NPORT-P false 0000930709 XXXXXXXX S000010172 C000028201 C000030381 Pioneer Variable Contracts Trust /MA/ 811-08786 0000930709 549300VNR8Z3H6PB2X77 60 State Street NULL Boston 02109 617-422-4947 Pioneer VCT Bond Fund S000010172 Q2YV33M9S0TBWTZRCO78 2019-12-31 2019-12-31 N 193003517.95 3747722.13 189255795.82 0 0 0 0 0 0 0 0 0 0 2877.78 0 0 1678929.52 IDR INR SGD VND HUF USD UYU DOP TRY HKD CZK JPY KRW MYR AUD CAD COP BRL CHF TWD PLN SEK NOK AED ARS RON EGP THB ZAR GBP NZD MXN EUR RUB LKR DKK N LORENZ RE 2019V/R 6/30/22 N/A N/A 25723.00000000 NS USD 22427.88000000 0.011850564418 Long DBT CORP BM N 3 2022-06-30 Variable 0.00000000 N N N N N N IBERDROLA INTL 6.75% 07/15/36 N/A 29266MAF6 135000.00000000 NS USD 189089.65000000 0.099912210973 Long DBT CORP NL N 2 2036-07-15 Fixed 6.75000000 N N N N N N GNMA P#402108 6.5% 07/15/32 N/A 36205VU97 4735.72000000 NS USD 5224.08000000 0.002760327617 Long ABS-MBS USGSE US N 2 2032-07-15 Fixed 6.50000000 N N N N N N INTESA SANPAOLO SPA V/R /PERP/ 2W8N8UU78PMDQKZENC08 46115HAU1 200000.00000000 NS USD 216750.00000000 0.114527536163 Long DBT CORP IT Y 2 2168-03-17 Variable 7.70000000 N N N N N N TPMT 2017-5 XA V/R 02/25/57 N/A 89169EAP4 124661.35000000 NS USD 124129.72000000 0.065588332162 Long ABS-CBDO CORP US Y 2 2057-02-25 Variable 3.50000000 N N N N N N T/L ASURION LLC 0% 11/03/24 N/A N/A 132756.30000000 NS USD 133641.39000000 0.070614159751 Long LON CORP US N 2 2024-11-03 Fixed 0.00000000 N N N N N N MASSMUTUAL GLOB 2.75% 06/22/24 N/A 57629WCE8 500000.00000000 NS USD 512998.84000000 0.271061098962 Long DBT CORP US Y 2 2024-06-22 Fixed 2.75000000 N N N N N N INTESA SANPAOLO 4.7% 09/23/49 2W8N8UU78PMDQKZENC08 46115HBN6 224000.00000000 NS USD 228387.12000000 0.120676420508 Long DBT CORP IT Y 2 2049-09-23 Fixed 4.70000000 N N N N N N DRMT 2017-3A A1 V/R 10/25/47 N/A 24381FAA3 101005.26000000 NS USD 100943.28000000 0.053336955712 Long ABS-CBDO CORP US Y 2 2047-10-25 Variable 2.57700000 N N N N N N MORGN 2019-1A D V/R 01/15/33 N/A 33830PAL5 250000.00000000 NS USD 250467.75000000 0.132343503095 Long ABS-CBDO CORP KY Y 2 2033-01-15 Variable 0.00000000 N N N N N N INDIANA MICHIGA 4.55% 03/15/46 N/A 454889AQ9 200000.00000000 NS USD 233591.54000000 0.123426360068 Long DBT CORP US N 2 2046-03-15 Fixed 4.55000000 N N N N N N BOSTON PROPERTIE 3.4% 06/21/29 N/A 10112RBB9 190000.00000000 NS USD 198538.28000000 0.104904729147 Long DBT CORP US N 2 2029-06-21 Fixed 3.40000000 N N N N N N AIB GROUP PLC V/R 04/10/25 N/A 00135TAB0 535000.00000000 NS USD 566723.56000000 0.299448456806 Long DBT CORP IE Y 2 2025-04-10 Variable 4.26300000 N N N N N N UMBS P#BD5053 4.5% 02/01/47 N/A 3140FCTK4 76657.84000000 NS USD 81058.05000000 0.042829890439 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4.50000000 N N N N N N FGLMC P#G08551 4% 10/01/43 N/A 3128MJTH3 29572.04000000 NS USD 31542.51000000 0.016666601867 Long ABS-MBS USGA US N 2 2043-10-01 Fixed 4.00000000 N N N N N N FISERV INC 3.8% 10/01/23 GI7UBEJLXYLGR2C7GV83 337738AQ1 194000.00000000 NS USD 204931.31000000 0.108282712881 Long DBT CORP US N 2 2023-10-01 Fixed 3.80000000 N N N N N N CAMERON LNG LL 3.302% 01/15/35 N/A 133434AB6 93000.00000000 NS USD 93929.02000000 0.049630723113 Long DBT CORP US Y 2 2035-01-15 Fixed 3.30200000 N N N N N N BAYER US FINANC 4.25% 12/15/25 N/A 07274NAJ2 200000.00000000 NS USD 215850.02000000 0.114051999868 Long DBT CORP US Y 2 2025-12-15 Fixed 4.25000000 N N N N N N EMIR 2019-1 M1B V/R 04/25/29 N/A 269822AB8 380000.00000000 NS USD 380533.37000000 0.201068278174 Long ABS-CBDO CORP US Y 2 2029-04-25 Variable 3.59200000 N N N N N N CFCRE 2016-C3 3.597% 11/10/25 N/A 12531WBA9 140000.00000000 NS USD 147896.10000000 0.078146140444 Long ABS-CBDO CORP US N 2 2048-01-10 Fixed 3.59700000 N N N N N N UMBS P#AB6214 3% 09/01/42 N/A 31417C3Y9 79163.35000000 NS USD 81553.21000000 0.043091525755 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.00000000 N N N N N N HMIR 2019-1 M1 V/R 05/25/29 N/A 43731AAA1 195166.38000000 NS USD 195294.31000000 0.103190662750 Long ABS-CBDO CORP BM Y 2 2029-05-25 Variable 3.44200000 N N N N N N FGLMC P#G08658 3% 08/01/45 N/A 3128MJWU0 28636.76000000 NS USD 29346.32000000 0.015506167128 Long ABS-MBS USGA US N 2 2045-08-01 Fixed 3.00000000 N N N N N N DOMINION ENERGY S/UP 08/15/24 ILUL7B6Z54MRYCF6H308 25746UDB2 133000.00000000 NS USD 137012.21000000 0.072395251836 Long DBT CORP US N 2 2024-08-15 Variable 3.07100000 N N N N N N VERISK ANALYTICS 5.5% 06/15/45 549300I1YSWNIRKBWP67 92345YAE6 222000.00000000 NS USD 276305.97000000 0.145996041390 Long DBT CORP US N 2 2045-06-15 Fixed 5.50000000 N N N N N N GNMA P#AB2761 3.5% 08/15/42 N/A 36178NB65 81698.48000000 NS USD 85949.73000000 0.045414582749 Long ABS-MBS USGSE US N 2 2042-08-15 Fixed 3.50000000 N N N N N N FGLMC P#Q42460 4% 06/01/46 N/A 3132WFWW5 91480.49000000 NS USD 96572.25000000 0.051027367263 Long ABS-MBS USGA US N 2 2046-06-01 Fixed 4.00000000 N N N N N N UMBS P#AL9717 4% 01/01/47 N/A 3138ERYP9 499061.89000000 NS USD 524473.42000000 0.277124099543 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 4.00000000 N N N N N N FGLMC P#G01381 7% 04/01/32 N/A 31283HRA5 1972.15000000 NS USD 2253.20000000 0.001190557990 Long ABS-MBS USGA US N 2 2032-04-01 Fixed 7.00000000 N N N N N N BP CAPITAL MAR 3.062% 03/17/22 N/A 05565QCZ9 225000.00000000 NS USD 230736.33000000 0.121917708781 Long DBT CORP GB N 2 2022-03-17 Fixed 3.06200000 N N N N N N COMM 2015-DC1 B V/R 01/10/25 N/A 12629NAJ4 175000.00000000 NS USD 180435.05000000 0.095339246662 Long ABS-CBDO CORP US N 2 2048-02-10 Variable 4.03500000 N N N N N N FGLMC P#A90390 5% 12/01/39 N/A 312938NF6 18206.71000000 NS USD 20090.91000000 0.010615743582 Long ABS-MBS USGA US N 2 2039-12-01 Fixed 5.00000000 N N N N N N CHURCH & DWIGHT 2.45% 08/01/22 POOXSI30AWAQGYJZC921 171340AK8 295000.00000000 NS USD 297518.11000000 0.157204226539 Long DBT CORP US N 2 2022-08-01 Fixed 2.45000000 N N N N N N ANTHEM INC 4.101% 03/01/28 8MYN82XMYQH89CTMTH67 036752AG8 41000.00000000 NS USD 44550.57000000 0.023539870896 Long DBT CORP US N 2 2028-03-01 Fixed 4.10100000 N N N N N N GNMA P#481605 7% 07/15/29 N/A 36209UAE6 643.15000000 NS USD 662.88000000 0.000350256116 Long ABS-MBS USGSE US N 2 2029-07-15 Fixed 7.00000000 N N N N N N UMBS P#AB8559 3% 02/01/43 N/A 31417FQM3 52681.63000000 NS USD 54299.46000000 0.028691042070 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.00000000 N N N N N N CHASE 2019-1 A3 V/R 03/25/50 N/A 16159WAC8 394386.48000000 NS USD 400487.24000000 0.211611611821 Long ABS-CBDO CORP US Y 2 2050-03-25 Variable 3.50000000 N N N N N N ICONX 2013-1A 4.352% 01/25/20 N/A 45112AAC1 20001.73000000 NS USD 14115.27000000 0.007458302631 Long ABS-CBDO CORP US Y 2 2043-01-25 Fixed 4.35200000 N N N N N N PRES & FELLOWS O 2.3% 10/01/23 6S3X7J22E861RNTJSA74 740816AJ2 50000.00000000 NS USD 50474.05000000 0.026669751265 Long DBT CORP US N 2 2023-10-01 Fixed 2.30000000 N N N N N N GNMA II P#MA6092 4.5% 08/20/49 N/A 36179UXV9 1104788.86000000 NS USD 1161718.39000000 0.613835040013 Long ABS-MBS USGSE US N 2 2049-08-20 Fixed 4.50000000 N N N N N N UMBS P#AZ7667 3.5% 09/01/45 N/A 3140E0QV0 48651.43000000 NS USD 51880.14000000 0.027412708696 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N BOOKING HOLDING 3.65% 03/15/25 FXM8FAOHMYDIPD38UZ17 741503AW6 300000.00000000 NS USD 320326.43000000 0.169255809901 Long DBT CORP US N 2 2025-03-15 Fixed 3.65000000 N N N N N N UDR INC 2.95% 09/01/26 P3CH2EG5X6Z1XWU1OO74 90265EAL4 75000.00000000 NS USD 76364.95000000 0.040350124903 Long DBT CORP US N 2 2026-09-01 Fixed 2.95000000 N N N N N N FGLMC P#Q15961 3% 02/01/43 N/A 3132J7B76 52180.14000000 NS USD 53879.20000000 0.028468982821 Long ABS-MBS USGA US N 2 2043-02-01 Fixed 3.00000000 N N N N N N UMBS P#BH7765 3.5% 08/01/47 N/A 3140GWTX1 42204.80000000 NS USD 43819.78000000 0.023153732127 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 3.50000000 N N N N N N UMBS P#AY9643 2.5% 04/01/45 N/A 3138YPWD0 13994.42000000 NS USD 13927.03000000 0.007358839363 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N T/L KUEHG CORP 0% 02/21/25 N/A 48244EAJ3 217381.19000000 NS USD 218196.37000000 0.115291776959 Long LON CORP US N 2 2025-02-21 Fixed 0.00000000 N N N N N N UMBS P#981756 6% 07/01/38 N/A 31415BE54 1747.32000000 NS USD 1939.37000000 0.001024734799 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 6.00000000 N N N N N N GNMA P#247740 7% 07/15/26 N/A 36219FEM5 15059.49000000 NS USD 15547.88000000 0.008215272844 Long ABS-MBS USGSE US N 2 2026-07-15 Fixed 7.00000000 N N N N N N COMM 2014-UBS 3.546% 04/10/24 N/A 12591YBB0 237449.22000000 NS USD 248779.80000000 0.131451614954 Long ABS-CBDO CORP US N 2 2047-06-10 Fixed 3.54600000 N N N N N N EMLT 2003-1 IF1 S/UP 12/25/32 N/A 29445FAA6 27203.57000000 NS USD 27789.97000000 0.014683814505 Long ABS-CBDO CORP US N 2 2032-12-25 Variable 4.01000000 N N N N N N UMBS P#AY5580 3.5% 06/01/45 N/A 3138YKFW8 175741.99000000 NS USD 183976.67000000 0.097210586974 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.50000000 N N N N N N VALERO ENERGY 6.625% 06/15/37 549300XTO5VR8SKV1V74 91913YAL4 312000.00000000 NS USD 412829.99000000 0.218133340757 Long DBT CORP US N 2 2037-06-15 Fixed 6.62500000 N N N N N N FINANCE AMER 2.0% 09/25/69 N/A 31739LAA4 398461.48000000 NS USD 400459.64000000 0.211597028384 Long ABS-CBDO CORP US Y 2 2069-09-25 Fixed 2.00000000 N N N N N N SOTHEBY'S 7.375% 10/15/27 549300P5BAAMQQ7VL735 088830AA2 200000.00000000 NS USD 202500.00000000 0.106998044166 Long DBT CORP US Y 2 2027-10-15 Fixed 7.37500000 N N N N N N FGLMC P#Q38361 4% 01/01/46 N/A 3132QVJF9 47596.28000000 NS USD 50438.39000000 0.026650909041 Long ABS-MBS USGA US N 2 2046-01-01 Fixed 4.00000000 N N N N N N SEMT 2013-7 A1 V/R 06/25/43 N/A 81745CAA1 84338.95000000 NS USD 83004.84000000 0.043858545858 Long ABS-CBDO CORP US N 2 2043-06-25 Variable 2.50000000 N N N N N N UMBS P#253886 6.5% 07/01/21 N/A 31371J6X7 357.06000000 NS USD 396.32000000 0.000209409703 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 6.50000000 N N N N N N UMBS P#AZ2086 3% 10/01/30 N/A 3138YTJ88 67526.73000000 NS USD 69653.66000000 0.036803977229 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 3.00000000 N N N N N N SALESFORCE.COM I 3.7% 04/11/28 RCGZFPDMRW58VJ54VR07 79466LAF1 190000.00000000 NS USD 208445.41000000 0.110139512027 Long DBT CORP US N 2 2028-04-11 Fixed 3.70000000 N N N N N N BALTA 2005-7 11A V/R 08/25/35 N/A 07386HVG3 219804.51000000 NS USD 221731.07000000 0.117159460844 Long ABS-CBDO CORP US N 2 2035-08-25 Variable 2.33200000 N N N N N N SEMT 2013-6 A2 V/R 05/25/43 N/A 81745BAB1 373522.94000000 NS USD 376207.82000000 0.198782720692 Long ABS-CBDO CORP US N 2 2043-05-25 Variable 3.00000000 N N N N N N PROG 2019-SFR 4.142% 05/17/24 N/A 74333NAJ1 300000.00000000 NS USD 304138.62000000 0.160702407385 Long ABS-CBDO CORP US Y 2 2036-05-17 Fixed 4.14200000 N N N N N N FNMA P#829096 5% 10/1/20__ N/A 31407FC99 3173.91000000 NS USD 3278.89000000 0.001732517615 Long ABS-MBS USGSE US N 2 2020-10-01 Fixed 5.00000000 N N N N N N UMBS P#BK5202 4% 08/01/48 N/A 3140HJX89 222223.18000000 NS USD 232454.27000000 0.122825443201 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N FRESB 2018-SB52 V/R 06/25/25 N/A 30297CAG7 179475.39000000 NS USD 186642.00000000 0.098618908441 Long ABS-CBDO CORP US N 2 2025-06-25 Variable 3.39000000 N N N N N N FGLMC P#Q08072 3.5% 05/01/42 N/A 3132GTJR9 50425.36000000 NS USD 53185.78000000 0.028102589814 Long ABS-MBS USGA US N 2 2042-05-01 Fixed 3.50000000 N N N N N N CNOOC FINANCE 2 4.25% 04/30/24 N/A 12591DAC5 200000.00000000 NS USD 213690.66000000 0.112911025564 Long DBT CORP CA N 2 2024-04-30 Fixed 4.25000000 N N N N N N FGLMC P#Q45099 3.5% 12/01/46 N/A 3132WJUZ2 313419.72000000 NS USD 331797.98000000 0.175317209474 Long ABS-MBS USGA US N 2 2046-12-01 Fixed 3.50000000 N N N N N N JPMMT 2019-INV3 V/R 06/01/42 N/A 46591LAC5 500000.00000000 NS USD 509609.40000000 0.269270168341 Long ABS-CBDO CORP US Y 2 2050-05-25 Variable 3.50000000 N N N N N N SOCIETE GENERALE V/R /PERP/ O2RNE8IBXP4R0TD8PU41 83368JKG4 400000.00000000 NS USD 424000.00000000 0.224035410996 Long DBT CORP FR Y 2 2168-03-13 Variable 7.37500000 N N N N N N TPMT 2018-3 M2 V/R 05/25/58 N/A 89175MAF0 350000.00000000 NS USD 355972.68000000 0.188090768083 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 3.87500000 N N N N N N TEACHERS INSUR 6.85% 12/16/39 N/A 878091BC0 26000.00000000 NS USD 37850.25000000 0.019999519611 Long DBT CORP US Y 2 2039-12-16 Fixed 6.85000000 N N N N N N CON EDISON CO 4.625% 12/01/54 N/A 209111FF5 300000.00000000 NS USD 364571.90000000 0.192634470411 Long DBT CORP US N 2 2054-12-01 Fixed 4.62500000 N N N N N N CSMC 2013-IVR3 B V/R 02/25/28 N/A 12646XAZ5 229527.28000000 NS USD 223737.22000000 0.118219481221 Long ABS-CBDO CORP US Y 2 2043-05-25 Variable 3.44596000 N N N N N N PMTLT 2013-J1 A1 V/R 05/25/39 N/A 693456AY1 255391.39000000 NS USD 261257.47000000 0.138044633649 Long ABS-CBDO CORP US Y 2 2043-09-25 Variable 3.50000000 N N N N N N GNMA P#780770 6% 04/15/28 N/A 36225A2B5 8948.45000000 NS USD 10071.03000000 0.005321385248 Long ABS-MBS USGSE US N 2 2028-04-15 Fixed 6.00000000 N N N N N N CENTENE CORP 4.625% 12/15/29 549300Z7JJ4TQSQGT333 15135BAS0 120000.00000000 NS USD 126162.00000000 0.066662159250 Long DBT CORP US Y 2 2029-12-15 Fixed 4.62500000 N N N N N N NHEL 2005-3 M1 V/R 01/25/36 N/A 66987XGX7 75548.56000000 NS USD 75482.00000000 0.039883587011 Long ABS-CBDO CORP US N 2 2036-01-25 Variable 2.46700000 N N N N N N FGLMC P#C01160 6.5% 04/01/31 N/A 31292HJD7 1125.39000000 NS USD 1258.67000000 0.000665062855 Long ABS-MBS USGA US N 2 2031-04-01 Fixed 6.50000000 N N N N N N RPIT 2019-1 A V/R 10/25/24 N/A 74968RAA3 237616.24000000 NS USD 235231.90000000 0.124293102349 Long ABS-CBDO CORP US Y 2 2063-10-25 Variable 2.75000000 N N N N N N IHSFR 2018-SFR1 V/R 03/17/20 N/A 46185JAE8 100000.00000000 NS USD 99755.72000000 0.052709466343 Long ABS-CBDO CORP US Y 2 2037-03-17 Variable 2.98738000 N N N N N N LLOYDS BANKING 4.65% 03/24/26 549300PPXHEU2JF0AM85 53944YAB9 400000.00000000 NS USD 435119.79000000 0.229910945720 Long DBT CORP GB N 2 2026-03-24 Fixed 4.65000000 N N N N N N FGLMC P#Q40416 4% 05/01/46 N/A 3132WDPA6 18174.68000000 NS USD 19223.47000000 0.010157400948 Long ABS-MBS USGA US N 2 2046-05-01 Fixed 4.00000000 N N N N N N SEMT 2017-CH2 A1 V/R 12/25/47 N/A 81746JAA5 68567.13000000 NS USD 70848.30000000 0.037435207568 Long ABS-CBDO CORP US Y 2 2047-12-25 Variable 4.00000000 N N N N N N WRG 2017-1 A 4.458% 10/15/22 N/A 92940VAA9 93345.27000000 NS USD 93345.27000000 0.049322278134 Long ABS-CBDO CORP US Y 2 2026-03-15 Fixed 4.45800000 N N N N N N FGLMC P#Q42941 3% 09/01/46 N/A 3132WGHT7 99562.93000000 NS USD 102033.88000000 0.053913212833 Long ABS-MBS USGA US N 2 2046-09-01 Fixed 3.00000000 N N N N N N T/L GOODYEAR TIRE 0% 3/03/25 N/A 38254BAZ1 68333.33000000 NS USD 68504.16000000 0.036196598208 Long LON CORP US N 2 2025-03-03 Fixed 0.00000000 N N N N N N FNMA P#493976 6.5% 4/1/29_ N/A 31382VXD1 869.84000000 NS USD 965.47000000 0.000510140255 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 6.50000000 N N N N N N AXIS 2018-2A C 4.27% 01/20/23 N/A 03237JAD9 100000.00000000 NS USD 103231.50000000 0.054546017760 Long ABS-CBDO CORP US Y 2 2023-01-20 Fixed 4.27000000 N N N N N N CENOVUS ENERGY 6.75% 11/15/39 549300EIRQ0Z2B9C1W06 15135UAF6 227000.00000000 NS USD 289213.51000000 0.152816197119 Long DBT CORP CA N 2 2039-11-15 Fixed 6.75000000 N N N N N N APACHE CORP 4.25% 01/15/30 72ZZ1XRHOOU9P9X16K08 037411BF1 50000.00000000 NS USD 51860.95000000 0.027402568980 Long DBT CORP US N 2 2030-01-15 Fixed 4.25000000 N N N N N N NATIONWIDE FINAN 3.9% 11/30/49 N/A 638612AM3 200000.00000000 NS USD 208439.13000000 0.110136193767 Long DBT CORP US Y 2 2049-11-30 Fixed 3.90000000 N N N N N N UMBS P#AB5669 3.5% 07/01/42 N/A 31417CJP1 63549.10000000 NS USD 66975.64000000 0.035388950552 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3.50000000 N N N N N N UMBS P#BH4634 4% 06/01/47 N/A 3140GTEG1 246073.38000000 NS USD 258726.57000000 0.136707343032 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N TPMT 2015-6 B1 V/R 09/25/29 N/A 89172RAE5 300000.00000000 NS USD 319355.01000000 0.168742525752 Long ABS-CBDO CORP US Y 2 2055-04-25 Variable 4.02212000 N N N N N N AVID 2018-1 B 3.85% 04/15/21 N/A 05367MAB3 100000.00000000 NS USD 100799.67000000 0.053261074284 Long ABS-CBDO CORP US Y 2 2024-07-15 Fixed 3.85000000 N N N N N N TRUIST BANK V/R 01/29/21 N/A 86787EAU1 495000.00000000 NS USD 496082.71000000 0.262122862790 Long DBT CORP US N 2 2021-01-29 Variable 2.59000000 N N N N N N MSC 2018-MP A 4.418% 07/11/28 N/A 61691DAA5 250000.00000000 NS USD 279834.30000000 0.147860359460 Long ABS-CBDO CORP US Y 2 2040-07-11 Fixed 4.41800000 N N N N N N UMBS P#BC1852 3.5% 05/01/46 N/A 3140EWBW4 53474.74000000 NS USD 56576.34000000 0.029894112227 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.50000000 N N N N N N T/L SINCLAIR TEL 0% 01/03/24 N/A N/A 117873.40000000 NS USD 118117.99000000 0.062411821782 Long LON CORP US N 2 2024-01-03 Fixed 0.00000000 N N N N N N TRFIG 2017-1A A1 V/R 06/15/20 N/A 892725AE2 200000.00000000 NS USD 200095.80000000 0.105727699980 Long ABS-CBDO CORP IE Y 2 2020-12-15 Variable 2.58975000 N N N N N N NFAS 2019-1 A 4.172% 08/15/22 N/A 62910GAA1 250000.00000000 NS USD 251644.98000000 0.132965534244 Long ABS-CBDO CORP US Y 2 2024-08-15 Fixed 4.17200000 N N N N N N SBA TOWER TRUS 2.877% 07/09/21 N/A 78403DAK6 50000.00000000 NS USD 50166.70000000 0.026507352011 Long DBT CORP US Y 2 2021-07-09 Fixed 2.87700000 N N N N N N UMBS P#BE5591 3.5% 01/01/47 N/A 3140FRF91 182965.43000000 NS USD 193571.28000000 0.102280238848 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N FGLMC P#Q48581 3.5% 06/01/47 N/A 3132WNRB0 63467.48000000 NS USD 65926.31000000 0.034834499897 Long ABS-MBS USGA US N 2 2047-06-01 Fixed 3.50000000 N N N N N N T/L KASIMA LLC 0% 5/17/21 N/A 48578PAF2 0.02000000 NS USD 0.02000000 0.000000010567 Long LON CORP US N 2 2021-05-17 Fixed 0.00000000 N N N N N N UMBS P#AI2935 4.5% 05/01/41 N/A 3138AGHM3 227791.65000000 NS USD 247377.62000000 0.130710723509 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N SOUTHERN CAL E 1.845% 02/01/22 9R1Z5I36FERIBVKW4P77 842400GF4 98214.28000000 NS USD 97020.81000000 0.051264379819 Long DBT CORP US N 2 2022-02-01 Fixed 1.84500000 N N N N N N FNMA P#705600 6% 5/1/33__ N/A 31401D3H2 4245.46000000 NS USD 4675.51000000 0.002470471236 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 6.00000000 N N N N N N UMBS P#BC9562 4% 11/01/46 N/A 3140F5TU7 47278.71000000 NS USD 49716.87000000 0.026269668405 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 4.00000000 N N N N N N ILPT 2019-SUR 4.145% 02/11/29 N/A 44965LAA2 323000.00000000 NS USD 360585.38000000 0.190528051433 Long ABS-CBDO CORP US Y 2 2041-02-11 Fixed 4.14500000 N N N N N N GNMA II P#AL5503 3.5% 03/20/45 N/A 36184CDG7 8900.12000000 NS USD 9300.52000000 0.004914259011 Long ABS-MBS USGSE US N 2 2045-03-20 Fixed 3.50000000 N N N N N N UMBS P#AT6734 3% 05/01/43 N/A 3138WUPU1 17022.25000000 NS USD 17520.53000000 0.009257592309 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N BMIR 2018-3A M2 V/R 10/25/28 N/A 07877TAC5 180000.00000000 NS USD 182021.31000000 0.096177403292 Long ABS-CBDO CORP BM Y 2 2028-10-25 Variable 4.54200000 N N N N N N FREMF 2014-KS02 V/R 08/25/23 N/A 30292BAE9 50099.62000000 NS USD 50676.15000000 0.026776537955 Long ABS-CBDO CORP US Y 2 2023-08-25 Variable 6.69713000 N N N N N N HEALTHCARE TRUS 3.75% 07/01/27 N/A 42225UAF1 200000.00000000 NS USD 211245.15000000 0.111618853776 Long DBT CORP US N 2 2027-07-01 Fixed 3.75000000 N N N N N N FGLMC P#Q48616 4% 06/01/47 N/A 3132WNSE3 33485.19000000 NS USD 35274.62000000 0.018638594314 Long ABS-MBS USGA US N 2 2047-06-01 Fixed 4.00000000 N N N N N N ORACLE CORP 2.5% 05/15/22 1Z4GXXU7ZHVWFCD8TV52 68389XBB0 375000.00000000 NS USD 379923.83000000 0.200746206135 Long DBT CORP US N 2 2022-05-15 Fixed 2.50000000 N N N N N N US TIPS 0.875% 02/15/47 N/A 912810RW0 2446676.55000000 NS USD 2621711.59000000 1.385274135801 Long DBT UST US N 2 2047-02-15 Fixed 0.87500000 N N N N N N BANK OF NY MELLON V/R 10/30/23 WFLLPEPC7FZXENRZV188 06406FAF0 345000.00000000 NS USD 351016.80000000 0.185472153430 Long DBT CORP US N 2 2023-10-30 Variable 2.98550000 N N N N N N FREEPORT-MCMORA 5.45% 03/15/43 549300IRDTHJQ1PVET45 35671DBC8 215000.00000000 NS USD 222525.00000000 0.117578961867 Long DBT CORP US N 2 2043-03-15 Fixed 5.45000000 N N N N N N FGLMC P#Q11892 3.5% 10/01/42 N/A 3132HNC56 42253.56000000 NS USD 44733.58000000 0.023636570709 Long ABS-MBS USGA US N 2 2042-10-01 Fixed 3.50000000 N N N N N N UMBS P#AL6952 3% 06/01/45 N/A 3138EPWN0 