0001752724-23-191314.txt : 20230825
0001752724-23-191314.hdr.sgml : 20230825
20230825145102
ACCESSION NUMBER: 0001752724-23-191314
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230630
FILED AS OF DATE: 20230825
DATE AS OF CHANGE: 20230825
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: BlackRock Variable Series Funds II, Inc.
CENTRAL INDEX KEY: 0001738072
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23346
FILM NUMBER: 231207316
BUSINESS ADDRESS:
STREET 1: 100 BELLEVUE PARKWAY
CITY: WILMINGTON
STATE: DE
ZIP: 19809
BUSINESS PHONE: 800-441-7762
MAIL ADDRESS:
STREET 1: 100 BELLEVUE PARKWAY
CITY: WILMINGTON
STATE: DE
ZIP: 19809
0001738072
S000062377
BlackRock Total Return V.I. Fund
C000202344
Class I
C000202345
Class III
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001738072
XXXXXXXX
S000062377
C000202345
C000202344
BlackRock Variable Series Funds II, Inc.
811-23346
0001738072
549300CYYTFFNBNORE26
100 Bellevue Parkway
Wilmington
19809
800-441-7762
BlackRock Total Return V.I. Fund
S000062377
QEYJMZOKY3CA1LFEXI16
2023-12-31
2023-06-30
N
1106742577.47
309352084.42
797390493.05
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
7647673.37999999
AUD
BRL
CAD
CHF
CLP
CNY
CNY
COP
CZK
EGP
EUR
GBP
HUF
IDR
INR
JPY
KRW
MXN
MYR
NOK
NZD
PEN
PLN
RUB
SEK
SGD
THB
TRY
TWD
USD
ZAR
N
Bloomberg U.S. Aggregate Bond Index
LBUSTRUU
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TJ7
4530800.00000000
PA
USD
3852241.93000000
0.483106077082
Long
DBT
UST
US
N
2
2052-08-15
Fixed
3.00000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2019-1, Class AA
02377LAA2
180016.41000000
PA
USD
156706.86000000
0.019652461543
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.15000000
N
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp., Series 2000-1, Class A5
20846QBP2
56236.32000000
PA
USD
11470.33000000
0.001438483415
Long
ABS-O
CORP
US
N
2
2029-09-01
Variable
8.06000040
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BY9
522000.00000000
PA
USD
315720.38000000
0.039594199172
Long
DBT
CORP
US
N
2
2061-04-01
Fixed
3.85000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
670.33000000
0.000084065461
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
41000.00000000
USD
169548.08000000
PLN
2023-07-18
670.33000000
N
N
N
N/A
N/A
IRS
N/A
4623000.00000000
PA
-303.66000000
-0.00003808171
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2028-01-20
0.00000000
USD
0.00000000
USD
4623000.00000000
MXN
-303.66000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418D6B3
2845455.65160000
PA
USD
2324258.41000000
0.291483085170
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association, Series 2022-78
38383P6D8
1165901.89400000
PA
USD
165620.21000000
0.020770276476
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
3.00000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AX6
773000.00000000
PA
USD
739683.33000000
0.092762998361
Long
DBT
CORP
CH
N
2
2025-03-26
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X4WD4
3688.63250000
PA
USD
3404.29000000
0.000426928842
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
2733000.00000000
PA
-74.83000000
-0.00000938436
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2028-04-28
0.00000000
USD
0.00000000
USD
2733000.00000000
MXN
-74.83000000
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F052672
20444822.00000000
PA
USD
20345792.39000000
2.551546897954
Long
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJEP9
42893.39190000
PA
USD
39745.72000000
0.004984473773
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Enbridge, Inc.
98TPTUM4IVMFCZBCUR27
Enbridge, Inc.
29250NBR5
323000.00000000
PA
USD
327435.25000000
0.041063350121
Long
DBT
CORP
CA
N
2
2033-03-08
Fixed
5.70000000
N
N
N
N
N
N
Home Equity Mortgage Loan Asset-Backed Trust
N/A
Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2
456606ER9
12659.38000000
PA
USD
12115.41000000
0.001519382298
Long
ABS-O
CORP
US
N
2
2034-07-25
Floating
3.65050080
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DWBB8
916589.28700000
PA
USD
750923.04000000
0.094172559937
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
-327.00000000
NC
USD
-222768.75000000
-0.02793722171
N/A
DIR
US
N
1
CME Clearing House
N/A
Put
Written
N/A
Citigroup, Inc.
250000.00000000
95.75000000
USD
2023-10-13
XXXX
-117974.22000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJQF8
40601.95000000
PA
USD
37487.11000000
0.004701223594
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
121000.00000000
PA
USD
-148.94000000
-0.00001867842
N/A
DCR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Republic of Colombia
Republic of Colombia
Y
Receipt of notional amount upon default event with regard to the reference instrument
2028-06-20
7077.84000000
USD
0.00000000
USD
121000.00000000
USD
-148.94000000
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBY8
113000.00000000
PA
USD
86448.90000000
0.010841476134
Long
DBT
CORP
US
N
2
2051-01-31
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179XBQ8
896511.96960000
PA
USD
776493.28000000
0.097379299950
Long
ABS-MBS
USGA
US
N
2
2052-07-20
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7MC6
53795.34770000
PA
USD
48750.70000000
0.006113779939
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
Eastman Chemical Co.
FDPVHDGJ1IQZFK9KH630
Eastman Chemical Co.
277432AX8
110000.00000000
PA
USD
109866.89000000
0.013778304476
Long
DBT
CORP
US
N
2
2033-03-08
Fixed
5.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQU26
2015.20810000
PA
USD
1872.59000000
0.000234839770
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Redsun Properties Group Ltd.
549300TYWIIKAOK07L47
Redsun Properties Group Ltd.
N/A
200000.00000000
PA
USD
16398.00000000
0.002056457926
Long
DBT
CORP
KY
N
2
2025-01-13
Fixed
7.30000000
Y
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410K3E2
2607.16000000
PA
USD
2674.83000000
0.000335447942
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFG26
16739.07000000
PA
USD
15556.08000000
0.001950873522
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1375.21000000
-0.00017246380
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
389640.80000000
BRL
80000.00000000
USD
2023-07-05
-1375.21000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLLD6
103771.85000000
PA
USD
96845.74000000
0.012145334167
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
3.00000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAP9
338000.00000000
PA
USD
273641.80000000
0.034317163596
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBJ2
273000.00000000
PA
USD
270977.83000000
0.033983077596
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
4.95000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2017-2, Class M3
92258VAE7
52382.49030000
PA
USD
41749.11000000
0.005235717050
Long
ABS-MBS
CORP
US
N
2
2047-11-25
Variable
4.24000080
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM2T1
324049.92190000
PA
USD
267024.16000000
0.033487251519
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERA91
20790.98000000
PA
USD
18690.77000000
0.002343992079
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJC97
54359.89000000
PA
USD
50378.12000000
0.006317873167
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844BV9
148000.00000000
PA
USD
121749.03000000
0.015268432601
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
4.05000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRG2
621855.69000000
PA
USD
572480.44000000
0.071794239458
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-97.86000000
-0.00001227253
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
21321.29000000
CAD
16000.00000000
USD
2023-07-18
-97.86000000
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDP3
559000.00000000
PA
USD
341841.94000000
0.042870079713
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
2.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179WLQ9
2377100.47700000
PA
USD
2132082.30000000
0.267382457978
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83B1
79296.33000000
PA
USD
73749.54000000
0.009248861209
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2015-1, Class AA
90932LAA5
30430.39210000
PA
USD
27874.06000000
0.003495659936
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.45000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBF1
706000.00000000
PA
USD
553245.14000000
0.069381958378
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WHFL1
50790.02000000
PA
USD
45657.88000000
0.005725912259
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
State of California
N/A
State of California, Series 2018
13063DGE2
1215000.00000000
PA
USD
1163848.97000000
0.145957216714
Long
DBT
MUN
US
N
2
2038-04-01
Fixed
4.60000000
N
N
N
N
N
N
Union Pacific Corp.
549300LMMRSZZCZ8CL11
Union Pacific Corp.
907818FV5
150000.00000000
PA
USD
109984.99000000
0.013793115287
Long
DBT
CORP
US
N
2
2061-05-20
Fixed
3.55000000
N
N
N
N
N
N
State Street Corp.
549300ZFEEJ2IP5VME73
State Street Corp., Series F
857477AQ6
68000.00000000
PA
USD
67831.37000000
0.008506669014
Long
DBT
CORP
US
N
2
2023-09-15
Floating
9.14900040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFA43
282045.28620000
PA
USD
242482.27000000
0.030409475923
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Alabama Power Co.
0RL818ELFOHP5JHOFU19
Alabama Power Co.
010392FT0
123000.00000000
PA
USD
89942.08000000
0.011279552588
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QL4T0
195329.25000000
PA
USD
182293.06000000
0.022861203085
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFFP1
317801.19260000
PA
USD
261687.88000000
0.032818033608
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
62179.00000000
PA
-1737.38000000
-0.00021788320
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-05-12
0.00000000
USD
3.64000000
USD
62179.00000000
CAD
-1737.38000000
N
N
N
EQT Corp.
4NT01YGM4X7ZX86ISY52
EQT Corp.
26884LAG4
105000.00000000
PA
USD
109938.15000000
0.013787241126
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
7.00000000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513ECP4
1316000.00000000
PA
USD
925109.82000000
0.116017161988
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.03000000
N
N
N
N
N
N
N/A
N/A
NDIRS
N/A
220444953.00000000
PA
-1228.75000000
-0.00015409639
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-09-20
0.00000000
USD
0.00000000
USD
220444953.00000000
KRW
-1228.75000000
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
891906AF6
105000.00000000
PA
USD
98516.92000000
0.012354915296
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.45000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-305.73000000
-0.00003834131
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
80016.42000000
USD
73000.00000000
EUR
2023-07-18
-305.73000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410G4B6
6078.47000000
PA
USD
6296.79000000
0.000789674576
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
26025.00000000
PA
739.06000000
0.000092684827
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-03-27
0.00000000
USD
4.58000000
USD
26025.00000000
CAD
739.06000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KNCZ4
1375915.67940000
PA
USD
1178946.69000000
0.147850607735
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVMA0
2505299.38330000
PA
USD
2227013.73000000
0.279287720308
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFT6
308000.00000000
PA
USD
214243.36000000
0.026868060488
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNFD9
114647.24850000
PA
USD
99128.12000000
0.012431565320
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
327.00000000
NC
USD
67443.75000000
0.008458057951
N/A
DIR
US
N
1
CME Clearing House
N/A
Put
Purchased
N/A
3 Month SOFR Interest Futures
250000.00000000
94.37500000
USD
2023-10-13
XXXX
-4807.51000000
N
N
N
Atento Luxco 1 SA
549300MLFF3HYCZQTC48
Atento Luxco 1 SA
04684LAC2
36000.00000000
PA
USD
5668.20000000
0.000710843689
Long
DBT
CORP
LU
N
2
2026-02-10
Fixed
8.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RX8
2006100.00000000
PA
USD
1689277.25000000
0.211850688555
Long
DBT
UST
US
N
2
2047-05-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H030674
3796546.00000000
PA
USD
3392124.86000000
0.425403223334
Long
ABS-MBS
USGA
US
N
2
2053-07-15
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
640.41000000
0.000080313222
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
44000.00000000
AUD
29962.56000000
USD
2023-07-18
640.41000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179WG44
1035248.52480000
PA
USD
929525.85000000
0.116570972202
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3131Y9E25
56097.57640000
PA
USD
54841.77000000
0.006877655361
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Mortgage Acquisition Trust
N/A
JPMorgan Mortgage Acquisition Trust, Series 2006-CW1, Class M1
46628MAG1
67453.64000000
PA
USD
65190.37000000
0.008175463661
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
5.55543000
N
N
N
N
N
N
Hewlett Packard Enterprise Co.
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co.
42824CBP3
658000.00000000
PA
USD
651670.84000000
0.081725433859
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
5.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140N8U97
112707.86000000
PA
USD
110486.52000000
0.013856011698
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
5.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KE3D5
17059.57000000
PA
USD
15873.86000000
0.001990726016
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
CWABS Asset-Backed Certificates Trust
N/A
CWABS Asset-Backed Certificates Trust, Series 2005-16, Class 1AF
126670NV6
77375.32000000
PA
USD
66255.40000000
0.008309028083
Long
ABS-O
CORP
US
N
2
2036-04-25
Variable
4.47036480
N
N
N
N
N
N
N/A
N/A
OIS
N/A
153382450.00000000
PA
-36170.58000000
-0.00453611879
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-02-15
0.00000000
USD
0.00000000
USD
153382450.00000000
JPY
-36170.58000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132ADQE1
156815.84440000
PA
USD
144721.74000000
0.018149418793
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
370.08000000
0.000046411388
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
40000.00000000
USD
193300.00000000
BRL
2023-07-05
370.08000000
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RLV2
913000.00000000
PA
USD
635647.96000000
0.079716019383
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFG91
14581.06000000
PA
USD
13891.34000000
0.001742100027
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAM2
1158000.00000000
PA
USD
960850.50000000
0.120499367420
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.65900000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1282.36000000
0.000160819574
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
387073.35000000
GBP
450000.00000000
EUR
2023-09-20
1282.36000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGS4
678367.33950000
PA
USD
581455.29000000
0.072919767048
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179XNA0
135459.42560000
PA
USD
117339.88000000
0.014715485201
Long
ABS-MBS
USGA
US
N
2
2052-12-20
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7LM5
93764.56590000
PA
USD
84641.95000000
0.010614868215
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KPKT4
490831.01720000
PA
USD
471975.14000000
0.059189963275
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
AEP Transmission Co. LLC
549300X123Z1I0LA3Y84
AEP Transmission Co. LLC
00115AAK5
155000.00000000
PA
USD
123816.92000000
0.015527764762
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
3.80000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XDS49
369961.51580000
PA
USD
304856.70000000
0.038231795169
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFL0
5234000.00000000
PA
USD
5182477.81000000
0.649929721406
Long
DBT
UST
US
N
2
2029-09-30
Fixed
3.87500000
N
N
N
N
N
N
Extra Space Storage LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAK3
180000.00000000
PA
USD
178510.43000000
0.022386826975
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-405.24000000
-0.00005082077
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
83391.71000000
USD
76000.00000000
EUR
2023-07-18
-405.24000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36180DSX6
25031.24000000
PA
USD
23608.97000000
0.002960778966
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
New York State Dormitory Authority
549300C8XO7EXTX2XU71
New York State Dormitory Authority, Series 2010H
6499022F9
60000.00000000
PA
USD
62687.28000000
0.007861553473
Long
DBT
MUN
US
N
2
2040-03-15
Fixed
5.38900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNNX6
284645.34500000
PA
USD
234134.52000000
0.029362592361
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FM78
21338.44000000
PA
USD
20718.87000000
0.002598334213
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132D9B86
414429.89020000
PA
USD
394764.13000000
0.049507002333
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
120000.00000000
PA
USD
-7042.14000000
-0.00088314822
N/A
DCR
DE
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
Markit CMBX North American A 10
137BEOAJ3
Y
Payout of notional amount upon default event with regard to the reference instrument
2059-11-17
0.00000000
USD
4572.57000000
USD
120000.00000000
USD
-7042.14000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3303.21000000
-0.00041425249
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
333571.89000000
USD
260000.00000000
GBP
2023-09-20
-3303.21000000
N
N
N
SG Mortgage Securities Trust
N/A
SG Mortgage Securities Trust, Series 2006-OPT2, Class A3D
78420MAF6
100000.00000000
PA
USD
68564.12000000
0.008598562510
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.36042880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RZ3
4920000.00000000
PA
USD
3957332.82000000
0.496285427841
Long
DBT
UST
US
N
2
2047-11-15
Fixed
2.75000000
N
N
N
N
N
N
ConnectWise LLC
N/A
ConnectWise LLC, Term Loan
20786NAC1
154645.00000000
PA
USD
150296.38000000
0.018848529209
Long
LON
CORP
US
N
2
2028-09-29
Variable
8.69300000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KJVE9
166927.63000000
PA
USD
147948.78000000
0.018554118877
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RB6
528000.00000000
PA
USD
441643.12000000
0.055386052862
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.87500000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YAR0
490000.00000000
PA
USD
465546.90000000
0.058383803676
Long
DBT
CORP
US
N
2
2035-05-14
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FLN4
24956.14000000
PA
USD
24231.45000000
0.003038843604
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
4.00000000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAT1
343000.00000000
PA
USD
268811.06000000
0.033711344986
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
3.70000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPR34
88978.71210000
PA
USD
87195.28000000
0.010935078955
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31402Q2V2
2161.65000000
PA
USD
2177.03000000
0.000273019307
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
5.00000000
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBB3
325000.00000000
PA
USD
271821.10000000
0.034088831302
Long
DBT
CORP
US
N
2
2048-09-01
Fixed
4.20000000
N
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp., Series 2000-5, Class A7
20846QER5
133844.67000000
PA
USD
40415.35000000
0.005068451449
Long
ABS-O
CORP
US
N
2
2031-05-01
Fixed
8.20000000
N
N
N
N
N
N
Consumers Energy Co.
7NKTFWJ1G6MELP9TU740
Consumers Energy Co.
210518DE3
975000.00000000
PA
USD
776388.54000000
0.097366164604
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
3.75000000
N
N
N
N
N
N
YPF SA
5493003N7447U18U5U53
YPF SA
N/A
10000.00000000
PA
USD
8436.10000000
0.001057963453
Long
DBT
NUSS
AR
N
2
2029-06-27
Fixed
8.50000000
N
N
N
N
N
N
Public Service Co. of New Hampshire
549300SHPFALUPKK2351
Public Service Co. of New Hampshire
744482BP4
205000.00000000
PA
USD
205444.81000000
0.025764642517
Long
DBT
CORP
US
N
2
2053-01-15
Fixed
5.15000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-147.85000000
-0.00001854173
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
140000.00000000
EUR
120620.50000000
GBP
2023-09-20
-147.85000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128286B1
474000.00000000
PA
USD
439209.14000000
0.055080809694
Long
DBT
UST
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-17518.99000000
-0.00219704023
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
8325566.74000000
MXN
463458.40000000
USD
2023-08-31
-17518.99000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179V4W7
1146532.03270000
PA
USD
1031787.88000000
0.129395558260
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
3.00000000
N
N
N
N
N
N
Northrop Grumman Corp.
RIMU48P07456QXSO0R61
Northrop Grumman Corp.
666807CJ9
1513000.00000000
PA
USD
1473962.81000000
0.184848304920
Long
DBT
CORP
US
N
2
2053-03-15
Fixed
4.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WEF61
26006.11800000
PA
USD
24167.42000000
0.003030813661
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
2.50000000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2007-15, Class 2A2
17025TBJ9
173692.64280000
PA
USD
74498.22000000
0.009342752471
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Fixed
6.50000000
N
N
N
N
N
N
Crown Castle, Inc.
54930012H97VSM0I2R19
Crown Castle, Inc.
22822VAR2
915000.00000000
PA
USD
808197.55000000
0.101355302959
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
3.30000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335B2J4
160383.43830000
PA
USD
158162.37000000
0.019834995698
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1308.87000000
0.000164144169
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
52270490.00000000
KRW
41000.00000000
USD
2023-07-18
1308.87000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HHWE1
79253.10000000
PA
USD
75786.34000000
0.009504294402
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3100.41000000
-0.00038881953
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
58000.00000000
EUR
8673162.00000000
JPY
2023-07-18
-3100.41000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRM9
273830.89000000
PA
USD
262028.36000000
0.032860732888
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYJ7
105000.00000000
PA
USD
84104.89000000
0.010547516020
Long
DBT
CORP
US
N
2
2032-07-21
Variable
2.38300000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KQDV5
109314.70010000
PA
USD
110527.65000000
0.013861169773
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
6.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
37000.00000000
PA
USD
28081.15000000
0.003521630900
Long
DBT
NUSS
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Williams Cos., Inc. (The)
D71FAKCBLFS2O0RBPG08
Williams Cos., Inc. (The)
88339WAA4
248000.00000000
PA
USD
171038.90000000
0.021449829348
Long
DBT
CORP
US
N
2
2051-10-15
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
445.00000000
0.000055807036
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
60520.60000000
USD
48000.00000000
GBP
2023-07-18
445.00000000
N
N
N
Union Pacific Corp.
549300LMMRSZZCZ8CL11
Union Pacific Corp.
907818FE3
205000.00000000
PA
USD
165793.86000000
0.020792053760
Long
DBT
CORP
US
N
2
2059-08-15
Fixed
3.95000000
N
N
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599DE2
245000.00000000
PA
USD
273126.66000000
0.034252560367
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
7.87500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVLH6
167188.74410000
PA
USD
138171.55000000
0.017327965558
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
26523.00000000
PA
264.49000000
0.000033169444
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-05-09
0.00000000
USD
0.00000000
USD
26523.00000000
CAD
264.49000000
N
N
N
Commonwealth Edison Co.
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co., Series 130
202795JT8
338000.00000000
PA
USD
236874.00000000
0.029706147999
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QRB85
303517.70650000
PA
USD
302861.27000000
0.037981550148
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
5.50000000
N
N
N
N
N
N
Bank of America Merrill Lynch Commercial Mortgage Trust
N/A
Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2017-BNK3, Class XB
06427DAU7
1000000.00000000
PA
USD
19147.70000000
0.002401295245
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Variable
0.73488600
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-4, Class 3A1
939344AK3
24169.11310000
PA
USD
20257.63000000
0.002540490534
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
6.99999840
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
N/A
50100.00000000
PA
285008.33000000
0.035742629550
Long
DBT
NUSS
MX
N
2
2038-11-18
Fixed
8.49999960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QMLV4
203560.50810000
PA
USD
167848.89000000
0.021049773161
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Florida Power & Light Co.
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co.
341081GE1
120000.00000000
PA
USD
82946.86000000
0.010402288555
Long
DBT
CORP
US
N
2
2051-12-04
Fixed
2.87500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp., Series 5081, Class AI
3137FXXT0
322312.95500000
PA
USD
56134.70000000
0.007039800510
Long
ABS-MBS
USGSE
US
N
2
2051-03-25
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QEN57
208918.74270000
PA
USD
179555.35000000
0.022517869420
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
364.33000000
0.000045690286
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
61000.00000000
USD
5039545.50000000
INR
2023-07-18
364.33000000
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust, Series 2006-3A, Class A2
07324NAB9
7508.49000000
PA
USD
6941.31000000
0.000870503230
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.60043000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202E7F0
3322.37000000
PA
USD
3225.88000000
0.000404554610
Long
ABS-MBS
USGA
US
N
2
2039-07-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WHNX6
24247.47280000
PA
USD
22471.35000000
0.002818111100
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
2.50000000
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAG0
1967000.00000000
PA
USD
1933679.91000000
0.242500998802
Long
DBT
CORP
US
N
2
2027-06-30
Fixed
5.12500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMKJ3
692532.53380000
PA
USD
660273.60000000
0.082804297988
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828U24
1327000.00000000
PA
USD
1227423.17000000
0.153929997999
Long
DBT
UST
US
N
2
2026-11-15
Fixed
2.00000000
N
N
N
N
N
N
Conseco Finance Securitizations Corp.
N/A
Conseco Finance Securitizations Corp., Series 2000-4, Class A6
20846QDV7
151157.38000000
PA
USD
29880.56000000
0.003747293234
Long
ABS-O
CORP
US
N
2
2032-05-01
Variable
8.30999880
N
N
N
N
N
N
Baltimore Gas & Electric Co.
88V8C2WYSOD1SPSSLH72
Baltimore Gas & Electric Co.
059165EJ5
586000.00000000
PA
USD
457541.75000000
0.057379885261
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
3.75000000
N
N
N
N
N
N
Allegro CLO II-S Ltd.
635400R1GOVCHJ4SNX58
Allegro CLO II-S Ltd., Series 2014-1RA, Class A1
01751EAC2
304513.57000000
PA
USD
302695.20000000
0.037960723464
Long
ABS-CBDO
CORP
KY
N
2
2028-10-21
Floating
6.34142880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEH0
3909700.00000000
PA
USD
3750257.55000000
0.470316310852
Long
DBT
UST
US
N
2
2025-04-15
Fixed
2.62500000
N
N
N
N
N
N
Louisiana Local Government Environmental Facilities & Community Development Auth
5493004WIZ1HV87IVF85
Louisiana Local Government Environmental Facilities & Community Development Authority
54627RAM2
500000.00000000
PA
USD
481286.44000000
0.060357684747
Long
DBT
MUN
US
N
2
2033-02-01
Fixed
4.14500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H040673
3734500.00000000
PA
USD
3533624.76000000
0.443148594170
Long
ABS-MBS
USGA
US
N
2
2053-07-15
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
768.27000000
0.000096348026
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
550917.00000000
ZAR
30000.00000000
USD
2023-07-18
768.27000000
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
-65.00000000
NC
USD
51537.54000000
0.006463274951
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
U.S. Treasury 10 Year Note
2023-09-20
-7299296.88000000
USD
51537.54000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XKEQ9
1565197.67490000
PA
USD
1330297.16000000
0.166831329391
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
241.47157000
PA
USD
10.68000000
0.000001339368
N/A
DCR
DE
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
Markit CMBX North American AAA 6
137BENAF3
Y
Receipt of notional amount upon default event with regard to the reference instrument
2063-05-11
0.00000000
USD
10.71000000
USD
241.00000000
USD
10.68000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YTMU5
4954.32000000
PA
USD
4595.22000000
0.000576282265
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBW4
764000.00000000
PA
USD
591035.69000000
0.074121236100
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7X91
11394.85760000
PA
USD
10770.17000000
0.001350677001
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
Crown Castle, Inc.
54930012H97VSM0I2R19
Crown Castle, Inc.
22822VAW1
1321000.00000000
PA
USD
1056551.53000000
0.132501144572
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.10000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132L5AD5
35757.02000000
PA
USD
32316.32000000
0.004052759630
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QMZQ0
2106410.28290000
PA
USD
1805491.31000000
0.226424985717
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QR6A6
243742.80610000
PA
USD
249380.47000000
0.031274572768
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
6.00000000
N
N
N
N
N
N
Elevance Health, Inc.
8MYN82XMYQH89CTMTH67
Elevance Health, Inc.
036752AX1
171000.00000000
PA
USD
187326.31000000
0.023492418285
Long
DBT
CORP
US
N
2
2052-10-15
Fixed
6.10000000
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844CL0
226000.00000000
PA
USD
149571.74000000
0.018757652781
Long
DBT
CORP
US
N
2
2051-08-25
Fixed
2.90000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-294.50000000
-0.00003693297
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
38349.28000000
USD
165362112.00000000
COP
2023-12-20
-294.50000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-10380.55000000
-0.00130181511
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
337515.43000000
USD
490000.00000000
AUD
2023-09-20
-10380.55000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos, Series 13-2
N/A
11055.00000000
PA
59854.72000000
0.007506324758
Long
DBT
NUSS
MX
N
2
2024-09-12
Fixed
7.18999920
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RD2
528000.00000000
PA
USD
504611.25000000
0.063282827472
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
AEP Texas, Inc.
5493001L78U618KXNZ75
AEP Texas, Inc.
00108WAR1
509000.00000000
PA
USD
506380.33000000
0.063504686149
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
5.40000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust, Series 2007-2A, Class A1
07325XAA8
17488.77000000
PA
USD
15481.20000000
0.001941482891
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
5.42043000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM7D1
769916.33330000
PA
USD
634560.58000000
0.079579652068
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810TP3
84195.37500000
PA
USD
81823.27000000
0.010261380178
Long
DBT
UST
US
N
2
2053-02-15
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
EUR Currency
N/A
146000.00000000
PA
270.13000000
0.000033876752
N/A
DFE
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
Call
Purchased
N/A
EUR Currency
1.00000000
1.10000000
EUR
2023-07-11
XXXX
-261.27000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMSG1
761810.13000000
PA
USD
680788.19000000
0.085377013638
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Huntington Ingalls Industries, Inc.
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries, Inc.
446413AZ9
730000.00000000
PA
USD
612943.41000000
0.076868662887
Long
DBT
CORP
US
N
2
2028-08-16
Fixed
2.04300000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-4151000.00000000
PA
USD
-51052.61000000
-0.00640246033
N/A
DIR
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
Put
Written
N/A
Swaption
1.00000000
4.10000000
USD
2023-08-23
XXXX
-40675.11000000
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AM0
266000.00000000
PA
USD
253543.47000000
0.031796650726
Long
DBT
CORP
CH
N
2
2025-09-11
Variable
2.59300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNNU2
741936.82150000
PA
USD
608786.97000000
0.076347407613
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BR9
81000.00000000
PA
USD
80289.84000000
0.010069074148
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.37500000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526CS6
335000.00000000
PA
USD
335477.54000000
0.042071926229
Long
DBT
CORP
DE
N
2
2029-01-18
Variable
6.72000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133BJEZ1
152960.28110000
PA
USD
147076.07000000
0.018444673128
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AN9
225000.00000000
PA
USD
204221.25000000
0.025611196995
Long
DBT
NUSS
CO
N
2
2030-04-29
Fixed
6.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WEAC3
133401.55000000
PA
USD
127107.12000000
0.015940385684
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417TM62
24744.03000000
PA
USD
25320.61000000
0.003175434146
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
5.50000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GXJ8
517000.00000000
PA
USD
496625.10000000
0.062281291829
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
CIFC Funding Ltd.
549300UDPJ30BQP2HX62
CIFC Funding Ltd., Series 2015-3A, Class AR
12550MAJ9
651570.63290000
PA
USD
646999.73000000
0.081139634299
Long
ABS-CBDO
CORP
KY
N
2
2029-04-19
Floating
6.13500120
N
N
N
N
N
N
Bear Stearns Asset-Backed Securities I Trust
N/A
Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE3, Class 1A4
073852AD7
194790.83000000
PA
USD
193708.69000000
0.024292826624
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
5.50042920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HP4C8
21258.81880000
PA
USD
21131.54000000
0.002650086774
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBM1
800000.00000000
PA
USD
663382.36000000
0.083194164688
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
2.70000000
N
N
N
N
N
N
Romark WM-R Ltd.
N/A
Romark WM-R Ltd., Series 2018-1A, Class A1
77587AAC0
247404.46000000
PA
USD
244413.83000000
0.030651711066
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.28043040
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPEZ7
128093.96760000
PA
USD
122129.88000000
0.015316194645
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MAD55
45685.24000000
PA
USD
42617.74000000
0.005344651130
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
3.50000000
N
N
N
N
N
N
FirstEnergy Corp.
549300SVYJS666PQJH88
FirstEnergy Corp., Series C
337932AJ6
43000.00000000
PA
USD
38572.08000000
0.004837288673
Long
DBT
CORP
US
N
2
2047-07-15
Fixed
5.10000120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFZF6
15029.03000000
PA
USD
13965.02000000
0.001751340167
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCB6
258000.00000000
PA
USD
239617.50000000
0.030050207782
Long
DBT
NUSS
MX
N
2
2026-08-04
Fixed
6.87500000
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844CF3
413000.00000000
PA
USD
285538.40000000
0.035809105135
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.05000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
261.16000000
0.000032751832
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
428335.51000000
SEK
40000.00000000
USD
2023-07-18
261.16000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XGVN6
101200.38940000
PA
USD
89951.27000000
0.011280705097
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408HR7
208000.00000000
PA
USD
153444.44000000
0.019243324486
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CA79
29006.58000000
PA
USD
27797.78000000
0.003486093732
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LSK41
10038.54000000
PA
USD
9651.76000000
0.001210418243
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGB1
515457.68410000
PA
USD
439263.31000000
0.055087603103
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJDN5
63906.09190000
PA
USD
59217.06000000
0.007426356410
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179NBB3
59256.10000000
PA
USD
55827.42000000
0.007001264811
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179SYT8
234491.79920000
PA
USD
225143.83000000
0.028235078291
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QD3
146000.00000000
PA
USD
154577.50000000
0.019385420486
Long
DBT
UST
US
N
2
2039-11-15
Fixed
4.37500000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
316499.50000000
PA
USD
-12201.98000000
-0.00153023896
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Republic of Colombia
Republic of Colombia
Y
Receipt of notional amount upon default event with regard to the reference instrument
2028-06-20
30325.88000000
USD
0.00000000
USD
316499.50000000
USD
-12201.98000000
N
N
N
Florida Power & Light Co.
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co.
341081FU6
111000.00000000
PA
USD
93562.73000000
0.011733614937
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
3.99000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-774.99000000
-0.00009719077
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
13972844.00000000
HUF
40000.00000000
USD
2023-07-18
-774.99000000
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F040479
326000.00000000
PA
USD
314679.14000000
0.039463618232
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Fixed
4.00000000
N
N
N
N
N
N
Targa Resources Corp.
5493003QENHHS261UR94
Targa Resources Corp.
87612GAB7
102000.00000000
PA
USD
84275.08000000
0.010568859390
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
4.95000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
26454.00000000
PA
562.71000000
0.000070568937
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-03-30
68.05000000
USD
0.00000000
USD
26454.00000000
CAD
562.71000000
N
N
N
OZLM Funding IV Ltd.
549300788AI08GTXXH35
OZLM Funding IV Ltd., Series 2013-4A, Class A1R
67108FAN6
314845.39000000
PA
USD
312396.21000000
0.039177318104
Long
ABS-CBDO
CORP
KY
N
2
2030-10-22
Floating
6.52271040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QE2C5
131213.96640000
PA
USD
125048.81000000
0.015682254941
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF
61764PAJ1
130000.00000000
PA
USD
2162.35000000
0.000271178302
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
1.32760440
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2017-3, Class B
35563PCG2
112195.86000000
PA
USD
11876.57000000
0.001489429596
Long
ABS-MBS
CORP
US
N
2
2056-07-25
None
0.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRF4
461914.37000000
PA
USD
427953.33000000
0.053669229032
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J8F24
10831.36220000
PA
USD
10892.13000000
0.001365971891
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J75N1
30960.35150000
PA
USD
29152.40000000
0.003655975366
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
327.00000000
NC
USD
320868.75000000
0.040239851465
N/A
DIR
US
N
1
CME Clearing House
N/A
Put
Purchased
N/A
Citigroup, Inc.
250000.00000000
96.00000000
USD
2023-10-13
XXXX
158051.39000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPVS4
1308443.16620000
PA
USD
1338705.09000000
0.167885760072
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
188.78000000
0.000023674724
N/A
DFE
N/A
N
2
Standard Chartered Bank
U4LOSYZ7YG4W3S5F2G91
15644.17000000
USD
14500.00000000
EUR
2023-07-18
188.78000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LTFX1
1179.23000000
PA
USD
1103.39000000
0.000138375113
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
Union Pacific Corp.
549300LMMRSZZCZ8CL11
Union Pacific Corp.
907818FG8
229000.00000000
PA
USD
182159.48000000
0.022844450941
Long
DBT
CORP
US
N
2
2060-03-20
Fixed
3.83900000
N
N
N
N
N
N
Alabama Power Co.
0RL818ELFOHP5JHOFU19
Alabama Power Co.
010392FW3
269000.00000000
PA
USD
181541.03000000
0.022766891702
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
30 Day Federal Funds
N/A
4.00000000
NC
USD
-173.56000000
-0.00002176599
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
30 Day Federal Funds
2023-08-31
1578792.96000000
USD
-173.56000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp., Series 5052, Class KI
3137F7HN8
197887.75400000
PA
USD
37833.03000000
0.004744605099
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138W9F88
28582.23250000
PA
USD
27015.70000000
0.003388013806
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418XDE5
571.47000000
PA
USD
562.96000000
0.000070600289
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TQ1
1922500.00000000
PA
USD
1874437.50000000
0.235071463271
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFM40
796486.44830000
PA
USD
684595.85000000
0.085854528736
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Washington Mutual Bank
N/A
Washington Mutual Escrow Bonds
939MMIBF0
300000.00000000
PA
USD
750.00000000
0.000094056802
Long
DBT
CORP
US
N
3
2009-11-06
Fixed
0.00000000
Y
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MFCX4
89515.95010000
PA
USD
83283.93000000
0.010444560190
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-897.98000000
-0.00011261483
N/A
DFE
N/A
N
2
Standard Chartered Bank
U4LOSYZ7YG4W3S5F2G91
58500.00000000
USD
1794780.00000000
TWD
2023-07-13
-897.98000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3532.18000000
-0.00044296740
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
404757.00000000
BRL
81000.00000000
USD
2023-07-05
-3532.18000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCL4
67000.00000000
PA
USD
40378.22000000
0.005063795010
Long
DBT
NUSS
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFD2
5965000.00000000
PA
USD
5892142.18000000
0.738928069917
Long
DBT
CORP
US
N
2
2029-04-20
Variable
5.16400000
N
N
N
N
N
N
NiSource, Inc.
549300D8GOWWH0SJB189
NiSource, Inc.
65473PAN5
391000.00000000
PA
USD
390690.75000000
0.048996163536
Long
DBT
CORP
US
N
2
2028-03-30
Fixed
5.25000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
25160PAM9
703000.00000000
PA
USD
691256.69000000
0.086689858485
Long
DBT
CORP
DE
N
2
2027-09-09
Fixed
5.37100000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VCB7
160000.00000000
PA
USD
114169.27000000
0.014317861950
Long
DBT
CORP
US
N
2
2053-02-15
Fixed
3.30000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DQB54
282144.64990000
PA
USD
284869.66000000
0.035725239074
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3620A6DC8
4689.92000000
PA
USD
4711.65000000
0.000590883643
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
5.00000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
Countrywide Asset-Backed Certificates, Series 2006-SPS1, Class A
12666MAA9
61.94000000
PA
USD
449.48000000
0.000056368868
Long
ABS-O
CORP
US
N
2
2025-12-25
Floating
5.37042960
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYB4
1006000.00000000
PA
USD
825039.93000000
0.103467490168
Long
DBT
CORP
US
N
2
2032-04-22
Variable
2.61500000
N
N
N
N
N
N
Sprint LLC
549300ZTTY7CXOLJ6539
Sprint LLC
85207UAF2
229000.00000000
PA
USD
229553.04000000
0.028788033215
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.87500000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
120000.00000000
PA
USD
-1957.34000000
-0.00024546818
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Federative Republic of Brazil
Federative Republic of Brazil
Y
Receipt of notional amount upon default event with regard to the reference instrument
2024-12-20
894.97000000
USD
0.00000000
USD
120000.00000000
USD
-1957.34000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828Y87
1995000.00000000
PA
USD
1918784.78000000
0.240633014404
Long
DBT
UST
US
N
2
2024-07-31
Fixed
1.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418DV74
3245184.53810000
PA
USD
2668683.57000000
0.334677124101
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
31329KW83
13423.82750000
PA
USD
12371.24000000
0.001551465700
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
3.00000000
N
N
N
N
N
N
Bay Area Toll Authority
5493001FUZGUQMIP5D78
Bay Area Toll Authority, Series 2010S-1
072024NV0
290000.00000000
PA
USD
372686.91000000
0.046738318709
Long
DBT
MUN
US
N
2
2050-04-01
Fixed
7.04300000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM6P5
124084.24050000
PA
USD
118307.03000000
0.014836774582
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
939300.00000000
PA
USD
46889.97000000
0.005880427520
N/A
DIR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Call
Purchased
N/A
Swaption
1.00000000
3.23500000
USD
2026-06-15
XXXX
1780.09000000
N
N
N
N/A
N/A
OIS
N/A
2095141.25000000
PA
17976.80000000
0.002254453765
N/A
DIR
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
Y
2026-01-02
0.00000000
USD
0.00000000
USD
2095141.25000000
BRL
17976.80000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1184.58000000
0.000148557075
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
40000.00000000
USD
197200.00000000
BRL
2023-07-05
1184.58000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-519.95000000
-0.00006520644
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
118000.00000000
AUD
78116.71000000
USD
2023-07-18
-519.95000000
N
N
N
JPMCC Commercial Mortgage Securities Trust
N/A
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class B
465968AK1
10000.00000000
PA
USD
8201.50000000
0.001028542485
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
4.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QEQC9
183864.65540000
PA
USD
168823.98000000
0.021172058291
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Crown Castle, Inc.
