NPORT-P false 0000088525 XXXXXXXX S000043991 C000152106 C000155971 C000136527 C000136529 C000136528 Guggenheim Funds Trust 811-01136 0000088525 54930033G24U3UGWK691 702 King Farm Blvd., Suite 200 Rockville 20850 301-296-5100 Guggenheim Total Return Bond Fund S000043991 549300FZ18ZR1YQ4EB78 2020-09-30 2019-12-31 N 14507130484.17 195010080.75 14312120403.42 0 0 0 0 0 0 0 0 0 0 0 0 0 0 CAD ILS BRL USD MXN JPY EUR KRW N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -109000000.00000000 NC 1075169.56000000 0.007512300970 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 109000000.00000000 BRL 28075417.27000000 USD 2020-07-01 1075169.56 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A -2480000.00000000 NC -43994.10000000 -0.00030739051 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 2480000.00000000 EUR 2739365.59000000 USD 2020-01-08 -43994.1 N N N FNMA INT STRIPS B1V7KEBTPIMZEU4LTD58 31359YQJ9 9413000.00000000 PA USD 7005344.08000000 0.048946933665 Long DBT USGSE US N 2 2032-01-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKC54 1500000.00000000 PA USD 1565255.60000000 0.010936573728 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 3.11000000 N N N N N N Airplanes Pass Through Trust N/A 009451AP0 409603.91480000 PA USD 6400.06000000 0.000044717762 Long ABS-O CORP US Y 3 2019-03-15 Floating 2.99000000 Y N N N N N GS Mortgage Securities Trust N/A 36253PAE2 42637857.69730000 PA USD 2815953.35000000 0.019675305060 Long ABS-MBS CORP US N 2 2050-05-10 Variable 1.04200000 N N N N N N BROOKFIELD FINANCE INC N/A 11271LAD4 1410000.00000000 PA USD 1614610.32000000 0.011281419345 Long DBT CORP CA N 2 2029-03-29 Fixed 4.85000000 N N N N N N ANTHEM INC 8MYN82XMYQH89CTMTH67 036752AE3 23600000.00000000 PA USD 23705005.37000000 0.165628884482 Long DBT CORP US N 2 2020-11-21 Fixed 2.50000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AA8 9175000.00000000 PA USD 9178522.47000000 0.064131115525 Long DBT CORP US N 2 2020-03-17 Floating 2.25000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -1344022.56000000 NC -7295.73000000 -0.00005097588 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1344022.56000000 ILS 392209.22000000 USD 2021-02-01 -7295.73 N N N Carlyle Global Market Strategi N/A 14309WAC2 8920000.00000000 PA USD 4430242.88000000 0.030954483019 Long ABS-O CORP KY N 2 2032-01-14 None 0.00000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HBP9 30800000.00000000 PA USD 30840580.85000000 0.215485755993 Long DBT CORP US N 2 2020-05-12 Fixed 2.50000000 N N N N N N STORE Master Funding LLC N/A 86212VAB0 10846304.95560000 PA USD 11373637.12000000 0.079468567894 Long ABS-O CORP US N 2 2046-10-20 Fixed 4.32000000 N N N N N N HarborView Mortgage Loan Trust N/A 41162NAC1 10698770.26590000 PA USD 10609551.08000000 0.074129833881 Long ABS-MBS CORP US N 2 2047-01-25 Floating 1.91400000 N N N N N N FHLMC Multifamily Structured P N/A 3137FQ3W1 18500000.00000000 PA USD 18690481.55000000 0.130591980944 Long ABS-MBS USGSE US N 2 2025-03-25 Fixed 2.58800000 N N N N N N Golub Capital Partners CLO Ltd N/A 38175BAA2 76300000.00000000 PA USD 74655750.26000000 0.521626063473 Long ABS-O CORP KY N 2 2031-02-05 Floating 3.19100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLBC8 7000000.00000000 PA USD 7201962.60000000 0.050320723952 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 3.01000000 N N N N N N Countrywide Alternative Loan T N/A 12667GZ30 7512421.72530000 PA USD 7444761.85000000 0.052017182920 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.14200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -2265300.00000000 NC 637.79000000 0.000004456292 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2265300.00000000 JPY 21689.97000000 USD 2020-06-22 637.79 N N N UNITED TECHNOLOGIES CORP I07WOS4YJ0N7YRFE7309 913017CM9 10373000.00000000 PA USD 10367951.36000000 0.072441756132 Long DBT CORP US N 2 2020-05-04 Fixed 1.90000000 N N N N N N WASHINGTON CNTY OR SCH DIST #4 N/A 938429T23 3850000.00000000 PA USD 2527910.00000000 0.017662721726 Long DBT MUN US N 2 2033-06-15 None 0.00000000 N N N N N N Bank N/A 06541RBC6 100000000.00000000 PA USD 5842750.00000000 0.040823790153 Long ABS-MBS CORP US N 2 2052-12-15 Variable 0.75600000 N N N N N N Treman Park CLO Ltd 549300E4DX3Q8L455K94 89473MAD4 10000000.00000000 PA USD 8119701.00000000 0.056733040046 Long ABS-O CORP KY N 2 2028-10-20 None 0.00000000 N N N N N N TRIP Rail Master Funding LLC 5493004VSVYOZVEYVJ29 89690EAF4 1818583.83920000 PA USD 1818868.08000000 0.012708585651 Long ABS-O CORP US N 2 2047-08-15 Fixed 2.70900000 N N N N N N N-STAR REAL ESTATE CDO LTD N/A 62940FAC3 769713.74300000 PA USD 762740.14000000 0.005329330095 Long ABS-O CORP KY N 2 2041-02-01 Floating 2.48500000 N N N N N N BP HOLDCO LLC N/A N/A 532.00000000 NS USD 187.85000000 0.000001312523 Long EC CORP US N 3 N N N Freddie Mac Military Housing B 549300ZG8WH0M4JSUM77 35563CAJ7 2657978.59620000 PA USD 2910416.92000000 0.020335330041 Long ABS-MBS USGSE US N 2 2052-10-25 Variable 4.09700000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -105100000.00000000 NC -228870.78000000 -0.00159913956 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 105100000.00000000 BRL 25052440.88000000 USD 2021-07-01 -228870.78 N N N Freddie Mac N/A 31335ABF4 1545724.71000000 PA USD 1630262.82000000 0.011390784691 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 3.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -154605468.00000000 NC -4406.71000000 -0.00003079005 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 154605468.00000000 KRW 129844.18000000 USD 2020-05-11 -4406.71 N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 5247604.00000000 PA USD 5247604.00000000 0.036665454538 Long RA CORP FR N 2 Repurchase Y 2.42700000 2020-07-07 6156847.00000000 USD 6630308.53000000 USD PLCMO N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTF79 3198000.00000000 PA USD 3401061.49000000 0.023763505295 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 3.92000000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -205600000.00000000 NC -1160274.33000000 -0.00810693522 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 205600000.00000000 BRL 50042594.62000000 USD 2020-01-02 -1160274.33 N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -9070000.00000000 NC -160913.30000000 -0.00112431488 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 9070000.00000000 CAD 6826879.81000000 USD 2020-01-16 -160913.3 N N N HAYWARD INDUSTRIES INC N/A N/A 2191484.21210000 PA USD 2171760.85000000 0.015174277387 Long LON CORP US N 2 2024-08-05 Variable 5.30000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 189200000.00000000 NC 1432456.22000000 0.010008693188 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 45686137.20000000 USD 189200000.00000000 BRL 2020-01-02 1432456.22 N N N Seneca Park CLO Ltd N/A 817176AN0 12900000.00000000 PA USD 12915797.34000000 0.090243772242 Long ABS-O CORP KY N 2 2026-07-17 Floating 3.50200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTHJ1 20000000.00000000 PA USD 21804702.40000000 0.152351306343 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 3.67500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKR58 18620000.00000000 PA USD 19307112.45000000 0.134900433379 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 2.96000000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059E7T5 1612000.00000000 PA USD 474499.26000000 0.003315366602 Long DBT USGA US N 2 2060-09-15 None 0.00000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134A4NQ3 1050000.00000000 PA USD 823192.47000000 0.005751715656 Long DBT USGSE US N 2 2030-01-15 None 0.00000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -3949000.00000000 NC -19988.41000000 -0.00013966071 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 3949000.00000000 ILS 1153834.92000000 USD 2021-02-01 -19988.41 N N N Nomura Resecuritization Trust N/A 65540WCH0 817035.68600000 PA USD 806244.12000000 0.005633296096 Long ABS-MBS CORP US N 2 2036-12-26 Floating 3.47400000 N N N N N N Morgan Stanley BAML Trust N/A 61690AAF1 71695179.54440000 PA USD 3058946.53000000 0.021373119033 Long ABS-MBS CORP US N 2 2047-12-15 Variable 0.91600000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05367AAA1 7940000.00000000 PA USD 8239740.32000000 0.057571764963 Long DBT CORP US N 2 2020-10-15 Fixed 7.12500000 N N N N N N COMM Mortgage Trust N/A 12591TAF3 11569947.90700000 PA USD 448174.66000000 0.003131434388 Long ABS-MBS CORP US N 2 2047-04-10 Variable 1.09700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LM6D0 7160026.10330000 PA USD 7676859.34000000 0.053638867782 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.49000000 N N N N N N Morgan Stanley Capital Inc 5493005XH7EPFP4PGZ13 61755CAA0 3833400.37800000 PA USD 3475540.57000000 0.024283896949 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.85200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTSY6 37000000.00000000 PA USD 38371923.00000000 0.268107882818 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.26000000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059GBC2 1020000.00000000 PA USD 280362.67000000 0.001958917771 Long DBT USGA US N 2 2062-09-15 None 0.00000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 5927600000.00000000 NC USD 10373300.00000000 0.072479127533 N/A DIR US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Put Purchased N/A 2Y-10 CMS CAP 5927600000.00 0.395 USD 2022-07-29 XXXX -2785493 N N N ILLINOIS ST 54930048FV8RWPR02D67 452152GF2 1820000.00000000 PA USD 2235451.40000000 0.015619288665 Long DBT MUN US N 2 2035-02-01 Fixed 6.63000000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -295450000.00000000 NC -367396.78000000 -0.00256703248 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 295450000.00000000 MXN 15040215.84000000 USD 2020-04-08 -367396.78 N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -8674335000.00000000 NC 2523657.14000000 0.017633006632 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 8674335000.00000000 JPY 84594645.99000000 USD 2021-05-06 2523657.14 N N N Willis Engine Securitization T N/A 970631AA5 813740.34070000 PA USD 836998.10000000 0.005848176764 Long ABS-O CORP US N 2 2037-09-15 Variable 5.50000000 N N N N N N FDF Limited 254900IDIMSANLWYGN89 30256WAA5 15000000.00000000 PA USD 15317466.00000000 0.107024435012 Long ABS-O CORP KY N 2 2030-11-12 Fixed 4.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HVWD2 18646264.61500000 PA USD 18102045.97000000 0.126480531603 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 2.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMDC4 6900000.00000000 PA USD 7084992.52000000 0.049503444076 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 3.14000000 N N N N N N Dryden Senior Loan Fund 549300KYL9TWDEEU3W90 26250JAU4 766703.00000000 PA USD 757479.72000000 0.005292575094 Long ABS-O CORP KY N 2 2027-10-15 Floating 3.33600000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -20270000.00000000 OU Swap USD -542803.24000000 -0.00379261230 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MARKIT CDX.NA.IG.31 12/23 SP9U1R3Y Y CDX IG31 (7-15%) 1% 12/20/2023 - Tenor Quarterly 2023-12-20 58384.82 USD 0 USD -20270000 USD -601188.06 N N N Flagship CLO 5493008Z07UPKZ2Y1538 33842GAE7 17583718.11520000 PA USD 17585569.68000000 0.122871867929 Long ABS-O CORP KY N 2 2026-01-20 Floating 3.51600000 N N N N N N Freddie Mac Military Housing B 549300ZG8WH0M4JSUM77 35563CAV0 12958738.05310000 PA USD 14072509.19000000 0.098325816114 Long ABS-MBS USGSE US N 2 2052-11-25 Variable 4.10000000 N N N N N N Deutsche Alt-A Securities INC N/A 25150UAA6 3631033.98830000 PA USD 3480623.85000000 0.024319414257 Long ABS-MBS CORP US N 2 2047-04-25 Floating 3.01000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 6382000.00000000 PA USD 6382000.00000000 0.044591575672 Long RA CORP FR N 2 Repurchase Y 2.29050000 2020-07-07 7690000.00000000 USD 7929824.20000000 USD PLCMO N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFU95 741311.51400000 PA USD 773907.01000000 0.005407353964 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.50000000 N N N N N N Deutsche Alt-A Securities INC N/A 251510NC3 6453433.69490000 PA USD 6232943.10000000 0.043550102460 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.09200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DJF0 77317419.88260000 PA USD 78405637.83000000 0.547826846197 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 2.50000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276TAH7 53954174.88670000 PA USD 3068330.76000000 0.021438687444 Long ABS-MBS CORP US N 2 2050-11-15 Variable 1.01500000 N N N N N N Station Place Securitization T N/A 85770LAA0 20250000.00000000 PA USD 20253879.90000000 0.141515577909 Long ABS-O CORP US N 2 2021-04-24 Floating 2.33000000 N N N N N N API HEAT TRANSFER THERMASYS CORP N/A N/A 42528.00000000 NS USD 6804.48000000 0.000047543479 Long EC CORP US N 2 N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92937FAJ0 9270424.07160000 PA USD 280574.02000000 0.001960394491 Long ABS-MBS CORP US N 2 2048-03-15 Variable 1.22100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMFX6 6150000.00000000 PA USD 6487012.19000000 0.045325304756 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.19000000 N N N N N N THE HILLMAN GROUP INC BDPO7HREUXNPHVMSIT54 N/A 984999.99520000 PA USD 967270.00000000 0.006758397587 Long LON CORP US N 2 2025-05-30 Variable 5.80000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A 15573000.00000000 NC USD 10632.77000000 0.000074292066 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 ICE LIBOR USD 3 Month US0003M Y 2020-01-31 6458.46 USD 0 USD 15573000 USD 4174.31 N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128286G0 441533200.00000000 PA USD 454123792.95000000 3.173001485101 Long DBT UST US N 2 2024-02-29 Fixed 2.37500000 N N N N N N LLOYDS BANK CORP MKTS/NY 213800MBWEIJDM5CU638 53947BB33 29100000.00000000 PA USD 29128903.87000000 0.203526123655 Long DBT CORP GB N 2 2020-08-05 Floating 2.26100000 N N N N N N TENN VALLEY AUTH 549300HE1ISW43LNKM54 88059FBA8 15800000.00000000 PA USD 9288267.95000000 0.064897916508 Long DBT USGA US N 2 2038-01-15 None 0.00000000 N N N N N N HARRIS CNTY-HOUSTON TX SPORTS N/A 413890EL4 1500000.00000000 PA USD 691290.00000000 0.004830101903 Long DBT MUN US N 2 2041-11-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HUMC7 696028.73200000 PA USD 755909.06000000 0.005281600760 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.91000000 N N N N N N ONTARIO T-BILL C7PVKCRGLG18EBQGZV36 6832Z5DE7 623000.00000000 PA 479892.71000000 0.003353051095 Long DBT NUSS CA N 2 2020-01-02 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLLA1 21378000.00000000 PA USD 22058454.47000000 0.154124293593 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 2.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HWMU3 3235000.00000000 PA USD 3223260.77000000 0.022521196574 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.55000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 4376947.00000000 PA USD 4376947.00000000 0.030582100182 Long RA CORP FR N 2 Repurchase Y 2.42700000 2020-07-07 5407000.00000000 USD 5462692.10000000 USD PLCMO N N N COMM Mortgage Trust N/A 12593ABC8 700000.00000000 PA USD 738365.53000000 0.005159022626 Long ABS-MBS CORP US N 2 2048-05-10 Fixed 3.80100000 N N N N N N ANALOG DEVICES INC GYVOE5EZ4GDAVTU4CQ61 032654AR6 26950000.00000000 PA USD 27175410.07000000 0.189876896672 Long DBT CORP US N 2 2021-01-12 Fixed 2.95000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -20190000.00000000 OU Swap USD -540660.94000000 -0.00377764387 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MARKIT CDX.NA.IG.31 12/23 SP9U1R3Y Y CDX IG31 (7-15%) 1% 12/20/2023 - Tenor Quarterly 2023-12-20 0 USD 5710.46 USD -20190000 USD -534950.48 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -10005000000.00000000 NC 2926346.68000000 0.020446632626 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 10005000000.00000000 JPY 97867553.56000000 USD 2021-07-01 2926346.68 N N N New Residential Mortgage Loan N/A 64828GAD2 16672449.39730000 PA USD 17017040.58000000 0.118899506853 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3.50000000 N N N N N N ESSEX PORTFOLIO LP 5493003GN3O58H286O74 29717PAJ6 400000.00000000 PA USD 411828.84000000 0.002877483059 Long DBT CORP US N 2 2021-03-15 Fixed 5.20000000 N N N N N N FHLMC Multifamily Structured P N/A 3137FCJL9 6000000.00000000 PA USD 6392569.80000000 0.044665427761 Long ABS-MBS USGSE US N 2 2027-12-25 Fixed 3.36400000 N N N N N N Wells Fargo Commercial Mortgag 549300RD723OFH36TP29 94989XBH7 64000.00000000 PA USD 67402.48000000 0.000470946848 Long ABS-MBS CORP US N 2 2048-12-15 Variable 4.22400000 N N N N N N Fanniemae-Aces N/A 3136AX3J2 52100000.00000000 PA USD 54223590.79000000 0.378864831077 Long ABS-MBS USGSE US N 2 2029-08-25 Fixed 2.98000000 N N N N N N Ace Securities Corp. N/A 004421MG5 5700000.00000000 PA USD 5705163.63000000 0.039862462508 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.81200000 N N N N N N Starwood Mortgage Residential N/A 85571KAA3 27120023.14420000 PA USD 27113310.94000000 0.189443004780 Long ABS-MBS CORP US N 2 2049-06-25 Variable 2.94100000 N N N N N N Diamond CLO 2018-1, LLC N/A 25256LAJ0 18000000.00000000 PA USD 17948120.40000000 0.125405040581 Long ABS-O CORP KY N 2 2030-07-22 Floating 3.45300000 N N N N N N Marathon CLO LTD 549300IUEKWRLYLNE530 56577AAL6 12600000.00000000 PA USD 12608337.42000000 0.088095523686 Long ABS-O CORP KY N 2 2025-10-28 Floating 3.58600000 N N N N N N RFCSP STRIP PRINCIPAL N/A 76116FAC1 105135000.00000000 PA USD 82093626.02000000 0.573595132698 Long DBT USGSE US N 2 2030-04-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMDA8 3000000.00000000 PA USD 3171249.84000000 0.022157791791 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.17500000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 9070000.00000000 NC 101753.05000000 0.000710957196 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 6886040.06000000 USD 9070000.00000000 CAD 2020-01-16 101753.05 N N N PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED PUSS41EMO3E6XXNV3U28 N/A 1875000.00000000 PA USD 1872162.19000000 0.013080956121 Long STIV CORP US N 2 N N N Wells Fargo Commercial Mortgag 549300VOKB4Z9J8DIM89 94989YBE2 1400000.00000000 PA USD 1525715.66000000 0.010660304811 Long ABS-MBS CORP US N 2 2059-01-15 Variable 4.72200000 N N N N N N CAPMARK MILITARY HOUSING TRUST N/A 14066AAB5 7030772.97000000 PA USD 4934673.23000000 0.034478980688 Long ABS-MBS CORP US N 2 2051-07-10 Floating 2.41900000 N N N N N N Nomura Resecuritization Trust N/A 65540WCC1 1471479.82050000 PA USD 1442756.53000000 0.010080662329 Long ABS-MBS CORP US N 2 2036-03-26 Floating 3.02900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLYQ2 8853000.00000000 PA USD 9264502.76000000 0.064731867108 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 3.01000000 N N N N N N BCAP LLC Trust N/A 05543DAA2 135338.47390000 PA USD 134673.81000000 0.000940977340 Long ABS-MBS CORP US N 2 2036-03-26 Variable 2.30800000 N N N N N N New Residential Advance Receiv N/A 62942QCF8 62250000.00000000 PA USD 62162034.53000000 0.434331411264 Long ABS-MBS CORP US N 2 2051-10-15 Fixed 2.32900000 N N N N N N JAPAN (GOVERNMENT OF) N/A N/A 26008000000.00000000 PA 240223531.90000000 1.678462206359 Long DBT NUSS JP N 2 2021-08-01 Fixed 0.10000000 N N N N N N FHLMC Multifamily Structured P N/A 3137BKGK0 2105000.00000000 PA USD 2246546.73000000 0.015696812678 Long ABS-MBS USGSE US N 2 2030-04-25 Fixed 3.51100000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059E7P3 1612000.00000000 PA USD 503887.39000000 0.003520703961 Long DBT USGA US N 2 2058-09-15 None 0.00000000 N N N N N N Cerberus 549300MUW2JOIDDXLH51 15673BAA7 31500000.00000000 PA USD 30611942.55000000 0.213888240785 Long ABS-O CORP KY N 2 2028-01-15 Floating 4.53100000 N N N N N N COMM Mortgage Trust 549300CJNWCNIHR7IT87 12625CAN3 2000000.00000000 PA USD 2102566.80000000 0.014690812686 Long ABS-MBS CORP US N 2 2031-03-10 Fixed 3.89800000 N N N N N N NEWPORT MESA CA UNIF SCH DIST N/A 652113XC0 4000000.00000000 PA USD 2120840.00000000 0.014818489086 Long DBT MUN US N 2 2039-08-01 None 0.00000000 N N N N N N API HEAT TRANSFER THERMASYS CORP N/A N/A 7040.71040000 PA USD 6336.64000000 0.000044274641 Long LON CORP US N 3 2023-10-02 Variable 7.94000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A 24186000.00000000 NC USD 16753.64000000 0.000117059104 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 ICE LIBOR USD 3 Month US0003M Y 2020-01-31 10212.93 USD 0 USD 24186000 USD 6540.71 N N N RYDER SYSTEM INC ZXJ6Y2OSPZXIVGRILD15 78355HJZ3 8627000.00000000 PA USD 8636671.21000000 0.060345154781 Long DBT CORP US N 2 2020-05-11 Fixed 2.50000000 N N N N N N MARATHON PETROLEUM CORP 3BNYRYQHD39K4LCKQF12 56585AAL6 4800000.00000000 PA USD 4854642.67000000 0.033919800373 Long DBT CORP US N 2 2020-12-15 Fixed 3.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HSCK5 3695505.26250000 PA USD 4070586.41000000 0.028441532737 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 4.27000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTFN4 6338000.00000000 PA USD 6930049.38000000 0.048420843206 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 3.63000000 N N N N N N Citigroup Commercial Mortgage N/A 17324KAV0 33435601.98230000 PA USD 1112900.67000000 0.007775931438 Long ABS-MBS CORP US N 2 2048-11-10 Variable 0.85400000 N N N N N N Aspect Software, Inc. N/A N/A -2045.55000000 PA USD -24.47000000 -0.00000017097 Short LON CORP US N 3 2023-07-15 Variable 0.37500000 N N N N N N iShares Core U.S. Aggregate Bo 549300F7VSXTKBGHJE47 464287226 1270940.00000000 NS USD 142815527.80000000 0.997864214207 Long EC RF US N 1 N N N Station Place Securitization T N/A 85772JAA3 141950000.00000000 PA USD 141949900.64000000 0.991816003770 Long ABS-O CORP US N 2 2020-03-24 Floating 2.38000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134A4AB0 81957000.00000000 PA USD 62577002.75000000 0.437230829437 Long DBT USGSE US N 2 2031-03-15 None 0.00000000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059GBJ7 1020000.00000000 PA USD 253749.72000000 0.001772970830 Long DBT USGA US N 2 2065-09-15 None 0.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828YQ7 65000000.00000000 PA USD 64190038.90000000 0.448501249924 Long DBT UST US N 2 2026-10-31 Fixed 1.