160417.44000000 NS USD 165534.99000000 0.087466272450 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.00000000 N N N N N N CONN 2019-B B 3.62% 11/15/21 N/A 20824LAB1 160000.00000000 NS USD 160030.06000000 0.084557547792 Long ABS-CBDO CORP US Y 2 2024-06-17 Fixed 3.62000000 N N N N N N MORGAN STANLEY 4.1% 05/22/23 IGJSJL3JD5P30I6NJZ34 61747YDU6 325000.00000000 NS USD 343186.86000000 0.181334927426 Long DBT CORP US N 2 2023-05-22 Fixed 4.10000000 N N N N N N MPT OPER PARTN 4.625% 08/01/29 N/A 55342UAJ3 280000.00000000 NS USD 288400.00000000 0.152386350309 Long DBT CORP US N 2 2029-08-01 Fixed 4.62500000 N N N N N N FGLMC P#J05288 7% 08/01/22 N/A 3128PG2V4 250.01000000 NS USD 251.49000000 0.000132883645 Long ABS-MBS USGA US N 2 2022-08-01 Fixed 7.00000000 N N N N N N UMBS P#BD7979 3% 09/01/46 N/A 3140FF2M2 121063.21000000 NS USD 123993.84000000 0.065516535154 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N FGLMC P#C01491 6% 02/01/33 N/A 31292HUQ5 8015.87000000 NS USD 9190.25000000 0.004855993952 Long ABS-MBS USGA US N 2 2033-02-01 Fixed 6.00000000 N N N N N N TPMT 2016-4 M1 V/R 02/25/25 N/A 89172UAC2 550000.00000000 NS USD 554857.82000000 0.293178772991 Long ABS-CBDO CORP US Y 2 2056-07-25 Variable 3.25000000 N N N N N N GOLDMAN SACHS GRO V/R 05/01/29 784F5XWPLTWKTBV3E584 38141GWZ3 215000.00000000 NS USD 237054.53000000 0.125256153436 Long DBT CORP US N 2 2029-05-01 Variable 4.22300000 N N N N N N UMBS P#BE9355 3% 03/01/47 N/A 3140FVMD5 82745.04000000 NS USD 84747.05000000 0.044779104192 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.00000000 N N N N N N GNMA P#AU3733 3.5% 08/15/46 N/A 36194REE6 74835.97000000 NS USD 78083.40000000 0.041258128799 Long ABS-MBS USGSE US N 2 2046-08-15 Fixed 3.50000000 N N N N N N AOMT 2019-2 M1 V/R 04/25/23 N/A 03463WAD5 230000.00000000 NS USD 234146.56000000 0.123719624535 Long ABS-CBDO CORP US Y 2 2049-03-25 Variable 4.06500000 N N N N N N BSABS 2006-SD2 A V/R 06/25/36 N/A 07388EAK2 47.54000000 NS USD 47.50000000 0.000025098306 Long ABS-CBDO CORP US N 2 2036-06-25 Variable 2.28200000 N N N N N N CMLTI 2018-RP1 A V/R 09/25/64 N/A 17326QAA1 313451.66000000 NS USD 315309.33000000 0.166604847494 Long ABS-CBDO CORP US Y 2 2064-09-25 Variable 3.00000000 N N N N N N STACR 2019-HQA2 V/R 04/25/49 N/A 35564MAH8 120000.00000000 NS USD 120549.90000000 0.063696807528 Long ABS-CBDO CORP US Y 2 2049-04-25 Variable 3.84200000 N N N N N N UMBS P#BH3119 4% 06/01/47 N/A 3140GRPD0 91303.19000000 NS USD 96064.32000000 0.050758984465 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N T/L JBS USA LUX S 0% 05/01/26 N/A 46611VAU9 176382.13000000 NS USD 177846.81000000 0.093971658426 Long LON CORP LU N 2 2026-05-01 Fixed 0.00000000 N N N N N N UMBS P#SD8003 4% 07/01/49 N/A 3132DV3L7 746182.47000000 NS USD 775721.75000000 0.409880049717 Long ABS-MBS USGA US N 2 2049-07-01 Fixed 4.00000000 N N N N N N CSMC 2013-IVR3 A V/R 07/25/36 N/A 12646XAH5 96007.44000000 NS USD 94233.91000000 0.049791822539 Long ABS-CBDO CORP US Y 2 2043-05-25 Variable 2.50000000 N N N N N N FED NATL MORT ASSC N/A N/A 285596.54000000 NS USD 301641.10000000 0.159382754273 Long DBT USGA US N 2 2029-01-25 Variable 6.24200000 N N N N N N MCMLT 2019-GS1 M V/R 07/25/59 N/A 59981BAG9 250000.00000000 NS USD 245824.48000000 0.129890067004 Long ABS-CBDO CORP US Y 2 2059-07-25 Variable 3.00000000 N N N N N N UMBS P#AB5924 3% 08/01/42 N/A 31417CSN6 308886.91000000 NS USD 318261.44000000 0.168164699327 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.00000000 N N N N N N GNMA II P#5175 4.5% 09/20/41 N/A 36202FXC5 8784.62000000 NS USD 9490.15000000 0.005014456735 Long ABS-MBS USGSE US N 2 2041-09-20 Fixed 4.50000000 N N N N N N GNMA II P#2217 7% 05/20/26 N/A 36202CPA5 2044.37000000 NS USD 2224.96000000 0.001175636386 Long ABS-MBS USGSE US N 2 2026-05-20 Fixed 7.00000000 N N N N N N NATIONSTAR MTG 9.125% 07/15/26 N/A 93369KAB1 91000.00000000 NS USD 100782.50000000 0.053252001907 Long DBT CORP US Y 2 2026-07-15 Fixed 9.12500000 N N N N N N WFRBS 2013-C1 4.136% 08/15/23 N/A 92938EAM5 145728.54000000 NS USD 152697.18000000 0.080682961036 Long ABS-CBDO CORP US N 2 2046-09-15 Fixed 4.13600000 N N N N N N PFMT 2019-1 A2 V/R 11/25/43 N/A 74387LAC5 425000.00000000 NS USD 427523.65000000 0.225897256222 Long ABS-CBDO CORP US Y 2 2049-12-25 Variable 3.00000000 N N N N N N GENERAL MOTORS FIN 4% 01/15/25 N/A 37045XAS5 440000.00000000 NS USD 462539.57000000 0.244399157233 Long DBT CORP US N 2 2025-01-15 Fixed 4.00000000 N N N N N N UMBS P#AV8070 3.5% 05/01/44 N/A 3138XK6G4 147075.86000000 NS USD 153113.32000000 0.080902843337 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 3.50000000 N N N N N N T/L LEVEL 3 0% 03/01/27 N/A 52729KAP1 67465.57000000 NS USD 67873.20000000 0.035863208154 Long LON CORP US N 2 2027-03-01 Fixed 0.00000000 N N N N N N CGMS 2019-4A C V/R 01/15/33 N/A 14317VAL4 250000.00000000 NS USD 250000.00000000 0.132096350823 Long ABS-CBDO CORP KY Y 2 2033-01-15 Variable 0.00000000 N N N N N N SBA TOWER TRUS 3.869% 10/08/24 N/A 78403DAH3 235000.00000000 NS USD 244653.26000000 0.129271211452 Long DBT CORP US Y 2 2024-10-08 Fixed 3.86900000 N N N N N N T/L GENTIVA HEALTH 0% 07/02/25 N/A 37249UAN6 72168.74000000 NS USD 72642.31000000 0.038383136265 Long LON CORP US N 2 2025-07-02 Fixed 0.00000000 N N N N N N FREMF 2014-KF05 V/R 09/25/21 N/A 30292FAA8 53849.09000000 NS USD 54485.16000000 0.028789163240 Long ABS-CBDO CORP US Y 2 2022-09-25 Variable 5.69713000 N N N N N N T/L CENTURYLINK INC 0% 1/31/25 N/A N/A 123737.36000000 NS USD 124390.45000000 0.065726098089 Long LON CORP US N 2 2025-01-31 Fixed 0.00000000 N N N N N N UBS GROUP AG V/R /PERP/ 549300SZJ9VS8SGXAN81 90352JAF0 400000.00000000 NS USD 437000.00000000 0.230904421239 Long DBT CORP CH Y 2 2168-07-31 Variable 7.00000000 N N N N N N FGLMC P#Q17363 3% 04/01/43 N/A 3132J8TV2 145230.90000000 NS USD 149959.97000000 0.079236659226 Long ABS-MBS USGA US N 2 2043-04-01 Fixed 3.00000000 N N N N N N ANTHEM INC 3.65% 12/01/27 8MYN82XMYQH89CTMTH67 036752AB9 164000.00000000 NS USD 173674.48000000 0.091767060156 Long DBT CORP US N 2 2027-12-01 Fixed 3.65000000 N N N N N N UMBS P#AS5299 2.5% 07/01/30 N/A 3138WE3H0 20610.03000000 NS USD 20905.23000000 0.011046018384 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N ENABLE MIDSTREA 4.95% 05/15/28 N/A 292480AL4 479000.00000000 NS USD 485210.27000000 0.256378024196 Long DBT CORP US N 2 2028-05-15 Fixed 4.95000000 N N N N N N TPMT 2016-1 B1 V/R 02/25/55 N/A 89172EAJ3 300000.00000000 NS USD 321604.35000000 0.169931044175 Long ABS-CBDO CORP US Y 2 2055-02-25 Variable 4.28625500 N N N N N N FGLMC P#C01375 6.5% 07/01/32 N/A 31292HQ49 3637.93000000 NS USD 4099.91000000 0.002166332598 Long ABS-MBS USGA US N 2 2032-07-01 Fixed 6.50000000 N N N N N N BX 2019-OC11 3.202% 12/09/29 N/A 05606FAA1 400000.00000000 NS USD 411413.00000000 0.217384623925 Long ABS-CBDO CORP US Y 2 2041-12-09 Fixed 3.20200000 N N N N N N FGLMC P#Q48615 3.5% 06/01/47 N/A 3132WNSD5 125384.79000000 NS USD 130251.89000000 0.068823197427 Long ABS-MBS USGA US N 2 2047-06-01 Fixed 3.50000000 N N N N N N UMBS P#AE0625 4% 12/01/40 N/A 31419AVT1 23414.82000000 NS USD 25404.25000000 0.013423234881 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N COMM 2012-CR4 3.251% 10/15/22 N/A 12624QAT0 250000.00000000 NS USD 249987.08000000 0.132089524083 Long ABS-CBDO CORP US N 2 2045-10-15 Fixed 3.25100000 N N N N N N SEMT 2013-5 A2 V/R 05/25/43 N/A 81745AAB3 682575.81000000 NS USD 687942.90000000 0.363498986659 Long ABS-CBDO CORP US Y 2 2043-05-25 Variable 3.00000000 N N N N N N CRED SUIS GP FUN 3.8% 09/15/22 N/A 225433AH4 250000.00000000 NS USD 260286.73000000 0.137531708803 Long DBT CORP GG N 2 2022-09-15 Fixed 3.80000000 N N N N N N LHIPO 2010-1GA A V/R 11/15/28 N/A 50346RAA6 28186.92000000 NS USD 28398.32000000 0.015005257766 Long ABS-CBDO CORP PA Y 2 2039-09-08 Variable 2.75000000 N N N N N N TPMT 2015-2 1B3 V/R 10/25/31 N/A 89171YAG6 250000.00000000 NS USD 249953.98000000 0.132072034527 Long ABS-CBDO CORP US Y 2 2060-11-25 Variable 3.79874100 N N N N N N STACR 2018-HQA2 V/R 10/25/48 N/A 35563XBD3 290000.00000000 NS USD 313701.21000000 0.165755140359 Long ABS-CBDO CORP US Y 2 2048-10-25 Variable 6.04200000 N N N N N N ANHEUSER-BUSCH 5.55% 01/23/49 N/A 03523TBV9 610000.00000000 NS USD 792582.95000000 0.418789261679 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N CWHL 2003-56 4A2 V/R 12/25/33 N/A 12669FBP7 8124.38000000 NS USD 8112.60000000 0.004286579422 Long ABS-CBDO CORP US N 2 2033-12-25 Variable 4.16451000 N N N N N N FGLMC P#Q47579 4% 04/01/47 N/A 3132WMM50 61935.35000000 NS USD 65963.31000000 0.034854050156 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N FORTUNE BRANDS HOM 3% 06/15/20 54930032LHW54PQUJD44 34964CAB2 270000.00000000 NS USD 270924.40000000 0.143152498356 Long DBT CORP US N 2 2020-06-15 Fixed 3.00000000 N N N N N N BOEING CO 3.75% 02/01/50 RVHJWBXLJ1RFUBSY1F30 097023CQ6 315000.00000000 NS USD 335007.99000000 0.177013331902 Long DBT CORP US N 2 2050-02-01 Fixed 3.75000000 N N N N N N MST 2019-1A A1A V/R 04/25/58 N/A 59166EAB1 176081.67000000 NS USD 181668.16000000 0.095990803987 Long ABS-CBDO CORP US Y 2 2058-04-25 Variable 3.75000000 N N N N N N UMBS P#BC0870 3.5% 01/01/46 N/A 3140EU6G9 119228.36000000 NS USD 124462.70000000 0.065764273934 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.50000000 N N N N N N AFRICA FINANCE 4.375% 04/17/26 213800LXFHRRXIJRXW97 00830YAC5 370000.00000000 NS USD 392107.50000000 0.207183879521 Long DBT CORP NG Y 2 2026-04-17 Fixed 4.37500000 N N N N N N SUNOCO LOGISTIC 5.35% 05/15/45 N/A 86765BAQ2 224000.00000000 NS USD 240899.63000000 0.127287848150 Long DBT CORP US N 2 2045-05-15 Fixed 5.35000000 N N N N N N GNMA II P#3659 5% 01/20/20 N/A 36202EB40 12.31000000 NS USD 12.29000000 0.000006493856 Long ABS-MBS USGSE US N 2 2020-01-20 Fixed 5.00000000 N N N N N N FGLMC P#G12432 5% 12/01/21 N/A 3128M1SV2 890.13000000 NS USD 919.94000000 0.000486082867 Long ABS-MBS USGA US N 2 2021-12-01 Fixed 5.00000000 N N N N N N GNMA II P#AM6677 3.5% 04/20/45 N/A 36184XM22 20290.11000000 NS USD 21205.14000000 0.011204486450 Long ABS-MBS USGSE US N 2 2045-04-20 Fixed 3.50000000 N N N N N N UMBS P#AZ3804 3% 05/01/46 N/A 3138YVGN3 15861.80000000 NS USD 16348.64000000 0.008638382739 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.00000000 N N N N N N LIBERTY MUTUAL 7.697% 10/15/97 N/A 53079QAD9 645000.00000000 NS USD 918658.50000000 0.485405742011 Long DBT CORP US Y 2 2097-10-15 Fixed 7.69700000 N N N N N N UMBS P#BA1666 3.5% 02/01/46 N/A 3140E5Z80 14213.06000000 NS USD 14836.55000000 0.007839416455 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 3.50000000 N N N N N N GNMA P#770525 4.5% 08/15/41 N/A 36176MYW7 5705.63000000 NS USD 6133.80000000 0.003241010386 Long ABS-MBS USGSE US N 2 2041-08-15 Fixed 4.50000000 N N N N N N JPMCC 2012-C8 B V/R 09/15/22 N/A 46638UAK2 200000.00000000 NS USD 205758.24000000 0.108719650623 Long ABS-CBDO CORP US Y 2 2045-10-15 Variable 3.97670000 N N N N N N ENBRIDGE INC 3.7% 07/15/27 98TPTUM4IVMFCZBCUR27 29250NAR6 360000.00000000 NS USD 381328.07000000 0.201488186054 Long DBT CORP CA N 2 2027-07-15 Fixed 3.70000000 N N N N N N UMBS P#BA6300 3.5% 12/01/45 N/A 3140EBAA9 145693.86000000 NS USD 152122.26000000 0.080379181700 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N NY STATE ELECTRI 3.3% 09/15/49 N/A 649840CR4 213000.00000000 NS USD 204084.51000000 0.107835276122 Long DBT CORP US Y 2 2049-09-15 Fixed 3.30000000 N N N N N N MPLX LP 5.5% 02/15/49 N/A 55336VAT7 205000.00000000 NS USD 232897.40000000 0.123059586625 Long DBT CORP US N 2 2049-02-15 Fixed 5.50000000 N N N N N N UMBS P#AB5679 4% 07/01/42 N/A 31417CJZ9 136315.36000000 NS USD 145775.74000000 0.077025773170 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.00000000 N N N N N N SEMT 2013-10 A1 V/R 08/25/43 N/A 81745GAA2 522040.14000000 NS USD 530585.36000000 0.280353559425 Long ABS-CBDO CORP US Y 2 2043-08-25 Variable 3.50000000 N N N N N N ANTHEM INC 3.35% 12/01/24 8MYN82XMYQH89CTMTH67 036752AC7 239000.00000000 NS USD 249476.10000000 0.131819529710 Long DBT CORP US N 2 2024-12-01 Fixed 3.35000000 N N N N N N UMBS P#AE7714 3.5% 11/01/40 N/A 31419JSC3 23308.58000000 NS USD 24564.85000000 0.012979708174 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 3.50000000 N N N N N N UMBS P#MA3804 4% 10/01/49 N/A 31418DGN6 389852.10000000 NS USD 407039.72000000 0.215073846608 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 4.00000000 N N N N N N MFT 2019-2A C 4.11% 07/16/29 N/A 57109HAC6 150000.00000000 NS USD 151991.78000000 0.080310237972 Long ABS-CBDO CORP US Y 2 2029-07-16 Fixed 4.11000000 N N N N N N MPLX LP V/R 09/09/21 N/A 55336VBG4 192000.00000000 NS USD 192587.69000000 0.101760524250 Long DBT CORP US N 2 2021-09-09 Variable 2.78500000 N N N N N N WESTR 2018-1A C 4.1% 07/20/22 N/A 96033WAC2 149567.33000000 NS USD 151049.30000000 0.079812245297 Long ABS-CBDO CORP US Y 2 2031-12-20 Fixed 4.10000000 N N N N N N UMBS P#AP2427 3.5% 08/01/42 N/A 3138M5VV8 45211.09000000 NS USD 47836.15000000 0.025275923409 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N FGLMC P#J26471 3.5% 11/01/28 N/A 31307FFL0 30339.17000000 NS USD 31778.26000000 0.016791168726 Long ABS-MBS USGA US N 2 2028-11-01 Fixed 3.50000000 N N N N N N NRPMT 2013-1 B2 V/R 12/25/26 N/A 62942KAF3 208734.29000000 NS USD 211157.61000000 0.111572598918 Long ABS-CBDO CORP US Y 2 2043-07-25 Variable 3.31053200 N N N N N N UMBS P#BA0908 3.5% 03/01/46 N/A 3140E5AJ3 44773.16000000 NS USD 46748.05000000 0.024700987252 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.50000000 N N N N N N LEVEL 3 FINANC 5.375% 01/15/24 N/A 527298BK8 174000.00000000 NS USD 176827.50000000 0.093433069900 Long DBT CORP US N 2 2024-01-15 Fixed 5.37500000 N N N N N N TAH 2019-SFR1 2.75% 03/17/26 N/A 89612LAA4 310000.00000000 NS USD 310586.83000000 0.164109547427 Long ABS-CBDO CORP US Y 2 2038-03-17 Fixed 2.75000000 N N N N N N GNMA P#359378 7.5% 06/15/23 N/A 36203UFT4 112.83000000 NS USD 113.08000000 0.000059749821 Long ABS-MBS USGSE US N 2 2023-06-15 Fixed 7.50000000 N N N N N N UMBS P#AB5267 4% 05/01/42 N/A 31417BZ91 131027.88000000 NS USD 140111.49000000 0.074032866149 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.00000000 N N N N N N GNMA P#781035 6.5% 05/15/29 N/A 36225BEG9 3664.12000000 NS USD 4136.29000000 0.002185555259 Long ABS-MBS USGSE US N 2 2029-05-15 Fixed 6.50000000 N N N N N N TERRAFORM POWER 4.75% 01/15/30 N/A 88104LAG8 225000.00000000 NS USD 228937.50000000 0.120967233266 Long DBT CORP US Y 2 2030-01-15 Fixed 4.75000000 N N N N N N STACR 2019-HQA1 V/R 02/25/49 N/A 35563MAH9 230000.00000000 NS USD 232357.89000000 0.122774517416 Long ABS-CBDO CORP US Y 2 2049-02-25 Variable 4.14200000 N N N N N N BPCE SA 4.875% 04/01/26 N/A 05578QAE3 200000.00000000 NS USD 220121.70000000 0.116309093228 Long DBT CORP FR Y 2 2026-04-01 Fixed 4.87500000 N N N N N N US T BILL ZCP 01/21/20 N/A 912796WP0 600000.00000000 PA USD 599534.50000000 0.316785278570 Long STIV UST US N 2 2020-01-21 Fixed 0.00000000 N N N N N N NRZT 2018-4A A1S V/R 01/25/48 N/A 64828FCQ3 327729.02000000 NS USD 326836.71000000 0.172695746824 Long ABS-CBDO CORP US Y 2 2048-01-25 Variable 2.54200000 N N N N N N T/L CHANGE HEALTH ZCP 03/01/24 N/A 15911AAC7 75357.94000000 NS USD 75726.89000000 0.040012983312 Long LON CORP US N 2 2024-03-01 Fixed 0.00000000 N N N N N N FREMF 2015-K51 B V/R 09/25/25 N/A 30293XAJ9 125000.00000000 NS USD 130482.58000000 0.068945090656 Long ABS-CBDO CORP US Y 2 2048-10-25 Variable 3.95362900 N N N N N N FGLMC P#G18527 3% 10/01/29 N/A 3128MMSR5 44291.65000000 NS USD 45628.82000000 0.024109602457 Long ABS-MBS USGA US N 2 2029-10-01 Fixed 3.00000000 N N N N N N CANADIAN IMPERIAL V/R 02/02/21 2IGI19DL77OX0HC3ZE78 136069XZ9 745000.00000000 NS USD 746170.97000000 0.394265848909 Long DBT CORP CA N 2 2021-02-02 Variable 2.21725000 N N N N N N GNMA P#575430 6.5% 12/15/31 N/A 36200XHF9 2341.99000000 NS USD 2583.50000000 0.001365083689 Long ABS-MBS USGSE US N 2 2031-12-15 Fixed 6.50000000 N N N N N N COOPERATIEVE RA 3.95% 11/09/22 DG3RU1DBUFHT4ZF9WN62 21685WDF1 250000.00000000 NS USD 261401.57000000 0.138120773986 Long DBT CORP NL N 2 2022-11-09 Fixed 3.95000000 N N N N N N JPMMT 2019-8 A4 V/R 10/25/26 N/A 46591KAF0 421343.40000000 NS USD 425721.37000000 0.224944957778 Long ABS-CBDO CORP US Y 2 2050-03-25 Variable 3.50000000 N N N N N N COMM 2014-CR16 C V/R 04/10/24 N/A 12591VAK7 150000.00000000 NS USD 159399.96000000 0.084224612149 Long ABS-CBDO CORP US N 2 2047-04-10 Variable 5.09254700 N N N N N N CVS PASS-THROU 5.926% 01/10/34 N/A 126650BY5 46582.93000000 NS USD 54307.29000000 0.028695179328 Long DBT CORP US Y 2 2034-01-10 Fixed 5.92600000 N N N N N N FGLMC P#G04832 5% 10/01/38 N/A 3128M6VZ8 4050.56000000 NS USD 4465.72000000 0.002359621263 Long ABS-MBS USGA US N 2 2038-10-01 Fixed 5.00000000 N N N N N N CAS 2019-R01 2M2 V/R 07/25/31 N/A 20754FAK8 470000.00000000 NS USD 475722.39000000 0.251364766895 Long ABS-CBDO CORP US Y 2 2031-07-25 Variable 4.24200000 N N N N N N APACHE CORP 4.375% 10/15/28 72ZZ1XRHOOU9P9X16K08 037411BE4 435000.00000000 NS USD 455004.93000000 0.240417963438 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N COMM 2012-CR3 2.822% 08/15/22 N/A 12624PAE5 241250.82000000 NS USD 244114.11000000 0.128986332462 Long ABS-CBDO CORP US N 2 2045-10-15 Fixed 2.82200000 N N N N N N TPMT 2016-2 B2 V/R 10/25/32 N/A 89172PAF6 300000.00000000 NS USD 299824.32000000 0.158422794240 Long ABS-CBDO CORP US Y 2 2055-08-25 Variable 3.55151100 N N N N N N TPMT 2019-HY3 A2 V/R 05/25/28 N/A 89177XAC1 350000.00000000 NS USD 352516.75000000 0.186264705116 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 3.09200000 N N N N N N UMBS P#735897 5.5% 10/01/35 N/A 31402RRS0 20709.69000000 NS USD 23159.24000000 0.012237004367 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N GNMA II P#2630 6.5% 08/20/28 N/A 36202C4P5 1894.32000000 NS USD 2134.27000000 0.001127717114 Long ABS-MBS USGSE US N 2 2028-08-20 Fixed 6.50000000 N N N N N N FGLMC P#Q51131 3.5% 10/01/47 N/A 3132XTHH4 321969.94000000 NS USD 334718.26000000 0.176860242799 Long ABS-MBS USGA US N 2 2047-10-01 Fixed 3.50000000 N N N N N N STACR 2018-HQA1 V/R 09/25/30 N/A 3137G0UC1 39845.28000000 NS USD 39846.28000000 0.021054192727 Long ABS-CBDO CORP US N 2 2030-09-25 Variable 2.49200000 N N N N N N BMIR 2018-2A M1B V/R 08/25/28 N/A 07877DAB2 190000.00000000 NS USD 190478.67000000 0.100646148866 Long ABS-CBDO CORP BM Y 2 2028-08-25 Variable 3.14200000 N N N N N N TPMT 2018-2 A2 V/R 03/25/58 N/A 89175VAB9 780000.00000000 NS USD 793348.06000000 0.419193534635 Long ABS-CBDO CORP US Y 2 2058-03-25 Variable 3.50000000 N N N N N N GNMA P#400136 7% 02/15/28 N/A 36205TPV9 14152.91000000 NS USD 14627.46000000 0.007728936351 Long ABS-MBS USGSE US N 2 2028-02-15 Fixed 7.00000000 N N N N N N WILLIAMS COMPAN 5.75% 06/24/44 D71FAKCBLFS2O0RBPG08 969457BV1 586000.00000000 NS USD 694494.79000000 0.366960909699 Long DBT CORP US N 2 2044-06-24 Fixed 5.75000000 N N N N N N GNMA II P#MA0221 4% 07/20/42 N/A 36179MG61 25204.08000000 NS USD 26753.96000000 0.014136401944 Long ABS-MBS USGSE US N 2 2042-07-20 Fixed 4.00000000 N N N N N N FGLMC P#Q49885 3.5% 08/01/47 N/A 3132WP6X0 274216.31000000 NS USD 284887.21000000 0.150530243349 Long ABS-MBS USGA US N 2 2047-08-01 Fixed 3.50000000 N N N N N N UMBS P#AS6195 3.5% 11/01/45 N/A 3138WF3D6 260529.73000000 NS USD 279264.84000000 0.147559465109 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 3.50000000 N N N N N N T/L AMERICAN AXLE & 0% 04/06/24 N/A N/A 70049.38000000 NS USD 69983.67000000 0.036978349696 Long LON CORP US N 2 2024-04-06 Fixed 0.00000000 N N N N N N PROG 2018-SFR 4.656% 08/17/23 N/A 74332UAJ6 110000.00000000 NS USD 112419.18000000 0.059400653762 Long ABS-CBDO CORP US Y 2 2035-08-17 Fixed 4.65600000 N N N N N N US TIPS 1% 02/15/48 N/A 912810SB5 2228064.65000000 NS USD 2465288.25000000 1.302622326211 Long DBT UST US N 2 2048-02-15 Fixed 1.00000000 N N N N N N GNMA P#577732 6% 10/15/32 N/A 36201AY51 1435.10000000 NS USD 1580.01000000 0.000834854221 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 6.00000000 N N N N N N GNMA P#552615 6.5% 06/15/32 N/A 36213E3Y0 1823.14000000 NS USD 2013.34000000 0.001063819467 Long ABS-MBS USGSE US N 2 2032-06-15 Fixed 6.50000000 N N N N N N FFIN 2019-1A B 4.22% 11/15/34 N/A 35041JAB1 250000.00000000 NS USD 258001.83000000 0.136324400995 Long ABS-CBDO CORP US Y 2 2034-11-15 Fixed 4.22000000 N N N N N N UMBS P#AB2639 4.5% 05/01/41 N/A 31416X4Z0 91400.50000000 NS USD 100384.08000000 0.053041482595 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N MOODY'S CORPORA 3.25% 06/07/21 549300GCEDD8YCF5WU84 615369AN5 80000.00000000 NS