0001752724-20-072762.txt : 20200420 0001752724-20-072762.hdr.sgml : 20200420 20200420085129 ACCESSION NUMBER: 0001752724-20-072762 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20200229 FILED AS OF DATE: 20200420 PERIOD START: 20210228 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Fidelity Rutland Square Trust II CENTRAL INDEX KEY: 0001364924 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0228 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-21991 FILM NUMBER: 20801474 BUSINESS ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 0001364924 S000029150 Strategic Advisers Core Income Fund C000089632 Strategic Advisers Core Income Fund FPCIX NPORT-P 1 primary_doc.xml NPORT-P false 0001364924 XXXXXXXX S000029150 C000089632 FIDELITY RUTLAND SQUARE TRUST II 811-21991 0001364924 1KZ3JN58GDRI3EZKKG06 245 Summer Street Boston 02210 1-800-FIDELITY STRATEGIC ADVISERS CORE INCOME FUND S000029150 JIULD0UMK13CI0PIUL16 2021-02-28 2020-02-29 N 49039281375.14 2770962946.79 46268318428.35 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1466987995.47000000 0.00000000 0.00000000 56155894.91000000 USD N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMK84 53635.09520000 PA USD 59744.22000000 0.000129125548 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMXJ7 1753200.30400000 PA USD 1804833.81000000 0.003900798367 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3131XWFH1 1375307.45090000 PA USD 1452489.57000000 0.003139274603 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.03500000 N N N N N N SS and C TECHNOLOGIES INC 549300KY09TR3J12JU49 78466CAC0 775000.00000000 PA USD 815687.50000000 0.001762950389 Long DBT CORP US N 2 2027-09-30 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJUM0 254146.90990000 PA USD 277955.75000000 0.000600747464 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 0.04500000 N N N N N N JBS USA LLC / JBS USA FIN INC N/A 466112AR0 1300000.00000000 PA USD 1330875.00000000 0.002876428288 Long DBT CORP US N 2 2025-06-15 Fixed 0.05750000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J8CS0 299468.54600000 PA USD 321281.45000000 0.000694387565 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.03500000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BF9 685000.00000000 PA USD 753992.58000000 0.001629608781 Long DBT CORP US N 2 2026-03-01 Fixed 0.03650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JLP1 23736.78070000 PA USD 25808.19000000 0.000055779399 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N NIAGARA PARK CLO LLC N/A 65357LAA3 8530000.00000000 PA USD 8531706.00000000 0.018439628432 Long ABS-CBDO CORP KY N 2 2032-07-17 Variable 0.03136130 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132DV3U7 4355126.63200000 PA USD 4522640.92000000 0.009774811520 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03500000 N N N N N N ISRAEL, STATE OF 213800T8ZHTFZIBYPE21 46513AGA2 1700000.00000000 PA USD 1784694.00000000 0.003857270072 Long DBT NUSS IL N 2 2022-06-30 Fixed 0.04000000 N N N N N N MOUNT SINAI HOSP NEW YORK 549300IJEDK5LH7YPT15 623115AE2 460000.00000000 PA USD 516906.50000000 0.001117193184 Long DBT CORP US N 2 2049-07-01 Fixed 0.03737000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNMC8 271468.00620000 PA USD 294174.27000000 0.000635800651 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WEH69 1153228.30320000 PA USD 1196447.38000000 0.002585889050 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 0.02500000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAL0 190000.00000000 PA USD 201406.30000000 0.000435300669 Long DBT CORP US N 2 2035-07-15 Fixed 0.05000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CP8 1810000.00000000 PA USD 1844411.07000000 0.003986336942 Long DBT CORP US N 2 2022-08-15 Fixed 0.02700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419LTD5 154902.94090000 PA USD 171370.41000000 0.000370383916 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8H97 1251407.21920000 PA USD 1336356.25000000 0.002888274947 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193PJB2 92257.32590000 PA USD 98792.39000000 0.000213520597 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EFA2 35947.81940000 PA USD 38979.04000000 0.000084245637 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N BX TRUST 2019 N/A 056054AG4 6823470.66000000 PA USD 6849504.93000000 0.014803876956 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.03108500 N N N N N N OHIO ST UNIV GEN RCPTS N/A 677632MV0 365000.00000000 PA USD 513138.90000000 0.001109050247 Long DBT MUN US N 2 2040-06-01 Fixed 0.04910000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178UUX9 199128.59000000 PA USD 209313.56000000 0.000452390679 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.03500000 N N N N N N CNA FINANCIAL CORP 549300YX2GSZD7YG1R84 126117AS9 1400000.00000000 PA USD 1518799.63000000 0.003282590942 Long DBT CORP US N 2 2024-05-15 Fixed 0.03950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HEAW2 1332071.09300000 PA USD 1407843.03000000 0.003042779763 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3131YBHX9 47878.77400000 PA USD 49720.37000000 0.000107460940 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XJZ4 2126910.85090000 PA USD 2312184.99000000 0.004997339580 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CRC0 3748635.47200000 PA USD 3940851.25000000 0.008517385943 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RYC1 261627.24220000 PA USD 283688.41000000 0.000613137498 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N ENTERPRISE PRODS OPER LLC 5493004LGN656HWLDA30 29379VBZ5 50000.00000000 PA USD 48950.55000000 0.000105797123 Long DBT CORP US N 2 2060-01-31 Fixed 0.03950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413ECS2 5870.99940000 PA USD 6972.83000000 0.000015070420 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F1NM0 491016.35760000 PA USD 532321.05000000 0.001150508745 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04500000 N N N N N N LANARK MASTER ISSUER PLC 213800KIOPB5OYXIVY33 513770BD8 5800000.00000000 PA USD 5897538.60000000 0.012746386296 Long ABS-CBDO CORP GB N 2 2069-12-22 Variable 0.02710000 N N N N N N WFRBS COML MTG TR 2013-C14 549300GADFYEKC4OLM57 92890PBS2 5434294.71000000 PA USD 5438262.29000000 0.011753749595 Long ABS-MBS CORP US N 2 2046-06-15 Variable 0.02378250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ASYN6 1207069.50560000 PA USD 1289709.95000000 0.002787458014 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.03500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAQ7 4752000.00000000 PA USD 4891921.21000000 0.010572939272 Long DBT CORP US N 2 2022-02-01 Fixed 0.03750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMWQ2 249096.57400000 PA USD 256666.25000000 0.000554734338 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.02500000 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 718546AL8 305000.00000000 PA USD 367056.07000000 0.000793320532 Long DBT CORP US N 2 2044-11-15 Fixed 0.04875000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SLS4 21261369.95810000 PA USD 22468435.34000000 0.048561166913 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E2W49 132556.98400000 PA USD 142872.61000000 0.000308791447 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N JOHNSON and JOHNSON 549300G0CFPGEF6X2043 478160CF9 1585000.00000000 PA USD 1826307.28000000 0.003947209109 Long DBT CORP US N 2 2037-03-03 Fixed 0.03625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J62X1 202416.20490000 PA USD 214538.61000000 0.000463683611 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946RF5 103127.46290000 PA USD 114918.87000000 0.000248374857 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.05000000 N N N N N N ALABAMA POWER and LIGHT 0RL818ELFOHP5JHOFU19 010392FJ2 250000.00000000 PA USD 287702.28000000 0.000621812699 Long DBT CORP US N 2 2042-12-01 Fixed 0.03850000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WAU7 2700000.00000000 PA USD 2925669.78000000 0.006323268014 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 0.04247500 N N N N N N MASSACHUSETTS ST TRANSN FD REV N/A 57604TAD8 150000.00000000 PA USD 213148.50000000 0.000460679158 Long DBT MUN US N 2 2040-06-01 Fixed 0.05731000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AU4 1080000.00000000 PA USD 1145511.45000000 0.002475800912 Long DBT CORP US N 2 2025-04-15 Fixed 0.03250000 N N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 595620AR6 1675000.00000000 PA USD 2046014.63000000 0.004422063951 Long DBT CORP US N 2 2047-08-01 Fixed 0.03950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MCMT8 1604777.72560000 PA USD 1687068.80000000 0.003646272130 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BSG2 2424766.85300000 PA USD 2601847.33000000 0.005623388569 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.03500000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523BY5 4925000.00000000 PA USD 5566090.75000000 0.012030026028 Long DBT CORP US N 2 2026-02-25 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H040632 17100000.00000000 PA USD 17803203.30000000 0.038478172332 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 0.04000000 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38141GFD1 50999000.00000000 PA USD 73075732.20000000 0.157939027572 Long DBT CORP US N 2 2037-10-01 Fixed 0.06750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E07L7 105878.77360000 PA USD 115342.51000000 0.000249290473 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132LAGH9 363022.10600000 PA USD 387831.91000000 0.000838223482 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.03500000 N N N N N N JPMCC COML MTG SECS TR 2019-COR4 N/A 48128YAU5 5400000.00000000 PA USD 6041619.90000000 0.013057790093 Long ABS-MBS CORP US N 2 2052-03-10 Fixed 0.03762900 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QNFW4 325640.45500000 PA USD 343921.42000000 0.000743319471 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AQL5 391548.33830000 PA USD 407040.61000000 0.000879739363 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410GPA5 208817.80500000 PA USD 240041.48000000 0.000518803120 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31414LHF8 168111.95100000 PA USD 193475.34000000 0.000418159437 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HDSY1 24805001.48900000 PA USD 25666139.36000000 0.055472384196 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176W7E5 904555.29100000 PA USD 961786.14000000 0.002078714275 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J9PW2 41057.17450000 PA USD 44529.79000000 0.000096242507 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N HASBRO INC 549300NUB6D2R1ITYR45 418056AX5 5655000.00000000 PA USD 5931300.92000000 0.012819357005 Long DBT CORP US N 2 2024-11-19 Fixed 0.03000000 N N N N N N BAYVIEW COML ASSET TR N/A 07324SCC4 24477.91960000 PA USD 23635.83000000 0.000051084264 Long ABS-MBS CORP US N 2 2035-11-25 Variable 0.02026750 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448CM8 1952000.00000000 PA USD 2115815.51000000 0.004572925020 Long DBT CORP US N 2 2024-03-01 Fixed 0.03600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJ7F9 16588343.39940000 PA USD 18010017.51000000 0.038925161150 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QTK47 26094.90590000 PA USD 27641.81000000 0.000059742413 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.03500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAM6 2900000.00000000 PA USD 2970416.90000000 0.006419980238 Long DBT CORP US N 2 2021-04-01 Fixed 0.03875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQLB6 20091259.44980000 PA USD 22422162.99000000 0.048461158199 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F040636 10000000.00000000 PA USD 10533144.00000000 0.022765348639 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RV60 3499855.67620000 PA USD 3501204.87000000 0.007567175529 Long ABS-CBDO USGA US N 2 2066-08-20 Variable 0.01880000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TLT0 537896.41550000 PA USD 569094.46000000 0.001229987341 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 0.04000000 N N N N N N CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 549300PXR5FKNXF0OH19 225433AT8 9457000.00000000 PA USD 10048704.44000000 0.021718326451 Long DBT CORP GG N 2 2023-06-09 Fixed 0.03800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410KNW0 117969.06550000 PA USD 135771.78000000 0.000293444379 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TG41 3666096.57290000 PA USD 3857045.95000000 0.008336257035 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176XB73 161612.57480000 PA USD 172090.26000000 0.000371939732 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJ3K4 442391.79500000 PA USD 470131.97000000 0.001016099106 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EBCK5 916218.65480000 PA USD 980664.28000000 0.002119515714 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.03500000 N N N N N N HESS MIDSTREAM PARTNERS LP N/A 428104AA1 115000.00000000 PA USD 112125.00000000 0.000242336449 Long DBT CORP US N 2 2028-06-15 Fixed 0.05125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HLLC5 58419.93560000 PA USD 62686.34000000 0.000135484370 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BR9 500000.00000000 PA USD 552750.00000000 0.001194661960 Long DBT CORP US N 2 2025-02-01 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416TYN3 31345.82740000 PA USD 35333.95000000 0.000076367482 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.05000000 N N N N N N DEVON ENERGY CORP NEW 54930042348RKR3ZPN35 25179MAU7 915000.00000000 PA USD 984240.28000000 0.002127244545 Long DBT CORP US N 2 2045-06-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHRP9 1293755.54820000 PA USD 1316441.03000000 0.002845232060 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.02000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SUW5 583935.58010000 PA USD 618716.30000000 0.001337235328 Long ABS-MBS USGA US N 2 2047-01-20 Fixed 0.04000000 N N N N N N MID AMERICA APTS LP 549300FXWGE3QSYCUJ38 59523UAM9 1296000.00000000 PA USD 1451880.39000000 0.003137957979 Long DBT CORP US N 2 2025-11-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307VFK7 53161.96200000 PA USD 54760.86000000 0.000118354982 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.02500000 N N N N N N POST APT HOMES LP 5493005D04NMMCMCB212 737415AL3 1800000.00000000 PA USD 1879770.56000000 0.004062759624 Long DBT CORP US N 2 2022-12-01 Fixed 0.03375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193YPG5 224571.78650000 PA USD 240479.37000000 0.000519749535 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AR0 1365000.00000000 PA USD 1528497.17000000 0.003303550295 Long DBT CORP GB N 2 2028-03-22 Fixed 0.04375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WDER8 1406531.23750000 PA USD 1456606.00000000 0.003148171469 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.02500000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 03523TBV9 14627000.00000000 PA USD 19814300.41000000 0.042824768833 Long DBT CORP US N 2 2049-01-23 Fixed 0.05550000 N N N N N N BX TRUST 2019 N/A 05608BAJ9 2952000.00000000 PA USD 2951994.98000000 0.006380164830 Long ABS-MBS CORP US N 2 2034-04-15 Variable 0.03258500 N N N N N N MADISON PK FDG XXXVII LLC N/A 55817EAA4 8529000.00000000 PA USD 8530705.80000000 0.018437466693 Long ABS-CBDO CORP KY N 2 2032-07-15 Variable 0.03131250 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AG5 4646000.00000000 PA USD 5169011.60000000 0.011171816429 Long DBT CORP US N 2 2025-11-15 Fixed 0.04125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MFCN6 2121578.70700000 PA USD 2159653.62000000 0.004667672596 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.02000000 N N N N N N CONSOLIDATED ENERGY FINANCE SA 549300PUNIS0USNSL750 20914UAC0 500000.00000000 PA USD 495015.76000000 0.001069880593 Long DBT CORP LU N 2 2022-06-15 Variable 0.05643630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410LHC9 8573.32530000 PA USD 9195.12000000 0.000019873469 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 02005NAY6 1700000.00000000 PA USD 1765467.00000000 0.003815714640 Long DBT CORP US N 2 2022-02-13 Fixed 0.04125000 N N N N N N HILCORP ENERGY I LP/FIN CO N/A 431318AN4 225000.00000000 PA USD 177750.00000000 0.000384172163 Long DBT CORP US N 2 2024-12-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XCR56 4358735.41600000 PA USD 4649811.33000000 0.010049665706 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WJSM4 562506.92300000 PA USD 599016.38000000 0.001294657770 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CV35 5090924.35920000 PA USD 5405965.01000000 0.011683945286 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E2SN2 113436.52300000 PA USD 120103.89000000 0.000259581273 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GRCZ2 83967.99660000 PA USD 91516.09000000 0.000197794285 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N BX 2020-BXLP N/A 05607QAK4 4451000.00000000 PA USD 4449662.03000000 0.009617081798 Long ABS-MBS CORP US N 2 2029-12-15 Variable 0.02658500 N N N N N N VIRGINIA ELECTRIC AND POWER CO CQKUMNNZVDJLRYV2PT43 927804FB5 1375000.00000000 PA USD 1985863.92000000 0.004292059853 Long DBT CORP US N 2 2037-05-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YKG80 3804180.86670000 PA USD 4074139.62000000 0.008805462913 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HRGD6 199338.18980000 PA USD 211338.55000000 0.000456767302 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQWR9 1057834.48500000 PA USD 1112740.11000000 0.002404972014 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307UGP7 169880.05280000 PA USD 179065.33000000 0.000387014994 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MRB75 610222.48250000 PA USD 660422.86000000 0.001427375972 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.04000000 N N N N N N AIMCO 2019 N/A 00901AAA5 8486000.00000000 PA USD 8491091.60000000 0.018351848280 Long ABS-CBDO CORP US N 2 2032-07-22 Variable 0.03122130 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HFXP9 118822.37600000 PA USD 127957.77000000 0.000276555912 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QNSS9 424401.23050000 PA USD 454732.08000000 0.000982815229 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0ZB7 200584.00390000 PA USD 221131.31000000 0.000477932454 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AB71 434502.53280000 PA USD 517333.18000000 0.001118115370 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 0.06000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 4700000.00000000 NC USD 38033.81000000 0.000082202706 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 858.93000000 USD 0.00000000 USD 4700000.00000000 USD 37174.88000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ETM3 349360.10750000 PA USD 370331.78000000 0.000800400344 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DQZ7 877245.06290000 PA USD 915048.18000000 0.001977699235 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.03000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -9100000.00000000 NC USD -225939.26000000 -0.00048832390 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2030-02-26 0.00000000 USD 0.00000000 USD -9100000.00000000 USD 1.00000000 1.39500000 USD 2025-02-24 XXXX 41600.74000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HQYX4 238170.16750000 PA USD 246615.61000000 0.000533011828 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N WESTERN ASSET FDS INC 549300Q2LEO7M5HGWP70 957663305 164682509.50000000 NS USD 2185336901.07000000 4.723182028873 Long EC RF US N 1 N N N STORE CAP CORP 5493004EA6C9IHDZ7N66 862121AB6 2475000.00000000 PA USD 2863655.93000000 0.006189237100 Long DBT CORP US N 2 2029-03-15 Fixed 0.04625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J66H2 170768.84400000 PA USD 182439.60000000 0.000394307824 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3129387E7 40740.50680000 PA USD 45818.84000000 0.000099028539 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132KFL34 999903.35500000 PA USD 1036538.31000000 0.002240276597 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 0.02500000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818DL9 325000.00000000 PA USD 385529.21000000 0.000833246642 Long DBT CORP US N 2 2042-06-15 Fixed 0.04300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H2Y85 234338.60820000 PA USD 245807.54000000 0.000531265341 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.03000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 900000.00000000 NC USD 1657.17000000 0.000003581651 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S11 PRC INDX CMBX0AAA Y 2054-11-18 0.00000000 USD 1838.24000000 USD 900000.00000000 USD 3495.41000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JMMF3 91506.22580000 PA USD 99160.04000000 0.000214315201 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JAJ55 202397.88470000 PA USD 213001.21000000 0.000460360819 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FRKJ3 226877.79210000 PA USD 241488.99000000 0.000521931633 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.03500000 N N N N N N BX TRUST 2019 N/A 056054AA7 18439230.43000000 PA USD 18521716.48000000 0.040031099268 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.02578500 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAD4 1711000.00000000 PA USD 1723809.42000000 0.003725679857 Long DBT CORP US N 2 2023-01-15 Fixed 0.02250000 N N N N N N RABOBANK NEDERLAND GLOBAL MEDIUM TERM NTS BOOK ENTRY REGS N/A 21684AAC0 7713000.00000000 PA USD 8564270.00000000 0.018510009204 Long DBT CORP NL N 2 2025-08-04 Fixed 0.04375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DG22 6020993.16320000 PA USD 6111516.39000000 0.013208857805 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YJA48 164248.13790000 PA USD 177337.94000000 0.000383281575 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC N/A 68245XAC3 300000.00000000 PA USD 300285.00000000 0.000649007809 Long DBT CORP CA N 2 2024-05-15 Fixed 0.04250000 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38141GWL4 5415000.00000000 PA USD 5919879.00000000 0.012794670740 Long DBT CORP US N 2 2028-06-05 Variable 0.03691000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X75W9 289642.19090000 PA USD 317899.19000000 0.000687077466 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04500000 N N N N N N MERCK and CO INC NEW 4YV9Y5M8S0BRK1RP0397 58933YAX3 1525000.00000000 PA USD 1708196.60000000 0.003691935773 Long DBT CORP US N 2 2029-03-07 Fixed 0.03400000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WVTT8 373184.89810000 PA USD 383671.99000000 0.000829232621 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UML3 634018.89000000 PA USD 664749.09000000 0.001436726279 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WCUT8 337449.40880000 PA USD 364869.81000000 0.000788595355 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E76B1 532158.49000000 PA USD 573571.22000000 0.001239662990 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SYT8 4544745.00500000 PA USD 4815441.83000000 0.010407643920 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AEG23 101346.43230000 PA USD 112088.73000000 0.000242258058 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N MERCK and CO INC MZK1AT00SJV4XB7WNL71 589331AT4 2875000.00000000 PA USD 2940159.58000000 0.006354584907 Long DBT CORP US N 2 2022-09-15 Fixed 0.02400000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YBWV1 161245.20590000 PA USD 174095.69000000 0.000376274081 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.04000000 N N N N N N AGL CAP CORP N/A 001192AK9 440000.00000000 PA USD 516017.59000000 0.001115271977 Long DBT CORP US N 2 2043-06-01 Fixed 0.04400000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FY67 429007.36500000 PA USD 461799.66000000 0.000998090433 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 0.04000000 N N N N N N US BANK NA CINCINNATI OHIO 6BYL5QZYBDK8S7L73M02 90331HPC1 1500000.00000000 PA USD 1541436.62000000 0.003331516407 Long DBT CORP US N 2 2022-05-23 Fixed 0.02650000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKL9 644154.95100000 PA USD 686965.62000000 0.001484743001 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DJQ6 10371751.12830000 PA USD 10582168.03000000 0.022871304576 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GZX7 2176062.78560000 PA USD 2318243.90000000 0.005010434739 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03500000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BC6 195000.00000000 PA USD 203833.59000000 0.000440546786 Long DBT CORP US N 2 2022-09-01 Fixed 0.03250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M8VM3 247168.71210000 PA USD 273490.67000000 0.000591097060 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FNLN2 3234907.74300000 PA USD 3332890.19000000 0.007203395980 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.02500000 N N N N N N DUKE ENERGY IND INC 6URPHM2EAWGJ2C6ISB97 26443TAB2 1665000.00000000 PA USD 1780690.98000000 0.003848618321 Long DBT CORP US N 2 2049-10-01 Fixed 0.03250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJWV8 741471.43060000 PA USD 785425.78000000 0.001697545548 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GPS9 574157.97250000 PA USD 594059.72000000 0.001283944911 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XMK2 127622.00250000 PA USD 136662.13000000 0.000295368698 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N MAGELLAN MIDSTREAM PARTNRS MLP MZF5TI8NFVZZNUSKDL39 559080AM8 695000.00000000 PA USD 782248.79000000 0.001690679100 Long DBT CORP US N 2 2047-10-03 Fixed 0.04200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5RG0 9254178.36800000 PA USD 9718661.31000000 0.021005002213 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A2WZ8 1870029.85390000 PA USD 2032342.84000000 0.004392515027 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EMS7 122861.47000000 PA USD 129852.75000000 0.000280651543 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29279FAA7 2605000.00000000 PA USD 3002394.44000000 0.006489093492 Long DBT CORP US N 2 2049-04-15 Fixed 0.06250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FZY5 1319288.10780000 PA USD 1420131.32000000 0.003069338519 Long ABS-MBS USGA US N 2 2041-12-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YJ5N2 128268.69040000 PA USD 137371.11000000 0.000296901021 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N WESTERN GAS PARTNERS LP L6D8A6MLSY454J2JXJ60 958254AA2 4846000.00000000 PA USD 4993579.21000000 0.010792653330 Long DBT CORP US N 2 2021-06-01 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417CDF9 26010.58840000 PA USD 27897.04000000 0.000060294043 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03500000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BB5 1152000.00000000 PA USD 1279487.87000000 0.002765364969 Long DBT CORP US N 2 2024-04-01 Fixed 0.04950000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SQW0 397959.94550000 PA USD 419558.31000000 0.000906793945 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946ZF6 731342.67100000 PA USD 809226.20000000 0.001748985542 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EEX79 104320.42950000 PA USD 113449.28000000 0.000245198623 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J7NZ4 2987889.86630000 PA USD 3186849.57000000 0.006887757494 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.03500000 N N N N N N LONDON CLEARING HOUSE N/A N/A 15250000.00000000 NC USD 415007.14000000 0.000896957473 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2025-03-18 0.00000000 USD 0.00000000 USD 15432944.29000000 USD 415007.14000000 N N N US TREASURY C0UPON STRIPS 254900HROIFWPRGM1V77 9128337F1 3725000.00000000 PA USD 2860481.51000000 0.006182376207 Long DBT UST US N 2 2037-02-15 Fixed 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVT51 170258.95440000 PA USD 187699.84000000 0.000405676813 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N DOMINION ENERGY SOUTH CAROLINA INC 3QRVFYR22IUIEOORTK28 837004CE8 35000.00000000 PA USD 48056.42000000 0.000103864634 Long DBT CORP US N 2 2041-02-01 Fixed 0.05450000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ETQL3 1893060.28270000 PA USD 2241361.42000000 0.004844268164 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307RCV5 60728.35760000 PA USD 63898.03000000 0.000138103203 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A1CA7 46518.37020000 PA USD 51449.12000000 0.000111197298 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-AGLN N/A 61691TAA0 3470000.00000000 PA USD 3461288.91000000 0.007480904920 Long ABS-MBS CORP US N 2 2034-03-15 Variable 0.02608500 N N N N N N NAVIENT CORP 54930067J0ZNOEBRW338 78442FEL8 1300000.00000000 PA USD 1368250.00000000 0.002957207105 Long DBT CORP US N 2 2022-01-25 Fixed 0.07250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128286B1 276154000.00000000 PA USD 311611742.80000000 0.673488368250 Long DBT UST US N 2 2029-02-15 Fixed 0.02625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WA7E1 55290.76990000 PA USD 60633.01000000 0.000131046495 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04500000 N N N N N N AVOLON HLDGS FDG LTD 635400ZRKEX9L1BKCH30 05401AAD3 4140000.00000000 PA USD 4520223.98000000 0.009769587773 Long DBT CORP KY N 2 2024-05-15 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AEQN6 117934.93850000 PA USD 132386.96000000 0.000286128747 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5JM2 296110.51900000 PA USD 323965.72000000 0.000700189094 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ENC1 2200991.79480000 PA USD 2313856.01000000 0.005000951166 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SGK7 2967995.49100000 PA USD 3105170.31000000 0.006711223609 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335AE20 748128.81400000 PA USD 821487.63000000 0.001775486246 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 0.04500000 N N N N N N SOFI CONSUMER LN PROGRAM 2019-4 TR N/A 83405BAA0 8115234.25000000 PA USD 8191665.15000000 0.017704696060 Long ABS-CBDO CORP US N 2 2028-08-25 Fixed 0.02450000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QRZ6 5879677.66830000 PA USD 6310732.13000000 0.013639424004 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 0.04000000 N N N N N N CAESARS RESORT COLLECTION LLC / CRC FINCO INC N/A 12652AAA1 300000.00000000 PA USD 294606.00000000 0.000636733752 Long DBT CORP US N 2 2025-10-15 Fixed 0.05250000 N N N N N N CHESAPEAKE ENERGY CORP X2MT1W32SPAZ9WSKLE78 165167DA2 165000.00000000 PA USD 57750.00000000 0.000124815428 Long DBT CORP US N 2 2024-10-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176MZD8 10310.74270000 PA USD 11202.73000000 0.000024212528 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04000000 N N N N N N NOBLE ENERGY INC 02VFQXG2D1LR5ZH3K186 655044AG0 295000.00000000 PA USD 312143.37000000 0.000674637377 Long DBT CORP US N 2 2043-11-15 Fixed 0.05250000 N N N N N N BANQUE FED CRED MUTUEL PARIS VBHFXSYT7OG62HNT8T76 06675FAN7 8041000.00000000 PA USD 8128386.61000000 0.017567931764 Long DBT CORP FR N 2 2022-07-20 Variable 0.02549130 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AK98 875541.45360000 PA USD 909636.53000000 0.001966003003 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JPM93 9590572.86500000 PA USD 9974447.05000000 0.021557833499 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EUKB4 80013.68690000 PA USD 86744.50000000 0.000187481419 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04500000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAS0 7750000.00000000 PA USD 8292500.00000000 0.017922631039 Long DBT CORP US N 2 2029-12-15 Fixed 0.04625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WTRL2 25231.16550000 PA USD 26105.74000000 0.000056422495 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.02500000 N N N N N N CALIFORNIA ST N/A 13063A5E0 630000.00000000 PA USD 1044281.70000000 0.002257012434 Long DBT MUN US N 2 2034-04-01 Fixed 0.07500000 N N N N N N LBC Tank Terminals Holding Netherlands BV 213800O43KFINF83HN59 50177WAA9 300000.00000000 PA USD 303006.00000000 0.000654888723 Long DBT CORP NL N 2 2023-05-15 Fixed 0.06875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7C67 310902.92850000 PA USD 337199.10000000 0.000728790480 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128282N9 46305000.00000000 PA USD 48714307.03000000 0.105286530145 Long DBT UST US N 2 2024-07-31 Fixed 0.02125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MB6G6 458501.42000000 PA USD 484591.89000000 0.001047351419 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QP6Q2 89061.54080000 PA USD 95426.54000000 0.000206245965 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNYA9 188951.05360000 PA USD 204755.39000000 0.000442539078 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BF6 1500000.00000000 PA USD 1670619.83000000 0.003610720870 Long DBT CORP US N 2 2027-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416NJB9 130054.21500000 PA USD 141403.49000000 0.000305616228 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -18000000.00000000 NC USD -847504.80000000 -0.00183171731 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2030-01-10 0.00000000 USD 0.00000000 USD -18000000.00000000 USD 1.00000000 1.92000000 USD 2025-01-08 XXXX -345304.80000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 312944PQ8 1414575.92750000 PA USD 1565661.69000000 0.003383874199 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HHS4 25392.64430000 PA USD 28092.09000000 0.000060715606 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178VBM2 35894.44640000 PA USD 38876.30000000 0.000084023585 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 0.04000000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2014-C16 N/A 61763MAD2 1637170.37000000 PA USD 1660593.69000000 0.003589051312 Long ABS-MBS CORP US N 2 2047-06-15 Fixed 0.03592000 N N N N N N UNITED PARCEL SERVICE INC D01LMJZU09ULLNCY6Z23 911312BP0 150000.00000000 PA USD 150980.42000000 0.000326314906 Long DBT CORP US N 2 2021-04-01 Fixed 0.02050000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CPK4 841441.61400000 PA USD 873945.83000000 0.001888864475 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132AEB88 1015728.14700000 PA USD 1054796.81000000 0.002279738805 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GDLP5 33757.22810000 PA USD 37616.97000000 0.000081301787 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 3130AEWA4 165000.00000000 PA USD 166390.82000000 0.000359621498 Long DBT USGSE US N 2 2020-10-01 Fixed 0.02625000 N N N N N N PHILLIPS 66 PARTNERS LP 549300TL5L4IG0H4FX64 718549AF5 295000.00000000 PA USD 316289.70000000 0.000683598865 Long DBT CORP US N 2 2028-03-01 Fixed 0.03750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JPBC5 306486.05440000 PA USD 332121.31000000 0.000717815821 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F3VB1 195478.42000000 PA USD 209957.57000000 0.000453782581 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LUEN1 29201.17280000 PA USD 32214.25000000 0.000069624855 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.04500000 N N N N N N FIDELITY SALEM STREET TRUST S4W85DGKOEJ24DPRB829 31635T401 2352250.99530000 NS USD 25568968.32000000 0.055262367832 Long EC RF US N 1 N N N BAYVIEW COML ASSET TR 2007 1 N/A 07325MAB0 37332.82980000 PA USD 35238.46000000 0.000076161099 Long ABS-MBS CORP US N 2 2037-03-25 Variable 0.01896750 N N N N N N FIDELITY SALEM STREET TRUST S4W85DGKOEJ24DPRB829 31635T849 624676930.23200000 NS USD 6721523769.30000000 14.52727049008 Long EC RF US N 1 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TNR2 1859362.46750000 PA USD 1956207.73000000 0.004227963748 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 0.03500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GEU9 3572000.00000000 PA USD 3734533.54000000 0.008071470212 Long DBT CORP US N 2 2023-01-11 Fixed 0.03300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FP7A1 268008.00320000 PA USD 291474.33000000 0.000629965254 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.04500000 N N N N N N SUMITOMO MITSUI BKG CORP 5U0XI89JRFVHWIBS4F54 865622BE3 250000.00000000 PA USD 269418.69000000 0.000582296264 Long DBT CORP JP N 2 2023-07-19 Fixed 0.03950000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AYFE1 75537.91370000 PA USD 84283.44000000 0.000182162315 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAX4 55000.00000000 PA USD 62980.50000000 0.000136120140 Long DBT CORP US N 2 2029-05-15 Fixed 0.06375000 N N N N N N AT and T INC 549300Z40J86GGSTL398 04650NAB0 59000.00000000 PA USD 74116.98000000 0.000160189482 Long DBT CORP US N 2 2040-09-01 Fixed 0.05350000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W7D84 123025.58240000 PA USD 127289.96000000 0.000275112570 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.02500000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CN8 125000.00000000 PA USD 152318.80000000 0.000329207555 Long DBT CORP US N 2 2045-07-20 Fixed 0.05125000 N N N N N N TELECOM ITALIA SPA NEW 549300W384M3RI3VXU42 87927YAA0 1100000.00000000 PA USD 1174250.00000000 0.002537913716 Long DBT CORP IT N 2 2024-05-30 Fixed 0.05303000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EUSW0 125147.68200000 PA USD 134534.73000000 0.000290770735 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XEJD1 16123.07130000 PA USD 17837.09000000 0.000038551411 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJKA5 1088588.39000000 PA USD 1128364.43000000 0.002438740953 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.02500000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C32 N/A 61691GAR1 5100000.00000000 PA USD 5612712.18000000 0.012130789210 Long ABS-MBS CORP US N 2 2049-12-15 Fixed 0.03459000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417A4E6 774513.07890000 PA USD 804673.93000000 0.001739146693 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.03000000 N N N N N N AMERADA HESS CORP N/A 023551AM6 1335000.00000000 PA USD 1692396.31000000 0.003657786510 Long DBT CORP US N 2 2033-03-15 Fixed 0.07125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EPKZ6 676721.09040000 PA USD 757371.49000000 0.001636911640 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.05000000 N N N N N N AVOLON HLDGS FDG LTD 635400ZRKEX9L1BKCH30 05401AAE1 2155000.00000000 PA USD 2205988.59000000 0.004767816650 Long DBT CORP KY N 2 2022-05-01 Fixed 0.03625000 N N N N N N MORGAN STANLEY CAP CITIGROUP TR 2016-SNR N/A 61691CAA7 511908.53000000 PA USD 517475.02000000 0.001118421930 Long ABS-MBS CORP US N 2 2034-11-15 Variable 0.03348000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GX96 935476.77940000 PA USD 992617.67000000 0.002145350649 Long ABS-MBS USGA US N 2 2043-09-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AT4H0 31449.99950000 PA USD 34101.14000000 0.000073703002 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNKB4 360765.08280000 PA USD 379439.55000000 0.000820085023 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XWUS8 82093.76500000 PA USD 88472.86000000 0.000191216934 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241L3J3 86411.40150000 PA USD 96496.83000000 0.000208559189 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.05000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAW7 7646000.00000000 PA USD 8316591.28000000 0.017974699670 Long DBT CORP IT N 2 2026-01-15 Fixed 0.05710000 N N N N N N LONDON CLEARING HOUSE N/A N/A 116599000.00000000 NC USD 1634232.79000000 0.003532077338 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2022-03-18 0.00000000 USD 0.00000000 USD 116910068.78000000 USD 1634232.79000000 N N N CORPORACION NACIONAL DEL COBRE DE CHILE 549300UVMBCBCIPSUI70 21987BAX6 1715000.00000000 PA USD 1965818.75000000 0.004248736104 Long DBT CORP CL N 2 2047-08-01 Fixed 0.04500000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAJ0 435000.00000000 PA USD 463394.54000000 0.001001537457 Long DBT CORP US N 2 2026-07-27 Fixed 0.03450000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMW33 344665.64800000 PA USD 355031.81000000 0.000767332425 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TZ73 12740199.46400000 PA USD 13713786.40000000 0.029639690539 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022630 84600000.00000000 PA USD 86840681.76000000 0.187689297363 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F0H80 3778123.87700000 PA USD 4125268.48000000 0.008915968031 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EBP58 216278.94230000 PA USD 234814.74000000 0.000507506535 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YUWB3 226617.52580000 PA USD 244677.88000000 0.000528823800 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MAD30 3356944.53200000 PA USD 3629377.03000000 0.007844194803 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBHZ9 72435.79320000 PA USD 78494.50000000 0.000169650643 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.04000000 N N N N N N PUBLIC SERVICE ELEC and GAS CO 549300RUHPVD434XUK18 74456QBT2 260000.00000000 PA USD 306378.25000000 0.000662177188 Long DBT CORP US N 2 2047-12-01 Fixed 0.03600000 N N N N N N BX TR 2018-IND N/A 056059AQ1 2713900.00000000 PA USD 2718256.90000000 0.005874985286 Long ABS-MBS CORP US N 2 2035-11-15 Variable 0.03458500 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 3000000.00000000 NC USD 7845.99000000 0.000016957586 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2029-04-06 0.00000000 USD 0.00000000 USD 3000000.00000000 USD 1.00000000 2.56750000 USD 2022-04-04 XXXX -75666.51000000 N N N THUNDERBOLT III AIRCRAFT LEASE LTD N/A 88607AAA7 10047321.87000000 PA USD 10159530.36000000 0.021957855191 Long ABS-CBDO CORP US N 2 2039-11-15 Fixed 0.03671000 N N N N N N DELL EQUIP FIN TR 2019-2 N/A 24703KAC9 6242000.00000000 PA USD 6321994.35000000 0.013663765109 Long ABS-CBDO CORP US N 2 2024-10-22 Fixed 0.01910000 N N N N N N PUBLIC SERVICE ELEC and GAS CO 549300RUHPVD434XUK18 74456QAZ9 405000.00000000 PA USD 488404.77000000 0.001055592220 Long DBT CORP US N 2 2042-05-01 Fixed 0.03950000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAF7 465000.00000000 PA USD 528362.88000000 0.001141953928 Long DBT CORP US N 2 2043-10-02 Fixed 0.06250000 N N N N N N SILVERSTONE MASTER ISSUER PLC 549300P6OXWKM20QS303 82846GAP5 1485000.00000000 PA USD 1485322.25000000 0.003210236076 Long ABS-CBDO CORP GB N 2 2070-01-21 Variable 0.02369130 N N N N N N BRANDYWINE OPER PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AQ6 5608000.00000000 PA USD 6158733.25000000 0.013310907893 Long DBT CORP US N 2 2027-11-15 Fixed 0.03950000 N N N N N N SAPPHIRE AVIATION FINANCE N/A 80307AAA7 7806000.00000000 PA USD 7805880.57000000 0.016870897484 Long ABS-CBDO CORP US N 2 2040-03-15 Fixed 0.03228000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HMHP9 232694.88400000 PA USD 252594.37000000 0.000545933758 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04000000 N N N N N N UBS COML MTG TR 2018-C13 N/A 90353KAX7 6000000.00000000 PA USD 6903847.80000000 0.014921328534 Long ABS-MBS CORP US N 2 2051-10-15 Fixed 0.04069400 N N N N N N SITE CENTERS CORP W2AVA6SODOQ1LCYJQR54 23317HAD4 2396000.00000000 PA USD 2543959.90000000 0.005498276112 Long DBT CORP US N 2 2025-02-01 Fixed 0.03625000 N N N N N N WESTERN GAS PARTNERS LP L6D8A6MLSY454J2JXJ60 958254AK0 1465000.00000000 PA USD 1500665.32000000 0.003243397147 Long DBT CORP US N 2 2028-08-15 Fixed 0.04750000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SEH6 3556818.13720000 PA USD 3758748.31000000 0.008123805743 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WTUP9 584651.19000000 PA USD 614996.81000000 0.001329196372 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N SAN DIEGO GAS and ELECTRIC CO KNIRVXKVNJJ4P8OTMS63 797440BR4 1025000.00000000 PA USD 1087316.12000000 0.002350022989 Long DBT CORP US N 2 2023-09-01 Fixed 0.03600000 N N N N N N BECTON DICKINSON and CO ICE2EP6D98PQUILVRZ91 075887BF5 855000.00000000 PA USD 926132.92000000 0.002001656752 Long DBT CORP US N 2 2024-12-15 Fixed 0.03734000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132A9UK1 408110.88300000 PA USD 423238.21000000 0.000914747335 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.03000000 N N N N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XBK6 2158000.00000000 PA USD 2347095.25000000 0.005072791339 Long DBT CORP US N 2 2026-10-01 Fixed 0.03250000 N N N N N N ROCK-TENN COMPANY PQQ60KVT5SJX0ETQT497 772739AL2 185000.00000000 PA USD 196836.12000000 0.000425423111 Long DBT CORP US N 2 2022-03-01 Fixed 0.04900000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SB71 2303906.68280000 PA USD 2410388.64000000 0.005209587730 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828Z86 5770000.00000000 PA USD 5854070.69000000 0.012652438836 Long DBT UST US N 2 2023-02-15 Fixed 0.01375000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TQP3 1932049.89130000 PA USD 2032681.10000000 0.004393246111 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 0.03500000 N N N N N N IPALCO ENTERPRISES INC 5493000YFVK2DZX0JV43 462613AK6 8163000.00000000 PA USD 8200835.10000000 0.017724515129 Long DBT CORP US N 2 2020-07-15 Fixed 0.03450000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AWAE5 1004213.97160000 PA USD 1011655.60000000 0.002186497444 Long ABS-CBDO USGSE US N 2 2042-06-15 Fixed 0.01750000 N N N N N N MORGAN STANLEY CAP I TR 2016-UBS12 N/A 61691EAZ8 2000000.00000000 PA USD 2183562.80000000 0.004719347653 Long ABS-MBS CORP US N 2 2049-12-15 Fixed 0.03337000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SEJ2 791343.37830000 PA USD 842681.86000000 0.001821293465 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.04000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AJ9 4840000.00000000 PA USD 5820190.12000000 0.012579212553 Long DBT CORP US N 2 2038-08-15 Fixed 0.04800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GM29 2038772.60010000 PA USD 2186637.03000000 0.004725992005 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VCC6 610270.50950000 PA USD 677707.41000000 0.001464733176 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.05000000 N N N N N N CONSUMER LENDING RECEIVABLES TRUST 2019-A CLRT 2019-A N/A 21053QAA2 958422.99300000 PA USD 967916.36000000 0.002091963557 Long ABS-CBDO CORP US N 2 2026-04-15 Fixed 0.03520000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAU0 120000.00000000 PA USD 130464.00000000 0.000281972642 Long DBT CORP US N 2 2029-11-15 Fixed 0.05375000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AA2T1 1334373.19860000 PA USD 1343290.55000000 0.002903262093 Long ABS-CBDO USGSE US N 2 2042-06-25 Fixed 0.01750000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 11700000.00000000 NC USD 288982.28000000 0.000624579171 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2030-02-28 0.00000000 USD 0.00000000 USD 11700000.00000000 USD 1.00000000 1.40000000 USD 2025-02-26 XXXX -40665.22000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMW74 6311650.73400000 PA USD 6501479.94000000 0.014051688414 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RJD5 2433000.00000000 PA USD 3284096.61000000 0.007097938117 Long DBT CORP US N 2 2040-03-15 Fixed 0.06200000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JPXP2 20998.01380000 PA USD 22754.34000000 0.000049179094 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412QPP8 403995.53730000 PA USD 477381.81000000 0.001031768229 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 0.06000000 N N N N N N JP MORGAN RESECURITIZATION TR SER 2012-2 N/A 46637JCC4 198406.63470000 PA USD 197790.40000000 0.000427485602 Long ABS-CBDO CORP US N 2 2036-06-21 Variable 0.01863758 N N N N N N GENERAL ELECTRIC CAPITAL CORP P0H32NFVTA51I1N8SJ31 36962G7K4 920000.00000000 PA USD 971756.51000000 0.002100263296 Long DBT CORP US N 2 2024-05-15 Fixed 0.03450000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36182DV93 685988.99100000 PA USD 729635.11000000 0.001576964832 Long ABS-MBS USGA US N 2 2043-12-20 Fixed 0.04000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAQ2 2980000.00000000 PA USD 3214603.84000000 0.006947742967 Long DBT CORP US N 2 2025-05-14 Fixed 0.03600000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SQY6 1211612.41450000 PA USD 1307717.39000000 0.002826377604 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A1CD1 1394245.37750000 PA USD 1545079.44000000 0.003339389656 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RCQ3 41715000.00000000 PA USD 49183920.58000000 0.106301508787 Long DBT CORP US N 2 2046-05-15 Fixed 0.04750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312936EZ6 485979.19870000 PA USD 532030.98000000 0.001149881815 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04000000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AK0 35000.00000000 PA USD 35700.00000000 0.000077158628 Long DBT CORP US N 2 2026-08-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176DKR3 112596.78200000 PA USD 123990.16000000 0.000267980692 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJY61 2929309.79230000 PA USD 3050732.61000000 0.006593567074 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 0.03000000 N N N N N N TOWD PT MTG TR 2018-6 N/A 89176LAA2 5637551.92630000 PA USD 5906823.96000000 0.012766454802 Long ABS-CBDO CORP US N 2 2058-03-25 Fixed 0.03750000 N N N N N N HCP INC PZ9HF5U52KPF0MH0QN75 40414LAQ2 776000.00000000 PA USD 837166.60000000 0.001809373299 Long DBT CORP US N 2 2026-07-15 Fixed 0.03250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TJY2 317806.08860000 PA USD 336238.87000000 0.000726715129 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LPX7 825132.21120000 PA USD 881265.87000000 0.001904685322 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8KM6 19705.40600000 PA USD 21226.57000000 0.000045877115 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LP42 279547.14310000 PA USD 303381.44000000 0.000655700164 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N NEW YORK and PRESBYTERIAN HOSP 19EOSPKL8HML7MY3UE63 649322AA2 550000.00000000 PA USD 688603.69000000 0.001488283372 Long DBT CORP US N 2 2045-08-01 Fixed 0.04024000 N N N N N N BX TRUST 2019 N/A 05608BAL4 3099000.00000000 PA USD 3100949.89000000 0.006702101989 Long ABS-MBS CORP US N 2 2034-04-15 Variable 0.03558500 N N N N N N US TREASURY C0UPON STRIPS 254900HROIFWPRGM1V77 912834EP9 14380000.00000000 PA USD 10477618.30000000 0.022645340604 Long DBT UST US N 2 2039-08-15 Fixed 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HFYZ6 64027.18000000 PA USD 68949.77000000 0.000149021560 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N ROYAL BANK OF SCOTLAND GRP PLC (UNGTD) 2138005O9XJIJN4JPN90 780099CJ4 200000.00000000 PA USD 201876.00000000 0.000436315835 Long EP CORP GB N 2 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TAL9 2895707.25000000 PA USD 3067278.19000000 0.006629327138 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 0.04000000 N N N N N N CHUBB INA HOLDINGS INC CZCBJZWDMLTHWJDXU843 00440EAS6 1615000.00000000 PA USD 1744439.75000000 0.003770268315 Long DBT CORP US N 2 2025-03-15 Fixed 0.03150000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WEQM7 17359.81300000 PA USD 18562.50000000 0.000040119244 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DG2 1903000.00000000 PA USD 1996116.70000000 0.004314219249 Long DBT CORP US N 2 2029-08-15 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410KJ47 159786.05770000 PA USD 178515.48000000 0.000385826600 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 0.05000000 N N N N N N PEMEX PROJ FDG MASTER TR N/A 706451BG5 800000.00000000 PA USD 800400.00000000 0.001729909422 Long DBT CORP MX N 2 2035-06-15 Fixed 0.06625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M65A4 56507.52650000 PA USD 61128.01000000 0.000132116342 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.04000000 N N N N N N MOODYS CORP 549300GCEDD8YCF5WU84 615369AC9 2720000.00000000 PA USD 3027395.66000000 0.006543128781 Long DBT CORP US N 2 2024-02-15 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MAD70 161329.07540000 PA USD 170509.31000000 0.000368522816 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5L34 178678.96760000 PA USD 195864.56000000 0.000423323273 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N DRYDEN 72 CLO LTD N/A 26252NAC3 7149000.00000000 PA USD 7146140.40000000 0.015444997014 Long ABS-CBDO CORP KY N 2 2032-05-15 Variable 0.03021750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCEA0 13504638.12600000 PA USD 14580894.31000000 0.031513776176 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.04000000 N N N N N N BNSF FDG TR I N/A 05567SAA0 755000.00000000 PA USD 834275.00000000 0.001803123667 Long DBT CORP US N 2 2055-12-15 Variable 0.06613000 N N N N N N PERRIGO FINANCE PLC 549300E86RB6YCTMRM83 714295AB8 400000.00000000 PA USD 409625.60000000 0.000885326318 Long DBT CORP IE N 2 2021-12-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ATUZ1 81550.80270000 PA USD 90092.91000000 0.000194718358 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04500000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A -149.00000000 NC USD -203730.25000000 -0.00044032343 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UNDERLYING TREAS 5 YEAR NOTE GENERIC IV FOR FUTURES TRADING 2020-06-30 -18086019.75000000 USD -203730.25000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 312933NW0 376845.59100000 PA USD 417801.70000000 0.000902997373 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EY3V1 2080930.60160000 PA USD 2203218.57000000 0.004761829789 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 0.03500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAT1 800000.00000000 PA USD 824142.38000000 0.001781223973 Long DBT CORP US N 2 2023-09-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M8UV4 740722.47470000 PA USD 833285.53000000 0.001800985119 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335CAG9 507748.61500000 PA USD 553708.75000000 0.001196734112 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.04000000 N N N N N N WALGREENS BOOTS ALLIANCE INC 549300RPTUOIXG4LIH86 931427AF5 2632000.00000000 PA USD 2700163.30000000 0.005835879478 Long DBT CORP US N 2 2021-11-18 Fixed 0.03300000 N N N N N N ISRAEL, STATE OF 213800T8ZHTFZIBYPE21 46513EGV8 180000.00000000 PA USD 209588.72000000 0.000452985384 Long DBT NUSS IL N 2 2023-12-04 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E86H6 16924.13430000 PA USD 18318.72000000 0.000039592361 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LKN4 709249.86000000 PA USD 765479.12000000 0.001654434710 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N PUBLIC SERVICE ELEC and GAS CO 549300RUHPVD434XUK18 74456QBA3 125000.00000000 PA USD 145569.54000000 0.000314620338 Long DBT CORP US N 2 2042-09-01 Fixed 0.03650000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJUX6 187374.50000000 PA USD 198833.37000000 0.000429739780 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENNE5 1015682.27240000 PA USD 1138559.31000000 0.002460775210 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417AJM2 9315.98470000 PA USD 9988.73000000 0.000021588703 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MFY28 2753273.60700000 PA USD 2884932.95000000 0.006235223254 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.03000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468G7 6039000.00000000 PA USD 7013356.54000000 0.015158010444 Long DBT CORP US N 2 2030-01-23 Variable 0.04431000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WBT39 492135.51930000 PA USD 518995.54000000 0.001121708239 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.03500000 N N N N N N MYLAN NV 549300A0CD4KNFGIIS89 62854AAM6 5494000.00000000 PA USD 5581503.60000000 0.012063337915 Long DBT CORP NL N 2 2021-06-15 Fixed 0.03150000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419K5S0 24762.92670000 PA USD 27395.43000000 0.000059209910 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AM0 645000.00000000 PA USD 704472.94000000 0.001522581679 Long DBT CORP US N 2 2027-02-09 Fixed 0.04100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EZA2 2249881.62110000 PA USD 2366659.03000000 0.005115074656 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BSH0 5994919.59600000 PA USD 6419614.09000000 0.013874751251 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LQ2 50590000.00000000 PA USD 52069009.27000000 0.112537068643 Long DBT CORP US N 2 2022-10-27 Fixed 0.02700000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2X98 4181413.20650000 PA USD 4473589.87000000 0.009668797185 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 0.04000000 N N N N N N BAYVIEW COML ASSET TR 2007 3 N/A 07325YAF5 54933.14650000 PA USD 51467.93000000 0.000111237952 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.02126750 N N N N N N ABBOTT LABORATORIES HQD377W2YR662HK5JX27 002824BF6 937000.00000000 PA USD 1056865.11000000 0.002284209035 Long DBT CORP US N 2 2026-11-30 Fixed 0.03750000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AJAX2 68474.65500000 PA USD 1216.16000000 0.000002628494 Long ABS-CBDO USGSE US N 2 2021-11-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178GR97 128446.77250000 PA USD 134188.19000000 0.000290021756 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 0.03000000 N N N N N N MORGAN STANLEY CAP CITIGROUP TR 2016-SNR N/A 61691CAG4 1796900.00000000 PA USD 1830496.82000000 0.003956263988 Long ABS-MBS CORP US N 2 2034-11-15 Fixed 0.04181000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -17000000.00000000 NC USD -827132.62000000 -0.00178768679 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-08-05 0.00000000 USD 0.00000000 USD -17000000.00000000 USD 1.00000000 1.97000000 USD 2024-08-01 XXXX -354532.62000000 N N N FIRSTKEY MTG TR 2015-1 N/A 33767CAP2 1097056.09120000 PA USD 1109274.55000000 0.002397481878 Long ABS-CBDO CORP US N 2 2045-03-25 Variable 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WGVW4 212755.15470000 PA USD 226696.98000000 0.000489961571 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03500000 N N N N N N SALT RIVER PROJ AZ AGRIC and PWR N/A 79575DE63 750000.00000000 PA USD 1054800.00000000 0.002279745700 Long DBT MUN US N 2 2041-01-01 Fixed 0.04839000 N N N N N N CAPITAL ONE FINANCIAL CORP ZUE8T73ROZOF6FLBAR73 14040HBW4 7795000.00000000 PA USD 8505994.81000000 0.018384058679 Long DBT CORP US N 2 2028-01-31 Fixed 0.03800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FNS3 704818.11160000 PA USD 746686.99000000 0.001613819164 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307RAA3 1809393.54800000 PA USD 1875687.01000000 0.004053933822 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YGEW8 688281.82150000 PA USD 719489.41000000 0.001555036868 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.03000000 N N N N N N ARAMARK SERVICES INC 42YMHYH0XMHJEXDUB065 038522AP3 300000.00000000 PA USD 309750.00000000 0.000669464572 Long DBT CORP US N 2 2025-04-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FLQ7 528209.79560000 PA USD 587474.78000000 0.001269712840 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 0.05000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2019-BROOK N/A 46591JAA4 6300000.00000000 PA USD 6301950.48000000 0.013620444170 Long ABS-MBS CORP US N 2 2029-09-15 Variable 0.02658500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EL98 42033.61730000 PA USD 45701.71000000 0.000098775385 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N LONDON CLEARING HOUSE N/A N/A -1580000.00000000 NC USD -34680.89000000 -0.00007495601 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2025-03-18 0.00000000 USD 0.00000000 USD -1607270.80000000 USD -34680.89000000 N N N SOUTHWEST AIRLINES CO UDTZ87G0STFETI6HGH41 844741BF4 735000.00000000 PA USD 738357.84000000 0.001595817321 Long DBT CORP US N 2 2030-02-10 Fixed 0.02625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EZ61 4244085.47040000 PA USD 4614227.87000000 0.009972758956 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCW0 80620000.00000000 PA USD 84167280.00000000 0.181911257765 Long DBT CORP MX N 2 2050-01-23 Fixed 0.07690000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GDN24 116241.64730000 PA USD 129532.51000000 0.000279959407 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGA61 580352.60550000 PA USD 614463.53000000 0.001328043790 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.03500000 N N N N N N BBCMS MTG TR 2019-C4 N/A 07335CAE4 4000000.00000000 PA USD 4211544.80000000 0.009102437570 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 0.02661000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377WN83 183022.34800000 PA USD 33349.31000000 0.000072078067 Long ABS-CBDO USGA US N 2 2041-07-20 Variable 0.04453000 N N N N N N PRESIDENT and FELLOWS HARVARD CO LLEGE 6S3X7J22E861RNTJSA74 740816AN3 190000.00000000 PA USD 228404.11000000 0.000493651201 Long DBT CORP US N 2 2056-07-15 Fixed 0.03300000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAK1 6861000.00000000 PA USD 7465959.96000000 0.016136224988 Long DBT CORP IE N 2 2024-01-16 Fixed 0.04875000 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38148YAC2 12744000.00000000 PA USD 12996323.04000000 0.028089032585 Long DBT CORP US N 2 2022-10-31 Variable 0.02876000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EJ83 49206.79780000 PA USD 54437.89000000 0.000117656945 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N TIME WARNER CABLE INC B1WXCWLJVJXMWJX6O298 88732JAJ7 8522000.00000000 PA USD 11101835.91000000 0.023994465947 Long DBT CORP US N 2 2037-05-01 Fixed 0.06550000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945ZD3 1224908.22640000 PA USD 1336166.64000000 0.002887865142 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAYJ0 485399.92420000 PA USD 512716.39000000 0.001108137073 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N ARAMARK SERVICES INC 42YMHYH0XMHJEXDUB065 038522AN8 100000.00000000 PA USD 103500.00000000 0.000223695183 Long DBT CORP US N 2 2026-06-01 Fixed 0.04750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3131Y9SU8 632329.68600000 PA USD 656651.43000000 0.001419224757 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 0.03500000 N N N N N N NATIONSTAR HECM LOAN TRUST N/A 63863BAA7 3392625.43200000 PA USD 3387980.93000000 0.007322463934 Long ABS-CBDO CORP US N 2 2028-11-25 Fixed 0.03554500 N N N N N N EMERA US FINANCE LP N/A 29103DAJ5 2020000.00000000 PA USD 2193308.22000000 0.004740410489 Long DBT CORP US N 2 2026-06-15 Fixed 0.03550000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WDFF6 41064.10560000 PA USD 43343.72000000 0.000093679047 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RQ28 330317.94480000 PA USD 350516.13000000 0.000757572658 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 0.03500000 N N N N N N LEVEL 3 FINANCING INC N/A 527298BF9 900000.00000000 PA USD 902250.00000000 0.001950038451 Long DBT CORP US N 2 2023-05-01 Fixed 0.05125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6FQ2 33014.94130000 PA USD 35838.30000000 0.000077457537 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.04000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CX6 20029000.00000000 PA USD 22413515.54000000 0.048442468413 Long DBT CORP US N 2 2028-03-25 Fixed 0.04300000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAS9 2855000.00000000 PA USD 3198886.03000000 0.006913771968 Long DBT CORP US N 2 2029-02-15 Fixed 0.04800000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAN1 3503000.00000000 PA USD 3722638.10000000 0.008045760525 Long DBT CORP US N 2 2028-08-09 Variable 0.04682000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENA41 1516009.36790000 PA USD 1594696.01000000 0.003446626253 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.03000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AP4 1872000.00000000 PA USD 2012403.73000000 0.004349420507 Long DBT CORP GB N 2 2024-03-14 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EXER0 4267033.96100000 PA USD 4659100.99000000 0.010069743505 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.04000000 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPCE1 180000.00000000 PA USD 182025.00000000 0.000393411747 Long DBT CORP US N 2 2030-08-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TCX1 14888636.33310000 PA USD 15673419.33000000 0.033875057193 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31339STN5 5881075.50300000 PA USD 6145893.28000000 0.013283156787 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307RFS9 42259.62400000 PA USD 44465.33000000 0.000096103190 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128285N6 476344000.00000000 PA USD 526602012.25000000 1.138148154369 Long DBT UST US N 2 2025-11-30 Fixed 0.02875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EMR9 492082.44780000 PA USD 521160.24000000 0.001126386818 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJPB0 379643.07600000 PA USD 424237.17000000 0.000916906393 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.05000000 N N N N N N NUTRIEN LTD 5493002QQ7GD21OWF963 67077MAS7 180000.00000000 PA USD 225900.48000000 0.000488240091 Long DBT CORP CA N 2 2045-01-15 Fixed 0.05250000 N N N N N N BANK 2019-BN24 N/A 06540VBB0 2500000.00000000 PA USD 2719428.50000000 0.005877517472 Long ABS-MBS CORP US N 2 2062-11-15 Fixed 0.02960000 N N N N N N SUNTRUST BANK IYDOJBGJWY9T8XKCSX06 86787EAN7 645000.00000000 PA USD 669893.52000000 0.001447844967 Long DBT CORP US N 2 2023-05-01 Fixed 0.02750000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FX84 4277770.48020000 PA USD 4604752.99000000 0.009952280840 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MSX9 709386.88250000 PA USD 754316.04000000 0.001630307877 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 0.03500000 N N N N N N WILLIAMS PARTNERS L P NEW WUURD1P1N0874ONXXO03 96949LAD7 1635000.00000000 PA USD 1714963.17000000 0.003706560403 Long DBT CORP US N 2 2027-06-15 Fixed 0.03750000 N N N N N N CHEVRON CORP NEW N/A 166764AB6 840000.00000000 PA USD 860828.25000000 0.001860513369 Long DBT CORP US N 2 2022-12-05 Fixed 0.02355000 N N N N N N QUICKEN LOANS INC 549300FGXN1K3HLB1R50 74840LAB8 600000.00000000 PA USD 620820.00000000 0.001341782068 Long DBT CORP US N 2 2028-01-15 Fixed 0.05250000 N N N N N N CSX CORP 549300JVQR4N1MMP3Q88 126408HB2 1700000.00000000 PA USD 1818797.82000000 0.003930978868 Long DBT CORP US N 2 2024-08-01 Fixed 0.03400000 N N N N N N SYNCHRONY BANK 549300UATVPGSLE43Z27 87166FAA1 5477000.00000000 PA USD 5631792.01000000 0.012172026564 Long DBT CORP US N 2 2022-06-15 Fixed 0.03000000 N N N N N N NEW YORK and PRESBYTERIAN HOSP 19EOSPKL8HML7MY3UE63 649322AD6 540000.00000000 PA USD 674479.33000000 0.001457756306 Long DBT CORP US N 2 2056-08-01 Fixed 0.04063000 N N N N N N HEWLETT PACKARD ENTERPRISE CO 549300BX44RGX6ANDV88 42824CAN9 5700000.00000000 PA USD 6075656.90000000 0.013131354469 Long DBT CORP US N 2 2022-10-15 Variable 0.04400000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 28800000.00000000 NC USD 472236.77000000 0.001020648223 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-10-28 0.00000000 USD 0.00000000 USD 28800000.00000000 USD 1.00000000 1.78500000 USD 2024-10-24 XXXX -327683.23000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194CS46 6283570.66700000 PA USD 6701178.03000000 0.014483297119 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A94P6 308861.06100000 PA USD 341599.04000000 0.000738300097 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G0V34 665000.00000000 PA USD 703796.06000000 0.001521118735 Long DBT USGSE US N 2 2024-02-05 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LKA3 146549.23950000 PA USD 161561.36000000 0.000349183556 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F96S9 551596.58480000 PA USD 596273.59000000 0.001288729762 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335AJQ2 1668411.12700000 PA USD 1801203.97000000 0.003892953172 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.03500000 N N N N N N JOHNSON and JOHNSON 549300G0CFPGEF6X2043 478160BY9 45000.00000000 PA USD 47329.35000000 0.000102293214 Long DBT CORP US N 2 2026-03-01 Fixed 0.02450000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J23P6 1349819.24400000 PA USD 1411236.56000000 0.003050114220 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410F5B7 260438.60620000 PA USD 302608.77000000 0.000654030187 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 0.06000000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HHZ6 1718000.00000000 PA USD 1781341.37000000 0.003850024013 Long DBT CORP US N 2 2021-05-10 Fixed 0.04625000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AK6 4836000.00000000 PA USD 6000061.71000000 0.012967970122 Long DBT CORP US N 2 2048-12-15 Fixed 0.04900000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QJT9 1217862.84030000 PA USD 1307908.70000000 0.002826791083 Long ABS-MBS USGA US N 2 2044-07-20 Fixed 0.04000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAH2 277000.00000000 PA USD 210630.80000000 0.000455237638 Long DBT CORP US N 2 2025-02-01 Fixed 0.06125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DGL0 1019572.88500000 PA USD 1050826.67000000 0.002271158117 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402RFV6 118345.78260000 PA USD 132491.31000000 0.000286354279 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QL6S7 321881.71720000 PA USD 351030.17000000 0.000758683656 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FM78 35857.15970000 PA USD 38665.23000000 0.000083567398 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A7ZY4 226319.64740000 PA USD 245615.75000000 0.000530850824 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207FBX8 645887.23640000 PA USD 700350.32000000 0.001513671436 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04000000 N N N N N N CONOCO INC N/A 208251AE8 425000.00000000 PA USD 579584.98000000 0.001252660567 Long DBT CORP US N 2 2029-04-15 Fixed 0.06950000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945HN1 71147.20120000 PA USD 79282.04000000 0.000171352758 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARDQ1 114834.08920000 PA USD 127913.88000000 0.000276461052 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.05000000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAQ4 5580000.00000000 PA USD 5740704.00000000 0.012407418715 Long DBT CORP US N 2 2027-12-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG5R1 2070192.39940000 PA USD 2159529.07000000 0.004667403405 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FMUL8 137597.98580000 PA USD 149731.83000000 0.000323616321 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BNW2 7189542.41000000 PA USD 7676310.38000000 0.016590856639 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N NAKILAT INC 2549006RMTDJWLLWF072 62983PAA3 666000.00000000 PA USD 808149.38000000 0.001746658204 Long DBT CORP MH N 2 2033-12-31 Fixed 0.06067000 N N N N N N ALTICE FING SA 549300DIYGW8HVDF7Q17 02154CAF0 200000.00000000 PA USD 193980.00000000 0.000419250162 Long DBT CORP LU N 2 2028-01-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312940EJ4 40052.11980000 PA USD 44919.48000000 0.000097084747 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 0.05000000 N N N N N N CAPITAL ONE NATL ASSN MCLEAN VA 207ALC1P1YM0OVDV0K75 14042E3Y4 5551000.00000000 PA USD 5654422.85000000 0.012220938737 Long DBT CORP US N 2 2021-07-23 Fixed 0.02950000 N N N N N N RETL 2019-RVP N/A 74952PAJ6 8731000.00000000 PA USD 8750241.38000000 0.018911950287 Long ABS-MBS CORP US N 2 2036-03-15 Variable 0.03758500 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SNV5 347697.37460000 PA USD 367437.09000000 0.000794144033 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LT97 26370.06690000 PA USD 29071.35000000 0.000062832086 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MAL55 1137441.15070000 PA USD 1183867.74000000 0.002558700597 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X3BP2 2003979.15500000 PA USD 2110824.71000000 0.004562138373 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N AECOM 0EEB8GF0W0NPCIHZX097 00774CAB3 600000.00000000 PA USD 619962.00000000 0.001339927667 Long DBT CORP US N 2 2027-03-15 Fixed 0.05125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MBXL5 95699.20090000 PA USD 102639.90000000 0.000221836244 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38379WN73 818997.49100000 PA USD 856017.24000000 0.001850115303 Long ABS-CBDO USGA US N 2 2046-02-20 Fixed 0.03000000 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25 N/A 61765TAG8 10889144.32770000 PA USD 504503.86000000 0.001090387282 Long ABS-MBS CORP US N 2 2048-10-15 Variable 0.01092459 N N N N N N NOBLE ENERGY INC 02VFQXG2D1LR5ZH3K186 655044AE5 360000.00000000 PA USD 411057.87000000 0.000888421892 Long DBT CORP US N 2 2041-03-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417DC43 258846.82000000 PA USD 272120.17000000 0.000588134990 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CX1 369000.00000000 PA USD 354291.35000000 0.000765732064 Long DBT CORP US N 2 2039-08-15 Fixed 0.04300000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BH4 820000.00000000 PA USD 1064432.16000000 0.002300563746 Long DBT CORP US N 2 2043-06-01 Fixed 0.04750000 N N N N N N CHARLES RIVER LABS INTL INC 549300BSQ0R4UZ5KX287 159864AC1 100000.00000000 PA USD 105142.50000000 0.000227245129 Long DBT CORP US N 2 2026-04-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9RH7 390639.44910000 PA USD 416360.09000000 0.000899881612 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N CSMC 2018-SITE N/A 12690CAJ2 2066000.00000000 PA USD 2182178.41000000 0.004716355562 Long ABS-MBS CORP US N 2 2036-04-15 Variable 0.04782040 N N N N N N MARATHON PETROLEUM CORP 3BNYRYQHD39K4LCKQF12 56585AAD4 2870000.00000000 PA USD 2951592.44000000 0.006379294818 Long DBT CORP US N 2 2021-03-01 Fixed 0.05125000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UQ47 1647199.85000000 PA USD 1708801.34000000 0.003693242802 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 0.03500000 N N N N N N ROYAL BANK OF SCOTLAND GRP PLC (UNGTD) 2138005O9XJIJN4JPN90 780099CH8 25198000.00000000 PA USD 27585319.75000000 0.059620320528 Long DBT CORP GB N 2 2024-05-28 Fixed 0.05125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HLFD0 921195.91500000 PA USD 983864.78000000 0.002126432974 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N BOSTON PPTY LTD PARTNERSHIP BVHHEFJI6SHNOKQT2572 10112RAU8 1175000.00000000 PA USD 1248343.70000000 0.002698052884 Long DBT CORP US N 2 2023-02-01 Fixed 0.03850000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J8DB6 261046.93200000 PA USD 277777.09000000 0.000600361325 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.03500000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CD8 1770000.00000000 PA USD 2276870.46000000 0.004921014070 Long DBT CORP US N 2 2049-10-26 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJLL0 31607.82210000 PA USD 36797.04000000 0.000079529667 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.06000000 N N N N N N BBCMS TR 2015-STP N/A 05547GAA1 3445144.65370000 PA USD 3461155.62000000 0.007480616840 Long ABS-MBS CORP US N 2 2028-09-10 Fixed 0.03322800 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MDZH8 305369.61030000 PA USD 336306.09000000 0.000726860412 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04500000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAP8 11000000.00000000 PA USD 12825679.46000000 0.027720219570 Long DBT CORP US N 2 2029-03-19 Fixed 0.05150000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9BG4 853178.32350000 PA USD 897461.52000000 0.001939689079 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E7ZV9 181634.31550000 PA USD 197200.96000000 0.000426211642 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EYLA7 257199.56540000 PA USD 276411.16000000 0.000597409133 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQ3U5 59593.30420000 PA USD 65697.89000000 0.000141993252 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N WESTERN GAS PARTNERS LP L6D8A6MLSY454J2JXJ60 958254AE4 1126000.00000000 PA USD 1142701.78000000 0.002469728355 Long DBT CORP US N 2 2025-06-01 Fixed 0.03950000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FRD0 122867.68000000 PA USD 139706.77000000 0.000301949097 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 0.05500000 N N N N N N MADISON PK FDG X LTD/LLC N/A 55818HBE7 3469000.00000000 PA USD 3467265.50000000 0.007493822161 Long ABS-CBDO CORP KY N 2 2029-01-20 Variable 0.03039130 N N N N N N MORGAN STANLEY CAP I TR 2019-MEAD N/A 61771LAG7 1495000.00000000 PA USD 1532127.58000000 0.003311396722 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 0.03177090 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M8C28 60130.69070000 PA USD 71066.60000000 0.000153596677 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMAG7 11750.29690000 PA USD 12953.97000000 0.000027997494 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761J3R8 37616000.00000000 PA USD 40088890.89000000 0.086644365414 Long DBT CORP US N 2 2026-07-27 Fixed 0.03125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HC83 806817.15300000 PA USD 892336.38000000 0.001928612083 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN N/A 87612BAP7 600000.00000000 PA USD 594300.00000000 0.001284464229 Long DBT CORP US N 2 2023-11-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CFD1 6963029.95120000 PA USD 7248279.53000000 0.015665750941 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03000000 N N N N N N WASTE MANAGEMENT INC N/A 941063AQ2 345000.00000000 PA USD 352226.36000000 0.000761268989 Long DBT CORP US N 2 2021-03-01 Fixed 0.04600000 N N N N N N MOOG INC 549300WM2I4U7OBAHG07 615394AM5 30000.00000000 PA USD 30525.00000000 0.000065973869 Long DBT CORP US N 2 2027-12-15 Fixed 0.04250000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137B9ED3 137294.86200000 PA USD 10659.86000000 0.000023039220 Long ABS-CBDO USGSE US N 2 2034-03-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJLJ5 8750.64600000 PA USD 10407.92000000 0.000022494701 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ASD2 10152.09060000 PA USD 11022.16000000 0.000023822261 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVQG5 360603.71850000 PA USD 385630.05000000 0.000833464588 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.03500000 N N N N N N BANK NOVA SCOTIA BC N/A 064159KJ4 12927000.00000000 PA USD 12716936.25000000 0.027485192204 Long EP CORP CA N 2 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176XQX0 412648.96650000 PA USD 440967.04000000 0.000953064764 Long ABS-MBS USGA US N 2 2042-05-20 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MVR8 3057960.30310000 PA USD 3212671.69000000 0.006943567000 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31334W3R0 262041.71700000 PA USD 272694.03000000 0.000589375277 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828U24 192301000.00000000 PA USD 204252207.16000000 0.441451546323 Long DBT UST US N 2 2026-11-15 Fixed 0.02000000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 48128BAG6 490000.00000000 PA USD 492450.00000000 0.001064335201 Long EP CORP US N 2 N N N NEXTERA ENERGY OPERATING PARTNERS LP 549300KJEC5IUVJWR786 65342QAC6 300000.00000000 PA USD 302010.00000000 0.000652736062 Long DBT CORP US N 2 2024-09-15 Fixed 0.04250000 N N N N N N GS MORTGAGE SECURITIES TRUST 54930070360RBP384M53 36250VAF9 5885017.31820000 PA USD 336293.43000000 0.000726833049 Long ABS-MBS CORP US N 2 2048-10-10 Variable 0.01268206 N N N N N N REGENCY ENERGY PARTNERS LP / REGENCY ENERGY FIN CORP N/A 75886AAL2 2310000.00000000 PA USD 2466223.66000000 0.005330264301 Long DBT CORP US N 2 2022-03-01 Fixed 0.05875000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RGQ9 3709000.00000000 PA USD 4248846.40000000 0.009183057747 Long DBT CORP US N 2 2030-02-15 Fixed 0.04300000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XW7M7 23799.20600000 PA USD 25648.52000000 0.000055434303 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EJC6 616175.66100000 PA USD 652586.28000000 0.001410438723 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KFF7 26800.66330000 PA USD 29139.44000000 0.000062979250 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBRH3 4499586.43100000 PA USD 4797193.58000000 0.010368203865 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.03500000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RCG5 515000.00000000 PA USD 604517.96000000 0.001306548369 Long DBT CORP US N 2 2044-06-15 Fixed 0.04800000 N N N N N N GEMS MENASA KY LTD/GEMS N/A 36166LAA5 320000.00000000 PA USD 329000.00000000 0.000711069715 Long DBT CORP KY N 2 2026-07-31 Fixed 0.07125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9U82 7895088.45300000 PA USD 8589329.63000000 0.018564170736 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9H94 547442.83280000 PA USD 600850.42000000 0.001298621692 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31397QAV0 992644.84600000 PA USD 1128282.52000000 0.002438563920 Long ABS-CBDO USGSE US N 2 2041-01-25 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410LNU2 44597.70630000 PA USD 50533.23000000 0.000109217779 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.05000000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A -8000000.00000000 NC USD -318282.72000000 -0.00068790639 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Put Written JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2030-01-29 0.00000000 USD 0.00000000 USD -8000000.00000000 USD 1.00000000 1.68400000 USD 2025-01-27 XXXX -89162.72000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J8DV9 70541.66570000 PA USD 74766.30000000 0.000161592862 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N SBA COMMUNICATIONS CORP 5299001HX8ZN8Y8QIT49 78388JAV8 200000.00000000 PA USD 205376.00000000 0.000443880406 Long DBT CORP US N 2 2024-09-01 Fixed 0.04875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QVYJ4 200114.15480000 PA USD 215789.10000000 0.000466386303 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQTN2 1518256.48200000 PA USD 1603489.12000000 0.003465630855 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QXBE6 78891.71070000 PA USD 84775.45000000 0.000183225699 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N COMCAST CORP NEW 51M0QTTNCGUN7KFCFZ59 20030NCJ8 1317000.00000000 PA USD 1536649.01000000 0.003321168916 Long DBT CORP US N 2 2038-03-01 Fixed 0.03900000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9A51 16538.06650000 PA USD 18466.32000000 0.000039911370 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.05000000 N N N N N N HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP N/A 432891AH2 400000.00000000 PA USD 401500.00000000 0.000867764409 Long DBT CORP US N 2 2025-04-01 Fixed 0.04625000 N N N N N N CITIZENS FINANCIAL GRP INC 2138004JDDA4ZQUPFW65 174610AK1 9918000.00000000 PA USD 11071043.77000000 0.023927914707 Long DBT CORP US N 2 2025-12-03 Fixed 0.04300000 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAL1 1050000.00000000 PA USD 1154845.36000000 0.002495974349 Long DBT CORP US N 2 2027-04-01 Fixed 0.03850000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QNLE7 102319.24130000 PA USD 109631.73000000 0.000236947729 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N MORGAN STANLEY CAP CITIGROUP TR 2016-SNR N/A 61691CAJ8 1260550.00000000 PA USD 1293915.62000000 0.002796547754 Long ABS-MBS CORP US N 2 2034-11-15 Fixed 0.05205000 N N N N N N CGDB COML MTG TR 2017-BIO N/A 125284AC3 1400000.00000000 PA USD 1397363.66000000 0.003020130636 Long ABS-MBS CORP US N 2 2036-11-15 Variable 0.02908500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132DV4P7 27494999.18620000 PA USD 28337825.39000000 0.061246715576 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 0.03000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WAW3 10000000.00000000 PA USD 358383.00000000 0.000774575372 Long ABS-MBS CORP US N 2 2033-07-05 Variable 0.01116000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVAV9 2452983.68100000 PA USD 2537247.60000000 0.005483768777 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36193TDY0 105879.75190000 PA USD 113710.64000000 0.000245763502 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394FGT6 294005.04320000 PA USD 339841.96000000 0.000734502509 Long ABS-CBDO USGSE US N 2 2035-09-25 Fixed 0.05900000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180C5Q8 2300578.09220000 PA USD 2450599.25000000 0.005296495168 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FL2D9 125005.70950000 PA USD 135716.61000000 0.000293325140 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396W3J3 1100706.62000000 PA USD 241249.02000000 0.000521412984 Long ABS-CBDO USGSE US N 2 2037-08-25 Variable 0.04918250 N N N N N N AASET 2018-1 TR N/A 000367AA0 4382223.42350000 PA USD 4435651.49000000 0.009586800732 Long ABS-CBDO CORP US N 2 2038-01-16 Fixed 0.03844000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RHA3 10160000.00000000 PA USD 12604985.20000000 0.027243231714 Long DBT CORP US N 2 2046-11-15 Fixed 0.05150000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X2E42 375878.78390000 PA USD 407126.64000000 0.000879925300 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413ALS0 3756.63640000 PA USD 4470.98000000 0.000009663156 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 0.06000000 N N N N N N TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12 N/A 95002EBA4 5800000.00000000 PA USD 6043098.30000000 0.013060985368 Long ABS-MBS CORP US N 2 2053-02-15 Fixed 0.02474000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XXHY5 657813.16330000 PA USD 711265.61000000 0.001537262719 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 0.04000000 N N N N N N SUNTRUST BANK IYDOJBGJWY9T8XKCSX06 86787GAJ1 965000.00000000 PA USD 1042817.13000000 0.002253847050 Long DBT CORP US N 2 2026-05-15 Fixed 0.03300000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QNGS2 1560528.14360000 PA USD 1672055.03000000 0.003613822777 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N WELLTOWER INC T6IZ0MBEG5ACZDTR7D06 95040QAK0 340000.00000000 PA USD 353103.48000000 0.000763164713 Long DBT CORP US N 2 2027-02-15 Fixed 0.02700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A53N0 1137455.33550000 PA USD 1236183.05000000 0.002671769997 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5X81 3795918.00000000 PA USD 3921568.96000000 0.008475711011 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XKJ8 16050.54420000 PA USD 17443.68000000 0.000037701132 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A74D7 676877.74730000 PA USD 735628.71000000 0.001589918836 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ASDC3 117589.33330000 PA USD 129906.32000000 0.000280767325 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04500000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CR4 805000.00000000 PA USD 819604.41000000 0.001771416031 Long DBT CORP US N 2 2026-08-15 Fixed 0.03200000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAF0 1274000.00000000 PA USD 1335769.56000000 0.002887006931 Long DBT CORP US N 2 2021-08-27 Variable 0.04662000 N N N N N N MCDONALDS CORP UE2136O97NLB5BYP9H04 58013MEZ3 1535000.00000000 PA USD 1930958.42000000 0.004173392259 Long DBT CORP US N 2 2035-12-09 Fixed 0.04700000 N N N N N N EQUIFAX INC 5493004MCF8JDC86VS77 294429AQ8 1245000.00000000 PA USD 1288526.28000000 0.002784899740 Long DBT CORP US N 2 2024-12-01 Fixed 0.02600000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GKHC3 305791.37700000 PA USD 333470.85000000 0.000720732590 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N CENTURYLINK INC 8M3THTGWLTYZVE6BBY25 156700BB1 495000.00000000 PA USD 498712.50000000 0.001077870380 Long DBT CORP US N 2 2026-12-15 Fixed 0.05125000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TE27 92080.48900000 PA USD 97536.27000000 0.000210805737 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 0.04000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CY4 7778000.00000000 PA USD 9173043.18000000 0.019825754407 Long DBT CORP US N 2 2038-03-25 Fixed 0.04780000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J83W8 9073.46530000 PA USD 9795.64000000 0.000021171376 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E2K79 1201349.44110000 PA USD 1304308.93000000 0.002819010878 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179R4D8 1563886.65000000 PA USD 1638609.94000000 0.003541537699 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNMM8 83761.18480000 PA USD 90924.23000000 0.000196515095 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FSGQ0 170661.91410000 PA USD 185604.78000000 0.000401148747 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946QN9 317048.12700000 PA USD 350811.82000000 0.000758211735 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473PAH8 11346000.00000000 PA USD 11892372.19000000 0.025703056851 Long DBT CORP US N 2 2029-09-01 Fixed 0.02950000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31397QKY3 451841.77680000 PA USD 520448.48000000 0.001124848487 Long ABS-CBDO USGSE US N 2 2041-02-25 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AXRF2 420120.79430000 PA USD 44509.99000000 0.000096199713 Long ABS-CBDO USGSE US N 2 2033-01-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JPKP6 156314.18780000 PA USD 164503.25000000 0.000355541881 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 2600000.00000000 NC USD 21039.98000000 0.000045473837 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 0.00000000 USD 534.40000000 USD 2600000.00000000 USD 21574.38000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E9H41 1392412.47540000 PA USD 1471193.08000000 0.003179698614 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X3BQ0 7011073.68600000 PA USD 7362971.39000000 0.015913635161 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N WASTE MANAGEMENT INC DEL 549300YX8JIID70NFS41 94106LAY5 375000.00000000 PA USD 387955.91000000 0.000838491484 Long DBT CORP US N 2 2022-09-15 Fixed 0.02900000 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAD7 2474000.00000000 PA USD 3172487.09000000 0.006856715778 Long DBT CORP US N 2 2039-01-25 Fixed 0.05476000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QT2C9 88012.73980000 PA USD 94247.77000000 0.000203698282 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.03500000 N N N N N N CITIBANK CR CARD ISSUANCE TR R8AG6FXVDQAMDKCSJJ64 17305EGS8 2100000.00000000 PA USD 2453691.03000000 0.005303177451 Long ABS-CBDO CORP US N 2 2030-10-13 Fixed 0.03960000 N N N N N N SHIRE ACQ INV IRELAND DA 549300XK5HGW68R8K327 82481LAD1 2490000.00000000 PA USD 2670754.70000000 0.005772318490 Long DBT CORP IE N 2 2026-09-23 Fixed 0.03200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EH3F7 70863.88600000 PA USD 77014.66000000 0.000166452256 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKFN0 196648.35730000 PA USD 213180.64000000 0.000460748622 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N HOLOGIC INC 549300DYP6F5ZJL0LB74 436440AK7 200000.00000000 PA USD 203690.00000000 0.000440236444 Long DBT CORP US N 2 2025-10-15 Fixed 0.04375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XJJ32 567333.22370000 PA USD 613788.06000000 0.001326583893 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KG5 4465000.00000000 PA USD 4884864.71000000 0.010557688016 Long DBT CORP US N 2 2026-01-12 Fixed 0.03700000 N N N N N N CITIZENS FINANCIAL GRP INC 2138004JDDA4ZQUPFW65 75524RAA7 3115000.00000000 PA USD 3302158.26000000 0.007136974872 Long DBT CORP US N 2 2022-09-28 Fixed 0.04150000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XCSA4 8409174.18900000 PA USD 9099399.21000000 0.019666587243 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 0.04000000 N N N N N N FORD MOTOR CO 20S05OYHG0MQM4VUIC57 345370BZ2 1255000.00000000 PA USD 1312216.28000000 0.002836101082 Long DBT CORP US N 2 2029-02-01 Fixed 0.06375000 N N N N N N ENABLE MIDSTREAM PARTNERS LP 549300TLGDBYE711G509 292480AH3 1210000.00000000 PA USD 1238216.16000000 0.002676164170 Long DBT CORP US N 2 2024-05-15 Variable 0.03900000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M76E1 189364.37470000 PA USD 212377.01000000 0.000459011732 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJ3C2 433207.01000000 PA USD 467021.59000000 0.001009376622 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HMSH5 65894.02550000 PA USD 70706.26000000 0.000152817872 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4M37 1672498.04700000 PA USD 1785927.37000000 0.003859935763 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296QY29 26836.69520000 PA USD 29652.87000000 0.000064088929 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395MT74 565335.13900000 PA USD 671866.78000000 0.001452109786 Long ABS-CBDO USGSE US N 2 2035-02-15 Fixed 0.05750000 N N N N N N VIACOM INC NEW X0ST5BPF0CZG9FE5OV61 92553PAX0 1380000.00000000 PA USD 1483972.04000000 0.003207317858 Long DBT CORP US N 2 2024-04-01 Fixed 0.03875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HLNH2 5018968.08960000 PA USD 5360407.99000000 0.011585482619 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NBC1 303811.38970000 PA USD 327034.00000000 0.000706820587 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.04000000 N N N N N N JP MORGAN MTG ACQUISITION CORP N/A 46626LCB4 2549593.62920000 PA USD 2529724.90000000 0.005467509920 Long ABS-CBDO CORP US N 2 2035-10-25 Variable 0.01956750 N N N N N N PLAINS ALL AM PIPELN/PAA FIN C N/A 72650RAZ5 10550000.00000000 PA USD 10845626.93000000 0.023440719910 Long DBT CORP US N 2 2022-06-01 Fixed 0.03650000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HPYR9 185048.14700000 PA USD 200873.00000000 0.000434148045 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BWC2 22794.84950000 PA USD 22860.34000000 0.000049408192 Long ABS-CBDO USGA US N 2 2061-05-20 Variable 0.02384380 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MVS6 6508990.99400000 PA USD 6921239.24000000 0.014958916760 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9KC3 256745.89250000 PA USD 263960.86000000 0.000570500223 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307RCG8 139380.74900000 PA USD 146655.62000000 0.000316967689 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FP59 87440.20600000 PA USD 93169.52000000 0.000201367854 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132Y2NH5 416866.51600000 PA USD 434543.70000000 0.000939181960 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EDEK3 311356.46300000 PA USD 338602.58000000 0.000731823830 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410KUV4 1208.89960000 PA USD 1213.37000000 0.000002622464 Long ABS-MBS USGSE US N 2 2021-10-01 Fixed 0.05000000 N N N N N N MOODYS CORP 549300GCEDD8YCF5WU84 615369AM7 2897000.00000000 PA USD 3154413.11000000 0.006817652374 Long DBT CORP US N 2 2028-01-15 Fixed 0.03250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FV94 222994.58510000 PA USD 243678.98000000 0.000526664871 Long ABS-MBS USGA US N 2 2041-08-20 Fixed 0.04500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -10500000.00000000 NC USD -229533.99000000 -0.00049609321 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-09-06 0.00000000 USD 0.00000000 USD -10500000.00000000 USD 1.00000000 1.45000000 USD 2024-09-04 XXXX 78116.01000000 N N N CASTLELAKE AIRCRAFT SECURITIZATION N/A 14856CAA7 7545789.72000000 PA USD 7760837.18000000 0.016773544930 Long ABS-CBDO CORP US N 2 2043-06-15 Fixed 0.04125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E0RJ0 393216.18150000 PA USD 426916.07000000 0.000922696316 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQA28 354276.66250000 PA USD 372664.97000000 0.000805443082 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CZ1 12863000.00000000 PA USD 15830848.35000000 0.034215309498 Long DBT CORP US N 2 2048-03-25 Fixed 0.05050000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UH39 5946116.68820000 PA USD 6205651.01000000 0.013412311535 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 0.03500000 N N N N N N NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV N/A 64971MZG0 900000.00000000 PA USD 1192959.00000000 0.002578349593 Long DBT MUN US N 2 2036-08-01 Fixed 0.05767000 N N N N N N EXELON CORP 3SOUA6IRML7435B56G12 30161NAC5 150000.00000000 PA USD 197173.30000000 0.000426151860 Long DBT CORP US N 2 2035-06-15 Fixed 0.05625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XCR72 7242252.55400000 PA USD 7703257.42000000 0.016649097442 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ANR54 3649.15750000 PA USD 4104.37000000 0.000008870800 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04500000 N N N N N N CIT MTG LN TR 2007-1 N/A 12559QAA0 2608670.95040000 PA USD 2630995.43000000 0.005686386536 Long ABS-CBDO CORP US N 2 2037-10-25 Variable 0.02976750 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJZC7 3225286.66600000 PA USD 3404386.51000000 0.007357921415 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LTKF4 2310015.32400000 PA USD 2466001.88000000 0.005329784966 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.03500000 N N N N N N METLIFE SECURITIZATION TRUST 2019-1 N/A 59166EAB1 3681193.21000000 PA USD 3881146.79000000 0.008388346328 Long ABS-CBDO CORP US N 2 2058-04-25 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ETWB8 354578.42000000 PA USD 387081.21000000 0.000836600989 Long ABS-MBS USGSE US N 2 2039-02-01 Variable 0.06542000 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAG2 365000.00000000 PA USD 390812.80000000 0.000844666098 Long DBT CORP BM N 2 2023-08-01 Fixed 0.04125000 N N N N N N ASCENSION HEALTH ALLIANCE 549300IMOY6ECI21DH68 04351LAA8 250000.00000000 PA USD 358178.47000000 0.000774133320 Long DBT CORP US N 2 2053-11-15 Fixed 0.04847000 N N N N N N EXXON MOBIL CORP J3WHBG0MTS7O8ZVMDC91 30231GAJ1 1575000.00000000 PA USD 1607680.04000000 0.003474688717 Long DBT CORP US N 2 2022-03-06 Fixed 0.02397000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3132VQBQ8 6691183.31000000 PA USD 7106654.94000000 0.015359656848 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179R7J2 2086518.62850000 PA USD 2209540.18000000 0.004775492723 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XQJA0 322337.51690000 PA USD 349738.72000000 0.000755892437 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SNU7 3051584.95880000 PA USD 3184994.15000000 0.006883747363 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 0.03000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBH2 3115000.00000000 PA USD 3126416.19000000 0.006757142459 Long DBT CORP US N 2 2022-09-09 Variable 0.02985000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAM3 200000.00000000 PA USD 210000.00000000 0.000453874286 Long DBT CORP US N 2 2026-08-15 Fixed 0.05375000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAG5 2489000.00000000 PA USD 2760818.54000000 0.005966974019 Long DBT CORP US N 2 2024-12-01 Fixed 0.04875000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GCE8 900000.00000000 PA USD 975105.00000000 0.002107500408 Long DBT CORP US N 2 2022-04-01 Fixed 0.08125000 N N N N N N VULCAN MATERIALS CO 549300Q8LSNHAVWBNI21 929160AV1 795000.00000000 PA USD 937208.38000000 0.002025594211 Long DBT CORP US N 2 2047-06-15 Fixed 0.04500000 N N N N N N HEINZ HJ FIN CO YPR5DFZK6G2LSSY0V351 42307TAH1 9093000.00000000 PA USD 11038407.16000000 0.023857377002 Long DBT CORP US N 2 2039-08-01 Fixed 0.07125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DKJ0 2529867.28010000 PA USD 2597007.68000000 0.005612928604 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.02500000 N N N N N N MYLAN INC 30ZMPDNA1RHIBH89C294 628530BJ5 1680000.00000000 PA USD 1990188.26000000 0.004301406075 Long DBT CORP US N 2 2048-04-15 Fixed 0.05200000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJSY7 290395.73490000 PA USD 305609.13000000 0.000660514884 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N COMCAST CORP NEW 51M0QTTNCGUN7KFCFZ59 20030NBQ3 5366000.00000000 PA USD 6836093.67000000 0.014774891118 Long DBT CORP US N 2 2045-08-15 Fixed 0.04600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DHL9 1472713.53330000 PA USD 1517857.80000000 0.003280555359 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MAEW5 3146621.92600000 PA USD 3413746.53000000 0.007378151283 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJXL9 973305.71000000 PA USD 1045894.85000000 0.002260498945 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N EMERA US FINANCE LP N/A 29103DAM8 760000.00000000 PA USD 892712.14000000 0.001929424215 Long DBT CORP US N 2 2046-06-15 Fixed 0.04750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31329MLL2 2989178.53300000 PA USD 3112412.20000000 0.006726875550 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RGA1 12866328.76500000 PA USD 13777426.96000000 0.029777237271 Long ABS-MBS USGA US N 2 2045-06-20 Fixed 0.04000000 N N N N N N WELLS FARGO and CO PBLD0EJDB5FWOLXP3B76 949746SA0 1530000.00000000 PA USD 1543944.83000000 0.003336937417 Long DBT CORP US N 2 2021-07-26 Fixed 0.02100000 N N N N N N SUNOCO LOGISTICS PRTNR OPER LP 5493006LL0CKP8WQW329 86765BAV1 1861000.00000000 PA USD 1972893.67000000 0.004264027172 Long DBT CORP US N 2 2047-10-01 Fixed 0.05400000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RDC3 1147000.00000000 PA USD 1261782.50000000 0.002727098245 Long DBT CORP US N 2 2024-04-01 Fixed 0.04450000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9MZ2 134453.06080000 PA USD 143473.84000000 0.000310090889 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBTP3 22025651.22300000 PA USD 23285820.22000000 0.050327785860 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QNFQ7 239843.59680000 PA USD 256984.60000000 0.000555422389 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XDU24 14125.71760000 PA USD 15477.31000000 0.000033451204 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DZE4 1130994.68940000 PA USD 1204747.08000000 0.002603827242 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SUX3 443743.13810000 PA USD 475335.39000000 0.001027345289 Long ABS-MBS USGA US N 2 2047-01-20 Fixed 0.04500000 N N N N N N BBA US HOLDINGS INC 213800CSNQ87U1MC8N11 05545MAA0 700000.00000000 PA USD 714248.50000000 0.001543709657 Long DBT CORP US N 2 2026-05-01 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4XH4 7704142.95600000 PA USD 8141476.34000000 0.017596222677 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.03500000 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VCX0 2361000.00000000 PA USD 3043461.05000000 0.006577851007 Long DBT CORP US N 2 2048-09-15 Fixed 0.04522000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CCT9 783588.06000000 PA USD 809769.70000000 0.001750160212 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.02500000 N N N N N N AMEREN ILL CO RC71E2BZ6UOMFPDJSE79 02361DAU4 710000.00000000 PA USD 792484.90000000 0.001712802468 Long DBT CORP US N 2 2050-03-15 Fixed 0.03250000 N N N N N N NRG YIELD OPERATING LLC 549300Z3NFMM54NWBB87 62943WAE9 410000.00000000 PA USD 419965.05000000 0.000907673034 Long DBT CORP US N 2 2026-09-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312943DJ9 601634.14410000 PA USD 656468.58000000 0.001418829562 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N BCAP LLC 2012-RR5 TR N/A 05539DBX7 112528.95270000 PA USD 111563.49000000 0.000241122854 Long ABS-CBDO CORP US N 2 2036-07-26 Variable 0.01857750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WEV30 4096431.60660000 PA USD 4339764.56000000 0.009379559723 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132KEKK0 530000.06850000 PA USD 552528.62000000 0.001194183490 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CDH4 286694.68200000 PA USD 295378.41000000 0.000638403166 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307TN31 69948.33900000 PA USD 73730.39000000 0.000159353943 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.03000000 N N N N N N CHUBB INA HOLDINGS INC CZCBJZWDMLTHWJDXU843 00440EAP2 1105000.00000000 PA USD 1148389.85000000 0.002482022016 Long DBT CORP US N 2 2023-03-13 Fixed 0.02700000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J75K4 64211.34040000 PA USD 69642.34000000 0.000150518415 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132A9UF2 645953.80300000 PA USD 670906.48000000 0.001450034284 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.03000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -10600000.00000000 NC USD -456179.80000000 -0.00098594419 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-11-27 0.00000000 USD 0.00000000 USD -10600000.00000000 USD 1.00000000 1.79500000 USD 2024-11-25 XXXX -154079.80000000 N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 51454000.00000000 PA USD 57275593.03000000 0.123790090013 Long DBT CORP US N 2 2025-12-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WG4K7 357632.99200000 PA USD 369694.16000000 0.000799022252 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.02500000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AJ6 335000.00000000 PA USD 420378.39000000 0.000908566389 Long DBT CORP US N 2 2047-07-15 Fixed 0.04850000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RDJ8 22490000.00000000 PA USD 25640294.62000000 0.055416525802 Long DBT CORP US N 2 2048-03-09 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179T4P7 9332274.11400000 PA USD 9843654.74000000 0.021275151279 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJ2A7 933941.56910000 PA USD 1008592.83000000 0.002179877860 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A 710000.00000000 NC USD 5745.53000000 0.000012417849 N/A DCR CORP US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 0.00000000 USD 347.56000000 USD 710000.00000000 USD 6093.09000000 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FPF7 7115961.65900000 PA USD 7668783.64000000 0.016574589050 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 0.04000000 N N N N N N QUEST DIAGNOSTICS INC 8MCWUBXQ0WE04KMXBX50 74834LAY6 100000.00000000 PA USD 121549.80000000 0.000262706327 Long DBT CORP US N 2 2045-03-30 Fixed 0.04700000 N N N N N N VALVOLINE INC 549300CMHPBEY6VPOT75 92047WAB7 400000.00000000 PA USD 412000.00000000 0.000890458123 Long DBT CORP US N 2 2025-08-15 Fixed 0.04375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARH79 93193.87470000 PA USD 103808.81000000 0.000224362616 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8DE0 1681574.47800000 PA USD 1813486.09000000 0.003919498593 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HNVL3 3275383.89000000 PA USD 3458626.22000000 0.007475150032 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 0.04000000 N N N N N N PIMCO FDS PAC INVT MGMT SER 549300F3V4IM7FBY9U59 693390700 672519656.75200000 NS USD 7195960327.25000000 15.55267312857 Long EC RF US N 1 N N N CANADIAN NATL RESOURCES LTD 549300T15RIMIKZC5Q38 136385AG6 2743000.00000000 PA USD 3531855.04000000 0.007633419929 Long DBT CORP CA N 2 2035-02-01 Fixed 0.05850000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FT93 67733.48260000 PA USD 75702.44000000 0.000163616147 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8JX2 951512.67000000 PA USD 1019910.06000000 0.002204337859 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N GENERAL MTRS FINL CO INC 5493008B6JBRUJ90QL97 37045XAS5 2175000.00000000 PA USD 2301324.00000000 0.004973865656 Long DBT CORP US N 2 2025-01-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AHD60 117953.23780000 PA USD 130358.06000000 0.000281743673 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N DEUTSCHE BANK AG NEW YORK BNCH 7LTWFZYICNSX8D621K86 251526CA5 14609000.00000000 PA USD 15374096.85000000 0.033228129684 Long DBT CORP US N 2 2022-02-14 Fixed 0.05000000 N N N N N N WELLS FARGO COML MTG TR 2015-C31 N/A 94989WAV9 7250724.83440000 PA USD 349814.12000000 0.000756055400 Long ABS-MBS CORP US N 2 2048-11-15 Variable 0.01014187 N N N N N N AUTOZONE INC GA3JGKJ41LJKXDN23E90 053332AW2 1200000.00000000 PA USD 1357773.66000000 0.002934564527 Long DBT CORP US N 2 2029-04-18 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJUZ9 1627748.54600000 PA USD 1739668.95000000 0.003759957156 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YBTY9 3478448.16650000 PA USD 3755664.14000000 0.008117139908 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMRJ3 4450356.42200000 PA USD 4829795.59000000 0.010438666789 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 880591EH1 150000.00000000 PA USD 226080.39000000 0.000488628931 Long DBT USGSE US N 2 2039-09-15 Fixed 0.05250000 N N N N N N OPEN TEXT HOLDINGS INC N/A 683720AA4 270000.00000000 PA USD 268650.00000000 0.000580634890 Long DBT CORP US N 2 2030-02-15 Fixed 0.04125000 N N N N N N COMM 2014-LC17 MTG TR N/A 12592MBL3 42222919.96630000 PA USD 1192324.59000000 0.002576978439 Long ABS-MBS CORP US N 2 2047-10-10 Variable 0.00768071 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GEX96 74333.47710000 PA USD 82623.57000000 0.000178574827 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N BAYVIEW COML ASSET TR 06 4 N/A 07325BAC2 152627.22100000 PA USD 146620.15000000 0.000316891028 Long ABS-MBS CORP US N 2 2036-12-25 Variable 0.01896750 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RD97 403602.53970000 PA USD 434481.12000000 0.000939046705 Long ABS-MBS USGA US N 2 2045-05-20 Fixed 0.04500000 N N N N N N C and W SENIOR FINANCING DESIGNATED ACTIVITY COMPANY 5493009O8OIWZPZRY516 12674TAA4 425000.00000000 PA USD 448375.00000000 0.000969075633 Long DBT CORP IE N 2 2027-09-15 Fixed 0.06875000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAM2 900000.00000000 PA USD 909580.90000000 0.001965882770 Long DBT CORP US N 2 2038-04-15 Fixed 0.04500000 N N N N N N DOLLAR TREE INC 549300PMSTQITB1WHR43 256746AH1 1395000.00000000 PA USD 1560304.42000000 0.003372295499 Long DBT CORP US N 2 2028-05-15 Fixed 0.04200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WMG96 10408617.24800000 PA USD 10948864.04000000 0.023663846908 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XDCL2 745510.63460000 PA USD 806555.13000000 0.001743212542 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M8W75 549714.89880000 PA USD 658001.09000000 0.001422141785 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LQ2S2 441415.39040000 PA USD 478625.38000000 0.001034455965 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N DENBURY RESOURCES INC 549300KCWA5W52MS5559 247916AM1 320000.00000000 PA USD 179360.00000000 0.000387651866 Long DBT CORP US N 2 2024-02-15 Fixed 0.07750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GTCN8 305925.83300000 PA USD 330417.74000000 0.000714133885 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAB0 870000.00000000 PA USD 942424.63000000 0.002036868124 Long DBT CORP US N 2 2024-04-01 Fixed 0.03375000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GVJ78 469928.04000000 PA USD 501897.20000000 0.001084753492 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H7UM7 263455.83600000 PA USD 273632.92000000 0.000591404505 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GMK9 252987.85600000 PA USD 273391.63000000 0.000590883004 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M5TK6 341632.74330000 PA USD 387405.72000000 0.000837302355 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 0.05000000 N N N N N N MGM GROWTH PPTYS OPER PARTNERSHIP LP / MGP FIN CO-ISSUER INC N/A 55303XAC9 2300000.00000000 PA USD 2489750.00000000 0.005381111924 Long DBT CORP US N 2 2024-05-01 Fixed 0.05625000 N N N N N N MEMORIAL SLOAN KETTERING CANCER CTR 549300IZ71UAMEHWL382 586054AC2 140000.00000000 PA USD 181001.48000000 0.000391199607 Long DBT CORP US N 2 2055-07-01 Fixed 0.04200000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBJ3 1530000.00000000 PA USD 1595835.17000000 0.003449088326 Long DBT CORP US N 2 2026-09-06 Fixed 0.03215000 N N N N N N DUKE ENERGY CAROLINAS LLC MWIUSDMN17TCR56VW396 26442CAA2 775000.00000000 PA USD 1128234.17000000 0.002438459421 Long DBT CORP US N 2 2037-06-01 Fixed 0.06100000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395UZR5 386156.75540000 PA USD 456157.28000000 0.000985895523 Long ABS-CBDO USGSE US N 2 2035-06-15 Fixed 0.05500000 N N N N N N TANGER PPTYS LTD PARTNERSHIP PQPGJDNFN35EXH363L31 875484AG2 1492000.00000000 PA USD 1574363.10000000 0.003402680610 Long DBT CORP US N 2 2023-12-01 Fixed 0.03875000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 17500000.00000000 NC USD 141615.25000000 0.000306073907 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 243.75000000 USD 0.00000000 USD 17500000.00000000 USD 141371.50000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YWJV0 4795130.60620000 PA USD 5076970.16000000 0.010972886701 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312926KB3 1804100.82740000 PA USD 2024843.03000000 0.004376305642 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137FEZV5 2125000.00000000 PA USD 2460431.25000000 0.005317745130 Long ABS-MBS USGSE US N 2 2028-04-25 Fixed 0.03900000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P75V1 771379.64970000 PA USD 814917.71000000 0.001761286637 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RNX3 24331.09900000 PA USD 25993.22000000 0.000056179305 Long ABS-MBS USGA US N 2 2045-09-20 Fixed 0.04000000 N N N N N N CEDAR FDG XI CLO LTD N/A 15033LAA0 4370000.00000000 PA USD 4370437.00000000 0.009445852255 Long ABS-CBDO CORP KY N 2 2032-05-29 Variable 0.03263750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417AEL9 1327632.73070000 PA USD 1419357.15000000 0.003067665301 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.03500000 N N N N N N COMCAST CORP NEW 51M0QTTNCGUN7KFCFZ59 20030NCM1 1230000.00000000 PA USD 1613963.37000000 0.003488268916 Long DBT CORP US N 2 2048-10-15 Fixed 0.04700000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178D7F2 383518.43770000 PA USD 400661.25000000 0.000865951613 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAG0 800000.00000000 PA USD 847440.69000000 0.001831578753 Long DBT CORP ES N 2 2023-04-12 Fixed 0.03848000 N N N N N N JPMORGAN CHASE COML MTG SECS TR 2007 CIBC19 N/A 46630VAN2 15599.04000000 PA USD 779.95000000 0.000001685710 Long ABS-MBS CORP US N 3 2049-02-12 Variable 0.05940662 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P8DM0 3662503.43120000 PA USD 3823426.14000000 0.008263594333 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 0.03000000 N N N N N N GS MTG SECS CORP TR 2019 5493005BBCF84ICNQ550 36257HBN5 2000000.00000000 PA USD 2152239.20000000 0.004651647764 Long ABS-MBS CORP US N 2 2052-07-10 Fixed 0.02904000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QD24 576824.81140000 PA USD 622578.50000000 0.001345582725 Long ABS-MBS USGA US N 2 2044-05-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q75Q6 5277085.89110000 PA USD 5626831.09000000 0.012161304497 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JMSX8 211809.51770000 PA USD 225490.80000000 0.000487354647 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03500000 N N N N N N ZOETIS INC 549300HD9Q1LOC9KLJ48 98978VAB9 5975000.00000000 PA USD 6270895.15000000 0.013553324095 Long DBT CORP US N 2 2023-02-01 Fixed 0.03250000 N N N N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 92769XAM7 300000.00000000 PA USD 308720.25000000 0.000667238967 Long DBT CORP GB N 2 2026-08-15 Fixed 0.05500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 20100000.00000000 NC USD 388478.73000000 0.000839621458 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2030-02-11 0.00000000 USD 0.00000000 USD 20100000.00000000 USD 1.00000000 1.67000000 USD 2025-02-07 XXXX -176331.27000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBJJ3 86053.23060000 PA USD 93250.94000000 0.000201543827 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GCZ1 4950.05200000 PA USD 5457.12000000 0.000011794506 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417BTF4 104052.83910000 PA USD 112824.18000000 0.000243847591 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BD1 2793000.00000000 PA USD 3044498.70000000 0.006580093687 Long DBT CORP US N 2 2025-01-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XTMS4 6675404.98610000 PA USD 7021056.79000000 0.015174653042 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8LJ0 2369733.41500000 PA USD 2626099.00000000 0.005675803852 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04500000 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 23311VAF4 3773000.00000000 PA USD 3508890.00000000 0.007583785447 Long DBT CORP US N 2 2044-04-01 Fixed 0.05600000 N N N N N N NISOURCE FIN CORP ZHUWIE4VK4MIYES0UG62 65473QBC6 305000.00000000 PA USD 370478.54000000 0.000800717537 Long DBT CORP US N 2 2044-02-15 Fixed 0.04800000 N N N N N N TOWD PT MTG TR 2018-3 N/A 89175MAA1 6476876.15560000 PA USD 6841868.21000000 0.014787371666 Long ABS-CBDO CORP US N 2 2058-05-25 Fixed 0.03750000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TEZ4 6211984.96830000 PA USD 6539419.94000000 0.014133688368 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X3BR8 15512165.53800000 PA USD 16261662.19000000 0.035146430089 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N AMERADA HESS CORP N/A 023551AJ3 1849000.00000000 PA USD 2365591.81000000 0.005112768067 Long DBT CORP US N 2 2031-08-15 Fixed 0.07300000 N N N N N N AERCAP HOLDINGS NV 549300SZYINBBLJQU475 00774YAA7 710000.00000000 PA USD 720650.00000000 0.001557545258 Long EP CORP NL N 2 N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEA8 1310000.00000000 PA USD 1605645.46000000 0.003470291366 Long DBT CORP US N 2 2033-08-10 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410KCG7 81048.98770000 PA USD 96000.70000000 0.000207486900 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 0.06000000 N N N N N N PENTAIR FINANCE SA 549300H2U8U8TZPV3T89 709629AR0 670000.00000000 PA USD 752975.43000000 0.001627410408 Long DBT CORP LU N 2 2029-07-01 Fixed 0.04500000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAM8 4912000.00000000 PA USD 4969739.38000000 0.010741128160 Long DBT CORP US N 2 2045-07-15 Fixed 0.05200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418C4F8 2934752.81840000 PA USD 3092518.67000000 0.006683879542 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375B5N8 3130991.62100000 PA USD 3138184.45000000 0.006782577272 Long ABS-CBDO USGA US N 2 2063-08-20 Variable 0.02334380 N N N N N N TOLL BROS FIN CORP N/A 88947EAS9 7917000.00000000 PA USD 8636971.98000000 0.018667140439 Long DBT CORP US N 2 2027-03-15 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136AECM7 872691.04570000 PA USD 69795.82000000 0.000150850133 Long ABS-CBDO USGSE US N 2 2032-10-25 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GDTN2 60351.53330000 PA USD 67082.28000000 0.000144985342 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EDZ1 319518.67500000 PA USD 345804.10000000 0.000747388519 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.04000000 N N N N N N METROPOLITAN WEST FDS 549300APUP7QV16M4J34 592905103 206912288.61300000 NS USD 2338108861.33000000 5.053369002270 Long EC RF US N 1 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416BRY6 109873.69560000 