0001752724-23-191229.txt : 20230825 0001752724-23-191229.hdr.sgml : 20230825 20230825143815 ACCESSION NUMBER: 0001752724-23-191229 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: Master Investment Portfolio II CENTRAL INDEX KEY: 0001738077 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23343 FILM NUMBER: 231207057 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 0001738077 S000062381 Advantage CoreAlpha Bond Master Portfolio C000202350 Advantage CoreAlpha Bond Master Portfolio NPORT-P 1 primary_doc.xml NPORT-P false 0001738077 XXXXXXXX S000062381 C000202350 Master Investment Portfolio II 811-23343 0001738077 549300RCV7V0VQXTCW11 100 Bellevue Parkway Wilmington 19809 800-441-7762 Advantage CoreAlpha Bond Master Portfolio S000062381 0I7UWC3FB187VDB5KB30 2023-12-31 2023-06-30 N 1106579704.35 168557456.27 938022248.08 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1240000.00000000 0.00000000 0.00000000 24528045.76000000 USD N Bloomberg U.S. Aggregate Bond Index LBUSTRUU Freddie Mac 254900HROIFWPRGM1V77 3128M6UT3 46940.23000000 PA USD 48207.16000000 0.005139234181 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D6NX4 1007423.18000000 PA USD 898343.93000000 0.095770002453 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 2.00000000 N N N N N N AMERISOURCEBERGEN CORP AI8GXW8LG5WK7E9UD086 03073EAT2 117000.00000000 PA USD 99488.49000000 0.010606197262 Long DBT CORP US N 2 2031-03-15 Fixed 2.70000000 N N N N N N AMERICAN WATER CAPITAL C 5IDHQUFVC8Q2KIBBFF06 03040WAW5 270000.00000000 PA USD 236004.14000000 0.025159759321 Long DBT CORP US N 2 2030-05-01 Fixed 2.80000000 N N N N N Freddie Mac N/A 3132XXHD4 122918.88000000 PA USD 113571.08000000 0.012107503871 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132KESL0 369069.79000000 PA USD 352086.50000000 0.037534983921 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 3.00000000 N N N N N N ANALOG DEVICES INC GYVOE5EZ4GDAVTU4CQ61 032654AW5 240000.00000000 PA USD 178231.36000000 0.019000760415 Long DBT CORP US N 2 2041-10-01 Fixed 2.80000000 N N N N N N Fannie Mae - CAS N/A 20754BAA9 3861775.53000000 PA USD 3841704.72000000 0.409553688930 Long ABS-MBS USGSE US N 2 2042-01-25 Floating 6.27000000 N N N N N N Conseco Financial Corp 11XPYHB76MPM4Y4P2897 393505QZ8 6698.94000000 PA USD 6670.74000000 0.000711149443 Long ABS-O CORP US N 2 2027-08-15 Variable 7.63000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162VAE8 2390000.00000000 PA USD 2160617.84000000 0.230337590011 Long ABS-MBS CORP US N 2 2062-03-15 Fixed 3.72000000 N N N N N N EVERGY INC 549300PGTHDQY6PSUI61 30034WAB2 50000.00000000 PA USD 43629.45000000 0.004651216971 Long DBT CORP US N 2 2029-09-15 Fixed 2.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D6BM1 902381.31000000 PA USD 778524.09000000 0.082996335278 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 1.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 613700000.00000000 OU Notional Amount -8824.28000000 -0.00094073248 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 6874.00000000 KRW 0.00000000 KRW 613700000.00000000 KRW -8829.54000000 N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0PU7 623667.07000000 PA USD 637699.58000000 0.067983417376 Long ABS-MBS USGSE US N 2 2029-12-25 Floating 7.80000000 N N N N N N ENTERGY CORP 4XM3TW50JULSLG8BNC79 29364GAM5 285000.00000000 PA USD 255958.95000000 0.027287087329 Long DBT CORP US N 2 2025-09-15 Fixed 0.90000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SE9 11000000.00000000 PA USD 9940820.34000000 1.059763812675 Long DBT UST US N 2 2048-11-15 Fixed 3.38000000 N N N N N N DT Auto Owner Trust N/A 23346KAE0 5090000.00000000 PA USD 4992578.42000000 0.532245203162 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.55000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCB0 816000.00000000 PA USD 732941.92000000 0.078136944139 Long DBT CORP US N 2 2027-04-22 Fixed 1.58000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EVJC2 436815.96000000 PA USD 406260.88000000 0.043310367193 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31335AYT9 49072.48000000 PA USD 43982.74000000 0.004688880257 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N META PLATFORMS INC BQ4BKCS1HXDV9HN80Z93 30303M8H8 205000.00000000 PA USD 190413.13000000 0.020299425774 Long DBT CORP US N 2 2032-08-15 Fixed 3.85000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128MJJJ0 5875.50000000 PA USD 6081.46000000 0.000648327906 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 6.