54930012H97VSM0I2R19
Crown Castle, Inc.
22822VAN1
1081000.00000000
PA
USD
941218.58000000
0.118037346595
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WD7A3
3559.26180000
PA
USD
3320.98000000
0.000416481012
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
Ohio Power Co.
06ZODLC132CY1O2Y7D77
Ohio Power Co., Series R
677415CU3
320000.00000000
PA
USD
212376.09000000
0.026633887894
Long
DBT
CORP
US
N
2
2051-10-01
Fixed
2.90000000
N
N
N
N
N
N
KLA Corp.
549300H0BF5JCG96TJ81
KLA Corp.
482480AN0
138000.00000000
PA
USD
139670.75000000
0.017515978835
Long
DBT
CORP
US
N
2
2062-07-15
Fixed
5.25000000
N
N
N
N
N
N
Oncor Electric Delivery Co. LLC
549300SP2X2BS1KERD24
Oncor Electric Delivery Co. LLC
68233JBR4
357000.00000000
PA
USD
252099.87000000
0.031615610193
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.10000000
N
N
N
N
N
N
Dryden 45 Senior Loan Fund
54930046L20VLJKPVV31
Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR
26244MAQ5
250000.00000000
PA
USD
245010.60000000
0.030726551436
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.96029040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5JU4
63579.20000000
PA
USD
58942.70000000
0.007391949178
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335AAT5
25841.81000000
PA
USD
25560.70000000
0.003205543610
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
Northern States Power Co.
3S1GHB0TEH85KX44SB51
Northern States Power Co.
665772CS6
367000.00000000
PA
USD
235320.12000000
0.029511277354
Long
DBT
CORP
US
N
2
2051-06-01
Fixed
2.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138X6T70
234804.65580000
PA
USD
229997.19000000
0.028843733654
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRK3
580014.55000000
PA
USD
557684.01000000
0.069938632935
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-265.76000000
-0.00003332871
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
38000.00000000
EUR
442306.38000000
NOK
2023-07-18
-265.76000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQLE0
63326.87000000
PA
USD
63780.17000000
0.007998611791
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
First Franklin Mortgage Loan Trust
N/A
First Franklin Mortgage Loan Trust, Series 2006-FFH1, Class M2
32027NZN4
95872.19000000
PA
USD
82695.13000000
0.010370719330
Long
ABS-O
CORP
US
N
2
2036-01-25
Floating
5.75043120
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BCH7
59172.74500000
PA
USD
58134.90000000
0.007290643731
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
1335000.00000000
PA
7336.93000000
0.000920117566
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-06-22
0.00000000
USD
0.00000000
USD
1335000.00000000
CAD
7336.93000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179W7J1
1205776.89600000
PA
USD
1044331.71000000
0.130968668312
Long
ABS-MBS
USGA
US
N
2
2052-06-20
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EPQP2
7245.44000000
PA
USD
6903.51000000
0.000865762767
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2016-667M, Class D
12636GAJ0
100000.00000000
PA
USD
76873.46000000
0.009640629110
Long
ABS-MBS
CORP
US
N
2
2036-10-10
Variable
3.28455360
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132D9DQ4
262189.96000000
PA
USD
242731.27000000
0.030440702781
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140F5BJ1
15784.85520000
PA
USD
14257.13000000
0.001787973411
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
1936000.00000000
PA
-18187.98000000
-0.00228093765
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-06-27
0.00000000
USD
0.00000000
USD
1936000.00000000
GBP
-18187.98000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEP2
763500.00000000
PA
USD
707907.66000000
0.088778041144
Long
DBT
UST
US
N
2
2032-05-15
Fixed
2.87500000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967NN7
154000.00000000
PA
USD
136060.09000000
0.017063169323
Long
DBT
CORP
US
N
2
2033-03-17
Variable
3.78500000
N
N
N
N
N
N
Huntington Ingalls Industries, Inc.
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries, Inc.
446413AT3
82000.00000000
PA
USD
75978.48000000
0.009528390501
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
4.20000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828J27
1283000.00000000
PA
USD
1221255.63000000
0.153156532545
Long
DBT
UST
US
N
2
2025-02-15
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XBG95
670933.76910000
PA
USD
582623.84000000
0.073066313817
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ENZJ1
75678.72000000
PA
USD
72104.93000000
0.009042612199
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132XWBS9
19659.73000000
PA
USD
18255.96000000
0.002289462961
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
1928494.00000000
PA
2472.36000000
0.000310056367
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Y
2024-07-01
0.00000000
USD
0.00000000
USD
1928494.00000000
BRL
2472.36000000
N
N
N
N/A
N/A
IRS
N/A
26155000.00000000
PA
-444.77000000
-0.00005577819
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2025-06-19
0.00000000
USD
0.00000000
USD
26155000.00000000
CZK
-444.77000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
370.08000000
0.000046411388
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
40000.00000000
USD
193300.00000000
BRL
2023-07-05
370.08000000
N
N
N
CWABS, Inc. Asset-Backed Certificates Trust
N/A
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-5, Class A
1266716J0
68402.73000000
PA
USD
65732.99000000
0.008243513131
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
6.05043000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2360.07000000
0.000295974183
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
8443998.00000000
JPY
61000.00000000
USD
2023-07-18
2360.07000000
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SAQ6
265000.00000000
PA
USD
210741.23000000
0.026428861622
Long
DBT
CORP
US
N
2
2043-05-02
Fixed
4.50000000
N
N
N
N
N
N
San Diego Gas & Electric Co.
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co.
797440CC6
127000.00000000
PA
USD
98317.73000000
0.012329935064
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H020675
6993700.00000000
PA
USD
5877713.12000000
0.737118534924
Long
ABS-MBS
USGA
US
N
2
2053-07-15
Fixed
2.00000000
N
N
N
N
N
N
Cox Communications, Inc.
5493001NEDZNIFRP2R92
Cox Communications, Inc.
224044CH8
268000.00000000
PA
USD
258933.84000000
0.032472652013
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.15000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMKH7
386223.26880000
PA
USD
368433.16000000
0.046204859878
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CS47
151058.37300000
PA
USD
139674.66000000
0.017516469185
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust, Series 2017-GM, Class E
056083AN8
50000.00000000
PA
USD
37781.83000000
0.004738184155
Long
ABS-MBS
CORP
US
N
2
2039-06-13
Variable
3.53895840
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-80000.00000000
PA
USD
-293.28000000
-0.00003677997
N/A
DFE
US
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
Call
Written
N/A
USD Currency
1.00000000
4400.00000000
USD
2023-07-25
XXXX
225.92000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YM6
7368000.00000000
PA
USD
7010536.91000000
0.879184912674
Long
DBT
UST
US
N
2
2024-10-31
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EP4Z4
11038.27000000
PA
USD
10516.98000000
0.001318924678
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1106.68000000
-0.00013878770
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
300000.00000000
EUR
327538.50000000
USD
2023-09-20
-1106.68000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-326.91000000
-0.00004099747
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
40000.00000000
USD
184080.00000000
MYR
2023-07-18
-326.91000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DP3Z9
1162887.56100000
PA
USD
1189783.07000000
0.149209588071
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-120000.00000000
PA
USD
-39.58000000
-0.00000496369
N/A
DFE
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Put
Written
N/A
USD Currency
1.00000000
17.75000000
USD
2023-07-18
XXXX
598.58000000
N
N
N
N/A
N/A
SOP
N/A
-11326000.00000000
PA
USD
-199241.97000000
-0.02498675012
N/A
DIR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Call
Written
N/A
Swaption
1.00000000
3.30500000
USD
2024-06-14
XXXX
32941.03000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BJX5
87441.64790000
PA
USD
82064.75000000
0.010291663960
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032674
-209536.00000000
PA
USD
-190931.50000000
-0.02394454181
Short
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
3.50000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BL1
585000.00000000
PA
USD
580422.49000000
0.072790244561
Long
DBT
CORP
US
N
2
2033-05-08
Fixed
5.70000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust, Series 2007-FLX5, Class 2A2
45669WAD8
76630.39000000
PA
USD
63696.42000000
0.007988108781
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
5.39043120
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
-2.00000000
NC
USD
4263.87000000
0.000534727970
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
3 Month SOFR Interest Futures
2024-12-17
-478225.00000000
USD
4263.87000000
N
N
N
MSCI, Inc.
549300HTIN2PD78UB763
MSCI, Inc.
55354GAQ3
400000.00000000
PA
USD
322143.44000000
0.040399709152
Long
DBT
CORP
US
N
2
2033-08-15
Fixed
3.25000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307M2W5
21577.50000000
PA
USD
20582.20000000
0.002581194556
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
35.05000000
0.000004395587
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
310000.00000000
EUR
267373.57000000
GBP
2023-09-20
35.05000000
N
N
N
Reperforming Loan REMIC Trust
N/A
Reperforming Loan REMIC Trust, Series 2005-R3, Class AF
126694JG4
2741.67000000
PA
USD
2350.31000000
0.000294750190
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
5.55042960
N
N
N
N
N
N
N/A
N/A
3 Month SONIA Index
N/A
56.00000000
NC
-30652.30000000
-0.00384407643
N/A
DIR
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Long
N/A
3 Month SONIA Index
2024-09-17
13145300.00000000
GBP
-30652.30000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QSFD8
439221.40820000
PA
USD
437966.69000000
0.054924995195
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
656.76000000
0.000082363660
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
741484.00000000
ZAR
40000.00000000
USD
2023-07-18
656.76000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRZ0
110332.64000000
PA
USD
105386.30000000
0.013216397852
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140Q83N3
782125.95620000
PA
USD
767521.76000000
0.096254189972
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERQ52
133424.87210000
PA
USD
130933.26000000
0.016420218342
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-80.93000000
-0.00001014935
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
6000.00000000
USD
111553.92000000
ZAR
2023-07-18
-80.93000000
N
N
N
Moody's Corp.
549300GCEDD8YCF5WU84
Moody's Corp.
615369AX3
316000.00000000
PA
USD
207271.63000000
0.025993742314
Long
DBT
CORP
US
N
2
2061-11-29
Fixed
3.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H032670
3349401.00000000
PA
USD
3091261.63000000
0.387672245523
Long
ABS-MBS
USGA
US
N
2
2053-07-15
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Ultra Bond
N/A
31.00000000
NC
USD
2320.06000000
0.000290956566
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury Ultra Bond
2023-09-20
4232468.75000000
USD
2320.06000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVMC6
7929.84770000
PA
USD
7051.36000000
0.000884304498
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
3.00000000
N
N
N
N
N
N
Mexico City Airport Trust
N/A
Mexico City Airport Trust
N/A
200000.00000000
PA
USD
192136.00000000
0.024095597034
Long
DBT
CORP
MX
N
2
2026-10-31
Fixed
4.25000000
N
N
N
N
N
N
NNN REIT, Inc.
5493008JKH5SOTI0JS97
NNN REIT, Inc.
637417AR7
135000.00000000
PA
USD
82054.57000000
0.010290387296
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQZA3
30669.45830000
PA
USD
30107.02000000
0.003775693372
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.50000000
N
N
N
N
N
N
Bank Gospodarstwa Krajowego
259400BCOV9JJIGLYF05
Bank Gospodarstwa Krajowego
06237MAA1
200000.00000000
PA
USD
198000.00000000
0.024830995820
Long
DBT
NUSS
PL
N
2
2033-05-22
Fixed
5.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFK47
11968.19000000
PA
USD
11402.17000000
0.001429935533
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NV50
2756.44000000
PA
USD
2629.06000000
0.000329707969
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7W35
35118.88010000
PA
USD
32631.98000000
0.004092346257
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
2.50000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Federation
N/A
13759000.00000000
PA
51500.17000000
0.006458588414
Long
DBT
NUSS
RU
N
2
2035-07-18
Fixed
6.10000000
Y
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WKLB9
23839.62390000
PA
USD
22091.53000000
0.002770478227
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJEZ7
47944.60710000
PA
USD
43448.83000000
0.005448877354
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828XB1
1124000.00000000
PA
USD
1067448.75000000
0.133867754795
Long
DBT
UST
US
N
2
2025-05-15
Fixed
2.12500000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
-857.00000000
NC
USD
-1740781.25000000
-0.21830975728
N/A
DIR
US
N
1
CME Clearing House
N/A
Put
Written
N/A
3 Month SOFR Interest Futures
250000.00000000
95.37500000
USD
2023-10-13
XXXX
-1164240.20000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DWB69
3873264.22510000
PA
USD
3293887.65000000
0.413083386209
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140KYYM0
456986.74280000
PA
USD
375352.47000000
0.047072604109
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
CWHEQ Home Equity Loan Trust
N/A
CWHEQ Home Equity Loan Trust, Series 2006-S5, Class A5
126683AE1
1176.07300000
PA
USD
1407.95000000
0.000176569699
Long
ABS-O
CORP
US
N
2
2035-06-25
Fixed
6.15500000
N
N
N
N
N
N
Meta Platforms, Inc.
BQ4BKCS1HXDV9HN80Z93
Meta Platforms, Inc.
30303M8Q8
124000.00000000
PA
USD
127349.48000000
0.015970779826
Long
DBT
CORP
US
N
2
2053-05-15
Fixed
5.60000000
N
N
N
N
N
N
BCMSC Trust
N/A
BCMSC Trust, Series 2000-A, Class A4
09774XBQ4
26744.35900000
PA
USD
3613.15000000
0.000453121780
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
8.29000080
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030678
16481000.00000000
PA
USD
14503923.75000000
1.818923585923
Long
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
3.00000000
N
N
N
N
N
N
Anchorage Capital CLO Ltd.
549300L8BI45FDIJHO17
Anchorage Capital CLO Ltd., Series 2018-1RA, Class A1
03328YAA2
310000.00000000
PA
USD
307509.03000000
0.038564421407
Long
ABS-CBDO
CORP
KY
N
2
2031-04-13
Floating
6.23157120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QMMP6
658174.58990000
PA
USD
582165.44000000
0.073008826299
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFLJ3
14091.29000000
PA
USD
13425.16000000
0.001683636827
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
188.78000000
0.000023674724
N/A
DFE
N/A
N
2
Standard Chartered Bank
U4LOSYZ7YG4W3S5F2G91
15644.17000000
USD
14500.00000000
EUR
2023-07-18
188.78000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140EW4R3
9392.25240000
PA
USD
8704.04000000
0.001091565559
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138X54U8
16077.11000000
PA
USD
15776.68000000
0.001978538763
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
1314000000.00000000
PA
89265.23000000
0.011194669459
Long
DBT
NUSS
ID
N
2
2028-08-15
Fixed
6.37500000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
60058.00000000
PA
-2032.76000000
-0.00025492654
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-03-27
4.58000000
USD
0.00000000
USD
60058.00000000
CAD
-2032.76000000
N
N
N
N/A
N/A
USD Currency
N/A
162000.00000000
PA
USD
4436.98000000
0.000556437534
N/A
DFE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
USD Currency
1.00000000
4.90000000
USD
2023-08-10
XXXX
1827.96000000
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAU4
790000.00000000
PA
USD
727963.45000000
0.091293219112
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.95000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MFF94
366493.68000000
PA
USD
351605.37000000
0.044094502388
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WPHV9
26665.62000000
PA
USD
24071.20000000
0.003018746800
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBK0
64000.00000000
PA
USD
48314.23000000
0.006059042642
Long
DBT
CORP
US
N
2
2049-09-06
Fixed
4.75800000
N
N
N
N
N
N
Millicom International Cellular SA
549300CTHC1CP86P2G96
Millicom International Cellular SA
600814AP2
180000.00000000
PA
USD
171671.40000000
0.021529150585
Long
DBT
CORP
LU
N
2
2026-10-15
Fixed
6.62500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179TLT0
137241.25440000
PA
USD
131726.70000000
0.016519722914
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCA1
672000.00000000
PA
USD
508114.09000000
0.063722115378
Long
DBT
CORP
US
N
2
2051-03-25
Fixed
3.95000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC Trust, Series 2009-5R, Class 4A4
12641TCR5
1.69830000
PA
USD
1.45000000
0.000000181843
Long
ABS-MBS
CORP
US
N
3
2036-06-25
Variable
2.96659080
N
N
N
N
N
N
Transcontinental Gas Pipe Line Co. LLC
N/A
Transcontinental Gas Pipe Line Co. LLC
893574AM5
270000.00000000
PA
USD
229496.31000000
0.028780918759
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.60000000
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAH4
550000.00000000
PA
USD
474841.74000000
0.059549460915
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJXW3
98042.58000000
PA
USD
87722.15000000
0.011001153232
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-688.62000000
-0.00008635919
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
195880.00000000
BRL
40000.00000000
USD
2023-08-02
-688.62000000
N
N
N
Anchorage Capital CLO 4-R Ltd.
549300MP4QPQUMB6AD63
Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class A
03328LAA0
236518.03000000
PA
USD
235009.75000000
0.029472354141
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
6.32270880
N
N
N
N
N
N
AEP Texas, Inc.
5493001L78U618KXNZ75
AEP Texas, Inc.
00108WAF7
530000.00000000
PA
USD
400400.24000000
0.050213821645
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
3.80000000
N
N
N
N
N
N
Morgan Stanley ABS Capital I, Inc. Trust
N/A
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE5, Class M4
61744CUV6
92951.79980000
PA
USD
75562.63000000
0.009476239139
Long
ABS-O
CORP
US
N
2
2035-09-25
Floating
6.02043120
N
N
N
N
N
N
Madison Park Funding XXX Ltd.
549300FFTJ3WPTJK8589
Madison Park Funding XXX Ltd., Series 2018-30A, Class A
55821TAA5
968943.16850000
PA
USD
959493.07000000
0.120329133387
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
6.01029000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KEYV1
6143.70000000
PA
USD
5860.02000000
0.000734899657
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.00000000
N
N
N
N
N
N
Leviathan Bond Ltd.
254900D9T8VKYVQNZ220
Leviathan Bond Ltd.
N/A
4000.00000000
PA
USD
3711.36000000
0.000465438205
Long
DBT
CORP
IL
N
2
2030-06-30
Fixed
6.75000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
220000.00000000
PA
USD
951.16000000
0.000119284090
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2035-06-17
0.00000000
USD
0.00000000
USD
220000.00000000
USD
951.16000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WBCD5
19575.09000000
PA
USD
18762.86000000
0.002353032819
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
261.84000000
0.000032837110
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
40389.32000000
USD
61000.00000000
AUD
2023-07-18
261.84000000
N
N
N
CSFB Mortgage-Backed Pass-Through Certificates
N/A
CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 10A1
225470FK4
41435.59800000
PA
USD
9631.82000000
0.001207917586
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
6.24999960
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1656.72000000
-0.00020776771
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
341256.74000000
USD
310000.00000000
EUR
2023-09-20
-1656.72000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFK67
4612728.64360000
PA
USD
3736254.16000000
0.468560158738
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFG83
12858.90000000
PA
USD
12251.73000000
0.001536478062
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Crown Castle, Inc.
54930012H97VSM0I2R19
Crown Castle, Inc.
22822VBC4
1290000.00000000
PA
USD
1267662.84000000
0.158976417583
Long
DBT
CORP
US
N
2
2033-05-01
Fixed
5.10000000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAB8
1421000.00000000
PA
USD
1235111.39000000
0.154894170518
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.20000000
N
N
N
N
N
N
Signal Peak CLO 5 Ltd.
N/A
Signal Peak CLO 5 Ltd., Series 2018-5A, Class A
56844YAA5
250000.00000000
PA
USD
247709.35000000
0.031064999164
Long
ABS-CBDO
CORP
KY
N
2
2031-04-25
Floating
6.36513840
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2712.42000000
0.000340162069
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
60000.00000000
USD
300279.60000000
BRL
2023-07-05
2712.42000000
N
N
N
Washington Mutual Bank
N/A
Washington Mutual Escrow Bonds
939MMIBD5
250000.00000000
PA
USD
0.03000000
0.000000003762
Long
DBT
CORP
US
N
3
2017-09-19
None
0.00000000
Y
N
N
N
N
N
FirstEnergy Corp.
549300SVYJS666PQJH88
FirstEnergy Corp.
337932AK3
52000.00000000
PA
USD
48662.57000000
0.006102727637
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
2.05000000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703DBJ9
167000.00000000
PA
USD
166653.69000000
0.020899884241
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.25000000
N
N
N
N
N
N
N/A
N/A
GBP Currency
N/A
62000.00000000
PA
219.02000000
0.000027467094
N/A
DFE
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Put
Purchased
N/A
GBP Currency
1.00000000
1.25000000
GBP
2023-07-24
XXXX
-12.74000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1267.79000000
-0.00015899236
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
77587.04000000
CAD
86000.00000000
AUD
2023-07-18
-1267.79000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEY7
708000.00000000
PA
USD
753172.67000000
0.094454683942
Long
DBT
CORP
US
N
2
2033-10-18
Variable
6.34200000
N
N
N
N
N
N
N/A
N/A
EUR/USD One-touch barrier option; Barrier price EUR 1.01750
N/A
30000.00000000
PA
755.69000000
0.000094770379
N/A
DFE
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Put
Purchased
N/A
EUR/USD One-touch barrier option; Barrier price EUR 1.01750
1.00000000
1.01750000
EUR
2023-09-12
XXXX
-509.74000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XDY42
207667.71550000
PA
USD
170844.81000000
0.021425488702
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FHX7
1362.74000000
PA
USD
1353.23000000
0.000169707315
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-618.97000000
-0.00007762445
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
41000.00000000
USD
53179050.00000000
KRW
2023-07-18
-618.97000000
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650DJ6
231000.00000000
PA
USD
211891.02000000
0.026573055716
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMY58
293514.91100000
PA
USD
241039.31000000
0.030228515652
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Delta Air Lines Pass-Through Trust
N/A
Delta Air Lines Pass-Through Trust, Series 2019-1, Class AA
24737BAA3
420000.00000000
PA
USD
411548.89000000
0.051611963471
Long
DBT
CORP
US
N
2
2024-04-25
Fixed
3.20400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417F4J4
25476.11000000
PA
USD
22997.44000000
0.002884087558
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Dual Binary Option: Payout at expiration if the USDJPY is below 128.506 and JPY Tonar 10y is above 0.888
N/A
30841343.99999999
PA
USD
0.00000000
0.000000
N/A
DFE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Dual Binary Option: Payout at expiration if the USDJPY is below 128.506 and JPY Tonar 10y is above 0.888
1.00000000
128.51000000
USD
2023-06-30
XXXX
-24000.00000000
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
N/A
438290.00000000
PA
218120.78000000
0.027354324123
Long
STIV
NUSS
MX
N
2
2025-01-23
None
0.00000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AZ1
718000.00000000
PA
USD
735528.10000000
0.092241894832
Long
DBT
CORP
CH
N
2
2033-08-12
Variable
6.53700000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGT5
209000.00000000
PA
USD
206674.29000000
0.025918830460
Long
DBT
CORP
US
N
2
2033-05-09
Fixed
5.05000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KNDA8
553605.83380000
PA
USD
476491.65000000
0.059756374593
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM2S3
290828.61730000
PA
USD
239260.41000000
0.030005425457
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F020679
10865915.00000000
PA
USD
8860389.70000000
1.111173230334
Long
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WF4T0
884.58000000
PA
USD
867.18000000
0.000108752237
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022683
-8092600.00000000
PA
USD
-6871755.46000000
-0.86178046012
Short
ABS-MBS
USGSE
US
N
2
2053-08-25
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140NKJM4
139099.64320000
PA
USD
138637.89000000
0.017386448823
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
State of Illinois, Series 2003
452151LF8
775000.00000000
PA
USD
759811.07000000
0.095287199511
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
5.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QRBU6
662652.72070000
PA
USD
649500.69000000
0.081453277366
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140JSAE9
141907.51330000
PA
USD
117266.58000000
0.014706292716
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
80000.00000000
PA
USD
1241.11000000
0.000155646450
N/A
DFE
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Call
Purchased
N/A
USD Currency
1.00000000
4200.00000000
USD
2023-07-25
XXXX
-531.53000000
N
N
N
GreenPoint Mortgage Funding Trust
N/A
GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1
39538WGJ1
12540.04000000
PA
USD
12063.45000000
0.001512866043
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
5.97620160
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FB47
7693.07000000
PA
USD
7814.57000000
0.000980017954
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
78000.00000000
PA
USD
-1261.20000000
-0.00015816591
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Federative Republic of Brazil
Federative Republic of Brazil
Y
Receipt of notional amount upon default event with regard to the reference instrument
2024-12-20
570.66000000
USD
0.00000000
USD
78000.00000000
USD
-1261.20000000
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAK0
461000.00000000
PA
USD
286086.38000000
0.035877826797
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.50000000
N
N
N
N
N
N
YPF SA
5493003N7447U18U5U53
YPF SA
984245AR1
33000.00000000
PA
USD
22459.14000000
0.002816579855
Long
DBT
NUSS
AR
N
2
2047-12-15
Fixed
7.00000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2017-1, Class AA
023761AA7
22010.00000000
PA
USD
20255.15000000
0.002540179520
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.65000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
2078600.00000000
PA
USD
92123.28000000
0.011553094851
N/A
DIR
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Call
Purchased
N/A
Swaption
1.00000000
3.11250000
USD
2026-04-20
XXXX
-13885.32000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M84A9
43879.86000000
PA
USD
45047.75000000
0.005649396424
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.50000000
N
N
N
N
N
N
Aon Corp.
LTS3U8DGK38SETRUWX71
Aon Corp.
037389BC6
176000.00000000
PA
USD
162915.48000000
0.020431078802
Long
DBT
CORP
US
N
2
2029-05-02
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
820000.00000000
PA
USD
5453.59000000
0.000683929648
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-06-30
0.00000000
USD
0.00000000
USD
820000.00000000
USD
5453.59000000
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBE5
373000.00000000
PA
USD
327465.49000000
0.041067142492
Long
DBT
CORP
US
N
2
2029-11-18
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179SLS4
544449.20070000
PA
USD
510247.56000000
0.063989671866
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31416WLG5
2305.75000000
PA
USD
2276.97000000
0.000285552689
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERRX0
19274.59380000
PA
USD
18926.55000000
0.002373561030
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.50000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XB
12531YAS7
170000.00000000
PA
USD
3005.74000000
0.000376947057
Long
ABS-MBS
CORP
US
N
2
2058-05-10
Variable
0.85177080
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36180DVA2
17962.46000000
PA
USD
16946.42000000
0.002125234768
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132CWKK9
67683.94470000
PA
USD
62121.15000000
0.007790555636
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
8956.94000000
0.001123281513
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
178144.38000000
USD
3238664.77000000
MXN
2023-08-31
8956.94000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XHBF7
15843.28000000
PA
USD
15554.62000000
0.001950690425
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WB6N0
31050.66000000
PA
USD
29584.07000000
0.003710110699
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.00000000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DH0
188000.00000000
PA
USD
178249.51000000
0.022354105241
Long
DBT
CORP
US
N
2
2029-08-18
Fixed
4.05000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
8000.00000000
PA
USD
1500.01000000
0.000188114858
N/A
DCR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Markit CMBX North American BBB- 9
137BERAI8
Y
Receipt of notional amount upon default event with regard to the reference instrument
2058-09-17
406.66000000
USD
0.00000000
USD
8000.00000000
USD
1500.01000000
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PDZ2
258000.00000000
PA
USD
179822.24000000
0.022551339847
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YXK95
5730.18000000
PA
USD
5453.95000000
0.000683974796
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBE8
267000.00000000
PA
USD
244722.37000000
0.030690404780
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.90000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KNQV8
101585.20000000
PA
USD
82992.47000000
0.010408008463
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179VSF8
1704719.27050000
PA
USD
1440171.51000000
0.180610569420
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.00000000
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2017-1, Class B
00908PAC1
559.53820000
PA
USD
519.28000000
0.000065122421
Long
DBT
CORP
CA
N
2
2026-01-15
Fixed
3.70000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDY4
117000.00000000
PA
USD
100217.81000000
0.012568222329
Long
DBT
UST
US
N
2
2032-02-15
Fixed
1.87500000
N
N
N
N
N
N
Lockheed Martin Corp.
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp.
539830CA5
99000.00000000
PA
USD
98761.00000000
0.012385525142
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
27804.00000000
PA
-129.14000000
-0.00001619532
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-05-31
0.00000000
USD
0.00000000
USD
27804.00000000
CAD
-129.14000000
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F052672
-8367700.00000000
PA
USD
-8327168.95000000
-1.04430251207
Short
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
64063.00000000
PA
-482.91000000
-0.00006056129
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-06-01
0.00000000
USD
0.00000000
USD
64063.00000000
CAD
-482.91000000
N
N
N
CFK Trust
N/A
CFK Trust, Series 2019-FAX, Class D
12528XAJ4
126000.00000000
PA
USD
108225.70000000
0.013572484365
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Variable
4.79116080
N
N
N
N
N
N
SWF Holdings I Corp.
N/A
SWF Holdings I Corp., 1st Lien Term Loan
78489HAB4
78012.50000000
PA
USD
62917.08000000
0.007890372477
Long
LON
CORP
US
N
2
2028-10-06
Variable
9.21697000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMSH9
514202.43000000
PA
USD
488963.56000000
0.061320465225
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QC5
4056900.00000000
PA
USD
4360850.57000000
0.546890213516
Long
DBT
UST
US
N
2
2039-08-15
Fixed
4.50000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust, Series 2006-3A, Class A1
07324NAA1
9010.14000000
PA
USD
8310.15000000
0.001042168181
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.52543120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQLB6
100447.47000000
PA
USD
101162.46000000
0.012686690007
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36176DHP1
11497.16000000
PA
USD
11184.67000000
0.001402659060
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
4.00000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LBF7
127000.00000000
PA
USD
89966.79000000
0.011282651446
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.05000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AF5
837000.00000000
PA
USD
756645.97000000
0.094890267264
Long
DBT
CORP
CH
N
2
2029-01-12
Variable
3.86900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNEL2
1111731.05900000
PA
USD
913081.39000000
0.114508687770
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128285M8
1164000.00000000
PA
USD
1108846.41000000
0.139059396828
Long
DBT
UST
US
N
2
2028-11-15
Fixed
3.12500000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDA6
450000.00000000
PA
USD
393620.24000000
0.049363548152
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.65000000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust, Series 2007-1, Class 2A3
43710LAD6
66604.49000000
PA
USD
50062.62000000
0.006278306605
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.45042880
N
N
N
N
N
N
Newmont Corp.
549300VSP3RIX7FGDZ51
Newmont Corp.
651639AY2
250000.00000000
PA
USD
204822.99000000
0.025686660649
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.25000000
N
N
N
N
N
N
Southwest Gas Corp.
OQQR1IQTGBKH0UR88X59
Southwest Gas Corp.
845011AH8
260000.00000000
PA
USD
259208.12000000
0.032507049213
Long
DBT
CORP
US
N
2
2028-03-23
Fixed
5.45000000
N
N
N
N
N
N
OHA Loan Funding Ltd.
N/A
OHA Loan Funding Ltd., Series 2013-2A, Class AR
67104LAE7
225000.00000000
PA
USD
223815.69000000
0.028068517489
Long
ABS-CBDO
CORP
KY
N
2
2031-05-23
Floating
6.43271040
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132M8NA0
398198.79000000
PA
USD
371359.26000000
0.046571819357
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
3.50000000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBK9
440000.00000000
PA
USD
445699.17000000
0.055894718319
Long
DBT
CORP
US
N
2
2053-01-15
Fixed
5.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31419A4H7
2351.99000000
PA
USD
2430.71000000
0.000304833080
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
6.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KJSE3
224425.69840000
PA
USD
173997.73000000
0.021820893466
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-630.99000000
-0.00007913186
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
310000.00000000
EUR
266849.24000000
GBP
2023-09-20
-630.99000000
N
N
N
280 Park Avenue Mortgage Trust
N/A
280 Park Avenue Mortgage Trust, Series 2017-280P, Class E
90205FAN0
137000.00000000
PA
USD
117216.06000000
0.014699957050
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
7.21788840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140EW4P7
4696.91160000
PA
USD
4352.34000000
0.000545822910
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAJ4
204000.00000000
PA
USD
184704.47000000
0.023163615770
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.70000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-80000.00000000
PA
USD
-430.66000000
-0.00005400866
N/A
DFE
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
USD Currency
1.00000000
790.00000000
USD
2023-07-20
XXXX
192.54000000
N
N
N
Pfizer Investment Enterprises Pte. Ltd.
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte. Ltd.
716973AH5
1171000.00000000
PA
USD
1184991.38000000
0.148608666685
Long
DBT
CORP
SG
N
2
2063-05-19
Fixed
5.34000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCB5
4730000.00000000
PA
USD
4019576.18000000
0.504091309720
Long
DBT
UST
US
N
2
2031-05-15
Fixed
1.62500000
N
N
N
N
N
N
City of San Antonio Electric & Gas Systems
5493002G2FEH20Q4GQ04
City of San Antonio Electric & Gas Systems, Series 2010A
796253Y30
215000.00000000
PA
USD
233280.94000000
0.029255545687
Long
DBT
MUN
US
N
2
2041-02-01
Fixed
5.80800000
N
N
N
N
N
N
CIFC Funding Ltd.
549300Y56VCWZJQV2Z14
CIFC Funding Ltd., Series 2014-5A, Class A1R2
12550AAT3
250000.00000000
PA
USD
247030.00000000
0.030979802512
Long
ABS-CBDO
CORP
KY
N
2
2031-10-17
Floating
6.46029000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31412QM89
43616.92000000
PA
USD
44633.25000000
0.005597414364
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.50000000
N
N
N
N
N
N
Moody's Corp.
549300GCEDD8YCF5WU84
Moody's Corp.
615369AU9
147000.00000000
PA
USD
80992.36000000
0.010157176528
Long
DBT
CORP
US
N
2
2060-08-18
Fixed
2.55000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
197.00000000
NC
USD
-134038.69000000
-0.01680966742
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
3 Month SOFR Interest Futures
2024-09-17
46910625.00000000
USD
-134038.69000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KYWN5
110323.01000000
PA
USD
93332.95000000
0.011704798441
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
Pioneer Natural Resources Co.
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co.
723787AR8
116000.00000000
PA
USD
94958.57000000
0.011908665933
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.15000000
N
N
N
N
N
N
Marsh & McLennan Cos., Inc.
549300XMP3KDCKJXIU47
Marsh & McLennan Cos., Inc.
571748BT8
265000.00000000
PA
USD
269704.49000000
0.033823389211
Long
DBT
CORP
US
N
2
2053-03-15
Fixed
5.45000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust, Series 2017-CC, Class E
05607CAN9
110000.00000000
PA
USD
73142.26000000
0.009172702789
Long
ABS-MBS
CORP
US
N
2
2037-08-13
Variable
3.66988320
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2006-RM3, Class A2B
590217AD7
24577.48000000
PA
USD
5186.24000000
0.000650401534
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
5.33043000
N
N
N
N
N
N
N/A
N/A
EUR Currency
N/A
1250000.00000000
PA
212.35000000
0.000026630615
N/A
DFE
DE
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
Call
Purchased
N/A
EUR Currency
1.00000000
1.12500000
EUR
2023-07-19
XXXX
-8214.40000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307QVQ7
2792.24000000
PA
USD
2670.50000000
0.000334904920
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGW5
452525.73220000
PA
USD
371487.13000000
0.046587855415
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-930.17000000
-0.00011665175
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
82000.00000000
USD
1219627000.00000000
IDR
2023-07-18
-930.17000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418NYJ3
1242.31000000
PA
USD
1225.64000000
0.000153706372
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
AUD Currency
N/A
-178000.00000000
PA
-637.52000000
-0.00007995079
N/A
DFE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
AUD Currency
1.00000000
0.65000000
AUD
2023-08-18
XXXX
-220.62000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KQKR6
245915.19000000
PA
USD
241214.33000000
0.030250464747
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QRWZ2
796080.71860000
PA
USD
783287.77000000
0.098231390620
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
5.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BJW7
43797.36110000
PA
USD
39583.25000000
0.004964098562
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.00000000
N
N
N
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AQ8
188000.00000000
PA
USD
158040.17000000
0.019819670710
Long
DBT
CORP
US
N
2
2049-03-15
Fixed
4.12500000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGN8
1165000.00000000
PA
USD
936991.31000000
0.117507208596
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YB0
1320000.00000000
PA
USD
1151029.69000000
0.144349562733
Long
DBT
UST
US
N
2
2029-08-15
Fixed
1.62500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KMW84
968239.24970000
PA
USD
791095.87000000
0.099210597178
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KRCJ1
563686.62000000
PA
USD
568721.31000000
0.071322810461
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179SGL5
173160.89420000
PA
USD
162177.15000000
0.020338485524
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRY3
133016.42000000
PA
USD
127425.71000000
0.015980339759
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
DTE Electric Co.
9N0FWODEJVKHC2DYLO03
DTE Electric Co.
