88450000 N N N N N N DTE ENERGY CO 549300IX8SD6XXD71I78 233331AW7 8945000.00000000 PA USD 9416730.50000000 0.233865481711 Long DBT CORP US N 2 2024-10-01 Variable 2.52900000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017CY3 2995000.00000000 PA USD 3527724.87000000 0.087611414181 Long DBT CORP US N 2 2028-11-16 Fixed 4.12500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BDJ2 5340000.00000000 PA USD 5760803.69000000 0.143070159012 Long DBT CORP US N 2 2023-02-25 Fixed 3.75000000 N N N N N N Palmer Square CLO Ltd 549300EYS8N79JYSXL17 69688MAA3 6000000.00000000 PA USD 5849484.60000000 0.145272558638 Long ABS-CBDO CORP KY N 2 2031-07-16 Floating 2.27613000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31359MFJ7 1440000.00000000 PA USD 2244311.96000000 0.055737721031 Long DBT USGSE US N 2 2030-01-15 Fixed 7.12500000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -744104.28000000 -0.01847990721 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND Y Default Event 2023-12-20 0.00000000 USD -9623.48000000 USD 13500000.00000000 USD -734480.80000000 N N N CSAIL Commercial Mortgage Trus N/A 12595JAG9 7625000.00000000 PA USD 8332708.28000000 0.206943677093 Long ABS-MBS CORP US N 2 2050-11-15 Fixed 3.19080000 N N N N N N OCI NV 549300NCMRGIBJYUOE57 000000000 1980000.00000000 PA 2172938.19000000 0.053965146027 Long DBT CORP NL N 2 2024-11-01 Fixed 3.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417C4P7 18267404.69000000 PA USD 19772833.75000000 0.491060383405 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148BAB4 7490000.00000000 PA USD 6851858.67000000 0.170166622957 Long DBT CORP US N 2 N/A Floating 4.36963000 N N N N N N COMM Mortgage Trust N/A 12592PBE2 8000000.00000000 PA USD 8562308.00000000 0.212645810027 Long ABS-MBS CORP US N 2 2047-12-10 Fixed 3.37800000 N N N N N N Elevation CLO Ltd N/A 28622PAA1 2500000.00000000 PA USD 2457537.00000000 0.061033187084 Long ABS-CBDO CORP KY N 2 2029-07-15 Floating 2.49888000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KJ9 1070000.00000000 PA USD 1222622.86000000 0.030363965933 Long DBT CORP US N 2 2026-03-09 Fixed 4.60000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 5480000.00000000 PA USD 6421287.76000000 0.159473349609 Long DBT CORP GB N 2 2029-05-16 Fixed 4.97200000 N N N N N N RUTGERS NJ ST UNIV 549300BOYDHNW8J60112 783186NH8 1920000.00000000 PA USD 2624448.04000000 0.065178440128 Long DBT MUN US N 2 2040-05-01 Fixed 5.66500000 N N N N N N FHLMC Multifamily Structured P N/A 3137FCJK1 8700000.00000000 PA USD 10028887.59000000 0.249068466732 Long ABS-MBS USGSE US N 2 2027-11-25 Variable 3.30300000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 000000000 3500000.00000000 PA 1555655.98000000 0.038634878118 Long DBT NUSS AR N 2 2022-01-15 Fixed 3.87500000 N N N N N N TOKYO METROPOLITAN GOVT 353800FABE4GGB1BMO18 889124AK9 800000.00000000 PA USD 828691.87000000 0.020580648810 Long DBT NUSS JP N 2 2022-06-08 Fixed 2.50000000 N N N N N N PRINCIPAL FINANCIAL GRP CUMYEZJOAF02RYZ1JJ85 74251VAF9 235000.00000000 PA USD 288605.56000000 0.007167549109 Long DBT CORP US N 2 2042-09-15 Fixed 4.62500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAR7 23820000.00000000 PA USD 27518212.93000000 0.683417681192 Long DBT CORP US N 2 2029-04-23 Fixed 4.00500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCG5 1680000.00000000 PA USD 1532562.81000000 0.038061356838 Long DBT CORP MX N 2 2027-03-13 Fixed 6.50000000 N N N N N N Wells Fargo Commercial Mortgag N/A 95000XAD9 6900000.00000000 PA USD 7390042.83000000 0.183532482564 Long ABS-MBS CORP US N 2 2050-09-15 Fixed 3.21200000 N N N N N N ADIENT US LLC 213800SOTRCDGZUHL712 00688JAA5 725000.00000000 PA USD 749781.85000000 0.018620910254 Long DBT CORP US N 2 2026-05-15 Fixed 7.00000000 N N N N N N Fanniemae-Aces N/A 3136B1XJ8 9750000.00000000 PA USD 10999890.53000000 0.273183425773 Long ABS-MBS USGSE US N 2 2028-03-25 Variable 3.14695800 N N N N N N AT&T INC 549300Z40J86GGSTL398 04650NAB0 456000.00000000 PA USD 573239.33000000 0.014236458402 Long DBT CORP US N 2 2040-09-01 Fixed 5.35000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276YAD5 10000000.00000000 PA USD 11009872.00000000 0.273431316619 Long ABS-MBS CORP US N 2 2052-04-15 Fixed 3.34360000 N N N N N N LOXAM SAS 969500BNA2YRNE1R5K91 000000000 5100000.00000000 PA 4532922.04000000 0.112575590481 Long DBT CORP FR N 2 2027-07-15 Fixed 5.75000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556CE0 1525000.00000000 PA 1632871.82000000 0.040552541538 Long DBT CORP US N 2 2049-10-01 Fixed 1.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36176W7F2 24117.35000000 PA USD 25754.14000000 0.000639606746 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 3.50000000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 000000000 3280000.00000000 PA 3578445.10000000 0.088871056370 Long DBT NUSS EG N 2 2025-04-11 Fixed 4.75000000 N N N N N N Shackleton CLO LTD N/A 81883AAA7 16750000.00000000 PA USD 16215904.48000000 0.402723674911 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 2.38888000 N N N N N N COMM Mortgage Trust N/A 12629NAE5 15000000.00000000 PA USD 15902499.00000000 0.394940217207 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.07800000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDH1 6870000.00000000 PA USD 8060619.30000000 0.200186318966 Long DBT CORP US N 2 2040-04-01 Fixed 3.75000000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC -157413.66000000 -0.00390938462 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2024-05-08 0.00000000 USD -103655.81000000 USD -3270000.00000000 GBP -53757.85000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36180KRP8 15009.15000000 PA USD 16025.61000000 0.000397997691 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured P N/A 3137ATRX2 41928271.06000000 PA USD 887344.77000000 0.022037299684 Long ABS-MBS USGSE US N 2 2022-05-25 Variable 1.49794600 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFU8 6375000.00000000 PA USD 7322926.99000000 0.181865653695 Long DBT CORP US N 2 2026-03-03 Fixed 4.45000000 N N N N N N Lendmark Funding Trust 549300PMR5HYNUPR5R97 52604FAA5 5800000.00000000 PA USD 5578417.96000000 0.138540590431 Long ABS-O CORP US N 2 2027-12-20 Fixed 3.00000000 N N N N N N DIAMOND SPORTS GR/DIAMON N/A 25277LAA4 2295000.00000000 PA USD 1675726.31000000 0.041616837256 Long DBT CORP US N 2 2026-08-15 Fixed 5.37500000 N N N N N N OHIO ST UNIV JFC10ZULKO4X2E3HBY86 677632PA3 4165000.00000000 PA USD 6311516.17000000 0.156747160750 Long DBT MUN US N 2 2111-06-01 Fixed 4.80000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 244798.47000000 0.006079595472 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-02-14 0.00000000 USD 0.00000000 USD 4600000.00000000 NZD 244798.47000000 N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 1500000.00000000 PA 1421073.13000000 0.035292499036 Long DBT CORP MX N 2 2029-02-26 Fixed 4.75000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -53992.14000000 -0.00134090041 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES Mexico Government International Bond Y Default Event 2023-06-20 0.00000000 USD -22425.71000000 USD 470000.00000000 USD -31566.43000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36230Q6G8 354069.32000000 PA USD 378013.21000000 0.009387997399 Long ABS-MBS USGA US N 2 2042-07-15 Fixed 3.50000000 N N N N N N CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 000000000 1.00000000 NC USD -454338.08000000 -0.01128353348 N/A DCR CORP GB N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 PETROLEOS MEXICANOS PETROLEOS MEXICANOS Y Default Event 2023-06-20 0.00000000 USD -79241.97000000 USD 3955000.00000000 USD -375096.11000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36294QLU3 4345.91000000 PA USD 4639.51000000 0.000115222713 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 3.50000000 N N N N N N LINCOLN NATIONAL CORP EFQMQROEDSNBRIP7LE47 534187AW9 2155000.00000000 PA USD 2861551.73000000 0.071066934938 Long DBT CORP US N 2 2037-10-09 Fixed 6.30000000 N N N N N N CONTL AIRLINES 2012-2 A N/A 210795QB9 843135.74000000 PA USD 769181.86000000 0.019102711521 Long DBT CORP US N 2 2024-10-29 Fixed 4.00000000 N N N N N N Banc of America Funding Corpor 549300LENCFK8RITKD65 05990PAA3 969963.65000000 PA USD 963557.23000000 0.023930044058 Long ABS-MBS CORP US N 2 2045-09-26 Floating 2.07663000 N N N N N N Battalion CLO LTD 5493000R542V1ZNEEG67 07131XAV6 9900000.00000000 PA USD 9742095.99000000 0.241945967508 Long ABS-CBDO CORP KY N 2 2028-07-17 Floating 2.17488000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCJ3 950000.00000000 PA USD 961357.39000000 0.023875410803 Long DBT CORP US N 2 2021-04-09 Fixed 3.55000000 N N N N N N Option One Mortgage Loan Trust N/A 68400XBS8 809906.80000000 PA USD 763318.94000000 0.018957105292 Long ABS-MBS CORP US N 2 2033-08-25 Floating 0.82450000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CY4 935000.00000000 PA USD 1155946.19000000 0.028708043896 Long DBT CORP US N 2 2038-03-25 Fixed 4.78000000 N N N N N N J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 000000000 1.00000000 NC USD -3403279.51000000 -0.08452080071 N/A DFE CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 -106400000.00000000 EUR 116141984.00000000 USD 2020-07-02 -3403279.51000000 N N N Freddie Mac N/A 312943RS4 2647569.58000000 PA USD 2902856.95000000 0.072092754375 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -103324.05000000 -0.00256606353 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 STATE OF ILLINOIS STATE OF ILLINOIS Y Default Event 2024-06-20 0.00000000 USD -16207.14000000 USD 1610000.00000000 USD -87116.91000000 N N N Citigroup Commercial Mortgage N/A 17328FAV7 10000000.00000000 PA USD 10758103.00000000 0.267178607309 Long ABS-MBS CORP US N 2 2056-08-10 Fixed 2.62000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAH3 4640000.00000000 PA USD 5099385.94000000 0.126643780375 Long DBT CORP US N 2 2026-11-16 Fixed 3.50000000 N N N N N N SoFi Alternative Trust 549300R6IBV4OG5V8H03 83405CAA8 10978392.40000000 PA USD 11446194.87000000 0.284267440492 Long ABS-O CORP US N 2 2045-12-15 Fixed 0.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36180DPG6 197907.02000000 PA USD 209940.53000000 0.005213894905 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 3.50000000 N N N N N N RANGE RESOURCES CORP H3Y3WLYCX0BTO1TRW162 75281AAY5 50000.00000000 PA USD 45538.21000000 0.001130946183 Long DBT CORP US N 2 2022-08-15 Fixed 5.00000000 N N N N N N QUEST DIAGNOSTICS INC 8MCWUBXQ0WE04KMXBX50 74834LAZ3 1765000.00000000 PA USD 1981473.49000000 0.049210100282 Long DBT CORP US N 2 2026-06-01 Fixed 3.45000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAM8 1310000.00000000 PA USD 1475971.29000000 0.036655900551 Long DBT CORP US N 2 2029-01-23 Fixed 3.50900000 N N N N N N PPM CLO LTD 5493001Z3ZE83NGK8Y12 69355DAA5 10000000.00000000 PA USD 9724003.00000000 0.241496626218 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 2.36888000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SAN3 2950000.00000000 PA USD 3072857.79000000 0.076314742923 Long DBT CORP US N 2 2022-08-09 Fixed 2.85000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UCA8 21356274.79000000 PA USD 22646493.63000000 0.562428025508 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 3.50000000 N N N N N N UBS-Barclays Commercial Mortga 549300G1IXWLFE766Q13 90349GBE4 12184272.27000000 PA USD 12544994.96000000 0.311556255049 Long ABS-MBS CORP US N 2 2046-04-10 Fixed 2.97070000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BD8 890000.00000000 PA USD 1139498.35000000 0.028299560079 Long DBT CORP US N 2 2044-09-15 Fixed 4.90000000 N N N N N N HELLENIC REPUBLIC 2138003EKTMKZ5598902 000000000 1000000.00000000 PA 1475496.90000000 0.036644119026 Long DBT NUSS GR N 2 2035-02-24 Variable 3.65000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 476.85000000 0.000011842619 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES Mexico Government International Bond Y Default Event 2023-06-20 6426.52000000 USD 0.00000000 USD -565000.00000000 USD -5949.67000000 N N N Legacy Mortgage Asset Trust N/A 52475BAA0 1903192.07000000 PA USD 1926291.11000000 0.047839640133 Long ABS-O CORP US N 2 2059-01-25 Variable 3.75000000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059E5F7 2730000.00000000 PA USD 2311150.27000000 0.057397657414 Long DBT USGA US N 2 2030-09-15 None 0.00000000 N N N N N N CD Commercial Mortgage Trust N/A 12515HAY1 9000000.00000000 PA USD 9789867.00000000 0.243132365511 Long ABS-MBS CORP US N 2 2050-08-15 Fixed 3.17100000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AD9 595000.00000000 PA USD 613540.57000000 0.015237343890 Long DBT CORP CA N 2 2028-01-15 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179T7L3 4754178.29000000 PA USD 5086124.72000000 0.126314436596 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.50000000 N N N N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 22471000.00000000 OU Other USD 475732.24000000 0.011814859676 N/A DIR CORP US N 2 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2021-08-20 0.00000000 USD 0.00000000 USD 0.00000000 USD 22471000.00000000 USD 0.15000000 USD 2021-08-20 XXXX 475732.24000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FGD2 2225321.61000000 PA USD 2442965.65000000 0.060671306091 Long ABS-MBS USGA US N 2 2040-05-20 Fixed 4.50000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F030678 -36500000.00000000 PA USD -38430507.63000000 -0.95442565541 Short ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.00000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 140411.47000000 0.003487133466 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-03-02 1159.07000000 USD 0.00000000 USD 42100000.00000000 ZAR 139252.40000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KR1 3835000.00000000 PA USD 4850625.96000000 0.120465800390 Long DBT CORP US N 2 2046-05-18 Fixed 4.75000000 N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31359MEU3 4310000.00000000 PA USD 6243032.72000000 0.155046367144 Long DBT USGSE US N 2 2029-05-15 Fixed 6.25000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AJ6 500000.00000000 PA USD 476694.90000000 0.011838767438 Long DBT CORP CA N 2 2030-01-30 Fixed 5.25000000 N N N N N OZLM Ltd N/A 67108WBE8 9917077.72000000 PA USD 9772896.30000000 0.242710896411 Long ABS-CBDO CORP KY N 2 2029-07-17 Floating 2.14488000 N N N N N N Morgan Stanley Capital Inc N/A 61746REV9 1394479.11000000 PA USD 1348092.32000000 0.033480013026 Long ABS-MBS CORP US N 2 2034-01-25 Floating 0.92450000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J6A80 7399163.91000000 PA USD 8179342.85000000 0.203134830682 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N LYB INTL FINANCE BV 549300J6QSW38QNOJK61 50247VAC3 1950000.00000000 PA USD 2287314.96000000 0.056805705010 Long DBT CORP NL N 2 2044-03-15 Fixed 4.87500000 N N N N N N CFCRE Commercial Mortgage Trus N/A 12532AAY5 19000000.00000000 PA USD 19918528.40000000 0.494678725196 Long ABS-MBS CORP US N 2 2049-11-10 Fixed 2.95000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 1.00000000 NC USD -1543.15000000 -0.00003832429 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -400000.00000000 USD 354642.31000000 EUR 2020-07-02 -1543.15000000 N N N Fannie Mae or Freddie Mac N/A 01F030678 36500000.00000000 PA USD 38430507.63000000 0.954425655414 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.00000000 N N N N N N DOLLAR TREE INC 549300PMSTQITB1WHR43 256746AH1 8614000.00000000 PA USD 10003337.07000000 0.248433916910 Long DBT CORP US N 2 2028-05-15 Fixed 4.20000000 N N N N N MEDTRONIC GLOBAL HLDINGS 549300JXMTTP8GKYIX14 58507LAJ8 600000.00000000 PA 733832.31000000 0.018224801768 Long DBT CORP LU N 2 2031-03-07 Fixed 1.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36177RDR9 496760.47000000 PA USD 529155.64000000 0.013141635374 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 3.50000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PDZ8 1985000.00000000 PA USD 1999602.49000000 0.049660335883 Long DBT NUSS DO N 2 2028-07-19 Fixed 6.00000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAH7 2100000.00000000 PA USD 2168387.59000000 0.053852131403 Long DBT CORP US N 2 2021-11-15 Fixed 4.00000000 N N N N N SOUTHERN COPPER CORP 2549007U6NAP46Q9TU15 84265VAE5 850000.00000000 PA USD 1153073.14000000 0.028636691401 Long DBT CORP US N 2 2040-04-16 Fixed 6.