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 422680000.00000000 OU Notional Amount -6003.77000000 -0.00064004558 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 4697.00000000 KRW 0.00000000 KRW 422680000.00000000 KRW -6007.35000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133L8CY9 403536.24000000 PA USD 357825.70000000 0.038146824420 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 2.00000000 N N N N N N Ford Credit Auto Owner Trust/Ford Credit N/A 34532RAA4 2870000.00000000 PA USD 2757778.70000000 0.293999284733 Long ABS-O CORP US N 2 2031-07-15 Fixed 3.19000000 N N N N N N Freddie Mac N/A 31335BN44 487262.55000000 PA USD 450205.91000000 0.047995227290 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128Q0DK0 9056.17000000 PA USD 8717.85000000 0.000929386271 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 3.00000000 N N N N N N PROLOGIS LP GL16H1DHB0QSHP25F723 74340XCF6 145000.00000000 PA USD 142481.19000000 0.015189532049 Long DBT US N 2 2053-06-15 Fixed 5.25000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBK8 215000.00000000 PA USD 158078.63000000 0.016852332695 Long DBT CORP US N 2 2050-05-06 Fixed 4.45000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UXV9 85647.69000000 PA USD 83125.51000000 0.008861784480 Long ABS-MBS USGA US N 2 2049-08-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410LAR3 26609.69000000 PA USD 26265.91000000 0.002800137209 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31288JBX3 79244.91000000 PA USD 79087.31000000 0.008431282963 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q7NZ6 81981.13000000 PA USD 75661.55000000 0.008066072010 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBZF8 64866.51000000 PA USD 57896.51000000 0.006172189424 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179R4D8 421964.76000000 PA USD 384498.32000000 0.040990319876 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 3.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31296XUG8 1563.26000000 PA USD 1559.32000000 0.000166234863 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9950000.00000000 OU Notional Amount 12016.87000000 0.001281085819 N/A DIR NO N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NOK -44249.93000000 NOK 9950000.00000000 NOK 16030.32000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCUG1 1637569.34000000 PA USD 1446261.61000000 0.154182015720 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 22640000.00000000 OU Notional Amount 15094.19000000 0.001609150532 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -91717.82000000 EUR 22640000.00000000 EUR 114080.69000000 N N N PUBLIC STORAGE 549300LMZF40TKJ6DM64 74460DAH2 1775000.00000000 PA USD 1521837.87000000 0.162238995196 Long DBT US N 2 2028-11-09 Fixed 1.95000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H052678 1550000.00000000 PA USD 1542734.38000000 0.164466715278 Long ABS-MBS USGA US N 2 2053-07-20 Fixed 5.50000000 N N N N N N Drive Auto Receivables Trust N/A 262108AE3 3391406.00000000 PA USD 3343683.15000000 0.356460964208 Long ABS-O CORP US N 2 2027-06-15 Fixed 1.02000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CG2 745000.00000000 PA USD 612201.34000000 0.065265119377 Long DBT CORP US N 2 2052-03-15 Fixed 4.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RDG1 2243.93000000 PA USD 2301.96000000 0.000245405693 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N UNIVERSITY OF CHICAGO 54930099Y7GU6182V326 91412NBD1 148000.00000000 PA USD 110581.26000000 0.011788767294 Long DBT CORP US N 2 2045-04-01 Fixed 2.76000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M7T48 50799.11000000 PA USD 52231.25000000 0.005568231468 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.50000000 N N N N N N ONE GAS INC 549300HXDWI0LATTX840 68235PAM0 290000.00000000 PA USD 274063.11000000 0.029217122574 Long DBT CORP US N 2 2032-09-01 Fixed 4.25000000 N N N N N Freddie Mac N/A 31335BQS8 56491.08000000 PA USD 55501.47000000 0.005916860726 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335CC36 37923.45000000 PA USD 36229.72000000 0.003862351887 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385XQE0 2680.33000000 PA USD 2618.70000000 0.000279172482 Long ABS-MBS USGSE US N 2 2033-05-01 Floating 4.16000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VEA8 610000.00000000 PA USD 575628.53000000 0.061366191599 Long DBT CORP US N 2 2033-08-10 Fixed 4.50000000 N N N N N N PUGET SOUND ENERGY INC 8MNFJR7KOMBQ7X62LK44 745332CL8 100000.00000000 PA USD 100613.60000000 0.010726142179 Long DBT CORP US N 2 2053-06-01 Fixed 5.45000000 N N N N N N Freddie Mac N/A 3132WEWJ7 29784.89000000 PA USD 26843.35000000 0.002861696516 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.00000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAY6 190000.00000000 PA USD 136175.18000000 0.014517265478 Long DBT US N 2 2049-10-15 Fixed 3.70000000 N N N N N N Freddie Mac N/A 3132L9V69 256522.66000000 PA USD 237011.17000000 0.025267116050 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.50000000 N N N N N N BARINGS BDC INC 549300GSF4KFZP6ONG49 06759LAC7 285000.00000000 PA USD 248274.77000000 0.026467897803 Long DBT CORP US N 2 2026-11-23 Fixed 3.