23338VAT3
126000.00000000
PA
USD
130038.69000000
0.016308031150
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
5.40000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-4318000.00000000
PA
USD
-49699.22000000
-0.00623273294
N/A
DIR
CH
N
2
UBS
BFM8T61CT2L1QCEMIK50
Put
Written
N/A
Swaption
1.00000000
4.15000000
USD
2023-08-22
XXXX
-38040.62000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138M8YB3
10387.29880000
PA
USD
9883.23000000
0.001239446680
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
998.90000000
0.000125271119
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
95574000.00000000
CLP
120000.00000000
USD
2023-07-18
998.90000000
N
N
N
N/A
N/A
SOP
N/A
792396.00000000
PA
USD
40327.36000000
0.005057416705
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Put
Purchased
N/A
Swaption
1.00000000
3.15400000
USD
2026-06-23
XXXX
1658.44000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRJ6
385716.96000000
PA
USD
366866.36000000
0.046008368948
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGS24
46468.34210000
PA
USD
44388.46000000
0.005566715478
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DQF35
202342.69000000
PA
USD
204485.03000000
0.025644277400
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31416VGJ7
18513.81000000
PA
USD
18984.79000000
0.002380864854
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
184.97000000
0.000023196915
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
47000.00000000
GBP
1027684.69000000
MXN
2023-07-18
184.97000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1361.78000000
0.000170779563
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
718970.00000000
EUR
788981.86000000
USD
2023-09-20
1361.78000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SX7
3016800.00000000
PA
USD
2242920.09000000
0.281282522120
Long
DBT
UST
US
N
2
2051-05-15
Fixed
2.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QEBM3
626953.25520000
PA
USD
538837.90000000
0.067575159811
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Conseco Finance Corp.
N/A
Conseco Finance Corp., Series 1998-8, Class M1
393505P22
89907.73830000
PA
USD
80943.15000000
0.010151005148
Long
ABS-O
CORP
US
N
2
2030-09-01
Variable
6.98000040
N
N
N
N
N
N
Cheniere Energy Partners LP
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAP6
247000.00000000
PA
USD
247718.77000000
0.031066180517
Long
DBT
CORP
US
N
2
2033-06-30
Fixed
5.95000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2018-1, Class AA
909318AA5
31373.25570000
PA
USD
28276.86000000
0.003546174709
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co.
842400HT3
776000.00000000
PA
USD
812238.00000000
0.101862012035
Long
DBT
CORP
US
N
2
2032-11-01
Fixed
5.95000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBZ2
679000.00000000
PA
USD
688517.09000000
0.086346287797
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
5.65000000
N
N
N
N
N
N
N/A
N/A
Euro-Schatz
N/A
15.00000000
NC
-2059.09000000
-0.00025822856
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Long
N/A
Euro-Schatz
2023-09-07
1572750.00000000
EUR
-2059.09000000
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1
86360JAE1
31965.87000000
PA
USD
21347.72000000
0.002677197707
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
5.57043120
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RMT6
375000.00000000
PA
USD
375644.19000000
0.047109188443
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
5.40000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F012478
247921.00000000
PA
USD
213870.60000000
0.026821313003
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Fixed
1.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132Y4AU6
507547.61330000
PA
USD
498651.83000000
0.062535462153
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
455780CW4
641000.00000000
PA
USD
467000.55000000
0.058566104571
Long
DBT
NUSS
ID
N
2
2051-03-12
Fixed
3.05000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPR59
2127267.75160000
PA
USD
2173191.63000000
0.272537940813
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
6.00000000
N
N
N
N
N
N
Consumers Energy Co.
7NKTFWJ1G6MELP9TU740
Consumers Energy Co.
210518DQ6
220000.00000000
PA
USD
188235.11000000
0.023606390048
Long
DBT
CORP
US
N
2
2052-09-01
Fixed
4.20000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
2915000.00000000
PA
-78986.99000000
-0.00990568494
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-06-15
0.00000000
USD
0.00000000
USD
2915000.00000000
CAD
-78986.99000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVLU7
494397.04520000
PA
USD
409129.26000000
0.051308519924
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
913017CY3
1164000.00000000
PA
USD
1121089.24000000
0.140594758750
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CRC0
249816.05180000
PA
USD
230559.62000000
0.028914267477
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282A7
1479000.00000000
PA
USD
1351840.67000000
0.169533080941
Long
DBT
UST
US
N
2
2026-08-15
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179MG87
14807.18000000
PA
USD
15045.68000000
0.001886864733
Long
ABS-MBS
USGA
US
N
2
2042-07-20
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1648.19000000
0.000206697974
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
157697100.00000000
CLP
198000.00000000
USD
2023-07-18
1648.19000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3776.84000000
0.000473649991
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
661079.65000000
GBP
770000.00000000
EUR
2023-09-20
3776.84000000
N
N
N
Municipal Electric Authority of Georgia
JA0WNILDDF2KUPS83B16
Municipal Electric Authority of Georgia, Series 2010-A
626207YF5
53000.00000000
PA
USD
60534.08000000
0.007591522663
Long
DBT
MUN
US
N
2
2057-04-01
Fixed
6.63700000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRE7
220317.16000000
PA
USD
206208.72000000
0.025860443759
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XBJE1
1340659.22930000
PA
USD
1274182.52000000
0.159794044587
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
4.00000000
N
N
N
N
N
N
Prima Capital CRE Securitization Ltd.
N/A
Prima Capital CRE Securitization Ltd., Series 2015-4A, Class C
74165GAB6
75906.14000000
PA
USD
70076.55000000
0.008788234950
Long
ABS-CBDO
CORP
KY
N
3
2049-08-24
Fixed
4.00000000
N
N
N
N
N
N
Kingdom of Morocco
529900F3MBW9XY5K1X07
Kingdom of Morocco
617726AP9
200000.00000000
PA
USD
205628.00000000
0.025787616204
Long
DBT
NUSS
MA
N
2
2033-09-08
Fixed
6.50000000
N
N
N
N
N
N
Exelon Corp.
3SOUA6IRML7435B56G12
Exelon Corp.
30161NAV3
231000.00000000
PA
USD
196166.74000000
0.024601088388
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
4.45000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NXU3
995.49000000
PA
USD
926.16000000
0.000116148864
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Oakwood Mortgage Investors, Inc.
N/A
Oakwood Mortgage Investors, Inc., Series 2002-B, Class M1
67087TDS7
81030.57000000
PA
USD
77708.77000000
0.009745384560
Long
ABS-O
CORP
US
N
2
2032-06-15
Variable
7.62000120
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KQQM1
216370.55350000
PA
USD
218439.42000000
0.027394284469
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
6.00000000
N
N
N
N
N
N
BWAY Mortgage Trust
N/A
BWAY Mortgage Trust, Series 2013-1515, Class A2
05604FAC9
150000.00000000
PA
USD
138885.63000000
0.017417517666
Long
ABS-MBS
CORP
US
N
2
2033-03-10
Fixed
3.45430000
N
N
N
N
N
N
Select Medical Corp.
549300X05KS0JKR8CB50
Select Medical Corp., Term Loan B
816194AV6
44716.70000000
PA
USD
44571.37000000
0.005589654051
Long
LON
CORP
US
N
2
2025-03-06
Variable
7.70249000
N
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust
N/A
BAMLL Commercial Mortgage Securities Trust, Series 2017-SCH, Class DL
054966AW6
100000.00000000
PA
USD
88579.24000000
0.011108640091
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
7.19399880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YD4N6
4223.05000000
PA
USD
3930.99000000
0.000492981799
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
JPMorgan Chase Commercial Mortgage Securities Trust
N/A
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2022-NXSS, Class A
465979AA0
300000.00000000
PA
USD
300090.51000000
0.037634071714
Long
ABS-MBS
CORP
US
N
2
2039-09-15
Floating
7.32598920
N
N
N
N
N
N
Republic Services, Inc.
NKNQHM6BLECKVOQP7O46
Republic Services, Inc.
760759BC3
108000.00000000
PA
USD
107757.39000000
0.013513754043
Long
DBT
CORP
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
Caliber Home Loans
N/A
Caliber Home Loans, Term Loan
N/A
609999.97240000
PA
USD
606949.97000000
0.076117031152
Long
LON
CORP
US
N
3
2026-07-15
Variable
8.43509215
N
N
N
N
N
N
Aon Corp.
LTS3U8DGK38SETRUWX71
Aon Corp.
037389BE2
93000.00000000
PA
USD
80493.11000000
0.010094566050
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.80000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XB2F6
213146.40460000
PA
USD
202806.11000000
0.025433725604
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.00000000
N
N
N
N
N
N
CIFC Funding 2013-III-R Ltd.
549300JZARV9CBLL1S14
CIFC Funding 2013-III-R Ltd., Series 2013-3RA, Class A1
12552MAC2
400000.00000000
PA
USD
396450.80000000
0.049718526049
Long
ABS-CBDO
CORP
KY
N
2
2031-04-24
Floating
6.25271040
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-1, Class AA
90931LAA6
9937.05000000
PA
USD
8980.59000000
0.001126247438
Long
DBT
CORP
US
N
2
2028-07-07
Fixed
3.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179TAL9
117975.57460000
PA
USD
113238.39000000
0.014201121155
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
310.14000000
0.000038894368
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
472546.80000000
BRL
99000.00000000
USD
2023-07-05
310.14000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
4167.23000000
0.000522608437
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
81000.00000000
USD
407797.74000000
BRL
2023-07-05
4167.23000000
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BV5
261000.00000000
PA
USD
164920.37000000
0.020682510192
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.70000000
N
N
N
N
N
N
Devon Energy Corp.
54930042348RKR3ZPN35
Devon Energy Corp.
25179MBB8
114000.00000000
PA
USD
114059.28000000
0.014304068206
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
8.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QH4
1954800.00000000
PA
USD
2065444.73000000
0.259025502310
Long
DBT
UST
US
N
2
2040-05-15
Fixed
4.37500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1892.16000000
0.000237294025
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
486812.53000000
USD
2038770875.80000000
COP
2023-07-05
1892.16000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRS6
814501.97000000
PA
USD
735291.64000000
0.092212240603
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
3.00000000
N
N
N
N
N
N
APS Resecuritization Trust
N/A
APS Resecuritization Trust, Series 2016-1, Class 1MZ
00192JAB2
280096.54000000
PA
USD
112998.45000000
0.014171030503
Long
ABS-MBS
CORP
US
N
2
2057-07-31
Variable
2.99203560
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828Z94
1019000.00000000
PA
USD
872757.58000000
0.109451716267
Long
DBT
UST
US
N
2
2030-02-15
Fixed
1.50000000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
Kingdom of Saudi Arabia
N/A
200000.00000000
PA
USD
140344.00000000
0.017600410491
Long
DBT
NUSS
SA
N
2
2061-02-02
Fixed
3.45000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust, Series 2007-H1, Class A1B
36245YAW4
21035.33000000
PA
USD
10885.74000000
0.001365170527
Long
ABS-O
CORP
US
N
2
2047-01-25
Floating
5.55042960
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179R4E6
810485.49230000
PA
USD
759067.34000000
0.095193929024
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83A3
552101.41000000
PA
USD
491943.83000000
0.061694218113
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SR0
1933000.00000000
PA
USD
1253052.15000000
0.157144104541
Long
DBT
UST
US
N
2
2040-05-15
Fixed
1.12500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MENS6
24639.52030000
PA
USD
23359.20000000
0.002929455543
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
2.50000000
N
N
N
N
N
N
Viper Energy Partners LP
5299009LINL232255G03
Viper Energy Partners LP
92763MAA3
350000.00000000
PA
USD
335901.18000000
0.042125054528
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138W6SU1
20965.42000000
PA
USD
18925.58000000
0.002373439383
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2016-1, Class AA
02376UAA3
82185.56980000
PA
USD
76106.54000000
0.009544450387
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.57500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DQGA8
587642.92000000
PA
USD
585748.50000000
0.073458174521
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
CenterPoint Energy Resources Corp.
2JADVB0458J06WCD4N56
CenterPoint Energy Resources Corp.
15189YAG1
230000.00000000
PA
USD
229906.80000000
0.028832397928
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFUY5
91539.59000000
PA
USD
76545.09000000
0.009599448534
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Promigas SA ESP
254900IXHTV7LDSFQD65
Promigas SA ESP
74348DAA5
200000.00000000
PA
USD
167000.00000000
0.020943314656
Long
DBT
CORP
US
N
2
2029-10-16
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YED3
1150000.00000000
PA
USD
914004.35000000
0.114624435325
Long
DBT
CORP
US
N
2
2032-07-21
Variable
2.23900000
N
N
N
N
N
N
Thermo Fisher Scientific, Inc.
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific, Inc.
883556CU4
174000.00000000
PA
USD
177136.77000000
0.022214557552
Long
DBT
CORP
US
N
2
2032-11-21
Fixed
4.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XQBF7
13632.88000000
PA
USD
12962.40000000
0.001625602526
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
3.00000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCY3
677000.00000000
PA
USD
644688.85000000
0.080849828988
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.55000000
N
N
N
N
N
N
Consolidated Edison Co. of New York, Inc.
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co. of New York, Inc.
209111GD9
298000.00000000
PA
USD
327597.83000000
0.041083739128
Long
DBT
CORP
US
N
2
2052-11-15
Fixed
6.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CWS9
5076.11680000
PA
USD
4684.80000000
0.000587516410
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
78246.00000000
PA
2177.96000000
0.000273135937
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-04-25
479.33000000
USD
0.00000000
USD
78246.00000000
CAD
2177.96000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QMH80
617770.47210000
PA
USD
508553.86000000
0.063777266525
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class XB
12595JAQ7
1430000.00000000
PA
USD
14396.24000000
0.001805419067
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
0.25944840
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CX1
192000.00000000
PA
USD
190154.36000000
0.023847081405
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93000000
N
N
N
N
N
N
Octagon Investment Partners 31 Ltd.
5493003JSU68UU09PZ63
Octagon Investment Partners 31 Ltd., Series 2017-1A, Class AR
67575XAN1
698457.78330000
PA
USD
693602.80000000
0.086984081958
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.30042840
N
N
N
N
N
N
CP Iris Holdco I, Inc.
25490024F0AS5UR7DB02
CP Iris Holdco I, Inc., Delayed Draw 1st Lien Term Loan
12659EAD0
5499.24000000
PA
USD
5095.05000000
0.000638965481
Long
LON
CORP
US
N
2
2028-10-02
Variable
0.37500000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032674
18864814.00000000
PA
USD
17189824.90000000
2.155759950717
Long
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
998.90000000
0.000125271119
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
95574000.00000000
CLP
120000.00000000
USD
2023-07-18
998.90000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XDTP5
230651.61000000
PA
USD
221644.03000000
0.027796171628
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.00000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF
36242DT52
35161.56000000
PA
USD
30600.42000000
0.003837570207
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
5.50042920
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132XCSC0
788476.39790000
PA
USD
774849.63000000
0.097173171332
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J57D5
323581.54360000
PA
USD
304579.74000000
0.038197061873
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPJ25
212598.35740000
PA
USD
208536.36000000
0.026152350926
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179MAY6
35489.76000000
PA
USD
34458.98000000
0.004321468628
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TD0
160000.00000000
PA
USD
115625.00000000
0.014500423695
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140EW4N2
3837.45390000
PA
USD
3556.26000000
0.000445987258
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YJF68
1968.66000000
PA
USD
1915.41000000
0.000240209786
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
4.00000000
N
N
N
N
N
N
ACE Securities Corp. Home Equity Loan Trust
N/A
ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE4, Class A2A
00442LAB5
85340.46000000
PA
USD
14416.61000000
0.001807973649
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.41042920
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBS0
1093000.00000000
PA
USD
1010085.02000000
0.126673822776
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179R7J2
1010652.58470000
PA
USD
946551.83000000
0.118706184516
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
3.50000000
N
N
N
N
N
N
C-BASS Trust
N/A
C-BASS Trust, Series 2006-CB7, Class A4
12479DAD0
36229.53000000
PA
USD
23916.42000000
0.002999335985
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.47043040
N
N
N
N
N
N
CD Mortgage Trust
N/A
CD Mortgage Trust, Series 2017-CD3, Class A4
12515GAD9
30000.00000000
PA
USD
27295.62000000
0.003423118313
Long
ABS-MBS
CORP
US
N
2
2050-02-10
Fixed
3.63100000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-4317000.00000000
PA
USD
-51042.82000000
-0.00640123257
N/A
DIR
CH
N
2
UBS
BFM8T61CT2L1QCEMIK50
Put
Written
N/A
Swaption
1.00000000
4.13000000
USD
2023-08-23
XXXX
-39386.92000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KYWE5
105570.46230000
PA
USD
89682.51000000
0.011247000156
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Ameren Illinois Co.
RC71E2BZ6UOMFPDJSE79
Ameren Illinois Co.
02361DAU4
220000.00000000
PA
USD
160781.88000000
0.020163506011
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
3.25000000
N
N
N
N
N
N
Origen Manufactured Housing Contract Trust
5493005G5GFEQWMCSY59
Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1
68620KAA0
20785.83000000
PA
USD
20341.57000000
0.002551017371
Long
ABS-O
CORP
US
N
2
2037-10-15
Floating
6.39329040
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BC7
179000.00000000
PA
USD
168748.21000000
0.021162556046
Long
DBT
CORP
US
N
2
2055-10-23
Fixed
6.83400000
N
N
N
N
N
N
GLP Capital LP
2549005PXW31DRW8EC44
GLP Capital LP
361841AP4
1459000.00000000
PA
USD
1264453.58000000
0.158573947271
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.00000000
N
N
N
N
N
N
Lehman Brothers Holdings, Inc.
N/A
Lehman Brothers Holdings, Inc.
N/A
185000.00000000
PA
USD
0.02000000
0.000000002508
Long
DBT
CORP
JP
N
3
2049-11-29
Fixed
5.87500000
Y
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-280.89000000
-0.00003522615
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
382390.73000000
MXN
22000.00000000
USD
2023-07-18
-280.89000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QKVQ8
187015.35740000
PA
USD
162732.46000000
0.020408126434
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
2078600.00000000
PA
USD
107223.04000000
0.013446741707
N/A
DIR
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Put
Purchased
N/A
Swaption
1.00000000
3.11250000
USD
2026-04-20
XXXX
1214.44000000
N
N
N
Lehman Brothers Small Balance Commercial Mortgage Trust
N/A
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 1A
52521GAA3
1719.67000000
PA
USD
1720.91000000
0.000215817722
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.40042840
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QUZX4
5057.95000000
PA
USD
4824.17000000
0.000604994672
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC Trust, Series 2017-TIME, Class A
12652XAA1
100000.00000000
PA
USD
84340.53000000
0.010577067413
Long
ABS-MBS
CORP
US
N
2
2039-11-13
Fixed
3.64630000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XGR43
114781.20290000
PA
USD
93858.12000000
0.011770659522
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132L5FG3
130834.71000000
PA
USD
118244.78000000
0.014828967868
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
5172.39000000
0.000648664618
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
4970867.61000000
ZAR
268317.00000000
USD
2023-08-08
5172.39000000
N
N
N
RR 3 Ltd.
549300YH0VOGWM5JZF65
RR 3 Ltd., Series 2018-3A, Class A1R2
74988LAA2
1377536.65000000
PA
USD
1366516.36000000
0.171373545572
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
6.35028840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140JARS9
228634.15850000
PA
USD
225663.75000000
0.028300280974
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
Generate CLO 2 Ltd.
N/A
Generate CLO 2 Ltd., Series 2A, Class AR
98625TAJ4
993229.97000000
PA
USD
982619.29000000
0.123229371125
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
6.42270960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WH3T7
58828.49830000
PA
USD
54514.67000000
0.006836634055
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
600.83000000
0.000075349531
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
365607.28000000
ZAR
20000.00000000
USD
2023-07-18
600.83000000
N
N
N
Discover Bank
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAR2
250000.00000000
PA
USD
201696.43000000
0.025294561668
Long
DBT
CORP
US
N
2
2030-02-06
Fixed
2.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H060671
738000.00000000
PA
USD
742900.78000000
0.093166495772
Long
ABS-MBS
USGA
US
N
2
2053-07-15
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
5189000.00000000
PA
2500.68000000
0.000313607952
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2028-09-20
0.00000000
USD
0.00000000
USD
5189000.00000000
CZK
2500.68000000
N
N
N
Atlantic City Electric Co.
549300S5TW3VP5V06B73
Atlantic City Electric Co.
048303CH2
128000.00000000
PA
USD
121861.33000000
0.015282516039
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.00000000
N
N
N
N
N
N
Ares XXXVII CLO Ltd.
635400YF4AHA6NB2CU53
Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R
04015NAG9
240855.77000000
PA
USD
239884.01000000
0.030083630553
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.43029120
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PEL2
325000.00000000
PA
USD
312444.89000000
0.039183423018
Long
DBT
CORP
US
N
2
2062-05-15
Fixed
4.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WTV37
12231.03000000
PA
USD
11667.93000000
0.001463264247
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132J72F8
41065.04000000
PA
USD
37113.61000000
0.004654383306
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YY0
7368000.00000000
PA
USD
7004780.59000000
0.878463017938
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
NNN REIT, Inc.
5493008JKH5SOTI0JS97
NNN REIT, Inc.
637417AQ9
122000.00000000
PA
USD
82027.11000000
0.010286943563
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.50000000
N
N
N
N
N
N
Carbone CLO Ltd.
5493005I53NEC017LN87
Carbone CLO Ltd., Series 2017-1A, Class A1
141312AA6
705850.21000000
PA
USD
702018.15000000
0.088039443173
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
6.39042840
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CP5
94000.00000000
PA
USD
79214.56000000
0.009934224284
Long
DBT
CORP
US
N
2
2027-12-02
Fixed
2.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QMVL5
292496.80590000
PA
USD
259812.19000000
0.032582805070
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
379.76000000
0.000047625348
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1252376.13000000
THB
35750.00000000
USD
2023-07-18
379.76000000
N
N
N
American Municipal Power, Inc.
EARKGGZJJEMVD66XQ486
American Municipal Power, Inc., Series 2010A
02765UEK6
135000.00000000
PA
USD
182971.00000000
0.022946222910
Long
DBT
MUN
US
N
2
2050-02-15
Fixed
8.08400000
N
N
N
N
N
N
Gilead Sciences, Inc.
549300WTZWR07K8MNV44
Gilead Sciences, Inc.
375558AX1
488000.00000000
PA
USD
465829.08000000
0.058419191608
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
4.80000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138M1YD4
4039.71000000
PA
USD
3781.04000000
0.000474176709
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
848000.00000000
PA
16668.84000000
0.002090423719
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-06-27
0.00000000
USD
0.00000000
USD
848000.00000000
GBP
16668.84000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
38.08000000
0.000004775577
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
40000.00000000
USD
32156000.00000000
CLP
2023-07-18
38.08000000
N
N
N
Credit Suisse Mortgage Capital Certificates
N/A
Credit Suisse Mortgage Capital Certificates, Series 2009-12R, Class 3A1
12642MAJ9
280974.16470000
PA
USD
117968.01000000
0.014794258400
Long
ABS-MBS
CORP
US
N
2
2037-10-27
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFNC6
11146.44000000
PA
USD
10357.37000000
0.001298908137
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F040677
8401800.00000000
PA
USD
7884236.01000000
0.988754704090
Long
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDL2
73000.00000000
PA
USD
63852.19000000
0.008007643752
Long
DBT
UST
US
N
2
2028-11-30
Fixed
1.50000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PEF5
549000.00000000
PA
USD
409502.38000000
0.051355312556
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
3.25000000
N
N
N
N
N
N
Cameron LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
249000.00000000
PA
USD
207567.44000000
0.026030839570
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
Aon Corp.
LTS3U8DGK38SETRUWX71
Aon Corp.
037389BB8
81000.00000000
PA
USD
77934.74000000
0.009773723248
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association, Series 2021-83, Class PI
38382QQP8
2278992.52800000
PA
USD
329928.84000000
0.041376068924
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-2023000.00000000
PA
USD
-81692.98000000
-0.01024504063
N/A
DIR
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Call
Written
N/A
Swaption
1.00000000
3.02200000
USD
2026-03-16
XXXX
32201.92000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp., Series 389, Class C45
31325YRZ3
4518946.50100000
PA
USD
737040.40000000
0.092431550968
Long
ABS-MBS
USGSE
US
N
2
2052-10-15
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132WJTW1
39238.01000000
PA
USD
35156.14000000
0.004408898815
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XEH5
410000.00000000
PA
USD
408435.88000000
0.051221563783
Long
DBT
CORP
US
N
2
2028-06-23
Fixed
5.80000000
N
N
N
N
N
N
Intel Corp.
KNX4USFCNGPY45LOCE31
Intel Corp.
458140CJ7
167000.00000000
PA
USD
169888.30000000
0.021305533672
Long
DBT
CORP
US
N
2
2053-02-10
Fixed
5.70000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-46226.04000000
-0.00579716467
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
10562162.00000000
MXN
563961.98000000
USD
2023-08-31
-46226.04000000
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class XA
46643ABG7
961968.44930000
PA
USD
4915.37000000
0.000616431979
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Variable
0.73777680
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FMA1
123494.49000000
PA
USD
119908.89000000
0.015037662355
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
62382.00000000
PA
243.38000000
0.000030522059
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-06-29
0.00000000
USD
0.00000000
USD
62382.00000000
CAD
243.38000000
N
N
N
Octagon Investment Partners XVII Ltd.
54930007Y57X4ONHQV20
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2
67590GBG3
247802.00000000
PA
USD
246304.41000000
0.030888806945
Long
ABS-CBDO
CORP
KY
N
2
2031-01-25
Floating
6.25514040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31402RDH9
69812.49000000
PA
USD
72026.23000000
0.009032742505
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QDSX3
157336.58710000
PA
USD
140307.59000000
0.017595844347
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022675
6129200.00000000
PA
USD
5196891.25000000
0.651737297509
Long
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
2.50000000
N
N
N
N
N
N
Huntington Ingalls Industries, Inc.
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries, Inc.
446413AL0
943000.00000000
PA
USD
864344.17000000
0.108396598345
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.48300000
N
N
N
N
N
N
Romania
315700IASY927EDWBK92
Romania Government Bond
N/A
54000.00000000
PA
51038.30000000
0.006400665727
Long
DBT
NUSS
RO
N
2
2028-03-07
Fixed
2.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QHPS8
130502.78700000
PA
USD
115722.85000000
0.014512694972
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
2.00000000
N
N
N
N
N
N
Alternative Loan Trust
549300EBNJLBIQBKE071
Alternative Loan Trust, Series 2006-OA8, Class 1A1
02147CAA1
6935.03000000
PA
USD
5969.10000000
0.000748579278
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
5.53043160
N
N
N
N
N
N
Allied Universal Holdco LLC
98450038B4549046D794
Allied Universal Holdco LLC, Term Loan
01957TAH0
140497.50000000
PA
USD
136361.25000000
0.017100937519
Long
LON
CORP
US
N
2
2028-05-12
Variable
8.95249000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
656.76000000
0.000082363660
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
741484.00000000
ZAR
40000.00000000
USD
2023-07-18
656.76000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFYN0
10803.90000000
PA
USD
10039.54000000
0.001259049372
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust, Series 2017-CC, Class D
05607CAL3
60000.00000000
PA
USD
43494.06000000
0.005454549606
Long
ABS-MBS
CORP
US
N
2
2037-08-13
Variable
3.66988320
N
N
N
N
N
N
Boeing Co. (The)
RVHJWBXLJ1RFUBSY1F30
Boeing Co. (The)
097023CR4
349000.00000000
PA
USD
257746.08000000
0.032323696137
Long
DBT
CORP
US
N
2
2059-08-01
Fixed
3.95000000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
6103400.00000000
PA
USD
75715.42000000
0.009495400391
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
Markit CDX North American High Yield Index Series 40-V1
2I65BRZI4
Y
Payout of notional amount upon default event with regard to the reference instrument
2028-06-20
104079.28000000
USD
0.00000000
USD
6103400.00000000
USD
75715.42000000
N
N
N
BBCMS Trust
N/A
BBCMS Trust, Series 2015-SRCH, Class XA
05547HAE1
946580.73000000
PA
USD
26570.32000000
0.003332159115
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Variable
1.06354800
N
N
N
N
N
N
Madison Park Funding XIII Ltd.
N/A
Madison Park Funding XIII Ltd., Series 2014-13A, Class AR2
55818MBA4
462498.64000000
PA
USD
460332.30000000
0.057729845541
Long
ABS-CBDO
CORP
KY
N
2
2030-04-19
Floating
6.21500040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJJ25
54522.47360000
PA
USD
51994.18000000
0.006520541748
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
SMB Private Education Loan Trust
549300ZLJ4U248VKSJ66
SMB Private Education Loan Trust, Series 2015-B, Class B
78448QAE8
100000.00000000
PA
USD
95307.79000000
0.011952461288
Long
ABS-O
CORP
US
N
2
2040-12-17
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CPF5
13123.35930000
PA
USD
12544.52000000
0.001573196584
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410KXL3
4561.33000000
PA
USD
4734.47000000
0.000593745478
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140GYJX8
115121.73160000
PA
USD
106247.91000000
0.013324451561
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133L8GG4
526314.49640000
PA
USD
467191.34000000
0.058590031367
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F020471
2946566.00000000
PA
USD
2610933.72000000
0.327434769132
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
1373263.00000000
PA
10944.16000000
0.001372496925
N/A
DIR
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
Y
2026-01-02
0.00000000
USD
0.00000000
USD
1373263.00000000
BRL
10944.16000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-897.98000000
-0.00011261483
N/A
DFE
N/A
N
2
Standard Chartered Bank
U4LOSYZ7YG4W3S5F2G91
58500.00000000
USD
1794780.00000000
TWD
2023-07-13
-897.98000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFVC2
38854.67630000
PA
USD
34450.78000000
0.004320440273
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
NDIRS
N/A
220478023.00000000
PA
-991.25000000
-0.00012431174
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-09-20
0.00000000
USD
0.00000000
USD
220478023.00000000
KRW
-991.25000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEH4
1361000.00000000
PA
USD
1099302.52000000
0.137862506460
Long
DBT
CORP
US
N
2
2032-10-20
Variable
2.51100000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAJ1
4377.71000000
PA
USD
4176.08000000
0.000523718308
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-1767000.00000000
PA
USD
-77634.62000000
-0.00973608547
N/A
DIR
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Call
Written
N/A
Swaption
1.00000000
3.11500000
USD
2026-03-16
XXXX
24851.38000000
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022477
1668600.00000000
PA
USD
1519012.61000000
0.190497958433
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HBFN3
364919.10700000
PA
USD
357829.63000000
0.044875081044
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQA51
16064.26000000
PA
USD
15305.38000000
0.001919433468
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNN99
1090106.28590000
PA
USD
967210.78000000
0.121297004219
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EPJ62
13434.69000000
PA
USD
12799.22000000
0.001605138274
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2019-L2, Class XA
61768HAX4
375155.12000000
PA
USD
16115.61000000
0.002021043659
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Variable
1.17334080
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132D6NY2
364210.20010000
PA
USD
324771.60000000
0.040729304253
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410GH22
101828.25000000
PA
USD
104190.68000000
0.013066456260
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
568.16840000
PA
USD
129.36000000
0.000016222917
N/A
DCR
DE
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
Markit CMBX North American AAA 6
137BENAF3
Y
Receipt of notional amount upon default event with regard to the reference instrument
2063-05-11
0.00000000
USD
129.41000000
USD
568.00000000
USD
129.36000000
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AC3
18000.00000000
PA
USD
17937.00000000
0.002249462484
Long
DBT
NUSS
CO
N
2
2023-09-18
Fixed
5.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179V4U1
2703436.62970000
PA
USD
2278656.85000000
0.285764235949
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202E4F3
1669.70000000
PA
USD
1621.21000000
0.000203314438
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DNHX4
238066.59330000
PA
USD
226982.02000000
0.028465603989
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140JHYV9
116281.51510000
PA
USD
113686.26000000
0.014257288115
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
CWHEQ Revolving Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust, Series 2006-C, Class 2A
126685DJ2
23696.08780000
PA
USD
22785.78000000
0.002857543474
Long
ABS-O
CORP
US
N
2
2036-05-15
Floating
5.37329160
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F042673
25826020.00000000
PA
USD
24829297.04000000
3.113819045550
Long
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
4.50000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAH7
794000.00000000
PA
USD
727974.52000000
0.091294607390
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.45000000
N
N
N
N
N
N
Barings CLO Ltd.
549300Y5E22C3P2S6J52
Barings CLO Ltd., Series 2015-2A, Class AR
06759FAB2
248210.05000000
PA
USD
246193.17000000
0.030874856440
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
6.44042880
N
N
N
N
N
N
San Diego Gas & Electric Co.
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co.
797440BY9
114000.00000000
PA
USD
81574.41000000
0.010230170877
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.32000000
N
N
N
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AL3
264000.00000000
PA
USD
251550.06000000
0.031546659032
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
3.85000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XGPQ6
488207.89580000
PA
USD
432916.72000000
0.054291683155
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
343.00000000
NC
USD
334425.00000000
0.041939928167
N/A
DIR
US
N
1
CME Clearing House
N/A
Put
Purchased
N/A
3 Month SOFR Interest Futures
250000.00000000
94.87500000
USD
2023-10-13
XXXX
256519.41000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MAFB0
48176.40000000
PA
USD
48577.21000000
0.006092022719
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
5.00000000
N
N
N
N
N
N
SCC Power plc
529900IYGYC6VSDSDF37
SCC Power plc
78397YAC6
46012.00000000
PA
USD
4532.18000000
0.000568376477
Long
DBT
CORP
GB
N
2
2032-05-17
Fixed
3.99999960
N
N
Y
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
-343.00000000
NC
USD
-508068.75000000
-0.06371642933
N/A
DIR
US
N
1
CME Clearing House
N/A
Put
Written
N/A
3 Month SOFR Interest Futures
250000.00000000
95.12500000
USD
2023-10-13
XXXX
-354449.34000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417FL48
4546.55970000
PA
USD
4307.51000000
0.000540200822
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
2.50000000
N
N
N
N
N
N
Anchorage Capital CLO Ltd.
5493008PWA7TS1SR9447
Anchorage Capital CLO Ltd., Series 2013-1A, Class A1R
033292AQ6
242399.28000000
PA
USD
240988.73000000
0.030222172461
Long
ABS-CBDO
CORP
KY
N
2
2030-10-13
Floating
6.49157040
N
N
N
N
N
N
BAE Systems plc
8SVCSVKSGDWMW2QHOH83
BAE Systems plc
05523RAD9
1007000.00000000
PA
USD
910602.51000000
0.114197813735
Long
DBT
CORP
GB
N
2
2030-04-15
Fixed
3.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QE4W9
74593.48290000
PA
USD
66514.49000000
0.008341520319
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NM68
2939.36000000
PA
USD
2803.96000000
0.000351642015
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418MRR5
33038.77000000
PA
USD
33805.35000000
0.004239497497
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
Ukraine Government Bond
N/A
100000.00000000
PA
USD
23746.00000000
0.002977963771
Long
DBT
NUSS
UA
N
2
2029-09-01
Fixed
7.75000000
Y
N
N
N
N
N
N/A
N/A
CDS
N/A
141000.00000000
PA
USD
-5123.95000000
-0.00064258980
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Federative Republic of Brazil
Federative Republic of Brazil
Y
Receipt of notional amount upon default event with regard to the reference instrument
2028-06-20
9743.20000000
USD
0.00000000
USD
141000.00000000
USD
-5123.95000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XJSK0
196573.93300000
PA
USD
171051.27000000
0.021451380658
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
1.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVL78
108947.21100000
PA
USD
97171.43000000
0.012186178647
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ECKY8
3288.45000000
PA
USD
3078.88000000
0.000386119476
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
PECO Energy Co.
YH65D4JBECK76IFEJ279
PECO Energy Co.
693304BC0
137000.00000000
PA
USD
90264.45000000
0.011319980710
Long
DBT
CORP
US
N
2
2051-09-15
Fixed
2.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36197MRR1
22471.92000000
PA
USD
22085.93000000
0.002769775936
Long
ABS-MBS
USGA
US
N
2
2047-04-15
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132J65H3
142030.71000000
PA
USD
133126.72000000
0.016695298120
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.50000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RAT6
169000.00000000
PA
USD
143577.88000000
0.018005968374
Long
DBT
CORP
US
N
2
2043-02-01
Fixed
5.15000000
N
N
N
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAT5
520000.00000000
PA
USD
523487.16000000
0.065650037787
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140H3KJ4
15030.56800000
PA
USD
14401.24000000
0.001806046112
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
3.50000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
N/A
1052000000.00000000
PA
236286.03000000
0.029632411228
Long
DBT
NUSS
CO
N
2
2026-08-26
Fixed
7.50000000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AY3
761000.00000000
PA
USD
740521.25000000
0.092868081128
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ELS79
30930.04000000
PA
USD
32091.46000000
0.004024560147
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
6.00000000
N
N
N
N
N
N
Argent Mortgage Loan Trust
N/A
Argent Mortgage Loan Trust, Series 2005-W1, Class A2
040104MY4
32895.83000000
PA
USD
28649.59000000
0.003592918432
Long
ABS-O
CORP
US
N
2
2035-05-25
Floating
5.63042880
N
N
N
N
N
N
Philip Morris International, Inc.
HL3H1H2BGXWVG3BSWR90
Philip Morris International, Inc.
718172CV9
313000.00000000
PA
USD
313957.82000000
0.039373158162
Long
DBT
CORP
US
N
2
2027-11-17
Fixed
5.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140EXCP6
3513.82350000
PA
USD
3250.41000000
0.000407630894
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-405.24000000
-0.00005082077
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
83391.71000000
USD
76000.00000000
EUR
2023-07-18
-405.24000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QSGT9
25017.73000000
PA
USD
24213.77000000
0.003036626372
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYE8
1973000.00000000
PA
USD
1950813.91000000
0.244649757804
Long
DBT
CORP
US
N
2
2024-09-10
Variable
0.65700000
N
N
N
N
N
N
FactSet Research Systems, Inc.
549300ZSJE7NBK6K9P30
FactSet Research Systems, Inc.
303075AB1
654000.00000000
PA
USD
556313.08000000
0.069766705879
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.45000000
N
N
N
N
N
N
OCP CLO Ltd.
25490025Q5WQX513IQ05
OCP CLO Ltd., Series 2017-14A, Class A1A
67097QAA3
552990.54000000
PA
USD
548773.49000000
0.068821172911
Long
ABS-CBDO
CORP
KY
N
2
2030-11-20
Floating
6.52914000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co.
842400GU1
943000.00000000
PA
USD
788217.29000000
0.098849597138
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
794.86000000
0.000099682653
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
310000.00000000
EUR
340394.88000000
USD
2023-09-20
794.86000000
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-OC7, Class 2A3
23243VAD2
60180.62000000
PA
USD
52918.25000000
0.006636428507
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
5.65043040
N
N
N
N
N
N
NiSource, Inc.
549300D8GOWWH0SJB189
NiSource, Inc.
65473PAP0
126000.00000000
PA
USD
126084.23000000
0.015812106000
Long
DBT
CORP
US
N
2
2033-06-30
Fixed
5.40000000
N
N
N
N
N
N
Gilead Sciences, Inc.
549300WTZWR07K8MNV44
Gilead Sciences, Inc.
375558BS1
504000.00000000
PA
USD
365023.85000000
0.045777301482
Long
DBT
CORP
US
N
2
2040-10-01
Fixed
2.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418DXJ6
684438.08830000
PA
USD
529431.53000000
0.066395515699
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
1264622.00000000
PA
7459.83000000
0.000935530341
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Y
2026-01-02
0.00000000
USD
0.00000000
USD
1264622.00000000
BRL
7459.83000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DQQ58
449610.00000000
PA
USD
454472.50000000
0.056994973474
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
29.71000000
0.000003725903
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5007185.00000000
INR
61000.00000000
USD
2023-07-18
29.71000000
N
N
N
Madison Park Funding XXVI Ltd.
