0001450011-22-000128.txt : 20220228 0001450011-22-000128.hdr.sgml : 20220228 20220228135845 ACCESSION NUMBER: 0001450011-22-000128 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20211231 FILED AS OF DATE: 20220228 PERIOD START: 20220630 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PIMCO ETF Trust CENTRAL INDEX KEY: 0001450011 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22250 FILM NUMBER: 22687224 BUSINESS ADDRESS: STREET 1: 650 NEWPORT CENTER DRIVE CITY: NEWPORT BEACH STATE: CA ZIP: 92660 BUSINESS PHONE: 949.720.6000 MAIL ADDRESS: STREET 1: 650 NEWPORT CENTER DRIVE CITY: NEWPORT BEACH STATE: CA ZIP: 92660 0001450011 S000037977 PIMCO Enhanced Low Duration Active Exchange-Traded Fund C000117167 PIMCO Enhanced Low Duration Active Exchange-Traded Fund LDUR NPORT-P 1 primary_doc.xml NPORT-P false 0001450011 XXXXXXXX S000037977 C000117167 PIMCO ETF Trust 811-22250 0001450011 5493004M9TBGFQUJ6D27 650 Newport Center Drive Newport Beach 92660 (888) 400-4383 PIMCO Enhanced Low Duration Active Exchange-Traded Fund S000037977 549300GQB1D1UUTM2872 2022-06-30 2021-12-31 N 2285027030.070000 1093895086.880000 1191131943.190000 0.000000 0.000000 744015634.040000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 USD N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 03/23 4.5 70014LAC4 3580000.000000 PA USD 3695970.340000 0.3102906 Long DBT CORP KY N 2 2023-03-15 Fixed 4.5 N N N N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 08/22 5.25 70014LAA8 2800000.000000 PA USD 2861913.460000 0.2402684 Long DBT CORP KY N 2 2022-08-15 Fixed 5.25 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 01/23 5.5 05401AAA9 1100000.000000 PA USD 1141182.610000 0.0958066 Long DBT CORP KY N 2 2023-01-15 Fixed 5.5 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 05/22 3.625 05401AAE1 2893000.000000 PA USD 2911869.130000 0.2444623 Long DBT CORP KY N 2 2022-05-01 Fixed 3.625 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 10/23 5.125 05401AAB7 400000.000000 PA USD 421506.110000 0.0353870 Long DBT CORP KY N 2 2023-10-01 Fixed 5.125 N N N N N N N/A N/A SOLD EUR/BOUGHT USD 000000000 1.000000 NC -235557.440000 -0.0197759 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 20965000.000000 EUR 23633087.030000 USD 2022-01-04 -235557.440000 N N N N/A N/A SOLD EUR/BOUGHT USD 000000000 1.000000 NC -27479.180000 -0.0023070 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 20965000.000000 EUR 23855022.730000 USD 2022-02-02 -27479.180000 N N N N/A N/A IRS USD 0.25000 06/16/21-2Y CME 000000000 1.000000 NC USD -1173031.870000 -0.0984804 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-06-16 52603.360000 USD 0.000000 USD 168600000.000000 USD -1225635.230000 N N N N/A N/A IRS USD R 3ML/1ML+9.75 01/13/22-23 CME 000000000 1.000000 NC USD -7078.030000 -0.0005942 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-01-13 0.000000 USD 0.000000 USD 18000000.000000 USD -7078.030000 N N N N/A N/A IRS USD R 3ML/1ML+9.8 01/13/22-23 CME 000000000 1.000000 NC USD -5496.380000 -0.0004614 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2023-01-13 0.000000 USD 0.000000 USD 13800000.000000 USD -5496.380000 N N N N/A N/A 317562SS6 OTC EPUT FN 3.0 JAN22 104.0625 PUT 000000000 -9100000.000000 NC USD -37342.760000 -0.0031351 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% JAN 30YR N/A 104.060000 USD 2022-01-06 XXXX -21702.130000 N N N N/A N/A 317574TU5 OTC ECAL FN 3.0 103.75390625 000000000 -2100000.000000 NC USD -1125.810000 -0.0000945 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 3.0% MAR 30YR N/A 103.750000 USD 2022-03-07 XXXX 1171.070000 N N N N/A N/A US 10YR NOTE (CBT)MAR22 XCBT 20220322 000000000 -151.000000 NC USD -81594.510000 -0.0068502 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-03-22 -19680726.640000 USD -81594.510000 N N N N/A N/A US 10YR ULTRA FUT MAR22 XCBT 20220322 000000000 -415.000000 NC USD -779032.460000 -0.0654027 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-03-22 -60632148.230000 USD -779032.460000 N N N N/A N/A US 2YR NOTE (CBT) MAR22 XCBT 20220331 000000000 1126.000000 NC USD -285425.250000 -0.0239625 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-03-31 245621944.470000 USD -285425.250000 N N N N/A N/A US 5YR NOTE (CBT) MAR22 XCBT 20220331 000000000 -2626.000000 NC USD 303373.320000 0.0254693 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-03-31 -317448524.090000 USD 303373.320000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 BARCLAYS PLC SR UNSECURED 05/24 VAR 06738EBB0 3800000.000000 PA USD 3956955.770000 0.3322013 Long DBT CORP GB N 2 2024-05-16 Floating 4.338 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 BARCLAYS PLC SR UNSECURED 05/24 VAR 06738EBC8 6600000.000000 PA USD 6683574.080000 0.5611111 Long DBT CORP GB N 2 2024-05-16 Floating 1.535 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 BARCLAYS PLC SR UNSECURED 05/26 VAR 06738EBL8 800000.000000 PA USD 825733.180000 0.0693234 Long DBT CORP GB N 2 2026-05-07 Floating 2.852 N N N N N N BARRY CALLEBAUT SERVICES NV 213800R1F1EJYM4ICO85 BARRY CALLEBAUT SVCS NV COMPANY GUAR REGS 06/23 5.5 ACI067KC5 1000000.000000 PA USD 1061972.890000 0.0891566 Long DBT CORP BE N 2 2023-06-15 Fixed 5.5 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 BAT CAPITAL CORP COMPANY GUAR 08/24 3.222 05526DAZ8 10200000.000000 PA USD 10607465.420000 0.8905366 Long DBT CORP US N 2 2024-08-15 Fixed 3.222 N N N N N N BAT CAPITAL CORPORATION 2138005GYEXN7XRHFA84 BAT CAPITAL CORP COMPANY GUAR 08/27 3.557 05526DBB0 1017000.000000 PA USD 1067427.020000 0.0896145 Long DBT CORP US N 2 2027-08-15 Fixed 3.557 N N N N N N BCP TRUST 2021-330N N/A BCP TRUST BCP 2021 330N A 144A 05553BAA3 5600000.000000 PA USD 5547897.040000 0.4657668 Long ABS-MBS CORP US N 2 2038-06-15 Floating 0.909 N N N N N N BEAR STEARNS ABS INC 2004-HE7 N/A BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE7 M1 073879EU8 533728.910000 PA USD 530977.700000 0.0445776 Long ABS-MBS CORP US N 2 2034-08-25 Floating 1.00188 N N N N N N BEAR STEARNS ALT-A TRUST 2005-4 N/A BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2 07386HSZ5 35587.930000 PA USD 35915.320000 0.0030152 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.60336 N N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1 07387QAX8 1000803.160000 PA USD 978118.660000 0.0821167 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.42188 N N N N N N BEAR STEARNS ARM TRUST 2002-11 N/A BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1 07384MSH6 1125.990000 PA USD 1170.160000 0.0000982 Long ABS-MBS CORP US N 2 2033-02-25 Floating 2.4999 N N N N N N BEAR STEARNS ASSETBACKED SEC 2001-3 N/A BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 A2 07384YBM7 28824.490000 PA USD 28702.050000 0.0024096 Long ABS-MBS CORP US N 2 2032-10-27 Floating 0.90188 N N N N N N BEAR STEARNS ASSETBK SEC 2005-AQ2 N/A BEAR STEARNS ASSET BACKED SECU BSABS 2005 AQ2 M1 0738792V9 1002813.990000 PA USD 1002505.520000 0.0841641 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.83688 Y N N N N N BENEFIT STREET PARTNERS CLO XII LTD 2017-12A N/A BENEFIT STREET PARTNERS CLO LT BSP 2017 12A A1R 144A 08179HAE0 1500000.000000 PA USD 1498208.850000 0.1257803 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.07375 N N N N N N BENEFIT STREET PARTNERS CLO XVI LTD N/A BENEFIT STREET PARTNERS CLO LT BSP 2018 16A A1R 144A 08181VAN5 400000.000000 PA USD 400446.460000 0.0336190 Long ABS-CBDO CORP KY N 2 2032-01-17 Floating 1.15225 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 BERRY GLOBAL INC SR SECURED 01/26 1.57 08576PAH4 4000000.000000 PA USD 3918600.000000 0.3289812 Long DBT CORP US N 2 2026-01-15 Fixed 1.57 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 BERRY GLOBAL INC SR SECURED 144A 07/26 4.875 085770AA3 2000000.000000 PA USD 2071460.040000 0.1739068 Long DBT CORP US N 2 2026-07-15 Fixed 4.875 N N N N N N BFLD TRUST 2020-EYP N/A BFLD TRUST BFLD 2020 EYP A 144A 05493AAA8 2000000.000000 PA USD 2003696.800000 0.1682179 Long ABS-MBS CORP US N 2 2035-10-15 Floating 1.26 N N N N N N BOC AVIATION (USA) CORPORATION 254900QKLTY6MF4Y3P65 BOC AVIATION USA CORP COMPANY GUAR 144A 04/24 1.625 66980P2A6 1700000.000000 PA USD 1698309.330000 0.1425794 Long DBT CORP US N 2 2024-04-29 Fixed 1.625 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 BOC AVIATION LTD SR UNSECURED 144A 09/23 VAR 09681LAH3 1000000.000000 PA USD 1003251.310000 0.0842267 Long DBT CORP SG N 2 2023-09-26 Floating 1.34475 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 BOC AVIATION LTD SR UNSECURED REGS 05/22 3 BZ12VMII6 1000000.000000 PA USD 1005156.430000 0.0843867 Long DBT CORP SG N 2 2022-05-23 Fixed 3 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 BOC AVIATION LTD SR UNSECURED REGS 09/22 2.75 09681MAD0 2800000.000000 PA USD 2823256.040000 0.2370229 Long DBT CORP SG N 2 2022-09-18 Fixed 2.75 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 BOC AVIATION LTD SR UNSECURED REGS 09/23 VAR 09681MAH1 1700000.000000 PA USD 1705527.230000 0.1431854 Long DBT CORP SG N 2 2023-09-26 Floating 1.34475 N N N N N N BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD) 254900H06V5RMEB3KE72 BOC AVIATION LTD SR UNSECURED REGS 12/23 2.75 ACI1MNQL4 2400000.000000 PA USD 2456740.700000 0.2062526 Long DBT CORP SG N 2 2023-12-02 Fixed 2.75 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 BOEING CO SR UNSECURED 02/24 1.433 097023DE2 2300000.000000 PA USD 2297553.670000 0.1928883 Long DBT CORP US N 2 2024-02-04 Fixed 1.433 N N N N N N BOEING CO/THE RVHJWBXLJ1RFUBSY1F30 BOEING CO SR UNSECURED 05/23 4.508 097023CS2 17000000.000000 PA USD 17760965.560000 1.4910998 Long DBT CORP US N 2 2023-05-01 Fixed 4.508 N N N N N N BORAL FINANCE PTY LTD 549300X2TYFVNPM0UT91 BORAL FINANCE PTY LTD COMPANY GUAR 144A 11/22 3 09952AAA4 3039000.000000 PA USD 3073119.890000 0.2580000 Long DBT CORP AU N 2 2022-11-01 Fixed 3 N N N N N N BOSTON SCIENTIFIC CORPORATION Y6ZDD9FP4P8JSSJMW954 BOSTON SCIENTIFIC CORP SR UNSECURED 03/24 3.45 101137AV9 500000.000000 PA USD 523116.400000 0.0439176 Long DBT CORP US N 2 2024-03-01 Fixed 3.45 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 BPCE SA SR UNSECURED 144A 10/26 VAR 05583JAH5 2000000.000000 PA USD 1974263.680000 0.1657469 Long DBT CORP FR N 2 2026-10-06 Floating 1.652 N N N N N N BRASS NO 8 PLC 8A N/A BRASS PLC BRASS 8A A1 144A 10554MAA8 131240.520000 PA USD 131705.510000 0.0110572 Long ABS-MBS CORP GB N 2 2066-11-16 Floating 0.855 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 BROADCOM INC COMPANY GUAR 04/26 4.25 11135FAZ4 600000.000000 PA USD 654952.360000 0.0549857 Long DBT CORP US N 2 2026-04-15 Fixed 4.25 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 BROADCOM INC COMPANY GUAR 09/26 3.459 11135FAN1 4238000.000000 PA USD 4516730.080000 0.3791965 Long DBT CORP US N 2 2026-09-15 Fixed 3.459 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 BROADCOM INC COMPANY GUAR 11/25 3.15 11135FBB6 1200000.000000 PA USD 1257494.480000 0.1055714 Long DBT CORP US N 2 2025-11-15 Fixed 3.15 N N N N N N BWAY MORTGAGE TRUST 2021-1450 N/A BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A 12430YAA8 3000000.000000 PA USD 3002088.300000 0.2520366 Long ABS-MBS CORP US N 2 2036-09-15 Floating 1.35976 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2021-MFM1 N/A BX TRUST BX 2021 MFM1 A 144A 05608VAA4 3800000.000000 PA USD 3778501.500000 0.3172194 Long ABS-MBS CORP US N 2 2034-01-15 Floating 0.80975 N N N N N N BXMT 2020-FL3 LTD N/A BXMT LTD BXMT 2020 FL3 A 144A 05608XAA0 3900000.000000 PA USD 3903515.070000 0.3277148 Long ABS-MBS CORP KY N 2 2037-11-15 Floating 1.56448 N N N N N N CANTOR FITZGERALD LP 549300RLUEEVQEMX0450 CANTOR FITZGERALD LP UNSECURED 144A 06/22 6.5 138616AC1 9018000.000000 PA USD 9242647.400000 0.7759550 Long DBT CORP US N 2 2022-06-17 Fixed 6.5 N N N N N N CARLYLE US CLO LTD 2017-1A N/A CARLYLE GLOBAL MARKET STRATEGI CGMS 2017 1A A1R 144A 14314BAL1 5600000.000000 PA USD 5595884.500000 0.4697955 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.1315 N N N N N N CARRIER GLOBAL CORPORATION 549300JE3W6CWY2NAN77 CARRIER GLOBAL CORP SR UNSECURED 02/25 2.242 14448CAN4 2000000.000000 PA USD 2049439.780000 0.1720582 Long DBT CORP US N 2 2025-02-15 Fixed 2.242 N N N N N N CBAM 2018-5 LTD 8A N/A CBAM CLO MANAGEMENT CBAM 2018 8A A1 144A 12478CAA9 3200000.000000 PA USD 3199117.280000 0.2685779 Long ABS-CBDO CORP KY N 2 2029-10-20 Floating 1.2515 N N N N N N CENTERPOINT ENERGY RESOURCES CORP 2JADVB0458J06WCD4N56 CENTERPOINT ENERGY RES SR UNSECURED 03/23 0.7 15189WAM2 1100000.000000 PA USD 1095225.900000 0.0919483 Long DBT CORP US N 2 2023-03-02 Fixed 0.7 N N N N N N CENTERPOINT ENERGY RESOURCES CORP 2JADVB0458J06WCD4N56 CENTERPOINT ENERGY RES SR UNSECURED 03/23 VAR 15189WAN0 800000.000000 PA USD 798359.500000 0.0670253 Long DBT CORP US N 2 2023-03-02 Floating 0.67325 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 CENTRAL NIPPON EXPRESSWY SR UNSECURED REGS 03/22 2.849 ACI0SQCV6 1000000.000000 PA USD 1003550.000000 0.0842518 Long DBT CORP JP N 2 2022-03-03 Fixed 2.849 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 CENTRAL NIPPON EXPRESSWY SR UNSECURED REGS 03/22 VAR ACI0SQFL5 500000.000000 PA USD 500561.690000 0.0420240 Long DBT CORP JP N 2 2022-03-03 Floating 0.98463 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A CHARTER COMM OPT LLC/CAP SR SECURED 02/24 4.5 161175BQ6 500000.000000 PA USD 531991.470000 0.0446627 Long DBT CORP US N 2 2024-02-01 Fixed 4.5 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A CHARTER COMM OPT LLC/CAP SR SECURED 02/24 VAR 161175BP8 6600000.000000 PA USD 6746171.850000 0.5663665 Long DBT CORP US N 2 2024-02-01 Floating 1.78163 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A CHARTER COMM OPT LLC/CAP SR SECURED 07/25 4.908 161175AY0 1000000.000000 PA USD 1102000.400000 0.0925171 Long DBT CORP US N 2 2025-07-23 Fixed 4.908 N N N N N N CHASE FUNDING MTGE LN ASSET-BKD 2003-5 N/A CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 5 2A2 161546GR1 209779.450000 PA USD 202545.790000 0.0170045 Long ABS-MBS CORP US N 2 2033-07-25 Floating 0.70188 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 8A1 161630AW8 480727.670000 PA USD 498411.910000 0.0418436 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.39689 N N N N N N CHENIERE CORPUS CHRISTI HOLDINGS LLC 549300I7CIEWU1BBLQ53 CHENIERE CORP CHRISTI HD SR SECURED 06/24 7 16412XAD7 400000.000000 PA USD 442709.100000 0.0371671 Long DBT CORP US N 2 2024-06-30 Fixed 7 N N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-1A N/A CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A A2 144A 16678RCU9 50548.450000 PA USD 48102.780000 0.0040384 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.30188 N N N N N N CHEVY