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M7CK9 10824.51000000 PA USD 10324.61000000 0.001100678584 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 3.50000000 N N N N N N GS Mortgage Securities Trust 549300L45M7638EL0H21 36250GAU9 300000.00000000 PA USD 269267.28000000 0.028705852185 Long ABS-MBS CORP US N 2 2050-05-10 Variable 4.16000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBL1 200000.00000000 PA USD 194118.86000000 0.020694483568 Long DBT CORP US N 2 2032-05-09 Fixed 4.75000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 34350000.00000000 OU Notional Amount 1097.56000000 0.000117007885 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 382.27000000 THB 0.00000000 THB 34350000.00000000 THB 1086.55000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418VWV0 2348.91000000 PA USD 2365.71000000 0.000252201907 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECC2 1805209.46000000 PA USD 1557433.68000000 0.166033767662 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 1.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8070000.00000000 OU Notional Amount 8384.47000000 0.000893845536 N/A DIR ZA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 89.98000000 ZAR 0.00000000 ZAR 8070000.00000000 ZAR 8379.80000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGJ40 240968.70000000 PA USD 214864.57000000 0.022906127273 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ3K4 251540.40000000 PA USD 240094.60000000 0.025595832134 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KVZM5 265544.51000000 PA USD 217999.90000000 0.023240376275 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 025537AK7 1115000.00000000 PA USD 1084347.77000000 0.115599365816 Long DBT CORP US N 2 2024-03-15 Fixed 2.03000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797GR2 11200000.00000000 PA USD 11097905.73000000 1.183117538279 Long DBT UST US N 2 2023-09-05 None 0.00000000 N N N N N N ELI LILLY & CO FRDRIPF3EKNDJ2CQJL29 532457BH0 378000.00000000 PA USD 362355.39000000 0.038629722348 Long DBT CORP US N 2 2025-06-01 Fixed 2.75000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FPCG2 172847.71000000 PA USD 159524.88000000 0.017006513473 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ASAG4 83426.44000000 PA USD 80745.28000000 0.008608034635 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LVU50 49299.28000000 PA USD 47325.17000000 0.005045207626 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3132XCR49 520015.59000000 PA USD 485142.61000000 0.051719733832 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128MJMT4 69905.21000000 PA USD 70487.90000000 0.007514523258 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 5.00000000 N N N N N N NUCOR CORP 549300GGJCRSI2TIEJ46 670346AV7 195000.00000000 PA USD 168686.33000000 0.017983190734 Long DBT CORP US N 2 2032-04-01 Fixed 3.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407X4T5 48090.97000000 PA USD 48358.71000000 0.005155390514 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EVPN1 28877.62000000 PA USD 27185.74000000 0.002898197783 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 3.00000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAH5 275000.00000000 PA USD 260637.49000000 0.027785853750 Long DBT CORP US N 2 2025-07-01 Fixed 3.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WNE4 552204.45000000 PA USD 478659.55000000 0.051028592443 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCB3 410000.00000000 PA USD 353883.03000000 0.037726507097 Long DBT CORP US N 2 2049-11-21 Fixed 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36295QGR5 741.96000000 PA USD 756.43000000 0.000080640944 Long ABS-MBS USGA US N 2 2038-07-15 Fixed 6.