549300FNRP3W5DX0O430
Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR
55819YAA8
266709.88000000
PA
USD
265820.70000000
0.033336326720
Long
ABS-CBDO
CORP
KY
N
2
2030-07-29
Floating
6.49914120
N
N
N
N
N
N
BCMSC Trust
N/A
BCMSC Trust, Series 2000-A, Class A2
09774XBN1
39800.29000000
PA
USD
4913.24000000
0.000616164858
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
7.57500120
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBC6
124000.00000000
PA
USD
118381.55000000
0.014846120066
Long
DBT
CORP
US
N
2
2045-02-15
Fixed
5.10000000
N
N
N
N
N
N
Textron, Inc.
3PPKBHUG1HD6BO7RNR87
Textron, Inc.
883203CA7
566000.00000000
PA
USD
518776.40000000
0.065059265757
Long
DBT
CORP
US
N
2
2029-09-17
Fixed
3.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5YR4
64415.30000000
PA
USD
61414.84000000
0.007701977956
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Aon Corp.
N/A
Aon Corp.
03740LAG7
815000.00000000
PA
USD
820937.41000000
0.102952996951
Long
DBT
CORP
US
N
2
2033-02-28
Fixed
5.35000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
27854.00000000
PA
-66.70000000
-0.00000836478
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-06-01
0.00000000
USD
0.00000000
USD
27854.00000000
CAD
-66.70000000
N
N
N
Sprint LLC
549300ZTTY7CXOLJ6539
Sprint LLC
85207UAH8
4084000.00000000
PA
USD
4120523.21000000
0.516750982851
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
7.12500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-113.37000000
-0.00001421762
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
46567070.00000000
COP
11000.00000000
USD
2023-07-18
-113.37000000
N
N
N
CSMC Trust
N/A
CSMC Trust, Series 2017-PFHP, Class A
12595KAA9
60000.00000000
PA
USD
57300.67000000
0.007186023723
Long
ABS-MBS
CORP
US
N
2
2030-12-15
Floating
6.14300040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418DSH6
303118.25240000
PA
USD
249365.80000000
0.031272733017
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
Reynolds American, Inc.
02S2RPPVO9RP4NEU2740
Reynolds American, Inc.
761713BB1
429000.00000000
PA
USD
381511.69000000
0.047845026160
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRH0
17414.44000000
PA
USD
16602.97000000
0.002082163023
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNEK4
500021.13110000
PA
USD
411526.48000000
0.051609153054
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
CDI
N/A
380050.00000000
PA
-9072.19000000
-0.00113773490
N/A
DCR
US
N
2
ICE Clear US
549300HWWR1D8OTS2G29
iTraxx Europe Crossover39-V1
2I667KKC1
Y
Receipt of notional amount upon default event with regard to the reference instrument
2028-06-20
0.00000000
USD
7985.14000000
USD
380050.00000000
EUR
-9072.19000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418ECY4
257572.88000000
PA
USD
218702.05000000
0.027427220653
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418V3A8
8715.32000000
PA
USD
8606.54000000
0.001079338175
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
99354.83079999
PA
USD
-859.03000000
-0.00010773015
N/A
DCR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Markit CMBX North American AAA 9
137BENAI7
Y
Receipt of notional amount upon default event with regard to the reference instrument
2058-09-17
1048.59000000
USD
0.00000000
USD
99355.00000000
USD
-859.03000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XCPT9
1732697.61720000
PA
USD
1490984.34000000
0.186982959164
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36197MRS9
13374.72000000
PA
USD
13189.08000000
0.001654030254
Long
ABS-MBS
USGA
US
N
2
2047-04-15
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-98.58000000
-0.00001236282
N/A
DFE
N/A
N
2
Toronto Dominion Bank
PT3QB789TSUIDF371261
192000.00000000
BRL
40000.00000000
USD
2023-07-05
-98.58000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-305.73000000
-0.00003834131
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
80016.42000000
USD
73000.00000000
EUR
2023-07-18
-305.73000000
N
N
N
New Jersey Turnpike Authority
5493005YN67D71KSMI84
New Jersey Turnpike Authority, Series 2009 F
646139W35
167000.00000000
PA
USD
209324.23000000
0.026251156970
Long
DBT
MUN
US
N
2
2040-01-01
Fixed
7.41400000
N
N
N
N
N
N
Lockheed Martin Corp.
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp.
539830BC2
670000.00000000
PA
USD
598882.30000000
0.075105272162
Long
DBT
CORP
US
N
2
2035-03-01
Fixed
3.60000000
N
N
N
N
N
N
FirstEnergy Transmission LLC
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAC3
635000.00000000
PA
USD
529733.50000000
0.066433385476
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
4.55000000
N
N
N
N
N
N
Silver Creek CLO Ltd.
549300LSJSAR2PPV4U78
Silver Creek CLO Ltd., Series 2014-1A, Class AR
827551AL6
156529.61000000
PA
USD
155746.96000000
0.019532081377
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.49042920
N
N
N
N
N
N
Republic of Guatemala
529900QKDFFU9UWW5315
Republic of Guatemala
401494AW9
200000.00000000
PA
USD
201300.00000000
0.025244845750
Long
DBT
NUSS
GT
N
2
2036-06-13
Fixed
6.60000000
N
N
N
N
N
N
Conseco Finance Corp.
N/A
Conseco Finance Corp., Series 1999-5, Class A6
3935053Q3
25715.49000000
PA
USD
9841.33000000
0.001234192040
Long
ABS-O
CORP
US
N
2
2030-03-01
Variable
7.49999880
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust, Series 2007-AR3, Class 1A1
07401VAA9
8907.71000000
PA
USD
7640.04000000
0.000958130309
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.29043040
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust, Series 2006-1A, Class A2
07324SDF6
6139.28000000
PA
USD
5526.75000000
0.000693104576
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.69043000
N
N
N
N
N
N
YPF SA
5493003N7447U18U5U53
YPF SA
N/A
22000.00000000
PA
USD
17820.00000000
0.002234789623
Long
DBT
NUSS
AR
N
2
2027-07-21
Fixed
6.95000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
1446000.00000000
PA
11065.85000000
0.001387757955
N/A
DIR
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
Y
2026-01-02
0.00000000
USD
0.00000000
USD
1446000.00000000
BRL
11065.85000000
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 2A1
07401YAQ8
9827.42000000
PA
USD
9072.40000000
0.001137761244
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.36042880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEB3
74000.00000000
PA
USD
65805.08000000
0.008252553870
Long
DBT
UST
US
N
2
2029-02-28
Fixed
1.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QFZC6
375161.11000000
PA
USD
342439.30000000
0.042944994075
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418DTP7
588836.12200000
PA
USD
455995.85000000
0.057186015380
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
1.50000000
N
N
N
N
N
N
Yale Mortgage Loan Trust
N/A
Yale Mortgage Loan Trust, Series 2007-1, Class A
984582AA4
77960.01000000
PA
USD
25308.73000000
0.003173944287
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
5.55042960
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133B2ME6
305232.96880000
PA
USD
251212.04000000
0.031504268258
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EJCD8
14445.18000000
PA
USD
14250.15000000
0.001787098055
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YJGR1
4134.71000000
PA
USD
4021.69000000
0.000504356401
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
3 Month SONIA Index
N/A
-4.00000000
NC
5214.72000000
0.000653973184
N/A
DIR
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Short
N/A
3 Month SONIA Index
2023-09-19
-948100.00000000
GBP
5214.72000000
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAL9
99000.00000000
PA
USD
78029.61000000
0.009785620806
Long
DBT
CORP
US
N
2
2039-12-31
Fixed
2.74200000
N
N
N
N
N
N
Targa Resources Partners LP
N/A
Targa Resources Partners LP
87612BBG6
953000.00000000
PA
USD
909483.69000000
0.114057503560
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5EJ4
5302.44500000
PA
USD
4913.71000000
0.000616223800
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F060675
-2440900.00000000
PA
USD
-2462448.58000000
-0.30881338584
Short
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
EUR/USD One-touch barrier option; Barrier price EUR 1.05000
N/A
15000.00000000
PA
2172.66000000
0.000272471269
N/A
DFE
US
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
Put
Purchased
N/A
EUR/USD One-touch barrier option; Barrier price EUR 1.05000
1.00000000
1.05000000
EUR
2023-11-16
XXXX
187.87000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVL60
2414169.61810000
PA
USD
1991824.96000000
0.249792915436
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EEHB8
1807.84000000
PA
USD
1692.63000000
0.000212271153
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
222140100.00000000
PA
-55032.84000000
-0.00690161727
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-02-15
0.00000000
USD
0.00000000
USD
222140100.00000000
JPY
-55032.84000000
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa
N/A
5370000.00000000
PA
252053.08000000
0.031609742302
Long
DBT
NUSS
ZA
N
2
2030-01-31
Fixed
8.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM4G6
1014802.55470000
PA
USD
868018.79000000
0.108857429021
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KRB86
662468.27000000
PA
USD
660575.80000000
0.082842196609
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
Mortgage Loan Resecuritization Trust
N/A
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85
61914WAA4
208831.99000000
PA
USD
197809.96000000
0.024807163080
Long
ABS-MBS
CORP
US
N
2
2036-04-16
Floating
5.51043000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
11824.00000000
PA
93.55000000
0.000011732018
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-06-13
0.00000000
USD
0.00000000
USD
11824.00000000
CAD
93.55000000
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-2, Class AA
90932EAA1
63124.10030000
PA
USD
55596.48000000
0.006972302840
Long
DBT
CORP
US
N
2
2028-10-07
Fixed
2.87500000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
186316.00000000
PA
-3506.70000000
-0.00043977198
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-05-15
0.00000000
USD
895.53000000
USD
186316.00000000
CAD
-3506.70000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140FXB27
71275.19000000
PA
USD
72296.02000000
0.009066576618
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WKK95
41691.86000000
PA
USD
38631.59000000
0.004844751766
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
122000.00000000
PA
USD
4029.74000000
0.000505365944
N/A
DFE
US
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
Put
Purchased
N/A
USD Currency
1.00000000
17.70000000
USD
2023-07-10
XXXX
2446.78000000
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAP7
1054000.00000000
PA
USD
1026951.82000000
0.128789072474
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.95000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A7KE8
108789.76540000
PA
USD
93266.66000000
0.011696485073
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YTRT3
1991.63000000
PA
USD
1892.52000000
0.000237339172
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-519.95000000
-0.00006520644
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
118000.00000000
AUD
78116.71000000
USD
2023-07-18
-519.95000000
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAP4
56000.00000000
PA
USD
48497.58000000
0.006082036395
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138AUPE1
6651.49000000
PA
USD
6568.44000000
0.000823741950
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
FirstEnergy Corp.
549300SVYJS666PQJH88
FirstEnergy Corp., Series C
337932AM9
192000.00000000
PA
USD
132318.72000000
0.016593967592
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.40000000
N
N
N
N
N
N
IMT Trust
N/A
IMT Trust, Series 2017-APTS, Class EFX
44974ABE6
100000.00000000
PA
USD
94062.47000000
0.011796286865
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
3.61315440
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GVGT3
17465.64000000
PA
USD
16371.22000000
0.002053099471
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7MK8
87477.04600000
PA
USD
79270.15000000
0.009941195774
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
3 Month Euro Euribor
N/A
6.00000000
NC
-9871.55000000
-0.00123798190
N/A
DIR
GB
N
1
ICE Clear Europe
5R6J7JCQRIPQR1EEP713
Long
N/A
3 Month Euro Euribor
2024-06-17
1442625.00000000
EUR
-9871.55000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HHV77
110057.61000000
PA
USD
105093.49000000
0.013179676822
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFZG4
12415.08000000
PA
USD
11536.66000000
0.001446801799
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLN44
1255587.06850000
PA
USD
1025711.28000000
0.128633497507
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
Bear Stearns Asset-Backed Securities I Trust
N/A
Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE2, Class 23A
07389YAF8
16619.01000000
PA
USD
14819.39000000
0.001858485914
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
5.29043040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J55S4
50275.05210000
PA
USD
49336.31000000
0.006187220744
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LQ2K9
10376.48000000
PA
USD
9715.14000000
0.001218366670
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
BHMS
N/A
BHMS, Series 2018-ATLS, Class A
05549GAA9
140000.00000000
PA
USD
136488.11000000
0.017116846913
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
6.44329080
N
N
N
N
N
N
Public Service Electric & Gas Co.
549300RUHPVD434XUK18
Public Service Electric & Gas Co.
74456QCE4
336000.00000000
PA
USD
197735.98000000
0.024797885317
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
2.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XDQE9
153914.23420000
PA
USD
126972.69000000
0.015923526942
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140GUMN4
79173.36090000
PA
USD
77538.66000000
0.009724051224
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83C9
97287.06000000
PA
USD
91085.31000000
0.011422923999
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
8000.00000000
PA
USD
-1058.89000000
-0.00013279440
N/A
DCR
DE
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
Markit CMBX North American BBB- 9
137BERAI8
Y
Payout of notional amount upon default event with regard to the reference instrument
2058-09-17
0.00000000
USD
847.78000000
USD
8000.00000000
USD
-1058.89000000
N
N
N
Intel Corp.
KNX4USFCNGPY45LOCE31
Intel Corp.
458140BX7
402000.00000000
PA
USD
261112.57000000
0.032745884516
Long
DBT
CORP
US
N
2
2061-08-12
Fixed
3.20000000
N
N
N
N
N
N
Merrill Lynch Alternative Note Asset Trust
N/A
Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR2, Class A2
59024BAB9
96095.09000000
PA
USD
81204.43000000
0.010183772029
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.57043120
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAA3
633000.00000000
PA
USD
592159.66000000
0.074262192133
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
4.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFKC4
368868.78120000
PA
USD
303589.61000000
0.038072890590
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGJ99
475964.95000000
PA
USD
434486.23000000
0.054488513944
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140Q9YZ0
42839.32000000
PA
USD
41666.33000000
0.005225335687
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.00000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LAN1
242000.00000000
PA
USD
219850.20000000
0.027571209077
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179V7D6
201038.77310000
PA
USD
169466.50000000
0.021252636127
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140FNBD5
21870.68660000
PA
USD
21380.15000000
0.002681264723
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQUB6
117255.73000000
PA
USD
118094.92000000
0.014810174065
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
5.00000000
N
N
N
N
N
N
Piedmont Natural Gas Co., Inc.
VXB4M3BDPKF3I2AZ3G89
Piedmont Natural Gas Co., Inc.
720186AN5
175000.00000000
PA
USD
142881.77000000
0.017918669866
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F050676
23261549.00000000
PA
USD
22792683.40000000
2.858409223418
Long
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
5.00000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2015-2, Class B
02377BAC0
180668.23000000
PA
USD
179355.80000000
0.022492844041
Long
DBT
CORP
US
N
2
2023-09-22
Fixed
4.40000000
N
N
N
N
N
N
CWHEQ Revolving Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust, Series 2006-H, Class 1A
126686AA2
14329.74000000
PA
USD
13998.04000000
0.001755481175
Long
ABS-O
CORP
US
N
2
2036-11-15
Floating
5.34328920
N
N
N
N
N
N
Meta Platforms, Inc.
BQ4BKCS1HXDV9HN80Z93
Meta Platforms, Inc.
30303M8J4
94000.00000000
PA
USD
81736.47000000
0.010250494671
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
4.45000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-450.73000000
-0.00005652563
N/A
DFE
N/A
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
250000.00000000
EUR
273420.25000000
USD
2023-09-20
-450.73000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ELS87
9353.48000000
PA
USD
9712.29000000
0.001218009254
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418D7E6
142345.44070000
PA
USD
116180.86000000
0.014570133581
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2018-B, Class B
00969FAB1
3631.57000000
PA
USD
3127.44000000
0.000392209341
Long
ABS-MBS
CORP
US
N
2
2057-02-26
Fixed
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QFBX6
170405.09250000
PA
USD
156271.97000000
0.019597922393
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
2.50000000
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SBE2
308000.00000000
PA
USD
301478.12000000
0.037808090593
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAN1
642000.00000000
PA
USD
699300.06000000
0.087698570035
Long
DBT
CORP
US
N
2
2052-11-15
Fixed
5.95000000
N
N
N
N
N
N
Madison Park Funding XXIII Ltd.
N/A
Madison Park Funding XXIII Ltd., Series 2017-23A, Class AR
55820TAJ7
737341.96000000
PA
USD
731155.07000000
0.091693477207
Long
ABS-CBDO
CORP
KY
N
2
2031-07-27
Floating
6.26157000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
379.76000000
0.000047625348
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1252376.13000000
THB
35750.00000000
USD
2023-07-18
379.76000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36181GFM6
22109.93000000
PA
USD
20856.23000000
0.002615560403
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
3.50000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2007-3T1, Class 1A1
02149VAA7
9070.59000000
PA
USD
4440.71000000
0.000556905310
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XEA38
302835.61540000
PA
USD
249169.83000000
0.031248156602
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030678
-1045927.00000000
PA
USD
-920456.61000000
-0.11543360725
Short
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36241LVF0
14193.69000000
PA
USD
14265.52000000
0.001789025593
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDZ1
737000.00000000
PA
USD
695601.32000000
0.087234714492
Long
DBT
UST
US
N
2
2025-02-15
Fixed
1.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133L8FQ3
224967.06740000
PA
USD
195340.55000000
0.024497476669
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
80000.00000000
PA
USD
791.40000000
0.000099248737
N/A
DFE
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Call
Purchased
N/A
USD Currency
1.00000000
810.00000000
USD
2023-07-20
XXXX
-275.80000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KE6X8
17583.62000000
PA
USD
16361.73000000
0.002051909339
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEQ0
5251000.00000000
PA
USD
5043626.51000000
0.632516509032
Long
DBT
UST
US
N
2
2025-05-15
Fixed
2.75000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BEU6
284735.59550000
PA
USD
279741.48000000
0.035082118791
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAG5
1011000.00000000
PA
USD
825097.32000000
0.103474687394
Long
DBT
NUSS
MX
N
2
2050-01-31
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XCAT5
204038.66550000
PA
USD
181950.69000000
0.022818266782
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
2.00000000
N
N
N
N
N
N
PFP Ltd.
N/A
PFP Ltd., Series 2022-9, Class A
69291QAA3
270000.00000000
PA
USD
269325.00000000
0.033775797723
Long
ABS-MBS
CORP
BM
N
2
2035-08-19
Floating
7.37618040
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2006-OA5, Class 3A1
126694N46
13900.00000000
PA
USD
12945.45000000
0.001623476842
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
5.55042960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138X55B9
21777.37000000
PA
USD
21370.45000000
0.002680048255
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
Devon Energy Corp.
54930042348RKR3ZPN35
Devon Energy Corp.
25179MAN3
92000.00000000
PA
USD
77547.87000000
0.009725206241
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.75000000
N
N
N
N
N
N
OCP CLO Ltd.
25490025Q5WQX513IQ05
OCP CLO Ltd., Series 2017-14A, Class B
67097QAG0
250000.00000000
PA
USD
243678.93000000
0.030559547940
Long
ABS-CBDO
CORP
KY
N
2
2030-11-20
Floating
7.32913920
N
N
N
N
N
N
MSCI, Inc.
549300HTIN2PD78UB763
MSCI, Inc.
55354GAH3
254000.00000000
PA
USD
229875.21000000
0.028828436255
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GEB41
10710.50000000
PA
USD
10589.01000000
0.001327957894
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1872.22000000
-0.00023479336
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
4214710.00000000
CZK
191046.10000000
USD
2023-09-06
-1872.22000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140E0V36
2579.55000000
PA
USD
2457.75000000
0.000308224141
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CR89
250484.50180000
PA
USD
231562.36000000
0.029040020168
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418DUF7
511186.48020000
PA
USD
395369.36000000
0.049582903664
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
1.50000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3
12531WBB7
10000.00000000
PA
USD
9442.04000000
0.001184117453
Long
ABS-MBS
CORP
US
N
2
2048-01-10
Fixed
3.86500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M7CL8
12800.85000000
PA
USD
12655.94000000
0.001587169662
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-16080.96000000
-0.00201669823
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
4166430.00000000
MXN
224618.40000000
USD
2023-08-31
-16080.96000000
N
N
N
Aimbridge Acquisition Co., Inc.
549300SPGKLVE9WYCQ20
Aimbridge Acquisition Co., Inc., 1st Lien Term Loan
00900YAD8
150753.17000000
PA
USD
145740.63000000
0.018277196840
Long
LON
CORP
US
N
2
2026-02-02
Variable
8.94300000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCY5
269000.00000000
PA
USD
232863.63000000
0.029203211228
Long
DBT
UST
US
N
2
2028-09-30
Fixed
1.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CZN7
16661.13310000
PA
USD
16590.01000000
0.002080537722
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
5.00000000
N
N
N
N
N
N
CAMB Commercial Mortgage Trust
N/A
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D
12482HAL8
100000.00000000
PA
USD
98238.29000000
0.012319972567
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
6.94299960
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-562.87000000
-0.00007058900
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
40000.00000000
USD
51936000.00000000
KRW
2023-07-18
-562.87000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140H3H82
24467.86850000
PA
USD
23446.51000000
0.002940405009
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KQWT9
585971.26410000
PA
USD
584199.07000000
0.073263861946
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
672499.00000000
PA
1408.43000000
0.000176629896
N/A
DIR
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Y
2024-07-01
0.00000000
USD
0.00000000
USD
672499.00000000
BRL
1408.43000000
N
N
N
MASTR Resecuritization Trust
N/A
MASTR Resecuritization Trust, Series 2008-3, Class A1
57643EAA0
14326.36000000
PA
USD
8810.90000000
0.001104966773
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Variable
4.62478680
N
N
N
N
N
N
Hess Corp.
UASVRYNXNK17ULIGK870
Hess Corp.
42809HAD9
200000.00000000
PA
USD
191354.87000000
0.023997636248
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
5.60000000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2015-2, Class AA
02377BAB2
34088.41980000
PA
USD
31683.82000000
0.003973438393
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
3.60000000
N
N
N
N
N
N
Consolidated Edison Co. of New York, Inc.
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co. of New York, Inc.
209111GC1
186000.00000000
PA
USD
128925.01000000
0.016168365577
Long
DBT
CORP
US
N
2
2051-12-01
Fixed
3.20000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QAAJ9
26891.85000000
PA
USD
25639.17000000
0.003215384460
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.00000000
N
N
N
N
N
N
Benchmark Mortgage Trust
N/A
Benchmark Mortgage Trust, Series 2019-B9, Class XA
08160JAG2
1008508.04000000
PA
USD
43888.76000000
0.005504048566
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Variable
1.18920240
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1286.98000000
-0.00016139896
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
202478.50000000
BRL
41000.00000000
USD
2023-07-05
-1286.98000000
N
N
N
Carlyle Global Market Strategies CLO Ltd.
N/A
Carlyle Global Market Strategies CLO Ltd., Series 2014-1A, Class A1R2
14310MAW7
747726.62580000
PA
USD
741188.95000000
0.092951816764
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
6.23028960
N
N
N
N
N
N
Public Service Electric & Gas Co.
549300RUHPVD434XUK18
Public Service Electric & Gas Co.
74456QBX3
210000.00000000
PA
USD
196719.66000000
0.024670429571
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.65000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust, Series 2007-AR19, Class 3A1
45669NAT3
66054.15400000
PA
USD
42825.87000000
0.005370752520
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
3.37705200
N
N
N
N
N
N
DTE Electric Co.
9N0FWODEJVKHC2DYLO03
DTE Electric Co., Series B
23338VAP1
280000.00000000
PA
USD
202523.82000000
0.025398323878
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3622A2AE2
124224.59000000
PA
USD
122738.38000000
0.015392506064
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QFNP0
472610.31070000
PA
USD
408496.75000000
0.051229197433
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Republic of Panama
698299BF0
347000.00000000
PA
USD
328227.30000000
0.041162680375
Long
DBT
NUSS
PA
N
2
2028-03-17
Fixed
3.87500000
N
N
N
N
N
N
IMT Trust
N/A
IMT Trust, Series 2017-APTS, Class AFX
44974AAS6
100000.00000000
PA
USD
96588.61000000
0.012113087733
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Fixed
3.47800000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KYWH8
403592.96140000
PA
USD
342769.88000000
0.042986451805
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KMVG7
198743.25410000
PA
USD
176451.80000000
0.022128656102
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
3.00000000
N
N
N
N
N
N
GLP Capital LP
2549005PXW31DRW8EC44
GLP Capital LP
361841AR0
439000.00000000
PA
USD
354454.53000000
0.044451812893
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-954.17000000
-0.00011966157
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
36000.00000000
EUR
722863.04000000
ZAR
2023-07-18
-954.17000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
105.15000000
0.000013186763
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
16000.00000000
GBP
20427.02000000
USD
2023-07-18
105.15000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-199.28000000
-0.00002499151
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
12861.12000000
USD
19000.00000000
AUD
2023-07-18
-199.28000000
N
N
N
ICG US CLO Ltd.
254900IL8TH4VLG5DO47
ICG US CLO Ltd., Series 2015-1A, Class A1R
44931AAJ8
117243.14000000
PA
USD
116253.84000000
0.014579285934
Long
ABS-CBDO
CORP
KY
N
2
2028-10-19
Floating
6.40500120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HHWM3
13918.52000000
PA
USD
13287.37000000
0.001666356711
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
432.81000000
0.000054278299
N/A
DFE
N/A
N
2
Bank of New York
WFLLPEPC7FZXENRZV188
144000.00000000
CAD
109266.20000000
USD
2023-09-20
432.81000000
N
N
N
Pacific Gas & Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co.
694308HY6
270000.00000000
PA
USD
183876.07000000
0.023059726897
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
3.95000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRN7
295769.28000000
PA
USD
274541.21000000
0.034429957767
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMQ73
16405.85000000
PA
USD
15773.99000000
0.001978201412
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFE0
2195000.00000000
PA
USD
2167448.78000000
0.271817735336
Long
DBT
CORP
US
N
2
2034-04-21
Variable
5.25000000
N
N
N
N
N
N
CWHEQ Revolving Home Equity Loan Resuritization Trust
N/A
CWHEQ Revolving Home Equity Loan Resuritization Trust, Series 2006-RES, Class 5B1B
23242YBD6
1610.40000000
PA
USD
1578.29000000
0.000197931880
Long
ABS-O
CORP
US
N
2
2035-05-15
Floating
5.38328880
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-351.22000000
-0.00004404617
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
54000.00000000
EUR
77631.52000000
CAD
2023-07-18
-351.22000000
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022675
-6129200.00000000
PA
USD
-5196891.25000000
-0.65173729750
Short
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
2.50000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Arab Republic of Egypt
N/A
200000.00000000
PA
USD
115888.00000000
0.014533406280
Long
DBT
NUSS
EG
N
2
2032-05-29
Fixed
7.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFAF3
3531.94230000
PA
USD
3282.05000000
0.000411598837
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132G0B58
13746.07300000
PA
USD
13044.91000000
0.001635950028
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QKWM6
42289.31000000
PA
USD
39469.94000000
0.004949888460
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2017-2, Class M4
92258VAF4
26373.41000000
PA
USD
20197.18000000
0.002532909556
Long
ABS-MBS
CORP
US
N
2
2047-11-25
Variable
5.00000040
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2712.42000000
0.000340162069
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
60000.00000000
USD
300279.60000000
BRL
2023-07-05
2712.42000000
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2007-OA3, Class 1A1
02150TAA8
12948.22000000
PA
USD
11473.40000000
0.001438868421
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
5.43043080
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-106.00000000
-0.00001329336
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
30000.00000000
USD
449730000.00000000
IDR
2023-07-18
-106.00000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417AYD5
83729.11000000
PA
USD
80503.59000000
0.010095880337
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5XZ7
17524.96160000
PA
USD
16611.14000000
0.002083187615
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KE4Z5
40812.33000000
PA
USD
38934.12000000
0.004882691772
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
61049.00000000
PA
-1740.16000000
-0.00021823184
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-03-30
0.00000000
USD
123.92000000
USD
61049.00000000
CAD
-1740.16000000
N
N
N
Anchorage Capital CLO 5-R Ltd.
549300687XYK5L55VX28
Anchorage Capital CLO 5-R Ltd., Series 2014-5RA, Class C
03329AAG0
250000.00000000
PA
USD
243717.88000000
0.030564432624
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
7.11029160
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MEK91
19439.45000000
PA
USD
18509.25000000
0.002321227825
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Dryden XXVI Senior Loan Fund
549300ENU7ZZLTPT3E22
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR
26250UAQ8
540570.22050000
PA
USD
536334.15000000
0.067261166852
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
6.16029120
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132AACD4
111480.31570000
PA
USD
105499.49000000
0.013230592905
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Series 2007-AHL2, Class A3C
17312TAK9
72938.81000000
PA
USD
47645.47000000
0.005975174072
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.42043000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-8635000.00000000
PA
USD
-114723.54000000
-0.01438737243
N/A
DIR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Swaption
1.00000000
4.05000000
USD
2023-08-14
XXXX
-92186.19000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGA3
4500000.00000000
PA
USD
4429511.73000000
0.555500945723
Long
DBT
UST
US
N
2
2025-12-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83E5
268908.97000000
PA
USD
256633.72000000
0.032184196104
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CV35
23497.97810000
PA
USD
22433.01000000
0.002813302916
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
American Home Mortgage Assets Trust
N/A
American Home Mortgage Assets Trust, Series 2006-4, Class 1A12
02660LAB6
50109.43000000
PA
USD
27395.38000000
0.003435629122
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
5.36042880
N
N
N
N
N
N
San Diego Gas & Electric Co.
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co.
797440CD4
204000.00000000
PA
USD
202336.43000000
0.025374823472
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
5.35000000
N
N
N
N
N
N
Credit Suisse AG
549300D0YARF5HYP1809
Credit Suisse AG
22550L2J9
260000.00000000
PA
USD
254100.30000000
0.031866482258
Long
DBT
CORP
CH
N
2
2024-08-09
Fixed
4.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140H6PA1
118332.63340000
PA
USD
109211.06000000
0.013696057446
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
8333000.00000000
PA
567.54000000
0.000071174663
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2025-05-16
0.00000000
USD
0.00000000
USD
8333000.00000000
MXN
567.54000000
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBD9
115000.00000000
PA
USD
75823.36000000
0.009508937046
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
2.90000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KEXZ3
4853.80000000
PA
USD
4630.36000000
0.000580689140
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179SQW0
183545.34000000
PA
USD
172149.11000000
0.021589059751
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.50000000
N
N
N
N
N
N
Apidos CLO XXIV
549300PPHIOJQEKPJH29
Apidos CLO XXIV, Series 2016-24A, Class A1AL
03759CAS9
350000.00000000
PA
USD
346046.23000000
0.043397335811
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
6.20043120
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BAA4
13003.85560000
PA
USD
12517.23000000
0.001569774170
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
Metropolitan Transportation Authority, Series 2010A
59259YBY4
75000.00000000
PA
USD
79706.09000000
0.009995866604
Long
DBT
MUN
US
N
2
2039-11-15
Fixed
6.66800000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRT4
369206.91000000
PA
USD
333301.59000000
0.041799042364
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300DNBJ7A0SEFVK31
Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class XD
95000GAA2
1000000.00000000
PA
USD
31671.70000000
0.003971918435
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
1.38954240
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGRN9
110722.69580000
PA
USD
95106.22000000
0.011927182582
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KJUF7
576148.45700000
PA
USD
513906.34000000
0.064448516063
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAD4
27562.32000000
PA
USD
25645.56000000
0.003216185824
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBL4
1290000.00000000
PA
USD
1058198.25000000
0.132707658195
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
3.46900000
N
N
N
N
N
N
Southwestern Public Service Co.
OL6FE7QD5EQ3DOYEO258
Southwestern Public Service Co., Series 6
845743BS1
125000.00000000
PA
USD
106659.22000000
0.013376033565
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
4.40000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM2Q7
122036.56540000
PA
USD
100397.21000000
0.012590720716
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EGVA9
5371.58000000
PA
USD
5410.11000000
0.000678476862
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
670.33000000
0.000084065461
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
41000.00000000
USD
169548.08000000
PLN
2023-07-18
670.33000000
N
N
N
Madison Park Funding XLII Ltd.
549300BF3YFW8EHN6F75
Madison Park Funding XLII Ltd., Series 13A, Class A1
04966HAA4
287170.68340000
PA
USD
285483.21000000
0.035802183809
Long
ABS-CBDO
CORP
KY
N
2
2030-11-21
Floating
6.45270840
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FKM7
1516.40000000
PA
USD
1472.38000000
0.000184649806
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
10111.92000000
0.001268126481
N/A
DFE
N/A
N
2
Bank of New York
WFLLPEPC7FZXENRZV188
65540000.00000000
JPY
469916.05000000
USD
2023-09-20
10111.92000000
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BL7
229000.00000000
PA
USD
189281.12000000
0.023737569189
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.37500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
365.90000000
0.000045887178
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
40000.00000000
USD
193280.00000000
BRL
2023-07-05
365.90000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZH0
29659.92000000
PA
USD
27766.67000000
0.003482192256
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Deutsche Alt-A Securities Mortgage Loan Trust
N/A
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class A2A
25151XAF8
90755.21000000
PA
USD
80702.19000000
0.010120786578
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
5.49042840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140Q8D36
184903.54160000
PA
USD
181450.29000000
0.022755512083
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132M4QU2
8784.26000000
PA
USD
8244.40000000
0.001033922535
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
Occidental Petroleum Corp.
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp.
674599DF9
140000.00000000
PA
USD
143681.95000000
0.018019019696
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
6.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617BFTR3
43512.52000000
PA
USD
42501.37000000
0.005330057276
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
205.70000000
0.000025796645
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
13636779.00000000
HUF
40000.00000000
USD
2023-07-18
205.70000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132CWS96
85858.07710000
PA
USD
76158.94000000
0.009551021822
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
2.00000000
N
N
N
N
N
N
Oncor Electric Delivery Co. LLC
549300SP2X2BS1KERD24
Oncor Electric Delivery Co. LLC
68233JBD5
101000.00000000
PA
USD
82168.95000000
0.010304731585
Long
DBT
CORP
US
N
2
2047-09-30
Fixed
3.80000000
N
N
N
N
N
N
Florida Power & Light Co.
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co.
341081FX0
204000.00000000
PA
USD
148715.84000000
0.018650315158
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X9MV4
14979.26860000
PA
USD
14273.00000000
0.001789963653
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XLEP9
166016.83000000
PA
USD
167861.37000000
0.021051338266
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
180568.00000000
PA
-5540.18000000
-0.00069478882
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-04-25
0.00000000
USD
587.98000000
USD
180568.00000000
CAD
-5540.18000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QEJX1
817361.50650000
PA
USD
702482.81000000
0.088097715751
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLSP2
91620.49210000
PA
USD
87538.53000000
0.010978125618
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2014-1, Class A
90932PAA6
112361.89400000
PA
USD
105658.46000000
0.013250529184
Long
DBT
CORP
US
N
2
2026-04-11
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36297FRM6
11366.91000000
PA
USD
11353.85000000
0.001423875767
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
AUD Currency
N/A
178000.00000000
PA
1425.67000000
0.000178791948
N/A
DFE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
AUD Currency
1.00000000
0.66400000
AUD
2023-08-18
XXXX
525.57000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NN26
3442.33000000
PA
USD
3203.24000000
0.000401715348
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAC6
14181.27000000
PA
USD
13194.76000000
0.001654742577
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
1044911000.00000000
PA
-1743.41000000
-0.00021863942
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Y
2024-10-19
0.00000000
USD
0.00000000
USD
1044911000.00000000
COP
-1743.41000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XJQU0
81985.42720000
PA
USD
72926.97000000
0.009145703470
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4.73000000
-0.00000059318
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
8904.88000000
PLN
2000.00000000
EUR
2023-07-18
-4.73000000
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2016-R2, Class 1A1
05890RAA0
57202.06000000
PA
USD
55362.23000000
0.006942925766
Long
ABS-MBS
CORP
US
N
2
2033-05-01
Variable
4.70000160
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
1330000.00000000
PA
USD
1131156.33000000
0.141857263142
Long
DBT
CORP
US
N
2
2031-01-22
Variable
2.69900000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-22T1, Class A1
12667GGN7
98637.66000000
PA
USD
80435.24000000
0.010087308627
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
5.42000160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJC71
39008.36750000
PA
USD
36149.75000000
0.004533506520
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X9ZP3
127546.20830000
PA
USD
113739.35000000
0.014263946083
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
2.00000000
N
N
N
N
N
N
Bakelite US Holdco, Inc.
N/A
Bakelite US Holdco, Inc., Term Loan
05710LAB9
285120.00000000
PA
USD
279654.25000000
0.035071179357
Long
LON
CORP
US
N
2
2029-05-29
Variable
9.39187000
N
N
N
N
N
N
Race Point X CLO Ltd.