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CGE8 3448948.03000000 PA USD 3654521.30000000 0.090760416712 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.50000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AE7 1550000.00000000 PA USD 1546256.97000000 0.038401452727 Long DBT CORP US N 2 2026-08-18 Fixed 3.50000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAY2 6035000.00000000 PA USD 6248127.23000000 0.155172889830 Long DBT CORP US N 2 2049-10-01 Fixed 4.87500000 N N N N N Allegro CLO Ltd 635400EGZEWLZ9KRXG08 01750LAA1 5000000.00000000 PA USD 4857335.00000000 0.120632420096 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 2.31888000 N N N N N N Navient Student Loan Trust N/A 63941MAB7 4700000.00000000 PA USD 4802569.98000000 0.119272325126 Long ABS-O CORP US N 2 2068-05-15 Fixed 2.64000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 000000000 2350000.00000000 PA 2592933.00000000 0.064395760831 Long DBT CORP US N 2 2039-10-01 Fixed 1.50000000 N N N N N N Morgan Stanley BAML Trust 549300PFVBG5704L7K74 61762DAV3 11944457.55000000 PA USD 12298506.80000000 0.305434695950 Long ABS-MBS CORP US N 2 2046-05-15 Fixed 2.83400000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -627225.66000000 -0.01557721452 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2045-11-15 0.00000000 USD 0.00000000 USD -7050000.00000000 USD -627225.66000000 N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 23246.32000000 0.000577324775 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-02-13 0.00000000 USD 0.00000000 USD 213000000.00000000 HUF 23246.32000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36176H5V2 63502.10000000 PA USD 69757.61000000 0.001732437502 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179NDR6 5110424.98000000 PA USD 5562767.60000000 0.138151912112 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 3.50000000 N N N N N N GAZPROM (GAZ CAPITAL SA) 213800568PRHV2JR9650 368266AR3 2238000.00000000 PA USD 2361173.25000000 0.058639983327 Long DBT CORP LU N 2 2022-07-19 Fixed 4.95000000 N N N N N N CORP ANDINA DE FOMENTO UKZ46SXGNYCZK0UOZE76 219868BX3 3495000.00000000 PA USD 3518366.00000000 0.087378985671 Long DBT NUSS N/A N 2 2021-09-27 Fixed 2.12500000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAW6 935000.00000000 PA USD 937117.96000000 0.023273422037 Long DBT CORP US N 2 2039-10-01 Fixed 4.62500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828K74 32280000.00000000 PA USD 35046497.04000000 0.870383400329 Long DBT UST US N 2 2025-08-15 Fixed 2.00000000 N N N N N N SALLY HOLDINGS/SALLY CAP N/A 79546VAL0 2500000.00000000 PA USD 2427962.85000000 0.060298709992 Long DBT CORP US N 2 2025-12-01 Fixed 5.62500000 N N N N N HELLENIC REPUBLIC 2138003EKTMKZ5598902 000000000 1000000.00000000 PA 1220251.31000000 0.030305068242 Long DBT NUSS GR N 2 2023-02-24 Variable 3.65000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H022689 22000000.00000000 PA USD 23101718.64000000 0.573733585995 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N WESTROCK RKT LLC PQQ60KVT5SJX0ETQT497 772739AL2 1250000.00000000 PA USD 1326595.93000000 0.032946147944 Long DBT CORP US N 2 2022-03-01 Fixed 4.90000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCK3 7332000.00000000 PA USD 8878428.78000000 0.220496702489 Long DBT CORP US N 2 2035-03-15 Fixed 4.55000000 N N N N N N JAPAN FIN ORG MUNICIPAL 5493007YYYNZ4NMEOD64 471068AK2 3800000.00000000 PA USD 3938960.15000000 0.097824485146 Long DBT NUSS JP N 2 2022-04-20 Fixed 2.62500000 N N N N N N OCP CLO Ltd 254900NXH68CRC058O44 67102SAL8 15100000.00000000 PA USD 14693562.36000000 0.364916149972 Long ABS-CBDO CORP KY N 2 2031-04-26 Floating 2.07138000 N N N N N N SPRINT CAPITAL CORP 549300L17W0GQBR1PO80 852060AT9 1500000.00000000 PA USD 2145462.87000000 0.053282793596 Long DBT CORP US N 2 2032-03-15 Fixed 8.75000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38143U8H7 1290000.00000000 PA USD 1443414.36000000 0.035847345807 Long DBT CORP US N 2 2026-02-25 Fixed 3.75000000 N N N N N N Morgan Stanley Capital Inc N/A 61746RDX6 104456.82000000 PA USD 102568.92000000 0.002547309799 Long ABS-MBS CORP US N 2 2033-10-25 Floating 1.20450000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -53992.14000000 -0.00134090041 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES Mexico Government International Bond Y Default Event 2023-06-20 0.00000000 USD -22019.32000000 USD 470000.00000000 USD -31972.82000000 N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 000000000 225681.01000000 PA 109027.62000000 0.002707712286 Long DBT NUSS AR N 2 2033-12-31 Fixed 7.82000000 N N N N N N Hertz Vehicle Financing LLC 549300FPK70TCB78NG05 42806DAU3 241370.45000000 PA USD 238711.59000000 0.005928427173 Long ABS-O CORP US N 2 2022-03-25 Fixed 2.95000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RG5 3300000.00000000 PA USD 4665890.63000000 0.115877879249 Long DBT UST US N 2 2044-05-15 Fixed 3.37500000 N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 340.00000000 NC USD 243974.54000000 0.006059133084 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2020-09-21 53300714.66000000 USD 243974.54000000 N N N Structured Asset Investment Lo N/A 86358EKX3 2200015.67000000 PA USD 2119598.06000000 0.052640438349 Long ABS-MBS CORP US N 2 2034-09-25 Floating 1.12450000 N N N N N N NUTRIEN LTD 5493002QQ7GD21OWF963 67077MAS7 4910000.00000000 PA USD 6123938.38000000 0.152088646819 Long DBT CORP CA N 2 2045-01-15 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X3EH1 509072.01000000 PA USD 545400.85000000 0.013545086854 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.00000000 N N N N N N Mountain View CLO Ltd N/A 62432BAN3 10000000.00000000 PA USD 9700817.00000000 0.240920799496 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 2.33888000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 64036.52000000 0.001590353636 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF CHILE Chile Government International Bond Y Default Event 2023-12-20 0.00000000 USD -3207.82000000 USD 4500000.00000000 USD 67244.34000000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAE3 7290000.00000000 PA USD 7551936.19000000 0.187553121004 Long DBT CORP CH N 2 2023-08-15 Fixed 2.85900000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RC4 30985000.00000000 PA USD 45242941.41000000 1.123613157126 Long DBT UST US N 2 2043-08-15 Fixed 3.62500000 N N N N N CD Commercial Mortgage Trust N/A 12515BAD0 25000000.00000000 PA USD 26730457.50000000 0.663853693128 Long ABS-MBS CORP US N 2 2057-08-15 Fixed 2.65700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJR83 316204.81000000 PA USD 332678.82000000 0.008262113107 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 3.00000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 476.85000000 0.000011842619 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES Mexico Government International Bond Y Default Event 2023-06-20 6999.09000000 USD 0.00000000 USD -565000.00000000 USD -6522.24000000 N N N NIDDA BONDCO GMBH 391200JPUEK6AMI9PQ76 000000000 3211000.00000000 PA 3553445.12000000 0.088250179266 Long DBT CORP DE N 2 2025-09-30 Fixed 5.00000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 3738977.71000000 0.092857900442 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 IHS MARKIT LTD CDX.EM.30.V1 Y Default Event 2023-12-20 0.00000000 USD -29292.04000000 USD -141000000.00000000 USD 3768269.75000000 N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114GL8 932355.27000000 PA USD 421139.21000000 0.010459036096 Long DBT NUSS AR N 2 2033-12-31 Fixed 8.28000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC 90919.13000000 0.002257986053 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2030-02-18 0.00000000 USD 0.00000000 USD 5947000000.00000000 COP 90919.13000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BDZ6 1105000.00000000 PA USD 1254728.75000000 0.031161319051 Long DBT CORP US N 2 2026-01-27 Fixed 3.87500000 N N N N N N SOUTHWESTERN ELEC POWER R64UBJHEC74EB3HGQ410 845437BQ4 4655000.00000000 PA USD 4907069.55000000 0.121867582820 Long DBT CORP US N 2 2048-02-01 Fixed 3.85000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RHW5 1075000.00000000 PA USD 1206831.87000000 0.029971795053 Long DBT CORP US N 2 2027-02-15 Fixed 3.80000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 4657000.00000000 OU Other USD 103927.09000000 0.002581040093 N/A DIR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP GB US 2023-07-12 0.00000000 USD 0.00000000 USD 0.00000000 USD 4657000.00000000 USD 0.11250000 USD 2021-07-12 XXXX 103927.09000000 N N N Park Avenue Funding Trust 2020 N/A 70019TAA6 20860000.00000000 PA USD 20860000.00000000 0.518060270335 Long ABS-MBS CORP US N 2 2022-06-02 Floating 2.18363000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFP9 8575000.00000000 PA USD 9490373.10000000 0.235694403344 Long DBT CORP US N 2 2025-04-21 Fixed 3.95000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122BT4 2000000.00000000 PA USD 2640504.60000000 0.065577206466 Long DBT CORP US N 2 2044-05-15 Fixed 4.62500000 N N N N N N OneMain Direct Auto Receivable N/A 68268XAB7 4600000.00000000 PA USD 4684282.12000000 0.116334633816 Long ABS-O CORP US N 2 2025-04-14 Fixed 3.71000000 N N N N N N NORTHERN STATES PWR-MINN 3S1GHB0TEH85KX44SB51 665772CQ0 4475000.00000000 PA USD 5259151.30000000 0.130611569713 Long DBT CORP US N 2 2047-09-15 Fixed 3.60000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 4528000.00000000 OU Other USD 90264.76000000 0.002241734706 N/A DIR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP GB US 2021-11-09 0.00000000 USD 0.00000000 USD 0.00000000 USD 4528000.00000000 USD 0.20500000 USD 2021-11-09 XXXX 63662.76000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -18067.89000000 -0.00044871792 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 HELLENIC REPUBLIC Hellenic Republic Government Bond Y Default Event 2024-06-20 0.00000000 USD -328165.88000000 USD 2000000.00000000 USD 310097.99000000 N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DF9 55000.00000000 PA USD 47384.56000000 0.001176800477 Long DBT CORP US N 2 2036-09-15 Fixed 6.45000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -105174.09000000 -0.00261200946 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 HELLENIC REPUBLIC Hellenic Republic Government Bond Y Default Event 2026-06-20 0.00000000 USD -399705.51000000 USD 3000000.00000000 USD 294531.42000000 N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAR6 2205000.00000000 PA USD 2371703.40000000 0.058901500698 Long DBT CORP KZ N 2 2025-04-24 Fixed 4.75000000 N N N N N N SOUTHWEST AIRLINES CO UDTZ87G0STFETI6HGH41 844741BK3 2945000.00000000 PA USD 3057144.60000000 0.075924504215 Long DBT CORP US N 2 2027-06-15 Fixed 5.12500000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VAT0 1600000.00000000 PA USD 2047589.15000000 0.050852089577 Long DBT CORP US N 2 2041-02-01 Fixed 5.95000000 N N N N N N PAR PHARMACEUTICAL INC 549300KK5WR4MGN4YT97 69888XAA7 281000.00000000 PA USD 288126.03000000 0.007155639932 Long DBT CORP US N 2 2027-04-01 Fixed 7.50000000 N N N N N N ASCENT RESOURCES/ARU FIN N/A 04364VAG8 650000.00000000 PA USD 421742.33000000 0.010474014644 Long DBT CORP US N 2 2026-11-01 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKSJ5 2316569.23000000 PA USD 2444116.13000000 0.060699878381 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 3.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828YG9 16535000.00000000 PA USD 17750580.94000000 0.440837524467 Long DBT UST US N 2 2026-09-30 Fixed 1.62500000 N N N N N N LAUREL ROAD PRIME STUDENT LOAN TRUST 2018-C N/A 51888JAA6 5070070.82181500 PA USD 5237303.05000000 0.130068966151 Long ABS-O CORP US N 2 2043-08-25 Variable 0.01000000 N N N N N N RANGE RESOURCES CORP H3Y3WLYCX0BTO1TRW162 75281ABA6 1950000.00000000 PA USD 1663194.49000000 0.041305608202 Long DBT CORP US N 2 2023-03-15 Fixed 5.00000000 N N N N N N Merrill Lynch Mortgage Investo N/A 59020UCP8 691800.66000000 PA USD 687391.68000000 0.017071443891 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.02950000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EHT69 2120645.40000000 PA USD 2357524.63000000 0.058549369469 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N SOUTHERN POWER CO 5LADC78JBG2BMZD5XF57 843646AH3 1025000.00000000 PA USD 1170274.11000000 0.029063879280 Long DBT CORP US N 2 2041-09-15 Fixed 5.15000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 000000000 1.00000000 NC USD -285610.77000000 -0.00709317318 N/A DCR CORP US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BOEING CO/THE BOEING CO/THE Y Default Event 2021-12-20 110425.58000000 USD 0.00000000 USD 13800000.00000000 USD -396036.35000000 N N N SPECTRUM BRANDS INC 549300VU3EH2E73C1Q04 000000000 2250000.00000000 PA 2473568.26000000 0.061431325094 Long DBT CORP US N 2 2026-10-01 Fixed 4.00000000 N N N N N N AMERICAN TRANSMISSION SY N/A 030288AB0 2300000.00000000 PA USD 2878265.68000000 0.071482027626 Long DBT CORP US N 2 2044-09-01 Fixed 5.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC 138641.25000000 0.003443169868 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2025-02-18 0.00000000 USD 0.00000000 USD 8418000000.00000000 COP 138641.25000000 N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC 1942576.51000000 0.048244089737 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 ITRAXX.EU.33.V1 ITRAXX.EU.33.V1 Y Default Event 2025-06-20 826118.64000000 USD 0.00000000 USD 102000000.00000000 EUR 1116457.87000000 N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 000000000 2520000.00000000 PA 3181331.06000000 0.079008687870 Long DBT CORP NL N 2 2034-01-16 Fixed 6.62500000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148BAC2 1035000.00000000 PA USD 1046347.47000000 0.025986148282 Long DBT CORP US N 2 N/A Fixed 5.30000000 N N N N N N Home Re Ltd 254900GFKVQN72ENGJ20 43731AAA1 383460.13000000 PA USD 377729.82000000 0.009380959379 Long ABS-MBS CORP BM N 2 2029-05-25 Floating 1.83450000 N N N N N N PICARD BONDCO 52990070XME2A28A7N53 000000000 2360000.00000000 PA 2638202.70000000 0.065520038540 Long DBT CORP LU N 2 2024-11-30 Fixed 5.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAL0 3690000.00000000 PA USD 4447475.93000000 0.110453527450 Long DBT CORP US N 2 2048-11-15 Fixed 3.96400000 N N N N N N CHICAGO IL O'HARE INTERNATIONA N/A 167593AN2 2970000.00000000 PA USD 4422864.57000000 0.109842301763 Long DBT MUN US N 2 2040-01-01 Fixed 6.39500000 N N N N N N HELLENIC REPUBLIC 2138003EKTMKZ5598902 000000000 745000.00000000 PA 1178775.82000000 0.029275020133 Long DBT NUSS GR N 2 2034-07-17 Fixed 5.20000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -27570.45000000 -0.00068471499 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 PETROLEOS MEXICANOS PETROLEOS MEXICANOS Y Default Event 2023-06-20 0.00000000 USD -9303.84000000 USD 240000.00000000 USD -18266.61000000 N N N Credit Suisse Mortgage Trust N/A 12655WAA0 238833.81000000 PA USD 236721.56000000 0.005879004571 Long ABS-MBS CORP US N 2 2045-09-25 Floating 1.52875000 N N N N N N Wells Fargo Commercial Mortgag N/A 95001WAY4 13200000.00000000 PA USD 14627964.12000000 0.363287010856 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 3.74900000 N N N N N N RANGE RESOURCES CORP H3Y3WLYCX0BTO1TRW162 75281ABC2 2150000.00000000 PA USD 1935562.59000000 0.048069898304 Long DBT CORP US N 2 2026-02-01 Fixed 9.25000000 N N N N N CRED SUIS GP FUN LTD 549300PXR5FKNXF0OH19 225433AT8 5555000.00000000 PA USD 5973899.77000000 0.148362422330 Long DBT CORP GG N 2 2023-06-09 Fixed 3.80000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAS8 2030000.00000000 PA USD 2390563.73000000 0.059369898955 Long DBT CORP US N 2 2037-09-20 Fixed 5.00000000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC 184583.33000000 0.004584146205 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2024-10-11 0.00000000 USD -118.83000000 USD 50000000.00000000 CNY 184702.16000000 N N N TH MSR ISSUER TRUST N/A 87271AAA4 15400000.00000000 PA USD 14444300.64000000 0.358725709222 Long ABS-O CORP US N 2 2024-06-25 Floating 2.98450000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RB6 3380000.00000000 PA USD 4413012.50000000 0.109597624580 Long DBT UST US N 2 2043-05-15 Fixed 2.87500000 N N N N N OZLM Ltd N/A 67113DAC8 12500000.00000000 PA USD 12156371.25000000 0.301904744778 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 2.52525000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAS8 1770000.00000000 PA USD 1968998.11000000 0.048900272922 Long DBT CORP NL N 2 2027-01-17 Fixed 7.37500000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BA1 1000000.00000000 PA USD 1335420.42000000 0.033165305071 Long DBT CORP US N 2 2045-10-23 Fixed 6.48400000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CD4 218000.00000000 PA USD 227423.77000000 0.005648092989 Long DBT CORP US N 2 2060-06-01 Fixed 2.67500000 N N N N N N JACKSON MILL CLO LTD 635400GWSUQH85DLFS40 468367AJ6 12468873.67000000 PA USD 12324233.49000000 0.306073620973 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 2.04888000 N N N N N N BELLEMEADE RE LT 254900SCWI9IDKK5LV64 07877GAB5 2700000.00000000 PA USD 2615877.99000000 0.064965602045 Long ABS-MBS CORP BM N 2 2029-07-25 Floating 1.78450000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 138758.29000000 0.003446076568 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-03-12 0.00000000 USD -297.77000000 USD 31000000.00000000 ZAR 139056.06000000 N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 000000000 510000.00000000 PA USD 548380.46000000 0.013619085779 Long DBT NUSS UA N 2 2024-02-01 Fixed 8.99400000 N N N N N N NEW JERSEY ST TURNPIKE AUTH 5493005YN67D71KSMI84 646139X83 1750000.00000000 PA USD 2904247.52000000 