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1170000.00000000 OU Notional Amount 8253.97000000 0.000879933286 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -13.05000000 EUR 1170000.00000000 EUR 8268.04000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKLQ0 1061994.35000000 PA USD 906799.33000000 0.096671409644 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Zoetis Inc 549300HD9Q1LOC9KLJ48 98978VAN3 5000.00000000 PA USD 4797.29000000 0.000511426035 Long DBT CORP US N 2 2028-08-20 Fixed 3.90000000 N N N N N N Westlake Automobile Receivables Trust N/A 96042XAF2 2300000.00000000 PA USD 2269658.40000000 0.241962107470 Long ABS-O CORP US N 2 2028-08-15 Fixed 5.74000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8CA9 72296.69000000 PA USD 65269.70000000 0.006958225152 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 3.00000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAN5 400000.00000000 PA USD 347284.47000000 0.037023052567 Long DBT CORP ES N 2 2027-09-14 Fixed 1.72000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 102770000.00000000 OU Notional Amount USD -817888.53000000 -0.08719287113 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 USD -468143.86000000 USD 102770000.00000000 USD -349744.67000000 N N N AT&T INC 549300Z40J86GGSTL398 00206RMN9 1323000.00000000 PA USD 957848.71000000 0.102113645167 Long DBT CORP US N 2 2057-12-01 Fixed 3.80000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132M7JN9 186105.78000000 PA USD 178617.20000000 0.019041893768 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4.00000000 N N N N N N UMBS, TBA N/A 01F030470 123357.00000000 PA USD 115068.95000000 0.012267187717 Long ABS-MBS USGSE US N 2 2038-07-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9XX6 87760.03000000 PA USD 85931.44000000 0.009160917043 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N ING Groep NV 549300NYKK9MWM7GGW15 456837AK9 2290000.00000000 PA USD 2279452.05000000 0.243006181853 Long DBT CORP NL N 2 2023-10-02 Fixed 4.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416XKD1 206865.03000000 PA USD 198897.84000000 0.021203957625 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.00000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAH9 600000.00000000 PA USD 588132.05000000 0.062699157850 Long DBT CORP US N 2 2025-03-01 Fixed 3.22000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CQ0 2050000.00000000 PA USD 2046518.03000000 0.218173719673 Long DBT CORP US N 2 2033-06-01 Fixed 5.50000000 N N N N N N WF-RBS Commercial Mortgage Trust 549300O5GNH0TNJ6B119 96221QAE3 620000.00000000 PA USD 610834.29000000 0.065119381896 Long ABS-MBS CORP US N 2 2046-12-15 Variable 4.16000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8D77 193944.99000000 PA USD 190354.17000000 0.020293140209 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.50000000 N N N N N N FORD FOUNDATION/THE 54930013YZ3DULPNNT44 34531XAC8 30000.00000000 PA USD 18550.03000000 0.001977568233 Long DBT CORP US N 2 2070-06-01 Fixed 2.82000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418RGE5 146214.13000000 PA USD 146863.86000000 0.015656756574 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178DVB4 13335.04000000 PA USD 12546.05000000 0.001337500259 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128KRWU4 23635.91000000 PA USD 24137.45000000 0.002573227879 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 5.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8750000.00000000 OU Notional Amount 6232.36000000 0.000664414944 N/A DIR ZA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 97.56000000 ZAR 0.00000000 ZAR 8750000.00000000 ZAR 6227.28000000 N N N JABIL INC 5493000CGCQY2OQU7669 466313AL7 1055000.00000000 PA USD 943946.85000000 0.100631605692 Long DBT CORP US N 2 2026-04-15 Fixed 1.70000000 N N N N N N COMM Mortgage Trust 549300BCCWSDWINK2593 12626LBP6 380000.00000000 PA USD 377144.87000000 0.040206388576 Long ABS-MBS CORP US N 2 2050-08-10 Variable 5.29000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAL4 70000.00000000 PA USD 61392.64000000 0.006544902333 Long DBT CORP US N 2 2047-03-01 Fixed 5.20000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2V4 35000.00000000 PA USD 32667.23000000 0.003482564519 Long DBT CORP US N 2 2028-03-24 Fixed 3.53000000 N N N N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAM1 135000.00000000 PA USD 120887.19000000 0.012887454455 Long DBT CORP US N 2 2042-11-06 Fixed 4.40000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797FB8 13220000.00000000 PA USD 13013718.43000000 1.387357118302 Long DBT UST US N 2 2023-10-19 None 0.00000000 N N N N N N Berkshire Hathaway Inc 5493000C01ZX7D35SD85 084670BS6 355000.00000000 PA USD 341961.07000000 0.036455539375 Long DBT CORP US N 2 2026-03-15 Fixed 3.13000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6970000.00000000 OU Notional Amount 17198.36000000 0.001833470371 N/A DIR NO N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NOK -77.72000000 NOK 6970000.00000000 NOK 17205.30000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8VZ5 33857.55000000 PA USD 31738.92000000 0.003383599916 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4QW9 679389.40000000 PA USD 613314.22000000 0.065383760487 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N MASCO CORP 5GCSNMQXHEYA1JO8QN11 574599BP0 160000.00000000 