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLER2 1300000.00000000 PA USD 1337432.97000000 0.009344757676 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 3.02000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -20907600.00000000 NC 354852.68000000 0.002479385793 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 20907600.00000000 EUR 24055866.41000000 USD 2020-06-15 354852.68 N N N Nassau 2019 CFO LLC N/A 63172DAA9 20594770.27780000 PA USD 20443666.45000000 0.142841632642 Long ABS-O CORP US N 2 2034-08-15 Fixed 3.98000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKV46 2892640.17000000 PA USD 3039166.08000000 0.021234911350 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.42000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LM3Z4 5500000.00000000 PA USD 5919302.29000000 0.041358667501 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.48000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WBYV1 339907.86010000 PA USD 367341.74000000 0.002566647915 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 5.00000000 N N N N N N SAN DIEGO CA UNIF SCH DIST N/A 797355N59 1350000.00000000 PA USD 708885.00000000 0.004953039661 Long DBT MUN US N 2 2043-07-01 None 0.00000000 N N N N N N Residential Accredit Loans, In N/A 74923LAB8 8361419.55290000 PA USD 8175352.05000000 0.057121878656 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.98200000 N N N N N N CLI Funding LLC N/A 12563LAJ6 24404739.07720000 PA USD 24582200.58000000 0.171757921866 Long ABS-O CORP US N 2 2043-04-18 Fixed 4.03000000 N N N N N N CGBAM Commercial Mortgage Trus N/A 12528RAJ7 2400000.00000000 PA USD 2398635.60000000 0.016759470521 Long ABS-MBS CORP US N 2 2028-04-10 Fixed 3.76800000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A 554980000.00000000 NC USD -9830177.60000000 -0.06868428522 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 US Federal Funds Effective Rate (continuous series) FEDL01 Y 2024-08-28 2604.49 USD 0 USD 554980000 USD -9832782.09 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 517230000.00000000 NC 109787.06000000 0.000767091506 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 27191432.99000000 USD 517230000.00000000 MXN 2020-01-16 109787.06 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -1039900000.00000000 NC -1983176.96000000 -0.01385662574 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1039900000.00000000 MXN 53018198.21000000 USD 2020-01-02 -1983176.96 N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -2816700000.00000000 NC 329837.04000000 0.002304599393 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 2816700000.00000000 JPY 26262202.46000000 USD 2020-01-10 329837.04 N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134A4NR1 8600000.00000000 PA USD 6640321.01000000 0.046396486494 Long DBT USGSE US N 2 2030-07-15 None 0.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RN0 4600000.00000000 PA USD 5040234.35000000 0.035216545193 Long DBT UST US N 2 2045-08-15 Fixed 2.87500000 N N N N N N Atlas Senior Loan Fund LTD 635400UCHZNUTGTBTH21 04941GAN8 4300000.00000000 PA USD 4248594.36000000 0.029685289392 Long ABS-O CORP KY N 2 2027-11-17 Floating 3.20400000 N N N N N N GMAC Commercial Mortgage Asset N/A 36186XAB3 2500000.00000000 PA USD 2691678.03000000 0.018806982851 Long ABS-MBS CORP US N 2 2050-07-10 Fixed 5.25400000 N N N N N N UBS AG LONDON BFM8T61CT2L1QCEMIK50 902674XE5 22000000.00000000 PA USD 22036406.92000000 0.153970245490 Long DBT CORP GB N 2 2020-06-08 Floating 2.46500000 N N N N N N Residential Accredit Loans, In N/A 761118VY1 19643277.84860000 PA USD 7013701.11000000 0.049005324943 Long ABS-MBS CORP US N 2 2046-02-25 Floating 2.01200000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 5618000.00000000 PA USD 5618000.00000000 0.039253442827 Long RA CORP FR N 2 Repurchase Y 2.32713000 2020-07-07 7007000.00000000 USD 7036429.40000000 USD PLCMO N N N KDAC Aviation Finance Limited N/A 48244XAA0 35679055.67910000 PA USD 36064985.32000000 0.251989113446 Long ABS-O CORP KY N 2 2042-12-15 Fixed 4.21200000 N N N N N N CD Commercial Mortgage Trust N/A 12515ABF6 34623729.92390000 PA USD 1143081.67000000 0.007986808647 Long ABS-MBS CORP US N 2 2049-11-10 Variable 0.67200000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059E7D0 1612000.00000000 PA USD 587516.76000000 0.004105029467 Long DBT USGA US N 2 2053-09-15 None 0.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -50925000.00000000 NC -684050.92000000 -0.00477952183 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 50925000.00000000 ILS 14106648.20000000 USD 2020-01-31 -684050.92 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTN54 315000.00000000 PA USD 348381.37000000 0.002434170201 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.22000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -2007500.00000000 NC -11318.11000000 -0.00007908059 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2007500.00000000 ILS 571741.85000000 USD 2020-01-31 -11318.11 N N N BEVERLY HILLS CA UNIF SCH DIST N/A 088023KY1 5295000.00000000 PA USD 3508467.00000000 0.024513956710 Long DBT MUN US N 2 2034-08-01 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTYD5 13075000.00000000 PA USD 14562875.25000000 0.101752045395 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.83000000 N N N N N N CIT Mortgage Loan Trust N/A 12559QAD4 3224859.42630000 PA USD 3233905.16000000 0.022595569830 Long ABS-MBS CORP US N 2 2037-10-25 Floating 3.24200000 N N N N N N FHLMC Multifamily Structured P N/A 3137BGK32 43857560.70000000 PA USD 1030130.77000000 0.007197611122 Long ABS-MBS USGSE US N 2 2024-12-25 Variable 0.53700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTR27 5850000.00000000 PA USD 6265600.56000000 0.043778282905 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.43500000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804FG4 1100000.00000000 PA USD 1857768.97000000 0.012980389471 Long DBT CORP US N 2 2038-11-15 Fixed 8.87500000 N N N N N N PSEG POWER LLC N/A 69362BAW2 3311000.00000000 PA USD 3340482.27000000 0.023340233143 Long DBT CORP US N 2 2020-04-15 Fixed 5.12500000 N N N N N N COMM Mortgage Trust N/A 12593QBF6 86265647.95820000 PA USD 3856454.03000000 0.026945371624 Long ABS-MBS CORP US N 2 2048-10-10 Variable 0.95000000 N N N N N N Barclays Commercial Mortgage S N/A 05491UBE7 58348035.64400000 PA USD 3364569.46000000 0.023508532384 Long ABS-MBS CORP US N 2 2051-12-15 Variable 0.77200000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059E7F5 1020000.00000000 PA USD 360785.61000000 0.002520839678 Long DBT USGA US N 2 2054-09-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CV27 567069.95340000 PA USD 588480.93000000 0.004111766205 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.50000000 N N N N N N Residential Accredit Loans, In N/A 74923TAA3 1554754.43970000 PA USD 1470678.76000000 0.010275757319 Long ABS-MBS CORP US N 2 2047-03-25 Floating 1.95200000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SJ8 287528000.00000000 PA USD 279710832.50000000 1.954363327136 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059E7Q1 1612000.00000000 PA USD 496373.97000000 0.003468207058 Long DBT USGA US N 2 2059-03-15 None 0.00000000 N N N N N N UNIVEST FINANCIAL CORP 4WII2HCR8UEWNU03U507 915271AA8 1000000.00000000 PA USD 1002149.04000000 0.007002100399 Long DBT CORP US N 2 2025-03-30 Variable 5.10000000 N N N N N N NEWPORT MESA CA UNIF SCH DIST N/A 652113XD8 2500000.00000000 PA USD 1265350.00000000 0.008841107846 Long DBT MUN US N 2 2040-08-01 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKMB0 10250000.00000000 PA USD 10710507.80000000 0.074835227053 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 3.08000000 N N N N N N FEDERAL FARM CREDIT BANK N/A 3133EKZC3 7550000.00000000 PA USD 7558246.71000000 0.052810111269 Long DBT USGSE US N 2 2039-08-12 Fixed 3.08000000 N N N N N N Capital Automotive Reit N/A 12479RAB3 11392626.79570000 PA USD 11372944.89000000 0.079463731225 Long ABS-O CORP US N 2 2044-10-15 Fixed 3.66000000 N N N N N N NEWPORT MESA CA UNIF SCH DIST N/A 652113XG1 1900000.00000000 PA USD 836304.00000000 0.005843327029 Long DBT MUN US N 2 2043-08-01 None 0.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -207908500.00000000 NC -1080651.09000000 -0.00755060088 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 207908500.00000000 ILS 60979175.83000000 USD 2021-04-30 -1080651.09 N N N TENN VALLEY AUTHORITY 549300HE1ISW43LNKM54 880591DZ2 8360000.00000000 PA USD 12699571.42000000 0.088732983387 Long DBT USGA US N 2 2056-04-01 Fixed 5.37500000 N N N N N N Turbine Engine Securitization 635400OU6URHWIXP2J82 89989FAA2 709902.71420000 PA USD 711708.00000000 0.004972764202 Long ABS-O CORP BM Y 2 2048-12-13 Fixed 5.12500000 N N N N N N Deephaven Residential Mortgage N/A 24381LAC6 6642567.06060000 PA USD 6716951.86000000 0.046931912747 Long ABS-MBS CORP US N 2 2058-10-25 Variable 4.28500000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660LWE5 6841616.72330000 PA USD 5630703.24000000 0.039342201443 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.57200000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -1370600000.00000000 NC -1365109.98000000 -0.00953813929 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1370600000.00000000 MXN 70747948.18000000 USD 2020-02-06 -1365109.98 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -2413206000.00000000 NC 397509.40000000 0.002777431916 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 2413206000.00000000 JPY 22824231.53000000 USD 2020-06-22 397509.4 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810QY7 2580000.00000000 PA USD 2759189.05000000 0.019278688078 Long DBT UST US N 2 2042-11-15 Fixed 2.75000000 N N N N N N ANTELOPE VLY CA CMNTY CLG DIST N/A 03667PER9 2800000.00000000 PA USD 1519896.00000000 0.010619642353 Long DBT MUN US N 2 2036-08-01 None 0.00000000 N N N N N N GOLUB CAPITAL PARTNERS CLO 39( 254900UTQO35BUTIHC49 38176LAC5 3100000.00000000 PA USD 3063358.93000000 0.021403948846 Long ABS-O CORP KY N 2 2028-10-20 Floating 3.36600000 N N N N N N FHLMC Multifamily Structured P N/A 3137FKUP9 80750000.00000000 PA USD 88691956.30000000 0.619698226398 Long ABS-MBS USGSE US N 2 2028-12-25 Fixed 3.77100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HWEE8 200000.00000000 PA USD 194491.70000000 0.001358930015 Long ABS-MBS USGSE US N 3 2042-08-01 Fixed 3.18000000 N N N N N N Federated US Treasury Cash Res 25490003NTA1P9CI5X97 60934N682 63852355.06000000 NS USD 63852355.06000000 0.446141824273 Long STIV RF US N 1 N N N Golub Capital Partners CLO Ltd N/A 38172XAJ8 6700000.00000000 PA USD 6636079.32000000 0.046366849446 Long ABS-O CORP KY N 2 2029-07-25 Floating 3.79000000 N N N N N N Freddie Mac N/A 3128MJXF2 600516.40950000 PA USD 636745.19000000 0.004448992686 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.00000000 N N N N N N Freddie Mac Military Housing B 549300ZG8WH0M4JSUM77 35563CAD0 43063893.28900000 PA USD 48256249.01000000 0.337170507582 Long ABS-MBS USGSE US N 2 2055-11-25 Variable 1.93401000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 1440000.00000000 PA USD 1440000.00000000 0.010061402220 Long RA CORP FR N 2 Repurchase Y 2.42700000 2020-07-07 1811000.00000000 USD 1800496.20000000 USD PLCMO N N N OHA Credit Partners Ltd 549300WS1N2FZ02EYH25 67105VAQ7 6000000.00000000 PA USD 5050836.60000000 0.035290624013 Long ABS-O CORP KY N 2 2025-10-20 None 0.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -2013000.55000000 NC -15046.44000000 -0.00010513075 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2013000.55000000 ILS 583309.35000000 USD 2021-02-01 -15046.44 N N N Asset Backed Securities Corp H N/A 04541GVL3 10072000.00000000 PA USD 9796375.69000000 0.068448108413 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.19200000 N N N N N N UBS Commercial Mortgage Trust N/A 90276CAF8 43145537.41630000 PA USD 2730314.33000000 0.019076937959 Long ABS-MBS CORP US N 2 2050-08-15 Variable 1.08800000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059E7H1 1612000.00000000 PA USD 553360.15000000 0.003866374334 Long DBT USGA US N 2 2055-09-15 None 0.00000000 N N N N N N BENCHMARK Mortgage Trust N/A 08161CAG6 132194131.08100000 PA USD 3342502.17000000 0.023354346356 Long ABS-MBS CORP US N 2 2051-02-15 Variable 0.42400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HSYQ8 13500000.00000000 PA USD 14929536.33000000 0.104313937482 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 3.75000000 N N N N N N Shackleton CLO LTD 549300VJPG28RMYCYW83 81882EAQ5 5510000.00000000 PA USD 5443484.38000000 0.038034087378 Long ABS-O CORP KY N 2 2027-10-20 Floating 3.26600000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -3560000.00000000 NC -42681.89000000 -0.00029822198 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 3560000.00000000 CAD 2699809.00000000 USD 2020-01-02 -42681.89 N N N CSAIL Commercial Mortgage Trus N/A 22945DAL7 97360334.17380000 PA USD 7249362.86000000 0.050651913592 Long ABS-MBS CORP US N 2 2052-03-15 Variable 1.04900000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -8700000.00000000 NC -160785.74000000 -0.00112342361 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 8700000.00000000 CAD 6541948.55000000 USD 2020-01-16 -160785.74 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 7904000.00000000 NC 51163.63000000 0.000357484625 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 8883250.27000000 USD 7904000.00000000 EUR 2020-04-30 51163.63 N N N First NLC Trust N/A 32113JAA3 2831456.21220000 PA USD 2747168.29000000 0.019194698008 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.08100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTSG5 7510000.00000000 PA USD 8168759.10000000 0.057075813155 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 3.57000000 N N N N N N Impac Secured Assets Corp. N/A 45254TTF1 11753266.16200000 PA USD 11325149.92000000 0.079129783713 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.04200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q7D95 1945081.90000000 PA USD 2079998.01000000 0.014533122635 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 4570497.00000000 PA USD 4570497.00000000 0.031934450459 Long RA CORP FR N 2 Repurchase Y 2.42700000 2020-07-07 5454574.00000000 USD 5697848.00000000 USD PLCMO N N N PLACENTIA-YORBA LINDA CA UNIF N/A 725894KE8 5325000.00000000 PA USD 2894616.75000000 0.020224932912 Long DBT MUN US N 2 2041-08-01 None 0.00000000 N N N N N N Freddie Mac N/A 3128MJW71 557007.55650000 PA USD 590585.95000000 0.004126474158 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HVYT5 2684000.00000000 PA USD 2622128.73000000 0.018321035989 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 2.33000000 N N N N N N Freddie Mac N/A 3128MJXY1 1119452.76000000 PA USD 1186563.18000000 0.008290617648 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.00000000 N N N N N N Bear Stearns Asset Backed Secu N/A 07389MAE7 15314010.00290000 PA USD 14910871.75000000 0.104183526477 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.93200000 N N N N N N FHLMC Multifamily Structured P N/A 3137FPJ97 67000000.00000000 PA USD 67246921.80000000 0.469859950199 Long ABS-MBS USGSE US N 2 2034-08-25 Fixed 2.79700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138L1UR8 15900310.39400000 PA USD 15978304.44000000 0.111641769280 Long ABS-MBS USGSE US N 2 2022-11-01 Fixed 2.24000000 N N N N N N Ivy Hill Middle Market Credit 549300UJCX58VC2FZI80 46603BAQ2 1000000.00000000 PA USD 957341.80000000 0.006689028410 Long ABS-O CORP KY N 2 2030-01-18 Floating 3.75300000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -879339450.00000000 NC 148605.89000000 0.001038321966 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 879339450.00000000 JPY 8310944.19000000 USD 2020-06-01 148605.89 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTGR4 1900000.00000000 PA USD 2024429.12000000 0.014144858084 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 3.71000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LL5Q4 5500000.00000000 PA USD 5827578.74000000 0.040717787272 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3.21000000 N N N N N N Avery Point CLO Ltd 549300V091GOUE8M6G49 05363XAN7 13786452.58090000 PA USD 13776178.92000000 0.096255331367 Long ABS-O CORP KY N 2 2026-07-17 Floating 2.98200000 N N N N N N THOMSON REUTERS CORP 549300561UZND4C7B569 884903BP9 1290000.00000000 PA USD 1526978.17000000 0.010669126076 Long DBT CORP CA N 2 2043-11-23 Fixed 5.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HVY24 2955437.69630000 PA USD 2964546.80000000 0.020713540107 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 2.96000000 N N N N N N HarborView Mortgage Loan Trust N/A 41162DAF6 8828355.40460000 PA USD 8354498.73000000 0.058373591714 Long ABS-MBS CORP US N 2 2038-01-19 Floating 1.95400000 N N N N N N Countrywide Alternative Loan T N/A 02150DAA3 26759296.56260000 PA USD 25275985.94000000 0.176605459062 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.96200000 N N N N N N NewStar Clarendon Fund CLO LLC 549300HC3VVP80NTKX35 32010AAE8 2000000.00000000 PA USD 1998006.00000000 0.013960237502 Long ABS-O CORP US N 2 2027-01-25 Floating 4.99000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LM4Y6 9800000.00000000 PA USD 10486980.88000000 0.073273425491 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.42000000 N N N N N N FEDERAL FARM CREDIT BANK N/A 3133EJKU2 4900000.00000000 PA USD 5519042.97000000 0.038562021660 Long DBT USGSE US N 2 2047-04-11 Fixed 3.58000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLQP3 10900000.00000000 PA USD 11230102.14000000 0.078465676807 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 3.03000000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46644ABH4 79477627.16740000 PA USD 3804959.61000000 0.026585575741 Long ABS-MBS CORP US N 2 2048-02-15 Variable 1.19400000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828YG9 163897000.00000000 PA USD 161944321.31000000 1.131518718018 Long DBT UST US N 2 2026-09-30 Fixed 1.62500000 N N N N N N UPLAND CA UNIF SCH DIST N/A 91537PFE0 5040000.00000000 PA USD 1973764.80000000 0.013790862180 Long DBT MUN US N 2 2050-08-01 None 0.00000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134A4CM4 12050000.00000000 PA USD 9380604.47000000 0.065543079610 Long DBT USGSE US N 2 2030-03-15 None 0.00000000 N N N N N N PUTNAM STRUCTURED PRODUCT FUND N/A 74686PAH3 8198538.49430000 PA USD 8117684.51000000 0.056718950659 Long ABS-O CORP KY N 2 2038-10-15 Floating 2.74000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPAH7 933315.21490000 PA USD 1010073.44000000 0.007057468855 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 4.50000000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -337900000.00000000 NC -182219.02000000 -0.00127317975 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 337900000.00000000 MXN 17400663.27000000 USD 2020-04-23 -182219.02 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810QH4 2790000.00000000 PA USD 3752223.04000000 0.026217100850 Long DBT UST US N 2 2040-05-15 Fixed 4.37500000 N N N N N N FORT KNOX MILITARY HOUS N/A 347508AB9 1718892.47020000 PA USD 1096649.96000000 0.007662386348 Long DBT CORP US N 2 2052-02-15 Floating 2.08000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A 164500000.00000000 NC USD -331049.68000000 -0.00231307221 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 US Federal Funds Effective Rate (continuous series) FEDL01 Y 2021-11-27 676.27 USD 0 USD 164500000 USD -331725.95 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8WZ4 1838628.25000000 PA USD 1947490.73000000 0.013607283023 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.50000000 N N N N N N INDUSTRIAL DPR FUNDING LTD. 549300MBUJF25SSFY437 45605PAM0 3760040.55200000 PA USD 3736389.90000000 0.026106473357 Long ABS-O CORP KY N 2 2026-04-15 Fixed 5.23500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -42650000.00000000 NC 1353620.26000000 0.009457859645 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 42650000.00000000 EUR 49248752.56000000 USD 2020-01-17 1353620.26 N N N New Residential Mortgage Loan N/A 64830GAB2 13961815.38020000 PA USD 14471639.45000000 0.101114573117 Long ABS-MBS CORP US N 2 2057-12-25 Variable 4.00000000 N N N N N N ASTRAZENECA PLC PY6ZZQWO2IZFZC3IOL08 046353AK4 9443000.00000000 PA USD 9472858.10000000 0.066187663553 Long DBT CORP GB N 2 2020-11-16 Fixed 2.37500000 N N N N N N New Residential Mortgage Loan 549300U1MV4J7YQZG974 64828CAG4 3876664.65390000 PA USD 3956267.31000000 0.027642775483 Long ABS-MBS CORP US N 2 2058-02-25 Variable 3.50000000 N N N N N N Argent Securities Inc. N/A 040104ND9 5434999.99940000 PA USD 5402120.97000000 0.037745077722 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.28200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HWE32 2524000.00000000 PA USD 2559938.00000000 0.017886504080 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 2.86000000 N N N N N N The Bancorp Commercial Mortgag 5493009R0KRDEB1KXF82 05972FAC3 7075000.00000000 PA USD 7083262.89000000 0.049491359004 Long ABS-MBS CORP US N 2 2033-01-15 Floating 2.99000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -4335000.00000000 NC 1277.17000000 0.000008923695 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 4335000.00000000 JPY 41662.66000000 USD 2020-08-03 1277.17 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 N/A 5050000.00000000 PA USD 5071624.45000000 0.035435870486 Long ABS-MBS USGSE US N 3 2035-01-01 Fixed 2.78000000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059E7R9 1612000.00000000 PA USD 488972.59000000 0.003416492987 Long DBT USGA US N 2 2059-09-15 None 0.00000000 N N N N N N Fannie Mae - CAS N/A 20753WAA4 14088702.33620000 PA USD 14092854.28000000 0.098467968985 Long ABS-MBS CORP US N 2 2039-10-25 Floating 2.56200000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -16380000000.00000000 NC 3068586.68000000 0.021440475579 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 16380000000.00000000 JPY 153969074.60000000 USD 2020-01-21 3068586.68 N N N Citigroup Commercial Mortgage N/A 17328FBB0 104935128.41410000 PA USD 8231079.99000000 0.057511254503 Long ABS-MBS CORP US N 2 2056-08-10 Variable 1.18980000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -152887629.70000000 NC -4209.80000000 -0.00002941422 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 152887629.70000000 KRW 129951.24000000 USD 2021-05-07 -4209.8 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -19270000.00000000 OU Swap USD -516024.59000000 -0.00360550760 N/A DCR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MARKIT CDX.NA.IG.31 12/23 SP9U1R3Y Y CDX IG31 (7-15%) 1% 12/20/2023 - Tenor Quarterly 2023-12-20 8739.35 USD 0 USD -19270000 USD -524763.94 N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A -15573000.00000000 NC USD -10632.77000000 -0.00007429206 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 ICE LIBOR USD 3 Month US0003M Y 2020-01-31 24.44 USD 0 USD -15573000 USD -10657.21 N N N Morgan Stanley ReRemic Trust N/A 61764QAA8 3416757.77250000 PA USD 3351611.14000000 0.023417991503 Long ABS-MBS CORP US N 2 2046-11-26 Floating 1.84300000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -4532865300.00000000 NC 1382603.67000000 0.009660369190 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 4532865300.00000000 JPY 44786733.52000000 USD 2021-12-20 1382603.67 N N N STORE Master Funding LLC N/A 86213CAB1 7763523.33330000 PA USD 7895568.44000000 0.055167006826 Long ABS-O CORP US N 2 2045-04-20 Fixed 4.17000000 N N N N N N Freddie Mac Military Housing B 549300ZG8WH0M4JSUM77 35563CAM0 11115183.22040000 PA USD 11943845.69000000 0.083452663570 Long ABS-MBS USGSE US N 2 2052-10-25 Variable 4.09700000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -133295000.00000000 NC 1594757.07000000 0.011142703003 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 133295000.00000000 BRL 34613087.51000000 USD 2020-07-01 1594757.07 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -5000000.00000000 NC 1476.05000000 0.000010313286 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5000000.00000000 JPY 47966.23000000 USD 2020-07-01 1476.05 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 816100000.00000000 NC USD 1428175.00000000 0.009978779941 N/A DIR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A 2Y-10 CMS CAP 816100000.00 0.395 USD 2022-07-29 XXXX -424372 N N N CCR Inc. MT100 Payment Rights N/A 