N/A
Race Point X CLO Ltd., Series 2016-10A, Class A1R
74983DAN7
246483.82000000
PA
USD
244913.92000000
0.030714426888
Long
ABS-CBDO
CORP
KY
N
2
2031-07-25
Floating
6.35514120
N
N
N
N
N
N
BB-UBS Trust
N/A
BB-UBS Trust, Series 2012-SHOW, Class XA
05538UAL7
3475000.00000000
PA
USD
24368.09000000
0.003055979499
Long
ABS-MBS
CORP
US
N
2
2036-11-05
Variable
0.73000080
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QUZV8
5657.96000000
PA
USD
5477.54000000
0.000686933196
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust, Series 2005-4A, Class M1
07324SCT7
18628.98000000
PA
USD
17029.77000000
0.002135687614
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.82543000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408HK2
296000.00000000
PA
USD
257551.62000000
0.032299309089
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.30000000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HDA0
265000.00000000
PA
USD
263101.38000000
0.032995299328
Long
DBT
CORP
US
N
2
2034-06-08
Variable
6.37700000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810ST6
1933000.00000000
PA
USD
1293297.81000000
0.162191275325
Long
DBT
UST
US
N
2
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
162000.00000000
PA
USD
3534.25000000
0.000443227004
N/A
DFE
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Purchased
N/A
USD Currency
1.00000000
17.50000000
USD
2023-08-04
XXXX
1569.19000000
N
N
N
N/A
N/A
OIS
N/A
130447885.00000000
PA
-3149.96000000
-0.00039503355
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2025-02-03
0.00000000
USD
0.00000000
USD
130447885.00000000
JPY
-3149.96000000
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NBE0
107000.00000000
PA
USD
98672.15000000
0.012374382546
Long
DBT
CORP
US
N
2
2042-07-15
Fixed
4.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XBKH2
186179.11130000
PA
USD
166019.63000000
0.020820367366
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-122000.00000000
PA
USD
-2034.76000000
-0.00025517735
N/A
DFE
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Put
Written
N/A
USD Currency
1.00000000
19.00000000
USD
2023-07-17
XXXX
-215.86000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-156.37000000
-0.00001961021
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
460000.00000000
EUR
503766.24000000
USD
2023-09-20
-156.37000000
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS Mortgage Trust, Series 2017-BRBK, Class E
23305JAL6
210000.00000000
PA
USD
160521.42000000
0.020130841965
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Variable
3.64766760
N
N
N
N
N
N
N/A
N/A
NDIRS
N/A
414399225.00000000
PA
-3560.67000000
-0.00044654031
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-09-20
0.00000000
USD
0.00000000
USD
414399225.00000000
KRW
-3560.67000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132Y1WP9
168412.07450000
PA
USD
165348.98000000
0.020736261774
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust, Series 2005-4A, Class A1
07324SCR1
25528.55000000
PA
USD
23338.46000000
0.002926854559
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.60043000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFUZ2
92001.35000000
PA
USD
76029.91000000
0.009534840290
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XJVT7
276961.87670000
PA
USD
245575.15000000
0.030797351127
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNNT5
405991.26190000
PA
USD
333769.09000000
0.041857671104
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
BCMSC Trust
N/A
BCMSC Trust, Series 2000-A, Class A3
09774XBP6
36957.40000000
PA
USD
4715.88000000
0.000591414124
Long
ABS-O
CORP
US
N
2
2030-06-15
Variable
7.83000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A7UC1
37091.44060000
PA
USD
33245.72000000
0.004169314819
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
Dryden 30 Senior Loan Fund
549300AS2O1RYPD2ED41
Dryden 30 Senior Loan Fund, Series 2013-30A, Class AR
26249BAQ4
177515.97000000
PA
USD
176503.40000000
0.022135127210
Long
ABS-CBDO
CORP
KY
N
2
2028-11-15
Floating
6.14071080
N
N
N
N
N
N
CWABS Revolving Home Equity Loan Trust
N/A
CWABS Revolving Home Equity Loan Trust, Series 2004-U, Class 2A
126673VE9
6501.28000000
PA
USD
6271.08000000
0.000786450309
Long
ABS-O
CORP
US
N
2
2034-03-15
Floating
5.46329160
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFW9
311000.00000000
PA
USD
197535.07000000
0.024772689381
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
2.98700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179WDR6
1659389.03990000
PA
USD
1442245.72000000
0.180870694166
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
2.50000000
N
N
N
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAN9
3090000.00000000
PA
USD
2781375.50000000
0.348809714216
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
BBCMS Mortgage Trust
N/A
BBCMS Mortgage Trust, Series 2018-TALL, Class A
05548WAA5
35000.00000000
PA
USD
31519.25000000
0.003952799823
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
6.06600000
N
N
N
N
N
N
Cassia SRL
815600A9D6ADF4638276
Cassia SRL, Series 2022-1A, Class A
N/A
364309.89000000
PA
377666.56000000
0.047362811983
Long
ABS-MBS
CORP
IT
N
2
2034-05-22
Floating
5.88300120
N
N
N
N
N
N
First Franklin Mortgage Loan Trust
N/A
First Franklin Mortgage Loan Trust, Series 2004-FFH3, Class M3
32027NLT6
32547.30000000
PA
USD
29483.59000000
0.003697509596
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
6.20043120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138W5MS4
13945.66000000
PA
USD
12588.76000000
0.001578744681
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
BBCMS Trust
N/A
BBCMS Trust, Series 2015-SRCH, Class A1
05547HAA9
63694.35000000
PA
USD
58125.22000000
0.007289429772
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Fixed
3.31200000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2016-2, Class B
90933JAA9
7934.04000000
PA
USD
7356.20000000
0.000922534199
Long
DBT
CORP
US
N
2
2025-10-07
Fixed
3.65000000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAD4
94000.00000000
PA
USD
79672.29000000
0.009991627777
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.90000000
N
N
N
N
N
N
QUALCOMM, Inc.
H1J8DDZKZP6H7RWC0H53
QUALCOMM, Inc.
747525BR3
373000.00000000
PA
USD
339312.28000000
0.042552837406
Long
DBT
CORP
US
N
2
2052-05-20
Fixed
4.50000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGJ7
295000.00000000
PA
USD
246305.24000000
0.030888911035
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A7UM9
4831.62430000
PA
USD
4356.41000000
0.000546333325
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
Nasdaq, Inc.
549300L8X1Q78ERXFD06
Nasdaq, Inc.
63111XAJ0
120000.00000000
PA
USD
120471.96000000
0.015108276440
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
5.55000000
N
N
N
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAM1
2540000.00000000
PA
USD
2386452.02000000
0.299282727948
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-930.17000000
-0.00011665175
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
82000.00000000
USD
1219627000.00000000
IDR
2023-07-18
-930.17000000
N
N
N
N/A
N/A
HICPXT
N/A
555000.00000000
PA
5070.93000000
0.000635940614
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-06-15
0.00000000
USD
0.00000000
USD
555000.00000000
EUR
5070.93000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QA4A5
905003.28220000
PA
USD
891331.09000000
0.111781002879
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-997.67000000
-0.00012511686
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
537784.80000000
USD
490000.00000000
EUR
2023-09-20
-997.67000000
N
N
N
Benchmark Mortgage Trust
N/A
Benchmark Mortgage Trust, Series 2018-B8, Class XA
08162UAY6
4503578.43000000
PA
USD
111084.82000000
0.013931043944
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Variable
0.78130080
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPYP7
606075.40300000
PA
USD
623267.08000000
0.078163344739
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
6.00000000
N
N
N
N
N
N
Ohio Power Co.
06ZODLC132CY1O2Y7D77
Ohio Power Co.
677415CV1
747000.00000000
PA
USD
732836.95000000
0.091904400213
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36197MQM3
16328.11000000
PA
USD
16061.11000000
0.002014208865
Long
ABS-MBS
USGA
US
N
2
2047-03-15
Fixed
4.50000000
N
N
N
N
N
N
Aetna, Inc.
549300QKBENKLBXQ8968
Aetna, Inc.
00817YAP3
98000.00000000
PA
USD
86847.09000000
0.010891412771
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
4.75000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DWCH4
79283.90630000
PA
USD
64762.80000000
0.008121842505
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1
59022VAF8
34999.40000000
PA
USD
28388.00000000
0.003560112673
Long
ABS-O
CORP
US
N
2
2037-08-25
Floating
5.54042880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XAY55
1095180.67980000
PA
USD
1042374.98000000
0.130723276623
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62954HAV0
1008000.00000000
PA
USD
944838.72000000
0.118491344985
Long
DBT
CORP
US
N
2
2029-06-18
Fixed
4.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERM49
25997.48690000
PA
USD
24767.62000000
0.003106084185
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
3.00000000
N
N
N
N
N
N
Voya CLO Ltd.
54930085W413OSH6FR69
Voya CLO Ltd., Series 2015-1A, Class A1R
92914NAJ0
119975.79000000
PA
USD
119088.69000000
0.014934801836
Long
ABS-CBDO
CORP
KY
N
2
2029-01-18
Floating
6.16170960
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1184.58000000
0.000148557075
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
40000.00000000
USD
197200.00000000
BRL
2023-07-05
1184.58000000
N
N
N
N/A
N/A
USD Currency
N/A
120000.00000000
PA
USD
2331.99000000
0.000292452696
N/A
DFE
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Call
Purchased
N/A
USD Currency
1.00000000
18.60000000
USD
2023-07-18
XXXX
1044.63000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMX75
563751.03130000
PA
USD
489609.50000000
0.061401471959
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QETF9
118942.51000000
PA
USD
111302.74000000
0.013958373089
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
80736.00000000
PA
922.49000000
0.000115688612
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-05-15
357.18000000
USD
0.00000000
USD
80736.00000000
CAD
922.49000000
N
N
N
N/A
N/A
CDS
N/A
123000.00000000
PA
USD
-1988.82000000
-0.00024941606
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Federative Republic of Brazil
Federative Republic of Brazil
Y
Receipt of notional amount upon default event with regard to the reference instrument
2024-12-20
899.89000000
USD
0.00000000
USD
123000.00000000
USD
-1988.82000000
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKK4
1513000.00000000
PA
USD
1261276.43000000
0.158175503845
Long
DBT
CORP
US
N
2
2033-02-04
Variable
2.97200000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp., Series 5161, Class LI
3137H4AU4
1072324.48200000
PA
USD
139378.91000000
0.017479379452
Long
ABS-MBS
USGSE
US
N
2
2051-11-25
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
145.65000000
0.000018265831
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
32000.00000000
GBP
40789.39000000
USD
2023-07-18
145.65000000
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKQ1
2282000.00000000
PA
USD
2145636.15000000
0.269082233698
Long
DBT
CORP
US
N
2
2033-04-27
Variable
4.57100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGV7
457386.50950000
PA
USD
375157.70000000
0.047048178184
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418RQM6
28202.37000000
PA
USD
28404.42000000
0.003562171890
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282N9
1029000.00000000
PA
USD
993708.51000000
0.124620059890
Long
DBT
UST
US
N
2
2024-07-31
Fixed
2.12500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
356.67000000
0.000044729652
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
35206.60000000
USD
28000.00000000
GBP
2023-07-18
356.67000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417F2C1
9138.45830000
PA
USD
8662.18000000
0.001086315936
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
2.50000000
N
N
N
N
N
N
Union Pacific Railroad Co. Pass-Through Trust
N/A
Union Pacific Railroad Co. Pass-Through Trust, Series 2014-1
907825AA1
78705.92000000
PA
USD
73961.09000000
0.009275391498
Long
DBT
CORP
US
N
2
2026-05-14
Fixed
3.22700000
N
N
N
N
N
N
Exelon Corp.
3SOUA6IRML7435B56G12
Exelon Corp.
30161NAY7
376000.00000000
PA
USD
332289.46000000
0.041672112082
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.70000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RAR0
197000.00000000
PA
USD
199508.82000000
0.025020215532
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGB1
12101000.00000000
PA
USD
11995588.92000000
1.504355648148
Long
DBT
UST
US
N
2
2029-12-31
Fixed
3.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140JAUJ5
174529.32480000
PA
USD
173757.29000000
0.021790740109
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
5.00000000
N
N
N
N
N
N
Conseco Finance Corp.
N/A
Conseco Finance Corp., Series 1999-5, Class A5
3935053P5
24283.44730000
PA
USD
9667.07000000
0.001212338256
Long
ABS-O
CORP
US
N
2
2030-03-01
Variable
7.85999880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM4E1
555397.99490000
PA
USD
478339.80000000
0.059988149365
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XGWN5
6450110.16320000
PA
USD
5500195.73000000
0.689774430211
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Northrop Grumman Corp.
RIMU48P07456QXSO0R61
Northrop Grumman Corp.
666807BP6
547000.00000000
PA
USD
469932.32000000
0.058933775119
Long
DBT
CORP
US
N
2
2047-10-15
Fixed
4.03000000
N
N
N
N
N
N
N/A
N/A
NDIRS
N/A
560657775.00000000
PA
-4847.59000000
-0.00060793175
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-09-20
0.00000000
USD
0.00000000
USD
560657775.00000000
KRW
-4847.59000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-280.49000000
-0.00003517598
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
60257.61000000
USD
90000.00000000
AUD
2023-07-18
-280.49000000
N
N
N
Credit-Based Asset Servicing & Securitization LLC
N/A
Credit-Based Asset Servicing & Securitization LLC, Series 2006-SL1, Class A2
14983AAB5
75500.58000000
PA
USD
4248.44000000
0.000532792908
Long
ABS-O
CORP
US
N
2
2036-09-25
Variable
6.05599920
N
N
N
N
N
N
Barings CLO Ltd.
549300Z33CTC4YAKLT16
Barings CLO Ltd., Series 2016-2A, Class AR2
06761CAL3
260000.00000000
PA
USD
257583.40000000
0.032303294589
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
6.32043000
N
N
N
N
N
N
Ownit Mortgage Loan Trust
N/A
Ownit Mortgage Loan Trust, Series 2006-2, Class A2C
69121PDF7
59326.50000000
PA
USD
50923.18000000
0.006386228635
Long
ABS-O
CORP
US
N
2
2037-01-25
Variable
6.50000160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SH2
-803000.00000000
PA
USD
-663698.32000000
-0.08323378893
Short
DBT
UST
US
N
2
2049-05-15
Fixed
2.87500000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust, Series 2006-3, Class 1A1
35729MAA5
70666.07020000
PA
USD
54010.29000000
0.006773380228
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
5.43043080
N
N
N
N
N
N
Targa Resources Corp.
5493003QENHHS261UR94
Targa Resources Corp.
87612GAD3
92000.00000000
PA
USD
93953.11000000
0.011782572129
Long
DBT
CORP
US
N
2
2053-02-15
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-318.04000000
-0.00003988510
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
168940000.00000000
COP
40000.00000000
USD
2023-07-18
-318.04000000
N
N
N
BankAmerica Manufactured Housing Contract Trust
N/A
BankAmerica Manufactured Housing Contract Trust, Series 1998-2, Class B1
06606TAK7
300000.00000000
PA
USD
57005.16000000
0.007148964089
Long
ABS-O
CORP
US
N
2
2025-12-10
Variable
7.32761280
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AW7
453000.00000000
PA
USD
476500.12000000
0.059757436808
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
6.95000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFT3
7851000.00000000
PA
USD
7830452.44000000
0.982009756606
Long
DBT
UST
US
N
2
2029-10-31
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFEW2
7727.97000000
PA
USD
7180.70000000
0.000900524907
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M96X5
51295.32000000
PA
USD
49326.77000000
0.006186024341
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4.00000000
N
N
N
N
N
N
Republic of Cote d'Ivoire
254900ICW11T82O6H590
Republic of Cote d'Ivoire
N/A
100000.00000000
PA
84824.43000000
0.010637752862
Long
DBT
NUSS
CI
N
2
2032-01-30
Fixed
4.87500000
N
N
N
N
N
N
Herschend Entertainment Co. LLC
54930087KQ7RPDXK0716
Herschend Entertainment Co. LLC, Term Loan
42778EAF8
74860.00000000
PA
USD
74922.13000000
0.009395914630
Long
LON
CORP
US
N
2
2028-08-27
Variable
8.93750000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DWEC3
78181.09310000
PA
USD
75181.73000000
0.009428470825
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EPJ54
16385.07000000
PA
USD
15610.60000000
0.001957710825
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J5GJ2
35293.24000000
PA
USD
33003.07000000
0.004138884309
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
6142000.00000000
PA
176.53000000
0.000022138463
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2028-09-20
0.00000000
USD
0.00000000
USD
6142000.00000000
CZK
176.53000000
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2020-VKNG, Class A
12433YAA5
59633.77680000
PA
USD
58884.19000000
0.007384611493
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
6.19147080
N
N
N
N
N
N
Oakwood Mortgage Investors, Inc.
N/A
Oakwood Mortgage Investors, Inc., Series 2001-D, Class A2
67087TCU3
14529.01000000
PA
USD
6517.86000000
0.000817398759
Long
ABS-O
CORP
US
N
2
2019-01-15
Variable
5.25999960
N
N
N
N
N
N
N/A
N/A
HICPXT
N/A
302500.00000000
PA
7015.09000000
0.000879755911
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-06-15
0.00000000
USD
0.00000000
USD
302500.00000000
EUR
7015.09000000
N
N
N
CWABS Asset-Backed Certificates Trust
N/A
CWABS Asset-Backed Certificates Trust, Series 2006-11, Class 3AV2
12666TAJ5
517.64000000
PA
USD
514.74000000
0.000064553064
Long
ABS-O
CORP
US
N
2
2046-09-25
Floating
5.47043040
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-26161.85000000
-0.00328093327
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1000666608.00000000
COP
213703.49000000
USD
2023-07-05
-26161.85000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7S63
43596.76110000
PA
USD
41536.33000000
0.005209032508
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140Q9W74
57126.27010000
PA
USD
54414.37000000
0.006824055525
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBG4
305000.00000000
PA
USD
240657.68000000
0.030180655788
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
1.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417GQQ2
40575.02000000
PA
USD
36627.91000000
0.004593472121
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLSR8
145320.08420000
PA
USD
138501.99000000
0.017369405731
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SJ8
1786000.00000000
PA
USD
1297570.86000000
0.162727154550
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
857.00000000
NC
USD
2228200.00000000
0.279436489326
N/A
DIR
US
N
1
CME Clearing House
N/A
Put
Purchased
N/A
3 Month SOFR Interest Futures
250000.00000000
95.62500000
USD
2023-10-13
XXXX
1326453.55000000
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBC3
159000.00000000
PA
USD
128396.41000000
0.016102074343
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
PECO Energy Co.
YH65D4JBECK76IFEJ279
PECO Energy Co.
693304BA4
374000.00000000
PA
USD
258346.87000000
0.032399040652
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.05000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDU2
156000.00000000
PA
USD
101590.80000000
0.012740407728
Long
DBT
CORP
US
N
2
2056-11-01
Fixed
2.93700000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F012676
763600.00000000
PA
USD
589970.49000000
0.073987650359
Long
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
2980.64492400
PA
USD
-28.23000000
-0.00000354029
N/A
DCR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Markit CMBX North American AAA 9
137BENAI7
Y
Receipt of notional amount upon default event with regard to the reference instrument
2058-09-17
33.91000000
USD
0.00000000
USD
2981.00000000
USD
-28.23000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140JR7K1
252707.35570000
PA
USD
208142.57000000
0.026102966089
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132WJUH2
10505.66000000
PA
USD
9461.57000000
0.001186566692
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBQ7
531000.00000000
PA
USD
408808.50000000
0.051268293710
Long
DBT
CORP
US
N
2
2047-11-15
Fixed
4.00000000
N
N
N
N
N
N
Los Angeles Unified School District
N/A
Los Angeles Unified School District, Series 2010 RY
544646ZR6
500000.00000000
PA
USD
564688.46000000
0.070817054494
Long
DBT
MUN
US
N
2
2034-07-01
Fixed
6.75800000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-99.46000000
-0.00001247318
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
32000.00000000
GBP
169888000.00000000
COP
2023-07-18
-99.46000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
261.16000000
0.000032751832
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
428335.51000000
SEK
40000.00000000
USD
2023-07-18
261.16000000
N
N
N
NGPL PipeCo LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62928CAA0
1111000.00000000
PA
USD
914977.96000000
0.114746534850
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
3.25000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
64163.00000000
PA
-471.10000000
-0.00005908021
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-05-31
0.00000000
USD
0.00000000
USD
64163.00000000
CAD
-471.10000000
N
N
N
N/A
N/A
NDIRS
N/A
220478024.00000000
PA
-979.37000000
-0.00012282188
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-09-20
0.00000000
USD
0.00000000
USD
220478024.00000000
KRW
-979.37000000
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust, Series 2018-ASHF, Class D
04410RAL0
19000.00000000
PA
USD
18240.00000000
0.002287461433
Long
ABS-MBS
CORP
US
N
2
2035-04-15
Floating
7.41899880
N
N
N
N
N
N
Carrington Mortgage Loan Trust
N/A
Carrington Mortgage Loan Trust, Series 2006-NC4, Class A3
14453MAC8
29526.57000000
PA
USD
28334.04000000
0.003553345600
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.31042840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RK6
4920000.00000000
PA
USD
3809156.25000000
0.477702742031
Long
DBT
UST
US
N
2
2045-02-15
Fixed
2.50000000
N
N
N
N
N
N
Exelon Corp.
3SOUA6IRML7435B56G12
Exelon Corp.
30161NAS0
35000.00000000
PA
USD
32419.13000000
0.004065652936
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.10000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132WJUD1
20901.79000000
PA
USD
18732.36000000
0.002349207842
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FGD2
91.07000000
PA
USD
90.43000000
0.000011340742
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
261.99000000
0.000032855922
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
18000.00000000
AUD
12257.41000000
USD
2023-07-18
261.99000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-99.46000000
-0.00001247318
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
32000.00000000
GBP
169888000.00000000
COP
2023-07-18
-99.46000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140KSBC0
87008.81680000
PA
USD
71536.43000000
0.008971317143
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
Nomura Asset Acceptance Corp. Alternative Loan Trust
N/A
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2007-2, Class A4
655378AE7
10376.62000000
PA
USD
9048.93000000
0.001134817893
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.57043120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X9EC5
22780.60730000
PA
USD
21640.88000000
0.002713962630
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
4.00000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PCX8
241000.00000000
PA
USD
212154.80000000
0.026606136121
Long
DBT
CORP
US
N
2
2047-01-15
Fixed
4.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FEH5
1185.26000000
PA
USD
1176.99000000
0.000147605221
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
4.50000000
N
N
N
N
N
N
Connect Finco SARL
2594001KNYIQ456J2792
Connect Finco SARL, Term Loan
L2000DAD6
263203.68720000
PA
USD
262793.09000000
0.032956636966
Long
LON
CORP
LU
N
2
2026-12-11
Variable
8.70000000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661DU8
691000.00000000
PA
USD
671743.74000000
0.084242757576
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
184.97000000
0.000023196915
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
47000.00000000
GBP
1027684.69000000
MXN
2023-07-18
184.97000000
N
N
N
JPMDB Commercial Mortgage Securities Trust
N/A
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class XC
46646RAA1
1800000.00000000
PA
USD
36602.64000000
0.004590303034
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
0.74999880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFYM2
12677.16000000
PA
USD
11779.39000000
0.001477242342
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SP4
2742000.00000000
PA
USD
1593251.96000000
0.199808246259
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QCLT1
893343.98050000
PA
USD
871965.84000000
0.109352424890
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.50000000
N
N
N
N
N
N
Ohio Power Co.
06ZODLC132CY1O2Y7D77
Ohio Power Co.
677415CR0
146000.00000000
PA
USD
118192.64000000
0.014822429039
Long
DBT
CORP
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
130447884.00000000
PA
-3240.48000000
-0.00040638558
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2025-02-03
0.00000000
USD
0.00000000
USD
130447884.00000000
JPY
-3240.48000000
N
N
N
Palmer Square CLO Ltd.
549300EYS8N79JYSXL17
Palmer Square CLO Ltd., Series 2018-2A, Class A1A
69688MAA3
420000.00000000
PA
USD
417204.48000000
0.052321225752
Long
ABS-CBDO
CORP
KY
N
2
2031-07-16
Floating
6.36028920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNE40
166628.74510000
PA
USD
143441.36000000
0.017988847528
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
RKPF Overseas 2020 A Ltd.
254900LKOLISWWIE7W36
RKPF Overseas 2020 A Ltd.
N/A
200000.00000000
PA
USD
104250.00000000
0.013073895526
Long
DBT
CORP
VG
N
2
2026-01-12
Fixed
5.20000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F040677
-8401800.00000000
PA
USD
-7884236.01000000
-0.98875470409
Short
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
4.00000000
N
N
N
N
N
N
New York City Municipal Water Finance Authority
549300Q2EHQ6RJPQKP05
New York City Municipal Water Finance Authority, Series 2010EE
64972FL20
35000.00000000
PA
USD
39566.01000000
0.004961936509
Long
DBT
MUN
US
N
2
2042-06-15
Fixed
6.01100000
N
N
N
N
N
N
American Airlines Pass-Through Trust
N/A
American Airlines Pass-Through Trust, Series 2016-2, Class AA
023765AA8
61336.00000000
PA
USD
54918.79000000
0.006887314368
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.20000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
N/A
36000.00000000
PA
199744.06000000
0.025049716762
Long
DBT
NUSS
MX
N
2
2027-06-03
Fixed
7.49999880
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-8303000.00000000
PA
USD
-67251.14000000
-0.00843390291
N/A
DIR
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
Put
Written
N/A
Swaption
1.00000000
4.39000000
USD
2023-09-05
XXXX
-44583.95000000
N
N
N
APS Resecuritization Trust
N/A
APS Resecuritization Trust, Series 2016-3, Class 3A
00214WAE1
27497.45000000
PA
USD
27446.02000000
0.003441979837
Long
ABS-MBS
CORP
US
N
2
2046-09-27
Floating
8.00043120
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBC7
114000.00000000
PA
USD
83301.81000000
0.010446802504
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFWG2
261399.28000000
PA
USD
215135.39000000
0.026979929140
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-492.30000000
-0.00006173888
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
60000.00000000
USD
20392200.00000000
HUF
2023-07-18
-492.30000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
951000000.00000000
PA
69806.60000000
0.008754380771
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
8.25000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QBH4
46000.00000000
PA
USD
45016.75000000
0.005645508742
Long
DBT
NUSS
MX
N
2
2024-01-18
Fixed
4.87500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133L8AU9
253239.76750000
PA
USD
225846.87000000
0.028323245883
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
2.00000000
N
N
N
N
N
N
TCI-Symphony CLO Ltd.
5493005WLG3H3B8NI222
TCI-Symphony CLO Ltd., Series 2016-1A, Class AR2
87229WAQ4
750000.00000000
PA
USD
742809.38000000
0.093155033383
Long
ABS-CBDO
CORP
KY
N
2
2032-10-13
Floating
6.26157000
N
N
N
N
N
N
YPF SA
5493003N7447U18U5U53
YPF SA
N/A
29388.00000000
PA
USD
21730.96000000
0.002725259479
Long
DBT
NUSS
AR
N
2
2033-09-30
Variable
7.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVMD4
4338518.25000000
PA
USD
3849202.68000000
0.482724927566
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
5124.00000000
PA
-162.26000000
-0.00002034887
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-06-13
0.00000000
USD
0.00000000
USD
5124.00000000
CAD
-162.26000000
N
N
N
N/A
N/A
EUR Currency
N/A
-74000.00000000
PA
-283.43000000
-0.00003554469
N/A
DFE
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
Call
Written
N/A
EUR Currency
1.00000000
11.95000000
EUR
2023-07-20
XXXX
98.57000000
N
N
N
Cheniere Energy Partners LP
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAG6
872000.00000000
PA
USD
800283.58000000
0.100362819343
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WHXT4
127164.39000000
PA
USD
114366.69000000
0.014342620208
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EH3N0
55586.27000000
PA
USD
57892.54000000
0.007260249589
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
6.50000000
N
N
N
N
N
N
Credit-Based Asset Servicing & Securitization LLC
N/A
Credit-Based Asset Servicing & Securitization LLC, Series 2007-CB6, Class A4
1248RHAD9
36079.72000000
PA
USD
23553.19000000
0.002953783648
Long
ABS-O
CORP
US
N
2
2037-07-25
Floating
5.49042840
N
N
N
N
N
N
Bayview Financial Revolving Asset Trust
N/A
Bayview Financial Revolving Asset Trust, Series 2005-E, Class A1
073250BV3
23773.63270000
PA
USD
23778.44000000
0.002982032041
Long
ABS-O
CORP
US
N
2
2040-12-28
Floating
6.17785920
N
N
N
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2022-1, Class A1
693582AA6
794096.12120000
PA
USD
752239.95000000
0.094337712395
Long
ABS-MBS
CORP
US
N
2
2027-02-25
Variable
3.71999880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFGT2
843333.47410000
PA
USD
721159.97000000
0.090440001014
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
CIFC Funding Ltd.
549300O8WGQU5B6HEB94
CIFC Funding Ltd., Series 2014-2RA, Class A1
12548RAB0
228850.61940000
PA
USD
227092.59000000
0.028479470470
Long
ABS-CBDO
CORP
KY
N
2
2030-04-24
Floating
6.32270880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XJXF5
1067371.25920000
PA
USD
1017673.97000000
0.127625545936
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133BVPX7
55790.53470000
PA
USD
57426.83000000
0.007201845331
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-8303000.00000000
PA
USD
-92403.15000000
-0.01158819308
N/A
DIR
FR
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Put
Written
N/A
Swaption
1.00000000
4.18000000
USD
2023-08-24
XXXX
-70711.56000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1339.72000000
0.000168013038
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1890070.00000000
TWD
62000.00000000
USD
2023-07-13
1339.72000000
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBG9
262000.00000000
PA
USD
209493.35000000
0.026272366152
Long
DBT
CORP
US
N
2
2055-05-15
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179QJV4
3960.68000000
PA
USD
4024.31000000
0.000504684973
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNE57
593108.81150000
PA
USD
508365.63000000
0.063753660776
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fantasia Holdings Group Co. Ltd.
5493005JQNLB3I01JW62
Fantasia Holdings Group Co. Ltd.
N/A
200000.00000000
PA
USD
12000.00000000
0.001504908837
Long
DBT
CORP
KY
N
2
2023-04-17
Fixed
11.75000000
Y
N
N
N
N
N
HPS Loan Management Ltd.
549300Z5U2GIJ32SH058
HPS Loan Management Ltd., Series 11A-17, Class AR
40436VAE1
392180.94860000
PA
USD
389976.89000000
0.048906639018
Long
ABS-CBDO
CORP
KY
N
2
2030-05-06
Floating
6.34371120
N
N
N
N
N
N
Bayview Commercial Asset Trust
N/A
Bayview Commercial Asset Trust, Series 2007-4A, Class A1
07326BAA5
75867.00000000
PA
USD
69342.11000000
0.008696129513
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
5.82543000
N
N
N
N
N
N
WP Carey, Inc.
54930042CRNE713E3Q67
WP Carey, Inc.
92936UAG4
283000.00000000
PA
USD
227484.87000000
0.028528665940
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.40000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
312942H40
23022.54000000
PA
USD
22161.20000000
0.002779215477
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XKDV9
411562.06380000
PA
USD
421080.54000000
0.052807318831
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1739.22000000
-0.00021811396
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
45000.00000000
USD
6229440.00000000
JPY
2023-07-18
-1739.22000000
N
N
N
EQT Corp.
4NT01YGM4X7ZX86ISY52
EQT Corp.
26884LAQ2
137000.00000000
PA
USD
135214.54000000
0.016957129684
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
5.70000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RC4
528000.00000000
PA
USD
495598.12000000
0.062152499223
Long
DBT
UST
US
N
2
2043-08-15
Fixed
3.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLSW7
116745.76160000
PA
USD
112524.20000000
0.014111555251
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMR49
435378.23000000
PA
USD
422136.61000000
0.052939759588
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CXN9
19440.34840000
PA
USD
18534.67000000
0.002324415723
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QE1
432000.00000000
PA
USD
471082.50000000
0.059078018123
Long
DBT
UST
US
N
2
2040-02-15
Fixed
4.62500000
N
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust
N/A
BAMLL Commercial Mortgage Securities Trust, Series 2017-SCH, Class CL
054966AU0
100000.00000000
PA
USD
91867.77000000
0.011521051580
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
6.69399840
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
90000.00000000
PA
USD
-10981.89000000
-0.00137722860
N/A
DCR
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Markit CMBX North American BBB- 14
137BERAN7
Y
Payout of notional amount upon default event with regard to the reference instrument
2072-12-16
0.00000000
USD
15052.49000000
USD
90000.00000000
USD
-10981.89000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
29.71000000
0.000003725903
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
5007185.00000000
INR
61000.00000000
USD
2023-07-18
29.71000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNEJ7
215878.28420000
PA
USD
177771.86000000
0.022294203599
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132WJUE9
21776.03000000
PA
USD
19514.13000000
0.002447248891
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Banco Mercantil del Norte SA
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA
05973KAA5
200000.00000000
PA
USD
169125.00000000
0.021209808929
Long
DBT
CORP
MX
N
2
2027-01-24
Variable
5.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-334.64000000
-0.00004196689
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
99000.00000000
USD
474987.15000000
BRL
2023-08-02
-334.64000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140GSRR5
16144.15700000
PA
USD
15392.13000000
0.001930312705
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZJ6
18417.82000000
PA
USD
17244.68000000
0.002162639277
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Commonwealth Edison Co.
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co., Series 131
202795JU5
145000.00000000
PA
USD
93697.53000000
0.011750520079
Long
DBT
CORP
US
N
2
2051-09-01
Fixed
2.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZL7
15594000.00000000
PA
USD
14347698.20000000
1.799331485019
Long
DBT
UST
US
N
2
2025-04-30
Fixed
0.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QE2F8
34402.74640000
PA
USD
32519.05000000
0.004078183811
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
4.00000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
455780CF1
200000.00000000
PA
USD
192656.00000000
0.024160809751
Long
DBT
NUSS
ID
N
2
2028-04-24
Fixed
4.10000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M9ZF2
12599.25000000
PA
USD
12704.06000000
0.001593204347
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
145.65000000
0.000018265831
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
32000.00000000
GBP
40789.39000000
USD
2023-07-18
145.65000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-106.00000000
-0.00001329336
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
30000.00000000
USD
449730000.00000000
IDR
2023-07-18
-106.00000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140FG5Z8
4263.66000000
PA
USD
3815.60000000
0.000478510846
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WCSJ3
14190.62000000
PA
USD
13521.07000000
0.001695664811
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
3.00000000
N
N
N
N
N
N
Pacific Gas & Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co.
694308JJ7
479000.00000000
PA
USD
304694.44000000
0.038211446293
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-5265.46000000
-0.00066033644
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
413056.26000000
BRL
81000.00000000
USD
2023-07-05
-5265.46000000
N
N
N
AEP Transmission Co. LLC
549300X123Z1I0LA3Y84
AEP Transmission Co. LLC
00115AAL3
134000.00000000
PA
USD
95316.82000000
0.011953593732
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.15000000
N
N
N
N
N
N
Conseco Finance Corp.
N/A
Conseco Finance Corp., Series 1997-3, Class M1
393505TZ5
19733.61000000
PA
USD
19339.65000000
0.002425367516
Long
ABS-O
CORP
US
N
2
2028-03-15
Variable
7.53000120
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
522.68000000
0.000065548812
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
310000.00000000
EUR
340122.70000000
USD
2023-09-20
522.68000000
N
N
N
Octagon Investment Partners XVI Ltd.
N/A
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class A1R
67590BAQ3
250000.00000000
PA
USD
247275.65000000
0.031010609250
Long
ABS-CBDO
CORP
KY
N
2
2030-07-17
Floating
6.28029000
N
N
N
N
N
N
Galaxy XXIV CLO Ltd.
6354006LLTU5DRVJLQ86
Galaxy XXIV CLO Ltd., Series 2017-24A, Class A
36321BAA9
287162.10000000
PA
USD
283231.54000000
0.035519803969
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
6.38029080
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-822.33000000
-0.00010312764
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
40000.00000000
USD
284512.08000000
CNY
2023-07-18
-822.33000000
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RCP5
854000.00000000
PA
USD
785084.18000000
0.098456676727
Long
DBT
CORP
US
N
2
2035-05-15
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SK5
608000.00000000
PA
USD
453981.25000000
0.056933366268
Long
DBT
UST
US
N
2
2049-11-15
Fixed
2.37500000
N
N
N
N
N
N
Dewolf Park CLO Ltd.
N/A
Dewolf Park CLO Ltd., Series 2017-1A, Class AR
25211AAE9
249796.48000000
PA
USD
247858.46000000
0.031083698910
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.18028920
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132CWXG4
170817.60170000
PA
USD
151473.71000000
0.018996177070
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFZU8
89141.24920000
PA
USD
79043.80000000
0.009912809431
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H022671
3188314.00000000
PA
USD
2760631.58000000
0.346208238505
Long
ABS-MBS
USGA
US
N
2
2053-07-15
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
122000.00000000
PA
USD
-1989.97000000
-0.00024956028
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Federative Republic of Brazil
Federative Republic of Brazil
Y
Receipt of notional amount upon default event with regard to the reference instrument
2024-12-20
909.89000000
USD
0.00000000
USD
122000.00000000
USD
-1989.97000000
N
N
N
Elevance Health, Inc.
8MYN82XMYQH89CTMTH67
Elevance Health, Inc.
036752AM5
383000.00000000
PA
USD
267046.76000000
0.033490085764
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJEN4
33109.57050000
PA
USD
30683.51000000
0.003847990447
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMYM1
1008992.20910000
PA
USD
836369.81000000
0.104888359880
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844CP1
135000.00000000
PA
USD
121911.22000000
0.015288772698
Long
DBT
CORP
US
N
2
2053-06-01
Fixed
4.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140NAYE7
392112.33000000
PA
USD
390939.75000000
0.049027390394
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
5.50000000
N
N
N
N
N
N
Texas Eastern Transmission LP
549300SIOULUXXIDGA69
Texas Eastern Transmission LP
882384AD2
710000.00000000
PA
USD
656590.58000000
0.082342413876
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAE2
1214.60000000
PA
USD
1130.00000000
0.000141712248
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust, Series 2007-FXD1, Class 1A1
68402VAA0
66137.91000000
PA
USD
53394.54000000
0.006696159593
Long
ABS-O
CORP
US
N
2
2037-01-25
Variable
5.86599840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WQPF3
10286.37000000
PA
USD
9821.52000000
0.001231707687
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJH35
12798.00000000
PA
USD
11832.16000000
0.001483860179
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GLH0
234000.00000000
PA
USD
231825.26000000
0.029072990212
Long
DBT
CORP
US
N
2
2034-04-25
Variable
5.28800000
N
N
N
N
N
N
Lehman Brothers Holdings, Inc.
549300FDK6ZP3YIHRJ47
Lehman Brothers Holdings, Inc.
N/A
1025000.00000000
PA
USD
0.10000000
0.000000012540
Long
DBT
CORP
US
N
3
2017-12-28
Fixed
6.75000000
Y
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
233.04000000
0.000029225329
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
79896.58000000
EUR
87767.32000000
USD
2023-09-22
233.04000000
N
N
N
CenterPoint Energy Houston Electric LLC
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC, Series AF
15189XAW8
144000.00000000
PA
USD
107429.18000000
0.013472593533
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.35000000
N
N
N
N
N
N
Ambac Assurance Corp.
549300RYYRVPPB8NC636
Ambac Assurance Corp.
023138AA8
14845.29410000
PA
USD
21599.90000000
0.002708823366
Long
DBT
CORP
US
N
2
2172-06-07
Fixed
5.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417GWY8
47519.66000000
PA
USD
42896.98000000
0.005379670358
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
Aon Corp.
LTS3U8DGK38SETRUWX71
Aon Corp.
03740LAF9
122000.00000000
PA
USD
120359.32000000
0.015094150362
Long
DBT
CORP
US
N
2
2032-09-12
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2016-UBS9, Class XD
61766CAM1
1000000.00000000
PA
USD
37365.22000000
0.004685937483
Long
ABS-MBS
CORP
US
N
2
2049-03-15
Variable
1.74767040
N
N
N
N
N
N
Connecticut Light & Power Co. (The)
549300O45IUXEDS1VZ32
Connecticut Light & Power Co. (The)
207597EQ4
333000.00000000
PA
USD
331189.68000000
0.041534189695
Long
DBT
CORP
US
N
2
2033-07-01
Fixed
4.90000000
N
N
N
N
N
N
Alabama Power Co.