CHASE MTGE FUNDING CORP 2004-3A N/A CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3A A2 144A 16678RBV8 28732.680000 PA USD 28732.320000 0.0024122 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.40188 N N N N N N CHEVY CHASE MTGE FUNDING CORP 2004-4A N/A CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 4A A1 144A 16678RCC9 274071.090000 PA USD 274718.170000 0.0230636 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.33188 N N N N N N CHUGOKU ELECTRIC POWER CO INC 353800MV866ELME96Q46 CHUGOKU ELECTRIC POWER SR SECURED REGS 02/24 3.488 ACI18ZTK2 200000.000000 PA USD 208711.160000 0.0175221 Long DBT CORP JP N 2 2024-02-28 Fixed 3.488 N N N N N N CHUGOKU ELECTRIC POWER CO INC 353800MV866ELME96Q46 CHUGOKU ELECTRIC POWER SR SECURED REGS 08/24 2.401 ACI1F2P70 800000.000000 PA USD 818198.650000 0.0686908 Long DBT CORP JP N 2 2024-08-27 Fixed 2.401 N N N N N N CIGNA CORPORATION 549300VIWYMSIGT1U456 CIGNA CORP COMPANY GUAR 07/23 3.75 125523AF7 361000.000000 PA USD 375538.310000 0.0315279 Long DBT CORP US N 2 2023-07-15 Fixed 3.75 N N N N N N CIT GROUP INC N8O96ZZJQRFYQUJY7K79 CIT GROUP INC SR UNSECURED 08/22 5 125581GQ5 8826000.000000 PA USD 9034205.340000 0.7584555 Long DBT CORP US N 2 2022-08-15 Fixed 5 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2021-KEYS N/A CITIGROUP COMMERCIAL MORTGAGE CGCMT 2021 KEYS A 144A 17291GAA4 1950000.000000 PA USD 1951294.020000 0.1638185 Long ABS-MBS CORP US N 2 2036-10-15 Floating 1.29 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC SR UNSECURED 07/23 VAR 172967LN9 1500000.000000 PA USD 1504401.680000 0.1263002 Long DBT CORP US N 2 2023-07-24 Floating 1.07388 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2019-C N/A CITIGROUP MORTGAGE LOAN TRUST CMLTI 2019 C A1 144A 17328GAA1 142660.740000 PA USD 142933.360000 0.0119998 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3.228 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV3 N/A CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV3 A11 144A 17329VDF3 4502094.860000 PA USD 4489696.990000 0.3769269 Long ABS-MBS CORP US N 2 2051-05-25 Floating 0.89967 N N N N N N CITRIX SYSTEMS INC HCTKJGUQOPZ5NBK7NP58 CITRIX SYSTEMS INC SR UNSECURED 03/26 1.25 177376AG5 1600000.000000 PA USD 1559729.200000 0.1309451 Long DBT CORP US N 2 2026-03-01 Fixed 1.25 N N N N N N CK HUTCHISON INTERNATIONAL (19) LIMITED 254900FPY8WXG61CMU70 CK HUTCHISON INTL 19 LTD COMPANY GUAR 144A 04/24 3.25 12564CAA4 3100000.000000 PA USD 3229489.200000 0.2711277 Long DBT CORP KY N 2 2024-04-11 Fixed 3.25 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 COMMONSPIRIT HEALTH SR SECURED 10/25 1.547 20268JAE3 3700000.000000 PA USD 3668288.480000 0.3079666 Long DBT CORP US N 2 2025-10-01 Fixed 1.547 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 CONAGRA BRANDS INC SR UNSECURED 05/24 4.3 205887CA8 500000.000000 PA USD 532326.490000 0.0446908 Long DBT CORP US N 2 2024-05-01 Fixed 4.3 N N N N N N CONTINENTAL AIRLINES 2007-1 CLASS A PASS THROUGH TRUST N/A CONTL AIRLINES 2007 1 PASS THRU CE 10/23 5.983 21079NAA9 300411.200000 PA USD 303895.790000 0.0255132 Long DBT CORP US N 2 2023-10-19 Fixed 5.983 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6 N/A COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1A 02150PAA6 70667.420000 PA USD 68199.730000 0.0057256 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.24188 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2005-7 N/A COUNTRYWIDE ASSET BACKED CERTI CWL 2005 7 MV4 1266732K7 296991.010000 PA USD 297322.570000 0.0249613 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.15188 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-15 N/A COUNTRYWIDE ASSET BACKED CERTI CWL 2005 15 M1 126670MH8 275000.000000 PA USD 273186.270000 0.0229350 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.55188 N N N N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 CREDIT AGRICOLE SA SR UNSECURED 144A 01/27 VAR 22535WAH0 300000.000000 PA USD 292064.800000 0.0245199 Long DBT CORP FR N 2 2027-01-26 Floating 1.247 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG SR UNSECURED 144A 06/26 VAR 225401AQ1 1500000.000000 PA USD 1509660.860000 0.1267417 Long DBT CORP CH N 2 2026-06-05 Floating 2.193 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG SR UNSECURED REGS 06/24 VAR H3698DBT0 4428000.000000 PA USD 4476530.170000 0.3758215 Long DBT CORP CH N 2 2024-06-12 Floating 1.44088 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP10 N/A CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP10 A1 144A 12597FAC4 1254141.700000 PA USD 1256907.830000 0.1055221 Long ABS-MBS CORP US N 2 2059-12-26 Fixed 2.97269 N N N N N N DAE FUNDING LLC 635400SZTPQL3Y1P2C76 DAE FUNDING LLC COMPANY GUAR 144A 08/24 1.55 23371DAJ3 2700000.000000 PA USD 2683030.500000 0.2252505 Long DBT CORP US N 2 2024-08-01 Fixed 1.55 N N N N N N DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 5493003HSDTSCZRXBA58 DAIMLER TRUCKS FINAN NA COMPANY GUAR 144A 12/23 1.125 233853AB6 4000000.000000 PA USD 4002865.160000 0.3360556 Long DBT CORP US N 2 2023-12-14 Fixed 1.125 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 DANSKE BANK A/S SR UNSECURED 144A 01/23 VAR 23636AAX9 1000000.000000 PA USD 1000867.260000 0.0840266 Long DBT CORP DK N 2 2023-01-12 Floating 5 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 DANSKE BANK A/S SR UNSECURED 144A 01/24 5.375 23636AAT8 2000000.000000 PA USD 2153899.820000 0.1808280 Long DBT CORP DK N 2 2024-01-12 Fixed 5.375 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 DANSKE BANK A/S SR UNSECURED 144A 09/23 VAR 23636AAQ4 6359000.000000 PA USD 6414763.020000 0.5385434 Long DBT CORP DK N 2 2023-09-12 Floating 1.26088 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 DANSKE BANK A/S SR UNSECURED 144A 12/23 VAR 23636AAY7 2800000.000000 PA USD 2799959.460000 0.2350671 Long DBT CORP DK N 2 2023-12-08 Floating 1.171 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 DANSKE BANK A/S SR UNSECURED REGS 09/23 VAR 23636BAP4 1600000.000000 PA USD 1614030.640000 0.1355039 Long DBT CORP DK N 2 2023-09-12 Floating 1.26088 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A DELL INT LLC / EMC CORP SR UNSECURED 06/23 5.45 24703TAA4 134000.000000 PA USD 141402.490000 0.0118713 Long DBT CORP US N 2 2023-06-15 Fixed 5.45 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A DELL INT LLC / EMC CORP SR UNSECURED 10/26 4.9 24703TAE6 1700000.000000 PA USD 1915963.630000 0.1608523 Long DBT CORP US N 2 2026-10-01 Fixed 4.9 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 DELTA AIR LINES INC SR UNSECURED 01/26 7.375 247361ZZ4 3000000.000000 PA USD 3535067.130000 0.2967822 Long DBT CORP US N 2 2026-01-15 Fixed 7.375 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 DELTA AIR LINES INC SR UNSECURED 03/22 3.625 247361ZJ0 4300000.000000 PA USD 4300161.980000 0.3610147 Long DBT CORP US N 2 2022-03-15 Fixed 3.625 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 DEUTSCHE BANK NY SR UNSECURED 05/24 0.898 251526CJ6 900000.000000 PA USD 892552.720000 0.0749332 Long DBT CORP DE Y 2 2024-05-28 Fixed 0.898 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 DEUTSCHE BANK NY SR UNSECURED 11/22 VAR 251526BM0 200000.000000 PA USD 201266.670000 0.0168971 Long DBT CORP DE N 2 2022-11-16 Floating 1.345 N N N N N N DROP MORTGAGE TRUST 2021-FILE N/A DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A 26210YAA4 4000000.000000 PA USD 4007332.800000 0.3364306 Long ABS-MBS CORP US N 2 2026-04-15 Floating 1.26 N N N N N N DRYDEN 36 SENIOR LOAN FUND 2014-36A N/A DRYDEN SENIOR LOAN FUND DRSLF 2014 36A AR3 144A 26249KAZ4 3517210.940000 PA USD 3518966.770000 0.2954305 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.14375 N N N N N N DRYDEN 47 SENIOR LOAN FUND 2017-47A N/A DRYDEN SENIOR LOAN FUND DRSLF 2017 47A A1R 144A 26245EAJ8 2500000.000000 PA USD 2499022.150000 0.2098023 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 1.10375 N N N N N N EDISON INTERNATIONAL 549300I7ROF15MAEVP56 EDISON INTERNATIONAL SR UNSECURED 11/22 3.125 281020AP2 3453000.000000 PA USD 3507594.350000 0.2944757 Long DBT CORP US N 2 2022-11-15 Fixed 3.125 N N N N N N ELEVATION CLO LTD 2017-8A N/A ELEVATION CLO LTD AWPT 2017 8A A1R2 144A 28622VAN0 5800000.000000 PA USD 5791256.500000 0.4861977 Long ABS-CBDO CORP KY N 2 2030-10-25 Floating 1.0799 N N N N N N ELFI GRADUATE LOAN PROGRAM 2021-A LLC N/A ELFI GRADUATE LOAN PROGRAM 202 ELFI 2021 A A 144A 28628BAA6 6755186.800000 PA USD 6704366.850000 0.5628568 Long ABS-O CORP US N 2 2046-12-26 Fixed 1.53 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP SR UNSECURED 03/23 4.25 29278NAL7 500000.000000 PA USD 513914.610000 0.0431451 Long DBT CORP US N 2 2023-03-15 Fixed 4.25 N N N N N N JP MORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE + CO JR SUBORDINA 12/49 VAR 46625HHA1 761000.000000 NS USD 764810.360000 0.0642087 Long EP CORP US N 2 N N N ENERGY TRANSFER LP / REGENCY ENERGY FINANCE CORP N/A ENRGY TRANS LP/REG FIN SR UNSECURED 10/22 5 75886AAQ1 7000000.000000 PA USD 7140011.410000 0.5994308 Long DBT CORP US N 2 2022-10-01 Fixed 5 N N N N N N ENI SPA BUCRF72VH5RBN7X3VL35 ENI SPA SR UNSECURED REGS 09/23 4 T3666JJQ0 580000.000000 PA USD 606743.410000 0.0509384 Long DBT CORP IT N 2 2023-09-12 Fixed 4 N N N N N N EXPORT-IMPORT BANK OF INDIA 335800OFZ8YEIVN1QI11 EXPORT IMPORT BK INDIA SR UNSECURED REGS 08/22 VAR ACI0WQLC3 1000000.000000 PA USD 1003820.000000 0.0842745 Long DBT CORP IN N 2 2022-08-21 Floating 1.15963 N N N N N N EXTENDED STAY AMERICA TRUST 2021-ESH N/A EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A 30227FAA8 5571017.300000 PA USD 5587030.630000 0.4690522 Long ABS-MBS CORP US N 2 2038-07-15 Floating 1.19 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 FEDERAL HOME LOAN BANK BONDS 02/27 0.9 3130AL5A8 8200000.000000 PA USD 7984687.270000 0.6703445 Long DBT USGSE US N 2 2027-02-26 Fixed 0.9 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 FEDERAL HOME LOAN BANK BONDS 02/27 0.92 3130ALCE2 17000000.000000 PA USD 16570248.500000 1.3911346 Long DBT USGSE US N 2 2027-02-26 Fixed 0.92 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 FEDERAL HOME LOAN BANK BONDS 02/27 1.02 3130ALED2 15000000.000000 PA USD 14694390.000000 1.2336492 Long DBT USGSE US N 2 2027-02-24 Fixed 1.02 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 FEDERAL HOME LOAN BANK BONDS 07/26 1.11 3130ANCD0 2333333.330000 PA USD 2311557.030000 0.1940639 Long DBT USGSE US N 2 2026-07-27 Fixed 1.11 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 FEDERAL HOME LOAN BANK BONDS 08/26 1.05 3130ANGM6 11000000.000000 PA USD 10864657.650000 0.9121288 Long DBT USGSE US N 2 2026-08-13 Fixed 1.05 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 FEDERAL HOME LOAN BANK BONDS 08/26 1.1 3130ANMH0 11000000.000000 PA USD 10886508.600000 0.9139633 Long DBT USGSE US N 2 2026-08-20 Fixed 1.1 N N N N N N FEDERAL HOME LOAN BANK (FLHB) 2549001DPIFGXC1TOL40 FEDERAL HOME LOAN BANK BONDS 11/24 0.625 3130AMNR9 10000000.000000 PA USD 9888262.500000 0.8301568 Long DBT USGSE US N 2 2024-11-27 Fixed 0.625 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC) S6XOOCT0IEG5ABCC6L87 FREDDIE MAC NOTES 10/26 0.8 3134GW6C5 6500000.000000 PA USD 6325080.780000 0.5310143 Long DBT USGSE US N 2 2026-10-28 Fixed 0.8 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION (FANNIE MAE) B1V7KEBTPIMZEU4LTD58 FANNIE MAE NOTES 12/26 0.875 3135G06L2 10600000.000000 PA USD 10336768.080000 0.8678105 Long DBT USGSE US N 2 2026-12-18 Fixed 0.875 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL B32059 FG 09/37 FIXED 5.4 312979JC2 193874.200000 PA USD 212701.320000 0.0178571 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 5.4 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL B70184 FG 05/29 FIXED 7 312988FZ6 14997.880000 PA USD 15072.110000 0.0012654 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 7 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL E04367 FG 04/28 FIXED 2 31294NZ85 1330.380000 PA USD 1368.230000 0.0001149 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 2 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL G15159 FG 01/24 FIXED 5 3128MD5U3 164.660000 PA USD 170.000000 0.0000143 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL G80365 FG 10/38 FIXED 6.5 31335PMN2 52793.480000 PA USD 59566.890000 0.0050009 Long ABS-MBS USGSE US N 2 2038-10-17 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL H00259 FG 04/35 FIXED 5.5 3128MSJC5 2135.990000 PA USD 2200.800000 0.0001848 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL H00962 FG 07/37 FIXED 6.5 3128MTB72 26189.180000 PA USD 27673.330000 0.0023233 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL H01085 FG 07/37 FIXED 6.5 3128MTF29 7986.060000 PA USD 8244.490000 0.0006922 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL H01774 FG 09/37 FIXED 6.5 3128MT6K9 107176.420000 PA USD 124265.570000 0.0104326 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL H03252 FG 10/37 FIXED 6.5 3128MVTH6 13330.130000 PA USD 14130.700000 0.0011863 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL H09022 FG 02/37 FIXED 5.5 3128UNAX0 10222.540000 PA USD 11125.750000 0.0009340 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL H09069 FG 09/37 FIXED 6.5 3128UNCE0 16735.840000 PA USD 19390.250000 0.0016279 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL H09070 FG 09/37 FIXED 6.5 3128UNCF7 28507.060000 PA USD 31577.160000 0.0026510 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL H09098 FG 10/37 FIXED 6.5 3128UNDB5 163326.930000 PA USD 179878.060000 0.0151014 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL H09117 FG 11/37 FIXED 6.5 3128UNDW9 8003.230000 PA USD 8979.180000 0.0007538 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL H09152 FG 02/38 FIXED 6.5 3128UNEZ1 29156.850000 PA USD 32171.730000 0.0027009 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL H19005 FG 01/37 FIXED 5.5 3128NAAE8 175262.940000 PA USD 184421.900000 0.0154829 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL J22451 FG 02/28 FIXED 2 31307AWL2 4660.950000 PA USD 4779.150000 0.0004012 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 2 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL K30023 FG 02/47 FIXED 5.5 31302PAY0 70303.120000 PA USD 74573.420000 0.0062607 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL K30066 FG 06/47 FIXED 5.5 31302PCB8 53559.130000 PA USD 56824.310000 0.0047706 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL L00007 FG 03/35 FIXED 5.5 3128DFAG3 18604.620000 PA USD 21188.180000 0.0017788 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL L10155 FG 01/34 FIXED 6 3128DHE42 265393.020000 PA USD 277271.390000 0.0232780 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N30959 