PA USD 122796.57000000 0.000265400978 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WE7F0 318797.35640000 PA USD 346611.09000000 0.000749132671 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WPEK9 559177.03740000 PA USD 596861.38000000 0.001290000156 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RJD2 304016.72220000 PA USD 318922.81000000 0.000689289822 Long ABS-MBS USGA US N 2 2045-07-20 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SWY9 1087014.15530000 PA USD 1151759.54000000 0.002489304948 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A4WY1 243538.59760000 PA USD 20401.47000000 0.000044093822 Long ABS-CBDO USGSE US N 2 2030-12-25 Variable 0.05023250 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377LAL2 3947281.03300000 PA USD 4193352.56000000 0.009063118571 Long ABS-CBDO USGA US N 2 2040-09-16 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418RRF0 116963.23220000 PA USD 131113.42000000 0.000283376237 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.05000000 N N N N N N CGDB COML MTG TR 2017-BIO N/A 125284AA7 3687000.00000000 PA USD 3684687.51000000 0.007963737683 Long ABS-MBS CORP US N 2 2036-11-15 Variable 0.02608500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNN88 82910.52940000 PA USD 90000.83000000 0.000194519345 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FF5M9 1687075.37300000 PA USD 1739229.79000000 0.003759007997 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.02500000 N N N N N N TACONIC PARK CLO LTD 2016-1A N/A 873549AJ8 5538000.00000000 PA USD 5538000.00000000 0.011969313318 Long ABS-CBDO CORP KY N 2 2029-01-20 Variable 0.01000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WDBV2 4986144.84450000 PA USD 5462924.00000000 0.011807051100 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132CWC69 8812409.16000000 PA USD 9079329.10000000 0.019623209592 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X7DX8 77969.64780000 PA USD 82016.57000000 0.000177262915 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JMTQ2 1197788.47850000 PA USD 1260538.82000000 0.002724410272 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AN0 1910000.00000000 PA USD 1981377.10000000 0.004282362461 Long DBT CORP US N 2 2022-02-15 Fixed 0.04000000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAD5 2762000.00000000 PA USD 3084922.02000000 0.006667460856 Long DBT CORP US N 2 2038-06-15 Fixed 0.05800000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 79000000.00000000 NC USD 800036.95000000 0.001729124760 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2029-07-22 0.00000000 USD 0.00000000 USD 79000000.00000000 USD 1.00000000 2.20000000 USD 2024-07-18 XXXX -1321113.05000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7YN6 617684.05330000 PA USD 653325.04000000 0.001412035410 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137BYKR0 1252741.19380000 PA USD 1303642.32000000 0.002817570130 Long ABS-CBDO USGSE US N 2 2047-05-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JPDD1 75956.40890000 PA USD 82309.59000000 0.000177896220 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YVER6 2710263.28250000 PA USD 2869562.26000000 0.006202002487 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J62U7 95344.43610000 PA USD 101203.45000000 0.000218731636 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N WYETH 549300Q9GR3WRH4N4836 983024AF7 3255000.00000000 PA USD 3864804.52000000 0.008353025679 Long DBT CORP US N 2 2024-02-01 Fixed 0.06450000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132ADWF1 3693473.87100000 PA USD 3944152.90000000 0.008524521819 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04500000 N N N N N N AMERICAN AIRLINES INC 2014-1 CL A PASS THROUGH TRUSTS N/A 02377AAA6 239754.73370000 PA USD 260109.67000000 0.000562176622 Long DBT CORP US N 2 2028-04-01 Fixed 0.03700000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946LH7 139493.89590000 PA USD 154349.14000000 0.000333595741 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E8WW8 35163.10950000 PA USD 39461.65000000 0.000085288705 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137FBU87 1750000.00000000 PA USD 1924159.65000000 0.004158698036 Long ABS-MBS USGSE US N 2 2027-09-25 Fixed 0.03248000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FGD2 61483.23320000 PA USD 67378.39000000 0.000145625326 Long ABS-MBS USGA US N 2 2040-05-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M5GR5 3011.70770000 PA USD 3571.93000000 0.000007720034 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31334WQA2 321212.49000000 PA USD 334270.16000000 0.000722460144 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TAK1 1885783.80440000 PA USD 1985183.85000000 0.004290590013 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 0.03500000 N N N N N N BX 2020-BXLP N/A 05607QAA6 8812000.00000000 PA USD 8816072.91000000 0.019054232376 Long ABS-MBS CORP US N 2 2029-12-15 Variable 0.02458500 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 455780CK0 1170000.00000000 PA USD 1233618.75000000 0.002666227759 Long DBT NUSS ID N 2 2029-09-18 Fixed 0.03400000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YUN98 64026.04800000 PA USD 69148.63000000 0.000149451357 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810RD2 9925000.00000000 PA USD 14065585.94000000 0.030400037039 Long DBT UST US N 2 2043-11-15 Fixed 0.03750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177L3E2 26971.22180000 PA USD 29228.66000000 0.000063172081 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N AASET 2019-2 TR N/A 00038RAA4 8353668.95000000 PA USD 8425642.49000000 0.018210392718 Long ABS-CBDO CORP US N 2 2039-10-16 Fixed 0.03376000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122BM9 910000.00000000 PA USD 981841.47000000 0.002122059982 Long DBT CORP US N 2 2024-05-15 Fixed 0.03625000 N N N N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 369550AU2 1000000.00000000 PA USD 1022906.40000000 0.002210813867 Long DBT CORP US N 2 2022-11-15 Fixed 0.02250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H032639 -254075000.00000000 PA USD -263222157.34000000 -0.56890366082 Short ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WNWQ1 8079657.74400000 PA USD 8717587.12000000 0.018841374435 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAT3 190000.00000000 PA USD 213617.00000000 0.000461691730 Long DBT CORP US N 2 2028-11-15 Fixed 0.05875000 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAE8 1113000.00000000 PA USD 1179799.70000000 0.002549908317 Long ABS-MBS CORP US N 2 2032-11-05 Fixed 0.03465000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBC8 2085000.00000000 PA USD 2213029.53000000 0.004783034277 Long DBT CORP US N 2 2025-05-15 Fixed 0.02950000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 14200000.00000000 NC USD 349997.20000000 0.000756451091 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2030-02-28 0.00000000 USD 0.00000000 USD 14200000.00000000 USD 1.00000000 1.40250000 USD 2025-02-26 XXXX -50442.80000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HFCD9 52299.19500000 PA USD 56303.76000000 0.000121689661 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X0PV4 53573.62570000 PA USD 57442.38000000 0.000124150567 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03500000 N N N N N N ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP N/A 451102BT3 1100000.00000000 PA USD 1127621.00000000 0.002437134173 Long DBT CORP US N 2 2026-05-15 Fixed 0.06250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QVXM8 408252.24550000 PA USD 438954.86000000 0.000948715827 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180M2R7 1338451.01660000 PA USD 1405654.91000000 0.003038050566 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBN33 38795.85840000 PA USD 40828.32000000 0.000088242498 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC N/A 46590XAB2 470000.00000000 PA USD 495995.70000000 0.001071998544 Long DBT CORP US N 2 2030-01-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WDBQ6 5770734.60600000 PA USD 6150693.62000000 0.013293531792 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DZK0 572545.58070000 PA USD 597218.29000000 0.001290771547 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TQN8 2951464.27920000 PA USD 3071273.07000000 0.006637961296 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 0.03000000 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VCK8 4163000.00000000 PA USD 5539540.37000000 0.011972642529 Long DBT CORP US N 2 2046-08-21 Fixed 0.04862000 N N N N N N PRUDENTIAL FINL INC 5PRBRS5FEH7NREC8OR45 74432QBT1 1118000.00000000 PA USD 1173544.91000000 0.002536389801 Long DBT CORP US N 2 2021-11-16 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJ3T5 745452.52060000 PA USD 791963.17000000 0.001711674849 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417CH65 797838.03540000 PA USD 842240.75000000 0.001820340091 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJUW8 76364.17550000 PA USD 83518.08000000 0.000180508137 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MQUJ0 719981.51520000 PA USD 756901.30000000 0.001635895415 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ANN4 60316.73920000 PA USD 65041.35000000 0.000140574268 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WVX55 9647807.40210000 PA USD 10266122.84000000 0.022188234171 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03500000 N N N N N N HUNGARY REPUBLIC OF 5299008DH62LEB10JK83 445545AF3 600000.00000000 PA USD 1026000.00000000 0.002217500083 Long DBT NUSS HU N 2 2041-03-29 Fixed 0.07625000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 5000000.00000000 NC USD 49424.20000000 0.000106820826 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-07-12 0.00000000 USD 0.00000000 USD 5000000.00000000 USD 1.00000000 2.21500000 USD 2024-07-10 XXXX -82575.80000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EWQ65 127734.53290000 PA USD 137195.87000000 0.000296522274 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.04000000 N N N N N N HERTZ FLEET LEASE FDG LP 549300FESQ105M6ZTE59 428041AW7 1096824.50400000 PA USD 1096911.04000000 0.002370760549 Long ABS-CBDO CORP US N 2 2031-04-10 Variable 0.02320880 N N N N N N CSMC 2018-SITE N/A 12690CAG8 1033000.00000000 PA USD 1107419.90000000 0.002393473412 Long ABS-MBS CORP US N 2 2036-04-15 Variable 0.04782040 N N N N N N RETL 2019-RVP N/A 74952PAA5 3686672.88000000 PA USD 3687813.91000000 0.007970494790 Long ABS-MBS CORP US N 2 2036-03-15 Variable 0.02808500 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAA0 1700000.00000000 PA USD 1719728.50000000 0.003716859739 Long DBT CORP US N 2 2026-09-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417YEC7 146932.78450000 PA USD 161035.36000000 0.000348046709 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022436 -9500000.00000000 PA USD -9750933.95000000 -0.02107475326 Short ABS-MBS USGA US N 2 2035-03-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617GSS91 1564407.50500000 PA USD 1666387.48000000 0.003601573466 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASEM7 32786.31030000 PA USD 36459.25000000 0.000078799600 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 0.05000000 N N N N N N BURLINGTON NORTHN SANTA FE LLC N/A 12189LAD3 950000.00000000 PA USD 976088.60000000 0.002109626269 Long DBT CORP US N 2 2021-06-01 Fixed 0.04100000 N N N N N N HALLIBURTON CO ENYF8GB5SMQZ25S06U51 406216AW1 170000.00000000 PA USD 225238.14000000 0.000486808571 Long DBT CORP US N 2 2038-09-15 Fixed 0.06700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YWDF1 98631.43760000 PA USD 106522.72000000 0.000230228207 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SQV2 537020.72320000 PA USD 560498.20000000 0.001211408192 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418MXS6 170168.92640000 PA USD 196720.15000000 0.000425172465 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WMFC0 1250178.64970000 PA USD 1293512.97000000 0.002795677504 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DHK1 8335756.17040000 PA USD 8504867.82000000 0.018381622909 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.02500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828XG0 25130000.00000000 PA USD 25841689.39000000 0.055851801551 Long DBT UST US N 2 2022-06-30 Fixed 0.02125000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 3130AFFX0 1815000.00000000 PA USD 2094362.10000000 0.004526557634 Long DBT USGSE US N 2 2028-11-16 Fixed 0.03250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RGB9 180867.79190000 PA USD 195214.21000000 0.000421917667 Long ABS-MBS USGA US N 2 2045-06-20 Fixed 0.04500000 N N N N N N ISHARES TRUST 549300G3FWQPUM47D181 464287432 4433020.00000000 NS USD 688492336.20000000 1.488042703056 Long EC RF US N 1 N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAG8 1693000.00000000 PA USD 1939260.56000000 0.004191335725 Long DBT CORP US N 2 2028-08-28 Variable 0.05650000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AV1 1010000.00000000 PA USD 1028662.78000000 0.002223255166 Long DBT CORP GB N 2 2026-02-05 Variable 0.02438000 N N N N N N SIMON PROPERTY GROUP LP MR92GTD0MJTTTTQDVG45 828807CR6 275000.00000000 PA USD 295840.49000000 0.000639401862 Long DBT CORP US N 2 2024-02-01 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EHJ1 37183.94630000 PA USD 41136.91000000 0.000088909455 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202ETZ2 152972.61430000 PA USD 170997.13000000 0.000369577144 Long ABS-MBS USGA US N 2 2038-06-20 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GJKG3 309102.32000000 PA USD 337081.49000000 0.000728536288 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WEQJ1 1004837.42160000 PA USD 1046165.58000000 0.002261084075 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 0.03000000 N N N N N N PEOPLES UNITED BANK N4662XQCE3KKIZ6EZS08 71270QEB8 40000.00000000 PA USD 42569.24000000 0.000092005159 Long DBT CORP US N 2 2024-07-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQYH9 5045571.23290000 PA USD 5406165.09000000 0.011684377720 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N BAYVIEW COML ASSET TR 2007 3 N/A 07325YAB4 38329.56510000 PA USD 36227.96000000 0.000078299711 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.01916750 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAG8 6100000.00000000 PA USD 6713871.06000000 0.014510730642 Long DBT CORP US N 2 2023-06-15 Fixed 0.05450000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HPYW8 335141.71260000 PA USD 363802.19000000 0.000786287901 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N CONCHO RES INC SYHS7HRDXLL4I0IQ8776 20605PAH4 1890000.00000000 PA USD 1963648.42000000 0.004244045356 Long DBT CORP US N 2 2027-10-01 Fixed 0.03750000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CW3 5981000.00000000 PA USD 6061843.38000000 0.013101499224 Long DBT CORP US N 2 2024-08-15 Fixed 0.02900000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418C7F5 2947354.25760000 PA USD 3146472.50000000 0.006800490285 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ASLE0 177606.65310000 PA USD 196321.21000000 0.000424310233 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CEF7 368910.49000000 PA USD 384023.39000000 0.000829992104 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417QB86 4202.12230000 PA USD 4675.11000000 0.000010104343 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N Stone Harbor Strategic Income N/A 861647105 16123396.32800000 NS USD 159944091.57000000 0.345688144724 Long EC RF US N 1 N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAM9 2712000.00000000 PA USD 3020315.10000000 0.006527825524 Long DBT CORP US N 2 2028-03-01 Fixed 0.04000000 N N N N N N US TREASURY C0UPON STRIPS 254900HROIFWPRGM1V77 912834DV7 6850000.00000000 PA USD 4989238.60000000 0.010783271943 Long DBT UST US N 2 2039-05-15 Fixed 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176XCE7 78431.71200000 PA USD 84996.28000000 0.000183702980 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.04000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YDU6 4350000.00000000 PA USD 4650367.63000000 0.010050868040 Long DBT CORP US N 2 2023-05-22 Fixed 0.04100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F9V69 1211109.82770000 PA USD 1277752.60000000 0.002761614520 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAYL5 93892.01560000 PA USD 99175.90000000 0.000214349480 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJZG8 381027.31680000 PA USD 402185.73000000 0.000869246481 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RHW5 3375000.00000000 PA USD 3693650.63000000 0.007983109729 Long DBT CORP US N 2 2027-02-15 Fixed 0.03800000 N N N N N N SHERWIN WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348AX4 210000.00000000 PA USD 252064.62000000 0.000544788807 Long DBT CORP US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAB1 1733000.00000000 PA USD 1874149.83000000 0.004050611506 Long DBT CORP US N 2 2024-01-25 Fixed 0.04030000 N N N N N N SOUTHERN COPPER CORP DEL 2549007U6NAP46Q9TU15 84265VAJ4 455000.00000000 PA USD 579414.06000000 0.001252291156 Long DBT CORP US N 2 2045-04-23 Fixed 0.05875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HLLN1 40266.35900000 PA USD 43207.01000000 0.000093383575 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419ATJ6 107044.88490000 PA USD 111897.88000000 0.000241845573 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XJN1 52439.06940000 PA USD 56127.57000000 0.000121308860 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.03500000 N N N N N N THORNBURG MTG SECS TR N/A 885220DW0 2397415.38950000 PA USD 2400990.18000000 0.005189274781 Long ABS-CBDO CORP US N 2 2043-09-25 Variable 0.02266750 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCC4 26150000.00000000 PA USD 25040913.13000000 0.054121078916 Long DBT CORP MX N 2 2047-09-21 Fixed 0.06750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EXCQ4 3290932.03900000 PA USD 3403980.82000000 0.007357044594 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XWGP7 857830.90410000 PA USD 937766.42000000 0.002026800307 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.04500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828R77 60865000.00000000 PA USD 61136039.15000000 0.132133695856 Long DBT UST US N 2 2021-05-31 Fixed 0.01375000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945R42 1524976.17990000 PA USD 1663489.77000000 0.003595310628 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M4WF8 104140.83510000 PA USD 112721.26000000 0.000243625149 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A22Y7 14051331.17630000 PA USD 15090570.44000000 0.032615342317 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 0.03500000 N N N N N N ISHARES TRUST 549300G3FWQPUM47D181 464287226 4531.00000000 NS USD 526592.82000000 0.001138128287 Long EC RF US N 1 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E0SM8 20617.70070000 PA USD 22397.18000000 0.000048407162 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LYFN2 209233.52700000 PA USD 224408.44000000 0.000485015335 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4G37 741685.23800000 PA USD 775200.44000000 0.001675445458 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.03000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAH6 300000.00000000 PA USD 322385.34000000 0.000696773409 Long DBT CORP GB N 2 2024-03-12 Fixed 0.03900000 N N N N N N NYU HOSPS CTR N/A 62952EAE7 810000.00000000 PA USD 1003987.95000000 0.002169925305 Long DBT CORP US N 2 2047-07-01 Fixed 0.04368000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJZ94 1745346.61150000 PA USD 1862969.88000000 0.004026448211 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJTA8 176723.33740000 PA USD 185981.61000000 0.000401963192 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 N/A 35563PGL7 3211315.52600000 PA USD 3468159.11000000 0.007495753525 Long ABS-CBDO CORP US N 2 2057-08-25 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402KNG5 496220.71000000 PA USD 552888.87000000 0.001194962101 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.05000000 N N N N N N SEQUOIA MTG TR N/A 81744FCU9 1466.26490000 PA USD 1437.80000000 0.000003107525 Long ABS-CBDO CORP US N 2 2034-07-20 Variable 0.02784880 N N N N N N JAPAN BANK INTL COOPERATION 549300TJ3QFYVCTSCJ29 471048BS6 400000.00000000 PA USD 427011.14000000 0.000922901792 Long DBT CORP JP N 2 2023-07-20 Fixed 0.03250000 N N N N N N CSMC 2018-SITE N/A 12690CAA1 5008000.00000000 PA USD 5383233.41000000 0.011634815339 Long ABS-MBS CORP US N 2 2036-04-15 Fixed 0.04284000 N N N N N N GS MORTGAGE SECURITIES TRUST 2018-3PCK N/A 36255YAA9 17574999.99800000 PA USD 17530698.70000000 0.037889206471 Long ABS-MBS CORP US N 2 2031-09-15 Variable 0.03108500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J8YQ7 131227.58250000 PA USD 142326.81000000 0.000307611806 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416BMW5 82078.97140000 PA USD 97160.76000000 0.000209994145 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 0.06000000 N N N N N N HEALTHCARE TRUST OF AMERICA HOLDINGS LP 549300IYGAS4GE6VDL07 42225UAD6 1786000.00000000 PA USD 1935282.04000000 0.004182736926 Long DBT CORP US N 2 2026-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LW50 141673.75700000 PA USD 149140.11000000 0.000322337433 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMXM0 467006.78500000 PA USD 480760.60000000 0.001039070829 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.02500000 N N N N N N FIRST FRANKLIN MTG LOAN TR N/A 32027NHK0 100.44160000 PA USD 99.23000000 0.000000214466 Long ABS-CBDO CORP US N 2 2034-03-25 Variable 0.02451750 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MFMG0 579959.63520000 PA USD 613135.70000000 0.001325173943 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N DUKE REALTY LP NEW 2549009GZDBNY1KE9O81 26441YAV9 1237000.00000000 PA USD 1308462.48000000 0.002827987971 Long DBT CORP US N 2 2022-06-15 Fixed 0.04375000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AH3 7774000.00000000 PA USD 8842098.08000000 0.019110480735 Long DBT CORP US N 2 2028-10-15 Fixed 0.04375000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBB3 480000.00000000 PA USD 542834.76000000 0.001173232091 Long DBT CORP US N 2 2025-11-15 Fixed 0.04400000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SLR6 3597493.06880000 PA USD 3763762.00000000 0.008134641862 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 0.03000000 N N N N N N ENTERPRISE FLEET FING LLC 2019-3 N/A 29374WAB2 9335000.00000000 PA USD 9437215.45000000 0.020396711552 Long ABS-CBDO CORP US N 2 2025-05-20 Fixed 0.02060000 N N N N N N CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP N/A 226373AP3 1500000.00000000 PA USD 1466250.00000000 0.003169015105 Long DBT CORP US N 2 2025-04-01 Fixed 0.05750000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHG7 7295000.00000000 PA USD 8207870.55000000 0.017739720890 Long DBT CORP US N 2 2029-03-05 Variable 0.03970000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EGZ49 186743.02200000 PA USD 206420.28000000 0.000446137415 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04500000 N N N N N N MILLICOM INTL CELLULAR SA 549300CTHC1CP86P2G96 600814AN7 995000.00000000 PA USD 1024850.00000000 0.002215014581 Long DBT CORP LU N 2 2028-01-15 Fixed 0.05125000 N N N N N N BAYVIEW COML ASSET TR 2007 3 N/A 07325YAD0 21725.97950000 PA USD 20486.77000000 0.000044278181 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.01966750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GYHU6 117804.75600000 PA USD 121299.33000000 0.000262164984 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YNNL7 308625.03160000 PA USD 333221.00000000 0.000720192588 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N CIT GROUP INC NEW N8O96ZZJQRFYQUJY7K79 125581GX0 4840000.00000000 PA USD 5808000.00000000 0.012552865972 Long DBT CORP US N 2 2028-03-09 Fixed 0.06125000 N N N N N N EXETER AUTOMOBILE RECEIVABLES TR 2019-4 N/A 30167GAA8 4816961.58000000 PA USD 4830418.24000000 0.010440012527 Long ABS-CBDO CORP US N 2 2023-01-17 Fixed 0.02180000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828H86 1450000.00000000 PA USD 1465802.74000000 0.003168048439 Long DBT UST US N 2 2022-01-31 Fixed 0.01500000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 03523TBW7 15062000.00000000 PA USD 21278626.47000000 0.045989625715 Long DBT CORP US N 2 2059-01-23 Fixed 0.05800000 N N N N N N XYLEM INC 549300DF5MV96DRYLQ48 98419MAJ9 225000.00000000 PA USD 244618.52000000 0.000528695505 Long DBT CORP US N 2 2026-11-01 Fixed 0.03250000 N N N N N N JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A 8700000.00000000 NC USD 70403.01000000 0.000152162456 N/A DCR CORP US N 2 JPMORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 0.00000000 USD 4187.97000000 USD 8700000.00000000 USD 74590.98000000 N N N BECTON DICKINSON and CO ICE2EP6D98PQUILVRZ91 075887BR9 4246000.00000000 PA USD 4254270.87000000 0.009194781687 Long DBT CORP US N 2 2020-06-05 Fixed 0.02404000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YR3Y2 2034087.83360000 PA USD 2168899.45000000 0.004687655665 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CUB8 2974797.63000000 PA USD 3159816.06000000 0.006829329803 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A8L61 21892.50710000 PA USD 24343.01000000 0.000052612696 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.04500000 N N N N N N BP CAP MARKETS AMERICA INC 5493009NTB34VXE1T760 10373QAJ9 2610000.00000000 PA USD 2709541.67000000 0.005856149006 Long DBT CORP US N 2 2022-05-06 Fixed 0.03245000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ANJ3 97228.56400000 PA USD 104116.47000000 0.000225027564 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.03500000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAN0 1945000.00000000 PA USD 2027359.18000000 0.004381743812 Long DBT CORP US N 2 2048-04-15 Fixed 0.04700000 N N N N N N PROVIDENCE HEALTH and SVCS N/A 743756AB4 780000.00000000 PA USD 837202.41000000 0.001809450696 Long DBT CORP US N 2 2026-10-01 Fixed 0.02746000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307JAG8 442006.19000000 PA USD 462590.06000000 0.000999798729 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.03000000 N N N N N N MAGELLAN MIDSTREAM PARTNRS MLP MZF5TI8NFVZZNUSKDL39 559080AL0 65000.00000000 PA USD 70651.23000000 0.000152698936 Long DBT CORP US N 2 2046-09-15 Fixed 0.04250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QR29 1764040.57850000 PA USD 1899002.74000000 0.004104326252 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417D4J9 1475820.13500000 PA USD 1594385.61000000 0.003445955384 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128L6X20 26276.44530000 PA USD 31118.08000000 0.000067255696 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 0.06000000 N N N N N N COVIDIEN INTERNATIONAL FIN SA 549300938QUWMPITJ642 22303QAN0 865000.00000000 PA USD 895055.77000000 0.001934489517 Long DBT CORP LU N 2 2022-06-15 Fixed 0.03200000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WJEA5 3295110.56200000 PA USD 3478087.72000000 0.007517212291 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 0.03500000 N N N N N N LAMB WESTON HOLDINGS INC 5493005SMYID1D2OY946 513272AA2 400000.00000000 PA USD 416332.00000000 0.000899820901 Long DBT CORP US N 2 2024-11-01 Fixed 0.04625000 N N N N N N ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC N/A 03522AAH3 2765000.00000000 PA USD 3293483.96000000 0.007118227054 Long DBT CORP US N 2 2036-02-01 Fixed 0.04700000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176HTF1 176484.95180000 PA USD 188092.30000000 0.000406525040 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.03500000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BH2 5841000.00000000 PA USD 6703880.71000000 0.014489138437 Long DBT CORP US N 2 2026-01-15 Fixed 0.05250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292SA83 319800.36850000 PA USD 331040.46000000 0.000715479773 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AMF2 304252.37210000 PA USD 316100.48000000 0.000683189903 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M2BS4 95990.91290000 PA USD 104082.66000000 0.000224954490 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.04000000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAN6 165000.00000000 PA USD 172788.00000000 0.000373447762 Long DBT CORP US N 2 2026-11-15 Fixed 0.04375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36181APC0 423195.21170000 PA USD 448648.12000000 0.000969665929 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5JN3 135011.69550000 PA USD 147997.31000000 0.000319867492 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176QVE1 10747.11660000 PA USD 11713.80000000 0.000025317107 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N DISCOVERY COMMUNICATIONS LLC L2Z2MO2EQURH3BREWI15 25470DBE8 710000.00000000 PA USD 773102.94000000 0.001670912119 Long DBT CORP US N 2 2025-06-15 Fixed 0.03950000 N N N N N N LYONDELLBASELL INDS NV BN6WCCZ8OVP3ITUUVN49 552081AD3 1919000.00000000 PA USD 2040641.00000000 0.004410449891 Long DBT CORP NL N 2 2021-11-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARLM1 24830.70320000 PA USD 26947.78000000 0.000058242401 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N IQVIA INC 549300PLWY28YB00C717 449934AD0 900000.00000000 PA USD 928444.50000000 0.002006652784 Long DBT CORP US N 2 2026-10-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNCX5 349041.12710000 PA USD 374531.57000000 0.000809477376 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N CAPITAL ONE BK USA NATL ASSN GLEN ALLEN VA LKE37K2B8CFZUR7F9816 140420NB2 1035000.00000000 PA USD 1082848.88000000 0.002340367916 Long DBT CORP US N 2 2023-02-15 Fixed 0.03375000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4MR7 2154194.20000000 PA USD 2274434.43000000 0.004915749063 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EGSN5 173274.93920000 PA USD 194346.06000000 0.000420041329 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.05000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFP9 14568000.00000000 PA USD 15900465.32000000 0.034365773082 Long DBT CORP US N 2 2025-04-21 Fixed 0.03950000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P76P3 627626.95770000 PA USD 663051.35000000 0.001433056943 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HQBW1 127760.74030000 PA USD 138686.52000000 0.000299744025 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N HORIZON AIRCRAFT FINANCE LTD N/A 44040HAA0 3764160.24000000 PA USD 3853927.56000000 0.008329517239 Long ABS-CBDO CORP US N 2 2039-07-15 Fixed 0.03721000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J9JD1 381684.65860000 PA USD 401680.55000000 0.000868154632 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N DISCOVERY COMMUNICATIONS LLC L2Z2MO2EQURH3BREWI15 25470DBG3 925000.00000000 PA USD 1120685.79000000 0.002422145061 Long DBT CORP US N 2 2049-05-15 Fixed 0.05300000 N N N N N N PUGET ENERGY INC NEW SYBSJ96YIDMIUY7WDR33 745310AD4 4353000.00000000 PA USD 4646345.27000000 0.010042174489 Long DBT CORP US N 2 2021-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X4CX6 168365.90380000 PA USD 177104.73000000 0.000382777537 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617M76W3 370690.46900000 PA USD 396253.36000000 0.000856424813 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419FCX2 294966.12690000 PA USD 320568.30000000 0.000692846230 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 67054KAA7 510000.00000000 PA USD 534837.00000000 0.001155946483 Long DBT CORP FR N 2 2026-05-01 Fixed 0.07375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EKYF6 991784.46060000 PA USD 1057826.10000000 0.002286286028 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03500000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBS7 3195000.00000000 PA USD 3601904.21000000 0.007784817629 Long DBT CORP US N 2 2049-11-21 Fixed 0.04250000 N N N N N N BRANDYWINE OPER PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AN3 4892000.00000000 PA USD 5339945.96000000 0.011541257909 Long DBT CORP US N 2 2024-10-01 Fixed 0.04100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WBSH9 7488.38710000 PA USD 8186.18000000 0.000017692840 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 0.04500000 N N N N N N GLAXOSMITHKLINE CAPITAL INC 5493007Q8VD7Q3ZYZS59 377372AH0 1425000.00000000 PA USD 1480899.50000000 0.003200677159 Long DBT CORP US N 2 2023-03-18 Fixed 0.02800000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJY38 722452.16000000 PA USD 782004.90000000 0.001690151979 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENK32 3015511.40300000 PA USD 3335142.95000000 0.007208264884 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BDJ2 3725000.00000000 PA USD 3964468.55000000 0.008568430158 Long DBT CORP US N 2 2023-02-25 Fixed 0.03750000 N N N N N N ARGENT SECS INC N/A 040104NC1 1791176.27600000 PA USD 1787113.17000000 0.003862498639 Long ABS-CBDO CORP US N 2 2035-10-25 Variable 0.01986750 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176HTG9 311204.79410000 PA USD 331186.35000000 0.000715795086 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.03500000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 27412000.00000000 PA USD 30547384.56000000 0.066022249343 Long EP CORP GB N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W3W90 12620.11050000 PA USD 13405.29000000 0.000028972935 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N PPL CAP FDG INC 549300MROK5WY0D2NU17 69352PAH6 1315000.00000000 PA USD 1584360.04000000 0.003424287058 Long DBT CORP US N 2 2043-06-01 Fixed 0.04700000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9LL4 1325615.33620000 PA USD 1414554.05000000 0.003057284332 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N MATTEL INC 549300VELLG24KHTJ564 577081BB7 145000.00000000 PA USD 152387.75000000 0.000329356577 Long DBT CORP US N 2 2025-12-31 Fixed 0.06750000 N N N N N N MARLETTE FUNDING TRUST 2020 N/A 57109JAA6 3000000.00000000 PA USD 3013550.40000000 0.006513204936 Long ABS-CBDO CORP US N 2 2030-03-15 Fixed 0.02240000 N N N N N N WILLIAMS PARTNERS LP N/A 96950FAP9 470000.00000000 PA USD 503453.95000000 0.001088118105 Long DBT CORP US N 2 2045-01-15 Fixed 0.04900000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNVR5 40781.36350000 PA USD 44192.42000000 0.000095513348 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WN2J0 481955.45800000 PA USD 528310.61000000 0.001141840957 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQGX4 4065986.39460000 PA USD 4405273.85000000 0.009521145353 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N TTM TECHNOLOGIES INC 549300SC4BDOIS008048 87305RAH2 700000.00000000 PA USD 714000.00000000 0.001543172573 Long DBT CORP US N 2 2025-10-01 Fixed 0.05625000 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAE5 1641000.00000000 PA USD 2205798.71000000 0.004767406261 Long DBT CORP US N 2 2049-01-25 Fixed 0.05576000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HM42 254555.20880000 PA USD 292804.60000000 0.000632840375 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5MF3 20006855.80300000 PA USD 20694091.30000000 0.044726266272 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179M5M8 470999.81780000 PA USD 500683.50000000 0.001082130315 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CSF2 438397.73700000 PA USD 451402.41000000 0.000975618793 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QPWH3 106290.52490000 PA USD 113886.83000000 0.000246144303 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A3M81 304992.82200000 PA USD 32778.98000000 0.000070845410 Long ABS-CBDO USGSE US N 2 2041-06-25 Variable 0.04923250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2X80 3906855.11860000 PA USD 4195718.61000000 0.009068232329 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QWYP8 35565.52220000 PA USD 37539.89000000 0.000081135194 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DAZ8 1095000.00000000 PA USD 1149821.60000000 0.002485116466 Long DBT CORP US N 2 2024-08-15 Fixed 0.03222000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810SF6 28300000.00000000 PA USD 37024359.38000000 0.080020974692 Long DBT UST US N 2 2049-02-15 Fixed 0.03000000 N N N N N N CDK GLOBAL INC 5493000L10CYRTHIJ385 12508EAF8 500000.00000000 PA USD 515000.00000000 0.001113072654 Long DBT CORP US N 2 2027-06-01 Fixed 0.04875000 N N N N N N TOLL BROS FIN CORP N/A 88947EAQ3 885000.00000000 PA USD 971287.50000000 0.002099249622 Long DBT CORP US N 2 2024-01-15 Fixed 0.05625000 N N N N N N PINE STR TR I N/A 722844AA5 7798000.00000000 PA USD 8834893.59000000 0.019094909627 Long DBT CORP US N 2 2029-02-15 Fixed 0.04572000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -8200000.00000000 NC USD -347891.56000000 -0.00075190015 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-12-05 0.00000000 USD 0.00000000 USD -8200000.00000000 USD 1.00000000 1.77500000 USD 2024-12-03 XXXX -112961.56000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ANJ46 164847.54910000 PA USD 172659.84000000 0.000373170769 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.03500000 N N N N N N MARRIOTT INTERNATIONAL INC NEW 225YDZ14ZO8E1TXUSU86 571903AS2 1090000.00000000 PA USD 1143810.36000000 0.002472124336 Long DBT CORP US N 2 2026-06-15 Fixed 0.03125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XPJ2 130980.30020000 PA USD 140258.32000000 0.000303141166 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N BENCHMARK 2019-B12 MTG TR N/A 08162FAK9 40145393.35000000 PA USD 3028154.98000000 0.006544769904 Long ABS-MBS CORP US N 2 2052-08-15 Variable 0.01068290 N N N N N N DISNEY (WALT) CO 549300GZKULIZ0WOW665 254687EV4 2230000.00000000 PA USD 2953581.66000000 0.006383594131 Long DBT CORP US N 2 2044-09-15 Fixed 0.04750000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BX1 1700000.00000000 PA USD 1795824.95000000 0.003881327463 Long DBT CORP US N 2 2024-02-06 Fixed 0.02875000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AC1 9948000.00000000 PA USD 14524374.46000000 0.031391619478 Long DBT CORP US N 2 2031-11-15 Fixed 0.07375000 N N N N N N ALLEGANY PK CLO LTD / ALLEGANY PK CLO LLC N/A 017154AA3 3880000.00000000 PA USD 3873404.00000000 0.008371611788 Long ABS-CBDO CORP XX N 2 2033-01-20 Variable 0.03149130 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4DF0 1375118.19400000 PA USD 1445629.03000000 0.003124446876 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.03500000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 4500000.00000000 NC USD 12328.11000000 0.000026644819 N/A DIR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A N/A NC USD N/A N/A DIR CORP US 2029-04-07 0.00000000 USD 0.00000000 USD 4500000.00000000 USD 1.00000000 2.54000000 USD 2022-04-05 XXXX -110971.89000000 N N N BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA N/A 09228YAA0 1698093.79200000 PA USD 1690364.24000000 0.003653394584 Long ABS-CBDO CORP KY N 2 2041-12-16 Variable 0.02487000 N N N N N N OPTEUM MTG ACCEP CORP N/A 68383NBZ5 1575.39760000 PA USD 1575.53000000 0.000003405202 Long ABS-CBDO CORP US N 2 2035-07-25 Variable 0.01916750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MFGY7 156352.88120000 PA USD 168718.63000000 0.000364652608 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N SBA TOWER TR N/A 78403DAN0 8004000.00000000 PA USD 8391151.08000000 0.018135846222 Long ABS-CBDO CORP US N 2 2050-01-15 Fixed 0.02836000 N N N N N N ESSEX PORTFOLIO LP 5493003GN3O58H286O74 29717PAN7 2685000.00000000 PA USD 2923604.43000000 0.006318804160 Long DBT CORP US N 2 2024-05-01 Fixed 0.03875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YTL36 374414.92230000 PA USD 400984.79000000 0.000866650882 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03500000 N N N N N N FMC CORP CKDHZ2X64EEBQCSP7013 302491AV7 800000.00000000 PA USD 972879.58000000 0.002102690594 Long DBT CORP US N 2 2049-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AXD4 882079.23600000 PA USD 975851.58000000 0.002109113996 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177MPG1 82519.85750000 PA USD 87869.79000000 0.000189913515 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N PPL ELEC UTILS CORP N/A 69351UAM5 250000.00000000 PA USD 369828.32000000 0.000799312213 Long DBT CORP US N 2 2039-05-15 Fixed 0.06250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FLM6 346921.88500000 PA USD 369978.38000000 0.000799636538 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8W50 770774.91700000 PA USD 830314.04000000 0.001794562820 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YTAF1 302106.25100000 PA USD 328180.53000000 0.000709298589 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617M76X1 183574.48900000 PA USD 197036.96000000 0.000425857188 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210ECY3 177003.87760000 PA USD 188479.41000000 0.000407361703 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.03500000 N N N N N N WISCONSIN PWR and LT CO JWBYHVQVMY66CVCOSO49 976826BK2 240000.00000000 PA USD 276635.12000000 0.000597893179 Long DBT CORP US N 2 2044-10-15 Fixed 0.04100000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBM6 2795000.00000000 PA USD 2950853.73000000 0.006377698239 Long DBT CORP US N 2 2026-07-15 Fixed 0.02650000 N N N N N N US TREASURY C0UPON STRIPS 254900HROIFWPRGM1V77 912833Y38 1975000.00000000 PA USD 1521125.37000000 0.003287617578 Long DBT UST US N 2 2036-11-15 Fixed 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JADD7 4513954.20000000 PA USD 4748995.34000000 0.010264032714 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419BCJ2 147316.77180000 PA USD 164540.65000000 0.000355622714 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A5SM5 35053.71540000 PA USD 38780.22000000 0.000083815927 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N BRANDYWINE OPER PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AP8 1707000.00000000 PA USD 1978666.22000000 0.004276503420 Long DBT CORP US N 2 2029-10-01 Fixed 0.04550000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YAPJ8 502755.99590000 PA USD 543765.95000000 0.001175244678 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 0.04000000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RAG7 2523000.00000000 PA USD 3483556.84000000 0.007529032734 Long DBT CORP US N 2 2038-01-15 Fixed 0.06300000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RF87 299059.80140000 PA USD 313722.85000000 0.000678051117 Long ABS-MBS USGA US N 2 2045-06-20 Fixed 0.03000000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAQ6 2964000.00000000 PA USD 3003851.72000000 0.006492243120 Long DBT CORP US N 2 2030-05-15 Fixed 0.03750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945WW4 56358.97140000 PA USD 62802.95000000 0.000135736400 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.05000000 N N N N N N COMMONWEALTH EDISON CO D8YOXB8L2ZDC8P7Q0771 202795JL5 250000.00000000 PA USD 289691.13000000 0.000626111213 Long DBT CORP US N 2 2047-08-15 Fixed 0.03750000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179M2P4 1095085.62470000 PA USD 1150489.29000000 0.002486559548 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASDX4 63556.53430000 PA USD 70676.56000000 0.000152753682 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 0.05000000 N N N N N N UBS COML MTG TR 2018-C9 N/A 90291JAU1 3300000.00000000 PA USD 3694800.78000000 0.007985595555 Long ABS-MBS CORP US N 2 2051-03-15 Fixed 0.04090000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAA3 670000.00000000 PA USD 676767.00000000 0.001462700662 Long DBT CORP US N 2 2026-12-01 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XSPT1 67623.09600000 PA USD 72920.01000000 0.000157602464 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F9WA9 477599.62280000 PA USD 503880.12000000 0.001089039189 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DJR4 2496788.83180000 PA USD 2573324.90000000 0.005561742867 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 0.03000000 N N N N N N CAMDEN PROPERTY TRUST 5493002MYX22OHYJBD89 133131AT9 954000.00000000 PA USD 982544.43000000 0.002123579294 Long DBT CORP US N 2 2022-12-15 Fixed 0.02950000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AQCV0 904529.94500000 PA USD 954846.23000000 0.002063715005 Long ABS-CBDO USGSE US N 2 2045-10-25 Fixed 0.03000000 N N N N N N KROGER CO 6CPEOKI6OYJ13Q6O7870 501044DE8 530000.00000000 PA USD 548591.68000000 0.001185674557 Long DBT CORP US N 2 2026-10-15 Fixed 0.02650000 N N N N N N HEALTHCARE TRUST OF AMERICA HOLDINGS LP 549300IYGAS4GE6VDL07 42225UAG9 1715000.00000000 PA USD 1793011.01000000 0.003875245677 Long DBT CORP US N 2 2030-02-15 Fixed 0.03100000 N N N N N N NATIONSTAR HECM LOAN TRUST N/A 63862TAA9 960453.89000000 PA USD 960802.34000000 0.002076587982 Long ABS-CBDO CORP US N 2 2028-07-25 Fixed 0.03187700 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4HK8 3264816.90610000 PA USD 3497976.74000000 0.007560198552 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.04000000 N N N N N N CAMDEN PROPERTY TRUST 5493002MYX22OHYJBD89 133131AU6 2838000.00000000 PA USD 3090581.21000000 0.006679692098 Long DBT CORP US N 2 2024-01-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJQU5 461262.42640000 PA USD 494716.04000000 0.001069232807 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H1W71 774481.89940000 PA USD 819172.22000000 0.001770481936 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03500000 N N N N N N ILLINOIS ST N/A 452152FA4 2510000.00000000 PA USD 3146109.30000000 0.006799705299 Long DBT MUN US N 2 2035-04-01 Fixed 0.06725000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J95F4 4288061.14800000 PA USD 4487206.00000000 0.009698225810 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N NOVARTIS CAP CORP 5493002KF87V5RSRQS84 66989HAK4 1340000.00000000 PA USD 1684152.33000000 0.003639968745 Long DBT CORP US N 2 2045-11-20 Fixed 0.04000000 N N N N N N DENBURY RESOURCES INC 549300KCWA5W52MS5559 247916AH2 30000.00000000 PA USD 24000.00000000 0.000051871346 Long DBT CORP US N 2 2022-03-31 Fixed 0.09250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ERSD3 1217623.30960000 PA USD 1296800.73000000 0.002802783360 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178WHJ1 557920.03250000 PA USD 596207.35000000 0.001288586597 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 0.04000000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RJH6 7000000.00000000 PA USD 8255653.14000000 0.017842993695 Long DBT CORP US N 2 2042-06-15 Variable 0.04900000 N N N N N N STRYKER CORP 5493002F0SC4JTBU5137 863667AH4 305000.00000000 PA USD 331263.45000000 0.000715961723 Long DBT CORP US N 2 2025-11-01 Fixed 0.03375000 N N N N N N ROYAL BANK OF SCOTLAND GRP PLC (UNGTD) 2138005O9XJIJN4JPN90 780097AZ4 40605000.00000000 PA USD 45526169.67000000 0.098395989343 Long DBT CORP GB N 2 2023-12-19 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202EHE2 47129.83460000 PA USD 52397.41000000 0.000113246843 Long ABS-MBS USGA US N 2 2036-03-20 Fixed 0.05000000 N N N N N N WFRBS COML MTG TR 2014-LC14 N/A 96221TAH0 10032944.74300000 PA USD 379264.37000000 0.000819706405 Long ABS-MBS CORP US N 2 2047-03-15 Variable 0.01207548 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJZB9 1231273.79400000 PA USD 1282311.32000000 0.002771467309 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03000000 N N N N N N FEDEX CORP 549300E707U7WNPZN687 31428XBM7 280000.00000000 PA USD 296852.72000000 0.000641589601 Long DBT CORP US N 2 2027-03-15 Fixed 0.03300000 N N N N N N GS MTG SECS TR 2013-GCJ12 549300SSCQUZ3RRV2T53 36197XAM6 5403704.73550000 PA USD 204678.29000000 0.000442372441 Long ABS-MBS CORP US N 2 2046-06-10 Variable 0.01417633 N N N N N N DOLPHIN SUBSIDIARY II INC N/A 256882AD3 11495000.00000000 PA USD 11897325.00000000 0.025713761390 Long DBT CORP US N 2 2021-10-15 Fixed 0.07250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WGQ67 5668477.93170000 PA USD 6039932.72000000 0.013054143580 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGGZ1 1708672.29780000 PA USD 1835234.17000000 0.003966502851 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YP5Z1 75625.68480000 PA USD 80992.36000000 0.000175049283 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AUF3 436665.92910000 PA USD 453943.36000000 0.000981110564 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 0.03000000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A 120.00000000 NC USD 297884.40000000 0.000643819378 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UNDERLYING TREAS 5 YEAR NOTE GENERIC IV FOR FUTURES TRADING 2020-06-30 14432115.60000000 USD 297884.40000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 31307GJH3 538531.75520000 PA USD 567486.78000000 0.001226512653 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJ2S8 3414631.90000000 PA USD 3591441.20000000 0.007762203862 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230SPQ1 29629.77190000 PA USD 32128.24000000 0.000069438961 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9BN9 650259.17750000 PA USD 684010.10000000 0.001478355218 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N CHEVRON CORP NEW N/A 166764BK5 4322000.00000000 PA USD 4473908.27000000 0.009669485345 Long DBT CORP US N 2 2023-05-16 Fixed 0.02566000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 312942G90 1204865.17610000 PA USD 1314679.60000000 0.002841425071 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N PUBLIC SERVICE ELEC and GAS CO 549300RUHPVD434XUK18 74456QBX3 860000.00000000 PA USD 977798.58000000 0.002113322059 Long DBT CORP US N 2 2028-09-01 Fixed 0.03650000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TAM7 5532369.80500000 PA USD 5902042.20000000 0.012756119955 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4FN4 8517013.79300000 PA USD 8933818.56000000 0.019308716770 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HEAR3 1087762.14900000 PA USD 1149637.11000000 0.002484717727 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XUAD7 869932.04700000 PA USD 935637.93000000 0.002022199988 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.03500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CH6 360000.00000000 PA USD 381441.64000000 0.000824412152 Long DBT CORP US N 2 2026-05-01 Fixed 0.03100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EE2S7 1190494.88450000 PA USD 1276836.95000000 0.002759635520 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RLQ0 4701492.15300000 PA USD 5022663.31000000 0.010855512974 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 0.04000000 N N N N N N BENCHMARK 2018-B3 COML MTG TR N/A 08161BAW3 1700000.00000000 PA USD 1847516.14000000 0.003993047948 Long ABS-MBS CORP US N 2 2051-04-10 Fixed 0.03746000 N N N N N N TOLL BROS FIN CORP N/A 88947EAN0 5000000.00000000 PA USD 5200000.00000000 0.011238791848 Long DBT CORP US N 2 2023-04-15 Fixed 0.04375000 N N N N N N MICHIGAN FIN AUTH RE N/A 59447TXX6 545000.00000000 PA USD 614024.25000000 0.001327094372 Long DBT MUN US N 2 2040-12-01 Fixed 0.03384000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E1BR3 372844.88470000 PA USD 401859.79000000 0.000868542025 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 0.04000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747WAF6 4996000.00000000 PA USD 5174299.30000000 0.011183244768 Long DBT CORP US N 2 2021-01-25 Fixed 0.05750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QVGE5 1060731.93770000 PA USD 1139841.33000000 0.002463546047 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XVK33 4037.98250000 PA USD 4414.26000000 0.000009540567 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176KDN4 35052.19530000 PA USD 38007.90000000 0.000082146707 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04000000 N N N N N N BRANDYWINE OPER PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AM5 4006000.00000000 PA USD 4253574.69000000 0.009193277029 Long DBT CORP US N 2 2023-02-15 Fixed 0.03950000 N N N N N N ARES XLI CLO LTD / ARES XLI CLO LLC 549300X38KZ67Q2FQG11 04016DAJ4 9133000.00000000 PA USD 9125693.60000000 0.019723417470 Long ABS-CBDO CORP KY N 2 2029-01-15 Variable 0.03031250 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FDB9 304408.91730000 PA USD 333976.89000000 0.000721826297 Long ABS-MBS USGA US N 2 2039-12-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8LK7 6050390.41000000 PA USD 6385211.15000000 0.013800395966 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7EX6 128516.59530000 PA USD 139386.53000000 0.000301256960 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X0ZZ4 348768.67000000 PA USD 358569.63000000 0.000774978737 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YPCP5 45063.00930000 PA USD 48260.85000000 0.000104306470 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YUU25 114652.17100000 PA USD 123789.41000000 0.000267546810 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04000000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HJC5 4947000.00000000 PA USD 5140725.36000000 0.011110681206 Long DBT CORP US N 2 2021-08-15 Fixed 0.04350000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416SVT5 190945.75520000 PA USD 215239.75000000 0.000465198989 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A2BN8 307938.98030000 PA USD 334811.49000000 0.000723630123 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N CABLEVISION SYSTEMS CORP N/A 12686CBB4 1600000.00000000 PA USD 1680240.00000000 0.003631513003 Long DBT CORP US N 2 2022-09-15 Fixed 0.05875000 N N N N N N CPS AUTO RECEIVABLES TR 2019-D N/A 12655KAA6 1529728.18000000 PA USD 1533919.48000000 0.003315269566 Long ABS-CBDO CORP US N 2 2022-12-15 Fixed 0.02170000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WBG7 1934000.00000000 PA USD 2085994.80000000 0.004508473337 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 0.05542200 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQD66 286462.12030000 PA USD 308814.73000000 0.000667443167 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LG34 686791.60430000 PA USD 766949.87000000 0.001657613451 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N KFC HOLDING CO/PIZZA HUT HOLDINGS LLC/TACO BELL OF AMERICA LLC N/A 48250NAA3 300000.00000000 PA USD 302364.00000000 0.000653501165 Long DBT CORP US N 2 2024-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H8L86 490001.29600000 PA USD 508929.65000000 0.001099952769 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.03000000 N N N N N N ALBERTA ENERGY CO LTD(OLD) N/A 012873AH8 6179000.00000000 PA USD 7781632.77000000 0.016818490566 Long DBT CORP CA N 2 2030-09-15 Fixed 0.08125000 N N N N N N APOLLO AVIATION SECURITIZATION EQUITY TRUST N/A 00255UAA3 3903000.00000000 PA USD 3902921.94000000 0.008435409093 Long ABS-CBDO CORP US N 2 2040-01-16 Fixed 0.03351000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CTC8 1447825.88400000 PA USD 1490774.34000000 0.003222019711 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GURU0 232388.71770000 PA USD 249360.04000000 0.000538943381 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417WSQ5 546546.02530000 PA USD 626246.10000000 0.001353509531 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132Y4BD3 3851579.07100000 PA USD 4172531.15000000 0.009018117130 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 0.04000000 N N N N N N ZIGGO BV 213800TQASLF9JXH5J59 98954NAA7 1529000.00000000 PA USD 1574931.16000000 0.003403908362 Long DBT CORP NL N 2 2027-01-15 Fixed 0.05500000 N N N N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 202712BK0 3419000.00000000 PA USD 3634903.90000000 0.007856140061 Long DBT CORP AU N 2 2034-09-12 Variable 0.03610000 N N N N N N CHC COML MTG TR 2019-CHC N/A 162665AG8 2119000.00000000 PA USD 2115677.62000000 0.004572626998 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.03158500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HJJJ1 2815853.26500000 PA USD 2973387.02000000 0.006426399577 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 0.04000000 N N N N N N QUEST DIAGNOSTICS INC 8MCWUBXQ0WE04KMXBX50 74834LAQ3 68000.00000000 PA USD 82620.97000000 0.000178569208 Long DBT CORP US N 2 2040-01-30 Fixed 0.05750000 N N N N N N COMM 2015-CCRE24 MTG TR N/A 12593JBE5 1500000.00000000 PA USD 1622073.15000000 0.003505796633 Long ABS-MBS CORP US N 2 2048-08-10 Fixed 0.03432000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJXA3 238555.44350000 PA USD 257166.94000000 0.000555816482 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N TYSON FOODS INC WD6L6041MNRW1JE49D58 902494BJ1 2520000.00000000 PA USD 2813307.71000000 0.006080419184 Long DBT CORP US N 2 2026-03-01 Fixed 0.04000000 N N N N N N ATMOS ENERGY CORP QVLWEGTD2S8GJMO8D383 049560AS4 1595000.00000000 PA USD 1747407.80000000 0.003776683180 Long DBT CORP US N 2 2049-09-15 Fixed 0.03375000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JT9 17376000.00000000 PA USD 19336358.58000000 0.041791790228 Long DBT CORP US N 2 2025-06-10 Fixed 0.04400000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418VWV0 337846.54490000 PA USD 378719.15000000 0.000818528018 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180NCL7 1446125.29400000 PA USD 1518735.53000000 0.003282452402 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.03500000 N N N N N N MEMORIAL SLOAN KETTERING CANCER CTR 549300IZ71UAMEHWL382 586054AA6 225000.00000000 PA USD 311647.47000000 0.000673565585 Long DBT CORP US N 2 2042-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36294V6X3 6325.58920000 PA USD 7184.19000000 0.000015527233 Long ABS-MBS USGA US N 2 2037-01-15 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MK66 350503.47320000 PA USD 368236.50000000 0.000795871802 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J83X6 31055.59780000 PA USD 33100.37000000 0.000071540032 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N EMBRAER NETHERLANDS FINANCE BV 724500PBR8LR26XBSP67 29082HAB8 75000.00000000 PA USD 85031.25000000 0.000183778561 Long DBT CORP NL N 2 2027-02-01 Fixed 0.05400000 N N N N N N MAGELLAN MIDSTREAM PARTNRS MLP MZF5TI8NFVZZNUSKDL39 559080AP1 1035000.00000000 PA USD 1085174.76000000 0.002345394855 Long DBT CORP US N 2 2050-03-01 Fixed 0.03950000 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAF6 1725000.00000000 PA USD 1927647.00000000 0.004166235267 Long DBT CORP US N 2 2029-07-15 Fixed 0.03850000 N N N N N N PROSPER MARKETPLACE ISSUANCE TRUST SERIES 2019 N/A 74362GAA9 2019846.62000000 PA USD 2029827.49000000 0.004387078586 Long ABS-CBDO CORP US N 2 2026-02-17 Fixed 0.02480000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MFWM6 8555787.20300000 PA USD 9082644.88000000 0.019630376007 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.03500000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 91911KAK8 1300000.00000000 PA USD 1338454.00000000 0.002892808827 Long DBT CORP CA N 2 2024-03-15 Fixed 0.07000000 N N N N N N MASCO CORP 5GCSNMQXHEYA1JO8QN11 574599BJ4 1610000.00000000 PA USD 1793607.12000000 0.003876534053 Long DBT CORP US N 2 2025-04-01 Fixed 0.04450000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAF6 89000.00000000 PA USD 58072.50000000 0.000125512449 Long DBT CORP US N 2 2027-10-01 Fixed 0.03900000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARRZ6 177773.27820000 PA USD 192930.30000000 0.000416981439 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CY9 1569000.00000000 PA USD 1492759.21000000 0.003226309623 Long DBT CORP US N 2 2049-08-15 Fixed 0.04400000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307U5S3 870830.07600000 PA USD 904852.71000000 0.001955663704 