USD 81481.74000000 0.043053762050 Long DBT CORP US N 2 2021-06-07 Fixed 3.25000000 N N N N N N CREDIT SUISSE GROUP V/R /PERP/ 549300506SI9CRFV9Z86 H3698DCA0 400000.00000000 NS USD 430500.00000000 0.227469916117 Long DBT CORP CH N 2 2168-07-29 Variable 7.12500000 N N N N N N GNMA P#563674 6% 11/15/32 N/A 36213TFP3 20249.73000000 NS USD 22446.34000000 0.011860318413 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 6.00000000 N N N N N N GNMA P#781547 6% 01/15/33 N/A 36225BWG9 5516.74000000 NS USD 6300.73000000 0.003329213762 Long ABS-MBS USGSE US N 2 2033-01-15 Fixed 6.00000000 N N N N N N UMBS P#AU3732 2.5% 08/01/43 N/A 3138X3EE8 12176.42000000 NS USD 12117.71000000 0.006402821085 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 2.50000000 N N N N N N SEMT 2013-4 A2 V/R 04/25/43 N/A 81744YAB2 387464.67000000 NS USD 381296.50000000 0.201471504926 Long ABS-CBDO CORP US N 2 2043-04-25 Variable 2.50000000 N N N N N N ALEXANDRIA REAL 3.95% 01/15/27 MGCJBT4MKTQBVLNUIS88 015271AJ8 25000.00000000 NS USD 26924.73000000 0.014226634319 Long DBT CORP US N 2 2027-01-15 Fixed 3.95000000 N N N N N N UMBS P#AS0317 4% 08/01/43 N/A 3138W9K74 178040.15000000 NS USD 189828.45000000 0.100302582109 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.00000000 N N N N N N UMBS P#BH3071 3.5% 05/01/47 N/A 3140GRMV3 211450.79000000 NS USD 219509.35000000 0.115985536426 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.50000000 N N N N N N FGLMC P#Q11791 3.5% 10/01/42 N/A 3132HM7C9 34355.35000000 NS USD 36236.34000000 0.019146753124 Long ABS-MBS USGA US N 2 2042-10-01 Fixed 3.50000000 N N N N N N ISTAR INC 4.25% 08/01/25 QFFLKWYYS3UPWD86E794 45031UCG4 190000.00000000 NS USD 192082.40000000 0.101493536389 Long DBT CORP US N 2 2025-08-01 Fixed 4.25000000 N N N N N N UMBS P#AL7382 3.5% 09/01/45 N/A 3138EQFY3 172567.22000000 NS USD 179878.37000000 0.095045105076 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N UMBS P#AV2340 4% 12/01/43 N/A 3138XDS68 196752.03000000 NS USD 209085.85000000 0.110477911175 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.00000000 N N N N N N HSBC BANK PLC 7.65% 05/01/25 N/A 597433AC5 150000.00000000 NS USD 181530.38000000 0.095918003046 Long DBT CORP GB N 2 2025-05-01 Fixed 7.65000000 N N N N N N UMBS P#BD2425 3.5% 01/01/47 N/A 3140F9VT9 305393.10000000 NS USD 320272.83000000 0.169227488443 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N UMBS P#AL2890 3% 12/01/42 N/A 3138EKF83 66491.58000000 NS USD 68501.23000000 0.036195050039 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.00000000 N N N N N N UMBS P#AS0234 4% 08/01/43 N/A 3138W9HL7 110603.58000000 NS USD 117900.23000000 0.062296760576 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.00000000 N N N N N N AQUA AMERICA I 3.566% 05/01/29 549300ILTEOF3E3QY357 03836WAB9 110000.00000000 NS USD 115723.66000000 0.061146692759 Long DBT CORP US N 2 2029-05-01 Fixed 3.56600000 N N N N N N WFCM 2016-C32 3.294% 11/15/25 N/A 94989YAY9 250000.00000000 NS USD 261090.90000000 0.137956620492 Long ABS-CBDO CORP US N 2 2059-01-15 Fixed 3.29400000 N N N N N N UMBS P#AS1091 4% 11/01/43 N/A 3138WAF93 93446.05000000 NS USD 100603.62000000 0.053157484326 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.00000000 N N N N N N GNMA II P#MA1602 4.5% 01/20/44 N/A 36179NX78 161870.74000000 NS USD 173736.17000000 0.091799656252 Long ABS-MBS USGSE US N 2 2044-01-20 Fixed 4.50000000 N N N N N N FSMT 2018-3INV B V/R 01/25/41 N/A 33851JAS8 145997.14000000 NS USD 155554.21000000 0.082192573984 Long ABS-CBDO CORP US Y 2 2048-05-25 Variable 4.50281500 N N N N N N CAS 2019-R03 1M2 V/R 09/25/31 N/A 20753MAF5 150000.00000000 NS USD 151129.08000000 0.079854399885 Long ABS-CBDO CORP US Y 2 2031-09-25 Variable 3.94200000 N N N N N N FNMA P#655615 6.5% 8/1/32 N/A 31390TK40 1193.37000000 NS USD 1324.57000000 0.000699883453 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 6.50000000 N N N N N N CHENIERE ENERGY 5.25% 10/01/25 N/A 16411QAB7 205000.00000000 NS USD 213628.45000000 0.112878154708 Long DBT CORP US N 2 2025-10-01 Fixed 5.25000000 N N N N N N BARCLAYS PLC V/R /PERP/ 213800LBQA1Y9L22JB70 06738EBG9 200000.00000000 NS USD 223750.00000000 0.118226233986 Long DBT CORP GB N 2 2168-09-15 Variable 8.00000000 N N N N N N SINOPEC GRP OVER 2.5% 04/28/20 N/A 82938BAB6 200000.00000000 NS USD 200148.00000000 0.105755281698 Long DBT CORP VG Y 2 2020-04-28 Fixed 2.50000000 N N N N N N CAS 2018-C03 1M2 V/R 10/25/30 N/A 30711XJ70 450000.00000000 NS USD 453449.52000000 0.239596107498 Long ABS-CBDO CORP US N 2 2030-10-25 Variable 3.94200000 N N N N N N FCITL 2019-1A 3.63% 07/15/22 N/A 30259MAA4 130871.95000000 NS USD 131426.48000000 0.069443833638 Long ABS-CBDO CORP US Y 2 2031-02-18 Fixed 3.63000000 N N N N N N UMBS P#AX9564 4% 03/01/45 N/A 3138YBTW3 104221.22000000 NS USD 110426.68000000 0.058347845846 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 4.00000000 N N N N N N UMBS P#AS5816 3.5% 09/01/45 N/A 3138WFPA8 117640.06000000 NS USD 122840.81000000 0.064907290932 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N GNMA P#796299 3.5% 10/15/42 N/A 36177Q7M9 41334.56000000 NS USD 43484.61000000 0.022976633191 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.50000000 N N N N N N FARMERS INS EXCH V/R 11/01/57 549300UWG2TLX1GZVT44 309601AE2 340000.00000000 NS USD 354980.40000000 0.187566461815 Long DBT CORP US Y 2 2057-11-01 Variable 4.74700000 N N N N N N CHASE 2019-CL1 M V/R 04/25/47 N/A 46591HAA8 190314.83000000 NS USD 189609.58000000 0.100186934396 Long ABS-CBDO CORP US N 2 2047-04-25 Variable 3.14200000 N N N N N N FGLMC P#K30005 7% 10/01/46 N/A 31302PAE4 28743.87000000 NS USD 29628.22000000 0.015655118973 Long ABS-MBS USGA US N 2 2046-10-01 Fixed 7.00000000 N N N N N N UMBS P#BH3875 4% 07/01/47 N/A 3140GSJV5 81377.75000000 NS USD 85540.68000000 0.045198446699 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N COMM 2014-CR20 C V/R 10/10/24 N/A 12592LBP6 233783.00000000 NS USD 244969.63000000 0.129438376742 Long ABS-CBDO CORP US N 2 2047-11-10 Variable 4.66368400 N N N N N N FGLMC P#Q53735 3.5% 01/01/48 N/A 3132XWEH0 103694.16000000 NS USD 107846.14000000 0.056984326177 Long ABS-MBS USGA US N 2 2048-01-01 Fixed 3.50000000 N N N N N N NMEF 2019-A B 3.06% 02/15/23 N/A 65489MAB0 300000.00000000 NS USD 299964.00000000 0.158496599113 Long ABS-CBDO CORP US Y 2 2026-08-15 Fixed 3.06000000 N N N N N N GNMA II P#784449 V/R 09/20/44 N/A 3622A25J7 144145.46000000 NS USD 151152.00000000 0.079866510478 Long ABS-MBS USGSE US N 2 2044-09-20 Fixed 4.50000000 N N N N N N BANK OF AMERICA C V/R 10/22/30 9DJT3UXIJIZJI4WXO774 06051GHX0 663000.00000000 NS USD 668824.65000000 0.353397182422 Long DBT CORP US N 2 2030-10-22 Variable 2.88400000 N N N N N N SCFET 2017-2A 3.41% 12/20/23 N/A 784012AA4 45676.99000000 NS USD 45705.92000000 0.024150340972 Long ABS-CBDO CORP US Y 2 2023-12-20 Fixed 3.41000000 N N N N N N TPMT 2016-4 B1 V/R 04/25/27 N/A 89172UAE8 300000.00000000 NS USD 314368.26000000 0.166107599842 Long ABS-CBDO CORP US Y 2 2056-07-25 Variable 4.02318000 N N N N N N FGLMC P#Q44876 3% 12/01/46 N/A 3132WJM24 35582.09000000 NS USD 36652.19000000 0.019366482194 Long ABS-MBS USGA US N 2 2046-12-01 Fixed 3.00000000 N N N N N N EXPEDIA INC 5% 02/15/26 CI7MUJI4USF3V0NJ1H64 30212PAM7 53000.00000000 NS USD 58471.56000000 0.030895518811 Long DBT CORP US N 2 2026-02-15 Fixed 5.00000000 N N N N N N NOBLE ENERGY IN 5.25% 11/15/43 02VFQXG2D1LR5ZH3K186 655044AG0 425000.00000000 NS USD 478878.99000000 0.253032668259 Long DBT CORP US N 2 2043-11-15 Fixed 5.25000000 N N N N N N GNMA P#AO3856 4% 08/15/45 N/A 3617A4H92 13576.82000000 NS USD 14383.29000000 0.007599920487 Long ABS-MBS USGSE US N 2 2045-08-15 Fixed 4.00000000 N N N N N N UMBS P#AS6074 4% 10/01/45 N/A 3138WFXC5 86491.27000000 NS USD 91633.77000000 0.048417946516 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 4.00000000 N N N N N N FNMA P#737605 5.5% 9/1/33 N/A 31402TNW1 6834.33000000 NS USD 7636.11000000 0.004034809061 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.50000000 N N N N N N FASST 2019-HB1 M V/R 10/25/21 N/A 31739HAC9 100000.00000000 NS USD 100050.00000000 0.052864959599 Long ABS-CBDO CORP US Y 2 2029-04-25 Variable 3.67570000 N N N N N N BROADCOM INC 3.625% 10/15/24 549300WV6GIDOZJTV909 11135FAD3 149000.00000000 NS USD 154943.46000000 0.081869862599 Long DBT CORP US Y 2 2024-10-15 Fixed 3.62500000 N N N N N N UMBS P#AO4133 3.5% 06/01/42 N/A 3138LUSX4 118183.57000000 NS USD 125045.23000000 0.066072074283 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.50000000 N N N N N N F/C US ULTRA BOND CBT MAR20 N/A N/A 28.00000000 NC USD 5086375.00000000 2.687566305677 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Long F/C US ULTRA BOND CBT MAR20 US ULTRA BOND CBT MAR20 2020-03-20 5257250 USD -170875 N N N CHASE 2019-CL1 M V/R 04/25/47 N/A 46591HAB6 190314.83000000 NS USD 189709.65000000 0.100239809923 Long ABS-CBDO CORP US N 2 2047-04-25 Variable 3.49200000 N N N N N N UMBS P#AO8107 3.5% 08/01/42 N/A 3138M0AH3 63960.06000000 NS USD 67421.37000000 0.035624467778 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N UMBS P#AS1845 4.5% 02/01/44 N/A 3138WBBP9 70031.56000000 NS USD 75317.49000000 0.039796662328 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 4.50000000 N N N N N N FNMA P#535533 8% 10/1/30_ N/A 31384V4S8 3425.80000000 NS USD 4044.62000000 0.002137118169 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 8.00000000 N N N N N N RBIT 2019-1 M3 V/R 04/25/22 N/A 76971DAD8 100000.00000000 NS USD 100063.68000000 0.052872187911 Long ABS-CBDO CORP US Y 2 2029-07-25 Variable 3.01100000 N N N N N N FGLMC P#C73121 6% 11/01/32 N/A 31288BPE7 4464.06000000 NS USD 4983.14000000 0.002633018438 Long ABS-MBS USGA US N 2 2032-11-01 Fixed 6.00000000 N N N N N N UMBS P#BH6175 3.5% 07/01/47 N/A 3140GU2H9 238457.73000000 NS USD 246907.73000000 0.130462440492 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 3.50000000 N N N N N N FGLMC P#Q47535 4% 04/01/47 N/A 3132WMLR3 178539.62000000 NS USD 188093.74000000 0.099385986666 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N SEMT 2019-CH3 A1 V/R 09/25/49 N/A 81748GAA9 367311.72000000 NS USD 374435.00000000 0.197845988482 Long ABS-CBDO CORP US Y 2 2049-09-25 Variable 4.00000000 N N N N N N FNMA P#556782 7% 9/1/30_ N/A 31385YRB3 1163.21000000 NS USD 1165.98000000 0.000616086812 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 7.00000000 N N N N N N UNITED TECHNOL 4.125% 11/16/28 I07WOS4YJ0N7YRFE7309 913017CY3 270000.00000000 NS USD 303775.39000000 0.160510481955 Long DBT CORP US N 2 2028-11-16 Fixed 4.12500000 N N N N N N NISSAN MOTOR AC 3.15% 03/15/21 N/A 654740BF5 255000.00000000 NS USD 257488.89000000 0.136053370986 Long DBT CORP US Y 2 2021-03-15 Fixed 3.15000000 N N N N N N BOOKING HOLDINGS 3.6% 06/01/26 FXM8FAOHMYDIPD38UZ17 741503AZ9 50000.00000000 NS USD 53378.17000000 0.028204245882 Long DBT CORP US N 2 2026-06-01 Fixed 3.60000000 N N N N N N OCI NV 3.125% 11/01/24/EUR/ 549300NCMRGIBJYUOE57 N/A 100000.00000000 NS 116662.40000000 0.061642709273 Long DBT CORP NL Y 2 2024-11-01 Fixed 3.12500000 N N N N N N AUTOZONE INC 2.5% 04/15/21 GA3JGKJ41LJKXDN23E90 053332AS1 110000.00000000 NS USD 110602.64000000 0.058440820541 Long DBT CORP US N 2 2021-04-15 Fixed 2.50000000 N N N N N N CAS 2019-R04 2M2 V/R 06/25/39 N/A 20753TAB9 180000.00000000 NS USD 181071.32000000 0.095675442443 Long ABS-CBDO CORP US Y 2 2039-06-25 Variable 3.89200000 N N N N N N HFLF 2016-1 E V/R 04/10/19 N/A 428041AU1 100000.00000000 NS USD 100283.77000000 0.052988480255 Long ABS-CBDO CORP US Y 2 2030-04-10 Variable 5.21513000 N N N N N N UMBS P#AJ3087 4% 11/01/41 N/A 3138AUND5 5136.29000000 NS USD 5510.33000000 0.002911577939 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 4.00000000 N N N N N N ENLINK MIDSTREA 5.45% 06/01/47 88CPW63VL7KHJWS0NY83 29336UAG2 280000.00000000 NS USD 226100.00000000 0.119467939684 Long DBT CORP US N 2 2047-06-01 Fixed 5.45000000 N N N N N N T/L TRONOX FINANCE 0% 09/23/24 N/A N/A 84321.59000000 NS USD 84571.94000000 0.044686578624 Long LON CORP US N 2 2024-09-23 Fixed 0.00000000 N N N N N N BIOGEN INC 3.625% 09/15/22 W8J5WZB5IY3K0NDQT671 09062XAE3 200000.00000000 NS USD 208167.05000000 0.109992430666 Long DBT CORP US N 2 2022-09-15 Fixed 3.62500000 N N N N N N DUKE REALTY LP 3.75% 12/01/24 N/A 26441YAY3 260000.00000000 NS USD 276395.54000000 0.146043368871 Long DBT CORP US N 2 2024-12-01 Fixed 3.75000000 N N N N N N TEVA PHARMACEU 7.125% 01/31/25 N/A 88167AAM3 200000.00000000 NS USD 205440.00000000 0.108551497252 Long DBT CORP NL Y 2 2025-01-31 Fixed 7.12500000 N N N N N N DPABS 2019-1A 3.668% 10/25/29 N/A 25755TAL4 300000.00000000 NS USD 300051.00000000 0.158542568643 Long ABS-CBDO CORP US Y 2 2049-10-25 Fixed 3.66800000 N N N N N N UMBS P#AJ9531 4% 12/01/41 N/A 3138E2SV8 6956.93000000 NS USD 7312.41000000 0.003863770706 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4.00000000 N N N N N N ENERGY TRANSFER 5.5% 06/01/27 5493008K8W3OKZE54J59 29278NAN3 43000.00000000 NS USD 48342.97000000 0.025543719699 Long DBT CORP US N 2 2027-06-01 Fixed 5.50000000 N N N N N N FGLMC P#Q41024 3% 06/01/46 N/A 3132WED66 110531.92000000 NS USD 113856.01000000 0.060159853761 Long ABS-MBS USGA US N 2 2046-06-01 Fixed 3.00000000 N N N N N N JPMMT 2019-LTV1 V/R 06/25/49 N/A 46650PAC4 443776.37000000 NS USD 449497.09000000 0.237507701178 Long ABS-CBDO CORP US Y 2 2049-06-25 Variable 4.00000000 N N N N N N UMBS P#BM1057 4% 04/01/47 N/A 3140J5E70 139593.96000000 NS USD 148561.73000000 0.078497849620 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N DRIVE 2019-1 C 3.78% 04/15/25 N/A 26208NAF1 250000.00000000 NS USD 254309.25000000 0.134373295622 Long ABS-CBDO CORP US N 2 2025-04-15 Fixed 3.78000000 N N N N N N FGLMC P#G67700 3.5% 08/01/46 N/A 3132XCRV9 259115.39000000 NS USD 274308.37000000 0.144940538709 Long ABS-MBS USGA US N 2 2046-08-01 Fixed 3.50000000 N N N N N N UMBS P#AS7602 4% 07/01/46 N/A 3138WHNU2 114437.90000000 NS USD 120612.20000000 0.063729725939 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4.00000000 N N N N N N FGLMC P#Q44868 3.5% 12/01/46 N/A 3132WJMS7 105801.42000000 NS USD 110005.34000000 0.058125215940 Long ABS-MBS USGA US N 2 2046-12-01 Fixed 3.50000000 N N N N N N T/L VISTRA OPER 0% 12/31/25 N/A N/A 93939.52000000 NS USD 94603.01000000 0.049986849591 Long LON CORP US N 2 2025-12-31 Fixed 0.00000000 N N N N N N FGLMC P#Q39638 3.5% 03/01/46 N/A 3132QWV89 82724.09000000 NS USD 86273.49000000 0.045585652807 Long ABS-MBS USGA US N 2 2046-03-01 Fixed 3.50000000 N N N N N N WFCM 2015-NXS 3.617% 09/15/25 N/A 94989VAD1 260000.00000000 NS USD 276070.94000000 0.145871854969 Long ABS-CBDO CORP US N 2 2057-09-15 Fixed 3.61700000 N N N N N N UMBS P#AS1626 4.5% 02/01/44 N/A 3138WAYY7 78783.16000000 NS USD 84567.21000000 0.044684079361 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 4.50000000 N N N N N N FGLMC P#G18519 3.5% 07/01/29 N/A 3128MMSH7 52020.30000000 NS USD 54161.20000000 0.028617987504 Long ABS-MBS USGA US N 2 2029-07-01 Fixed 3.50000000 N N N N N N T/L 1011778 B C 0% 11/14/26 N/A N/A 154039.05000000 NS USD 154423.22000000 0.081594975377 Long LON CORP CA N 2 2026-11-14 Fixed 0.00000000 N N N N N N ABBVIE INC 4.875% 11/14/48 FR5LCKFTG8054YNNRU85 00287YBD0 455000.00000000 NS USD 525677.87000000 0.277760513342 Long DBT CORP US N 2 2048-11-14 Fixed 4.87500000 N N N N N N UMBS P#AB9184 3% 04/01/43 N/A 31417GF27 74733.67000000 NS USD 76959.54000000 0.040664297580 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N BMIR 2019-1A M2 V/R 03/25/29 N/A 07876RAC0 150000.00000000 NS USD 150586.28000000 0.079567592288 Long ABS-CBDO CORP BM Y 2 2029-03-25 Variable 4.49200000 N N N N N N BOEING CO 3.9% 05/01/49 RVHJWBXLJ1RFUBSY1F30 097023CK9 480000.00000000 NS USD 521109.09000000 0.275346436679 Long DBT CORP US N 2 2049-05-01 Fixed 3.90000000 N N N N N N CGCMT 2016-P5 D 3% 10/10/26 N/A 17325DAL7 250000.00000000 NS USD 221562.98000000 0.117070644542 Long ABS-CBDO CORP US Y 2 2049-10-10 Fixed 3.00000000 N N N N N N UMBS P#BH1439 4% 04/01/47 N/A 3140GPS58 95888.06000000 NS USD 102059.31000000 0.053926649674 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N ISTAR INC 4.75% 10/01/24 QFFLKWYYS3UPWD86E794 45031UCF6 175000.00000000 NS USD 181343.75000000 0.095819390478 Long DBT CORP US N 2 2024-10-01 Fixed 4.75000000 N N N N N N GNMA P#564889 6.5% 10/15/31 N/A 36213URJ1 5889.06000000 NS USD 6496.36000000 0.003432581798 Long ABS-MBS USGSE US N 2 2031-10-15 Fixed 6.50000000 N N N N N N GNMA P#605654 6% 08/15/34 N/A 36200NZT1 9700.99000000 NS USD 11076.18000000 0.005852491836 Long ABS-MBS USGSE US N 2 2034-08-15 Fixed 6.00000000 N N N N N N NEW YORK LIFE 2.875% 04/10/24 N/A 64952WDG5 325000.00000000 NS USD 335321.91000000 0.177179202648 Long DBT CORP US Y 2 2024-04-10 Fixed 2.87500000 N N N N N N UMBS P#MA2276 2.5% 04/01/45 N/A 31418BQ66 62693.20000000 NS USD 62390.85000000 0.032966414439 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N BMARK 2018-B8 3.962% 10/15/28 N/A 08162UAV2 250000.00000000 NS USD 275244.25000000 0.145435044040 Long ABS-CBDO CORP US N 2 2052-01-15 Fixed 3.96280000 N N N N N N MDCP 2018-2A 4.605% 07/20/24 N/A 289333AB2 150000.00000000 NS USD 150714.98000000 0.079635595489 Long ABS-CBDO CORP US Y 2 2027-10-20 Fixed 4.60500000 N N N N N N HPA 2018-1 A V/R 07/15/20 N/A 43730WAA4 156260.89000000 NS USD 156236.08000000 0.082552864139 Long ABS-CBDO CORP US Y 2 2037-07-17 Variable 2.63738000 N N N N N N CAPITAL ONE NA 2.15% 09/06/22 N/A 14042RNW7 300000.00000000 NS USD 300509.32000000 0.158784738241 Long DBT CORP US N 2 2022-09-06 Fixed 2.15000000 N N N N N N GNMA II P#3133 6.5% 09/20/31 N/A 36202DPS4 1775.27000000 NS USD 2031.61000000 0.001073473069 Long ABS-MBS USGSE US N 2 2031-09-20 Fixed 6.50000000 N N N N N N WFCM 2016-LC2 2.684% 07/15/26 N/A 95000HBE1 200000.00000000 NS USD 202428.88000000 0.106960465397 Long ABS-CBDO CORP US N 2 2049-10-15 Fixed 2.68400000 N N N N N N FNMA P#666818 6% 11/1/32 N/A 31391GYP5 2571.00000000 NS USD 2831.74000000 0.001496250081 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 6.00000000 N N N N N N GNMA II P#BB5176 4% 02/20/48 N/A 3617AVXD5 62816.80000000 NS USD 66298.70000000 0.035031265337 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 4.00000000 N N N N N N GNMA II P#MA2224 4% 09/20/44 N/A 36179QPH8 33954.45000000 NS USD 35999.47000000 0.019021594474 Long ABS-MBS USGSE US N 2 2044-09-20 Fixed 4.00000000 N N N N N N PNC BANK NA 2.7% 10/22/29 N/A 69349LAS7 250000.00000000 NS USD 249692.34000000 0.131933787770 Long DBT CORP US N 2 2029-10-22 Fixed 2.70000000 N N N N N N WILLIS NORTH AM 2.95% 09/15/29 N/A 970648AJ0 85000.00000000 NS USD 84248.53000000 0.044515693500 Long DBT CORP US N 2 2029-09-15 Fixed 2.95000000 N N N N N N JPMDB 2016-C4 D V/R 11/15/26 N/A 46646RAB9 100000.00000000 NS USD 90741.35000000 0.047946404815 Long ABS-CBDO CORP US Y 2 2049-12-15 Variable 3.09080000 N N N N N N FGLMC P#G08595 4% 07/01/44 N/A 3128MJUV0 30703.64000000 NS USD 32554.83000000 0.017201496978 Long ABS-MBS USGA US N 2 2044-07-01 Fixed 4.00000000 N N N N N N CAPITAL ONE FIN 4.25% 04/30/25 ZUE8T73ROZOF6FLBAR73 14040HBZ7 180000.00000000 NS USD 195987.54000000 0.103556955363 Long DBT CORP US N 2 2025-04-30 Fixed 4.25000000 N N N N N N MERITAGE HOMES COR 6% 06/01/25 52990044W9UMFJO2FB97 59001AAY8 135000.00000000 NS USD 150862.50000000 0.079713542904 Long DBT CORP US N 2 2025-06-01 Fixed 6.00000000 N N N N N N ALBERMALE WOD P 3.45% 11/15/29 N/A 01273PAA0 375000.00000000 NS USD 375159.89000000 0.198229009777 Long DBT CORP AU Y 2 2029-11-15 Fixed 3.45000000 N N N N N N STANDARD INDUSTR 5.5% 02/15/23 N/A 853496AB3 160000.00000000 NS USD 162600.00000000 0.085915466575 Long DBT CORP US Y 2 2023-02-15 Fixed 5.50000000 N N N N N N UMBS P#BK3960 4% 04/01/48 N/A 3140HHMJ1 232614.13000000 NS USD 242552.36000000 0.128161126558 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 4.00000000 N N N N N N UMBS P#AZ4750 3.5% 10/01/45 N/A 3138YWH42 32637.65000000 NS USD 34223.70000000 0.018083303526 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.50000000 N N N N N N GNMA P#422506 6.5% 03/15/26 N/A 36206VKT3 1297.77000000 NS USD 1431.60000000 0.000756436543 Long ABS-MBS USGSE US N 2 2026-03-15 Fixed 6.50000000 N N N N N N GNMA P#470000 6.5% 02/15/29 N/A 36209FDD8 462.47000000 NS USD 510.16000000 0.000269561097 Long ABS-MBS USGSE US N 2 2029-02-15 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 26858.46000000 0.014191618218 N/A DCR US N 2 JP MORGAN CHASE BANK, N.A. N/A CDX NA IG 24 CDX NA IG 24 Y 2020-06-20 -1190400 USD 1209628.23 USD 1190400 USD -13631.64 N N N NAKILAT INC 6.267% 12/31/33 144A 2549006RMTDJWLLWF072 62983PAB1 192626.18000000 NS USD 229745.24000000 