FG 03/33 FIXED 5 31281BB41 18736.400000 PA USD 20235.520000 0.0016988 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N31005 FG 08/33 FIXED 5.5 31281BDJ6 110247.800000 PA USD 118081.900000 0.0099134 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N31013 FG 10/33 FIXED 5 31281BDS6 12678.350000 PA USD 13958.440000 0.0011719 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N31137 FG 09/34 FIXED 5.5 31281BHN3 7106.200000 PA USD 7527.680000 0.0006320 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N31138 FG 09/34 FIXED 5.5 31281BHP8 5597.250000 PA USD 5826.720000 0.0004892 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N31330 FG 08/36 FIXED 5.5 31281BPP9 16688.060000 PA USD 17665.790000 0.0014831 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N31347 FG 11/36 FIXED 5.5 31281BP87 3336.980000 PA USD 3527.180000 0.0002961 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N31368 FG 01/37 FIXED 5 31281BQV5 7666.600000 PA USD 8688.410000 0.0007294 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N31448 FG 10/37 FIXED 5.5 31281BTD2 12598.770000 PA USD 13791.400000 0.0011578 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N31453 FG 10/37 FIXED 5 31281BTJ9 7987.270000 PA USD 8649.830000 0.0007262 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N31465 FG 11/37 FIXED 5 31281BTW0 2431.090000 PA USD 2684.250000 0.0002254 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N31476 FG 12/37 FIXED 5 31281BT91 16180.670000 PA USD 17908.150000 0.0015035 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N31480 FG 04/37 FIXED 5 31281BUD0 23244.680000 PA USD 25152.130000 0.0021116 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N31493 FG 02/38 FIXED 5 31281BUS7 72137.350000 PA USD 81906.380000 0.0068763 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL N39008 FG 09/38 FIXED 5.5 31320LAH4 716396.830000 PA USD 796184.060000 0.0668426 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL P00039 FG 05/33 FIXED 6 31283NBG6 21379.260000 PA USD 22191.050000 0.0018630 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL P20442 FG 05/34 FIXED 5 31283YLW6 113714.860000 PA USD 118277.450000 0.0099298 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL P20584 FG 11/34 FIXED 5 31283YRC4 143253.300000 PA USD 150678.250000 0.0126500 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL P20615 FG 04/35 FIXED 5.5 31283YSB5 93571.980000 PA USD 96992.760000 0.0081429 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL P50075 FG 09/31 FIXED 6 31288LCL3 36951.730000 PA USD 37324.890000 0.0031336 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL P50485 FG 05/35 FIXED 5.5 31288LRE3 9761.620000 PA USD 10248.530000 0.0008604 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL P50557 FG 06/37 FIXED 6 31288LTN1 6600.480000 PA USD 6917.350000 0.0005807 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL P51237 FG 11/36 FIXED 6.5 3128C6LS6 58946.790000 PA USD 67725.790000 0.0056858 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 6.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL P51262 FG 02/37 FIXED 5.5 3128C6MK2 61897.350000 PA USD 65788.050000 0.0055232 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL P51299 FG 07/37 FIXED 5.5 3128C6NQ8 61371.040000 PA USD 66383.840000 0.0055732 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL P51309 FG 07/37 FIXED 5.5 3128C6N21 107652.410000 PA USD 115193.920000 0.0096710 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL T30133 FG 07/37 FIXED 5.55 31286DEE7 31786.740000 PA USD 34905.760000 0.0029305 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.55 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL U30321 FG 02/37 FIXED 5 31335YLA2 128626.710000 PA USD 140429.510000 0.0117896 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL U30400 FG 06/37 FIXED 5.55 31335YNR3 39934.300000 PA USD 43853.000000 0.0036816 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.55 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL U30402 FG 06/37 FIXED 5.55 31335YNT9 41945.470000 PA USD 46055.330000 0.0038665 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.55 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL U30683 FG 12/37 FIXED 5.4 31335YXL5 83194.850000 PA USD 91223.080000 0.0076585 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.4 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL U31817 FG 03/38 FIXED 5.4 31321XAS3 79862.770000 PA USD 87577.140000 0.0073524 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.4 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL U32257 FG 08/38 FIXED 5.4 31321XQJ6 89199.910000 PA USD 97821.960000 0.0082125 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.4 N N N N N N FHLMC PASS THRU POOLS N/A FED HM LN PC POOL U32423 FG 11/38 FIXED 5.4 31321XVQ4 76063.000000 PA USD 83416.080000 0.0070031 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.4 N N N N N N FINANCE AMERICA MTGE LOAN TRUST 2004-2 N/A FINANCE AMERICA MORTGAGE LOAN FINA 2004 2 M1 317350BD7 142424.240000 PA USD 142056.090000 0.0119261 Long ABS-MBS CORP US N 2 2034-08-25 Floating 0.92688 N N N N N N FIRST ABU DHABI BANK PJSC 2138002Y3WMK6RZS8H90 FIRST ABU DHABI BANK PJS SR UNSECURED REGS 04/22 VAR ACI1B1WQ6 1800000.000000 PA USD 1803776.400000 0.1514338 Long DBT CORP AE N 2 2022-04-16 Floating 1.07225 N N N N N N FIRST ABU DHABI BANK PJSC 2138002Y3WMK6RZS8H90 FIRST ABU DHABI BANK PJS SR UNSECURED REGS 08/23 VAR ACI1DSTV8 4000000.000000 PA USD 4018836.000000 0.3373964 Long DBT CORP AE N 2 2023-08-08 Floating 0.99438 N N N N N N FIRST FRANKLIN MTG LN ASSET CER 2004-FF1 N/A FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF1 M1 32027NGC9 152295.860000 PA USD 151786.600000 0.0127431 Long ABS-MBS CORP US N 2 2034-11-25 Floating 0.85188 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF5 N/A FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A3 32027EAE1 1310725.130000 PA USD 1289395.830000 0.1082496 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.42188 N N N N N N FIRST FRANKLIN MTG LOAN ASSET 2004-FF6 N/A FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF6 M1 32027NKJ9 253013.090000 PA USD 254687.200000 0.0213819 Long ABS-MBS CORP US N 2 2034-07-25 Floating 1.03188 N N N N N N FIRST HORIZON ALT MTGE SEC 2004-AA7 N/A FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA7 2A1 32051GFB6 251317.960000 PA USD 256687.270000 0.0215499 Long ABS-MBS CORP US N 2 2035-02-25 Floating 2.28059 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 FIRSTENERGY CORP SR UNSECURED 07/22 3.35 337932AG2 3470000.000000 PA USD 3485094.500000 0.2925868 Long DBT CORP US N 2 2022-07-15 Variable 3.35 N N N N N N FIVE CORNERS FUNDING TRUST N/A FIVE CORNERS FUNDING TRS SR UNSECURED 144A 11/23 4.419 33829TAA4 400000.000000 PA USD 424158.580000 0.0356097 Long DBT CORP US N 2 2023-11-15 Fixed 4.419 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 254670 FN 02/33 FIXED 5.5 31371K2B6 620.370000 PA USD 672.400000 0.0000565 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 255538 FN 11/34 FIXED 5.5 31371LZB8 14164.550000 PA USD 15214.400000 0.0012773 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 255990 FN 11/35 FIXED 5 31371MKB2 99630.310000 PA USD 107169.350000 0.0089973 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 256372 FN 07/36 FIXED 6.5 31371MW94 177502.540000 PA USD 195010.590000 0.0163719 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 256496 FN 10/36 FIXED 6.5 31371M3D7 9305.930000 PA USD 9498.220000 0.0007974 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 256526 FN 12/36 FIXED 6 31371M4K0 1659.980000 PA USD 1862.070000 0.0001563 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 256809 FN 07/37 FIXED 6 31371NGS8 14277.630000 PA USD 15693.010000 0.0013175 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 256860 FN 08/37 FIXED 6.5 31371NJD8 753.330000 PA USD 866.190000 0.0000727 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 256890 FN 09/37 FIXED 6 31371NKB0 88160.050000 PA USD 98644.840000 0.0082816 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 256973 FN 11/37 FIXED 6.5 31371NMW2 7329.710000 PA USD 8636.640000 0.0007251 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 257044 FN 01/38 FIXED 6 31371NP58 2408.280000 PA USD 2689.460000 0.0002258 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 257138 FN 03/38 FIXED 5 31371NS30 12222.620000 PA USD 12651.160000 0.0010621 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 257213 FN 04/48 FIXED 6 31371NVE2 13721.380000 PA USD 14636.260000 0.0012288 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 257393 FN 09/48 FIXED 6.5 31371N3A1 2595.040000 PA USD 2651.610000 0.0002226 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 357175 FN 12/31 FIXED 5.5 31376JXC8 10744.370000 PA USD 11121.990000 0.0009337 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 405220 FN 09/28 FIXED 6 31378QDZ1 4430.810000 PA USD 4873.290000 0.0004091 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 452968 FN 12/28 FIXED 5.5 31380XFH0 478.810000 PA USD 474.630000 0.0000398 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 499703 FN 05/29 FIXED 6 31383DDG5 2304.060000 PA USD 2348.790000 0.0001972 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 519281 FN 09/29 FIXED 5.34 31384B2N5 58832.780000 PA USD 64399.030000 0.0054065 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 5.34 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 535994 FN 06/31 FIXED VAR 31384WNK2 1704.970000 PA USD 1957.750000 0.0001644 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 577852 FN 06/31 FIXED 6 31386Y5M2 22138.980000 PA USD 23265.490000 0.0019532 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 596705 FN 04/32 FIXED 6 31387W3N5 13293.100000 PA USD 14509.050000 0.0012181 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 616215 FN 12/31 FIXED 5.5 31388VSC3 600.000000 PA USD 594.690000 0.0000499 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 657457 FN 04/33 FIXED 5 31390VME1 54836.410000 PA USD 56501.460000 0.0047435 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 660720 FN 03/26 FIXED 6.5 31391AAV1 1188.780000 PA USD 1197.780000 0.0001006 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 695530 FN 04/33 FIXED 6 31400RVX6 37960.850000 PA USD 39494.910000 0.0033157 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 707317 FN 06/33 FIXED 5.5 31401FYN0 52877.880000 PA USD 57966.590000 0.0048665 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 713199 FN 06/33 FIXED 5.5 31401NKL2 19234.810000 PA USD 21068.030000 0.0017687 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 738753 FN 09/33 FIXED 6 31402UWN8 151068.580000 PA USD 166303.240000 0.0139618 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 800447 FN 10/34 FIXED 5 31405VHY6 27823.720000 PA USD 30049.040000 0.0025227 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 801506 FN 09/34 FIXED 4.75 31405WNX9 37589.580000 PA USD 40631.740000 0.0034112 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 4.75 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 819230 FN 02/35 FIXED 5.35 31406TEB3 36789.520000 PA USD 37121.700000 0.0031165 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.35 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 819457 FN 02/35 FIXED 4.75 31406TME8 218117.380000 PA USD 236515.590000 0.0198564 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 4.75 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 820191 FN 05/35 FIXED 5 31406UF86 53288.490000 PA USD 57554.580000 0.0048319 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 833303 FN 05/35 FIXED 5.15 31407KX87 42097.620000 PA USD 43265.770000 0.0036323 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.15 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 839137 FN 10/35 FIXED 6 31407SHN5 32586.700000 PA USD 35838.090000 0.0030087 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 846323 FN 11/35 FIXED 4.25 31408BG85 110137.960000 PA USD 117575.630000 0.0098709 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 4.25 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 847106 FN 10/35 FIXED 5.5 31408CDK9 20611.050000 PA USD 21517.200000 0.0018064 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 851762 FN 01/36 FIXED 4.25 31408HJF3 89391.050000 PA USD 95335.300000 0.0080038 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 4.25 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 852504 FN 09/35 FIXED 5.35 31408JDH1 118371.280000 PA USD 124144.320000 0.0104224 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.35 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 870801 FN 10/36 FIXED 5.5 31409GNS1 3981.550000 PA USD 4200.110000 0.0003526 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 871039 FN 02/37 FIXED 5.5 31409GV86 7070.280000 PA USD 7500.890000 0.0006297 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 879922 FN 11/35 FIXED 5 31409VSK0 40884.440000 PA USD 42886.810000 0.0036005 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 888372 FN 04/37 FIXED VAR 31410F6H3 8383.470000 PA USD 9611.570000 0.0008069 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 888796 FN 09/37 FIXED VAR 31410GNM1 79455.040000 PA USD 87929.590000 0.0073820 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 888970 FN 06/37 FIXED VAR 31410GT37 7554.470000 PA USD 7605.570000 0.0006385 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 889154 FN 02/38 FIXED VAR 31410GZT3 3669.180000 PA USD 3810.700000 0.0003199 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 889187 FN 07/33 FIXED VAR 31410G2U6 19335.170000 PA USD 20874.800000 0.0017525 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 889322 FN 04/38 FIXED VAR 31410KAX2 16377.860000 PA USD 17865.170000 0.0014998 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 891367 FN 04/36 FIXED 4.75 31410MJL5 241637.340000 PA USD 262057.020000 0.0220007 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 4.75 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 893258 FN 08/36 FIXED 5.5 31410PMF7 3765.560000 PA USD 3873.380000 0.0003252 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 895567 FN 04/36 FIXED 5.45 31410R6C8 96283.340000 PA USD 100793.740000 0.0084620 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.45 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 899432 FN 05/37 FIXED 6 31410WHH4 75.460000 PA USD 80.640000 0.0000068 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 901658 FN 10/36 FIXED 5.5 31410YWT7 6986.370000 PA USD 7167.640000 0.0006018 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 910758 FN 01/37 FIXED 5.5 31411KZX4 22878.350000 PA USD 24255.430000 0.0020363 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 913145 