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UGC0 67009995.51300000 PA USD 70383540.03000000 0.152120376146 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ABXF1 39926.18220000 PA USD 44469.47000000 0.000096112137 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.05000000 N N N N N N BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA N/A 09228YAB8 8846301.91640000 PA USD 9058622.89000000 0.019578457133 Long ABS-CBDO CORP KY N 2 2041-12-16 Variable 0.04213000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J6CW5 923759.82600000 PA USD 959443.93000000 0.002073652042 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UPA4 17244008.25300000 PA USD 18055556.12000000 0.039023584027 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F5CP6 6154533.97010000 PA USD 6550893.34000000 0.014158485898 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AJ8 7600000.00000000 PA USD 8162674.89000000 0.017642039233 Long DBT CORP IT N 2 2022-01-14 Fixed 0.06572000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RNV7 931879.50360000 PA USD 977570.02000000 0.002112828071 Long ABS-MBS USGA US N 2 2045-09-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4V45 4615074.13500000 PA USD 5016277.76000000 0.010841711846 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417DV42 330342.17200000 PA USD 354300.63000000 0.000765752121 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 345397ZK2 4004000.00000000 PA USD 4108045.30000000 0.008878743467 Long DBT CORP US N 2 2021-01-07 Fixed 0.05085000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G0U84 765000.00000000 PA USD 773915.55000000 0.001672668418 Long DBT USGSE US N 2 2020-10-30 Fixed 0.02875000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FX76 1006276.40300000 PA USD 1071266.97000000 0.002315335863 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 0.03500000 N N N N N N ANTHEM INC 8MYN82XMYQH89CTMTH67 036752AB9 3535000.00000000 PA USD 3865359.04000000 0.008354224167 Long DBT CORP US N 2 2027-12-01 Fixed 0.03650000 N N N N N N CHARTER COMM OPER LLC/CAP CORP N/A 161175BA1 1295000.00000000 PA USD 1665473.81000000 0.003599598746 Long DBT CORP US N 2 2045-10-23 Fixed 0.06484000 N N N N N N CHUBB CORP N/A 171232AQ4 300000.00000000 PA USD 453810.95000000 0.000980824385 Long DBT CORP US N 2 2037-05-11 Fixed 0.06000000 N N N N N N TOLL BROS FIN CORP N/A 88947EAK6 12000000.00000000 PA USD 12570000.00000000 0.027167617987 Long DBT CORP US N 2 2022-02-15 Fixed 0.05875000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EAP0 1701000.00000000 PA USD 1897074.27000000 0.004100158238 Long DBT CORP GB N 2 2026-05-12 Fixed 0.05200000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136ANY68 1131681.73850000 PA USD 234009.60000000 0.000505766381 Long ABS-CBDO USGSE US N 2 2045-06-25 Fixed 0.06000000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAF8 6369000.00000000 PA USD 6504919.43000000 0.014059122204 Long DBT CORP US N 2 2021-08-09 Fixed 0.03200000 N N N N N N BOSTON PPTY LTD PARTNERSHIP BVHHEFJI6SHNOKQT2572 10112RBA1 5210000.00000000 PA USD 6151228.75000000 0.013294688371 Long DBT CORP US N 2 2028-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XXBB1 421093.67560000 PA USD 459227.20000000 0.000992530560 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W4CT6 33606.26160000 PA USD 35529.09000000 0.000076789239 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177YB47 41237.27720000 PA USD 44688.75000000 0.000096586069 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.04000000 N N N N N N SOFTBANK GROUP CORP 5493003BZYYYCDIO0R13 N/A 200000.00000000 PA USD 208700.00000000 0.000451064588 Long DBT CORP JP N 2 2022-07-30 Fixed 0.05375000 N N N N N N HACKENSACK MERIDIAN HEALTH N/A 404530AA5 385000.00000000 PA USD 521258.34000000 0.001126598842 Long DBT MUN US N 2 2057-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E9V23 87579.25610000 PA USD 93575.26000000 0.000202244782 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EHSV5 920063.05500000 PA USD 1017010.84000000 0.002198071757 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04500000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAN3 3130000.00000000 PA USD 3373100.12000000 0.007290301948 Long DBT CORP US N 2 2024-03-19 Fixed 0.04375000 N N N N N N CENTERPOINT ENER HOUS ELEC LLC 549300S8SEQBOJLKHW63 15189XAL2 530000.00000000 PA USD 541260.77000000 0.001169830217 Long DBT CORP US N 2 2022-08-01 Fixed 0.02250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WGTP2 3085044.65530000 PA USD 3298776.24000000 0.007129665291 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MLV68 688061.03480000 PA USD 733878.12000000 0.001586135275 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N CHC COML MTG TR 2019-CHC N/A 162665AJ2 2394000.00000000 PA USD 2390246.69000000 0.005166054810 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.03408500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ASH2 385370.77080000 PA USD 400618.62000000 0.000865859477 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MFGG6 760100.90980000 PA USD 820216.30000000 0.001772738512 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 880591EU2 1320000.00000000 PA USD 1464659.90000000 0.003165578412 Long DBT USGSE US N 2 2027-02-01 Fixed 0.02875000 N N N N N N MARSH and MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748AR3 1026000.00000000 PA USD 1065096.30000000 0.002301999156 Long DBT CORP US N 2 2021-07-15 Fixed 0.04800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XJBK2 140351.77090000 PA USD 152809.59000000 0.000330268302 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04500000 N N N N N N CIT GROUP INC NEW N8O96ZZJQRFYQUJY7K79 125581GY8 2480000.00000000 PA USD 2635000.00000000 0.005695041638 Long DBT CORP US N 2 2024-02-16 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31414JBX0 78874.32000000 PA USD 91042.20000000 0.000196770064 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P8EK3 8565023.02460000 PA USD 9157965.86000000 0.019793167703 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 0.04000000 N N N N N N ENCANA CORP CZ72ZHBVKZXQRV3XFE26 292505AK0 3000000.00000000 PA USD 2920857.99000000 0.006312868263 Long DBT CORP CA N 2 2041-11-15 Fixed 0.05150000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194PRG1 69187.59250000 PA USD 74088.51000000 0.000160127950 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N CHASE ISSUANCE TR 5493008SHVCX2Y068L12 161571FQ2 800000.00000000 PA USD 819464.00000000 0.001771112562 Long ABS-CBDO CORP US N 2 2024-09-15 Fixed 0.02160000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402CTT9 115472.66180000 PA USD 133932.57000000 0.000289469283 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.06000000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 035240AP5 6987000.00000000 PA USD 8446171.86000000 0.018254762971 Long DBT CORP US N 2 2058-04-15 Fixed 0.04750000 N N N N N N ENCANA CORP CZ72ZHBVKZXQRV3XFE26 292505AD6 1165000.00000000 PA USD 1249215.37000000 0.002699936830 Long DBT CORP CA N 2 2034-08-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307HLV7 313224.56860000 PA USD 326930.24000000 0.000706596330 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LF91 793526.75360000 PA USD 848254.23000000 0.001833337062 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36184HLS1 665485.89650000 PA USD 691280.99000000 0.001494069837 Long ABS-MBS USGA US N 2 2045-03-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GKGW0 1030450.13330000 PA USD 1123079.87000000 0.002427319401 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EWQX6 306054.39210000 PA USD 328723.93000000 0.000710473043 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HNU0 20455.80030000 PA USD 21918.60000000 0.000047372804 Long ABS-MBS USGA US N 2 2046-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8WF8 477021.09100000 PA USD 513695.81000000 0.001110253900 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N CISCO SYSTEMS INC 8E6NF1YAL0WT6CWXXV93 17275RAP7 150000.00000000 PA USD 152020.25000000 0.000328562297 Long DBT CORP US N 2 2021-03-04 Fixed 0.02900000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHD4 14538000.00000000 PA USD 15708665.04000000 0.033951233962 Long DBT CORP US N 2 2028-12-20 Variable 0.03419000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EHVP4 328010.35430000 PA USD 357328.84000000 0.000772297010 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TG58 12423655.72260000 PA USD 13144229.00000000 0.028408702642 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9CS7 61702.44290000 PA USD 66158.20000000 0.000142988122 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03500000 N N N N N N TOLEDO HOSP 5493009DCR7NWV6K4T34 889184AE7 5710000.00000000 PA USD 7396573.55000000 0.015986259715 Long DBT CORP US N 2 2048-11-15 Fixed 0.06015000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AAJ7 1313827.85880000 PA USD 1407448.34000000 0.003041926717 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.04000000 N N N N N N FORD CR FLOORPLAN MAST OWN TR N/A 34528PAK2 5435000.00000000 PA USD 6239512.61000000 0.013485496819 Long ABS-CBDO CORP US N 2 2030-11-15 Fixed 0.04060000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38376WKH7 584606.80000000 PA USD 101867.03000000 0.000220165835 Long ABS-CBDO USGA US N 2 2040-02-16 Variable 0.04291500 N N N N N N KINDER MORGAN INC DEL 549300WR7IX8XE0TBO16 49456BAH4 3329000.00000000 PA USD 3961061.15000000 0.008561065723 Long DBT CORP US N 2 2045-06-01 Fixed 0.05550000 N N N N N N VOYA FINANCIAL INC 549300T065Z4KJ686G75 929089AD2 3436000.00000000 PA USD 3634461.44000000 0.007855183770 Long DBT CORP US N 2 2024-07-15 Fixed 0.03125000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137FLMV3 7200000.00000000 PA USD 8194623.12000000 0.017711089139 Long ABS-MBS USGSE US N 2 2029-02-25 Fixed 0.03422000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENV97 1426854.77220000 PA USD 1530312.87000000 0.003307474578 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQAZ5 108379.40980000 PA USD 116125.00000000 0.000250981673 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GUST2 874226.86820000 PA USD 951174.13000000 0.002055778472 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.04000000 N N N N N N HANCOCK JOHN SOVEREIGN BD FD WKGWVLWSOXTPDPZACG18 410223101 14979415.11700000 NS USD 247759526.04000000 0.535484181089 Long EC RF US N 1 N N N FLATIRON CLO LTD N/A 33883JAB7 7901000.00000000 PA USD 7903370.30000000 0.017081602635 Long ABS-CBDO CORP KY N 2 2032-11-16 Variable 0.03214910 N N N N N N AGL CAP CORP N/A 001192AJ2 1030000.00000000 PA USD 1054283.80000000 0.002278630034 Long DBT CORP US N 2 2021-09-15 Fixed 0.03500000 N N N N N N SYNCHRONY BANK 549300UATVPGSLE43Z27 87166FAC7 5843000.00000000 PA USD 5986917.18000000 0.012939560769 Long DBT CORP US N 2 2021-05-24 Fixed 0.03650000 N N N N N N COMCAST CORP NEW 51M0QTTNCGUN7KFCFZ59 20030NCZ2 755000.00000000 PA USD 833237.09000000 0.001800880425 Long DBT CORP US N 2 2050-02-01 Fixed 0.03450000 N N N N N N TANGER PPTYS LTD PARTNERSHIP PQPGJDNFN35EXH363L31 875484AH0 3352000.00000000 PA USD 3538789.23000000 0.007648406836 Long DBT CORP US N 2 2024-12-01 Fixed 0.03750000 N N N N N N HYDRO-QUEBEC 6THEVG93PYJH84S4D167 448814EJ8 1455000.00000000 PA USD 1872148.50000000 0.004046286019 Long DBT CORP CA N 2 2024-07-07 Fixed 0.08050000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAH6 1723000.00000000 PA USD 1866662.41000000 0.004034428899 Long DBT CORP US N 2 2024-04-15 Fixed 0.04500000 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAH0 1414000.00000000 PA USD 1480866.18000000 0.003200605144 Long DBT CORP US N 2 2023-06-15 Fixed 0.03125000 N N N N N N PANAMA REPUBLIC OF 549300SHS4T08CL0LP14 698299BK9 1725000.00000000 PA USD 1827421.88000000 0.003949618101 Long DBT NUSS PA N 2 2030-01-23 Fixed 0.03160000 N N N N N N DCP MIDSTREAM LLC VQOHU6HCVU6YY1KUKU03 23311RAH9 7892000.00000000 PA USD 7102800.00000000 0.015351325142 Long DBT CORP US N 2 2043-05-21 Variable 0.05850000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YWH42 582540.09100000 PA USD 620784.55000000 0.001341705450 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AAGN8 10786767.85000000 PA USD 11727370.77000000 0.025346438272 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.05000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFX2 5358000.00000000 PA USD 5852671.03000000 0.012649413743 Long DBT CORP US N 2 2026-04-19 Fixed 0.03500000 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAC7 5706000.00000000 PA USD 6326434.61000000 0.013673361870 Long DBT CORP US N 2 2026-06-15 Fixed 0.04125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J72F8 1068687.40540000 PA USD 1124674.34000000 0.002430765539 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137FG6Y6 660000.00000000 PA USD 763621.12000000 0.001650419003 Long ABS-MBS USGSE US N 2 2028-05-25 Fixed 0.03850000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M53F7 5014358.36800000 PA USD 5496646.38000000 0.011879935486 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XPH6 129520.51370000 PA USD 138695.13000000 0.000299762633 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WBE2 1414000.00000000 PA USD 1537439.23000000 0.003322876824 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 0.05350300 N N N N N N CHARTER COMM OPER LLC/CAP CORP N/A 161175AZ7 2985000.00000000 PA USD 3933197.16000000 0.008500843111 Long DBT CORP US N 2 2035-10-23 Fixed 0.06384000 N N N N N N LINCOLN NATIONAL CORP IND EFQMQROEDSNBRIP7LE47 534187BG3 165000.00000000 PA USD 188484.69000000 0.000407373114 Long DBT CORP US N 2 2048-03-01 Fixed 0.04350000 N N N N N N NOVARTIS CAP CORP 5493002KF87V5RSRQS84 66989HAE8 4195000.00000000 PA USD 4317233.83000000 0.009330863918 Long DBT CORP US N 2 2022-09-21 Fixed 0.02400000 N N N N N N WESTPAC BANKING CORPORATION EN5TNI6CI43VEPAMHL14 961214EF6 4937000.00000000 PA USD 5404005.59000000 0.011679710379 Long DBT CORP AU N 2 2034-07-24 Variable 0.04110000 N N N N N N DUKE ENERGY CAROLINAS LLC MWIUSDMN17TCR56VW396 26442CAS3 1270000.00000000 PA USD 1360895.12000000 0.002941310957 Long DBT CORP US N 2 2026-12-01 Fixed 0.02950000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HQBB7 172931.68210000 PA USD 183727.39000000 0.000397091133 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N SUTTER HEALTH 549300MJCC12LU768G81 86944BAE3 2640000.00000000 PA USD 3329228.73000000 0.007195482444 Long DBT CORP US N 2 2048-08-15 Fixed 0.04091000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EMU2 355192.09750000 PA USD 375403.88000000 0.000811362705 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -10500000.00000000 NC USD -343853.79000000 -0.00074317330 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-09-06 0.00000000 USD 0.00000000 USD -10500000.00000000 USD 1.00000000 1.45000000 USD 2024-09-04 XXXX -36203.79000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 31307RUW3 321166.60000000 PA USD 332933.66000000 0.000719571558 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.02500000 N N N N N N LIBERTY MUTUAL GROUP INC QUR0DG15Z6FFGYCHH861 53079EBG8 1847000.00000000 PA USD 2173535.51000000 0.004697675610 Long DBT CORP US N 2 2029-02-01 Fixed 0.04569000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQDM1 1116396.25950000 PA USD 1246341.55000000 0.002693725625 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.05000000 N N N N N N BAYVIEW COML ASST TR 2007 2 N/A 07325XAA8 110607.55910000 PA USD 105147.36000000 0.000227255633 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.01896750 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EAW5 6667000.00000000 PA USD 7375788.24000000 0.015941336297 Long DBT CORP GB N 2 2028-05-09 Fixed 0.04836000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411CPQ8 10164.94280000 PA USD 11676.43000000 0.000025236339 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VB4 6122474.90100000 PA USD 6364721.03000000 0.013756110544 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LUU8 1062095.38830000 PA USD 1170893.68000000 0.002530659681 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJYT9 6245564.79590000 PA USD 6674996.09000000 0.014426709931 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.04000000 N N N N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 345397WW9 1275000.00000000 PA USD 1271197.47000000 0.002747446877 Long DBT CORP US N 2 2024-09-08 Fixed 0.03664000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ASE9 1646289.72890000 PA USD 1821609.54000000 0.003937055855 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04500000 N N N N N N FLAGSHIP CREDIT AUTO TRUST 2019-4 N/A 33845FAA4 2174736.63000000 PA USD 2190255.55000000 0.004733812734 Long ABS-CBDO CORP US N 2 2024-06-17 Fixed 0.02170000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJXF2 966187.47940000 PA USD 1041567.01000000 0.002251145158 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A94G3 48329.03670000 PA USD 53340.15000000 0.000115284392 Long ABS-MBS USGA US N 2 2040-01-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QSLC0 1010401.56290000 PA USD 1089546.32000000 0.002354843134 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PCZ3 645000.00000000 PA USD 780569.35000000 0.001687049316 Long DBT CORP US N 2 2047-04-15 Fixed 0.04250000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3138WJEX2 2341206.30000000 PA USD 2442969.88000000 0.005280005764 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9G21 1458921.67510000 PA USD 1536267.87000000 0.003320345156 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 0.03500000 N N N N N N ILLINOIS ST N/A 452151LE1 6685090.91000000 PA USD 7072491.93000000 0.015285820125 Long DBT MUN US N 2 2023-06-01 Fixed 0.04950000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CW8 30084000.00000000 PA USD 32970880.19000000 0.071260165292 Long DBT CORP US N 2 2025-03-25 Fixed 0.04100000 N N N N N N ROYAL BANK OF SCOTLAND GRP PLC (UNGTD) 2138005O9XJIJN4JPN90 780099CE5 5889000.00000000 PA USD 6424432.77000000 0.013885165893 Long DBT CORP GB N 2 2022-12-15 Fixed 0.06125000 N N N N N N PROVIDENCE HEALTH and SVCS N/A 743820AA0 790000.00000000 PA USD 817084.49000000 0.001765969712 Long DBT CORP US N 2 2029-10-01 Fixed 0.02532000 N N N N N N LG and E and KU ENERGY LLC N/A 50188FAD7 211000.00000000 PA USD 213027.60000000 0.000460417856 Long DBT CORP US N 2 2020-11-15 Fixed 0.03750000 N N N N N N CHARTER COMM OPER LLC/CAP CORP N/A 161175AY0 7565000.00000000 PA USD 8476249.41000000 0.018319769764 Long DBT CORP US N 2 2025-07-23 Fixed 0.04908000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M7SM9 128741.65400000 PA USD 142733.48000000 0.000308490744 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNXZ5 46659.87780000 PA USD 49104.32000000 0.000106129467 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E2UH2 300620.36570000 PA USD 324014.73000000 0.000700295020 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410LF23 327942.37600000 PA USD 389736.82000000 0.000842340576 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 0.06000000 N N N N N N CISCO SYSTEMS INC 8E6NF1YAL0WT6CWXXV93 17275RBJ0 725000.00000000 PA USD 730065.13000000 0.001577894236 Long DBT CORP US N 2 2021-09-20 Fixed 0.01850000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AG3 1093000.00000000 PA USD 1177176.97000000 0.002544239795 Long DBT CORP US N 2 2022-04-27 Fixed 0.05200000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 42809HAH0 4517000.00000000 PA USD 5002632.92000000 0.010812221169 Long DBT CORP US N 2 2047-04-01 Fixed 0.05800000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GCX6 120000.00000000 PA USD 125700.00000000 0.000271676179 Long DBT CORP US N 2 2027-02-01 Fixed 0.06250000 N N N N N N HOLLY EN PART LP/ HOL FIN CORP N/A 435765AH5 285000.00000000 PA USD 286781.25000000 0.000619822072 Long DBT CORP US N 2 2028-02-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417CZA6 923986.56080000 PA USD 949952.06000000 0.002053137205 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.02500000 N N N N N N NORTONLIFELOCK INC YF6ZV0M6AU4FY94MK914 871503AU2 1100000.00000000 PA USD 1116678.23000000 0.002413483497 Long DBT CORP US N 2 2025-04-15 Fixed 0.05000000 N N N N N N TELEFLEX INC UUL85LWXB4NGSWWXIQ25 879369AE6 1000000.00000000 PA USD 1042500.00000000 0.002253161635 Long DBT CORP US N 2 2026-06-01 Fixed 0.04875000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SGL5 10090843.52570000 PA USD 10663727.96000000 0.023047580552 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YR4T2 2002427.25910000 PA USD 2162011.30000000 0.004672768264 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9P63 4472079.46460000 PA USD 4893651.22000000 0.010576678354 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HMN26 2724045.58000000 PA USD 2873038.07000000 0.006209514777 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EFB0 566602.89160000 PA USD 614380.49000000 0.001327864315 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LTT3 67275.55770000 PA USD 74167.09000000 0.000160297785 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04500000 N N N N N N LYB INTERNATIONAL FINANCE II BV 549300ZSNDBYN4Z4VZ93 50247WAB3 1170000.00000000 PA USD 1269505.13000000 0.002743789212 Long DBT CORP NL N 2 2027-03-02 Fixed 0.03500000 N N N N N N BERKSHIRE HATHAWAY INC DEL 5493000C01ZX7D35SD85 084670BR8 2695000.00000000 PA USD 2799358.57000000 0.006050270822 Long DBT CORP US N 2 2023-03-15 Fixed 0.02750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CQG2 142506.55200000 PA USD 146733.88000000 0.000317136833 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WSYX0 624820.40120000 PA USD 646282.98000000 0.001396815362 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.02500000 N N N N N N DUPONT DE NEMOURS INC 5493004JF0SDFLM8GD76 26078JAC4 2875000.00000000 PA USD 3240944.61000000 0.007004673435 Long DBT CORP US N 2 2025-11-15 Fixed 0.04493000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179T7J8 14652113.88120000 PA USD 15356892.28000000 0.033190945341 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WCLT8 113809.46290000 PA USD 121992.50000000 0.000263663137 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X0Y28 612793.78350000 PA USD 644600.11000000 0.001393178165 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FLVU9 426973.55710000 PA USD 454471.17000000 0.000982251323 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNVT1 130076.14890000 PA USD 140956.04000000 0.000304649152 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N SHELL INTL FIN B V 213800ITMMKU4Z7I4F78 822582BD3 1465000.00000000 PA USD 1578712.07000000 0.003412080066 Long DBT CORP NL N 2 2025-05-11 Fixed 0.03250000 N N N N N N BENCHMARK 2019-B MORTGAGE TRUST N/A 08162YAK8 22980081.17000000 PA USD 1307479.29000000 0.002825862997 Long ABS-MBS CORP US N 2 2062-12-15 Variable 0.00791233 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HJY7 10030000.00000000 PA USD 10863017.58000000 0.023478306428 Long DBT CORP US N 2 2024-09-10 Fixed 0.03875000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAS5 145000.00000000 PA USD 152642.95000000 0.000329908142 Long DBT CORP US N 2 2028-04-15 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ARH3 408341.20360000 PA USD 424497.92000000 0.000917469954 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SYE3 113126.33600000 PA USD 121139.66000000 0.000261819889 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307RD44 42260.72470000 PA USD 44466.49000000 0.000096105697 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818EQ7 640000.00000000 PA USD 709926.00000000 0.001534367411 Long DBT CORP US N 2 2037-09-15 Fixed 0.03600000 N N N N N N CHARTER COMM OPER LLC/CAP CORP N/A 161175BL7 31249000.00000000 PA USD 35956401.55000000 0.077712790893 Long DBT CORP US N 2 2047-05-01 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9Z38 4774334.55900000 PA USD 5081719.59000000 0.010983151674 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04000000 N N N N N N TIME WARNER CABLE INC B1WXCWLJVJXMWJX6O298 88732JBA5 16424000.00000000 PA USD 16879404.84000000 0.036481561062 Long DBT CORP US N 2 2021-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E2A84 196948.54140000 PA USD 212213.59000000 0.000458658531 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N UPGRADE RECEIVABLES TRUST 2019-1 549300W601N3GF6G0630 91532HAA6 1046566.11000000 PA USD 1050169.23000000 0.002269737188 Long ABS-CBDO CORP US N 2 2025-03-15 Fixed 0.03480000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J2LR2 664272.71400000 PA USD 694289.80000000 0.001500572797 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202EDP1 100541.44420000 PA USD 111385.24000000 0.000240737601 Long ABS-MBS USGA US N 2 2035-05-20 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SW54 125225.30740000 PA USD 134095.67000000 0.000289821792 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FLY LEASING LTD 549300LI58A0MHGHTZ98 34407DAC3 160000.00000000 PA USD 164000.00000000 0.000354454204 Long DBT CORP BM N 2 2024-10-15 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CQB3 7143129.96160000 PA USD 7603024.67000000 0.016432463785 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04000000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAU5 4420000.00000000 PA USD 4420000.00000000 0.009552973071 Long DBT CORP US N 2 2030-02-15 Fixed 0.03375000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137BGB32 788902.45100000 PA USD 59011.01000000 0.000127540857 Long ABS-CBDO USGSE US N 2 2034-02-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5A90 84272.41640000 PA USD 92905.06000000 0.000200796275 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ANVH3 289177.29060000 PA USD 319648.13000000 0.000690857461 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QRY9 3530499.12950000 PA USD 3750794.16000000 0.008106614390 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 0.03500000 N N N N N N WELLS FARGO and CO PBLD0EJDB5FWOLXP3B76 94974BGL8 21880000.00000000 PA USD 24620802.36000000 0.053213090936 Long DBT CORP US N 2 2027-07-22 Fixed 0.04300000 N N N N N N DEERE JOHN CAPITAL CORP E0KSF7PFQ210NWI8Z391 24422ERT8 990000.00000000 PA USD 1033287.65000000 0.002233250926 Long DBT CORP US N 2 2023-01-27 Fixed 0.02800000 N N N N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 225401AM0 13060000.00000000 PA USD 13333382.50000000 0.028817521260 Long DBT CORP CH N 2 2025-09-11 Variable 0.02593000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QGB84 4417.07070000 PA USD 4633.36000000 0.000010014109 Long ABS-MBS USGSE US N 2 2035-10-01 Variable 0.04873000 N N N N N N CD 2017-CD6 MTG TR N/A 125039AC1 2500000.00000000 PA USD 2656714.50000000 0.005741973320 Long ABS-MBS CORP US N 2 2050-11-13 Fixed 0.03104000 N N N N N N COMM 2014-CCRE17 MTG TR N/A 12631DBC6 18926885.83120000 PA USD 660926.85000000 0.001428465248 Long ABS-MBS CORP US N 2 2047-05-10 Variable 0.00973487 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417DNL3 525865.34650000 PA USD 552831.09000000 0.001194837220 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03000000 N N N N N N REPUBLICA ORIENTAL DEL URUGUAY 549300RDR012H2V82H43 760942BD3 740000.00000000 PA USD 920837.50000000 0.001990211728 Long DBT NUSS UY N 2 2055-04-20 Fixed 0.04975000 N N N N N N MYLAN NV 549300A0CD4KNFGIIS89 62854AAN4 2804000.00000000 PA USD 3048624.94000000 0.006589011754 Long DBT CORP NL N 2 2026-06-15 Fixed 0.03950000 N N N N N N CLEARWAY ENERGY OPERATING LLC 549300Z3NFMM54NWBB87 18539UAC9 60000.00000000 PA USD 61050.00000000 0.000131947738 Long DBT CORP US N 2 2028-03-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JPL78 4021663.32420000 PA USD 4142429.05000000 0.008953057277 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307BDT4 533126.51500000 PA USD 550160.44000000 0.001189065128 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.02500000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAL9 4282000.00000000 PA USD 4679924.50000000 0.010114749485 Long DBT CORP IE N 2 2026-04-03 Fixed 0.04450000 N N N N N N CDK GLOBAL INC 5493000L10CYRTHIJ385 12508EAG6 200000.00000000 PA USD 209260.00000000 0.000452274919 Long DBT CORP US N 2 2026-06-15 Fixed 0.05875000 N N N N N N AMERICAN INTERNATIONAL GROUP INC ODVCVCQG2BP6VHV36M30 026874CY1 360000.00000000 PA USD 393103.90000000 0.000849617866 Long DBT CORP US N 2 2024-02-15 Fixed 0.04125000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BUL4 968424.92430000 PA USD 969216.90000000 0.002094774422 Long ABS-CBDO USGA US N 2 2062-08-20 Variable 0.02254380 N N N N N N PUGET SOUND ENERGY INC 8MNFJR7KOMBQ7X62LK44 745332CC8 285000.00000000 PA USD 394823.10000000 0.000853333584 Long DBT CORP US N 2 2040-07-15 Fixed 0.05764000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HPS21 1292877.19860000 PA USD 1379619.43000000 0.002981779923 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132DV3J2 32158335.76200000 PA USD 33395264.34000000 0.072177389354 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L9NK7 1553404.20600000 PA USD 1655179.37000000 0.003577349309 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N INTERNATIONAL PAPER CO 824LMFJDH41EY779Q875 460146CN1 116000.00000000 PA USD 143745.65000000 0.000310678353 Long DBT CORP US N 2 2046-05-15 Fixed 0.05150000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 1000000.00000000 NC USD 1841.30000000 0.000003979612 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S11 PRC INDX CMBX0AAA Y 2054-11-18 0.00000000 USD 1951.24000000 USD 1000000.00000000 USD 3792.54000000 N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BK5 7569000.00000000 PA USD 8506572.48000000 0.018385307201 Long DBT CORP US N 2 2028-01-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9H87 8943616.57500000 PA USD 9449724.21000000 0.020423746812 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3134A4KX1 40000.00000000 PA USD 61398.36000000 0.000132700651 Long DBT USGSE US N 2 2032-07-15 Fixed 0.06250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JMTN9 598237.93050000 PA USD 629578.72000000 0.001360712343 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KA8 6075000.00000000 PA USD 6865834.39000000 0.014839169918 Long DBT CORP US N 2 2027-09-29 Fixed 0.04450000 N N N N N N ALABAMA POWER and LIGHT 0RL818ELFOHP5JHOFU19 010392FG8 225000.00000000 PA USD 259017.16000000 0.000559815374 Long DBT CORP US N 2 2042-01-15 Fixed 0.04100000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAT4 31005000.00000000 PA USD 32644743.76000000 0.070555284628 Long DBT CORP IT N 2 2024-06-26 Fixed 0.05017000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJQ27 4427645.75500000 PA USD 4671282.28000000 0.010096071002 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QRP87 1772431.66000000 PA USD 1871933.31000000 0.004045820927 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03000000 N N N N N N PNC FINANCIAL SERVICES GRP INC CFGNEKW0P8842LEUIA51 693475AP0 375000.00000000 PA USD 405295.35000000 0.000875967322 Long DBT CORP US N 2 2024-04-29 Fixed 0.03900000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NX45 2193335.21330000 PA USD 2302931.79000000 0.004977340582 Long ABS-MBS USGA US N 2 2044-01-20 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179ME30 371411.40500000 PA USD 395166.95000000 0.000854076749 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LYTS6 135891.91950000 PA USD 149913.70000000 0.000324009397 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.04500000 N N N N N N BAYVIEW COML ASSET TR 2007 3 N/A 07325YAC2 20312.89890000 PA USD 19311.16000000 0.000041737328 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.01936750 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G0X24 2480000.00000000 PA USD 2550260.21000000 0.005511893011 Long DBT USGSE US N 2 2025-01-07 Fixed 0.01625000 N N N N N N TOWD PT MTG TR 2019-1 N/A 89177BAA3 2725328.10200000 PA USD 2908397.93000000 0.006285938259 Long ABS-CBDO CORP US N 2 2058-03-25 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M87F4 220617.81530000 PA USD 236618.39000000 0.000511404775 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N WELLS FARGO and CO PBLD0EJDB5FWOLXP3B76 95000U2J1 1965000.00000000 PA USD 2002743.66000000 0.004328542138 Long DBT CORP US N 2 2031-02-11 Variable 0.02572000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335A4H8 2303460.39220000 PA USD 2490368.93000000 0.005382449621 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EBJS5 1266030.38510000 PA USD 1357850.76000000 0.002934731164 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N REGIONS BANK OF ALABAMA EQTWLK1G7ODGC2MGLV11 75913MAA7 2533000.00000000 PA USD 3574977.44000000 0.007726620636 Long DBT CORP US N 2 2037-06-26 Fixed 0.06450000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFM6 45375000.00000000 PA USD 49435241.21000000 0.106844689604 Long DBT CORP US N 2 2025-01-22 Fixed 0.04000000 N N N N N N LINCOLN NATIONAL CORP IND EFQMQROEDSNBRIP7LE47 534187BJ7 130000.00000000 PA USD 137035.53000000 0.000296175730 Long DBT CORP US N 2 2030-01-15 Fixed 0.03050000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EBK0 13438000.00000000 PA USD 15257951.48000000 0.032977103984 Long DBT CORP GB N 2 2030-06-20 Variable 0.05088000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7TY9 9478523.57560000 PA USD 10007584.43000000 0.021629453522 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BA0 665000.00000000 PA USD 814087.98000000 0.001759493337 Long DBT CORP US N 2 2045-02-01 Fixed 0.04500000 N N N N N N FORTIVE CORP 549300MU9YQJYHDQEF63 34959JAG3 275000.00000000 PA USD 290469.10000000 0.000627792644 Long DBT CORP US N 2 2026-06-15 Fixed 0.03150000 N N N N N N EG GLOBAL FINANCE PLC 549300TL8Q5207VYET27 28228PAB7 380000.00000000 PA USD 391286.00000000 0.000845688828 Long DBT CORP GB N 2 2025-10-30 Fixed 0.08500000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AK4 2567000.00000000 PA USD 2781570.04000000 0.006011824363 Long DBT CORP US N 2 2024-11-06 Fixed 0.03950000 N N N N N N CB RICHARD ELLIS SERVICES INC 549300CTE3HOMEUMM603 12505BAD2 12670000.00000000 PA USD 14533109.44000000 0.031410498443 Long DBT CORP US N 2 2026-03-01 Fixed 0.04875000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CC4 400000.00000000 PA USD 417048.00000000 0.000901368396 Long DBT CORP US N 2 2027-01-15 Fixed 0.06625000 N N N N N N BAKER HUGHES A GE CO LLC / BAKER HUGHES CO-OBLIGOR INC N/A 05723KAF7 145000.00000000 PA USD 153510.43000000 0.000331783032 Long DBT CORP US N 2 2047-12-15 Fixed 0.04080000 N N N N N N DCP MIDSTREAM LLC VQOHU6HCVU6YY1KUKU03 23311RAE6 2017000.00000000 PA USD 2005301.40000000 0.004334070197 Long DBT CORP US N 2 2021-09-30 Fixed 0.04750000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCG5 30470000.00000000 PA USD 31879237.50000000 0.068900791260 Long DBT CORP MX N 2 2027-03-13 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NBD6 265304.16450000 PA USD 305474.64000000 0.000660224210 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJMK1 1167896.07790000 PA USD 1236905.54000000 0.002673331519 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N HCP INC PZ9HF5U52KPF0MH0QN75 42250PAA1 925000.00000000 PA USD 972408.01000000 0.002101671387 Long DBT CORP US N 2 2030-01-15 Fixed 0.03000000 N N N N N N WELLS FARGO and CO PBLD0EJDB5FWOLXP3B76 94974BFN5 280000.00000000 PA USD 301870.54000000 0.000652434646 Long DBT CORP US N 2 2023-08-15 Fixed 0.04125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312940TF6 20443.65830000 PA USD 22928.09000000 0.000049554621 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.05000000 N N N N N N OHIO ST UNIV GEN RCPTS N/A 677632PA3 1678000.00000000 PA USD 2588163.98000000 0.005593814661 Long DBT MUN US N 2 2111-06-01 Fixed 0.04800000 N N N N N N SERVICE CORP INTERNATIONAL INC 549300RKVM2ME20JHZ15 817565CE2 270000.00000000 PA USD 291937.50000000 0.000630966306 Long DBT CORP US N 2 2029-06-01 Fixed 0.05125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193NXN5 1874513.56500000 PA USD 1999094.11000000 0.004320654343 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416Q6B6 25344.02200000 PA USD 28085.82000000 0.000060702054 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N PNC FINANCIAL SERVICES GRP INC CFGNEKW0P8842LEUIA51 693475AL9 275000.00000000 PA USD 283440.32000000 0.000612601299 Long DBT CORP US N 2 2022-11-09 Variable 0.02854000 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAJ5 2238000.00000000 PA USD 2723637.85000000 0.005886615166 Long DBT CORP US N 2 2042-08-15 Fixed 0.05750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QPA79 1308623.80340000 PA USD 1382087.98000000 0.002987115216 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132Y27L4 393957.60000000 PA USD 421630.72000000 0.000911273057 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.04500000 N N N N N N CORPORACION NACIONAL DEL COBRE DE CHILE 549300UVMBCBCIPSUI70 21987BAW8 2033000.00000000 PA USD 2174039.38000000 0.004698764627 Long DBT CORP CL N 2 2027-08-01 Fixed 0.03625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371LDG1 190849.81860000 PA USD 212895.28000000 0.000460131872 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.05000000 N N N N N N ENTEGRIS INC IYX6OWO7BT5DKO3BYG52 29362UAB0 400000.00000000 PA USD 412500.00000000 0.000891538776 Long DBT CORP US N 2 2026-02-10 Fixed 0.04625000 N N N N N N HALLIBURTON CO ENYF8GB5SMQZ25S06U51 406216BE0 445000.00000000 PA USD 480225.33000000 0.001037913946 Long DBT CORP US N 2 2043-08-01 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CMJ0 2812548.79200000 PA USD 2922074.22000000 0.006315496908 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BBF2 429561.93810000 PA USD 446558.29000000 0.000965149167 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.03000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G0T94 455000.00000000 PA USD 473649.17000000 0.001023700852 Long DBT USGSE US N 2 2023-01-19 Fixed 0.02375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WEZ51 2970372.06320000 PA USD 3146815.73000000 0.006801232110 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N BERKSHIRE HATHAWAY INC DEL 5493000C01ZX7D35SD85 084670BS6 1615000.00000000 PA USD 1750546.95000000 0.003783467844 Long DBT CORP US N 2 2026-03-15 Fixed 0.03125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BL79 2147395.70910000 PA USD 2231690.01000000 0.004823365287 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418MHU9 551914.85440000 PA USD 636879.55000000 0.001376491672 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P8GB1 6786229.14000000 PA USD 7241184.05000000 0.015650415437 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 0.04000000 N N N N N N CENTURY TELEPHONE ENTERPR(OLD) N/A 156686AM9 15000.00000000 PA USD 16650.00000000 0.000035985746 Long DBT CORP US N 2 2028-01-15 Fixed 0.06875000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -9100000.00000000 NC USD -289336.23000000 -0.00062534416 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2030-02-26 0.00000000 USD 0.00000000 USD -9100000.00000000 USD 1.00000000 1.39500000 USD 2025-02-24 XXXX -21796.23000000 N N N PETRO-CANADA INC N/A 71644EAJ1 350000.00000000 PA USD 510918.99000000 0.001104252342 Long DBT CORP CA N 2 2038-05-15 Fixed 0.06800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9RA1 7374411.22800000 PA USD 7996051.97000000 0.017281916096 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06053FAA7 13989000.00000000 PA USD 15148796.37000000 0.032741186376 Long DBT CORP US N 2 2023-07-24 Fixed 0.04100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417AQL6 700764.39690000 PA USD 760822.15000000 0.001644369572 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N IBM CORPORATION VGRQXHF3J8VDLUA7XE92 459200HU8 3865000.00000000 PA USD 4170236.40000000 0.009013157472 Long DBT CORP US N 2 2024-02-12 Fixed 0.03625000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BE8 3640000.00000000 PA USD 3871592.56000000 0.008367696712 Long DBT CORP US N 2 2025-03-01 Fixed 0.02900000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180HJ33 46552.64960000 PA USD 50565.39000000 0.000109287287 Long ABS-MBS USGA US N 2 2043-08-15 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376REN2 590376.13840000 PA USD 591138.49000000 0.001277631238 Long ABS-CBDO USGA US N 2 2065-05-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GLV6 83083.10690000 PA USD 88070.49000000 0.000190347289 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N AERCAP GLOBAL AVIATION TR 635400FBSV8LXXNRV758 00773HAA5 180000.00000000 PA USD 193500.00000000 0.000418212735 Long DBT CORP US N 2 2045-06-15 Variable 0.06500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QL66 4893571.63140000 PA USD 5255390.57000000 0.011358507826 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 0.04000000 N N N N N N VERDE CDO LTD N/A 92338BAC9 8662000.00000000 PA USD 8662000.00000000 0.018721233652 Long ABS-CBDO CORP KY N 2 2032-04-15 Variable 0.03181250 N N N N N N EATON VANCE MUT FDS TR 549300FGUNKHMTW51F25 277911533 22545645.49800000 NS USD 196598028.74000000 0.424908523624 Long EC RF US N 1 N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9VU3 192420.25100000 PA USD 202500.86000000 0.000437666348 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.03000000 N N N N N N ZIGGO BOND CO 213800JYI4P7V5QDOG59 98953GAD7 215000.00000000 PA USD 217644.50000000 0.000470396390 Long DBT CORP NL N 2 2030-02-28 Fixed 0.05125000 N N N N N N SIMON PROPERTY GROUP LP MR92GTD0MJTTTTQDVG45 828807CS4 2620000.00000000 PA USD 2791901.24000000 0.006034153249 Long DBT CORP US N 2 2024-10-01 Fixed 0.03375000 N N N N N N SITE CENTERS CORP W2AVA6SODOQ1LCYJQR54 23317HAE2 5582000.00000000 PA USD 6119092.73000000 0.013225232595 Long DBT CORP US N 2 2026-02-01 Fixed 0.04250000 N N N N N N BECTON DICKINSON and CO ICE2EP6D98PQUILVRZ91 075887BA6 1050000.00000000 PA USD 1077025.78000000 0.002327782414 Long DBT CORP US N 2 2021-11-08 Fixed 0.03125000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833BY5 9525000.00000000 PA USD 10392156.00000000 0.022460630411 Long DBT CORP US N 2 2026-02-23 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AJSY9 21664.50450000 PA USD 24102.68000000 0.000052093269 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AKHK8 53678.73620000 PA USD 59719.86000000 0.000129072899 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31359MGK3 670000.00000000 PA USD 1011651.98000000 0.002186489620 Long DBT USGSE US N 2 2030-11-15 Fixed 0.06625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WEU56 495376.35420000 PA USD 514821.96000000 0.001112687855 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176XB81 117017.43540000 PA USD 124603.92000000 0.000269307215 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312943FB4 29134.56540000 PA USD 32246.32000000 0.000069694168 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E7AT1 47215.96990000 PA USD 51262.53000000 0.000110794020 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N SOUTHERN NAT GAS CO / SOUTHN NAT ISSUING CORP N/A 84345PAB8 527000.00000000 PA USD 542016.22000000 0.001171462975 Long DBT CORP US N 2 2021-06-15 Fixed 0.04400000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137FQKN2 13700000.00000000 PA USD 14889660.05000000 0.032181113461 Long ABS-MBS USGSE US N 2 2029-11-25 Fixed 0.02651000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMXR9 143368.44500000 PA USD 147590.79000000 0.000318988878 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H3VP8 127690.18900000 PA USD 134237.66000000 0.000290128676 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.03500000 N N N N N N CENOVUS ENERGY INC 549300DK79J32SE1QE52 15135UAP4 605000.00000000 PA USD 640422.81000000 0.001384149741 Long DBT CORP CA N 2 2037-06-15 Fixed 0.05250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177Q2N2 52458.43760000 PA USD 56931.06000000 0.000123045448 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N METROPOLITAN LIFE GLBL FDG I 635400MMSOCXNNNZDZ82 59217GCY3 31400000.00000000 PA USD 31462132.75000000 0.067999300209 Long DBT CORP US N 2 2021-05-28 Variable 0.02080000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAT7 4516000.00000000 PA USD 5072514.94000000 0.010963257607 Long DBT CORP US N 2 2049-02-15 Fixed 0.05500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFH7 2028000.00000000 PA USD 2226266.63000000 0.004811643702 Long DBT CORP US N 2 2024-08-26 Fixed 0.04200000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QV2M2 70154.54050000 PA USD 75759.36000000 0.000163739168 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N Voya Funds/USA N/A 92913L684 112470101.25500000 NS USD 1198931279.38000000 2.591257517250 Long EC RF US N 1 N N N SABLE INTL FINANCE LTD 2138009IE9A35LO5JS73 785712AG5 585000.00000000 PA USD 609862.50000000 0.001318099556 Long DBT CORP KY N 2 2027-09-07 Fixed 0.05750000 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38143U8H7 1650000.00000000 PA USD 1803547.05000000 0.003898017285 Long DBT CORP US N 2 2026-02-25 Fixed 0.03750000 N N N N N N SUNOCO LP / SUNOCO FIN CORP N/A 86765LAL1 500000.00000000 PA USD 507550.00000000 0.001096970923 Long DBT CORP US N 2 2026-02-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HEZT2 1369615.64400000 PA USD 1480120.75000000 0.003198994042 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAR41 238477.50660000 PA USD 251898.11000000 0.000544428927 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193NW97 1606792.88050000 PA USD 1713580.66000000 0.003703572375 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A9Y65 291228.74970000 PA USD 321915.76000000 0.000695758503 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SJT5 636462.20470000 PA USD 672595.88000000 0.001453685594 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 0.03500000 N N N N N N NEW YORK NY CTY MUN WTR FIN AU N/A 64972FK88 25000.00000000 PA USD 40722.25000000 0.000088013248 Long DBT MUN US N 2 2042-06-15 Fixed 0.05952000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GSDB2 1052917.14500000 PA USD 1124546.99000000 0.002430490297 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419LPH0 24454.82000000 PA USD 26999.17000000 0.000058353471 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417BPJ0 1859786.61830000 PA USD 1934534.60000000 0.004181121479 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 0.03000000 N N N N N N EOG RESOURCES INC XWTZDRYZPBUHIQBKDB46 26875PAN1 205000.00000000 PA USD 240261.62000000 0.000519278910 Long DBT CORP US N 2 2035-04-01 Fixed 0.03900000 N N N N N N CITIGROUP MTG LN TR 2009-5 N/A 17315GAJ7 113373.19740000 PA USD 114620.98000000 0.000247731026 Long ABS-CBDO CORP US N 2 2037-01-25 Variable 0.04354090 N N N N N N ABBOTT LABORATORIES HQD377W2YR662HK5JX27 002824BA7 500000.00000000 PA USD 512703.41000000 0.001108109020 Long DBT CORP US N 2 2022-03-15 Fixed 0.02550000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RXZ1 91016.40780000 PA USD 98691.18000000 0.000213301851 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ATCL2 491215.01750000 PA USD 524845.42000000 0.001134351620 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417YP43 32940.37420000 PA USD 34649.11000000 0.000074887333 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P74W0 222272.83950000 PA USD 234887.78000000 0.000507664397 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.03500000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BC5 4226000.00000000 PA USD 4609332.98000000 0.009962179600 Long DBT CORP US N 2 2024-02-15 Fixed 0.03750000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAQ6 2029000.00000000 PA USD 2074881.59000000 0.004484454288 Long DBT CORP US N 2 2022-07-25 Fixed 0.02850000 N N N N N N CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 549300PXR5FKNXF0OH19 225433AC5 16672000.00000000 PA USD 18023852.62000000 0.038955063058 Long DBT CORP GG N 2 2025-03-26 Fixed 0.03750000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BR5 1335000.00000000 PA USD 1340009.64000000 0.002896171042 Long DBT CORP US N 2 2026-06-15 Fixed 0.02250000 N N N N N N CNH EQUIP TR 2019-C N/A 12597CAB3 4300000.00000000 PA USD 4321162.88000000 0.009339355798 Long ABS-CBDO CORP US N 2 2023-03-15 Fixed 0.01990000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 15700000.00000000 NC USD 730211.08000000 0.001578209679 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2029-10-30 0.00000000 USD 0.00000000 USD 15700000.00000000 USD 1.00000000 1.90500000 USD 2024-10-28 XXXX 300816.08000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EKCU7 240041.98680000 PA USD 265185.38000000 0.000573146785 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04500000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A -8000000.00000000 NC USD -151923.76000000 -0.00032835375 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Call Written JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2030-01-29 0.00000000 USD 0.00000000 USD -8000000.00000000 USD 1.00000000 1.68400000 USD 2025-01-27 XXXX 77196.24000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ATCW8 492084.65000000 PA USD 525774.59000000 0.001136359841 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASEA3 46073.90010000 PA USD 51235.40000000 0.000110735383 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 0.05000000 N N N N N N NEW JERSEY ECO DEV AUTH ST PEN N/A 645913AA2 9315000.00000000 PA USD 12162781.80000000 0.026287494798 Long DBT MUN US N 2 2029-02-15 Fixed 0.07425000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9D32 13256131.08800000 PA USD 14138839.62000000 0.030558360667 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.03500000 N N N N N N LONDON CLEARING HOUSE N/A N/A -32510000.00000000 NC USD -1727905.82000000 -0.00373453343 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2030-03-18 0.00000000 USD 0.00000000 USD -33418655.18000000 USD -1727905.82000000 N N N BX TRUST 2019 N/A 056054AF6 4818084.93000000 PA USD 4830173.99000000 0.010439484628 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.02908500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P8E98 1205771.73370000 PA USD 1268929.21000000 0.002742544473 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAYY7 2208517.43800000 PA USD 2419835.67000000 0.005230005654 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FVJF4 403030.64250000 PA USD 436556.06000000 0.000943531286 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178XAS6 107107.62400000 PA USD 114324.01000000 0.000247089183 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 0.04000000 N N N N N N GEORGIA POWER CO D981X4Z4RWS7PDMJUZ03 373334KL4 150000.00000000 PA USD 155002.73000000 0.000335008349 Long DBT CORP US N 2 2029-09-15 Fixed 0.02650000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAK4 2610000.00000000 PA USD 2856750.42000000 0.006174312179 Long DBT CORP US N 2 2028-07-22 Variable 0.03591000 N N N N N N PIMCO FUNDS Y52315K7L96R2YWLTM72 72201F490 103550190.06500000 NS USD 1239495775.08000000 2.678929810253 Long EC RF US N 1 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M8HN6 256042.36770000 PA USD 266013.09000000 0.000574935720 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E6VH6 929983.07570000 PA USD 1009685.60000000 0.002182239671 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LA48 62488.88740000 PA USD 69840.80000000 0.000150947348 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EHKF8 428774.12910000 PA USD 466191.40000000 0.001007582328 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YTHM9 430460.78670000 PA USD 463959.37000000 0.001002758228 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAE3 4020000.00000000 PA USD 4305769.10000000 0.009306085127 Long DBT CORP US N 2 2023-08-28 Variable 0.05022000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P75Z2 298373.97380000 PA USD 315214.74000000 0.000681275548 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.03500000 N N N N N N CROWN AMERICAS LLC / CROWN AMERICAS CAPITAL CORP V N/A 22819KAB6 600000.00000000 PA USD 617583.00000000 0.001334785920 Long DBT CORP US N 2 2026-09-30 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XVAZ3 89335.39700000 PA USD 97659.96000000 0.000211073069 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 0.04500000 N N N N N N EVERGY KANSAS CENTRAL J75GNWGEO73W89ZV3S44 95709TAH3 655000.00000000 PA USD 808645.17000000 0.001747729758 Long DBT CORP US N 2 2042-03-01 Fixed 0.04125000 N N N N N N ILLINOIS ST N/A 452152GS4 4655000.00000000 PA USD 6015842.70000000 0.013002077672 Long DBT MUN US N 2 2035-07-01 Fixed 0.07350000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHC6 10921000.00000000 PA USD 11317015.55000000 0.024459535021 Long DBT CORP US N 2 2023-12-20 Variable 0.03004000 N N N N N N PRUDENTIAL TOTAL RETURN BD FD INC TMK5EH3X0S88LKHCV210 74440B108 141549617.47000000 NS USD 2114751285.00000000 4.570624904544 Long EC RF US N 1 N N N FEDERAL NATL MTG AS GTD RE PTT N/A 3136AUG21 2300000.00000000 PA USD 2435087.51000000 0.005262969549 Long ABS-MBS USGSE US N 2 2026-10-25 Variable 0.02416709 N N N N N N GS MTG SECS CORP TR 2018-HART N/A 36259DAA1 4013000.00000000 PA USD 4016077.57000000 0.008679973049 Long ABS-MBS CORP US N 2 2031-10-15 Variable 0.02748500 N N N N N N CTR PARTNERSHIP LP / CARETRUST CAP CORP N/A 126458AD0 300000.00000000 PA USD 312000.00000000 0.000674327510 Long DBT CORP US N 2 2025-06-01 Fixed 0.05250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MK74 7711693.15520000 PA USD 8204934.59000000 0.017733375382 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 0.03500000 N N N N N N GEO GROUP INC NEW 5493003VOR6NTY465495 36162JAB2 265000.00000000 PA USD 239825.00000000 0.000518335241 Long DBT CORP US N 2 2026-04-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335B7H3 501814.69000000 PA USD 556352.61000000 0.001202448303 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04500000 N N N N N N DUKE REALTY LP NEW 2549009GZDBNY1KE9O81 26441YAX5 1382000.00000000 PA USD 1464355.22000000 0.003164919905 Long DBT CORP US N 2 2023-04-15 Fixed 0.03625000 N N N N N N TOTAL CAPITAL INTL SA 549300U37G2I8G4RUG09 89153VAT6 800000.00000000 PA USD 845192.27000000 0.001826719229 Long DBT CORP FR N 2 2030-01-10 Fixed 0.02829000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G0U43 670000.00000000 PA USD 714858.62000000 0.001545028313 Long DBT USGSE US N 2 2023-09-12 Fixed 0.02875000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TV44 506284.82870000 PA USD 526520.02000000 0.001137970944 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.03000000 N N N N N N ANHEUSER-BUSCH INBEV FIN INC 5493000EYEKDT0FBSQ91 035242AM8 9871000.00000000 PA USD 11597316.39000000 0.025065350944 Long DBT CORP US N 2 2036-02-01 Fixed 0.04700000 N N N N N N BAXALTA INC 5493000JW8DCO3T45R55 07177MAB9 579000.00000000 PA USD 638875.43000000 0.001380805379 Long DBT CORP US N 2 2025-06-23 Fixed 0.04000000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C2 N/A 17291CBQ7 2800000.00000000 PA USD 2934248.24000000 0.006341808692 Long ABS-MBS CORP US N 2 2049-08-10 Fixed 0.02575000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3131YDGG3 996110.62600000 PA USD 1034424.73000000 0.002235708504 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M83H5 123828.44190000 PA USD 135037.08000000 0.000291856468 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JWS3 62492.62910000 PA USD 67946.09000000 0.000146852300 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBDB6 243132.73610000 PA USD 263468.97000000 0.000569437098 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312944FA4 544906.55700000 PA USD 594570.70000000 0.001285049295 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ALLC9 22227.02270000 PA USD 24950.77000000 0.000053926252 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TSJ5 2290451.10880000 PA USD 2438488.46000000 0.005270320043 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 0.04500000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46647PAM8 7005000.00000000 PA USD 7646028.60000000 0.016525408443 Long DBT CORP US N 2 2029-01-23 Variable 0.03509000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFCG0 65013.32340000 PA USD 72365.56000000 0.000156404128 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UCB6 7001697.12000000 PA USD 7365676.84000000 0.015919482467 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CWX8 10940622.68500000 PA USD 11668943.22000000 0.025220158450 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 0.04000000 N N N N N N NEW CENTURY HOME EQUITY LN TR N/A 64352VMV0 76950.84100000 PA USD 76957.38000000 0.000166328456 Long ABS-CBDO CORP US N 2 2035-09-25 Variable 0.02136750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A2MY2 239951.74570000 PA USD 265385.62000000 0.000573579565 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M8TQ9 46550.21700000 PA USD 50356.51000000 0.000108835833 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 5000000.00000000 NC USD 286703.95000000 0.000619655003 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-07-12 0.00000000 USD 0.00000000 USD 5000000.00000000 USD 1.00000000 2.21500000 USD 2024-07-10 XXXX 154703.95000000 N N N OCI NV 549300NCMRGIBJYUOE57 67091GAA1 400000.00000000 PA USD 414400.00000000 0.000895645258 Long DBT CORP NL N 2 2023-04-15 Fixed 0.06625000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BL3 7647000.00000000 PA USD 8041838.32000000 0.017380874415 Long DBT CORP US N 2 2029-10-01 Fixed 0.03625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJLK2 110916.48520000 PA USD 131715.58000000 0.000284677689 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.06000000 N N N N N N BOSTON UNIVERSITY 549300M1CR2B2GU2ZU17 89838QAA1 450000.00000000 PA USD 589433.25000000 0.001273945693 Long DBT CORP US N 2 2048-10-01 Fixed 0.04061000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076AS1 300000.00000000 PA USD 433516.89000000 0.000936962709 Long DBT CORP US N 2 2036-12-16 Fixed 0.05875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M6MZ8 89994.91390000 PA USD 107194.69000000 0.000231680540 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 0.06000000 N N N N N N CITIZENS BANK NA DRMSV1Q0EKMEXLAU1P80 17401QAE1 1705000.00000000 PA USD 1727725.84000000 0.003734144439 Long DBT CORP US N 2 2021-05-13 Fixed 0.02550000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419FTY2 27991.26050000 PA USD 30433.94000000 0.000065777060 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128285M8 94900000.00000000 PA USD 110792043.21000000 0.239455521560 Long DBT UST US N 2 2028-11-15 Fixed 0.03125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AXFM8 153892.86650000 PA USD 167648.24000000 0.000362339167 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FP75 1347727.02700000 PA USD 1475265.67000000 0.003188500728 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.04500000 N N N N N N DOW CHEMICAL CO ZQUIP1CSZO8LXRBSOU78 260543CX9 3370000.00000000 PA USD 3668631.07000000 0.007929034800 Long DBT CORP US N 2 2026-05-15 Fixed 0.03625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFLK1 149235.01810000 PA USD 165878.56000000 0.000358514347 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E1HV2 7480.30910000 PA USD 8121.40000000 0.000017552831 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N COMMONWEALTH EDISON CO D8YOXB8L2ZDC8P7Q0771 202795JF8 315000.00000000 PA USD 359263.87000000 0.000776479202 Long DBT CORP US N 2 2045-03-01 Fixed 0.03700000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BNA6 4733196.27720000 PA USD 4743236.33000000 0.010251585731 Long ABS-CBDO USGA US N 2 2061-09-20 Variable 0.02284380 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RBX6 4476867.40850000 PA USD 4752016.57000000 0.010270562517 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M1MS4 95989.49680000 PA USD 102951.25000000 0.000222509167 