0.072127289325 Long DBT MUN US N 2 2041-01-01 Fixed 7.10200000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -109874.79000000 -0.00272875184 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 UNITED MEXICAN STATES Mexico Government International Bond Y Default Event 2023-12-20 0.00000000 USD -13900.58000000 USD 19500000.00000000 USD -95974.21000000 N N N Freddie Mac N/A 3132A5JX4 9745481.66000000 PA USD 10321235.56000000 0.256328958984 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.00000000 N N N N N N Morgan Stanley Capital I Trust N/A 61771MAV2 5300000.00000000 PA USD 5821578.83000000 0.144579515937 Long ABS-MBS CORP US N 2 2052-07-15 Fixed 3.00500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BEG7 2590000.00000000 PA USD 3344162.70000000 0.083052628591 Long DBT CORP US N 2 2047-01-22 Fixed 4.37500000 N N N N N EG FINCO LTD 2138003OUK4UQHRJLT65 000000000 583217.82000000 PA 589720.70000000 0.014645774940 Long LON CORP GB N 2 2026-04-20 Floating 8.75000000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 903724AP7 1550000.00000000 PA USD 1615852.37000000 0.040129861726 Long DBT NUSS UA N 2 2022-09-01 Fixed 7.75000000 N N N N N N ONEOK PARTNERS LP T4DHW82NMF6BXJT50795 68268NAD5 3400000.00000000 PA USD 3808208.79000000 0.094577261516 Long DBT CORP US N 2 2037-10-15 Fixed 6.85000000 N N N N N N PROVINCIA DE BUENOS AIRE 549300L6AYROPOTQ4L07 11943AAD6 5210000.00000000 PA USD 2121282.40000000 0.052682269108 Long DBT NUSS AR N 2 2021-06-09 Fixed 9.95000000 N N N N N N BELLEMEADE RE LT 254900KXN235YISGF415 07876LAA7 1562227.71000000 PA USD 1556840.52000000 0.038664296292 Long ABS-MBS CORP BM N 2 2029-10-25 Floating 1.58450000 N N N N N N PPL CAPITAL FUNDING INC 549300MROK5WY0D2NU17 69352PAM5 2930000.00000000 PA USD 3154253.82000000 0.078336221797 Long DBT CORP US N 2 2047-09-15 Fixed 4.00000000 N N N N N N NOVA CHEMICALS CORP 5493007M1XGU5E55ZJ25 66977WAQ2 1800000.00000000 PA USD 1674891.94000000 0.041596115590 Long DBT CORP CA N 2 2024-06-01 Fixed 4.87500000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZU0 17795000.00000000 PA USD 17094672.44000000 0.424547968627 Long DBT CORP US N 2 2022-11-01 Fixed 3.35000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DG2 12250000.00000000 PA USD 13513671.17000000 0.335613429509 Long DBT CORP US N 2 2029-08-15 Fixed 3.25000000 N N N N N N IQVIA INC 549300PLWY28YB00C717 000000000 2700000.00000000 PA 2920518.69000000 0.072531385525 Long DBT CORP US N 2 2028-01-15 Fixed 2.25000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 364343.21000000 0.009048501527 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 CHINA GOVERNMENT INTERNATIONAL BOND CHINA GOVERNMENT INTERNATIONAL BOND Y Default Event 2023-12-20 0.00000000 USD -10692.75000000 USD 15000000.00000000 USD 375035.96000000 N N N Wellfleet CLO Ltd 254900TEETF3L54VTH19 94950HAA3 4500000.00000000 PA USD 4379259.15000000 0.108759356621 Long ABS-CBDO CORP KY N 2 2031-01-17 Floating 2.28488000 N N N N N N GS Mortgage Securities Trust 549300V3F4KBEWHAZP46 36250HAD5 8000000.00000000 PA USD 8510697.60000000 0.211364060374 Long ABS-MBS CORP US N 2 2047-11-10 Fixed 3.36400000 N N N N N N DH EUROPE FINANCE 222100KDGL314CKTZ511 000000000 4760000.00000000 PA 5084438.21000000 0.126272551945 Long DBT CORP LU N 2 2039-09-18 Fixed 1.35000000 N N N N N N FHLMC Multifamily Structured P N/A 3137FG6Q3 5230000.00000000 PA USD 5941203.64000000 0.147550410539 Long ABS-MBS USGSE US N 2 2028-04-25 Variable 3.33611700 N N N N N N Citigroup Commercial Mortgage N/A 17323YAC3 22270552.47000000 PA USD 24187062.68000000 0.600688218151 Long ABS-MBS CORP US N 2 2048-06-10 Fixed 3.49700000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRY8 5075000.00000000 PA USD 5738769.35000000 0.142522933885 Long DBT CORP US N 2 2028-02-01 Fixed 3.78200000 N N N N N N MYLAN NV 549300A0CD4KNFGIIS89 62854AAP9 5935000.00000000 PA USD 7310568.48000000 0.181558728813 Long DBT CORP NL N 2 2046-06-15 Fixed 5.25000000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC 215171.81000000 0.005343814288 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2025-01-02 0.00000000 USD 0.00000000 USD 15721810.26000000 BRL 215171.81000000 N N N Zais CLO 6 LTD 549300ZPQFDVEE67IB71 98887TAA6 7678051.26000000 PA USD 7547734.77000000 0.187448778301 Long ABS-CBDO CORP KY N 2 2029-07-15 Floating 2.58888000 N N N N N N UNITED AIR 2016-2 AA PTT N/A 90932EAA1 2863888.88000000 PA USD 2674322.63000000 0.066417080760 Long DBT CORP US N 2 2028-10-07 Fixed 2.87500000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 25737.31000000 0.000639188771 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF PANAMA Panama Government International Bond Y Default Event 2023-12-20 0.00000000 USD -3207.82000000 USD 4500000.00000000 USD 28945.13000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36290TK24 193433.76000000 PA USD 206563.69000000 0.005130030732 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 3.50000000 N N N N N N BELLEMEADE RE LT N/A 07876TAB8 720000.00000000 PA USD 720000.00000000 0.017881274910 Long ABS-MBS CORP US N 2 2030-06-25 Floating 3.59500000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BX6 8500000.00000000 PA USD 9372641.37000000 0.232770523581 Long DBT CORP US N 2 2029-06-15 Fixed 4.12500000 N N N N N N ISRAEL ELECTRIC CORP LTD 254900JW7GE35YNJGJ55 465077AL9 2385000.00000000 PA USD 2697789.43000000 0.066999881180 Long DBT CORP IL N 2 2028-08-14 Fixed 4.25000000 N N N N N N STRIP PRINC 254900HROIFWPRGM1V77 912803EK5 8305000.00000000 PA USD 5804740.80000000 0.144161341710 Long DBT UST US N 2 2044-11-15 None 0.00000000 N N N N N N Freddie Mac N/A 312944TR2 2194366.09000000 PA USD 2407227.72000000 0.059783750881 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AD6 1925000.00000000 PA USD 1604748.32000000 0.039854091489 Long DBT CORP US N 2 2044-04-01 Fixed 5.45000000 N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 120111BM0 2915000.00000000 PA USD 2995148.33000000 0.074384820399 Long DBT CORP US N 2 2024-11-15 Fixed 5.37500000 N N N N N N GS Mortgage Securities Corp. N/A 36250FAH0 2452882.88000000 PA USD 2400040.18000000 0.059605247577 Long ABS-MBS CORP US N 2 2036-10-26 Floating 0.32450000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 78678.77000000 0.001953995438 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 PENERBANGAN MALAYSIA BERHAD PENERBANGAN MALAYSIA BERHAD Y Default Event 2023-12-20 0.00000000 USD -3207.82000000 USD 4500000.00000000 USD 81886.59000000 N N N LIMA METRO LINE 2 FIN LT 5493009BVQNQT1UKQ352 000000000 322988.20000000 PA USD 380242.95000000 0.009443373224 Long DBT CORP KY N 2 2034-07-05 Fixed 5.87500000 N N N N N N Argent Securities Inc. N/A 040104LM1 769141.35000000 PA USD 745368.73000000 0.018511309959 Long ABS-MBS CORP US N 2 2034-10-25 Floating 0.96450000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912834KP2 40000000.00000000 PA USD 29779687.60000000 0.739581639912 Long DBT UST US N 2 2041-08-15 None 0.00000000 N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26884TAR3 5690000.00000000 PA USD 5766701.43000000 0.143216629998 Long DBT CORP US N 2 2026-12-01 Fixed 3.30000000 N N N N N N Central Park Funding Trust N/A 15479MAA9 4384294.93000000 PA USD 4337959.51000000 0.107733675764 Long ABS-MBS CORP US N 2 2024-04-25 Floating 1.83763000 N N N N N N Fannie Mae - CAS N/A 20753MAF5 5204691.18000000 PA USD 5139452.98000000 0.127638849482 Long ABS-MBS CORP US N 2 2031-09-25 Floating 2.33450000 N N N N N N COMMONWEALTH EDISON CO D8YOXB8L2ZDC8P7Q0771 202795JM3 2300000.00000000 PA USD 2840132.05000000 0.070534974957 Long DBT CORP US N 2 2048-03-01 Fixed 4.00000000 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AP8 1200000.00000000 PA USD 1307561.48000000 0.032473425398 Long DBT CORP NL N 2 2024-04-09 Fixed 3.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WAQ59 88087.71000000 PA USD 95791.06000000 0.002378980941 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.00000000 N N N N N N Fanniemae-Aces N/A 3136AQC99 10403623.12000000 PA USD 11371938.26000000 0.282423269857 Long ABS-MBS USGSE US N 2 2025-11-25 Variable 3.01510900 N N N N N N PROVINCE OF QUEBEC 549300WN65YFEQH74Y36 74815HCB6 3520000.00000000 PA USD 4619206.42000000 0.114718472036 Long DBT NUSS CA N 2 2026-02-27 Variable 7.14000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36182CR33 136561.46000000 PA USD 145772.46000000 0.003620274210 Long ABS-MBS USGA US N 2 2044-01-15 Fixed 3.50000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBY1 12500000.00000000 PA USD 12703497.75000000 0.315492688330 Long DBT CORP US N 2 2022-06-30 Fixed 3.15000000 N N N N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD -528261.09000000 -0.01311941913 N/A DFE CORP US N 2 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 -129155946.67000000 USD 114483713.90000000 EUR 2020-07-02 -528261.09000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAP3 3610000.00000000 PA USD 4108265.20000000 0.102029193678 Long DBT CORP US N 2 2029-01-24 Fixed 3.77200000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BE2 1365000.00000000 PA USD 1419112.80000000 0.035243814036 Long DBT CORP US N 2 2030-06-15 Fixed 4.62500000 N N N N N N Freddie Mac N/A 3128M95X6 1985381.00000000 PA USD 2196432.24000000 0.054548623203 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4.50000000 N N N N N N MEDTRONIC GLOBAL HLDINGS 549300JXMTTP8GKYIX14 58507LAK5 805000.00000000 PA 1015073.28000000 0.025209450520 Long DBT CORP LU N 2 2039-03-07 Fixed 2.25000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 6514.08000000 0.000161777854 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 MEXICO GOVERNMENT INTERNATIONAL BOND MEXICO GOVERNMENT INTERNATIONAL BOND Y Default Event 2024-12-20 2237.25000000 USD 0.00000000 USD -355000.00000000 USD 4276.83000000 N N N HELLENIC REPUBLIC 2138003EKTMKZ5598902 000000000 850000.00000000 PA 1107346.07000000 0.027501054859 Long DBT NUSS GR N 2 2026-02-24 Variable 3.65000000 N N N N N N NATIONSTAR MTG HLD INC N/A 93369KAA3 1190000.00000000 PA USD 1220261.43000000 0.030305319573 Long DBT CORP US N 2 2023-07-15 Fixed 8.12500000 N N N N N N Asset Backed Funding Certifica N/A 04542BFW7 241120.91000000 PA USD 236045.10000000 0.005862204617 Long ABS-MBS CORP US N 2 2033-08-25 Floating 1.00950000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FDV5 761111.95000000 PA USD 839906.41000000 0.020859163078 Long ABS-MBS USGA US N 2 2040-01-20 Fixed 4.00000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAF7 3650000.00000000 PA USD 3839609.87000000 0.095357110605 Long DBT CORP US N 2 2043-10-02 Fixed 6.25000000 N N N N N N LOS ANGELES CA DEPT OF WTR & P N/A 544525NZ7 4900000.00000000 PA USD 6731668.85000000 0.167181696272 Long DBT MUN US N 2 2039-07-01 Fixed 6.00800000 N N N N N N LYONDELLBASELL IND NV BN6WCCZ8OVP3ITUUVN49 552081AD3 250000.00000000 PA USD 263749.51000000 0.006550246522 Long DBT CORP NL N 2 2021-11-15 Fixed 6.00000000 N N N N N N UNIV OF VIRGINIA VA UNIV REVEN N/A 915217WX7 1110000.00000000 PA USD 1502207.40000000 0.037307477073 Long DBT MUN US N 2 2117-09-01 Fixed 4.17900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EWWY7 1972386.66000000 PA USD 2073267.22000000 0.051489807117 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 3.00000000 N N N N N N OWENS CORNING JO5M6676RDJIZ2U8X907 690742AJ0 5000000.00000000 PA USD 5436895.20000000 0.135025857962 Long DBT CORP US N 2 2029-08-15 Fixed 3.95000000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZM3 7770000.00000000 PA USD 7575330.73000000 0.188134126839 Long DBT CORP US N 2 2021-04-19 Fixed 3.40000000 N N N N N N Eagle Re Ltd 254900L82OLW9QTLJ788 269822AB8 619611.70000000 PA USD 614490.11000000 0.015260925815 Long ABS-MBS CORP US N 2 2029-04-25 Floating 1.98450000 N N N N N N MPT OPER PARTNERSP/FINL N/A 000000000 4000000.00000000 PA 4766913.03000000 0.118386781063 Long DBT CORP US N 2 2025-03-24 Fixed 3.32500000 N N N N N N COMM Mortgage Trust 5493004GWEVMOU8S3L34 12591QAP7 15300000.00000000 PA USD 15737030.73000000 0.390830795506 Long ABS-MBS CORP US N 2 2047-08-10 Fixed 3.43000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NBF5 1211000.01000000 PA USD 1205764.36000000 0.029945283331 Long DBT CORP NL N 2 2030-01-15 Fixed 5.09300000 N N N N N N RANGE RESOURCES CORP H3Y3WLYCX0BTO1TRW162 75281AAS8 1000000.00000000 PA USD 754715.53000000 0.018743438710 Long DBT CORP US N 2 2025-05-15 Fixed 4.87500000 N N N N N N CF INDUSTRIES INC 5FVKT86LAD2F40NPC183 12527GAE3 2560000.00000000 PA USD 2771123.00000000 0.068821128020 Long DBT CORP US N 2 2044-03-15 Fixed 5.37500000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 181051.03000000 0.004496421167 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2045-11-15 53581.45000000 USD 0.00000000 USD -4604000.00000000 USD 127469.58000000 N N N COMM Mortgage Trust N/A 12594MBB3 12000000.00000000 PA USD 12689295.60000000 0.315139976457 Long ABS-MBS CORP US N 2 2049-10-10 Fixed 2.82600000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -2414366.21000000 -0.05996103602 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2045-11-15 0.00000000 USD -265368.45000000 USD -17348000.00000000 USD -2148997.76000000 N N N FRESENIUS MED CARE II 5493008GJ5TVVTY4UM62 35802XAH6 890000.00000000 PA USD 890399.53000000 0.022113164967 Long DBT CORP US N 2 2020-10-15 Fixed 4.12500000 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BT7 4690000.00000000 PA USD 3062085.95000000 0.076047223156 Long DBT CORP CA N 2 2027-04-15 Fixed 7.87500000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -820317.78000000 -0.02037267741 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 FED REPUBLIC OF BRAZIL Brazilian Government International Bond Y Default Event 2023-12-20 0.00000000 USD -16039.14000000 USD 22500000.00000000 USD -804278.64000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TQQ1 16565221.56000000 PA USD 17755086.35000000 0.440949416793 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 4.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -2446.00000000 NC USD -234392.69000000 -0.00582116684 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2020-09-30 -539911203.51000000 USD -234392.69000000 N N N Wells Fargo Commercial Mortgag N/A 95002MAW9 6400000.00000000 PA USD 6861852.16000000 0.170414812320 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 2.64300000 N N N N N N PGIM Core Ultra Short Bond Fund 1VRLPVAWKZCB406TIT84 000000000 6982032.54000000 NS USD 6982032.54000000 0.173399504562 Long STIV RF US N 1 N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 000000000 3245000.00000000 PA 3464573.34000000 0.086043039363 Long DBT NUSS EG N 2 2026-04-16 Fixed 4.75000000 N N N N N N Social Professional Loan Progr N/A 83406TAB8 7200000.00000000 PA USD 7460676.72000000 0.185286682571 Long ABS-O CORP US N 2 2046-05-15 Fixed 2.54000000 N N N N N N EG AMERICA LLC 549300BY1CRYVPEG9R57 000000000 862356.99000000 PA USD 776121.29000000 0.019275052987 Long LON CORP US N 3 2026-04-20 Floating 9.09760000 N N N N N N Laurel Road Prime Student Loan N/A 51889RAB5 3000000.00000000 PA USD 3090326.70000000 0.076748585121 Long ABS-O CORP US N 2 2048-10-25 Fixed 2.73000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2S1 44500000.00000000 PA USD 45970454.44000000 1.141681018918 Long DBT CORP US N 2 2028-06-02 Fixed 2.39300000 N N N N N N CORP ANDINA DE FOMENTO UKZ46SXGNYCZK0UOZE76 219868BZ8 970000.00000000 PA USD 1015148.43000000 0.025211316878 Long DBT NUSS N/A N 2 2023-01-06 Fixed 2.75000000 N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCD9 2046000.00000000 PA USD 2077532.99000000 0.051595747959 Long DBT CORP US N 2 2021-02-15 Fixed 4.87500000 N N N N N N KAISER FOUNDATION HOSPIT DW4Z57L3G4IRMHYZYK62 48305QAD5 2000000.00000000 PA USD 2612586.70000000 0.064883862515 Long DBT CORP US N 2 2047-05-01 Fixed 4.15000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 220930.12000000 0.005486822516 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-02-28 0.00000000 USD -23991.65000000 USD 78500000.00000000 ZAR 244921.77000000 N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 903724BV3 1600000.00000000 PA USD 1828810.69000000 0.045418703761 Long DBT NUSS UA N 2 2028-11-01 Fixed 9.75000000 N N N N N N One Bryant Park Trust N/A 68236JAA9 4600000.00000000 PA USD 4866686.38000000 0.120864662591 Long ABS-MBS CORP US N 2 2054-09-15 Fixed 2.51641000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 196662.42000000 0.004884131662 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-03-12 0.00000000 USD -430.51000000 USD 46700000.00000000 ZAR 197092.93000000 N N N ROMANIA 315700IASY927EDWBK92 77586TAC0 2000000.00000000 PA USD 2125105.82000000 0.052777224141 Long DBT NUSS RO N 2 2023-08-22 Fixed 4.