FN 03/37 FIXED 5.35 31411RP69 38175.130000 PA USD 38520.450000 0.0032339 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.35 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 918929 FN 04/37 FIXED 5.5 31411Y4N0 259594.640000 PA USD 281400.650000 0.0236246 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 922855 FN 11/36 FIXED 5.5 31412EH82 39910.420000 PA USD 44766.490000 0.0037583 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 924068 FN 05/37 FIXED 6.5 31412FTZ6 49145.420000 PA USD 54523.270000 0.0045774 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 932214 FN 09/39 FIXED 6 31412QVF3 411066.340000 PA USD 443646.860000 0.0372458 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 933032 FN 10/37 FIXED 6 31412SA96 591.130000 PA USD 616.420000 0.0000518 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 939484 FN 06/37 FIXED 5 31413AFZ1 9436.910000 PA USD 9817.130000 0.0008242 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 941742 FN 07/37 FIXED 5.35 31413CWB1 116023.500000 PA USD 122150.760000 0.0102550 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.35 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 944066 FN 07/37 FIXED 6.5 31413FJK9 724.460000 PA USD 795.140000 0.0000668 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 944530 FN 07/47 FIXED 6 31413FY30 118926.370000 PA USD 126746.070000 0.0106408 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 952320 FN 10/37 FIXED 6.5 31413QPD4 18728.000000 PA USD 19924.290000 0.0016727 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 961191 FN 01/38 FIXED 6 31414BKC3 4495.890000 PA USD 4621.700000 0.0003880 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 972781 FN 01/38 FIXED 5.35 31414QFW2 101778.630000 PA USD 107522.200000 0.0090269 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.35 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 973542 FN 03/38 FIXED 5.5 31414RBK0 7951.510000 PA USD 8168.070000 0.0006857 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 982008 FN 05/38 FIXED 5.5 31415BNZ8 8219.330000 PA USD 8468.400000 0.0007110 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 995092 FN 12/37 FIXED VAR 31416BNH7 124464.490000 PA USD 143387.830000 0.0120379 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL 995858 FN 09/37 FIXED VAR 31416CJB3 3630.350000 PA USD 4145.370000 0.0003480 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AB1063 FN 03/50 FIXED 5.5 31416WFD9 78939.030000 PA USD 83712.970000 0.0070280 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AB1927 FN 07/50 FIXED 5.5 31416XD98 259553.030000 PA USD 275636.510000 0.0231407 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AB6113 FN 08/42 FIXED 4 31417CYK5 66378.830000 PA USD 68856.790000 0.0057808 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AB6261 FN 09/42 FIXED 4 31417C5X9 58285.900000 PA USD 63433.600000 0.0053255 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AC4532 FN 01/34 FIXED 5 31417QBA1 976026.750000 PA USD 1044640.730000 0.0877015 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AD0893 FN 01/39 FIXED VAR 31418M7F3 370066.070000 PA USD 404519.530000 0.0339609 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AE0287 FN 02/38 FIXED VAR 31419AJ99 673650.770000 PA USD 751137.640000 0.0630608 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AL2591 FN 05/38 FIXED VAR 3138EJ2Z0 43739.200000 PA USD 46600.340000 0.0039123 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AL6513 FN 07/44 FIXED VAR 3138EPGX6 36406.080000 PA USD 40562.780000 0.0034054 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AO3529 FN 06/42 FIXED 4 3138LT4P0 88205.360000 PA USD 96350.460000 0.0080890 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AS0070 FN 08/43 FIXED 4 3138W9CG3 76222.710000 PA USD 83058.040000 0.0069730 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AW0293 FN 02/44 FIXED 4 3138XPKF9 22219.650000 PA USD 24181.760000 0.0020301 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL AW1120 FN 11/34 FIXED 5 3138XQG62 504201.020000 PA USD 547909.340000 0.0459990 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA0101 FN 05/39 FIXED 5 31417YDF1 4235.100000 PA USD 4535.760000 0.0003808 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA0565 FN 09/40 FIXED 5.5 31417YTX5 67575.030000 PA USD 74971.150000 0.0062941 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 5.5 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA1137 FN 07/42 FIXED 4 31418AHP6 61846.710000 PA USD 64743.420000 0.0054355 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA1253 FN 11/42 FIXED 4 31418AMB1 162472.820000 PA USD 177377.010000 0.0148915 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA1715 FN 12/43 FIXED 4 31418A3Z9 1841.880000 PA USD 2012.340000 0.0001689 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA2313 FN 06/45 FIXED 4 31418BSB3 29900.880000 PA USD 32663.720000 0.0027422 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA2953 FN 03/47 FIXED 4 31418CH72 70519.540000 PA USD 77400.450000 0.0064981 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4 N N N N N N FNMA PASS THRU POOLS N/A FNMA POOL MA3290 FN 09/47 FIXED 5 31418CUQ5 528020.310000 PA USD 562287.960000 0.0472062 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 5 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 FORD MOTOR CREDIT CO LLC SR UNSECURED 01/22 3.219 345397XA6 300000.000000 PA USD 300381.000000 0.0252181 Long DBT CORP US N 2 2022-01-09 Fixed 3.219 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 FORD MOTOR CREDIT CO LLC SR UNSECURED 01/22 5.596 345397ZM8 6600000.000000 PA USD 6613134.000000 0.5551974 Long DBT CORP US N 2 2022-01-07 Fixed 5.596 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 FORD MOTOR CREDIT CO LLC SR UNSECURED 01/22 VAR 345397ZN6 1000000.000000 PA USD 1000000.780000 0.0839538 Long DBT CORP US N 2 2022-01-07 Floating 3.264 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 FORD MOTOR CREDIT CO LLC SR UNSECURED 01/23 3.087 345397A29 600000.000000 PA USD 610932.000000 0.0512900 Long DBT CORP US N 2 2023-01-09 Fixed 3.087 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 FORD MOTOR CREDIT CO LLC SR UNSECURED 08/22 2.979 345397YQ0 700000.000000 PA USD 704469.500000 0.0591429 Long DBT CORP US N 2 2022-08-03 Fixed 2.979 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 FORD MOTOR CREDIT CO LLC SR UNSECURED 09/22 4.25 345397WF6 1625000.000000 PA USD 1656386.880000 0.1390599 Long DBT CORP US N 2 2022-09-20 Fixed 4.25 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 FORD MOTOR CREDIT CO LLC SR UNSECURED 11/22 3.35 345397ZU0 400000.000000 PA USD 405526.000000 0.0340454 Long DBT CORP US N 2 2022-11-01 Fixed 3.35 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 FORD MOTOR CREDIT CO LLC SR UNSECURED 11/23 3.37 345397A78 200000.000000 PA USD 206500.000000 0.0173365 Long DBT CORP US N 2 2023-11-17 Fixed 3.37 N N N N N N FREDDIE MAC REMICS 4948 N/A FREDDIE MAC FHR 4948 E 3137FQZF3 202313.970000 PA USD 205743.960000 0.0172730 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 2.5 N N N N N N FREDDIE MAC REMICS 5115 N/A FREDDIE MAC FHR 5115 DA 3137H0VQ8 8486628.580000 PA USD 8305136.940000 0.6972474 Long ABS-MBS USGSE US N 2 2042-02-25 Fixed 1 N N N N N N FREDDIE MAC REMICS 5115 N/A FREDDIE MAC FHR 5115 EM 3137H0W53 17083582.890000 PA USD 17044348.730000 1.4309371 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 1 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 FS KKR CAPITAL CORP SR UNSECURED 10/24 1.65 302635AJ6 5000000.000000 PA USD 4908363.950000 0.4120756 Long DBT CORP US N 2 2024-10-12 Fixed 1.65 N N N N N N GA GLOBAL FUNDING TRUST 54930029I8ROQ4OROZ88 GA GLOBAL FUNDING TRUST SECURED 144A 01/26 1.625 36143L2A2 900000.000000 PA USD 893440.900000 0.0750077 Long DBT CORP US N 2 2026-01-15 Fixed 1.625 N N N N N N GCAT 2021-NQM3 TRUST N/A GCAT GCAT 2021 NQM3 A2 144A 36167HAC9 4118690.770000 PA USD 4080664.960000 0.3425871 Long ABS-MBS CORP US N 2 2066-05-25 Variable 1.348 N N N N N N GCAT 2021-NQM3 TRUST N/A GCAT GCAT 2021 NQM3 A3 144A 36167HAD7 3720001.510000 PA USD 3685752.940000 0.3094328 Long ABS-MBS CORP US N 2 2066-05-25 Variable 1.503 N N N N N N GCAT LLC 2019-RPL1 N/A GCAT GCAT 2019 RPL1 A1 144A 36167CAA4 584522.100000 PA USD 593658.360000 0.0498398 Long ABS-MBS CORP US N 2 2068-10-25 Variable 2.65 N N N N N N GCT COMMERCIAL MORTGAGE TRUST 2021-GCT N/A GCT COMMERCIAL MORTGAGE TRUST GCT 2021 GCT A 144A 36167RAA1 800000.000000 PA USD 799337.680000 0.0671074 Long ABS-MBS CORP US N 2 2038-02-15 Floating 0.91 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 GENERAL MOTORS FINL CO COMPANY GUAR 01/22 VAR 37045XBR6 365000.000000 PA USD 365111.010000 0.0306524 Long DBT CORP US N 2 2022-01-14 Floating 1.67675 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 GENERAL MOTORS FINL CO COMPANY GUAR 06/22 VAR 37045XBX3 3100000.000000 PA USD 3113464.790000 0.2613871 Long DBT CORP US N 2 2022-06-30 Floating 1.52788 N N N N N N GENERAL MOTORS FINANCIAL COMPANY INC 5493008B6JBRUJ90QL97 GENERAL MOTORS FINL CO SR UNSECURED 07/22 3.55 37045XCU8 1500000.000000 PA USD 1521954.990000 0.1277738 Long DBT CORP US N 2 2022-07-08 Fixed 3.55 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 GILEAD SCIENCES INC SR UNSECURED 10/27 1.2 375558BX0 2900000.000000 PA USD 2805238.320000 0.2355103 Long DBT CORP US N 2 2027-10-01 Fixed 1.2 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 GLOBAL PAYMENTS INC SR UNSECURED 03/26 1.2 37940XAE2 2600000.000000 PA USD 2526146.450000 0.2120795 Long DBT CORP US N 2 2026-03-01 Fixed 1.2 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 GLOBAL PAYMENTS INC SR UNSECURED 11/24 1.5 37940XAF9 4000000.000000 PA USD 4003029.160000 0.3360693 Long DBT CORP US N 2 2024-11-15 Fixed 1.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 002076 G2 09/25 FIXED 6.5 36202CJV6 877.580000 PA USD 917.590000 0.0000770 Long ABS-MBS USGSE US N 2 2025-09-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 004182 G2 07/38 FIXED 5.5 36202EUF4 38125.380000 PA USD 40561.900000 0.0034053 Long ABS-MBS USGSE US N 2 2038-07-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 004239 G2 09/38 FIXED 6 36202EV89 41492.910000 PA USD 44797.850000 0.0037609 Long ABS-MBS USGSE US N 2 2038-09-20 Fixed 6 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 004241 G2 09/38 FIXED 7 36202EWA3 101656.610000 PA USD 109741.700000 0.0092132 Long ABS-MBS USGSE US N 2 2038-09-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 004262 G2 10/38 FIXED 7 36202EWX3 94809.480000 PA USD 102992.680000 0.0086466 Long ABS-MBS USGSE US N 2 2038-10-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 004312 G2 12/38 FIXED 7 36202EYH6 33848.240000 PA USD 36080.850000 0.0030291 Long ABS-MBS USGSE US N 2 2038-12-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 004362 G2 02/39 FIXED 5 36202EZ36 1177.510000 PA USD 1250.180000 0.0001050 Long ABS-MBS USGSE US N 2 2039-02-20 Fixed 5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 004492 G2 07/39 FIXED 6.5 36202E7D5 31593.830000 PA USD 34854.690000 0.0029262 Long ABS-MBS USGSE US N 2 2039-07-20 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 004537 G2 06/39 FIXED 7 36202FBE5 24621.510000 PA USD 24820.510000 0.0020838 Long ABS-MBS USGSE US N 2 2039-06-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 004670 G2 04/40 FIXED 4 36202FFK7 274258.350000 PA USD 281113.860000 0.0236006 Long ABS-MBS USGSE US N 2 2040-04-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 004796 G2 09/40 FIXED 4.5 36202FKH8 1048.800000 PA USD 1116.430000 0.0000937 Long ABS-MBS USGSE US N 2 2040-09-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 004879 G2 12/40 FIXED 4 36202FM45 5561.550000 PA USD 5892.350000 0.0004947 Long ABS-MBS USGSE US N 2 2040-12-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 004918 G2 01/41 FIXED 4 36202FPB6 122446.700000 PA USD 129750.080000 0.0108930 Long ABS-MBS USGSE US N 2 2041-01-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 004949 G2 02/41 FIXED 4 36202FQA7 151242.590000 PA USD 160254.320000 0.0134540 Long ABS-MBS USGSE US N 2 2041-02-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 005073 G2 05/41 FIXED 5.5 36202FT63 65661.520000 PA USD 69754.000000 0.0058561 Long ABS-MBS USGSE US N 2 2041-05-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 005164 G2 08/41 FIXED 5.5 36202FWZ5 183293.020000 PA USD 194846.260000 0.0163581 Long ABS-MBS USGSE US N 2 2041-08-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 005201 G2 10/41 FIXED 4 36202FX68 37827.380000 PA USD 40081.060000 0.0033650 Long ABS-MBS USGSE US N 2 2041-10-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 627122 G2 03/34 FIXED 5.5 36291FVP0 140968.700000 PA USD 152686.640000 0.0128186 Long ABS-MBS USGSE US N 2 2034-03-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 688058 G2 08/38 FIXED 4.5 36296DMF2 129559.490000 PA USD 137839.550000 0.0115721 Long ABS-MBS USGSE US N 2 2038-08-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 716993 G2 06/39 FIXED 5.4 3620A2RN8 88298.970000 PA USD 95649.160000 0.0080301 Long ABS-MBS USGSE US N 2 2039-06-20 Fixed 5.4 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 723581 G2 04/35 FIXED 5.5 3620A92N0 90353.830000 PA USD 97954.320000 0.0082236 Long ABS-MBS USGSE US N 2 2035-04-20 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 734402 G2 04/41 FIXED 4.5 3620AM3K6 82835.920000 PA USD 87664.320000 0.0073597 Long ABS-MBS USGSE US N 2 2041-04-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 754366 G2 03/42 FIXED 4 36230NZ73 8694.660000 PA USD 9235.090000 0.0007753 Long ABS-MBS USGSE US N 2 2042-03-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 758659 G2 03/41 FIXED 4.5 36230TTQ5 114890.550000 PA USD 121568.380000 0.0102061 Long ABS-MBS USGSE US N 2 2041-03-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 773563 G2 07/41 FIXED 4.5 36176RFC1 155513.470000 PA USD 164630.160000 0.0138213 Long ABS-MBS USGSE US N 2 2041-07-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL 799902 G2 03/42 FIXED 3.74 36177VAC6 44660.240000 PA USD 46422.660000 0.0038974 Long ABS-MBS USGSE US N 2 2042-03-20 Fixed 3.74 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL AA0711 G2 07/42 FIXED 3.74 36177WYG9 34560.940000 PA USD 35930.340000 0.0030165 Long ABS-MBS USGSE US N 2 2042-07-20 Fixed 3.74 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL AH5878 G2 03/44 FIXED 3.75 36182NQ71 60855.690000 PA USD 66164.730000 0.0055548 Long ABS-MBS USGSE US N 2 2044-03-20 Fixed 3.75 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL AV9440 G2 11/46 FIXED 3 36195LPZ9 110451.830000 PA USD 116868.640000 0.0098116 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL BK5879 G2 11/48 FIXED 4.5 3617J6Q80 82437.380000 PA USD 87466.220000 0.0073431 Long ABS-MBS USGSE US N 2 2048-11-20 Fixed 4.