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JP6N7 81397.74080000 PA USD 88206.05000000 0.000190640276 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N DRYDEN 36 SENIOR LOAN FUND 549300XLLT7H0EYXK263 26249KAR2 10300000.00000000 PA USD 10296910.00000000 0.022254774648 Long ABS-CBDO CORP KY N 2 2029-04-15 Variable 0.03111250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WXSS7 1265175.70270000 PA USD 1330843.13000000 0.002876359407 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N WYNN LAS VEGAS LLC/ WYNN LAS V N/A 983130AV7 300000.00000000 PA USD 294375.00000000 0.000636234490 Long DBT CORP US N 2 2025-03-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RUT8 911674.59420000 PA USD 988549.64000000 0.002136558391 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A2XL8 21526.73820000 PA USD 23395.19000000 0.000050564167 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 42809HAD9 1896000.00000000 PA USD 2049428.49000000 0.004429442347 Long DBT CORP US N 2 2041-02-15 Fixed 0.05600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MDWQ1 229858.88030000 PA USD 246529.67000000 0.000532826085 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YPJ94 140699.16700000 PA USD 150683.70000000 0.000325673603 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417YLA3 420065.47350000 PA USD 460383.27000000 0.000995029181 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.05000000 N N N N N N AMERICAN INTERNATIONAL GROUP INC ODVCVCQG2BP6VHV36M30 026874CU9 3898000.00000000 PA USD 4153625.62000000 0.008977256492 Long DBT CORP US N 2 2022-06-01 Fixed 0.04875000 N N N N N N JOBSOHIO BEVERAGE SYS OHIO STATEWIDE LIQUOR PROFITS REV N/A 47770VBQ2 325000.00000000 PA USD 350125.75000000 0.000756728927 Long DBT MUN US N 2 2038-01-01 Fixed 0.02833000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402V4E7 128109.65350000 PA USD 142748.12000000 0.000308522386 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132KE6E0 736749.06760000 PA USD 763281.98000000 0.001649686018 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417VN66 735326.10250000 PA USD 814876.11000000 0.001761196727 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419FC38 505825.82670000 PA USD 549967.07000000 0.001188647196 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179M2R0 278556.63090000 PA USD 299587.68000000 0.000647500687 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJTK6 82005.93870000 PA USD 86302.11000000 0.000186525278 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.03000000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAB8 225000.00000000 PA USD 230625.00000000 0.000498451225 Long DBT CORP US N 2 2027-02-15 Fixed 0.05625000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174467X1 40891000.00000000 PA USD 47185086.66000000 0.101981416794 Long DBT CORP US N 2 2025-11-24 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194GPG3 39591.87420000 PA USD 42262.26000000 0.000091341681 Long ABS-MBS USGA US N 2 2046-07-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y8GU8 899366.37940000 PA USD 980361.79000000 0.002118861941 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312933G73 461767.76400000 PA USD 511953.33000000 0.001106487867 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WH3V2 1475952.45000000 PA USD 1526653.78000000 0.003299566165 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FYV8 79843.24680000 PA USD 89162.08000000 0.000192706549 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N GEO GROUP INC NEW 5493003VOR6NTY465495 36162JAA4 65000.00000000 PA USD 60775.00000000 0.000131353379 Long DBT CORP US N 2 2024-10-15 Fixed 0.05875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2VZ2 6430445.45390000 PA USD 6856127.44000000 0.014818190227 Long ABS-MBS USGA US N 2 2046-04-15 Fixed 0.04000000 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NAF2 3799000.00000000 PA USD 4063317.40000000 0.008782072783 Long DBT CORP CA N 2 2023-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CRE6 1381714.75570000 PA USD 1488446.42000000 0.003216988363 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04500000 N N N N N N ENTERGY LA LLC 0V5453U14HDZO63CGH17 29364WAY4 1070000.00000000 PA USD 1118668.69000000 0.002417785491 Long DBT CORP US N 2 2026-10-01 Fixed 0.02400000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307QFA0 1135686.92470000 PA USD 1176941.89000000 0.002543731715 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 0.02500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128284N7 34740000.00000000 PA USD 39614456.25000000 0.085618966920 Long DBT UST US N 2 2028-05-15 Fixed 0.02875000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AC3 460000.00000000 PA USD 508645.00000000 0.001099337553 Long DBT CORP CO N 2 2023-09-18 Fixed 0.05875000 N N N N N N DB MASTER FIN LLC 549300F17UZJL70BPB08 233046AF8 7147480.00000000 PA USD 7595055.20000000 0.016415239321 Long ABS-CBDO CORP US N 2 2047-11-20 Fixed 0.04030000 N N N N N N DIGITAL REALTY TRUST LP CD4SPTZ3YBTHY0C1AH38 25389JAL0 3488000.00000000 PA USD 3658909.00000000 0.007908022431 Long DBT CORP US N 2 2022-07-01 Fixed 0.03950000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5FL1 39198.68930000 PA USD 42428.37000000 0.000091700695 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAH6 6724000.00000000 PA USD 7507961.11000000 0.016227002331 Long DBT CORP US N 2 2029-05-15 Fixed 0.04125000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H030641 138750000.00000000 PA USD 143214794.63000000 0.309531012785 Long ABS-MBS USGA US N 2 2050-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHLL4 746300.46000000 PA USD 771236.22000000 0.001666877565 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9C67 122347.98310000 PA USD 131283.04000000 0.000283742838 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AA4K4 2641737.69940000 PA USD 2921750.80000000 0.006314797898 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M8J87 495108.15760000 PA USD 520496.71000000 0.001124952727 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -10600000.00000000 NC USD -175552.11000000 -0.00037942185 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-11-27 0.00000000 USD 0.00000000 USD -10600000.00000000 USD 1.00000000 1.79500000 USD 2024-11-25 XXXX 126547.89000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFTA5 119509.90300000 PA USD 132838.33000000 0.000287104296 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12 N/A 95001RAX7 3181000.00000000 PA USD 3740153.00000000 0.008083615586 Long ABS-MBS CORP US N 2 2052-01-15 Fixed 0.04302000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M4QA6 62827.27840000 PA USD 68003.77000000 0.000146976964 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N WESTERN GAS PARTNERS LP L6D8A6MLSY454J2JXJ60 958254AF1 1931000.00000000 PA USD 2026878.09000000 0.004380704029 Long DBT CORP US N 2 2026-07-01 Fixed 0.04650000 N N N N N N TEXAS PRIVATE ACTIVITY BD SURFACE TRANSN CORP REV N/A 882667AZ1 555000.00000000 PA USD 641369.10000000 0.001386194964 Long DBT MUN US N 2 2049-12-31 Fixed 0.03922000 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AC9 1273000.00000000 PA USD 1353623.57000000 0.002925594912 Long DBT CORP US N 2 2023-04-20 Fixed 0.03900000 N N N N N N METLIFE INC C4BXATY60WC6XEOZDX54 59156RBB3 910000.00000000 PA USD 1005835.41000000 0.002173918232 Long DBT CORP US N 2 2023-09-15 Variable 0.04368000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQ6P2 400530.81700000 PA USD 421264.70000000 0.000910481976 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SB89 16063584.16400000 PA USD 17010696.30000000 0.036765322099 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N AECOM 0EEB8GF0W0NPCIHZX097 00766TAD2 1100000.00000000 PA USD 1207250.00000000 0.002609236819 Long DBT CORP US N 2 2024-10-15 Fixed 0.05875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BZW9 621089.97670000 PA USD 676552.81000000 0.001462237731 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.05000000 N N N N N N ARAMARK SERVICES INC 42YMHYH0XMHJEXDUB065 038522AQ1 960000.00000000 PA USD 1002000.00000000 0.002165628736 Long DBT CORP US N 2 2028-02-01 Fixed 0.05000000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 02005NAV2 1700000.00000000 PA USD 1883294.00000000 0.004070374856 Long DBT CORP US N 2 2024-09-30 Fixed 0.05125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0W53 194726.63970000 PA USD 214673.93000000 0.000463976079 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N MACK-CALI REALTY LP 549300MJC9VNA6VSEE11 55448QAQ9 644000.00000000 PA USD 663660.91000000 0.001434374389 Long DBT CORP US N 2 2022-04-18 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q9M83 1752007.09940000 PA USD 1829250.81000000 0.003953570979 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3131XVXP5 6018169.60000000 PA USD 6357789.35000000 0.013741129061 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CUH5 7820681.61200000 PA USD 8110568.47000000 0.017529421309 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.03000000 N N N N N N NEXTERA ENERGY CAP HLDGS INC UMI46YPGBLUE4VGNNT48 65339KBG4 2655000.00000000 PA USD 2813560.64000000 0.006080965843 Long DBT CORP US N 2 2024-04-01 Fixed 0.03150000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RST1 244282.26800000 PA USD 266254.95000000 0.000575458454 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335AGJ1 259362.76750000 PA USD 283660.23000000 0.000613076592 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9KG4 386216.11640000 PA USD 400652.57000000 0.000865932853 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.03000000 N N N N N N MAGNETITE XXI LTD 2019-21A A N/A 55954PAC8 7784000.00000000 PA USD 7794119.20000000 0.016845477563 Long ABS-CBDO CORP KY N 2 2030-04-20 Variable 0.03099130 N N N N N N CLECO CORPORATE HLDGS LLC 5493002H80P81B3HXL31 18551QAA5 4448000.00000000 PA USD 4570755.64000000 0.009878802159 Long DBT CORP US N 2 2029-09-15 Fixed 0.03375000 N N N N N N WESTINGHOUSE AIR BR CO N/A 960386AM2 430000.00000000 PA USD 488996.64000000 0.001056871433 Long DBT CORP US N 2 2028-09-15 Variable 0.04950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JRFE6 1548994.22210000 PA USD 1608574.27000000 0.003476621421 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 0.03500000 N N N N N N DUKE REALTY LP NEW 2549009GZDBNY1KE9O81 26441YAZ0 805000.00000000 PA USD 869675.39000000 0.001879634746 Long DBT CORP US N 2 2026-06-30 Fixed 0.03250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WGNE3 999941.76770000 PA USD 1065467.85000000 0.002302802189 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DFF4 3996162.52740000 PA USD 4077234.67000000 0.008812152264 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307UCF3 129583.46240000 PA USD 136589.94000000 0.000295212673 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03000000 N N N N N N OPEN TEXT CORPORATION 549300UQROQS42RKHM85 683715AB2 500000.00000000 PA USD 529400.00000000 0.001144195462 Long DBT CORP CA N 2 2026-06-01 Fixed 0.05875000 N N N N N N NEW RESIDENTIAL MTG LN TR 2019-NQM4 N/A 64830MAG8 2616798.40000000 PA USD 2720731.88000000 0.005880334475 Long ABS-CBDO CORP US N 2 2059-08-25 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L7Q44 556907.28610000 PA USD 587823.16000000 0.001270465795 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FL7 315000.00000000 PA USD 329314.40000000 0.000711749229 Long DBT CORP US N 2 2070-02-05 Fixed 0.03750000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HRV4 4205000.00000000 PA USD 4457849.47000000 0.009634777362 Long DBT CORP US N 2 2026-10-01 Fixed 0.02950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XKD1 630548.56880000 PA USD 685278.29000000 0.001481096165 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BXU5 276025.67670000 PA USD 299503.95000000 0.000647319721 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QSP77 368119.16030000 PA USD 396838.90000000 0.000857690345 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GYU8 664918.29120000 PA USD 704286.17000000 0.001522178012 Long ABS-MBS USGA US N 2 2043-11-15 Fixed 0.03500000 N N N N N N STATE STR INVT TR 549300CCOK7OZZUAS108 857492706 43141875.30000000 NS USD 43141875.30000000 0.093242799318 Long EC RF US N 1 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419K2B0 20682.55940000 PA USD 22487.44000000 0.000048602241 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N MORGAN STANLEY CAP I TR 2019-NUGS N/A 61692AAA0 5200000.00000000 PA USD 5194282.08000000 0.011226433673 Long ABS-MBS CORP US N 2 2036-12-15 Variable 0.02608500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617K53Y8 1972700.69300000 PA USD 2090816.34000000 0.004518894161 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 0.04000000 N N N N N N LEXINGTON CORP PPTYS TR REIT 549300S4MH2ICXDBFV43 529043AD3 1319000.00000000 PA USD 1395288.69000000 0.003015645991 Long DBT CORP US N 2 2024-06-15 Fixed 0.04400000 N N N N N N NORTHWESTERN CORP 3BPWMBHR1R9SHUN7J795 668074AU1 260000.00000000 PA USD 304455.90000000 0.000658022401 Long DBT CORP US N 2 2044-11-15 Fixed 0.04176000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X0Z27 369273.39900000 PA USD 379650.57000000 0.000820541102 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.02500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BDZ6 1125000.00000000 PA USD 1244135.52000000 0.002688957719 Long DBT CORP US N 2 2026-01-27 Fixed 0.03875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132KEZJ7 484064.21000000 PA USD 501497.06000000 0.001083888667 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HQEQ1 671588.15790000 PA USD 706351.91000000 0.001526642709 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N GENERAL MTRS FINL CO INC 5493008B6JBRUJ90QL97 37045XAQ9 7321000.00000000 PA USD 7567238.98000000 0.016355119954 Long DBT CORP US N 2 2021-09-25 Fixed 0.04375000 N N N N N N SAN DIEGO GAS and ELECTRIC CO KNIRVXKVNJJ4P8OTMS63 797440BV5 585000.00000000 PA USD 679791.38000000 0.001469237273 Long DBT CORP US N 2 2047-06-01 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JQRY1 10131480.47040000 PA USD 10521174.70000000 0.022739479318 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M3RR7 3731022.02760000 PA USD 4001618.88000000 0.008648723394 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179S2R7 37080399.65900000 PA USD 39604458.76000000 0.085597359284 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QA6X3 906849.67000000 PA USD 950098.87000000 0.002053454506 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QPD27 14880.59100000 PA USD 15715.97000000 0.000033967022 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946Q25 439492.20640000 PA USD 486295.45000000 0.001051033334 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417C2P9 216418.17570000 PA USD 229341.87000000 0.000495677988 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VHS2 3300000.00000000 PA USD 3417456.90000000 0.007386170528 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 0.03000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PAQ1 925000.00000000 PA USD 1014387.87000000 0.002192402716 Long DBT CORP US N 2 2026-12-06 Fixed 0.03700000 N N N N N N JM SMUCKER CO/THE 5493000WDH6A0LHDJD55 832696AK4 310000.00000000 PA USD 336475.38000000 0.000727226299 Long DBT CORP US N 2 2025-03-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WML58 433805.46310000 PA USD 468114.57000000 0.001011738887 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 7200000.00000000 NC USD 58264.56000000 0.000125927550 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 0.00000000 USD 2806.79000000 USD 7200000.00000000 USD 61071.35000000 N N N DB MASTER FIN LLC 549300F17UZJL70BPB08 233046AE1 4228665.00000000 PA USD 4342669.81000000 0.009385838858 Long ABS-CBDO CORP US N 2 2047-11-20 Fixed 0.03629000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W4VZ1 321909.03100000 PA USD 333067.20000000 0.000719860179 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.02500000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CD0 305000.00000000 PA USD 377443.87000000 0.000815771747 Long DBT CORP US N 2 2043-12-05 Fixed 0.05300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M7CD5 1231241.12980000 PA USD 1320538.37000000 0.002854087667 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EGET7 554774.57050000 PA USD 614791.91000000 0.001328753520 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N THERMO FISHER SCIENTIFIC INC HCHV7422L5HDJZCRFL38 883556BF8 570000.00000000 PA USD 621621.93000000 0.001343515284 Long DBT CORP US N 2 2024-02-01 Fixed 0.04150000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NXTQ0 253707.30540000 PA USD 268699.20000000 0.000580741226 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617M76Y9 232717.25200000 PA USD 250510.86000000 0.000541430656 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N COMCAST CORP NEW 51M0QTTNCGUN7KFCFZ59 20030NBJ9 1495000.00000000 PA USD 1615437.68000000 0.003491455351 Long DBT CORP US N 2 2024-03-01 Fixed 0.03600000 N N N N N N TOLL BROS FIN CORP N/A 88947EAR1 35000.00000000 PA USD 38237.50000000 0.000082642942 Long DBT CORP US N 2 2025-11-15 Fixed 0.04875000 N N N N N N SUNTRUST BANKS INC 7E1PDLW1JL6TS0BS1G03 867914BM4 540000.00000000 PA USD 551856.72000000 0.001192731308 Long DBT CORP US N 2 2022-01-27 Fixed 0.02700000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194CSX2 1493411.78730000 PA USD 1592664.23000000 0.003442234954 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AF4 12580000.00000000 PA USD 13463835.45000000 0.029099470020 Long DBT CORP US N 2 2023-03-15 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176YET0 19500.56410000 PA USD 21254.60000000 0.000045937697 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417CAZ8 1816830.76620000 PA USD 1948598.60000000 0.004211518088 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03500000 N N N N N N GE CAPITAL INTL FUNDING CO 549300G6UZOB126GBY72 36164QNA2 1370000.00000000 PA USD 1564400.79000000 0.003381149008 Long DBT CORP IE N 2 2035-11-15 Fixed 0.04418000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QLYS6 855631.28840000 PA USD 925059.35000000 0.001999336438 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJS35 589992.49100000 PA USD 620901.31000000 0.001341957804 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7A44 568635.89830000 PA USD 602690.65000000 0.001302598993 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FQ66 1206930.08000000 PA USD 1300693.58000000 0.002811197000 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J85B2 64605.36300000 PA USD 68333.16000000 0.000147688877 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EEXW4 135767.30100000 PA USD 147212.08000000 0.000318170370 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202EPW3 14246.46000000 PA USD 15914.83000000 0.000034396819 Long ABS-MBS USGA US N 2 2037-10-20 Fixed 0.05000000 N N N N N N ABBOTT LABORATORIES HQD377W2YR662HK5JX27 002824BH2 1460000.00000000 PA USD 2026304.45000000 0.004379464218 Long DBT CORP US N 2 2046-11-30 Fixed 0.04900000 N N N N N N INDIANA MICHIGAN POWER CO JHR9V15J0ZRG02MIRD06 454889AQ9 620000.00000000 PA USD 795027.32000000 0.001718297416 Long DBT CORP US N 2 2046-03-15 Fixed 0.04550000 N N N N N N BCAP LLC 2010-RR2 TR N/A 05532VBE6 517868.72990000 PA USD 522862.75000000 0.001130066463 Long ABS-CBDO CORP US N 2 2036-12-26 Fixed 0.05000000 N N N N N N NATIONSTAR HECM LN TR 2019-1 N/A 63862VAA4 2982109.23100000 PA USD 2992909.24000000 0.006468593071 Long ABS-CBDO CORP US N 2 2029-06-25 Fixed 0.02651300 N N N N N N CONSUMER LN UNDERLYING BD CLUB CR TR 18-P3 N/A 21053NAA9 6174899.78000000 PA USD 6240600.71000000 0.013487848536 Long ABS-CBDO CORP US N 2 2026-01-15 Fixed 0.03820000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CKY9 27551.31250000 PA USD 28572.55000000 0.000061754027 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HQJ2 115084.70250000 PA USD 122595.18000000 0.000264965713 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N ENBRIDGE ENERGY PARTNERS LP CZ6VG2MNE1J6YDI02G48 29250RAU0 2044000.00000000 PA USD 2104150.85000000 0.004547714119 Long DBT CORP US N 2 2021-09-15 Fixed 0.04200000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M8AY0 67997.01770000 PA USD 74194.44000000 0.000160356897 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N VIACOM INC NEW X0ST5BPF0CZG9FE5OV61 92553PAU6 220000.00000000 PA USD 277336.08000000 0.000599408168 Long DBT CORP US N 2 2043-09-01 Fixed 0.05850000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178YJ55 968663.86800000 PA USD 1017300.67000000 0.002198698168 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 0.03500000 N N N N N N COMMONWEALTH EDISON CO D8YOXB8L2ZDC8P7Q0771 202795JB7 1045000.00000000 PA USD 1318370.20000000 0.002849401587 Long DBT CORP US N 2 2043-08-15 Fixed 0.04600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4XG6 10697868.87100000 PA USD 11328545.68000000 0.024484455162 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179M2Q2 1358828.73450000 PA USD 1444465.79000000 0.003121932758 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JAPS1 598009.50100000 PA USD 620175.74000000 0.001340389625 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.03000000 N N N N N N CONTINENTAL AIR LINES INC K1OQBWM7XEOO08LDNP29 210795PZ7 748086.15100000 PA USD 806337.45000000 0.001742742069 Long DBT CORP US N 2 2025-10-11 Fixed 0.04150000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKDD4 149124.79060000 PA USD 167218.91000000 0.000361411254 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2YK2 47298.31000000 PA USD 49717.51000000 0.000107454758 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417VQ71 349980.83090000 PA USD 401016.79000000 0.000866720044 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 0.05500000 N N N N N N CHARTER COMM OPER LLC/CAP CORP N/A 161175BM5 450000.00000000 PA USD 516949.88000000 0.001117286941 Long DBT CORP US N 2 2038-04-01 Fixed 0.05375000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMV67 1229905.86000000 PA USD 1279494.68000000 0.002765379688 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.03000000 N N N N N N AVOLON HLDGS FDG LTD 635400ZRKEX9L1BKCH30 05401AAG6 3477000.00000000 PA USD 3702116.77000000 0.008001407649 Long DBT CORP KY N 2 2026-05-01 Fixed 0.04375000 N N N N N N BAY AREA TOLL AU CA BRIDGE REV N/A 072024ND0 3470000.00000000 PA USD 5968504.10000000 0.012899764466 Long DBT MUN US N 2 2049-04-01 Fixed 0.06263000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LW92 710738.43350000 PA USD 747528.74000000 0.001615638444 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946K96 129456.52070000 PA USD 144258.35000000 0.000311786455 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.05000000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAC7 1452000.00000000 PA USD 1555313.95000000 0.003361509566 Long DBT CORP US N 2 2023-09-15 Fixed 0.04200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H1BE9 106607.23200000 PA USD 109769.64000000 0.000237245795 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945SK5 738795.23070000 PA USD 805900.00000000 0.001741796605 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416CME3 45351.37450000 PA USD 47230.95000000 0.000102080541 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374CK47 16846.00030000 PA USD 18825.55000000 0.000040687776 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GA30 1014108.10210000 PA USD 1066744.17000000 0.002305560708 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N YPSO FINANCE BIS SA 529900FLJD3NC14A8I62 98424XAA7 105000.00000000 PA USD 100831.50000000 0.000217927738 Long DBT CORP LU N 2 2028-02-15 Fixed 0.06000000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 880591DM1 460000.00000000 PA USD 700204.37000000 0.001513355993 Long DBT USGSE US N 2 2030-05-01 Fixed 0.07125000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810QZ4 28000000.00000000 PA USD 36062031.32000000 0.077941089162 Long DBT UST US N 2 2043-02-15 Fixed 0.03125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140K5JZ1 991363.00000000 PA USD 1026657.11000000 0.002218920299 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N COMM 2015-PC1 MTG TR N/A 12593GAE2 1900000.00000000 PA USD 2073799.27000000 0.004482115063 Long ABS-MBS CORP US N 2 2050-07-10 Fixed 0.03620000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307RDB8 112675.19820000 PA USD 118556.19000000 0.000256236219 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GYK73 3265157.00650000 PA USD 3447376.93000000 0.007450836873 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J6EZ6 1047837.88000000 PA USD 1083831.11000000 0.002342490816 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J83P3 82540.84860000 PA USD 88233.48000000 0.000190699560 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAE0 1235000.00000000 PA USD 1333570.85000000 0.002882254845 Long DBT CORP US N 2 2023-07-15 Fixed 0.04500000 N N N N N N RETL 2019-RVP N/A 74952PAG2 3800000.00000000 PA USD 3803552.62000000 0.008220641573 Long ABS-MBS CORP US N 2 2036-03-15 Variable 0.03208500 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FZX7 13581447.55170000 PA USD 14458608.06000000 0.031249478155 Long ABS-MBS USGA US N 2 2041-12-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E9LG3 466445.22880000 PA USD 500274.73000000 0.001081246837 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N PRESIDENT and FELLOWS HARVARD CO LLEGE 6S3X7J22E861RNTJSA74 740816AM5 190000.00000000 PA USD 218890.30000000 0.000473088946 Long DBT CORP US N 2 2046-07-15 Fixed 0.03150000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7RY1 7450438.30280000 PA USD 7866297.93000000 0.017001477895 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.03500000 N N N N N N EXPORT IMPORT BANK KOREA 549300APVP4R32PI3Y06 302154AW9 800000.00000000 PA USD 809016.00000000 0.001748531235 Long DBT CORP KR N 2 2020-06-29 Fixed 0.05125000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G0T78 635000.00000000 PA USD 651527.75000000 0.001408150916 Long DBT USGSE US N 2 2022-10-05 Fixed 0.02000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BT5 1300000.00000000 PA USD 1479072.53000000 0.003196728518 Long DBT CORP GB N 2 2029-06-19 Variable 0.04583000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGAE4 1881063.21550000 PA USD 2026860.29000000 0.004380665558 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M4MC6 37155.15290000 PA USD 40216.46000000 0.000086920081 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128285L0 17335000.00000000 PA USD 17896356.01000000 0.038679503854 Long DBT UST US N 2 2021-11-15 Fixed 0.02875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LH25 100977.30560000 PA USD 112857.45000000 0.000243919497 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.05000000 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAC9 2509000.00000000 PA USD 2942074.07000000 0.006358722706 Long DBT CORP US N 2 2029-01-25 Fixed 0.04709000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292K4D6 347207.82980000 PA USD 378853.22000000 0.000818817784 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N SWISS RE FINANCE LUXEMBOURG 549300CLQZ6TM98LW631 87089NAA8 3200000.00000000 PA USD 3620800.00000000 0.007825657216 Long DBT CORP LU N 2 2049-04-02 Variable 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335CAW4 19830409.10600000 PA USD 21415481.47000000 0.046285411265 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04500000 N N N N N N BLACKROCK BD FD INC 549300WQF7SM1NEFDT68 09252M883 29407393.17500000 NS USD 361416862.12000000 0.781132477679 Long EC RF US N 1 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417DCU5 250512.91520000 PA USD 264107.25000000 0.000570816617 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L9KT1 1607885.14700000 PA USD 1716747.01000000 0.003710415827 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BBW5 296087.77650000 PA USD 326541.83000000 0.000705756857 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.05000000 N N N N N N ONEOK PARTNERS LP T4DHW82NMF6BXJT50795 68268NAC7 400000.00000000 PA USD 518220.41000000 0.001120032946 Long DBT CORP US N 2 2036-10-01 Fixed 0.06650000 N N N N N N WILLIAMS PARTNERS LP N/A 96950FAM6 2607000.00000000 PA USD 2822528.38000000 0.006100347874 Long DBT CORP US N 2 2024-03-04 Fixed 0.04300000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448BY3 900000.00000000 PA USD 922932.84000000 0.001994740399 Long DBT CORP US N 2 2022-03-05 Fixed 0.02750000 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAN6 5961000.00000000 PA USD 6595604.54000000 0.014255120488 Long DBT CORP US N 2 2029-06-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2MZ2 2309788.41070000 PA USD 2456079.32000000 0.005308339277 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.03500000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAM5 8719000.00000000 PA USD 9356534.50000000 0.020222335321 Long DBT CORP US N 2 2027-12-01 Fixed 0.03950000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HJZ4 7374000.00000000 PA USD 8296975.34000000 0.017932303619 Long DBT CORP US N 2 2026-12-15 Fixed 0.04125000 N N N N N N DOUBLELINE FDS TR 54930080M2JY1L0IFX13 258620202 126220903.10100000 NS USD 1377070052.83000000 2.976269939359 Long EC RF US N 1 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LWES6 261320.93460000 PA USD 288284.89000000 0.000623071898 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.04500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MK4 215000.00000000 PA USD 212043.75000000 0.000458291455 Long EP CORP US N 2 N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ABF4 220960.30900000 PA USD 235785.07000000 0.000509603715 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WH3U4 2396090.05600000 PA USD 2482892.25000000 0.005366290226 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.02500000 N N N N N N SPRINT COMMUNICATIONS INC 549300JKU50UT08ZWD77 852061AS9 800000.00000000 PA USD 858080.00000000 0.001854573559 Long DBT CORP US N 2 2022-11-15 Fixed 0.06000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135AZ9 1045000.00000000 PA USD 1101839.72000000 0.002381412935 Long DBT CORP US N 2 2024-08-22 Fixed 0.02800000 N N N N N N BRITISH TELECOMMUNICATION PLC 549300OWFMSO9NYV4H90 111021AE1 575000.00000000 PA USD 910571.51000000 0.001968023781 Long DBT CORP GB N 2 2030-12-15 Variable 0.09625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XAB6 4478873.46060000 PA USD 4869725.49000000 0.010524967527 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MSY7 39594.52900000 PA USD 42583.92000000 0.000092036887 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 0.04000000 N N N N N N JPMORGAN TR II DQ695W4P67V7A4LC6I09 4812C0811 34011217.06800000 NS USD 296237700.66000000 0.640260356811 Long EC RF US N 1 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36294QLV1 17532.46000000 PA USD 19027.28000000 0.000041123776 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H030641 -19400000.00000000 PA USD -20024266.78000000 -0.04327857043 Short ABS-MBS USGA US N 2 2050-04-01 Fixed 0.03000000 N N N N N N RMF BUYOUT ISSUANCE TRUST 2020 N/A 74968QAA5 277206.59000000 PA USD 279679.00000000 0.000604471935 Long ABS-CBDO CORP US N 2 2030-02-25 Fixed 0.02158200 N N N N N N THUNDERBOLT AIRCRAFT LEASE LIM N/A 886065AA9 8014684.57750000 PA USD 8316192.20000000 0.017973837136 Long ABS-CBDO CORP US N 2 2038-09-15 Variable 0.04147000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M7RW7 1487835.42390000 PA USD 1586908.45000000 0.003429794952 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J96A1 38035.60480000 PA USD 41252.66000000 0.000089159626 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AC7K9 755851.71000000 PA USD 896083.82000000 0.001936711448 Long ABS-CBDO USGSE US N 2 2041-06-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XTW50 388515.59100000 PA USD 420085.51000000 0.000907933385 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J62W3 106865.23420000 PA USD 113332.02000000 0.000244945188 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A37B7 230780.33000000 PA USD 255242.08000000 0.000551656270 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YPCL4 120827.17770000 PA USD 129401.52000000 0.000279676297 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761JVL0 21259000.00000000 PA USD 23116857.17000000 0.049962604985 Long DBT CORP US N 2 2024-10-23 Fixed 0.03700000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBG4 2069000.00000000 PA USD 2074943.22000000 0.004484587489 Long DBT CORP US N 2 2021-09-09 Variable 0.02785000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417BF28 1387966.10600000 PA USD 1482991.40000000 0.003205198395 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.03500000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RCP5 1980000.00000000 PA USD 2278024.45000000 0.004923508196 Long DBT CORP US N 2 2035-05-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417HBY9 1960156.34000000 PA USD 2085780.21000000 0.004508009542 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03500000 N N N N N N LOUISVILLE GAS and ELECTRIC CO KO3GRIB3RPH1XDX50U72 546676AU1 345000.00000000 PA USD 452545.23000000 0.000978088777 Long DBT CORP US N 2 2040-11-15 Fixed 0.05125000 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEU4 1146000.00000000 PA USD 1332135.86000000 0.002879153393 Long DBT CORP US N 2 2029-12-03 Fixed 0.04016000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAG6 6744000.00000000 PA USD 6758325.07000000 0.014606809366 Long DBT CORP US N 2 2020-06-04 Fixed 0.03100000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7TM5 6709347.15220000 PA USD 7083841.44000000 0.015310349890 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.03500000 N N N N N N CARVANA AUTO RECEIVABLES TR 2019-4 N/A 14686YAD9 2936000.00000000 PA USD 2961578.43000000 0.006400877599 Long ABS-CBDO CORP US N 2 2023-09-15 Fixed 0.02300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VD0 28351606.36800000 PA USD 29730322.30000000 0.064256327677 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBS82 12850200.45200000 PA USD 13477017.81000000 0.029127961135 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WBC6 919000.00000000 PA USD 997527.08000000 0.002155961387 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 0.04949800 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WBGV1 2410467.07860000 PA USD 2607842.87000000 0.005636346767 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83367TBJ7 21901000.00000000 PA USD 23498792.49000000 0.050788084132 Long DBT CORP FR N 2 2025-04-14 Fixed 0.04250000 N N N N N N MILLICOM INTL CELLULAR SA 549300CTHC1CP86P2G96 600814AP2 600000.00000000 PA USD 642000.00000000 0.001387558532 Long DBT CORP LU N 2 2026-10-15 Fixed 0.06625000 N N N N N N ILLINOIS ST N/A 452152GR6 958000.00000000 PA USD 991280.92000000 0.002142461523 Long DBT MUN US N 2 2021-07-01 Fixed 0.06200000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P77E7 16251788.60800000 PA USD 17169068.81000000 0.037107613574 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.03500000 N N N N N N SPECTRA ENERGY PARTNERS LP 2HKVXE7U4NF5B6UGSU72 84756NAD1 6000000.00000000 PA USD 6600698.94000000 0.014266131046 Long DBT CORP US N 2 2024-03-15 Fixed 0.04750000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AQ7 40000.00000000 PA USD 39423.60000000 0.000085206468 Long DBT CORP US N 2 2030-04-15 Fixed 0.04625000 N N N N N N ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP N/A 451102BU0 305000.00000000 PA USD 311100.00000000 0.000672382335 Long DBT CORP US N 2 2024-09-15 Fixed 0.04750000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 N/A 17291EBB6 17410027.14110000 PA USD 584061.14000000 0.001262334919 Long ABS-MBS CORP US N 2 2049-12-10 Variable 0.00793067 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F030637 -64650000.00000000 PA USD -66575865.32000000 -0.14389082547 Short ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJWQ9 1245267.41160000 PA USD 1319086.74000000 0.002850950250 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03500000 N N N N N N PUGET ENERGY INC NEW SYBSJ96YIDMIUY7WDR33 745310AB8 1405000.00000000 PA USD 1458054.74000000 0.003151302639 Long DBT CORP US N 2 2020-12-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XCSD8 34953.61400000 PA USD 38533.96000000 0.000083283683 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F3BS6 1375099.22790000 PA USD 1464516.71000000 0.003165268935 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N TWDC ENTERPRISES 18 CORP 7260JQNI6SCF9FIV2392 25468PCN4 200000.00000000 PA USD 203919.77000000 0.000440733047 Long DBT CORP US N 2 2021-08-16 Fixed 0.02750000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 5300000.00000000 NC USD 538043.55000000 0.001162876819 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-05-04 0.00000000 USD 0.00000000 USD 5300000.00000000 USD 1.00000000 2.60500000 USD 2022-04-29 XXXX 392293.55000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CBF0 622022.52500000 PA USD 648282.01000000 0.001401135878 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MVT4 2193334.16410000 PA USD 2358931.11000000 0.005098372255 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.04000000 N N N N N N DTE ENERGY CO 549300IX8SD6XXD71I78 233331AZ0 1635000.00000000 PA USD 1781905.73000000 0.003851243767 Long DBT CORP US N 2 2027-03-15 Fixed 0.03800000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFLZ8 373245.31710000 PA USD 407030.55000000 0.000879717620 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EKH40 600024.55780000 PA USD 630793.10000000 0.001363336990 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N CVR ENERGY INC 529900SOYZIXZBTXB558 12662PAB4 275000.00000000 PA USD 256437.50000000 0.000554239939 Long DBT CORP US N 2 2025-02-15 Fixed 0.05250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FX92 2929240.55690000 PA USD 3200949.29000000 0.006918231305 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413DVA2 8744.72590000 PA USD 9175.21000000 0.000019830437 Long ABS-MBS USGSE US N 2 2037-07-01 Variable 0.04783000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401JFK9 93254.75120000 PA USD 104049.70000000 0.000224883253 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EKFT7 310385.39750000 PA USD 325288.86000000 0.000703048805 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.03500000 N N N N N N ILLINOIS ST N/A 452152BM2 3845000.00000000 PA USD 4834818.35000000 0.010449522511 Long DBT MUN US N 2 2035-02-01 Fixed 0.06630000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EPH64 378491.84500000 PA USD 418241.66000000 0.000903948261 Long ABS-MBS USGSE US N 2 2041-08-01 Variable 0.05245000 N N N N N N FIDELITY SALEM STREET TRUST S4W85DGKOEJ24DPRB829 31635T104 10145352.14800000 NS USD 105511662.34000000 0.228043002045 Long EC RF US N 1 N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CZ6 1762000.00000000 PA USD 1808133.69000000 0.003907930418 Long DBT CORP US N 2 2021-03-15 Fixed 0.04850000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022634 13600000.00000000 PA USD 13868663.92000000 0.029974428272 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177JRP6 24366.95570000 PA USD 25946.72000000 0.000056078804 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412QHM4 22162.58760000 PA USD 24248.54000000 0.000052408518 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E3CU5 2812980.34900000 PA USD 3002930.22000000 0.006490251476 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LWFU0 12473.12980000 PA USD 13760.15000000 0.000029739896 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.04500000 N N N N N N SCHLUMBERGER INVT SA 529900EZ29I5KXPV2J32 806854AH8 210000.00000000 PA USD 223873.47000000 0.000483859101 Long DBT CORP LU N 2 2023-12-01 Fixed 0.03650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HJLU3 42250.07600000 PA USD 45485.18000000 0.000098307398 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AJXT4 31074.32670000 PA USD 34522.95000000 0.000074614663 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032633 -125850000.00000000 PA USD -130684653.60000000 -0.28244954223 Short ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402J4A2 23291.34400000 PA USD 25947.63000000 0.000056080771 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MQTX1 3131881.48080000 PA USD 3359024.94000000 0.007259881175 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468C6 2450000.00000000 PA USD 2720354.51000000 0.005879518863 Long DBT CORP US N 2 2025-07-23 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312943WK5 3906912.79210000 PA USD 4262998.59000000 0.009213644962 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N WFRBS COML MTG TR 2014-C24 N/A 92939KAH1 6442368.96040000 PA USD 199114.94000000 0.000430348339 Long ABS-MBS CORP US N 2 2047-11-15 Variable 0.00836924 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128283F5 46660000.00000000 PA USD 50740927.46000000 0.109666677293 Long DBT UST US N 2 2027-11-15 Fixed 0.02250000 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38141GWT7 5700000.00000000 PA USD 5960555.95000000 0.012882586081 Long DBT CORP US N 2 2023-02-23 Fixed 0.03200000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JN7K7 27967.23750000 PA USD 29432.40000000 0.000063612426 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MX39 13957278.26620000 PA USD 14663418.85000000 0.031692136969 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 0.03000000 N N N N N N OI EUROPEAN GROUP BV 72450053F5WRDY8CDZ66 67777LAC7 500000.00000000 PA USD 505625.00000000 0.001092810409 Long DBT CORP NL N 2 2023-03-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EN4H9 372694.81430000 PA USD 409054.29000000 0.000884091542 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04500000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAG8 2803000.00000000 PA USD 3147962.72000000 0.006803711107 Long DBT CORP US N 2 2029-04-15 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M1EB0 344544.12360000 PA USD 373588.16000000 0.000807438378 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.04000000 N N N N N N UNIVERSITY SOUTHN CALIF 0GMCSQ6M60R4T46U5511 914886AC0 705000.00000000 PA USD 907902.38000000 0.001962254974 Long DBT CORP US N 2 2047-10-01 Fixed 0.03841000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WDBG5 264027.82380000 PA USD 285317.13000000 0.000616657660 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 0.04000000 N N N N N N PANAMA REPUBLIC OF 549300SHS4T08CL0LP14 698299BB9 615000.00000000 PA USD 757603.13000000 0.001637412284 Long DBT NUSS PA N 2 2053-04-29 Fixed 0.04300000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FTL0 3456738.35870000 PA USD 3783857.81000000 0.008178075059 Long ABS-MBS USGA US N 2 2041-05-20 Fixed 0.04500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61746BDQ6 4200000.00000000 PA USD 4565588.58000000 0.009867634560 Long DBT CORP US N 2 2024-04-29 Fixed 0.03875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M73F1 135592.02490000 PA USD 152239.43000000 0.000329036012 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.05000000 N N N N N N KEYBANK NATL ASSN HUX2X73FUCYHUVH1BK78 49327V2B9 2005000.00000000 PA USD 2243893.48000000 0.004849740721 Long DBT CORP US N 2 2029-04-13 Fixed 0.03900000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412N3T1 682396.91740000 PA USD 756220.87000000 0.001634424797 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417DNB5 649063.63910000 PA USD 682346.84000000 0.001474760404 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6NS9 185505.12290000 PA USD 201195.15000000 0.000434844309 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N PNC BK N A PITTSBURGH PA MEDIUM TERM SR BK NTS BOOK ENTRY N/A 69353REQ7 1710000.00000000 PA USD 1836659.65000000 0.003969583750 Long DBT CORP US N 2 2025-06-01 Fixed 0.03250000 N N N N N N BANC AMER FDG 2015-R3 TR N/A 05990QBD4 612483.67080000 PA USD 606628.33000000 0.001311109525 Long ABS-CBDO CORP US N 2 2036-06-27 Variable 0.01800880 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAD5 2029000.00000000 PA USD 2181337.32000000 0.004714537709 Long DBT CORP US N 2 2024-08-15 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5A74 97524.64730000 PA USD 107514.82000000 0.000232372438 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N BX TR 2018-IND N/A 12433WAC5 4446197.56800000 PA USD 4439063.64000000 0.009594175433 Long ABS-MBS CORP US N 2 2037-09-15 Variable 0.02983500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XZT84 312072.33400000 PA USD 337430.65000000 0.000729290930 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HQG8 63459.23380000 PA USD 67679.93000000 0.000146277047 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N BANK NEW YORK MELLON CORP WFLLPEPC7FZXENRZV188 06406HCV9 750000.00000000 PA USD 803514.29000000 0.001736640356 Long DBT CORP US N 2 2024-05-15 Fixed 0.03400000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQF98 249660.05850000 PA USD 266332.33000000 0.000575625696 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ATG3 960353.97400000 PA USD 1040980.49000000 0.002249877508 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418APE2 417880.83520000 PA USD 434153.83000000 0.000938339331 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QUJM6 6036903.19040000 PA USD 6464571.90000000 0.013971918841 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJYD6 645577.51430000 PA USD 693724.69000000 0.001499351421 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJZF0 8327081.79260000 PA USD 8672247.66000000 0.018743381982 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403DAT6 1534513.58310000 PA USD 1658359.11000000 0.003584221701 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.05000000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAL7 1373000.00000000 PA USD 1454086.17000000 0.003142725345 Long DBT CORP US N 2 2023-03-15 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNH36 2324659.76920000 PA USD 2494429.44000000 0.005391225626 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404VNW4 142646.88920000 PA USD 150478.45000000 0.000325229995 Long ABS-MBS USGSE US N 2 2035-02-01 Variable 0.04387000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417DU50 251238.36700000 PA USD 266241.39000000 0.000575429146 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ALSX3 22511.87330000 PA USD 24817.93000000 0.000053639144 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W4QD6 498075.11140000 PA USD 530618.69000000 0.001146829424 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03500000 N N N N N N DISNEY (WALT) CO 549300GZKULIZ0WOW665 254687EX0 50000.00000000 PA USD 68707.61000000 0.000148498178 Long DBT CORP US N 2 2045-10-15 Fixed 0.04950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ETG75 2184256.24990000 PA USD 2366522.17000000 0.005114778860 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N CHARTER COMM OPER LLC/CAP CORP N/A 161175BT0 750000.00000000 PA USD 807712.82000000 0.001745714664 Long DBT CORP US N 2 2050-03-01 Fixed 0.04800000 N N N N N N ROYAL BANK OF SCOTLAND GRP PLC (UNGTD) 2138005O9XJIJN4JPN90 780097AY7 35526000.00000000 PA USD 39306705.70000000 0.084953823772 Long DBT CORP GB N 2 2023-06-10 Fixed 0.06100000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946SE7 52527.85100000 PA USD 58533.79000000 0.000126509438 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.05000000 N N N N N N DUQUESNE LIGHT HLDGS INC 4CUJ1D8WDXK9X7QI6B93 266233AC9 4858000.00000000 PA USD 4971480.31000000 0.010744890842 Long DBT CORP US N 2 2020-09-15 Fixed 0.06400000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2A77 2419859.49500000 PA USD 2574634.19000000 0.005564572643 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NQ68 2062442.97170000 PA USD 2226035.74000000 0.004811144678 Long ABS-MBS USGA US N 2 2043-10-20 Fixed 0.04500000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDL3 1350000.00000000 PA USD 1637911.37000000 0.003540027875 Long DBT CORP US N 2 2048-06-15 Fixed 0.04250000 N N N N N N BECTON DICKINSON and CO ICE2EP6D98PQUILVRZ91 075887BW8 118000.00000000 PA USD 130327.55000000 0.000281677732 Long DBT CORP US N 2 2027-06-06 Fixed 0.03700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AJD1 31360.09560000 PA USD 34595.93000000 0.000074772395 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WDKY9 75384.14930000 PA USD 79568.99000000 0.000171972945 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03000000 N N N N N N ANGLO AMERICAN CAPITAL PLC TINT358G1SSHR3L3PW36 034863AM2 6803000.00000000 PA USD 6980435.51000000 0.015086858021 Long DBT CORP GB N 2 2021-04-15 Fixed 0.04125000 N N N N N N HOLMES MASTER ISSUER PLC N/A 43641NCA0 6626442.99000000 PA USD 6622639.41000000 0.014313551118 Long ABS-CBDO CORP GB N 2 2054-10-15 Variable 0.02251250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J7PS8 1961865.39700000 PA USD 2091890.38000000 0.004521215490 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAH9 3216000.00000000 PA USD 3283688.99000000 0.007097057125 Long DBT CORP US N 2 2020-09-15 Fixed 0.05625000 N N N N N N NAVIENT CORP 54930067J0ZNOEBRW338 63938CAD0 1300000.00000000 PA USD 1338376.00000000 0.002892640245 Long DBT CORP US N 2 2021-07-26 Fixed 0.06625000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAS8 2925000.00000000 PA USD 3449456.45000000 0.007455331352 Long DBT CORP US N 2 2045-05-14 Fixed 0.04700000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RD63 312191.89120000 PA USD 327498.82000000 0.000707825205 Long ABS-MBS USGA US N 2 2045-05-20 Fixed 0.03000000 N N N N N N VIRGINIA ELECTRIC AND POWER CO CQKUMNNZVDJLRYV2PT43 927804FU3 15000.00000000 PA USD 16143.34000000 0.000034890699 Long DBT CORP US N 2 2026-01-15 Fixed 0.03150000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RXE4 489226.76790000 PA USD 520965.40000000 0.001125965709 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AHTW0 254085.15520000 PA USD 42495.67000000 0.000091846151 Long ABS-CBDO USGSE US N 2 2044-01-25 Variable 0.04423250 N N N N N N VIRGINIA ELECTRIC AND POWER CO CQKUMNNZVDJLRYV2PT43 927804FA7 470000.00000000 PA USD 668280.09000000 0.001444357851 Long DBT CORP US N 2 2036-01-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128KYH28 4949.24580000 PA USD 5883.88000000 0.000012716865 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AVP90 680451.61620000 PA USD 741272.29000000 0.001602116340 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M7CZ7 88641.25660000 PA USD 100452.16000000 0.000217107868 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNH51 425752.41490000 PA USD 454317.17000000 0.000981918482 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403DLV9 152034.02050000 PA USD 179092.11000000 0.000387072874 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SWW3 1726832.27920000 PA USD 1802325.93000000 0.003895378071 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 0.03000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810RM2 15826000.00000000 PA USD 20156512.85000000 0.043564394675 Long DBT UST US N 2 2045-05-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417Y2K2 87619.51730000 PA USD 96138.75000000 0.000207785269 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EGU9 944497.48000000 PA USD 992930.18000000 0.002146026079 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FGC4 218106.70330000 PA USD 235187.21000000 0.000508311557 Long ABS-MBS USGA US N 2 2040-05-20 Fixed 0.04000000 N N N N N N TANGER PPTYS LTD PARTNERSHIP PQPGJDNFN35EXH363L31 875484AK3 13369000.00000000 PA USD 14284159.65000000 0.030872441738 Long DBT CORP US N 2 2027-07-15 Fixed 0.03875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNMF1 323401.42280000 PA USD 350451.53000000 0.000757433038 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X9XM6 93061.39500000 PA USD 96714.45000000 0.000209029533 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QB3Q9 12864970.56200000 PA USD 13520650.51000000 0.029222264757 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N DEUTSCHE BANK AG NEW YORK BNCH 7LTWFZYICNSX8D621K86 251526BL2 10180000.00000000 PA USD 10448637.07000000 0.022582703294 Long DBT CORP US N 2 2022-11-16 Fixed 0.03300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410LDP4 694928.19710000 PA USD 769456.33000000 0.001663030678 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N WESTERN ASSET FDS INC 549300Q2LEO7M5HGWP70 957663503 268433589.05600000 NS USD 3274889786.48000000 7.078039353324 Long EC RF US N 1 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X6EN1 60946.03750000 PA USD 63224.15000000 0.000136646742 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.03000000 N N N N N N PROVIDENT FDG MTG TR 2019-1 N/A 74387LAE1 3840207.81000000 PA USD 3930212.68000000 0.008494392736 Long ABS-CBDO CORP US N 2 2049-12-25 Fixed 0.03000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -17000000.00000000 NC USD -220364.88000000 -0.00047627596 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-08-05 0.00000000 USD 0.00000000 USD -17000000.00000000 USD 1.00000000 1.97000000 USD 2024-08-01 XXXX 252235.12000000 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PBP6 240000.00000000 PA USD 245172.48000000 0.000529892782 Long DBT CORP US N 2 2021-02-15 Fixed 0.04700000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307G2R9 1188602.75300000 PA USD 1240612.09000000 0.002681342508 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FY59 5829803.51440000 PA USD 6206322.54000000 0.013413762917 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EK7K5 17199.35370000 PA USD 18649.21000000 0.000040306651 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401H5M0 93880.27220000 PA USD 104623.09000000 0.000226122525 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHBS0 810504.41540000 PA USD 870538.72000000 0.001881500667 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L7VF3 540474.20640000 PA USD 570308.92000000 0.001232612161 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GSS67 61619.22500000 PA USD 67042.80000000 0.000144900014 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N QUEBEC PROVINCE CDA 549300WN65YFEQH74Y36 748148PD9 810000.00000000 PA USD 996429.60000000 0.002153589397 Long DBT NUSS CA N 2 2024-02-09 Fixed 0.07125000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -20200000.00000000 NC USD -931153.14000000 -0.00201250698 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-12-11 0.00000000 USD 0.00000000 USD -20200000.00000000 USD 1.00000000 1.89000000 USD 2024-12-09 XXXX -355453.14000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVWN3 155088.18010000 PA USD 166672.54000000 0.000360230381 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.04000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAK6 505000.00000000 PA USD 541467.87000000 0.001170277823 Long DBT CORP US N 2 2027-03-01 Fixed 0.04125000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36193VFQ0 164725.84220000 PA USD 176394.23000000 0.000381241929 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N BAYVIEW COML ASST TR 2007 2 N/A 07325XAB6 103557.84350000 PA USD 97179.99000000 0.000210035707 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.01946750 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3133KGJS8 825355.06900000 PA USD 857101.28000000 0.001852458245 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MAA58 430146.63600000 PA USD 470443.38000000 0.001016772158 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 0.04500000 N N N N N N BAYVIEW COML ASST TR 2007 2 N/A 07325XAC4 35248.56580000 PA USD 32761.42000000 0.000070807457 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.01996750 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RCS9 6860000.00000000 PA USD 7224696.47000000 0.015614780729 Long DBT CORP US N 2 2023-02-17 Fixed 0.03600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410PSQ7 45854.82720000 PA USD 54408.49000000 0.000117593402 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 0.06000000 N N N N N N CARDINAL HEALTH INC CCU46N3GJMF4OK4N7U60 14149YAV0 405000.00000000 PA USD 419280.04000000 0.000906192518 Long DBT CORP US N 2 2022-06-15 Fixed 0.03200000 N N N N N N WELLS FARGO and CO PBLD0EJDB5FWOLXP3B76 94974BGE4 1385000.00000000 PA USD 1685237.75000000 0.003642314670 Long DBT CORP US N 2 2044-11-04 Fixed 0.04650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VCD4 2018042.61460000 PA USD 2247547.54000000 0.004857638263 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J9GM4 182859.10070000 PA USD 192438.81000000 0.000415919178 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9DU2 1577039.31500000 PA USD 1656193.60000000 0.003579541371 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAM7 7954000.00000000 PA USD 8102526.47000000 0.017512040085 Long DBT CORP IE N 2 2024-08-14 Fixed 0.02875000 N N N N N N UPGRADE RECEIVABLES TRUST 2019-2 5493009DX1Z3IUWYTS52 91532MAA5 4503628.61210000 PA USD 4525355.92000000 0.009780679466 Long ABS-CBDO CORP US N 2 2025-10-15 Fixed 0.02770000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418MY63 78527.67650000 PA USD 93377.21000000 0.000201816735 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LSLU2 1207242.98310000 PA USD 1294799.73000000 0.002798458586 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8K87 5578465.85800000 PA USD 5993689.48000000 0.012954197782 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YS3T1 407688.30740000 PA USD 443257.40000000 0.000958014933 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04500000 N N N N N N COMM 2006 FL12 N/A 12592LBK7 18188940.88580000 PA USD 744618.86000000 0.001609349302 Long ABS-MBS CORP US N 2 2047-11-10 Variable 0.01027173 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H040632 -14200000.00000000 PA USD -14783946.60000000 -0.03195263433 Short ABS-MBS USGA US N 2 2050-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XFR23 650971.24330000 PA USD 709515.24000000 0.001533479633 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9ZL8 2719269.81760000 PA USD 2849356.15000000 0.006158330898 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.03500000 N N N N N N BARRICK NORTH AMER FIN LLC N/A 06849RAK8 330000.00000000 PA USD 465826.68000000 0.001006794056 Long DBT CORP US N 2 2043-05-01 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HJL33 747884.99700000 PA USD 776775.20000000 0.001678848997 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5SZ6 27303.91570000 PA USD 29930.04000000 0.000064687978 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N LIBERTY PPTY LTD PARTNERSHIP 549300N6GNCW2Y4RH795 53117CAN2 1061000.00000000 PA USD 1121178.18000000 0.002423209267 Long DBT CORP US N 2 2022-06-15 Fixed 0.04125000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RHR6 3131000.00000000 PA USD 3335889.26000000 0.007209877889 Long DBT CORP US N 2 2024-06-01 Fixed 0.03550000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202F4T0 358488.93580000 PA USD 398823.31000000 0.000861979262 Long ABS-MBS USGA US N 2 2042-03-20 Fixed 0.05000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -20200000.00000000 NC USD -305545.20000000 -0.00066037671 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-12-12 0.00000000 USD 0.00000000 USD -20200000.00000000 USD 1.00000000 1.90000000 USD 2024-12-10 XXXX 265104.80000000 N N N SITE CENTERS CORP W2AVA6SODOQ1LCYJQR54 23317HAA0 1600000.00000000 PA USD 1703972.53000000 0.003682806265 Long DBT CORP US N 2 2022-07-15 Fixed 0.04625000 N N N N N N QORVO INC 254900YAUJV2EUEVBR11 74736KAF8 600000.00000000 PA USD 619800.00000000 0.001339577536 Long DBT CORP US N 2 2026-07-15 Fixed 0.05500000 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAA7 7436000.00000000 PA USD 8130516.23000000 0.017572534525 Long DBT CORP US N 2 2024-04-01 