0001752724-24-143664.txt : 20240625 0001752724-24-143664.hdr.sgml : 20240625 20240625125214 ACCESSION NUMBER: 0001752724-24-143664 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20240430 FILED AS OF DATE: 20240625 DATE AS OF CHANGE: 20240625 PERIOD START: 20240430 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MFS SERIES TRUST XII CENTRAL INDEX KEY: 0001330967 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0430 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-21780 FILM NUMBER: 241067615 BUSINESS ADDRESS: STREET 1: 111 HUNTINGTON AVENUE CITY: BOSTON STATE: MA ZIP: 02199 BUSINESS PHONE: 617-954-5000 MAIL ADDRESS: STREET 1: 111 HUNTINGTON AVENUE CITY: BOSTON STATE: MA ZIP: 02199 FORMER COMPANY: FORMER CONFORMED NAME: MFS Series Trust XII DATE OF NAME CHANGE: 20050622 0001330967 S000076470 MFS Core Bond Fund C000236386 R4 MCBKX C000236387 R6 MCBMX C000236388 R3 MCBJX C000236389 A MCBEX C000236390 R1 MCBGX C000236391 I MCBFX C000236392 C MCBCX C000236393 R2 MCBHX NPORT-P 1 primary_doc.xml NPORT-P false 0001330967 XXXXXXXX S000076470 C000236393 C000236390 C000236392 C000236388 C000236387 C000236386 C000236389 C000236391 MFS Series Trust XII 811-21780 0001330967 549300VVIIPRJRW6FR46 111 Huntington Avenue Boston 02199 617-954-5000 MFS Core Bond Fund S000076470 5493007VGRIDZH3OJY65 2024-04-30 2024-04-30 N 31305144.86 2214480.12 29090664.74 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1892845.02000000 0.00000000 0.00000000 0.00000000 USD N BBG Barc US Aggregate Index LBSTRUU FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QNDF6 46818.37000000 PA USD 35480.37000000 0.121964796325 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179XVS2 71169.11000000 PA USD 68189.03000000 0.234401759497 Long ABS-MBS USGA US N 2 2053-03-20 Fixed 5.00000000 N N N N N N Wells Fargo & Co. PBLD0EJDB5FWOLXP3B76 Wells Fargo & Co. 95000U2U6 162000.00000000 PA USD 136754.01000000 0.470095857974 Long DBT CORP US N 2 2033-03-02 Variable 3.35000000 N N N N N N Duke Energy Carolinas LLC MWIUSDMN17TCR56VW396 Duke Energy Carolinas LLC 26442CBJ2 118000.00000000 PA USD 113570.79000000 0.390402869838 Long DBT CORP US N 2 2033-01-15 Fixed 4.95000000 N N N N N N Consumers 2023 Securitization Funding LLC N/A Consumers 2023 Securitization Funding LLC, Series A1 21071BAA3 44000.00000000 PA USD 43843.90000000 0.150714672187 Long DBT CORP US N 2 2028-03-01 Fixed 5.55000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3138ELN41 41161.00000000 PA USD 36904.00000000 0.126858565556 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179XTD8 137780.01000000 PA USD 135204.02000000 0.464767722595 Long ABS-MBS USGA US N 2 2053-02-20 Fixed 5.50000000 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co. 46647PCD6 152000.00000000 PA USD 109801.76000000 0.377446720387 Long DBT CORP US N 2 2042-04-22 Variable 3.15700000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QCQ82 34941.42000000 PA USD 29352.68000000 0.100900685021 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810TL2 383000.00000000 PA USD 335603.75000000 1.153647580759 Long DBT UST US N 2 2052-11-15 Fixed 4.00000000 N N N N N N Adventist Health System 5493008YM33UCY5QPW83 Adventist Health System 007944AH4 75000.00000000 PA USD 73567.10000000 0.252889030407 Long DBT CORP US N 2 2032-03-01 Fixed 5.43000000 N N N N N N Philip Morris International, Inc. HL3H1H2BGXWVG3BSWR90 Philip Morris International, Inc. 718172CW7 11000.00000000 PA USD 11092.93000000 0.038132267169 Long DBT CORP US N 2 2029-11-17 Fixed 5.62500000 N N N N N N GLP Capital LP N/A GLP Capital LP 361841AL3 64000.00000000 PA USD 62130.49000000 0.213575353314 Long DBT CORP US N 2 2029-01-15 Fixed 5.30000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 251526CP2 150000.00000000 PA USD 136455.31000000 0.469069068099 Long DBT CORP DE N 2 2027-11-16 Variable 2.31100000 N N N N N N Business Jet Securities LLC N/A Business Jet Securities LLC, Series 2024-1A, Class A 12327CAA2 100000.00000000 PA USD 99881.70000000 0.343346227708 Long ABS-O CORP US Y 2 2039-05-15 Fixed 6.19700000 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co. 46647PBM7 102000.00000000 PA USD 74161.41000000 0.254931988192 Long DBT CORP US N 2 2041-04-22 Variable 3.10900000 N N N N N N Westinghouse Air Brake Technologies Corp. 06BTX5UWZD0GQ5N5Y745 Westinghouse Air Brake Technologies Corp. 960386AQ3 129000.00000000 PA USD 125202.57000000 0.430387449441 Long DBT CORP US N 2 2025-06-15 Fixed 3.20000000 N N N N N N Metropolitan Life Global Funding I 635400MMSOCXNNNZDZ82 Metropolitan Life Global Funding I 59217GEZ8 150000.00000000 PA USD 136176.60000000 0.468110994427 Long DBT CORP US Y 2 2029-03-21 Fixed 3.30000000 N N N N N N Vodafone Group plc 213800TB53ELEUKM7Q61 Vodafone Group plc 92857WBY5 22000.00000000 PA USD 20593.38000000 0.070790338357 Long DBT CORP GB N 2 2053-02-10 Fixed 5.62500000 N N N N N N Avolon Holdings Funding Ltd. 635400ZRKEX9L1BKCH30 Avolon Holdings Funding Ltd. 05401AAJ0 78000.00000000 PA USD 71918.73000000 0.247222710937 Long DBT CORP KY Y 2 2027-02-15 Fixed 3.25000000 N N N N N N Crown Castle, Inc. 54930012H97VSM0I2R19 Crown Castle, Inc. 22822VAH4 79000.00000000 PA USD 74037.73000000 0.254506834621 Long DBT CORP US N 2 2027-09-01 Fixed 3.65000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179W7L6 216947.92000000 PA USD 191148.84000000 0.657079656681 Long ABS-MBS USGA US N 2 2052-06-20 Fixed 3.