12502YAP8 350595.23810000 PA USD 353990.60000000 0.002473362367 Long ABS-O CORP US N 2 2022-07-10 Fixed 4.75000000 N N N N N N New Residential Mortgage Loan N/A 64830LAA3 17897799.41680000 PA USD 17960669.02000000 0.125492718854 Long ABS-MBS CORP US N 2 2024-02-26 Variable 4.33500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMK93 4800000.00000000 PA USD 5128388.16000000 0.035832483345 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.38500000 N N N N N N Washington Mutual Mortgage Pas N/A 93935EAH7 429069.33830000 PA USD 223146.58000000 0.001559144094 Long ABS-MBS CORP US N 2 2036-10-25 Variable 4.29700000 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 452152ZB0 5350000.00000000 PA USD 6234087.50000000 0.043558098480 Long DBT MUN US N 2 2038-12-01 Fixed 5.65000000 N N N N N N Citigroup Commercial Mortgage N/A 17326CBE3 65842122.40040000 PA USD 3206228.24000000 0.022402188841 Long ABS-MBS CORP US N 2 2050-08-15 Variable 0.83800000 N N N N N N UBS AG LONDON BFM8T61CT2L1QCEMIK50 902674XJ4 6000000.00000000 PA USD 6015300.00000000 0.042029411648 Long DBT CORP CH N 2 2020-12-01 Floating 2.38700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHM66 1696792.63200000 PA USD 1737829.10000000 0.012142359419 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3132L9Y82 1788289.97500000 PA USD 1890359.16000000 0.013208099895 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.50000000 N N N N N N Morgan Stanley Capital Inc 5493005XH7EPFP4PGZ13 61755CAD4 2815710.00760000 PA USD 2585417.59000000 0.018064532138 Long ABS-MBS CORP US N 2 2037-05-25 Floating 2.04200000 N N N N N N Dominos Pizza Master Issuer LL N/A 25755TAF7 16856000.00000000 PA USD 16868304.88000000 0.117860277894 Long ABS-O CORP US N 2 2047-07-25 Floating 3.19000000 N N N N N N AMERICAN EQUITY INVESTME 549300RK5RZQ740FPL83 025676AM9 10986000.00000000 PA USD 11729223.66000000 0.081953081230 Long DBT CORP US N 2 2027-06-15 Fixed 5.00000000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A 3560000.00000000 NC 42627.49000000 0.000297841890 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 2699918.13000000 USD 3560000.00000000 CAD 2020-01-06 42627.49 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 0.00000000 NC -253341.34000000 -0.00177011744 N/A DCR DE N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A Korea Monetary Stabilization Bond Y Korea Monetary Stabilization Bond -Tenor At Maturity 2021-08-04 0 KRW 0 KRW 50928547.75 KRW -253341.34 N N N DCAL AVIATION FINANCE LIMITED N/A 001406AA5 15605908.20850000 PA USD 15594103.90000000 0.108957327498 Long ABS-O CORP KY N 2 2040-02-15 Variable 4.21300000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -3959820.26000000 NC -14009.62000000 -0.00009788640 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 3959820.26000000 ILS 1136083.85000000 USD 2020-01-31 -14009.62 N N N Freddie Mac - SCRT N/A 35563PBX6 8333374.43700000 PA USD 8583900.67000000 0.059976442539 Long ABS-MBS USGSE US N 2 2056-07-25 Variable 3.25000000 N N N N N N Morgan Stanley Capital Inc N/A 61744CYB6 7800000.00000000 PA USD 7734976.08000000 0.054044934377 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.17200000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A -153969000.00000000 NC USD -60580.64000000 -0.00042328207 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 ICE LIBOR USD 3 Month US0003M Y 2020-01-21 24.94 USD 0 USD -153969000 USD -60605.58 N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -293250000.00000000 NC -148697.12000000 -0.00103895939 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 293250000.00000000 MXN 15236219.86000000 USD 2020-02-27 -148697.12 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HS7M7 11996943.63130000 PA USD 13047150.56000000 0.091161548339 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 3.65500000 N N N N N N WAMU Asset-Backed Certificates N/A 93363XAE3 4745793.32430000 PA USD 3274536.17000000 0.022879462146 Long ABS-MBS CORP US N 2 2047-07-25 Floating 2.04200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HUMJ2 45433000.00000000 PA USD 47581841.88000000 0.332458367724 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 3.37000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJMJ4 2772169.25270000 PA USD 2882701.41000000 0.020141679420 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N Wells Fargo Commercial Mortgag N/A 95001FBA2 20473471.93800000 PA USD 1591362.03000000 0.011118981570 Long ABS-MBS CORP US N 2 2060-01-15 Variable 1.50300000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -157100000.00000000 NC -1551431.73000000 -0.01083998517 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 157100000.00000000 BRL 36238235.84000000 USD 2021-07-01 -1551431.73 N N N CIT Mortgage Loan Trust N/A 12559QAA0 46773779.30160000 PA USD 47167221.62000000 0.329561380777 Long ABS-MBS CORP US N 2 2037-10-25 Floating 3.14200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5NB1 571651.11700000 PA USD 612265.73000000 0.004277952621 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.50000000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059GBA6 1020000.00000000 PA USD 290932.74000000 0.002032771747 Long DBT USGA US N 2 2061-09-15 None 0.00000000 N N N N N N JAPAN (GOVERNMENT OF) N/A N/A 2412000000.00000000 PA 22221005.88000000 0.155260054091 Long DBT NUSS JP N 2 2020-06-20 Fixed 0.10000000 N N N N N N BRAVO Residential Funding Trus N/A 10568HAA3 37575705.92350000 PA USD 37560822.19000000 0.262440652616 Long ABS-MBS CORP US N 2 2059-07-25 Variable 2.66600000 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CB8 12963000.00000000 PA USD 13004848.32000000 0.090865978998 Long DBT CORP US N 2 2021-04-16 Floating 2.54100000 N N N N N N CIM Trust N/A 17181FAA9 27977933.33530000 PA USD 28240746.85000000 0.197320495174 Long ABS-MBS CORP US N 2 2057-12-26 Variable 4.07000000 N N N N N N Freddie Mac N/A 3132XHKP8 1000000.00000000 PA USD 1062780.16000000 0.007425735181 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 3.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HVYZ1 6663000.00000000 PA USD 6509317.04000000 0.045481150636 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 2.51000000 N N N N N N Capital Automotive Reit N/A 12479RAD9 51409492.33510000 PA USD 51801099.00000000 0.361938675331 Long ABS-O CORP US N 2 2047-04-15 Fixed 3.87000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AD2 13230000.00000000 PA USD 13332940.25000000 0.093158385160 Long DBT CORP US N 2 2020-09-17 Fixed 3.20000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162YAK8 109967485.53990000 PA USD 6170605.52000000 0.043114544498 Long ABS-MBS CORP US N 2 2062-12-15 Variable 0.79600000 N N N N N N California Street CLO XII, Ltd 549300V3WPNYI44G1B47 13080BAB7 5750000.00000000 PA USD 5757606.10000000 0.040228882497 Long ABS-O CORP KY N 2 2025-10-15 Floating 3.50100000 N N N N N N API HEAT TRANSFER THERMASYS CORP N/A N/A 9.06000000 NS USD 6613.80000000 0.000046211181 Long EP CORP US N 2 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLQA6 1600000.00000000 PA USD 1683153.31000000 0.011760335034 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 3.14000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A 153969000.00000000 NC USD 60580.64000000 0.000423282073 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 ICE LIBOR USD 3 Month US0003M Y 2020-01-21 41821.85 USD 0 USD 153969000 USD 18758.79 N N N Capmark Military Housing Trust N/A 14069BAA2 6860758.29520000 PA USD 7505082.23000000 0.052438646534 Long ABS-MBS CORP US N 2 2052-02-10 Fixed 5.74600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTCK3 12879000.00000000 PA USD 14122343.68000000 0.098674013926 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.08000000 N N N N N N FHLMC Multifamily Structured P N/A 3137BPVN6 7090000.00000000 PA USD 7308057.20000000 0.051062015927 Long ABS-MBS USGSE US N 2 2031-01-25 Fixed 3.08000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SH2 264527000.00000000 PA USD 292353999.77000000 2.042702209940 Long DBT UST US N 2 2049-05-15 Fixed 2.87500000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -10650000.00000000 NC -189566.03000000 -0.00132451394 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 10650000.00000000 EUR 11770179.78000000 USD 2020-01-17 -189566.03 N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A -24186000.00000000 NC USD -16753.64000000 -0.00011705910 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 ICE LIBOR USD 3 Month US0003M Y 2020-01-31 25.75 USD 0 USD -24186000 USD -16779.39 N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059GBG3 1020000.00000000 PA USD 261592.72000000 0.001827770537 Long DBT USGA US N 2 2064-09-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKL96 8413069.87500000 PA USD 8672116.88000000 0.060592816686 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 2.94000000 N N N N N N FHLMC Multifamily Structured P N/A 3137FAQE1 65900000.00000000 PA USD 68529403.41000000 0.478820758059 Long ABS-MBS USGSE US N 2 2027-06-25 Fixed 3.01900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMGP2 5900000.00000000 PA USD 5939769.07000000 0.041501670630 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 3.13000000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -4335000.00000000 NC 1209.58000000 0.000008451438 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 4335000.00000000 JPY 41378.32000000 USD 2020-05-01 1209.58 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 507530000.00000000 NC 86173.96000000 0.000602104772 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 26617124.16000000 USD 507530000.00000000 MXN 2020-02-06 86173.96 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTYK9 25400000.00000000 PA USD 27327498.81000000 0.190939553607 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.33000000 N N N N N N Station Place Securitization T 549300S5XFQCZ3VI6G82 85776FAA7 40300000.00000000 PA USD 40300000.00000000 0.281579520462 Long ABS-O CORP US N 3 2020-06-24 Floating 2.48000000 N N N N N N MONROE CAPITAL CLO LTD 549300P18F17MYF55L44 610333AS5 9552534.92440000 PA USD 9554693.80000000 0.066759456535 Long ABS-O CORP KY N 2 2026-10-22 Floating 3.30300000 N N N N N N Morgan Stanley Capital I Trust N/A 61764JAA4 11000000.00000000 PA USD 11205005.90000000 0.078290327248 Long ABS-MBS CORP US N 2 2033-08-11 Fixed 3.46900000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -623000.00000000 NC -10529.21000000 -0.00007356848 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 623000.00000000 CAD 469406.70000000 USD 2020-01-02 -10529.21 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LL3T0 1350000.00000000 PA USD 1438196.84000000 0.010048803388 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.27000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 8827000.00000000 PA USD 8827000.00000000 0.061674998191 Long RA CORP FR N 2 Repurchase Y 2.29050000 2020-07-07 11002000.00000000 USD 11028358.20000000 USD PLCMO N N N Wells Fargo Commercial Mortgag 5493002S7XBI8CVRR075 94989HAZ3 9799355.66170000 PA USD 438767.13000000 0.003065703177 Long ABS-MBS CORP US N 2 2048-05-15 Variable 1.13400000 N N N N N N FHLMC Multifamily Structured P N/A 3137FCKD5 81400000.00000000 PA USD 84711262.46000000 0.591884780676 Long ABS-MBS USGSE US N 2 2027-10-25 Fixed 3.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -108769700.00000000 NC 50906.45000000 0.000355687686 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 108769700.00000000 EUR 126349602.76000000 USD 2021-07-30 50906.45 N N N WYLIE TX INDEP SCH DIST N/A 9830682B2 10000000.00000000 PA USD 3639800.00000000 0.025431591528 Long DBT MUN US N 2 2046-08-15 None 0.00000000 N N N N N N Telos CLO Ltd 549300S94NIRW4K03T89 87970UAY2 26500000.00000000 PA USD 26441816.60000000 0.184751216833 Long ABS-O CORP KY N 2 2027-01-17 Floating 3.75200000 N N N N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 77578JAA6 20350000.00000000 PA USD 20427777.70000000 0.142730616597 Long DBT CORP GB N 2 2020-10-14 Fixed 2.37500000 N N N N N N FEDERAL FARM CREDIT BANK N/A 3133EKK21 3600000.00000000 PA USD 3555266.44000000 0.024840948369 Long DBT USGSE US N 2 2029-09-04 Fixed 2.53000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31358DCT9 2250000.00000000 PA USD 1362145.82000000 0.009517428456 Long DBT USGSE US N 2 2038-08-06 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTF46 12157000.00000000 PA USD 13261473.42000000 0.092659040353 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.59000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 3560000.00000000 NC 55142.71000000 0.000385286795 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2687348.18000000 USD 3560000.00000000 CAD 2020-01-02 55142.71 N N N TCP Waterman CLO LLC N/A 87233GAA8 7150000.00000000 PA USD 7148396.97000000 0.049946456349 Long ABS-O CORP US N 2 2028-12-15 Floating 3.94400000 N N N N N N CENTRAL STORAGE TRUST N/A 155431AA7 20500000.00000000 PA USD 22138616.25000000 0.154684390753 Long DBT MUN US Y 2 2038-02-01 Fixed 4.82300000 N N N N N N Apollo Aviation Securitization N/A 03766EAB3 24326661.74000000 PA USD 24370011.85000000 0.170275341200 Long ABS-O CORP US N 2 2041-11-15 Fixed 4.21200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTYC7 5925000.00000000 PA USD 6599237.92000000 0.046109435457 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.83000000 N N N N N N JAPAN (GOVERNMENT OF) N/A N/A 4530600000.00000000 PA 41886191.49000000 0.292662375031 Long DBT NUSS JP N 2 2021-12-20 Fixed 0.10000000 N N N N N N JP Morgan Mortgage Acquisition N/A 46630BAD8 14943960.64960000 PA USD 9308599.07000000 0.065039971769 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.91200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -2265300.00000000 NC 669.57000000 0.000004678342 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2265300.00000000 JPY 22154.52000000 USD 2021-06-21 669.57 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8AH8 1940247.34950000 PA USD 2036025.60000000 0.014225883674 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured P N/A 3137FETP5 11600000.00000000 PA USD 12431706.08000000 0.086861385522 Long ABS-MBS USGSE US N 2 2028-01-25 Variable 3.45000000 N N N N N N CGBAM Commercial Mortgage Trus N/A 12528RAL2 5900000.00000000 PA USD 5896645.26000000 0.041200360909 Long ABS-MBS CORP US N 2 2028-04-10 Variable 3.78600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C5E0 1877427.33700000 PA USD 1972354.63000000 0.013781009203 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMVB6 19731000.00000000 PA USD 21341606.80000000 0.149115618080 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.56000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LL5E1 8900000.00000000 PA USD 9177164.87000000 0.064121629858 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 3.04000000 N N N N N N Credit Suisse Mortgage Trust N/A 12651DAE8 9668862.37110000 PA USD 9629955.84000000 0.067285318796 Long ABS-MBS CORP US N 2 2037-11-30 Variable 2.32300000 N N N N N N Freddie Mac Military Housing B 549300ZG8WH0M4JSUM77 35563CAA6 21875826.03140000 PA USD 24995975.10000000 0.174648999557 Long ABS-MBS USGSE US N 2 2055-11-25 Variable 1.93401000 N N N N N N Wells Fargo Commercial Mortgag N/A 95000AAX5 33983348.76360000 PA USD 1376566.91000000 0.009618189836 Long ABS-MBS CORP US N 2 2048-12-15 Variable 0.98700000 N N N N N N Wells Fargo Commercial Mortgag N/A 95000TBV7 40877076.97110000 PA USD 3069619.13000000 0.021447689395 Long ABS-MBS CORP US N 2 2050-03-15 Variable 1.27200000 N N N N N N Countrywide Asset-Backed Certi N/A 126670MH8 1500000.00000000 PA USD 1444187.40000000 0.010090659939 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.24200000 N N N N N N NEWPORT MESA CA UNIF SCH DIST N/A 652113XJ5 8565000.00000000 PA USD 3454607.10000000 0.024137633017 Long DBT MUN US N 2 2045-08-01 None 0.00000000 N N N N N N HALLIBURTON CO ENYF8GB5SMQZ25S06U51 406216BK6 1320000.00000000 PA USD 1508932.80000000 0.010543041544 Long DBT CORP US N 2 2045-11-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HWAW2 2250000.00000000 PA USD 2265770.09000000 0.015831127926 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 2.53000000 N N N N N N BDS Ltd N/A 05549VAA6 9946418.84620000 PA USD 9943677.61000000 0.069477319430 Long ABS-O CORP US N 2 2035-08-15 Floating 2.68700000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -75123800.00000000 NC -480576.91000000 -0.00335783165 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 75123800.00000000 ILS 21943566.53000000 USD 2021-04-30 -480576.91 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 101900000.00000000 NC 900345.13000000 0.006290787840 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 24476952.27000000 USD 101900000.00000000 BRL 2020-01-02 900345.13 N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -58330000.00000000 NC -68943.71000000 -0.00048171555 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 58330000.00000000 MXN 2991251.37000000 USD 2020-02-27 -68943.71 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HVYW8 12478000.00000000 PA USD 12451889.04000000 0.087002405576 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 2.55000000 N N N N N N DUPONT DE NEMOURS INC N/A N/A 1000000.00000000 PA USD 998905.56000000 0.006979437929 Long STIV CORP US N 2 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 N/A 13500000.00000000 PA USD 13366911.20000000 0.093395743071 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 2.46000000 N N N N N N GRACE MORTGAGE TRUST N/A 38406HAA0 6000000.00000000 PA USD 6064141.80000000 0.042370673450 Long ABS-MBS CORP US N 2 2028-06-10 Fixed 3.36900000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -67200000.00000000 NC -200753.36000000 -0.00140268076 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 67200000.00000000 BRL 15963891.20000000 USD 2021-07-01 -200753.36 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LML76 10250000.00000000 PA USD 10942035.11000000 0.076452928018 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 3.41000000 N N N N N N ISRAEL (STATE OF) N/A N/A 530470000.00000000 PA 155495593.18000000 1.086460907238 Long DBT NUSS IL N 2 2021-04-30 Fixed 1.00000000 N N N N N N SOUTHERN POWER CO 5LADC78JBG2BMZD5XF57 843646AL4 13295000.00000000 PA USD 13309106.13000000 0.092991854140 Long DBT CORP US N 2 2020-06-01 Fixed 2.37500000 N N N N N N Lehman XS Trust N/A 52524LAD3 7680150.91950000 PA USD 7615737.49000000 0.053211804228 Long ABS-MBS CORP US N 2 2037-02-25 Floating 1.97200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -56490000.00000000 NC -833864.54000000 -0.00582628231 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 56490000.00000000 ILS 15573137.78000000 USD 2020-01-31 -833864.54 N N N COMM Mortgage Trust N/A 12630BBB3 37336252.57130000 PA USD 979296.30000000 0.006842426365 Long ABS-MBS CORP US N 2 2046-11-10 Variable 0.76800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LGAW6 646903.27800000 PA USD 656331.03000000 0.004585840612 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.75000000 N N N N N N CGBAM Commercial Mortgage Trus N/A 12528QAA8 44400000.00000000 PA USD 44381347.56000000 0.310096242268 Long ABS-MBS CORP US N 2 2028-04-10 Fixed 8.21000000 N N N N N N HP COMMUNITIES LLC N/A 44329HAK0 1420000.00000000 PA USD 1747625.20000000 0.012210805602 Long DBT CORP US N 2 2053-09-15 Fixed 5.86000000 N N N N N N CD Commercial Mortgage Trust N/A 12515GAJ6 34567697.17810000 PA USD 2017675.00000000 0.014097666475 Long ABS-MBS CORP US N 2 2050-02-10 Variable 1.02400000 N N N N N N CAM Commercial Mortgage Corpor N/A 12477MAP5 219918.17360000 PA USD 221925.28000000 0.001550610767 Long ABS-MBS CORP US N 2 2021-12-14 Fixed 6.15700000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 42809HAD9 1340000.00000000 PA USD 1569305.30000000 0.010964869325 Long DBT CORP US N 2 2041-02-15 Fixed 5.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTGQ6 2300000.00000000 PA USD 2451511.33000000 0.017128917734 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 3.71000000 N N N N N N Anchorage Credit Funding Ltd. 549300VR9XUOV1E0U888 03329TAA2 55600000.00000000 PA USD 55819653.36000000 0.390016655719 Long ABS-O CORP KY N 2 2035-02-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMM34 25000000.00000000 PA USD 26629660.00000000 0.186063694612 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 3.40000000 N N N N N N FHLMC Multifamily Structured P N/A 3137BTUN9 15000000.00000000 PA USD 16005016.50000000 0.111828408711 Long ABS-MBS USGSE US N 2 2026-11-25 Variable 3.43900000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748AR3 5870000.00000000 PA USD 6083209.20000000 0.042503898992 Long DBT CORP US N 2 2021-07-15 Fixed 4.80000000 N N N N N N JPMDB Commercial Mortgage Secu N/A 46648KAW6 137778942.76070000 PA USD 7285543.82000000 0.050904713030 Long ABS-MBS CORP US N 2 2050-10-15 Variable 0.90400000 N N N N N N Wind River CLO Ltd 54930043UF2EELTNOD60 87244ABL3 34202082.55660000 PA USD 34183459.52000000 0.238842732987 Long ABS-O CORP KY N 2 2026-01-15 Floating 2.88100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKYX9 966001.67000000 PA USD 1004447.80000000 0.007018162031 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.59500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 313637VQ0 343947.03700000 PA USD 382991.80000000 0.002675996213 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.33000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -5228286.36000000 NC -27132.93000000 -0.00018958008 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 5228286.36000000 ILS 1526952.79000000 USD 2021-02-01 -27132.93 N N N FHLMC Multifamily Structured P N/A 3137BAHA3 439295.62500000 PA USD 441190.22000000 0.003082633513 Long ABS-MBS USGSE US N 2 2021-01-25 Fixed 2.85600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HRNK5 4750000.00000000 PA USD 5329184.32000000 0.037235463158 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.21000000 N N N N N N Crown Point CLO Ltd 549300WLF3VYVWNLRP29 22845TAQ2 16231660.23960000 PA USD 16227621.80000000 0.113383770836 Long ABS-O CORP KY N 2 2027-12-31 Floating 2.91100000 N N N N N N Palmer Square Loan Funding Ltd 549300KJI7MJ3X7YQQ90 69700KAC7 12000000.00000000 PA USD 11954703.60000000 0.083528528708 Long ABS-O CORP KY N 2 2026-11-15 Floating 3.36000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LCJ71 15550000.00000000 PA USD 15509211.42000000 0.108364176535 Long ABS-MBS USGSE US N 2 2020-11-01 Fixed 1.95000000 N N N N N N HARTFORD FINL SVCS GRP IU7C3FTM7Y3BQM112U94 416515AP9 1160000.00000000 PA USD 1591025.12000000 0.011116627551 Long DBT CORP US N 2 2041-10-01 Fixed 6.