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL MA0082 G2 05/42 FIXED 3.5 36179MCT5 81962.150000 PA USD 84683.340000 0.0071095 Long ABS-MBS USGSE US N 2 2042-05-20 Fixed 3.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL MA1084 G2 06/43 FIXED 4 36179NFZ6 53772.560000 PA USD 56071.840000 0.0047074 Long ABS-MBS USGSE US N 2 2043-06-20 Fixed 4 N N N N N N GNMA PASS THRU POOLS N/A GNMA II POOL MA5042 G2 10/38 FIXED 7 36179TS71 393457.200000 PA USD 427621.790000 0.0359005 Long ABS-MBS USGSE US N 2 2038-10-20 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A GNMA POOL 412608 GN 05/26 FIXED 7 36206JKV5 1777.390000 PA USD 1900.240000 0.0001595 Long ABS-MBS USGSE US N 2 2026-05-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A GNMA POOL 662867 GN 12/36 FIXED 5.35 36294XMQ6 34761.970000 PA USD 39097.780000 0.0032824 Long ABS-MBS USGSE US N 2 2036-12-15 Fixed 5.35 N N N N N N GNMA PASS THRU POOLS N/A GNMA POOL 671883 GN 06/37 FIXED 5.35 36295JM86 67538.430000 PA USD 75962.400000 0.0063773 Long ABS-MBS USGSE US N 2 2037-06-15 Fixed 5.35 N N N N N N GNMA PASS THRU POOLS N/A GNMA POOL 672041 GN 08/37 FIXED 5.35 36295JS64 59861.480000 PA USD 67327.910000 0.0056524 Long ABS-MBS USGSE US N 2 2037-08-15 Fixed 5.35 N N N N N N GNMA PASS THRU POOLS N/A GNMA POOL 672173 GN 09/37 FIXED 5.35 36295JXA9 29053.710000 PA USD 32677.540000 0.0027434 Long ABS-MBS USGSE US N 2 2037-09-15 Fixed 5.35 N N N N N N GNMA PASS THRU POOLS N/A GNMA POOL 672295 GN 01/38 FIXED 5.35 36295J3C8 73320.150000 PA USD 82465.260000 0.0069233 Long ABS-MBS USGSE US N 2 2038-01-15 Fixed 5.35 N N N N N N GNMA PASS THRU POOLS N/A GNMA POOL 678977 GN 10/37 FIXED 5.35 36295SJW7 50454.030000 PA USD 56747.080000 0.0047641 Long ABS-MBS USGSE US N 2 2037-10-15 Fixed 5.35 N N N N N N GNMA PASS THRU POOLS N/A GNMA POOL 679071 GN 11/37 FIXED 5.35 36295SMU7 43298.090000 PA USD 48698.590000 0.0040884 Long ABS-MBS USGSE US N 2 2037-11-15 Fixed 5.35 N N N N N N GNMA PASS THRU POOLS N/A GNMA POOL 679165 GN 11/37 FIXED 5.35 36295SQS8 46788.690000 PA USD 52624.570000 0.0044180 Long ABS-MBS USGSE US N 2 2037-11-15 Fixed 5.35 N N N N N N GNMA PASS THRU POOLS N/A GNMA POOL 780058 GN 01/25 FIXED 7 36225AB33 693.730000 PA USD 720.260000 0.0000605 Long ABS-MBS USGSE US N 2 2025-01-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A GNMA POOL 780650 GN 10/27 FIXED 6.5 36225AWK2 5582.970000 PA USD 6130.730000 0.0005147 Long ABS-MBS USGSE US N 2 2027-10-15 Fixed 6.5 N N N N N N GNMA PASS THRU POOLS N/A GNMA POOL 780742 GN 09/24 FIXED 7 36225AZF0 1347.320000 PA USD 1409.910000 0.0001184 Long ABS-MBS USGSE US N 2 2024-09-15 Fixed 7 N N N N N N GNMA PASS THRU POOLS N/A GNMA POOL 799863 GN 04/42 FIXED 3.75 36177U5Z3 135508.980000 PA USD 143830.060000 0.0120751 Long ABS-MBS USGSE US N 2 2042-04-15 Fixed 3.75 N N N N N N GNMA PASS THRU POOLS N/A GNMA POOL AA0060 GN 04/42 FIXED 3.7 36177WB58 131426.040000 PA USD 138720.240000 0.0116461 Long ABS-MBS USGSE US N 2 2042-04-15 Fixed 3.7 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC SR UNSECURED 03/23 0.523 38141GXY5 1000000.000000 PA USD 997046.070000 0.0837058 Long DBT CORP US N 2 2023-03-08 Fixed 0.523 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC SR UNSECURED 12/23 1.217 38141GZE7 10000000.000000 PA USD 10027610.400000 0.8418556 Long DBT CORP US N 2 2023-12-06 Fixed 1.217 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-17 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2020 17 EU 38382CP47 178400.040000 PA USD 183696.670000 0.0154220 Long ABS-MBS USGSE US N 2 2049-10-20 Fixed 2.5 N N N N N N GOVERNMENT NATL MTGE ASSOC 2009-66 N/A GOVERNMENT NATIONAL MORTGAGE A GNR 2009 66 UF 38376FRF1 4633.320000 PA USD 4740.880000 0.0003980 Long ABS-MBS USGSE US N 2 2039-08-16 Floating 1.1075 N N N N N N GREYSTONE COMMERCIAL REAL ESTATE NOTES 2019-FL2 N/A GREYSTONE COMMERCIAL REAL ESTA GSTNE 2019 FL2 A 144A 39809LAA2 1000000.000000 PA USD 998428.100000 0.0838218 Long ABS-CBDO CORP KY N 2 2037-09-15 Floating 1.28975 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2 N/A GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR2 A9 144A 36262JAJ4 4846467.150000 PA USD 4855464.130000 0.4076344 Long ABS-MBS CORP US N 2 2052-02-25 Floating 0.89967 N N N N N N GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1 N/A GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A9 144A 36263KAJ0 2879107.710000 PA USD 2877667.580000 0.2415910 Long ABS-MBS CORP US N 2 2051-12-25 Floating 0.89967 N N N N N N GSAA HOME EQUITY TRUST 2007-7 N/A GSAA HOME EQUITY TRUST GSAA 2007 7 A4 36249BAD2 200155.590000 PA USD 199568.390000 0.0167545 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.64188 N N N N N N GSAMP TRUST 2006-HE4 N/A GSAMP TRUST GSAMP 2006 HE4 A2D 362439AE1 792687.180000 PA USD 784096.670000 0.0658279 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.62188 N N N N N N GSR MORTGAGE LOAN TRUST 2003-9 N/A GSR MORTGAGE LOAN TRUST GSR 2003 9 A2 36228FWS1 115051.560000 PA USD 112389.540000 0.0094355 Long ABS-MBS CORP US N 2 2033-08-25 Floating 2.16988 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A4 362341RW1 5486.080000 PA USD 5563.750000 0.0004671 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.74912 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 02/22 4.05 41283LAU9 500000.000000 PA USD 501393.630000 0.0420939 Long DBT CORP US N 2 2022-02-04 Fixed 4.05 N N N N N N HARLEY-DAVIDSON FINANCIAL SERVICES INC RLUFFFFW4GRYU77BTS24 HARLEY DAVIDSON FINL SER COMPANY GUAR REGS 06/22 2.55 U24652AL0 800000.000000 PA USD 805061.420000 0.0675879 Long DBT CORP US N 2 2022-06-09 Fixed 2.55 N N N N N N HERA COMMERCIAL MORTGAGE 2021-FL1 N/A HERA COMMERCIAL MORTGAGE LTD HERA 2021 FL1 A 144A 42704RAA9 3300000.000000 PA USD 3286470.000000 0.2759115 Long ABS-CBDO CORP KY N 2 2038-02-18 Floating 1.15388 N N N N N N HOME EQUITY ASSET TRUST 2004-5 N/A HOME EQUITY ASSET TRUST HEAT 2004 5 M3 437084DY9 870527.740000 PA USD 872419.400000 0.0732429 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.15188 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC SR UNSECURED 03/25 VAR 404280CA5 10107000.000000 PA USD 10267869.580000 0.8620262 Long DBT CORP GB N 2 2025-03-11 Floating 1.43088 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC SR UNSECURED 09/26 VAR 404280BW8 2450000.000000 PA USD 2518637.900000 0.2114491 Long DBT CORP GB N 2 2026-09-12 Floating 1.58088 N N N N N N HYATT HOTELS CORPORATION T27JQIMTYSH41TCD5186 HYATT HOTELS CORP SR UNSECURED 10/24 1.8 448579AN2 1100000.000000 PA USD 1101163.910000 0.0924468 Long DBT CORP US N 2 2024-10-01 Fixed 1.8 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 04/23 5.75 44891ABJ5 400000.000000 PA USD 422420.280000 0.0354638 Long DBT CORP US N 2 2023-04-06 Fixed 5.75 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 11/22 1.15 44891ABQ9 1700000.000000 PA USD 1704641.530000 0.1431111 Long DBT CORP US N 2 2022-11-10 Fixed 1.15 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 11/22 2.85 44891ABC0 1900000.000000 PA USD 1933103.300000 0.1622913 Long DBT CORP US N 2 2022-11-01 Fixed 2.85 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 HYUNDAI CAPITAL AMERICA SR UNSECURED REGS 11/22 2.85 44891CBC6 272000.000000 PA USD 276739.000000 0.0232333 Long DBT CORP US N 2 2022-11-01 Fixed 2.85 N N N N N N IBERDROLA INTERNATIONAL BV 549300ZMLFJKWC63XN87 IBERDROLA INTL BV COMPANY GUAR 03/25 5.81 81013TAC5 400000.000000 PA USD 455697.280000 0.0382575 Long DBT CORP NL N 2 2025-03-15 Fixed 5.81 N N N N N N ILLINOIS ST 54930048FV8RWPR02D67 ILLINOIS ST ILS 05/23 FIXED 5.375 4521526F3 450000.000000 PA USD 479431.130000 0.0402500 Long DBT MUN US N 2 2023-05-01 Fixed 5.375 N N N N N N IMPAC CMB TR 2004-10 N/A IMPAC CMB TRUST IMM 2004 10 1A1 45254NLJ4 116901.070000 PA USD 115377.660000 0.0096864 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.74188 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 02/23 3.5 453140AB1 1170000.000000 PA USD 1192051.350000 0.1000772 Long DBT CORP GB N 2 2023-02-11 Fixed 3.5 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/22 3.75 453140AE5 3275000.000000 PA USD 3311519.890000 0.2780145 Long DBT CORP GB N 2 2022-07-21 Fixed 3.75 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/24 3.125 45262BAA1 3700000.000000 PA USD 3825465.560000 0.3211622 Long DBT CORP GB N 2 2024-07-26 Fixed 3.125 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/26 3.5 45262BAB9 1300000.000000 PA USD 1367936.800000 0.1148434 Long DBT CORP GB N 2 2026-07-26 Fixed 3.5 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 IMPERIAL BRANDS FIN PLC COMPANY GUAR REGS 02/23 3.5 G4721VBL7 975000.000000 PA USD 993376.130000 0.0833977 Long DBT CORP GB N 2 2023-02-11 Fixed 3.5 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 IMPERIAL BRANDS FIN PLC COMPANY GUAR REGS 07/22 3.75 G4721VNT7 200000.000000 PA USD 202230.220000 0.0169780 Long DBT CORP GB N 2 2022-07-21 Fixed 3.75 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 IMPERIAL BRANDS FIN PLC COMPANY GUAR REGS 07/24 3.125 G471ABNU0 400000.000000 PA USD 413563.840000 0.0347202 Long DBT CORP GB N 2 2024-07-26 Fixed 3.125 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 ING GROEP NV SR UNSECURED 04/27 VAR 456837AX1 5594000.000000 PA USD 5647184.340000 0.4741023 Long DBT CORP NL N 2 2027-04-01 Floating 1.06 N N N N N N ING INVESTMENT MANAGEMENT CLO LTD 2012-4A N/A VOYA CLO LTD INGIM 2012 4A A1R3 144A 92916GBE3 3500000.000000 PA USD 3500420.700000 0.2938735 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.12375 N N N N N N ISRAEL ELECTRIC CORPORATION LTD 254900JW7GE35YNJGJ55 ISRAEL ELECTRIC CORP LTD SR SECURED 144A REGS 11/24 5 465077AK1 8100000.000000 PA USD 8799637.500000 0.7387626 Long DBT CORP IL N 2 2024-11-12 Fixed 5 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A 46651QAA5 1419805.770000 PA USD 1408950.930000 0.1182867 Long ABS-MBS CORP US N 2 2031-12-15 Floating 2.45 N N N N N N JFIN CLO LTD 2017-2A N/A APEX CREDIT CLO LLC JFIN 2017 2A AR 144A 46593CAA7 1000000.000000 PA USD 997513.800000 0.0837450 Long ABS-CBDO CORP KY N 2 2029-09-20 Floating 1.20363 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A2 46630GAH8 239959.380000 PA USD 242173.870000 0.0203314 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.69487 N N N N N N JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7 N/A JP MORGAN CHASE COMMERCIAL MOR JPMCC 2017 JP7 A3 465968AC9 300000.000000 PA USD 309302.790000 0.0259671 Long ABS-MBS CORP US N 2 2050-09-15 Fixed 3.3785 N N N N N N KANSAS CITY SOUTHERN/OLD 5493008C12PZMWP3WY03 KANSAS CITY SOUTHERN COMPANY GUAR 05/23 3 485170AV6 1100000.000000 PA USD 1125654.330000 0.0945029 Long DBT CORP US N 2 2023-05-15 Fixed 3 N N N N N N KANSAS CITY SOUTHERN/OLD 5493008C12PZMWP3WY03 KANSAS CITY SOUTHERN COMPANY GUAR 06/26 3.125 485170BA1 700000.000000 PA USD 734454.170000 0.0616602 Long DBT CORP US N 2 2026-06-01 Fixed 3.125 N N N N N N KKR CLO 9 LTD N/A KKR FINANCIAL CLO LTD KKR 9 AR2 144A 48250LAW9 2400000.000000 PA USD 2397038.420000 0.2012404 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 1.07375 N N N N N N KKR CLO LTD 18 N/A KKR FINANCIAL CLO LTD KKR 18 AR 144A 48251JAL7 600000.000000 PA USD 600046.060000 0.0503761 Long ABS-CBDO CORP KY N 2 2030-07-18 Floating 1.06225 N N N N N N KKR FINANCIAL HOLDINGS LLC 549300U5WMP5TYFNKW68 KKR FINANCIAL HOLDINGS SR UNSECURED 144A 05/33 5.4 48248AAG3 5500000.000000 PA USD 5737540.050000 0.4816880 Long DBT CORP US N 2 2033-05-23 Fixed 5.4 N N N N N N LCCM 2021-FL2 TRUST N/A LADDER CAPITAL COMMERCIAL MORT LCCM 2021 FL2 A 144A 50202KAA4 4000000.000000 PA USD 3992316.400000 0.3351700 Long ABS-CBDO CORP US N 2 2038-12-13 Floating 1.30975 N N N N N N LCM 30 LTD N/A LCM LTD PARTNERSHIP LCM 30A AR 144A 50200YAQ1 1100000.000000 PA USD 1099687.620000 0.0923229 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.2115 N N N N N N LCM LP 13A N/A LCM LTD PARTNERSHIP LCM 13A AR3 144A 50184KBL1 1200000.000000 PA USD 1200000.000000 0.1007445 Long ABS-CBDO CORP KY N 2 2027-07-19 Floating 1.086 N N N N N N LCM XV LP 15A N/A LCM LTD PARTNERSHIP LCM 15A AR2 144A 50184NAR3 4900000.000000 PA USD 4887207.720000 0.4102994 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.1315 N N N N N N LCM XX LP 20A N/A LCM LTD PARTNERSHIP LCM 20A AR 144A 50188WAE8 258236.020000 PA USD 258360.070000 0.0216903 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 1.1715 N N N N N N LEASEPLAN CORPORATION NV 724500C60L930FVHS484 LEASEPLAN CORPORATION NV SR UNSECURED 144A 10/24 2.875 52206AAD2 8885000.000000 PA USD 9167162.810000 0.7696177 Long DBT CORP NL N 2 2024-10-24 Fixed 2.875 N N N N N N LEGACY MORTGAGE ASSET TRUST 2019-GS6 N/A LEGACY MORTGAGE ASSET TRUST LMAT 2019 GS6 A1 144A 52474VAA7 1795548.670000 PA USD 1800148.150000 0.1511292 Long ABS-MBS CORP US N 2 2059-06-25 Fixed 3 N N N N N N LEGACY MORTGAGE ASSET TRUST 2021-SL1 N/A LEGACY MORTGAGE ASSET TRUST LMAT 2021 SL1 A 144A 52475PAA9 3122441.240000 PA USD 3131780.460000 0.2629247 Long ABS-MBS CORP US N 2 2060-09-25 Variable 1.991 N N N N N N LEIDOS INC 5493006I78VIN6J1BQ95 LEIDOS INC COMPANY GUAR 05/23 2.95 52532XAB1 200000.000000 PA USD 205289.020000 0.0172348 Long DBT CORP US N 2 2023-05-15 Fixed 2.95 N N N N N N LEIGHTON FINANCE USA PTY LTD 213800GNWSV32LXHCZ50 CIMIC FINANCE USA PTY LT COMPANY GUAR REGS 11/22 5.95 Q55038AA3 400000.000000 PA USD 409710.960000 0.0343968 Long DBT CORP AU N 2 2022-11-13 Fixed 5.95 N N N N N N LENNAR CORPORATION 529900G61XVRLX5TJX09 LENNAR CORP COMPANY GUAR 04/24 4.5 526057BZ6 1950000.000000 PA USD 2073669.000000 0.1740923 Long DBT CORP US N 2 2024-04-30 Fixed 4.5 N N N N N N LENNAR CORPORATION 529900G61XVRLX5TJX09 LENNAR CORP COMPANY GUAR 11/22 4.75 526057BN3 2500000.000000 PA USD 2559350.000000 0.2148670 Long DBT CORP US N 2 2022-11-15 Variable 4.75 N N N N N N LENNAR CORPORATION 529900G61XVRLX5TJX09 LENNAR CORP COMPANY GUAR 11/24 5.875 526057CR3 1200000.000000 PA USD 1323786.000000 0.1111368 Long DBT CORP US N 2 2024-11-15 Fixed 5.875 N N N N N N 7-ELEVEN INC 549300K23JPL0SS3LB18 7 ELEVEN INC SR UNSECURED 144A 02/26 0.95 817826AC4 3800000.000000 PA USD 3683014.800000 0.3092029 Long DBT CORP US N 2 2026-02-10 Fixed 0.95 N N N N N N A10 BRIDGE ASSET FINANCING 2020-C LLC N/A A10 SECURITIZATION A10 2020 C A 144A 66981EAA1 1545259.910000 PA USD 1547848.920000 0.1299477 Long ABS-MBS CORP US N 2 2040-08-15 Fixed 2.021 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC SR UNSECURED 03/23 VAR 53944YAK9 2800000.000000 PA USD 2810977.430000 0.2359921 Long DBT CORP GB N 2 2023-03-17 Floating 2.858 N N N N N N LOANCORE ISSUER LTD 2019-CRE2 N/A LOANCORE 2019 CRE2 ISSUER, LTD LNCR 2019 CRE2 A 144A 53946JAA2 263625.960000 PA USD 263726.430000 