0.121394031292 Long DBT CORP MH Y 2 2033-12-31 Fixed 6.26700000 N N N N N N PPL CAPITAL FUND 3.1% 05/15/26 N/A 69352PAL7 430000.00000000 NS USD 437795.10000000 0.231324540473 Long DBT CORP US N 2 2026-05-15 Fixed 3.10000000 N N N N N N GNMA P#465533 6.5% 06/15/28 N/A 36209AEE6 3422.02000000 NS USD 3774.91000000 0.001994607342 Long ABS-MBS USGSE US N 2 2028-06-15 Fixed 6.50000000 N N N N N N GNR 2017-21 IO V/R 10/16/58 N/A 38379U5F9 1412018.54000000 NS USD 93049.62000000 0.049166060990 Long ABS-CBDO CORP US N 2 2058-10-16 Variable 0.77522000 N N N N N N FORD MOTOR CRE 5.584% 03/18/24 N/A 345397ZQ9 225000.00000000 NS USD 243571.45000000 0.128699598839 Long DBT CORP US N 2 2024-03-18 Fixed 5.58400000 N N N N N N TPMT 2015-5 M1 V/R 05/25/25 N/A 89171VAC1 320000.00000000 NS USD 325596.22000000 0.172040290015 Long ABS-CBDO CORP US Y 2 2055-05-25 Variable 3.50000000 N N N N N N GNMA II P#2059 8% 08/20/25 N/A 36202CJC8 162.17000000 NS USD 175.89000000 0.000092937708 Long ABS-MBS USGSE US N 2 2025-08-20 Fixed 8.00000000 N N N N N N ALTA WIND HOLD 7% 06/30/35 N/A 021345AA1 53282.06000000 NS USD 59432.63000000 0.031403334171 Long DBT CORP US Y 2 2035-06-30 Fixed 7.00000000 N N N N N N UDR INC 4% 10/01/25 P3CH2EG5X6Z1XWU1OO74 90265EAK6 201000.00000000 NS USD 217099.46000000 0.114712185726 Long DBT CORP US N 2 2025-10-01 Fixed 4.00000000 N N N N N N BECTON DICKINSON V/R 12/29/20 ICE2EP6D98PQUILVRZ91 075887CF4 124000.00000000 NS USD 124060.91000000 0.065551973963 Long DBT CORP US N 2 2020-12-29 Variable 2.83550000 N N N N N N UMBS P#BH6459 4% 07/01/47 N/A 3140GVE92 82184.52000000 NS USD 87429.69000000 0.046196572010 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N FGLMC P#C65037 6.5% 03/01/32 N/A 31287QS28 1923.76000000 NS USD 2136.55000000 0.001128921833 Long ABS-MBS USGA US N 2 2032-03-01 Fixed 6.50000000 N N N N N N FGLMC P#C65160 7% 03/01/32 N/A 31287QWV9 756.83000000 NS USD 762.40000000 0.000402841031 Long ABS-MBS USGA US N 2 2032-03-01 Fixed 7.00000000 N N N N N N CF INDUSTRIES I 4.95% 06/01/43 N/A 12527GAD5 54000.00000000 NS USD 56295.00000000 0.029745456278 Long DBT CORP US N 2 2043-06-01 Fixed 4.95000000 N N N N N N HYUNDAI CAPITAL SE 3% 08/29/22 N/A 44920UAK4 400000.00000000 NS USD 404706.55000000 0.213841033637 Long DBT CORP KR Y 2 2022-08-29 Fixed 3.00000000 N N N N N N EQT CORP 3.9% 10/01/27 4NT01YGM4X7ZX86ISY52 26884LAF6 480000.00000000 NS USD 446592.99000000 0.235973217129 Long DBT CORP US N 2 2027-10-01 Fixed 3.90000000 N N N N N N MASSMUTUAL GLOB 2.95% 01/11/25 N/A 57629WCG3 200000.00000000 NS USD 205444.05000000 0.108553637213 Long DBT CORP US Y 2 2025-01-11 Fixed 2.95000000 N N N N N N CAMERON LNG LL 3.402% 01/15/38 N/A 133434AC4 248000.00000000 NS USD 248904.21000000 0.131517351382 Long DBT CORP US Y 2 2038-01-15 Fixed 3.40200000 N N N N N N TPMT 2019-3 M1 V/R 02/25/59 N/A 89177LAE3 300000.00000000 NS USD 320311.29000000 0.169247810146 Long ABS-CBDO CORP US Y 2 2059-02-25 Variable 4.25000000 N N N N N N GNR 2005-61 UZ 5.25% 08/16/35 N/A 38374LR94 28350.93000000 NS USD 29719.07000000 0.015703122787 Long ABS-MBS USGSE US N 2 2035-08-16 Fixed 5.25000000 N N N N N N UMBS P#BH3109 4% 06/01/47 N/A 3140GRN34 21819.34000000 NS USD 23187.45000000 0.012251910119 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N HUMANA INC 3.95% 03/15/27 529900YLDW34GJAO4J06 444859BF8 130000.00000000 NS USD 139916.46000000 0.073929815144 Long DBT CORP US N 2 2027-03-15 Fixed 3.95000000 N N N N N N GNMA II P#3474 6% 11/20/33 N/A 36202D2F7 9681.87000000 NS USD 11048.42000000 0.005837823857 Long ABS-MBS USGSE US N 2 2033-11-20 Fixed 6.00000000 N N N N N N FGLMC P#G08672 4% 10/01/45 N/A 3128MJXA3 23395.95000000 NS USD 24808.13000000 0.013108253775 Long ABS-MBS USGA US N 2 2045-10-01 Fixed 4.00000000 N N N N N N TPMT 2019-HY2 XA V/R 05/25/58 N/A 89177HAN2 354113.99000000 NS USD 353634.27000000 0.186855186372 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 5.00000000 N N N N N N NRZT 2019-RPL2 A V/R 02/25/59 N/A 64830HAA2 378900.23000000 NS USD 385171.29000000 0.203518887403 Long ABS-CBDO CORP US Y 2 2059-02-25 Variable 3.25000000 N N N N N N PROG 2017-SFR 4.142% 12/17/22 N/A 74333KAJ7 130000.00000000 NS USD 130731.74000000 0.069076743163 Long ABS-CBDO CORP US Y 2 2034-12-17 Fixed 4.14200000 N N N N N N CHENIERE ENERGY 4.5% 10/01/29 N/A 16411QAE1 65000.00000000 NS USD 66794.00000000 0.035292974627 Long DBT CORP US Y 2 2029-10-01 Fixed 4.50000000 N N N N N N FNMA P#253643 7.5% 2/1/31 N/A 31371JWC4 646.00000000 NS USD 754.03000000 0.000398418445 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 7.50000000 N N N N N N UMBS P#AK0746 4% 02/01/42 N/A 3138E4ZL8 50591.42000000 NS USD 54173.09000000 0.028624270007 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 4.00000000 N N N N N N US TIPS 1% 02/15/49 N/A 912810SG4 1742663.76000000 NS USD 1936354.89000000 1.023141659472 Long DBT UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N STACR 2017-DNA2 V/R 10/25/29 N/A 3137G0NX3 320000.00000000 NS USD 340847.97000000 0.180099092090 Long ABS-CBDO CORP US N 2 2029-10-25 Variable 5.24200000 N N N N N N GNMA P#784078 4% 06/15/45 N/A 3622A2Q70 115056.09000000 NS USD 123539.98000000 0.065276722155 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 4.00000000 N N N N N N CGCMT 2014-GC19 V/R 02/10/24 N/A 17322AAG7 250000.00000000 NS USD 269876.30000000 0.142598697614 Long ABS-CBDO CORP US N 2 2047-03-10 Variable 4.80500000 N N N N N N GNMA P#608668 6% 08/15/34 N/A 36202TFH4 8312.08000000 NS USD 9151.41000000 0.004835471463 Long ABS-MBS USGSE US N 2 2034-08-15 Fixed 6.00000000 N N N N N N FGLMC P#G07362 4% 10/01/42 N/A 3128M9QP0 141393.07000000 NS USD 151334.72000000 0.079963057059 Long ABS-MBS USGA US N 2 2042-10-01 Fixed 4.00000000 N N N N N N FGLMC P#Q37291 3.5% 11/01/45 N/A 3132QUC50 351246.65000000 NS USD 368527.02000000 0.194724298087 Long ABS-MBS USGA US N 2 2045-11-01 Fixed 3.50000000 N N N N N N FGLMC P#C01136 7% 02/01/31 N/A 31292HHM9 1196.08000000 NS USD 1378.71000000 0.000728490239 Long ABS-MBS USGA US N 2 2031-02-01 Fixed 7.00000000 N N N N N N TPMT 2015-1 A6 V/R 10/25/31 N/A 89171DAF4 350000.00000000 NS USD 360755.96000000 0.190618183415 Long ABS-CBDO CORP US Y 2 2053-10-25 Variable 3.95229500 N N N N N N UMBS P#790605 6% 09/01/34 N/A 31405JKS2 2149.33000000 NS USD 2380.75000000 0.001257953548 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6.00000000 N N N N N N FGLMC P#Q52015 3.5% 11/01/47 N/A 3132XUGZ2 110824.78000000 NS USD 115242.41000000 0.060892407284 Long ABS-MBS USGA US N 2 2047-11-01 Fixed 3.50000000 N N N N N N DCP MIDSTREAM OP 5.6% 04/01/44 N/A 23311VAF4 100000.00000000 NS USD 96750.00000000 0.051121287768 Long DBT CORP US N 2 2044-04-01 Fixed 5.60000000 N N N N N N ABBOTT LABORATO 3.75% 11/30/26 HQD377W2YR662HK5JX27 002824BF6 141000.00000000 NS USD 154063.87000000 0.081405100082 Long DBT CORP US N 2 2026-11-30 Fixed 3.75000000 N N N N N N UMBS P#AQ7254 3% 12/01/42 N/A 3138MPBY0 22555.16000000 NS USD 23247.74000000 0.012283766475 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.00000000 N N N N N N UMBS P#AZ4788 4% 10/01/45 N/A 3138YWKA4 150417.18000000 NS USD 158593.17000000 0.083798316090 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 4.00000000 N N N N N N HPA 2019-1 D 3.406% 09/17/27 N/A 43731QAG3 99039.03000000 NS USD 97784.63000000 0.051667971158 Long ABS-CBDO CORP US Y 2 2039-09-17 Fixed 3.40600000 N N N N N N T/L DELL 0% 9/11/25 N/A N/A 67171.71000000 NS USD 67702.23000000 0.035772870102 Long LON CORP US N 2 2025-09-11 Fixed 0.00000000 N N N N N N FCRT 2019-1 D 3.27% 06/16/25 N/A 35105RAF7 250000.00000000 NS USD 252823.88000000 0.133588447796 Long ABS-CBDO CORP US Y 2 2025-06-16 Fixed 3.27000000 N N N N N N BACARDI LTD 5.3% 05/15/48 549300R32WTQNHNN5055 067316AH2 240000.00000000 NS USD 278850.79000000 0.147340687132 Long DBT CORP BM Y 2 2048-05-15 Fixed 5.30000000 N N N N N N CNO FINANCIAL G 5.25% 05/30/25 11XPYHB76MPM4Y4P2897 12621EAK9 32000.00000000 NS USD 35440.00000000 0.018725978692 Long DBT CORP US N 2 2025-05-30 Fixed 5.25000000 N N N N N N TYSON FOODS INC V/R 08/21/20 WD6L6041MNRW1JE49D58 902494BE2 120000.00000000 NS USD 120119.40000000 0.063469337612 Long DBT CORP US N 2 2020-08-21 Variable 2.34463000 N N N N N N UMBS P#BJ5114 4% 12/01/47 N/A 3140H6VG1 193784.23000000 NS USD 203335.76000000 0.107439647551 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.00000000 N N N N N N AIG GLOBAL FUNDIN V/R 07/02/20 54930057MDZ7KOVOTV71 00138CAE8 260000.00000000 NS USD 260479.43000000 0.137633528670 Long DBT CORP US Y 2 2020-07-02 Variable 2.56513000 N N N N N N UMBS P#RA1087 4.5% 07/01/49 N/A 3133KGF45 588354.57000000 NS USD 623210.74000000 0.329295458191 Long ABS-MBS USGA US N 2 2049-07-01 Fixed 4.50000000 N N N N N N UMBS P#BH6392 3.5% 11/01/47 N/A 3140GVC60 94036.83000000 NS USD 97658.85000000 0.051601510842 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N SCFET 2019-1A 3.92% 11/20/26 N/A 78397AAD6 200000.00000000 NS USD 201245.08000000 0.106334962756 Long ABS-CBDO CORP US Y 2 2026-11-20 Fixed 3.92000000 N N N N N N DCP MIDSTREAM 5.375% 07/15/25 N/A 23311VAG2 170000.00000000 NS USD 184875.00000000 0.097685251433 Long DBT CORP US N 2 2025-07-15 Fixed 5.37500000 N N N N N N CGCMT 2014-GC25 V/R 10/10/24 N/A 17322YAG5 250000.00000000 NS USD 264600.55000000 0.139811068323 Long ABS-CBDO CORP US N 2 2047-10-10 Variable 4.34500000 N N N N N N ADANIREN KODSO 4.625% 10/15/39 N/A 00654CAA0 290000.00000000 NS USD 293770.00000000 0.155223779925 Long DBT CORP IN Y 2 2039-10-15 Fixed 4.62500000 N N N N N N UMBS P#AS4402 3.5% 02/01/45 N/A 3138WD3L3 161295.26000000 NS USD 171728.92000000 0.090739054651 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N TPMT 2019-MH1 A1 V/R 11/25/58 N/A 89177WAA7 139742.60000000 NS USD 140393.80000000 0.074182034632 Long ABS-CBDO CORP US Y 2 2058-11-25 Variable 3.00000000 N N N N N N T/L ENDO LUXEMBO 0% 04/29/2024 N/A L2968EAB8 171914.33000000 NS USD 163779.17000000 0.086538522791 Long LON CORP LU N 2 2024-04-29 Fixed 0.00000000 N N N N N N T/L HCA INC 0% 03/17/26 N/A N/A 57099.44000000 NS USD 57492.00000000 0.030377933606 Long LON CORP US N 2 2026-03-17 Fixed 0.00000000 N N N N N N TPMT 2017-4 M2 V/R 06/25/57 N/A 89173UAD9 400000.00000000 NS USD 399662.44000000 0.211175799540 Long ABS-CBDO CORP US Y 2 2057-06-25 Variable 3.25000000 N N N N N N EVER 2013-2 A V/R 02/25/32 N/A 29977KAA1 153718.22000000 NS USD 154819.30000000 0.081804258268 Long ABS-CBDO CORP US Y 2 2043-06-25 Variable 3.00000000 N N N N N N CIGAR 2019-1A 3.59% 08/15/24 N/A 125504AB6 400000.00000000 NS USD 406025.68000000 0.214538042674 Long ABS-CBDO CORP US Y 2 2024-08-15 Fixed 3.59000000 N N N N N N FGLMC P#G60238 3.5% 10/01/45 N/A 31335AHP6 172476.80000000 NS USD 181930.57000000 0.096129457600 Long ABS-MBS USGA US N 2 2045-10-01 Fixed 3.50000000 N N N N N N FGLMC P#Q46507 3.5% 08/01/46 N/A 3132WLGR1 320126.36000000 NS USD 337483.71000000 0.178321466213 Long ABS-MBS USGA US N 2 2046-08-01 Fixed 3.50000000 N N N N N N GNMA II P#3026 7% 01/20/31 N/A 36202DLF6 898.42000000 NS USD 1045.97000000 0.000552675280 Long ABS-MBS USGSE US N 2 2031-01-20 Fixed 7.00000000 N N N N N N FARMERS EXCHANGE V/R 10/15/54 N/A 30958QAA9 100000.00000000 NS USD 115146.41000000 0.060841682285 Long DBT CORP US Y 2 2054-10-15 Variable 5.45400000 N N N N N N AH4R 2015-SFR1 4.11% 04/17/25 N/A 02666AAC2 100000.00000000 NS USD 103650.37000000 0.054767342553 Long ABS-CBDO CORP US Y 2 2052-04-17 Fixed 4.11000000 N N N N N N UMBS P#MA2671 3.5% 07/01/46 N/A 31418B6H4 140764.25000000 NS USD 146427.07000000 0.077369926435 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.50000000 N N N N N N F/C US 5YR NOTE (CBT) MAR20 N/A N/A 191.00000000 NC USD 22654390.63000000 11.97024932940 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Long F/C US 5YR NOTE (CBT) MAR20 US 5YR NOTE (CBT) MAR20 2020-03-31 22735210.95 USD -80820.33 N N N ANGLO AMERICAN C 4.5% 03/15/28 N/A 034863AU4 200000.00000000 NS USD 214353.59000000 0.113261308099 Long DBT CORP GB Y 2 2028-03-15 Fixed 4.50000000 N N N N N N MCMLT 2019-1 M2 V/R 10/25/69 N/A 59981AAH9 668768.20000000 NS USD 667659.38000000 0.352781470764 Long ABS-CBDO CORP US Y 2 2069-10-25 Variable 3.50000000 N N N N N N UMBS P#AU4293 4% 09/01/43 N/A 3138X3XX5 115174.02000000 NS USD 122884.46000000 0.064930354955 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.00000000 N N N N N N MFT 2018-3A A 3.2% 09/15/28 N/A 57109FAA4 55178.22000000 NS USD 55285.34000000 0.029211966672 Long ABS-CBDO CORP US Y 2 2028-09-15 Fixed 3.20000000 N N N N N N FGLMC P#Q15643 3% 02/01/43 N/A 3132J6WD2 79347.37000000 NS USD 81931.26000000 0.043291281857 Long ABS-MBS USGA US N 2 2043-02-01 Fixed 3.00000000 N N N N N N FGLMC P#Q52189 3.5% 11/01/47 N/A 3132XUNF8 151658.01000000 NS USD 157608.00000000 0.083277766642 Long ABS-MBS USGA US N 2 2047-11-01 Fixed 3.50000000 N N N N N N FASST 2019-HB1 M V/R 12/25/21 N/A 31739HAD7 100000.00000000 NS USD 101300.00000000 0.053525441353 Long ABS-CBDO CORP US Y 2 2029-04-25 Variable 3.81250000 N N N N N N TPMT 2016-3 M1 V/R 04/25/56 N/A 89172YAC4 330000.00000000 NS USD 337730.75000000 0.178451998543 Long ABS-CBDO CORP US Y 2 2056-04-25 Variable 3.50000000 N N N N N N BMARK 2019-B1 3.351% 11/15/29 N/A 08162YAF9 265000.00000000 NS USD 273976.11000000 0.144764977375 Long ABS-CBDO CORP US N 2 2062-12-15 Fixed 3.35150000 N N N N N N SNDPT 2019-4A D V/R 01/15/33 N/A 83614DAN5 250000.00000000 NS USD 247500.00000000 0.130775387315 Long ABS-CBDO CORP KY Y 2 2033-01-15 Variable 0.00000000 N N N N N N UBS AG STAMFOR 7.625% 08/17/22 N/A 90261AAB8 250000.00000000 NS USD 281827.50000000 0.148913537246 Long DBT CORP US N 2 2022-08-17 Fixed 7.62500000 N N N N N N COMCAST CORP 4.15% 10/15/28 51M0QTTNCGUN7KFCFZ59 20030NCT6 270000.00000000 NS USD 304112.88000000 0.160688806745 Long DBT CORP US N 2 2028-10-15 Fixed 4.15000000 N N N N N N SOUTHWESTERN ELE 3.9% 04/01/45 N/A 845437BN1 335000.00000000 NS USD 350474.55000000 0.185185636445 Long DBT CORP US N 2 2045-04-01 Fixed 3.90000000 N N N N N N FGLMC P#C01241 7.5% 08/01/31 N/A 31292HLW2 1317.10000000 NS USD 1493.64000000 0.000789217573 Long ABS-MBS USGA US N 2 2031-08-01 Fixed 7.50000000 N N N N N N CFCC 2019-1A A 3.83% 03/15/23 N/A 21134LAA6 300000.00000000 NS USD 302158.65000000 0.159656220138 Long ABS-CBDO CORP US Y 2 2026-08-15 Fixed 3.83000000 N N N N N N GNMA II P#MA3376 3.5% 01/20/46 N/A 36179RXD6 115046.26000000 NS USD 119941.36000000 0.063375263875 Long ABS-MBS USGSE US N 2 2046-01-20 Fixed 3.50000000 N N N N N N FGLMC P#G60080 3.5% 06/01/45 N/A 31335ACR7 202076.80000000 NS USD 213930.52000000 0.113037764087 Long ABS-MBS USGA US N 2 2045-06-01 Fixed 3.50000000 N N N N N N UMBS P#254148 7% 01/01/32 N/A 31371KHZ7 1766.95000000 NS USD 2065.15000000 0.001091195115 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 7.00000000 N N N N N N CMLTI 2019-RP1 A V/R 01/25/66 N/A 17327RAA8 364180.90000000 NS USD 371848.04000000 0.196479076579 Long ABS-CBDO CORP US Y 2 2066-01-25 Variable 3.50000000 N N N N N N CSAIL 2016-C5 C V/R 11/15/25 N/A 12636LBE9 300000.00000000 NS USD 318567.63000000 0.168326485653 Long ABS-CBDO CORP US N 2 2048-11-15 Variable 4.57668400 N N N N N N HIGHWOODS REAL 4.125% 03/15/28 N/A 431282AQ5 105000.00000000 NS USD 112452.50000000 0.059418259563 Long DBT CORP US N 2 2028-03-15 Fixed 4.12500000 N N N N N N F/C US 10YR NOTE (CBT)MAR20 N/A N/A -61.00000000 NC USD -7833734.38000000 -4.13923089967 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C US 10YR NOTE (CBT)MAR20 US 10YR NOTE (CBT)MAR20 2020-03-20 7903281.26 USD 69546.88 N N N SWH 2017-1 B V/R 10/17/19 N/A 85572MAB6 200000.00000000 NS USD 199767.72000000 0.105554347297 Long ABS-CBDO CORP US Y 2 2035-01-17 Variable 2.90975000 N N N N N N UMBS P#SD8012 4% 09/01/49 N/A 3132DV3V5 258762.13000000 NS USD 269355.60000000 0.142323567335 Long ABS-MBS USGA US N 2 2049-09-01 Fixed 4.00000000 N N N N N N GNMA P#616694 5.5% 10/15/34 N/A 36290TC72 10639.89000000 NS USD 11646.18000000 0.006153671516 Long ABS-MBS USGSE US N 2 2034-10-15 Fixed 5.50000000 N N N N N N PENSKE TRUCK LE 3.35% 11/01/29 N/A 709599BH6 95000.00000000 NS USD 94933.75000000 0.050161607779 Long DBT CORP US Y 2 2029-11-01 Fixed 3.35000000 N N N N N N GNMA II P#AR0817 3.5% 03/20/46 N/A 36192S4A5 36244.82000000 NS USD 38392.19000000 0.020285872796 Long ABS-MBS USGSE US N 2 2046-03-20 Fixed 3.50000000 N N N N N N FGLMC P#Q45370 3% 12/01/46 N/A 3132WJ6G1 59135.55000000 NS USD 60602.74000000 0.032021603215 Long ABS-MBS USGA US N 2 2046-12-01 Fixed 3.00000000 N N N N N N F/C US 2YR NOTE (CBT) MAR20 N/A N/A 32.00000000 NC USD 6896000.00000000 3.643745741112 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Long F/C US 2YR NOTE (CBT) MAR20 US 2YR NOTE (CBT) MAR20 2020-03-31 6899726.57 USD -3726.57 N N N UMBS P#RA1188 4.5% 08/01/49 N/A 3133KGJ90 618929.35000000 NS USD 655596.72000000 0.346407737295 Long ABS-MBS USGA US N 2 2049-08-01 Fixed 4.50000000 N N N N N N GNMA P#569897 6.5% 06/15/32 N/A 36200RDA7 907.12000000 NS USD 1000.67000000 0.000528739421 Long ABS-MBS USGSE US N 2 2032-06-15 Fixed 6.50000000 N N N N N N COMM 2013-CR11 C V/R 09/10/23 N/A 12626LAW2 200000.00000000 NS USD 211045.70000000 0.111513467307 Long ABS-CBDO CORP US Y 2 2050-08-10 Variable 5.28594400 N N N N N N PROG 2018-SFR 3.712% 08/17/23 N/A 74332UAA5 350000.00000000 NS USD 355033.95000000 0.187594756853 Long ABS-CBDO CORP US Y 2 2035-08-17 Fixed 3.71200000 N N N N N N PROG 2018-SFR 4.338% 08/17/23 N/A 74332UAG2 100000.00000000 NS USD 101778.45000000 0.053778247349 Long ABS-CBDO CORP US Y 2 2035-08-17 Fixed 4.33800000 N N N N N N MCMLT 2018-4 A1B V/R 04/25/66 N/A 59980YAB1 935000.00000000 NS USD 955465.65000000 0.504854102808 Long ABS-CBDO CORP US Y 2 2066-04-25 Variable 3.50000000 N N N N N N FGLMC P#G04815 5% 09/01/38 N/A 3128M6VG0 3657.28000000 NS USD 4032.00000000 0.002130449946 Long ABS-MBS USGA US N 2 2038-09-01 Fixed 5.00000000 N N N N N N T/L CONFIE SEGUROS HOLDING II CO. 0% 4/19/22 N/A N/A 90961.54000000 NS USD 88744.35000000 0.046891219164 Long LON CORP US N 2 2022-04-19 Fixed 0.00000000 N N N N N N T/L STONEPEAK LON 0% 10/14/26 N/A 86184NAC0 155000.00000000 NS USD 153256.25000000 0.080978365463 Long LON CORP US N 2 2026-11-14 Fixed 0.00000000 N N N N N N UMBS P#545819 6.5% 08/01/32 N/A 31385JK80 2455.15000000 NS USD 2761.25000000 0.001459004194 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 6.50000000 N N N N N N RMIR 2019-1 M1B V/R 02/25/29 N/A 75049SAB9 310000.00000000 NS USD 309622.05000000 0.163599771757 Long ABS-CBDO CORP BM Y 2 2029-02-25 Variable 3.74200000 N N N N N N THERMO FISHER SCIE 3% 04/15/23 HCHV7422L5HDJZCRFL38 883556BN1 380000.00000000 NS USD 390744.07000000 0.206463463011 Long DBT CORP US N 2 2023-04-15 Fixed 3.00000000 N N N N N N T/L RACKSPACE HOST 0% 11/03/23 N/A N/A 41042.48000000 NS USD 40221.63000000 0.021252522188 Long LON CORP US N 2 2023-11-03 Fixed 0.00000000 N N N N N N BMIR 2018-3A M1B V/R 10/25/28 N/A 07877TAB7 505000.00000000 NS USD 505957.28000000 0.267340441442 Long ABS-CBDO CORP BM Y 2 2028-10-25 Variable 3.64200000 N N N N N N GNMA P#556039 7% 05/15/32 N/A 36213JV85 5944.66000000 NS USD 6050.29000000 0.003196884921 Long ABS-MBS USGSE US N 2 2032-05-15 Fixed 7.00000000 N N N N N N TPMT 2019-HY2 A2 V/R 05/25/58 N/A 89177HAB8 500000.00000000 NS USD 505688.80000000 0.267198580529 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 3.19200000 N N N N N N UMBS P#AS6226 4% 11/01/45 N/A 3138WF4L7 32508.36000000 NS USD 34035.34000000 0.017983776852 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.00000000 N N N N N N FGLMC P#G01355 6.5% 02/01/32 N/A 31283HQG3 1617.02000000 NS USD 1797.82000000 0.000949941845 Long ABS-MBS USGA US N 2 2032-02-01 Fixed 6.50000000 N N N N N N CVS HEALTH CORP AMRTZ 6.036%28 N/A 126650BP4 130134.42000000 NS USD 145386.16000000 0.076819924784 Long DBT CORP US N 2 2028-12-10 Fixed 6.03600000 N N N N N N ERAC USA FINANCE 3.3% 12/01/26 N/A 26884TAR3 200000.00000000 NS USD 205922.51000000 0.108806448493 Long DBT CORP US Y 2 2026-12-01 Fixed 3.30000000 N N N N N N GNMA P#612235 5.5% 08/15/33 N/A 36202XEG8 26352.70000000 NS USD 29549.52000000 0.015613535042 Long ABS-MBS USGSE US N 2 2033-08-15 Fixed 5.50000000 N N N N N N T/L ELECTRICAL COM 0% 06/14/25 N/A 29279EAB8 51385.48000000 NS USD 47788.50000000 0.025250745845 Long LON CORP US N 2 2025-06-14 Fixed 0.00000000 N N N N N N CGCMT 2015-GC 3.137% 12/10/24 N/A 17323CAE7 150000.00000000 NS USD 155017.32000000 0.081908889145 Long ABS-CBDO CORP US N 2 2048-02-10 Fixed 3.13700000 N N N N N N FGLMC P#Q46050 3% 02/01/47 N/A 3132WKWL8 174644.97000000 NS USD 178978.18000000 0.094569457820 Long ABS-MBS USGA US N 2 2047-02-01 Fixed 3.00000000 N N N N N N TYSON FOODS INC V/R 06/02/20 