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3132DWE41 186323.13000000 PA USD 160745.11000000 0.552565956937 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 3.50000000 N N N N N N Macquarie Group Ltd. ACMHD8HWFMFUIQQ8Y590 Macquarie Group Ltd. 55608JBE7 148000.00000000 PA USD 133535.24000000 0.459031243161 Long DBT CORP AU Y 2 2033-06-21 Variable 4.44200000 N N N N N N Virginia Power Fuel Securitization LLC 254900BELJ95ONW6U791 Virginia Power Fuel Securitization LLC, Series A-1 92808VAA0 45000.00000000 PA USD 44641.86000000 0.153457682727 Long DBT CORP US N 2 2027-05-01 Fixed 5.08800000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179V4W7 20694.08000000 PA USD 17612.28000000 0.060542721032 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 3.00000000 N N N N N N Goldman Sachs Group, Inc. (The) 784F5XWPLTWKTBV3E584 Goldman Sachs Group, Inc. (The) 38141GYJ7 98000.00000000 PA USD 78426.69000000 0.269594011346 Long DBT CORP US N 2 2032-07-21 Variable 2.38300000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140KAJX5 49258.68000000 PA USD 43073.89000000 0.148067740579 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.50000000 N N N N N N Alimentation Couche-Tard, Inc. 549300OSW32RVX8CCZ87 Alimentation Couche-Tard, Inc. 01626PAM8 62000.00000000 PA USD 54269.68000000 0.186553591968 Long DBT CORP CA Y 2 2030-01-25 Fixed 2.95000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133B2X95 45704.54000000 PA USD 36294.48000000 0.124763322957 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Oracle Corp. 1Z4GXXU7ZHVWFCD8TV52 Oracle Corp. 68389XCP8 22000.00000000 PA USD 20827.27000000 0.071594341986 Long DBT CORP US N 2 2033-02-06 Fixed 4.90000000 N N N N N N MFS Institutional Money Market Portfolio 5L2W638H85N8T1136O07 MFS Institutional Money Market Portfolio, Class A 55291X109 2075468.17250000 NS USD 2075468.17000000 7.134481760900 Long STIV RF US N 1 N N N Commercial Mortgage Trust N/A Commercial Mortgage Trust, Series 2015-PC1, Class A5 12593GAF9 250000.00000000 PA USD 245010.38000000 0.842230255615 Long ABS-MBS CORP US N 2 2050-07-10 Fixed 3.90200000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3132DWDR1 24181.09000000 PA USD 19184.46000000 0.065947135177 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 2.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 251526CS6 150000.00000000 PA USD 152982.16000000 0.525880592166 Long DBT CORP DE N 2 2029-01-18 Variable 6.72000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3132DWDZ3 25397.96000000 PA USD 21003.56000000 0.072200343951 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.00000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3132DWDC4 556102.89000000 PA USD 420546.77000000 1.445641664632 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N Genuine Parts Co. 549300D46DQVEU651W04 Genuine Parts Co. 372460AC9 115000.00000000 PA USD 93543.33000000 0.321557897820 Long DBT CORP US N 2 2032-02-01 Fixed 2.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140KELG1 24578.32000000 PA USD 18725.21000000 0.064368450041 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.00000000 N N N N N N FNMA or FHLMC N/A UMBS, 15 Year, Single Family 01F022451 100000.00000000 PA USD 88529.59000000 0.304323021805 Long ABS-MBS USGSE US N 2 2039-05-25 Fixed 2.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179XFF8 48397.89000000 PA USD 42642.29000000 0.146584103117 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179XNE2 70317.52000000 PA USD 65545.74000000 0.225315373800 Long ABS-MBS USGA US N 2 2052-12-20 Fixed 4.50000000 N N N N N N Alcon Finance Corp. 549300CUZUI9VU7XNK42 Alcon Finance Corp. 01400EAD5 200000.00000000 PA USD 169492.21000000 0.582634365748 Long DBT CORP US Y 2 2030-05-27 Fixed 2.60000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2022-159, Class MV 38383YLA8 22130.46000000 PA USD 21068.83000000 0.072424711460 Long ABS-MBS USGA US N 2 2033-10-20 Fixed 4.50000000 N N N N N N FNMA or FHLMC N/A UMBS, 30 Year, Single Family 01F022659 275000.00000000 PA USD 217540.39000000 0.747801371829 Long ABS-MBS USGSE US N 2 2054-05-25 Fixed 2.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418DKQ4 52450.13000000 PA USD 41929.91000000 0.144135276298 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 2.50000000 N N N N N N Nissan Master Owner Trust Receivables N/A Nissan Master Owner Trust Receivables, Series 2024-A, Class A 65479VAA4 100000.00000000 PA USD 100033.92000000 0.343869488353 Long ABS-O CORP US Y 2 2028-02-15 Floating 6.00001920 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA II, 30 Year 36179XQW9 23486.14000000 PA USD 22497.16000000 0.077334637077 Long ABS-MBS USGA US N 2 2053-01-20 Fixed 5.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Intercontinental Exchange, Inc. 45866FAK0 103000.00000000 PA USD 85483.82000000 0.293853099487 Long DBT CORP US N 2 2030-06-15 Fixed 2.10000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179XFH4 160170.90000000 PA USD 149318.02000000 0.513285005119 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140XF4R9 273384.86000000 PA USD 225917.19000000 0.776596863698 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N Dryden 68 CLO Ltd. 254900MX6QAMC9XBAB53 Dryden 68 CLO Ltd., Series 2019-68A, Class BR 26252QAL6 250000.00000000 PA USD 249756.50000000 0.858545180153 Long ABS-CBDO CORP KY Y 2 2035-07-15 Floating 7.29016920 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QBR67 29885.35000000 PA USD 25260.56000000 0.086833904366 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Pacific Gas and Electric Co. 1HNPXZSMMB7HMBMVBS46 Pacific Gas and Electric Co. 694308JW8 108000.00000000 PA USD 97181.06000000 0.334062699730 Long DBT CORP US N 2 2028-06-15 Fixed 3.00000000 N N N N N N Goldman Sachs Group, Inc. (The) 784F5XWPLTWKTBV3E584 Goldman Sachs Group, Inc. (The) 38141GXG4 172000.00000000 PA USD 147528.96000000 0.507135059712 Long DBT CORP US N 2 2030-02-07 Fixed 2.60000000 N N N N N N Empire District Bondco LLC N/A Empire District Bondco LLC, Series A-1 291918AA8 41000.00000000 PA USD 40182.29000000 0.138127782087 Long DBT CORP US N 2 2033-01-01 Fixed 4.94300000 N N N N N N Corebridge Financial, Inc. 549300XY1661QCIA7J65 Corebridge Financial, Inc. 21871XAH2 82000.00000000 PA USD 71536.17000000 0.245907649891 Long DBT CORP US N 2 2032-04-05 Fixed 3.90000000 N N N N N N AerCap Ireland Capital DAC N/A AerCap Ireland Capital DAC 00774MAV7 150000.00000000 PA USD 138589.78000000 0.476406370355 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810TZ1 50000.00000000 PA USD 47468.75000000 0.163175198725 Long DBT UST US N 2 2044-02-15 Fixed 4.50000000 N N N N N N Marriott International, Inc. 225YDZ14ZO8E1TXUSU86 Marriott International, Inc., Series FF 571903BE2 108000.00000000 PA USD 102631.10000000 0.352797369593 Long DBT CORP US N 2 2030-06-15 Fixed 4.62500000 N N N N N N Diageo Capital plc 213800L23DJLALFC4O95 Diageo Capital plc 25243YBB4 200000.00000000 PA USD 173087.80000000 0.594994310191 Long DBT CORP GB N 2 2029-10-24 Fixed 2.37500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 21H052652 125000.00000000 PA USD 122540.42000000 0.421236231950 Long ABS-MBS USGA US N 2 2054-05-15 Fixed 5.