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J6F28 1667474.44000000 PA USD 1746388.55000000 0.012202165023 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AVT2 543512.88900000 PA USD 572282.69000000 0.003998587727 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 432100000.00000000 NC USD 479631.00000000 0.003351222505 N/A DIR US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Put Purchased N/A 2Y-10 CMS CAP 432100000.00 0.605 USD 2022-07-29 XXXX -190124 N N N BARCLAYS CAPITAL INC. AC28XWWI3WIBK2824319 N/A 17797500.00000000 PA USD 17797500.00000000 0.124352643062 Long RA CORP US N 2 Repurchase Y 2.03088000 2020-02-03 22600000.00000000 USD 19436000.00000000 USD CDS N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -42530000.00000000 NC -56858.83000000 -0.00039727747 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 42530000.00000000 MXN 2174413.19000000 USD 2020-02-27 -56858.83 N N N FHLMC Multifamily Structured P N/A 3137FBU87 10000000.00000000 PA USD 10571462.00000000 0.073863702246 Long ABS-MBS USGSE US N 2 2027-09-25 Variable 3.24800000 N N N N N N Anchorage Credit Funding Ltd. 5493003NNQWXMTSTMF21 03330EAA2 7500000.00000000 PA USD 7533347.25000000 0.052636136628 Long ABS-O CORP KY N 2 2033-10-28 Fixed 3.85000000 N N N N N N RBC USA HOLDCO CORP N/A 178566AC9 11158000.00000000 PA USD 11412765.70000000 0.079741962604 Long DBT CORP US N 2 2020-09-15 Fixed 5.25000000 N N N N N N CHARLOTTE NC HSG AUTH MF HSG R N/A 161038CE2 3150000.00000000 PA USD 3141148.50000000 0.021947471174 Long DBT MUN US N 2 2038-01-01 Fixed 3.02000000 N N N N N N Residential Accredit Loans, In N/A 761118VZ8 4842225.15740000 PA USD 1767497.41000000 0.012349654420 Long ABS-MBS CORP US N 2 2046-02-25 Floating 2.06200000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31358DDS0 37570000.00000000 PA USD 28896419.23000000 0.201901733743 Long DBT USGSE US N 2 2030-11-15 None 0.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128285Z9 500000000.00000000 PA USD 516464845.00000000 3.608583706971 Long DBT UST US N 2 2024-01-31 Fixed 2.50000000 N N N N N N Structured Asset Securities Co N/A 86359RAD8 5762077.60680000 PA USD 5583448.02000000 0.039012025210 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.96200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -38507500.00000000 NC -338384.57000000 -0.00236432171 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 38507500.00000000 ILS 11305783.91000000 USD 2022-01-31 -338384.57 N N N CRH AMERICA INC 549300RN11MJ182CNF63 12626PAM5 1410000.00000000 PA USD 1506677.47000000 0.010527283362 Long DBT CORP US N 2 2025-05-18 Fixed 3.87500000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 3130AH4L4 1350000.00000000 PA USD 1354492.07000000 0.009463951055 Long DBT USGSE US N 2 2034-09-26 Fixed 2.69000000 N N N N N N American Home Mortgage Assets N/A 02660LAA8 10435545.50920000 PA USD 7112215.60000000 0.049693654046 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.98200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTAS8 22017000.00000000 PA USD 24065465.86000000 0.168147452520 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 3.61000000 N N N N N N Countrywide Asset-Backed Certi N/A 126673UR1 3490000.00000000 PA USD 3501604.25000000 0.024466006093 Long ABS-MBS CORP US N 2 2035-04-25 Floating 3.14200000 N N N N N N LEXINGTON REALTY TRUST 549300S4MH2ICXDBFV43 529043AC5 1300000.00000000 PA USD 1339070.29000000 0.009356197769 Long DBT CORP US N 2 2023-06-15 Fixed 4.25000000 N N N N N N Mountain Hawk CLO Ltd 549300X4VFRMZJ7T1U89 62405TAS6 163597.88010000 PA USD 163579.10000000 0.001142941055 Long ABS-O CORP KY N 2 2024-07-20 Floating 2.78600000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -158041146.00000000 NC -4393.55000000 -0.00003069810 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 158041146.00000000 KRW 133188.22000000 USD 2020-08-05 -4393.55 N N N Freddie Mac - SCRT N/A 35563PDT3 38725387.18110000 PA USD 39444246.54000000 0.275600298405 Long ABS-MBS USGSE US N 2 2057-05-25 Variable 2.75000000 N N N N N N Wells Fargo Commercial Mortgag N/A 94989NBH9 31382081.98170000 PA USD 1333628.65000000 0.009318176569 Long ABS-MBS CORP US N 2 2058-09-15 Variable 0.89500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -2964000.00000000 NC 484.47000000 0.000003385033 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2964000.00000000 JPY 27854.29000000 USD 2020-03-02 484.47 N N N NXT Capital CLO LLC 549300YAYHVI0LX76040 62959AAA6 33000000.00000000 PA USD 33003781.80000000 0.230600224632 Long ABS-O CORP US N 2 2029-04-20 Floating 3.66600000 N N N N N N PORTUGAL (REPUBLIC OF) N/A N/A 149112000.00000000 PA 167329419.41000000 1.169144855503 Long DBT NUSS PT N 2 2020-01-17 None 0.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 13032116.00000000 PA USD 13032116.00000000 0.091056500592 Long RA CORP FR N 2 Repurchase Y 2.07050000 2020-02-03 21215000.00000000 USD 18035217.40000000 USD PLCMO N N N Citigroup Commercial Mortgage N/A 17321JAD6 380000.00000000 PA USD 405845.21000000 0.002835674928 Long ABS-MBS CORP US N 2 2046-09-10 Variable 4.37100000 N N N N N N BRAZIL FEDERATIVE REPUBLIC OF (GOVERNMENT) N/A N/A 653060000.00000000 PA 151478397.34000000 1.058392418944 Long DBT NUSS BR N 2 2021-07-01 None 0.00000000 N N N N N N BRAVO Residential Funding Trus N/A 10569AAA7 19248372.29660000 PA USD 19221736.40000000 0.134303903671 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.74800000 N N N N N N SUDBURY MILL CLO LTD 2549002BXC788OTPUW39 864662AP6 11850000.00000000 PA USD 11800239.48000000 0.082449274792 Long ABS-O CORP KY N 2 2026-01-17 Floating 3.65200000 N N N N N N Banc of America Funding Corpor 549300R847L762RQF071 05990RAZ4 1730310.34640000 PA USD 1714509.67000000 0.011979424583 Long ABS-MBS CORP US N 2 2035-01-27 Floating 1.87800000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -293600.00000000 NC USD 61656.00000000 0.000430795705 N/A DIR US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 iShares Core U.S. Aggregate ETF AGG Y iShares Core U.S. Aggregate ETF-Tenor Monthly 2020-01-13 0 USD 0 USD -32991832 USD 61656 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -40010000.00000000 OU Swap USD -1071413.79000000 -0.00748605908 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MARKIT CDX.NA.IG.31 12/23 SP9U1R3Y Y CDX IG31 (7-15%) 1% 12/20/2023 - Tenor Quarterly 2023-12-20 89732.33 USD 0 USD -40010000 USD -1161146.12 N N N Hertz Vehicle Financing LLC 549300FPK70TCB78NG05 428040CU1 8355000.00000000 PA USD 8397735.83000000 0.058675693002 Long ABS-O CORP US N 2 2021-10-25 Fixed 2.96000000 N N N N N N Cantor Commercial Real Estate N/A 12529TAZ6 150000000.00000000 PA USD 8483535.00000000 0.059275179085 Long ABS-MBS CORP US N 2 2053-01-15 Variable 0.84300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLZM0 4500000.00000000 PA USD 4739487.53000000 0.033115201636 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.16000000 N N N N N N Woodmont Trust N/A 97988AAC3 9800000.00000000 PA USD 9801279.88000000 0.068482374405 Long ABS-O CORP KY N 2 2029-10-18 Floating 3.95300000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810EL8 5600000.00000000 PA USD 6253625.00000000 0.043694608651 Long DBT UST US N 2 2021-11-15 Fixed 8.00000000 N N N N N N COCA-COLA FEMSA SAB CV 5493008KEVFYPMGTXO33 191241AD0 459000.00000000 PA USD 460129.89000000 0.003214966594 Long DBT CORP MX N 2 2020-02-15 Fixed 4.62500000 N N N N N N CSAIL Commercial Mortgage Trus 549300UFJ8EKD81Y8R30 126281BB9 52800007.14170000 PA USD 1881380.41000000 0.013145364606 Long ABS-MBS CORP US N 2 2050-04-15 Variable 0.84100000 N N N N N N FHLMC Multifamily Structured P N/A 3137BRQK4 10000000.00000000 PA USD 10179646.00000000 0.071126050599 Long ABS-MBS USGSE US N 2 2026-08-25 Fixed 2.62400000 N N N N N N Garrison BSL CLO LTD 549300JEA0UEC1002Z71 36656AAE8 27300000.00000000 PA USD 27351168.39000000 0.191104934971 Long ABS-O CORP KY N 2 2028-07-17 Floating 2.95200000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128286F2 224701000.00000000 PA USD 234171796.62000000 1.636178218316 Long DBT UST US N 2 2026-02-28 Fixed 2.50000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 70498667.00000000 PA USD 70498667.00000000 0.492580169903 Long RA CORP FR N 2 Repurchase Y 2.42700000 2020-07-07 86900000.00000000 USD 88033980.00000000 USD PLCMO N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -97573132.00000000 NC 16644.56000000 0.000116296953 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 97573132.00000000 JPY 923423.97000000 USD 2020-06-22 16644.56 N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 9912000.00000000 PA USD 9912000.00000000 0.069255985281 Long RA CORP FR N 2 Repurchase Y 2.32713000 2020-07-07 12290000.00000000 USD 12818939.00000000 USD PLCMO N N N ASG Resecuritization Trust N/A 00212XCD1 5456942.09360000 PA USD 5394704.03000000 0.037693254933 Long ABS-MBS CORP US N 2 2045-12-28 Floating 2.40300000 N N N N N N HIGHLAND PARK CDO LTD 549300EPZBP5YZALJQ09 404185AG5 675445.64800000 PA USD 669685.45000000 0.004679149078 Long ABS-O CORP KY Y 2 2051-11-25 Floating 3.05100000 N N N N N N CD Commercial Mortgage Trust N/A 125039AG2 47083785.81960000 PA USD 2467524.67000000 0.017240804300 Long ABS-MBS CORP US N 2 2050-11-13 Variable 0.96300000 N N N N N N CALIFORNIA INSTITUTE OF 549300CITPNHOTVPHC04 13034VAD6 22300000.00000000 PA USD 21629645.50000000 0.151128168924 Long DBT MUN US N 2 2119-09-01 Fixed 3.65000000 N N N N N N TRAFFIC SAFETY INTERMEDIATE LLC N/A N/A 4316864.66140000 PA USD 3984466.08000000 0.027839802682 Long LON CORP US N 2 2023-06-13 Variable 5.30000000 N N N N N N Castlelake Aircraft Securitiza N/A 14855LAB6 15121829.68600000 PA USD 15325339.27000000 0.107079446217 Long ABS-O CORP US N 2 2042-07-15 Fixed 3.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HUNB8 4067000.00000000 PA USD 4259356.65000000 0.029760486426 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 3.37000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -150449600.00000000 NC -934187.34000000 -0.00652724623 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 150449600.00000000 ILS 43974395.70000000 USD 2021-04-30 -934187.34 N N N PENNSYLVANIA ELECTRIC CO O1PLQWO3TX952VMBJ146 708696BW8 1000000.00000000 PA USD 1007164.62000000 0.007037144683 Long DBT CORP US N 2 2020-04-01 Fixed 5.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLCF0 4600000.00000000 PA USD 4661456.32000000 0.032569990948 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 3.11000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HWED0 700000.00000000 PA USD 680908.69000000 0.004757566809 Long ABS-MBS USGSE US N 3 2042-09-01 Fixed 3.18000000 N N N N N N Dryden Senior Loan Fund N/A 26249YAG6 10000000.00000000 PA USD 8644724.00000000 0.060401420309 Long ABS-O CORP KY N 2 2031-01-15 None 0.00000000 N N N N N N Fanniemae-Aces N/A 3136B1LF9 7800000.00000000 PA USD 8199074.52000000 0.057287629567 Long ABS-MBS USGSE US N 2 2030-02-25 Variable 3.09000000 N N N N N N Halcyon Loan Advisors Funding 549300Q8TB5ELPAK8181 40538MAJ7 50550000.00000000 PA USD 50469226.16000000 0.352632766755 Long ABS-O CORP KY N 2 2027-10-18 Floating 2.90300000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A -1801020000.00000000 OU Swap USD -45502248.00000000 -0.31792806877 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 MARKIT CDX.NA.IG.31 12/23 SP9U1R3Y Y CDX IG31 1% 12/20/2023 - Tenor Quarterly 2023-12-20 0 USD 16876489.53 USD -1801020000 USD -28625758.47 N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816BP3 26950000.00000000 PA USD 27005394.11000000 0.188688980729 Long DBT CORP US N 2 2020-10-30 Fixed 2.20000000 N N N N N N PENNSYLVANIA ST ECON DEV FING N/A 70870EDB2 995000.00000000 PA USD 521141.20000000 0.003641257796 Long DBT MUN US N 2 2041-01-01 None 0.00000000 N N N N N N Wells Fargo Commercial Mortgag N/A 95001MAH3 73634445.65870000 PA USD 4468093.98000000 0.031218951867 Long ABS-MBS CORP US N 2 2050-07-15 Variable 1.06300000 N N N N N N Citigroup Commercial Mortgage N/A 17290XAY6 18674011.93050000 PA USD 1596945.48000000 0.011157993609 Long ABS-MBS CORP US N 2 2049-04-10 Variable 1.75600000 N N N N N N Wells Fargo Commercial Mortgag 549300DNBJ7A0SEFVK31 95000GBB9 36928942.25250000 PA USD 3430935.08000000 0.023972234604 Long ABS-MBS CORP US N 2 2049-08-15 Variable 1.76400000 N N N N N N SOUTHERN POWER CO 5LADC78JBG2BMZD5XF57 843646AJ9 1350000.00000000 PA USD 1547123.11000000 0.010809880481 Long DBT CORP US N 2 2043-07-15 Fixed 5.25000000 N N N N N N DENALI CAPITAL CLO XI LTD 254900ENG873HFQYVK56 24823DAS5 42800000.00000000 PA USD 42746898.04000000 0.298676204748 Long ABS-O CORP KY N 2 2028-10-20 Floating 3.09600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HV3L6 3200000.00000000 PA USD 3165072.16000000 0.022114627817 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 2.60000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -686676.35000000 NC -3352.46000000 -0.00002342392 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 686676.35000000 ILS 197275.44000000 USD 2020-04-30 -3352.46 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HT5Y1 22550000.00000000 PA USD 24431038.92000000 0.170701742518 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 3.43000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HUMM5 950000.00000000 PA USD 994932.09000000 0.006951674957 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 3.37000000 N N N N N N Lehman XS Trust N/A 52524VAG4 3246136.18790000 PA USD 3224746.10000000 0.022531574701 Long ABS-MBS CORP US N 2 2037-08-25 Floating 2.04200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -1031800000.00000000 NC -2019522.02000000 -0.01411057176 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1031800000.00000000 MXN 52553435.86000000 USD 2020-01-02 -2019522.02 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMFN8 7700000.00000000 PA USD 7919192.05000000 0.055332066994 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 3.17000000 N N N N N N Citigroup Commercial Mortgage N/A 17323VBF1 23525300.78220000 PA USD 937897.28000000 0.006553167899 Long ABS-MBS CORP US N 2 2048-04-10 Variable 1.09400000 N N N N N N RFCSP STRIP PRINCIPAL N/A 76116FAB3 103729000.00000000 PA USD 81484226.74000000 0.569337208206 Long DBT USGSE US N 2 2030-01-15 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 N/A 2915000.00000000 PA USD 2948185.18000000 0.020599220079 Long ABS-MBS USGSE US N 3 2035-01-01 Fixed 2.84000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174467P8 12300000.00000000 PA USD 12548217.20000000 0.087675458606 Long DBT CORP US N 2 2020-07-24 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HS4F5 3200000.00000000 PA USD 3504397.41000000 0.024485522139 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 3.77000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -351900000.00000000 NC -175370.50000000 -0.00122532856 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 351900000.00000000 MXN 18176089.58000000 USD 2020-04-08 -175370.5 N N N AT&T INC 549300Z40J86GGSTL398 00206RDE9 1170000.00000000 PA USD 1519687.48000000 0.010618185406 Long DBT CORP US N 2 2040-03-15 Fixed 6.35000000 N N N N N N Falcon Aerospace Ltd N/A 30605YAB7 10223566.65000000 PA USD 10260167.02000000 0.071688657800 Long ABS-O CORP US N 2 2042-02-15 Fixed 4.58100000 N N N N N N Morgan Stanley Capital I Trust N/A 61766CAL3 275000.00000000 PA USD 291206.55000000 0.002034684881 Long ABS-MBS CORP US N 2 2049-03-15 Variable 4.61000000 N N N N N N Credit Suisse Mortgage Trust N/A 12654PAA6 43031845.20490000 PA USD 44683351.48000000 0.312206369290 Long ABS-MBS CORP US N 2 2057-09-25 Variable 3.85000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -232500000.00000000 NC -473337.15000000 -0.00330724684 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 232500000.00000000 MXN 11724423.11000000 USD 2020-02-27 -473337.15 N N N Towd Point Mortgage Trust N/A 89176EAA8 6303512.95690000 PA USD 6370148.65000000 0.044508769283 Long ABS-MBS CORP US N 2 2058-01-25 Variable 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HUYQ3 1990868.02000000 PA USD 2040145.69000000 0.014254671093 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 3.16000000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059E7L2 1612000.00000000 PA USD 527116.91000000 0.003683010589 Long DBT USGA US N 2 2057-03-15 None 0.00000000 N N N N N N Capmark Military Housing Trust N/A 14070AAA1 2135681.32050000 PA USD 2515821.45000000 0.017578258001 Long ABS-MBS CORP US N 2 2052-10-10 Fixed 6.06300000 N N N N N N ISRAEL (STATE OF) N/A N/A 103010000.00000000 PA 29976736.34000000 0.209450001083 Long DBT NUSS IL N 2 2021-01-31 Fixed 0.50000000 N N N N N N ASSURANT INC H3F39CAXWQRVWURFXL38 04621XAD0 1450000.00000000 PA USD 1737543.37000000 0.012140363000 Long DBT CORP US N 2 2034-02-15 Fixed 6.75000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 2503606.00000000 PA USD 2503606.00000000 0.017492907615 Long RA CORP FR N 2 Repurchase Y 2.42700000 2020-07-07 3433787.00000000 USD 3700935.63000000 USD PLCMO N N N GS Mortgage Securities Trust N/A 36257UAN7 69957380.64850000 PA USD 4479455.03000000 0.031298332488 Long ABS-MBS CORP US N 2 2052-09-01 Variable 0.81400000 N N N N N N COMM Mortgage Trust N/A 12635QBH2 30570022.88060000 PA USD 1296279.02000000 0.009057211534 Long ABS-MBS CORP US N 2 2048-10-10 Variable 1.10000000 N N N N N N Impac Secured Assets Corp. N/A 45256VAD9 1539894.90790000 PA USD 1358340.22000000 0.009490838406 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.96200000 N N N N N N JPMDB Commercial Mortgage Secu N/A 46590LAV4 32312364.86220000 PA USD 2158168.70000000 0.015079307881 Long ABS-MBS CORP US N 2 2049-06-15 Variable 1.67300000 N N N N N N CIM Trust N/A 12553QAA6 12661775.18900000 PA USD 12710653.44000000 0.088810414402 Long ABS-MBS CORP US N 2 2057-08-25 Variable 3.69000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -2083091025.00000000 NC 363479.75000000 0.002539663863 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 2083091025.00000000 JPY 19648280.26000000 USD 2020-04-15 363479.75 N N N Newstar Fairfield Fund CLO LTD N/A 65252BAA1 21400000.00000000 PA USD 20940308.74000000 0.146311714475 Long ABS-O CORP KY N 2 2030-04-20 Floating 3.23600000 N N N N N N NEWPORT MESA CA UNIF SCH DIST N/A 652113WT4 2000000.00000000 PA USD 1279160.00000000 0.008937599488 Long DBT MUN US N 2 2038-08-01 None 0.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810EF1 6030000.00000000 PA USD 6183812.09000000 0.043206819923 Long DBT UST US N 2 2020-05-15 Fixed 8.75000000 N N N N N N BRAZIL FEDERATIVE REPUBLIC OF (GOVERNMENT) N/A N/A 242295000.00000000 PA 59115755.50000000 0.413046801128 Long DBT NUSS BR N 2 2020-07-01 None 0.00000000 N N N N N N Wells Fargo Commercial Mortgag N/A 95001GAG8 35188645.17730000 PA USD 2072804.74000000 0.014482862647 Long ABS-MBS CORP US N 2 2050-12-15 Variable 0.89100000 N N N N N N Structured Asset Securities Co N/A 86365DAA7 42222783.34590000 PA USD 42039599.80000000 0.293734251913 Long ABS-MBS CORP US N 2 2037-11-25 Floating 2.42200000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 2905000.00000000 PA USD 2905000.00000000 0.020297481561 Long RA CORP FR N 2 Repurchase Y 2.42700000 2020-07-07 3600000.00000000 USD 3627900.00000000 USD PLCMO N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTFY0 13400000.00000000 PA USD 14617400.99000000 0.102133021369 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.59000000 N N N N N N FHLMC Multifamily Structured P N/A 3137FBAJ5 91932800.00000000 PA USD 96895663.50000000 0.677018224894 Long ABS-MBS USGSE US N 2 2027-08-25 Fixed 3.28100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HRLD3 5000000.00000000 PA USD 5638069.60000000 0.039393670826 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.21000000 N N N N N N Mountain Hawk CLO Ltd 549300X4VFRMZJ7T1U89 62405TAU1 14750000.00000000 PA USD 14756852.85000000 0.103107383350 Long ABS-O CORP KY N 2 2024-07-20 Floating 3.56600000 N N N N N N JAPAN (GOVERNMENT OF) N/A N/A 10000000000.00000000 PA 92347760.47000000 0.645241640420 Long DBT NUSS JP N 2 2021-07-01 Fixed 0.10000000 N N N N N N QUEST DIAGNOSTICS INC 8MCWUBXQ0WE04KMXBX50 74834LAW0 20950000.00000000 PA USD 20955015.01000000 0.146414468431 Long DBT CORP US N 2 2020-03-30 Fixed 2.50000000 N N N N N N POWAY CA UNIF SCH DIST N/A 738850RF5 10000000.00000000 PA USD 5712400.00000000 0.039913023639 Long DBT MUN US N 2 2040-08-01 None 0.00000000 N N N N N N JAPAN (GOVERNMENT OF) N/A N/A 96500000.00000000 PA 897772.11000000 0.006272809930 Long DBT NUSS JP N 2 2020-06-22 Fixed 2.20000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AE6 18152000.00000000 PA USD 18658312.65000000 0.130367214109 Long DBT CORP US N 2 2021-02-01 Fixed 5.62500000 N N N N N N JPMDB Commercial Mortgage Secu N/A 46590TAG0 8648514.04530000 PA USD 479995.12000000 0.003353766643 Long ABS-MBS CORP US N 2 2050-03-15 Variable 0.93900000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -245200000.00000000 NC -745461.09000000 -0.00520859990 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 245200000.00000000 BRL 60168826.07000000 USD 2020-04-01 -745461.09 N N N GE-WMC Mortgage Securities LLC N/A 367910AU0 3196208.75370000 PA USD 3176546.32000000 0.022194798747 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.04200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -40390000.00000000 OU Swap USD -1081589.67000000 -0.00755715882 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MARKIT CDX.NA.IG.31 12/23 SP9U1R3Y Y CDX IG31 (7-15%) 1% 12/20/2023 - Tenor Quarterly 2023-12-20 0 USD 88435 USD -40390000 USD -993154.67 N N N Bank N/A 060352AG6 43597996.04330000 PA USD 2100882.79000000 0.014679046366 Long ABS-MBS CORP US N 2 2060-07-15 Variable 0.85700000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SK5 3200000.00000000 PA USD 3200000.00000000 0.022358671600 Long DBT UST US N 2 2049-11-15 Fixed 2.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTSB6 2725899.30250000 PA USD 2925247.56000000 0.020438952982 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.36000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -5214000.00000000 NC -19454.73000000 -0.00013593184 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 5214000.00000000 ILS 1494903.74000000 USD 2020-01-31 -19454.73 N N N QUEST DIAGNOSTICS INC 8MCWUBXQ0WE04KMXBX50 74834LAS9 5000000.00000000 PA USD 5166151.65000000 0.036096340055 Long DBT CORP US N 2 2021-04-01 Fixed 4.70000000 N N N N N N Freddie Mac - SCRT N/A 35563PCM9 28394966.13060000 PA USD 29490009.48000000 0.206049199201 Long ABS-MBS USGSE US N 2 2057-06-25 Fixed 3.50000000 N N N N N N SAN BERNARDINO CA CMNTY CLG DI 549300Y4FPTEP3EQZ007 796720GG9 4750000.00000000 PA USD 2188087.50000000 0.015288353076 Long DBT MUN US N 2 2044-08-01 None 0.00000000 N N N N N N Home Equity Loan Trust N/A 43710XAA6 92865539.28500000 PA USD 87620001.44000000 0.612208386809 Long ABS-MBS CORP US N 2 2037-04-25 Floating 1.98200000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BH4 1785000.00000000 PA USD 1792550.01000000 0.012524699062 Long DBT CORP US N 2 2020-12-15 Fixed 2.50000000 N N N N N N Guggenheim Partners Investment Management LLC N/A N/A 1055349.40200000 NS USD 26088237.22000000 0.182280727695 Long EC RF US N 1 N N N Capmark Military Housing Trust N/A 140694AA8 4695990.40500000 PA USD 5528813.97000000 0.038630292466 Long ABS-MBS CORP US N 2 2052-10-10 Fixed 6.05900000 N N N N N N AVERY POINT CLO LTD AVERY_13-3A N/A N/A 7500060.00000000 PA USD 5402410.22000000 0.037747098736 Long ABS-O CORP KY N 2 2025-01-18 None 0.00000000 N N N N N N SPAIN (KINGDOM OF) N/A N/A 57100000.00000000 PA 64078052.43000000 0.447718790953 Long DBT NUSS ES N 2 2020-01-17 None 0.00000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -8669000.00000000 NC 3074.33000000 0.000021480604 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 8669000.00000000 JPY 84687.15000000 USD 2021-02-01 3074.33 N N N COMM Mortgage Trust N/A 12593JBG0 48309578.24300000 PA USD 1762111.19000000 0.012312020443 Long ABS-MBS CORP US N 2 2048-08-10 Variable 0.76500000 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAB5 2263000.00000000 PA USD 2280517.50000000 0.015934169331 Long DBT CORP JP N 2 2020-03-04 Fixed 6.