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GWM4 970685.59000000 PA USD 1033938.37000000 0.025677966992 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 2.50000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 1483.23000000 0.000036836171 N/A DE CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 IOSFN30.450 IOSFN30.450 Y 2041-01-12 0.00000000 USD -3454.50000000 USD 1789401.71000000 USD 4937.73000000 N N N HP INC WHKXQACZ14C5XRO8LW03 40434LAA3 12575000.00000000 PA USD 12983206.51000000 0.322439284486 Long DBT CORP US N 2 2025-06-17 Fixed 2.20000000 N N N N N N Ace Securities Corp. N/A 004421FD0 953057.96000000 PA USD 863753.57000000 0.021451409778 Long ABS-MBS CORP US N 2 2034-05-25 Floating 0.82450000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GEU9 1346000.00000000 PA USD 1433415.26000000 0.035599017118 Long DBT CORP US N 2 2023-01-11 Fixed 3.30000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -675761.86000000 -0.01678261610 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-02-14 0.00000000 USD 0.00000000 USD -6700000.00000000 USD -675761.86000000 N N N Legacy Mortgage Asset Trust N/A 52472HAA0 1045830.15000000 PA USD 1053003.19000000 0.026151443781 Long ABS-O CORP US N 2 2054-12-28 Variable 4.00000000 N N N N N N Oportun Funding LLC N/A 68377FAA6 3900000.00000000 PA USD 3835226.07000000 0.095248238476 Long ABS-O CORP US N 2 2025-08-08 Fixed 3.08000000 N N N N N N Metlife Securitization Trust N/A 59166DAA5 670755.96000000 PA USD 714670.29000000 0.017748911008 Long ABS-MBS CORP US N 2 2057-03-25 Variable 3.75000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 372037.93000000 0.009239600699 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-02-14 0.00000000 USD 0.00000000 USD 3333000000.00000000 HUF 372037.93000000 N N N CIRSA FINANCE INTER 254900KUJN6DHWH2K029 000000000 1745000.00000000 PA 1710768.15000000 0.042487104998 Long DBT CORP LU N 2 2025-05-22 Fixed 4.75000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 476.85000000 0.000011842619 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES Mexico Government International Bond Y Default Event 2023-06-20 2319.81000000 USD 0.00000000 USD -565000.00000000 USD -1842.96000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HKK5 7950000.00000000 PA USD 7481249.56000000 0.185797611193 Long DBT CORP US N 2 N/A Floating 4.48663000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AH0 500000.00000000 PA USD 471143.72000000 0.011700903305 Long DBT CORP CA N 2 2028-01-30 Fixed 5.00000000 N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAN4 2000000.00000000 PA USD 2210756.30000000 0.054904362724 Long DBT CORP US N 2 2044-03-04 Fixed 5.40000000 N N N N N N GS Mortgage Securities Corp. N/A 36250FAA5 304006.60000000 PA USD 300919.29000000 0.007473361875 Long ABS-MBS CORP US N 2 2037-01-26 Floating 0.32450000 N N N N N N Structured Asset Investment Lo N/A 86358EKH8 401875.62000000 PA USD 398837.00000000 0.009905158391 Long ABS-MBS CORP US N 2 2034-08-25 Floating 1.02450000 N N N N N N AMERICAN AXLE & MFG INC RY5TAKFOBLDUGX31MS24 02406PAU4 2625000.00000000 PA USD 2546201.10000000 0.063235169232 Long DBT CORP US N 2 2027-04-01 Fixed 6.50000000 N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDA5 6540000.00000000 PA USD 6469587.35000000 0.160672874952 Long DBT CORP US N 2 2027-11-01 Fixed 5.12500000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BG8 2955000.00000000 PA USD 3027890.10000000 0.075197965664 Long DBT CORP US N 2 2028-01-15 Fixed 4.87500000 N N N N N N HELLENIC REPUBLIC 2138003EKTMKZ5598902 000000000 1295000.00000000 PA 1828743.80000000 0.045417042540 Long DBT NUSS GR N 2 2032-02-24 Variable 3.65000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36177T5R4 177909.03000000 PA USD 189989.39000000 0.004718406267 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XABP0 238632.35000000 PA USD 255078.53000000 0.006334901831 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.00000000 N N N N N N BMW US CAPITAL LLC KK5MZM9DIXLXZL9DZL15 05565EAV7 1090000.00000000 PA USD 1085732.68000000 0.026964284070 Long DBT CORP US N 2 2021-04-12 Floating 1.72138000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 000000000 460000.00000000 PA USD 462278.69000000 0.011480739362 Long DBT NUSS UA N 2 2020-09-01 Fixed 7.75000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAD5 6000000.00000000 PA USD 6633894.72000000 0.164753465581 Long DBT CORP GB N 2 2027-01-11 Fixed 3.75000000 N N N N N N FHLMC Multifamily Structured P N/A 3137AYCF6 30041475.73000000 PA USD 468917.39000000 0.011645612168 Long ABS-MBS USGSE US N 2 2022-10-25 Variable 0.93449600 N N N N N N COMM Mortgage Trust 549300MGZ5FI5VFL1177 12591KAE5 6567000.00000000 PA USD 7069693.34000000 0.175576569650 Long ABS-MBS CORP US N 2 2046-10-10 Fixed 4.04600000 N N N N N N CSAIL Commercial Mortgage Trus N/A 12595XAS2 7000000.00000000 PA USD 7977851.70000000 0.198130777008 Long ABS-MBS CORP US N 2 2051-08-15 Fixed 3.95850000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC -350474.09000000 -0.00870406048 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2025-05-11 0.00000000 USD -58875.83000000 USD -10015000.00000000 EUR -291598.26000000 N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAF9 3051000.00000000 PA USD 3094392.79000000 0.076849566889 Long DBT CORP US N 2 2027-07-31 Fixed 5.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SL3 6115000.00000000 PA USD 6998808.59000000 0.173816139509 Long DBT UST US N 2 2050-02-15 Fixed 2.00000000 N N N N N NGPL PIPECO LLC 549300K3NT1HSQFEM073 62912XAE4 600000.00000000 PA USD 618439.08000000 0.015358998896 Long DBT CORP US N 2 2022-08-15 Fixed 4.37500000 N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCZ2 1900000.00000000 PA USD 2151228.17000000 0.053425975422 Long DBT CORP US N 2 2050-02-01 Fixed 3.45000000 N N N N N N MARYLAND ST TRANSPRTN AUTH TRA N/A 574300HZ5 2200000.00000000 PA USD 3215234.07000000 0.079850672650 Long DBT MUN US N 2 2043-07-01 Fixed 5.88800000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CA5 2700000.00000000 PA USD 2827487.63000000 0.070220949471 Long DBT CORP DE N 2 2022-02-14 Fixed 5.00000000 N N N N N N CONSUMERS ENERGY CO 7NKTFWJ1G6MELP9TU740 210518DB9 3670000.00000000 PA USD 4624275.49000000 0.114844362917 Long DBT CORP US N 2 2048-05-15 Fixed 4.05000000 N N N N N N Freddie Mac N/A 3128P8FA4 1305145.24000000 PA USD 1404937.98000000 0.034891780907 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36176H7F5 384554.68000000 PA USD 422528.02000000 0.010493527337 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 3.50000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAS8 5155000.00000000 PA USD 6424094.09000000 0.159543045106 Long DBT CORP US N 2 2045-05-14 Fixed 4.70000000 N N N N N N AmeriCredit Automobile Receiva N/A 03066KAG5 4300000.00000000 PA USD 4426559.32000000 0.109934061264 Long ABS-O CORP US N 2 2025-04-18 Fixed 2.74000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCX0 1620000.00000000 PA USD 2142190.23000000 0.053201517241 Long DBT CORP US N 2 2048-09-15 Fixed 4.52200000 N N N N N N CIM Trust N/A 12552AAA2 2227926.91000000 PA USD 2227098.57000000 0.055310224699 Long ABS-MBS CORP US N 2 2057-01-25 Floating 2.17263000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CH3 725000.00000000 PA USD 764407.32000000 0.018984135323 Long DBT CORP US N 2 2029-06-15 Fixed 5.25000000 N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAG5 923000.00000000 PA USD 959130.81000000 0.023820113457 Long DBT CORP US N 2 2025-04-01 Fixed 4.00000000 N N N N N N EG GLOBAL FINANCE PLC 549300TL8Q5207VYET27 000000000 5600000.00000000 PA 6118122.15000000 0.151944200142 Long DBT CORP GB N 2 2025-10-30 Fixed 6.25000000 N N N N N N Radnor Re LTD 254900JBDDKUTX6TX151 75049TAA9 101857.05000000 PA USD 101772.08000000 0.002527520195 Long ABS-MBS CORP BM N 2 2029-06-25 Floating 1.38450000 N N N N N N Fannie Mae or Freddie Mac N/A 01F022675 -35000000.00000000 PA USD -36472460.85000000 -0.90579735991 Short ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2L7 6530000.00000000 PA USD 6673939.09000000 0.165747971676 Long DBT CORP FR N 2 2026-06-09 Fixed 2.21900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417CGC3 6115919.89000000 PA USD 6619366.39000000 0.164392652994 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 48128BAF8 6055000.00000000 PA USD 5809556.40000000 0.144280937637 Long DBT CORP US N 2 N/A Fixed 5.00000000 N N N N N N GS Mortgage Securities Corp. N/A 36250FAR8 2025000.00000000 PA USD 1909376.96000000 0.047419575458 Long ABS-MBS CORP US N 2 2036-10-26 Floating 0.32450000 N N N N N N CFCRE Commercial Mortgage Trus N/A 12532BAC1 13656000.00000000 PA USD 15014137.00000000 0.372877654510 Long ABS-MBS CORP US N 2 2054-12-10 Fixed 3.58530000 N N N N N N MARS INC 54930073HKEO6GZBSS03 571676AE5 2415000.00000000 PA USD 2916709.32000000 0.072436779425 Long DBT CORP US N 2 2044-04-01 Fixed 3.95000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36241LX84 260163.95000000 PA USD 277910.32000000 0.006901931711 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 3.50000000 N N N N N N NEW YORK CITY NY MUNI WTR FIN N/A 64972FY34 2000000.00000000 PA USD 3215220.04000000 0.079850324214 Long DBT MUN US N 2 2044-06-15 Fixed 5.88200000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134A3U46 4060000.00000000 PA USD 6110149.13000000 0.151746189361 Long DBT USGSE US N 2 2029-09-15 Fixed 6.75000000 N N N N N N INTERSTATE POWER & LIGHT EF9UQIIO4KY2BWOK3P26 461070AS3 3560000.00000000 PA USD 3631341.12000000 0.090184734530 Long DBT CORP US N 2 2030-06-01 Fixed 2.30000000 N N N N N N BRAZIL MINAS SPE N/A 000000000 2272000.00000000 PA USD 2295625.12000000 0.057012088698 Long DBT CORP KY N 2 2028-02-15 Fixed 5.33300000 N N N N N N FHLMC Multifamily Structured P N/A 3137FNX70 49981007.00000000 PA USD 4223630.00000000 0.104894290488 Long ABS-MBS USGSE US N 2 2029-07-25 Variable 1.21827900 N N N N N N CONTL AIRLINES 2012-1 A N/A 210795PZ7 3375665.23000000 PA USD 3162954.77000000 0.078552310796 Long DBT CORP US N 2 2024-04-11 Fixed 4.15000000 N N N N N N CHEMOURS CO 549300M1BOLNXL8DOV14 163851AD0 5000000.00000000 PA USD 4778032.05000000 0.118662923082 Long DBT CORP US N 2 2025-05-15 Fixed 7.00000000 N N N N N XYLEM INC 549300DF5MV96DRYLQ48 98419MAB6 1950000.00000000 PA USD 2051412.44000000 0.050947041382 Long DBT CORP US N 2 2021-10-01 Fixed 4.87500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 000000000 2150000.00000000 PA 2094360.13000000 0.052013651731 Long DBT CORP MX N 2 2028-02-21 Fixed 4.87500000 N N N N N N OCP CLO Ltd 2549003HLFPQ7ATPYA23 67113LAB2 8000000.00000000 PA USD 7865409.60000000 0.195338265756 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 2.46525000 N N N N N N Countrywide Asset-Backed Certi N/A 126673KY7 649213.93000000 PA USD 646137.69000000 0.016046896757 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.23450000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HJD3 8500000.00000000 PA USD 9023578.41000000 0.224101508652 Long DBT CORP US N 2 2022-01-24 Fixed 4.50000000 N N N N N N CIM Trust N/A 12553RAA4 5092355.91000000 PA USD 5073061.99000000 0.125990022337 Long ABS-MBS CORP US N 2 2065-12-25 Variable 3.00000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RDH2 165000.00000000 PA USD 205788.98000000 0.005110790729 Long DBT CORP US N 2 2042-03-15 Fixed 5.15000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TNS0 2397146.66000000 PA USD 2567790.21000000 0.063771337025 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 4.00000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 160275.59000000 0.003980460953 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-02-18 0.00000000 USD 0.00000000 USD 936000000.00000000 HUF 160275.59000000 N N N DANA FINANCING LUX SARL 222100DKCE3D036DQU13 235822AB9 1000000.00000000 PA USD 1015224.98000000 0.025213218005 Long DBT CORP LU N 2 2025-04-15 Fixed 5.75000000 N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRS1 5930000.00000000 PA USD 6578939.94000000 0.163388657902 Long DBT CORP US N 2 2026-06-15 Fixed 3.20000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAC9 3500000.00000000 PA USD 3826952.92000000 0.095042773935 Long DBT CORP US N 2 2045-09-15 Fixed 5.10000000 N N N N N N Citibank Credit Card Issuance R8AG6FXVDQAMDKCSJJ64 17305EGS8 6800000.00000000 PA USD 8177845.24000000 0.203097637382 Long ABS-O CORP US N 2 2030-10-13 Fixed 3.96000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TCY9 470206.49000000 PA USD 505766.95000000 0.012560774824 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.00000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523CA6 5000000.00000000 PA USD 5519009.00000000 0.137065162728 Long DBT CORP US N 2 2027-03-01 Fixed 3.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A2VA4 3466640.88000000 PA USD 3870694.48000000 0.096129100129 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.50000000 N N N N N N EVERGY METRO 1128SIJQ26096WL7IO82 485134BR0 2700000.00000000 PA USD 3336676.85000000 0.082866716727 Long DBT CORP US N 2 2048-03-15 Fixed 4.20000000 N N N N N N CIFC Funding Ltd 635400A7PBKNR7KBOY58 17180WAA3 7000000.00000000 PA USD 6814707.20000000 0.169243962334 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 2.17525000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -53992.14000000 -0.00134090041 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 PETROLEOS MEXICANOS PETROLEOS MEXICANOS Y Default Event 2023-06-20 0.00000000 USD -18316.12000000 USD 470000.00000000 USD -35676.02000000 N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CF1 1655000.00000000 PA USD 1671245.22000000 0.041505548919 Long DBT CORP US N 2 2025-01-15 Fixed 5.75000000 N N N N N Ameriquest Mortgage Securities N/A 03072SNR2 222600.35000000 PA USD 202299.71000000 0.005024134345 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.78450000 N N N N N N TECK RESOURCES LIMITED T8KI5SQ2JRWHL7XY0E11 878742AW5 5350000.00000000 PA USD 5852633.25000000 0.145350755688 Long DBT CORP CA N 2 2041-07-15 Fixed 6.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WPJD7 76689.12000000 PA USD 81508.70000000 0.002024277044 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 2.50000000 N N N N N N SOUTHWEST GAS CORP OQQR1IQTGBKH0UR88X59 845011AC9 2325000.00000000 PA USD 2386044.48000000 0.059257662911 Long DBT CORP US N 2 2030-06-15 Fixed 2.20000000 N N N N N N BELLEMEADE RE LT 254900I4ZKD8IMM1O953 07877BAC4 574600.03000000 PA USD 572959.55000000 0.014229510036 Long ABS-MBS CORP BM N 2 2029-04-25 Floating 1.63450000 N N N N N N MOHAWK INDUSTRIES INC 549300JI1115MG3Q6322 608190AJ3 891000.00000000 PA USD 942237.47000000 0.023400565600 Long DBT CORP US N 2 2023-02-01 Fixed 3.85000000 N N N N N PECO ENERGY CO YH65D4JBECK76IFEJ279 693304AV9 660000.00000000 PA USD 782084.64000000 0.019423153404 Long DBT CORP US N 2 2047-09-15 Fixed 3.70000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAJ9 5275000.00000000 PA USD 5886799.09000000 0.146199267880 Long DBT CORP US N 2 2025-06-01 Fixed 4.87500000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 12238.35000000 0.000303940695 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF INDONESIA Indonesia Government International Bond Y Default Event 2023-12-20 0.00000000 USD -4277.10000000 USD 6000000.00000000 USD 16515.45000000 N N N Equifirst Mortgage Loan Trust N/A 29445FAR9 2645558.60000000 PA USD 2474277.46000000 0.061448938150 Long ABS-MBS CORP US N 2 2034-01-25 Floating 0.66450000 N N N N N N CENOVUS ENERGY INC 549300EIRQ0Z2B9C1W06 15135UAF6 1980000.00000000 PA USD 1943068.31000000 0.048256303641 Long DBT CORP CA N 2 2039-11-15 Fixed 6.75000000 N N N N N Trinitas CLO Ltd 635400UFTIJ9NEWTCB16 89640XAP1 16000000.00000000 PA USD 15444606.40000000 0.383568406846 Long ABS-CBDO CORP KY N 2 2031-10-18 Floating 2.31525000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134A4AA2 4000000.00000000 PA USD 6289784.64000000 0.156207455942 Long DBT USGSE US N 2 2031-03-15 Fixed 6.