WD6L6041MNRW1JE49D58 902494BB8 105000.00000000 NS USD 105139.41000000 0.055554129554 Long DBT CORP US N 2 2020-06-02 Variable 2.45688000 N N N N N N FGLMC P#C59585 6.5% 10/01/31 N/A 31298WUJ2 4121.89000000 NS USD 4577.81000000 0.002418847983 Long ABS-MBS USGA US N 2 2031-10-01 Fixed 6.50000000 N N N N N N UMBS P#AX4940 4% 10/01/44 N/A 3138Y6P24 36554.62000000 NS USD 38288.04000000 0.020230841456 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4.00000000 N N N N N N JPMMT 2019-INV2 V/R 02/25/50 N/A 46651DAR7 377000.79000000 NS USD 379060.53000000 0.200290051016 Long ABS-CBDO CORP US Y 2 2050-02-25 Variable 3.50000000 N N N N N N SEMPRA ENERGY 3.4% 02/01/28 PBBKGKLRK5S5C0Y4T545 816851BG3 335000.00000000 NS USD 347288.61000000 0.183502232254 Long DBT CORP US N 2 2028-02-01 Fixed 3.40000000 N N N N N N AXA 8.6% 12/15/30 F5WCUMTUM4RKZ1MAIE39 054536AA5 90000.00000000 NS USD 130756.44000000 0.069089794282 Long DBT CORP FR N 2 2030-12-15 Fixed 8.60000000 N N N N N N D.R. HORTON INC 2.5% 10/15/24 529900ZIUEYVSB8QDD25 23331ABM0 280000.00000000 NS USD 280328.00000000 0.148121223334 Long DBT CORP US N 2 2024-10-15 Fixed 2.50000000 N N N N N N UMBS P#BA2105 2.5% 08/01/45 N/A 3140E6KT8 61851.98000000 NS USD 61553.65000000 0.032524050179 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 2.50000000 N N N N N N GNMA II P#MA4005 4% 10/20/46 N/A 36179SNW3 132325.11000000 NS USD 138176.38000000 0.073010382271 Long ABS-MBS USGSE US N 2 2046-10-20 Fixed 4.00000000 N N N N N N FNMA P#787243 6% 7/1/34_ N/A 31405ES89 14613.81000000 NS USD 16406.70000000 0.008669060796 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 6.00000000 N N N N N N UMBS P#AS1033 4.5% 11/01/43 N/A 3138WAEF0 53882.00000000 NS USD 57983.89000000 0.030637841102 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.50000000 N N N N N N LORENZ RE 2018 0.0% 07/01/21 N/A N/A 50000.00000000 NS USD 5075.00000000 0.002681555921 Long DBT CORP BM N 3 2021-07-01 Fixed 0.00000000 N N N N N N UMBS P#AW8566 4% 08/01/44 N/A 3138XYQU1 60936.62000000 NS USD 64373.09000000 0.034013801120 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4.00000000 N N N N N N UNITED RENTALS 3.875% 11/15/27 N/A 911365BM5 125000.00000000 NS USD 127618.75000000 0.067431884686 Long DBT CORP US N 2 2027-11-15 Fixed 3.87500000 N N N N N N ACAR 2019-2 E 4.29% 12/10/21 N/A 02530DAE6 500000.00000000 NS USD 506187.80000000 0.267462244845 Long ABS-CBDO CORP US Y 2 2025-06-12 Fixed 4.29000000 N N N N N N JPMMT 2019-LTV3 V/R 03/25/50 N/A 46651HAC1 288631.25000000 NS USD 292194.11000000 0.154391102652 Long ABS-CBDO CORP US Y 2 2050-03-25 Variable 3.50000000 N N N N N N FGLMC P#Q38892 4% 02/01/46 N/A 3132QV3A7 189219.97000000 NS USD 200423.76000000 0.105900989257 Long ABS-MBS USGA US N 2 2046-02-01 Fixed 4.00000000 N N N N N N FGLMC P#G08599 3.5% 08/01/44 N/A 3128MJUZ1 15739.59000000 NS USD 16491.10000000 0.008713656524 Long ABS-MBS USGA US N 2 2044-08-01 Fixed 3.50000000 N N N N N N UMBS P#BJ8118 3.5% 01/01/48 N/A 3140HAAU4 120602.85000000 NS USD 125170.73000000 0.066138386651 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N UMBS P#AS3183 4.5% 08/01/44 N/A 3138WCRD7 175699.81000000 NS USD 188861.95000000 0.099791897617 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4.50000000 N N N N N N GNMA P#AL5247 3.5% 01/15/45 N/A 36184BZL4 136622.93000000 NS USD 143701.14000000 0.075929584812 Long ABS-MBS USGSE US N 2 2045-01-15 Fixed 3.50000000 N N N N N N UMBS P#BJ1089 3.5% 02/01/48 N/A 3140H2F78 89082.91000000 NS USD 92552.46000000 0.048903368902 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N FNMA P#323908 6% 9/1/29_ N/A 31374TYD5 4137.57000000 NS USD 4632.35000000 0.002447666122 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 6.00000000 N N N N N N IHSFR 2018-SFR3 V/R 07/17/20 N/A 46187VAJ8 540000.00000000 NS USD 541690.90000000 0.286221564656 Long ABS-CBDO CORP US Y 2 2037-07-17 Variable 3.73738000 N N N N N N CSMC 2019-ICE4 E V/R 05/15/21 N/A 12653VAJ5 250000.00000000 NS USD 250391.55000000 0.132303240128 Long ABS-CBDO CORP US Y 2 2036-05-15 Variable 3.88975000 N N N N N N FGLMC P#Q33602 3% 05/01/45 N/A 3132QQAC6 30073.30000000 NS USD 30884.06000000 0.016318686498 Long ABS-MBS USGA US N 2 2045-05-01 Fixed 3.00000000 N N N N N N TD AMERITRADE HO 3.3% 04/01/27 ZI85ER3E6RXD4HPHW309 87236YAF5 225000.00000000 NS USD 235695.47000000 0.124538045970 Long DBT CORP US N 2 2027-04-01 Fixed 3.30000000 N N N N N N FLEX LTD 4.875% 06/15/29 549300EAQH74YHD07T53 33938XAA3 607000.00000000 NS USD 659441.95000000 0.348439500699 Long DBT CORP US N 2 2029-06-15 Fixed 4.87500000 N N N N N N FGLMC P#Q11390 3% 09/01/42 N/A 3132HMRK9 23329.70000000 NS USD 24053.05000000 0.012709280524 Long ABS-MBS USGA US N 2 2042-09-01 Fixed 3.00000000 N N N N N N STACR 2018-HRP2 V/R 02/25/47 N/A 35564ABF7 220000.00000000 NS USD 225234.26000000 0.119010495305 Long ABS-CBDO CORP US Y 2 2047-02-25 Variable 4.19200000 N N N N N N GNMA P#615524 5% 09/15/33 N/A 36290RYV9 5288.77000000 NS USD 5652.95000000 0.002986936265 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 5.00000000 N N N N N N SAN DIEGO G & 1.914% 02/01/22 KNIRVXKVNJJ4P8OTMS63 797440BT0 35714.28000000 NS USD 35589.79000000 0.018805125542 Long DBT CORP US N 2 2022-02-01 Fixed 1.91400000 N N N N N N STACR 2019-DNA3 V/R 07/25/49 N/A 35564TAH3 200000.00000000 NS USD 200926.72000000 0.106166745979 Long ABS-CBDO CORP US Y 2 2049-07-25 Variable 3.84200000 N N N N N N GNMA P#486846 7% 01/15/29 N/A 36210AZK6 3431.05000000 NS USD 3788.02000000 0.002001534475 Long ABS-MBS USGSE US N 2 2029-01-15 Fixed 7.00000000 N N N N N N SEMT 2018-CH3 A1 V/R 01/25/25 N/A 81746WAA6 220707.87000000 NS USD 228119.55000000 0.120535040425 Long ABS-CBDO CORP US Y 2 2048-08-25 Variable 4.50000000 N N N N N N UMBS P#BH1658 4% 04/01/47 N/A 3140GPZY7 86179.75000000 NS USD 90656.69000000 0.047901671706 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N COMM 2015-CR23 C V/R 04/10/20 N/A 12593ABQ7 200000.00000000 NS USD 200088.18000000 0.105723673683 Long ABS-CBDO CORP US Y 2 2048-05-10 Variable 3.68450000 N N N N N N T/L VISTRA OPERAT 0% 08/04/23 N/A 87239PAD6 0.01000000 NS USD 0.01000000 0.000000005283 Long LON CORP US N 2 2023-08-04 Fixed 0.00000000 N N N N N N SEMT 2013-7 A2 V/R 06/25/43 N/A 81745CAB9 330517.50000000 NS USD 331131.40000000 0.174964998332 Long ABS-CBDO CORP US N 2 2043-06-25 Variable 3.00000000 N N N N N N BAYC 2007-2A IO S/UP 07/25/37 N/A 07325XAN0 240143.03000000 NS USD 0.02000000 0.000000010567 Long ABS-CBDO CORP US Y 2 2037-07-25 Variable 0.00000000 N N N N N N TEXAS EASTERN TR 3.5% 01/15/28 N/A 882384AD2 300000.00000000 NS USD 308214.95000000 0.162856280656 Long DBT CORP US Y 2 2028-01-15 Fixed 3.50000000 N N N N N N FGLMC P#Q47850 4% 05/01/47 N/A 3132WMWL4 313050.62000000 NS USD 327321.52000000 0.172951913351 Long ABS-MBS USGA US N 2 2047-05-01 Fixed 4.00000000 N N N N N N FGLMC P#Q47419 4% 04/01/47 N/A 3132WMG57 94439.13000000 NS USD 100337.25000000 0.053016738306 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N T/L GFL ENVIRONM 0% 5/30/25 N/A N/A 246318.19000000 NS USD 247000.00000000 0.130511194613 Long LON CORP CA N 2 2025-05-30 Fixed 0.00000000 N N N N N N T/L AVOLON TLB BO ZCP 01/15/25 635400O84AGITYFZQB55 05400KAE0 94158.21000000 NS USD 94864.40000000 0.050124964252 Long LON CORP US N 2 2025-01-15 Fixed 0.00000000 N N N N N N ALEXANDRIA REAL 3.45% 04/30/25 MGCJBT4MKTQBVLNUIS88 015271AL3 90000.00000000 NS USD 94572.27000000 0.049970607024 Long DBT CORP US N 2 2025-04-30 Fixed 3.45000000 N N N N N N GNMA P#567912 6% 11/15/32 N/A 36213X3V4 10540.27000000 NS USD 11818.97000000 0.006244971229 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 6.00000000 N N N N N N GNMA P#710522 4% 01/15/25 N/A 36297FLB6 67897.97000000 NS USD 72330.29000000 0.038218269451 Long ABS-MBS USGSE US N 2 2025-01-15 Fixed 4.00000000 N N N N N N TPMT 2017-6 A2 V/R 10/25/57 N/A 89175JAB6 765000.00000000 NS USD 768108.20000000 0.405857161030 Long ABS-CBDO CORP US Y 2 2057-10-25 Variable 3.00000000 N N N N N N VISTRA OPERATION 3.7% 01/30/27 N/A 92840VAG7 470000.00000000 NS USD 467023.68000000 0.246768495504 Long DBT CORP US Y 2 2027-01-30 Fixed 3.70000000 N N N N N N MPLX LP 4.25% 12/01/27 N/A 55336VBE9 340000.00000000 NS USD 357990.51000000 0.189156960001 Long DBT CORP US Y 2 2027-12-01 Fixed 4.25000000 N N N N N N FGLMC P#C71521 6% 10/01/32 N/A 31287YVN1 710.47000000 NS USD 782.21000000 0.000413308346 Long ABS-MBS USGA US N 2 2032-10-01 Fixed 6.00000000 N N N N N N GNMA P#552514 6.5% 04/15/32 N/A 36213EYK6 392.46000000 NS USD 432.93000000 0.000228753892 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 6.50000000 N N N N N N UMBS P#MA0750 5% 05/01/31 N/A 31417YZQ3 68345.87000000 NS USD 73516.88000000 0.038845246287 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 5.00000000 N N N N N N COMM 2015-CR25 B V/R 08/10/25 N/A 12593PAZ5 100000.00000000 NS USD 106619.86000000 0.056336377725 Long ABS-CBDO CORP US N 2 2048-08-10 Variable 4.54005000 N N N N N N FNMA P#632313 6.5% 3/1/32 N/A 31389QN61 2297.99000000 NS USD 2550.63000000 0.001347715661 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 6.50000000 N N N N N N REPUBLIC SERVICE 2.9% 07/01/26 NKNQHM6BLECKVOQP7O46 760759AR1 175000.00000000 NS USD 179297.42000000 0.094738139576 Long DBT CORP US N 2 2026-07-01 Fixed 2.90000000 N N N N N N UMBS P#BE7961 3.5% 02/01/47 N/A 3140FTZ38 298434.40000000 NS USD 309929.60000000 0.163762276688 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.50000000 N N N N N N FGLMC P#C01435 6% 12/01/32 N/A 31292HSY1 4424.56000000 NS USD 5068.84000000 0.002678301067 Long ABS-MBS USGA US N 2 2032-12-01 Fixed 6.00000000 N N N N N N FWD 2019-INV1 A1 V/R 06/25/49 N/A 302980AA5 272813.41000000 NS USD 272436.30000000 0.143951364247 Long ABS-CBDO CORP US Y 2 2049-06-25 Variable 2.81000000 N N N N N N CVS PASS-THROU 5.773% 01/31/33 N/A 126650BV1 80923.58000000 NS USD 91270.13000000 0.048225804448 Long DBT CORP US Y 2 2033-01-10 Fixed 5.77300000 N N N N N N UMBS P#BA4510 4% 12/01/45 N/A 3140E9AL0 149722.35000000 NS USD 158645.90000000 0.083826177852 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N T/L MICROCHIP TEC ZCP 05/29/25 5493007PTFULNYZJ1R12 59501NAJ8 143722.90000000 NS USD 145160.13000000 0.076700493832 Long LON CORP US N 2 2025-05-29 Fixed 0.00000000 N N N N N N TPMT 2015-3 A1B V/R 02/25/23 N/A 89172HAK3 157913.03000000 NS USD 158119.31000000 0.083547935382 Long ABS-CBDO CORP US Y 2 2054-03-25 Variable 3.00000000 N N N N N N KIOWA POWER PA 5.737% 03/30/21 N/A 49725VAB8 19319.50000000 NS USD 19688.76000000 0.010403253392 Long DBT CORP US Y 2 2021-03-30 Fixed 5.73700000 N N N N N N FGLMC P#Q17640 3% 04/01/43 N/A 3132J85A4 50335.13000000 NS USD 51880.78000000 0.027413046863 Long ABS-MBS USGA US N 2 2043-04-01 Fixed 3.00000000 N N N N N N JPMMT 2017-5 A1A V/R 10/26/48 N/A 46590YAM6 199163.66000000 NS USD 199530.14000000 0.105428813493 Long ABS-CBDO CORP US Y 2 2048-10-26 Variable 3.00000000 N N N N N N BCCFC 2018-1A 3.39% 08/21/23 N/A 055377AC9 100000.00000000 NS USD 101560.93000000 0.053663312956 Long ABS-CBDO CORP US Y 2 2023-08-21 Fixed 3.39000000 N N N N N N WESTR 2017-1A 3.05% 07/20/21 N/A 96033DAA8 81111.63000000 NS USD 81426.78000000 0.043024721989 Long ABS-CBDO CORP US Y 2 2030-12-20 Fixed 3.05000000 N N N N N N KABB 2019-1 A 3.825% 03/15/22 N/A 48283PAE1 200000.00000000 NS USD 202207.48000000 0.106843480868 Long ABS-CBDO CORP US Y 2 2024-03-15 Fixed 3.82500000 N N N N N N GNMA P#521863 7.5% 10/15/29 N/A 36211SWY9 1849.96000000 NS USD 1905.88000000 0.001007039172 Long ABS-MBS USGSE US N 2 2029-10-15 Fixed 7.50000000 N N N N N N CHASE 2019-ATR2 V/R 07/25/49 N/A 16159GAD1 295297.93000000 NS USD 298163.89000000 0.157545447265 Long ABS-CBDO CORP US Y 2 2049-07-25 Variable 3.50000000 N N N N N N UMBS P#BH6352 4% 08/01/47 N/A 3140GVBW4 71018.33000000 NS USD 74127.08000000 0.039167667060 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N TARGA RESOURCES PA 5% 01/15/28 N/A 87612BBG6 91000.00000000 NS USD 92820.00000000 0.049044733133 Long DBT CORP US N 2 2028-01-15 Fixed 5.00000000 N N N N N N STACR 2018-DNA3 V/R 09/25/48 N/A 35563WAH7 370000.00000000 NS USD 372952.93000000 0.197062884327 Long ABS-CBDO CORP US Y 2 2048-09-25 Variable 3.89200000 N N N N N N UMBS P#BE2699 4% 06/01/47 N/A 3140FM7M2 51498.00000000 NS USD 54647.74000000 0.028875068138 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N RMIR 2018-1 M1 V/R 03/25/28 N/A 750496AA9 85138.28000000 NS USD 85138.21000000 0.044985787426 Long ABS-CBDO CORP BM Y 2 2028-03-25 Variable 3.19200000 N N N N N N TEVA PHARMACEUT 3.15% 10/01/26 N/A 88167AAE1 213000.00000000 NS USD 177322.50000000 0.093694620675 Long DBT CORP NL N 2 2026-10-01 Fixed 3.15000000 N N N N N N UMBS P#AS6111 4% 11/01/45 N/A 3138WFYH3 66819.53000000 NS USD 70796.02000000 0.037407583579 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.00000000 N N N N N N BSP 2019-19A E V/R 01/15/33 N/A 08183PAA4 250000.00000000 NS USD 246250.00000000 0.130114905561 Long ABS-CBDO CORP KY Y 2 2033-01-15 Variable 0.00000000 N N N N N N UMBS P#AY0822 2.5% 04/01/45 N/A 3138YD4G1 47642.80000000 NS USD 47413.14000000 0.025052411100 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N FGLMC P#Q48515 3.5% 06/01/47 N/A 3132WNN99 18358.73000000 NS USD 19347.62000000 0.010222999996 Long ABS-MBS USGA US N 2 2047-06-01 Fixed 3.50000000 N N N N N N BANQUE OUEST AFR 4.7% 10/22/31 529900LIZJABE4JJS826 06675QAC7 230000.00000000 NS USD 233505.20000000 0.123380739273 Long DBT CORP TG Y 2 2031-10-22 Fixed 4.70000000 N N N N N N UMBS P#SD8005 3.5% 08/01/49 N/A 3132DV3N3 371232.73000000 NS USD 381526.13000000 0.201592838067 Long ABS-MBS USGA US N 2 2049-08-01 Fixed 3.50000000 N N N N N N CVS CORP 5.298% 1/11/27 549300EJG376EN5NQE29 126650AW0 27215.20000000 NS USD 29076.05000000 0.015363360405 Long DBT CORP US Y 2 2027-01-11 Fixed 5.29800000 N N N N N N UMBS P#AS1860 3% 03/01/29 N/A 3138WBB61 18376.90000000 NS USD 18943.40000000 0.010009416048 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 3.00000000 N N N N N N UMBS P#AB8463 2.5% 02/01/43 N/A 31417FMM7 62025.30000000 NS USD 61726.23000000 0.032615238932 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 2.50000000 N N N N N N ESSEX PORTFOLIO 3.5% 04/01/25 N/A 29717PAP2 360000.00000000 NS USD 377978.60000000 0.199718374997 Long DBT CORP US N 2 2025-04-01 Fixed 3.50000000 N N N N N N CCRSG 2016-HE 3.357% 04/10/21 N/A 12507GAA5 100000.00000000 NS USD 100687.34000000 0.053201720752 Long ABS-CBDO CORP US Y 2 2029-04-10 Fixed 3.35700000 N N N N N N T/L SCIENTIFIC GAM 0% 08/14/24 N/A 80875AAP6 173922.51000000 NS USD 174636.81000000 0.092275541281 Long LON CORP US N 2 2024-08-14 Fixed 0.00000000 N N N N N N USAUT 2019-1A 3.99% 07/15/22 N/A 90352VAB2 100000.00000000 NS USD 101257.90000000 0.053503196328 Long ABS-CBDO CORP US Y 2 2022-12-15 Fixed 3.99000000 N N N N N N UMBS P#BJ5251 3.5% 12/01/47 N/A 3140H6ZR3 242385.90000000 NS USD 251731.56000000 0.133011281852 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N MPLX LP 4.875% 06/01/25 N/A 55336VAJ9 175000.00000000 NS USD 191177.16000000 0.101015220787 Long DBT CORP US N 2 2025-06-01 Fixed 4.87500000 N N N N N N FGLMC P#A86143 5% 05/01/39 N/A 312932ZG4 7888.00000000 NS USD 8689.43000000 0.004591367974 Long ABS-MBS USGA US N 2 2039-05-01 Fixed 5.00000000 N N N N N N ROCKWELL COLLINS 3.2% 03/15/24 XO75O7GICH1NPWLBRL05 774341AJ0 470000.00000000 NS USD 489181.18000000 0.258476195077 Long DBT CORP US N 2 2024-03-15 Fixed 3.20000000 N N N N N N INTERNATIONAL PAPE 6% 11/15/41 824LMFJDH41EY779Q875 460146CH4 120000.00000000 NS USD 149795.00000000 0.079149491486 Long DBT CORP US N 2 2041-11-15 Fixed 6.00000000 N N N N N N GNMA II P#MA3522 4% 03/20/46 N/A 36179R4F3 43056.08000000 NS USD 45547.38000000 0.024066570750 Long ABS-MBS USGSE US N 2 2046-03-20 Fixed 4.00000000 N N N N N N T/L WEST CORPORATI 0% 10/10/24 N/A N/A 184687.50000000 NS USD 155868.49000000 0.082358634949 Long LON CORP US N 2 2024-10-10 Fixed 0.00000000 N N N N N N UMBS P#AW5697 4% 07/01/44 N/A 3138XVKK5 6723.18000000 NS USD 7124.19000000 0.003764318006 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.00000000 N N N N N N NOVA CHEMICALS 4.875% 06/01/24 N/A 66977WAQ2 25000.00000000 NS USD 25812.50000000 0.013638948222 Long DBT CORP CA Y 2 2024-06-01 Fixed 4.87500000 N N N N N N UMBS P#AT0238 2.5% 03/01/43 N/A 3138WMHQ7 13392.36000000 NS USD 13327.79000000 0.007042209694 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 2.50000000 N N N N N N COMM 2014-UBS4 3.42% 06/10/24 N/A 12591QAQ5 150000.00000000 NS USD 156216.39000000 0.082542460231 Long ABS-CBDO CORP US N 2 2047-08-10 Fixed 3.42000000 N N N N N N ESSEX PORTFOLI 3.375% 04/15/26 N/A 29717PAQ0 100000.00000000 NS USD 103963.40000000 0.054932743036 Long DBT CORP US N 2 2026-04-15 Fixed 3.37500000 N N N N N N UMBS P#AB9339 3% 05/01/43 N/A 31417GLV6 12787.02000000 NS USD 13179.70000000 0.006963961099 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N GSMS 2015-GC2 3.396% 01/10/25 N/A 36251FAW6 200000.00000000 NS USD 209043.74000000 0.110455660865 Long ABS-CBDO CORP US N 2 2048-02-10 Fixed 3.39600000 N N N N N N G2SF 30 YR TBA 4% JAN 19 N/A 21H040616 1295000.00000000 NS USD 1340325.01000000 0.708208170953 Long ABS-MBS USGA US N 2 2049-01-01 Fixed 4.00000000 N N N N N N UMBS P#MA2163 3.5% 02/01/45 N/A 31418BMM5 325708.85000000 NS USD 340239.66000000 0.179777669965 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N GLM 2019-6A D V/R 01/20/33 N/A 38137WAL9 250000.00000000 NS USD 249991.50000000 0.132091859547 Long ABS-CBDO CORP KY Y 2 2033-01-20 Variable 5.60666000 N N N N N N T/L TPF II POWER 0% 10/02/2023 N/A 87264NAB3 27089.21000000 NS USD 27201.36000000 0.014372801573 Long LON CORP US N 2 2023-10-02 Fixed 0.00000000 N N N N N N UMBS P#AS6727 3.5% 02/01/46 N/A 3138WGPM0 111130.11000000 NS USD 116015.19000000 0.061300732956 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 3.50000000 N N N N N N UMBS P#AS5596 3.5% 08/01/45 N/A 3138WFGE0 53268.70000000 NS USD 55611.20000000 0.029384146339 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.50000000 N N N N N N GNMA II P#MA6041 4.5% 07/20/49 N/A 36179UWA6 718773.58000000 NS USD 754996.71000000 0.398929241098 Long ABS-MBS USGSE US N 2 2049-07-20 Fixed 4.50000000 N N N N N N FWLS 2017-SC02 3.5% 05/25/47 N/A 3137G1BW6 160118.90000000 NS USD 161704.29000000 0.085442186485 Long ABS-CBDO CORP US N 2 2047-05-25 Fixed 3.50000000 N N N N N N UMBS P#AS5567 3.5% 08/01/45 N/A 3138WFFH4 184800.92000000 NS USD 198089.98000000 0.104667853970 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.50000000 N N N N N N JPMMT 2019-LTV2 V/R 12/25/49 N/A 46651AAC6 180435.79000000 NS USD 182663.09000000 0.096516510476 Long ABS-CBDO CORP US Y 2 2049-12-25 Variable 3.50000000 N N N N N N FGLMC P#Q30509 4% 12/01/44 N/A 3132QLR70 20655.11000000 NS USD 21899.89000000 0.011571582209 Long ABS-MBS USGA US N 2 2044-12-01 Fixed 4.00000000 N N N N N N KEYCORP 5.1% 03/24/21 RKPI3RZGV1V1FJTH5T61 49326EED1 300000.00000000 NS USD 311344.00000000 0.164509625003 Long DBT CORP US N 2 2021-03-24 Fixed 5.10000000 N N N N N N CLEARWAY ENERGY 4.75% 03/15/28 N/A 18539UAC9 60000.00000000 NS USD 60825.00000000 0.032139042155 Long DBT CORP US Y 2 2028-03-15 Fixed 4.75000000 N N N N N N WLKRG 2015-AA 2.79% 02/15/22 N/A 949458AA1 11528.24000000 NS USD 11536.48000000 0.006095707637 Long ABS-CBDO CORP US Y 2 2031-06-16 Fixed 2.79000000 N N N N N N FGLMC P#G08620 3.5% 12/01/44 N/A 3128MJVN7 137421.58000000 NS USD 143777.26000000 0.075969805509 Long ABS-MBS USGA US N 2 2044-12-01 Fixed 3.50000000 N N N N N N STACR 2018-HRP2 V/R 02/25/47 N/A 35564ACB5 380000.00000000 NS USD 408011.70000000 0.215587426653 Long ABS-CBDO CORP US Y 2 2047-02-25 Variable 5.99200000 N N N N N N BARCLAYS PLC V/R /PERP/ 213800LBQA1Y9L22JB70 06738EBA2 250000.00000000 NS USD 273125.00000000 0.144315263274 Long DBT CORP GB N 2 2168-12-15 Variable 7.75000000 N N N N N N MSAIC 2019-2A 2.88% 09/20/40 N/A 61945LAA1 197540.31000000 NS USD 197390.77000000 0.104298401612 Long ABS-CBDO CORP US Y 2 2040-09-20 Fixed 2.88000000 N N N N N N FNMA P#596213 7% 7/1/31__ N/A 31387WK22 377.49000000 NS USD 385.07000000 0.000203465367 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 7.00000000 N N N N N N GNMA P#551116 7% 08/15/31 N/A 36213DGZ5 2255.82000000 NS USD 2657.45000000 0.001404157789 Long ABS-MBS USGSE US N 2 2031-08-15 Fixed 7.00000000 N N N N N N GNMA P#491491 7% 07/15/29 N/A 36210F7C4 2319.66000000 NS USD 2566.12000000 0.001355900351 Long ABS-MBS USGSE US N 2 2029-07-15 Fixed 7.00000000 N N N N N N CRH AMERICA IN 3.875% 05/18/25 N/A 12626PAM5 400000.00000000 NS USD 427426.23000000 0.225845780916 Long DBT CORP US Y 2 2025-05-18 Fixed 3.87500000 N N N N N N