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HS7G0 13950000.00000000 PA USD 15377715.96000000 0.107445406596 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 3.71000000 N N N N N N COLT Funding LLC N/A 12596DAA4 12455623.98300000 PA USD 12520994.83000000 0.087485253596 Long ABS-MBS CORP US N 2 2048-10-26 Variable 3.69200000 N N N N N N CD Commercial Mortgage Trust N/A 12515DAS3 32199049.44980000 PA USD 2237978.83000000 0.015636948033 Long ABS-MBS CORP US N 2 2050-05-10 Variable 1.30900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LM4B6 11280000.00000000 PA USD 11814325.37000000 0.082547694101 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 3.59000000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -100450000.00000000 NC 1006985.22000000 0.007035891200 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 100450000.00000000 BRL 25169761.21000000 USD 2021-07-01 1006985.22 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLLT0 2000000.00000000 PA USD 2066319.72000000 0.014437551262 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 3.11000000 N N N N N N OVERSEAS PRIVATE INV COR 549300IDY55XMYWXSD28 6903532H9 11567287.50000000 PA USD 12236312.23000000 0.085496152108 Long DBT USGSE US N 2 2034-10-05 Fixed 3.17000000 N N N N N N FHLMC Multifamily Structured P N/A 3137F2LK0 19507000.00000000 PA USD 20561722.03000000 0.143666496999 Long ABS-MBS USGSE US N 2 2027-06-25 Fixed 3.20000000 N N N N N N CGBAM Commercial Mortgage Trus N/A 12528RAG3 9900000.00000000 PA USD 9894400.56000000 0.069133016500 Long ABS-MBS CORP US N 2 2028-04-10 Fixed 3.51600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTF20 13270000.00000000 PA USD 14475590.38000000 0.101142178600 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.59000000 N N N N N N Freddie Mac - STACR N/A 35565AAA8 32240549.91920000 PA USD 32240530.57000000 0.225267323507 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 2.40800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKBT3 6800000.00000000 PA USD 7068700.16000000 0.049389607973 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 2.99000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HVC93 1741170.28750000 PA USD 1840694.62000000 0.012861089538 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.46000000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BL5 17400000.00000000 PA USD 17419248.58000000 0.121709768287 Long DBT CORP US N 2 2020-10-15 Fixed 2.08000000 N N N N N N Freddie Mac N/A 3128MJXS4 1071477.86400000 PA USD 1136106.58000000 0.007938073101 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4.00000000 N N N N N N MP Clo VIII, LTD 549300D60LKSR31DKI65 62481WAA5 48350000.00000000 PA USD 48256723.18000000 0.337173820648 Long ABS-O CORP KY N 2 2027-10-28 Floating 2.84600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTFB0 14435000.00000000 PA USD 15714109.17000000 0.109795814505 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 3.62000000 N N N N N N NRPL Trust Series N/A 62890JAA9 32648130.65860000 PA USD 32525269.21000000 0.227256816552 Long ABS-MBS CORP US N 2 2059-07-25 Variable 3.00000000 N N N N N N Freddie Mac - STACR 549300KB1O80CETXGJ21 35564TAA8 8074878.08790000 PA USD 8074872.44000000 0.056419819093 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 2.52200000 N N N N N N Citigroup Mortgage Loan Trust N/A 17328BAA2 20115801.94310000 PA USD 20140612.77000000 0.140724170858 Long ABS-MBS CORP US N 2 2049-07-25 Variable 2.72000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -20190000.00000000 OU Swap USD -540660.94000000 -0.00377764387 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MARKIT CDX.NA.IG.31 12/23 SP9U1R3Y Y CDX IG31 (7-15%) 1% 12/20/2023 - Tenor Quarterly 2023-12-20 0 USD 53794.28 USD -20190000 USD -486866.66 N N N Babson CLO Ltd 549300SCEOLR3BTPYX35 05618HAE5 1300000.00000000 PA USD 186583.80000000 0.001303676846 Long ABS-O CORP KY N 2 2025-07-20 None 0.00000000 N N N N N N SAPPHIRE AVIATION FINANCE I LI N/A 80306AAA8 39974898.92970000 PA USD 40656307.06000000 0.284069068132 Long ABS-O CORP KY N 2 2040-03-15 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMB36 4800000.00000000 PA USD 4991903.81000000 0.034878855608 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3.10000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 863070000.00000000 NC 161254.21000000 0.001126696851 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 45248505.82000000 USD 863070000.00000000 MXN 2020-02-06 161254.21 N N N WAMU Mortgage Pass-Through Cer N/A 93363RAA4 1527566.51790000 PA USD 1456870.74000000 0.010179279512 Long ABS-MBS CORP US N 2 2046-10-25 Floating 3.12000000 N N N N N N Citigroup Commercial Mortgage N/A 17325DAJ2 31042844.28870000 PA USD 2244791.89000000 0.015684551462 Long ABS-MBS CORP US N 2 2049-10-10 Variable 1.52100000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PAV0 28230000.00000000 PA USD 28287152.76000000 0.197644737206 Long DBT CORP US N 2 2020-11-06 Fixed 2.25000000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46639NAS0 36122223.93950000 PA USD 480476.15000000 0.003357127640 Long ABS-MBS CORP US N 2 2045-07-15 Variable 0.48900000 N N N N N N BIOGEN INC W8J5WZB5IY3K0NDQT671 09062XAC7 1650000.00000000 PA USD 1662127.80000000 0.011613428011 Long DBT CORP US N 2 2020-09-15 Fixed 2.90000000 N N N N N N STORE Master Funding LLC N/A 86212VAA2 29382083.64000000 PA USD 30574338.08000000 0.213625495162 Long ABS-O CORP US N 2 2046-10-20 Fixed 3.96000000 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAA6 6194000.00000000 PA USD 6230333.63000000 0.043531869872 Long DBT CORP US N 2 2021-03-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HS3Y5 2900000.00000000 PA USD 3165957.03000000 0.022120810479 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 3.61000000 N N N N N N HSI Asset Securitization Corpo N/A 40430HEB0 29140000.00000000 PA USD 28877757.48000000 0.201771342512 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.18200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTNB1 4863346.23600000 PA USD 5420838.33000000 0.037875857505 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.07000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903AZ6 30350000.00000000 PA USD 30447005.28000000 0.212735810081 Long DBT CORP US N 2 2020-12-01 Floating 2.50700000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -40370000.00000000 OU Swap USD -1081054.10000000 -0.00755341675 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MARKIT CDX.NA.IG.31 12/23 SP9U1R3Y Y CDX IG31 (7-15%) 1% 12/20/2023 - Tenor Quarterly 2023-12-20 0 USD 188753.57 USD -40370000 USD -892300.53 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -8200000.00000000 OU Swap USD -219584.93000000 -0.00153425854 N/A DCR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MARKIT CDX.NA.IG.31 12/23 SP9U1R3Y Y CDX IG31 (7-15%) 1% 12/20/2023 - Tenor Quarterly 2023-12-20 0 USD 47719.36 USD -8200000 USD -171865.57 N N N FHLMC Multifamily Structured P N/A 3137FDET5 8500000.00000000 PA USD 9101356.30000000 0.063591948945 Long ABS-MBS USGSE US N 2 2032-11-25 Fixed 3.45900000 N N N N N N WYLIE TX INDEP SCH DIST N/A 983068Z83 4000000.00000000 PA USD 1663360.00000000 0.011622037497 Long DBT MUN US N 2 2043-08-15 None 0.00000000 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887BW1 1350000.00000000 PA USD 1352014.09000000 0.009446637199 Long DBT CORP US N 2 2020-10-09 Floating 2.51200000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134A4CP7 2500000.00000000 PA USD 1896896.93000000 0.013253779849 Long DBT USGSE US N 2 2031-03-15 None 0.00000000 N N N N N N Guggenheim Partners Investment Management LLC N/A 40169J523 2626076.57500000 NS USD 26129461.92000000 0.182568768173 Long EC RF US N 1 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LNPL9 6100000.00000000 PA USD 6666531.83000000 0.046579623718 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.04000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LL2N4 7200000.00000000 PA USD 7608412.58000000 0.053160624460 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.08000000 N N N N N N GEORGIA-PACIFIC LLC L2EVHWFHVAQK72TMH265 37331NAB7 12532000.00000000 PA USD 12879868.52000000 0.089992734528 Long DBT CORP US N 2 2020-11-01 Fixed 5.40000000 N N N N N N FDF Limited 254900VT795OQ64MDF49 30258BAA9 20500000.00000000 PA USD 20844758.75000000 0.145644098585 Long ABS-O CORP KY N 2 2031-05-12 Fixed 4.28500000 N N N N N N Angel Oak Mortgage Trust N/A 03463LAA5 7215950.46140000 PA USD 7208491.33000000 0.050366340743 Long ABS-MBS CORP US N 2 2047-11-25 Variable 2.70800000 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26884TAA0 4260000.00000000 PA USD 4361777.32000000 0.030476108340 Long DBT CORP US N 2 2020-10-01 Fixed 5.25000000 N N N N N N New Residential Mortgage Loan N/A 64828NAA3 2881998.85490000 PA USD 2917769.36000000 0.020386702164 Long ABS-MBS CORP US N 2 2057-06-25 Floating 3.29200000 N N N N N N Homeward Opportunities Fund I N/A 43789VAA6 22244569.21800000 PA USD 22158395.98000000 0.154822593406 Long ABS-MBS CORP US N 2 2059-09-25 Variable 2.70200000 N N N N N N TVA PRIN STRIP 549300HE1ISW43LNKM54 88059EN59 34650000.00000000 PA USD 14964431.33000000 0.104557751808 Long DBT USGA US N 2 2048-01-15 None 0.00000000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059GBE8 1020000.00000000 PA USD 270089.05000000 0.001887135116 Long DBT USGA US N 2 2063-09-15 None 0.00000000 N N N N N N DAKOTA & WASHINGTON CNTYS MN H N/A 234092AZ7 5000.00000000 PA USD 5495.05000000 0.000038394380 Long DBT MUN US N 2 2021-09-01 Fixed 8.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLZ73 7500000.00000000 PA USD 8019976.28000000 0.056036254963 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3.31000000 N N N N N N Washington Mutual Mortgage Pas N/A 939346AB8 6593472.10310000 PA USD 5991658.87000000 0.041864229066 Long ABS-MBS CORP US N 2 2046-11-25 Floating 3.08000000 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAF6 1510000.00000000 PA USD 1530830.19000000 0.010696040466 Long DBT CORP US N 2 2029-08-15 Fixed 3.75000000 N N N N N N BIB MERCHANT VOUCHER RECEIVABLES LTD N/A N/A 21400000.00000000 PA USD 22096523.78000000 0.154390287093 Long ABS-O CORP US N 3 2028-04-07 Fixed 4.18000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WBRJ6 304141.87050000 PA USD 329288.30000000 0.002300765300 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 5.00000000 N N N N N N Wachovia Asset Securitization N/A 92978LAA6 4650950.40260000 PA USD 4457539.70000000 0.031145208217 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.83800000 N N N N N N New Residential Advance Receiv N/A 62942QCA9 74650000.00000000 PA USD 74607121.04000000 0.521286286986 Long ABS-MBS CORP US N 2 2052-09-15 Fixed 2.51200000 N N N N N N Washington Mutual Mortgage Pas N/A 93935HAH0 2559029.70540000 PA USD 1168630.82000000 0.008165322726 Long ABS-MBS CORP US N 2 2036-09-25 Variable 4.23900000 N N N N N N Deutsche Bank Commercial Mortg N/A 23312JAG8 24853158.72900000 PA USD 1344774.60000000 0.009396054267 Long ABS-MBS CORP US N 2 2050-06-10 Variable 1.02900000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -362073000.00000000 NC -719145.74000000 -0.00502473232 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 362073000.00000000 MXN 18431265.75000000 USD 2020-01-02 -719145.74 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810EH7 5500000.00000000 PA USD 5875332.05000000 0.041051443702 Long DBT UST US N 2 2021-02-15 Fixed 7.87500000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36192CAE5 225000.00000000 PA USD 229576.64000000 0.001604071468 Long ABS-MBS CORP US N 2 2046-02-10 Fixed 2.94300000 N N N N N N Freddie Mac N/A 3128MJYM6 1721676.88800000 PA USD 1764375.70000000 0.012327842767 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A 175200000.00000000 NC USD -275484.48000000 -0.00192483344 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 US Federal Funds Effective Rate (continuous series) FEDL01 Y 2021-12-04 708.76 USD 0 USD 175200000 USD -276193.24 N N N Cronos Containers Program LTD 549300MPYH4CSGCW6113 227170AE7 5283333.33330000 PA USD 5281783.73000000 0.036904271212 Long ABS-O CORP BM N 2 2028-04-18 Fixed 3.08000000 N N N N N N SOUTHERN COPPER CORP 2549007U6NAP46Q9TU15 84265VAA3 1150000.00000000 PA USD 1585155.57000000 0.011075616507 Long DBT CORP US N 2 2035-07-27 Fixed 7.50000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -33128000.00000000 NC -254137.30000000 -0.00177567888 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 33128000.00000000 ILS 9634433.62000000 USD 2021-04-30 -254137.3 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLZ65 13100000.00000000 PA USD 13526933.85000000 0.094513834908 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 3.07000000 N N N N N N STORE Master Funding LLC N/A 86213CAA3 1465000.01050000 PA USD 1467106.83000000 0.010250799941 Long ABS-O CORP US N 2 2045-04-20 Fixed 3.75000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -5930964000.00000000 NC 1028259.26000000 0.007184534723 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5930964000.00000000 JPY 56376377.10000000 USD 2020-09-01 1028259.26 N N N Treman Park CLO Ltd 549300E4DX3Q8L455K94 89473MAB8 3600000.00000000 PA USD 1680793.20000000 0.011743844745 Long ABS-O CORP KY N 2 2028-10-20 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LERE3 1319057.47400000 PA USD 1372264.64000000 0.009588129510 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 3.27000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HS5E7 2600000.00000000 PA USD 2783105.94000000 0.019445797418 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 3.94000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A 456100000.00000000 NC USD -1813476.40000000 -0.01267091352 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 US Federal Funds Effective Rate (continuous series) FEDL01 Y 2021-08-22 1178.57 USD 0 USD 456100000 USD -1814654.97 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HS6C0 4900824.90200000 PA USD 5153857.19000000 0.036010437620 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 3.59000000 N N N N N N Deephaven Residential Mortgage N/A 24381NAA6 22678584.34040000 PA USD 22746205.08000000 0.158929665478 Long ABS-MBS CORP US N 2 2059-07-25 Variable 2.96400000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 404290000.00000000 NC 56735.54000000 0.000396416033 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 21045261.71000000 USD 404290000.00000000 MXN 2020-04-02 56735.54 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -158041145.00000000 NC -4343.52000000 -0.00003034854 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 158041145.00000000 KRW 133593.53000000 USD 2020-11-04 -4343.52 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HSZJ3 7000000.00000000 PA USD 7558491.57000000 0.052811822126 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 3.66000000 N N N N N N Station Place Securitization T N/A 85769FAA6 15250000.00000000 PA USD 15252287.50000000 0.106569027300 Long ABS-O CORP US N 2 2052-08-25 Floating 2.44200000 N N N N N N AASET 2018-2 Trust N/A 04546KAB4 9019162.69650000 PA USD 9112337.86000000 0.063668678037 Long ABS-O CORP US N 2 2038-11-18 Fixed 5.43300000 N N N N N N TELEFONICA EMISIONES SAU 549300Y5MFC4SW5Z3K71 87938WAM5 2710000.00000000 PA USD 2735656.82000000 0.019114266390 Long DBT CORP ES N 2 2020-04-27 Fixed 5.13400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LL4F9 2800000.00000000 PA USD 2959714.13000000 0.020679773832 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.17000000 N N N N N N Venture CDO Ltd 549300ZVVNSDW7WU0O73 92329PAC9 3700000.00000000 PA USD 1111912.90000000 0.007769029805 Long ABS-O CORP KY N 2 2029-09-10 None 0.00000000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -1400000.00000000 NC -23941.85000000 -0.00016728373 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 1400000.00000000 CAD 1054608.85000000 USD 2020-01-09 -23941.85 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 N/A 1250000.00000000 PA USD 1260622.19000000 0.008808074236 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 2.89000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMMR1 6700000.00000000 PA USD 6915452.24000000 0.048318851749 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 3.29000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -1734000.00000000 NC 520.38000000 0.000003635939 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1734000.00000000 JPY 16788.77000000 USD 2020-12-01 520.38 N N N Residential Accredit Loans, In N/A 761118EN4 4081056.18120000 PA USD 3653548.00000000 0.025527649970 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.09200000 N N N N N N Golub Capital BDC LLC 254900LXHYWX8HYU1V40 38174AAL1 1808278.79470000 PA USD 1800525.44000000 0.012580424068 Long ABS-O CORP US N 2 2026-04-25 Floating 2.89000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -20016000.00000000 NC -26859.01000000 -0.00018766618 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 20016000.00000000 MXN 1023250.11000000 USD 2020-02-27 -26859.01 N N N Countrywide Alternative Loan T 549300TXT201GGLA0F48 02151DAC8 10019688.67630000 PA USD 9636320.36000000 0.067329788238 Long ABS-MBS CORP US N 2 2047-09-25 Floating 2.08200000 N N N N N N GSAMP Trust N/A 3622MGAA6 33437480.28810000 PA USD 21301149.54000000 0.148832939771 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.92200000 N N N N N N STANDARD CHARTERED BK/NY RILFO74KP1CM8P6PCT96 85325T2F1 28810000.00000000 PA USD 28843842.53000000 0.201534375878 Long DBT CORP GB N 2 2020-08-04 Floating 2.30200000 N N N N N N Freddie Mac - SCRT N/A 35563PBS7 55860806.58920000 PA USD 56925681.15000000 0.397744565762 Long ABS-MBS USGSE US N 2 2056-07-25 Fixed 3.00000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254BR0 1900000.00000000 PA USD 1914307.00000000 0.013375425485 Long DBT CORP US N 2 2022-09-10 Floating 3.09100000 N N N N N N Freddie Mac - SCRT N/A 35563PDD8 55388367.70030000 PA USD 57081202.38000000 0.398831205796 Long ABS-MBS USGSE US N 2 2057-06-25 Variable 3.25000000 N N N N N N ISRAEL (STATE OF) N/A N/A 227470000.00000000 PA 73122619.76000000 0.510913950545 Long DBT NUSS IL N 2 2022-01-31 Fixed 5.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -809700.00000000 NC -99.72000000 -0.00000069675 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 809700.00000000 EUR 920385.99000000 USD 2020-07-30 -99.72 N N N Mountain View CLO Ltd 549300XBX1AOMDRAHZ12 62431XAU0 36185678.48370000 PA USD 36138879.55000000 0.252505418703 Long ABS-O CORP KY N 2 2026-10-15 Floating 2.80100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YWKA4 516357.47500000 PA USD 544424.32000000 0.003803938931 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTFC8 545115.04850000 PA USD 574188.81000000 0.004011905949 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.87000000 N N N N N N Bank N/A 06540XBH3 156948266.47830000 PA USD 7896616.61000000 0.055174330479 Long ABS-MBS CORP US N 2 2062-11-15 Variable 0.60500000 N N N N N N JAPAN (GOVERNMENT OF) N/A N/A 5928000000.00000000 PA 54637915.72000000 0.381759754529 Long DBT NUSS JP N 2 2020-09-01 Fixed 0.10000000 N N N N N N Drug Royalty III LP 1 5493003XX9XM10JNJW35 26224HAE7 1246343.25600000 PA USD 1247610.66000000 0.008717161572 Long ABS-O CORP US N 2 2027-04-15 Fixed 3.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LML35 4300000.00000000 PA USD 4575405.20000000 0.031968744469 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 3.39000000 N N N N N N GS Mortgage Securities Trust N/A 36251XBR7 4055000.00000000 PA USD 4068812.14000000 0.028429135762 Long ABS-MBS CORP US N 2 2029-11-10 Fixed 2.99400000 N N N N N N ZIMMER BIOMET HOLDINGS 2P2YLDVPES3BXQ1FRB91 98956PAK8 30310000.00000000 PA USD 30329699.08000000 0.211916181705 Long DBT CORP US N 2 2020-04-01 Fixed 2.70000000 N N N N N N Deephaven Residential Mortgage N/A 24380PAB0 2018174.58150000 PA USD 2015828.05000000 0.014084761678 Long ABS-MBS CORP US N 2 2057-12-25 Variable 3.02700000 N N N N N N PACIFIC BEACON LLC 549300RDBP3BJOLTTC39 69403WAC1 500000.00000000 PA USD 587755.09000000 0.004106694699 Long DBT CORP US N 2 2036-07-15 Fixed 5.50800000 N N N N N N Cascade Funding Mortgage Trust 549300HU3WTU5KNK1B36 147271AA8 13250559.76950000 PA USD 13268719.66000000 0.092709670447 Long ABS-MBS CORP US N 2 2069-06-25 Variable 2.80000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -328898.72000000 NC -1978.87000000 -0.00001382653 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 328898.72000000 ILS 94116.27000000 USD 2020-04-30 -1978.87 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HSW56 32751000.00000000 PA USD 34433869.52000000 0.240592368911 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.59000000 N N N N N N FDF Limited 254900VT795OQ64MDF49 30258BAC5 5000000.00000000 PA USD 4992804.50000000 0.034885148805 Long ABS-O CORP KY N 2 2031-05-12 Fixed 5.28500000 N N N N N N AETNA INC 549300QKBENKLBXQ8968 00817YAF5 1190000.00000000 PA USD 1607385.23000000 0.011230937028 Long DBT CORP US N 2 2036-06-15 Fixed 6.62500000 N N N N N N MCKESSON CORP 549300WZWOM80UCFSF54 581557BC8 1650000.00000000 PA USD 1800174.96000000 0.012577975235 Long DBT CORP US N 2 2044-03-15 Fixed 4.88300000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059E7M0 1612000.00000000 PA USD 519257.12000000 0.003628093569 Long DBT USGA US N 2 2057-09-15 None 0.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -2064140.29000000 NC -7768.57000000 -0.00005427965 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2064140.29000000 ILS 595316.32000000 USD 2020-04-30 -7768.57 N N N SG Capital Partners N/A 78432BAA7 35328140.61800000 PA USD 35266493.01000000 0.246409979904 Long ABS-MBS CORP US N 2 2059-09-25 Variable 2.70300000 N N N N N N JANUS CAPITAL GROUP INC 8T2ZO87FU1KVPZIG9I59 47102XAJ4 780000.00000000 PA USD 849709.01000000 0.005936988971 Long DBT CORP US N 2 2025-08-01 Fixed 4.87500000 N N N N N N Station Place Securitization T N/A 85773BAA9 28450000.00000000 PA USD 28450000.00000000 0.198782564693 Long ABS-O CORP US N 3 2020-10-24 Floating 2.48000000 N N N N N N GS Mortgage Securities Corp. N/A 36251QAA0 1424669.22790000 PA USD 1421056.55000000 0.009929042727 Long ABS-MBS CORP US N 2 2037-04-26 Floating 1.96300000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -3469734000.00000000 NC 1090193.73000000 0.007617276121 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3469734000.00000000 JPY 33963723.57000000 USD 2021-06-01 1090193.73 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMHB2 6497275.35300000 PA USD 6750284.58000000 0.047164811290 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 3.56000000 N N N N N N ALM Loan Funding N/A 00164MDU4 19980913.26020000 PA USD 19973792.06000000 0.139558580398 Long ABS-O CORP KY N 2 2027-04-16 Floating 2.89100000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 16880000.00000000 PA USD 16880000.00000000 0.117941992690 Long RA CORP FR N 2 Repurchase Y 2.28725000 2020-07-07 21021000.00000000 USD 21312237.40000000 USD PLCMO N N N TICP CLO Ltd N/A 87249FAC8 5000000.00000000 PA USD 4992575.00000000 0.034883545269 Long ABS-O CORP KY N 2 2028-04-20 Floating 2.80600000 N N N N N N New Residential Advance Receiv N/A 62942QBV4 30500000.00000000 PA USD 30266226.65000000 0.211472694449 Long ABS-MBS CORP US N 2 2053-08-15 Fixed 2.52000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -149210000.00000000 NC -935691.55000000 -0.00653775627 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 149210000.00000000 BRL 34956073.56000000 USD 2021-07-01 -935691.55 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 3122900000.00000000 NC USD 3466419.00000000 0.024220163765 N/A DIR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A 2Y-10 CMS CAP 3122900000.00 0.605 USD 2022-07-29 XXXX -935242 N N N Fortress Credit Opportunities 2549008RD44HDM6DNP14 34961JAC8 11527000.00000000 PA USD 11448751.27000000 0.079993396836 Long ABS-O CORP KY N 2 2029-11-15 Floating 3.46000000 N N N N N N American Home Mortgage Investm N/A 026932AF0 172640436.33050000 PA USD 25815632.27000000 0.180376013772 Long ABS-MBS CORP US N 2 2047-05-25 Fixed 2.07800000 N N N N N N First Franklin Mtg Loan Asset N/A 362334AV6 8616000.00000000 PA USD 8476440.62000000 0.059225610049 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.08200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMKL6 3884360.64000000 PA USD 4097110.61000000 0.028626859574 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTQS1 6193000.00000000 PA USD 6697845.74000000 0.046798416665 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 3.61000000 N N N N N N Planet Fitness Master Issuer L 549300NX9W3U2DO53T22 72703PAA1 2962500.00000000 PA USD 3011736.75000000 0.021043260293 Long ABS-O CORP US N 2 2048-09-05 Fixed 4.26200000 N N N N N N Aventura Mall Trust N/A 05357HAG5 6600000.00000000 PA USD 6644596.86000000 0.046426362221 Long ABS-MBS CORP US N 2 2032-12-05 Variable 3.74300000 N N N N N N JAPAN (GOVERNMENT OF) N/A N/A 8670000000.00000000 PA 80029603.08000000 0.559173629232 Long DBT NUSS JP N 2 2021-05-01 Fixed 0.