0RL818ELFOHP5JHOFU19
Alabama Power Co.
010392FM5
302000.00000000
PA
USD
237354.26000000
0.029766376959
Long
DBT
CORP
US
N
2
2045-03-01
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association, Series 2021-31, Class IB
3136BHXV6
608693.10000000
PA
USD
118913.01000000
0.014912769971
Long
ABS-MBS
USGSE
US
N
2
2051-06-25
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307UV47
17061.96990000
PA
USD
16077.67000000
0.002016285639
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
726500.00000000
PA
-6253.29000000
-0.00078421928
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2028-09-20
0.00000000
USD
0.00000000
USD
726500.00000000
PLN
-6253.29000000
N
N
N
Credit Suisse AG
549300D0YARF5HYP1809
Credit Suisse AG
22550L2C4
540000.00000000
PA
USD
507450.16000000
0.063638852534
Long
DBT
CORP
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
One Market Plaza Trust
N/A
One Market Plaza Trust, Series 2017-1MKT, Class XNCP
68245HAU8
376000.00000000
PA
USD
979.59000000
0.000122849470
Long
ABS-MBS
CORP
US
N
2
2032-02-10
Variable
0.21838680
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175CA0
1292000.00000000
PA
USD
845439.10000000
0.106025731102
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
3.90000000
N
N
N
N
N
N
PECO Energy Co.
YH65D4JBECK76IFEJ279
PECO Energy Co.
693304AY3
134000.00000000
PA
USD
88333.56000000
0.011077829591
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.80000000
N
N
N
N
N
N
American Home Mortgage Assets Trust
N/A
American Home Mortgage Assets Trust, Series 2007-1, Class A1
02660BAA0
50286.85000000
PA
USD
20339.82000000
0.002550797906
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
4.67619840
N
N
N
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AN9
101000.00000000
PA
USD
79937.26000000
0.010024857418
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.80000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPF86
393926.76850000
PA
USD
386400.35000000
0.048458108463
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
5.00000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RJZ6
151000.00000000
PA
USD
115920.34000000
0.014537462010
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119CA5
1383000.00000000
PA
USD
1212268.04000000
0.152029407243
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844CH9
122000.00000000
PA
USD
83399.75000000
0.010459085068
Long
DBT
CORP
US
N
2
2055-05-15
Fixed
3.15500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1002.70000000
-0.00012574767
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
274873.68000000
USD
250000.00000000
EUR
2023-09-20
-1002.70000000
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2015-3BP, Class XA
12592TAC9
1916000.00000000
PA
USD
2660.65000000
0.000333669641
Long
ABS-MBS
CORP
US
N
2
2035-02-10
Variable
0.16834680
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410KFF6
7137.88000000
PA
USD
7405.91000000
0.000928768284
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Citicorp Mortgage Securities Trust
N/A
Citicorp Mortgage Securities Trust, Series 2007-9, Class 1A1
17313VAA5
38066.92000000
PA
USD
31610.72000000
0.003964270990
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Fixed
6.25000000
N
N
N
N
N
N
Waste Management, Inc.
549300YX8JIID70NFS41
Waste Management, Inc.
94106LBR9
118000.00000000
PA
USD
87417.86000000
0.010962992506
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
2.95000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMY33
58063.56070000
PA
USD
47760.29000000
0.005989573542
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QDYC2
306737.54140000
PA
USD
290892.11000000
0.036480508926
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
4.00000000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co., Series G
842400HD8
95000.00000000
PA
USD
78935.79000000
0.009899263997
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
170000.00000000
PA
USD
-2748.76000000
-0.00034471943
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Federative Republic of Brazil
Federative Republic of Brazil
Y
Receipt of notional amount upon default event with regard to the reference instrument
2024-12-20
1243.74000000
USD
0.00000000
USD
170000.00000000
USD
-2748.76000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418EBJ8
172391.30770000
PA
USD
146446.79000000
0.018365755708
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-767.54000000
-0.00009625647
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
37000.00000000
EUR
425208.29000000
NOK
2023-07-18
-767.54000000
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AC2
250000.00000000
PA
USD
231050.81000000
0.028975867158
Long
DBT
CORP
CH
N
2
2028-01-09
Fixed
4.28200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLSV9
113285.99220000
PA
USD
106612.01000000
0.013370113003
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QSAX9
671848.76520000
PA
USD
669929.50000000
0.084015235425
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ALJW8
8252.16000000
PA
USD
8305.36000000
0.001041567471
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
Sabine Pass Liquefaction LLC
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AJ5
500000.00000000
PA
USD
499139.64000000
0.062596637952
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
5.75000000
N
N
N
N
N
N
Czech Republic
3157007EFDLQABN47912
Czech Republic
N/A
2590000.00000000
PA
122888.47000000
0.015411328711
Long
DBT
NUSS
CZ
N
2
2030-09-30
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
EUR Currency
N/A
-1250000.00000000
PA
-6.45000000
-0.00000080888
N/A
DFE
DE
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
Call
Written
N/A
EUR Currency
1.00000000
1.15000000
EUR
2023-07-19
XXXX
3041.64000000
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Republic of Peru
715638DT6
576000.00000000
PA
USD
428463.36000000
0.053733191420
Long
DBT
NUSS
PE
N
2
2051-03-10
Fixed
3.55000000
N
N
N
N
N
N
CWHEQ Revolving Home Equity Loan Resuritization Trust
N/A
CWHEQ Revolving Home Equity Loan Resuritization Trust, Series 2006-RES, Class 4Q1B
23242YAT2
2258.74000000
PA
USD
2238.45000000
0.000280721932
Long
ABS-O
CORP
US
N
2
2033-12-15
Floating
5.49329040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGSZ1
67218.09750000
PA
USD
64322.20000000
0.008066587269
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J8GB3
233865.08560000
PA
USD
217305.64000000
0.027252098174
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CYM0
19452.61700000
PA
USD
18546.35000000
0.002325880501
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M9GP1
20956.25780000
PA
USD
19643.05000000
0.002463416628
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-562.87000000
-0.00007058900
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
40000.00000000
USD
51936000.00000000
KRW
2023-07-18
-562.87000000
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJT7
1259000.00000000
PA
USD
1043391.77000000
0.130850791311
Long
DBT
CORP
US
N
2
2032-04-22
Variable
2.68700000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DNAY9
1689544.85870000
PA
USD
1445309.34000000
0.181254899901
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Anglo American Capital plc
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863AW0
603000.00000000
PA
USD
599201.10000000
0.075145252573
Long
DBT
CORP
GB
N
2
2030-04-01
Fixed
5.62500000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703TAE6
646000.00000000
PA
USD
641409.06000000
0.080438513575
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLST4
132302.50880000
PA
USD
125162.62000000
0.015696527747
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJF94
2932.01930000
PA
USD
2656.91000000
0.000333200611
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
GS Mortgage Securities Corp. Trust
N/A
GS Mortgage Securities Corp. Trust, Series 2017-GPTX, Class A
36257CAA5
100000.00000000
PA
USD
76000.00000000
0.009531089304
Long
ABS-MBS
CORP
US
N
2
2034-05-10
Fixed
2.85554600
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CS54
78313.98200000
PA
USD
74665.74000000
0.009363760999
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CCL6
9509.90570000
PA
USD
8618.38000000
0.001080823018
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1861.37000000
0.000233432680
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
134000.00000000
USD
2961687.16000000
CZK
2023-07-18
1861.37000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGS73
77979.79910000
PA
USD
75272.05000000
0.009439797772
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
27136.00000000
PA
-370.08000000
-0.00004641138
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-06-29
0.00000000
USD
0.00000000
USD
27136.00000000
CAD
-370.08000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
359.77000000
0.000045118421
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
35203.50000000
USD
28000.00000000
GBP
2023-07-18
359.77000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132A5H40
150977.67500000
PA
USD
139370.14000000
0.017478279615
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Sabine Pass Liquefaction LLC
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AM8
2259000.00000000
PA
USD
2250095.00000000
0.282182320909
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.62500000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust, Series 2007-FXD1, Class 2A1
68402VAB8
161860.04000000
PA
USD
134531.93000000
0.016871524199
Long
ABS-O
CORP
US
N
2
2037-01-25
Variable
5.86599840
N
N
N
N
N
N
VICI Properties LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AB9
332000.00000000
PA
USD
314348.85000000
0.039422196870
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X8XE2
388260.10360000
PA
USD
319824.81000000
0.040108931920
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
3 Month Canadian Bankers Acceptance
N/A
4.00000000
NC
-3602.73000000
-0.00045181501
N/A
DIR
CA
N
1
Canadian Derivatives Clearing
5493004XJK1P32XQLA57
Long
N/A
3 Month Canadian Bankers Acceptance
2024-09-18
951100.00000000
CAD
-3602.73000000
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust, Series 2007-4, Class 2A2
41164YAC5
85790.47000000
PA
USD
78317.18000000
0.009821684693
Long
ABS-MBS
CORP
US
N
2
2047-07-19
Floating
5.40657000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XCGT9
817130.89420000
PA
USD
671356.89000000
0.084194243078
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BKV7
91409.55680000
PA
USD
85788.65000000
0.010758674795
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2020-1, Class A
90931GAA7
543324.62130000
PA
USD
538658.77000000
0.067552695284
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.87500000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBF9
138000.00000000
PA
USD
125251.29000000
0.015707647770
Long
DBT
CORP
US
N
2
2054-10-15
Fixed
4.95000000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2014-R2, Class 1C
05968KAC8
122706.78140000
PA
USD
34272.83000000
0.004298123729
Long
ABS-MBS
CORP
US
N
2
2036-11-26
Variable
0.00001080
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2007-QH9, Class A1
749241AA3
21395.70000000
PA
USD
17739.49000000
0.002224692939
Long
ABS-MBS
CORP
US
N
2
2037-11-25
Variable
5.09100120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83Z8
85717.27660000
PA
USD
79162.43000000
0.009927686709
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J76Q3
131208.61310000
PA
USD
121591.72000000
0.015248704500
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F042673
-29284520.00000000
PA
USD
-28154320.56000000
-3.53080715225
Short
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J8HY2
100537.36550000
PA
USD
99916.16000000
0.012530392683
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
1112044.00000000
PA
2343.41000000
0.000293884868
N/A
DIR
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
Y
2024-07-01
0.00000000
USD
0.00000000
USD
1112044.00000000
BRL
2343.41000000
N
N
N
N/A
N/A
U.S. Treasury 2 Year Note
N/A
160.00000000
NC
USD
-106304.87000000
-0.01333159486
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury 2 Year Note
2023-09-29
32540000.00000000
USD
-106304.87000000
N
N
N
Credit Suisse AG
549300D0YARF5HYP1809
Credit Suisse AG
22550L2M2
375000.00000000
PA
USD
398329.01000000
0.049954070618
Long
DBT
CORP
CH
N
2
2028-02-15
Fixed
7.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-351.22000000
-0.00004404617
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
54000.00000000
EUR
77631.52000000
CAD
2023-07-18
-351.22000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83D7
16873.08000000
PA
USD
15724.39000000
0.001971981123
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
Republic of Philippines
718286CC9
516000.00000000
PA
USD
478878.96000000
0.060055764919
Long
DBT
NUSS
PH
N
2
2028-02-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
210000.00000000
PA
USD
-545.25000000
-0.00006837929
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2035-06-17
0.00000000
USD
0.00000000
USD
210000.00000000
USD
-545.25000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WH3H3
224620.11000000
PA
USD
201226.69000000
0.025235652011
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase Commercial Mortgage Securities Trust
N/A
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC
46590RAM1
900000.00000000
PA
USD
17556.30000000
0.002201719252
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
0.74999880
N
N
N
N
N
N
HPS Loan Management Ltd.
549300OYG05TXUTUVD98
HPS Loan Management Ltd., Series 6A-2015, Class A1R
40436KAC9
233056.55000000
PA
USD
231102.84000000
0.028982392192
Long
ABS-CBDO
CORP
KY
N
2
2031-02-05
Floating
6.32629080
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GLG2
2924000.00000000
PA
USD
2892044.19000000
0.362688571685
Long
DBT
CORP
US
N
2
2029-04-25
Variable
5.20200000
N
N
N
N
N
N
N/A
N/A
Japan 10 Year Bond
N/A
-23.00000000
NC
-107849.19000000
-0.01352526659
N/A
DIR
JP
N
1
Japan Securities Clearing
549300JHM7D8P3TS4S86
Short
N/A
Japan 10 Year Bond
2023-09-12
-3416650000.00000000
JPY
-107849.19000000
N
N
N
AEP Texas, Inc.
5493001L78U618KXNZ75
AEP Texas, Inc.
00108WAN0
305000.00000000
PA
USD
216914.41000000
0.027203034384
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
3.45000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-202000.00000000
PA
USD
-2041.48000000
-0.00025602010
N/A
DFE
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
USD Currency
1.00000000
4.75000000
USD
2023-08-10
XXXX
-828.46000000
N
N
N
Anglo American Capital plc
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863AU4
221000.00000000
PA
USD
210745.60000000
0.026429409660
Long
DBT
CORP
GB
N
2
2028-03-15
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
-3.00000000
NC
USD
3483.58000000
0.000436872527
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
3 Month SOFR Interest Futures
2025-03-18
-719925.00000000
USD
3483.58000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1308.87000000
0.000164144169
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
52270490.00000000
KRW
41000.00000000
USD
2023-07-18
1308.87000000
N
N
N
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-4, Class 1A1
939344AA5
35839.52000000
PA
USD
31999.22000000
0.004012992414
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H052678
1387000.00000000
PA
USD
1380498.44000000
0.173127025219
Long
ABS-MBS
USGA
US
N
2
2053-07-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179USV5
147328.53790000
PA
USD
143603.08000000
0.018009128683
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGKB2
148477.52000000
PA
USD
138939.15000000
0.017424229560
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
3.00000000
N
N
N
N
N
N
Barclays plc
213800LBQA1Y9L22JB70
Barclays plc
06738ECG8
745000.00000000
PA
USD
742046.27000000
0.093059332468
Long
DBT
CORP
GB
N
2
2034-05-09
Variable
6.22400000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAR4
1562000.00000000
PA
USD
1319207.42000000
0.165440575414
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust, Series 2007-2, Class AF3
3622EUAC0
24655.60000000
PA
USD
4988.50000000
0.000625603144
Long
ABS-O
CORP
US
N
2
2037-03-25
Variable
5.91693120
N
N
N
N
N
N
Air Canada Pass-Through Trust
N/A
Air Canada Pass-Through Trust, Series 2017-1, Class AA
00908PAA5
73881.60000000
PA
USD
65364.03000000
0.008197242200
Long
DBT
CORP
CA
N
2
2030-01-15
Fixed
3.30000000
N
N
N
N
N
N
Nasdaq, Inc.
549300L8X1Q78ERXFD06
Nasdaq, Inc.
63111XAL5
180000.00000000
PA
USD
184059.44000000
0.023082723158
Long
DBT
CORP
US
N
2
2063-06-28
Fixed
6.10000000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513ECS8
126000.00000000
PA
USD
130837.60000000
0.016408221710
Long
DBT
CORP
US
N
2
2053-02-27
Fixed
5.37500000
N
N
N
N
N
N
NiSource, Inc.
549300D8GOWWH0SJB189
NiSource, Inc.
65473QBE2
79000.00000000
PA
USD
74327.48000000
0.009321340127
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.49000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410KHE7
2497.11000000
PA
USD
2592.91000000
0.000325174431
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
6.00000000
N
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust
5493002AJGYQZUG0NT80
BAMLL Commercial Mortgage Securities Trust, Series 2016-SS1, Class XA
05525JAC7
15000000.00000000
PA
USD
168106.35000000
0.021082060980
Long
ABS-MBS
CORP
US
N
2
2035-12-15
Variable
0.70166160
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class C
17290XAX8
20000.00000000
PA
USD
17524.35000000
0.002197712432
Long
ABS-MBS
CORP
US
N
2
2049-04-10
Variable
5.07784680
N
N
N
N
N
N
Modern Land China Co. Ltd.
549300PDOU6AR9Z9IN08
Modern Land China Co. Ltd.
N/A
225454.00000000
PA
USD
11272.70000000
0.001413698821
Long
DBT
CORP
KY
N
2
2026-12-30
Variable
9.00000000
Y
N
Y
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QSA76
549153.82520000
PA
USD
555255.24000000
0.069634043149
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
6.00000000
N
N
N
N
N
N
Allegro CLO VII Ltd.
635400EBXLHIKFL2MP73
Allegro CLO VII Ltd., Series 2018-1A, Class A
01750CAA1
250000.00000000
PA
USD
247508.18000000
0.031039770621
Long
ABS-CBDO
CORP
KY
N
2
2031-06-13
Floating
6.36028920
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-OA14, Class 1A1
02146SAA7
50985.19260000
PA
USD
39885.25000000
0.005001972101
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
5.70620160
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
195325EF8
200000.00000000
PA
USD
203350.00000000
0.025501934343
Long
DBT
NUSS
CO
N
2
2033-04-20
Fixed
8.00000000
N
N
N
N
N
N
Gray Television, Inc.
529900TM5726KDN7UU35
Gray Television, Inc., Term Loan D
389376AZ7
228520.00000000
PA
USD
222843.56000000
0.027946603570
Long
LON
CORP
US
N
2
2028-12-01
Variable
8.27474000
N
N
N
N
N
N
N/A
N/A
Euro-Bobl
N/A
2.00000000
NC
-1121.28000000
-0.00014061868
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Long
N/A
Euro-Bobl
2023-09-07
231420.00000000
EUR
-1121.28000000
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
Port Authority of New York & New Jersey, Series 2014-180-1
73358WRP1
195000.00000000
PA
USD
190999.50000000
0.023953069627
Long
DBT
MUN
US
N
2
2046-08-01
Fixed
4.96000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A7UK3
9921.86700000
PA
USD
8946.44000000
0.001121964718
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31416BMP0
32662.75000000
PA
USD
33421.22000000
0.004191324111
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Sabine Pass Liquefaction LLC
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AV8
1532000.00000000
PA
USD
1544541.01000000
0.193699451330
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
5.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418EE63
82992.47420000
PA
USD
79806.32000000
0.010008436355
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-318.04000000
-0.00003988510
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
168940000.00000000
COP
40000.00000000
USD
2023-07-18
-318.04000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMQ81
214534.05000000
PA
USD
197760.76000000
0.024800992954
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFAD3
351203.94800000
PA
USD
304618.18000000
0.038201882597
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
1.50000000
N
N
N
N
N
N
First Franklin Mortgage Loan Trust
N/A
First Franklin Mortgage Loan Trust, Series 2006-FF16, Class 2A3
320275AD2
547758.87000000
PA
USD
228209.33000000
0.028619519794
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
5.43043080
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307MSF4
11074.59000000
PA
USD
10285.10000000
0.001289844823
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAT7
200000.00000000
PA
USD
190828.00000000
0.023931561971
Long
DBT
NUSS
MX
N
2
2033-05-19
Fixed
4.87500000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
792396.00000000
PA
USD
37008.82000000
0.004641241690
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Call
Purchased
N/A
Swaption
1.00000000
3.15400000
USD
2026-06-23
XXXX
-1660.10000000
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
913017CJ6
130000.00000000
PA
USD
104743.89000000
0.013135833812
Long
DBT
CORP
US
N
2
2046-11-01
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
514.00000000
NC
USD
626437.50000000
0.078560944162
N/A
DIR
US
N
1
CME Clearing House
N/A
Put
Purchased
N/A
3 Month SOFR Interest Futures
250000.00000000
95.00000000
USD
2023-10-13
XXXX
483524.52000000
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABF1
533000.00000000
PA
USD
491036.16000000
0.061580388063
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
HMH Trust
N/A
HMH Trust, Series 2017-NSS, Class A
40390AAA9
110000.00000000
PA
USD
102300.00000000
0.012829347840
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Fixed
3.06220000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TN8
2370000.00000000
PA
USD
2274459.38000000
0.285237835141
Long
DBT
UST
US
N
2
2053-02-15
Fixed
3.62500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
744.12000000
0.000093319397
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
425459.56000000
NOK
37000.00000000
EUR
2023-07-18
744.12000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DWCT8
582407.45310000
PA
USD
475565.48000000
0.059640224475
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-280.49000000
-0.00003517598
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
60257.61000000
USD
90000.00000000
AUD
2023-07-18
-280.49000000
N
N
N
BlackRock Liquidity Funds
5493002L9DNZ83RX7V61
T-Fund, Institutional Class
09248U718
52512005.36000000
NS
USD
52512005.36000000
6.585481745479
Long
STIV
RF
US
N
1
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EQA36
18972.25000000
PA
USD
18076.26000000
0.002266926952
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DG2
932000.00000000
PA
USD
764919.20000000
0.095927805343
Long
DBT
CORP
US
N
2
2062-02-22
Fixed
4.40000000
N
N
N
N
N
N
Carlyle Global Market Strategies CLO Ltd.
549300TYZXFDHLTKDG17
Carlyle Global Market Strategies CLO Ltd., Series 2013-4A, Class A1RR
14310KAS0
243435.95580000
PA
USD
242169.07000000
0.030370197802
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
6.26028840
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Series 2007-AHL2, Class A3B
17312TAJ2
160705.53000000
PA
USD
104862.43000000
0.013150699803
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
5.35043160
N
N
N
N
N
N
Digital Dutch Finco BV
549300ONZ5IS6B6IMJ70
Digital Dutch Finco BV
N/A
315000.00000000
PA
269253.83000000
0.033766872360
Long
DBT
CORP
NL
N
2
2030-03-15
Fixed
1.50000000
N
N
N
N
N
N
BlackRock Allocation Target Shares
5493001N6IPQ853IL862
Series A Portfolio
092480706
14408517.73000000
NS
USD
132558363.12000000
16.62402101296
Long
RF
US
N
N/A
N
N
N
Enbridge, Inc.
98TPTUM4IVMFCZBCUR27
Enbridge, Inc.
29250NBF1
103000.00000000
PA
USD
80438.17000000
0.010087676076
Long
DBT
CORP
CA
N
2
2033-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KLUA3
2531665.88840000
PA
USD
2171717.96000000
0.272353129229
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
142810000.00000000
PA
USD
-6219.42000000
-0.00077997167
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2023-09-20
0.00000000
USD
0.00000000
USD
142810000.00000000
USD
-6219.42000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418MGR7
1975.60000000
PA
USD
2050.59000000
0.000257162584
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM7F6
567311.87160000
PA
USD
469110.66000000
0.058830731503
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179VXX3
228385.18030000
PA
USD
192730.16000000
0.024170110087
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
2.00000000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAU8
155000.00000000
PA
USD
126297.06000000
0.015838796812
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
3.95000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
623.62000000
0.000078207604
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
81000.00000000
USD
27970920.00000000
HUF
2023-07-18
623.62000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QKPN2
129956.45320000
PA
USD
115364.55000000
0.014467760903
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
312942DD4
38046.88000000
PA
USD
37615.43000000
0.004717316086
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Credit Suisse AG
549300D0YARF5HYP1809
Credit Suisse AG
22546QAP2
534000.00000000
PA
USD
514248.84000000
0.064491468669
Long
DBT
CORP
CH
N
2
2024-09-09
Fixed
3.62500000
N
N
N
N
N
N
KLA Corp.
549300H0BF5JCG96TJ81
KLA Corp.
482480AJ9
445000.00000000
PA
USD
333723.82000000
0.041851993835
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EKF59
347290.46000000
PA
USD
342957.20000000
0.043009943432
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F040685
-8216800.00000000
PA
USD
-7717051.68000000
-0.96778827277
Short
ABS-MBS
USGSE
US
N
2
2053-08-25
Fixed
4.00000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 4A
863579Y69
37351.81000000
PA
USD
22553.83000000
0.002828454840
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
3.85310520
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust, Series 2007-20N, Class A1
52525AAA2
14419.13000000
PA
USD
14590.12000000
0.001829733377
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Floating
7.45043040
N
N
N
N
N
N
State Street Corp.
549300ZFEEJ2IP5VME73
State Street Corp., Series H
857477BA0
349000.00000000
PA
USD
324299.28000000
0.040670071041
Long
DBT
CORP
US
N
2
2023-12-15
Variable
5.62500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A7JB6
4305.74390000
PA
USD
3882.19000000
0.000486861836
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CQB3
62932.20540000
PA
USD
60156.31000000
0.007544146879
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
AEP Transmission Co. LLC
549300X123Z1I0LA3Y84
AEP Transmission Co. LLC, Series O
00115AAP4
822000.00000000
PA
USD
735119.05000000
0.092190596252
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-64.55000000
-0.00000809515
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
20000.00000000
USD
375714.38000000
ZAR
2023-07-18
-64.55000000
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GZM9
321000.00000000
PA
USD
271165.79000000
0.034006649485
Long
DBT
CORP
US
N
2
2033-02-24
Variable
3.10200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2015-48
38379KHJ0
15382.69180000
PA
USD
343.40000000
0.000043065474
Long
ABS-MBS
USGA
US
N
2
2050-02-16
Variable
0.90757080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QEUA8
112065.14000000
PA
USD
104883.15000000
0.013153298279
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3622A24Y5
51236.89750000
PA
USD
46815.52000000
0.005871090815
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-280.89000000
-0.00003522615
N/A
DFE
N/A
N
2
State Street Bank and Trust
571474TGEMMWANRLN572
382390.73000000
MXN
22000.00000000
USD
2023-07-18
-280.89000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132CWR71
169834.77360000
PA
USD
147797.30000000
0.018535121911
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
76691225.00000000
PA
-17301.74000000
-0.00216979511
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-02-15
0.00000000
USD
0.00000000
USD
76691225.00000000
JPY
-17301.74000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-326.91000000
-0.00004099747
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
40000.00000000
USD
184080.00000000
MYR
2023-07-18
-326.91000000
N
N
N
N/A
N/A
OIS
N/A
2014959000.00000000
PA
-530.01000000
-0.00006646806
N/A
DIR
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
Y
2024-04-18
0.00000000
USD
0.00000000
USD
2014959000.00000000
COP
-530.01000000
N
N
N
Washington Mutual Asset-Backed CertificatesTrust
N/A
Washington Mutual Asset-Backed CertificatesTrust, Series 2006-HE5, Class 1A
93934XAA1
105281.62290000
PA
USD
78611.56000000
0.009858602615
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
4.02841800
N
N
N
N
N
N
Union Electric Co.
QMPJLLDULY5C1M8PNY21
Union Electric Co.
906548CS9
234000.00000000
PA
USD
149776.32000000
0.018783308969
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
2.62500000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
27494.00000000
PA
-522.27000000
-0.00006549739
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-05-30
81.66000000
USD
0.00000000
USD
27494.00000000
CAD
-522.27000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WPHS6
20897.70000000
PA
USD
18864.50000000
0.002365779397
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XCD0
1031000.00000000
PA
USD
1038071.24000000
0.130183548593
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
5.55000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SH2
908000.00000000
PA
USD
750483.28000000
0.094117410044
Long
DBT
UST
US
N
2
2049-05-15
Fixed
2.87500000
N
N
N
N
N
N
GS Mortgage Securities Corp. II
N/A
GS Mortgage Securities Corp. II, Series 2005-ROCK, Class A
36228CUV3
100000.00000000
PA
USD
96809.03000000
0.012140730400
Long
ABS-MBS
CORP
US
N
2
2032-05-03
Fixed
5.36600000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418EAA8
2367791.22850000
PA
USD
1917875.66000000
0.240519002510
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HFE88
50033.78450000
PA
USD
46175.82000000
0.005790866633
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-573.51000000
-0.00007192335
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
56000.00000000
EUR
60574.42000000
USD
2023-07-18
-573.51000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-774.99000000
-0.00009719077
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
13972844.00000000
HUF
40000.00000000
USD
2023-07-18
-774.99000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
162.00000000
0.000020316269
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
20000.00000000
USD
216306.73000000
NOK
2023-07-18
162.00000000
N
N
N
Intel Corp.
KNX4USFCNGPY45LOCE31
Intel Corp.
458140CE8
253000.00000000
PA
USD
252043.92000000
0.031608593555
Long
DBT
CORP
US
N
2
2028-02-10
Fixed
4.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FLP9
2522.10000000
PA
USD
2504.50000000
0.000314087015
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J6D46
304983.27760000
PA
USD
300887.89000000
0.037734070398
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLSQ0
90032.02480000
PA
USD
86008.55000000
0.010786252250
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNE65
701288.39150000
PA
USD
600748.78000000
0.075339345682
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
One Market Plaza Trust
N/A
One Market Plaza Trust, Series 2017-1MKT, Class XCP
68245HAS3
1880000.00000000
PA
USD
53.77000000
0.000006743245
Long
ABS-MBS
CORP
US
N
2
2032-02-10
Variable
0.00001080
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM3L7
62718.92110000
PA
USD
55375.86000000
0.006944635091
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLSS6
109064.17430000
PA
USD
103623.28000000
0.012995299154
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
280 Park Avenue Mortgage Trust
N/A
280 Park Avenue Mortgage Trust, Series 2017-280P, Class D
90205FAL4
100000.00000000
PA
USD
88378.91000000
0.011083516892
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
6.63545160
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-618.97000000
-0.00007762445
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
41000.00000000
USD
53179050.00000000
KRW
2023-07-18
-618.97000000
N
N
N
Washington Mutual Asset-Backed CertificatesTrust
N/A
Washington Mutual Asset-Backed CertificatesTrust, Series 2006-HE4, Class 2A2
93934QAC2
122283.20000000
PA
USD
34622.41000000
0.004341964232
Long
ABS-O
CORP
US
N
2
2036-09-25
Floating
5.51043000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140NGTP5
142324.71000000
PA
USD
141878.60000000
0.017792863250
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140H1WJ5
77415.21320000
PA
USD
71447.69000000
0.008960188342
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Digital Dutch Finco BV
549300ONZ5IS6B6IMJ70
Digital Dutch Finco BV
N/A
180000.00000000
PA
138434.00000000
0.017360879168
Long
DBT
CORP
NL
N
2
2032-01-15
Fixed
1.00000000
N
N
N
N
N
N
Devon Energy Corp.
54930042348RKR3ZPN35
Devon Energy Corp.
25179MBD4
114000.00000000
PA
USD
112279.04000000
0.014080809964
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513ECL3
776000.00000000
PA
USD
521164.23000000
0.065358721296
Long
DBT
CORP
US
N
2
2051-09-01
Fixed
2.82000000
N
N
N
N
N
N
Czech Republic
3157007EFDLQABN47912
Czech Republic
N/A
860000.00000000
PA
38539.96000000
0.004833260533
Long
DBT
NUSS
CZ
N
2
2036-12-04
Fixed
4.20000000
N
N
N
N
N
N
Carlyle Global Market Strategies CLO Ltd.
N/A
Carlyle Global Market Strategies CLO Ltd., Series 2014-3RA, Class A1A
14315LAA2
743874.52650000
PA
USD
736044.95000000
0.092306712509
Long
ABS-CBDO
CORP
KY
N
2
2031-07-27
Floating
6.34156920
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
N/A
140900.00000000
PA
814424.55000000
0.102136225237
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.49999960
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132JN7C5
7691.29000000
PA
USD
7556.49000000
0.000947652381
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128MEVG3
135465.34000000
PA
USD
129983.67000000
0.016301131143
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVL94
6015414.00250000
PA
USD
5149892.23000000
0.645843194129
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
706.61000000
0.000088615302
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
490000.00000000
EUR
537493.74000000
USD
2023-09-20
706.61000000
N
N
N
BAT Capital Corp.
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBU8
671000.00000000
PA
USD
452156.02000000
0.056704465872
Long
DBT
CORP
US
N
2
2050-09-25
Fixed
3.98400000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPQ43
60041.29780000
PA
USD
59962.41000000
0.007519830061
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
5.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DV6T7
563833.92390000
PA
USD
436801.53000000
0.054778873564
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
1.50000000
N
N
N
N
N
N
New York City Municipal Water Finance Authority
549300Q2EHQ6RJPQKP05
New York City Municipal Water Finance Authority, Series 2010
64972FY34
155000.00000000
PA
USD
174160.31000000
0.021841282473
Long
DBT
MUN
US
N
2
2044-06-15
Fixed
5.88200000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
N/A
641000000.00000000
PA
132123.18000000
0.016569445102
Long
DBT
NUSS
CO
N
2
2027-11-03
Fixed
5.75000000
N
N
N
N
N
N
MidAmerican Energy Co.
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co.
595620AV7
728000.00000000
PA
USD
509475.58000000
0.063892858573
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.15000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
174.07000000
0.000021829956
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
88000.00000000
EUR
96576.66000000
USD
2023-09-20
174.07000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-113.37000000
-0.00001421762
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
46567070.00000000
COP
11000.00000000
USD
2023-07-18
-113.37000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M6RM2
8541.12000000
PA
USD
8749.51000000
0.001097267910
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fanatics Commerce Intermediate Holdco LLC
254900YDIRBC66RGAG10
Fanatics Commerce Intermediate Holdco LLC, Term Loan
30709UAB0
61070.00000000
PA
USD
60866.64000000
0.007633228704
Long
LON
CORP
US
N
2
2028-11-24
Variable
8.60635000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-334.64000000
-0.00004196689
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
99000.00000000
USD
474987.15000000
BRL
2023-08-02
-334.64000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138W7G40
20409.23000000
PA
USD
18423.69000000
0.002310497825
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DM2W4
56115.75570000
PA
USD
46392.89000000
0.005818089180
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BCD6
68414.59000000
PA
USD
63826.74000000
0.008004452091
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
830.09000000
0.000104100814
N/A
DFE
N/A
N
2
Toronto Dominion Bank
PT3QB789TSUIDF371261
408030.00000000
EUR
447820.40000000
USD
2023-09-20
830.09000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HJF71
34690.81800000
PA
USD
34364.47000000
0.004309616216
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Cenovus Energy, Inc.
549300F4XPHJ7NOSP309
Cenovus Energy, Inc.
15135UAF6
484000.00000000
PA
USD
507382.45000000
0.063630361086
Long
DBT
CORP
CA
N
2
2039-11-15
Fixed
6.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179TNS0
66989.29660000
PA
USD
64297.77000000
0.008063523525
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ARZW7
13330.64000000
PA
USD
13164.22000000
0.001650912584
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CET7
13211.73820000
PA
USD
11973.73000000
0.001501614341
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.00000000
N
N
N
N
N
N
Benefit Street Partners CLO V-B Ltd.
N/A
Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A
08181JAA0
365500.00000000
PA
USD
363316.06000000
0.045563129127
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.34043160
N
N
N
N
N
N
Chase Mortgage Finance Trust
N/A
Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1
161636AA3
653384.49000000
PA
USD
293041.11000000
0.036750013017
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179N2J6
226922.59100000
PA
USD
213609.48000000
0.026788566187
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
3.50000000
N
N
N
N
N
N
AEP Texas, Inc.
5493001L78U618KXNZ75
AEP Texas, Inc.
00108WAH3
401000.00000000
PA
USD
376408.27000000
0.047205011005
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
3.95000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-11CB, Class 3A1
12668BWF6
48362.18550000
PA
USD
25151.18000000
0.003154186088
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1339.72000000
0.000168013038
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1890070.00000000
TWD
62000.00000000
USD
2023-07-13
1339.72000000
N
N
N
BAMLL Commercial Mortgage Securities Trust
N/A
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class D
054967AL8
650000.00000000
PA
USD
642178.03000000
0.080534949387
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
6.89400000
N
N
N
N
N
N
Voya CLO Ltd.
N/A
Voya CLO Ltd., Series 2017-4A, Class A1
92916QAA0
227369.73000000
PA
USD
225832.69000000
0.028321467583
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.39029160
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1831.81000000
0.000229725588
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
4808366311.00000000
IDR
321092.91000000
USD
2023-09-26
1831.81000000
N
N
N
EQT Corp.
4NT01YGM4X7ZX86ISY52
EQT Corp.
26884LAM1
375000.00000000
PA
USD
344778.75000000
0.043238382323
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XLEB0
538641.28000000
PA
USD
537102.54000000
0.067357529928
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-4.73000000
-0.00000059318
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
8904.88000000
PLN
2000.00000000
EUR
2023-07-18
-4.73000000
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LBH3
340000.00000000
PA
USD
232435.61000000
0.029149533638
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
2.87500000
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513EBZ3
445000.00000000
PA
USD
474924.87000000
0.059559886171
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
7.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJH27
31123.34000000
PA
USD
28774.53000000
0.003608587041
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
EQT Corp.
4NT01YGM4X7ZX86ISY52
EQT Corp.
26884LAF6
125000.00000000
PA
USD
115564.95000000
0.014492892880
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
Gilead Sciences, Inc.
549300WTZWR07K8MNV44
Gilead Sciences, Inc.
375558BK8
229000.00000000
PA
USD
198687.15000000
0.024917170662
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
4.15000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335CCX0
36199.53390000
PA
USD
36114.39000000
0.004529072056
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
Pfizer Investment Enterprises Pte. Ltd.
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte. Ltd.
716973AG7
405000.00000000
PA
USD
421070.92000000
0.052806112396
Long
DBT
CORP
SG
N
2
2053-05-19
Fixed
5.30000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F042681
-27000000.00000000
PA
USD
-25970625.00000000
-3.25695192334
Short
ABS-MBS
USGSE
US
N
2
2053-08-25
Fixed
4.50000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust, Series 2007-HS1, Class M6
362429AG7
40000.00000000
PA
USD
37543.49000000
0.004708294157
Long
ABS-O
CORP
US
N
2
2047-02-25
Floating
8.52543000
N
N
N
N
N
N
Avianca Midco 2 plc
N/A
Avianca Midco 2 plc
05368PAA7
81488.00000000
PA
USD
68042.48000000
0.008533144123
Long
DBT
CORP
GB
N
2
2028-12-01
Fixed
9.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-580.17000000
-0.00007275858
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
2038770875.80000000
COP
468602.17000000
USD
2023-12-20
-580.17000000
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LBG5
293000.00000000
PA
USD
218655.21000000
0.027421346492
Long
DBT
CORP
US
N
2
2051-09-15
Fixed
3.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3138EP6D1
7416.70000000
PA
USD
7099.92000000
0.000890394362
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XHHS9
712138.20680000
PA
USD
581409.74000000
0.072914054665
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Baltimore Gas & Electric Co.
88V8C2WYSOD1SPSSLH72
Baltimore Gas & Electric Co.
059165EK2
105000.00000000
PA
USD
89189.50000000
0.011185172230
Long
DBT
CORP
US
N
2
2048-09-15
Fixed
4.25000000
N
N
N
N
N
N
Cenovus Energy, Inc.
549300F4XPHJ7NOSP309
Cenovus Energy, Inc.
15135UAP4
168000.00000000
PA
USD
154628.07000000
0.019391762423
Long
DBT
CORP
CA
N
2
2037-06-15
Fixed
5.25000000
N
N
N
N
N
N
FirstEnergy Corp.