0.0221408 Long ABS-CBDO CORP KY N 2 2036-05-15 Floating 1.23975 N N N N N N LOANCORE ISSUER LTD 2021-CRE4 N/A LOANCORE 2018 CRE1 ISSUER, LTD LNCR 2021 CRE4 A 144A 53946CAA7 2241012.370000 PA USD 2226545.740000 0.1869269 Long ABS-MBS CORP US N 2 2035-07-15 Floating 0.96448 N N N N N N LUXE TRUST 2021-TRIP N/A LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP A 144A 55066WAA2 6000000.000000 PA USD 6007105.200000 0.5043190 Long ABS-MBS CORP US N 2 2038-10-15 Floating 1.16 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 ABBVIE INC SR UNSECURED 11/22 2.3 00287YBM0 2000000.000000 PA USD 2028344.320000 0.1702871 Long DBT CORP US N 2 2022-11-21 Fixed 2.3 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 2A2 576433WE2 21400.230000 PA USD 21819.140000 0.0018318 Long ABS-MBS CORP US N 2 2034-04-21 Floating 2.62012 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A9 N/A MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A9 2A1C 59020UZ57 282656.060000 PA USD 279888.290000 0.0234977 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.4707 N N N N N N MF1 2020-FL3 LTD N/A MF1 LTD MF1 2020 FL3 A 144A 59319WAA9 1894757.230000 PA USD 1905229.460000 0.1599512 Long ABS-MBS CORP US N 2 2035-07-15 Floating 2.21448 N N N N N N MF1 2020-FL4 LTD N/A MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A 58003UAA6 2000000.000000 PA USD 2010185.700000 0.1687626 Long ABS-CBDO CORP US N 2 2035-11-15 Floating 1.86448 N N N N N N MF1 2021-FL5 LTD N/A MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL5 A 144A 55282XAA8 4011153.550000 PA USD 4008728.610000 0.3365478 Long ABS-MBS CORP KY N 2 2036-07-15 Floating 1.01448 N N N N N N MFA 2020-NQM2 TRUST N/A MFRA TRUST MFRA 2020 NQM2 A1 144A 552751AA7 895948.590000 PA USD 893427.840000 0.0750066 Long ABS-MBS CORP US N 2 2065-04-25 Variable 1.381 N N N N N N MFA 2021-RPL1 TRUST N/A MFRA TRUST MFRA 2021 RPL1 A1 144A 55283QAA2 3655110.190000 PA USD 3599049.940000 0.3021538 Long ABS-MBS CORP US N 2 2060-07-25 Variable 1.1313 N N N N N N MGM RESORTS INTERNATIONAL 54930066VBP7DZEGGJ87 MGM RESORTS INTL COMPANY GUAR 03/22 7.75 552953BX8 10700000.000000 PA USD 10847285.500000 0.9106704 Long DBT CORP US N 2 2022-03-15 Fixed 7.75 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 MICRON TECHNOLOGY INC SR UNSECURED 02/27 4.185 595112BP7 2300000.000000 PA USD 2521754.500000 0.2117108 Long DBT CORP US N 2 2027-02-15 Fixed 4.185 N N N N N N MIDOCEAN CREDIT CLO II 2013-2A N/A MIDOCEAN CREDIT CLO MIDO 2013 2A ARR 144A 59863KAS6 4000000.000000 PA USD 3998626.400000 0.3356997 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 1.20713 N N N N N N MITSUBISHI HC CAPITAL INC 353800MZ3QX9RLMH7B09 MITSUBISHI HC CAPITAL SR UNSECURED 144A 02/22 3.406 60682LAD4 700000.000000 PA USD 701274.000000 0.0588746 Long DBT CORP JP N 2 2022-02-28 Fixed 3.406 N N N N N N MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG) 353800V2V8PUY9TK3E06 MITSUBISHI UFJ FIN GRP SR UNSECURED 10/25 VAR 606822CA0 2500000.000000 PA USD 2466750.000000 0.2070929 Long DBT CORP JP N 2 2025-10-11 Floating 0.962 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 MIZUHO FINANCIAL GROUP SR UNSECURED 07/24 VAR 60687YBG3 1500000.000000 PA USD 1513540.070000 0.1270674 Long DBT CORP JP N 2 2024-07-10 Floating 1.11113 N N N N N N MKS CLO LTD 2017-1A N/A MKS CLO LTD MKS 2017 1A AR 144A 55317AAA7 4600000.000000 PA USD 4600940.470000 0.3862662 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.1315 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-A N/A MLCC MORTGAGE INVESTORS INC MLCC 2004 A A1 59020UAR6 173378.370000 PA USD 169924.660000 0.0142658 Long ABS-MBS CORP US N 2 2029-04-25 Floating 0.56188 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 MORGAN STANLEY SR UNSECURED 05/27 VAR 61772BAB9 500000.000000 PA USD 495334.940000 0.0415852 Long DBT CORP US N 2 2027-05-04 Floating 1.593 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2005-6AR N/A MORGAN STANLEY MORTGAGE LOAN T MSM 2005 6AR 1M6 61748HNB3 755000.000000 PA USD 746682.540000 0.0626868 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.18188 N N N N N N MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2021-6 N/A MORGAN STANLEY RESIDENTIAL MOR MSRM 2021 6 A6 144A 61772QAN0 994944.990000 PA USD 993702.500000 0.0834251 Long ABS-MBS CORP US N 2 2051-09-25 Floating 0.89967 N N N N N N NASSAU LTD 2017-IA N/A NASSAU LTD NCC 2017 IA A1AS 144A 631707AL0 2000000.000000 PA USD 2000497.160000 0.1679492 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 1.27375 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 04/23 VAR 63861VAD9 1600000.000000 PA USD 1613134.460000 0.1354287 Long DBT CORP GB N 2 2023-04-26 Floating 3.622 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 NATWEST GROUP PLC SR UNSECURED 05/23 VAR 780097BF7 6300000.000000 PA USD 6327082.060000 0.5311823 Long DBT CORP GB N 2 2023-05-15 Floating 1.626 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 NATWEST GROUP PLC SR UNSECURED 06/24 VAR 780097BJ9 2600000.000000 PA USD 2720851.720000 0.2284257 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-A N/A NAVIENT STUDENT LOAN TRUST NAVSL 2020 A A2A 144A 63941FAB2 1175927.100000 PA USD 1199587.460000 0.1007099 Long ABS-O CORP US N 2 2068-11-15 Fixed 2.46 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-EA N/A NAVIENT STUDENT LOAN TRUST NAVSL 2020 EA A 144A 63941TAA4 3478541.440000 PA USD 3479930.070000 0.2921532 Long ABS-O CORP US N 2 2069-05-15 Fixed 1.69 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-GA N/A NAVIENT STUDENT LOAN TRUST NAVSL 2020 GA A 144A 63941UAA1 2761670.690000 PA USD 2749963.420000 0.2308698 Long ABS-O CORP US N 2 2069-09-16 Fixed 1.17 N N N N N N NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-HA N/A NAVIENT STUDENT LOAN TRUST NAVSL 2020 HA A 144A 63935BAA1 1201617.170000 PA USD 1197278.730000 0.1005160 Long ABS-O CORP US N 2 2069-01-15 Fixed 1.31 N N N N N N NAVIENT STUDENT LOAN TRUST 2015-AA N/A NAVIENT STUDENT LOAN TRUST NAVSL 2015 AA A2B 144A 63939EAC7 205075.230000 PA USD 205957.770000 0.0172909 Long ABS-O CORP US N 2 2028-12-15 Floating 1.30975 N N N N N N NAVIENT STUDENT LOAN TRUST 2015-BA N/A NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A 63939KAC3 2943932.470000 PA USD 2958589.130000 0.2483847 Long ABS-O CORP US N 2 2040-07-16 Floating 1.55975 N N N N N N NAVIENT STUDENT LOAN TRUST 2020-IA N/A NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1B 144A 63942AAB2 2599696.200000 PA USD 2617266.770000 0.2197294 Long ABS-O CORP US N 2 2069-04-15 Floating 1.10975 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2004-3 N/A NEW CENTURY HOME EQUITY LOAN T NCHET 2004 3 M1 64352VHV6 423754.720000 PA USD 421794.560000 0.0354112 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.03188 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A N/A NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A A1 144A 64830KAA5 148065.000000 PA USD 157813.690000 0.0132491 Long ABS-MBS CORP US N 2 2058-05-25 Variable 4.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1 N/A NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 RPL1 A1 144A 64829VAA4 1650657.990000 PA USD 1688494.040000 0.1417554 Long ABS-MBS CORP US N 2 2057-12-25 Variable 3.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A 64830NAA9 2635058.930000 PA USD 2687483.950000 0.2256244 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A N/A NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A A1B 144A 64830TAD0 603980.720000 PA USD 627704.960000 0.0526982 Long ABS-MBS CORP US N 2 2059-10-25 Variable 3.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 N/A NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A 64828XAA1 2987950.630000 PA USD 3042660.900000 0.2554428 Long ABS-MBS CORP US N 2 2059-11-25 Variable 2.75 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R N/A NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ2R A1 144A 64831EAA8 2738136.100000 PA USD 2726875.240000 0.2289314 Long ABS-MBS CORP US N 2 2058-10-25 Variable 0.94054 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 01/22 VAR 654740AW9 500000.000000 PA USD 500047.000000 0.0419808 Long DBT CORP US N 2 2022-01-13 Floating 1.01175 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/24 1.05 654740BQ1 1000000.000000 PA USD 988806.800000 0.0830140 Long DBT CORP US N 2 2024-03-08 Fixed 1.05 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 07/22 VAR 654740BA6 3795000.000000 PA USD 3797851.070000 0.3188439 Long DBT CORP US N 2 2022-07-13 Floating 0.77175 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/22 2.6 654740BD0 1000000.000000 PA USD 1010632.630000 0.0848464 Long DBT CORP US N 2 2022-09-28 Fixed 2.6 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/22 VAR 654740BE8 3900000.000000 PA USD 3904234.500000 0.3277751 Long DBT CORP US N 2 2022-09-28 Floating 0.90975 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 NISSAN MOTOR ACCEPTANCE SR UNSECURED REGS 09/22 2.6 U65478BJ4 500000.000000 PA USD 505316.320000 0.0424232 Long DBT CORP US N 2 2022-09-28 Fixed 2.6 N N N N N N NISSAN MOTOR CO LTD 353800DRBDH1LUTNAY26 NISSAN MOTOR CO SR UNSECURED 144A 09/23 3.043 654744AA9 1400000.000000 PA USD 1437103.140000 0.1206502 Long DBT CORP JP N 2 2023-09-15 Fixed 3.043 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 NOMURA HOLDINGS INC SR UNSECURED 01/25 2.648 65535HAP4 8893000.000000 PA USD 9151944.860000 0.7683401 Long DBT CORP JP N 2 2025-01-16 Fixed 2.648 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 NOMURA HOLDINGS INC SR UNSECURED 07/25 1.851 65535HAR0 3200000.000000 PA USD 3200724.420000 0.2687128 Long DBT CORP JP N 2 2025-07-16 Fixed 1.851 N N N N N N NORDEA BANK ABP 529900ODI3047E2LIV03 NORDEA BANK ABP SR UNSECURED 144A 08/23 VAR 65557CAZ6 2000000.000000 PA USD 2021930.640000 0.1697487 Long DBT CORP FI N 2 2023-08-30 Floating 1.11538 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A AERCAP IRELAND CAP/GLOBA COMPANY GUAR 05/22 3.5 00774MAA3 628000.000000 PA USD 633605.450000 0.0531936 Long DBT CORP IE N 2 2022-05-26 Fixed 3.5 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A AERCAP IRELAND CAP/GLOBA COMPANY GUAR 09/23 4.5 00774MAP0 4500000.000000 PA USD 4721658.530000 0.3964010 Long DBT CORP IE N 2 2023-09-15 Fixed 4.5 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-4 N/A NOVASTAR HOME EQUITY LOAN NHEL 2005 4 M1 66987WDE4 570096.540000 PA USD 570418.870000 0.0478888 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.76188 N N N N N N AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST N/A AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/24 1.65 00774MAU9 5000000.000000 PA USD 4993491.700000 0.4192224 Long DBT CORP IE N 2 2024-10-29 Fixed 1.65 N N N N N N NTT FINANCE CORPORATION 3538007PR116187GD960 NTT FINANCE CORP COMPANY GUAR 144A 04/26 1.162 62954WAC9 8800000.000000 PA USD 8641246.770000 0.7254651 Long DBT CORP JP N 2 2026-04-03 Fixed 1.162 N N N N N N NYO 2021-1290 NYO COMMERCIAL MORTGAGE TRUST N/A NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A 62955HAA5 6000000.000000 PA USD 5982292.200000 0.5022359 Long ABS-MBS CORP US N 2 2038-11-15 Floating 1.205 N N N N N N OAKTREE CLO 2019-1A N/A OAKTREE CLO LTD OAKCL 2019 1A A1R 144A 67401XAS0 1600000.000000 PA USD 1600153.890000 0.1343389 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 1.23825 N N N N N N AES CORPORATION 2NUNNB7D43COUIRE5295 AES CORP/THE SR UNSECURED 01/26 1.375 00130HCE3 4300000.000000 PA USD 4178689.990000 0.3508167 Long DBT CORP US N 2 2026-01-15 Fixed 1.375 N N N N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A 68249DAA7 3700000.000000 PA USD 3697772.230000 0.3104419 Long ABS-MBS CORP US N 2 2036-01-15 Floating 1.06 N N N N N N ORIX CORPORATION 35380016EMHNBOVYE123 ORIX CORP SR UNSECURED 01/24 4.05 686330AL5 2000000.000000 PA USD 2112216.580000 0.1773285 Long DBT CORP JP N 2 2024-01-16 Fixed 4.05 N N N N N N ORIX CORPORATION 35380016EMHNBOVYE123 ORIX CORP SR UNSECURED 07/22 2.9 686330AH4 500000.000000 PA USD 505852.220000 0.0424682 Long DBT CORP JP N 2 2022-07-18 Fixed 2.9 N N N N N N ORIX CORPORATION 35380016EMHNBOVYE123 ORIX CORP SR UNSECURED REGS 01/22 3.2 ACI0RXMB5 2000000.000000 PA USD 2002251.340000 0.1680965 Long DBT CORP JP N 2 2022-01-19 Fixed 3.2 N N N N N N OTIS WORLDWIDE CORPORATION 549300ZLBKR8VSU25153 OTIS WORLDWIDE CORP SR UNSECURED 04/25 2.056 68902VAH0 2500000.000000 PA USD 2543488.480000 0.2135354 Long DBT CORP US N 2 2025-04-05 Fixed 2.056 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/24 3.75 694308HG5 200000.000000 PA USD 207494.060000 0.0174199 Long DBT CORP US N 2 2024-02-15 Fixed 3.75 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/26 2.95 694308HP5 100000.000000 PA USD 101808.180000 0.0085472 Long DBT CORP US N 2 2026-03-01 Fixed 2.95 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/22 1.75 694308JE8 7700000.000000 PA USD 7700056.830000 0.6464487 Long DBT CORP US N 2 2022-06-16 Fixed 1.75 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/22 VAR 694308JD0 1700000.000000 PA USD 1700692.430000 0.1427795 Long DBT CORP US N 2 2022-06-16 Floating 1.69088 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/23 3.25 694308HC4 1500000.000000 PA USD 1528341.110000 0.1283100 Long DBT CORP US N 2 2023-06-15 Fixed 3.25 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/23 4.25 694308JB4 300000.000000 PA USD 310683.030000 0.0260830 Long DBT CORP US N 2 2023-08-01 Fixed 4.25 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/24 3.4 694308HK6 200000.000000 PA USD 206961.220000 0.0173752 Long DBT CORP US N 2 2024-08-15 Fixed 3.4 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1 694308JF5 800000.000000 PA USD 772984.310000 0.0648949 Long DBT CORP US N 2 2027-08-01 Fixed 2.1 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 PACIFIC GAS + ELECTRIC 1ST MORTGAGE 11/23 1.7 694308JY4 2100000.000000 PA USD 2105834.910000 0.1767927 Long DBT CORP US N 2 2023-11-15 Fixed 1.7 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 PACIFIC GAS + ELECTRIC 1ST MORTGAGE 11/23 3.85 694308HE0 100000.000000 PA USD 103326.950000 0.0086747 Long DBT CORP US N 2 2023-11-15 Fixed 3.85 N N N N N N PACIFIC NATIONAL FINANCE PTY LTD 213800SSTRDXLWWVF948 PACIFIC NATIONAL FINANCE COMPANY GUAR 144A 04/23 6 04363UAD8 1000000.000000 PA USD 1049840.110000 0.0881380 Long DBT CORP AU N 2 2023-04-07 Fixed 6 N N N N N N PALMER SQUARE LOAN FUNDING 2020-1 LTD N/A PALMER SQUARE LOAN FUNDING LTD PSTAT 2020 1A A1 144A 69701EAA4 1208695.590000 PA USD 1208128.970000 0.1014270 Long ABS-CBDO CORP KY N 2 2028-02-20 Floating 0.95963 N N N N N N PALMER SQUARE LOAN FUNDING 2021-4 N/A PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 4A A1 144A 69702HAA6 200000.000000 PA USD 200085.980000 0.0167980 Long ABS-CBDO CORP KY N 2 