COMMERCIAL META 5.75% 04/15/26 549300OQS2LO07ZJ7N73 201723AN3 175000.00000000 NS USD 182875.00000000 0.096628480627 Long DBT CORP US N 2 2026-04-15 Fixed 5.75000000 N N N N N N JPMDB 2016-C4 3.141% 10/15/26 N/A 46646RAJ2 200000.00000000 NS USD 207662.64000000 0.109725907785 Long ABS-CBDO CORP US N 2 2049-12-15 Fixed 3.14130000 N N N N N N STR 2015-1A A1 3.75% 04/20/22 N/A 86213CAA3 97666.67000000 NS USD 97807.12000000 0.051679854546 Long ABS-CBDO CORP US Y 2 2045-04-20 Fixed 3.75000000 N N N N N N JPMMT 2018-3 B1 V/R 09/25/41 N/A 46649TAY2 130104.18000000 NS USD 133621.20000000 0.070603491650 Long ABS-CBDO CORP US Y 2 2048-09-25 Variable 3.76225600 N N N N N N WILLIAMS COS IN 7.75% 06/15/31 D71FAKCBLFS2O0RBPG08 969457BD1 89000.00000000 NS USD 118702.38000000 0.062720604928 Long DBT CORP US N 2 2031-06-15 Fixed 7.75000000 N N N N N N UMBS P#CA4160 3.5% 09/01/49 N/A 3140QBTS7 207704.45000000 NS USD 221061.79000000 0.116805823061 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.50000000 N N N N N N JPMCC 2016-JP 2.821% 07/15/26 N/A 46590MAR1 450000.00000000 NS USD 458269.25000000 0.242142782478 Long ABS-CBDO CORP US N 2 2049-08-15 Fixed 2.82180000 N N N N N N GNMA P#562213 6% 12/15/33 N/A 36213RSA6 12274.40000000 NS USD 13650.64000000 0.007212798921 Long ABS-MBS USGSE US N 2 2033-12-15 Fixed 6.00000000 N N N N N N GREAT-WEST LIF 4.581% 05/17/48 N/A 39138QAC9 175000.00000000 NS USD 202388.54000000 0.106939150329 Long DBT CORP US Y 2 2048-05-17 Fixed 4.58100000 N N N N N N CENTENE CORP 4.25% 12/15/27 549300Z7JJ4TQSQGT333 15135BAQ4 60000.00000000 NS USD 61725.00000000 0.032614589018 Long DBT CORP US Y 2 2027-12-15 Fixed 4.25000000 N N N N N N GNMA II P#2689 6.5% 12/20/28 N/A 36202C7A5 2947.04000000 NS USD 3350.41000000 0.001770307739 Long ABS-MBS USGSE US N 2 2028-12-20 Fixed 6.50000000 N N N N N N UMBS P#MA2994 3.5% 05/01/47 N/A 31418CKG8 535220.77000000 NS USD 555569.43000000 0.293554777328 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.50000000 N N N N N N CAS 2019-R06 2M2 V/R 09/25/39 N/A 20754JAB0 350000.00000000 NS USD 353301.48000000 0.186679344994 Long ABS-CBDO CORP US Y 2 2039-09-25 Variable 3.89200000 N N N N N N FGLMC P#G60397 4% 12/01/45 N/A 31335ANN4 96823.82000000 NS USD 102658.59000000 0.054243300478 Long ABS-MBS USGA US N 2 2045-12-01 Fixed 4.00000000 N N N N N N UMBS P#AS8491 3% 01/01/47 N/A 3138WJNH7 225889.53000000 NS USD 233730.20000000 0.123499625988 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N FNMA P#522455 7.0% 11/1/29 N/A 31384FMC8 701.82000000 NS USD 702.58000000 0.000371233016 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 7.00000000 N N N N N N GNMA II P#MA1014 4.5% 05/20/43 N/A 36179NDT2 57090.21000000 NS USD 61667.44000000 0.032584175154 Long ABS-MBS USGSE US N 2 2043-05-20 Fixed 4.50000000 N N N N N N UMBS P#BC5121 3.5% 01/01/47 N/A 3140F0VP6 61854.64000000 NS USD 64242.54000000 0.033944820406 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N UMBS P#BC0960 4% 06/01/46 N/A 3140EVB63 114428.97000000 NS USD 120949.72000000 0.063908066580 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 4.00000000 N N N N N N VISIO 2019-2 A1 V/R 11/25/25 N/A 92837DAA5 453270.16000000 NS USD 453396.80000000 0.239568251020 Long ABS-CBDO CORP US Y 2 2054-11-25 Variable 2.72200000 N N N N N N KABB 2019-1 B 4.071% 03/15/22 N/A 48283PAF8 500000.00000000 NS USD 504921.45000000 0.266793123989 Long ABS-CBDO CORP US Y 2 2024-03-15 Fixed 4.07100000 N N N N N N REPS 2019-A A 3.43% 02/20/23 N/A 76041QAA1 300000.00000000 NS USD 299483.97000000 0.158242958268 Long ABS-CBDO CORP US Y 2 2027-11-22 Fixed 3.43000000 N N N N N N REYNOLDS AMERIC 4.45% 06/12/25 N/A 761713BG0 570000.00000000 NS USD 613824.57000000 0.324335942970 Long DBT CORP US N 2 2025-06-12 Fixed 4.45000000 N N N N N N WLAKE 2018-3A E 4.9% 12/15/23 N/A 96042GAN2 140000.00000000 NS USD 144424.50000000 0.076311797677 Long ABS-CBDO CORP US Y 2 2023-12-15 Fixed 4.90000000 N N N N N N UMBS P#AE7731 4.5% 11/01/40 N/A 31419JSV1 32732.27000000 NS USD 35550.23000000 0.018784222615 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.50000000 N N N N N N MCMLT 2018-2 M1 V/R 05/25/58 N/A 59980MAG6 479554.12000000 NS USD 496628.21000000 0.262411097027 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 3.75000000 N N N N N N JBS USA/FOOD/FIN 5.5% 01/15/30 N/A 46590XAB2 204000.00000000 NS USD 219116.40000000 0.115777907382 Long DBT CORP US Y 2 2030-01-15 Fixed 5.50000000 N N N N N N EXELON CORP 2.85% 06/15/20 3SOUA6IRML7435B56G12 30161NAH4 225000.00000000 NS USD 225517.48000000 0.119160144619 Long DBT CORP US N 2 2020-06-15 Fixed 2.85000000 N N N N N N T/L TEAM HEALTH 0% 02/06/24 N/A N/A 97250.00000000 NS USD 79119.78000000 0.041805736863 Long LON CORP US N 2 2024-02-06 Fixed 0.00000000 N N N N N N WELLS FARGO & COMPANY /PFD/CV N/A 949746804 330.00000000 NS USD 478500.00000000 0.252832415475 Long EP CORP US N 1 N N N CMLTI 2018-RP2 A V/R 02/25/58 N/A 17326UAA2 335258.46000000 NS USD 343356.66000000 0.181424647267 Long ABS-CBDO CORP US Y 2 2058-02-25 Variable 3.50000000 N N N N N N GNMA P#329720 7.5% 10/15/22 N/A 36224JG55 258.14000000 NS USD 267.67000000 0.000141432920 Long ABS-MBS USGSE US N 2 2022-10-15 Fixed 7.50000000 N N N N N N UMBS P#AS0331 3% 08/01/43 N/A 3138W9LM0 34777.07000000 NS USD 35803.92000000 0.018918268708 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.00000000 N N N N N N GSFMT 2019-AA 4.68% 02/20/21 N/A 37186XAA3 220000.00000000 NS USD 223946.10000000 0.118329850364 Long ABS-CBDO CORP US Y 2 2023-08-20 Fixed 4.68000000 N N N N N N VIRGINIA ST CMWLTH 4% 05/15/32 N/A 927793XY0 50000.00000000 NS USD 54552.50000000 0.028824744713 Long DBT MUN US N 2 2032-05-15 Fixed 4.00000000 N N N N N N PENSKE TRUCK L 3.375% 02/01/22 N/A 709599AS3 170000.00000000 NS USD 173618.63000000 0.091737549831 Long DBT CORP US Y 2 2022-02-01 Fixed 3.37500000 N N N N N N MSBAM 2015-C21 C V/R 02/15/25 N/A 61764XBP9 80000.00000000 NS USD 82177.57000000 0.043421428466 Long ABS-CBDO CORP US N 2 2048-03-15 Variable 4.15256700 N N N N N N HENDR 2019-1A 3.82% 01/15/43 N/A 46650XAA1 246587.03000000 NS USD 257984.85000000 0.136315429010 Long ABS-CBDO CORP US Y 2 2071-08-17 Fixed 3.82000000 N N N N N N NORDEA BANK AB 4.875% 05/13/21 529900ODI3047E2LIV03 65557FAA4 300000.00000000 NS USD 311066.66000000 0.164363082595 Long DBT CORP FI Y 2 2021-05-13 Fixed 4.87500000 N N N N N N CAFL 2015-1 A 2.896% 10/15/47 N/A 19624VAA5 21857.30000000 NS USD 21838.99000000 0.011539403538 Long ABS-CBDO CORP KY Y 2 2047-10-15 Fixed 2.89600000 N N N N N N UMBS P#MA3776 4% 09/01/49 N/A 31418DFS6 55163.98000000 NS USD 57563.08000000 0.030415491240 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 4.00000000 N N N N N N GNMA P#353853 7% 09/15/27 N/A 36203NBW7 1312.03000000 NS USD 1335.93000000 0.000705885911 Long ABS-MBS USGSE US N 2 2027-09-15 Fixed 7.00000000 N N N N N N UMBS P#BE1933 3% 11/01/46 N/A 3140FMEF9 222324.10000000 NS USD 227706.09000000 0.120316574197 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N GNMA P#526523 7% 02/15/31 N/A 36211X4G8 1666.68000000 NS USD 1696.55000000 0.000896432255 Long ABS-MBS USGSE US N 2 2031-02-15 Fixed 7.00000000 N N N N N N SUNOCO LOGISTICS 5.4% 10/01/47 N/A 86765BAV1 422000.00000000 NS USD 458831.57000000 0.242439904158 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N TPMT 2019-4 M1 V/R 10/25/59 N/A 89178BAC8 300000.00000000 NS USD 296846.91000000 0.156849574256 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 3.50000000 N N N N N N FGLMC P#G08758 4% 04/01/47 N/A 3128MJZY9 451154.55000000 NS USD 474491.48000000 0.250714372019 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N UMBS P#AB8533 3% 03/01/43 N/A 31417FPT9 61863.66000000 NS USD 63763.34000000 0.033691618121 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N GNMA P#AM4159 4% 04/15/45 N/A 36184QTQ7 86587.66000000 NS USD 92957.38000000 0.049117322720 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 4.00000000 N N N N N N EXPEDIA GROUP I 3.25% 02/15/30 CI7MUJI4USF3V0NJ1H64 30212PAQ8 407000.00000000 NS USD 391721.87000000 0.206980118258 Long DBT CORP US Y 2 2030-02-15 Fixed 3.25000000 N N N N N N GNMA P#594952 6% 09/15/32 N/A 36201V5M0 9248.63000000 NS USD 10355.62000000 0.005471758450 Long ABS-MBS USGSE US N 2 2032-09-15 Fixed 6.00000000 N N N N N N UMBS P#807735 5.5% 12/01/34 N/A 31406ELQ5 6009.08000000 NS USD 6735.14000000 0.003558749665 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N MCMLT 2019-1 M1 V/R 10/25/69 N/A 59981AAG1 199632.30000000 NS USD 202774.81000000 0.107143249759 Long ABS-CBDO CORP US Y 2 2069-10-25 Variable 3.50000000 N N N N N N FGLMC P#Q47050 4% 03/01/47 N/A 3132WLZQ2 39027.81000000 NS USD 41124.36000000 0.021729511543 Long ABS-MBS USGA US N 2 2047-03-01 Fixed 4.00000000 N N N N N N FGLMC P#A94380 3.5% 10/01/40 N/A 3129422M6 19246.58000000 NS USD 20295.10000000 0.010723634598 Long ABS-MBS USGA US N 2 2040-10-01 Fixed 3.50000000 N N N N N N T/L VERINT SYSTEMS 0% 6/28/24 N/A N/A 69139.20000000 NS USD 69657.74000000 0.036806133042 Long LON CORP US N 2 2024-06-28 Fixed 0.00000000 N N N N N N ABBVIE INC 4.05% 11/21/39 FR5LCKFTG8054YNNRU85 00287YBR9 211000.00000000 NS USD 221773.07000000 0.117181653031 Long DBT CORP US Y 2 2039-11-21 Fixed 4.05000000 N N N N N N GNMA P#577702 6% 10/15/32 N/A 36201AX78 3122.76000000 NS USD 3438.09000000 0.001816636571 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 6.00000000 N N N N N N FSMT 2018-2 A6 V/R 04/25/48 N/A 33851HAF0 85900.85000000 NS USD 86868.05000000 0.045899809632 Long ABS-CBDO CORP US Y 2 2048-04-25 Variable 3.50000000 N N N N N N GNMA P#501047 6.5% 07/15/31 N/A 36210STC2 17951.19000000 NS USD 19802.38000000 0.010463288542 Long ABS-MBS USGSE US N 2 2031-07-15 Fixed 6.50000000 N N N N N N DRMT 2018-1A A1 V/R 02/25/22 N/A 24380PAA2 79182.92000000 NS USD 79132.56000000 0.041812489629 Long ABS-CBDO CORP US Y 2 2057-12-25 Variable 2.97600000 N N N N N N SBIZ 2019-A B 3.42% 07/15/26 N/A 831645AB2 200000.00000000 NS USD 199376.66000000 0.105347716901 Long ABS-CBDO CORP US Y 2 2026-07-15 Fixed 3.42000000 N N N N N N AIR CANADA 2017- 3.3% 01/15/30 N/A 00908PAA5 251432.00000000 NS USD 256302.61000000 0.135426557950 Long DBT CORP CA Y 2 2030-01-15 Fixed 3.30000000 N N N N N N GNMA P#490783 7% 11/15/28 N/A 36210FFY7 4250.82000000 NS USD 4586.89000000 0.002423645722 Long ABS-MBS USGSE US N 2 2028-11-15 Fixed 7.00000000 N N N N N N T/L CWGS GROUP LLC 0% 11/08/23 N/A N/A 33044.52000000 NS USD 31289.03000000 0.016532666735 Long LON CORP US N 2 2023-11-08 Fixed 0.00000000 N N N N N N MASSACHUSETTS ST D 5% 07/15/40 549300UZSVMFXJK08K70 57584XYD7 210000.00000000 NS USD 300745.20000000 0.158909373790 Long DBT MUN US N 2 2040-07-15 Fixed 5.00000000 N N N N N N GOLDMAN SACHS GRO V/R 09/29/25 784F5XWPLTWKTBV3E584 38141GWQ3 286000.00000000 NS USD 296096.95000000 0.156453306339 Long DBT CORP US N 2 2025-09-29 Variable 3.27200000 N N N N N N PERRIGO FINANCE 3.9% 12/15/24 N/A 714295AC6 200000.00000000 NS USD 205573.09000000 0.108621820065 Long DBT CORP IE N 2 2024-12-15 Fixed 3.90000000 N N N N N N FGLMC P#A55379 6% 12/01/36 N/A 3128KH6Q4 1152.27000000 NS USD 1313.38000000 0.000693970820 Long ABS-MBS USGA US N 2 2036-12-01 Fixed 6.00000000 N N N N N N GNMA II P#AM2831 3.5% 04/20/45 N/A 36184NEC1 26824.36000000 NS USD 28082.42000000 0.014838340817 Long ABS-MBS USGSE US N 2 2045-04-20 Fixed 3.50000000 N N N N N N FGLMC P#G08637 4% 04/01/45 N/A 3128MJV72 50625.14000000 NS USD 53679.84000000 0.028363643907 Long ABS-MBS USGA US N 2 2045-04-01 Fixed 4.00000000 N N N N N N MEDTRONIC INC 3.15% 03/15/22 N/A 585055BR6 138000.00000000 NS USD 141935.51000000 0.074996651693 Long DBT CORP US N 2 2022-03-15 Fixed 3.15000000 N N N N N N BOMFT 2017-RT4 A V/R 07/28/57 N/A 07332CAA5 156882.32000000 NS USD 159570.55000000 0.084314749415 Long ABS-CBDO CORP US Y 2 2057-07-28 Variable 3.50000000 N N N N N N PIONEER ILS INTERVAL FUND N/A 72369L107 321412.60400000 NS USD 2674152.87000000 1.412983342683 Long EC RF US N 2 N N N KINDER MORGAN I 5.05% 02/15/46 549300WR7IX8XE0TBO16 49456BAJ0 513000.00000000 NS USD 575684.77000000 0.304183429366 Long DBT CORP US N 2 2046-02-15 Fixed 5.05000000 N N N N N N T/L BRIGHT HORI 0% 11/07/23 N/A N/A 96498.04000000 NS USD 97402.71000000 0.051466170205 Long LON CORP US N 2 2023-11-07 Fixed 0.00000000 N N N N N N UMBS P#AI1888 4.5% 05/01/41 N/A 3138AFC24 258849.63000000 NS USD 281031.60000000 0.148492995304 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N GNMA II P#AL9912 3.5% 04/20/45 N/A 36184JAM2 11453.75000000 NS USD 11973.15000000 0.006326437691 Long ABS-MBS USGSE US N 2 2045-04-20 Fixed 3.50000000 N N N N N N AFRICAN EXPORT 3.994% 09/21/29 21380068LJCDYA42GJ76 00831TAA9 200000.00000000 NS USD 202816.00000000 0.107165013954 Long DBT CORP EG Y 2 2029-09-21 Fixed 3.99400000 N N N N N N T/L REVLON CONSUME 0% 09/07/23 N/A N/A 26875.35000000 NS USD 20660.43000000 0.010916669637 Long LON CORP US N 2 2023-09-07 Fixed 0.00000000 N N N N N N TPMT 2018-SJ1 A1 V/R 10/25/58 N/A 89176BAA4 279820.73000000 NS USD 281776.09000000 0.148886372953 Long ABS-CBDO CORP US Y 2 2058-10-25 Variable 4.00000000 N N N N N N UMBS P#AY3370 2.5% 04/01/45 N/A 3138YGW81 31412.82000000 NS USD 31261.31000000 0.016518019891 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N ROYAL BK SCOTLND GR V/R /PERP/ N/A 780097BB6 435000.00000000 NS USD 466537.50000000 0.246511605089 Long DBT CORP GB N 2 2168-09-30 Variable 8.62500000 N N N N N N BOSTON GAS COMP 3.15% 08/01/27 N/A 100743AK9 110000.00000000 NS USD 113754.98000000 0.060106470983 Long DBT CORP US Y 2 2027-08-01 Fixed 3.15000000 N N N N N N FORTUNE BRANDS HOM 4% 09/21/23 54930032LHW54PQUJD44 34964CAC0 110000.00000000 NS USD 116248.74000000 0.061424137367 Long DBT CORP US N 2 2023-09-21 Fixed 4.00000000 N N N N N N GENERAL ELECTRIC 5.3% 02/11/21 3C7474T6CDKPR9K6YT90 369622SM8 250000.00000000 NS USD 257932.33000000 0.136287678209 Long DBT CORP US N 2 2021-02-11 Fixed 5.30000000 N N N N N N FGLMC P#G60045 5.5% 06/01/41 N/A 31335ABN7 13043.94000000 NS USD 14669.96000000 0.007751392730 Long ABS-MBS USGA US N 2 2041-06-01 Fixed 5.50000000 N N N N N N UMBS P#AK1083 4% 01/01/42 N/A 3138E5FZ6 3962.45000000 NS USD 4242.67000000 0.002241764898 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N AOMT 2019-1 M1 V/R 02/25/23 N/A 03464MAD6 100000.00000000 NS USD 102866.07000000 0.054352929882 Long ABS-CBDO CORP US Y 2 2048-11-25 Variable 4.50000000 N N N N N N GNMA P#579078 6.5% 12/15/31 N/A 36201CJX3 1912.91000000 NS USD 2131.01000000 0.001125994578 Long ABS-MBS USGSE US N 2 2031-12-15 Fixed 6.50000000 N N N N N N OBX 2019-INV2 A5 V/R 05/27/49 N/A 67112VAE5 356667.88000000 NS USD 364529.73000000 0.192612188398 Long ABS-CBDO CORP US Y 2 2049-05-27 Variable 4.00000000 N N N N N N FNMA P#695504 6% 4/1/33___ N/A 31400RU58 8177.63000000 NS USD 9109.94000000 0.004813559320 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 6.00000000 N N N N N N UMBS P#BE0684 3.5% 10/01/46 N/A 3140FKXN5 30316.02000000 NS USD 31485.95000000 0.016636716388 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.50000000 N N N N N N UMBS P#AL6193 3.5% 12/01/44 N/A 3138EN3B3 61113.83000000 NS USD 64377.92000000 0.034016353222 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 3.50000000 N N N N N N FHR 2944 OH 5.5% 03/15/35 N/A 31395PCL4 30493.60000000 NS USD 34356.46000000 0.018153451972 Long ABS-CBDO CORP US N 2 2035-03-15 Fixed 5.50000000 N N N N N N GNMA P#780813 6.5% 06/15/28 N/A 36225A3W8 3581.86000000 NS USD 4028.18000000 0.002128431513 Long ABS-MBS USGSE US N 2 2028-06-15 Fixed 6.50000000 N N N N N N AMPHENOL CORP 3.125% 09/15/21 549300D3L3G0R4U4VT04 032095AE1 300000.00000000 NS USD 304012.02000000 0.160635513793 Long DBT CORP US N 2 2021-09-15 Fixed 3.12500000 N N N N N N UMBS P#AS7253 4.5% 05/01/46 N/A 3138WHBX9 131339.05000000 NS USD 140080.58000000 0.074016533756 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 4.50000000 N N N N N N NEW YORK LIFE I 4.45% 05/15/69 TAE73CY392TBWJ3O3305 64952GAQ1 245000.00000000 NS USD 280848.39000000 0.148396189814 Long DBT CORP US Y 2 2069-05-15 Fixed 4.45000000 N N N N N N FGLMC P#Q18144 3% 05/01/43 N/A 3132J9P69 51463.32000000 NS USD 53027.91000000 0.028019173611 Long ABS-MBS USGA US N 2 2043-05-01 Fixed 3.00000000 N N N N N N FGLMC P#A17171 6% 01/01/34 N/A 31296R6G8 2963.88000000 NS USD 3288.80000000 0.001737753914 Long ABS-MBS USGA US N 2 2034-01-01 Fixed 6.00000000 N N N N N N UMBS P#AH9873 4.5% 04/01/41 N/A 3138AB6K0 3882.84000000 NS USD 4216.64000000 0.002228011026 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.50000000 N N N N N N COMM 2012-CR2 3.791% 07/15/22 N/A 12624KAF3 25000.00000000 NS USD 25660.19000000 0.013558469841 Long ABS-CBDO CORP US N 2 2045-08-15 Fixed 3.79100000 N N N N N N ABBVIE INC 4.25% 11/21/49 FR5LCKFTG8054YNNRU85 00287YBS7 173000.00000000 NS USD 183694.59000000 0.097061540020 Long DBT CORP US Y 2 2049-11-21 Fixed 4.25000000 N N N N N N TPMT 2015-6 M1 V/R 07/25/26 N/A 89172RAC9 265000.00000000 NS USD 278683.75000000 0.147252425635 Long ABS-CBDO CORP US Y 2 2055-04-25 Variable 3.75000000 N N N N N N FGLMC P#Q53571 3.5% 01/01/48 N/A 3132XV6H1 208919.61000000 NS USD 217066.27000000 0.114694648615 Long ABS-MBS USGA US N 2 2048-01-01 Fixed 3.50000000 N N N N N N GNMA P#565656 6.5% 09/15/31 N/A 36213VMD7 3210.95000000 NS USD 3542.07000000 0.001871578085 Long ABS-MBS USGSE US N 2 2031-09-15 Fixed 6.50000000 N N N N N N FNMA P#638088 6.5% 4/1/32 N/A 31389W2V6 2829.92000000 NS USD 3141.04000000 0.001659679687 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 6.50000000 N N N N N N GSMBS 2019-SL1 A V/R 01/25/59 N/A 36257EAA1 347299.95000000 NS USD 344570.38000000 0.182065959199 Long ABS-CBDO CORP US Y 2 2059-01-25 Variable 2.62500000 N N N N N N UMBS P#AS8326 4% 11/01/46 N/A 3138WJHC5 43027.13000000 NS USD 45323.73000000 0.023948397354 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 4.00000000 N N N N N N CVS PASS-THROU 8.353% 07/10/31 N/A 126659AA9 109248.67000000 NS USD 139346.21000000 0.073628503368 Long DBT CORP US Y 2 2031-07-10 Fixed 8.35300000 N N N N N N GNR 2018-20 A 2.5% 09/16/49 N/A 38380JNW4 210835.07000000 NS USD 210650.17000000 0.111304475029 Long ABS-CBDO CORP US N 2 2049-09-16 Fixed 2.50000000 N N N N N N FGLMC P#Q42624 4% 08/01/46 N/A 3132WF4J5 113015.72000000 NS USD 119240.57000000 0.063004976668 Long ABS-MBS USGA US N 2 2046-08-01 Fixed 4.00000000 N N N N N N SEMT 2013-4 A1 V/R 04/25/43 N/A 81744YAA4 193732.34000000 NS USD 189264.64000000 0.100004673135 Long ABS-CBDO CORP US N 2 2043-04-25 Variable 2.32500000 N N N N N N JPMDB 2018-C8 XB V/R 05/15/28 N/A 46591ABD6 1600000.00000000 NS USD 17527.52000000 0.009261285723 Long ABS-CBDO CORP US N 2 2051-06-15 Variable 0.11299200 N N N N N N UMBS P#AL2693 4% 08/01/42 N/A 3138EJ7F9 377350.57000000 NS USD 404184.64000000 0.213565264011 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.00000000 N N N N N N FGLMC P#Q47341 4% 04/01/47 N/A 3132WMEP5 207946.67000000 NS USD 221443.03000000 0.117007264713 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N UNION PACIFIC 3.375% 02/01/35 549300LMMRSZZCZ8CL11 907818EB0 575000.00000000 NS USD 595945.66000000 0.314888987900 Long DBT CORP US N 2 2035-02-01 Fixed 3.37500000 N N N N N N UMBS P#BC0153 4% 01/01/46 N/A 3140EUE39 50054.29000000 NS USD 53007.12000000 0.028008188478 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4.00000000 N N N N N N BMIR 2019-1A M1B V/R 03/25/29 N/A 07876RAB2 150000.00000000 NS USD 149648.27000000 0.079071961496 Long ABS-CBDO CORP BM Y 2 2029-03-25 Variable 3.54200000 N N N N N N LHIPO 2007-1GA A V/R 12/23/36 N/A 50346AAA3 94941.16000000 NS USD 96009.25000000 0.050729886281 Long ABS-CBDO CORP US Y 2 2036-12-23 Variable 4.50000000 N N N N N N GNMA II P#4518 4% 08/20/39 N/A 36202FAT3 21028.19000000 NS USD 22288.92000000 0.011777139983 Long ABS-MBS USGSE US N 2 2039-08-20 Fixed 4.00000000 N N N N N N FGLMC P#Q49209 4% 07/01/47 N/A 3132WPGT8 92746.67000000 NS USD 97597.14000000 0.051568904179 Long ABS-MBS USGA US N 2 2047-07-01 Fixed 4.00000000 N N N N N N WFRBS 2013-C12 D V/R 03/15/48 N/A 92937FAU5 100000.00000000 NS USD 100751.57000000 0.053235658946 Long ABS-CBDO CORP US Y 2 2048-03-15 Variable 4.40441800 N N N N N N FGLMC P#Q41906 4% 07/01/46 N/A 3132WFDL0 132629.65000000 NS USD 140143.54000000 0.074049800901 Long ABS-MBS USGA US N 2 2046-07-01 Fixed 4.00000000 N N N N N N UMBS P#BE2316 3.5% 01/01/47 N/A 3140FMSE7 152891.43000000 NS USD 158789.35000000 0.083901974738 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N GNMA II P#2716 7% 02/20/29 N/A 36202DAR2 6041.05000000 NS USD 6879.13000000 0.003634831879 Long ABS-MBS USGSE US N 2 2029-02-20 Fixed 7.00000000 N N N N N N UMBS P#AS3170 4% 08/01/44 N/A 3138WCQY2 