PA USD 126314.46000000 0.013466040945 Long DBT CORP US N 2 2030-10-01 Fixed 2.00000000 N N N N N Freddie Mac N/A 31335BYT7 73349.47000000 PA USD 65733.77000000 0.007007698392 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.00000000 N N N N N N UNITI GROUP/CSL CAPITAL N/A 91327BAA8 200000.00000000 PA USD 141535.68000000 0.015088733800 Long DBT US N 2 2029-02-15 Fixed 6.50000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKWK1 908065.42000000 PA USD 746782.30000000 0.079612429399 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JPN35 48023.57000000 PA USD 44750.74000000 0.004770754648 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBAD2 1803286.03000000 PA USD 1481157.71000000 0.157902194007 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Visa Inc 549300JZ4OKEHW3DPJ59 92826CAJ1 385000.00000000 PA USD 325805.88000000 0.034733278519 Long DBT CORP US N 2 2047-09-15 Fixed 3.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VFP0 306669.23000000 PA USD 276614.16000000 0.029489083075 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402CU67 41723.01000000 PA USD 42019.49000000 0.004479583515 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371LR84 25316.76000000 PA USD 26286.20000000 0.002802300271 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 6.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFE0 900000.00000000 PA USD 888703.37000000 0.094742248578 Long DBT CORP US N 2 2034-04-21 Fixed 5.25000000 N N N N N N United Mexican States 254900EGTWEU67VP6075 91087BAC4 1145000.00000000 PA USD 1121206.90000000 0.119528817391 Long DBT NUSS MX N 2 2027-03-28 Fixed 4.15000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8LN1 3385167.53000000 PA USD 3148365.96000000 0.335638729938 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132QWP29 37609.60000000 PA USD 35944.46000000 0.003831941094 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4.00000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRUST N/A 92939HBA2 1140000.00000000 PA USD 1089247.88000000 0.116121753213 Long ABS-MBS CORP US N 2 2057-10-15 Variable 4.21000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132XUJV8 11270.10000000 PA USD 10788.88000000 0.001150173145 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GKN5 27454.02000000 PA USD 25674.61000000 0.002737100324 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.00000000 N N N N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CQ7 200000.00000000 PA USD 165414.58000000 0.017634398367 Long DBT CORP US N 2 2031-02-01 Fixed 5.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLC1 735000.00000000 PA USD 755469.00000000 0.080538494854 Long DBT CORP US N 2 2028-11-10 Fixed 6.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WK3C7 157127.07000000 PA USD 145740.16000000 0.015536961974 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 3.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 295.74000000 0.000031528036 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 520000.00000000 NOK 48871.40000000 USD 2023-09-20 295.74000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8770000.00000000 OU Notional Amount USD -46770.73000000 -0.00498610028 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on USD - US CPI Urban Consumers NSA (CPURNSA) 2033-06-02 182.42000000 USD 0.00000000 USD 8770000.00000000 USD -46953.15000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1290000.00000000 OU Notional Amount USD -6879.90000000 -0.00073344742 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on USD - US CPI Urban Consumers NSA (CPURNSA) 2033-05-18 26.83000000 USD 0.00000000 USD 1290000.00000000 USD -6906.73000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4330000.00000000 OU Notional Amount 4638.53000000 0.000494501064 N/A DIR SE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 SEK -48.28000000 SEK 4330000.00000000 SEK 4643.10000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390QJD8 19967.91000000 PA USD 20319.74000000 0.002166232202 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJNJ3 482544.72000000 PA USD 449665.32000000 0.047937596461 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MEY6 380000.00000000 PA USD 367312.83000000 0.039158221540 Long DBT CORP US N 2 2026-01-30 Fixed 3.70000000 N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAV3 487000.00000000 PA USD 459306.66000000 0.048965433489 Long DBT CORP US N 2 2033-02-01 Fixed 4.80000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YWB9 65328.60000000 PA USD 63751.12000000 0.006796333469 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 4.00000000 N N N N N N CAESARS ENTERTAIN INC 549300FA4CTCW903Y781 28470RAK8 200000.00000000 PA USD 204693.80000000 