Fixed 0.04600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A3WQ6 29033.72120000 PA USD 32337.54000000 0.000069891323 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X1RS7 877854.00790000 PA USD 902523.11000000 0.001950628725 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.02500000 N N N N N N TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN N/A 87612BBB7 900000.00000000 PA USD 903393.00000000 0.001952508823 Long DBT CORP US N 2 2025-02-01 Fixed 0.05125000 N N N N N N WEC ENERGY GROUP INC 549300IGLYTZUK3PVP70 976657AH9 1012000.00000000 PA USD 972459.21000000 0.002101782046 Long DBT CORP US N 2 2067-05-15 Variable 0.03804250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4XF8 10654013.05500000 PA USD 11312068.83000000 0.024448843645 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 0.03500000 N N N N N N ILLINOIS ST N/A 452151LF8 24560000.00000000 PA USD 28735200.00000000 0.062105563755 Long DBT MUN US N 2 2033-06-01 Fixed 0.05100000 N N N N N N BEECHWOOD PARK CLO LTD N/A 07355TAA0 2900000.00000000 PA USD 2900870.00000000 0.006269668098 Long ABS-CBDO CORP KY N 2 2033-01-17 Variable 0.03233170 N N N N N N DCP MIDSTREAM LLC VQOHU6HCVU6YY1KUKU03 23311RAD8 2258000.00000000 PA USD 2260826.18000000 0.004886337469 Long DBT CORP US N 2 2020-03-15 Fixed 0.05350000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFF28 146990.06450000 PA USD 163383.23000000 0.000353121175 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAL5 1300000.00000000 PA USD 1337375.00000000 0.002890476778 Long DBT CORP US N 2 2025-04-01 Fixed 0.05250000 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BJ7 590000.00000000 PA USD 653010.94000000 0.001411356544 Long DBT CORP US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FHXU6 303626.75700000 PA USD 323180.68000000 0.000698492383 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31334XEQ8 477943.29900000 PA USD 496326.77000000 0.001072714087 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 0.03500000 N N N N N N CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP N/A 226373AQ1 240000.00000000 PA USD 221988.00000000 0.000479784024 Long DBT CORP US N 2 2027-05-01 Fixed 0.05625000 N N N N N N WELLS FARGO and CO PBLD0EJDB5FWOLXP3B76 94974BGH7 7625000.00000000 PA USD 8048643.78000000 0.017395583097 Long DBT CORP US N 2 2025-02-19 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177LQG2 57888.78740000 PA USD 62951.04000000 0.000136056468 Long ABS-MBS USGA US N 2 2042-04-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AA4A0 1269792.90240000 PA USD 1278358.80000000 0.002762924704 Long ABS-CBDO USGSE US N 2 2043-01-25 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WXWF0 21466.54960000 PA USD 22755.16000000 0.000049180866 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132ADPE2 356455.41260000 PA USD 380915.67000000 0.000823275370 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FM60 231187.90200000 PA USD 246335.96000000 0.000532407419 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 0.03500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -20200000.00000000 NC USD -937585.02000000 -0.00202640824 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-12-12 0.00000000 USD 0.00000000 USD -20200000.00000000 USD 1.00000000 1.90000000 USD 2024-12-10 XXXX -366935.02000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QTUT1 378108.56620000 PA USD 400522.80000000 0.000865652380 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGZR8 298093.51100000 PA USD 310010.28000000 0.000670027116 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 0.02500000 N N N N N N ADVANCED DRAIN SYS INC DEL 6QQTOZ5MF5DHM7K92I60 00790RAA2 400000.00000000 PA USD 413500.00000000 0.000893700082 Long DBT CORP US N 2 2027-09-30 Fixed 0.05000000 N N N N N N ALABAMA POWER and LIGHT 0RL818ELFOHP5JHOFU19 010392FM5 1000000.00000000 PA USD 1121338.87000000 0.002423556567 Long DBT CORP US N 2 2045-03-01 Fixed 0.03750000 N N N N N N BX TRUST 2019 N/A 056054AE9 3832111.57000000 PA USD 3838264.41000000 0.008295664377 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.02738500 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAA3 1949000.00000000 PA USD 2003805.70000000 0.004330837532 Long DBT CORP IE N 2 2022-05-26 Fixed 0.03500000 N N N N N N ABB FINANCE USA INC 5493002Y01YAFV45F528 00037BAB8 115000.00000000 PA USD 118715.68000000 0.000256580926 Long DBT CORP US N 2 2022-05-08 Fixed 0.02875000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QYU9 529707.77410000 PA USD 570234.34000000 0.001232450971 Long ABS-MBS USGA US N 2 2045-01-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QP5H3 1282388.42730000 PA USD 1368026.20000000 0.002956723404 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H3LN4 273658.33300000 PA USD 294954.51000000 0.000637486988 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHZ5 1800000.00000000 PA USD 1827728.32000000 0.003950280412 Long DBT CORP US N 2 2031-02-13 Variable 0.02496000 N N N N N N CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 549300PXR5FKNXF0OH19 225433AH4 10230000.00000000 PA USD 10766061.62000000 0.023268754918 Long DBT CORP GG N 2 2022-09-15 Fixed 0.03800000 N N N N N N NAVISTAR FINL DEALER NT MASTER OWNER TR II N/A 63938PBD0 11000000.00000000 PA USD 11021147.50000000 0.023820073593 Long ABS-CBDO CORP US N 2 2023-09-25 Variable 0.02256750 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307UH50 161389.67600000 PA USD 170267.19000000 0.000367999520 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W1TR8 1411113.31670000 PA USD 1529746.04000000 0.003306249485 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EAEZ6 1024989.26100000 PA USD 1111392.78000000 0.002402060022 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AUQ9 3047915.81100000 PA USD 3185159.80000000 0.006884105383 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQB76 1645012.79400000 PA USD 1764319.32000000 0.003813234152 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AMXZ3 186885.24720000 PA USD 207625.73000000 0.000448742761 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N AES CORP 2NUNNB7D43COUIRE5295 00130HBT1 602000.00000000 PA USD 596443.54000000 0.001289097076 Long DBT CORP US N 2 2023-05-15 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JWBD1 1140455.09400000 PA USD 1215885.93000000 0.002627901707 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.03500000 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 23311VAD9 17626000.00000000 PA USD 17546683.00000000 0.037923753436 Long DBT CORP US N 2 2023-03-15 Fixed 0.03875000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AQ6B9 428661.97860000 PA USD 25072.44000000 0.000054189218 Long ABS-CBDO USGSE US N 2 2031-05-15 Fixed 0.03500000 N N N N N N PIMCO FDS O7M5VNOD7AVYOESOBU56 72201U638 80159624.81600000 NS USD 875343102.99000000 1.891884409729 Long EC RF US N 1 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WC2Q5 1841180.08370000 PA USD 1989639.59000000 0.004300220231 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X3EH1 610544.36120000 PA USD 642233.93000000 0.001388064126 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31296NV61 247243.22280000 PA USD 276072.90000000 0.000596678049 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7LE0 25031.54840000 PA USD 26742.26000000 0.000057798210 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03500000 N N N N N N BROADCOM CORP / BROADCOM CAYMAN FIN LTD N/A 11134LAP4 1260000.00000000 PA USD 1298938.81000000 0.002807404405 Long DBT CORP US N 2 2025-01-15 Fixed 0.03125000 N N N N N N ARCH CAP FIN LLC 549300XG4URFY0200M65 03939CAA1 1970000.00000000 PA USD 2251208.28000000 0.004865550243 Long DBT CORP US N 2 2026-12-15 Fixed 0.04011000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EKFG5 9201440.13200000 PA USD 9814152.07000000 0.021211386977 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31398NFC3 2130729.79940000 PA USD 2440458.01000000 0.005274576844 Long ABS-CBDO USGSE US N 2 2040-09-25 Fixed 0.05000000 N N N N N N DRYDEN SENIOR LOAN FUND 2018 N/A 26253LAA0 5400000.00000000 PA USD 5400000.00000000 0.011671053073 Long ABS-CBDO CORP US N 2 2033-04-17 Variable 0.00000000 N N N N N N SOUTHERN CALIFORNIA EDISON CO 9R1Z5I36FERIBVKW4P77 842400GE7 1935000.00000000 PA USD 2027248.24000000 0.004381504037 Long DBT CORP US N 2 2045-02-01 Fixed 0.03600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CQ98 2369911.38990000 PA USD 2463294.90000000 0.005323934354 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GZP4 523234.74000000 PA USD 550392.61000000 0.001189566918 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CC1 1000000.00000000 PA USD 1096275.57000000 0.002369387103 Long DBT CORP GB N 2 2030-05-22 Variable 0.03973000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E0EH4 2389703.13660000 PA USD 2575670.55000000 0.005566812534 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J2XM0 894710.91700000 PA USD 935420.62000000 0.002021730315 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CS2 2534000.00000000 PA USD 2556791.71000000 0.005526009582 Long DBT CORP US N 2 2029-08-15 Fixed 0.03500000 N N N N N N TOLL BROS FIN CORP N/A 88947EAT7 29675000.00000000 PA USD 31318401.50000000 0.067688652978 Long DBT CORP US N 2 2028-02-15 Fixed 0.04350000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46647PAL0 1945000.00000000 PA USD 2314910.64000000 0.005003230544 Long DBT CORP US N 2 2048-11-15 Variable 0.03964000 N N N N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 345397ZX4 22139000.00000000 PA USD 22559616.43000000 0.048758237161 Long DBT CORP US N 2 2024-11-01 Fixed 0.04063000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828F21 60710000.00000000 PA USD 61807997.42000000 0.133586003380 Long DBT UST US N 2 2021-09-30 Fixed 0.02125000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SUU9 9406322.97720000 PA USD 9817548.61000000 0.021218727940 Long ABS-MBS USGA US N 2 2047-01-20 Fixed 0.03000000 N N N N N N LEVEL 3 FINANCING INC N/A 527298BK8 900000.00000000 PA USD 897768.00000000 0.001940351476 Long DBT CORP US N 2 2024-01-15 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AJG4 259486.01510000 PA USD 269590.84000000 0.000582668333 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.03000000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2018-H4 N/A 61691RAE6 3237000.00000000 PA USD 3819667.12000000 0.008255469940 Long ABS-MBS CORP US N 2 2051-12-15 Fixed 0.04310000 N N N N N N ISHARES TRUST 549300G3FWQPUM47D181 464288661 5100.00000000 NS USD 664428.00000000 0.001436032305 Long EC RF US N 1 N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TJX4 4058137.16700000 PA USD 4269506.05000000 0.009227709575 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BEU6 873286.95900000 PA USD 963557.67000000 0.002082543093 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N AMERICAN AIRLS INC 2016-2 CL AA PASS THRU TRS N/A 023765AA8 461430.00000000 PA USD 495792.78000000 0.001071559972 Long DBT CORP US N 2 2029-12-15 Fixed 0.03200000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XXD48 44787.58600000 PA USD 48239.81000000 0.000104260996 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04000000 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPBM4 2400000.00000000 PA USD 2495280.00000000 0.005393063946 Long DBT CORP US N 2 2026-02-15 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M7WZ4 85793.97820000 PA USD 90917.28000000 0.000196500074 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RVC0 1798645.56680000 PA USD 1921515.72000000 0.004152983694 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 0.04000000 N N N N N N CAPITAL ONE NATL ASSN MCLEAN VA 207ALC1P1YM0OVDV0K75 14042RNW7 5084000.00000000 PA USD 5134993.64000000 0.011098293204 Long DBT CORP US N 2 2022-09-06 Fixed 0.02150000 N N N N N N PLANET FITNESS MASTER ISSUER LLC 18-1A N/A 72703PAC7 6154000.00000000 PA USD 6429945.36000000 0.013897080288 Long ABS-CBDO CORP US N 2 2049-12-05 Fixed 0.03858000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C42R0 118519.46750000 PA USD 130660.29000000 0.000282396885 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617LNSQ8 2287844.00000000 PA USD 2389293.87000000 0.005163995475 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A5HV7 53894.00220000 PA USD 59606.54000000 0.000128827979 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKN5 841271.12010000 PA USD 921934.21000000 0.001992582054 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MEZ46 183670.07600000 PA USD 190686.46000000 0.000412131813 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y3T35 90111.64960000 PA USD 98621.19000000 0.000213150581 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RLN7 949454.87000000 PA USD 996007.12000000 0.002152676288 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AWQD2 610470.40150000 PA USD 122047.44000000 0.000263781879 Long ABS-CBDO USGSE US N 2 2047-05-25 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J8C73 3062579.72100000 PA USD 3273797.88000000 0.007075679409 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N NSG HOLDINGS LLC/NSG HLD INC N/A 62940QAA3 23647.89600000 PA USD 26249.16000000 0.000056732470 Long DBT CORP US N 2 2025-12-15 Fixed 0.07750000 N N N N N N BX COML MTG TR 2019 N/A 05608FAA9 1900000.00000000 PA USD 1900594.13000000 0.004107765733 Long ABS-MBS CORP US N 2 2032-11-15 Variable 0.02534500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QSQ92 1026327.54330000 PA USD 1108644.14000000 0.002396119369 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VC2 7710296.62500000 PA USD 8012958.15000000 0.017318455526 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137FEZU7 4800000.00000000 PA USD 5585251.20000000 0.012071437626 Long ABS-MBS USGSE US N 2 2028-04-25 Fixed 0.03900000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179S2Q9 12170573.16100000 PA USD 12891680.84000000 0.027862868757 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335APZ5 13507269.38300000 PA USD 14552798.22000000 0.031453051924 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P76T5 497835.07860000 PA USD 525933.79000000 0.001136703921 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P8FG1 392328.91780000 PA USD 408831.41000000 0.000883609830 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 0.03000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032633 155150000.00000000 PA USD 161110242.40000000 0.348208553655 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03500000 N N N N N N FLORIDA PWR and LT CO A89MY1K3YLIGJMYWVX50 341081FQ5 2080000.00000000 PA USD 2557840.65000000 0.005528276662 Long DBT CORP US N 2 2048-03-01 Fixed 0.03950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JPKF1 380312.45000000 PA USD 401988.32000000 0.000868819818 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMU68 671141.88200000 PA USD 692166.07000000 0.001495982766 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 42809HAG2 1117000.00000000 PA USD 1177742.02000000 0.002545461041 Long DBT CORP US N 2 2027-04-01 Fixed 0.04300000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967ML2 4890000.00000000 PA USD 5014319.35000000 0.010837479122 Long DBT CORP US N 2 2031-01-29 Variable 0.02666000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412UQ45 10850.53880000 PA USD 12024.39000000 0.000025988387 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.04500000 N N N N N N WR GRACE and CO - CONN 549300GJVOEHHLSO6K25 383909AF5 400000.00000000 PA USD 442000.00000000 0.000955297307 Long DBT CORP US N 2 2024-10-01 Fixed 0.05625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GXD3 3148189.44230000 PA USD 3353888.05000000 0.007248778784 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03500000 N N N N N N TWIN RIVER WORLDWIDE HOLDINGS INC 549300NS4D5IK406VT62 90171VAA3 300000.00000000 PA USD 312541.50000000 0.000675497858 Long DBT CORP US N 2 2027-06-01 Fixed 0.06750000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810SK5 1913000.00000000 PA USD 2233053.87000000 0.004826313006 Long DBT UST US N 2 2049-11-15 Fixed 0.02375000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SNW3 541560.65240000 PA USD 576694.45000000 0.001246413246 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 3137BE3R3 950556.04890000 PA USD 1040915.15000000 0.002249736289 Long ABS-CBDO USGSE US N 2 2040-11-15 Fixed 0.04500000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 37940XAA0 495000.00000000 PA USD 512469.39000000 0.001107603231 Long DBT CORP US N 2 2025-02-15 Fixed 0.02650000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJ2N9 500722.95340000 PA USD 533216.12000000 0.001152443265 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617M76V5 393040.38800000 PA USD 417933.68000000 0.000903282622 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ALH42 190134.07980000 PA USD 210168.66000000 0.000454238812 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.04500000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46647PAJ5 6115000.00000000 PA USD 7008631.42000000 0.015147798013 Long DBT CORP US N 2 2038-07-24 Variable 0.03882000 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAC0 300000.00000000 PA USD 299412.00000000 0.000647120989 Long DBT CORP KY N 2 2024-10-01 Fixed 0.04875000 N N N N N N TIME WARNER CABLE INC B1WXCWLJVJXMWJX6O298 88732JAY4 5543000.00000000 PA USD 6628746.04000000 0.014326749415 Long DBT CORP US N 2 2040-11-15 Fixed 0.05875000 N N N N N N ENERGY TRANSFER OPERATING LP RY1052DWLDPLDW74Y843 29273RBG3 1935000.00000000 PA USD 2131999.87000000 0.004607904376 Long DBT CORP US N 2 2026-01-15 Fixed 0.04750000 N N N N N N TIME WARNER CABLE INC B1WXCWLJVJXMWJX6O298 88732JBB3 2591000.00000000 PA USD 3030439.51000000 0.006549707473 Long DBT CORP US N 2 2041-09-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQF56 859221.79110000 PA USD 921537.88000000 0.001991725464 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N ENTERGY LA LLC 0V5453U14HDZO63CGH17 29364WAS7 880000.00000000 PA USD 958608.07000000 0.002071845492 Long DBT CORP US N 2 2023-09-01 Fixed 0.04050000 N N N N N N NIELSEN FINANCE LLC/ NIELSEN FINANCE CO N/A 65409QBB7 1200000.00000000 PA USD 1194000.00000000 0.002580599512 Long DBT CORP US N 2 2022-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416YYR3 186856.78740000 PA USD 206546.04000000 0.000446409221 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312943B28 753287.20500000 PA USD 821943.68000000 0.001776471909 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290TJX8 202457.65690000 PA USD 215583.41000000 0.000465941744 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8XE0 525041.09220000 PA USD 571660.70000000 0.001235533772 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.05000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377NRP1 559259.27050000 PA USD 626697.21000000 0.001354484518 Long ABS-CBDO USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AG4T2 100773.90140000 PA USD 111549.99000000 0.000241093676 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N APOLLO AVIATION SECURITIZATION EQUITY TRUST N/A 00255UAB1 622000.00000000 PA USD 621981.34000000 0.001344292079 Long ABS-CBDO CORP US N 2 2040-01-16 Fixed 0.04335000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGBU7 845701.10120000 PA USD 916270.88000000 0.001980341864 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N MATCH GROUP INC 549300BIJKT86CPCKK96 57665RAL0 70000.00000000 PA USD 68579.00000000 0.000148220212 Long DBT CORP US N 2 2030-08-01 Fixed 0.04125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9H20 977391.96060000 PA USD 1044307.83000000 0.002257068909 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NBB3 1046447.64900000 PA USD 1112397.61000000 0.002404231767 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.03500000 N N N N N N CHEMOURS CO 549300M1BOLNXL8DOV14 163851AD0 600000.00000000 PA USD 559500.00000000 0.001209250776 Long DBT CORP US N 2 2025-05-15 Fixed 0.07000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KJ9 5735000.00000000 PA USD 6490225.81000000 0.014027364794 Long DBT CORP US N 2 2026-03-09 Fixed 0.04600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417YKH9 10139.54820000 PA USD 11112.74000000 0.000024018033 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 0.05000000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 455780CD6 2955000.00000000 PA USD 3123065.63000000 0.006749900874 Long DBT NUSS ID N 2 2028-01-11 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YHML1 118158.00600000 PA USD 127353.10000000 0.000275249035 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AW3L5 17219.53500000 PA USD 18695.30000000 0.000040406266 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402RJV2 1084221.17030000 PA USD 1213906.17000000 0.002623622840 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JPX49 314480.56800000 PA USD 340784.51000000 0.000736539648 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A -1108.00000000 NC USD -3706778.75000000 -0.00801148361 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UNDERLYING TREASURY 10 YR NOTEGENERIC IV FOR FUTURES TRADING 2020-06-19 -145596221.25000000 USD -3706778.75000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9FS5 2420909.76070000 PA USD 2634271.32000000 0.005693466738 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9KT6 806742.26880000 PA USD 848615.26000000 0.001834117358 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03000000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00772BAM3 2185000.00000000 PA USD 2289116.01000000 0.004947480452 Long DBT CORP IE N 2 2021-10-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YNPX9 1018007.69850000 PA USD 1099138.13000000 0.002375573972 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292SBY5 539756.48950000 PA USD 584228.38000000 0.001262696375 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 0.04000000 N N N N N N CONSUMER LOAN UNDERLYING BOND CREDIT TRUST 2019-P1 N/A 21054AAA6 2834503.50000000 PA USD 2857956.75000000 0.006176919427 Long ABS-CBDO CORP US N 2 2026-07-15 Fixed 0.02940000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCT7 11864000.00000000 PA USD 12397880.00000000 0.026795613977 Long DBT CORP MX N 2 2030-01-23 Fixed 0.06840000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AUX85 314202.29140000 PA USD 347113.66000000 0.000750218879 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EEAV1 131575.13950000 PA USD 143088.99000000 0.000309259110 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617GM3Q3 2121432.25100000 PA USD 2259723.33000000 0.004883953873 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.04000000 N N N N N N MAGNETITE XXI LTD 2019-21A A N/A 55954WAA7 5176000.00000000 PA USD 5181693.60000000 0.011199226114 Long ABS-CBDO CORP KY N 2 2033-01-15 Variable 0.03237140 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CNG5 3277092.78600000 PA USD 3404708.35000000 0.007358617009 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TCY9 4935125.03920000 PA USD 5227531.69000000 0.011298296258 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 0.04000000 N N N N N N PUBLIC SERVICE ELEC and GAS CO 549300RUHPVD434XUK18 74456QBR6 595000.00000000 PA USD 615467.22000000 0.001330213072 Long DBT CORP US N 2 2026-09-15 Fixed 0.02250000 N N N N N N ARES CLO N/A 04017WAC6 7102000.00000000 PA USD 7104130.60000000 0.015354200976 Long ABS-CBDO CORP KY N 2 2032-10-15 Variable 0.03165750 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPBZ5 1200000.00000000 PA USD 1212000.00000000 0.002619503023 Long DBT CORP US N 2 2023-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YKK93 603280.39090000 PA USD 655914.07000000 0.001417631096 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMGZ9 234970.77340000 PA USD 254637.33000000 0.000550349220 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E74Y3 49437.13520000 PA USD 53330.70000000 0.000115263968 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292L4F9 1146280.00710000 PA USD 1205615.47000000 0.002605704099 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N BX TRUST 2019 N/A 056054AH2 9588399.82000000 PA USD 9630788.22000000 0.020815081565 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.03458500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HMVZ1 460839.56300000 PA USD 491758.40000000 0.001062840441 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DFE7 977379.35670000 PA USD 1003623.56000000 0.002169137747 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176TLV8 93389.39880000 PA USD 101205.90000000 0.000218736931 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N CHESAPEAKE ENERGY CORP X2MT1W32SPAZ9WSKLE78 165167CZ8 455000.00000000 PA USD 136500.00000000 0.000295018286 Long DBT CORP US N 2 2027-06-15 Fixed 0.08000000 N N N N N N TOWD PT MTG TR 2019-MH1 N/A 89177WAA7 2159746.08350000 PA USD 2191896.93000000 0.004737360259 Long ABS-CBDO CORP US N 2 2058-11-25 Fixed 0.03000000 N N N N N N WILLIAMS COS INC D71FAKCBLFS2O0RBPG08 969457BU3 2512000.00000000 PA USD 2622013.99000000 0.005666974895 Long DBT CORP US N 2 2023-01-15 Fixed 0.03700000 N N N N N N MARYLAND ST TRANSN AUTH TRANSN N/A 574300HZ5 50000.00000000 PA USD 74376.50000000 0.000160750384 Long DBT MUN US N 2 2043-07-01 Fixed 0.05888000 N N N N N N JPMBB COML MTG SECS TR 2015-C30 N/A 46644UAZ1 1900000.00000000 PA USD 2064481.67000000 0.004461976877 Long ABS-MBS CORP US N 2 2048-07-15 Fixed 0.03550800 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EAE5 1400000.00000000 PA USD 1485285.75000000 0.003210157188 Long DBT CORP GB N 2 2025-03-16 Fixed 0.03650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CNE0 1751885.34710000 PA USD 1869056.34000000 0.004039602915 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MFUA4 7538691.86500000 PA USD 8033543.66000000 0.017362947115 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.03500000 N N N N N N BALTIMORE GAS and ELECTRIC CO 88V8C2WYSOD1SPSSLH72 059165EF3 470000.00000000 PA USD 495400.95000000 0.001070713107 Long DBT CORP US N 2 2023-07-01 Fixed 0.03350000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194GME1 32761.29500000 PA USD 34970.98000000 0.000075582993 Long ABS-MBS USGA US N 2 2046-07-15 Fixed 0.04000000 N N N N N N DUKE ENERGY CAROLINAS LLC MWIUSDMN17TCR56VW396 26442CAM6 1450000.00000000 PA USD 1773803.02000000 0.003833731331 Long DBT CORP US N 2 2041-12-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5YQ0 2601852.00000000 PA USD 2694482.09000000 0.005823600644 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N MORGAN STANLEY CAP I TR 2019-MEAD N/A 61771LAA0 10782000.00000000 PA USD 11357828.88000000 0.024547745121 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 0.03170000 N N N N N N APPALACHIAN POWER CO 3SCHO1ABYYIG382BEI70 037735CW5 605000.00000000 PA USD 653354.56000000 0.001412099212 Long DBT CORP US N 2 2027-06-01 Fixed 0.03300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YAMH5 1426263.60150000 PA USD 1545724.30000000 0.003340783396 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9GM6 112896.56640000 PA USD 119603.05000000 0.000258498804 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBD0 585000.00000000 PA USD 719914.91000000 0.001555956504 Long DBT CORP US N 2 2048-11-14 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JHY23 1758404.88280000 PA USD 1881046.24000000 0.004065516759 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.04500000 N N N N N N BAYVIEW COML ASSET TR N/A 07324SCT7 19610.69490000 PA USD 18950.98000000 0.000040958869 Long ABS-MBS CORP US N 2 2036-01-25 Variable 0.02076750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A2BQ1 5635.41590000 PA USD 6144.41000000 0.000013279950 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AJ7 2293000.00000000 PA USD 2424967.81000000 0.005241097780 Long DBT CORP US N 2 2022-11-21 Fixed 0.03850000 N N N N N N PUGET ENERGY INC NEW SYBSJ96YIDMIUY7WDR33 745310AF9 4555000.00000000 PA USD 4911811.28000000 0.010615927802 Long DBT CORP US N 2 2022-07-15 Fixed 0.05625000 N N N N N N CSAIL 2016-C7 COML MTG TR 5493006MX7HG5PC85C29 12637UAV1 2800000.00000000 PA USD 2997824.76000000 0.006479217014 Long ABS-MBS CORP US N 2 2049-11-15 Fixed 0.03210000 N N N N N N BANK 2019-BNK20 N/A 06540BBC2 4400000.00000000 PA USD 4653192.28000000 0.010056972974 Long ABS-MBS CORP US N 2 2052-10-17 Fixed 0.02600000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBRJ4 208493.20700000 PA USD 225932.10000000 0.000488308431 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JAT99 1633999.13140000 PA USD 1731064.89000000 0.003741361149 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.03000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G0W66 3505000.00000000 PA USD 3604215.93000000 0.007789813964 Long DBT USGSE US N 2 2024-10-15 Fixed 0.01625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJXR6 1505430.59560000 PA USD 1592790.58000000 0.003442508035 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335AK80 2158561.05900000 PA USD 2390458.30000000 0.005166512164 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 0.04500000 N N N N N N AFFILIATED MANAGERS GRP INC 2JE75BUE3T1BLCYYGK54 008252AM0 1847000.00000000 PA USD 2006796.59000000 0.004337301761 Long DBT CORP US N 2 2024-02-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BXZ4 2091145.26550000 PA USD 2211440.91000000 0.004779600783 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.03500000 N N N N N N LENNAR CORP 529900G61XVRLX5TJX09 526057CT9 2920000.00000000 PA USD 3217840.00000000 0.006954737300 Long DBT CORP US N 2 2026-06-01 Fixed 0.05250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TUC7 189982.85320000 PA USD 201623.67000000 0.000435770472 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 0.04500000 N N N N N N PERMANENT MASTER ISSUER PLC 213800MVYG7MLQM2LF25 71419GAX8 11487000.00000000 PA USD 11487425.02000000 0.024827842053 Long ABS-CBDO CORP GB N 2 2058-07-15 Variable 0.02211250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BNF9 56750.98590000 PA USD 59430.56000000 0.000128447633 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.03000000 N N N N N N REGIONAL TRANSN DIST CO SALES N/A 759136QP2 45000.00000000 PA USD 74715.30000000 0.000161482635 Long DBT MUN US N 2 2050-11-01 Fixed 0.05844000 N N N N N N EG GLOBAL FINANCE PLC 549300TL8Q5207VYET27 28228PAA9 220000.00000000 PA USD 215050.00000000 0.000464788882 Long DBT CORP GB N 2 2025-02-07 Fixed 0.06750000 N N N N N N TIME WARNER CABLE INC B1WXCWLJVJXMWJX6O298 88732JAN8 6393000.00000000 PA USD 8679082.33000000 0.018758153796 Long DBT CORP US N 2 2038-07-01 Fixed 0.07300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H4J96 259657.61600000 PA USD 267360.13000000 0.000577847086 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292L5F8 386226.84780000 PA USD 406219.30000000 0.000877964261 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X02V9 122115.43300000 PA USD 132305.39000000 0.000285952449 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENRB7 2573034.25670000 PA USD 2846569.15000000 0.006152307338 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQNL2 18201.27260000 PA USD 18832.17000000 0.000040702084 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ERJ43 3224298.32570000 PA USD 3465138.26000000 0.007489224544 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.04000000 N N N N N N ARES CAPITAL CORP WEQ82666OJYSI5GUAB47 04010LAX1 12032000.00000000 PA USD 12777672.49000000 0.027616461812 Long DBT CORP US N 2 2024-06-10 Fixed 0.04200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FMM7 318453.21330000 PA USD 329491.60000000 0.000712132213 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.02500000 N N N N N N CALIFORNIA INST TECHNOLOGY 549300CITPNHOTVPHC04 13034VAD6 635000.00000000 PA USD 758683.19000000 0.001639746625 Long DBT CORP US N 2 2119-09-01 Fixed 0.03650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EXFD0 1330858.40000000 PA USD 1376575.52000000 0.002975201102 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EPTH7 649734.70850000 PA USD 672256.14000000 0.001452951312 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WTXU5 619021.68500000 PA USD 646895.49000000 0.001398139184 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BT5 900000.00000000 PA USD 1029447.83000000 0.002224951900 Long DBT CORP US N 2 2026-06-15 Fixed 0.05250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5FN7 100051.15760000 PA USD 108294.62000000 0.000234057825 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WARA7 48128.62230000 PA USD 52733.73000000 0.000113973733 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 0.04500000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833CU2 2545000.00000000 PA USD 2685660.60000000 0.005804534703 Long DBT CORP US N 2 2024-05-11 Fixed 0.02850000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KR1 10000000.00000000 PA USD 12615430.60000000 0.027265807421 Long DBT CORP US N 2 2046-05-18 Fixed 0.04750000 N N N N N N ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC N/A 03969AAL4 145000.00000000 PA USD 151162.50000000 0.000326708437 Long DBT CORP IE N 2 2025-02-15 Fixed 0.06000000 N N N N N N DEVON ENERGY CORP NEW 54930042348RKR3ZPN35 25179MAL7 175000.00000000 PA USD 199140.64000000 0.000430403884 Long DBT CORP US N 2 2041-07-15 Fixed 0.05600000 N N N N N N COLUMBIA PIPELINE GROUP INC 549300SRP1TQM9JJBG80 198280AD1 4641000.00000000 PA USD 4652836.45000000 0.010056203916 Long DBT CORP US N 2 2020-06-01 Fixed 0.03300000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325CU7 1895000.00000000 PA USD 2297095.31000000 0.004964726162 Long DBT NUSS CO N 2 2045-06-15 Fixed 0.05000000 N N N N N N NISOURCE FIN CORP ZHUWIE4VK4MIYES0UG62 65473QAX1 640000.00000000 PA USD 883026.56000000 0.001908490712 Long DBT CORP US N 2 2041-06-15 Fixed 0.05950000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJXK1 1959884.12730000 PA USD 2076065.86000000 0.004487013858 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AKSX8 34976.89590000 PA USD 38858.62000000 0.000083985373 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N PORT AUTH NY and NJ 54930006MR4KZ4W74Z83 73358WJA3 390000.00000000 PA USD 532974.00000000 0.001151919970 Long DBT MUN US N 2 2062-10-01 Fixed 0.04458000 N N N N N N TOTAL CAPITAL INTL SA 549300U37G2I8G4RUG09 89153VAE9 1375000.00000000 PA USD 1421847.89000000 0.003073048553 Long DBT CORP FR N 2 2023-01-25 Fixed 0.02700000 N N N N N N WYNDHAM HOTELS and RESORTS INC 549300FE3MQ4RVXXC673 98311AAA3 200000.00000000 PA USD 207321.00000000 0.000448084147 Long DBT CORP US N 2 2026-04-15 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AVG0 404624.77170000 PA USD 420634.44000000 0.000909119791 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YPLQ3 175976.59880000 PA USD 191769.76000000 0.000414473156 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307RND3 3144427.51000000 PA USD 3259634.62000000 0.007045068268 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 0.02500000 N N N N N N EQUITY ONE INC 54930052LBJBIKJPIO43 294752AH3 3200000.00000000 PA USD 3372118.18000000 0.007288179675 Long DBT CORP US N 2 2022-11-15 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9ER8 490587.30600000 PA USD 539546.64000000 0.001166125457 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179S5M5 10534039.38330000 PA USD 11158182.27000000 0.024116247680 Long ABS-MBS USGA US N 2 2047-05-20 Fixed 0.04000000 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAP4 1525000.00000000 PA USD 1566377.96000000 0.003385422278 Long DBT CORP JP N 2 2025-01-16 Fixed 0.02648000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J92P2 311613.95100000 PA USD 337970.26000000 0.000730457192 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N CF INDS INC 5FVKT86LAD2F40NPC183 12527GAF0 300000.00000000 PA USD 336900.00000000 0.000728144033 Long DBT CORP US N 2 2034-03-15 Fixed 0.05150000 N N N N N N TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN N/A 87612BBJ0 400000.00000000 PA USD 412040.00000000 0.000890544575 Long DBT CORP US N 2 2026-04-15 Fixed 0.05875000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 2880000.00000000 PA USD 3155221.76000000 0.006819400114 Long DBT CORP GB N 2 2028-03-13 Variable 0.04041000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XPDT7 1365165.09910000 PA USD 1476095.41000000 0.003190294050 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7T44 180882.68780000 PA USD 191715.48000000 0.000414355841 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EFE4 67161.23910000 PA USD 73022.11000000 0.000157823133 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417C3W3 1253600.44750000 PA USD 1317883.57000000 0.002848349831 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03000000 N N N N N N ITALY REPUBLIC OF 815600DE60799F5A9309 465410BX5 3800000.00000000 PA USD 3816040.90000000 0.008247632569 Long DBT NUSS IT N 2 2024-10-17 Fixed 0.02375000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122BU1 510000.00000000 PA USD 695404.10000000 0.001502981140 Long DBT CORP US N 2 2045-08-15 Fixed 0.05000000 N N N N N N KINDER MORGAN ENERGY PARTNERS LP 549300PDHUGWPWGOT525 494550BS4 300000.00000000 PA USD 323328.59000000 0.000698812061 Long DBT CORP US N 2 2024-02-01 Fixed 0.04150000 N N N N N N DUKE REALTY LP NEW 2549009GZDBNY1KE9O81 26441YAW7 2108000.00000000 PA USD 2223652.07000000 0.004805992838 Long DBT CORP US N 2 2022-10-15 Fixed 0.03875000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CU7 2048000.00000000 PA USD 2074097.54000000 0.004482759716 Long DBT CORP US N 2 2021-08-13 Fixed 0.02600000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36184FSP4 1222306.40190000 PA USD 1269684.59000000 0.002744177080 Long ABS-MBS USGA US N 2 2045-08-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJW97 1862361.64920000 PA USD 1972762.26000000 0.004263743155 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417B6F9 87129.02720000 PA USD 93448.16000000 0.000201970080 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SGN1 912400.01870000 PA USD 982205.37000000 0.002122846481 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180KJU6 64270.77840000 PA USD 69951.38000000 0.000151186346 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.04000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AK5 1320000.00000000 PA USD 1376925.00000000 0.002975956435 Long DBT CORP CO N 2 2025-01-16 Fixed 0.04125000 N N N N N N FIDELITY SALEM STREET TRUST S4W85DGKOEJ24DPRB829 316146356 12651599.29200000 NS USD 155867703.28000000 0.336877821746 Long EC RF US N 1 N N N MORGAN STANLEY CAP I TR 2011-C3 N/A 61760RAE2 4200000.00000000 PA USD 4374987.12000000 0.009455686458 Long ABS-MBS CORP US N 2 2049-07-15 Variable 0.05244467 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174467Y9 2340000.00000000 PA USD 2619496.69000000 0.005661534239 Long DBT CORP US N 2 2026-09-08 Fixed 0.04350000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810RV2 4045000.00000000 PA USD 5219314.06000000 0.011280535444 Long DBT UST US N 2 2047-02-15 Fixed 0.03000000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AP3 1490000.00000000 PA USD 1629102.66000000 0.003520989556 Long DBT CORP US N 2 2025-06-01 Fixed 0.03850000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HC42 1634872.27070000 PA USD 1777285.18000000 0.003841257344 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5QS4 300435.73690000 PA USD 329332.07000000 0.000711787419 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AXFN6 57837.63000000 PA USD 62794.50000000 0.000135718137 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AJK4 677267.26080000 PA USD 785500.53000000 0.001697707106 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7SE4 261499.84800000 PA USD 276095.93000000 0.000596727824 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.03500000 N N N N N N BAY AREA TOLL AU CA BRIDGE REV N/A 072024WS7 1050000.00000000 PA USD 1111110.00000000 0.002401448848 Long DBT MUN US N 2 2031-04-01 Fixed 0.02574000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJV64 313622.05440000 PA USD 332409.55000000 0.000718438796 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.03500000 N N N N N N CCUBS COML MTG TR 2017-C1 N/A 12508GAT3 5500000.00000000 PA USD 6025273.65000000 0.013022460842 Long ABS-MBS CORP US N 2 2050-11-15 Fixed 0.03283000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H4N34 265195.82200000 PA USD 273062.62000000 0.000590171913 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.02500000 N N N N N N NORTHERN STATES POWER CO (MN) 3S1GHB0TEH85KX44SB51 665772CB3 370000.00000000 PA USD 547954.45000000 0.001184297308 Long DBT CORP US N 2 2036-06-01 Fixed 0.06250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AEA2 62698.56800000 PA USD 67983.87000000 0.000146933954 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N PSEG PWR LLC N/A 69362BBB7 1075000.00000000 PA USD 1095060.06000000 0.002366760014 Long DBT CORP US N 2 2021-06-15 Fixed 0.03000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PAN8 5595000.00000000 PA USD 6336215.53000000 0.013694501432 Long DBT CORP US N 2 2024-11-15 Fixed 0.04750000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BG6 260000.00000000 PA USD 267420.22000000 0.000577976959 Long DBT CORP US N 2 2022-06-01 Fixed 0.02625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419BGU3 33083.49580000 PA USD 35970.55000000 0.000077743370 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N CLUB 2019-HP1 A N/A 21055MAA9 7241759.71000000 PA USD 7303759.31000000 0.015785659730 Long ABS-CBDO CORP US N 2 2026-12-15 Fixed 0.02590000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LTS5 743584.27040000 PA USD 819755.11000000 0.001771741740 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAN4 3212000.00000000 PA USD 3450921.15000000 0.007458497017 Long DBT CORP US N 2 2024-09-15 Fixed 0.04250000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAN1 3965000.00000000 PA USD 4065512.75000000 0.008786817606 Long DBT CORP US N 2 2025-01-15 Fixed 0.04750000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 251525AP6 13996000.00000000 PA USD 13945955.62000000 0.030141479296 Long DBT CORP DE N 2 2025-04-01 Fixed 0.04500000 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887BZ4 1514000.00000000 PA USD 1573785.98000000 0.003401433277 Long DBT CORP US N 2 2021-10-22 Fixed 0.03800000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810RJ9 3705000.00000000 PA USD 4706218.38000000 0.010171578608 Long DBT UST US N 2 2044-11-15 Fixed 0.03000000 N N N N N N ANHEUSER-BUSCH INBEV FIN INC 5493000EYEKDT0FBSQ91 035242AN6 12306000.00000000 PA USD 15081486.38000000 0.032595708883 Long DBT CORP US N 2 2046-02-01 Fixed 0.04900000 N N N N N N AMERICAN CAMPUS CMNTYS OP PRTNRSHP LP RDKVCX5HITZ2GPIR7153 024836AA6 813000.00000000 PA USD 865279.93000000 0.001870134812 Long DBT CORP US N 2 2023-04-15 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418A6M5 447249.00910000 PA USD 464945.18000000 0.001004888865 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180MYH4 238787.93180000 PA USD 249078.02000000 0.000538333850 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03000000 N N N N N N ASCENSION HEALTH ALLIANCE 549300IMOY6ECI21DH68 04351LAB6 465000.00000000 PA USD 577388.17000000 0.001247912588 Long DBT CORP US N 2 2046-11-15 Fixed 0.03945000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TLS2 2352382.73450000 PA USD 2474907.06000000 0.005349031786 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBHW6 163528.99500000 PA USD 177206.97000000 0.000382998509 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.04000000 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109AS3 585000.00000000 PA USD 627201.90000000 0.001355575307 Long DBT CORP US N 2 2027-01-15 Fixed 0.03000000 N N N N N N CORE 2019 CORE MTG TR N/A 21871FAA6 2583000.00000000 PA USD 2582224.84000000 0.005580978362 Long ABS-MBS CORP US N 2 2031-12-15 Variable 0.02538500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193GA54 1627468.35330000 PA USD 1735630.23000000 0.003751228246 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N HUDSON PAC PPTYS LP 5493007NTUGLGZ8T3526 44409MAB2 10503000.00000000 PA USD 12248364.17000000 0.026472464498 Long DBT CORP US N 2 2029-04-01 Fixed 0.04650000 N N N N N N FORTIS INC 549300MQYQ9Y065XPR71 349553AM9 301000.00000000 PA USD 319385.18000000 0.000690289145 Long DBT CORP CA N 2 2026-10-04 Fixed 0.03055000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J7LX1 9089758.05230000 PA USD 9683671.03000000 0.020929377506 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.03500000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BD3 1000000.00000000 PA USD 1333888.17000000 0.002882940671 Long DBT CORP US N 2 2044-02-15 Fixed 0.04875000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136ADB57 12908814.46000000 PA USD 12967222.97000000 0.028026138425 Long ABS-CBDO USGSE US N 2 2033-05-25 Fixed 0.01850000 N N N N N N TWDC ENTERPRISES 18 CORP 7260JQNI6SCF9FIV2392 25468PDM5 2030000.00000000 PA USD 2072095.50000000 0.004478432695 Long DBT CORP US N 2 2026-07-30 Fixed 0.01850000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WDWH3 1119864.29690000 PA USD 1193598.85000000 0.002579732504 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N JBS USA LLC / JBS USA FIN INC N/A 466112AP4 1300000.00000000 PA USD 1322776.00000000 0.002858923870 Long DBT CORP US N 2 2024-07-15 Fixed 0.05875000 N N N N N N BX 2020-BXLP N/A 05607QAN8 3689000.00000000 PA USD 3692472.09000000 0.007980562543 Long ABS-MBS CORP US N 2 2029-12-15 Variable 0.02778500 N N N N N N EMERA US FINANCE LP N/A 29103DAF3 1304000.00000000 PA USD 1324400.95000000 0.002862435884 Long DBT CORP US N 2 2021-06-15 Fixed 0.02700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MLTX2 473878.90900000 PA USD 498178.85000000 0.001076716999 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828Q78 14560000.00000000 PA USD 14610050.00000000 0.031576790547 Long DBT UST US N 2 2021-04-30 Fixed 0.01375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213EZT6 332602.58710000 PA USD 360440.73000000 0.000779022757 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAD8 2365000.00000000 PA USD 2354844.19000000 0.005089539170 Long DBT CORP US N 2 2026-06-01 Fixed 0.03000000 N N N N N N DEERE JOHN CAPITAL CORP E0KSF7PFQ210NWI8Z391 24422ETG4 1045000.00000000 PA USD 1089987.17000000 0.002355795946 Long DBT CORP US N 2 2023-03-06 Fixed 0.02800000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJS68 983126.03760000 PA USD 1034630.54000000 0.002236153322 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03000000 N N N N N N AASET 2019-2 TR N/A 00038RAB2 1469492.05000000 PA USD 1487094.65000000 0.003214066775 Long ABS-CBDO CORP US N 2 2039-10-16 Fixed 0.04458000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SWX1 6040773.37900000 PA USD 6368622.46000000 0.013764542728 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7LC4 172432.05150000 PA USD 181465.51000000 0.000392202518 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AL3 4645000.00000000 PA USD 4918097.67000000 0.010629514616 Long DBT CORP GB N 2 2022-01-14 Fixed 0.04875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945T99 152940.46710000 PA USD 169227.69000000 0.000365752842 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DD4 8126000.00000000 PA USD 10324812.23000000 0.022315079909 Long DBT CORP US N 2 2031-05-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNN47 40898.27260000 PA USD 43885.07000000 0.000094849070 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38380HES7 7804912.66300000 PA USD 8275769.00000000 0.017886470226 Long ABS-CBDO USGA US N 2 2047-09-20 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NQ50 15000520.53380000 PA USD 16118998.35000000 0.034838089858 Long ABS-MBS USGA US N 2 2043-10-20 Fixed 0.04000000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BD4 1170000.00000000 PA USD 1195561.41000000 0.002583974197 Long DBT CORP US N 2 2022-10-09 Fixed 0.02700000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XXB32 864142.75290000 PA USD 909428.07000000 0.001965552457 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307RFJ9 45272.79130000 PA USD 47635.77000000 0.000102955481 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N CITIBANK CR CARD ISSUANCE TR R8AG6FXVDQAMDKCSJJ64 17305EGM1 700000.00000000 PA USD 747082.14000000 0.001614673204 Long ABS-CBDO CORP US N 2 2025-05-23 Fixed 0.03290000 N N N N N N LOS ANGELES CALIF WTR and PWR RE N/A 544495UG7 190000.00000000 PA USD 280052.40000000 0.000605278967 Long DBT MUN US N 2 2039-07-01 Fixed 0.05716000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G0V59 955000.00000000 PA USD 980977.73000000 0.002120193176 Long DBT USGSE US N 2 2022-04-12 Fixed 0.02250000 N N N N N N TERRAFORM POWER OPERATING LLC 5493000S2OLR3UT5BE13 88104LAE3 400000.00000000 PA USD 430520.00000000 0.000930485512 Long DBT CORP US N 2 2028-01-31 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WJQR5 6571158.16520000 PA USD 6997658.53000000 0.015124082239 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EYC25 365657.52950000 PA USD 391034.60000000 0.000845145475 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.03500000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAV8 70000.00000000 PA USD 73766.00000000 0.000159430907 Long DBT CORP US N 2 2030-06-15 Fixed 0.04875000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377RBW4 1187000.00000000 PA USD 1446331.61000000 0.003125965367 Long ABS-CBDO USGA US N 2 2040-12-20 Variable 0.06706000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KY6 3500000.00000000 PA USD 3726192.82000000 0.008053443363 Long DBT CORP US N 2 2026-10-21 Fixed 0.03200000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810RN0 18855000.00000000 PA USD 23545181.25000000 0.050888344443 Long DBT UST US N 2 2045-08-15 Fixed 0.02875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HQBX9 85071.37530000 PA USD 92346.47000000 0.000199588991 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N SPRINGLEAF FINANCE CORPORATION 5493008I795YYBFWFU90 85172FAM1 500000.00000000 PA USD 550000.00000000 0.001188718368 Long DBT CORP US N 2 2025-03-15 Fixed 0.06875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QW7M5 98568.11190000 PA USD 105919.32000000 0.000228924075 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N OHIO POWER CO N/A 677415CR0 680000.00000000 PA USD 832831.03000000 0.001800002806 Long DBT CORP US N 2 2049-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A3TZ0 1113949.60940000 PA USD 1210637.09000000 0.002616557357 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403DGV5 8095830.03090000 PA USD 9500895.34000000 0.020534343288 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P8GX3 3365112.33500000 PA USD 3585454.51000000 0.007749264792 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UGB2 1698820.45120000 PA USD 1775093.58000000 0.003836520626 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJY95 879035.37510000 PA USD 951495.49000000 0.002056473030 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F8LU9 178896.92640000 PA USD 194225.41000000 0.000419780568 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.04500000 N N N N N N CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 549300PXR5FKNXF0OH19 225433AR2 5384000.00000000 PA USD 6073018.80000000 0.013125652728 Long DBT CORP GG N 2 2026-04-17 Fixed 0.04550000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RGL0 1580000.00000000 PA USD 1768619.29000000 0.003822527703 Long DBT CORP US N 2 2028-02-15 Fixed 0.04100000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SYU5 488338.74470000 PA USD 521579.91000000 0.001127293854 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 0.04500000 N N N N N N DEERE JOHN CAPITAL CORP E0KSF7PFQ210NWI8Z391 24422ETT6 615000.00000000 PA USD 647246.40000000 0.001398897608 Long DBT CORP US N 2 2024-06-24 Fixed 0.02650000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828J27 23205000.00000000 PA USD 24400601.43000000 0.052737169317 Long DBT UST US N 2 2025-02-15 Fixed 0.02000000 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAU1 10008000.00000000 PA USD 10407672.28000000 0.022494165842 Long DBT CORP US N 2 2030-01-15 Fixed 0.03000000 N N N N N N GS MTG SECS TR 2015-GC30 N/A 36250GAN5 2000000.00000000 PA USD 2135132.80000000 0.004614675597 Long ABS-MBS CORP US N 2 2050-05-10 Fixed 0.03119000 N N N N N N CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1 N/A 14855MAB4 3435596.16300000 PA USD 3575645.15000000 0.007728063762 Long ABS-CBDO CORP US N 2 2039-04-15 Fixed 0.05095000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AUFW2 49797.39030000 PA USD 55013.46000000 0.000118900928 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04500000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DL6 600000.00000000 PA USD 646875.00000000 0.001398094899 Long DBT NUSS CO N 2 2027-04-25 Fixed 0.03875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FUNQ7 154564.73090000 PA USD 169450.60000000 0.000366234619 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.04500000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NAL2 1500000.00000000 PA USD 1511250.00000000 0.003266273880 Long DBT CORP US N 2 2023-05-15 Fixed 0.04625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418XDU9 92339.29740000 PA USD 103135.36000000 0.000222907085 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HQF23 1339643.70300000 PA USD 1429523.61000000 0.003089638133 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ET2P0 2679472.76350000 PA USD 2891339.48000000 0.006249069726 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WPRQ2 701724.62910000 PA USD 757814.46000000 0.001637869033 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ES44 1722404.37630000 PA USD 1810727.21000000 0.003913535809 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHXF4 1507580.29720000 PA USD 1557952.32000000 0.003367211891 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.02500000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 N/A 290000.00000000 PA USD 306096.16000000 0.000661567505 Long EP CORP GB N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHVQ2 832121.15200000 PA USD 886230.83000000 0.001915416120 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03500000 N N N N N N CORECIVIC INC 529900JFA3K6PTLT8B15 22025YAP5 800000.00000000 PA USD 801760.00000000 0.001732848798 Long DBT CORP US N 2 2023-05-01 Fixed 0.04625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XSA91 11729250.71210000 PA USD 12475874.99000000 0.026964185027 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410UG22 769.32800000 PA USD 785.77000000 0.000001698289 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SYD5 138304.02400000 PA USD 148100.82000000 0.000320091209 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJ3Y4 94927.59700000 PA USD 100820.70000000 0.000217904396 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HBN1 94384.61770000 PA USD 104418.49000000 0.000225680321 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N DISTRICT COLUMBIA INCOME TAX REV N/A 25477GEU5 75000.00000000 PA USD 100941.75000000 0.000218166022 Long DBT MUN US N 2 2035-12-01 Fixed 0.05582000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307VJ80 883187.48900000 PA USD 918355.31000000 0.001984846956 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.03000000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HQW3 1125000.00000000 PA USD 1216432.88000000 0.002629083833 Long DBT CORP US N 2 2026-04-01 Fixed 0.03300000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NDR6 8583394.47270000 PA USD 9124343.17000000 0.019720498777 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 0.03500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 28800000.00000000 NC USD 1228584.38000000 0.002655346945 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-10-28 0.00000000 USD 0.00000000 USD 28800000.00000000 USD 1.00000000 1.78500000 USD 2024-10-24 XXXX 428664.38000000 N N N MARSH and MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BH4 2493000.00000000 PA USD 3225363.27000000 0.006970997389 Long DBT CORP US N 2 2039-03-15 Fixed 0.04750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5ME9 134781.92010000 PA USD 147745.43000000 0.000319323102 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PXTU0 152297.67400000 PA USD 159581.93000000 0.000344905402 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.03500000 N N N N N N MARKEL CORP 549300SCNO12JLWIK605 570535AS3 525000.00000000 PA USD 587676.92000000 0.001270149726 Long DBT CORP US N 2 2047-11-01 Fixed 0.04300000 N N N N N N REPUBLICA ORIENTAL DEL URUGUAY 549300RDR012H2V82H43 760942BA9 1375000.00000000 PA USD 1735507.81000000 0.003750963659 Long DBT NUSS UY N 2 2050-06-18 Fixed 0.05100000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BE6 850000.00000000 PA USD 899939.20000000 0.001945044104 Long DBT CORP US N 2 2026-03-15 Fixed 0.06250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQJR4 581114.73000000 PA USD 607744.89000000 0.001313522753 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03000000 N N N N N N GOSFORTH FDG 2018-1 PLC N/A 38312RAA1 5119517.56000000 PA USD 5116993.64000000 0.011059389694 Long ABS-CBDO CORP GB N 2 2060-08-25 Variable 0.02129250 N N N N N N AMERICAN INTERNATIONAL GROUP INC ODVCVCQG2BP6VHV36M30 026874DD6 2360000.00000000 PA USD 2574736.26000000 0.005564793248 Long DBT CORP US N 2 2025-07-10 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y64Q4 466142.18470000 PA USD 503728.53000000 0.001088711557 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 0.04000000 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAK9 2112000.00000000 PA USD 2473423.48000000 0.005345825316 Long DBT CORP US N 2 2026-06-15 Fixed 0.06020000 N N N N N N NUFARM AUSTRALIA LTD / NUFARM AMERICAS INC N/A 67052NAA3 400000.00000000 PA USD 394000.00000000 0.000851554613 Long DBT CORP AU N 2 2026-04-30 Fixed 0.05750000 N N N N N N NUTRIEN LTD 5493002QQ7GD21OWF963 67077MAR9 825000.00000000 PA USD 956911.29000000 0.002068178231 Long DBT CORP CA N 2 2043-06-01 Fixed 0.04900000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAR4 6600000.00000000 PA USD 6690201.28000000 0.014459573002 Long DBT CORP US N 2 2050-05-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WFHX7 3037979.91540000 PA USD 3216540.83000000 0.006951929396 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03500000 N N N N N N WYNN LAS VEGAS LLC/ WYNN LAS V N/A 983130AX3 300000.00000000 PA USD 288750.00000000 0.000624077143 Long DBT CORP US N 2 2027-05-15 Fixed 0.05250000 N N N N N N CITIGROUP COML MTG TR 2016-GC36 N/A 17324TAD1 2500000.00000000 PA USD 2717369.50000000 0.005873067343 Long ABS-MBS CORP US N 2 2049-02-10 Fixed 0.03349000 N N N N N N HESS INFRASTRUCTURE PARTNERS LP / HESS INFRASTRUCTURE PARTNERS FIN CORP N/A 428102AC1 600000.00000000 PA USD 598512.00000000 0.001293567651 Long DBT CORP US N 2 2026-02-15 Fixed 0.05625000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RDK5 2211000.00000000 PA USD 2563301.29000000 0.005540078777 Long DBT CORP US N 2 2049-03-09 Fixed 0.04550000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ATF5 432930.93950000 PA USD 450060.59000000 0.000972718709 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ESE2 514482.48950000 PA USD 528940.27000000 0.001143201845 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.02500000 N N N N N N CONSOLIDATED EDISON CO OF NY VZFZPMWDHTQCFKYOBP05 209111FK4 300000.00000000 PA USD 363587.17000000 0.000785823177 Long DBT CORP US N 2 2056-12-01 Fixed 0.04300000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GRHH7 454919.21800000 PA USD 495813.04000000 0.001071603760 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N MILLICOM INTL CELLULAR SA 549300CTHC1CP86P2G96 600814AM9 