549300SVYJS666PQJH88
FirstEnergy Corp., Series B
337932AH0
349000.00000000
PA
USD
331491.33000000
0.041572019341
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.15000080
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-242000.00000000
PA
USD
-1804.79000000
-0.00022633703
N/A
DFE
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
USD Currency
1.00000000
17.10000000
USD
2023-08-04
XXXX
-742.41000000
N
N
N
MP CLO III Ltd.
549300FWSFBNCWDD1P18
MP CLO III Ltd., Series 2013-1A, Class AR
553205AC9
221421.68000000
PA
USD
219617.03000000
0.027541967444
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
6.50043000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-148.38000000
-0.00001860819
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
11000.00000000
USD
204515.50000000
ZAR
2023-07-18
-148.38000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp., Series 5196, Class DI
3137H5WD5
492440.82800000
PA
USD
75643.29000000
0.009486354635
Long
ABS-MBS
USGSE
US
N
2
2052-02-25
Fixed
3.00000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2018-E, Class C
00969KAC8
128.93000000
PA
USD
125.44000000
0.000015731313
Long
ABS-MBS
CORP
US
N
2
2058-06-25
Variable
0.00001080
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132HNDN6
1924.72000000
PA
USD
1794.79000000
0.000225082944
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFKW5
10792.24000000
PA
USD
10343.17000000
0.001297127328
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.50000000
N
N
N
N
N
N
Czech Republic
3157007EFDLQABN47912
Czech Republic
N/A
900000.00000000
PA
32899.32000000
0.004125873118
Long
DBT
NUSS
CZ
N
2
2030-05-15
Fixed
0.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EM3N9
2626.50000000
PA
USD
2690.03000000
0.000337354160
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179UPB2
246009.12720000
PA
USD
240199.02000000
0.030123135664
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RH3
1955400.00000000
PA
USD
1692108.44000000
0.212205745459
Long
DBT
UST
US
N
2
2044-08-15
Fixed
3.12500000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class XA
46642NBF2
996206.02140000
PA
USD
5364.97000000
0.000672815897
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Variable
0.94619160
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132CWS47
219123.41520000
PA
USD
195452.51000000
0.024511517468
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLZ82
1462527.48360000
PA
USD
1250914.69000000
0.156876047670
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179WTZ1
330514.24270000
PA
USD
295930.53000000
0.037112372492
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
3.00000000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DU1
244000.00000000
PA
USD
247522.75000000
0.031041597831
Long
DBT
CORP
US
N
2
2063-03-02
Fixed
5.75000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RLJ9
1063000.00000000
PA
USD
744169.86000000
0.093325649915
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
Southwestern Public Service Co.
OL6FE7QD5EQ3DOYEO258
Southwestern Public Service Co., Series 8
845743BU6
596000.00000000
PA
USD
414776.40000000
0.052016722498
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.15000000
N
N
N
N
N
N
N/A
N/A
Euro-Buxl
N/A
-2.00000000
NC
-2854.82000000
-0.00035802032
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
N/A
Euro-Buxl
2023-09-07
-279200.00000000
EUR
-2854.82000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138EJXL7
12330.18000000
PA
USD
12176.45000000
0.001527037267
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31335BFU5
61062.36860000
PA
USD
59991.38000000
0.007523463161
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1260.80000000
-0.00015811575
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
40000.00000000
USD
730100.00000000
ZAR
2023-07-18
-1260.80000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132JNEF0
30365.57000000
PA
USD
27443.63000000
0.003441680110
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132XCSJ5
92981.81440000
PA
USD
91233.27000000
0.011441479525
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERHD5
3823.37000000
PA
USD
3533.62000000
0.000443147997
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132CWTB0
474935.65490000
PA
USD
423806.64000000
0.053149196497
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
2.00000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBK6
750000.00000000
PA
USD
627193.76000000
0.078655786025
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
3.41900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QKWK0
28275.16000000
PA
USD
26416.56000000
0.003312876216
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFF3
7851000.00000000
PA
USD
7197465.57000000
0.902627462044
Long
DBT
UST
US
N
2
2032-08-15
Fixed
2.75000000
N
N
N
N
N
N
CenterPoint Energy Houston Electric LLC
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC
15189XAS7
85000.00000000
PA
USD
70118.58000000
0.008793505893
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
3.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138M5G37
11084.65000000
PA
USD
10946.34000000
0.001372770317
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.50000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YBD0
198000.00000000
PA
USD
187114.60000000
0.023465867931
Long
DBT
CORP
US
N
2
2048-11-14
Fixed
4.87500000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
N/A
1282000.00000000
PA
648546.03000000
0.081333554344
Long
STIV
NUSS
MX
N
2
2024-11-28
None
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X83P0
124248.71390000
PA
USD
102684.90000000
0.012877617791
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
State of California
N/A
State of California, Series 2009
13063A5G5
65000.00000000
PA
USD
81589.28000000
0.010232035710
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
7.55000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QZ4
528000.00000000
PA
USD
460453.12000000
0.057744997465
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QKWL8
57175.95000000
PA
USD
53387.88000000
0.006695324369
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SE9
7080000.00000000
PA
USD
6398273.46000000
0.802401522938
Long
DBT
UST
US
N
2
2048-11-15
Fixed
3.37500000
N
N
N
N
N
N
Madison Park Funding XVIII Ltd.
N/A
Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR
55819BAW0
1487026.30320000
PA
USD
1473027.88000000
0.184731056218
Long
ABS-CBDO
CORP
KY
N
2
2030-10-21
Floating
6.20142840
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAD7
929000.00000000
PA
USD
852204.90000000
0.106874223787
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1822.71000000
-0.00022858436
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
71500.00000000
USD
2467107.50000000
THB
2023-07-18
-1822.71000000
N
N
N
Tory Burch LLC, Term Loan
549300GGL74W33KY2650
Tory Burch LLC, Term Loan B
89148GAF7
135585.00000000
PA
USD
130352.77000000
0.016347419631
Long
LON
CORP
US
N
2
2028-04-16
Variable
8.65371000
N
N
N
N
N
N
Evergy Kansas Central, Inc.
J75GNWGEO73W89ZV3S44
Evergy Kansas Central, Inc.
30036FAB7
200000.00000000
PA
USD
205937.09000000
0.025826378894
Long
DBT
CORP
US
N
2
2053-03-15
Fixed
5.70000000
N
N
N
N
N
N
Grupo Posadas SAB de CV
529900NRFIXN5G8NUX35
Grupo Posadas SAB de CV
N/A
54644.00000000
PA
USD
47051.76000000
0.005900717454
Long
DBT
CORP
MX
N
2
2027-12-30
Variable
5.00000040
N
N
Y
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QANL0
992674.03670000
PA
USD
984760.07000000
0.123497844353
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GDC67
391.17000000
PA
USD
376.53000000
0.000047220277
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
768.27000000
0.000096348026
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
550917.00000000
ZAR
30000.00000000
USD
2023-07-18
768.27000000
N
N
N
Generacion Mediterranea SA
N/A
Generacion Mediterranea SA
36875KAD3
91666.12500000
PA
USD
71899.24000000
0.009016816807
Long
DBT
CORP
AR
N
2
2027-12-01
Fixed
9.87500000
N
N
N
N
N
N
Venture XVIII CLO Ltd.
549300MWRVTJN0X3KI79
Venture XVIII CLO Ltd., Series 2014-18A, Class AR
92329FAP2
247827.49000000
PA
USD
246762.38000000
0.030946240537
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
6.48029160
N
N
N
N
N
N
Northern States Power Co.
3S1GHB0TEH85KX44SB51
Northern States Power Co.
665772CU1
165000.00000000
PA
USD
118163.58000000
0.014818784651
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
3.20000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140FCTM0
46800.23000000
PA
USD
42071.65000000
0.005276166491
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association, Series 428, Class C16
31423YJQ3
1854704.35800000
PA
USD
289797.56000000
0.036343242429
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Fixed
3.00000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC Trust, Series 2022-NWPT, Class A
12663MAA2
224000.00000000
PA
USD
223764.91000000
0.028062149216
Long
ABS-MBS
CORP
US
N
2
2024-09-09
Floating
8.28999000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XATV4
305392.46290000
PA
USD
252366.62000000
0.031649063062
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X7CB3
511136.05290000
PA
USD
485808.03000000
0.060924733143
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
Home Equity Mortgage Trust
N/A
Home Equity Mortgage Trust, Series 2006-2, Class 1A1
225470W25
50472.36000000
PA
USD
5745.23000000
0.000720503950
Long
ABS-O
CORP
US
N
2
2036-07-25
Variable
5.86720080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CLH5
177547.85620000
PA
USD
169930.93000000
0.021310879861
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417C3C7
15971.02720000
PA
USD
15219.10000000
0.001908613174
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM3K8
413551.62940000
PA
USD
340775.60000000
0.042736351006
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QK2B3
632263.94660000
PA
USD
535213.24000000
0.067120594572
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNJM5
204480.82170000
PA
USD
181273.32000000
0.022733318440
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
10000.00000000
PA
USD
-2273.72000000
-0.00028514511
N/A
DCR
US
N
2
J.P. Morgan Securities
ZBUT11V806EZRVTWT807
Markit CMBX North American BBB- 10
137BERAJ6
Y
Payout of notional amount upon default event with regard to the reference instrument
2059-11-17
0.00000000
USD
759.49000000
USD
10000.00000000
USD
-2273.72000000
N
N
N
Los Angeles Community College District
N/A
Los Angeles Community College District, Series 2010E
54438CNZ1
110000.00000000
PA
USD
133593.57000000
0.016753845344
Long
DBT
MUN
US
N
2
2042-08-01
Fixed
6.60000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
-514.00000000
NC
USD
-899500.00000000
-0.11280545828
N/A
DIR
US
N
1
CME Clearing House
N/A
Put
Written
N/A
3 Month SOFR Interest Futures
250000.00000000
95.25000000
USD
2023-10-13
XXXX
-639440.86000000
N
N
N
Anchorage Capital CLO 5-R Ltd.
549300687XYK5L55VX28
Anchorage Capital CLO 5-R Ltd., Series 2014-5RA, Class B
03329AAE5
500000.00000000
PA
USD
496722.60000000
0.062293519214
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
6.71028840
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
432.82000000
0.000054279553
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
41000.00000000
AUD
27755.73000000
USD
2023-07-18
432.82000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179WTY4
2068006.57900000
PA
USD
1791315.28000000
0.224647182981
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
Southwestern Electric Power Co.
R64UBJHEC74EB3HGQ410
Southwestern Electric Power Co.
845437BU5
133000.00000000
PA
USD
131270.63000000
0.016462527600
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
5.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XQL58
16269.63000000
PA
USD
15376.20000000
0.001928314939
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.00000000
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAB1
2199000.00000000
PA
USD
1996406.13000000
0.250367435704
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
4.62500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-47993.67000000
-0.00601884151
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
15374987.64000000
MXN
840236.72000000
USD
2023-08-31
-47993.67000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XGHK8
2868318.45000000
PA
USD
2722373.88000000
0.341410375936
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCU8
1362000.00000000
PA
USD
1147366.59000000
0.143890176770
Long
DBT
CORP
US
N
2
2033-01-25
Variable
2.96300000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVLP8
932016.64120000
PA
USD
805543.12000000
0.101022413362
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FDB9
1186.15000000
PA
USD
1177.87000000
0.000147715581
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
4.50000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2019-2, Class B
90932KAA7
103487.88000000
PA
USD
92997.80000000
0.011662767591
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.50000000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DQ0
1588000.00000000
PA
USD
1591168.49000000
0.199546960224
Long
DBT
CORP
US
N
2
2030-03-02
Fixed
5.25000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92344GAM8
181000.00000000
PA
USD
210142.86000000
0.026353820597
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
7.75000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
26944.00000000
PA
702.40000000
0.000088087330
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-05-12
0.00000000
USD
22.42000000
USD
26944.00000000
CAD
702.40000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A8RR0
77225.27000000
PA
USD
63575.82000000
0.007972984447
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
6558515.00000000
PA
34682.88000000
0.004349547718
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-06-15
0.00000000
USD
0.00000000
USD
6558515.00000000
CAD
34682.88000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QHPG4
118479.28030000
PA
USD
103108.29000000
0.012930714737
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
1.50000000
N
N
N
N
N
N
Textron, Inc.
3PPKBHUG1HD6BO7RNR87
Textron, Inc.
883203CC3
348000.00000000
PA
USD
286993.54000000
0.035991592889
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.45000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QTAC0
3031.68000000
PA
USD
2845.32000000
0.000356828934
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Gaci First Investment Co.
558600TU1PWGNLZ3XM88
Gaci First Investment Co.
N/A
200000.00000000
PA
USD
196140.00000000
0.024597734950
Long
DBT
CORP
KY
N
2
2030-02-14
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-4151000.00000000
PA
USD
-50402.28000000
-0.00632090305
N/A
DIR
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
Put
Written
N/A
Swaption
1.00000000
4.11000000
USD
2023-08-22
XXXX
-39609.68000000
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844CD8
195000.00000000
PA
USD
143664.32000000
0.018016808734
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XDK88
91997.80400000
PA
USD
81631.30000000
0.010237305399
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
2.00000000
N
N
N
N
N
N
Bear Stearns Asset-Backed Securities I Trust
N/A
Bear Stearns Asset-Backed Securities I Trust, Series 2007-FS1, Class 1A3
073855AC2
7572.36000000
PA
USD
7454.71000000
0.000934888246
Long
ABS-O
CORP
US
N
2
2035-05-25
Floating
5.49042840
N
N
N
N
N
N
Penske Truck Leasing Co. LP
N/A
Penske Truck Leasing Co. LP
709599BR4
806000.00000000
PA
USD
799058.74000000
0.100209213298
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFAD8
19987.27630000
PA
USD
18571.87000000
0.002329080941
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140E42P1
2266.11000000
PA
USD
2132.99000000
0.000267496291
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140NGT26
80945.99000000
PA
USD
81836.63000000
0.010263055643
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
6.00000000
N
N
N
N
N
N
Madison Avenue Manufactured Housing Contract Trust
N/A
Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class B2
55660AAG7
5412.58000000
PA
USD
5409.33000000
0.000678379043
Long
ABS-O
CORP
US
N
2
2032-03-25
Floating
8.40043080
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association Variable Rate Notes, Series 2015-173
38379K7R3
113160.63160000
PA
USD
2476.67000000
0.000310596880
Long
ABS-MBS
USGA
US
N
2
2055-09-16
Variable
0.59744880
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KFAB8
14738.03000000
PA
USD
13713.69000000
0.001719821106
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417F4H8
25972.54000000
PA
USD
23445.75000000
0.002940309698
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPCT3
190293.28420000
PA
USD
186450.41000000
0.023382572481
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPML9
383993.11040000
PA
USD
387662.26000000
0.048616363422
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F042475
288000.00000000
PA
USD
282375.00000000
0.035412386084
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36241KXQ6
7657.06000000
PA
USD
7726.05000000
0.000968916743
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128282R0
3746000.00000000
PA
USD
3462855.07000000
0.434273433177
Long
DBT
UST
US
N
2
2027-08-15
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 5 Year Note
N/A
752.00000000
NC
USD
-769424.90000000
-0.09649286098
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury 5 Year Note
2023-09-29
80558000.00000000
USD
-769424.90000000
N
N
N
N/A
N/A
IRS
N/A
11002000.00000000
PA
-6306.24000000
-0.00079085969
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2025-03-20
0.00000000
USD
0.00000000
USD
11002000.00000000
ZAR
-6306.24000000
N
N
N
BlueMountain CLO Ltd.
549300KGXMRFX2DKIX03
BlueMountain CLO Ltd., Series 2013-2A, Class A1R
09626YAN0
437103.10000000
PA
USD
435309.27000000
0.054591730625
Long
ABS-CBDO
CORP
KY
N
2
2030-10-22
Floating
6.45270840
N
N
N
N
N
N
Raytheon Technologies Corp.
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp.
75513EAD3
169000.00000000
PA
USD
142548.85000000
0.017876918679
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
2.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179UWA6
4507.55620000
PA
USD
4392.75000000
0.000550890691
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
4.50000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2018-A, Class B
00969EAB4
1971.36000000
PA
USD
1968.26000000
0.000246837655
Long
ABS-MBS
CORP
US
N
2
2058-04-25
Fixed
0.00000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BS7
1079000.00000000
PA
USD
1079682.56000000
0.135401985527
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WHD25
27019.64260000
PA
USD
25040.95000000
0.003140362246
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QHP66
26705.20090000
PA
USD
24511.32000000
0.003073941840
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
2.50000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBL2
343000.00000000
PA
USD
298331.12000000
0.037413428251
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
5.30000000
N
N
N
N
N
N
LCM 26 Ltd.
N/A
LCM 26 Ltd., Series 26A, Class A1
50200FAC3
262899.92000000
PA
USD
261053.18000000
0.032738436471
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
6.32043000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QC6E1
231798.48250000
PA
USD
219733.74000000
0.027556603936
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179W5B0
1689330.66910000
PA
USD
1463013.83000000
0.183475203523
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-1767000.00000000
PA
USD
-90228.05000000
-0.01131541582
N/A
DIR
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Put
Written
N/A
Swaption
1.00000000
3.11500000
USD
2026-03-16
XXXX
12257.95000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCF6
4768000.00000000
PA
USD
4282818.76000000
0.537104316809
Long
DBT
UST
US
N
2
2026-05-31
Fixed
0.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
744.12000000
0.000093319397
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
425459.56000000
NOK
37000.00000000
EUR
2023-07-18
744.12000000
N
N
N
Cox Communications, Inc.
5493001NEDZNIFRP2R92
Cox Communications, Inc.
224044CM7
138000.00000000
PA
USD
86737.19000000
0.010877630314
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
2.95000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SS8
1950500.00000000
PA
USD
1211290.97000000
0.151906873803
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140E1RT2
1071.74000000
PA
USD
1012.77000000
0.000127010543
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X9PE9
97347.43040000
PA
USD
92499.50000000
0.011600276251
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley Bank NA
G1MLHIS0N32I3QPILB75
Morgan Stanley Bank NA
61690U4T4
770000.00000000
PA
USD
758659.59000000
0.095142793476
Long
DBT
CORP
US
N
2
2026-04-21
Fixed
4.75400000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMR23
36453.25000000
PA
USD
34868.54000000
0.004372831166
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QEBL5
613555.32190000
PA
USD
527323.19000000
0.066131110741
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-OA16, Class A4C
23242GAZ7
133294.37000000
PA
USD
97411.25000000
0.012216254250
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
5.83043040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HH6H3
8051.89820000
PA
USD
7899.09000000
0.000990617529
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2020-1, Class B
90932VAA3
92475.00000000
PA
USD
88263.05000000
0.011068986998
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.87500000
N
N
N
N
N
N
Penske Truck Leasing Co. LP
N/A
Penske Truck Leasing Co. LP
709599BS2
58000.00000000
PA
USD
57235.41000000
0.007177839527
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X8MY0
128966.95740000
PA
USD
111469.81000000
0.013979325182
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Commonwealth Edison Co.
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co., Series 127
202795JQ4
320000.00000000
PA
USD
228907.25000000
0.028707045292
Long
DBT
CORP
US
N
2
2049-11-15
Fixed
3.20000000
N
N
N
N
N
N
BAMLL Commercial Mortgage Securities Trust
549300UQK6PJ8BF5JQ90
BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class F
05526QAN6
300000.00000000
PA
USD
253315.35000000
0.031768042409
Long
ABS-MBS
CORP
US
N
2
2033-04-14
Variable
3.71566080
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-OC10, Class 2A3
23245FAE3
55350.54000000
PA
USD
47767.84000000
0.005990520380
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
5.61043080
N
N
N
N
N
N
N/A
N/A
OIS
N/A
141575000.00000000
PA
USD
-6818.34000000
-0.00085508167
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2023-09-20
0.00000000
USD
0.00000000
USD
141575000.00000000
USD
-6818.34000000
N
N
N
DTE Electric Co.
9N0FWODEJVKHC2DYLO03
DTE Electric Co.
23338VAJ5
533000.00000000
PA
USD
437944.00000000
0.054922149664
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
3.95000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1AF
36242DXG3
31066.49000000
PA
USD
27626.40000000
0.003464601125
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
5.50042920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QMZU1
468410.82800000
PA
USD
400373.93000000
0.050210522133
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
CWHEQ Revolving Home Equity Loan Trust
N/A
CWHEQ Revolving Home Equity Loan Trust, Series 2005-B, Class 2A
126685AB2
3298.03000000
PA
USD
3249.65000000
0.000407535583
Long
ABS-O
CORP
US
N
2
2035-05-15
Floating
5.37329160
N
N
N
N
N
N
Dryden 53 CLO Ltd.
N/A
Dryden 53 CLO Ltd., Series 2017-53A, Class A
26243EAA9
781431.38000000
PA
USD
777160.62000000
0.097462990438
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
6.38029080
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661DV6
212000.00000000
PA
USD
199376.38000000
0.025003606355
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
445.00000000
0.000055807036
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
60520.60000000
USD
48000.00000000
GBP
2023-07-18
445.00000000
N
N
N
N/A
N/A
USD Currency
N/A
61000.00000000
PA
USD
1017.38000000
0.000127588679
N/A
DFE
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
Put
Purchased
N/A
USD Currency
1.00000000
19.00000000
USD
2023-07-17
XXXX
7.82000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFCS3
91536.94830000
PA
USD
89827.36000000
0.011265165660
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.50000000
N
N
N
N
N
N
Ukraine
6354001WLTJXOMEXPY07
Ukraine Government Bond
N/A
72000.00000000
PA
USD
28692.00000000
0.003598237030
Long
DBT
NUSS
UA
N
2
2041-08-01
Floating
7.75000000
Y
N
N
N
N
N
Soundview Home Loan Trust
N/A
Soundview Home Loan Trust, Series 2004-WMC1, Class M2
83611MBW7
1220.61000000
PA
USD
1126.29000000
0.000141246981
Long
ABS-O
CORP
US
N
2
2035-01-25
Floating
5.94542880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association, Series 427, Class C85
31423XQP9
562926.34000000
PA
USD
98166.59000000
0.012310980737
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Fixed
3.50000000
N
N
N
N
N
N
Bally's Corp.
549300NS4D5IK406VT62
Bally's Corp., Facility Term Loan B
05875CAB0
318962.50000000
PA
USD
311313.78000000
0.039041571565
Long
LON
CORP
US
N
2
2028-10-02
Variable
8.39629000
N
N
N
N
N
N
Cheniere Energy Partners LP
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAK7
1517000.00000000
PA
USD
1335702.57000000
0.167509216831
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QMJZ8
653422.37380000
PA
USD
533827.57000000
0.066946818986
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SA7
5129000.00000000
PA
USD
4324588.46000000
0.542342616032
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-954.17000000
-0.00011966157
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
36000.00000000
EUR
722863.04000000
ZAR
2023-07-18
-954.17000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307QBA4
5811.42000000
PA
USD
5571.53000000
0.000698720394
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJET1
29175.37000000
PA
USD
27037.69000000
0.003390771552
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBH8
941000.00000000
PA
USD
760469.73000000
0.095369801449
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
2.15000000
N
N
N
N
N
N
Owens Corning
JO5M6676RDJIZ2U8X907
Owens Corning
690742AK7
101000.00000000
PA
USD
92273.53000000
0.011571937564
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.87500000
N
N
N
N
N
N
CP Iris Holdco I, Inc.
25490024F0AS5UR7DB02
CP Iris Holdco I, Inc., 1st Lien Term Loan
12659EAC2
31766.77000000
PA
USD
29431.91000000
0.003691028455
Long
LON
CORP
US
N
2
2028-10-02
Variable
8.95249000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ERM23
146192.82000000
PA
USD
138925.98000000
0.017422577922
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
3.00000000
N
N
N
N
N
N
CIFC Funding Ltd.
635400BTAKRBKGRV3X14
CIFC Funding Ltd., Series 2017-5A, Class A1
12551MAA7
706996.63090000
PA
USD
701863.69000000
0.088020072488
Long
ABS-CBDO
CORP
KY
N
2
2030-11-16
Floating
6.44028840
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DWA52
4403396.63000000
PA
USD
3611780.58000000
0.452950042856
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Prologis LP
GL16H1DHB0QSHP25F723
Prologis LP
74340XCH2
427000.00000000
PA
USD
423951.69000000
0.053167387082
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
5.12500000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032476
183000.00000000
PA
USD
173985.82000000
0.021819399844
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Fixed
3.50000000
N
N
N
N
N
N
Washington Mutual, Inc.
N/A
Washington Mutual Escrow Bonds
N/A
500000.00000000
PA
USD
0.05000000
0.000000006270
Long
DBT
CORP
US
N
3
2017-09-29
Fixed
0.00010000
Y
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410K3K8
3329.97000000
PA
USD
3457.72000000
0.000433629448
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
Apidos CLO XII
549300M5NMLBQJXUO195
Apidos CLO XII, Series 2013-12A, Class AR
03764DAH4
2500000.00000000
PA
USD
2487281.75000000
0.311927690595
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.34029120
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133BVCK9
98416.75690000
PA
USD
101602.72000000
0.012741902604
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
430000.00000000
PA
USD
-1180.32000000
-0.00014802283
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2035-07-01
221.83000000
USD
0.00000000
USD
430000.00000000
USD
-1180.32000000
N
N
N
LCM XX LP
549300VQTTD2PAP2Y421
LCM XX LP, Series 20A, Class AR
50188WAE8
31386.40000000
PA
USD
31339.57000000
0.003930266321
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
6.29043120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QFBZ1
167539.49520000
PA
USD
153229.59000000
0.019216380347
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31410KXB5
7130.61000000
PA
USD
7181.29000000
0.000900598898
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Euro-Bund
N/A
1.00000000
NC
-681.02000000
-0.00008540608
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Long
N/A
Euro-Bund
2023-09-07
133740.00000000
EUR
-681.02000000
N
N
N
Fertitta Entertainment LLC
984500A0805D8V551D35
Fertitta Entertainment LLC, Term Loan B
31556PAB3
205979.81000000
PA
USD
203019.88000000
0.025460534301
Long
LON
CORP
US
N
2
2029-01-27
Variable
9.10249000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31416YVG0
1739.50000000
PA
USD
1717.79000000
0.000215426446
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
BP Capital Markets America, Inc.
5493009NTB34VXE1T760
BP Capital Markets America, Inc.
10373QBU3
943000.00000000
PA
USD
929294.98000000
0.116542019010
Long
DBT
CORP
US
N
2
2033-02-13
Fixed
4.81200000
N
N
N
N
N
N
Commonwealth Edison Co.
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co.
202795JP6
135000.00000000
PA
USD
111723.01000000
0.014011078759
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418EAB6
390383.20450000
PA
USD
330211.47000000
0.041411513289
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMRR8
377153.81000000
PA
USD
338815.85000000
0.042490580581
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-9421.02000000
-0.00118148135
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
2281086.83000000
MXN
122359.94000000
USD
2023-08-31
-9421.02000000
N
N
N
Public Service Electric & Gas Co.
549300RUHPVD434XUK18
Public Service Electric & Gas Co.
74456QCK0
169000.00000000
PA
USD
168765.83000000
0.021164765754
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
4.90000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1324.30000000
-0.00016607923
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
460000.00000000
EUR
395664.40000000
GBP
2023-09-20
-1324.30000000
N
N
N
Commercial Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2015-CR25, Class XA
12593PAX0
172882.62640000
PA
USD
2348.45000000
0.000294516929
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Variable
0.94656960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association, Series 2021-3, Class MI
3136BDXZ6
534102.45000000
PA
USD
93821.77000000
0.011766100902
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
2232202.00000000
PA
6107.11000000
0.000765886984
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Y
2025-01-02
0.00000000
USD
0.00000000
USD
2232202.00000000
BRL
6107.11000000
N
N
N
EQT Corp.
4NT01YGM4X7ZX86ISY52
EQT Corp.
26884LAN9
211000.00000000
PA
USD
181479.52000000
0.022759177790
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
3.62500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132JNVH7
7360.86000000
PA
USD
7119.94000000
0.000892905052
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138ETBX3
25109.98000000
PA
USD
23768.40000000
0.002980772934
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
3.00000000
N
N
N
N
N
N
Cheniere Corpus Christi Holdings LLC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAC9
1161000.00000000
PA
USD
1155427.43000000
0.144901079216
Long
DBT
CORP
US
N
2
2025-03-31
Fixed
5.87500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
310.14000000
0.000038894368
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
472546.80000000
BRL
99000.00000000
USD
2023-07-05
310.14000000
N
N
N
BWAY Mortgage Trust
N/A
BWAY Mortgage Trust, Series 2013-1515, Class C
05604FAL9
105000.00000000
PA
USD
95533.92000000
0.011980820041
Long
ABS-MBS
CORP
US
N
2
2033-03-10
Fixed
3.44620000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2006-OA4, Class A1
126694E95
128378.63000000
PA
USD
40242.73000000
0.005046803335
Long
ABS-MBS
CORP
US
N
2
2046-04-25
Floating
4.93620120
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132QTHA7
17120.68000000
PA
USD
16820.49000000
0.002109442004
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QKWP9
75189.81000000
PA
USD
70329.52000000
0.008819959682
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
ACE Securities Corp. Home Equity Loan Trust
N/A
ACE Securities Corp. Home Equity Loan Trust, Series 2003-OP1, Class A2
004427BK5
113542.13000000
PA
USD
105022.77000000
0.013170807893
Long
ABS-O
CORP
US
N
2
2033-12-25
Floating
5.87043000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
9318.72000000
0.001168652006
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
490000.00000000
AUD
336453.60000000
USD
2023-09-20
9318.72000000
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS Mortgage Trust, Series 2017-BRBK, Class F
23305JAN2
80000.00000000
PA
USD
58751.02000000
0.007367910767
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Variable
3.64766760
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-573.51000000
-0.00007192335
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
56000.00000000
EUR
60574.42000000
USD
2023-07-18
-573.51000000
N
N
N
BXP Trust
N/A
BXP Trust, Series 2017-GM, Class D
056083AL2
200000.00000000
PA
USD
164022.18000000
0.020569869020
Long
ABS-MBS
CORP
US
N
2
2039-06-13
Variable
3.53895840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140HHWN1
28502.96000000
PA
USD
27217.29000000
0.003413295021
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVLW3
300400.18360000
PA
USD
248240.22000000
0.031131575076
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140FMDA1
37695.29000000
PA
USD
34850.41000000
0.004370557500
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
CenterPoint Energy Houston Electric LLC
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC, Series AD
15189XAU2
414000.00000000
PA
USD
281181.87000000
0.035262756761
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
2.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YGYN6
8097.49000000
PA
USD
7536.51000000
0.000945146708
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
2.50000000
N
N
N
N
N
N
Citicorp Mortgage Securities Trust
N/A
Citicorp Mortgage Securities Trust, Series 2008-2, Class 1A1
17314DAA4
53880.94000000
PA
USD
41876.23000000
0.005251659050
Long
ABS-MBS
CORP
US
N
2
2038-06-25
Fixed
6.50000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Republic of Panama
698299BM5
488000.00000000
PA
USD
363511.20000000
0.045587601453
Long
DBT
NUSS
PA
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QEP89
974744.06500000
PA
USD
904512.49000000
0.113434069992
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Oakwood Mortgage Investors, Inc.
N/A
Oakwood Mortgage Investors, Inc., Series 2001-D, Class A4
67087TCW9
8307.17000000
PA
USD
4494.95000000
0.000563707498
Long
ABS-O
CORP
US
N
2
2031-09-15
Variable
6.93000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFGY6
10185.63000000
PA
USD
9465.56000000
0.001187067074
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661EE3
205000.00000000
PA
USD
144985.74000000
0.018182526787
Long
DBT
CORP
US
N
2
2041-09-15
Fixed
2.80000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-1038000.00000000
PA
USD
-56106.69000000
-0.00703628780
N/A
DIR
CH
N
2
UBS
BFM8T61CT2L1QCEMIK50
Put
Written
N/A
Swaption
1.00000000
3.05000000
USD
2026-05-04
XXXX
-833.19000000
N
N
N
Rockford Tower CLO Ltd.
549300V5ZF7112UGSH89
Rockford Tower CLO Ltd., Series 2017-3A, Class A
77341DAA5
238437.50000000
PA
USD
237126.38000000
0.029737798740
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
6.44042880
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A8S40
29591.83180000
PA
USD
26681.58000000
0.003346112128
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Energean Israel Finance Ltd.
98450044QACBL3F8EB03
Energean Israel Finance Ltd.
29290WAA5
12000.00000000
PA
USD
11969.10000000
0.001501033697
Long
DBT
CORP
IL
N
2
2033-09-30
Fixed
8.50000000
N
N
N
N
N
N
Agile Group Holdings Ltd.
549300ZRISRT38EEYY07
Agile Group Holdings Ltd.
N/A
200000.00000000
PA
USD
27392.00000000
0.003435205239
Long
DBT
CORP
KY
N
2
2023-12-04
Variable
8.37500000
N
N
N
N
N
N
Public Service Co. of New Hampshire
549300SHPFALUPKK2351
Public Service Co. of New Hampshire
744482BM1
116000.00000000
PA
USD
90615.93000000
0.011364059490
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
3.60000000
N
N
N
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2006-AR4, Class 3A1
86360QAE5
55572.53000000
PA
USD
47539.78000000
0.005961919588
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
5.53043160
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1286.98000000
-0.00016139896
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
202478.50000000
BRL
41000.00000000
USD
2023-07-05
-1286.98000000
N
N
N
Marble Point CLO XI Ltd.
549300DBVCVH5X7MO467
Marble Point CLO XI Ltd., Series 2017-2A, Class A
56607FAA3
243180.21000000
PA
USD
240928.09000000
0.030214567655
Long
ABS-CBDO
CORP
KY
N
2
2030-12-18
Floating
6.44171040
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179WVV7
172293.62500000
PA
USD
154239.72000000
0.019343059811
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
3.00000000
N
N
N
N
N
N
Tricon American Homes Trust
N/A
Tricon American Homes Trust, Series 2018-SFR1, Class E
89613TAE8
100000.00000000
PA
USD
95841.03000000
0.012019334420
Long
ABS-O
CORP
US
N
2
2037-05-17
Fixed
4.56400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417FR75
97185.92000000
PA
USD
87430.06000000
0.010964522497
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1260.80000000
-0.00015811575
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
40000.00000000
USD
730100.00000000
ZAR
2023-07-18
-1260.80000000
N
N
N
Transcontinental Gas Pipe Line Co. LLC
N/A
Transcontinental Gas Pipe Line Co. LLC
893574AK9
895000.00000000
PA
USD
842376.31000000
0.105641629457
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
Northrop Grumman Corp.
RIMU48P07456QXSO0R61
Northrop Grumman Corp.
666807CH3
330000.00000000
PA
USD
323866.00000000
0.040615733799
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
4.70000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Long Bond
N/A
168.00000000
NC
USD
-54245.73000000
-0.00680290653
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury Long Bond
2023-09-20
21351750.00000000
USD
-54245.73000000
N
N
N
First Franklin Mortgage Loan Trust
N/A
First Franklin Mortgage Loan Trust, Series 2006-FF17, Class A5
32028KAE6
319892.46000000
PA
USD
289341.29000000
0.036286022033
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
5.30043120
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZG2
11711.96000000
PA
USD
10962.66000000
0.001374816993
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class XD
61690VAC2
120000.00000000
PA
USD
3154.31000000
0.000395579082
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
1.45218960
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179DEK2
27289.65000000
PA
USD
25739.66000000
0.003227986817
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
3.50000000
N
N
N
N
N
N
Ryder System, Inc.
ZXJ6Y2OSPZXIVGRILD15
Ryder System, Inc.
78355HKW8
439000.00000000
PA
USD
433451.15000000
0.054358705524
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGKD8
69377.70000000
PA
USD
64921.24000000
0.008141712318
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPR42
861812.42050000
PA
USD
881744.70000000
0.110578782627
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
6.00000000
N
N
N
N
N
N
Union Pacific Corp.
549300LMMRSZZCZ8CL11
Union Pacific Corp.
907818FL7
127000.00000000
PA
USD
96056.75000000
0.012046387665
Long
DBT
CORP
US
N
2
2070-02-05
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3559.62000000
0.000446408633
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
260000.00000000
GBP
333828.30000000
USD
2023-09-20
3559.62000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XBNR7
5480384.25460000
PA
USD
5054133.28000000
0.633834153285
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RU4
505000.00000000
PA
USD
416210.74000000
0.052196601743
Long
DBT
UST
US
N
2
2046-11-15
Fixed
2.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J6DA2
3265.18910000
PA
USD
3026.06000000
0.000379495369
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBJ3
108000.00000000
PA
USD
83010.03000000
0.010410210646
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
4.00000000
N
N
N
N
N
N
Irwin Home Equity Loan Trust
N/A
Irwin Home Equity Loan Trust, Series 2006-3, Class 2A3
464125AD5
10671.20000000
PA
USD
9899.77000000
0.001241520946
Long
ABS-O
CORP
US
N
2
2037-09-25
Variable
6.03000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-492.30000000
-0.00006173888
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
60000.00000000
USD
20392200.00000000
HUF
2023-07-18
-492.30000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WD6X4
2740.40300000
PA
USD
2556.94000000
0.000320663466
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307NNV2
3977.15000000
PA
USD
3692.88000000
0.000463120645
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WJNC8
175523.30000000
PA
USD
157079.03000000
0.019699135037
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XGTV1
3828368.85970000
PA
USD
3640269.96000000
0.456522869500
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
4.00000000
N
N
N
N
N
N
University of California
N/A
University of California, Series 2012 AD
91412GHA6
75000.00000000
PA
USD
67149.42000000
0.008421146299
Long
DBT
MUN
US
N
2
2112-05-15
Fixed
4.85800000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
365.90000000
0.000045887178
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
40000.00000000
USD
193280.00000000
BRL
2023-07-05
365.90000000
N
N
N
Public Service Electric & Gas Co.
549300RUHPVD434XUK18
Public Service Electric & Gas Co.
74456QCB0
803000.00000000
PA
USD
691992.73000000
0.086782164576
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
2.45000000
N
N
N
N
N
N
Altria Group, Inc.