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3131XV5V3 25561.19000000 PA USD 22599.26000000 0.077685608775 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QEWL2 28333.96000000 PA USD 22836.40000000 0.078500784372 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QK3Q9 89077.10000000 PA USD 64104.91000000 0.220362479073 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 1.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418D4X7 46687.63000000 PA USD 35402.48000000 0.121697047201 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179W7H5 97850.01000000 PA USD 77093.58000000 0.265011407229 Long ABS-MBS USGA US N 2 2052-06-20 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418E3E8 49564.82000000 PA USD 48124.15000000 0.165428155149 Long ABS-MBS USGSE US N 2 2054-03-01 Fixed 5.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133AFX22 23361.94000000 PA USD 18499.12000000 0.063591259138 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179XFG6 45940.48000000 PA USD 41642.16000000 0.143146127364 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140LUUH2 49159.90000000 PA USD 35276.27000000 0.121263196682 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 1.50000000 N N N N N N Philip Morris International, Inc. HL3H1H2BGXWVG3BSWR90 Philip Morris International, Inc. 718172CX5 48000.00000000 PA USD 48325.59000000 0.166120610965 Long DBT CORP US N 2 2032-11-17 Fixed 5.75000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300S7ENI2U7O0XH56 Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class A4 94989JAZ9 250000.00000000 PA USD 243636.28000000 0.837506747190 Long ABS-MBS CORP US N 2 2048-05-15 Fixed 3.54000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140XFNJ6 170249.19000000 PA USD 134833.12000000 0.463492743136 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N FNMA or FHLMC N/A UMBS, 30 Year, Single Family 01F062655 50000.00000000 PA USD 50377.05000000 0.173172563948 Long ABS-MBS USGSE US N 2 2054-05-25 Fixed 6.50000000 N N N N N N BANK N/A BANK, Series 2023-BNK46, Class A4 06541DBH6 145414.00000000 PA USD 146339.25000000 0.503045397236 Long ABS-MBS CORP US N 2 2056-08-15 Fixed 5.74500000 N N N N N N Waste Management, Inc. 549300YX8JIID70NFS41 Waste Management, Inc. 94106LBW8 179000.00000000 PA USD 172104.71000000 0.591614909931 Long DBT CORP US N 2 2034-02-15 Fixed 4.87500000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810TD0 800000.00000000 PA USD 487843.75000000 1.676976976497 Long DBT UST US N 2 2052-02-15 Fixed 2.25000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810TM0 437000.00000000 PA USD 389356.76000000 1.338425104685 Long DBT UST US N 2 2042-11-15 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179XHX7 68009.54000000 PA USD 61646.40000000 0.211911279962 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 4.00000000 N N N N N N LPL Holdings, Inc. 549300Z5YF8CCRMYUL26 LPL Holdings, Inc. 50212YAC8 43000.00000000 PA USD 40974.58000000 0.140851301839 Long DBT CORP US Y 2 2027-11-15 Fixed 4.62500000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 Morgan Stanley 61747YEL5 127000.00000000 PA USD 104830.81000000 0.360358936232 Long DBT CORP US N 2 2033-01-21 Variable 2.94300000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CKA8 650000.00000000 PA USD 637000.00000000 2.189705892571 Long DBT UST US N 2 2027-02-15 Fixed 4.12500000 N N N N N N FNMA or FHLMC N/A UMBS, 15 Year, Single Family 01F042459 50000.00000000 PA USD 48341.07000000 0.166173823912 Long ABS-MBS USGSE US N 2 2039-05-25 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179W7K8 89490.75000000 PA USD 76151.90000000 0.261774355040 Long ABS-MBS USGA US N 2 2052-06-20 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140X7DN6 19663.06000000 PA USD 19339.48000000 0.066480020903 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 5.50000000 N N N N N N Aon Corp. LTS3U8DGK38SETRUWX71 Aon Corp. 037389BB8 61000.00000000 PA USD 58560.91000000 0.201304818997 Long DBT CORP US N 2 2028-12-15 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QDJD7 70738.01000000 PA USD 56112.38000000 0.192887926424 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 2.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3132A5G25 35162.35000000 PA USD 30913.40000000 0.106265705085 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.50000000 N N N N N N Arrow Electronics, Inc. 549300YNNLBXT8N8R512 Arrow Electronics, Inc. 04273WAC5 147000.00000000 PA USD 119869.74000000 0.412055692337 Long DBT CORP US N 2 2032-02-15 Fixed 2.95000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3131WRFV2 27165.09000000 PA USD 24358.13000000 0.083731775185 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 3.50000000 N N N N N N Fairfax Financial Holdings Ltd. GLS7OQD0WOEDI8YAP031 Fairfax Financial Holdings Ltd. 303901BL5 85000.00000000 PA USD 82506.36000000 0.283617994767 Long DBT CORP CA N 2 2032-08-16 Fixed 5.62500000 N N N N N N PNC Financial Services Group, Inc. (The) CFGNEKW0P8842LEUIA51 PNC Financial Services Group, Inc. (The) 693475BW4 147000.00000000 PA USD 144019.56000000 0.495071395883 Long DBT CORP US N 2 2035-01-22 Variable 5.67600000 N N N N N N Enterprise Fleet Financing LLC N/A Enterprise Fleet Financing LLC, Series 2023-1, Class A2 29375CAB5 46405.12000000 PA USD 46293.35000000 0.159134727287 Long ABS-O CORP US Y 2 2029-01-22 Fixed 5.51000000 N N N N N N Duke Energy Progress LLC 0NIFZ782LS46WOC9QK20 Duke Energy Progress LLC 26442UAH7 118000.00000000 PA USD 108723.64000000 0.373740651757 Long DBT CORP US N 2 2029-03-15 Fixed 3.45000000 N N N N N N KREF Ltd. 54930083ELM2GCMVTQ91 KREF Ltd., Series 2021-FL2, Class A 48275RAA5 199595.36000000 PA USD 196103.84000000 0.674112612251 Long ABS-CBDO CORP KY Y 2 2039-02-15 Floating 6.50072160 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QKNN4 92698.84000000 PA USD 73416.40000000 0.252370994805 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2024-51, Class FJ 38384KSR3 24956.36000000 PA USD 24956.54000000 0.085788826838 Long ABS-MBS USGA US N 2 2064-03-20 Floating 6.48034920 