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417BXH5 1144911.48000000 PA USD 1238145.57000000 0.030749474051 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.50000000 N N N N N N OVINTIV INC N/A 292505AD6 1640000.00000000 PA USD 1463055.41000000 0.036335133327 Long DBT CORP US N 2 2034-08-15 Fixed 6.50000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 24548.26000000 0.000609658591 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-06-12 0.00000000 USD -1120.43000000 USD 18200000.00000000 ZAR 25668.69000000 N N N Citigroup Commercial Mortgage N/A 17326FAC1 9800000.00000000 PA USD 10726167.62000000 0.266385488824 Long ABS-MBS CORP US N 2 2050-10-12 Fixed 3.20900000 N N N N N N MMAF Equipment Finance LLC N/A 55316EAE2 6900000.00000000 PA USD 7306065.69000000 0.181446901555 Long ABS-O CORP US N 2 2041-11-12 Fixed 2.29000000 N N N N N N Catamaran CLO Ltd 549300YV4DIC30VMKL37 14889HAJ8 1556940.69000000 PA USD 1553061.11000000 0.038570434251 Long ABS-CBDO CORP KY N 2 2026-10-18 Floating 2.53525000 N N N N N N FHLMC Multifamily Structured P N/A 3137FJEH8 21830000.00000000 PA USD 26176198.01000000 0.650088601027 Long ABS-MBS USGSE US N 2 2028-08-25 Variable 3.90000000 N N N N N N FHLMC Multifamily Structured P N/A 3137AUPF0 23236157.42000000 PA USD 511797.28000000 0.012710538697 Long ABS-MBS USGSE US N 2 2022-06-25 Variable 1.54787900 N N N N N N OneMain Direct Auto Receivable N/A 68267EAA2 11100000.00000000 PA USD 11933926.35000000 0.296380302543 Long ABS-O CORP US N 2 2027-09-14 Fixed 3.63000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RJZ6 30375000.00000000 PA USD 31821402.83000000 0.790287850075 Long DBT CORP US N 2 2041-06-01 Fixed 3.50000000 N N N N N N JAPAN FIN ORG MUNICIPAL 5493007YYYNZ4NMEOD64 471068AQ9 3400000.00000000 PA USD 3539141.12000000 0.087894937937 Long DBT NUSS JP N 2 2024-09-05 Fixed 1.75000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 060505FP4 10890000.00000000 PA USD 10759564.04000000 0.267214892390 Long DBT CORP US N 2 N/A Fixed 5.12500000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MBM1 15000000.00000000 PA USD 15872153.85000000 0.394186592250 Long DBT CORP JP N 2 2024-07-16 Fixed 2.69600000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RDC5 3600000.00000000 PA USD 3633153.48000000 0.090229744679 Long ABS-O CORP US N 2 2025-03-20 Fixed 4.00000000 N N N N N N BELLEMEADE RE LT 549300O2GEH6GH9NO762 078768AD0 1077902.81000000 PA USD 1066998.31000000 0.026499014042 Long ABS-MBS CORP BM N 2 2028-04-25 Floating 1.78450000 N N N N N N Benefit Street Partners CLO Lt N/A 08186PAA1 1000000.00000000 PA USD 982370.50000000 0.024397273576 Long ABS-CBDO CORP KY N 2 2032-10-15 Floating 2.55888000 N N N N N N L BRANDS INC GR3KVMWVCR54YWQNXU90 501797AJ3 4175000.00000000 PA USD 3948605.70000000 0.098064033384 Long DBT CORP US N 2 2023-10-15 Fixed 5.62500000 N N N N N ROMANIA 315700IASY927EDWBK92 000000000 500000.00000000 PA 643719.00000000 0.015986828339 Long DBT NUSS RO N 2 2049-04-03 Fixed 4.62500000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114GW4 1100000.00000000 PA USD 458153.91000000 0.011378300022 Long DBT NUSS AR N 2 2021-04-22 Fixed 6.87500000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC 139002.07000000 0.003452130870 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2027-01-04 0.00000000 USD 0.00000000 USD 12873383.72000000 BRL 139002.07000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SSR9 4123070.00000000 PA USD 4437915.42000000 0.110216091189 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 4.00000000 N N N N N N LABORATORY CORP OF AMER OZ7UA8IXAIFILY2VZH07 50540RAP7 365000.00000000 PA USD 378584.03000000 0.009402173774 Long DBT CORP US N 2 2022-02-01 Fixed 3.20000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBU1 4500000.00000000 PA USD 5677683.93000000 0.141005871124 Long DBT CORP US N 2 2039-01-23 Fixed 5.45000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468G7 21270000.00000000 PA USD 25334131.86000000 0.629175800580 Long DBT CORP US N 2 2030-01-23 Fixed 4.43100000 N N N N N N Oportun Funding LLC 549300MXCNH68VEXKD16 68377EAA9 2600000.00000000 PA USD 2597999.04000000 0.064521576461 Long ABS-O CORP US N 2 2024-12-09 Fixed 4.15000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 305687.34000000 0.007591776893 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-02-13 0.00000000 USD -57.29000000 USD 12900000.00000000 AUD 305744.63000000 N N N Freddie Mac N/A 312944PQ8 1313903.11000000 PA USD 1461912.56000000 0.036306750529 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.50000000 N N N N N N COMMSCOPE TECH LLC M4TWC4QDOKW45N7T6Y12 20337YAA5 2970000.00000000 PA USD 2865246.79000000 0.071158702138 Long DBT CORP US N 2 2025-06-15 Fixed 6.00000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAN5 500000.00000000 PA USD 542167.59000000 0.013464788506 Long DBT CORP KZ N 2 2027-04-19 Fixed 4.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36180HBC1 35386.81000000 PA USD 37483.11000000 0.000930896936 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N INTER-AMERICAN DEVEL BK VKU1UKDS9E7LYLMACP54 458182BW1 2000000.00000000 PA USD 2597283.32000000 0.064503801481 Long DBT NUSS US N 2 2025-10-15 Fixed 6.80000000 N N N N N N REPUBLIC OF PORTUGAL 549300P6U1FJ3IMP7K42 000000000 16840000.00000000 PA USD 19622280.55000000 0.487321379019 Long DBT NUSS PT N 2 2024-10-15 Fixed 5.12500000 N N N N N N PPL CAPITAL FUNDING INC 549300MROK5WY0D2NU17 69352PAJ2 1500000.00000000 PA USD 1797585.53000000 0.044643223663 Long DBT CORP US N 2 2044-03-15 Fixed 5.00000000 N N N N N N NORTH CAROLINA ST EDU ASSISTAN N/A 658262GD6 5900000.00000000 PA USD 5612375.00000000 0.139383917053 Long DBT MUN US N 2 2036-07-25 Floating 1.79138000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC -507075.56000000 -0.01259327429 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2029-05-08 0.00000000 USD -350312.18000000 USD -4490000.00000000 GBP -156763.38000000 N N N Merrill Lynch Mortgage Investo N/A 5899292D9 719198.62000000 PA USD 717560.21000000 0.017820682472 Long ABS-MBS CORP US N 2 2034-06-25 Floating 2.65950000 N N N N N N REPUBLIC OF GHANA 213800PP4399SNNXZ126 37443GAG6 3310000.00000000 PA USD 3097069.36000000 0.076916039783 Long DBT NUSS GH N 2 2027-02-11 Fixed 6.37500000 N N N N N N SPRINT CORP 549300ZTTY7CXOLJ6539 85207UAE5 2779000.00000000 PA USD 2911856.13000000 0.072316249946 Long DBT CORP US N 2 2021-09-15 Fixed 7.25000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134A3ZU3 2400000.00000000 PA USD 2140221.91000000 0.053152633809 Long DBT USGSE US N 2 2029-12-14 None 0.00000000 N N N N N N STATE OF QATAR 52990074F6OJOAXK4P65 74727PBB6 635000.00000000 PA USD 839113.96000000 0.020839482500 Long DBT NUSS QA N 2 2049-03-14 Fixed 4.81700000 N N N N N N LSTAR Securities Investment Lt N/A 54912QAA4 1301844.04000000 PA USD 1300501.71000000 0.032298095275 Long ABS-MBS CORP US N 2 2024-04-01 Floating 1.67263000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KD2 4975000.00000000 PA USD 4863698.06000000 0.120790447353 Long DBT CORP US N 2 N/A Fixed 6.12500000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DA2 1630000.00000000 PA USD 1873352.46000000 0.046524903253 Long DBT CORP US N 2 2044-07-16 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C6A7 2467924.54000000 PA USD 2649011.83000000 0.065788484409 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.50000000 N N N N N N Wells Fargo Commercial Mortgag N/A 95001MAE0 9500000.00000000 PA USD 10432431.65000000 0.259090525448 Long ABS-MBS CORP US N 2 2050-07-15 Fixed 3.19000000 N N N N N N Ford Credit Auto Owner Trust/F N/A 34532RAA4 9705000.00000000 PA USD 10392270.25000000 0.258093112901 Long ABS-O CORP US N 2 2031-07-15 Fixed 3.19000000 N N N N N N Morgan Stanley BAML Trust N/A 61761QAD5 4501923.78000000 PA USD 4622735.61000000 0.114806119837 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 2.86300000 N N N N N N SOMPO INTL HLDS LTD N/A 29267HAA7 1500000.00000000 PA USD 2048597.97000000 0.050877143727 Long DBT CORP BM N 2 2034-07-15 Fixed 7.00000000 N N N N N N AGL CLO LTD. 549300EIBQDZ5WXOZ105 001200AA2 15000000.00000000 PA USD 14796891.00000000 0.367482327497 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 2.52525000 N N N N N N Mariner Finance Issuance Trust N/A 56847MAA8 1900000.00000000 PA USD 1873406.46000000 0.046526244348 Long ABS-O CORP US N 2 2032-07-20 Fixed 2.96000000 N N N N N N TAYLOR MORRISON COMM 549300O1Z08HI2MRK572 87724RAA0 1215000.00000000 PA USD 1261752.93000000 0.031335765293 Long DBT CORP US N 2 2027-06-15 Fixed 5.87500000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 000000000 1820000.00000000 PA 2147008.50000000 0.053321179478 Long DBT CORP NL N 2 2025-01-14 Fixed 4.75000000 N N N N N N FHLMC Multifamily Structured P N/A 3137AXHQ9 37215997.97000000 PA USD 576271.12000000 0.014311753222 Long ABS-MBS USGSE US N 2 2022-09-25 Variable 0.93193900 N N N N N N BVRT_19-1F N/A 000000000 27591606.07000000 PA USD 27376391.54000000 0.679895532216 Long ABS-MBS CORP US N 3 2021-09-15 Floating 3.99638000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BN8 10000000.00000000 PA USD 11117292.90000000 0.276099125847 Long DBT CORP US N 2 2024-03-15 Fixed 5.00000000 N N N N N N NEW YORK CITY NY TRANSITIONAL N/A 64971MZG0 1320000.00000000 PA USD 1729120.84000000 0.042942895964 Long DBT MUN US N 2 2036-08-01 Fixed 5.76700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J7M51 1972043.58000000 PA USD 2179963.83000000 0.054139628527 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4.00000000 N N N N N N Mountain View CLO Ltd N/A 62431UAR3 1500000.00000000 PA USD 1462538.55000000 0.036322297056 Long ABS-CBDO CORP KY N 2 2030-10-12 Floating 2.56138000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 1700000.00000000 PA 2072295.75000000 0.051465680559 Long DBT NUSS ID N 2 2025-07-30 Fixed 3.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36176XUX5 105017.50000000 PA USD 112113.55000000 0.002784351678 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 3.50000000 N N N N N N CORP ANDINA DE FOMENTO UKZ46SXGNYCZK0UOZE76 219868BY1 1365000.00000000 PA USD 1365795.33000000 0.033919669121 Long DBT NUSS N/A N 2 2020-07-18 Fixed 2.20000000 N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 000000000 2104062.56000000 PA 1018160.22000000 0.025286114996 Long DBT NUSS AR N 2 2033-12-31 Fixed 7.82000000 N N N N N N Bank 549300664283JRAXM588 06539LBA7 11300000.00000000 PA USD 13092595.84000000 0.325155979878 Long ABS-MBS CORP US N 2 2061-08-15 Fixed 3.95300000 N N N N N N PGIM Institutional Money Market Fund - D N/A 000000000 506760873.66400000 NS USD 506760873.66000000 12.58545902224 Long STIV RF US N 1 N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -415848.56000000 -0.01032764225 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2022-03-10 0.00000000 USD 0.00000000 USD -67640000.00000000 USD -415848.56000000 N N N CBAM CLO Management N/A 12482XAA7 10000000.00000000 PA USD 9813092.00000000 0.243709160803 Long ABS-CBDO CORP KY N 2 2032-10-20 Floating 2.49525000 N N N N N N MAGELLAN MIDSTREAM PARTN MZF5TI8NFVZZNUSKDL39 559080AP1 7505000.00000000 PA USD 7591531.82000000 0.188536482595 Long DBT CORP US N 2 2050-03-01 Fixed 3.95000000 N N N N N N LEVEL 3 FINANCING INC N/A 527298BP7 850000.00000000 PA USD 899192.93000000 0.022331549971 Long DBT CORP US N 2 2027-03-01 Fixed 3.40000000 N N N N N N LOXAM SAS 969500BNA2YRNE1R5K91 000000000 1100000.00000000 PA 965193.52000000 0.023970681490 Long DBT CORP FR N 2 2027-04-15 Fixed 4.50000000 N N N N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 11320000.00000000 OU Other USD 239171.75000000 0.005939855295 N/A DIR CORP US N 2 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2021-08-16 0.00000000 USD 0.00000000 USD 0.00000000 USD 11320000.00000000 USD 0.14500000 USD 2021-08-16 XXXX 239171.75000000 N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368RAT9 13000000.00000000 PA USD 13880019.66000000 0.344711732374 Long DBT CORP FR N 2 2024-03-28 Fixed 3.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WAFR3 6828881.27000000 PA USD 7312053.51000000 0.181595609688 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 3.00000000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -689076.00000000 -0.01711327415 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2022-09-27 127.40000000 USD 0.00000000 USD -10745000.00000000 USD -689203.40000000 N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 279.72000000 0.000006946875 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 HELLENIC REPUBLIC Hellenic Republic Government Bond Y Default Event 2023-06-20 0.00000000 USD -89219.35000000 USD 1300000.00000000 USD 89499.07000000 N N N NISOURCE INC 549300D8GOWWH0SJB189 65473QBG7 3210000.00000000 PA USD 3707071.68000000 0.092065510867 Long DBT CORP US N 2 2048-03-30 Fixed 3.95000000 N N N N N N ENTERGY LOUISIANA LLC 0V5453U14HDZO63CGH17 29364WBA5 1385000.00000000 PA USD 1701859.87000000 0.042265866937 Long DBT CORP US N 2 2033-03-15 Fixed 4.00000000 N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 72952.40000000 0.001811780444 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-03-27 0.00000000 USD -156.45000000 USD 7400000.00000000 ZAR 73108.85000000 N N N CLEAR CHANNEL WORLDWIDE N/A 18451QAP3 4000000.00000000 PA USD 3710656.16000000 0.092154531801 Long DBT CORP US N 2 2024-02-15 Fixed 9.25000000 N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 903724AM4 2150000.00000000 PA USD 2160650.41000000 0.053659977732 Long DBT NUSS UA N 2 2020-09-01 Fixed 7.75000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134A4NV2 1000000.00000000 PA USD 806048.29000000 0.020018293145 Long DBT USGSE US N 2 2032-07-15 None 0.00000000 N N N N N N Battalion CLO LTD 549300JIE0P78OIZGS60 07133RAA3 5000000.00000000 PA USD 4846076.00000000 0.120352801660 Long ABS-CBDO CORP KY N 2 2031-05-17 Floating 1.45563000 N N N N N N HYDRO-QUEBEC 6THEVG93PYJH84S4D167 448814DB6 1000000.00000000 PA USD 1584751.88000000 0.039357477822 Long DBT NUSS CA N 2 2029-06-15 Fixed 8.62500000 N N N N N N MEXICO CITY ARPT TRUST N/A 59284MAA2 1516000.00000000 PA USD 1433618.09000000 0.035604054423 Long DBT CORP MX N 2 2026-10-31 Fixed 4.25000000 N N N N N N Greenwood Park CLO, Ltd N/A 39729RAB4 15000000.00000000 PA USD 14575284.00000000 0.361978694595 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 2.22888000 N N N N N N ITALY GOV'T INT BOND 815600DE60799F5A9309 000000000 6030000.00000000 PA 9232996.99000000 0.229302440874 Long DBT NUSS IT N 2 2028-08-04 Fixed 6.00000000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAK7 5855000.00000000 PA USD 6205579.19000000 0.154116204830 Long DBT CORP US N 2 2023-02-06 Fixed 3.35000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178DBV2 140148.06000000 PA USD 149286.59000000 0.003707547994 Long ABS-MBS USGA US N 2 2042-07-15 Fixed 3.50000000 N N N N N N CFCRE Commercial Mortgage Trus N/A 12532BAD9 14766000.00000000 PA USD 16480230.71000000 0.409288244334 Long ABS-MBS CORP US N 2 2054-12-10 Fixed 3.83850000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BK7 7620000.00000000 PA USD 8253046.59000000 0.204965270733 Long DBT CORP US N 2 2029-08-15 Fixed 3.12500000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAG0 1400000.00000000 PA USD 1488657.67000000 0.036970968118 Long DBT CORP ES N 2 2023-04-12 Fixed 3.84800000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -60508.42000000 -0.00150273290 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2021-06-09 0.00000000 USD 0.00000000 USD -16553000.00000000 USD -60508.42000000 N N N Legacy Mortgage Asset Trust N/A 52473CAA0 3121172.90000000 PA USD 3115354.72000000 0.077370158601 Long ABS-MBS CORP US N 2 2059-05-25 Variable 3.43800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36212PBH4 112359.60000000 PA USD 120018.85000000 0.002980680626 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 3.50000000 N N N N N N LIBERTY MUTUAL FIN EU 254900GTNATA5DHR0920 000000000 2100000.00000000 PA 2451056.90000000 0.060872253126 Long DBT CORP IE N 2 2024-03-27 Fixed 1.75000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 770000.00000000 PA 934572.59000000 0.023210207508 Long DBT NUSS RO N 2 2035-10-29 Fixed 3.87500000 N N N N N N DOMINION ENERGY GAS HLDG 549300BFOD6TDMVV4O24 257375AJ4 235000.00000000 PA USD 270703.25000000 0.006722943378 Long DBT CORP US N 2 2044-12-15 Fixed 4.60000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAF0 2860000.00000000 PA USD 3078237.53000000 0.076448349326 Long DBT CORP US N 2 2028-06-15 Fixed 4.95000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 82782.68000000 0.002055916470 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 RUSSIAN FEDERATION RUSSIAN FOREIGN BOND - EUROBOND Y Default Event 2023-12-20 0.00000000 USD -9623.48000000 USD 13500000.00000000 USD 92406.16000000 N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QAX0 740000.00000000 PA USD 741824.18000000 0.018423280691 Long DBT CORP MX N 2 2021-01-21 Fixed 5.50000000 N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC -4320.46000000 -0.00010729907 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2020-12-17 0.00000000 USD 0.00000000 USD -3452700000.00000000 JPY -4320.46000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHV4 7195000.00000000 PA USD 7936329.63000000 0.197099572080 Long DBT CORP US N 2 2030-07-23 Fixed 3.19400000 N N N N N N Zais CLO 8, Limited 549300XI7G6FVIEXZ367 98885GAA6 14835756.58000000 PA USD 14310269.63000000 0.355397035143 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 2.16888000 N N N N N N Credit-Based Asset Servicing a N/A 12489WJQ8 47860.00000000 PA USD 48620.22000000 0.001207488222 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.87200000 N N N N N N GCAT N/A 36167WAA0 11331810.56000000 PA USD 11153734.56000000 0.277004158265 Long ABS-MBS CORP US N 2 2049-11-26 Variable 3.22800000 N N N N N N Barclays Commercial Mortgage S N/A 05548WAA5 6835000.00000000 PA USD 6498158.21000000 0.161382435232 Long ABS-MBS CORP US N 2 2037-03-15 Floating 0.90675000 N N N N N N VIDEOTRON LTD 549300LW4GNJRBECSD81 92658TAQ1 2200000.00000000 PA USD 2273767.45000000 0.056469251190 Long DBT CORP CA N 2 2022-07-15 Fixed 5.00000000 N N N N N N Barclays Commercial Mortgage S N/A 07335CAE4 24000000.00000000 PA USD 25659926.40000000 0.637266941878 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 2.66100000 N N N N N N FHLMC Multifamily Structured P N/A 3137BEWS9 28360339.44000000 PA USD 3009962.23000000 0.074752725147 Long ABS-MBS USGSE US N 2 2032-02-25 Variable 2.20553000 N N N N N N EG GLOBAL FINANCE PLC 549300TL8Q5207VYET27 000000000 2800000.00000000 PA 2895083.80000000 0.071899707386 Long DBT CORP GB N 2 2025-02-07 Fixed 4.37500000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAR0 4430000.00000000 PA USD 5347510.19000000 0.132805971939 Long DBT CORP US N 2 2035-05-14 Fixed 4.50000000 N N N N N N UBS-Barclays Commercial Mortga N/A 90270YBE8 4111454.82000000 PA USD 4201876.81000000 0.104354047751 Long ABS-MBS CORP US N 2 2046-03-10 Fixed 2.92040000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31359MGK3 1485000.00000000 PA USD 2296944.48000000 0.057044855141 Long DBT USGSE US N 2 2030-11-15 Fixed 6.62500000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 2020000.00000000 PA 2311781.43000000 0.057413332338 Long DBT NUSS RO N 2 2027-04-19 Fixed 2.37500000 N N N N N N FINANCIERE MENDEL SASU 969500FG3VYTO80D0A13 000000000 2200000.00000000 PA 2425012.06000000 0.060225426815 Long LON CORP FR N 2 2026-04-12 Floating 4.75000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CN8 1875000.00000000 PA USD 2419156.31000000 0.060079998655 Long DBT CORP US N 2 2045-07-20 Fixed 5.