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HT2V0 993003.46000000 PA USD 1095887.31000000 0.007657057648 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.96000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828YH7 163918000.00000000 PA USD 162554151.43000000 1.135779652825 Long DBT UST US N 2 2024-09-30 Fixed 1.50000000 N N N N N N ATLANTIC MARINE CORP COM N/A 048677AC2 780736.12910000 PA USD 846000.95000000 0.005911080441 Long DBT CORP US N 2 2050-12-01 Fixed 5.37300000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 7200000.00000000 NC 111627.16000000 0.000779948441 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5434983.63000000 USD 7200000.00000000 CAD 2020-01-03 111627.16 N N N BSPRT 2018-FL3 Issuer, Ltd N/A 05585JAA8 17500000.00000000 PA USD 17502849.00000000 0.122293891517 Long ABS-O CORP KY N 2 2028-03-15 Floating 2.79000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 647350000.00000000 NC 90974.04000000 0.000635643338 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 33668098.65000000 USD 647350000.00000000 MXN 2020-04-08 90974.04 N N N Vornado DP LLC N/A 92903PAC3 3260000.00000000 PA USD 3271800.55000000 0.022860348136 Long ABS-MBS CORP US N 2 2028-09-13 Fixed 4.00400000 N N N N N N Citigroup Commercial Mortgage N/A 29429EAF8 32085248.52890000 PA USD 3009849.79000000 0.021030075943 Long ABS-MBS CORP US N 2 2049-07-10 Variable 1.97900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHF49 64185.68970000 PA USD 66882.48000000 0.000467313564 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N Citigroup Commercial Mortgage N/A 17291CBW4 33745375.66430000 PA USD 3079548.99000000 0.021517070169 Long ABS-MBS CORP US N 2 2049-08-10 Variable 1.76600000 N N N N N N Great Lakes CLO Ltd 254900GKX01S4T3NFH46 39055RAE2 461538.00000000 PA USD 243784.37000000 0.001703342084 Long ABS-O CORP KY N 2 2029-10-15 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 N/A 4429000.00000000 PA USD 4418881.95000000 0.030875103237 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 2.99000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WGDJ0 777889.79100000 PA USD 812175.21000000 0.005674737125 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N CAM Commercial Mortgage Corpor N/A 12477MAR1 361714.00000000 PA USD 382051.44000000 0.002669425837 Long ABS-MBS CORP US N 2 2021-12-14 Fixed 6.15700000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YAZ2 1870000.00000000 PA USD 1870539.93000000 0.013069621252 Long DBT CORP US N 2 2025-09-13 Variable 2.55500000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -1734000.00000000 NC 522.30000000 0.000003649354 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1734000.00000000 JPY 16617.90000000 USD 2020-06-01 522.3 N N N CREDIT SUISSE NEW YORK ANGGYXNX0JLX3X63JN86 22549LUK9 28730000.00000000 PA USD 28771050.86000000 0.201025774301 Long DBT CORP US N 2 2020-07-31 Floating 2.32700000 N N N N N N GSAA Home Equity Trust N/A 36249BAD2 215510.54540000 PA USD 210018.69000000 0.001467418412 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.06200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -557800000.00000000 NC 67210.50000000 0.000469605467 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 557800000.00000000 JPY 5202678.75000000 USD 2020-01-10 67210.5 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828YM6 18233000.00000000 PA USD 18081295.79000000 0.126335548334 Long DBT UST US N 2 2024-10-31 Fixed 1.50000000 N N N N N N Capmark Military Housing Trust N/A 14070EAA3 8305027.47600000 PA USD 11007670.36000000 0.076911527081 Long ABS-MBS CORP US N 2 2055-07-10 Fixed 6.89700000 N N N N N N American Home Mortgage Assets N/A 008684AA0 2482802.57240000 PA USD 2151410.75000000 0.015032089511 Long ABS-MBS CORP US N 2 2046-12-25 Floating 1.98200000 N N N N N N Voya CLO Ltd N/A 44986TAB8 10575071.00000000 PA USD 4421743.86000000 0.030895099645 Long ABS-O CORP KY N 2 2030-10-15 None 0.00000000 N N N N N N RASPRO TRUST N/A 75405RAC7 14019105.06750000 PA USD 13792906.81000000 0.096372210554 Long ABS-O CORP US N 2 2024-03-23 Floating 2.89100000 N N N N N N GE BUSINESS LOAN TRUST 54930088DNNKVNIBN966 36160RAA8 2842507.08820000 PA USD 2787714.35000000 0.019477996770 Long ABS-MBS CORP US N 2 2035-04-15 Floating 1.91000000 N N N N N N JAPAN (GOVERNMENT OF) N/A N/A 16380000000.00000000 PA 150755126.34000000 1.053338863079 Long DBT NUSS JP N 2 2020-01-20 None 0.00000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A 14106000.00000000 NC USD 10752.86000000 0.000075131145 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 ICE LIBOR USD 3 Month US0003M Y 2020-01-31 6859.35 USD 0 USD 14106000 USD 3893.51 N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 9431000.00000000 PA USD 9431000.00000000 0.065895197456 Long RA CORP FR N 2 Repurchase Y 2.32713000 2020-07-07 11760000.00000000 USD 11868192.00000000 USD PLCMO N N N Ivy Hill Middle Market Credit 549300UJCX58VC2FZI80 46603BAS8 1000000.00000000 PA USD 931921.30000000 0.006511413219 Long ABS-O CORP KY N 2 2030-01-18 Floating 4.35300000 N N N N N N First Franklin Mtg Loan Asset N/A 32027NMJ7 5867494.51160000 PA USD 5884807.73000000 0.041117651082 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.06700000 N N N N N N Nationstar HECM Loan Trust N/A 63862UAA6 4581703.88700000 PA USD 4580699.58000000 0.032005736752 Long ABS-MBS CORP US N 2 2029-11-25 Variable 2.27200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HWX72 2750000.00000000 PA USD 2748928.46000000 0.019206996465 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 2.66000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -24366000.00000000 NC 398808.68000000 0.002786510096 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 24366000.00000000 EUR 28020290.85000000 USD 2020-06-15 398808.68 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMPN7 8100000.00000000 PA USD 8376488.80000000 0.058527238200 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 3.43000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HS2H3 15500000.00000000 PA USD 17373531.50000000 0.121390339169 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 4.17000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 3220000.00000000 PA USD 3220000.00000000 0.022498413297 Long RA CORP FR N 2 Repurchase Y 2.29050000 2020-07-07 4016000.00000000 USD 4054955.20000000 USD PLCMO N N N Towd Point Mortgage Trust N/A 89169EAA7 9953305.24390000 PA USD 9928714.61000000 0.069372771679 Long ABS-MBS CORP US N 2 2057-02-25 Floating 2.39200000 N N N N N N Morgan Stanley ReRemic Trust N/A 61759HBA4 248221.25190000 PA USD 229837.66000000 0.001605895237 Long ABS-MBS CORP US N 2 2036-06-26 Variable 5.58200000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBJ3 1800000.00000000 PA USD 1813801.84000000 0.012673187402 Long DBT CORP US N 2 2026-09-06 Fixed 3.21500000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059E7K4 1612000.00000000 PA USD 537033.88000000 0.003752301300 Long DBT USGA US N 2 2056-09-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMG49 1364112.16200000 PA USD 1411004.54000000 0.009858808479 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 2.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMC84 4650000.00000000 PA USD 4935341.48000000 0.034483649807 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.22000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMRZ8 8341000.00000000 PA USD 9056256.68000000 0.063276834072 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 3.59500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -103526461.20000000 NC -620922.44000000 -0.00433843778 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 103526461.20000000 ILS 30151874.54000000 USD 2021-02-01 -620922.44 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LNRL7 1190378.08340000 PA USD 1309196.84000000 0.009147469439 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.05000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -48822000.00000000 NC -584586.21000000 -0.00408455346 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 48822000.00000000 EUR 54241583.75000000 USD 2020-01-17 -584586.21 N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BE1 6250000.00000000 PA USD 6370485.44000000 0.044511122464 Long DBT CORP US N 2 2021-03-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HWK43 700000.00000000 PA USD 721452.14000000 0.005040847335 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 3.35500000 N N N N N N Freddie Mac N/A 3128MJWW6 531686.48400000 PA USD 563739.72000000 0.003938897271 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4.00000000 N N N N N N DCAL AVIATION FINANCE LIMITED N/A 001406AB3 1353675.86490000 PA USD 1351693.00000000 0.009444393715 Long ABS-O CORP KY N 2 2040-02-15 Variable 5.07200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HWLQ3 1797965.96400000 PA USD 1772070.85000000 0.012381609433 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 2.77000000 N N N N N N FANNIEMAE STRIPS B1V7KEBTPIMZEU4LTD58 31358C5H5 1456000.00000000 PA USD 1053072.02000000 0.007357903583 Long DBT USGSE US N 2 2033-02-06 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMEN9 1720129.86900000 PA USD 1789632.04000000 0.012504310958 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3.19000000 N N N N N N Wind River CLO Ltd 2549008107XSHXNMJI27 88432GAL1 43880000.00000000 PA USD 43824461.08000000 0.306205229167 Long ABS-O CORP KY N 2 2027-10-15 Floating 2.85600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LFZ84 2507352.75250000 PA USD 2597168.36000000 0.018146635766 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.26000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8RK3 1766611.66220000 PA USD 1866057.22000000 0.013038300177 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.50000000 N N N N N N Venture CDO Ltd 549300C7PSULF5Z6ZE61 92329JAY5 37300978.29480000 PA USD 37238390.98000000 0.260187798385 Long ABS-O CORP KY N 2 2026-02-28 Floating 2.71400000 N N N N N N Irwin Home Equity N/A 46412RAE5 87903.77180000 PA USD 88690.12000000 0.000619685396 Long ABS-MBS CORP US N 2 2037-08-25 Variable 5.85000000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -85500000.00000000 NC -365863.07000000 -0.00255631632 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 85500000.00000000 BRL 20927158.80000000 USD 2020-01-02 -365863.07 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HWGU0 2342929.62550000 PA USD 2315223.15000000 0.016176660653 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 2.69000000 N N N N N N LESLIES HOLDINGS INC 549300MZRH1GJYUMRM83 N/A 4084061.37730000 PA USD 3813492.31000000 0.026645194440 Long LON CORP US N 2 2023-08-16 Variable 5.34000000 N N N N N N MONROE CAPITAL CLO LTD 549300P18F17MYF55L44 610333AU0 10100000.00000000 PA USD 10062339.12000000 0.070306417472 Long ABS-O CORP KY N 2 2026-10-22 Floating 3.65300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKZP5 9100000.00000000 PA USD 9543287.75000000 0.066679761495 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 3.05000000 N N N N N N KKR GRP FIN CO VI LLC 549300TUJWGHJM3FSJ07 48252AAA9 1410000.00000000 PA USD 1502973.68000000 0.010501404667 Long DBT CORP US N 2 2029-07-01 Fixed 3.75000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -87675000.00000000 NC -1278392.77000000 -0.00893223878 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 87675000.00000000 ILS 24186006.74000000 USD 2020-01-31 -1278392.77 N N N CAM Commercial Mortgage Corpor N/A 12477MAQ3 362062.00000000 PA USD 376755.82000000 0.002632424891 Long ABS-MBS CORP US N 2 2021-12-14 Fixed 6.15700000 N N N N N N SWEDBANK AB M312WZV08Y7LYUC71685 87020PAG2 8100000.00000000 PA USD 8147905.02000000 0.056930103928 Long DBT CORP SE N 2 2021-03-10 Fixed 2.65000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -2265300.00000000 NC 640.81000000 0.000004477393 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2265300.00000000 JPY 21918.72000000 USD 2020-12-21 640.81 N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 025537AH4 2000000.00000000 PA USD 2003914.10000000 0.014001517898 Long DBT CORP US N 2 2020-11-13 Fixed 2.15000000 N N N N N N Citigroup Commercial Mortgage N/A 17328HBF7 219970158.65880000 PA USD 11264759.81000000 0.078707832889 Long ABS-MBS CORP US N 2 2052-11-10 Variable 0.63100000 N N N N N N CYPRESS CA ELEM SCH DIST N/A 232723HP4 14450000.00000000 PA USD 5102873.00000000 0.035654206757 Long DBT MUN US N 2 2048-08-01 None 0.00000000 N N N N N N Banc of America Commercial Mor N/A 06427DAT0 24121161.44900000 PA USD 1452354.43000000 0.010147723671 Long ABS-MBS CORP US N 2 2050-02-15 Variable 1.12100000 N N N N N N VECTOR PHOENIX HOLDINGS (CAYMAN) LP N/A N/A 532.19610000 NS USD 44.53000000 0.000000311134 Long EC CORP US N 3 N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 12150000.00000000 PA USD 12150000.00000000 0.084893081231 Long RA CORP FR N 2 Repurchase Y 2.32713000 2020-07-07 15097162.00000000 USD 15210390.72000000 USD PLCMO N N N Global SC Finance SRL N/A 37952UAD5 13649166.66670000 PA USD 13634200.36000000 0.095263315118 Long ABS-O CORP BB N 2 2029-07-17 Fixed 3.19000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162CAJ9 64748699.02230000 PA USD 1805511.00000000 0.012615258599 Long ABS-MBS CORP US N 2 2051-10-10 Variable 0.44200000 N N N N N N OSHKOSH CORP 549300FEKNPCFSA2B506 688239AF9 1380000.00000000 PA USD 1472357.60000000 0.010287487517 Long DBT CORP US N 2 2028-05-15 Fixed 4.60000000 N N N N N N GMAC Commercial Mortgage Asset N/A 38012DAB3 4569954.87000000 PA USD 4827914.93000000 0.033733051385 Long ABS-MBS CORP US N 3 2050-05-10 Fixed 5.46600000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 109010142.90000000 PA USD 109010142.90000000 0.761663120678 Long RA CORP FR N 2 Repurchase Y 2.07050000 2020-02-03 412203000.00000000 USD 393513194.00000000 USD PLCMO N N N TYCO ELECTRONICS GROUP S C33G1C5SYE2YM95EE712 902133AK3 1000000.00000000 PA USD 1030042.32000000 0.007196993114 Long DBT CORP LU N 2 2021-01-15 Fixed 4.87500000 N N N N N N Banc of America Merrill Lynch N/A 05524UAA7 500000.00000000 PA USD 511550.35000000 0.003574245713 Long ABS-MBS CORP US N 2 2030-12-10 Fixed 2.95900000 N N N N N N Guggenheim Partners Investment Management LLC N/A N/A 1055595.02300000 NS USD 26115420.87000000 0.182470662165 Long EC RF US N 1 N N N PRIVATE EXPORT FUNDING CYQE6SAYPFKNQJ6FMH60 742651DX7 19500000.00000000 PA USD 19363553.43000000 0.135294791297 Long DBT USGSE US N 2 2024-11-15 Fixed 1.75000000 N N N N N N Wells Fargo Commercial Mortgag 549300MZIB10PDVAE312 95000FAW6 26591770.86410000 PA USD 2581744.51000000 0.018038868016 Long ABS-MBS CORP US N 2 2048-07-15 Variable 1.95500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTND7 19375000.00000000 PA USD 20773352.07000000 0.145145174051 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 3.37000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -46450000.00000000 NC 1482645.56000000 0.010359370367 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 46450000.00000000 EUR 53645105.00000000 USD 2020-01-17 1482645.56 N N N Bear Stearns Asset Backed Secu N/A 07387UHS3 7004422.93180000 PA USD 6967450.79000000 0.048682170032 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.15200000 N N N N N N Bank N/A 06541FBB4 13089725.00190000 PA USD 995711.82000000 0.006957122997 Long ABS-MBS CORP US N 2 2050-05-15 Variable 1.42500000 N N N N N N MUFG BANK LTD C3GTMMZIHMY46P4OIX74 064255BP6 2825000.00000000 PA USD 2826621.27000000 0.019749842722 Long DBT CORP JP N 2 2020-03-05 Fixed 2.30000000 N N N N N N Palmer Square Loan Funding Ltd N/A 69689LAA4 22526835.78810000 PA USD 22481072.52000000 0.157077161778 Long ABS-O CORP KY N 2 2027-08-20 Floating 2.74900000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -3560000.00000000 NC -68401.16000000 -0.00047792471 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 3560000.00000000 CAD 2674144.46000000 USD 2020-01-06 -68401.16 N N N Freddie Mac N/A 3137FEBA7 4673889.00000000 PA USD 4863383.88000000 0.033980875949 Long ABS-MBS USGSE US N 2 2046-01-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMET6 1250000.00000000 PA USD 1332817.56000000 0.009312509414 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.33000000 N N N N N N AASET 2018-2 Trust N/A 04546KAA6 48072137.14320000 PA USD 48994511.66000000 0.342328811377 Long ABS-O CORP US N 2 2038-11-18 Fixed 4.45400000 N N N N N N Acis CLO LTD 549300KBPN4VDPV9ZF83 00452PAG2 7500000.00000000 PA USD 7515540.75000000 0.052511721101 Long ABS-O CORP KY N 2 2027-05-01 Floating 4.38900000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -241600.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 iShares Core U.S. Aggregate ETF AGG Y iShares Core U.S. Aggregate ETF-Tenor Monthly 2020-01-23 0 USD 0 USD -27148592 USD 0 N N N Marathon CLO LTD 635400LRBGQZIPTCBI09 56576QAQ1 10520137.00000000 PA USD 10397628.95000000 0.072649115972 Long ABS-O CORP KY N 2 2027-11-21 Floating 3.34500000 N N N N N N LSTAR Securities Investment Lt N/A 54912VAA3 22642636.43610000 PA USD 22642636.44000000 0.158206022600 Long ABS-MBS CORP US N 2 2024-11-01 Floating 3.20900000 N N N N N N GMAC Commercial Mortgage Asset N/A 36186YAF2 22302020.42640000 PA USD 23816825.62000000 0.166410182060 Long ABS-MBS CORP US N 2 2052-08-10 Fixed 6.10700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 313637WL0 2261785.33900000 PA USD 2425225.59000000 0.016945257038 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 3.58000000 N N N N N N Luminent Mortgage Trust N/A 550279BA0 3570371.63040000 PA USD 3144151.38000000 0.021968452551 Long ABS-MBS CORP US N 2 2046-02-25 Floating 1.99200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKEF0 6402688.80980000 PA USD 6632554.49000000 0.046342221159 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.42000000 N N N N N N ANZ NEW ZEALAND INTL/LDN 213800VD256NU2D97H12 00182EAX7 29500000.00000000 PA USD 29644556.20000000 0.207129030251 Long DBT CORP GB N 2 2020-08-06 Fixed 2.85000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -40380000.00000000 OU Swap USD -1081321.89000000 -0.00755528782 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MARKIT CDX.NA.IG.31 12/23 SP9U1R3Y Y CDX IG31 (7-15%) 1% 12/20/2023 - Tenor Quarterly 2023-12-20 0 USD 195104.4 USD -40380000 USD -886217.49 N N N POWAY CA UNIF SCH DIST N/A 738850RD0 8460000.00000000 PA USD 5177773.80000000 0.036177545004 Long DBT MUN US N 2 2038-08-01 None 0.00000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740BDV6 108050000.00000000 PA USD 108254574.31000000 0.756383898811 Long ABS-O CORP GB N 2 2020-07-31 Floating 2.47900000 N N N N N N STRIPES 2013 AIRCRAFT 1 LIMITED N/A N/A 977253.63240000 PA USD 967795.66000000 0.006762070418 Long ABS-O CORP US N 3 2023-03-20 Variable 5.26500000 N N N N N N FNMA PRIN STRIPS B1V7KEBTPIMZEU4LTD58 31358DJP0 86350000.00000000 PA USD 54070851.10000000 0.377797625899 Long DBT USGSE US N 2 2037-07-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMCP6 2402210.28440000 PA USD 2539474.65000000 0.017743524917 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.23000000 N N N N N N Atlas Senior Loan Fund LTD N/A 04941WAC7 1200000.00000000 PA USD 496320.00000000 0.003467829965 Long ABS-O CORP KY N 2 2028-04-20 None 0.