112400.08000000 NS USD 119214.19000000 0.062991037861 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4.00000000 N N N N N N FGLMC P#C01623 5.5% 09/01/33 N/A 31292HYU2 9757.72000000 NS USD 10964.08000000 0.005793259832 Long ABS-MBS USGA US N 2 2033-09-01 Fixed 5.50000000 N N N N N N NRZT 2018-5A A1 V/R 12/25/57 N/A 64829XAA0 113648.86000000 NS USD 119261.27000000 0.063015914246 Long ABS-CBDO CORP US Y 2 2057-12-25 Variable 4.75000000 N N N N N N T/L GOODPACK LIMIT 0% 09/11/23 N/A 44928QAE9 186675.00000000 NS USD 187141.69000000 0.098882937343 Long LON CORP SG N 2 2023-09-11 Fixed 0.00000000 N N N N N N TPMT 2017-2 M2 V/R 04/25/57 N/A 89173HAD8 325000.00000000 NS USD 335844.50000000 0.177455331576 Long ABS-CBDO CORP US Y 2 2057-04-25 Variable 3.75000000 N N N N N N SUMITOMO MITSU 3.202% 09/17/29 35380028MYWPB6AUO129 86562MBS8 400000.00000000 NS USD 405860.09000000 0.214450547335 Long DBT CORP JP N 2 2029-09-17 Fixed 3.20200000 N N N N N N COOPERATIEVE R 3.875% 02/08/22 DG3RU1DBUFHT4ZF9WN62 21685WDD6 90000.00000000 NS USD 93734.05000000 0.049527703811 Long DBT CORP NL N 2 2022-02-08 Fixed 3.87500000 N N N N N N GNMA II P#BG7415 4% 04/20/48 N/A 3617GSGY9 67669.70000000 NS USD 71446.00000000 0.037751023523 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4.00000000 N N N N N N GNMA P#351156 7.5% 08/15/23 N/A 36203KBZ6 50.84000000 NS USD 50.94000000 0.000026915952 Long ABS-MBS USGSE US N 2 2023-08-15 Fixed 7.50000000 N N N N N N AMPHENOL CORP 3.2% 04/01/24 549300D3L3G0R4U4VT04 032095AG6 102000.00000000 NS USD 105838.17000000 0.055923344139 Long DBT CORP US N 2 2024-04-01 Fixed 3.20000000 N N N N N N FNMA P#660680 6% 10/1/32 N/A 31390Y6R4 1400.26000000 NS USD 1568.53000000 0.000828788356 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 6.00000000 N N N N N N NEWFIELD EXPLO 5.625% 07/01/24 T8W3X1PFLPW2YE0UIP44 651290AQ1 145000.00000000 NS USD 159338.29000000 0.084192026621 Long DBT CORP US N 2 2024-07-01 Fixed 5.62500000 N N N N N N IHSFR 2018-SFR2 V/R 06/17/20 N/A 46185HAG7 160000.00000000 NS USD 160198.91000000 0.084646765667 Long ABS-CBDO CORP US Y 2 2037-06-17 Variable 3.18975000 N N N N N N PROG 2017-SFR 4.261% 08/17/22 N/A 74333JAN1 130000.00000000 NS USD 132515.77000000 0.070019398574 Long ABS-CBDO CORP US Y 2 2034-08-17 Fixed 4.26100000 N N N N N N AT SECURITIES BV V/R /PERP/ N/A N0796CAA4 250000.00000000 NS USD 260125.00000000 0.137446253031 Long DBT CORP NL N 2 2168-07-21 Variable 5.25000000 N N N N N N GNMA P#584343 6.5% 04/15/32 N/A 36201JEQ8 1129.39000000 NS USD 1245.86000000 0.000658294238 Long ABS-MBS USGSE US N 2 2032-04-15 Fixed 6.50000000 N N N N N N UMBS P#BD8705 3.5% 12/01/46 N/A 3140FGU72 131895.43000000 NS USD 136991.75000000 0.072384441071 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N PHILLIPS 66 PAR 3.75% 03/01/28 N/A 718549AF5 450000.00000000 NS USD 468743.12000000 0.247677022502 Long DBT CORP US N 2 2028-03-01 Fixed 3.75000000 N N N N N N UMBS P#AB1149 5% 06/01/40 N/A 31416WH39 5524.52000000 NS USD 6091.89000000 0.003218865754 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N AMPHENOL CORP 4.35% 06/01/29 549300D3L3G0R4U4VT04 032095AH4 259000.00000000 NS USD 290010.77000000 0.153237457665 Long DBT CORP US N 2 2029-06-01 Fixed 4.35000000 N N N N N N TPMT 2016-5 M2 V/R 10/25/56 N/A 89173CAD9 125000.00000000 NS USD 125346.33000000 0.066231171128 Long ABS-CBDO CORP US Y 2 2056-10-25 Variable 3.37500000 N N N N N N GNMA P#AH5666 4% 03/15/44 N/A 36182NJK0 216472.95000000 NS USD 226414.84000000 0.119634296545 Long ABS-MBS USGSE US N 2 2044-03-15 Fixed 4.00000000 N N N N N N T/L NVA HOLDINGS 0% 02/02/25 N/A N/A 123131.24000000 NS USD 123179.38000000 0.065086186378 Long LON CORP US N 2 2025-02-02 Fixed 0.00000000 N N N N N N JPMMT 2019-LTV1 V/R 06/25/49 N/A 46650PAR1 240378.87000000 NS USD 244567.52000000 0.129225907687 Long ABS-CBDO CORP US Y 2 2049-06-25 Variable 4.00000000 N N N N N N ENTERPRISE PRODU 2.8% 02/15/21 N/A 29379VBP7 121000.00000000 NS USD 122154.75000000 0.064544786842 Long DBT CORP US N 2 2021-02-15 Fixed 2.80000000 N N N N N N VOLKSWAGEN GROUP A 4% 11/12/21 N/A 928668AP7 400000.00000000 NS USD 413713.48000000 0.218600163977 Long DBT CORP US Y 2 2021-11-12 Fixed 4.00000000 N N N N N N GNR 2012-130 PA 3% 04/20/41 N/A 38378GJK5 11119.41000000 NS USD 11251.39000000 0.005945070242 Long ABS-CBDO CORP US N 2 2041-04-20 Fixed 3.00000000 N N N N N N HEALTHCARE TRUST 3.5% 08/01/26 N/A 42225UAD6 205000.00000000 NS USD 214002.35000000 0.113075718010 Long DBT CORP US N 2 2026-08-01 Fixed 3.50000000 N N N N N N UMBS P#AB5919 3% 08/01/42 N/A 31417CSH9 35991.47000000 NS USD 37140.95000000 0.019624735844 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.00000000 N N N N N N TPMT 2019-4 A1 V/R 10/25/59 N/A 89178BAA2 5106.27000000 NS USD 5135.63000000 0.002713591928 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 2.90000000 N N N N N N MSBAM 2012-C6 2.858% 09/15/22 N/A 61761DAD4 125323.47000000 NS USD 127120.06000000 0.067168384169 Long ABS-CBDO CORP US N 2 2045-11-15 Fixed 2.85800000 N N N N N N T/L AXALTA COAT 0% 6/1/24 N/A 90347BAH1 196500.00000000 NS USD 197212.31000000 0.104204105953 Long LON CORP NL N 2 2024-06-01 Fixed 0.00000000 N N N N N N HIGHWOODS REALTY 3.2% 06/15/21 N/A 431282AN2 50000.00000000 NS USD 50641.84000000 0.026758409051 Long DBT CORP US N 2 2021-06-15 Fixed 3.20000000 N N N N N N EMIR 2018-1 M1 V/R 11/25/23 N/A 269826AA1 129368.01000000 NS USD 129547.77000000 0.068451150697 Long ABS-CBDO CORP US Y 2 2028-11-25 Variable 3.49200000 N N N N N N CAFL 2017-1 C 3.756% 07/15/22 N/A 21871VAJ2 100000.00000000 NS USD 100825.70000000 0.053274828156 Long ABS-CBDO CORP US Y 2 2049-10-15 Fixed 3.75600000 N N N N N N UMBS P#AB8464 2.5% 02/01/43 N/A 31417FMN5 14408.43000000 NS USD 14338.96000000 0.007576497162 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 2.50000000 N N N N N N FNMA P#617162 6.50% 01/01/32_ N/A 31388WTT3 2051.84000000 NS USD 2277.42000000 0.001203355485 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 6.50000000 N N N N N N UMBS P#AW9530 2.5% 04/01/45 N/A 3138XZSU6 35348.28000000 NS USD 35177.78000000 0.018587425472 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N STACR 2017-DNA3 V/R 03/25/30 N/A 3137G0QQ5 410000.00000000 NS USD 419594.25000000 0.221707477005 Long ABS-CBDO CORP US N 2 2030-03-25 Variable 4.29200000 N N N N N N FIAOT 2015-2A 4.22% 09/15/19 N/A 32058MAJ4 45000.00000000 NS USD 45246.63000000 0.023907658840 Long ABS-CBDO CORP US Y 2 2021-12-15 Fixed 4.22000000 N N N N N N F/C US 10YR ULTRA FUT MAR20 N/A N/A -92.00000000 NC USD -12944687.50000000 -6.83978392519 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C US 10YR ULTRA FUT MAR20 US 10YR ULTRA FUT MAR20 2020-03-20 13113593.75 USD 168906.25 N N N FNMA P#789918 6.5% 7/1/34__ N/A 31405HSF6 19499.67000000 NS USD 21856.91000000 0.011548872205 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 6.50000000 N N N N N N GNMA P#545241 7% 12/15/30 N/A 36212VWA3 627.53000000 NS USD 637.62000000 0.000336909100 Long ABS-MBS USGSE US N 2 2030-12-15 Fixed 7.00000000 N N N N N N AXIS 2018-2A D 4.45% 06/20/23 N/A 03237JAE7 200000.00000000 NS USD 206124.20000000 0.108913018545 Long ABS-CBDO CORP US Y 2 2023-06-20 Fixed 4.45000000 N N N N N N PENSKE TRUCK LEA 4.2% 04/01/27 N/A 709599AX2 156000.00000000 NS USD 167295.79000000 0.088396653468 Long DBT CORP US Y 2 2027-04-01 Fixed 4.20000000 N N N N N N TPMT 2016-3 B1 V/R 04/25/56 N/A 89172YAE0 460000.00000000 NS USD 485939.72000000 0.256763454928 Long ABS-CBDO CORP US Y 2 2056-04-25 Variable 4.14282100 N N N N N N BROADCOM INC 4.25% 04/15/26 549300WV6GIDOZJTV909 11135FAE1 116000.00000000 NS USD 123211.90000000 0.065103369472 Long DBT CORP US Y 2 2026-04-15 Fixed 4.25000000 N N N N N N STACR 2019-DNA2 V/R 03/25/49 N/A 35564LAH0 289100.06000000 NS USD 291639.25000000 0.154097922727 Long ABS-CBDO CORP US Y 2 2049-03-25 Variable 4.24200000 N N N N N N AMHERST COLLEG 3.794% 11/01/42 549300AS419G4Y35BP63 898361AM2 10000.00000000 NS USD 10665.98000000 0.005635748143 Long DBT CORP US N 2 2042-11-01 Fixed 3.79400000 N N N N N N UMBS P#BH2849 3.5% 05/01/47 N/A 3140GREX8 229378.70000000 NS USD 238086.42000000 0.125801389050 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.50000000 N N N N N N FGLMC P#G60658 3.5% 07/01/46 N/A 31335AWT1 179982.35000000 NS USD 191727.98000000 0.101306266034 Long ABS-MBS USGA US N 2 2046-07-01 Fixed 3.50000000 N N N N N N UDR INC 4.4% 01/26/29 P3CH2EG5X6Z1XWU1OO74 90265EAP5 180000.00000000 NS USD 201048.73000000 0.106231214282 Long DBT CORP US N 2 2029-01-26 Fixed 4.40000000 N N N N N N JPMMT 2017-5 A1B V/R 10/26/48 N/A 46590YAN4 390000.00000000 NS USD 401831.24000000 0.212321761803 Long ABS-CBDO CORP US Y 2 2048-10-26 Variable 3.42416600 N N N N N N FGLMC P#Q40718 3.5% 05/01/46 N/A 3132WDYQ1 143046.47000000 NS USD 148988.46000000 0.078723327523 Long ABS-MBS USGA US N 2 2046-05-01 Fixed 3.50000000 N N N N N N FGLMC P#Q46616 3% 03/01/47 N/A 3132WLK62 26718.56000000 NS USD 27298.89000000 0.014424335002 Long ABS-MBS USGA US N 2 2047-03-01 Fixed 3.00000000 N N N N N N GNMA P#502981 6% 02/15/29 N/A 36210UXJ7 8296.34000000 NS USD 9201.82000000 0.004862107371 Long ABS-MBS USGSE US N 2 2029-02-15 Fixed 6.00000000 N N N N N N UMBS P#AS5402 2.5% 07/01/30 N/A 3138WFAC0 36666.21000000 NS USD 37228.86000000 0.019671186205 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N FNMA P#254199 6.5% 2/1/32 N/A 31371KKL4 1311.23000000 NS USD 1459.88000000 0.000771379282 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 6.50000000 N N N N N N UMBS P#AB3678 3.5% 10/01/41 N/A 31417ACQ0 9616.76000000 NS USD 10255.31000000 0.005418756110 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 3.50000000 N N N N N N ENERGY TRANSFER OP 6% 06/15/48 5493008K8W3OKZE54J59 29278NAE3 140000.00000000 NS USD 163357.15000000 0.086315533583 Long DBT CORP US N 2 2048-06-15 Fixed 6.00000000 N N N N N N STACR 2018-SPI3 V/R 08/25/48 N/A 3137G1DB0 48664.59000000 NS USD 48823.39000000 0.025797566615 Long ABS-CBDO CORP US Y 2 2048-08-25 Variable 4.15236100 N N N N N N MOTIVA ENTERPRI 5.75% 01/15/20 N/A 61980AAC7 42000.00000000 NS USD 42042.56000000 0.022214675021 Long DBT CORP US Y 2 2020-01-15 Fixed 5.75000000 N N N N N N MDPK 2019-36A E V/R 01/15/33 N/A 55819NAA2 250000.00000000 NS USD 249987.75000000 0.132089878102 Long ABS-CBDO CORP KY Y 2 2033-01-15 Variable 7.25000000 N N N N N N UMBS P#MA2415 4% 10/01/45 N/A 31418BVH6 31945.79000000 NS USD 33850.71000000 0.017886221055 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 4.00000000 N N N N N N UMBS P#BC2841 3.5% 09/01/46 N/A 3140EXEP4 206125.48000000 NS USD 214532.03000000 0.113355593190 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N UMBS P#AT5988 3% 05/01/43 N/A 3138WTUN4 210879.81000000 NS USD 217170.26000000 0.114749595413 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N UMBS P#BH3871 4% 06/01/47 N/A 3140GSJR4 135480.60000000 NS USD 142538.52000000 0.075315273375 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N FGLMC P#Q49365 3% 07/01/47 N/A 3132WPMP9 16865.90000000 NS USD 17117.27000000 0.009044515612 Long ABS-MBS USGA US N 2 2047-07-01 Fixed 3.00000000 N N N N N N MCAS 2019-01 M7 V/R 10/15/49 N/A 62547NAA7 149762.09000000 NS USD 150329.25000000 0.079431781388 Long ABS-CBDO CORP US Y 2 2049-10-15 Variable 3.49200000 N N N N N N UMBS P#AB7765 3% 02/01/43 N/A 31417ETX9 60985.47000000 NS USD 62858.16000000 0.033213334221 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.00000000 N N N N N N FGLMC P#Q48093 4.5% 05/01/47 N/A 3132WM7F5 166556.13000000 NS USD 176682.24000000 0.093356316637 Long ABS-MBS USGA US N 2 2047-05-01 Fixed 4.50000000 N N N N N N NORDEA BANK ABP 4.25% 09/21/22 529900ODI3047E2LIV03 65557FAD8 600000.00000000 NS USD 629961.81000000 0.332862625036 Long DBT CORP FI Y 2 2022-09-21 Fixed 4.25000000 N N N N N N GNMA II P#MA5021 4.5% 02/20/48 N/A 36179TSJ5 438667.03000000 NS USD 463078.62000000 0.244683983385 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 4.50000000 N N N N N N GNMA P#583941 6.5% 06/15/32 N/A 36201HWA7 3245.74000000 NS USD 3580.45000000 0.001891857517 Long ABS-MBS USGSE US N 2 2032-06-15 Fixed 6.50000000 N N N N N N BANK 2017-BNK 3.748% 09/15/27 N/A 06541XAJ9 410000.00000000 NS USD 435653.25000000 0.230192818197 Long ABS-CBDO CORP US N 2 2060-09-15 Fixed 3.74800000 N N N N N N UMBS P#BJ5108 3.5% 12/01/47 N/A 3140H6VA4 395296.90000000 NS USD 410525.28000000 0.216915565635 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N GSMBS 2019-SL1 A V/R 01/25/59 N/A 36257EAB9 200000.00000000 NS USD 197960.62000000 0.104599502034 Long ABS-CBDO CORP US Y 2 2059-01-25 Variable 2.87500000 N N N N N N SCFET 2019-2A 3.11% 06/21/27 N/A 784034AD2 200000.00000000 NS USD 199747.04000000 0.105543420287 Long ABS-CBDO CORP US Y 2 2027-06-21 Fixed 3.11000000 N N N N N N UMBS P#BD1001 3.5% 04/01/46 N/A 3140F8DF1 93190.71000000 NS USD 97198.89000000 0.051358474692 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 3.50000000 N N N N N N FGLMC P#G06807 4% 11/01/41 N/A 3128M83Q5 162391.02000000 NS USD 176593.00000000 0.093309163523 Long ABS-MBS USGA US N 2 2041-11-01 Fixed 4.00000000 N N N N N N JPMDB 2018-C8 4.21% 05/15/28 N/A 46591ABA2 250000.00000000 NS USD 278966.23000000 0.147401683943 Long ABS-CBDO CORP US N 2 2051-06-15 Fixed 4.21060000 N N N N N N ANGLO AMERICAN 4.75% 04/10/27 N/A 034863AR1 200000.00000000 NS USD 218776.12000000 0.115598108397 Long DBT CORP GB Y 2 2027-04-10 Fixed 4.75000000 N N N N N N T/L RPI FINANCE 0% 03/27/23 N/A N/A 137954.50000000 NS USD 139238.30000000 0.073571485299 Long LON CORP US N 2 2023-03-27 Fixed 0.00000000 N N N N N N NEXTERA ENERGY 3.55% 05/01/27 N/A 65339KAT7 430000.00000000 NS USD 456873.76000000 0.241405425931 Long DBT CORP US N 2 2027-05-01 Fixed 3.55000000 N N N N N N F/C US LONG BOND(CBT) MAR20 N/A N/A -10.00000000 NC USD -1559062.50000000 -0.82378586782 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C US LONG BOND(CBT) MAR20 US LONG BOND(CBT) MAR20 2020-03-20 1592929.69 USD 33867.19 N N N UMBS P#AB1617 4% 10/01/40 N/A 31416WYP1 178610.87000000 NS USD 193753.16000000 0.102376341586 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.00000000 N N N N N N LEVEL 3 FINANC 4.625% 09/15/27 N/A 527298BN2 95000.00000000 NS USD 97261.00000000 0.051391292709 Long DBT CORP US Y 2 2027-09-15 Fixed 4.62500000 N N N N N N ENERGY TRANSFER 6.5% 02/01/42 5493008K8W3OKZE54J59 29273RAR0 125000.00000000 NS USD 148687.99000000 0.078564563561 Long DBT CORP US N 2 2042-02-01 Fixed 6.50000000 N N N N N N FGLMC P#Q45539 3.5% 01/01/47 N/A 3132WKEM6 63474.22000000 NS USD 65965.63000000 0.034855276011 Long ABS-MBS USGA US N 2 2047-01-01 Fixed 3.50000000 N N N N N N UMBS P#BE0699 3% 10/01/46 N/A 3140FKX54 223092.36000000 NS USD 228492.80000000 0.120732260277 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N FGLMC P#G08609 3.5% 10/01/44 N/A 3128MJVB3 49898.97000000 NS USD 52251.19000000 0.027608766100 Long ABS-MBS USGA US N 2 2044-10-01 Fixed 3.50000000 N N N N N N DANSKE BANK A/ 5.375% 01/12/24 MAES062Z21O4RZ2U7M96 23636AAT8 410000.00000000 NS USD 448799.94000000 0.237139337295 Long DBT CORP DK Y 2 2024-01-12 Fixed 5.37500000 N N N N N N TPMT 2017-6 M1 V/R 10/25/57 N/A 89175JAC4 500000.00000000 NS USD 504298.25000000 0.266463834206 Long ABS-CBDO CORP US Y 2 2057-10-25 Variable 3.25000000 N N N N N N CAS 2018-C05 1M2 V/R 01/25/31 N/A 30711XY24 140000.00000000 NS USD 141994.99000000 0.075028080056 Long ABS-CBDO CORP US N 2 2031-01-25 Variable 4.14200000 N N N N N N FGLMC P#G08592 4% 06/01/44 N/A 3128MJUS7 101303.89000000 NS USD 107408.90000000 0.056753294943 Long ABS-MBS USGA US N 2 2044-06-01 Fixed 4.00000000 N N N N N N FGLMC P#G08785 4% 10/01/47 N/A 3128MJ2T6 605577.25000000 NS USD 636776.72000000 0.336463524005 Long ABS-MBS USGA US N 2 2047-10-01 Fixed 4.00000000 N N N N N N T/L SPRINT COMM 0% 02/02/24 N/A N/A 220040.38000000 NS USD 218594.93000000 0.115502370245 Long LON CORP US N 2 2024-02-02 Fixed 0.00000000 N N N N N N EXPEDIA INC 4.5% 08/15/24 CI7MUJI4USF3V0NJ1H64 30212PAJ4 88000.00000000 NS USD 93948.27000000 0.049640894532 Long DBT CORP US N 2 2024-08-15 Fixed 4.50000000 N N N N N N ENLINK MIDSTREAM 5.6% 04/01/44 88CPW63VL7KHJWS0NY83 29336UAC1 134000.00000000 NS USD 108540.00000000 0.057350951673 Long DBT CORP US N 2 2044-04-01 Fixed 5.60000000 N N N N N N GSMBS 2019-PJ3 A V/R 03/25/50 N/A 36257QAA4 429848.68000000 NS USD 435412.64000000 0.230065683385 Long ABS-CBDO CORP US Y 2 2050-03-25 Variable 3.50000000 N N N N N N PENSKE TRUCK LEA 2.7% 03/14/23 N/A 709599AY0 221000.00000000 NS USD 223372.62000000 0.118026831903 Long DBT CORP US Y 2 2023-03-14 Fixed 2.70000000 N N N N N N HESS MIDSTREAM 5.125% 06/15/28 N/A 428104AA1 145000.00000000 NS USD 146812.50000000 0.077573582021 Long DBT CORP US Y 2 2028-06-15 Fixed 5.12500000 N N N N N N CNO FINANCIAL G 5.25% 05/30/29 11XPYHB76MPM4Y4P2897 12621EAL7 95000.00000000 NS USD 106043.75000000 0.056031969610 Long DBT CORP US N 2 2029-05-30 Fixed 5.25000000 N N N N N N NWSB 2017-1 A V/R 02/15/43 N/A 65252WAA5 128270.63000000 NS USD 129152.03000000 0.068242047457 Long ABS-CBDO CORP US Y 2 2043-02-15 Variable 3.79200000 N N N N N N UMBS P#AL6418 3.5% 02/01/45 N/A 3138EPDY7 251549.08000000 NS USD 268240.09000000 0.141734148134 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N UMBS P#AJ4899 4% 01/01/42 N/A 3138AWNR0 49694.88000000 NS USD 53196.80000000 0.028108412621 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N ENABLE MIDSTREAM 4.4% 03/15/27 N/A 292480AK6 136000.00000000 NS USD 135833.62000000 0.071772502084 Long DBT CORP US N 2 2027-03-15 Fixed 4.40000000 N N N N N N BOOKING HOLDING 3.55% 03/15/28 FXM8FAOHMYDIPD38UZ17 741503BC9 260000.00000000 NS USD 277066.77000000 0.146398037005 Long DBT CORP US N 2 2028-03-15 Fixed 3.55000000 N N N N N N UMBS P#BH6445 3.5% 07/01/47 N/A 3140GVET8 359584.78000000 NS USD 373325.09000000 0.197259528239 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 3.50000000 N N N N N N JPMCC 2018-WP 4.247% 07/05/23 N/A 46645WAU7 250000.00000000 NS USD 265933.78000000 0.140515527594 Long ABS-CBDO CORP US Y 2 2033-07-05 Fixed 4.24750000 N N N N N N JPMMT 2019-LTV3 V/R 03/25/50 N/A 46651HAF4 379788.86000000 NS USD 384565.84000000 0.203198976461 Long ABS-CBDO CORP US Y 2 2050-03-25 Variable 3.50000000 N N N N N N UMBS P#BC1214 4% 07/01/46 N/A 3140EVK48 199105.96000000 NS USD 210242.74000000 0.111089194964 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4.00000000 N N N N N N TPMT 2019-2 A2 V/R 12/25/58 N/A 89177JAB4 850000.00000000 NS USD 890742.71000000 0.470655446054 Long ABS-CBDO CORP US Y 2 2058-12-25 Variable 3.75000000 N N N N N N CAPITAL ONE FINA 3.3% 10/30/24 ZUE8T73ROZOF6FLBAR73 14040HBT1 170000.00000000 NS USD 177054.03000000 0.093552765046 Long DBT CORP US N 2 2024-10-30 Fixed 3.30000000 N N N N N N ENLINK MIDSTRE 5.375% 06/01/29 54930000GY1H533OBE23 29336TAA8 20000.00000000 NS USD 18800.00000000 0.009933645581 Long DBT CORP US N 2 2029-06-01 Fixed 5.37500000 N N N N N N STEEL DYNAMICS 3.45% 04/15/30 549300HGGKEL4FYTTQ83 858119BK5 57000.00000000 NS USD 57677.12000000 0.030475748312 Long DBT CORP US N 2 2030-04-15 Fixed 3.45000000 N N N N N N T/L WESTERN DIGITA 0% 04/29/23 N/A N/A 155723.64000000 NS USD 156728.68000000 0.082813146789 Long LON CORP US N 2 2023-04-29 Fixed 0.00000000 N N N N N N FREMF 2017-K66 B V/R 07/25/27 N/A 35708QAU7 90000.00000000 NS USD 94675.62000000 0.050025215655 Long ABS-CBDO CORP US N 2 2027-07-25 Variable 4.03531400 N N N N N N MIDWEST CONNEC 4.625% 04/01/29 N/A 59833CAC6 163000.00000000 NS USD 178068.01000000 0.094088537277 Long DBT CORP US Y 2 2029-04-01 Fixed 4.62500000 N N N N N N T/L GO DADDY OPERA 0% 02/15/24 N/A 38017BAN6 73368.61000000 NS USD 73859.81000000 0.039026445494 Long LON CORP US N 2 2024-02-15 Fixed 0.00000000 N N N N N N PHILIP MORRIS I 3.25% 11/10/24 HL3H1H2BGXWVG3BSWR90 718172BM0 435000.00000000 NS USD 456842.53000000 0.241388924455 Long DBT CORP US N 2 2024-11-10 Fixed 3.25000000 N N N N N N UMBS P#BH7772 3.5% 08/01/47 N/A 3140GWT60 569808.10000000 NS USD 591577.62000000 0.312580979323 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 3.50000000 N N N N N N MONDELEZ INTL HLDI 2% 10/28/21 N/A 60920LAC8 200000.00000000 NS USD 200023.21000000 0.105689344483 Long DBT CORP NL Y 2 2021-10-28 Fixed 2.00000000 N N N N N N UBS GROUP AG V/R /PERP/ 549300SZJ9VS8SGXAN81 H42097AA5 200000.00000000 NS USD 211750.00000000 0.111885609147 Long DBT CORP CH N 2 2168-08-10 Variable 7.12500000 N N N N N N FGLMC P#G08588 4% 05/01/44 N/A 3128MJUN8 68691.13000000 NS USD 72829.22000000 0.038481896781 Long ABS-MBS USGA US N 2 2044-05-01 Fixed 4.00000000 N N N N N N JPMDB 2016-C2 B V/R 05/15/26 N/A 46590LAY8 150000.00000000 NS USD 157251.38000000 0.083089333839 