2029-10-15 Floating 0.92788 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2019-2A N/A PALMER SQUARE LOAN FUNDING LTD PSTAT 2019 2A A1 144A 69689PAA5 1284215.090000 PA USD 1284856.710000 0.1078685 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 1.1015 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 AIR LEASE CORP SR UNSECURED 01/23 2.75 00912XAX2 1300000.000000 PA USD 1320250.980000 0.1108400 Long DBT CORP US N 2 2023-01-15 Fixed 2.75 N N N N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 AIRCASTLE LTD SR UNSECURED 04/23 5 00928QAP6 200000.000000 PA USD 208831.260000 0.0175322 Long DBT CORP BM N 2 2023-04-01 Fixed 5 N N N N N N AIRCASTLE LIMITED 549300PNK8AKY3OIKP58 AIRCASTLE LTD SR UNSECURED 09/23 4.4 00928QAR2 3874000.000000 PA USD 4060695.340000 0.3409106 Long DBT CORP BM N 2 2023-09-25 Fixed 4.4 N N N N N N PEACEHEALTH OBLIGATED GROUP N/A PEACEHEALTH OBLIGATED GR SR UNSECURED 11/25 1.375 70462GAB4 700000.000000 PA USD 696121.760000 0.0584420 Long DBT CORP US N 2 2025-11-15 Fixed 1.375 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 07/24 3.45 709599BF0 1000000.000000 PA USD 1048492.250000 0.0880249 Long DBT CORP US N 2 2024-07-01 Fixed 3.45 N N N N N N PETRONAS ENERGY CANADA LTD 5493001PEB90YGTDC638 PETRONAS ENERGY CANADA COMPANY GUAR 144A 03/28 2.112 71675BAA8 4000000.000000 PA USD 4004898.280000 0.3362263 Long DBT CORP CA N 2 2028-03-23 Fixed 2.112 N N N N N N PFS FINANCING CORP 2020-F N/A PFS FINANCING CORP. PFSFC 2020 F A 144A 69335PDV4 500000.000000 PA USD 501210.600000 0.0420785 Long ABS-O CORP US N 2 2024-08-15 Fixed 0.93 N N N N N N PIPER SANDLER COMPANIES QUQDBTUSOAKFEVMRMF78 PIPER SANDLER COS SR UNSECURED 144A 10/23 5.2 724078AE0 600000.000000 PA USD 600152.460000 0.0503851 Long DBT CORP US N 2 2023-10-15 Fixed 5.2 N N N N N N POPULAR ABS MTGE PASS THRU TRUST 2007-A N/A POPULAR ABS MORTGAGE PASS THRO POPLR 2007 A A2 73316NAB1 122730.380000 PA USD 122367.000000 0.0102732 Long ABS-MBS CORP US N 2 2047-06-25 Floating 0.35188 Y N N N N N PRET 2021-NPL6 LLC N/A PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL6 A1 144A 69362GAA9 4800000.000000 PA USD 4786416.530000 0.4018376 Long ABS-MBS CORP US N 3 2051-07-25 Fixed 2.4871 N N N N N N PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC N/A PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN1 A1 144A 74140QAA6 2516807.760000 PA USD 2487912.540000 0.2088696 Long ABS-MBS CORP US N 2 2061-02-25 Variable 1.9917 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 QNB FINANCE LTD COMPANY GUAR REGS 01/26 1.375 ACI1V8415 4000000.000000 PA USD 3909000.000000 0.3281752 Long DBT CORP KY N 2 2026-01-26 Fixed 1.375 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 QNB FINANCE LTD COMPANY GUAR REGS 03/24 3.5 ACI19T8T9 1000000.000000 PA USD 1048975.000000 0.0880654 Long DBT CORP KY N 2 2024-03-28 Fixed 3.5 N N N N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 QNB FINANCE LTD COMPANY GUAR REGS 05/22 VAR ACI1BFTD8 5800000.000000 PA USD 5810973.600000 0.4878531 Long DBT CORP KY N 2 2022-05-02 Floating 1.13225 N N N N N N RAAC SERIES 2006-RP4 N/A RAAC SERIES RAAC 2006 RP4 M1 144A 74919TAB7 636865.210000 PA USD 636197.390000 0.0534112 Long ABS-MBS CORP US N 2 2046-01-25 Floating 0.92688 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 ALLY FINANCIAL INC SR UNSECURED 02/22 4.125 02005NAY6 200000.000000 PA USD 200794.980000 0.0168575 Long DBT CORP US N 2 2022-02-13 Fixed 4.125 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 ALLY FINANCIAL INC SR UNSECURED 05/22 4.625 02005NBC3 300000.000000 PA USD 304474.820000 0.0255618 Long DBT CORP US N 2 2022-05-19 Fixed 4.625 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 ALLY FINANCIAL INC SR UNSECURED 10/23 1.45 02005NBL3 3300000.000000 PA USD 3316479.640000 0.2784309 Long DBT CORP US N 2 2023-10-02 Fixed 1.45 N N N N N N RESIDENTIAL ASSET SECURITIES 2005-EMX1 N/A RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX1 M2 76110WQ66 252528.980000 PA USD 251501.410000 0.0211145 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.19688 N N N N N N RESIDENTIAL ASSET SECURITIES C 2005-KS5 N/A RESIDENTIAL ASSET SECURITIES C RASC 2005 KS5 M6 76110WX27 1348409.610000 PA USD 1355836.110000 0.1138275 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.80188 N N N N N N RESIMAC BASTILLE TRUST SERIES 2021-2NCA N/A RESIMAC RESI 2021 2NCA A1A 144A 76120BAA8 4611911.810000 PA USD 4613445.270000 0.3873161 Long ABS-MBS CORP AU N 2 2053-02-03 Floating 0.75125 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 REYNOLDS AMERICAN INC COMPANY GUAR 06/25 4.45 761713BG0 1000000.000000 PA USD 1080843.780000 0.0907409 Long DBT CORP US N 2 2025-06-12 Fixed 4.45 N N N N N N RYDER SYSTEM INC ZXJ6Y2OSPZXIVGRILD15 RYDER SYSTEM INC SR UNSECURED 06/22 2.875 78355HKM0 900000.000000 PA USD 906967.640000 0.0761433 Long DBT CORP US N 2 2022-06-01 Fixed 2.875 N N N N N N SABIC CAPITAL II BV 2138005PCUTH59D4RJ83 SABIC CAPITAL II BV COMPANY GUAR REGS 10/23 4 ACI15FHJ5 2900000.000000 PA USD 3045162.400000 0.2556528 Long DBT CORP NL N 2 2023-10-10 Fixed 4 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 SANTANDER UK GROUP HLDGS SR UNSECURED 03/25 VAR 80281LAN5 7000000.000000 PA USD 6938738.240000 0.5825331 Long DBT CORP GB N 2 2025-03-15 Floating 1.089 N N N N N N SARANAC CLO LTD 2018-6A N/A SARANAC CLO LTD SRANC 2018 6A A1R 144A 80317LAJ2 5200000.000000 PA USD 5200663.160000 0.4366152 Long ABS-CBDO CORP JE N 2 2031-08-13 Floating 1.25413 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 SAUDI ARABIAN OIL CO SR UNSECURED 144A 11/23 1.25 80414L2G9 3300000.000000 PA USD 3303699.300000 0.2773580 Long DBT CORP SA N 2 2023-11-24 Fixed 1.25 N N N N N N SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO) 5586006WD91QHB7J4X50 SAUDI ARABIAN OIL CO SR UNSECURED REGS 04/24 2.875 ACI1B8GJ5 5000000.000000 PA USD 5167410.000000 0.4338235 Long DBT CORP SA N 2 2024-04-16 Fixed 2.875 N N N N N N SAXON ASSET SECURITIES TRUST 2005-1 N/A SAXON ASSET SECURITIES TRUST SAST 2005 1 M2 805564RN3 195116.220000 PA USD 193191.910000 0.0162192 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.82188 N N N N N N AMERICAN AIRLINES 2013-1 CLASS A PASS THROUGH TRUST N/A AMER AIRLN 13 1 A PASS T AMER AIRLN 13 1 A PASS T 023772AB2 474709.340000 PA USD 459216.770000 0.0385530 Long DBT CORP US N 2 2027-01-15 Fixed 4 N N N N N N SBA TOWER TRUST N/A SBA TOWER TRUST ASSET BACKED 144A 01/50 2.836 78403DAN0 5000000.000000 PA USD 5134167.000000 0.4310326 Long DBT CORP US N 2 2050-01-15 Fixed 2.836 N N N N N N SBA TOWER TRUST N/A SBA TOWER TRUST SBAC 2014 2A C 144A 78403DAH3 1000000.000000 PA USD 1036348.500000 0.0870053 Long DBT CORP US N 2 2049-10-15 Fixed 3.869 N N N N N N SCENTRE MANAGEMENT LTD (SCENTRE GROUP TRUST 1/SCENTRE GROUP TRUST 2) N/A SCENTRE GROUP TRUST 1/2 COMPANY GUAR REGS 02/25 3.5 Q8351LAB9 3859000.000000 PA USD 4065840.590000 0.3413426 Long DBT CORP AU N 2 2025-02-12 Fixed 3.5 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1 N/A SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2 81375WCT1 124879.690000 PA USD 122079.390000 0.0102490 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.77688 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-OP1 N/A SECURITIZED ASSET BACKED RECEI SABR 2006 OP1 M2 81375WJG2 55860.560000 PA USD 55890.960000 0.0046923 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.68688 N N N N N N SEQUOIA MORTGAGE TRUST 2003-2 N/A SEQUOIA MORTGAGE TRUST SEMT 2003 2 A1 81743PAP1 1632.220000 PA USD 1631.870000 0.0001370 Long ABS-MBS CORP US N 2 2033-06-20 Floating 0.76388 N N N N N N SEQUOIA MORTGAGE TRUST 2007-3 N/A SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1 81744MAA0 850637.610000 PA USD 794091.730000 0.0666670 Long ABS-MBS CORP US N 2 2036-07-20 Floating 0.50388 N N N N N N SES SA 5493008JPA4HYMH1HX51 SES SA COMPANY GUAR 144A 04/23 3.6 78413HAA7 1000000.000000 PA USD 1028893.550000 0.0863795 Long DBT CORP LU N 2 2023-04-04 Fixed 3.6 N N N N N N SK HYNIX INC 988400XAIK6XISWQV045 SK HYNIX INC SR UNSECURED 144A 01/24 1 78392BAA5 3666000.000000 PA USD 3626491.630000 0.3044576 Long DBT CORP KR N 2 2024-01-19 Fixed 1 N N N N N N SLM STUDENT LOAN TRUST 2008-2 N/A SLM STUDENT LOAN TRUST SLMA 2008 2 A3 784442AC9 374050.750000 PA USD 368695.910000 0.0309534 Long ABS-O CORP US N 2 2023-04-25 Floating 0.87388 N N N N N N SLM STUDENT LOAN TRUST 2008-5 N/A SLM STUDENT LOAN TRUST SLMA 2008 5 A4 78444YAD7 179612.840000 PA USD 180403.320000 0.0151455 Long ABS-O CORP US N 2 2023-07-25 Floating 1.82388 N N N N N N SLM STUDENT LOAN TRUST 2008-9 N/A SLM STUDENT LOAN TRUST SLMA 2008 9 A 78445JAA5 209231.490000 PA USD 210847.970000 0.0177015 Long ABS-O CORP US N 2 2023-04-25 Floating 1.62388 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2015-B N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2015 B A2A 144A 78448QAB4 113592.400000 PA USD 113975.520000 0.0095687 Long ABS-O CORP US N 2 2027-07-15 Fixed 2.98 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-A N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2020 A A2A 144A 78449UAB4 2642627.490000 PA USD 2675804.890000 0.2246439 Long ABS-O CORP US N 2 2037-09-15 Fixed 2.23 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2A 144A 78449VAB2 1605676.830000 PA USD 1594550.130000 0.1338685 Long ABS-O CORP US N 2 2054-09-15 Fixed 1.6 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2B 144A 78449VAC0 3568170.900000 PA USD 3612377.680000 0.3032727 Long ABS-O CORP US N 2 2054-09-15 Floating 0.95188 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB A2B 144A 78449DAC0 2835841.160000 PA USD 2845386.030000 0.2388808 Long ABS-O CORP US N 2 2054-09-15 Floating 0.95188 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2021-D N/A SMB PRIVATE EDUCATION LOAN TRU SMB 2021 D A1B 144A 78449MAB2 727403.870000 PA USD 725678.690000 0.0609235 Long ABS-O CORP US N 2 2053-03-17 Floating 0.70975 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 04/24 3.55 78448TAE2 1500000.000000 PA USD 1566875.270000 0.1315451 Long DBT CORP IE N 2 2024-04-15 Fixed 3.55 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 07/22 3 78448TAB8 200000.000000 PA USD 202083.680000 0.0169657 Long DBT CORP IE N 2 2022-07-15 Fixed 3 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 07/23 4.125 78448TAD4 2734000.000000 PA USD 2849646.670000 0.2392385 Long DBT CORP IE N 2 2023-07-15 Fixed 4.125 N N N N N N SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY 549300OD7VKRVNWB2J98 SMBC AVIATION CAPITAL FI COMPANY GUAR REGS 07/22 3 G82296AB3 600000.000000 PA USD 606251.050000 0.0508971 Long DBT CORP IE N 2 2022-07-15 Fixed 3 N N N N N N SOCIETE GENERALE SA O2RNE8IBXP4R0TD8PU41 SOCIETE GENERALE SR UNSECURED 144A 12/26 VAR 83368RAZ5 5200000.000000 PA USD 5067362.460000 0.4254241 Long DBT CORP FR N 2 2026-12-14 Floating 1.488 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM 2016-F LLC N/A SOCIAL PROFESSIONAL LOAN PROGR SOFI 2016 F A2 144A 78471AAB9 95293.890000 PA USD 97380.940000 0.0081755 Long ABS-O CORP US N 2 2040-02-25 Fixed 3.02 N N N N N N SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-C N/A SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 C AFX 144A 83390UAF4 976113.720000 PA USD 983045.490000 0.0825304 Long ABS-O CORP US N 2 2046-02-15 Fixed 1.95 N N N N N N SOUND POINT CLO XV LTD 2017-1A N/A SOUND POINT CLO LTD SNDPT 2017 1A ARR 144A 83609RAL5 5000000.000000 PA USD 4999828.750000 0.4197544 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.02388 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT1 N/A SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT1 M2 83611MDH8 501549.850000 PA USD 500174.000000 0.0419915 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.77688 N N N N N N SOUTHERN CALIFORNIA GAS COMPANY XY0N0J73VHV5F4CUJV89 SOUTHERN CALIF GAS CO 1ST MORTGAGE 02/30 2.55 842434CU4 1800000.000000 PA USD 1847609.080000 0.1551137 Long DBT CORP US N 2 2030-02-01 Fixed 2.55 N N N N N N SPIRIT AEROSYSTEMS INC ZD2NBKV6GCC3UMGBM518 SPIRIT AEROSYSTEMS INC COMPANY GUAR 06/23 3.95 85205TAJ9 2800000.000000 PA USD 2822092.000000 0.2369252 Long DBT CORP US N 2 2023-06-15 Fixed 3.95 N N N N N N SPRINT CORP (SPRINT COMMUNICATIONS INC) 549300JKU50UT08ZWD77 SPRINT COMMUNICATIONS COMPANY GUAR 11/22 6 852061AS9 400000.000000 PA USD 416840.000000 0.0349953 Long DBT CORP US N 2 2022-11-15 Fixed 6 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 SPRINT CORP COMPANY GUAR 09/23 7.875 85207UAF2 900000.000000 PA USD 992452.500000 0.0833201 Long DBT CORP US N 2 2023-09-15 Fixed 7.875 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 STANDARD CHARTERED PLC SR UNSECURED 144A 10/23 VAR 853254BV1 3800000.000000 PA USD 3803797.340000 0.3193431 Long DBT CORP GB N 2 2023-10-14 Floating 1.319 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 STANDARD CHARTERED PLC SR UNSECURED 144A 11/25 VAR 853254CE8 3000000.000000 PA USD 2998295.370000 0.2517182 Long DBT CORP GB N 2 2025-11-23 Floating 1.822 N N N N N N STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 N/A STARWOOD MORTGAGE RESIDENTIAL STAR 2020 3 A1 144A 85573MAA7 819658.350000 PA USD 820884.070000 0.0689163 Long ABS-MBS CORP US N 2 2065-04-25 Fixed 1.486 N N N N N N STATE BANK OF INDIA/LONDON BRANCH 5493001JZ37UBBZF6L49 STATE BANK INDIA/LONDON SR UNSECURED 144A 01/22 4 85628UAH9 2600000.000000 PA USD 2604238.000000 0.2186356 Long DBT CORP IN N 2 2022-01-24 Fixed 4 N N N N N N STEELE CREEK CLO LTD 2015-1A N/A STEELE CREEK CLO LTD STCR 2015 1A AR2 144A 85816BDC1 3604147.810000 PA USD 3605797.610000 0.3027203 Long ABS-CBDO CORP KY N 2 2029-05-21 Floating 1.05963 N N N N N N STELLANTIS FINANCE US INC 549300QZ0AI8Q7LNON33 STELLANTIS FIN US INC COMPANY GUAR 144A 01/27 1.711 85855CAA8 3000000.000000 PA USD 2950471.320000 0.2477031 Long DBT CORP US N 2 2027-01-29 Fixed 1.711 N N N N N N STRUCTURED ASSEET MTGE INV INC 2002-AR3 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1 86358HNX3 8780.340000 PA USD 8787.530000 0.0007377 Long ABS-MBS CORP US N 2 2032-09-19 Floating 0.76388 N N N N N N STRUCTURED ASSET INVESTMENT LN TR 2004-2 N/A STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4 86358EGW0 596885.520000 PA USD 586972.800000 0.0492786 Long ABS-MBS CORP US N 2 2034-03-25 Floating 0.80688 N N N N N N STRUCTURED ASSET INVST LN TR 2004-8 N/A STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 A1 86358ELK0 1734418.750000 PA USD 1697793.200000 0.1425361 Long ABS-MBS CORP US N 2 2034-09-25 Floating 0.65188 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR3 N/A STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2 86359LBY4 4980.590000 PA USD 5004.330000 0.0004201 Long ABS-MBS CORP US N 2 2034-07-19 Floating 0.68388 N N N N N N STRUCTURED ASSET SEC CORP 2006-EQ1A N/A STRUCTURED ASSET SECURITIES