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -59198631145.00000000 NC -1602582.08000000 -0.01119737701 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 59198631145.00000000 KRW 50484931.90000000 USD 2021-08-04 -1602582.08 N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAH3 14278000.00000000 PA USD 14472151.96000000 0.101118154068 Long DBT CORP US N 2 2021-02-15 Fixed 3.30000000 N N N N N N JPMDB Commercial Mortgage Secu N/A 46646RAL7 86252888.03520000 PA USD 3954850.17000000 0.027632873805 Long ABS-MBS CORP US N 2 2049-12-15 Variable 0.81500000 N N N N N N ECAF LTD N/A 26827EAA3 664662.83780000 PA USD 664640.70000000 0.004643900982 Long ABS-O CORP KY N 2 2040-06-15 Fixed 3.47300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTNS4 9820000.00000000 PA USD 10574444.77000000 0.073884543114 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 3.51000000 N N N N N N UCFC Manufactured Housing Cont N/A 90263AAV2 506638.67870000 PA USD 534212.08000000 0.003732585144 Long ABS-MBS CORP US N 2 2028-10-15 Fixed 7.38000000 N N N N N N Drug Royalty III LP 1 5493003XX9XM10JNJW35 26224HAA5 632652.39310000 PA USD 633642.18000000 0.004427311692 Long ABS-O CORP US N 2 2027-04-15 Fixed 3.97900000 N N N N N N SPS Servicer Advance Receivabl N/A 78469QAX0 28000000.00000000 PA USD 28003222.80000000 0.195660894477 Long ABS-MBS CORP US N 2 2051-10-15 Fixed 2.24000000 N N N N N N FORT KNOX MILITARY HOUS N/A 347508AA1 1916735.32880000 PA USD 2125569.83000000 0.014851536809 Long DBT CORP US N 2 2052-02-15 Fixed 5.81500000 N N N N N N MOTOROLA SOLUTIONS INC 6S552MUG6KGJVEBSEC55 620076BE8 360000.00000000 PA USD 401555.65000000 0.002805703408 Long DBT CORP US N 2 2044-09-01 Fixed 5.50000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -75749000.00000000 NC -448058.71000000 -0.00313062423 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 75749000.00000000 ILS 22457456.27000000 USD 2022-01-31 -448058.71 N N N Morgan Stanley Capital Inc N/A 617451DR7 3692387.79400000 PA USD 3653909.42000000 0.025530175243 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.08200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HW4G4 71700000.00000000 PA USD 70424061.22000000 0.492058892986 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 2.43000000 N N N N N N MAPS LTD N/A 56564RAA8 27069390.00000000 PA USD 27553978.10000000 0.192521983628 Long ABS-O CORP BM N 2 2043-05-15 Fixed 4.21200000 N N N N N N GS Mortgage Securities Trust 5493002EPQ51IPGGFX73 36251FAY2 19425135.93420000 PA USD 700973.51000000 0.004897761409 Long ABS-MBS CORP US N 2 2048-02-10 Variable 1.06200000 N N N N N N JP Morgan Mortgage Acquisition N/A 46625SAA4 2135628.56590000 PA USD 2127650.93000000 0.014866077632 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.93200000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HBQ7 400000.00000000 PA USD 400750.02000000 0.002800074403 Long DBT CORP US N 2 2020-05-12 Floating 2.66100000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 45273600.00000000 NC 359634.23000000 0.002512794888 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 50962861.67000000 USD 45273600.00000000 EUR 2020-06-15 359634.23 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HVQP2 20780000.00000000 PA USD 20385142.18000000 0.142432718600 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 2.81000000 N N N N N N Bear Stearns Asset Backed Secu N/A 07389MAD9 11416356.85440000 PA USD 11132461.74000000 0.077783455045 Long ABS-MBS CORP US N 2 2036-11-25 Floating 1.93200000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 305000.00000000 PA USD 305000.00000000 0.002131060886 Long RA CORP FR N 2 Repurchase Y 2.32713000 2020-07-07 377000.00000000 USD 380883.10000000 USD PLCMO N N N TICP CLO Ltd N/A 87248BAQ7 6468068.09330000 PA USD 6464894.21000000 0.045170764553 Long ABS-O CORP KY N 2 2027-07-20 Floating 2.76600000 N N N N N N COMM Mortgage Trust N/A 12595VAE7 198194999.49690000 PA USD 6634399.23000000 0.046355110514 Long ABS-MBS CORP US N 2 2051-05-10 Variable 0.44600000 N N N N N N TENN VALLEY AUTHORITY 549300HE1ISW43LNKM54 880591ES7 32550000.00000000 PA USD 42370535.18000000 0.296046525502 Long DBT USGA US N 2 2065-09-15 Fixed 4.25000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAF7 6920000.00000000 PA USD 6939927.39000000 0.048489861700 Long DBT CORP US N 2 2020-06-01 Fixed 2.80000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A -49180000.00000000 NC USD 133616.16000000 0.000933587450 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 ICE LIBOR USD 3 Month US0003M Y 2021-08-04 345.13 USD 0 USD -49180000 USD 133271.03 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LJXS4 20000000.00000000 PA USD 20759581.40000000 0.145048957211 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 2.87000000 N N N N N N Countrywide Asset-Backed Certi N/A 126670ZH4 21440716.89240000 PA USD 21154431.86000000 0.147807810888 Long ABS-MBS CORP US N 2 2036-09-25 Floating 1.96200000 N N N N N N Neuberger Berman CLO Ltd 549300UHUHCR3388B324 64131TAC8 8900000.00000000 PA USD 8899952.83000000 0.062184725806 Long ABS-O CORP KY N 2 2028-01-15 Floating 2.85100000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -74000000.00000000 NC -464864.08000000 -0.00324804478 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 74000000.00000000 BRL 17335488.56000000 USD 2021-07-01 -464864.08 N N N GSAMP Trust N/A 362341G45 267736.42250000 PA USD 268198.62000000 0.001873926521 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.23200000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059GAZ2 1020000.00000000 PA USD 295764.60000000 0.002066532363 Long DBT USGA US N 2 2061-03-15 None 0.00000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134A4NT7 1800000.00000000 PA USD 1354592.83000000 0.009464655074 Long DBT USGSE US N 2 2031-07-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LM5H2 5600000.00000000 PA USD 6086923.92000000 0.042529854056 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 3.60000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -517230000.00000000 NC -1022679.61000000 -0.00714554923 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 517230000.00000000 MXN 26278540.44000000 USD 2020-01-16 -1022679.61 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTF38 13940000.00000000 PA USD 15206460.43000000 0.106248829672 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.59000000 N N N N N N CHICAGO IL T5UYO5SYLC8K73MJQX30 167486ZQ5 4500000.00000000 PA USD 5754600.00000000 0.040207878621 Long DBT MUN US N 2 2044-01-01 Fixed 6.31400000 N N N N N N PCI PHARMA SERVICES N/A N/A 2288358.06000000 PA USD 2275016.93000000 0.015895736381 Long LON CORP US N 2 2023-06-30 Variable 5.95000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -30080000.00000000 OU Swap USD -805501.79000000 -0.00562810937 N/A DCR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MARKIT CDX.NA.IG.31 12/23 SP9U1R3Y Y CDX IG31 (7-15%) 1% 12/20/2023 - Tenor Quarterly 2023-12-20 50336.28 USD 0 USD -30080000 USD -855838.07 N N N JAPAN (GOVERNMENT OF) N/A N/A 14083400000.00000000 PA 129612434.34000000 0.905613079589 Long DBT NUSS JP N 2 2020-01-10 None 0.00000000 N N N N N N Newstar Trust 549300HA6DDD2ONJSM48 65252AAE5 12750000.00000000 PA USD 12747344.18000000 0.089066775716 Long ABS-O CORP US N 2 2027-03-20 Floating 4.40800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HSVJ7 3500000.00000000 PA USD 3785133.21000000 0.026447047001 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 3.69000000 N N N N N N Chesterfield Financial Holding N/A 166430AA6 3343750.00000000 PA USD 3359776.59000000 0.023475044195 Long ABS-O CORP US N 2 2034-12-15 Fixed 4.50000000 N N N N N N AASET 2017-1 Trust 549300UGVCXV1Y1NM635 000366AA2 8136845.70240000 PA USD 8203509.25000000 0.057318615402 Long ABS-O CORP US N 2 2042-05-16 Fixed 3.96700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTFX2 20060000.00000000 PA USD 21882467.45000000 0.152894657347 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.59000000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAG6 23200000.00000000 PA USD 23286356.90000000 0.162703752089 Long DBT CORP US N 2 2020-06-04 Fixed 3.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKTQ0 21046000.00000000 PA USD 22080931.37000000 0.154281341601 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 3.01000000 N N N N N N Alliance Bancorp Trust N/A 01852TAA1 893297.39130000 PA USD 820605.94000000 0.005733643351 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.03200000 N N N N N N FHLMC Multifamily Structured P N/A 3137BTAD3 13000000.00000000 PA USD 13750389.90000000 0.096075141295 Long ABS-MBS USGSE US N 2 2026-10-25 Variable 3.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMC76 6100000.00000000 PA USD 6447792.78000000 0.045051275410 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.17000000 N N N N N N SANTA ANA CA UNIF SCH DIST N/A 801155RN4 700000.00000000 PA USD 468839.00000000 0.003275817885 Long DBT MUN US N 2 2035-08-01 None 0.00000000 N N N N N N Wells Fargo Commercial Mortgag 549300RD723OFH36TP29 94989XBF1 38682284.65200000 PA USD 1593957.69000000 0.011137117667 Long ABS-MBS CORP US N 2 2048-12-15 Variable 0.91200000 N N N N N N MONDELEZ INTERNATIONAL 549300DV9GIB88LZ5P30 609207AN5 32300000.00000000 PA USD 32392693.25000000 0.226330497067 Long DBT CORP US N 2 2020-05-07 Fixed 3.00000000 N N N N N N Structured Asset Securities Co N/A 86362VAD4 672018.13280000 PA USD 662166.95000000 0.004626616681 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.96200000 N N N N N N SAN DIEGO CA UNIF SCH DIST N/A 797355N91 2200000.00000000 PA USD 1039786.00000000 0.007265073033 Long DBT MUN US N 2 2046-07-01 None 0.00000000 N N N N N N FHLMC Multifamily Structured P N/A 3137F4D58 34823000.00000000 PA USD 37626679.82000000 0.262900805467 Long ABS-MBS USGSE US N 2 2028-02-25 Fixed 3.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLU60 5800000.00000000 PA USD 6147179.18000000 0.042950862672 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.19000000 N N N N N N Marathon CLO LTD 635400LRBGQZIPTCBI09 56576QAN8 10794661.00000000 PA USD 10764544.98000000 0.075212789416 Long ABS-O CORP KY N 2 2027-11-21 Floating 2.76500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTGS2 21529000.00000000 PA USD 23180938.04000000 0.161967181567 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 3.47500000 N N N N N N MOLSON COORS BEVERAGE 54930073LBBH6ZCBE225 60871RAP5 28977000.00000000 PA USD 28964636.96000000 0.202378376813 Long DBT CORP US N 2 2020-03-15 Fixed 2.25000000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -169800000.00000000 NC -40625.50000000 -0.00028385381 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 169800000.00000000 MXN 8867674.25000000 USD 2020-02-27 -40625.5 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HSXF3 18550000.00000000 PA USD 20085223.04000000 0.140337158113 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 3.56000000 N N N N N N New Residential Advance Receiv N/A 62942QCL5 51500000.00000000 PA USD 51513297.30000000 0.359927780426 Long ABS-MBS CORP US N 2 2051-10-15 Fixed 2.42500000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -404290000.00000000 NC -536338.63000000 -0.00374744352 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 404290000.00000000 MXN 20565658.62000000 USD 2020-04-02 -536338.63 N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128282R0 5050000.00000000 PA USD 5194201.18000000 0.036292324502 Long DBT UST US N 2 2027-08-15 Fixed 2.25000000 N N N N N N Structured Asset Securities Co N/A 86359PAC4 5594567.33320000 PA USD 5170812.43000000 0.036128905321 Long ABS-MBS CORP US N 2 2036-10-25 Floating 1.95200000 N N N N N N Telos CLO Ltd 549300S94NIRW4K03T89 87970UAW6 5500000.00000000 PA USD 5487924.20000000 0.038344592172 Long ABS-O CORP KY N 2 2027-01-17 Floating 3.75200000 N N N N N N Madison Avenue Secured Funding N/A 55661HAA4 21350000.00000000 PA USD 21351494.50000000 0.149184704279 Long ABS-O CORP US N 2 2020-11-11 Floating 3.21800000 N N N N N N Residential Accredit Loans, In N/A 75115AAD3 3311549.40940000 PA USD 2601101.52000000 0.018174117088 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.24200000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -107510325.00000000 NC -751172.44000000 -0.00524850559 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 107510325.00000000 EUR 124085191.80000000 USD 2021-07-30 -751172.44 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WGHE7 1812268.60650000 PA USD 1915754.85000000 0.013385541736 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -7200000.00000000 NC -103660.47000000 -0.00072428450 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 7200000.00000000 CAD 5442950.32000000 USD 2020-01-03 -103660.47 N N N Credit-Based Asset Servicing a N/A 12498NAW3 17134319.98330000 PA USD 16772266.66000000 0.117189250699 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.98200000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128286C9 318229000.00000000 PA USD 324270380.26000000 2.265704669327 Long DBT UST US N 2 2022-02-15 Fixed 2.50000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 891906AD1 700000.00000000 PA USD 713770.74000000 0.004987176741 Long DBT CORP US N 2 2021-04-01 Fixed 3.80000000 N N N N N N Freddie Mac Military Housing B 549300ZG8WH0M4JSUM77 35563CAB4 170134699.39690000 PA USD 13552572.87000000 0.094692976917 Long ABS-MBS USGSE US N 2 2055-11-25 Variable 0.29000000 N N N N N N VANTAGE DATA CENTERS ISSUER, L N/A 92211MAC7 10258416.66670000 PA USD 10578510.04000000 0.073912947500 Long ABS-O CORP US N 2 2043-02-16 Fixed 4.07200000 N N N N N N JP Morgan Chase Commercial Mor N/A 48128KAV3 58280974.63410000 PA USD 3408527.83000000 0.023815673247 Long ABS-MBS CORP US N 2 2050-07-15 Variable 1.14100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPMV3 563552.44570000 PA USD 615799.18000000 0.004302641136 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 5.00000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -57640000.00000000 NC -659161.10000000 -0.00460561455 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 57640000.00000000 EUR 64069453.80000000 USD 2020-01-17 -659161.1 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -39520000.00000000 OU Swap USD -1058292.25000000 -0.00739437777 N/A DCR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MARKIT CDX.NA.IG.31 12/23 SP9U1R3Y Y CDX IG31 (7-15%) 1% 12/20/2023 - Tenor Quarterly 2023-12-20 0 USD 1891.62 USD -39520000 USD -1056400.63 N N N Cascade Funding Mortgage Trust N/A 14727QAA3 18407580.54950000 PA USD 18885601.49000000 0.131955300526 Long ABS-MBS CORP US N 2 2068-10-25 Variable 4.00000000 N N N N N N INGERSOLL-RAND LUX FINAN 549300GHBOWCVY92IS29 456873AA6 4247000.00000000 PA USD 4252561.49000000 0.029713008066 Long DBT CORP LU N 2 2020-05-01 Fixed 2.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LM5V1 11340000.00000000 PA USD 12204115.60000000 0.085271191521 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.49000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HWRB0 17060000.00000000 PA USD 16764561.06000000 0.117135411018 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 2.30000000 N N N N N N Washington Mutual Mortgage Pas N/A 939346AA0 14234133.86540000 PA USD 13304402.94000000 0.092958992553 Long ABS-MBS CORP US N 2 2046-11-25 Floating 3.07000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 16750000.00000000 NC 188127.19000000 0.001314460643 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 12715875.71000000 USD 16750000.00000000 CAD 2020-01-08 188127.19 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMCE1 1750000.00000000 PA USD 1851046.65000000 0.012933420051 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.17000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMK69 1291756.22700000 PA USD 1344337.56000000 0.009393000632 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.74000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -800325.00000000 NC -5444.74000000 -0.00003804286 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 800325.00000000 EUR 904383.26000000 USD 2020-07-30 -5444.74 N N N GSAA Home Equity Trust N/A 362341JK6 2422466.16940000 PA USD 2440468.24000000 0.017051758727 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.44200000 N N N N N N JAPAN (GOVERNMENT OF) N/A N/A 2082050000.00000000 PA 19173806.37000000 0.133969012484 Long DBT NUSS JP N 2 2020-04-15 Fixed 0.10000000 N N N N N N Morgan Stanley Capital Inc 5493005XH7EPFP4PGZ13 61755CAC6 28155808.86270000 PA USD 25709263.35000000 0.179632805100 Long ABS-MBS CORP US N 2 2037-05-25 Floating 1.97200000 N N N N N N ALLERGAN FUNDING SCS 222100FLFVOSKCBCAR54 00507UAP6 29600000.00000000 PA USD 29621673.42000000 0.206969146325 Long DBT CORP LU N 2 2020-03-12 Fixed 3.00000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -8669000.00000000 NC 3004.82000000 0.000020994932 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 8669000.00000000 JPY 82927.58000000 USD 2020-02-03 3004.82 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -16750000.00000000 NC -236115.58000000 -0.00164975959 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 16750000.00000000 CAD 12667887.32000000 USD 2020-01-08 -236115.58 N N N HANFORD CA JT UNION HIGH SCH D N/A 410360JS1 4125000.00000000 PA USD 1766737.50000000 0.012344344864 Long DBT MUN US N 2 2041-08-01 None 0.00000000 N N N N N N Freddie Mac N/A 3128MJXK1 738208.79550000 PA USD 771657.83000000 0.005391638752 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N Novastar Home Equity Loan N/A 66989EAA3 48520971.90600000 PA USD 47222245.02000000 0.329945833943 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.99200000 N N N N N N PRINCESS JULIANA INTL N/A 741771AA7 2057229.12040000 PA USD 2023572.85000000 0.014138875253 Long DBT CORP SX Y 2 2027-12-20 Fixed 5.50000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92927BAA0 7266358.11960000 PA USD 6547096.21000000 0.045745116904 Long ABS-MBS CORP US N 2 2047-07-25 Floating 3.05000000 N N N N N N LMRK Issuer Co. LLC N/A 50209LAA5 22380262.44700000 PA USD 22657779.94000000 0.158311831519 Long ABS-O CORP US N 2 2048-06-15 Fixed 3.97000000 N N N N N N BROADCOM CRP / CAYMN FI N/A 11134LAB5 26890000.00000000 PA USD 26891201.45000000 0.187891106922 Long DBT CORP US N 2 2020-01-15 Fixed 2.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LL6L4 1000000.00000000 PA USD 1049728.98000000 0.007334545479 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.13000000 N N N N N N Countrywide Alternative Loan T 549300QTQ6MX6ER06N64 126680AA5 4353954.98710000 PA USD 4144185.79000000 0.028955777852 Long ABS-MBS CORP US N 2 2047-05-25 Floating 1.97200000 N N N N N N COMM Mortgage Trust N/A 12593ABB0 47062340.05910000 PA USD 1546124.94000000 0.010802906183 Long ABS-MBS CORP US N 2 2048-05-10 Variable 0.92700000 N N N N N N AMEREN CORP XRZQ5S7HYJFPHJ78L959 023608AF9 17540000.00000000 PA USD 17633931.79000000 0.123209778096 Long DBT CORP US N 2 2020-11-15 Fixed 2.70000000 N N N N N N Structured Asset Investment Lo N/A 86358EZT6 4946135.82320000 PA USD 4890994.32000000 0.034173792437 Long ABS-MBS CORP US N 2 2036-01-25 Floating 2.51200000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -334190.00000000 NC USD 103598.90000000 0.000723854307 N/A DIR US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 iShares Core U.S. Aggregate ETF AGG Y iShares Core U.S. Aggregate ETF-Tenor Monthly 2020-01-09 0 USD 0 USD -37552930.3 USD 103598.9 N N N TRANSATLANTIC HOLDINGS RN37QJVS1BV19MNIC295 893521AB0 1135000.00000000 PA USD 1688066.95000000 0.011794667054 Long DBT CORP US N 2 2039-11-30 Fixed 8.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKUQ8 38458000.00000000 PA USD 39978128.60000000 0.279330577672 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 2.89000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTN70 6500000.00000000 PA USD 6989426.34000000 0.048835715065 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.34000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 N/A 4000000.00000000 PA USD 3999432.76000000 0.027944376145 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 2.39000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HSW64 8763000.00000000 PA USD 9557845.02000000 0.066781474376 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 3.71000000 N N N N N N Freddie Mac Military Housing B 549300ZG8WH0M4JSUM77 35563CAS7 1110748.97590000 PA USD 1232655.79000000 0.008612670626 Long ABS-MBS USGSE US N 2 2052-11-25 Variable 4.10000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 1400000.00000000 NC 15708.32000000 0.000109755365 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 1062842.38000000 USD 1400000.00000000 CAD 2020-01-09 15708.32 N N N CAM Commercial Mortgage Corpor N/A 12477MAS9 1628688.00000000 PA USD 1720296.49000000 0.012019857585 Long ABS-MBS CORP US N 2 2021-12-14 Fixed 6.15700000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -1493681.50000000 NC -7033.34000000 -0.00004914254 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1493681.50000000 ILS 429379.22000000 USD 2020-04-30 -7033.34 N N N KVK CLO Ltd 5493007VGL59COTLZY21 482739AF6 8600000.00000000 PA USD 8581417.98000000 0.059959095774 Long ABS-O CORP KY N 2 2028-01-14 Floating 2.90100000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -745838.01000000 NC -3598.20000000 -0.00002514092 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 745838.01000000 ILS 214315.11000000 USD 2020-04-30 -3598.2 N N N ANTHEM INC 8MYN82XMYQH89CTMTH67 94973VAS6 7900000.00000000 PA USD 8012938.87000000 0.055987083982 Long DBT CORP US N 2 2020-08-15 Fixed 4.35000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -9010000.00000000 OU Swap USD -241275.64000000 -0.00168581337 N/A DCR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MARKIT CDX.NA.IG.31 12/23 SP9U1R3Y Y CDX IG31 (7-15%) 1% 12/20/2023 - Tenor Quarterly 2023-12-20 0 USD 28182.39 USD -9010000 USD -213093.25 N N N API HEAT TRANSFER THERMASYS CORP N/A N/A 39463.51460000 PA USD 32952.03000000 0.000230238630 Long LON CORP US N 3 2024-01-01 Variable 7.94000000 N N N N N N Soundview Home Equity Loan Tru N/A 83611MGU6 19495000.00000000 PA USD 19236496.30000000 0.134407032345 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.26200000 N N N N N N NewStar Clarendon Fund CLO LLC 549300HC3VVP80NTKX35 32010AAA6 60389829.41290000 PA USD 60341040.47000000 0.421607971210 Long ABS-O CORP US N 2 2027-01-25 Floating 3.24000000 N N N N N N Soundview Home Equity Loan Tru N/A 83612PAD2 1596436.66420000 PA USD 1592725.91000000 0.011128511115 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.96200000 N N N N N N Textainer Marine Containers Li N/A 88315FAA9 13172739.64320000 PA USD 13222130.83000000 0.092384150337 Long ABS-O CORP BM N 2 2042-05-20 Fixed 3.72000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LF5Y0 728164.94250000 PA USD 770401.13000000 0.005382858083 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 3.63000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -7904000.00000000 NC 129893.30000000 0.000907575511 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 7904000.00000000 EUR 9064307.20000000 USD 2020-04-30 129893.3 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMKB8 2200000.00000000 PA USD 2337576.25000000 0.016332843660 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.31000000 N N N N N N Atlas Ltd. N/A N/A 2688043.26000000 PA USD 2623143.14000000 0.018328123758 Long ABS-O CORP US N 2 2039-12-15 Fixed 4.87500000 N N N N N N Residential Accredit Loans, In N/A 75116AAA8 10397524.48540000 PA USD 5769839.00000000 0.040314354808 Long ABS-MBS CORP US N 2 2047-02-25 Floating 1.94200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKVW4 12100000.00000000 PA USD 12504415.28000000 0.087369410873 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 2.82000000 N N N N N N CRED SUIS GP FUN LTD 549300PXR5FKNXF0OH19 225433AD3 3950000.00000000 PA USD 3954892.31000000 0.027633168241 Long DBT CORP GG N 2 2020-03-26 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HSX63 9821000.00000000 PA USD 10653258.55000000 0.074435221684 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 3.66000000 N N N N N N SPAIN (KINGDOM OF) N/A N/A 214670000.00000000 PA 245332669.92000000 1.714160187342 Long DBT NUSS ES N 2 2021-07-30 Fixed 0.75000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828X70 19330000.00000000 PA USD 19595032.47000000 0.136912154996 Long DBT UST US N 2 2024-04-30 Fixed 2.00000000 N N N N N N VECTOR PHOENIX HOLDINGS (CAYMAN) LP 549300DDK3ZCQPZWVP70 N/A 9806.86520000 PA USD 9059.09000000 0.000063296630 Long LON CORP US N 2 2024-01-15 Variable 7.21000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -100014000.00000000 NC -592466.32000000 -0.00413961246 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 100014000.00000000 ILS 29650469.89000000 USD 2022-01-31 -592466.32 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -69164800.00000000 NC -418823.76000000 -0.00292635715 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 69164800.00000000 ILS 20226582.83000000 USD 2021-04-30 -418823.76 N N N SAN MARCOS CA UNIF SCH DIST N/A 798755DP6 3600000.00000000 PA USD 1597212.00000000 0.011159855807 Long DBT MUN US N 2 2047-08-01 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HSX30 29250000.00000000 PA USD 30921904.85000000 0.216053973683 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.19000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -158041145.00000000 NC -4315.65000000 -0.00003015381 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 158041145.00000000 KRW 133989.95000000 USD 2021-02-04 -4315.65 N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3128X0AZ2 18000000.00000000 PA USD 12538184.40000000 0.087605358581 Long DBT USGSE US N 2 2034-01-02 None 0.00000000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A -14106000.00000000 NC USD -10752.86000000 -0.00007513114 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 ICE LIBOR USD 3 Month US0003M Y 2020-01-31 23.45 USD 0 USD -14106000 USD -10776.31 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -17346669000.00000000 NC 6294633.44000000 