Long ABS-CBDO CORP US N 2 2049-06-15 Variable 3.99010000 N N N N N N COMMSCOPE TECH LLC 5% 03/15/27 N/A 20338HAB9 182000.00000000 NS USD 171080.00000000 0.090396174795 Long DBT CORP US Y 2 2027-03-15 Fixed 5.00000000 N N N N N N DOMINION ENERGY INC V/R /PERP/ ILUL7B6Z54MRYCF6H308 25746UDD8 376000.00000000 NS USD 383583.92000000 0.202680144266 Long DBT CORP US N 2 2168-06-15 Variable 4.65000000 N N N N N N UNITED MEXICAN S 4.6% 02/10/48 N/A 91087BAD2 475000.00000000 NS USD 520129.75000000 0.274828967718 Long DBT USGA MX N 2 2048-02-10 Fixed 4.60000000 N N N N N N FGLMC P#Q13205 3% 11/01/42 N/A 3132HPR22 147384.99000000 NS USD 151953.55000000 0.080290037798 Long ABS-MBS USGA US N 2 2042-11-01 Fixed 3.00000000 N N N N N N CSMC 2019-RPL1 A V/R 07/25/58 N/A 12596MAB2 609208.88000000 NS USD 629432.06000000 0.332582712869 Long ABS-CBDO CORP US Y 2 2058-07-25 Variable 3.65000000 N N N N N N BMARK 2018-B5 3.943% 07/15/28 N/A 08160BAC8 125000.00000000 NS USD 137139.60000000 0.072462562853 Long ABS-CBDO CORP US N 2 2051-07-15 Fixed 3.94360000 N N N N N N SCFT 2019-AA A 3.2% 05/27/36 N/A 85022WAL8 422553.69000000 NS USD 424123.05000000 0.224100428820 Long ABS-CBDO CORP US Y 2 2036-05-27 Fixed 3.20000000 N N N N N N CF INDUSTRIES 5.375% 03/15/44 N/A 12527GAE3 270000.00000000 NS USD 294300.00000000 0.155503824189 Long DBT CORP US N 2 2044-03-15 Fixed 5.37500000 N N N N N N PROG 2018-SFR 4.873% 10/17/23 N/A 74331MAE6 190000.00000000 NS USD 195654.13000000 0.103380786386 Long ABS-CBDO CORP US Y 2 2035-10-17 Fixed 4.87300000 N N N N N N GNMA P#AN6704 4% 07/15/45 N/A 36186PNV2 14328.29000000 NS USD 15385.42000000 0.008129431351 Long ABS-MBS USGSE US N 2 2045-07-15 Fixed 4.00000000 N N N N N N UMBS P#AY0767 3% 03/01/45 N/A 3138YDZ93 27343.76000000 NS USD 28148.55000000 0.014873282943 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 3.00000000 N N N N N N PROG 2017-SFR 3.196% 12/17/22 N/A 74333KAC2 100000.00000000 NS USD 99891.74000000 0.052781337325 Long ABS-CBDO CORP US Y 2 2034-12-17 Fixed 3.19600000 N N N N N N GNMA II P#MA2074 4% 07/20/44 N/A 36179QJT9 351811.26000000 NS USD 373063.46000000 0.197121286766 Long ABS-MBS USGSE US N 2 2044-07-20 Fixed 4.00000000 N N N N N N CATERPILLAR FINL 1.9% 09/06/22 N/A 14913Q3A5 310000.00000000 NS USD 310625.91000000 0.164130196728 Long DBT CORP US N 2 2022-09-06 Fixed 1.90000000 N N N N N N UMBS P#AJ3639 4.5% 12/01/41 N/A 3138AVBH7 17312.55000000 NS USD 18227.99000000 0.009631403847 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4.50000000 N N N N N N UMBS P#AD7136 5% 07/01/40 N/A 31418U4W1 3253.57000000 NS USD 3588.39000000 0.001896052897 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.00000000 N N N N N N BIOGEN INC 5.2% 09/15/45 W8J5WZB5IY3K0NDQT671 09062XAD5 230000.00000000 NS USD 277782.51000000 0.146776223574 Long DBT CORP US N 2 2045-09-15 Fixed 5.20000000 N N N N N N GSMBS 2019-PJ2 A V/R 11/25/49 N/A 36257LAD9 330062.09000000 NS USD 333986.86000000 0.176473781715 Long ABS-CBDO CORP US Y 2 2049-11-25 Variable 4.00000000 N N N N N N BNP PARIBAS V/R /PERP/ R0MUWSFPU8MPRO8K5P83 05565AHN6 805000.00000000 NS USD 869400.00000000 0.459378269623 Long DBT CORP FR Y 2 2168-09-25 Variable 6.62500000 N N N N N N BOMFT 2017-RT2 A V/R 08/28/57 N/A 07332MAA3 155778.28000000 NS USD 157571.86000000 0.083258670793 Long ABS-CBDO CORP US Y 2 2057-08-28 Variable 3.50000000 N N N N N N UMBS P#AT5974 3% 05/01/43 N/A 3138WTT89 59838.55000000 NS USD 61746.92000000 0.032626171226 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N UMBS P#AY7608 2.5% 04/01/45 N/A 3138YMN21 13522.36000000 NS USD 13457.13000000 0.007110551062 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N TSY INFL IX N/B 1.000% 2/15/46 N/A 912810RR1 1940317.65000000 NS USD 2133701.50000000 1.127416727585 Long DBT UST US N 2 2046-02-15 Fixed 1.00000000 N N N N N N UMBS P#AD8529 4.5% 08/01/40 N/A 31418WPP9 191944.30000000 NS USD 208116.95000000 0.109965958557 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.50000000 N N N N N N MCMLT 2019-1 A1 V/R 10/25/69 N/A 59981AAC0 899263.41000000 NS USD 915871.46000000 0.483933110757 Long ABS-CBDO CORP US Y 2 2069-10-25 Variable 3.25000000 N N N N N N UMBS P#AS6408 3.5% 01/01/46 N/A 3138WGDN1 161228.47000000 NS USD 168326.65000000 0.088941344845 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.50000000 N N N N N N SMITHFIELD FOOD 2.65% 10/03/21 N/A 832248BA5 100000.00000000 NS USD 99422.29000000 0.052533286798 Long DBT CORP US Y 2 2021-10-03 Fixed 2.65000000 N N N N N N CAPITAL ONE FIN 3.75% 04/24/24 ZUE8T73ROZOF6FLBAR73 14040HBF1 400000.00000000 NS USD 421287.42000000 0.222602123319 Long DBT CORP US N 2 2024-04-24 Fixed 3.75000000 N N N N N N FGLMC P#Q51132 4% 10/01/47 N/A 3132XTHJ0 195843.97000000 NS USD 205425.41000000 0.108543788109 Long ABS-MBS USGA US N 2 2047-10-01 Fixed 4.00000000 N N N N N N UMBS P#AZ9565 3.5% 12/01/45 N/A 3140E2TX9 56466.37000000 NS USD 58898.99000000 0.031121366584 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N SABINE PASS LIQUEF 5% 03/15/27 N/A 785592AS5 375000.00000000 NS USD 412795.87000000 0.218115312247 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N CAZ 2018-1A A 3.56% 08/15/23 N/A 14980AAA0 173844.29000000 NS USD 174834.96000000 0.092380240849 Long ABS-CBDO CORP US Y 2 2030-07-15 Fixed 3.56070000 N N N N N N GNMA II P#MA2373 4.5% 11/20/44 N/A 36179QT68 88333.34000000 NS USD 94592.65000000 0.049981375518 Long ABS-MBS USGSE US N 2 2044-11-20 Fixed 4.50000000 N N N N N N ALEXANDRIA REAL 4.3% 01/15/26 MGCJBT4MKTQBVLNUIS88 015271AH2 47000.00000000 NS USD 51599.28000000 0.027264306372 Long DBT CORP US N 2 2026-01-15 Fixed 4.30000000 N N N N N N CIGNA CORP 4.375% 10/15/28 549300VIWYMSIGT1U456 125523AH3 215000.00000000 NS USD 238195.91000000 0.125859241968 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N UMBS P#BH6523 3.5% 07/01/47 N/A 3140GVG90 73339.66000000 NS USD 76146.94000000 0.040234931601 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 3.50000000 N N N N N N BMARK 2018-B2 3.614% 11/15/27 N/A 08161CAD3 350000.00000000 NS USD 374452.30000000 0.197855129549 Long ABS-CBDO CORP US N 2 2051-02-15 Fixed 3.61470000 N N N N N N UMBS P#AU4291 4% 09/01/43 N/A 3138X3XV9 112276.26000000 NS USD 119784.30000000 0.063292275663 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.00000000 N N N N N N NRZT 2019-NQM4 A V/R 10/25/24 N/A 64828EAA3 400865.80000000 NS USD 399087.04000000 0.210871766579 Long ABS-CBDO CORP US Y 2 2059-09-25 Variable 2.49188000 N N N N N N TENET HEALTHCA 5.125% 11/01/27 0W9AIBT6U6ADJ2I8HK17 88033GDA5 130000.00000000 NS USD 137312.50000000 0.072553920689 Long DBT CORP US Y 2 2027-11-01 Fixed 5.12500000 N N N N N N FGLMC P#Q49257 3.5% 07/01/47 N/A 3132WPJB4 284239.78000000 NS USD 295273.42000000 0.156018165108 Long ABS-MBS USGA US N 2 2047-07-01 Fixed 3.50000000 N N N N N N GNMA P#781530 6.5% 12/15/32 N/A 36225BVX3 16071.29000000 NS USD 18661.80000000 0.009860622719 Long ABS-MBS USGSE US N 2 2032-12-15 Fixed 6.50000000 N N N N N N TENET HEALTHCA 4.875% 01/01/26 0W9AIBT6U6ADJ2I8HK17 88033GCY4 160000.00000000 NS USD 167584.00000000 0.088548939425 Long DBT CORP US Y 2 2026-01-01 Fixed 4.87500000 N N N N N N UMBS P#BD9327 3.5% 10/01/46 N/A 3140FHLH8 16888.82000000 NS USD 17712.18000000 0.009358857372 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.50000000 N N N N N N GNMA II P#MA2305 4.5% 10/20/44 N/A 36179QR29 42999.07000000 NS USD 46050.92000000 0.024332633936 Long ABS-MBS USGSE US N 2 2044-10-20 Fixed 4.50000000 N N N N N N FGLMC P#Q57743 4% 08/01/48 N/A 3132Y1S90 208580.57000000 NS USD 217258.30000000 0.114796114464 Long ABS-MBS USGA US N 2 2048-08-01 Fixed 4.00000000 N N N N N N UMBS P#BC0826 4% 04/01/46 N/A 3140EU4L0 28794.95000000 NS USD 30453.01000000 0.016090925970 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4.00000000 N N N N N N WLKRG 2019-AA 4.03% 06/15/38 N/A 94946DAD3 182736.91000000 NS USD 183726.08000000 0.097078178876 Long ABS-CBDO CORP US Y 2 2038-06-15 Fixed 4.03000000 N N N N N N CGCMT 2015-GC33 V/R 09/10/25 N/A 29425AAG8 125000.00000000 NS USD 135060.14000000 0.071363806542 Long ABS-CBDO CORP US N 2 2058-09-10 Variable 4.72473800 N N N N N N T/L NATURES BOUNTY 0% 09/26/24 N/A 18913EAB3 122187.50000000 NS USD 118114.62000000 0.062410041123 Long LON CORP US N 2 2024-09-26 Fixed 0.00000000 N N N N N N HENDR 2010-3A A 3.82% 12/15/48 N/A 46616MAA8 21375.68000000 NS USD 22033.39000000 0.011642121661 Long ABS-CBDO CORP US Y 2 2048-12-15 Fixed 3.82000000 N N N N N N GNMA P#606750 5.5% 03/15/33 N/A 36201YBT2 9409.74000000 NS USD 10230.57000000 0.005405683855 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 5.50000000 N N N N N N BOMFT 2017-RT1 A V/R 03/28/57 N/A 07332BAA7 175090.46000000 NS USD 176383.31000000 0.093198366388 Long ABS-CBDO CORP US Y 2 2057-03-28 Variable 3.00000000 N N N N N N ANGLO AMERICAN 4.875% 05/14/25 N/A 034863AP5 200000.00000000 NS USD 219774.94000000 0.116125870305 Long DBT CORP GB Y 2 2025-05-14 Fixed 4.87500000 N N N N N N GNMA P#698329 4.5% 05/15/39 N/A 36296QY29 62712.18000000 NS USD 68584.95000000 0.036239286465 Long ABS-MBS USGSE US N 2 2039-05-15 Fixed 4.50000000 N N N N N N FGLMC P#Q11194 3% 09/01/42 N/A 3132HMKF7 19304.49000000 NS USD 19932.93000000 0.010532269256 Long ABS-MBS USGA US N 2 2042-09-01 Fixed 3.00000000 N N N N N N A10 2017-1A B 3.15% 03/15/36 N/A 04684TAG6 250000.00000000 NS USD 250027.23000000 0.132110738757 Long ABS-CBDO CORP US Y 2 2036-03-15 Fixed 3.15000000 N N N N N N FGLMC P#C01343 6.5% 04/01/32 N/A 31292HP40 9026.63000000 NS USD 10233.74000000 0.005407358837 Long ABS-MBS USGA US N 2 2032-04-01 Fixed 6.50000000 N N N N N N ENERGY TRANSFE 6.125% 12/15/45 5493008K8W3OKZE54J59 29273RBJ7 40000.00000000 NS USD 46389.03000000 0.024511286324 Long DBT CORP US N 2 2045-12-15 Fixed 6.12500000 N N N N N N GNMA P#544532 6.5% 05/15/31 N/A 36212U4R9 2196.67000000 NS USD 2423.20000000 0.001280383509 Long ABS-MBS USGSE US N 2 2031-05-15 Fixed 6.50000000 N N N N N N PORT AUTH OF N 4.458% 10/01/62 54930006MR4KZ4W74Z83 73358WJA3 10000.00000000 NS USD 12232.00000000 0.006463210253 Long DBT MUN US N 2 2062-10-01 Fixed 4.45800000 N N N N N N STACR 2019-HQA2 V/R 04/25/49 N/A 35564MBE4 110000.00000000 NS USD 142489.09000000 0.075289155284 Long ABS-CBDO CORP US Y 2 2049-04-25 Variable 13.04200000 N N N N N N UMBS P#BH7777 4% 08/01/47 N/A 3140GWUB7 135035.05000000 NS USD 140955.83000000 0.074479003081 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N NISSAN MOTOR AC 2.15% 07/13/20 N/A 654740AX7 125000.00000000 NS USD 124946.98000000 0.066020160417 Long DBT CORP US Y 2 2020-07-13 Fixed 2.15000000 N N N N N N UMBS P#AS5297 2.5% 07/01/30 N/A 3138WE3F4 20052.21000000 NS USD 20335.61000000 0.010745039491 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 2.50000000 N N N N N N FGLMC P#G08671 3.5% 10/01/45 N/A 3128MJW97 154150.39000000 NS USD 161038.09000000 0.085090176130 Long ABS-MBS USGA US N 2 2045-10-01 Fixed 3.50000000 N N N N N N GNMA P#AI8459 4% 09/15/44 N/A 36198VMG9 32676.99000000 NS USD 34618.06000000 0.018291677594 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 4.00000000 N N N N N N SEMT 2013-6 A1 V/R 05/25/43 N/A 81745BAA3 357383.06000000 NS USD 349758.33000000 0.184807196252 Long ABS-CBDO CORP US N 2 2043-05-25 Variable 2.50000000 N N N N N N JPMCC 2018-BCON V/R 01/05/23 N/A 46590WAG3 200000.00000000 NS USD 204718.28000000 0.108170150939 Long ABS-CBDO CORP US Y 2 2031-01-05 Variable 3.75570000 N N N N N N SUNOCO LOGISTICS 6.1% 02/15/42 N/A 86765BAK5 25000.00000000 NS USD 28030.50000000 0.014810907047 Long DBT CORP US N 2 2042-02-15 Fixed 6.10000000 N N N N N N STACR 2018-HQA2 V/R 10/25/48 N/A 35563XAH5 310000.00000000 NS USD 313989.55000000 0.165907495006 Long ABS-CBDO CORP US Y 2 2048-10-25 Variable 4.09200000 N N N N N N UMBS P#AX9656 2.5% 04/01/45 N/A 3138YBWS8 18761.32000000 NS USD 18670.82000000 0.009865388755 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N FNR 2013-61 BY 3% 06/25/43 N/A 3136AESM0 550000.00000000 NS USD 560532.06000000 0.296176958582 Long ABS-CBDO CORP US N 2 2043-06-25 Fixed 3.00000000 N N N N N N FSMT 2018-2 A14 V/R 04/25/48 N/A 33851HAP8 174549.95000000 NS USD 178681.77000000 0.094412839102 Long ABS-CBDO CORP US Y 2 2048-04-25 Variable 3.50000000 N N N N N N IHSFR 2018-SFR3 V/R 07/17/20 N/A 46187VAG4 240000.00000000 NS USD 240821.81000000 0.127246729198 Long ABS-CBDO CORP US Y 2 2037-07-17 Variable 3.38738000 N N N N N N UMBS P#AY1016 3% 04/01/45 N/A 3138YEDW4 33282.85000000 NS USD 34262.44000000 0.018103773177 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 3.00000000 N N N N N N UMBS P#AS7803 4% 08/01/46 N/A 3138WHU59 112817.55000000 NS USD 119019.33000000 0.062888076681 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 4.00000000 N N N N N N FGLMC P#J05452 7% 09/01/22 N/A 3128PHBV2 1258.52000000 NS USD 1294.10000000 0.000683783550 Long ABS-MBS USGA US N 2 2022-09-01 Fixed 7.00000000 N N N N N N FHR 4091 SH V/R 08/15/42 N/A 3137ATFZ0 401416.81000000 NS USD 84298.17000000 0.044541922552 Long ABS-CBDO CORP US N 2 2042-08-15 Variable 4.81025000 N N N N N N UMBS P#BK5212 4% 08/01/48 N/A 3140HJYJ4 189112.58000000 NS USD 198067.78000000 0.104656123814 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -161506.26000000 -0.08533755032 N/A DCR US N 2 JPMORGAN CHASE BANK, N.A. N/A CDX.NA.IG.33 CDX.NA.IG.33 Y 2024-12-20 -5788213.39 USD 5680000 USD 5680000 USD -40986.2 N N N COMM 2016-CR2 3.651% 11/10/24 N/A 12593YBF9 190039.92000000 NS USD 197737.87000000 0.104481804186 Long ABS-CBDO CORP US N 2 2049-02-10 Fixed 3.65100000 N N N N N N GNMA P#510986 7% 06/15/29 N/A 36211EUK2 3983.30000000 NS USD 4269.06000000 0.002255708989 Long ABS-MBS USGSE US N 2 2029-06-15 Fixed 7.00000000 N N N N N N UMBS P#AZ8012 3.5% 08/01/45 N/A 3140E03W3 39775.96000000 NS USD 41533.01000000 0.021945436238 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.50000000 N N N N N N UMBS P#AK8257 4% 04/01/42 N/A 3138EDE72 50378.14000000 NS USD 53913.98000000 0.028487360065 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.00000000 N N N N N N HIGHWOODS REAL 3.625% 01/15/23 N/A 431282AM4 290000.00000000 NS USD 299565.16000000 0.158285857879 Long DBT CORP US N 2 2023-01-15 Fixed 3.62500000 N N N N N N BMIR 2018-1A M1B V/R 04/25/28 N/A 078768AD0 138299.47000000 NS USD 138488.36000000 0.073175227950 Long ABS-CBDO CORP BM Y 2 2028-04-25 Variable 3.39200000 N N N N N N FNMA P#667454 6% 11/1/32_ N/A 31391HQF4 13316.20000000 NS USD 14666.26000000 0.007749437704 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 6.00000000 N N N N N N JPMORGAN CHASE & CO V/R /PERP/ 8I5DZWZKVSZI1NUHU748 48128BAF8 591000.00000000 NS USD 614640.00000000 0.324766804280 Long DBT CORP US N 2 2168-02-01 Variable 5.00000000 N N N N N N UMBS P#AL5543 4.5% 06/01/44 N/A 3138ENER6 570357.49000000 NS USD 619349.38000000 0.327255171930 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4.50000000 N N N N N N GNMA II P#MA4069 3.5% 11/20/46 N/A 36179SQW0 221518.66000000 NS USD 230159.78000000 0.121613068177 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.50000000 N N N N N N COMM 2014-FL5 B V/R 09/15/16 N/A 12635HAD2 6120.11000000 NS USD 6120.67000000 0.003234072686 Long ABS-CBDO CORP US Y 2 2031-10-15 Variable 3.15204600 N N N N N N FLEX LTD 4.75% 06/15/25 549300EAQH74YHD07T53 33938EAU1 250000.00000000 NS USD 272262.96000000 0.143859773921 Long DBT CORP US N 2 2025-06-15 Fixed 4.75000000 N N N N N N FGLMC P#Q14694 3% 01/01/43 N/A 3132HRGB0 33335.10000000 NS USD 34418.24000000 0.018186095623 Long ABS-MBS USGA US N 2 2043-01-01 Fixed 3.00000000 N N N N N N GNMA P#767081 4% 08/15/43 N/A 36176H6S8 65384.66000000 NS USD 71580.35000000 0.037822012102 Long ABS-MBS USGSE US N 2 2043-08-15 Fixed 4.00000000 N N N N N N FNR 2009-36 HX 4.5% 06/25/29 N/A 31397NR31 4448.44000000 NS USD 4642.76000000 0.002453166614 Long ABS-MBS USGSE US N 2 2029-06-25 Fixed 4.50000000 N N N N N N NRG ENERGY INC 5.75% 01/15/28 5E2UPK5SW04M13XY7I38 629377CE0 83000.00000000 NS USD 90055.00000000 0.047583747493 Long DBT CORP US N 2 2028-01-15 Fixed 5.75000000 N N N N N N UMBS P#AS6395 3.5% 12/01/45 N/A 3138WGC93 153281.03000000 NS USD 159880.06000000 0.084478289981 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N SOUTHERN CAL E 4.875% 03/01/49 N/A 842400GR8 295000.00000000 NS USD 349978.58000000 0.184923573137 Long DBT CORP US N 2 2049-03-01 Fixed 4.87500000 N N N N N N UMBS P#CA1765 3.5% 12/01/47 N/A 3140Q86B6 439769.99000000 NS USD 456609.63000000 0.241265863495 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N DCP MIDSTREAM 3.875% 03/15/23 N/A 23311VAD9 45000.00000000 NS USD 46012.50000000 0.024312333369 Long DBT CORP US N 2 2023-03-15 Fixed 3.87500000 N N N N N N GNMA P#781029 6.5% 05/15/29 N/A 36225BEA2 10047.51000000 NS USD 11362.87000000 0.006003974647 Long ABS-MBS USGSE US N 2 2029-05-15 Fixed 6.50000000 N N N N N N TRUIST BANK 2.45% 08/01/22 N/A 86787EAT4 425000.00000000 NS USD 429621.82000000 0.227005898624 Long DBT CORP US N 2 2022-08-01 Fixed 2.45000000 N N N N N N CGCMT 2019-SM 4.149% 01/10/24 N/A 29429MAA1 300000.00000000 NS USD 318634.29000000 0.168361707824 Long ABS-CBDO CORP US Y 2 2036-01-10 Fixed 4.14900000 N N N N N N UMBS P#AL8219 4% 02/01/46 N/A 3138ETDZ6 121741.16000000 NS USD 129130.18000000 0.068230502236 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.00000000 N N N N N N T/L TI GROUP AUTO 0% 6/30/22 N/A N/A 75096.30000000 NS USD 75487.40000000 0.039886440292 Long LON CORP US N 2 2022-06-30 Fixed 0.00000000 N N N N N N GNMA P#778607 3.5% 11/15/41 N/A 36176WYC9 211706.57000000 NS USD 222742.17000000 0.117693711325 Long ABS-MBS USGSE US N 2 2041-11-15 Fixed 3.50000000 N N N N N N GNMA II P#2473 7.5% 08/20/27 N/A 36202CXA6 490.44000000 NS USD 561.12000000 0.000296487617 Long ABS-MBS USGSE US N 2 2027-08-20 Fixed 7.50000000 N N N N N N UMBS P#AJ4895 4% 01/01/42 N/A 3138AWNM1 180158.35000000 NS USD 192952.95000000 0.101953522302 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N UMBS P#AU2278 3% 09/01/43 N/A 3138X1Q82 30778.73000000 NS USD 31695.45000000 0.016747413130 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 3.00000000 N N N N N N UMBS P#AZ3807 3% 05/01/46 N/A 3138YVGR4 80477.64000000 NS USD 83271.02000000 0.043999191485 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.00000000 N N N N N N OLIN CORP 5.625% 08/01/29 549300GKK294V7W57P06 680665AL0 188000.00000000 NS USD 198565.60000000 0.104919164636 Long DBT CORP US N 2 2029-08-01 Fixed 5.62500000 N N N N N N CAS 2019-R07 1M2 V/R 10/25/39 N/A 20753WAF3 410000.00000000 NS USD 413852.11000000 0.218673414046 Long ABS-CBDO CORP US Y 2 2039-10-25 Variable 3.89200000 N N N N N N FGLMC P#C00701 6.5% 01/01/29 N/A 31292GX68 2379.67000000 NS USD 2642.80000000 0.001396416943 Long ABS-MBS USGA US N 2 2029-01-01 Fixed 6.50000000 N N N N N N UMBS P#AW5063 4% 07/01/44 N/A 3138XUTV4 25030.72000000 NS USD 26519.78000000 0.014012664650 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.00000000 N N N N N N CD 2018-CD7 A 4.013% 07/15/28 N/A 12512JAV6 120000.00000000 NS USD 132440.71000000 0.069979737965 Long ABS-CBDO CORP US N 2 2051-08-15 Fixed 4.01300000 N N N N N N GNMA P#604471 5.5% 07/15/33 N/A 36200MQY2 10395.49000000 NS USD 11653.52000000 0.006157549864 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 5.50000000 N N N N N N MPLX LP 4.875% 12/01/24 N/A 55336VAG5 110000.00000000 NS USD 119591.26000000 0.063190276145 Long DBT CORP US N 2 2024-12-01 Fixed 4.87500000 N N N N N N UMBS P#722009 6% 06/01/33 N/A 31401YDN2 9351.97000000 NS USD 10289.78000000 0.005436969555 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 6.00000000 N N N N N N JPMMT 2019-8 B2A V/R 03/25/43 N/A 46591KBR3 348902.14000000 NS USD 342916.03000000 0.181191824807 Long ABS-CBDO CORP US Y 2 2050-03-25 Variable 3.25641800 N N N N N N UMBS P#AQ0535 3% 11/01/42 N/A 3138MFSZ1 149038.78000000 NS USD 153568.32000000 0.081143258696 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.00000000 N N N N N N DUKE REALTY LP 3.625% 04/15/23 N/A 26441YAX5 160000.00000000 NS USD 166325.86000000 0.087884156614 Long DBT CORP US N 2 2023-04-15 Fixed 3.62500000 N N N N N N TPMT 2018-5 A1B V/R 07/25/58 N/A 89176VAL6 500000.00000000 NS USD 510892.25000000 0.269948007555 Long ABS-CBDO CORP US Y 2 2058-07-25 Variable 3.25000000 N N N N N N CAS 2019-R02 1M2 V/R 08/25/31 N/A 20753KAB8 185000.00000000 NS USD 186708.27000000 0.098653924542 Long ABS-CBDO CORP US Y 2 2031-08-25 Variable 4.09200000 N N N N N N FED NATL MORT ASSC N/A N/A 285596.54000000 NS USD 301641.10000000 0.159382754273 Long DBT USGA US N 2 2029-01-25 Variable 6.24200000 N N N N N N 2020-01-30 Pioneer Variable Contracts Trust /MA/ Mark E. Bradley Mark E. Bradley Treasurer and Chief Accounting and Financial Officer