N N N N N N Glencore Funding LLC 213800STG1QDNBY87K49 Glencore Funding LLC 378272AY4 87000.00000000 PA USD 71994.37000000 0.247482725621 Long DBT CORP US Y 2 2030-09-01 Fixed 2.50000000 N N N N N N Philip Morris International, Inc. HL3H1H2BGXWVG3BSWR90 Philip Morris International, Inc. 718172CV9 25000.00000000 PA USD 24767.18000000 0.085137896371 Long DBT CORP US N 2 2027-11-17 Fixed 5.12500000 N N N N N N N/A N/A U.S. Treasury Ultra Bond N/A 7.00000000 NC USD -69112.89000000 -0.23757755492 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long United States of America U.S. Treasury Ultra Bond 2024-06-18 836937.50000000 USD -69112.89000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418ECQ1 69250.94000000 PA USD 54930.90000000 0.188826554810 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N CNH Industrial Capital LLC 549300PNSJ5B81UMVO28 CNH Industrial Capital LLC 12592BAL8 79000.00000000 PA USD 74115.93000000 0.254775649378 Long DBT CORP US N 2 2026-01-15 Fixed 1.87500000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 Morgan Stanley 61747YEC5 131000.00000000 PA USD 119629.20000000 0.411228829142 Long DBT CORP US N 2 2027-07-20 Variable 1.51200000 N N N N N N MF1 Ltd. N/A MF1 Ltd., Series 2022-FL8, Class B 55284JAE9 100000.00000000 PA USD 98062.85000000 0.337093878316 Long ABS-CBDO CORP KY Y 2 2037-02-19 Floating 7.26882120 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140NGC65 48331.49000000 PA USD 45816.98000000 0.157497191657 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QMQ56 65004.67000000 PA USD 51826.47000000 0.178154987048 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 UBS Group AG 902613AE8 200000.00000000 PA USD 156190.47000000 0.536909250427 Long DBT CORP CH Y 2 2032-02-11 Variable 2.09500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140X54P5 27022.82000000 PA USD 21671.08000000 0.074494963225 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 2.50000000 N N N N N N Fiserv, Inc. GI7UBEJLXYLGR2C7GV83 Fiserv, Inc. 337738BC1 88000.00000000 PA USD 74893.42000000 0.257448293703 Long DBT CORP US N 2 2030-06-01 Fixed 2.65000000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493002S7XBI8CVRR075 Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class A5 94989HAQ3 250000.00000000 PA USD 243014.78000000 0.835370322995 Long ABS-MBS CORP US N 2 2048-05-15 Fixed 3.14800000 N N N N N N Palmer Square Loan Funding Ltd. N/A Palmer Square Loan Funding Ltd., Series 2021-2A, Class A1 69702DAA5 48912.18000000 PA USD 48912.18000000 0.168137031027 Long ABS-CBDO CORP KY Y 2 2029-05-20 Floating 6.38070120 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418D7E6 28529.64000000 PA USD 21627.74000000 0.074345980723 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Marathon Petroleum Corp. 3BNYRYQHD39K4LCKQF12 Marathon Petroleum Corp. 56585AAH5 83000.00000000 PA USD 69670.82000000 0.239495455407 Long DBT CORP US N 2 2044-09-15 Fixed 4.75000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133AC2G2 28440.64000000 PA USD 21637.95000000 0.074381077893 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179WY85 77454.12000000 PA USD 61017.31000000 0.209748764922 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 2.00000000 N N N N N N Global Payments, Inc. 549300NOMHGVQBX6S778 Global Payments, Inc. 37940XAE2 87000.00000000 PA USD 80323.22000000 0.276113387981 Long DBT CORP US N 2 2026-03-01 Fixed 1.20000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418ECU2 46050.78000000 PA USD 39697.80000000 0.136462333723 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 2.00000000 N N N N N N ERAC USA Finance LLC LTKX5ODQW6Z7BQ2K1V47 ERAC USA Finance LLC 26882PBE1 36000.00000000 PA USD 39388.53000000 0.135399209169 Long DBT CORP US Y 2 2037-10-15 Fixed 7.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179XLD6 156864.89000000 PA USD 133484.78000000 0.458857785454 Long ABS-MBS USGA US N 2 2052-11-20 Fixed 3.00000000 N N N N N N Walt Disney Co. (The) 549300GZKULIZ0WOW665 Walt Disney Co. (The) 254687FY7 68000.00000000 PA USD 52959.90000000 0.182051185400 Long DBT CORP US N 2 2040-05-13 Fixed 3.50000000 N N N N N N Time Warner Cable Enterprises LLC N/A Time Warner Cable Enterprises LLC 88731EAJ9 58000.00000000 PA USD 62836.05000000 0.216000736186 Long DBT CORP US N 2 2033-07-15 Fixed 8.37500000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133KLHG5 39577.88000000 PA USD 28569.33000000 0.098207896778 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 1.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418EAN0 23912.89000000 PA USD 18937.80000000 0.065099234305 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Booking Holdings, Inc. FXM8FAOHMYDIPD38UZ17 Booking Holdings, Inc. 09857LAR9 138000.00000000 PA USD 133029.44000000 0.457292541057 Long DBT CORP US N 2 2030-04-13 Fixed 4.62500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418DYB2 19811.94000000 PA USD 15059.92000000 0.051768909836 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Las Vegas Sands Corp. 549300DUOO1KXOHPM605 Las Vegas Sands Corp. 517834AF4 65000.00000000 PA USD 57999.73000000 0.199375746544 Long DBT CORP US N 2 2029-08-08 Fixed 3.90000000 N N N N N N Charter Communications Operating LLC N/A Charter Communications Operating LLC 161175BL7 98000.00000000 PA USD 74919.71000000 0.257538666337 Long DBT CORP US N 2 2047-05-01 Fixed 5.37500000 N N N N N N T-Mobile USA, Inc. 549300V2JRLO5DIFGE82 T-Mobile USA, Inc. 87264AAZ8 83000.00000000 PA USD 67507.42000000 0.232058705441 Long DBT CORP US N 2 2050-04-15 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140X87M3 9483.45000000 PA USD 8599.21000000 0.029560032666 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QDT38 28965.21000000 PA USD 23286.62000000 0.080048428621 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 Morgan Stanley 6174468L6 97000.00000000 PA USD 83091.47000000 0.285629327286 Long DBT CORP US N 2 2031-01-22 Variable 2.69900000 N N N N N N GLS Auto Select Receivables Trust N/A GLS Auto Select Receivables Trust, Series 2023-1A, Class A2 36267FAC2 43049.71000000 PA USD 43180.62000000 0.148434628035 Long ABS-O CORP US Y 2 2027-08-16 Fixed 6.27000000 N N N N N N Bank of America Corp. 9DJT3UXIJIZJI4WXO774 