CO SASC 2006 EQ1A A1 144A 86360RAA1 629280.340000 PA USD 624231.440000 0.0524066 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.23688 N N N N N N STWD 2021-HTS MORTGAGE TRUST 2021-HTS N/A STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS A 144A 78486DAA8 3100000.000000 PA USD 3108410.920000 0.2609628 Long ABS-MBS CORP US N 2 2034-04-15 Floating 1.15975 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 SYNCHRONY FINANCIAL SR UNSECURED 07/22 2.85 87165BAQ6 4700000.000000 PA USD 4748420.720000 0.3986478 Long DBT CORP US N 2 2022-07-25 Fixed 2.85 N N N N N N SYSTEMS ENERGY RESOURCES INC N/A SYSTEMS RESOURCE 1ST MORTGAGE 12/25 2.14 871911AT0 4800000.000000 PA USD 4818114.240000 0.4044988 Long DBT CORP US N 2 2025-12-09 Fixed 2.14 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 T MOBILE USA INC SR SECURED 02/26 1.5 87264ABZ7 1000000.000000 PA USD 988743.350000 0.0830087 Long DBT CORP US N 2 2026-02-15 Fixed 1.5 N N N N N N AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC) 5493006ORUSIL88JOE18 AMERICAN TOWER CORP SR UNSECURED 09/25 1.3 03027XBB5 1100000.000000 PA USD 1084251.810000 0.0910270 Long DBT CORP US N 2 2025-09-15 Fixed 1.3 N N N N N N TD SYNNEX CORP 5493004HI6PFLF46NS53 TD SYNNEX CORP SR UNSECURED 144A 08/24 1.25 87162WAC4 4000000.000000 PA USD 3957024.960000 0.3322071 Long DBT CORP US N 2 2024-08-09 Fixed 1.25 N N N N N N THERMO FISHER SCIENTIFIC INC HCHV7422L5HDJZCRFL38 THERMO FISHER SCIENTIFIC SR UNSECURED 10/24 1.215 883556CS9 11000000.000000 PA USD 10993772.900000 0.9229685 Long DBT CORP US N 2 2024-10-18 Fixed 1.215 N N N N N N THORNBURG MORTGAGE SEC TRUST 2005-1 N/A THORNBURG MORTGAGE SECURITIES TMST 2005 1 A3 885220HB2 51925.740000 PA USD 52981.800000 0.0044480 Long ABS-MBS CORP US N 2 2045-04-25 Floating 2.14154 N N N N N N TOWD POINT ASSET TRUST 2021-SL1 N/A TOWD POINT ASSET TRUST TPAT 2021 SL1 A2 144A 89179XAL9 2226256.640000 PA USD 2226325.210000 0.1869084 Long ABS-O CORP US N 2 2061-11-20 Floating 0.80388 N N N N N N TOWD POINT MORTGAGE TRUST 2017-5 N/A TOWD POINT MORTGAGE TRUST TPMT 2017 5 A1 144A 89169EAA7 179269.540000 PA USD 179266.210000 0.0150501 Long ABS-MBS CORP US N 2 2057-02-25 Floating 0.70188 N N N N N N TOWD POINT MORTGAGE TRUST 2018-3 N/A TOWD POINT MORTGAGE TRUST TPMT 2018 3 A1 144A 89175MAA1 3313237.800000 PA USD 3431610.840000 0.2880966 Long ABS-MBS CORP US N 2 2058-05-25 Variable 3.75 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A 89177HAA0 1467341.240000 PA USD 1474314.930000 0.1237743 Long ABS-MBS CORP US N 2 2058-05-25 Floating 1.10188 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY3 N/A TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A 89177XAA5 965245.410000 PA USD 971034.180000 0.0815220 Long ABS-MBS CORP US N 2 2059-10-25 Floating 1.10188 N N N N N N TOWD POINT MORTGAGE TRUST 2019-MH1 N/A TOWD POINT MORTGAGE TRUST TPMT 2019 MH1 A1 144A 89177WAA7 446307.520000 PA USD 451887.440000 0.0379376 Long ABS-O CORP US N 2 2058-11-25 Fixed 3 N N N N N N TOWD POINT MORTGAGE TRUST 2020-1 N/A TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A 89178WAU2 1336752.270000 PA USD 1358635.170000 0.1140625 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.71 N N N N N N TOWD POINT MORTGAGE TRUST 2020-2 N/A TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A 89176UAN4 3855641.410000 PA USD 3834000.470000 0.3218787 Long ABS-MBS CORP US N 2 2060-04-25 Variable 1.636 N N N N N N TOWD POINT MORTGAGE TRUST 2021-SJ2 N/A TOWD POINT MORTGAGE TRUST TPMT 2021 SJ2 A1A 144A 89180LAA6 6000000.000000 PA USD 6024200.040000 0.5057542 Long ABS-MBS CORP US N 3 2059-03-25 Variable 2.25 N N N N N N AMMC CLO 16 LTD 2015-16A N/A AMERICAN MONEY MANAGEMENT CORP AMMC 2015 16A AR2 144A 00176JAT3 646730.420000 PA USD 646582.570000 0.0542830 Long ABS-CBDO CORP KY N 2 2029-04-14 Floating 1.10675 N N N N N N ANCHORAGE CAPITAL CLO LTD 2015-6A N/A ANCHORAGE CAPITAL CLO LTD ANCHC 2015 6A ARR 144A 03328QAY7 2800000.000000 PA USD 2799300.000000 0.2350117 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 1.17375 N N N N N N ANGEL OAK MORTGAGE TRUST 2020-4 N/A ANGEL OAK MORTGAGE TRUST AOMT 2020 4 A1 144A 03464LAA4 1218232.090000 PA USD 1217344.850000 0.1022007 Long ABS-MBS CORP US N 2 2065-06-25 Variable 1.469 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 03/23 0.125 91282CBU4 95200000.000000 PA USD 94772343.510000 7.9564942 Long DBT UST US N 2 2023-03-31 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 04/23 0.125 91282CBX8 11300000.000000 PA USD 11240851.510000 0.9437117 Long DBT UST US N 2 2023-04-30 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 05/23 0.125 91282CCD1 383500000.000000 PA USD 381178026.390000 32.0013269 Long DBT UST US N 2 2023-05-31 Fixed 0.125 N N N N N N AOZORA BANK LTD X0XUGKC9FD2CYUQNC010 AOZORA BANK SR UNSECURED REGS 09/22 2.55 ACI1F8R18 2760000.000000 PA USD 2784922.800000 0.2338047 Long DBT CORP JP N 2 2022-09-09 Fixed 2.55 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 10/23 0.375 91282CDD0 6400000.000000 PA USD 6363249.980000 0.5342187 Long DBT UST US N 2 2023-10-31 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 11/24 0.75 91282CDH1 84900000.000000 PA USD 84435703.130000 7.0886944 Long DBT UST US N 2 2024-11-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 12/22 0.125 91282CBD2 95300000.000000 PA USD 95010591.050000 7.9764959 Long DBT UST US N 2 2022-12-31 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 US TREASURY N/B 12/24 1 91282CDN8 264100000.000000 PA USD 264419809.250000 22.1990360 Long DBT UST US N 2 2024-12-15 Fixed 1 N N N N N N VENTURE 36 CLO LTD N/A VENTURE CDO LTD VENTR 2019 36A A1AR 144A 92332LAU3 1100000.000000 PA USD 1098514.120000 0.0922244 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 1.2615 N N N N N N VENTURE CDO LTD 2016-25A N/A VENTURE CDO LTD VENTR 2016 25A ARR 144A 92329VAS1 2636244.170000 PA USD 2637559.020000 0.2214330 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.1515 N N N N N N VENTURE XXVI CLO LTD 2017-26A N/A VENTURE CDO LTD VENTR 2017 26A AR 144A 92331MAE8 1200000.000000 PA USD 1200325.020000 0.1007718 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 1.2315 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS SR UNSECURED 05/25 VAR 92343VEP5 1000000.000000 PA USD 1020036.110000 0.0856359 Long DBT CORP US N 2 2025-05-15 Floating 1.256 N N N N N N VIBRANT CLO IV LTD 2016-4A N/A VIBRANT CLO LTD VIBR 2016 4A A1RR 144A 92557WAW3 300000.000000 PA USD 300137.850000 0.0251977 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 1.20826 N N N N N N VMC FINANCE 2019-FL3 LLC N/A VMC FINANCE LLC VMC 2019 FL3 A 144A 91834PAA3 618282.980000 PA USD 618615.590000 0.0519351 Long ABS-MBS CORP US N 2 2036-09-15 Floating 1.20863 N N N N N N VMC FINANCE 2021-FL4 LLC N/A VMC FINANCE LLC VMC 2021 FL4 A 144A 91835RAA8 3740231.770000 PA USD 3739634.270000 0.3139563 Long ABS-MBS CORP US N 2 2036-06-16 Floating 1.20388 N N N N N N VOYA CLO LTD 2017-1A N/A VOYA CLO LTD VOYA 2017 1A A1R 144A 92916MAF8 5000000.000000 PA USD 4998620.550000 0.4196530 Long ABS-CBDO CORP KY N 2 2030-04-17 Floating 1.07225 N N N N N N WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP) 06BTX5UWZD0GQ5N5Y745 WESTINGHOUSE AIR BRAKE COMPANY GUAR 03/24 4.4 960386AN0 2500000.000000 PA USD 2645925.800000 0.2221354 Long DBT CORP US N 2 2024-03-15 Variable 4.4 N N N N N N WAMU MTGE P/T CERT 2007-HY7 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 2A2 93364FAD3 474539.130000 PA USD 478706.440000 0.0401892 Long ABS-MBS CORP US N 2 2037-07-25 Floating 2.92989 Y N N N N N AREIT TRUST 2019-CRE3 N/A AREIT CRE TRUST AREIT 2019 CRE3 A 144A 00217LAA0 209306.350000 PA USD 209439.420000 0.0175832 Long ABS-MBS CORP US N 2 2036-09-14 Floating 1.18448 N N N N N N WASHINGTON MUTUAL 2003-AR5 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7 929227R65 1603.240000 PA USD 1636.410000 0.0001374 Long ABS-MBS CORP US N 2 2033-06-25 Floating 2.57862 N N N N N N AREIT TRUST 2020-CRE4 N/A AREIT CRE TRUST AREIT 2020 CRE4 A 144A 04002RAA8 297124.090000 PA USD 297554.360000 0.0249808 Long ABS-MBS CORP KY N 2 2037-04-15 Floating 2.78448 N N N N N N WASHINGTON MUTUAL 2004-AR8 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A2 92922FUN6 533624.090000 PA USD 527724.340000 0.0443044 Long ABS-MBS CORP US N 2 2044-06-25 Floating 0.90275 N N N N N N WASHINGTON MUTUAL 2005-AR13 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1B2 92922F4R6 89347.670000 PA USD 89228.500000 0.0074911 Long ABS-MBS CORP US N 2 2045-10-25 Floating 0.96188 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A 92922FD21 11147.440000 PA USD 11147.840000 0.0009359 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.72188 N N N N N N WASHINGTON MUTUAL 2006-AR5 N/A WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A 93362YAB8 29610.450000 PA USD 30029.570000 0.0025211 Long ABS-MBS CORP US N 2 2046-06-25 Floating 1.06203 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 WELLS FARGO + COMPANY SR UNSECURED 10/23 VAR 949746SJ1 3500000.000000 PA USD 3528658.630000 0.2962441 Long DBT CORP US N 2 2023-10-31 Floating 1.35863 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12 N/A WELLS FARGO COMMERCIAL MORTGAG WFCM 2013 LC12 A4 94988QAG6 1000000.000000 PA USD 1035921.600000 0.0869695 Long ABS-MBS CORP US N 2 2046-07-15 Variable 4.218 N N N N N N WELLS FARGO HOME EQUITY ABS SER 2004-1 N/A WELLS FARGO HOME EQUITY TRUST WFHET 2004 1 1A 86359BMW8 1295518.830000 PA USD 1277981.260000 0.1072913 Long ABS-MBS CORP US N 2 2034-04-25 Floating 0.70188 N N N N N N ARES XXXIX CLO LTD 2016-39A N/A ARES CLO LTD ARES 2016 39A A1R2 144A 04015WBA1 4400000.000000 PA USD 4396774.230000 0.3691257 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 1.17225 N N N N N N WEYERHAEUSER COMPANY 08IRJODWFYBI7QWRGS31 WEYERHAEUSER CO SR UNSECURED 07/23 7.125 962166AS3 1600000.000000 PA USD 1743827.330000 0.1464009 Long DBT CORP US N 2 2023-07-15 Fixed 7.125 N N N N N N WOODSIDE FINANCE LIMITED 254900AIZKU6TGRRNZ98 WOODSIDE FINANCE LTD COMPANY GUAR 144A 03/25 3.65 980236AM5 100000.000000 PA USD 105161.900000 0.0088287 Long DBT CORP AU N 2 2025-03-05 Fixed 3.65 N N N N N N WOODSIDE FINANCE LIMITED 254900AIZKU6TGRRNZ98 WOODSIDE FINANCE LTD COMPANY GUAR 144A 09/26 3.7 980236AN3 1150000.000000 PA USD 1225159.600000 0.1028567 Long DBT CORP AU N 2 2026-09-15 Fixed 3.7 N N N N N N WOODSIDE FINANCE LIMITED 254900AIZKU6TGRRNZ98 WOODSIDE FINANCE LTD COMPANY GUAR REGS 03/25 3.65 Q98229AH2 5000000.000000 PA USD 5258094.950000 0.4414368 Long DBT CORP AU N 2 2025-03-05 Fixed 3.65 N N N N N N WOODSIDE FINANCE LIMITED 254900AIZKU6TGRRNZ98 WOODSIDE FINANCE LTD COMPANY GUAR REGS 09/26 3.7 Q98236AC8 3500000.000000 PA USD 3728746.600000 0.3130423 Long DBT CORP AU N 2 2026-09-15 Fixed 3.7 N N N N N N N/A N/A FIXED INC CLEARING CORP.REPO 000000000 8903009.650000 PA USD 8903009.650000 0.7474411 Long RA US N 2 Repurchase N 0.0000001 2022-01-03 8228400.000000 USD 9081135.830000 USD UST N N N N/A N/A REVERSE REPO CREDIT AGRICOLE 03/14 VAR 000000000 -50946375.000000 PA USD -50946587.280000 -4.2771573 Short RA US N 2 Reverse repurchase N 0.0500000 2022-01-03 51200000.000000 USD 50943416.170000 USD UST N N N N/A N/A REVERSE REPO JPM CHASE 000000000 -260349250.000000 PA USD -260353010.620000 -21.8576130 Short RA US N 2 Reverse repurchase N 0.0400000 2022-01-04 259700000.000000 USD 260014481.120000 USD UST N N N N/A N/A REVERSE REPO JPM CHASE 000000000 -81291500.000000 PA USD -81292990.340000 -6.8248518 Short RA US N 2 Reverse repurchase N 0.0600000 2022-01-03 81700000.000000 USD 81253203.120000 USD UST N N N N/A N/A REVERSE REPO JPM CHASE 000000000 -3192000.000000 PA USD -3192057.640000 -0.2679852 Short RA US N 2 Reverse repurchase N 0.0500000 2022-01-04 3200000.000000 USD 3182500.000000 USD UST N N N N/A N/A BOUGHT JPY/SOLD USD 000000000 1.000000 NC -80720.320000 -0.0067768 N/A DFE JP N 2 BNP Paribas S.A. N/A 6112271.270000 USD 693800000.000000 JPY 2022-01-07 -80720.320000 N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 ARROW ELECTRONICS INC SR UNSECURED 04/22 3.5 042735BD1 900000.000000 PA USD 901828.840000 0.0757119 Long DBT CORP US N 2 2022-04-01 Fixed 3.5 N N N N N N N/A N/A CDX IG36 5Y ICE 000000000 1.000000 NC USD -2225554.530000 -0.1868437 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.36 Y Single Leg Swap 2026-06-21 0.000000 USD -2195553.370000 USD 89700000.000000 USD -30001.160000 N N N N/A N/A 317537IP5 PIMCO CDSOPT PUT USD 0.8 20220119 OP00167W8 -87100000.000000 NC USD -3497.940000 -0.0002937 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A SWOP CDX IG37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2022-01-19 XXXX 97799.360000 N N N N/A N/A 317550NN7 PIMCO CDSOPT PUT USD 0.9 20220316 OP001BL43 -51000000.000000 NC USD -16360.290000 -0.0013735 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A SWOP CDX IG37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2022-03-16 XXXX 40249.710000 N N N N/A N/A 317552495 PIMCO CDSOPT PUT USD 0.9 20220316 OP001BL50 -36700000.000000 NC USD -11772.990000 -0.0009884 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A SWOP CDX IG37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.900000 USD 2022-03-16 XXXX 28964.010000 N N N N/A N/A 317555U81 PIMCO CDSOPT PUT USD 0.95 20220316 OP001BRZ8 -95200000.000000 NC USD -25786.820000 -0.0021649 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A SWOP CDX IG37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.950000 USD 2022-03-16 XXXX 93213.180000 N N N N/A N/A 317561KN7 PIMCO CDSOPT PUT USD 1.0 20220316 OP001BNB5 -42300000.000000 NC USD -9886.360000 -0.0008300 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A SWOP CDX IG37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2022-03-16 XXXX 38335.640000 N N N N/A N/A 3175629V0 PIMCO CDSOPT PUT USD 0.95 20220316 OP001BQL0 -75000000.000000 NC USD -20315.250000 -0.0017055 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A SWOP CDX IG37 (V1 ONLY) 5Y SP 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.950000 USD 2022-03-16 XXXX 62934.750000 N N N N/A N/A CDX IG37 5Y ICE 000000000 1.000000 NC USD -3509139.870000 -0.2946055 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.IG.37 Y Single Leg Swap 2026-12-22 0.000000 USD -3463038.780000 USD 141400000.000000 USD -46101.090000 N N N ASSET BACKED SEC HOME EQTY LN 2004-HE3 N/A ASSET BACKED SECURITIES CORP H ABSHE 2004 HE3 M1 04541GJT0 77372.360000 PA USD 76223.530000 0.0063993 Long ABS-MBS CORP US N 2 2034-06-25 Floating 0.91188 N N N N N N AT&T INC 549300Z40J86GGSTL398 AT+T INC SR UNSECURED 02/23 VAR 00206RFY3 1100000.000000 PA USD 1106763.420000 0.0929169 Long DBT CORP US N 2 2023-02-15 Floating 1.046 N N N N N N 2022-02-15 PIMCO ETF Trust /s/ Jason Nagler Jason Nagler Assistant Treasurer