100000.00000000 PA USD 102468.75000000 0.000221466336 Long DBT CORP LU N 2 2025-03-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6PY4 741163.84110000 PA USD 786709.10000000 0.001700319196 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946ZJ8 917802.11970000 PA USD 1015542.45000000 0.002194898117 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5B73 130497.61410000 PA USD 145361.50000000 0.000314170700 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202EEU9 68130.84420000 PA USD 75592.71000000 0.000163378987 Long ABS-MBS USGA US N 2 2035-08-20 Fixed 0.05000000 N N N N N N LINCOLN NATIONAL CORP IND EFQMQROEDSNBRIP7LE47 534187AW9 110000.00000000 PA USD 155652.92000000 0.000336413609 Long DBT CORP US N 2 2037-10-09 Fixed 0.06300000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WFQN2 121033.02240000 PA USD 127978.93000000 0.000276601645 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828XZ8 19673000.00000000 PA USD 21504279.70000000 0.046477331423 Long DBT UST US N 2 2025-06-30 Fixed 0.02750000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H030633 -157350000.00000000 PA USD -162579275.49000000 -0.35138358387 Short ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M6QV3 155693.41320000 PA USD 176387.68000000 0.000381227773 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7YU0 274788.53450000 PA USD 292881.27000000 0.000633006082 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6DM3 99526.59110000 PA USD 107944.55000000 0.000233301217 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FQ74 5126362.72310000 PA USD 5611482.73000000 0.012128131993 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 0.04500000 N N N N N N NEW JERSEY ST TPK AUTH TPK REV 5493005YN67D71KSMI84 646139W35 1740000.00000000 PA USD 3020692.20000000 0.006528640552 Long DBT MUN US N 2 2040-01-01 Fixed 0.07414000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417WKP5 52778.24390000 PA USD 58718.03000000 0.000126907637 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MG53 346952.83390000 PA USD 369144.01000000 0.000797833209 Long ABS-MBS USGA US N 2 2042-07-20 Fixed 0.03500000 N N N N N N TRIVIUM PACKAGING FINANCE BV 724500GMZWW3PVYET548 89686QAB2 60000.00000000 PA USD 63475.20000000 0.000137189338 Long DBT CORP NL N 2 2027-08-15 Fixed 0.08500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MQQ6 648562.61000000 PA USD 697529.15000000 0.001507574024 Long ABS-MBS USGA US N 2 2042-10-20 Fixed 0.04000000 N N N N N N MARSH and MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BG6 5432000.00000000 PA USD 6330392.67000000 0.013681916449 Long DBT CORP US N 2 2029-03-15 Fixed 0.04375000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132AECA2 2123779.52530000 PA USD 2265931.10000000 0.004897370764 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417CVK8 2083666.18590000 PA USD 2224368.25000000 0.004807540722 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967GK1 1159000.00000000 PA USD 1223061.55000000 0.002643410418 Long DBT CORP US N 2 2022-07-30 Fixed 0.04050000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374CMR4 80511.34440000 PA USD 90328.14000000 0.000195226762 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 0.05000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAS3 2750000.00000000 PA USD 2807916.05000000 0.006068766156 Long DBT CORP US N 2 2021-06-01 Fixed 0.03375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410LMH2 525924.55000000 PA USD 540703.87000000 0.001168626585 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 0.02500000 N N N N N N WILLIAMS PARTNERS LP N/A 96950FAG9 394000.00000000 PA USD 398020.62000000 0.000860244403 Long DBT CORP US N 2 2020-11-15 Fixed 0.04125000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBB0 1170000.00000000 PA USD 1235139.46000000 0.002669514479 Long DBT CORP US N 2 2027-08-15 Fixed 0.03557000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137BJGM9 662430.66570000 PA USD 696158.39000000 0.001504611392 Long ABS-CBDO USGSE US N 2 2040-12-15 Fixed 0.04000000 N N N N N N RETAIL OPPTY INVTS PRTNRSHP LP 549300KH0PNTJK9NTE57 76132FAA5 626000.00000000 PA USD 675449.22000000 0.001459852536 Long DBT CORP US N 2 2023-12-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EP5H3 1359160.67180000 PA USD 1493881.76000000 0.003228735797 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04500000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 14200000.00000000 NC USD 453713.43000000 0.000980613615 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2030-02-28 0.00000000 USD 0.00000000 USD 14200000.00000000 USD 1.00000000 1.40250000 USD 2025-02-26 XXXX 53273.43000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KB49 2400665.46540000 PA USD 2655983.20000000 0.005740392757 Long ABS-MBS USGA US N 2 2035-01-20 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TUA1 261975.59400000 PA USD 275149.90000000 0.000594683164 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132MAXC0 1476615.43700000 PA USD 1565533.38000000 0.003383596882 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828TY6 64320000.00000000 PA USD 65581275.32000000 0.141741212016 Long DBT UST US N 2 2022-11-15 Fixed 0.01625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177PB53 61813.67430000 PA USD 67083.93000000 0.000144988908 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.04000000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AP3 6463000.00000000 PA USD 7196594.97000000 0.015554044785 Long DBT CORP US N 2 2026-01-30 Fixed 0.04500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G0Q22 495000.00000000 PA USD 517501.50000000 0.001118479161 Long DBT USGSE US N 2 2026-09-24 Fixed 0.01875000 N N N N N N UBS COML MTG TR 2017-C7 N/A 90276WAT4 17574634.20690000 PA USD 1127423.33000000 0.002436706948 Long ABS-MBS CORP US N 2 2050-12-15 Variable 0.01055812 N N N N N N FIDELITY REVERE STREET TRUST 549300BDV45LJNXBZC55 31635A105 68499185.14300000 NS USD 68512884.98000000 0.148077317929 Long STIV RF US N 1 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176PQZ2 170896.64970000 PA USD 185307.15000000 0.000400505478 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N ENERGY TRANSFER OPERATING LP RY1052DWLDPLDW74Y843 29273RAF6 900000.00000000 PA USD 1063505.32000000 0.002298560561 Long DBT CORP US N 2 2036-10-15 Fixed 0.06625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NX7K7 386135.69580000 PA USD 411365.30000000 0.000889086342 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N CARVANA AUTO RECEIVABLES TR 2019-4 N/A 14686YAC1 1610000.00000000 PA USD 1615421.68000000 0.003491420771 Long ABS-CBDO CORP US N 2 2022-07-15 Fixed 0.02200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EWWY7 1994559.95510000 PA USD 2071483.55000000 0.004477110083 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419E4N6 26534.97010000 PA USD 28850.56000000 0.000062354892 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AX60 192293.94100000 PA USD 204617.81000000 0.000442241725 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.03500000 N N N N N N ROCKWELL COLLINS INC XO75O7GICH1NPWLBRL05 774341AK7 2225000.00000000 PA USD 2474965.29000000 0.005349157639 Long DBT CORP US N 2 2027-03-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410G4C4 27310.01840000 PA USD 32484.00000000 0.000070207868 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AKZR3 27802.05290000 PA USD 30775.02000000 0.000066514239 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.04500000 N N N N N N TCW FDS INC 549300RGHXB227I79431 87234N880 30497882.03300000 NS USD 315043121.40000000 0.680904627834 Long EC RF US N 1 N N N COMM 2014-UBS6 MTG TR N/A 12592PBF9 3900000.00000000 PA USD 4223640.72000000 0.009128580556 Long ABS-MBS CORP US N 2 2047-12-10 Fixed 0.03644000 N N N N N N ANHEUSER-BUSCH INBEV FIN INC 5493000EYEKDT0FBSQ91 035242AP1 12330000.00000000 PA USD 13481090.21000000 0.029136762838 Long DBT CORP US N 2 2026-02-01 Fixed 0.03650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402Q2V2 1393535.84830000 PA USD 1562751.23000000 0.003377583804 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 0.05000000 N N N N N N CEDAR FUNDING LTD 549300ZKTUZSV15HAV29 15033XAA4 5957000.00000000 PA USD 5957595.70000000 0.012876188075 Long ABS-CBDO CORP KY N 2 2032-10-20 Variable 0.03470540 N N N N N N COMMONWEALTH EDISON CO D8YOXB8L2ZDC8P7Q0771 202795JQ4 940000.00000000 PA USD 997197.04000000 0.002155248070 Long DBT CORP US N 2 2049-11-15 Fixed 0.03200000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DF4 828000.00000000 PA USD 867830.39000000 0.001875647137 Long DBT CORP US N 2 2026-08-15 Fixed 0.03000000 N N N N N N CENTERPOINT ENERGY INC 21TPXMRRHFKOBHDC8J74 15189TAX5 400000.00000000 PA USD 416111.01000000 0.000899343274 Long DBT CORP US N 2 2030-03-01 Fixed 0.02950000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4AU3 2803753.97420000 PA USD 3004862.76000000 0.006494428287 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.04000000 N N N N N N OPEN TEXT CORPORATION 549300UQROQS42RKHM85 683715AC0 175000.00000000 PA USD 174160.00000000 0.000376413074 Long DBT CORP CA N 2 2028-02-15 Fixed 0.03875000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AN4 105000.00000000 PA USD 109747.05000000 0.000237196971 Long DBT CORP US N 2 2028-01-15 Fixed 0.05625000 N N N N N N ONEOK INC NEW 2T3D6M0JSY48PSZI1Q41 682680AT0 365000.00000000 PA USD 400102.48000000 0.000864743940 Long DBT CORP US N 2 2047-07-13 Fixed 0.04950000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BJ8 6644000.00000000 PA USD 7174064.17000000 0.015505348829 Long DBT CORP US N 2 2023-08-01 Fixed 0.04375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GSRR5 20429661.59500000 PA USD 21744980.41000000 0.046997559342 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04000000 N N N N N N ZAYO GROUP LLC/ZAYO CAP INC N/A 989194AL9 400000.00000000 PA USD 409000.00000000 0.000883974205 Long DBT CORP US N 2 2025-05-15 Fixed 0.06375000 N N N N N N BHP BILLITON FIN USA LTD N/A 055451AW8 1979000.00000000 PA USD 2018580.00000000 0.004362769317 Long DBT CORP AU N 2 2075-10-19 Variable 0.06250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VA6 26101167.07500000 PA USD 27109434.28000000 0.058591786347 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176PQQ2 330647.38070000 PA USD 358528.53000000 0.000774889907 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N FIDELITY REVERE STREET TRUST 549300BDV45LJNXBZC55 31635A303 314691430.90200000 NS USD 314722900.05000000 0.680212531469 Long STIV RF US N 1 N N ONEOK INC NEW 2T3D6M0JSY48PSZI1Q41 682680AZ6 1335000.00000000 PA USD 1369788.74000000 0.002960532793 Long DBT CORP US N 2 2049-09-01 Fixed 0.04450000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LUFA8 1240769.90040000 PA USD 1330758.23000000 0.002876175913 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TXV2 14201064.84000000 PA USD 14988116.26000000 0.032393907470 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQPH9 1501226.87140000 PA USD 1640102.07000000 0.003544762649 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AWT1 450278.05040000 PA USD 468094.07000000 0.001011694580 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407XA84 2540605.03750000 PA USD 2845821.13000000 0.006150690638 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N LENNAR CORP 529900G61XVRLX5TJX09 526057CV4 12100000.00000000 PA USD 13524049.00000000 0.029229609934 Long DBT CORP US N 2 2027-06-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M8WD1 499543.81730000 PA USD 525159.82000000 0.001135031135 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CJ2 1750000.00000000 PA USD 1931177.24000000 0.004173865196 Long DBT CORP US N 2 2034-05-01 Fixed 0.03600000 N N N N N N EASTMAN CHEMICAL CO FDPVHDGJ1IQZFK9KH630 277432AP5 485000.00000000 PA USD 544954.43000000 0.001177813347 Long DBT CORP US N 2 2044-10-15 Fixed 0.04650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401KQE8 11935.92930000 PA USD 13211.54000000 0.000028554182 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AX6L7 52690.78350000 PA USD 58791.14000000 0.000127065650 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SSN8 1066984.91500000 PA USD 1101677.29000000 0.002381061874 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 0.02500000 N N N N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 345397ZM8 8285000.00000000 PA USD 8741682.87000000 0.018893452727 Long DBT CORP US N 2 2022-01-07 Fixed 0.05596000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DET5 3817855.81470000 PA USD 3964704.68000000 0.008568940507 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LP4 1275000.00000000 PA USD 1396540.74000000 0.003018352054 Long DBT CORP US N 2 2028-07-24 Variable 0.03668000 N N N N N N KAISER FNDTN HOSPS DW4Z57L3G4IRMHYZYK62 48305QAD5 1310000.00000000 PA USD 1654316.47000000 0.003575484318 Long DBT CORP US N 2 2047-05-01 Fixed 0.04150000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EDSW2 44014.25110000 PA USD 47206.44000000 0.000102027567 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EBP66 178855.74980000 PA USD 194184.26000000 0.000419691630 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAE3 1799000.00000000 PA USD 2020493.20000000 0.004366904328 Long DBT CORP US N 2 2048-06-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HAYB0 96035.46300000 PA USD 103388.93000000 0.000223455127 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 23311VAG2 800000.00000000 PA USD 838016.00000000 0.001811209113 Long DBT CORP US N 2 2025-07-15 Fixed 0.05375000 N N N N N N BX TRUST N/A 05607QAU2 4677000.00000000 PA USD 4699075.44000000 0.010156140529 Long ABS-MBS CORP US N 2 2029-12-15 Variable 0.03258500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QVXL0 283236.54850000 PA USD 305865.02000000 0.000661067941 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179KP24 95131.61730000 PA USD 103034.48000000 0.000222689052 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 0.04000000 N N N N N N PRIVATE EXPORT FUNDING CORP CYQE6SAYPFKNQJ6FMH60 742651DT6 755000.00000000 PA USD 825697.95000000 0.001784586036 Long DBT USGSE US N 2 2024-01-15 Fixed 0.03550000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448CX4 260000.00000000 PA USD 270026.20000000 0.000583609279 Long DBT CORP US N 2 2022-07-17 Fixed 0.03100000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MX47 6070933.74580000 PA USD 6455437.55000000 0.013952176714 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 0.03500000 N N N N N N CSX CORP 549300JVQR4N1MMP3Q88 126408GK3 1500000.00000000 PA USD 2090154.35000000 0.004517463398 Long DBT CORP US N 2 2037-05-01 Fixed 0.06150000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M6VJ4 132274.20740000 PA USD 149900.83000000 0.000323981581 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F040644 -10000000.00000000 PA USD -10526894.00000000 -0.02275184047 Short ABS-MBS USGA US N 2 2050-04-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31398SE82 965415.98150000 PA USD 1076087.99000000 0.002325755563 Long ABS-CBDO USGSE US N 2 2040-12-25 Fixed 0.04500000 N N N N N N MCDONALDS CORP UE2136O97NLB5BYP9H04 58013MEY6 185000.00000000 PA USD 202864.44000000 0.000438452156 Long DBT CORP US N 2 2026-01-30 Fixed 0.03700000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NF78 335326.38840000 PA USD 356459.56000000 0.000770418230 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 0.03500000 N N N N N N EXELON GENERATION CO LLC S2PEWKCZFFECR4533P43 30161MAN3 375000.00000000 PA USD 447377.85000000 0.000966920487 Long DBT CORP US N 2 2042-06-15 Fixed 0.05600000 N N N N N N UNITED AIRLS PASS THRU TR 2013-1A-O N/A 909319AA3 149184.03230000 PA USD 163452.43000000 0.000353270738 Long DBT CORP US N 2 2027-02-15 Fixed 0.04300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F1ZP0 406899.41600000 PA USD 433358.54000000 0.000936620466 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SSP3 22023574.26490000 PA USD 22986400.88000000 0.049680649007 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945ZL5 368407.09950000 PA USD 407640.21000000 0.000881035282 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 4500000.00000000 NC USD 439973.82000000 0.000950918111 N/A DIR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A N/A NC USD N/A N/A DIR CORP US 2029-04-07 0.00000000 USD 0.00000000 USD 4500000.00000000 USD 1.00000000 2.54000000 USD 2022-04-05 XXXX 316673.82000000 N N N LIBERTY PPTY LTD PARTNERSHIP 549300N6GNCW2Y4RH795 53117CAP7 4307000.00000000 PA USD 4585169.02000000 0.009909953885 Long DBT CORP US N 2 2023-06-15 Fixed 0.03375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AB5X3 5133.33660000 PA USD 5679.05000000 0.000012274165 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N GENERAL MTRS FINL CO INC 5493008B6JBRUJ90QL97 37045XAL0 1875000.00000000 PA USD 1978552.41000000 0.004276257441 Long DBT CORP US N 2 2023-05-15 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GSUM9 572169.85400000 PA USD 611094.51000000 0.001320762307 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N HUNTINGTON BANCSHARES INC 549300XTVCVV9I7B5T19 446150AG9 404000.00000000 PA USD 420264.78000000 0.000908320843 Long DBT CORP US N 2 2020-12-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177PCT0 58272.56120000 PA USD 62050.49000000 0.000134110104 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9BS9 2981712.33560000 PA USD 3298693.11000000 0.007129485622 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCMK9 6931341.60300000 PA USD 7364732.05000000 0.015917440486 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193GFF7 1251398.46940000 PA USD 1334566.66000000 0.002884407096 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N AMERICAN INTERNATIONAL GROUP INC ODVCVCQG2BP6VHV36M30 026874DA2 2530000.00000000 PA USD 3102931.18000000 0.006706384163 Long DBT CORP US N 2 2044-07-16 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295QNY2 78504.59720000 PA USD 89611.92000000 0.000193678791 Long ABS-MBS USGA US N 2 2038-09-15 Fixed 0.05500000 N N N N N N CINTAS CORP NO 2 549300QVUQTTKMTE0G41 17252MAN0 1135000.00000000 PA USD 1279420.28000000 0.002765218887 Long DBT CORP US N 2 2027-04-01 Fixed 0.03700000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2BP6 2587386.08400000 PA USD 2752875.82000000 0.005949807370 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ATJ7 16624730.37100000 PA USD 17895980.28000000 0.038678691787 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EDMB4 404329.90970000 PA USD 446050.00000000 0.000964050596 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PWED6 414103.98200000 PA USD 433910.20000000 0.000937812772 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.03500000 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25 N/A 61765TAE3 2800000.00000000 PA USD 3033639.00000000 0.006556622550 Long ABS-MBS CORP US N 2 2048-10-15 Fixed 0.03372000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828XB1 35440000.00000000 PA USD 37552556.43000000 0.081162570211 Long DBT UST US N 2 2025-05-15 Fixed 0.02125000 N N N N N N WELLS FARGO and CO PBLD0EJDB5FWOLXP3B76 95000U2G7 3110000.00000000 PA USD 3248278.41000000 0.007020524022 Long DBT CORP US N 2 2030-10-30 Variable 0.02879000 N N N N N N C and W SENIOR FINANCING DESIGNATED ACTIVITY COMPANY 5493009O8OIWZPZRY516 12674TAB2 1140000.00000000 PA USD 1197000.00000000 0.002587083431 Long DBT CORP IE N 2 2026-10-15 Fixed 0.07500000 N N N N N N ENTERPRISE PRODS OPER LLC 5493004LGN656HWLDA30 29379VBA0 2850000.00000000 PA USD 3351923.36000000 0.007244532487 Long DBT CORP US N 2 2044-03-15 Fixed 0.04850000 N N N N N N DISCOVERY COMMUNICATIONS LLC L2Z2MO2EQURH3BREWI15 25470DAS8 380000.00000000 PA USD 436346.73000000 0.000943078860 Long DBT CORP US N 2 2037-09-20 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H2B49 65662.53100000 PA USD 67610.35000000 0.000146126663 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.02500000 N N N N N N FIDELITY SALEM STREET TRUST S4W85DGKOEJ24DPRB829 31635V786 367647338.90300000 NS USD 3897061792.37000000 8.422743520287 Long EC RF US N 1 N N N CITIGROUP COML MTG TR 2015-GC29 N/A 17323VBF1 31995730.14430000 PA USD 1449700.94000000 0.003133247520 Long ABS-MBS CORP US N 2 2048-04-10 Variable 0.01077360 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3137EAEL9 2785000.00000000 PA USD 2817608.70000000 0.006089714940 Long DBT USGSE US N 2 2021-02-16 Fixed 0.02375000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137FGR31 17300000.00000000 PA USD 20105008.16000000 0.043453077273 Long ABS-MBS USGSE US N 2 2028-06-25 Fixed 0.03854000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128283C2 32840000.00000000 PA USD 33800826.48000000 0.073053933292 Long DBT UST US N 2 2022-10-31 Fixed 0.02000000 N N N N N N HIGHWOODS RLTY LTD PARTNERSHIP JUJNVZX73BIYHLR58F51 431282AN2 2263000.00000000 PA USD 2302993.77000000 0.004977474540 Long DBT CORP US N 2 2021-06-15 Fixed 0.03200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MRLJ8 1319592.33100000 PA USD 1415297.35000000 0.003058890830 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828YB0 188233000.00000000 PA USD 196519664.18000000 0.424739153821 Long DBT UST US N 2 2029-08-15 Fixed 0.01625000 N N N N N N MARKEL CORP 549300SCNO12JLWIK605 570535AV6 1040000.00000000 PA USD 1191064.80000000 0.002574255647 Long DBT CORP US N 2 2050-09-17 Fixed 0.04150000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TQR9 1111661.37530000 PA USD 1183510.72000000 0.002557928967 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 0.04500000 N N N N N N SIMON PROPERTY GROUP LP MR92GTD0MJTTTTQDVG45 828807CV7 55000.00000000 PA USD 59723.96000000 0.000129081760 Long DBT CORP US N 2 2025-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312934XP2 1123116.47170000 PA USD 1266623.47000000 0.002737561063 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.05000000 N N N N N N GLP CAP LP / GLP FING II INC N/A 361841AJ8 200000.00000000 PA USD 223830.00000000 0.000483765149 Long DBT CORP US N 2 2025-06-01 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GPCD8 138198.64630000 PA USD 149392.16000000 0.000322882190 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAG3 461000.00000000 PA USD 487697.85000000 0.001054064350 Long ABS-MBS CORP US N 2 2032-11-05 Variable 0.03842500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y3M57 10120.01320000 PA USD 10914.39000000 0.000023589337 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.04500000 N N N N N N CNOOC FINANCE 2013 LTD 5493006KAH3PSSMCES09 12625GAF1 2225000.00000000 PA USD 2333468.75000000 0.005043340301 Long DBT CORP VG N 2 2029-09-30 Fixed 0.02875000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00772BAF8 1455000.00000000 PA USD 1503038.43000000 0.003248526164 Long DBT CORP IE N 2 2021-05-15 Fixed 0.04500000 N N N N N N CANADIAN NATIONAL RAILWAY CO 3SU7BEP7TH9YEQOZCS77 136375BV3 600000.00000000 PA USD 614068.03000000 0.001327188994 Long DBT CORP CA N 2 2021-12-15 Fixed 0.02850000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BLX2 889225.35390000 PA USD 979754.19000000 0.002117548731 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179Q6N6 588756.32410000 PA USD 617623.34000000 0.001334873107 Long ABS-MBS USGA US N 2 2045-03-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EDEA5 185274.10500000 PA USD 201487.03000000 0.000435475151 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVS99 4022393.92200000 PA USD 4391982.74000000 0.009492419195 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.04000000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NAY4 1500000.00000000 PA USD 1496445.00000000 0.003234275743 Long DBT CORP US N 2 2022-08-01 Fixed 0.03875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J2VZ3 1625252.36100000 PA USD 1698694.10000000 0.003671397962 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHRR5 1650773.71100000 PA USD 1711607.36000000 0.003699307470 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.02500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828L57 16995000.00000000 PA USD 17370084.92000000 0.037542070924 Long DBT UST US N 2 2022-09-30 Fixed 0.01750000 N N N N N N BX TR 2018-IND N/A 12433WAG6 2530703.06500000 PA USD 2531678.90000000 0.005471733112 Long ABS-MBS CORP US N 2 2037-09-15 Variable 0.04283500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F3LR7 95974.58590000 PA USD 103718.13000000 0.000224166629 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.04500000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DC6 7413000.00000000 PA USD 8374927.56000000 0.018100782229 Long DBT CORP US N 2 2026-03-15 Fixed 0.05550000 N N N N N N COMCAST CORP NEW 51M0QTTNCGUN7KFCFZ59 20030NBE0 3871000.00000000 PA USD 4867177.31000000 0.010519460130 Long DBT CORP US N 2 2042-07-15 Fixed 0.04650000 N N N N N N NEW JERSEY ST TPK AUTH TPK REV 5493005YN67D71KSMI84 646139X83 1675000.00000000 PA USD 2829091.75000000 0.006114533326 Long DBT MUN US N 2 2041-01-01 Fixed 0.07102000 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAD8 190000.00000000 PA USD 191781.25000000 0.000414497990 Long DBT CORP KY N 2 2027-10-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335AN53 1386524.30800000 PA USD 1497730.49000000 0.003237054081 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAYH4 713090.01230000 PA USD 753220.01000000 0.001627939020 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N ALLERGAN FUNDING SCS 222100FLFVOSKCBCAR54 00507UAT8 400000.00000000 PA USD 477531.42000000 0.001032091582 Long DBT CORP LU N 2 2035-03-15 Fixed 0.04550000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CV43 2751383.08400000 PA USD 2954457.99000000 0.006385488149 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04500000 N N N N N N NEWMONT CORP 549300VSP3RIX7FGDZ51 651639AX4 425000.00000000 PA USD 441913.22000000 0.000955109748 Long DBT CORP US N 2 2029-10-01 Fixed 0.02800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ECMT7 69863.80560000 PA USD 77334.57000000 0.000167143679 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.04500000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PBK7 700000.00000000 PA USD 1068028.87000000 0.002308337338 Long DBT CORP US N 2 2038-02-15 Fixed 0.06875000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F030637 134250000.00000000 PA USD 138249186.68000000 0.298798813909 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WB3H6 2064680.98230000 PA USD 2232452.42000000 0.004825013088 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.04000000 N N N N N N MERRILL LYNCH ALTERNATIVE NT ASSET SER 2007 OAR1 N/A 59023TAA3 2803.48280000 PA USD 2852.88000000 0.000006165947 Long ABS-CBDO CORP US N 2 2037-02-25 Variable 0.01830880 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945DS4 4398788.34310000 PA USD 4798330.29000000 0.010370660644 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N BX 2020-BXLP N/A 05607QAR9 5099000.00000000 PA USD 5113401.62000000 0.011051626239 Long ABS-MBS CORP US N 2 2029-12-15 Variable 0.02908500 N N N N N N PRIVATE EXPORT FUNDING CORP CYQE6SAYPFKNQJ6FMH60 742651DX7 1225000.00000000 PA USD 1259057.72000000 0.002721209161 Long DBT USGSE US N 2 2024-11-15 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402CPL0 102572.54610000 PA USD 114377.04000000 0.000247203797 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.05000000 N N N N N N ENTERPRISE PRODS OPER LLC 5493004LGN656HWLDA30 29379VBY8 215000.00000000 PA USD 214293.68000000 0.000463154243 Long DBT CORP US N 2 2051-01-31 Fixed 0.03700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LTJW9 9828.36470000 PA USD 10541.18000000 0.000022782716 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q75R4 1229692.81000000 PA USD 1307349.39000000 0.002825582243 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M3CW5 47861.07240000 PA USD 51864.29000000 0.000112094607 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418XGY8 48993.81410000 PA USD 54722.04000000 0.000118271080 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JMU56 1644588.29220000 PA USD 1730745.81000000 0.003740671519 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -8200000.00000000 NC USD -139046.74000000 -0.00030052257 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-12-05 0.00000000 USD 0.00000000 USD -8200000.00000000 USD 1.00000000 1.77500000 USD 2024-12-03 XXXX 95883.26000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J62G8 212031.83850000 PA USD 223139.87000000 0.000482273567 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EUVT3 598479.01800000 PA USD 642808.54000000 0.001389306034 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M8YQ1 2425494.15440000 PA USD 2682278.55000000 0.005797225058 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N GLOBAL PARTNERS LP / GLP FIN CORP N/A 37954FAG9 500000.00000000 PA USD 517152.50000000 0.001117724865 Long DBT CORP US N 2 2027-08-01 Fixed 0.07000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CC7 4427000.00000000 PA USD 4530846.40000000 0.009792546074 Long DBT CORP US N 2 2022-02-15 Fixed 0.03125000 N N N N N N DRYDEN 76 CLO LTD N/A 26252WAA7 2651000.00000000 PA USD 2651795.30000000 0.005731341423 Long ABS-CBDO CORP KY N 2 2032-10-20 Variable 0.03264000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9ED0 702961.30050000 PA USD 738909.69000000 0.001597010038 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193GKX2 56703.34580000 PA USD 60719.94000000 0.000131234378 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 345397ZU0 3970000.00000000 PA USD 4007242.97000000 0.008660878774 Long DBT CORP US N 2 2022-11-01 Fixed 0.03350000 N N N N N N SUMMIT MIDSTREAM HOLDINGS LLC / SUMMIT MIDSTREAM FINANCE CORP N/A 86614WAD8 1035000.00000000 PA USD 765900.00000000 0.001655344360 Long DBT CORP US N 2 2025-04-15 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412YFS6 213446.84980000 PA USD 249702.18000000 0.000539682850 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NBA5 617560.49080000 PA USD 648804.73000000 0.001402265636 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.03000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CK9 2105000.00000000 PA USD 2142920.25000000 0.004631506661 Long DBT CORP US N 2 2022-04-15 Fixed 0.02600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E9FZ8 50984.27300000 PA USD 56245.00000000 0.000121562662 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193NX21 471792.63810000 PA USD 505212.16000000 0.001091918135 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HN89 70811.83980000 PA USD 75433.05000000 0.000163033912 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172AU3 530000.00000000 PA USD 578926.83000000 0.001251238103 Long DBT CORP US N 2 2042-08-21 Fixed 0.03875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFJL2 86342.61950000 PA USD 95972.04000000 0.000207424957 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J72D6 2481787.38500000 PA USD 2646270.82000000 0.005719401330 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YJTS5 68069.01360000 PA USD 72899.44000000 0.000157558006 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ANL8 449453.53430000 PA USD 466956.02000000 0.001009234906 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.03000000 N N N N N N LOWES COS INC WAFCR4OKGSC504WU3E95 548661DE4 305000.00000000 PA USD 347685.41000000 0.000751454606 Long DBT CORP US N 2 2044-09-15 Fixed 0.04250000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAA0 7846000.00000000 PA USD 8457711.90000000 0.018279704530 Long DBT CORP US N 2 2024-02-01 Fixed 0.04250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MNH9 1112056.86060000 PA USD 1182489.20000000 0.002555721150 Long ABS-MBS USGA US N 2 2042-09-20 Fixed 0.03500000 N N N N N N SOUTHWESTERN ELEC POWER CO R64UBJHEC74EB3HGQ410 845437BQ4 660000.00000000 PA USD 727795.95000000 0.001572989844 Long DBT CORP US N 2 2048-02-01 Fixed 0.03850000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XUHS4 70599.64220000 PA USD 77178.35000000 0.000166806040 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417BA80 41108.91450000 PA USD 44632.08000000 0.000096463587 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UBD0 150000.00000000 PA USD 219300.51000000 0.000473975535 Long DBT CORP US N 2 2038-06-15 Fixed 0.07000000 N N N N N N WELLS FARGO and CO PBLD0EJDB5FWOLXP3B76 949746RG8 700000.00000000 PA USD 750652.00000000 0.001622388765 Long EP CORP US N 2 N N N WEINGARTEN REALTY INVESTORS 549300JMKTJNB8GWHU88 948741AH6 472000.00000000 PA USD 488019.19000000 0.001054758864 Long DBT CORP US N 2 2022-10-15 Fixed 0.03375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410LKM3 77447.37770000 PA USD 84133.27000000 0.000181837751 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N EXXON MOBIL CORP J3WHBG0MTS7O8ZVMDC91 30231GAW2 705000.00000000 PA USD 859472.90000000 0.001857584042 Long DBT CORP US N 2 2046-03-01 Fixed 0.04114000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46647PAU0 10889000.00000000 PA USD 11639516.05000000 0.025156557327 Long DBT CORP US N 2 2024-07-23 Variable 0.03797000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H4JT2 69599.85500000 PA USD 72295.22000000 0.000156252101 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.02500000 N N N N N N VOYA CLO 2019-2 LLC N/A 92917RAC3 8868000.00000000 PA USD 8872434.00000000 0.019176045945 Long ABS-CBDO CORP KY N 2 2032-07-20 Variable 0.03089130 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XP2M4 168287.50670000 PA USD 185596.68000000 0.000401131241 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DJJ2 3524632.33890000 PA USD 3618172.91000000 0.007819979270 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XVV42 1607436.97950000 PA USD 1711747.58000000 0.003699610528 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176PRH1 56246.35110000 PA USD 59892.92000000 0.000129446934 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176LGA7 22551.86710000 PA USD 24580.36000000 0.000053125682 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419BCD5 253610.08650000 PA USD 272846.46000000 0.000589704725 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.03500000 N N N N N N FLORIDA PWR and LT CO A89MY1K3YLIGJMYWVX50 341081FJ1 1200000.00000000 PA USD 1251554.18000000 0.002704991714 Long DBT CORP US N 2 2023-06-01 Fixed 0.02750000 N N N N N N CHILDRENS HOSP CORP 549300NXFO6BISJLOS32 16876BAA0 580000.00000000 PA USD 736826.76000000 0.001592508189 Long DBT CORP US N 2 2047-01-01 Fixed 0.04115000 N N N N N N AEP TRANSMISSION CO LLC 549300X123Z1I0LA3Y84 00115AAF6 375000.00000000 PA USD 459876.02000000 0.000993932858 Long DBT CORP US N 2 2046-12-01 Fixed 0.04000000 N N N N N N PANAMA REPUBLIC OF 549300SHS4T08CL0LP14 698299BH6 400000.00000000 PA USD 498625.00000000 0.001077681266 Long DBT NUSS PA N 2 2050-04-16 Fixed 0.04500000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 3130AF5B9 1165000.00000000 PA USD 1202933.67000000 0.002599907908 Long DBT USGSE US N 2 2021-10-12 Fixed 0.03000000 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAC3 5544000.00000000 PA USD 5970586.24000000 0.012904264608 Long DBT CORP US N 2 2025-02-01 Fixed 0.04000000 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NAL9 1943000.00000000 PA USD 2167107.12000000 0.004683781891 Long DBT CORP CA N 2 2026-12-01 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J82Y5 74495.20430000 PA USD 79400.15000000 0.000171608030 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N COLUMBIA PIPELINE GROUP INC 549300SRP1TQM9JJBG80 198280AF6 1418000.00000000 PA USD 1580604.65000000 0.003416170510 Long DBT CORP US N 2 2025-06-01 Fixed 0.04500000 N N N N N N WINWATER MORTGAGE LOAN TRUST 2015-1 N/A 97652TAJ2 151203.08000000 PA USD 151147.56000000 0.000326676147 Long ABS-CBDO CORP US N 2 2045-01-20 Fixed 0.02500000 N N N N N N WILLIAMS PARTNERS L P NEW WUURD1P1N0874ONXXO03 96949LAE5 100000.00000000 PA USD 105423.65000000 0.000227852780 Long DBT CORP US N 2 2048-03-01 Fixed 0.04850000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416QTV7 6180.74260000 PA USD 6459.89000000 0.000013961799 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BC20 20736974.23770000 PA USD 21823353.21000000 0.047166946954 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFNE3 165362.41200000 PA USD 183804.57000000 0.000397257942 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RCQ7 543983.41130000 PA USD 545456.19000000 0.001178897804 Long ABS-CBDO USGA US N 2 2064-08-20 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WN2K7 8964592.12340000 PA USD 9706008.71000000 0.020977656071 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQL83 2130464.94900000 PA USD 2377742.05000000 0.005139028455 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YJ4A1 391747.15930000 PA USD 426170.30000000 0.000921084479 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04500000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EBH7 200000.00000000 PA USD 212708.34000000 0.000459727838 Long DBT CORP GB N 2 2025-05-07 Variable 0.03932000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GTWR7 2147267.06380000 PA USD 2256699.74000000 0.004877418969 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.03500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810RU4 7015000.00000000 PA USD 8838351.99000000 0.019102384288 Long DBT UST US N 2 2046-11-15 Fixed 0.02875000 N N N N N N ARES XXXIV CLO LTD 549300VDFIIXSFET0S73 04015GAP4 2769000.00000000 PA USD 2769000.00000000 0.005984656659 Long ABS-CBDO CORP KY N 2 2033-04-17 Variable 0.01250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AR3K5 91861.49190000 PA USD 99607.52000000 0.000215282343 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828X47 57915000.00000000 PA USD 59114021.19000000 0.127763496055 Long DBT UST US N 2 2022-04-30 Fixed 0.01875000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UN99 965551.26390000 PA USD 1002867.60000000 0.002167503886 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4PY6 2582946.03700000 PA USD 2788925.14000000 0.006027720986 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GW93 608106.58030000 PA USD 652210.24000000 0.001409625986 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03500000 N N N N N N UNIVERSITY PA TRUSTEES 549300FG60YK9HZ7DS75 91481CAC4 285000.00000000 PA USD 352585.14000000 0.000762044422 Long DBT MUN XX N 2 2119-02-15 Fixed 0.03610000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 20100000.00000000 NC USD 790275.72000000 0.001708027753 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2030-02-11 0.00000000 USD 0.00000000 USD 20100000.00000000 USD 1.00000000 1.67000000 USD 2025-02-07 XXXX 225465.72000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XVLD0 276361.46690000 PA USD 301941.01000000 0.000652586954 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 0.04500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MF5 6698000.00000000 PA USD 7091608.30000000 0.015327136452 Long DBT CORP US N 2 2025-04-24 Variable 0.03352000 N N N N N N VALVOLINE INC 549300CMHPBEY6VPOT75 92047WAD3 70000.00000000 PA USD 69037.50000000 0.000149211171 Long DBT CORP US N 2 2030-02-15 Fixed 0.04250000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAN8 7600000.00000000 PA USD 7930025.14000000 0.017139211904 Long DBT CORP US N 2 2023-01-23 Fixed 0.03125000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DF9 4200000.00000000 PA USD 4961575.42000000 0.010723483343 Long DBT CORP US N 2 2036-09-15 Fixed 0.06450000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BT0 2050000.00000000 PA USD 2479169.90000000 0.005358245089 Long DBT CORP US N 2 2046-08-08 Fixed 0.03700000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335AU48 4839860.58600000 PA USD 5178190.56000000 0.011191654972 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QWXG9 481830.81540000 PA USD 517765.76000000 0.001119050308 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N HASBRO INC 549300NUB6D2R1ITYR45 418056AW7 2485000.00000000 PA USD 2556876.44000000 0.005526192709 Long DBT CORP US N 2 2022-11-19 Fixed 0.02600000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828Z78 17561000.00000000 PA USD 18091945.95000000 0.039102233589 Long DBT UST US N 2 2027-01-31 Fixed 0.01500000 N N N N N N INTERNATIONAL PAPER CO 824LMFJDH41EY779Q875 460146CM3 405000.00000000 PA USD 514448.07000000 0.001111879764 Long DBT CORP US N 2 2035-09-15 Fixed 0.05000000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EBD6 15000000.00000000 PA USD 17353328.25000000 0.037505854631 Long DBT CORP GB N 2 2029-05-16 Variable 0.04972000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HJX9 2860000.00000000 PA USD 3092887.83000000 0.006684677410 Long DBT CORP US N 2 2024-05-13 Fixed 0.03625000 N N N N N N MARLETTE FUNDING TRUST 2019 N/A 57110AAA2 4142428.91000000 PA USD 4171105.70000000 0.009015036296 Long ABS-CBDO CORP US N 2 2029-12-17 Fixed 0.02390000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MCP58 24938.64720000 PA USD 26283.31000000 0.000056806278 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 0.04500000 N N N N N N TERWIN MORTGAGE TRUST N/A 881561BU7 3983.40800000 PA USD 3907.85000000 0.000008446060 Long ABS-CBDO CORP US N 2 2034-09-25 Variable 0.02486750 N N N N N N SIMON PROPERTY GROUP LP MR92GTD0MJTTTTQDVG45 828807DF1 885000.00000000 PA USD 902556.05000000 0.001950699918 Long DBT CORP US N 2 2029-09-13 Fixed 0.02450000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MAD22 6703872.20370000 PA USD 7159935.96000000 0.015474813442 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N SIMON PROPERTY GROUP LP MR92GTD0MJTTTTQDVG45 828807CY1 1070000.00000000 PA USD 1167236.04000000 0.002522754402 Long DBT CORP US N 2 2026-11-30 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGG81 1273513.29600000 PA USD 1346773.68000000 0.002910790203 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.03500000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 79000000.00000000 NC USD 4487698.49000000 0.009699290232 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2029-07-22 0.00000000 USD 0.00000000 USD 79000000.00000000 USD 1.00000000 2.20000000 USD 2024-07-18 XXXX 2366548.49000000 N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114CD8 900000.00000000 PA USD 1274808.79000000 0.002755252045 Long DBT CORP US N 2 2037-04-01 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LTLT3 47041.70030000 PA USD 51895.62000000 0.000112162321 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.04500000 N N N N N N 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC N/A 68245XAJ8 280000.00000000 PA USD 278600.00000000 0.000602139886 Long DBT CORP CA N 2 2028-01-15 Fixed 0.04375000 N N N N N N CHARLES RIVER LABS INTL INC 549300BSQ0R4UZ5KX287 159864AE7 30000.00000000 PA USD 30189.00000000 0.000065247670 Long DBT CORP US N 2 2028-05-01 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176Q6A7 28928.86670000 PA USD 30831.51000000 0.000066636331 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FNR5 96477.27990000 PA USD 102268.70000000 0.000221033967 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EBDJ7 412709.67140000 PA USD 444697.89000000 0.000961128273 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBH89 30222.03390000 PA USD 31805.32000000 0.000068741032 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N DELTA AIR INC DEL PASS THRU TR N/A 247367BH7 111007.84760000 PA USD 121632.08000000 0.000262884159 Long DBT CORP US N 2 2024-02-10 Fixed 0.06821000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RBW8 285384.94750000 PA USD 299377.51000000 0.000647046445 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 0.03000000 N N N N N N ASCENSION HEALTH N/A 04352EAB1 610000.00000000 PA USD 672203.88000000 0.001452838362 Long DBT CORP US N 2 2039-11-15 Fixed 0.03106000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J83Y4 90158.86700000 PA USD 96095.14000000 0.000207691014 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AS7 205000.00000000 PA USD 212740.73000000 0.000459797842 Long DBT CORP US N 2 2024-07-01 Fixed 0.02750000 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VDS0 1594000.00000000 PA USD 2202298.81000000 0.004759841906 Long DBT CORP US N 2 2049-04-15 Fixed 0.05012000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAB2 7290000.00000000 PA USD 6733081.91000000 0.014552251170 Long DBT CORP US N 2 2046-06-01 Fixed 0.04375000 N N N N N N ADVOCATE HEALTH and HOSPITALS CORP 549300AEHU3PPOUCIL87 007589AC8 510000.00000000 PA USD 582703.79000000 0.001259401270 Long DBT CORP US N 2 2049-10-15 Fixed 0.03387000 N N N N N N ROYAL BANK OF SCOTLAND GRP PLC (UNGTD) 2138005O9XJIJN4JPN90 780097BA8 15438000.00000000 PA USD 17648574.32000000 0.038143971770 Long DBT CORP GB N 2 2026-04-05 Fixed 0.04800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ASLY6 85961.90900000 PA USD 95019.78000000 0.000205366832 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967FT3 2773000.00000000 PA USD 2915279.52000000 0.006300811481 Long DBT CORP US N 2 2022-01-14 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KZH1 53224.99100000 PA USD 58866.62000000 0.000127228786 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAJ7 3691000.00000000 PA USD 3715899.49000000 0.008031196326 Long DBT CORP US N 2 2022-07-22 Variable 0.02732130 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TZ65 3531351.43600000 PA USD 3744141.49000000 0.008092235934 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36193VFY3 117355.01000000 PA USD 125667.88000000 0.000271606758 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417CDE2 24764.24190000 PA USD 26560.30000000 0.000057404939 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03500000 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAK5 34097000.00000000 PA USD 42049487.64000000 0.090881815177 Long DBT CORP NL N 2 2044-03-17 Fixed 0.07250000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411AZ8 110000.00000000 PA USD 112192.09000000 0.000242481451 Long DBT CORP US N 2 2022-04-15 Fixed 0.03250000 N N N N N N XCEL ENERGY INC LGJNMI9GH8XIDG5RCM61 98389BAX8 1175000.00000000 PA USD 1291596.79000000 0.002791536052 Long DBT CORP US N 2 2049-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJR83 156587.60120000 PA USD 162832.19000000 0.000351930209 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.03000000 N N N N N N ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC N/A 03522AAJ9 945000.00000000 PA USD 1167680.50000000 0.002523715016 Long DBT CORP US N 2 2046-02-01 Fixed 0.04900000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W5MR6 499716.03190000 PA USD 532366.83000000 0.001150607690 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CV92 734762.66000000 PA USD 761997.89000000 0.001646910706 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WFDL0 31069.67730000 PA USD 33338.31000000 0.000072054293 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ER2J8 5006519.34750000 PA USD 5328945.20000000 0.011517481899 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FUF1 2200187.48840000 PA USD 2404271.16000000 0.005196365983 Long ABS-MBS USGA US N 2 2041-06-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBF81 219704.47710000 PA USD 238081.11000000 0.000514566161 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SAS2 1380000.00000000 PA USD 1492417.55000000 0.003225571191 Long DBT CORP US N 2 2024-01-31 Fixed 0.04000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 9000000.00000000 NC USD 937298.25000000 0.002025788448 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2029-04-20 0.00000000 USD 0.00000000 USD 9000000.00000000 USD 1.00000000 2.64500000 USD 2022-04-14 XXXX 696638.25000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193XHD3 65424.38070000 PA USD 70058.73000000 0.000151418362 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ECH2 239312.94270000 PA USD 253603.83000000 0.000548115511 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N ANTHEM INC 8MYN82XMYQH89CTMTH67 94973VBA4 3395000.00000000 PA USD 3548556.09000000 0.007669516011 Long DBT CORP US N 2 2023-01-15 Fixed 0.03300000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M8KV7 140203.09380000 PA USD 151667.15000000 0.000327799140 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292SAX8 928473.73350000 PA USD 976534.78000000 0.002110590601 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J66F6 301232.18020000 PA USD 323231.14000000 0.000698601442 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N ENTERPRISE PRODS OPER LLC 5493004LGN656HWLDA30 29379VBV4 515000.00000000 PA USD 538486.94000000 0.001163835121 Long DBT CORP US N 2 2029-07-31 Fixed 0.03125000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DL6 6475000.00000000 PA USD 7860624.36000000 0.016989215573 Long DBT CORP US N 2 2046-03-15 Fixed 0.06600000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JMYC7 269854.86690000 PA USD 290807.07000000 0.000628523101 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132CWA79 1948641.41100000 PA USD 2025742.72000000 0.004378250147 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SB97 4750148.75700000 PA USD 5058315.13000000 0.010932567471 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202EGC7 83229.69310000 PA USD 92398.97000000 0.000199702459 Long ABS-MBS USGA US N 2 2035-12-20 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VKL3 9700000.00000000 PA USD 10048283.35000000 0.021717416347 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9SN3 719355.61000000 PA USD 780198.71000000 0.001686248250 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.04000000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2015-C21 N/A 61764XBH7 3732072.59000000 PA USD 3960525.82000000 0.008559908711 Long ABS-MBS CORP US N 2 2048-03-15 Fixed 0.03077000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X4JF8 808125.52600000 PA USD 875307.26000000 0.001891806942 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180DVE4 216001.44500000 PA USD 228560.76000000 0.000493989770 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03500000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BN8 300000.00000000 PA USD 333460.43000000 0.000720710069 Long DBT CORP US N 2 2024-03-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JZT8 36090.48930000 PA USD 39239.95000000 0.000084809544 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P8FJ5 399618.59460000 PA USD 416427.71000000 0.000900027760 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 0.03000000 N N N N N N COMM 2015-CCRE23 MORTGAGE TRUST N/A 12593AAZ8 2500000.00000000 PA USD 2686272.00000000 0.005805856126 Long ABS-MBS CORP US N 2 2048-05-10 Fixed 0.03230000 N N N N N N CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1 N/A 14855MAA6 7790441.76000000 PA USD 8013469.64000000 0.017319561013 Long ABS-CBDO CORP US N 2 2039-04-15 Fixed 0.03967000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BD0 485000.00000000 PA USD 572000.47000000 0.001236268119 Long DBT CORP US N 2 2045-03-01 Fixed 0.03800000 N N N N N N TRIVIUM PACKAGING FINANCE BV 724500GMZWW3PVYET548 89686QAA4 205000.00000000 PA USD 212431.66000000 0.000459129847 Long DBT CORP NL N 2 2026-08-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HLHW6 1550889.75100000 PA USD 1664151.07000000 0.003596739900 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179R7H6 1621092.38800000 PA USD 1698548.99000000 0.003671084335 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XTKB3 94620.77000000 PA USD 102032.41000000 0.000220523272 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04000000 N N N N N N CSMC SER 2015-1R N/A 12649MBC6 582320.20840000 PA USD 564779.62000000 0.001220661651 Long ABS-CBDO CORP US N 2 2037-05-27 Variable 0.02007250 N N N N N N KINDER MORGAN ENERGY PARTNERS LP 549300PDHUGWPWGOT525 494550BM7 1900000.00000000 PA USD 1984005.12000000 0.004288042417 Long DBT CORP US N 2 2023-02-15 Fixed 0.03450000 N N N N N N TENNESSEE VALLEY AUTHORITY 549300HE1ISW43LNKM54 880591EV0 3130000.00000000 PA USD 3130900.53000000 0.006766834491 Long DBT USGSE US N 2 2020-03-15 Fixed 0.02250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCVU7 12807114.60900000 PA USD 13391808.06000000 0.028943796781 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03000000 N N N N N N AMERADA HESS CORP N/A 023551AF1 5583000.00000000 PA USD 7284395.75000000 0.015743809149 Long DBT CORP US N 2 2029-10-01 Fixed 0.07875000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AL3 1490000.00000000 PA USD 1671593.75000000 0.003612825809 Long DBT CORP CO N 2 2026-06-26 Fixed 0.05375000 N N N N N N PROSPER MARKETPLACE ISSUANCE TR SER 2018-2 54930091UL0OQ4F85R54 74360PAA1 556398.85500000 PA USD 557500.25000000 0.001204928704 Long ABS-CBDO CORP US N 2 2024-10-15 Fixed 0.03350000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAH8 4011000.00000000 PA USD 4179174.97000000 0.009032476458 Long DBT CORP IE N 2 2021-12-16 Fixed 0.04450000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FLN4 2791910.67730000 PA USD 3010552.46000000 0.006506725470 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QXCM7 89976.94000000 PA USD 97165.42000000 0.000210004217 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GQT48 763964.05070000 PA USD 793714.11000000 0.001715459167 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NLD8 930843.53370000 PA USD 989507.81000000 0.002138629290 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 0.03500000 N N N N N N ROGERS COMMUNICATIONS INC 54930030NVF3Y2OL0A78 775109AW1 150000.00000000 PA USD 156661.33000000 0.000338593092 Long DBT CORP CA N 2 2023-03-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401XT80 145118.23410000 PA USD 161703.68000000 0.000349491153 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FH3T2 220331.13900000 PA USD 229668.60000000 0.000496384151 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RZT9 8305337.23300000 PA USD 8795021.58000000 0.019008734007 Long ABS-MBS USGA US N 2 2046-02-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QT50 8275512.09860000 PA USD 8882211.41000000 0.019197177921 Long ABS-MBS USGA US N 2 2044-11-20 Fixed 0.04000000 N N N N N N LYONDELLBASELL INDS NV BN6WCCZ8OVP3ITUUVN49 552081AK7 1730000.00000000 PA USD 1979537.95000000 0.004278387495 Long DBT CORP NL N 2 2024-04-15 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4TF3 6589173.73700000 PA USD 6875563.61000000 0.014860197741 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J9WZ7 72533.00600000 PA USD 78667.85000000 0.000170025306 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N TELENET FINANCE LUXEMBOURG NOTES SARL 2138007RI9GLJPCC3E25 N/A 400000.00000000 PA USD 422000.00000000 0.000912071184 Long DBT CORP LU N 2 2028-03-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WKB49 1098224.00320000 PA USD 1180129.55000000 0.002550621224 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.04000000 N N N N N N DISH DBS CORP N/A 25470XAW5 200000.00000000 PA USD 205146.00000000 0.000443383306 Long DBT CORP US N 2 2024-11-15 Fixed 0.05875000 N N N N N N NBC UNIVERSAL INC VTBDOQJ6KOGQ6K786R46 63946BAG5 1495000.00000000 PA USD 2177561.64000000 0.004706377309 Long DBT CORP US N 2 2041-04-01 Fixed 0.05950000 N N N N N N XYLEM INC 549300DF5MV96DRYLQ48 98419MAB6 525000.00000000 PA USD 552885.40000000 0.001194954601 Long DBT CORP US N 2 2021-10-01 Fixed 0.04875000 N N N N N N UBS BARCLAYS COML MTG TR 2013-C6 549300G1IXWLFE766Q13 90349GAC9 5422999.85900000 PA USD 5480305.78000000 0.011844618447 Long ABS-MBS CORP US N 2 2046-04-10 Variable 0.02447880 N N N N N N BX TRUST 2019 N/A 05608BAA8 8070000.00000000 PA USD 8065124.91000000 0.017431203864 Long ABS-MBS CORP US N 2 2034-04-15 Variable 0.02658500 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404121AF2 205000.00000000 PA USD 222851.38000000 0.000481650052 Long DBT CORP US N 2 2023-05-01 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AXJ2 464903.99730000 PA USD 483298.71000000 0.001044556461 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 0.03000000 N N N N N N ECOLAB INC 82DYEISM090VG8LTLS26 278865AL4 245000.00000000 PA USD 257862.95000000 0.000557320773 Long DBT CORP US N 2 2021-12-08 Fixed 0.04350000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A -1200.00000000 NC USD -2169785.66000000 -0.00468957103 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UNDERLYING TREASURY 2 YR NOTE GENERIC IV FOR FUTURES TRADING 2020-06-30 -259823964.34000000 USD -2169785.66000000 N N N NBC UNIVERSAL INC VTBDOQJ6KOGQ6K786R46 63946BAJ9 2406000.00000000 PA USD 2965381.86000000 0.006409097976 Long DBT CORP US N 2 2043-01-15 Fixed 0.04450000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202D6D8 52611.84730000 PA USD 58086.44000000 0.000125542578 Long ABS-MBS USGA US N 2 2034-06-20 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376KP42 62495.90010000 PA USD 73424.26000000 0.000158692302 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WPRV1 447728.95200000 PA USD 490792.15000000 0.001060752079 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAC7 2016000.00000000 PA USD 2068336.99000000 0.004470309404 Long DBT CORP US N 2 2021-08-15 Fixed 0.03750000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAB1 250000.00000000 PA USD 258125.00000000 0.000557887143 Long DBT CORP US N 2 2029-12-01 Fixed 0.04625000 N N N N N N CITIBANK CR CARD ISSUANCE TR R8AG6FXVDQAMDKCSJJ64 17305EGR0 2400000.00000000 PA USD 2532184.56000000 0.005472825998 Long ABS-CBDO CORP US N 2 2024-12-07 Fixed 0.03210000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AP28 592652.11440000 PA USD 613194.92000000 0.001325301936 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.02500000 N N N N N N ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP N/A 451102BQ9 1100000.00000000 PA USD 1135750.00000000 0.002454703431 Long DBT CORP US N 2 2025-12-15 Fixed 0.06375000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAA1 950000.00000000 PA USD 989949.22000000 0.002139583312 Long DBT CORP US N 2 2024-10-01 Fixed 0.02760000 N N N N N N KINDER MORGAN ENERGY PARTNERS LP 549300PDHUGWPWGOT525 494550BJ4 885000.00000000 PA USD 930791.49000000 0.002011725348 Long DBT CORP US N 2 2022-03-01 Fixed 0.04150000 N N N N N N CSMC 2018-SITE N/A 12690CAE3 1543000.00000000 PA USD 1658687.97000000 0.003584932468 Long ABS-MBS CORP US N 2 2036-04-15 Fixed 0.04534900 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45866FAC8 1768000.00000000 PA USD 1783618.87000000 0.003854946387 Long DBT CORP US N 2 2020-12-01 Fixed 0.02750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AW6X6 768099.44240000 PA USD 836754.32000000 0.001808482236 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N CHICAGO IL OHARE INTL ARPT REV N/A 167593H62 910000.00000000 PA USD 1230875.10000000 0.002660297892 Long DBT MUN US N 2 2049-01-01 Fixed 0.04472000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H030633 306225000.00000000 PA USD 316401897.92000000 0.683841359849 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03000000 N N N N N N CENOVUS ENERGY INC 549300DK79J32SE1QE52 15135UAM1 7813000.00000000 PA USD 8375238.64000000 0.018101454568 Long DBT CORP CA N 2 2027-04-15 Fixed 0.04250000 N N N N N N DLL SECURITIZATION TRUST 2019 N/A 23291RAC4 2600000.00000000 PA USD 2632529.64000000 0.005689702434 Long ABS-CBDO CORP US N 2 2023-02-21 Fixed 0.02080000 N N N N N N COMM 2015-DC1 MTG TR N/A 12629NAF2 3800000.00000000 PA USD 4093397.62000000 0.008847085347 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 0.03350000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BZB5 783466.75000000 PA USD 832594.03000000 0.001799490576 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 0.04000000 N N N N N N HORIZON 2018 N/A 440405AE8 3654031.04000000 PA USD 3782430.04000000 0.008174989211 Long ABS-CBDO CORP US N 2 2038-12-15 Fixed 0.04458000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419BBT1 