0.043981138102 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 17346669000.00000000 JPY 171181418.10000000 USD 2021-08-02 6294633.44 N N N NASDAQ INC 549300L8X1Q78ERXFD06 N/A 1600000.00000000 PA USD 1599817.78000000 0.011178062613 Long STIV CORP US N 2 N N N LSTAR Securities Investment Lt N/A 50220CAA0 9476369.39880000 PA USD 9476464.16000000 0.066212859400 Long ABS-MBS CORP US N 2 2024-03-01 Floating 3.40900000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -8674335000.00000000 NC 2681409.04000000 0.018735232547 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 8674335000.00000000 JPY 85134311.51000000 USD 2021-08-02 2681409.04 N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A 54703000.00000000 PA USD 54703000.00000000 0.382214503917 Long RA CORP FR N 2 Repurchase Y 2.29050000 2020-07-07 69673000.00000000 USD 70267140.10000000 USD PLCMO N N N FNMA INT STRIPS B1V7KEBTPIMZEU4LTD58 31359YQL4 1450000.00000000 PA USD 1050247.14000000 0.007338165906 Long DBT USGSE US N 2 2033-01-15 None 0.00000000 N N N N N N Ocean Trails CLO 549300TXL5AHG4X9CX68 67514RAN8 2500000.00000000 PA USD 2488224.25000000 0.017385434022 Long ABS-O CORP KY N 2 2025-08-13 Floating 3.70500000 N N N N N N Wells Fargo Commercial Mortgag 549300SGFUCMB43V8P22 95000CBE2 29708773.22880000 PA USD 1769249.54000000 0.012361896701 Long ABS-MBS CORP US N 2 2059-01-15 Variable 1.50000000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059GBH1 1020000.00000000 PA USD 257641.38000000 0.001800162189 Long DBT USGA US N 2 2065-03-15 None 0.00000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31358DDR2 79586000.00000000 PA USD 62274232.83000000 0.435115350309 Long DBT USGSE US N 2 2030-05-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LM4E0 1500000.00000000 PA USD 1565111.79000000 0.010935568915 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 3.48000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05367AAJ2 3246000.00000000 PA USD 3269384.93000000 0.022843469994 Long DBT CORP US N 2 2022-01-20 Fixed 2.87500000 N N N N N N CFCRE Commercial Mortgage Trus N/A 12531WBC5 39393326.16290000 PA USD 2052163.81000000 0.014338642717 Long ABS-MBS CORP US N 2 2048-01-10 Variable 1.02600000 N N N N N N SYNCHRONY BANK 549300UATVPGSLE43Z27 87166FAB9 44250000.00000000 PA USD 44282795.89000000 0.309407653385 Long DBT CORP US N 2 2020-03-30 Floating 2.58600000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBE9 30310000.00000000 PA USD 30352434.30000000 0.212075034617 Long DBT CORP US N 2 2020-09-28 Floating 2.41100000 N N N N N N Oaktree CLO Ltd 635400SBDDFQR1OHEJ54 67389XAF4 4500000.00000000 PA USD 4495894.65000000 0.031413197508 Long ABS-O CORP KY N 2 2027-10-20 Floating 2.83600000 N N N N N N STORE Master Funding LLC N/A 86213BAB3 4374375.00010000 PA USD 4602885.35000000 0.032160750610 Long ABS-O CORP US N 2 2044-04-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMV59 3600000.00000000 PA USD 3833725.18000000 0.026786563220 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 3.65000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -4335000.00000000 NC 1284.43000000 0.000008974421 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 4335000.00000000 JPY 42095.55000000 USD 2021-02-01 1284.43 N N N VMC Finance LLC 549300QK6J0UZ3WZJ014 91832DAA2 654060.99670000 PA USD 652594.20000000 0.004559731064 Long ABS-O CORP US N 2 2035-03-15 Floating 2.55700000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -5000000.00000000 NC 1469.77000000 0.000010269407 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5000000.00000000 JPY 47492.40000000 USD 2020-01-06 1469.77 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -97125000.00000000 NC -729931.08000000 -0.00510009040 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 97125000.00000000 ILS 27479134.25000000 USD 2020-01-31 -729931.08 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LM2Q5 2150000.00000000 PA USD 2327981.36000000 0.016265803349 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 3.55000000 N N N N N N TRANSCANADA PIPELINES 5BV01I6231JPDAPMGH09 893526DJ9 1200000.00000000 PA USD 1588768.57000000 0.011100860845 Long DBT CORP CA N 2 2040-06-01 Fixed 6.10000000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -4335000.00000000 NC 1218.44000000 0.000008513343 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 4335000.00000000 JPY 41820.42000000 USD 2020-11-02 1218.44 N N N Citigroup Commercial Mortgage N/A 17325GAJ5 12122862.28450000 PA USD 671513.22000000 0.004691919862 Long ABS-MBS CORP US N 2 2049-11-15 Variable 1.16900000 N N N N N N JAPAN (GOVERNMENT OF) N/A N/A 6393900000.00000000 PA 58896774.26000000 0.411516760618 Long DBT NUSS JP N 2 2020-06-01 Fixed 0.10000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828XB1 2500000.00000000 PA USD 2551562.50000000 0.017827983751 Long DBT UST US N 2 2025-05-15 Fixed 2.12500000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CU7 24500000.00000000 PA USD 24681295.10000000 0.172450303688 Long DBT CORP US N 2 2021-08-13 Fixed 2.60000000 N N N N N N FHLMC Multifamily Structured P N/A 3137FGR49 10150000.00000000 PA USD 11191984.79000000 0.078199347647 Long ABS-MBS USGSE US N 2 2028-06-25 Fixed 3.92000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46590RAG4 68961070.92290000 PA USD 5042047.32000000 0.035229212568 Long ABS-MBS CORP US N 2 2049-08-15 Variable 1.43000000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -5517757500.00000000 NC 982314.94000000 0.006863517859 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 5517757500.00000000 JPY 52200082.31000000 USD 2020-06-01 982314.94 N N N WAMU Mortgage Pass-Through Cer N/A 93363TAD4 1259804.74200000 PA USD 1207773.55000000 0.008438816303 Long ABS-MBS CORP US N 2 2046-09-25 Floating 3.16000000 N N N N N N Towd Point Mortgage Trust N/A 89175JAA8 13987320.13920000 PA USD 14071874.89000000 0.098321384206 Long ABS-MBS CORP US N 2 2057-10-25 Variable 2.75000000 N N N N N N Castlelake Aircraft Structured N/A 14856CAA7 30536145.63170000 PA USD 31040953.92000000 0.216885779640 Long ABS-O CORP US N 2 2043-06-15 Fixed 4.12500000 N N N N N N BRAZIL FEDERATIVE REPUBLIC OF (GOVERNMENT) N/A N/A 382700000.00000000 PA 94334035.56000000 0.659119913059 Long DBT NUSS BR N 2 2020-04-01 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 N/A 12650000.00000000 PA USD 12629579.99000000 0.088243947325 Long ABS-MBS USGSE US N 3 2040-01-01 Fixed 2.81000000 N N N N N N Americold LLC Trust N/A 03063NAA5 534881.89550000 PA USD 538496.89000000 0.003762523475 Long ABS-MBS CORP US N 2 2029-01-14 Fixed 3.84700000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AN8 7430000.00000000 PA USD 7448412.13000000 0.052042687736 Long DBT CORP US N 2 2020-06-01 Fixed 2.70000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 8700000.00000000 NC 97602.15000000 0.000681954506 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 6605132.14000000 USD 8700000.00000000 CAD 2020-01-16 97602.15 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -137500000.00000000 NC -494853.93000000 -0.00345758640 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 137500000.00000000 BRL 33663851.14000000 USD 2020-04-01 -494853.93 N N N Wachovia Asset Securitization N/A 92976YAA0 5475173.88730000 PA USD 5092907.65000000 0.035584578011 Long ABS-MBS CORP US N 2 2037-07-25 Floating 1.84800000 N N N N N N VULCAN MATERIALS CO 549300Q8LSNHAVWBNI21 929160AU3 895000.00000000 PA USD 895914.68000000 0.006259831909 Long DBT CORP US N 2 2020-06-15 Floating 2.49400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMDX8 2600000.00000000 PA USD 2743678.00000000 0.019170311055 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 3.12000000 N N N N N N Palmer Square Loan Funding Ltd 549300KJI7MJ3X7YQQ90 69700KAA1 22214995.24020000 PA USD 22222137.36000000 0.155267959838 Long ABS-O CORP KY N 2 2026-11-15 Floating 2.81000000 N N N N N N West CLO Ltd 2549008FQ6ZWGP8NJZ96 951680AJ6 6221199.71830000 PA USD 6215387.87000000 0.043427442578 Long ABS-O CORP KY N 2 2026-07-18 Floating 2.92300000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17307GWT1 11687000.00000000 PA USD 11687607.72000000 0.081662307125 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.52700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFTE6 433717.15100000 PA USD 461775.53000000 0.003226464821 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMCK7 4637411.65580000 PA USD 4913843.31000000 0.034333440269 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 3.23000000 N N N N N N Textainer Marine Containers Li N/A 88315FAE1 39775015.90000000 PA USD 39659063.77000000 0.277101244624 Long ABS-O CORP BM N 2 2042-06-20 Fixed 3.52000000 N N N N N N GSAA Home Equity Trust N/A 362334BR4 3613977.18830000 PA USD 1978531.44000000 0.013824167099 Long ABS-MBS CORP US N 2 2036-03-25 Floating 1.98200000 N N N N N N Deephaven Residential Mortgage N/A 24381FAA3 3845501.55490000 PA USD 3843141.96000000 0.026852359061 Long ABS-MBS CORP US N 2 2047-10-25 Variable 2.57700000 N N N N N N Verus Securitization Trust N/A 92537KAA2 37441948.98150000 PA USD 37423853.29000000 0.261483639287 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.64200000 N N N N N N Citibank N.A., New York E57ODZWZ7FF32TWEFA76 N/A -425000000.00000000 NC -504844.10000000 -0.00352738857 N/A DFE US N 2 Citibank N.A., New York E57ODZWZ7FF32TWEFA76 425000000.00000000 MXN 21610352.63000000 USD 2020-04-23 -504844.1 N N N Ocwen Master Advance Receivabl 549300THGK42AVJMPW70 67575NBR3 39100000.00000000 PA USD 39297517.56000000 0.274575090568 Long ABS-MBS CORP US N 2 2051-08-15 Fixed 2.41900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C4D3 1907836.26910000 PA USD 2002636.12000000 0.013992588544 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLQ81 1300000.00000000 PA USD 1359320.33000000 0.009497686518 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 3.08000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HV2K9 2635000.00000000 PA USD 2645896.59000000 0.018487104044 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 2.62000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -515050.00000000 NC -2337.64000000 -0.00001633328 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 515050.00000000 ILS 147253.91000000 USD 2020-01-31 -2337.64 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 762900000.00000000 NC 131655.25000000 0.000919886405 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 39566423.77000000 USD 762900000.00000000 MXN 2020-04-23 131655.25 N N N Legacy Mortgage Asset Trust N/A 52474LAA9 13830471.51890000 PA USD 13953654.00000000 0.097495364814 Long ABS-MBS CORP US N 2 2058-06-25 Variable 4.00000000 N N N N N N Freddie Mac N/A 3132XEAF8 4630941.34500000 PA USD 4903008.50000000 0.034257736532 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 3.55000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 N/A 6600000.00000000 PA USD 6616169.60000000 0.046227738542 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 2.79000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134A4KY9 123250000.00000000 PA USD 90494216.02000000 0.632290768028 Long DBT USGSE US N 2 2032-07-15 None 0.00000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A 816426000.00000000 NC 136914.67000000 0.000956634419 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 42695638.53000000 USD 816426000.00000000 MXN 2020-02-27 136914.67 N N N HARRIS CNTY-HOUSTON TX SPORTS N/A 413890EQ3 2850000.00000000 PA USD 1065444.00000000 0.007444347657 Long DBT MUN US N 2 2045-11-15 None 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 N/A 3500000.00000000 PA USD 3493663.57000000 0.024410523888 Long ABS-MBS USGSE US N 3 2040-02-01 Fixed 2.94000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -25710350.00000000 NC -157271.92000000 -0.00109887225 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 25710350.00000000 ILS 7617204.40000000 USD 2022-01-31 -157271.92 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HS7K1 24586000.00000000 PA USD 26444995.40000000 0.184773427378 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 3.60000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -1340350.00000000 NC -5347.93000000 -0.00003736644 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1340350.00000000 ILS 383944.43000000 USD 2020-01-31 -5347.93 N N N CAL Funding LTD N/A 12805PAE6 18824166.64350000 PA USD 18883199.23000000 0.131938515731 Long ABS-O CORP BM N 2 2043-02-25 Fixed 3.96000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -158041146.00000000 NC -4598.00000000 -0.00003212661 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 158041146.00000000 KRW 132307.36000000 USD 2020-02-05 -4598 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -401550.00000000 NC USD 0.00000000 0.000000 N/A DIR US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 iShares Core U.S. Aggregate ETF AGG Y iShares Core U.S. Aggregate ETF-Tenor Monthly 2020-01-23 0 USD 0 USD -45122173.5 USD 0 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 N/A 1053000.00000000 PA USD 1039940.04000000 0.007266149324 Long ABS-MBS USGSE US N 3 2027-05-01 Fixed 2.34000000 N N N N N N Copper River CLO Ltd 5493005HHHXVM8NBWY47 217563AC9 1500000.00000000 PA USD 201000.00000000 0.001404404059 Long ABS-O CORP KY Y 2 2021-01-20 None 0.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A -6670000.00000000 NC -117853.26000000 -0.00082345073 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 6670000.00000000 EUR 7368037.51000000 USD 2020-01-08 -117853.26 N N N Residential Funding Mtg Sec I N/A 74958FAD5 1338584.38000000 PA USD 1325241.64000000 0.009259575818 Long ABS-MBS CORP US N 2 2036-11-25 Fixed 6.00000000 N N N N N N ISRAEL (STATE OF) N/A N/A 278300000.00000000 PA 80879551.16000000 0.565112288607 Long DBT NUSS IL N 2 2020-01-31 Fixed 5.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810EK0 9900000.00000000 PA USD 10930992.14000000 0.076375769850 Long DBT UST US N 2 2021-08-15 Fixed 8.12500000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 3921300000.00000000 NC USD 6862275.00000000 0.047947297860 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Purchased N/A 2Y-10 CMS CAP 3921300000.00 0.395 USD 2022-07-29 XXXX -2548845 N N N Soundview Home Equity Loan Tru N/A 83612CAA7 72419545.39810000 PA USD 70545791.05000000 0.492909429640 Long ABS-MBS CORP US N 2 2036-07-25 Floating 1.93200000 N N N N N N FREMF Mortgage Trust N/A 30291JAQ6 767320283.67300000 PA USD 2449593.27000000 0.017115516086 Long ABS-MBS CORP US N 2 2046-05-25 Fixed 0.12500000 N N N N N N QUALCOMM INC H1J8DDZKZP6H7RWC0H53 747525AD5 2600000.00000000 PA USD 2602857.89000000 0.018186388995 Long DBT CORP US N 2 2020-05-20 Fixed 2.25000000 N N N N N N Homeward Opportunities Fund I N/A 43800KAA5 30658035.64330000 PA USD 30573775.10000000 0.213621561573 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.67500000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 1320000.00000000 PA USD 1488446.07000000 0.010399899022 Long DBT CORP GB N 2 2029-05-16 Variable 4.97200000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -8669000.00000000 NC 3037.27000000 0.000021221663 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 8669000.00000000 JPY 83798.94000000 USD 2020-08-03 3037.27 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810EG9 6500000.00000000 PA USD 6777265.63000000 0.047353330177 Long DBT UST US N 2 2020-08-15 Fixed 8.75000000 N N N N N N SAN DIEGO CA UNIF SCH DIST N/A 797355M92 7150000.00000000 PA USD 4302798.50000000 0.030064018319 Long DBT MUN US N 2 2039-07-01 None 0.00000000 N N N N N N AXIS SPECIALTY FINANCE N/A 05463HAA9 32000000.00000000 PA USD 32503852.48000000 0.227107176042 Long DBT CORP US N 2 2020-06-01 Fixed 5.87500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -10708900000.00000000 NC 1290337.98000000 0.009015700983 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 10708900000.00000000 JPY 99883410.75000000 USD 2020-01-10 1290337.98 N N N FRANCE (REPUBLIC OF) N/A N/A 9150000.00000000 PA 10266257.60000000 0.071731213199 Long DBT NUSS FR N 2 2020-01-08 None 0.00000000 N N N N N N ATLAS MARA LTD N/A N/A 6600000.00000000 PA USD 5841000.00000000 0.040811562754 Long DBT CORP VG Y 2 2020-12-31 Fixed 8.00000000 N N N N N N FNMA INT STRIPS B1V7KEBTPIMZEU4LTD58 31359YQK6 3963000.00000000 PA USD 2913370.72000000 0.020355968492 Long DBT USGSE US N 2 2032-07-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LM4T7 2500000.00000000 PA USD 2702715.08000000 0.018884099656 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 3.53000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LPA97 3400000.00000000 PA USD 3743365.76000000 0.026155214283 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.24000000 N N N N N N MARATHON PETROLEUM CORP 3BNYRYQHD39K4LCKQF12 56585AAD4 2200000.00000000 PA USD 2277869.77000000 0.015915669417 Long DBT CORP US N 2 2021-03-01 Fixed 5.12500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -19790000.00000000 OU Swap USD -529949.48000000 -0.00370280199 N/A DCR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MARKIT CDX.NA.IG.31 12/23 SP9U1R3Y Y CDX IG31 (7-15%) 1% 12/20/2023 - Tenor Quarterly 2023-12-20 60338.03 USD 0 USD -19790000 USD -590287.51 N N N MIAMI-DADE CNTY FL SPL OBLIG 549300QG0NBD9HULR263 59333NNL3 4100000.00000000 PA USD 2081980.00000000 0.014546970968 Long DBT MUN US N 2 2041-10-01 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HVZS6 1700000.00000000 PA USD 1698831.76000000 0.011869881695 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 2.57000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LLKR5 2150000.00000000 PA USD 2270630.74000000 0.015865089700 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 3.51000000 N N N N N N First NLC Trust N/A 32113JCG8 21761483.41760000 PA USD 21803631.06000000 0.152343820799 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.18200000 N N N N N N Freddie Mac N/A 3132WWAA0 1918900.02000000 PA USD 1977159.28000000 0.013814579700 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.26000000 N N N N N N CAPMARK MILITARY HOUSING TRUST N/A 14066AAA7 12180394.92850000 PA USD 13853773.15000000 0.096797488838 Long ABS-MBS CORP US N 2 2051-07-10 Fixed 6.14700000 N N N N N N TENN VAL AUTH CPN STRIP 549300HE1ISW43LNKM54 88059GBD0 1020000.00000000 PA USD 275197.67000000 0.001922829477 Long DBT USGA US N 2 2063-03-15 None 0.00000000 N N N N N N Catamaran CLO Ltd 549300YV4DIC30VMKL37 14889HAK5 1750000.00000000 PA USD 1746402.00000000 0.012202258999 Long ABS-O CORP KY N 2 2026-10-18 Floating 4.05300000 N N N N N N CHARLOTTE NC HSG AUTH MF HSG R N/A 161038CF9 975000.00000000 PA USD 975916.50000000 0.006818811416 Long DBT MUN US N 2 2038-01-01 Fixed 3.02000000 N N N N N N CD Commercial Mortgage Trust N/A 12514MBD6 35036826.83890000 PA USD 2497996.12000000 0.017453710907 Long ABS-MBS CORP US N 2 2049-08-10 Variable 1.40900000 N N N N N N NEWPORT MESA CA UNIF SCH DIST N/A 652113XE6 2000000.00000000 PA USD 965120.00000000 0.006743375354 Long DBT MUN US N 2 2041-08-01 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LKJK4 3728769.00000000 PA USD 3883344.26000000 0.027133255943 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.42000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134A4CN2 2906000.00000000 PA USD 2234650.74000000 0.015613694386 Long DBT USGSE US N 2 2030-09-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTEC9 4000000.00000000 PA USD 4347286.04000000 0.030374856537 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 3.76000000 N N N N N N PENNSYLVANIA ST ECON DEV FING N/A 70870ECX5 570000.00000000 PA USD 347443.50000000 0.002427617223 Long DBT MUN US N 2 2037-01-01 None 0.00000000 N N N N N N COCA-COLA EUROPEAN PARTN 549300LTH67W4GWMRF57 19123MAA1 9200000.00000000 PA USD 9283477.12000000 0.064864442572 Long DBT CORP GB N 2 2020-09-15 Fixed 3.50000000 N N N N N N JAPAN (GOVERNMENT OF) N/A N/A 3468000000.00000000 PA 32020458.49000000 0.223729661206 Long DBT NUSS JP N 2 2021-06-01 Fixed 0.10000000 N N N N N N Fortress Credit Opportunities 254900FRBH7KBHJT7O18 34961WAC9 44300000.00000000 PA USD 43398689.92000000 0.303230329935 Long ABS-O CORP KY N 2 2031-04-15 Floating 3.30100000 N N N N N N FLORIDA GAS TRANSMISSION 549300Q0UQF87NXNOC32 340711AT7 10500000.00000000 PA USD 10676523.59000000 0.074597776493 Long DBT CORP US N 2 2020-07-15 Fixed 5.45000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 56640487.26000000 PA USD 56640487.26000000 0.395751891847 Long RA CORP FR N 2 Repurchase Y 2.10000000 2020-03-16 214587500.00000000 USD 200619894.25000000 USD PLCMO N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -5000000.00000000 NC 1457.40000000 0.000010182977 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5000000.00000000 JPY 48459.00000000 USD 2021-01-04 1457.4 N N N Station Place Securitization T N/A 85776GAA5 74050000.00000000 PA USD 74050000.00000000 0.517393634994 Long ABS-O CORP US N 3 2021-07-24 Floating 2.38000000 N N N N N N Crown Point CLO Ltd 549300WLF3VYVWNLRP29 22845TAU3 8280000.00000000 PA USD 8255779.34000000 0.057683830957 Long ABS-O CORP KY N 2 2027-12-31 Floating 3.45100000 N N N N N N Shackleton CLO LTD 549300VJPG28RMYCYW83 81882EAL6 4900000.00000000 PA USD 4892281.52000000 0.034182786212 Long ABS-O CORP KY N 2 2027-10-20 Floating 2.88600000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BT2 2890000.00000000 PA USD 2936186.16000000 0.020515381908 Long DBT CORP US N 2 2020-05-01 Fixed 6.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMDQ3 16500000.00000000 PA USD 17504834.66000000 0.122307765492 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3.23000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134A4NS9 7750000.00000000 PA USD 5904581.94000000 0.041255815166 Long DBT USGSE US N 2 2031-01-15 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LMNC3 2969044.88700000 PA USD 3137741.42000000 0.021923665617 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 3.33000000 N N N N N N MEXICO (UNITED MEXICAN STATES) (GOVERNMENT) N/A N/A 2433773000.00000000 PA 128672791.23000000 0.899047713427 Long DBT NUSS MX N 2 2020-01-02 None 0.00000000 N N N N N N Nationstar Home Equity Loan Tr N/A 63860LAA8 17372020.16120000 PA USD 17168296.74000000 0.119956346481 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.01200000 N N N N N N ASSURANT INC H3F39CAXWQRVWURFXL38 04621XAL2 4608000.00000000 PA USD 4608534.07000000 0.032200218696 Long DBT CORP US N 2 2021-03-26 Floating 3.19700000 N N N N N N FNMA INT STRIPS B1V7KEBTPIMZEU4LTD58 31359YQQ3 2250000.00000000 PA USD 1522408.23000000 0.010637195517 Long DBT USGSE US N 2 2035-01-15 None 0.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -4335000.00000000 NC 1252.99000000 0.000008754747 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 4335000.00000000 JPY 41218.98000000 USD 2020-02-03 1252.99 N N N MONROE CAPITAL BSL CLO LTD 5493006OIQNDV6I29R71 610332AW8 3000000.00000000 PA USD 2993695.80000000 0.020917206644 Long ABS-O CORP KY N 2 2027-05-22 Floating 3.64900000 N N N N N N BofA Securities, Inc. 549300HN4UKV1E2R3U73 N/A 504500000.00000000 NC USD -1133616.55000000 -0.00792067505 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 ICE LIBOR USD 3 Month US0003M Y 2021-08-14 1260.52 USD 0 USD 504500000 USD -1134877.07 N N N WISEBURN CA SCH DIST N/A 977266HV0 900000.00000000 PA USD 629820.00000000 0.004400605795 Long DBT MUN US N 2 2034-08-01 None 0.00000000 N N N N N N 2020-01-30 Guggenheim Funds Trust John Sullivan John Sullivan CFO XXXX