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FM86 2144030.06000000 PA USD 2353730.05000000 0.058455130680 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 4.50000000 N N N N N N FIRST HORIZON NATIONAL TF3RXI1ZB1TQ30H9JV10 320517AC9 6780000.00000000 PA USD 6983342.98000000 0.173432049475 Long DBT CORP US N 2 2023-05-26 Fixed 3.55000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 1726.00000000 NC USD -19052.67000000 -0.00047317504 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2020-09-21 376556740.17000000 USD -19052.67000000 N N N Telos CLO Ltd 635400UODWAQKOLDKL79 87974HAS0 6719694.51000000 PA USD 6620716.77000000 0.164426189821 Long ABS-CBDO CORP KY N 2 2030-01-17 Floating 2.37488000 N N N N N N ALABAMA ECON SETTLEMENT AUTH B N/A 01026CAD3 625000.00000000 PA USD 743674.99000000 0.018469245750 Long DBT MUN US N 2 2032-09-15 Fixed 4.26300000 N N N N N N COMM Mortgage Trust N/A 12636FBH5 13500000.00000000 PA USD 14754687.30000000 0.366434194216 Long ABS-MBS CORP US N 2 2048-10-10 Fixed 3.52100000 N N N N N N Wells Fargo Commercial Mortgag 549300PX4QZK7CUM8D08 94988XAT3 3467652.76000000 PA USD 3684253.45000000 0.091498817751 Long ABS-MBS CORP US N 2 2050-08-15 Fixed 3.54800000 N N N N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 29646AAA4 400000.00000000 PA USD 378018.16000000 0.009388120333 Long DBT CORP ZA N 2 2023-08-06 Fixed 6.75000000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAQ2 680000.00000000 PA USD 803179.61000000 0.019947049179 Long DBT CORP NL N 2 2026-05-23 Fixed 8.75000000 N N N N N N ANTERO RESOURCES CORP APVBKPOULHUX7YZLKU17 03674PAL7 7825000.00000000 PA USD 7236112.96000000 0.179709618228 Long DBT CORP US N 2 2021-11-01 Fixed 5.37500000 N N N N N N LIBERTY MUTUAL GROUP INC QUR0DG15Z6FFGYCHH861 53079EBG8 15250000.00000000 PA USD 17854615.21000000 0.443421226387 Long DBT CORP US N 2 2029-02-01 Fixed 4.56900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X9WE5 531234.52000000 PA USD 557274.14000000 0.013839961247 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 2.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MS7 21800000.00000000 PA USD 22521232.07000000 0.559317141633 Long DBT CORP US N 2 2031-06-03 Fixed 2.57200000 N N N N N N CIM Trust N/A 12553GAA8 6842410.61000000 PA USD 6877421.17000000 0.170801470304 Long ABS-MBS CORP US N 2 2057-06-25 Variable 3.01500000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 000000000 3430000.00000000 PA USD 3537326.72000000 0.087849877125 Long DBT NUSS UA N 2 2021-09-01 Fixed 7.75000000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BF0 520000.00000000 PA USD 538264.31000000 0.013367850141 Long DBT CORP US N 2 2027-05-15 Fixed 5.50000000 N N N N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 000000000 3100000.00000000 PA 4014064.45000000 0.099689708250 Long DBT CORP GB N 2 2029-05-15 Fixed 5.25000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -163699.56000000 -0.00406549560 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 PETROLEOS MEXICANOS PETROLEOS MEXICANOS Y Default Event 2023-06-20 0.00000000 USD -55272.30000000 USD 1425000.00000000 USD -108427.26000000 N N N MORGAN STANLEY & CO INTERNATIONAL 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC USD 4833.64000000 0.000120043952 N/A DCR CORP GB N 2 MORGAN STANLEY & CO INTERNATIONAL 4PQUHN3JPFGFNF3BB653 SAUDI INTERNATIONAL BOND Saudi Government International Bond Y Default Event 2024-06-20 3851.17000000 USD 0.00000000 USD 1045000.00000000 USD 982.47000000 N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 5755000.00000000 PA 7370946.45000000 0.183058221980 Long DBT NUSS ID N 2 2028-06-14 Fixed 3.75000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAL7 1895000.00000000 PA USD 1851317.58000000 0.045977664715 Long DBT CORP US N 2 2041-07-15 Fixed 5.60000000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC 87403.52000000 0.002170675512 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2024-06-14 73.62000000 USD 0.00000000 USD 26020000.00000000 CNY 87329.90000000 N N N MEXICO CITY ARPT TRUST N/A 59284MAC8 1500000.00000000 PA USD 1368828.05000000 0.033994987038 Long DBT CORP MX N 2 2028-04-30 Fixed 3.87500000 N N N N N N ITALY GOV'T INT BOND 815600DE60799F5A9309 465410BG2 16870000.00000000 PA USD 20888504.35000000 0.518768178833 Long DBT NUSS IT N 2 2033-06-15 Fixed 5.37500000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAB2 550000.00000000 PA USD 563418.55000000 0.013992558308 Long DBT CORP N/A N 2 2030-01-15 Fixed 5.50000000 N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828XB1 62000000.00000000 PA USD 67497656.56000000 1.676311323322 Long DBT UST US N 2 2025-05-15 Fixed 2.12500000 N N N N N DUKE ENERGY PROGRESS LLC 0NIFZ782LS46WOC9QK20 26442UAC8 2030000.00000000 PA USD 2371708.60000000 0.058901629840 Long DBT CORP US N 2 2046-10-15 Fixed 3.70000000 N N N N N N ENDO DAC/FIN LLC/FINCO N/A 29273DAC4 710000.00000000 PA USD 457950.00000000 0.011373235896 Long DBT CORP N/A N 2 2028-06-30 Fixed 6.00000000 N N N N N N COMM Mortgage Trust N/A 12593FBC7 19100000.00000000 PA USD 20733403.35000000 0.514916229361 Long ABS-MBS CORP US N 2 2048-07-10 Fixed 3.44500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761J3R8 8155000.00000000 PA USD 8994785.18000000 0.223386425789 Long DBT CORP US N 2 2026-07-27 Fixed 3.12500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128284F4 2225000.00000000 PA USD 2471140.63000000 0.061371034650 Long DBT UST US N 2 2025-03-31 Fixed 2.62500000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -10050.51000000 -0.00024960546 N/A DCR CORP US N 3 CITIBANK NA E57ODZWZ7FF32TWEFA76 Y Default Event 2020-12-20 0.00000000 USD -8818.35000000 USD 32128897.89000000 USD -1232.16000000 N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCW0 621000.00000000 PA USD 514516.83000000 0.012778079004 Long DBT CORP MX N 2 2050-01-23 Fixed 7.69000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 000000000 1.00000000 NC USD -267781.05000000 -0.00665037023 N/A DFE CORP US N 2 BARCLAYS PLC 213800LBQA1Y9L22JB70 -12417803.00000000 GBP 15119296.04000000 USD 2020-07-02 -267781.05000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36180FFA5 10275.25000000 PA USD 10871.39000000 0.000269992101 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHM4 1010000.00000000 PA USD 1188428.17000000 0.029514737249 Long DBT CORP US N 2 2029-07-23 Fixed 4.27100000 N N N N N N Freddie Mac N/A 3132KE2B0 1174050.57000000 PA USD 1250918.31000000 0.031066686378 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 2.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RP5 2780000.00000000 PA USD 3745615.63000000 0.093022753875 Long DBT UST US N 2 2045-11-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4TZ9 8279747.54000000 PA USD 8819469.01000000 0.219032430466 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.00000000 N N N N N N PUBLIC SERVICE COLORADO 5BANEF6PGSEK0SNMQF44 744448CS8 5350000.00000000 PA USD 6014605.14000000 0.149373344429 Long DBT CORP US N 2 2050-03-01 Fixed 3.20000000 N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -36379.73000000 -0.00090349437 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF COLOMBIA Colombia Government International Bond Y Default Event 2023-12-20 0.00000000 USD -4277.10000000 USD 6000000.00000000 USD -32102.63000000 N N N Citigroup Mortgage Loan Trust N/A 17318WAJ9 1193379.60000000 PA USD 1078863.97000000 0.026793698943 Long ABS-MBS CORP US N 2 2047-09-25 Variable 3.77160000 N N N N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 29646AAC0 1965000.00000000 PA USD 1969120.33000000 0.048903308268 Long DBT CORP ZA N 2 2028-08-10 Fixed 6.35000000 N N N N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CN4 6000000.00000000 PA USD 5865973.92000000 0.145682072616 Long DBT CORP US N 2 2028-03-15 Fixed 5.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FP67 923732.60000000 PA USD 1018132.47000000 0.025285425821 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 4.00000000 N N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 7339.80000000 0.000182284696 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 MEXICO GOVERNMENT INTERNATIONAL BOND MEXICO GOVERNMENT INTERNATIONAL BOND Y Default Event 2024-12-20 3018.23000000 USD 0.00000000 USD -400000.00000000 USD 4321.57000000 N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AC1 2360000.00000000 PA USD 3449268.10000000 0.085662932135 Long DBT CORP US N 2 2031-11-15 Fixed 7.37500000 N N N N N N MASTR Asset Backed Securities N/A 57643LEV4 712941.82000000 PA USD 661523.89000000 0.016429014635 Long ABS-MBS CORP US N 2 2034-09-25 Floating 0.88450000 N N N N N N UBS Commercial Mortgage Trust N/A 90276VAC3 10175000.00000000 PA USD 11297212.96000000 0.280567459256 Long ABS-MBS CORP US N 2 2051-02-15 Fixed 3.90300000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -731.00000000 NC USD -208383.67000000 -0.00517523012 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2020-09-30 -91709157.22000000 USD -208383.67000000 N N N Towd Point Mortgage Trust N/A 89177XAA5 2180979.32000000 PA USD 2172627.70000000 0.053957434976 Long ABS-O CORP US N 2 2059-10-25 Floating 1.18450000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 25152R5F6 3960000.00000000 PA USD 4012034.99000000 0.099639306400 Long DBT CORP DE N 2 2021-05-12 Fixed 3.37500000 N N N N N N ROYAL BK SCOTLND GRP PLC 2138005O9XJIJN4JPN90 780097BK6 3370000.00000000 PA USD 3663635.24000000 0.090986762360 Long DBT CORP GB N 2 2025-03-22 Fixed 4.26900000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCB7 1000000.00000000 PA USD 1054930.02000000 0.026199296804 Long DBT CORP US N 2 2029-06-01 Fixed 5.37500000 N N N N N N Ford Credit Floorplan Master O 5493001DTG5N7T8BG747 34528QHF4 10512000.00000000 PA USD 10606278.97000000 0.263408041728 Long ABS-O CORP US N 2 2026-09-15 Fixed 2.44000000 N N N N N N Onslow Bay Financial LLC N/A 67112FAD2 1395648.48000000 PA USD 1377331.15000000 0.034206162411 Long ABS-MBS CORP US N 2 2057-06-25 Floating 0.83450000 N N N N N N Elevation CLO Ltd 549300BOE42FYBAXFR86 28622XAA4 10000000.00000000 PA USD 9705748.00000000 0.241043261394 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 2.33888000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAE5 165000.00000000 PA USD 180133.99000000 0.004473646383 Long DBT CORP US N 2 2048-03-01 Fixed 4.85000000 N N N N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 22780000.00000000 OU Other USD 498861.65000000 0.012389280980 N/A DIR CORP US N 2 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US 2021-09-13 0.00000000 USD 0.00000000 USD 0.00000000 USD 22780000.00000000 USD 0.13500000 USD 2021-09-13 XXXX 498861.65000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810QZ4 40480000.00000000 PA USD 54863050.00000000 1.362529554863 Long DBT UST US N 2 2043-02-15 Fixed 3.12500000 N N N N N ENDO DAC/FIN LLC/FINCO N/A 29273DAB6 563000.00000000 PA USD 593405.59000000 0.014737289567 Long DBT CORP N/A N 2 2027-07-31 Fixed 9.50000000 N N N N N Fannie Mae or Freddie Mac N/A 01F022683 36000000.00000000 PA USD 37446004.08000000 0.929975407319 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.50000000 N N N N N N PORT AUTH OF NEW YORK & NEW JE 54930006MR4KZ4W74Z83 73358WJA3 1940000.00000000 PA USD 2578919.72000000 0.064047739564 Long DBT MUN US N 2 2062-10-01 Fixed 4.45800000 N N N N N N Citigroup Commercial Mortgage N/A 17323CAB3 601338.13000000 PA USD 601149.25000000 0.014929604169 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 2.68700000 N N N N N N ESKOM HOLDINGS SOC LTD 3789001900ED06F65111 296464AA8 5450000.00000000 PA USD 5211377.47000000 0.129425101674 Long DBT CORP ZA N 2 2021-01-26 Fixed 5.75000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 340.00000000 NC USD 758780.06000000 0.018844381735 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2020-09-21 59952469.94000000 USD 758780.06000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LP4 2000000.00000000 PA USD 2236236.24000000 0.055537159685 Long DBT CORP US N 2 2028-07-24 Fixed 3.66800000 N N N N N N CENTERPOINT ENERGY RESOU 2JADVB0458J06WCD4N56 15189WAH3 1200000.00000000 PA USD 1556460.84000000 0.038654866900 Long DBT CORP US N 2 2041-01-15 Fixed 5.85000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DB8 3110000.00000000 PA USD 3045421.75000000 0.075633366015 Long DBT CORP US N 2 2024-07-01 Fixed 6.95000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128285M8 83745000.00000000 PA USD 101200598.44000000 2.513327391465 Long DBT UST US N 2 2028-11-15 Fixed 3.12500000 N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RD2 6105000.00000000 PA USD 9084049.22000000 0.225603307509 Long DBT UST US N 2 2043-11-15 Fixed 3.75000000 N N N N N TOKYO METROPOLITAN GOVT 353800FABE4GGB1BMO18 59173LAA8 6000000.00000000 PA USD 6075255.18000000 0.150879594482 Long DBT NUSS JP N 2 2021-05-17 Fixed 2.00000000 N N N N N N Freddie Mac N/A 3132A5JR7 827851.36000000 PA USD 876408.55000000 0.021765697523 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N JAPAN FIN ORG MUNICIPAL 5493007YYYNZ4NMEOD64 471068AH9 200000.00000000 PA USD 202476.53000000 0.005028525688 Long DBT NUSS JP N 2 2021-04-13 Fixed 2.12500000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RDL5 6300000.00000000 PA USD 6383704.32000000 0.158539960966 Long ABS-O CORP US N 2 2025-09-22 Fixed 3.35000000 N N N N N N Cantor Commercial Real Estate N/A 12528YAE3 27500000.00000000 PA USD 27903581.75000000 0.692988355932 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 2.62360000 N N N N N N CSMC_20-WL1 N/A 12659CAA0 12991635.04000000 PA USD 12957532.00000000 0.321801655359 Long ABS-MBS CORP US N 3 2059-12-26 Floating 2.34663000 N N N N N N MRA Issuance Trust N/A 553454AA7 30600000.00000000 PA USD 30828735.00000000 0.765634841237 Long ABS-MBS CORP US N 3 2020-07-10 Floating 2.03363000 N N N N N N MARKEL CORPORATION 549300SCNO12JLWIK605 570535AP9 740000.00000000 PA USD 852188.56000000 0.021164191551 Long DBT CORP US N 2 2043-03-30 Fixed 5.00000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AG2 4500000.00000000 PA USD 4469591.57000000 0.111002771670 Long DBT CORP US N 2 2024-08-08 Fixed 3.20000000 N N N N N N Legacy Mortgage Asset Trust N/A 52474VAA7 2046325.50000000 PA USD 2044735.10000000 0.050781208948 Long ABS-MBS CORP US N 2 2059-06-25 Variable 3.