17451.19360000 PA USD 18965.90000000 0.000040991115 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N UNIVERSITY CA REVS N/A 91412F7Y7 60000.00000000 PA USD 88467.60000000 0.000191205565 Long DBT MUN US N 2 2043-05-15 Fixed 0.05770000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312941GX9 39955.44520000 PA USD 44811.06000000 0.000096850418 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.05000000 N N N N N N SENSATA TECHNOLOGIES BV PUCKW5P5O3XMOZVH7T53 81725WAG8 800000.00000000 PA USD 844000.00000000 0.001824142369 Long DBT CORP NL N 2 2023-10-15 Fixed 0.04875000 N N N N N N INGERSOLL-RAND GLOBAL HLDG CO LTD 549300UCF0D858BIOV83 45687AAJ1 425000.00000000 PA USD 465107.87000000 0.001005240488 Long DBT CORP US N 2 2023-06-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WLCE1 1022048.74700000 PA USD 1102223.67000000 0.002382242768 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -20200000.00000000 NC USD -308430.77000000 -0.00066661331 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-12-11 0.00000000 USD 0.00000000 USD -20200000.00000000 USD 1.00000000 1.89000000 USD 2024-12-09 XXXX 267269.23000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 312979UV7 250120.69000000 PA USD 261586.82000000 0.000565369196 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416LWX0 37851.13360000 PA USD 42051.84000000 0.000090886899 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ANC84 511500.18660000 PA USD 565397.37000000 0.001221996798 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N MEXICO UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAC4 750000.00000000 PA USD 824531.25000000 0.001782064440 Long DBT NUSS MX N 2 2027-03-28 Fixed 0.04150000 N N N N N N HCP INC PZ9HF5U52KPF0MH0QN75 40414LAR0 887000.00000000 PA USD 975834.03000000 0.002109076065 Long DBT CORP US N 2 2029-07-15 Fixed 0.03500000 N N N N N N ALLERGAN FUNDING SCS 222100FLFVOSKCBCAR54 00507UAF8 560000.00000000 PA USD 607019.62000000 0.001311955222 Long DBT CORP LU N 2 2024-06-15 Fixed 0.03850000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E0RA9 39756.77500000 PA USD 42478.67000000 0.000091809409 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.03500000 N N N N N N JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC N/A 46590XAA4 295000.00000000 PA USD 319986.50000000 0.000691588782 Long DBT CORP US N 2 2029-04-15 Fixed 0.06500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38380GF25 1401102.84700000 PA USD 1445361.58000000 0.003123868835 Long ABS-CBDO USGA US N 2 2046-11-20 Fixed 0.02500000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37 N/A 17290XAS9 4000000.00000000 PA USD 4281484.00000000 0.009253597592 Long ABS-MBS CORP US N 2 2049-04-10 Fixed 0.03050000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MCWF7 127990.40400000 PA USD 140956.89000000 0.000304650989 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04500000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAF2 5132000.00000000 PA USD 5456219.85000000 0.011792561379 Long DBT CORP IE N 2 2023-07-03 Fixed 0.04125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M4JJ5 672911.54760000 PA USD 728354.41000000 0.001574196847 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFL8 10727000.00000000 PA USD 11975936.46000000 0.025883664820 Long DBT CORP US N 2 2026-10-22 Fixed 0.04250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NLE6 176661.57300000 PA USD 189833.92000000 0.000410289213 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 0.04000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QBR2 160000.00000000 PA USD 150080.00000000 0.000324368823 Long DBT CORP MX N 2 2045-01-23 Fixed 0.06375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X33P5 708129.60830000 PA USD 744884.23000000 0.001609922848 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022630 -45300000.00000000 PA USD -46499797.68000000 -0.10050029752 Short ABS-MBS USGA US N 2 2050-03-01 Fixed 0.02500000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A -135.00000000 NC USD -957733.58000000 -0.00206995545 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UNDERLYING TREASURY 20 YR NOTEGENERIC IV FOR FUTURES TRADING 2020-06-19 -22026016.42000000 USD -957733.58000000 N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AH0 1600000.00000000 PA USD 1728000.00000000 0.003734736983 Long DBT CORP US N 2 2024-06-01 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419LJN4 27707.17600000 PA USD 30112.08000000 0.000065081422 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WE6W4 550930.94410000 PA USD 594837.55000000 0.001285626040 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N GENERAL MTRS FINL CO INC 5493008B6JBRUJ90QL97 37045XBK1 11800000.00000000 PA USD 12257072.88000000 0.026491286686 Long DBT CORP US N 2 2023-05-09 Fixed 0.03700000 N N N N N N NIELSEN CO LUXEMBOURG SARL 549300MFMRJBOPHHM352 65410CAC4 520000.00000000 PA USD 513500.00000000 0.001109830695 Long DBT CORP LU N 2 2025-02-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419E4J5 33762.85360000 PA USD 37710.32000000 0.000081503545 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.05000000 N N N N N N QEP RESOURCES INC Q6JQDZPXKEDQKVK58165 74733VAC4 300000.00000000 PA USD 265560.00000000 0.000573956454 Long DBT CORP US N 2 2023-05-01 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FNJV7 477712.41750000 PA USD 514835.88000000 0.001112717940 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.04000000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2015-C26 N/A 61690VAY4 3200000.00000000 PA USD 3434683.84000000 0.007423403219 Long ABS-MBS CORP US N 2 2048-10-15 Fixed 0.03252000 N N N N N N US TREASURY C0UPON STRIPS 254900HROIFWPRGM1V77 912833XN5 2800000.00000000 PA USD 2510859.88000000 0.005426736836 Long DBT UST US N 2 2029-02-15 Fixed 0.00000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FP67 34336.56140000 PA USD 37004.09000000 0.000079977166 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.04000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AF7 6229000.00000000 PA USD 6631301.21000000 0.014332271920 Long DBT CORP US N 2 2023-07-15 Fixed 0.03750000 N N N N N N GENERAL ELECTRIC CAPITAL CORP P0H32NFVTA51I1N8SJ31 36962G6F6 1386000.00000000 PA USD 1431486.75000000 0.003093881080 Long DBT CORP US N 2 2022-09-07 Fixed 0.03150000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E9CW4 1023284.85840000 PA USD 1102917.19000000 0.002383741677 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XB7F5 15113.95450000 PA USD 15898.43000000 0.000034361374 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HPQ7 127243.26340000 PA USD 135547.21000000 0.000292959015 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JM6T1 64828.94130000 PA USD 70251.40000000 0.000151834781 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GJWC9 561830.18640000 PA USD 622188.39000000 0.001344739578 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04500000 N N N N N N BX TRUST 2019 N/A 05608BAG5 4464000.00000000 PA USD 4462647.41000000 0.009645147179 Long ABS-MBS CORP US N 2 2034-04-15 Variable 0.02958500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J8EH9 532190.07850000 PA USD 567230.75000000 0.001225959294 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828YS3 548700000.00000000 PA USD 579350041.81000000 1.252152793724 Long DBT UST US N 2 2029-11-15 Fixed 0.01750000 N N N N N N BRISTOL PARK CLO LTD 2016 549300XRS6MFERKEPO61 11014PAJ4 8338000.00000000 PA USD 8338000.00000000 0.018020970467 Long ABS-CBDO CORP US N 2 2029-04-15 Variable 0.00000000 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAA6 4963000.00000000 PA USD 5253089.34000000 0.011353534164 Long ABS-MBS CORP US N 2 2032-11-05 Fixed 0.03112000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WF6Y7 828468.70960000 PA USD 892681.50000000 0.001929357993 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WRPB0 622875.08400000 PA USD 655204.67000000 0.001416097866 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y8GB0 498156.79040000 PA USD 543019.94000000 0.001173632322 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QTZK5 627144.17510000 PA USD 676072.40000000 0.001461199418 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N SOUTHERN CALIFORNIA EDISON CO 9R1Z5I36FERIBVKW4P77 842400GG2 715000.00000000 PA USD 805756.31000000 0.001741486047 Long DBT CORP US N 2 2047-04-01 Fixed 0.04000000 N N N N N N EL PASO CORP N/A 28336LBV0 12030000.00000000 PA USD 12333422.95000000 0.026656302560 Long DBT CORP US N 2 2020-09-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945QT8 135449.31970000 PA USD 149873.85000000 0.000323923269 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UN81 999588.12490000 PA USD 1033916.98000000 0.002234611101 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 0.03000000 N N N N N N LANARK MASTER ISSUER PLC 213800KIOPB5OYXIVY33 513770BB2 4172980.00000000 PA USD 4177411.70000000 0.009028665492 Long ABS-CBDO CORP GB N 2 2069-12-22 Variable 0.02452750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GPYV4 100162.36030000 PA USD 108512.98000000 0.000234529768 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ARH3 7157613.95060000 PA USD 7805503.27000000 0.016870082024 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N CIT GROUP INC NEW N8O96ZZJQRFYQUJY7K79 125581GR3 7000000.00000000 PA USD 7472500.00000000 0.016150360017 Long DBT CORP US N 2 2023-08-01 Fixed 0.05000000 N N N N N N LENNAR CORP 529900G61XVRLX5TJX09 526057CD4 9350000.00000000 PA USD 10308375.00000000 0.022279554023 Long DBT CORP US N 2 2027-11-29 Fixed 0.04750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XTLQ9 33795.81400000 PA USD 36443.04000000 0.000078764565 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04000000 N N N N N N PUGET ENERGY INC NEW SYBSJ96YIDMIUY7WDR33 745310AH5 624000.00000000 PA USD 670123.94000000 0.001448342975 Long DBT CORP US N 2 2025-05-15 Fixed 0.03650000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810RC4 43790000.00000000 PA USD 60871520.87000000 0.131561990877 Long DBT UST US N 2 2043-08-15 Fixed 0.03625000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAF0 4954000.00000000 PA USD 5459204.16000000 0.011799011387 Long DBT CORP US N 2 2028-06-15 Fixed 0.04950000 N N N N N N CHC COML MTG TR 2019-CHC N/A 162665AA1 14057000.00000000 PA USD 14050411.48000000 0.030367240386 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.02778500 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAF9 195000.00000000 PA USD 196979.25000000 0.000425732459 Long DBT CORP US N 2 2027-07-31 Fixed 0.05000000 N N N N N N C AND S GROUP ENTERPRISES LLC N/A 12467AAD0 400000.00000000 PA USD 406040.00000000 0.000877576738 Long DBT CORP US N 2 2022-07-15 Fixed 0.05375000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAU4 300000.00000000 PA USD 289500.00000000 0.000625698123 Long EP CORP US N 2 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 11700000.00000000 NC USD 373066.32000000 0.000806310522 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2030-02-28 0.00000000 USD 0.00000000 USD 11700000.00000000 USD 1.00000000 1.40000000 USD 2025-02-26 XXXX 43418.82000000 N N N PARSLEY ENERGY LLC / PARSLEY FINANCE CORP N/A 701885AF2 700000.00000000 PA USD 693000.00000000 0.001497785144 Long DBT CORP US N 2 2025-08-15 Fixed 0.05250000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022634 -8500000.00000000 PA USD -8667914.95000000 -0.01873401767 Short ABS-MBS USGA US N 2 2050-03-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178W7C7 507416.74630000 PA USD 532894.24000000 0.001151747584 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JAUL0 1370607.74000000 PA USD 1423553.22000000 0.003076734293 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.03000000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAC9 125000.00000000 PA USD 125193.75000000 0.000270582018 Long DBT CORP US N 2 2025-02-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJSP6 273408.40380000 PA USD 287731.86000000 0.000621876631 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307TPN5 94872.27470000 PA USD 100001.94000000 0.000216134805 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36292LE91 17480.56580000 PA USD 19814.25000000 0.000042824659 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YF5T7 81795.02680000 PA USD 87599.50000000 0.000189329335 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EAV7 1405000.00000000 PA USD 1708483.03000000 0.003692554836 Long DBT CORP GB N 2 2047-01-10 Fixed 0.04950000 N N N N N N CONCHO RES INC SYHS7HRDXLL4I0IQ8776 20605PAK7 2415000.00000000 PA USD 2625663.30000000 0.005674862171 Long DBT CORP US N 2 2028-08-15 Fixed 0.04300000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFU8 2065000.00000000 PA USD 2330880.73000000 0.005037746797 Long DBT CORP US N 2 2026-03-03 Fixed 0.04450000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ELWC3 590707.95340000 PA USD 659771.93000000 0.001425969113 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4AD1 6014363.85780000 PA USD 6355704.87000000 0.013736623862 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A7FQ6 507111.04460000 PA USD 551285.23000000 0.001191496144 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EGC93 1337304.20180000 PA USD 1588185.41000000 0.003432554853 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XYHF4 44936.28630000 PA USD 48533.81000000 0.000104896420 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213EZR0 118955.44740000 PA USD 129357.85000000 0.000279581913 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N AON CORP2 LTS3U8DGK38SETRUWX71 037389AW3 540000.00000000 PA USD 550232.43000000 0.001189220720 Long DBT CORP US N 2 2020-09-30 Fixed 0.05000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377RLW3 2508815.62860000 PA USD 2811656.77000000 0.006076850997 Long ABS-CBDO USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HLPT4 1067623.63650000 PA USD 1139253.07000000 0.002462274637 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 369550BG2 1905000.00000000 PA USD 2089059.20000000 0.004515096443 Long DBT CORP US N 2 2025-05-15 Fixed 0.03500000 N N N N N N DELTA AIRLINES INC Q2CCMS6R0AS67HJMBN42 247361ZJ0 480000.00000000 PA USD 494371.66000000 0.001068488496 Long DBT CORP US N 2 2022-03-15 Fixed 0.03625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L7RM3 530045.65500000 PA USD 572392.33000000 0.001237115048 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828Z94 3695000.00000000 PA USD 3820860.94000000 0.008258050151 Long DBT UST US N 2 2030-02-15 Fixed 0.01500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J86L9 240871.18310000 PA USD 253490.06000000 0.000547869619 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N PINE STR TR I N/A 72284LAA7 7800000.00000000 PA USD 9735021.66000000 0.021040361938 Long DBT CORP US N 2 2049-02-15 Fixed 0.05568000 N N N N N N PERMANENT MASTER ISSUER PLC 213800MVYG7MLQM2LF25 71419GAY6 5256000.00000000 PA USD 5263626.46000000 0.011376308106 Long ABS-CBDO CORP GB N 2 2058-07-15 Variable 0.02381250 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810EQ7 11080000.00000000 PA USD 13090846.93000000 0.028293327647 Long DBT UST US N 2 2023-08-15 Fixed 0.06250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31329N6Q6 5604011.14400000 PA USD 5992833.13000000 0.012952346948 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 9000000.00000000 NC USD 21254.76000000 0.000045938042 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2029-04-20 0.00000000 USD 0.00000000 USD 9000000.00000000 USD 1.00000000 2.64500000 USD 2022-04-14 XXXX -219405.24000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQKN1 560263.69300000 PA USD 585316.61000000 0.001265048374 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.03000000 N N N N N N LABORATORY CORP OF AMER HLDGS OZ7UA8IXAIFILY2VZH07 50540RAS1 830000.00000000 PA USD 996743.83000000 0.002154268544 Long DBT CORP US N 2 2045-02-01 Fixed 0.04700000 N N N N N N BX TR 2018-IND N/A 12433WAA9 3889969.17900000 PA USD 3885291.88000000 0.008397305136 Long ABS-MBS CORP US N 2 2037-09-15 Variable 0.02746127 N N N N N N MEXICO UNITED MEXICAN STATES 254900EGTWEU67VP6075 91086QBB3 2960000.00000000 PA USD 3430825.00000000 0.007415063085 Long DBT NUSS MX N 2 2044-03-08 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A9H49 97138.27620000 PA USD 107918.66000000 0.000233245260 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BCX2 291182.53310000 PA USD 321132.05000000 0.000694064666 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.05000000 N N N N N N LABORATORY CORP OF AMER HLDGS OZ7UA8IXAIFILY2VZH07 50540RAT9 795000.00000000 PA USD 844943.53000000 0.001826181626 Long DBT CORP US N 2 2024-09-01 Fixed 0.03250000 N N N N N N MELCO RESORTS FIN LTD 529900NRV6LBR3T6B421 58547DAA7 300000.00000000 PA USD 301496.30000000 0.000651625799 Long DBT CORP KY N 2 2025-06-06 Fixed 0.04875000 N N N N N N PACIFICORP SGY07Y7FNYBNLM6Z1M11 695114BZ0 1375000.00000000 PA USD 1840745.93000000 0.003978415452 Long DBT CORP US N 2 2035-06-15 Fixed 0.05250000 N N N N N N TWDC ENTERPRISES 18 CORP 7260JQNI6SCF9FIV2392 25468PCT1 335000.00000000 PA USD 343598.23000000 0.000742620958 Long DBT CORP US N 2 2022-02-15 Fixed 0.02550000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AHQ94 481446.14320000 PA USD 25553.33000000 0.000055228568 Long ABS-CBDO USGSE US N 2 2032-04-25 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F5ZR7 205778.67250000 PA USD 220506.31000000 0.000476581638 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.04000000 N N N N N N CENTURYLINK INC 8M3THTGWLTYZVE6BBY25 156700AZ9 175000.00000000 PA USD 182437.50000000 0.000394303286 Long DBT CORP US N 2 2025-04-01 Fixed 0.05625000 N N N N N N PARK AEROSPACE HOLDINGS LTD 635400CPI3EOIFF6OC33 70014LAB6 7000000.00000000 PA USD 7697426.31000000 0.016636494628 Long DBT CORP KY N 2 2024-02-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQ3M3 56640.17600000 PA USD 62442.25000000 0.000134956817 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140K0JB5 6951958.00500000 PA USD 7291066.17000000 0.015758225969 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03000000 N N N N N N DISCOVERY COMMUNICATIONS LLC L2Z2MO2EQURH3BREWI15 25470DBA6 1105000.00000000 PA USD 1145124.63000000 0.002474964876 Long DBT CORP US N 2 2022-06-15 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137FJXW4 1150000.00000000 PA USD 1354031.05000000 0.002926475601 Long ABS-MBS USGSE US N 2 2028-10-25 Fixed 0.04030000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQKL5 842341.07320000 PA USD 871538.72000000 0.001883661973 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417BC47 1058345.45380000 PA USD 1130803.70000000 0.002444012962 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128282W9 1213000.00000000 PA USD 1243704.06000000 0.002688025202 Long DBT UST US N 2 2022-09-30 Fixed 0.01875000 N N N N N N WILLIAMS PARTNERS L P NEW WUURD1P1N0874ONXXO03 96949LAA3 660000.00000000 PA USD 681096.48000000 0.001472057993 Long DBT CORP US N 2 2022-03-15 Fixed 0.03600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ASHH8 38944.38870000 PA USD 42898.30000000 0.000092716358 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J8Z60 27985.19870000 PA USD 30028.95000000 0.000064901753 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F040636 -13500000.00000000 PA USD -14219744.40000000 -0.03073322066 Short ABS-MBS USGA US N 2 2050-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JAFT0 3754809.61300000 PA USD 4200734.93000000 0.009079074132 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3133G7XF5 2109664.00000000 PA USD 2179497.25000000 0.004710560755 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HVP4 42595.57470000 PA USD 46312.71000000 0.000100095943 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N MARSH and MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748AV4 1140000.00000000 PA USD 1218721.02000000 0.002634029204 Long DBT CORP US N 2 2024-06-03 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EPX33 3141034.00880000 PA USD 3474951.99000000 0.007510435019 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194GLR3 48473.21940000 PA USD 51742.64000000 0.000111831684 Long ABS-MBS USGA US N 2 2046-07-15 Fixed 0.04000000 N N N N N N ALTICE FING SA 549300DIYGW8HVDF7Q17 02154CAE3 300000.00000000 PA USD 316500.00000000 0.000684053388 Long DBT CORP LU N 2 2026-05-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FMA1 2827351.98750000 PA USD 3048769.27000000 0.006589323696 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJUC2 170912.15680000 PA USD 187350.73000000 0.000404922280 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QUWP4 326417.06180000 PA USD 352597.34000000 0.000762070790 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XJ84 1007701.51910000 PA USD 1095166.99000000 0.002366991123 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HHHN8 443809.77800000 PA USD 477792.43000000 0.001032655705 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N WESTERN GAS PARTNERS LP L6D8A6MLSY454J2JXJ60 958254AJ3 645000.00000000 PA USD 585913.21000000 0.001266337809 Long DBT CORP US N 2 2048-03-01 Fixed 0.05300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W2W76 456683.13500000 PA USD 480386.73000000 0.001038262781 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F5DA8 1429296.72770000 PA USD 1507945.50000000 0.003259131844 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N STRYKER CORP 5493002F0SC4JTBU5137 863667AN1 675000.00000000 PA USD 737757.27000000 0.001594519306 Long DBT CORP US N 2 2026-03-15 Fixed 0.03500000 N N N N N N PUBLIC SERVICE CO OF CO 5BANEF6PGSEK0SNMQF44 744448CH2 645000.00000000 PA USD 662546.59000000 0.001431966002 Long DBT CORP US N 2 2023-03-15 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J85G1 1036433.03920000 PA USD 1112123.64000000 0.002403639634 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N NATIONSTAR HECM LOAN TRUST N/A 63862UAA6 3594663.19000000 PA USD 3584874.92000000 0.007748012120 Long ABS-CBDO CORP US N 2 2029-11-25 Fixed 0.02272200 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176Q5Y6 35426.48060000 PA USD 37667.90000000 0.000081411862 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L6BT7 254809.61740000 PA USD 275804.02000000 0.000596096917 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SLV7 528700.49900000 PA USD 588020.54000000 0.001270892394 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202F3N4 245571.86510000 PA USD 264342.79000000 0.000571325691 Long ABS-MBS USGA US N 2 2042-02-20 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202EB99 670580.14510000 PA USD 742341.14000000 0.001604426452 Long ABS-MBS USGA US N 2 2035-01-20 Fixed 0.05000000 N N N N N N STRYKER CORP 5493002F0SC4JTBU5137 863667AF8 335000.00000000 PA USD 356192.87000000 0.000769841831 Long DBT CORP US N 2 2024-05-15 Fixed 0.03375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WRDS6 17968.37820000 PA USD 18591.21000000 0.000040181296 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AVUY9 451219.18890000 PA USD 489890.12000000 0.001058802516 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828R28 29145000.00000000 PA USD 29812147.12000000 0.064433176161 Long DBT UST US N 2 2023-04-30 Fixed 0.01625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138APDB1 407415.44970000 PA USD 435308.62000000 0.000940835186 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HMK75 6936370.73540000 PA USD 7401748.50000000 0.015997444366 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 02156LAA9 135000.00000000 PA USD 147120.30000000 0.000317972005 Long DBT CORP FR N 2 2027-02-01 Fixed 0.08125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5M30 1711037.25700000 PA USD 1845260.09000000 0.003988171934 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04000000 N N N N N N COMMONWEALTH EDISON CO D8YOXB8L2ZDC8P7Q0771 202795JG6 555000.00000000 PA USD 691336.39000000 0.001494189573 Long DBT CORP US N 2 2045-11-15 Fixed 0.04350000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W7SA3 201961.25460000 PA USD 208961.74000000 0.000451630288 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJMB1 464085.67700000 PA USD 483097.55000000 0.001044121693 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SSQ1 3387745.48400000 PA USD 3571607.58000000 0.007719337337 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AX44 349959.37600000 PA USD 387162.96000000 0.000836777676 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8KS1 797029.10970000 PA USD 866155.28000000 0.001872026711 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBGF4 44008.03120000 PA USD 46313.55000000 0.000100097759 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418MXR8 496156.26950000 PA USD 577014.76000000 0.001247105534 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N WELLS FARGO COML MTG TR 2017 N/A 95001GAG8 35668824.95480000 PA USD 2112357.75000000 0.004565451742 Long ABS-MBS CORP US N 2 2050-12-15 Variable 0.00890024 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178WGJ2 42259.76070000 PA USD 45889.26000000 0.000099180738 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 0.04000000 N N N N N N VIPER ENERGY PARTNERS LP 5299009LINL232255G03 92763MAA3 300000.00000000 PA USD 304890.00000000 0.000658960624 Long DBT CORP US N 2 2027-11-01 Fixed 0.05375000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RQ36 28320.86000000 PA USD 30255.53000000 0.000065391462 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ECN9 566392.98000000 PA USD 595436.93000000 0.001286921483 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N ROYAL BANK OF SCOTLAND GRP PLC (UNGTD) 2138005O9XJIJN4JPN90 780097BK6 1735000.00000000 PA USD 1870508.67000000 0.004042741844 Long DBT CORP GB N 2 2025-03-22 Variable 0.04269000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X17J9 254735.60250000 PA USD 261894.08000000 0.000566033279 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.02500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137FJKE8 10200000.00000000 PA USD 11956032.00000000 0.025840645189 Long ABS-MBS USGSE US N 2 2028-09-25 Fixed 0.03920000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X3EQ1 30590.73530000 PA USD 32799.81000000 0.000070890430 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03500000 N N N N N N WELLS FARGO COML MTG TR 2018-C46 N/A 95001QAV3 13100886.47000000 PA USD 748487.71000000 0.001617711071 Long ABS-MBS CORP US N 2 2051-08-15 Variable 0.00944130 N N N N N N WILLIAMS COS INC D71FAKCBLFS2O0RBPG08 969457BW9 12246000.00000000 PA USD 13416927.13000000 0.028998086781 Long DBT CORP US N 2 2024-06-24 Fixed 0.04550000 N N N N N N HOWARD HUGHES CORP 549300BVHY25JZC1KI49 44267DAB3 400000.00000000 PA USD 404880.00000000 0.000875069623 Long DBT CORP US N 2 2025-03-15 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416RRB1 416330.74430000 PA USD 461370.78000000 0.000997163492 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HV25 44433.84850000 PA USD 49157.54000000 0.000106244492 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3131YALV0 725638.61400000 PA USD 753549.36000000 0.001628650847 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 0.03500000 N N N N N N CSMC 2019-ICE4 N/A 12653VAA4 15700000.00000000 PA USD 15699982.73000000 0.033932468832 Long ABS-MBS CORP US N 2 2036-05-15 Variable 0.02638500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P73S0 690116.44700000 PA USD 721517.02000000 0.001559419154 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.03000000 N N N N N N CITIGROUP COML MTG TR 2015-GC33 N/A 29425AAK9 18937622.44000000 PA USD 806551.45000000 0.001743204588 Long ABS-MBS CORP US N 2 2058-09-10 Variable 0.00894245 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJQ35 857453.54810000 PA USD 904635.96000000 0.001955195240 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N ANGLO AMERICAN CAPITAL PLC TINT358G1SSHR3L3PW36 034863AG5 1333000.00000000 PA USD 1403177.40000000 0.003032695908 Long DBT CORP GB N 2 2022-09-27 Fixed 0.04125000 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAQ1 6500000.00000000 PA USD 6859360.95000000 0.014825178832 Long ABS-MBS CORP US N 2 2032-11-05 Fixed 0.03287000 N N N N N N CENTURYLINK INC 8M3THTGWLTYZVE6BBY25 156700BC9 165000.00000000 PA USD 165808.50000000 0.000358362926 Long DBT CORP US N 2 2027-02-15 Fixed 0.04000000 N N N N N N AVOLON HLDGS FDG LTD 635400ZRKEX9L1BKCH30 05401AAF8 2862000.00000000 PA USD 2977379.33000000 0.006435028181 Long DBT CORP KY N 2 2024-07-01 Fixed 0.03950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MRBY6 304091.71390000 PA USD 322630.27000000 0.000697302778 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UPB2 552797.61900000 PA USD 582134.53000000 0.001258170925 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 0.04500000 N N N N N N CHARTER COMM OPER LLC/CAP CORP N/A 161175BB9 11002000.00000000 PA USD 11675265.30000000 0.025233822400 Long DBT CORP US N 2 2022-07-23 Fixed 0.04464000 N N N N N N BAYVIEW COML ASSET TR 2007 3 N/A 07325YAE8 34796.88980000 PA USD 32091.64000000 0.000069359858 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.01996750 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179T7K5 45303729.94430000 PA USD 47701293.94000000 0.103097098749 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 0.04000000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558AU7 1120000.00000000 PA USD 1171033.05000000 0.002530960903 Long DBT CORP US N 2 2021-12-01 Fixed 0.04400000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFG50 32268.21660000 PA USD 36169.47000000 0.000078173297 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DPE5 426082.84370000 PA USD 445128.24000000 0.000962058391 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LUE4 28947.28470000 PA USD 31912.57000000 0.000068972832 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9J52 544497.27500000 PA USD 592422.56000000 0.001280406507 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 15700000.00000000 NC USD 229660.07000000 0.000496365715 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2029-10-30 0.00000000 USD 0.00000000 USD 15700000.00000000 USD 1.00000000 1.90500000 USD 2024-10-28 XXXX -199734.93000000 N N N ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC N/A 03522AAG5 5100000.00000000 PA USD 5558835.58000000 0.012014345385 Long DBT CORP US N 2 2026-02-01 Fixed 0.03650000 N N N N N N CARMAX AUTO OWNER TRUST 2019-4 N/A 14315WAB6 4300000.00000000 PA USD 4324076.13000000 0.009345652223 Long ABS-CBDO CORP US N 2 2023-03-15 Fixed 0.02010000 N N N N N N BAIRD FDS INC 5493001CJOVRFMYFIJ62 057071870 60696065.89700000 NS USD 722890144.83000000 1.562386897525 Long EC RF US N 1 N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A8PY0 675658.87790000 PA USD 50007.20000000 0.000108080867 Long ABS-CBDO USGSE US N 2 2027-09-25 Fixed 0.03000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022436 97150000.00000000 PA USD 99716129.82000000 0.215517082114 Long ABS-MBS USGA US N 2 2035-03-01 Fixed 0.02500000 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773CH1 603000.00000000 PA USD 1005815.49000000 0.002173875178 Long DBT CORP US N 2 2038-03-01 Fixed 0.08250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XTHA9 34392.85000000 PA USD 37086.84000000 0.000080156014 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374CQS8 2645026.32000000 PA USD 2962149.63000000 0.006402112137 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MNR28 50893.52860000 PA USD 54584.64000000 0.000117974116 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N AASET 2019-1 TRUST 549300TXM3PCKZJKD061 00256DAA0 5235175.11000000 PA USD 5352273.94000000 0.011567902447 Long ABS-CBDO CORP US N 2 2039-05-15 Fixed 0.03844000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GSW73 102431.44600000 PA USD 110466.71000000 0.000238752376 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XXHS1 443054.76900000 PA USD 465442.28000000 0.001005963250 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N DUQUESNE LIGHT HLDGS INC 4CUJ1D8WDXK9X7QI6B93 266233AD7 8875000.00000000 PA USD 9468081.55000000 0.020463422643 Long DBT CORP US N 2 2021-12-01 Fixed 0.05900000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397CDM8 562159.89800000 PA USD 650135.84000000 0.001405142572 Long ABS-CBDO USGSE US N 2 2036-11-15 Fixed 0.05500000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAB7 3143000.00000000 PA USD 3162664.97000000 0.006835487170 Long DBT CORP US N 2 2020-04-15 Fixed 0.07000000 N N N N N N CHARTER COMM OPER LLC/CAP CORP N/A 161175BN3 14203000.00000000 PA USD 16937336.70000000 0.036606769546 Long DBT CORP US N 2 2048-04-01 Fixed 0.05750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HLBQ5 1142175.86220000 PA USD 1219877.97000000 0.002636529727 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EAN5 1440000.00000000 PA USD 1588968.00000000 0.003434246270 Long DBT CORP GB N 2 2026-01-12 Fixed 0.04375000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828X88 87359000.00000000 PA USD 95381695.88000000 0.206149043492 Long DBT UST US N 2 2027-05-15 Fixed 0.02375000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828Z52 2125000.00000000 PA USD 2171235.35000000 0.004692704260 Long DBT UST US N 2 2025-01-31 Fixed 0.01375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EJB8 498281.27050000 PA USD 528036.78000000 0.001141249126 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N ENERGY TRANSFER OPERATING LP RY1052DWLDPLDW74Y843 29273RBL2 560000.00000000 PA USD 580810.52000000 0.001255309334 Long DBT CORP US N 2 2047-04-15 Fixed 0.05300000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3134A3U46 255000.00000000 PA USD 376840.11000000 0.000814466837 Long DBT USGSE US N 2 2029-09-15 Fixed 0.06750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176HYP3 551376.24490000 PA USD 586261.60000000 0.001267090786 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N CISCO SYSTEMS INC 8E6NF1YAL0WT6CWXXV93 17275RAV4 310000.00000000 PA USD 323105.85000000 0.000698330652 Long DBT CORP US N 2 2022-06-15 Fixed 0.03000000 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAA3 986000.00000000 PA USD 1026702.69000000 0.002219018812 Long DBT CORP US N 2 2022-01-25 Fixed 0.03666000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCB39 3163560.34800000 PA USD 3360377.14000000 0.007262803694 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9S44 72579.47550000 PA USD 81050.52000000 0.000175174985 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 3000000.00000000 NC USD 298326.57000000 0.000644775042 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2029-04-06 0.00000000 USD 0.00000000 USD 3000000.00000000 USD 1.00000000 2.56750000 USD 2022-04-04 XXXX 214814.07000000 N N N MORGAN STANLEY CAP I TR 2015-UBS8 N/A 61691ABK8 3000000.00000000 PA USD 3270195.90000000 0.007067894427 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 0.03540000 N N N N N N VALERO ENERGY CORP 549300XTO5VR8SKV1V74 91913YAW0 820000.00000000 PA USD 891421.34000000 0.001926634401 Long DBT CORP US N 2 2029-04-01 Fixed 0.04000000 N N N N N N SAPPHIRE AVIATION FINANCE N/A 80307AAB5 712000.00000000 PA USD 707661.78000000 0.001529473739 Long ABS-CBDO CORP US N 2 2040-03-15 Fixed 0.04335000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5A58 100553.77870000 PA USD 110854.25000000 0.000239589969 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EYJ51 881636.13600000 PA USD 946939.19000000 0.002046625471 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241L5K8 5014326.67650000 PA USD 5331581.12000000 0.011523178929 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.03500000 N N N N N N MADISON PARK FUNDING XXXIII LTD N/A 55819JAA1 3846000.00000000 PA USD 3847538.40000000 0.008315708309 Long ABS-CBDO CORP KY N 2 2032-10-15 Variable 0.03174050 N N N N N N GLAXOSMITHKLINE CAP PLC 549300U0LV41VX7LEP38 377373AD7 710000.00000000 PA USD 731588.15000000 0.001581185949 Long DBT CORP GB N 2 2022-05-08 Fixed 0.02850000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202ELJ6 64946.09850000 PA USD 72337.86000000 0.000156344259 Long ABS-MBS USGA US N 2 2036-12-20 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132KFMW9 1731405.51100000 PA USD 1791595.23000000 0.003872185743 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.02500000 N N N N N N DOMINION ENERGY SOUTH CAROLINA INC 3QRVFYR22IUIEOORTK28 837004CJ7 470000.00000000 PA USD 677313.78000000 0.001463882421 Long DBT CORP US N 2 2065-06-01 Fixed 0.05100000 N N N N N N SUNOCO LOGISTICS PRTNR OPER LP 5493006LL0CKP8WQW329 86765BAQ2 850000.00000000 PA USD 877552.38000000 0.001896659333 Long DBT CORP US N 2 2045-05-15 Fixed 0.05350000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AFH42 86210.63170000 PA USD 96272.63000000 0.000208074624 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.05000000 N N N N N N PLAINS ALL AM PIPELN/PAA FIN C N/A 72650RBM3 2689000.00000000 PA USD 2645373.53000000 0.005717462012 Long DBT CORP US N 2 2029-12-15 Fixed 0.03550000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ES77 2265251.95550000 PA USD 2381411.36000000 0.005146958957 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJ3A6 4323352.64180000 PA USD 4547215.41000000 0.009827924516 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N BAYVIEW COML ASSET TR N/A 07324SCS9 60757.06030000 PA USD 58700.68000000 0.000126870139 Long ABS-MBS CORP US N 2 2036-01-25 Variable 0.02016750 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HMLZ2 1022610.60980000 PA USD 1091220.01000000 0.002358460491 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376KTJ5 55387.79320000 PA USD 65174.83000000 0.000140862759 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N TEVA PHARMACEUTICAL FIN NETH III B V 5493004T21MOAFINJP35 88167AAC5 1013000.00000000 PA USD 982711.30000000 0.002123939951 Long DBT CORP NL N 2 2021-07-21 Fixed 0.02200000 N N N N N N MACK-CALI REALTY LP 549300MJC9VNA6VSEE11 55448QAS5 3436000.00000000 PA USD 3462455.14000000 0.007483425500 Long DBT CORP US N 2 2023-05-15 Fixed 0.03150000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JP6T4 53644.89120000 PA USD 58131.88000000 0.000125640788 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HPXJ8 61966.94280000 PA USD 67068.68000000 0.000144955948 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307RE27 417079.06830000 PA USD 438848.18000000 0.000948485259 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N NEW RESIDENTIAL MTG LN TR 2020-1 N/A 64830TAD0 4219128.73000000 PA USD 4420232.24000000 0.009553475013 Long ABS-CBDO CORP US N 2 2059-10-25 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LTJF6 8805.56510000 PA USD 9547.85000000 0.000020635826 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.04000000 N N N N N N WILLIAMS PARTNERS LP N/A 96950FAH7 1643000.00000000 PA USD 1701266.86000000 0.003676958484 Long DBT CORP US N 2 2021-11-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H032639 254075000.00000000 PA USD 263222157.34000000 0.568903660822 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03500000 N N N N N N RETAIL OPPTY INVTS PRTNRSHP LP 549300KH0PNTJK9NTE57 76132FAB3 877000.00000000 PA USD 937477.12000000 0.002026175041 Long DBT CORP US N 2 2024-12-15 Fixed 0.04000000 N N N N N N AMEREN ILL CO RC71E2BZ6UOMFPDJSE79 02361DAT7 600000.00000000 PA USD 797179.66000000 0.001722949281 Long DBT CORP US N 2 2049-03-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MQP8 8720104.81860000 PA USD 9272394.40000000 0.020040482807 Long ABS-MBS USGA US N 2 2042-10-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132A9UP0 859775.69700000 PA USD 891644.74000000 0.001927117237 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J6GP6 787506.41900000 PA USD 840177.05000000 0.001815879804 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FPDG1 473779.95300000 PA USD 505467.68000000 0.001092470392 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 03523TBU1 5390000.00000000 PA USD 7020582.58000000 0.015173628129 Long DBT CORP US N 2 2039-01-23 Fixed 0.05450000 N N N N N N EL PASO PIPELINE PARTNERS OPER CO L L C N/A 28370TAE9 1212000.00000000 PA USD 1262934.30000000 0.002729587637 Long DBT CORP US N 2 2021-10-01 Fixed 0.05000000 N N N N N N CONCHO RES INC SYHS7HRDXLL4I0IQ8776 20605PAJ0 185000.00000000 PA USD 206012.02000000 0.000445255040 Long DBT CORP US N 2 2047-10-01 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AX4B4 145713.11840000 PA USD 158201.20000000 0.000341921222 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HPPE8 341032.03500000 PA USD 370196.24000000 0.000800107400 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SQX8 1317273.59880000 PA USD 1398203.73000000 0.003021946285 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202EG29 53350.52930000 PA USD 59287.03000000 0.000128137421 Long ABS-MBS USGA US N 2 2036-02-20 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJSS0 282482.89480000 PA USD 297281.75000000 0.000642516867 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ERRK8 629429.49700000 PA USD 669965.51000000 0.001448000560 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810EM6 7335000.00000000 PA USD 8462469.74000000 0.018289987679 Long DBT UST US N 2 2022-08-15 Fixed 0.07250000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BR4 1815000.00000000 PA USD 1908744.33000000 0.004125380810 Long DBT CORP US N 2 2026-08-08 Fixed 0.02400000 N N N N N N JPMBB COML MTG SECS TR 2014-C19 N/A 46641WAX5 3492437.56820000 PA USD 71709.52000000 0.000154986224 Long ABS-MBS CORP US N 2 2047-04-15 Variable 0.00750493 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGG65 1273998.19070000 PA USD 1347286.47000000 0.002911898499 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.03500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KN0 1045000.00000000 PA USD 1129904.18000000 0.002442068824 Long DBT CORP US N 2 2026-05-01 Fixed 0.03400000 N N N N N N PLAINS ALL AM PIPELN/PAA FIN C N/A 72650RBF8 1877000.00000000 PA USD 1945071.75000000 0.004203895486 Long DBT CORP US N 2 2024-11-01 Fixed 0.03600000 N N N N N N TOLEDO HOSP 5493009DCR7NWV6K4T34 889184AC1 2792000.00000000 PA USD 3252376.51000000 0.007029381270 Long DBT CORP US N 2 2028-11-15 Fixed 0.05325000 N N N N N N RADIATE HOLDCO LLC / RADIATE FIN INC N/A 75026JAA8 150000.00000000 PA USD 150375.00000000 0.000325006408 Long DBT CORP US N 2 2025-02-15 Fixed 0.06625000 N N N N N N BWX TECHNOLOGIES INC 549300NP85N265KWMS58 05605HAA8 700000.00000000 PA USD 732763.50000000 0.001583726240 Long DBT CORP US N 2 2026-07-15 Fixed 0.05375000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J82L3 163938.89920000 PA USD 175911.34000000 0.000380198256 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -18000000.00000000 NC USD -271693.08000000 -0.00058721191 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2030-01-10 0.00000000 USD 0.00000000 USD -18000000.00000000 USD 1.00000000 1.92000000 USD 2025-01-08 XXXX 230506.92000000 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022648 40300000.00000000 PA USD 41329584.40000000 0.089325883896 Long ABS-MBS USGA US N 2 2050-04-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230T2C5 585367.62070000 PA USD 621306.03000000 0.001342832527 Long ABS-MBS USGA US N 2 2043-03-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JMN96 119709.81670000 PA USD 125981.23000000 0.000272284003 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N MARSH and MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BJ0 4960000.00000000 PA USD 6650254.07000000 0.014373234852 Long DBT CORP US N 2 2049-03-15 Fixed 0.04900000 N N N N N N PPL ELEC UTILS CORP N/A 69351UAT0 730000.00000000 PA USD 890345.38000000 0.001924308922 Long DBT CORP US N 2 2045-10-01 Fixed 0.04150000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EJU4 45820.95840000 PA USD 50692.11000000 0.000109561167 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N ONEOK PARTNERS LP T4DHW82NMF6BXJT50795 68268NAJ2 1065000.00000000 PA USD 1101711.40000000 0.002381135596 Long DBT CORP US N 2 2022-10-01 Fixed 0.03375000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J2SA2 1119145.12770000 PA USD 1183360.89000000 0.002557605139 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBLF3 3725846.52700000 PA USD 3972277.74000000 0.008585308208 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.03500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 5300000.00000000 NC USD 13983.04000000 0.000030221629 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-05-04 0.00000000 USD 0.00000000 USD 5300000.00000000 USD 1.00000000 2.60500000 USD 2022-04-29 XXXX -131766.96000000 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RLS6 1165453.68500000 PA USD 1274364.98000000 0.002754292836 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FREC5 389823.01480000 PA USD 414928.08000000 0.000896786600 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417F3F3 1593772.28610000 PA USD 1676495.12000000 0.003623419170 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31359MEU3 255000.00000000 PA USD 361487.13000000 0.000781284348 Long DBT USGSE US N 2 2029-05-15 Fixed 0.06250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WCQ97 32542.10230000 PA USD 35574.48000000 0.000076887341 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AKL66 3424193.38870000 PA USD 3844402.53000000 0.008308930734 Long ABS-CBDO USGSE US N 2 2042-01-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQTW2 1562350.62730000 PA USD 1666684.25000000 0.003602214877 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N TANGER PPTYS LTD PARTNERSHIP PQPGJDNFN35EXH363L31 875484AJ6 3497000.00000000 PA USD 3597958.63000000 0.007776290023 Long DBT CORP US N 2 2026-09-01 Fixed 0.03125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407EJ61 83242.28660000 PA USD 97811.38000000 0.000211400334 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBDL4 206460.46820000 PA USD 223729.34000000 0.000483547592 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AMYG4 91120.46620000 PA USD 100721.90000000 0.000217690859 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A5LP5 548806.00760000 PA USD 596440.72000000 0.001289090981 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RNW5 4211574.32800000 PA USD 4470418.53000000 0.009661942948 Long ABS-MBS USGA US N 2 2045-09-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176W2N0 171116.28380000 PA USD 185438.36000000 0.000400789063 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403DJX8 1791.55880000 PA USD 2117.56000000 0.000004576695 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403DWD7 63312.64000000 PA USD 70576.92000000 0.000152538329 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.05000000 N N N N N N NUANCE COMMUNICATIONS INC AEMSOT3SS15TNMJCE605 67020YAQ3 600000.00000000 PA USD 633000.00000000 0.001368106776 Long DBT CORP US N 2 2026-12-15 Fixed 0.05625000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967HB0 8267000.00000000 PA USD 9679642.06000000 0.020920669669 Long DBT CORP US N 2 2025-09-13 Fixed 0.05500000 N N N N N N SILVERSTONE MASTER ISSUER PLC 549300P6OXWKM20QS303 82846GAV2 4161540.01400000 PA USD 4165056.52000000 0.009001962166 Long ABS-CBDO CORP GB N 2 2070-01-21 Variable 0.02389130 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQQ47 15408.84700000 PA USD 16510.08000000 0.000035683337 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N JOHNSON CONTROLS INTERNATIONAL PLC 549300XQ6S1GYKGBL205 478375AN8 197000.00000000 PA USD 237348.05000000 0.000512981794 Long DBT CORP IE N 2 2064-07-02 Variable 0.04950000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194A5E3 85567.25460000 PA USD 91628.43000000 0.000198037086 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176K2B2 45857.18620000 PA USD 49724.00000000 0.000107468785 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N BAYVIEW COML ASSET TR 2007 3 N/A 07325YAG3 22422.54220000 PA USD 27195.54000000 0.000058777887 Long ABS-MBS CORP US N 2 2037-07-25 Variable 0.02226750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410EM88 6428.42070000 PA USD 6703.00000000 0.000014487234 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 0.04345000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CJ7 4225000.00000000 PA USD 4469219.24000000 0.009659350916 Long DBT CORP US N 2 2026-08-19 Fixed 0.02600000 N N N N N N MPH ACQUISITION HLDGS LLC 5493002WXOPRPTXWTU06 553283AB8 385000.00000000 PA USD 358134.70000000 0.000774038720 Long DBT CORP US N 2 2024-06-01 Fixed 0.07125000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179R4E6 3807263.57010000 PA USD 4031740.59000000 0.008713825630 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617GGUG8 512320.62000000 PA USD 538044.34000000 0.001162878527 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412PE31 66371.83220000 PA USD 73552.16000000 0.000158968733 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MNG1 904182.77450000 PA USD 949928.09000000 0.002053085398 Long ABS-MBS USGA US N 2 2042-09-20 Fixed 0.03000000 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45866FAD6 3162000.00000000 PA USD 3485737.26000000 0.007533745289 Long DBT CORP US N 2 2025-12-01 Fixed 0.03750000 N N N N N N CENTERPOINT ENER HOUS ELEC LLC 549300S8SEQBOJLKHW63 15189XAS7 1235000.00000000 PA USD 1474502.18000000 0.003186850592 Long DBT CORP US N 2 2048-03-01 Fixed 0.03950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AJJY9 302836.89880000 PA USD 336445.68000000 0.000727162108 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N MILOS CLO LTD 254900GFWI4EEB8IJS18 60162PAE2 8191000.00000000 PA USD 8191000.00000000 0.017703258467 Long ABS-CBDO CORP KY N 2 2030-10-20 Variable 0.00000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBF1 1695000.00000000 PA USD 2064116.71000000 0.004461188087 Long DBT CORP US N 2 2045-05-15 Fixed 0.04125000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DB8 975000.00000000 PA USD 1145008.68000000 0.002474714272 Long DBT CORP US N 2 2024-07-01 Fixed 0.06950000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P73X9 3127688.21400000 PA USD 3269999.28000000 0.007067469471 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.03000000 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAG2 1628000.00000000 PA USD 1806926.32000000 0.003905320922 Long DBT CORP US N 2 2026-01-15 Fixed 0.04125000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523CG3 1049000.00000000 PA USD 1063262.66000000 0.002298036099 Long DBT CORP US N 2 2020-09-15 Fixed 0.04125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASAG4 47771.90260000 PA USD 51800.17000000 0.000111956024 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04000000 N N N N N N LANARK MASTER ISSUER PLC 213800KIOPB5OYXIVY33 513770BE6 6383000.00000000 PA USD 6442821.48000000 0.013924909525 Long ABS-CBDO CORP GB N 2 2069-12-22 Variable 0.02277000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KVY1 31671.09980000 PA USD 35379.07000000 0.000076465000 Long ABS-MBS USGA US N 2 2038-10-20 Fixed 0.05000000 N N N N N N UBS COMMERCIAL MORTGAGE TRUST 2018-C11 N/A 90276XAT2 4100000.00000000 PA USD 4603357.82000000 0.009949265450 Long ABS-MBS CORP US N 2 2051-06-15 Fixed 0.04312400 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3129455M6 129513.45920000 PA USD 143305.85000000 0.000309727811 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HRV6 6138.72870000 PA USD 6664.72000000 0.000014404500 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E9CL8 539886.12050000 PA USD 581900.22000000 0.001257664509 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNCD9 47071.50570000 PA USD 51096.94000000 0.000110436129 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31334XE62 533654.24600000 PA USD 555347.93000000 0.001200276882 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GKY91 21942.35980000 PA USD 23914.81000000 0.000051687225 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GCY4 160000.00000000 PA USD 163000.00000000 0.000352292898 Long DBT CORP US N 2 2026-01-01 Fixed 0.04875000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378UQY6 2897798.57600000 PA USD 3005132.46000000 0.006495011191 Long ABS-CBDO USGA US N 2 2040-05-20 Fixed 0.02500000 N N N N N N PRUDENTIAL FINL INC 5PRBRS5FEH7NREC8OR45 744320AV4 5278000.00000000 PA USD 5762942.64000000 0.012455483224 Long DBT CORP US N 2 2045-05-15 Variable 0.05375000 N N N N N N BERRY GLOBAL ESCROW CORP N/A 085770AA3 200000.00000000 PA USD 203440.00000000 0.000439696118 Long DBT CORP US N 2 2026-07-15 Fixed 0.04875000 N N N N N N MORGAN STANLEY CAP I TR 2018-BOP N/A 61768FAA8 7150000.00000000 PA USD 7141393.55000000 0.015434737618 Long ABS-MBS CORP US N 2 2033-08-15 Variable 0.02508500 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKM7 195279.61280000 PA USD 210572.47000000 0.000455111569 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.04000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032641 -8500000.00000000 PA USD -8821888.20000000 -0.01906680099 Short ABS-MBS USGA US N 2 2050-04-01 Fixed 0.03500000 N N N N N N OLIN CORP 549300GKK294V7W57P06 680665AJ5 700000.00000000 PA USD 705390.00000000 0.001524563727 Long DBT CORP US N 2 2027-09-15 Fixed 0.05125000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RJF7 1058040.86660000 PA USD 1132963.49000000 0.002448680930 Long ABS-MBS USGA US N 2 2045-07-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J6GR2 8629130.70500000 PA USD 9160428.87000000 0.019798491021 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FSE7 1177103.88460000 PA USD 1288496.05000000 0.002784834404 Long ABS-MBS USGA US N 2 2041-04-20 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TE35 1000011.01640000 PA USD 1064644.13000000 0.002301021878 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FS2V4 137610.50360000 PA USD 149659.45000000 0.000323459885 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402CVV1 113121.18850000 PA USD 131127.12000000 0.000283405847 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMXK4 4188509.94800000 PA USD 4345607.13000000 0.009392187305 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177PCU7 106572.35330000 PA USD 113315.14000000 0.000244908706 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H032647 125850000.00000000 PA USD 130272671.04000000 0.281559121803 Long ABS-MBS USGA US N 2 2050-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJ4J6 6630195.50280000 PA USD 7010719.00000000 0.015152309913 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XYEF7 216904.59550000 PA USD 234394.22000000 0.000506597663 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CMX9 1316108.22750000 PA USD 1420651.05000000 0.003070461815 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ACA4 316976.83860000 PA USD 345668.79000000 0.000747096072 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36181TP62 9528.06400000 PA USD 10134.29000000 0.000021903303 Long ABS-MBS USGA US N 2 2043-11-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XJL39 548819.14540000 PA USD 593414.98000000 0.001282551430 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04000000 N N N N N N CITGO HLDG INC 549300NYHOALWZ2BSL72 17302WAB4 260000.00000000 PA USD 270400.00000000 0.000584417176 Long DBT CORP US N 2 2024-08-01 Fixed 0.09250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SW47 153302.71720000 PA USD 164161.95000000 0.000354804227 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N COMM 2013-CCRE7 MTG TR 549300FVY7JUBJ0PIH53 12625FAS5 1700000.00000000 PA USD 1776497.11000000 0.003839554084 Long ABS-MBS CORP US N 2 2046-03-10 Fixed 0.03314000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BJK9 1052218.50060000 PA USD 1049845.64000000 0.002269037811 Long ABS-CBDO USGA US N 2 2060-12-20 Variable 0.02114380 N N N N N N COMM 2014-UBS6 MTG TR N/A 12592PBG7 11077262.20130000 PA USD 380085.24000000 0.000821480557 Long ABS-MBS CORP US N 2 2047-12-10 Variable 0.00892030 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418A5K0 15450.77520000 PA USD 16252.73000000 0.000035127124 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJTZ3 585788.53190000 PA USD 634053.11000000 0.001370382870 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 345397ZQ9 8575000.00000000 PA USD 9174834.11000000 0.019829625155 Long DBT CORP US N 2 2024-03-18 Fixed 0.05584000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H5XH9 201412.87000000 PA USD 217086.88000000 0.000469191203 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JC6 2129000.00000000 PA USD 2357007.23000000 0.005094214162 Long DBT CORP US N 2 2026-11-20 Fixed 0.04300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HGSC2 27947.56900000 PA USD 30104.99000000 0.000065066099 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04000000 N N N N N N UNITED TECHNOLOGIES CORP I07WOS4YJ0N7YRFE7309 913017CY3 490000.00000000 PA USD 573513.64000000 0.001239538542 Long DBT CORP US N 2 2028-11-16 Fixed 0.04125000 N N N N N N LONDON CLEARING HOUSE N/A N/A 12810000.00000000 NC USD 577821.18000000 0.001248848455 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2027-03-18 0.00000000 USD 0.00000000 USD 13098225.00000000 USD 577821.18000000 N N N UST NOTES 254900HROIFWPRGM1V77 912828ZB9 953000.00000000 PA USD 957988.36000000 0.002070506109 Long DBT UST US N 2 2027-02-28 Fixed 0.01125000 N N N N N N CORPOARATE OFFICE PPTYS LP H0TWO5VRNEP6CQAWPX27 22003BAK2 3453000.00000000 PA USD 3858567.90000000 0.008339546434 Long DBT CORP US N 2 2025-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJ4B3 2120975.56690000 PA USD 2252645.73000000 0.004868657013 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 0.04000000 N N N N N N MPT OPER PARTNERSHIP LP / MPT FIN CORP N/A 55342UAF1 1600000.00000000 PA USD 1650000.00000000 0.003566155105 Long DBT CORP US N 2 2024-03-01 Fixed 0.06375000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BZ6 1930000.00000000 PA USD 2393774.62000000 0.005173679747 Long DBT CORP US N 2 2037-02-06 Fixed 0.04100000 N N N N N N MARRIOTT INTL INC N/A 571900BB4 660000.00000000 PA USD 706718.40000000 0.001527434806 Long DBT CORP US N 2 2024-04-15 Fixed 0.03600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410KPS7 16458.93670000 PA USD 19543.76000000 0.000042240048 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XK6G4 30443.83050000 PA USD 32632.78000000 0.000070529427 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QMNZ0 23497.29500000 PA USD 25176.59000000 0.000054414318 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJD88 113123.82800000 PA USD 116550.25000000 0.000251900769 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.02500000 N N N N N N MORGAN STANLEY CAP I TR 2019-MEAD N/A 61771LAE2 1558000.00000000 PA USD 1617536.32000000 0.003495991155 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 0.03177090 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GK2E5 468884.75890000 PA USD 513231.88000000 0.001109251205 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410LFB3 11099.59780000 PA USD 12328.14000000 0.000026644884 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04V7 313376.92870000 PA USD 345478.45000000 0.000746684689 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SAN3 1570000.00000000 PA USD 1612978.72000000 0.003486140786 Long DBT CORP US N 2 2022-08-09 Fixed 0.02850000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QWF4 211906.23910000 PA USD 227441.64000000 0.000491571009 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A7FX1 1060023.83980000 PA USD 1172381.91000000 0.002533876202 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N IPALCO ENTERPRISES INC 5493000YFVK2DZX0JV43 462613AM2 2644000.00000000 PA USD 2785108.91000000 0.006019472945 Long DBT CORP US N 2 2024-09-01 Fixed 0.03700000 N N N N N N 2020-03-30 Stacie M. Smith Stacie M. Smith Stacie M. Smith President and Treasurer