Bank of America Corp. 06051GKD0 302000.00000000 PA USD 243627.36000000 0.837476084432 Long DBT CORP US N 2 2032-10-20 Variable 2.57200000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140MF4H3 44674.24000000 PA USD 41184.20000000 0.141571876641 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133KRJP0 74335.69000000 PA USD 72257.48000000 0.248387173843 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133CA7G9 24920.36000000 PA USD 25128.61000000 0.086380322431 Long ABS-MBS USGSE US N 2 2053-08-01 Fixed 6.50000000 N N N N N N Verizon Communications, Inc. 2S72QS2UO2OESLG6Y829 Verizon Communications, Inc. 92343VGJ7 57000.00000000 PA USD 47302.97000000 0.162605325188 Long DBT CORP US N 2 2031-03-21 Fixed 2.55000000 N N N N N N Philip Morris International, Inc. HL3H1H2BGXWVG3BSWR90 Philip Morris International, Inc. 718172DA4 52000.00000000 PA USD 51116.67000000 0.175715029054 Long DBT CORP US N 2 2030-02-15 Fixed 5.12500000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class A5 95000TBS4 175000.00000000 PA USD 161287.53000000 0.554430541348 Long ABS-MBS CORP US N 2 2050-03-15 Fixed 3.63500000 N N N N N N Ashtead Capital, Inc. 213800J1134IW58IC398 Ashtead Capital, Inc. 04505AAA7 200000.00000000 PA USD 191763.48000000 0.659192499428 Long DBT CORP US Y 2 2032-08-11 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418DJR4 15054.10000000 PA USD 12646.35000000 0.043472193272 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 3.00000000 N N N N N N Masco Corp. 5GCSNMQXHEYA1JO8QN11 Masco Corp. 574599BQ8 117000.00000000 PA USD 93281.55000000 0.320658021512 Long DBT CORP US N 2 2031-02-15 Fixed 2.00000000 N N N N N N Kubota Credit Owner Trust N/A Kubota Credit Owner Trust, Series 2023-2A, Class A2 500945AB6 90932.01000000 PA USD 90840.43000000 0.312266601027 Long ABS-O CORP US Y 2 2026-07-15 Fixed 5.61000000 N N N N N N T-Mobile USA, Inc. 549300V2JRLO5DIFGE82 T-Mobile USA, Inc. 87264ACA1 69000.00000000 PA USD 60999.31000000 0.209686889403 Long DBT CORP US N 2 2028-02-15 Fixed 2.05000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QMAL8 49505.80000000 PA USD 40942.42000000 0.140740750910 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 21H060655 50000.00000000 PA USD 50126.00000000 0.172309572325 Long ABS-MBS USGA US N 2 2054-05-15 Fixed 6.00000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A JPMBB Commercial Mortgage Securities Trust, Series 2014-C26, Class A4 46643TBJ0 75000.00000000 PA USD 73735.97000000 0.253469525908 Long ABS-MBS CORP US N 2 2048-01-15 Fixed 3.49430000 N N N N N N Stellantis Finance US, Inc. 549300QZ0AI8Q7LNON33 Stellantis Finance US, Inc. 85855CAB6 200000.00000000 PA USD 163603.07000000 0.562390276957 Long DBT CORP US Y 2 2031-09-15 Fixed 2.69100000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133KM4Q5 90090.75000000 PA USD 71336.46000000 0.245221141000 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418EDC1 74902.88000000 PA USD 59436.47000000 0.204314581778 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 2.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140MULM0 22359.64000000 PA USD 20612.77000000 0.070856992042 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810TF5 1288000.00000000 PA USD 903059.06000000 3.104291593441 Long DBT UST US N 2 2042-02-15 Fixed 2.37500000 N N N N N N Kenvue, Inc. 5493008HSF8L4M2LIJ82 Kenvue, Inc. 49177JAK8 60000.00000000 PA USD 58074.11000000 0.199631429941 Long DBT CORP US N 2 2033-03-22 Fixed 4.90000000 N N N N N N Warnermedia Holdings, Inc. 549300DXR29GD4N0A520 Warnermedia Holdings, Inc. 55903VBE2 161000.00000000 PA USD 123312.15000000 0.423889076107 Long DBT CORP US N 2 2052-03-15 Fixed 5.14100000 N N N N N N MF1 Ltd. N/A MF1 Ltd., Series 2023-FL12, Class A 59319MAA1 128500.00000000 PA USD 128735.12000000 0.442530692064 Long ABS-CBDO CORP US Y 2 2038-10-19 Floating 7.38482040 N N N N N N American Electric Power Co., Inc. 1B4S6S7G0TW5EE83BO58 American Electric Power Co., Inc. 025537AW1 43000.00000000 PA USD 43448.05000000 0.149353926382 Long DBT CORP US N 2 2032-11-01 Fixed 5.95000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3138WHVM1 31186.23000000 PA USD 26496.57000000 0.091082724430 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N Rhode Island Student Loan Authority N/A Rhode Island Student Loan Authority 762323CU5 95000.00000000 PA USD 92855.18000000 0.319192362326 Long DBT MUN US N 2 2042-12-01 Fixed 6.08100000 N N N N N N N/A N/A U.S. Treasury 2 Year Note N/A 2.00000000 NC USD -3858.13000000 -0.01326243327 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long United States of America U.S. Treasury 2 Year Note 2024-06-28 405312.50000000 USD -3858.13000000 N N N Capital One Financial Corp. ZUE8T73ROZOF6FLBAR73 Capital One Financial Corp. 14040HCN3 160000.00000000 PA USD 141262.20000000 0.485592891267 Long DBT CORP US N 2 2030-03-01 Variable 3.27300000 N N N N N N MF1 LLC N/A MF1 LLC, Series 2022-FL10, Class AS 55285BAC9 250000.00000000 PA USD 249993.93000000 0.859361352634 Long ABS-CBDO CORP US Y 2 2037-09-17 Floating 8.50582080 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179XX50 167351.76000000 PA USD 160306.09000000 0.551056813011 Long ABS-MBS USGA US N 2 2053-04-20 Fixed 5.00000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133BEW58 256195.82000000 PA USD 211809.94000000 0.728102784494 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179X2J4 49280.90000000 PA USD 45908.51000000 0.157811828675 Long ABS-MBS USGA US N 2 2053-05-20 Fixed 4.