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWB6 3850000.00000000 PA USD 4328872.82000000 0.107508006873 Long DBT CORP US N 2 2027-01-26 Fixed 3.85000000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC 263376.13000000 0.006540973590 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2025-01-02 0.00000000 USD 0.00000000 USD 47376796.49000000 BRL 263376.13000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JACN6 1971081.09000000 PA USD 2141898.98000000 0.053194284017 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DG7 7000000.00000000 PA USD 2968519.05000000 0.073723479460 Long DBT CORP US N 2 2036-10-10 None 0.00000000 N N N N N N PENNSYLVANIA ST TURNPIKE COMMI 549300J8LLBYEYEXZJ24 709223A27 1280000.00000000 PA USD 1975769.54000000 0.049068442090 Long DBT MUN US N 2 2045-12-01 Fixed 5.51100000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FLN4 713422.92000000 PA USD 786439.74000000 0.019531312766 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 4.00000000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 779508.88000000 0.019359184137 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2021-12-15 0.00000000 USD 0.00000000 USD 39470000.00000000 USD 779508.88000000 N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AQ1 6015000.00000000 PA USD 6093425.07000000 0.151330845591 Long DBT CORP CH N 2 2026-06-05 Fixed 2.19300000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGF0 8055000.00000000 PA USD 9099351.13000000 0.225983332036 Long DBT CORP US N 2 2028-01-20 Fixed 3.82400000 N N N N N N Banc of America Funding Corpor 54930023UHZHF7UJ8596 05990QAS2 763714.46000000 PA USD 752177.25000000 0.018680400262 Long ABS-MBS CORP US N 2 2036-05-27 Floating 0.35450000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M8BH5 3457331.71000000 PA USD 3742265.39000000 0.092939550316 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.50000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAZ9 2587000.00000000 PA USD 2712405.89000000 0.067362882484 Long DBT CORP US N 2 2025-07-13 Fixed 4.30000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GG2 3550000.00000000 PA USD 4053882.74000000 0.100678599625 Long DBT CORP US N 2 2047-04-01 Fixed 4.00000000 N N N N N N Wellfleet CLO Ltd 254900IGQ7EODCWHCM84 94950NAA0 10000000.00000000 PA USD 9787247.00000000 0.243067297539 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 2.47525000 N N N N N N Social Professional Loan Progr N/A 83401CAB0 5500000.00000000 PA USD 5614651.35000000 0.139440450442 Long ABS-O CORP US N 2 2048-11-16 Fixed 2.37000000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BL7 2980000.00000000 PA USD 3080529.61000000 0.076505273371 Long DBT CORP US N 2 2030-01-15 Fixed 5.25000000 N N N N N N GS Mortgage Securities Corp. N/A 36250FAQ0 2500000.00000000 PA USD 2433837.75000000 0.060444613744 Long ABS-MBS CORP US N 2 2037-01-26 Floating 0.32450000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAQ2 3640000.00000000 PA USD 4024383.64000000 0.099945986408 Long DBT CORP US N 2 2025-05-14 Fixed 3.60000000 N N N N N N ITALY GOV'T INT BOND 815600DE60799F5A9309 465410AH1 8285000.00000000 PA USD 9607037.95000000 0.238591787032 Long DBT NUSS IT N 2 2023-09-27 Fixed 6.87500000 N N N N N N Freddie Mac N/A 3132GFQK6 2406373.70000000 PA USD 2678885.73000000 0.066530405823 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N FHLMC Multifamily Structured P N/A 3137FG6X8 17965000.00000000 PA USD 21418686.81000000 0.531935315389 Long ABS-MBS USGSE US N 2 2028-05-25 Variable 3.85000000 N N N N N N NEWFIELD EXPLORATION CO T8W3X1PFLPW2YE0UIP44 651290AR9 2620000.00000000 PA USD 2450537.82000000 0.060859361720 Long DBT CORP US N 2 2026-01-01 Fixed 5.37500000 N N N N N N SAN ANTONIO TX ELEC & GAS REVE 5493002G2FEH20Q4GQ04 796253Z21 1270000.00000000 PA USD 1601990.69000000 0.039785605461 Long DBT MUN US N 2 2042-02-01 Fixed 4.42700000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2E3 7590000.00000000 PA USD 8035903.77000000 0.199572506207 Long DBT CORP FR N 2 2023-03-01 Fixed 3.50000000 N N N N N N EMBARQ CORP N/A 29078EAA3 9000000.00000000 PA USD 10112380.47000000 0.251142021094 Long DBT CORP US N 2 2036-06-01 Fixed 7.99500000 N N N N N N Wells Fargo Commercial Mortgag N/A 95001ABC9 15000000.00000000 PA USD 16278945.00000000 0.404289292784 Long ABS-MBS CORP US N 2 2050-11-15 Fixed 3.21000000 N N N N N N OneMain Financial Issuance Tru 549300KQ3WN93FBBU117 68267LAC2 1500000.00000000 PA USD 1485592.35000000 0.036894840577 Long ABS-O CORP US N 2 2032-09-14 Fixed 2.79000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178DBW0 273745.14000000 PA USD 292541.50000000 0.007265298589 Long ABS-MBS USGA US N 2 2042-07-15 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3137BUEK0 5802000.00000000 PA USD 6113201.87000000 0.151822004476 Long ABS-MBS USGSE US N 2 2036-11-15 Fixed 3.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BR4 16850000.00000000 PA USD 19867885.72000000 0.493421008969 Long DBT CORP US N 2 2029-03-30 Fixed 5.05000000 N N N N N N EG FINCO LTD 2138003OUK4UQHRJLT65 000000000 793800.00000000 PA 911672.01000000 0.022641469221 Long LON CORP GB N 2 2025-02-05 Floating 5.00610000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RDQ4 11600000.00000000 PA USD 11437566.36000000 0.284053150548 Long ABS-O CORP US N 2 2026-03-20 Fixed 2.36000000 N N N N N N Oaktown Re Ltd 254900KOPN6EP9T3LD85 67400CAA6 69788.21000000 PA USD 69435.15000000 0.001724429174 Long ABS-MBS CORP US N 2 2028-07-25 Floating 1.73450000 N N N N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD 526919.40000000 0.013086098121 N/A DFE CORP US N 2 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 -114483713.90000000 EUR 129249594.35000000 USD 2020-08-04 526919.40000000 N N N BELGIUM KINGDOM 549300SZ25JZFHRHWD76 833654AA4 2000000.00000000 PA USD 2666769.32000000 0.066229493520 Long DBT NUSS BE N 2 2024-12-01 Fixed 8.87500000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29279FAA7 5080000.00000000 PA USD 5413057.04000000 0.134433834778 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N SoFi Alternative Trust N/A 83406DAE7 18550260.88000000 PA USD 19184139.99000000 0.476440112626 Long ABS-O CORP US N 2 2046-01-16 Variable 2.46000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CC0 980000.00000000 PA USD 1245562.35000000 0.030933670554 Long DBT CORP US N 2 2039-06-15 Fixed 4.12500000 N N N N N Towd Point Mortgage Trust N/A 89173UAA5 2046647.50000000 PA USD 2107117.54000000 0.052330483336 Long ABS-MBS CORP US N 2 2057-06-25 Variable 2.75000000 N N N N N N Freddie Mac N/A 31307HDF1 1303539.25000000 PA USD 1387165.71000000 0.034450404732 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179BZP2 120369.51000000 PA USD 128640.26000000 0.003194794241 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 3.50000000 N N N N N N AETNA INC 549300QKBENKLBXQ8968 00817YAG3 2250000.00000000 PA USD 3196713.98000000 0.079390724288 Long DBT CORP US N 2 2037-12-15 Fixed 6.75000000 N N N N N N Earnest Student Loan Program L 549300RPRMBC4KSBJ337 27035BAA5 339477.83000000 PA USD 338823.62000000 0.008414719854 Long ABS-O CORP US N 2 2041-01-25 Floating 1.18450000 N N N N N N TAYLOR MORRISON COMM 549300O1Z08HI2MRK572 87724RAC6 2000000.00000000 PA USD 2055494.48000000 0.051048419270 Long DBT CORP US N 2 2023-09-01 Fixed 6.00000000 N N N N N N BP CAPITAL MARKETS PLC 549300CRVT18MXX0AG93 05565QDU9 8590000.00000000 PA USD 8724035.35000000 0.216662325591 Long DBT CORP GB N 2 N/A Fixed 4.37500000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD -2604627.58000000 -0.06468619694 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF TURKEY Turkey Government International Bond Y Default Event 2023-12-20 0.00000000 USD -16039.14000000 USD 22500000.00000000 USD -2588588.44000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JZ5 2575000.00000000 PA USD 2430918.17000000 0.060372105671 Long DBT CORP US N 2 N/A Fixed 5.95000000 N N N N N N LOS ANGELES CA DEPT WTR & PWR N/A 544495UG7 1475000.00000000 PA USD 2216644.84000000 0.055050605227 Long DBT MUN US N 2 2039-07-01 Fixed 5.71600000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCT7 300000.00000000 PA USD 262592.37000000 0.006521508829 Long DBT CORP MX N 2 2030-01-23 Fixed 6.84000000 N N N N N N AGL Core 5 CLO Ltd N/A 00119TAA2 5000000.00000000 PA USD 4968899.00000000 0.123403123643 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 2.34900000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 25160PAD9 2300000.00000000 PA USD 2288554.44000000 0.056836487625 Long DBT CORP DE N 2 2021-02-04 Floating 1.84613000 N N N N N N COMM Mortgage Trust N/A 12592LBH4 17000000.00000000 PA USD 18028702.30000000 0.447744697379 Long ABS-MBS CORP US N 2 2047-11-10 Fixed 3.32600000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAL4 290000.00000000 PA USD 309532.80000000 0.007687279292 Long DBT CORP US N 2 2047-03-01 Fixed 5.20000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAU5 10250000.00000000 PA USD 10413730.53000000 0.258626081187 Long DBT CORP DK N 2 2022-09-20 Fixed 3.00100000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 2645000.00000000 PA 3035289.57000000 0.075381732271 Long DBT NUSS ID N 2 2021-07-08 Fixed 2.87500000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RDJ8 729000.00000000 PA USD 848747.99000000 0.021078744637 Long DBT CORP US N 2 2048-03-09 Fixed 4.50000000 N N N N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -110.00000000 NC -79866.13000000 -0.00198348364 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESOBLIGATION Bundesobligation 2020-09-08 -16522522.59000000 USD -79866.13000000 N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -70499.09000000 -0.00175085223 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 PETROLEOS MEXICANOS Petroleos Mexicanos Y Default Event 2024-12-20 0.00000000 USD -34163.28000000 USD 400000.00000000 USD -36335.81000000 N N N EG FINCO LTD 2138003OUK4UQHRJLT65 000000000 1747856.12880000 PA 1830719.74000000 0.045466115216 Long LON CORP GB N 2 2025-02-05 Floating 4.00000000 N N N N N N CENOVUS ENERGY INC 549300EIRQ0Z2B9C1W06 15135UAR0 880000.00000000 PA USD 757076.80000000 0.018802081096 Long DBT CORP CA N 2 2047-06-15 Fixed 5.40000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BX6 1000000.00000000 PA USD 1114990.21000000 0.027690897872 Long DBT CORP GB N 2 2026-09-12 Fixed 4.29200000 N N N N N N POWER SECTOR ASSETS & LI N/A 000000000 1100000.00000000 PA USD 1352401.04000000 0.033587020536 Long DBT CORP PH N 2 2024-12-02 Fixed 7.39000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SJ8 5545000.00000000 PA USD 6663530.47000000 0.165489472515 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N BROOKFIELD RESID PROPERT N/A 11283YAB6 870000.00000000 PA USD 831472.45000000 0.020649704804 Long DBT CORP CA N 2 2027-09-15 Fixed 6.25000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691EBA2 5000000.00000000 PA USD 5501149.50000000 0.136621620188 Long ABS-MBS CORP US N 2 2049-12-15 Fixed 3.59600000 N N N N N N Radnor Re LTD 549300ED4YNDE7SVU538 750496AA9 19233.50000000 PA USD 19185.26000000 0.000476467928 Long ABS-MBS CORP BM N 2 2028-03-25 Floating 1.58450000 N N N N N N INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD 382032.32000000 0.009487812414 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.IG.33.V1 Y Default Event 2029-12-20 0.00000000 USD -587775.59000000 USD -62200000.00000000 USD 969807.91000000 N N N Freddie Mac N/A 3132KEVE2 246412.64000000 PA USD 262548.74000000 0.006520425274 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 2.50000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD 54354.37000000 0.001349896434 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2045-11-15 0.00000000 USD 0.00000000 USD -1906000.00000000 USD 54354.37000000 N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -31062.37000000 -0.00077143719 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 HELLENIC REPUBLIC Hellenic Republic Government Bond Y Default Event 2024-12-20 0.00000000 USD -358729.71000000 USD 2000000.00000000 USD 327667.34000000 N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAF0 7500000.00000000 PA USD 7688489.85000000 0.190944445357 Long DBT CORP US N 2 2021-10-08 Fixed 3.00000000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC 206720.31000000 0.005133920406 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2024-09-19 0.00000000 USD -43.93000000 USD 56100000.00000000 CNY 206764.24000000 N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122BM9 6695000.00000000 PA USD 7366318.63000000 0.182943289589 Long DBT CORP US N 2 2024-05-15 Fixed 3.62500000 N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 86992.48000000 0.002160467291 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF PHILIPPINES Philippine Government International Bond Y Default Event 2023-12-20 0.00000000 USD -3207.82000000 USD 4500000.00000000 USD 90200.30000000 N N N Banc of America Funding Corpor 54930023UHZHF7UJ8596 05990QAD5 1646122.99000000 PA USD 1588792.48000000 0.039457826543 Long ABS-MBS CORP US N 2 2037-02-27 Floating 0.31450000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC -17758.64000000 -0.00044103767 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2021-05-11 0.00000000 USD -6796.84000000 USD -7985000.00000000 EUR -10961.80000000 N N N SoFi Alternative Trust N/A 78472AAA0 15366076.03000000 PA USD 15479285.60000000 0.384429668386 Long ABS-O CORP US N 2 2045-02-15 Variable 2.82476500 N N N N N N Asset Backed Funding Certifica N/A 04542BJY9 1547190.99000000 PA USD 1482563.58000000 0.036819620759 Long ABS-MBS CORP US N 2 2034-06-25 Floating 0.88450000 N N N N N N Freddie Mac N/A 3128MJTZ3 986981.82000000 PA USD 1083285.70000000 0.026903513067 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.00000000 N N N N N N MACYS RETAIL HLDGS INC 549300JMONK27O4SQQ19 55616XAF4 340000.00000000 PA USD 304641.91000000 0.007565813530 Long DBT CORP US N 2 2022-01-15 Fixed 3.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XB3L6 392611.54000000 PA USD 411785.83000000 0.010226743931 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CXP4 5399806.04000000 PA USD 5809259.67000000 0.144273568316 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC 185302.55000000 0.004602008108 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Y 2025-01-02 0.00000000 USD 0.00000000 USD 13906963.24000000 BRL 185302.55000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 2457000.00000000 PA 3041300.53000000 0.075531015088 Long DBT NUSS RO N 2 2039-03-11 Fixed 4.12500000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AL5 7100000.00000000 PA USD 6782453.42000000 0.168442936352 Long DBT CORP US N 2 2023-04-15 Fixed 4.50000000 N N N N N CITIBANK NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 244.76000000 0.000006078640 N/A DCR CORP US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 UNITED MEXICAN STATES Mexico Government International Bond Y Default Event 2023-06-20 1265.07000000 USD 0.00000000 USD -290000.00000000 USD -1020.31000000 N N N Rockford Tower CLO Ltd 5493001SZ764RMCNU069 77342KAA8 15000000.00000000 PA USD 14616523.50000000 0.363002881868 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 2.29525000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828M56 148695000.00000000 PA USD 163808453.48000000 4.068199985290 Long DBT UST US N 2 2025-11-15 Fixed 2.25000000 N N N N N WISCONSIN PUBLIC SERVICE 549300BJRHJVYNUMQZ30 976843BM3 4445000.00000000 PA USD 4808837.87000000 0.119427988827 Long DBT CORP US N 2 2049-09-01 Fixed 3.30000000 N N N N N N PEOPLES UNITED BANK N4662XQCE3KKIZ6EZS08 71270QEB8 550000.00000000 PA USD 580710.60000000 0.014422008169 Long DBT CORP US N 2 2024-07-15 Fixed 4.00000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAA0 2200000.00000000 PA USD 2336324.08000000 0.058022851604 Long DBT CORP US N 2 2025-02-15 Fixed 2.65000000 N N N N N N HEALTH CARE SERVICE CORP 549300TMJ1FKCKECR148 42218SAF5 4000000.00000000 PA USD 4008780.80000000 0.099558488253 Long DBT CORP US N 2 2030-06-01 Fixed 2.20000000 N N N N N N ZF NA CAPITAL 529900JYGMS9CW9IQX78 98877DAB1 1634000.00000000 PA USD 1679533.21000000 0.041711382013 Long DBT CORP US N 2 2022-04-29 Fixed 4.50000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC 122902.25000000 0.003052290165 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2030-04-01 0.00000000 USD -69.76000000 USD 15700000.00000000 ZAR 122972.01000000 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PBU5 3360000.00000000 PA USD 4363613.92000000 0.108370805706 Long DBT CORP US N 2 2041-11-15 Fixed 4.62500000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -371566.26000000 -0.00922788672 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2022-05-31 0.00000000 USD 0.00000000 USD -7890000.00000000 USD -371566.26000000 N N N CAMERON INTL CORP P2PV5Z2Z2UKRY3P3V155 13342BAF2 3935000.00000000 PA USD 4569772.32000000 0.113490771019 Long DBT CORP US N 2 2041-06-01 Fixed 5.95000000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC -9620.48000000 -0.00023892562 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2021-05-08 0.00000000 USD -7722.48000000 USD -1060000.00000000 GBP -1898.00000000 N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122BU1 1190000.00000000 PA USD 1657001.59000000 0.041151806886 Long DBT CORP US N 2 2045-08-15 Fixed 5.00000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CD0 645000.00000000 PA USD 840067.05000000 0.020863152589 Long DBT CORP US N 2 2043-12-05 Fixed 5.30000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCH7 1260000.00000000 PA USD 1249099.05000000 0.031021504866 Long DBT CORP US N 2 2021-04-09 Floating 2.16988000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCV6 775000.00000000 PA USD 772359.25000000 0.019181622332 Long DBT CORP US N 2 2025-02-26 Fixed 2.90000000 N N N N N N Banc of America Funding Corpor 54930023UHZHF7UJ8596 05990QAA1 2744832.64000000 PA USD 2689527.28000000 0.066794689825 Long ABS-MBS CORP US N 2 2036-03-27 Floating 0.37450000 N N N N N N Ballyrock Ltd N/A 05875FAQ0 6500000.00000000 PA USD 6428639.75000000 0.159655937045 Long ABS-CBDO CORP KY N 2 2028-10-15 Floating 2.56888000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC USD 53672.80000000 0.001332969572 N/A DCR CORP GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 REPUBLIC OF PERU Peruvian Government International Bond Y Default Event 2023-12-20 0.00000000 USD -3207.82000000 USD 4500000.00000000 USD 56880.62000000 N N N CONOCOPHILLIPS COMPANY 6VJJ5GQWIRDQ06DUXG89 20826FAF3 489000.00000000 PA USD 545845.05000000 0.013556118608 Long DBT CORP US N 2 2034-11-15 Fixed 4.15000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCL4 2644000.00000000 PA USD 1962837.89000000 0.048747283217 Long DBT CORP MX N 2 2048-02-12 Fixed 6.35000000 N N N N N N HELLENIC REPUBLIC 2138003EKTMKZ5598902 000000000 1100000.00000000 PA 1374599.47000000 0.034138320854 Long DBT NUSS GR N 2 2024-02-24 Variable 3.65000000 N N N N N N HELLENIC REPUBLIC 