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SAZ6
460000.00000000
PA
431664.67000000
0.054134664729
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.12500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DP3F3
131289.65470000
PA
USD
132544.40000000
0.016622269911
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
6.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132M9MM3
13382.43630000
PA
USD
12543.69000000
0.001573092494
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
3.50000000
N
N
N
N
N
N
Seasoned Credit Risk Transfer Trust
N/A
Seasoned Credit Risk Transfer Trust, Series 2018-1, Class BX
35563PEX3
18683.85000000
PA
USD
6301.21000000
0.000790228884
Long
ABS-MBS
CORP
US
N
2
2057-05-25
Variable
3.56068800
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-688.62000000
-0.00008635919
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
195880.00000000
BRL
40000.00000000
USD
2023-08-02
-688.62000000
N
N
N
N/A
N/A
OIS
N/A
76691225.00000000
PA
-17954.70000000
-0.00225168222
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-02-15
0.00000000
USD
0.00000000
USD
76691225.00000000
JPY
-17954.70000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132XWA84
11885.11000000
PA
USD
11154.25000000
0.001398844116
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XGVQ9
158024.84880000
PA
USD
140218.26000000
0.017584641555
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.00000000
N
N
N
N
N
N
Bayview Financial Revolving Asset Trust
N/A
Bayview Financial Revolving Asset Trust, Series 2004-B, Class A1
073250BE1
67005.54000000
PA
USD
53436.92000000
0.006701474430
Long
ABS-O
CORP
US
N
2
2039-05-28
Floating
6.17785920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WPHP2
7053.93000000
PA
USD
6367.68000000
0.000798564825
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
AEA International Holdings (Luxembourg) SARL
N/A
AEA International Holdings (Luxembourg) SARL, 1st Lien Term Loan
46033XAB7
146863.51000000
PA
USD
146312.77000000
0.018348948385
Long
LON
CORP
LU
N
3
2028-09-07
Variable
9.31250000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828X88
1390000.00000000
PA
USD
1294328.91000000
0.162320584617
Long
DBT
UST
US
N
2
2027-05-15
Fixed
2.37500000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-15CB, Class A1
021467AA3
7716.14110000
PA
USD
3874.39000000
0.000485883645
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.50000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust, Series 2018-F, Class C
00969JAE7
9945.62740000
PA
USD
6542.64000000
0.000820506396
Long
ABS-MBS
CORP
US
N
2
2058-11-25
Fixed
0.00000000
N
N
N
N
N
N
Deutsche Alt-B Securities Mortgage Loan Trust
N/A
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A8
25151EAJ2
7173.61590000
PA
USD
5811.84000000
0.000728857448
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
6.36400080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
9128286T2
474000.00000000
PA
USD
432154.69000000
0.054196117682
Long
DBT
UST
US
N
2
2029-05-15
Fixed
2.37500000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-2023000.00000000
PA
USD
-110297.81000000
-0.01383234575
N/A
DIR
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Put
Written
N/A
Swaption
1.00000000
3.02200000
USD
2026-03-16
XXXX
3597.09000000
N
N
N
245 Park Avenue Trust
N/A
245 Park Avenue Trust, Series 2017-245P, Class E
90187LAN9
200000.00000000
PA
USD
138197.68000000
0.017331242497
Long
ABS-MBS
CORP
US
N
2
2037-06-05
Variable
3.77931240
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
364.33000000
0.000045690286
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
61000.00000000
USD
5039545.50000000
INR
2023-07-18
364.33000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XGPR4
346605.73000000
PA
USD
307340.69000000
0.038543310044
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
2.00000000
N
N
N
N
N
N
VMware, Inc.
549300BUDHS3LRWBE814
VMware, Inc.
928563AL9
715000.00000000
PA
USD
561846.99000000
0.070460708385
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.20000000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HCY9
583000.00000000
PA
USD
556225.63000000
0.069755738856
Long
DBT
CORP
US
N
2
2034-02-01
Variable
5.81700000
N
N
N
N
N
N
Palmer Square CLO Ltd.
549300A8L0VCZ9626397
Palmer Square CLO Ltd., Series 2018-1A, Class A1
69703PAA7
250000.00000000
PA
USD
248168.38000000
0.031122565689
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
6.29170920
N
N
N
N
N
N
Credit Suisse AG
549300D0YARF5HYP1809
Credit Suisse AG
22550L2L4
500000.00000000
PA
USD
510121.33000000
0.063973841479
Long
DBT
CORP
CH
N
2
2025-01-09
Fixed
7.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QDS54
74847.39550000
PA
USD
66745.59000000
0.008370502355
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
939300.00000000
PA
USD
45127.36000000
0.005659380240
N/A
DIR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Purchased
N/A
Swaption
1.00000000
3.23500000
USD
2026-06-15
XXXX
17.48000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDW8
67000.00000000
PA
USD
59226.95000000
0.007427596706
Long
DBT
UST
US
N
2
2029-01-31
Fixed
1.75000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBH7
260000.00000000
PA
USD
216993.12000000
0.027212905331
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
3.85000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132J7RZ7
15988.35000000
PA
USD
14449.82000000
0.001812138484
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJF7
100000.00000000
PA
USD
79635.09000000
0.009986962560
Long
DBT
CORP
US
N
2
2031-07-23
Variable
1.89800000
N
N
N
N
N
N
Northern States Power Co.
3S1GHB0TEH85KX44SB51
Northern States Power Co.
665772CR8
221000.00000000
PA
USD
152229.21000000
0.019090923622
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
2.90000000
N
N
N
N
N
N
Credit-Based Asset Servicing & Securitization LLC
N/A
Credit-Based Asset Servicing & Securitization LLC, Series 2006-MH1, Class B1
1248P8AK5
73696.05000000
PA
USD
69544.68000000
0.008721533628
Long
ABS-O
CORP
US
N
2
2036-10-25
Variable
6.75000000
N
N
N
N
N
N
CBAM Ltd.
254900JWJFDB3KD6V066
CBAM Ltd., Series 2017-1A, Class A1
12480VAC9
233021.56000000
PA
USD
232247.14000000
0.029125897790
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.50043000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QNJL7
105179.17120000
PA
USD
93257.97000000
0.011695395269
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZE7
13263.92000000
PA
USD
12415.88000000
0.001557063961
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
38.08000000
0.000004775577
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
40000.00000000
USD
32156000.00000000
CLP
2023-07-18
38.08000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZS2
2717000.00000000
PA
USD
2349037.53000000
0.294590611560
Long
DBT
UST
US
N
2
2027-05-31
Fixed
0.50000000
N
N
N
N
N
N
Ohio Power Co.
06ZODLC132CY1O2Y7D77
Ohio Power Co., Series Q
677415CT6
321000.00000000
PA
USD
253116.53000000
0.031743108578
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.62500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179RF95
168508.32870000
PA
USD
157821.15000000
0.019792203616
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
90369.00000000
PA
USD
-291.49000000
-0.00003655548
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2053-06-15
0.00000000
USD
0.00000000
USD
90369.00000000
USD
-291.49000000
N
N
N
Credit Suisse Mortgage Capital Certificates
N/A
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class A
12653VAA4
696267.77000000
PA
USD
692792.00000000
0.086882400284
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
6.17299920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QRXY4
368406.68840000
PA
USD
372499.88000000
0.046714863451
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
6.00000000
N
N
N
N
N
N
Lehman ABS Manufactured Housing Contract Trust
N/A
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class M1
52519SAL7
30122.67000000
PA
USD
29465.39000000
0.003695227151
Long
ABS-O
CORP
US
N
2
2040-04-15
Variable
6.63000120
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FDW3
1470.31000000
PA
USD
1460.05000000
0.000183103512
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
4.50000000
N
N
N
N
N
N
Meta Platforms, Inc.
BQ4BKCS1HXDV9HN80Z93
Meta Platforms, Inc.
30303M8R6
619000.00000000
PA
USD
640616.13000000
0.080339072961
Long
DBT
CORP
US
N
2
2063-05-15
Fixed
5.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179S5M5
53724.52270000
PA
USD
51566.23000000
0.006466872937
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132L8EV5
195667.06000000
PA
USD
175296.54000000
0.021983776020
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
61206.00000000
PA
-1416.63000000
-0.00017765825
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-05-09
0.00000000
USD
0.00000000
USD
61206.00000000
CAD
-1416.63000000
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
558.00000000
NC
USD
-423235.91000000
-0.05307762177
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
3 Month SOFR Interest Futures
2024-06-18
132378525.00000000
USD
-423235.91000000
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFR0
662000.00000000
PA
USD
522274.40000000
0.065497946683
Long
DBT
CORP
US
N
2
2031-01-20
Fixed
1.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGKA4
543033.30000000
PA
USD
495678.17000000
0.062162538219
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-24122.00000000
-0.00302511758
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
1038104267.80000000
COP
224717.35000000
USD
2023-07-05
-24122.00000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31402QYX3
72698.49000000
PA
USD
73216.44000000
0.009182005634
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-263.34000000
-0.00003302522
N/A
DFE
N/A
N
2
NATWEST MARKETS
RR3QWICWWIPCS8A4S074
38000.00000000
EUR
442332.27000000
NOK
2023-07-18
-263.34000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
623.62000000
0.000078207604
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
81000.00000000
USD
27970920.00000000
HUF
2023-07-18
623.62000000
N
N
N
MASTR Specialized Loan Trust
N/A
MASTR Specialized Loan Trust, Series 2006-3, Class A
57643BAA6
7873.22000000
PA
USD
7453.22000000
0.000934701387
Long
ABS-O
CORP
US
N
2
2046-06-25
Floating
5.67042840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XKHJ2
521294.20260000
PA
USD
526285.19000000
0.066000936126
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202FPF7
19118.28000000
PA
USD
18563.08000000
0.002327978595
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140L6U44
250524.74560000
PA
USD
206344.09000000
0.025877420385
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179UQ62
41841.95240000
PA
USD
40854.55000000
0.005123531112
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QEBK7
623733.34150000
PA
USD
536069.93000000
0.067228031268
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYN8
1212000.00000000
PA
USD
987932.98000000
0.123895756045
Long
DBT
CORP
US
N
2
2032-10-21
Variable
2.65000000
N
N
N
N
N
N
Credit Suisse AG
549300D0YARF5HYP1809
Credit Suisse AG
22550L2K6
771000.00000000
PA
USD
744316.57000000
0.093344048679
Long
DBT
CORP
CH
N
2
2027-07-09
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
41822.00000000
PA
USD
60.31000000
0.000007563420
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-06-28
0.00000000
USD
0.00000000
USD
41822.00000000
USD
60.31000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WHFF4
9811.12000000
PA
USD
8819.70000000
0.001106070372
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132HRMP2
26623.78000000
PA
USD
24062.11000000
0.003017606832
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Anglo American Capital plc
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863BD1
702000.00000000
PA
USD
683425.08000000
0.085707703560
Long
DBT
CORP
GB
N
2
2033-05-02
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179XQR0
443855.09840000
PA
USD
384443.28000000
0.048212674135
Long
ABS-MBS
USGA
US
N
2
2053-01-20
Fixed
2.50000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RKJ0
350000.00000000
PA
USD
247770.49000000
0.031072666674
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
State of Texas
549300X9CH74QB747L76
State of Texas, Series 2009A
882722KF7
215000.00000000
PA
USD
231205.98000000
0.028995326883
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
5.51700000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAL5
1937500.00000000
PA
USD
1648994.14000000
0.206798821201
Long
DBT
UST
US
N
2
2027-09-30
Fixed
0.37500000
N
N
N
N
N
N
Pacific Gas & Electric Co.
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co.
694308KK2
60000.00000000
PA
USD
58904.11000000
0.007387109642
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
6.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM4T8
316435.49320000
PA
USD
274005.70000000
0.034362799956
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Credit Suisse AG
549300D0YARF5HYP1809
Credit Suisse AG
22550L2H3
1302000.00000000
PA
USD
1244196.80000000
0.156033563334
Long
DBT
CORP
CH
N
2
2025-02-21
Fixed
3.70000000
N
N
N
N
N
N
Cameron LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AC4
707000.00000000
PA
USD
587976.80000000
0.073737623551
Long
DBT
CORP
US
N
2
2038-01-15
Fixed
3.40200000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307U5V6
12387.77590000
PA
USD
11674.71000000
0.001464114521
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QK7
432000.00000000
PA
USD
428641.87000000
0.053755578193
Long
DBT
UST
US
N
2
2040-08-15
Fixed
3.87500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GD3M2
9093.55000000
PA
USD
8966.81000000
0.001124519301
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
-327.00000000
NC
USD
-171675.00000000
-0.02152960205
N/A
DIR
US
N
1
CME Clearing House
N/A
Put
Written
N/A
3 Month SOFR Interest Futures
250000.00000000
94.62500000
USD
2023-10-13
XXXX
-45419.46000000
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust, Series 2007-AR2, Class A1
07401TAA4
68514.46000000
PA
USD
63878.76000000
0.008010975871
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.32042920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31417GLT1
61991.83000000
PA
USD
55960.37000000
0.007017937947
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-76, Class 2A1
12668BDE0
13651.00000000
PA
USD
12431.29000000
0.001558996515
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
4.97620080
N
N
N
N
N
N
MSCI, Inc.
549300HTIN2PD78UB763
MSCI, Inc.
55354GAK6
130000.00000000
PA
USD
112110.52000000
0.014059676027
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418ECG3
1649404.94610000
PA
USD
1395896.87000000
0.175058128002
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030470
536000.00000000
PA
USD
499987.50000000
0.062702967286
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J8ZR7
145171.13630000
PA
USD
142496.85000000
0.017870397407
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2017-H1, Class XD
61691JAA2
110000.00000000
PA
USD
7473.33000000
0.000937223363
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Variable
2.30750280
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Republic of Colombia
N/A
334000000.00000000
PA
64334.74000000
0.008068159899
Long
DBT
NUSS
CO
N
2
2034-10-18
Fixed
7.25000000
N
N
N
N
N
N
SLM Private Credit Student Loan Trust
549300HIOV1ESFZYQ040
SLM Private Credit Student Loan Trust, Series 2004-B, Class A3
78443CBN3
1336.64000000
PA
USD
1333.04000000
0.000167175306
Long
ABS-O
CORP
US
N
2
2024-03-15
Floating
5.88200040
N
N
N
N
N
N
Palmer Square CLO Ltd.
549300UP5H2PFBIITY41
Palmer Square CLO Ltd., Series 2014-1A, Class A1R2
69688XAS0
224126.09000000
PA
USD
223253.05000000
0.027997957330
Long
ABS-CBDO
CORP
KY
N
2
2031-01-17
Floating
6.39029160
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1822.71000000
-0.00022858436
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
71500.00000000
USD
2467107.50000000
THB
2023-07-18
-1822.71000000
N
N
N
Motorola Solutions, Inc.
6S552MUG6KGJVEBSEC55
Motorola Solutions, Inc.
620076BE8
470000.00000000
PA
USD
446136.34000000
0.055949543402
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138XYBY9
15264.95000000
PA
USD
14292.06000000
0.001792353950
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YBX65
2926.15000000
PA
USD
2787.63000000
0.000349594085
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132KE2B0
10294.22000000
PA
USD
9577.98000000
0.001201165562
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
584000.00000000
PA
-12540.91000000
-0.00157274385
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-06-22
0.00000000
USD
0.00000000
USD
584000.00000000
CAD
-12540.91000000
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4
3622MPAN8
2305.89000000
PA
USD
2896.24000000
0.000363214764
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley ABS Capital I, Inc. Trust
N/A
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE1, Class A2MZ
61744CKH8
155480.69000000
PA
USD
134941.33000000
0.016922866672
Long
ABS-O
CORP
US
N
2
2034-12-25
Floating
5.75043120
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
Port Authority of New York & New Jersey, Series 2010-165
73358WCX0
120000.00000000
PA
USD
129019.95000000
0.016180271915
Long
DBT
MUN
US
N
2
2040-11-01
Fixed
5.64700000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133BUJD0
461226.77310000
PA
USD
459109.31000000
0.057576471503
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
5.50000000
N
N
N
N
N
N
Yango Justice International Ltd.
3003007ELD2HAYCXPT77
Yango Justice International Ltd.
N/A
200000.00000000
PA
USD
2000.00000000
0.000250818139
Long
DBT
CORP
HK
N
2
2023-11-25
Fixed
8.25000000
Y
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179WQA9
879116.48910000
PA
USD
761781.20000000
0.095534271682
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
NGPL PipeCo LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62912XAF1
230000.00000000
PA
USD
217949.84000000
0.027332886697
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.87500000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
153745.00000000
PA
USD
-2654.15000000
-0.00033285448
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
Receipt of notional amount upon default event with regard to the reference instrument
2028-06-20
2804.45000000
USD
0.00000000
USD
153745.00000000
USD
-2654.15000000
N
N
N
Union Pacific Corp.
549300LMMRSZZCZ8CL11
Union Pacific Corp.
907818FS2
137000.00000000
PA
USD
104504.42000000
0.013105802102
Long
DBT
CORP
US
N
2
2071-04-06
Fixed
3.79900000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2019-2A, Class A1
64830DAB9
36066.67000000
PA
USD
33995.29000000
0.004263317696
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
4.25000160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCS8
7750000.00000000
PA
USD
6359843.75000000
0.797582088754
Long
DBT
UST
US
N
2
2031-08-15
Fixed
1.25000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ACB9
388000.00000000
PA
USD
322509.65000000
0.040445635207
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140L6BK9
181100.87440000
PA
USD
149864.52000000
0.018794370049
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAL9
118000.00000000
PA
USD
103552.40000000
0.012986410159
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.87500000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
421250.00000000
PA
USD
899.83000000
0.000112846843
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-06-09
0.00000000
USD
0.00000000
USD
421250.00000000
USD
899.83000000
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
-1.00000000
NC
USD
285.87000000
0.000035850690
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
3 Month SOFR Interest Futures
2023-12-19
-236512.50000000
USD
285.87000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QEB50
409911.88840000
PA
USD
354303.52000000
0.044432874869
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Kinder Morgan Energy Partners LP
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BW5
364000.00000000
PA
USD
322710.70000000
0.040470848701
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
5.40000000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Ultra Note
N/A
-9.00000000
NC
USD
5930.26000000
0.000743708390
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
U.S. Treasury 10 Year Ultra Note
2023-09-20
-1066500.00000000
USD
5930.26000000
N
N
N
Atento Luxco 1 SA
549300MLFF3HYCZQTC48
Atento Luxco 1 SA
N/A
14000.00000000
PA
USD
2204.30000000
0.000276439212
Long
DBT
CORP
LU
N
2
2026-02-10
Fixed
8.00000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
1591000000.00000000
PA
114556.24000000
0.014366391498
Long
DBT
NUSS
ID
N
2
2038-05-15
Fixed
7.50000000
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust, Series 2006-SL1, Class A1
07400WAA8
12900.76000000
PA
USD
12477.56000000
0.001564799192
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.43043080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WC7G2
23376.27900000
PA
USD
22272.95000000
0.002793229941
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2337.11000000
-0.00029309479
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
175000.00000000
EUR
189372.58000000
USD
2023-09-20
-2337.11000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3129414T1
4632.20000000
PA
USD
4458.84000000
0.000559178976
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAH4
5312300.00000000
PA
USD
4557372.34000000
0.571535825887
Long
DBT
UST
US
N
2
2027-08-31
Fixed
0.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM5X8
17112.93530000
PA
USD
15118.49000000
0.001895995767
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-11326000.00000000
PA
USD
-281296.37000000
-0.03527711609
N/A
DIR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Swaption
1.00000000
3.30500000
USD
2024-06-14
XXXX
-49113.37000000
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162CW8
226000.00000000
PA
USD
187811.41000000
0.023553254225
Long
DBT
CORP
US
N
2
2031-02-25
Fixed
2.30000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613BB3
1318000.00000000
PA
USD
1266816.68000000
0.158870301444
Long
DBT
CORP
CH
N
2
2026-04-17
Fixed
4.55000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SQ2
1933000.00000000
PA
USD
1242858.59000000
0.155865739663
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H042679
11623000.00000000
PA
USD
11218011.09000000
1.406840335792
Long
ABS-MBS
USGA
US
N
2
2053-07-15
Fixed
4.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1
46645JBG6
100000.00000000
PA
USD
75994.02000000
0.009530339358
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Variable
4.29035760
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DMUR4
604781.15790000
PA
USD
545345.30000000
0.068391246792
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo & Co.
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U3D3
1109000.00000000
PA
USD
1101917.89000000
0.138190497579
Long
DBT
CORP
US
N
2
2034-04-24
Variable
5.38900000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust, Series 2007-FXD2, Class 1A1
68403BAA3
81921.85980000
PA
USD
71327.34000000
0.008945095360
Long
ABS-O
CORP
US
N
2
2037-03-25
Variable
5.82000120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XGPU7
521919.57420000
PA
USD
426730.17000000
0.053515833674
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
United Airlines Pass-Through Trust
N/A
United Airlines Pass-Through Trust, Series 2019-2, Class AA
90932JAA0
111669.67000000
PA
USD
93526.86000000
0.011729116513
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
2.70000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
383000.00000000
PA
-4446.73000000
-0.00055766027
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2032-07-14
0.00000000
USD
0.00000000
USD
383000.00000000
EUR
-4446.73000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1861.37000000
0.000233432680
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
134000.00000000
USD
2961687.16000000
CZK
2023-07-18
1861.37000000
N
N
N
Credit-Based Asset Servicing & Securitization LLC
N/A
Credit-Based Asset Servicing & Securitization LLC, Series 2006-CB2, Class AF4
12498NAD5
10765.40000000
PA
USD
8597.59000000
0.001078215764
Long
ABS-O
CORP
US
N
2
2036-12-25
Variable
6.20399880
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36196FZF4
14743.57000000
PA
USD
13813.23000000
0.001732304325
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Conseco Finance Corp.
N/A
Conseco Finance Corp., Series 1997-6, Class M1
393505XH0
12496.31000000
PA
USD
11590.00000000
0.001453491118
Long
ABS-O
CORP
US
N
2
2029-01-15
Variable
7.21000080
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-8303000.00000000
PA
USD
-45678.34000000
-0.00572847812
N/A
DIR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Swaption
1.00000000
4.60500000
USD
2023-09-05
XXXX
-21807.21000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KQGC4
240224.30060000
PA
USD
235634.47000000
0.029550699695
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-3336.74000000
-0.00041845745
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
1068938.00000000
MXN
58417.02000000
USD
2023-08-31
-3336.74000000
N
N
N
N/A
N/A
HICPXT
N/A
302500.00000000
PA
7764.00000000
0.000973676017
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-06-15
0.00000000
USD
0.00000000
USD
302500.00000000
EUR
7764.00000000
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PDF0
665000.00000000
PA
USD
638927.17000000
0.080127262059
Long
DBT
CORP
US
N
2
2030-06-14
Variable
4.56500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128M9WN8
32952.60000000
PA
USD
33863.27000000
0.004246761191
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.50000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBZ7
179000.00000000
PA
USD
137906.79000000
0.017294762252
Long
DBT
CORP
US
N
2
2041-03-25
Fixed
3.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418DTQ5
532519.07800000
PA
USD
438449.28000000
0.054985516358
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAQ3
452000.00000000
PA
USD
454958.79000000
0.057055958650
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
5.75000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
120000.00000000
PA
USD
-1957.34000000
-0.00024546818
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Federative Republic of Brazil
Federative Republic of Brazil
Y
Receipt of notional amount upon default event with regard to the reference instrument
2024-12-20
894.97000000
USD
0.00000000
USD
120000.00000000
USD
-1957.34000000
N
N
N
Oriental Republic of Uruguay
549300RDR012H2V82H43
Oriental Republic of Uruguay
760942BB7
178758.00000000
PA
USD
177218.89000000
0.022224856145
Long
DBT
NUSS
UY
N
2
2027-10-27
Fixed
4.37500000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDL3
90000.00000000
PA
USD
80698.50000000
0.010120323819
Long
DBT
NUSS
MX
N
2
2029-06-02
Fixed
8.75000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
-80000.00000000
PA
USD
-459.49000000
-0.00005762421
N/A
DFE
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Put
Written
N/A
USD Currency
1.00000000
4100.00000000
USD
2023-07-25
XXXX
-84.85000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132G5AU3
7949.11930000
PA
USD
7539.51000000
0.000945522935
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617ALXR6
12206.54000000
PA
USD
12060.48000000
0.001512493578
Long
ABS-MBS
USGA
US
N
2
2047-05-15
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVL52
2281882.10500000
PA
USD
1956367.86000000
0.245346273507
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QM4F8
673316.91150000
PA
USD
578476.68000000
0.072546222339
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Northwest Pipeline LLC
549300FFKMN9OW536A14
Northwest Pipeline LLC
66775VAB1
918000.00000000
PA
USD
872298.26000000
0.109394113373
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138YBX73
14699.47000000
PA
USD
14005.25000000
0.001756385374
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
American Home Mortgage Assets Trust
N/A
American Home Mortgage Assets Trust, Series 2006-3, Class 2A11
02660UAE0
43732.61000000
PA
USD
30483.24000000
0.003822874772
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
4.91619960
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-98.58000000
-0.00001236282
N/A
DFE
N/A
N
2
Toronto Dominion Bank
PT3QB789TSUIDF371261
192000.00000000
BRL
40000.00000000
USD
2023-07-05
-98.58000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
649.33000000
0.000081431871
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
47469.88000000
EUR
52542.22000000
USD
2023-08-08
649.33000000
N
N
N
Sprint LLC
549300ZTTY7CXOLJ6539
Sprint LLC
85207UAJ4
288000.00000000
PA
USD
294182.21000000
0.036893117307
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.62500000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F062671
701000.00000000
PA
USD
715731.96000000
0.089759279329
Long
ABS-MBS
USGSE
US
N
2
2053-07-25
Fixed
6.50000000
N
N
N
N
N
N
Credit Suisse AG
549300D0YARF5HYP1809
Credit Suisse AG
22550L2E0
280000.00000000
PA
USD
269351.41000000
0.033779109777
Long
DBT
CORP
CH
N
2
2024-02-02
Fixed
0.49500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179RD71
43456.37240000
PA
USD
40742.11000000
0.005109430116
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.50000000
N
N
N
N
N
N
Diamondback Energy, Inc.
549300R22LSX6OHWEN64
Diamondback Energy, Inc.
25278XAR0
850000.00000000
PA
USD
728091.09000000
0.091309226325
Long
DBT
CORP
US
N
2
2031-03-24
Fixed
3.12500000
N
N
N
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust, Series 2007-CP1, Class 2A3
68402YAD8
90000.00000000
PA
USD
70930.68000000
0.008895350599
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
5.36042880
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
710.08000000
0.000089050472
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
80000.00000000
USD
386455.99000000
BRL
2023-07-05
710.08000000
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAE5
589000.00000000
PA
USD
518573.27000000
0.065033791413
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.12500000
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAJ0
163000.00000000
PA
USD
132591.59000000
0.016628187965
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-767.54000000
-0.00009625647
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
37000.00000000
EUR
425208.29000000
NOK
2023-07-18
-767.54000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132J8KH2
42935.95000000
PA
USD
38804.75000000
0.004866467601
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-1038000.00000000
PA
USD
-43677.15000000
-0.00547751075
N/A
DIR
CH
N
2
UBS
BFM8T61CT2L1QCEMIK50
Call
Written
N/A
Swaption
1.00000000
3.05000000
USD
2026-05-04
XXXX
11596.35000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLSU1
147008.27990000
PA
USD
138884.16000000
0.017417333315
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
4.00000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
312938GD9
4071.80000000
PA
USD
4025.61000000
0.000504848005
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418ELX6
110039.33760000
PA
USD
107887.98000000
0.013530131214
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QGJX6
61176.66870000
PA
USD
52782.75000000
0.006619435578
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
1.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31307UR34
12376.26470000
PA
USD
11661.93000000
0.001462511793
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QELS9
668946.84390000
PA
USD
574928.27000000
0.072101219541
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36189MS74
4337.86000000
PA
USD
4148.66000000
0.000520279591
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
4.00000000
N
N
N
N
N
N
Massachusetts Housing Finance Agency
549300NLJBK1VP6K2K81
Massachusetts Housing Finance Agency, Series 2015A
57586NXZ9
30000.00000000
PA
USD
28532.73000000
0.003578263128
Long
DBT
MUN
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
USD Currency
N/A
122000.00000000
PA
USD
213.74000000
0.000026804934
N/A
DFE
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Call
Purchased
N/A
USD Currency
1.00000000
19.75000000
USD
2023-07-17
XXXX
-2106.58000000
N
N
N
N/A
N/A
SOP
N/A
-8303000.00000000
PA
USD
-76506.60000000
-0.00959462153
N/A
DIR
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
Put
Written
N/A
Swaption
1.00000000
4.30000000
USD
2023-08-31
XXXX
-54296.07000000
N
N
N
N/A
N/A
EUR Currency
N/A
74000.00000000
PA
460.42000000
0.000057740843
N/A
DFE
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
Put
Purchased
N/A
EUR Currency
1.00000000
11.60000000
EUR
2023-07-20
XXXX
-200.20000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132HNMK2
4942.15000000
PA
USD
4632.48000000
0.000580955007
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVLZ6
147592.92900000
PA
USD
131353.74000000
0.016472950348
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
EUR Currency
N/A
148000.00000000
PA
366.37000000
0.000045946120
N/A
DFE
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
Put
Purchased
N/A
EUR Currency
1.00000000
1.08000000
EUR
2023-07-20
XXXX
-102.99000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179NDR6
30193.36000000
PA
USD
28480.16000000
0.003571670373
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31292LGU3
22086.55000000
PA
USD
20702.77000000
0.002596315127
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-489.32000000
-0.00006136516
N/A
DFE
N/A
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
106606.46000000
CAD
80000.00000000
USD
2023-07-18
-489.32000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WKK87
37126.72000000
PA
USD
34404.70000000
0.004314661423
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
American Transmission Systems, Inc.
N/A
American Transmission Systems, Inc.
030288AC8
521000.00000000
PA
USD
430831.43000000
0.054030168876
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LTL63
1392.61000000
PA
USD
1303.85000000
0.000163514615
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
31292LGY5
91979.32000000
PA
USD
86216.62000000
0.010812346115
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138LTJF6
40695.80000000
PA
USD
39127.90000000
0.004906993542
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QL5
432000.00000000
PA
USD
449246.25000000
0.056339554323
Long
DBT
UST
US
N
2
2040-11-15
Fixed
4.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J9Y96
40768.36310000
PA
USD
40608.58000000
0.005092684243
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
Bayview Financial Revolving Asset Trust
N/A
Bayview Financial Revolving Asset Trust, Series 2005-A, Class A1
073250BM3
85199.93000000
PA
USD
74475.52000000
0.009339905685
Long
ABS-O
CORP
US
N
2
2040-02-28
Floating
6.17785920
N
N
N
N
N
N
Apidos CLO XV
549300HXW2GBYSKFE344
Apidos CLO XV, Series 2013-15A, Class A1RR
03764QBC5
500000.00000000
PA
USD
496157.35000000
0.062222631737
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.26042880
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132CWSB1
911958.60890000
PA
USD
795832.62000000
0.099804628589
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138Y4UY3
2790.31000000
PA
USD
2658.44000000
0.000333392487
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138W5M21
26152.96000000
PA
USD
23608.40000000
0.002960707483
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H050672
2299000.00000000
PA
USD
2259126.72000000
0.283314980513
Long
ABS-MBS
USGA
US
N
2
2053-07-15
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XJTH6
115489.32520000
PA
USD
116770.69000000
0.014644103612
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
3260000.00000000
PA
-2929.10000000
-0.00036733570
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2025-07-02
0.00000000
USD
287.15000000
USD
3260000.00000000
EUR
-2929.10000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140EXEK5
32819.26000000
PA
USD
32395.60000000
0.004062702061
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QB7
97000.00000000
PA
USD
101418.05000000
0.012718743311
Long
DBT
UST
US
N
2
2039-05-15
Fixed
4.25000000
N
N
N
N
N
N
N/A
N/A
CDSCMBX
N/A
60000.00000000
PA
USD
-3481.88000000
-0.00043665933
N/A
DCR
DE
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
Markit CMBX North American A 10
137BEOAJ3
Y
Payout of notional amount upon default event with regard to the reference instrument
2059-11-17
0.00000000
USD
2325.47000000
USD
60000.00000000
USD
-3481.88000000
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VCQ5
1544000.00000000
PA
USD
1425070.34000000
0.178716745737
Long
DBT
CORP
US
N
2
2034-11-01
Fixed
4.40000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133A04K7
81056.93590000
PA
USD
74719.45000000
0.009370496720
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132JADY8
10690.47000000
PA
USD
9982.31000000
0.001251872211
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132JQEV8
7422.93000000
PA
USD
7292.81000000
0.000914584518
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
Olympic Tower Mortgage Trust
N/A
Olympic Tower Mortgage Trust, Series 2017-OT, Class E
68162MAN2
190000.00000000
PA
USD
110113.13000000
0.013809185205
Long
ABS-MBS
CORP
US
N
2
2039-05-10
Variable
4.07675520
N
N
N
N
N
N
Credito Real SAB de CV SOFOM ER
N/A
Credito Real SAB de CV SOFOM ER, Term Loan A
N/A
21000.00000000
PA
USD
2730.00000000
0.000342366760
Long
LON
CORP
MX
N
3
2024-02-21
Variable
0.00000000
Y
N
N
N
N
N
LSTAR Commercial Mortgage Trust
549300MAI3U5Y4VL8H37
LSTAR Commercial Mortgage Trust, Series 2015-3, Class AS
54910JAN4
8392.24000000
PA
USD
8042.82000000
0.001008642574
Long
ABS-MBS
CORP
US
N
2
2048-04-20
Variable
3.30625440
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
421250.00000000
PA
USD
-124.34000000
-0.00001559336
N/A
DO
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-06-09
0.00000000
USD
0.00000000
USD
421250.00000000
USD
-124.34000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132GSSE0
25328.64990000
PA
USD
23741.80000000
0.002977437053
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
American Homes 4 Rent Trust
N/A
American Homes 4 Rent Trust, Series 2014-SFR3, Class A
02665XAA7
168080.74000000
PA
USD
162184.53000000
0.020339411043
Long
ABS-O
CORP
US
N
2
2036-12-17
Fixed
3.67800000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Republic of Indonesia
N/A
621000000.00000000
PA
47178.19000000
0.005916572922
Long
DBT
NUSS
ID
N
2
2029-03-15
Fixed
9.00000000
N
N
N
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust, Series 2006-RP1, Class 1AF1
3623413C1
28890.28850000
PA
USD
23409.88000000
0.002935811274
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.50042920
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DVMB8
3182484.26560000
PA
USD
2727661.40000000
0.342073478900
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFRT0
569286.87750000
PA
USD
471448.13000000
0.059123871441
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
CIFC Funding Ltd.
254900S2BZHNDNVF2L25
CIFC Funding Ltd., Series 2017-3A, Class A1
12548JAC6
696610.14110000
PA
USD
694558.07000000
0.087103881480
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
6.47043120
N
N
N
N
N
N
Cheniere Energy Partners LP
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAN1
1232000.00000000
PA
USD
1013504.68000000
0.127102679155
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
3.25000000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XBA7
100000.00000000
PA
USD
86250.07000000
0.010816541048
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
2.90000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEE7
579000.00000000
PA
USD
528608.91000000
0.066292351690
Long
DBT
UST
US
N
2
2029-03-31
Fixed
2.37500000
N
N
N
N
N
N
Motorola Solutions, Inc.
6S552MUG6KGJVEBSEC55
Motorola Solutions, Inc.
620076BU2
240000.00000000
PA
USD
196622.32000000
0.024658222252
Long
DBT
CORP
US
N
2
2031-05-24
Fixed
2.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140KKX33
109459.20970000
PA
USD
90031.64000000
0.011290784224
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1185.80000000
0.000148710074
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1676758.00000000
TWD
55000.00000000
USD
2023-07-13
1185.80000000
N
N
N
Ryder System, Inc.
ZXJ6Y2OSPZXIVGRILD15
Ryder System, Inc.
78355HKV0
517000.00000000
PA
USD
517215.89000000
0.064863563650
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.65000000
N
N
N
N
N
N
Oriental Republic of Uruguay
549300RDR012H2V82H43
Oriental Republic of Uruguay
760942BA9
233785.00000000
PA
USD
233338.47000000
0.029262760471
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
5.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H062677
352000.00000000
PA
USD
358187.50000000
0.044919961188
Long
ABS-MBS
USGA
US
N
2
2053-07-15
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3138WFQ25
14179.52000000
PA
USD
13176.63000000
0.001652468911
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJZ3
881000.00000000
PA
USD
751632.90000000
0.094261582819
Long
DBT
CORP
US
N
2
2029-06-14
Variable
2.08700000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1192.28000000
0.000149522725
N/A
DFE
N/A
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
81000.00000000
USD
393553.07000000
BRL
2023-07-05
1192.28000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1185.80000000
0.000148710074
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1676758.00000000
TWD
55000.00000000
USD
2023-07-13
1185.80000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XFG21
90538.25610000
PA
USD
80371.45000000
0.010079308782
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XGMR7
170555.40540000
PA
USD
161788.11000000
0.020289696379
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31416VXQ2
37133.99000000
PA
USD
35707.49000000
0.004478043105
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
4.00000000
N
N
N
N
N
N
Kinder Morgan Energy Partners LP
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
28370TAF6
814000.00000000
PA
USD
676417.61000000
0.084828903265
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
4.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140J7R64
108762.21420000
PA
USD
106730.94000000
0.013385027904
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-8303000.00000000
PA
USD
-61925.36000000
-0.00776600179
N/A
DIR
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
Put
Written
N/A
Swaption
1.00000000
4.43000000
USD
2023-08-31
XXXX
-41167.86000000
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 1A1
07401YAA3
30967.71000000
PA
USD
28002.30000000
0.003511742395
Long
ABS-MBS
CORP
US
N
2
2047-09-25
Floating
5.55042960
N
N
N
N
N
N
N/A
N/A
IRS
N/A
63449.00000000
PA
-79.14000000
-0.00000992487
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-05-30
0.00000000
USD
29.71000000
USD
63449.00000000
CAD
-79.14000000
N
N
N
PRPM LLC
N/A
PRPM LLC, Series 2023-1, Class A1
69379TAA2
365584.79000000
PA
USD
363267.75000000
0.045557070615
Long
ABS-MBS
CORP
US
N
2
2028-02-25
Variable
6.87800160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CZ98
126731.62460000
PA
USD
120739.25000000
0.015141797030
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QLN36
1075677.14330000
PA
USD
878783.75000000
0.110207452642
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
261.84000000
0.000032837110
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
40389.32000000
USD
61000.00000000
AUD
2023-07-18
261.84000000
N
N
N
BCPE North Star US Holdco 2, Inc.
254900AGB0JDUDNIJC95
BCPE North Star US Holdco 2, Inc., 1st Lien Term Loan
05552DAD4
189594.53000000
PA
USD
173478.99000000
0.021755838765
Long
LON
CORP
US
N
2
2028-06-09
Variable
9.50348000
N
N
N
N
N
N
Republic of the Philippines
529900RAHBALMYIJ3T08
Republic of Philippines
718286CP0
629000.00000000
PA
USD
463711.38000000
0.058153612821
Long
DBT
NUSS
PH
N
2
2046-07-06
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36213FZ22
17897.77000000
PA
USD
16882.20000000
0.002117180998
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
3.50000000
N
N
N
N
N
N
2023-06-30
BlackRock Variable Series Funds II, Inc.
Chuck Pulsfort
Chuck Pulsfort
Assistant Treasurer