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3132DQDZ6 23536.25000000 PA USD 23075.10000000 0.079321322514 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.50000000 N N N N N N Roper Technologies, Inc. 54930003T4SXCIWVXY35 Roper Technologies, Inc. 776743AJ5 89000.00000000 PA USD 72778.20000000 0.250177163878 Long DBT CORP US N 2 2030-06-30 Fixed 2.00000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3142GQPL0 49874.20000000 PA USD 43007.72000000 0.147840279293 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 3.50000000 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co. 46647PBP0 72000.00000000 PA USD 61616.91000000 0.211809907235 Long DBT CORP US N 2 2031-05-13 Variable 2.95600000 N N N N N N BAT International Finance plc 21380041YBGOQDFAC823 BAT International Finance plc 05530QAP5 158000.00000000 PA USD 151132.77000000 0.519523260643 Long DBT CORP GB N 2 2028-03-16 Fixed 4.44800000 N N N N N N BDS Ltd. N/A BDS Ltd., Series 2021-FL7, Class A 05493FAA7 117324.15000000 PA USD 116196.08000000 0.399427380015 Long ABS-CBDO CORP KY Y 2 2036-06-16 Floating 6.50337120 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418EE89 288501.50000000 PA USD 232903.44000000 0.800612299793 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 2.00000000 N N N N N N Alimentation Couche-Tard, Inc. 549300OSW32RVX8CCZ87 Alimentation Couche-Tard, Inc. 01626PAP1 117000.00000000 PA USD 85567.96000000 0.294142333166 Long DBT CORP CA Y 2 2041-05-13 Fixed 3.43900000 N N N N N N FNMA or FHLMC N/A UMBS, 30 Year, Single Family 01F040651 224324.00000000 PA USD 200618.53000000 0.689631989481 Long ABS-MBS USGSE US N 2 2054-05-25 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140N83H9 73885.31000000 PA USD 73517.31000000 0.252717875844 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 6.00000000 N N N N N N FNMA or FHLMC N/A UMBS, 15 Year, Single Family 01F020455 75000.00000000 PA USD 64599.67000000 0.222063230858 Long ABS-MBS USGSE US N 2 2039-05-25 Fixed 2.00000000 N N N N N N Anglo American Capital plc TINT358G1SSHR3L3PW36 Anglo American Capital plc 034863AW0 200000.00000000 PA USD 199251.41000000 0.684932475008 Long DBT CORP GB Y 2 2030-04-01 Fixed 5.62500000 N N N N N N FNMA or FHLMC N/A UMBS, 30 Year, Single Family 01F060659 200000.00000000 PA USD 198140.64000000 0.681114171061 Long ABS-MBS USGSE US N 2 2054-05-25 Fixed 6.00000000 N N N N N N Broadcom, Inc. 549300WV6GIDOZJTV909 Broadcom, Inc. 11135FAS0 63000.00000000 PA USD 57388.92000000 0.197276069532 Long DBT CORP US N 2 2032-11-15 Fixed 4.30000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 21H022655 325000.00000000 PA USD 266398.85000000 0.915753738805 Long ABS-MBS USGA US N 2 2054-05-15 Fixed 2.50000000 N N N N N N Broadcom, Inc. 549300WV6GIDOZJTV909 Broadcom, Inc. 11135FBV2 108000.00000000 PA USD 98627.63000000 0.339035325873 Long DBT CORP US Y 2 2037-05-15 Fixed 4.92600000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3132DWDY6 19715.20000000 PA USD 15610.45000000 0.053661372607 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 2.50000000 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co. 46647PDA1 74000.00000000 PA USD 71537.11000000 0.245910881168 Long DBT CORP US N 2 2028-04-26 Variable 4.32300000 N N N N N N Targa Resources Corp. 5493003QENHHS261UR94 Targa Resources Corp. 87612GAC5 138000.00000000 PA USD 139717.67000000 0.480283524796 Long DBT CORP US N 2 2033-03-15 Fixed 6.12500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140M83M9 71146.82000000 PA USD 53836.58000000 0.185064798213 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA, Series 2023-40, Class FX 38383WQB5 31050.26000000 PA USD 30431.29000000 0.104608438040 Long ABS-MBS USGA US N 2 2041-09-20 Floating 5.52992040 N N N N N N Cox Communications, Inc. 5493001NEDZNIFRP2R92 Cox Communications, Inc. 224044CL9 88000.00000000 PA USD 68896.55000000 0.236833879925 Long DBT CORP US Y 2 2030-10-01 Fixed 1.80000000 N N N N N N LPL Holdings, Inc. 549300Z5YF8CCRMYUL26 LPL Holdings, Inc. 50212YAH7 11000.00000000 PA USD 11305.30000000 0.038862295176 Long DBT CORP US N 2 2028-11-17 Fixed 6.75000000 N N N N N N Global Payments, Inc. 549300NOMHGVQBX6S778 Global Payments, Inc. 37940XAH5 77000.00000000 PA USD 63245.72000000 0.217408988640 Long DBT CORP US N 2 2031-11-15 Fixed 2.90000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 21H020659 250000.00000000 PA USD 196691.74000000 0.676133535475 Long ABS-MBS USGA US N 2 2054-05-15 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140XCZD3 23426.95000000 PA USD 18056.36000000 0.062069258854 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.00000000 N N N N N N Dryden 113 CLO Ltd. 254900XN9Y85HJGYJ219 Dryden 113 CLO Ltd., Series 2022-113A, Class A1R 26253EAP3 250000.00000000 PA USD 250550.25000000 0.861273718697 Long ABS-CBDO CORP JE Y 2 2035-10-20 Floating 6.95455920 N N N N N N ACRES Commercial Realty Ltd. N/A ACRES Commercial Realty Ltd., Series 2021-FL2, Class C 00500JAG8 200000.00000000 PA USD 194186.18000000 0.667520600631 Long ABS-CBDO CORP US Y 2 2037-01-15 Floating 8.08071840 N N N N N N ARI Fleet Lease Trust N/A ARI Fleet Lease Trust, Series 2023-B, Class A2 04033GAB3 100000.00000000 PA USD 100290.08000000 0.344750045749 Long ABS-O CORP US Y 2 2032-07-15 Fixed 6.05000000 N N N N N N Ready Capital Mortgage Financing LLC N/A Ready Capital Mortgage Financing LLC, Series 2022-FL9, Class AS 75574EAC1 250000.00000000 PA USD 249998.80000000 0.859378093400 Long ABS-MBS CORP US Y 2 2037-06-25 Floating 8.42784840 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418CBZ6 42623.70000000 PA USD 39027.35000000 0.134157642490 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140XHHS9 47778.15000000 PA USD 36186.46000000 0.124392001088 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Corebridge Financial, Inc. 549300XY1661QCIA7J65 Corebridge Financial, Inc. 21871XAS8 42000.00000000 PA USD 41258.55000000 0.141827456913 Long DBT CORP US N 2 2034-01-15 Fixed 5.75000000 N N N N N N Charles Schwab Corp. (The) 549300VSGCJ7E698NM85 Charles Schwab Corp. (The) 808513CE3 198000.00000000 PA USD 197152.04000000 0.677715830016 Long DBT CORP US N 2 2034-05-19 Variable 5.85300000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179X2K1 48277.49000000 PA USD 46226.78000000 0.158905890989 Long ABS-MBS USGA US N 2 2053-05-20 Fixed 5.