2138003EKTMKZ5598902 000000000 1690000.00000000 PA 2349209.95000000 0.058342873526 Long DBT NUSS GR N 2 2031-02-24 Variable 3.65000000 N N N N N N GS Mortgage Securities Trust N/A 36253GAE2 4615000.00000000 PA USD 5025182.58000000 0.124800932209 Long ABS-MBS CORP US N 2 2047-09-10 Fixed 3.93100000 N N N N N N Lendmark Funding Trust N/A 52604AAA6 3900000.00000000 PA USD 3900565.11000000 0.096870940333 Long ABS-O CORP US N 2 2028-04-20 Fixed 2.78000000 N N N N N N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD -80391.87000000 -0.00199654045 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 -8438356.17000000 EUR 9400487.00000000 USD 2020-07-02 -80391.87000000 N N N STARFRUIT FINCO/STAR US N/A 000000000 3200000.00000000 PA 3631414.16000000 0.090186548486 Long DBT CORP N/A N 2 2026-10-01 Fixed 6.50000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAT0 3195000.00000000 PA USD 2741295.40000000 0.068080356471 Long DBT CORP US N 2 N/A Fixed 7.12500000 N N N N N N Fannie Mae or Freddie Mac N/A 01F030686 -36000000.00000000 PA USD -37850784.84000000 -0.94002817960 Short ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HP8 4270000.00000000 PA USD 1783237.27000000 0.044286883133 Long DBT NUSS AR N 2 2023-01-11 Fixed 4.62500000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BL7 1210000.00000000 PA USD 1428563.33000000 0.035478518932 Long DBT CORP US N 2 2047-05-01 Fixed 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JGTQ8 592097.73000000 PA USD 627341.32000000 0.015580086952 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.00000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 800000.00000000 PA 970984.51000000 0.024114501329 Long DBT NUSS RO N 2 2035-10-29 Fixed 3.87500000 N N N N N N Fannie Mae or Freddie Mac N/A 01F030686 36500000.00000000 PA USD 38376490.19000000 0.953084126671 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N NATIONSTAR MTG HLD INC N/A 63861CAA7 915000.00000000 PA USD 879040.79000000 0.021831069477 Long DBT CORP US N 2 2027-01-15 Fixed 6.00000000 N N N N N N Towd Point Mortgage Trust N/A 89175JAA8 5562208.06000000 PA USD 5762033.72000000 0.143100706935 Long ABS-MBS CORP US N 2 2057-10-25 Variable 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412RKU0 2113953.03000000 PA USD 2310839.15000000 0.057389930716 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.00000000 N N N N N N OZLM Ltd N/A 67108LAW3 24909077.68000000 PA USD 24153856.86000000 0.599863548156 Long ABS-CBDO CORP KY N 2 2031-04-17 Floating 2.21488000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36176H7M0 485771.54000000 PA USD 533704.64000000 0.013254610262 Long ABS-MBS USGA US N 2 2043-12-15 Fixed 3.50000000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC -16865.32000000 -0.00041885197 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2022-05-11 0.00000000 USD -1692.97000000 USD -2665000.00000000 EUR -15172.35000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179T7J8 12180858.20000000 PA USD 12912917.55000000 0.320693650852 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 3.50000000 N N N N N N STRIPS 254900HROIFWPRGM1V77 912833X96 350000.00000000 PA USD 295203.13000000 0.007331400447 Long DBT UST US N 2 2035-11-15 None 0.00000000 N N N N N N NOBLE ENERGY INC 02VFQXG2D1LR5ZH3K186 655044AH8 2000000.00000000 PA USD 2014596.48000000 0.050032713185 Long DBT CORP US N 2 2024-11-15 Fixed 3.90000000 N N N N N N ASCENT RESOURCES/ARU FIN N/A 04364VAA1 400000.00000000 PA USD 343874.96000000 0.008540170409 Long DBT CORP US N 2 2022-04-01 Fixed 10.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -3822.00000000 NC USD -1915917.34000000 -0.04758200647 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2020-09-21 -529999008.02000000 USD -1915917.34000000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAH8 1000000.00000000 PA USD 986262.35000000 0.024493928075 Long DBT CORP ES N 2 2023-04-12 Floating 2.43138000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CF0 4550000.00000000 PA USD 3861150.02000000 0.095892062472 Long DBT CORP US N 2 2059-03-01 Fixed 3.82500000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 903724BW1 3200000.00000000 PA USD 3440818.59000000 0.085453087675 Long DBT NUSS UA N 2 2024-02-01 Fixed 8.99400000 N N N N N N TFS_18-3-A1 N/A 000000000 8356039.78000000 PA 8706021.66000000 0.216214953726 Long ABS-MBS CORP LU N 2 2023-03-16 Floating 2.90000160 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AZ7 4300000.00000000 PA USD 5674037.01000000 0.140915299486 Long DBT CORP US N 2 2035-10-23 Fixed 6.38400000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174467Y9 7000000.00000000 PA USD 8060159.87000000 0.200174908974 Long DBT CORP US N 2 2026-09-08 Fixed 4.35000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAA1 10345000.00000000 PA USD 10667181.58000000 0.264920564384 Long DBT CORP US N 2 2024-10-01 Fixed 2.76000000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AL2 4895000.00000000 PA USD 5274834.28000000 0.131001058153 Long DBT CORP US N 2 2025-03-04 Fixed 3.75000000 N N N N N N GS Mortgage-Backed Securities N/A 36257EAA1 15492873.45000000 PA USD 15606727.48000000 0.387594700735 Long ABS-MBS CORP US N 2 2059-01-25 Variable 2.62500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HHA1 2127000.00000000 PA USD 1945634.11000000 0.048320025551 Long DBT CORP US N 2 N/A Floating 4.23013000 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452152P62 7055000.00000000 PA USD 7398508.16000000 0.183742719916 Long DBT MUN US N 2 2022-11-01 Fixed 5.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 060505EU4 1490000.00000000 PA USD 1648984.01000000 0.040952689453 Long DBT CORP US N 2 N/A Fixed 6.30000000 N N N N N Freddie Mac N/A 3128MJTV2 1005080.35000000 PA USD 1102972.88000000 0.027392446231 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.00000000 N N N N N N Wells Fargo Commercial Mortgag 549300TRQQDPEF728F16 95000PAD6 5800000.00000000 PA USD 6399855.72000000 0.158941082666 Long ABS-MBS CORP US N 2 2049-12-15 Fixed 3.52500000 N N N N N N JEFFERIES GROUP LLC NY9Q8VBNB6D1L6YV0J84 472319AM4 1975000.00000000 PA USD 2263606.14000000 0.056216893999 Long DBT CORP US N 2 2043-01-20 Fixed 6.50000000 N N N N N N SAN DIEGO G & E KNIRVXKVNJJ4P8OTMS63 797440BP8 1125000.00000000 PA USD 1261376.40000000 0.031326414131 Long DBT CORP US N 2 2041-11-15 Fixed 3.95000000 N N N N N N XPO LOGISTICS INC 54930096DB9LCLPN7H13 983793AG5 5250000.00000000 PA USD 5499464.93000000 0.136579783717 Long DBT CORP US N 2 2024-08-15 Fixed 6.75000000 N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHC6 3000.00000000 PA USD 3151.05000000 0.000078256654 Long DBT CORP US N 2 2023-12-20 Fixed 3.00400000 N N N N N N Freddie Mac N/A 3132M3HH3 2093828.91000000 PA USD 2329365.67000000 0.057850038768 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 4.50000000 N N N N N N JBS USA LLC/JBS USA FINA N/A 466112AR0 2430000.00000000 PA USD 2462264.42000000 0.061150593051 Long DBT CORP N/A N 2 2025-06-15 Fixed 5.75000000 N N N N N N Palmer Square CLO Ltd 549300UP5H2PFBIITY41 69688XAS0 4000000.00000000 PA USD 3915776.00000000 0.097248704368 Long ABS-CBDO CORP KY N 2 2031-01-17 Floating 2.26488000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAM2 2525000.00000000 PA USD 2523928.74000000 0.062682032854 Long DBT CORP US N 2 2038-04-15 Fixed 4.50000000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 000000000 3565000.00000000 PA 3712974.95000000 0.092212119192 Long DBT NUSS EG N 2 2031-04-11 Fixed 6.37500000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BY4 2250000.00000000 PA USD 2618338.03000000 0.065026697394 Long DBT CORP US N 2 2039-06-15 Fixed 5.12500000 N N N N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD -27696.60000000 -0.00068784794 N/A DCR CORP US N 2 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 HELLENIC REPUBLIC Hellenic Republic Government Bond Y Default Event 2025-12-20 0.00000000 USD -142712.16000000 USD 970000.00000000 USD 115015.56000000 N N N EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 000000000 -140.00000000 NC -10662.68000000 -0.00026480876 N/A DIR CORP DE N 1 EUREX CLEARING AKTIENGESELLSCHAFT 529900LN3S50JPU47S06 Short BUNDESSCHATZANWEISUNGEN Bundesschatzanweisungen 2020-09-08 -17497298.61000000 USD -10662.68000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 060505FQ2 7500000.00000000 PA USD 6703783.65000000 0.166489164429 Long DBT CORP US N 2 N/A Fixed 4.30000000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC -44547.47000000 -0.00110634105 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2024-05-11 0.00000000 USD -17523.84000000 USD -1680000.00000000 EUR -27023.63000000 N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 000000000 4605000.00000000 PA 4455670.34000000 0.110657036474 Long DBT NUSS UA N 2 2030-01-27 Fixed 4.37500000 N N N N N N MGM GROWTH/MGM FINANCE N/A 55303XAB1 3300000.00000000 PA USD 3272324.81000000 0.081268527118 Long DBT CORP US N 2 2026-09-01 Fixed 4.50000000 N N N N N N ENERGIZER GAMMA ACQ BV 5493002SUYZDHEQ3JN34 000000000 7981000.00000000 PA 9148553.45000000 0.227205276773 Long DBT CORP NL N 2 2026-07-15 Fixed 4.62500000 N N N N N N CRED SUIS GP FUN LTD 549300PXR5FKNXF0OH19 225433AM3 1700000.00000000 PA USD 1740086.20000000 0.043215221820 Long DBT CORP GG N 2 2021-04-16 Fixed 3.45000000 N N N N N N Fannie Mae or Freddie Mac N/A 01F022675 35000000.00000000 PA USD 36472460.85000000 0.905797359912 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MK4 545000.00000000 PA USD 486678.33000000 0.012086706960 Long DBT CORP US N 2 N/A Fixed 4.70000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CD8 2060000.00000000 PA USD 2712916.61000000 0.067375566269 Long DBT CORP US N 2 2049-10-26 Fixed 4.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36177U3H5 675335.63000000 PA USD 721129.79000000 0.017909333363 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured P N/A 3137BPW39 27337755.00000000 PA USD 1806678.42000000 0.044869046532 Long ABS-MBS USGSE US N 2 2026-03-25 Variable 1.49759200 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BZ1 980000.00000000 PA USD 1058296.79000000 0.026282910887 Long DBT CORP GB N 2 2025-03-11 Fixed 3.80300000 N N N N N N BELLEMEADE RE LT N/A 07876TAA0 2780000.00000000 PA USD 2780486.50000000 0.069053671517 Long ABS-MBS CORP US N 2 2030-06-25 Floating 2.84500000 N N N N N N Asset Backed Securities Corp H N/A 04541GMN9 980928.35000000 PA USD 918485.49000000 0.022810682706 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.23450000 N N N N N N Trinitas CLO Ltd 549300F3XEPDOX3FOP69 89641CAA9 5000000.00000000 PA USD 4875105.00000000 0.121073739895 Long ABS-CBDO CORP KY N 2 2031-01-25 Floating 2.20138000 N N N N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CK0 3600000.00000000 PA USD 3638018.30000000 0.090350562990 Long DBT CORP US N 2 2026-06-01 Fixed 5.25000000 N N N N N UBS Commercial Mortgage Trust N/A 90353DAY1 11500000.00000000 PA USD 13417866.50000000 0.333234110561 Long ABS-MBS CORP US N 2 2051-08-15 Fixed 4.02990000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36182K7D5 18217.04000000 PA USD 19263.00000000 0.000478398609 Long ABS-MBS USGA US N 2 2043-11-15 Fixed 3.50000000 N N N N N N UPJOHN INC N/A 91533BAE0 1585000.00000000 PA USD 1700061.41000000 0.042221201996 Long DBT CORP US N 2 2040-06-22 Fixed 3.85000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SQY6 680501.68000000 PA USD 745047.35000000 0.018503328454 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 4.50000000 N N N N N N Oportun Funding LLC N/A 68376PAA5 3700000.00000000 PA USD 3714328.99000000 0.092245746916 Long ABS-O CORP US N 2 2024-10-08 Fixed 4.10000000 N N N N N N CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 000000000 1.00000000 NC USD -291799.16000000 -0.00724686249 N/A DCR CORP US N 3 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 Y Default Event 2056-07-25 0.00000000 USD 0.00000000 USD 29400419.43000000 USD -291799.16000000 N N N BELLEMEADE RE LT 254900KXN235YISGF415 07876LAB5 5600000.00000000 PA USD 5386206.56000000 0.133767000314 Long ABS-MBS CORP BM N 2 2029-10-25 Floating 2.18450000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17308CC53 9855000.00000000 PA USD 10467290.26000000 0.259956242654 Long DBT CORP US N 2 2030-11-05 Fixed 2.97600000 N N N N N N PILGRIM'S PRIDE CORP 549300ZSLGV64ZL3HD75 72147KAC2 2975000.00000000 PA USD 2965989.97000000 0.073660669495 Long DBT CORP US N 2 2025-03-15 Fixed 5.75000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RE0 5575000.00000000 PA USD 8158664.06000000 0.202621270781 Long DBT UST US N 2 2044-02-15 Fixed 3.62500000 N N N N N CONCHO RESOURCES INC SYHS7HRDXLL4I0IQ8776 20605PAJ0 4570000.00000000 PA USD 5140981.92000000 0.127676820866 Long DBT CORP US N 2 2047-10-01 Fixed 4.87500000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CW8 5355000.00000000 PA USD 6054442.58000000 0.150362711396 Long DBT CORP US N 2 2025-03-25 Fixed 4.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CPF5 3255157.60000000 PA USD 3464028.50000000 0.086029508205 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.00000000 N N N N N N AMC ENTERTAINMENT HOLDIN 549300ZO77UNR6NRBR11 00165CAB0 3450000.00000000 PA USD 1101217.47000000 0.027348850441 Long DBT CORP US N 2 2026-11-15 Fixed 5.87500000 N N N N N N Freddie Mac N/A 31292K4D6 4642811.45000000 PA USD 5071143.26000000 0.125942370478 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.00000000 N N N N N N MEG ENERGY CORP 5493002WXPTG5ZC1T326 552704AC2 3550000.00000000 PA USD 3041763.22000000 0.075542506042 Long DBT CORP CA N 2 2024-03-31 Fixed 7.00000000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 03846JW48 755000.00000000 PA USD 745666.68000000 0.018518709579 Long DBT NUSS EG N 2 2028-02-21 Fixed 6.58800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J95Y3 6863008.75000000 PA USD 7450085.27000000 0.185023642809 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N NEW JERSEY ST TURNPIKE AUTH 5493005YN67D71KSMI84 646139W35 1075000.00000000 PA USD 1826618.49000000 0.045364260245 Long DBT MUN US N 2 2040-01-01 Fixed 7.41400000 N N N N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 138616AE7 5000000.00000000 PA USD 5399723.75000000 0.134102701134 Long DBT CORP US N 2 2024-05-01 Fixed 4.87500000 N N N N N N PEOPLE'S UNITED FIN INC ROPY7PEPIPIDJNF0BO69 712704AA3 3475000.00000000 PA USD 3614757.38000000 0.089772875622 Long DBT CORP US N 2 2022-12-06 Fixed 3.65000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAK4 2055000.00000000 PA USD 2310054.37000000 0.057370440623 Long DBT CORP US N 2 2028-07-22 Fixed 3.59100000 N N N N N N GEORGIA-PACIFIC LLC L2EVHWFHVAQK72TMH265 373298BN7 3620000.00000000 PA USD 4646325.86000000 0.115391986150 Long DBT CORP US N 2 2025-12-01 Fixed 7.37500000 N N N N N N LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 000000000 1.00000000 NC -182116.45000000 -0.00452288098 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE 213800O8SCO4XJGBU385 Y 2023-05-11 0.00000000 USD -68265.61000000 USD -12145000.00000000 EUR -113850.84000000 N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RDU5 5500000.00000000 PA USD 5255946.91000000 0.130531988354 Long ABS-O CORP US N 2 2026-08-20 Fixed 2.33000000 N N N N N N Oportun Funding LLC 549300GGHBCT645S8T42 68376VAA2 4800000.00000000 PA USD 4834431.36000000 0.120063605814 Long ABS-O CORP US N 2 2024-07-08 Fixed 3.91000000 N N N N N N TOTAL CAPITAL INTL SA 549300U37G2I8G4RUG09 89153VAV1 5580000.00000000 PA USD 5691415.92000000 0.141346906524 Long DBT CORP FR N 2 2050-05-29 Fixed 3.12700000 N N N N N FHLMC Multifamily Structured P N/A 3137FEBQ2 4300000.00000000 PA USD 5004619.50000000 0.124290245977 Long ABS-MBS USGSE US N 2 2027-12-25 Fixed 3.44400000 N N N N N N Morgan Stanley BAML Trust N/A 61690KAD4 5316837.52000000 PA USD 5425869.38000000 0.134752030575 Long ABS-MBS CORP US N 2 2046-02-15 Fixed 2.65500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36176H6X7 38251.43000000 PA USD 42021.26000000 0.001043602364 Long ABS-MBS USGA US N 2 2043-10-15 Fixed 3.50000000 N N N N N N Frontera Energy Corp A25574TZFLBNK7NWQT47 35905B107 64148.00000000 NS USD 159536.08000000 0.003962095145 Long EC CORP CA N 1 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967EW7 945000.00000000 PA USD 1635866.94000000 0.040626925655 Long DBT CORP US N 2 2039-07-15 Fixed 8.12500000 N N N N N HEALTH CARE SERVICE CORP 549300TMJ1FKCKECR148 42218SAH1 1830000.00000000 PA USD 1865686.56000000 0.046334519829 Long DBT CORP US N 2 2050-06-01 Fixed 3.20000000 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 1100000.00000000 PA USD 1196337.31000000 0.029711161564 Long DBT CORP KY N 2 2025-08-08 Fixed 5.12500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828ZG8 5000000.00000000 PA USD 5018554.70000000 0.124636328119 Long DBT UST US N 2 2022-03-31 Fixed 0.37500000 N N N N N N Freddie Mac N/A 3128M9HE5 711795.66000000 PA USD 774180.71000000 0.019226858480 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.50000000 N N N N N N 2020-08-21 Advanced Series Trust Christian J. Kelly Christian J. Kelly Treasurer and Principal Financial and Accounting Officer