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CJT9 2550000.00000000 PA USD 2491330.08000000 8.564019084013 Long DBT UST US N 2 2027-01-15 Fixed 4.00000000 N N N N N N FNMA or FHLMC N/A UMBS, 15 Year, Single Family 01F030454 100000.00000000 PA USD 90710.04000000 0.311818381637 Long ABS-MBS USGSE US N 2 2039-05-25 Fixed 3.00000000 N N N N N N Equinix, Inc. 549300EVUN2BTLJ3GT74 Equinix, Inc. 29444UBS4 69000.00000000 PA USD 56263.89000000 0.193408746423 Long DBT CORP US N 2 2031-05-15 Fixed 2.50000000 N N N N N N N/A N/A U.S. Treasury 10 Year Ultra Note N/A -6.00000000 NC USD 20365.54000000 0.070007131779 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short United States of America U.S. Treasury 10 Year Ultra Note 2024-06-18 -661312.50000000 USD 20365.54000000 N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 21H030658 75000.00000000 PA USD 63794.12000000 0.219294129474 Long ABS-MBS USGA US N 2 2054-05-15 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140N5MY7 44826.68000000 PA USD 43651.99000000 0.150054976021 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 5.50000000 N N N N N N OneMain Financial Issuance Trust N/A OneMain Financial Issuance Trust, Series 2022-3A, Class A 68269PAA5 89000.00000000 PA USD 89088.96000000 0.306245872331 Long ABS-O CORP US Y 2 2034-05-15 Fixed 5.94000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3132DWE66 136275.85000000 PA USD 125629.56000000 0.431855239895 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.50000000 N N N N N N Charter Communications Operating LLC N/A Charter Communications Operating LLC 161175AZ7 69000.00000000 PA USD 65198.07000000 0.224120248137 Long DBT CORP US N 2 2035-10-23 Fixed 6.38400000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810TW8 100000.00000000 PA USD 98093.75000000 0.337200097958 Long DBT UST US N 2 2043-11-15 Fixed 4.75000000 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 JPMorgan Chase & Co. 46647PCU8 69000.00000000 PA USD 57331.35000000 0.197078170995 Long DBT CORP US N 2 2033-01-25 Variable 2.96300000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418EDB3 358646.98000000 PA USD 271188.04000000 0.932216717712 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140N24Z1 21110.76000000 PA USD 19640.83000000 0.067515920229 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133ANJA3 74692.01000000 PA USD 61768.43000000 0.212330761610 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 3.00000000 N N N N N N Verisk Analytics, Inc. 549300I1YSWNIRKBWP67 Verisk Analytics, Inc. 92345YAH9 70000.00000000 PA USD 70520.20000000 0.242415223681 Long DBT CORP US N 2 2033-04-01 Fixed 5.75000000 N N N N N N Equinix, Inc. 549300EVUN2BTLJ3GT74 Equinix, Inc. 29444UBG0 83000.00000000 PA USD 73826.73000000 0.253781516028 Long DBT CORP US N 2 2027-07-15 Fixed 1.80000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140MN3E4 22262.82000000 PA USD 20523.55000000 0.070550295716 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140XHKX4 43799.06000000 PA USD 35094.86000000 0.120639594569 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Toyota Lease Owner Trust 5493000CIH8ERWDIA629 Toyota Lease Owner Trust, Series 2023-A, Class A2 89239MAB3 7975.53000000 PA USD 7966.23000000 0.027384145639 Long ABS-O CORP US Y 2 2025-08-20 Fixed 5.30000000 N N N N N N Plains All American Pipeline LP N/A Plains All American Pipeline LP 72650RBN1 174000.00000000 PA USD 155934.97000000 0.536030961800 Long DBT CORP US N 2 2030-09-15 Fixed 3.80000000 N N N N N N East Ohio Gas Co. (The) BC95Y6MXLT75BGO7UM71 East Ohio Gas Co. (The) 27409LAC7 176000.00000000 PA USD 141437.62000000 0.486195902582 Long DBT CORP US Y 2 2030-06-15 Fixed 2.00000000 N N N N N N Avolon Holdings Funding Ltd. 635400ZRKEX9L1BKCH30 Avolon Holdings Funding Ltd. 05401AAG6 79000.00000000 PA USD 76106.11000000 0.261616950592 Long DBT CORP KY Y 2 2026-05-01 Fixed 4.37500000 N N N N N N Sabine Pass Liquefaction LLC 549300KJYBG7C6WJYZ11 Sabine Pass Liquefaction LLC 785592AX4 75000.00000000 PA USD 70414.67000000 0.242052461259 Long DBT CORP US N 2 2030-05-15 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 21H062651 50000.00000000 PA USD 50623.92000000 0.174021186701 Long ABS-MBS USGA US N 2 2054-05-15 Fixed 6.50000000 N N N N N N Rogers Communications, Inc. 5493000M6Z4XFIP6PF03 Rogers Communications, Inc. 775109CH2 146000.00000000 PA USD 127379.29000000 0.437869987291 Long DBT CORP CA N 2 2032-03-15 Fixed 3.80000000 N N N N N N BSPRT Issuer Ltd. N/A BSPRT Issuer Ltd., Series 2021-FL6, Class C 05601HAG9 100000.00000000 PA USD 96221.80000000 0.330765215783 Long ABS-CBDO CORP KY Y 2 2036-03-15 Floating 7.48545840 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179XBT2 24739.30000000 PA USD 22424.69000000 0.077085519359 Long ABS-MBS USGA US N 2 2052-07-20 Fixed 4.00000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133GG2J1 91739.66000000 PA USD 79164.68000000 0.272130873280 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QNQ21 22580.61000000 PA USD 18681.28000000 0.064217439398 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N FNMA or FHLMC N/A UMBS, 15 Year, Single Family 01F050452 50000.00000000 PA USD 49082.54000000 0.168722648446 Long ABS-MBS USGSE US N 2 2039-05-25 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179XLG9 69889.84000000 PA USD 65150.75000000 0.223957584270 Long ABS-MBS USGA US N 2 2052-11-20 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QNE73 86264.00000000 PA USD 69395.87000000 0.238550306843 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QRKT9 21549.83000000 PA USD 22002.49000000 0.075634194669 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 6.00000000 N N N N N N FNMA or FHLMC N/A UMBS, 30 Year, Single Family 01F032658 100000.00000000 PA USD 86183.88000000 0.296259575950 Long ABS-MBS USGSE US N 2 2054-05-25 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418EE97 86732.49000000 PA USD 72434.99000000 0.248997369593 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 2.50000000 N N N N N N CVS Health Corp. 549300EJG376EN5NQE29 CVS Health Corp. 126650DY3 85000.00000000 PA USD 82178.42000000 0.282490691548 Long DBT CORP US N 2 2033-06-01 Fixed 5.30000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133KN2Y8 24229.73000000 PA USD 19217.94000000 0.066062223643 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133AWL77 23929.25000000 PA USD 18245.44000000 0.062719226814 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133BFN48 208315.01000000 PA USD 186684.80000000 0.641734390288 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.00000000 N N N N N N Anheuser-Busch InBev Worldwide, Inc. 549300CRGMZK3K53BF92 Anheuser-Busch InBev Worldwide, Inc. 035240AM2 163000.00000000 PA USD 144435.29000000 0.496500479761 Long DBT CORP US N 2 2038-04-15 Fixed 4.37500000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3132DWJQ7 98643.19000000 PA USD 93493.80000000 0.321387637015 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 5.00000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3132ACS27 33161.48000000 PA USD 29408.19000000 0.101091502249 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133C4YZ1 49440.70000000 PA USD 46866.14000000 0.161103709450 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.00000000 N N N N N N Brown & Brown, Inc. 549300PC8KTJ71XKFY89 Brown & Brown, Inc. 115236AE1 84000.00000000 PA USD 74749.27000000 0.256952773915 Long DBT CORP US N 2 2032-03-17 Fixed 4.20000000 N N N N N N LPL Holdings, Inc. 549300Z5YF8CCRMYUL26 LPL Holdings, Inc. 50212YAF1 178000.00000000 PA USD 158367.37000000 0.544392407033 Long DBT CORP US Y 2 2031-05-15 Fixed 4.37500000 N N N N N N LoanCore Issuer Ltd. N/A LoanCore Issuer Ltd., Series 2021-CRE5, Class B 53947XAG7 100000.00000000 PA USD 97642.91000000 0.335650322440 Long ABS-CBDO CORP KY Y 2 2036-07-15 Floating 7.43546160 N N N N N N MF1 Ltd. N/A MF1 Ltd., Series 2021-FL7, Class AS 55284AAC2 250000.00000000 PA USD 245381.00000000 0.843504272566 Long ABS-CBDO CORP KY Y 2 2036-10-16 Floating 6.88336920 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3132DPPP7 91639.43000000 PA USD 69500.94000000 0.238911488001 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140XJXH1 21987.10000000 PA USD 21833.88000000 0.075054592925 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 6.00000000 N N N N N N N/A N/A U.S. Treasury 5 Year Note N/A 14.00000000 NC USD -28039.22000000 -0.09638562834 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long United States of America U.S. Treasury 5 Year Note 2024-06-28 1466390.63000000 USD -28039.22000000 N N N Arbor Realty Commercial Real Estate Notes Ltd. N/A Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL3, Class B 03880KAE4 200000.00000000 PA USD 193738.40000000 0.665981343951 Long ABS-CBDO CORP KY Y 2 2034-08-15 Floating 7.03545840 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QQJS5 44788.89000000 PA USD 41289.88000000 0.141935154693 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140XL4T2 49506.46000000 PA USD 42708.53000000 0.146811805029 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140A3YP2 49754.36000000 PA USD 48348.40000000 0.166199020999 Long ABS-MBS USGSE US N 2 2053-11-01 Fixed 5.50000000 N N N N N N DT Auto Owner Trust N/A DT Auto Owner Trust, Series 2023-1A, Class A 23346KAA8 23116.85000000 PA USD 23091.92000000 0.079379141750 Long ABS-O CORP US Y 2 2027-04-15 Fixed 5.48000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140QG5Y9 124212.40000000 PA USD 98356.86000000 0.338104546180 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Lear Corp. 549300UPNBTXA1SYTQ33 Lear Corp. 521865AY1 68000.00000000 PA USD 64383.53000000 0.221320243368 Long DBT CORP US N 2 2027-09-15 Fixed 3.80000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418D4Y5 20455.13000000 PA USD 16250.59000000 0.055861872340 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N DCP Midstream Operating LP 549300Y6CTBSE0QIPL28 DCP Midstream Operating LP 23311VAK3 167000.00000000 PA USD 140488.00000000 0.482931556413 Long DBT CORP US N 2 2032-02-15 Fixed 3.25000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 3140XFTF8 43629.11000000 PA USD 35071.47000000 0.120559190769 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3132AEP42 18772.39000000 PA USD 16578.09000000 0.056987663046 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.50000000 N N N N N N MSWF Commercial Mortgage Trust N/A MSWF Commercial Mortgage Trust, Series 2023-2, Class A5 55361AAU8 69165.00000000 PA USD 71361.06000000 0.245305704210 Long ABS-MBS CORP US N 2 2056-12-15 Variable 6.01400160 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Bonds 912810TU2 150000.00000000 PA USD 140085.94000000 0.481549463554 Long DBT UST US N 2 2043-08-15 Fixed 4.37500000 N N N N N N NiSource, Inc. 549300D8GOWWH0SJB189 NiSource, Inc. 65473QBD4 73000.00000000 PA USD 68366.40000000 0.235011473993 Long DBT CORP US N 2 2045-02-01 Fixed 5.65000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418ELX6 117032.37000000 PA USD 111117.38000000 0.381969202124 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418EGG9 46769.99000000 PA USD 38679.68000000 0.132962516826 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 3.00000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3133BJD41 120265.55000000 PA USD 99430.28000000 0.341794458423 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CEF4 650000.00000000 PA USD 608537.11000000 2.091863886366 Long DBT UST US N 2 2027-03-31 Fixed 2.50000000 N N N N N N Benchmark Mortgage Trust N/A Benchmark Mortgage Trust, Series 2023-V3, Class A3 08163VAC1 10878.00000000 PA USD 11088.45000000 0.038116867040 Long ABS-MBS CORP US N 2 2056-07-15 Variable 6.36289920 N N N N N N Humana, Inc. 529900YLDW34GJAO4J06 Humana, Inc. 444859BV3 38000.00000000 PA USD 37968.65000000 0.130518330671 Long DBT CORP US N 2 2033-03-01 Fixed 5.87500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31418EB90 389385.14000000 PA USD 308668.53000000 1.061056984289 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Allegro CLO V Ltd. 254900TYK5TGNAFE3053 Allegro CLO V Ltd., Series 2017-1A, Class BR 01748RAN5 250000.00000000 PA USD 249388.50000000 0.857280169528 Long ABS-CBDO CORP KY Y 2 2030-10-16 Floating 7.03927080 N N N N N N Pacific Gas and Electric Co. 1HNPXZSMMB7HMBMVBS46 Pacific Gas and Electric Co. 694308JF5 82000.00000000 PA USD 73035.39000000 0.251061261929 Long DBT CORP US N 2 2027-08-01 Fixed 2.10000000 N N N N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3132DQSY3 145353.00000000 PA USD 141466.93000000 0.486296656554 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 UMBS 31417GLV6 6802.82000000 PA USD 5841.30000000 0.020079637410 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N Chesapeake Funding II LLC 5493000HT7H4OFOD6Z12 Chesapeake Funding II LLC, Series 2023-1A, Class A1 165183CU6 75218.68000000 PA USD 75041.26000000 0.257956497971 Long ABS-O CORP US Y 2 2035-05-15 Fixed 5.65000000 N N N N N N 2024-05-30 MFS Series Trust XII James Byrne James Byrne Assistant Treasurer