0.021821849153 Long DBT CORP US N 2 2027-07-01 Fixed 8.13000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296Q2T5 107830.55000000 PA USD 106414.23000000 0.011344531562 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 4.50000000 N N N N N N ENTERGY TEXAS INC LWXX58X12AJXISQ28573 29365TAJ3 220000.00000000 PA USD 162887.61000000 0.017365004970 Long DBT CORP US N 2 2049-09-30 Fixed 3.55000000 N N N N N N Unilever Capital Corp MYF1DAS6G5WY7PRWCU78 904764AU1 800000.00000000 PA USD 738236.27000000 0.078701360390 Long DBT CORP US N 2 2026-07-28 Fixed 2.00000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AHPM2 21647.57000000 PA USD 21503.78000000 0.002292459485 Long ABS-MBS USGSE US N 2 2041-08-01 Floating 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412RNG8 10515.01000000 PA USD 9844.64000000 0.001049510288 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406YFF2 1457.28000000 PA USD 1450.43000000 0.000154626396 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.50000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172DB2 290000.00000000 PA USD 289361.06000000 0.030847995406 Long DBT CORP US N 2 2033-02-15 Fixed 5.38000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132WH6K6 5534.02000000 PA USD 5113.17000000 0.000545101143 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.50000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCA1 300000.00000000 PA USD 226836.65000000 0.024182438152 Long DBT CORP US N 2 2051-03-25 Fixed 3.95000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230UCL1 27223.25000000 PA USD 26358.56000000 0.002810014373 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 4.00000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46644YAU4 1085161.87000000 PA USD 1022085.32000000 0.108961735405 Long ABS-MBS CORP US N 2 2048-08-15 Fixed 3.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CWU4 16448.64000000 PA USD 16010.28000000 0.001706812395 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179QWE7 45531.90000000 PA USD 42707.12000000 0.004552889879 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 3.50000000 N N N N N N ENSTAR GROUP LTD 213800AMAL5QFXVUCN04 29359UAC3 805000.00000000 PA USD 631249.77000000 0.067295820679 Long DBT CORP BM N 2 2031-09-01 Fixed 3.10000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5640000.00000000 OU Notional Amount 83.74000000 0.000008927293 N/A DIR NO N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NOK -14875.51000000 NOK 5640000.00000000 NOK 1463.90000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WLBG7 73013.71000000 PA USD 68038.50000000 0.007253399387 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKQY4 90967.36000000 PA USD 89267.98000000 0.009516616496 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31296UFG1 5401.35000000 PA USD 5385.33000000 0.000574115380 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.50000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFT6 350000.00000000 PA USD 348579.72000000 0.037161135646 Long DBT CORP US N 2 2052-09-09 Fixed 5.15000000 N N N N N N VISTAJET MALTA/VM HOLDS N/A 92841HAA0 194000.00000000 PA USD 178121.10000000 0.018989005896 Long DBT CORP XX N 2 2028-06-01 Fixed 9.50000000 N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBH8 2120000.00000000 PA USD 1991126.03000000 0.212268529246 Long DBT CORP US N 2 2026-03-13 Fixed 2.01000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36225A3W8 4714.08000000 PA USD 4806.04000000 0.000512358849 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LYAC1 8597.05000000 PA USD 8231.80000000 0.000877569803 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3.50000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BL5 371000.00000000 PA USD 363356.99000000 0.038736500199 Long DBT CORP PA N 2 2026-03-01 Fixed 7.63000000 N N N N N Verisk Analytics Inc 549300I1YSWNIRKBWP67 92345YAD8 1400000.00000000 PA USD 1358637.59000000 0.144840657327 Long DBT CORP US N 2 2025-06-15 Fixed 4.00000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179CJA1 326275.83000000 PA USD 303161.69000000 0.032319243026 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 3.50000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XYV0 2150000.00000000 PA USD 2158062.50000000 0.230065172165 Long ABS-MBS USGSE US N 2 2030-07-25 Floating 7.40000000 N N N N N N Citigroup Mortgage Loan Trust Inc 549300R1KUK063S4I339 17320XAA2 4583.18000000 PA USD 4352.02000000 0.000463957012 Long ABS-MBS CORP US N 2 2042-05-25 Variable 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 767050000.00000000 OU Notional Amount -12034.73000000 -0.00128298982 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 7960.00000000 KRW 0.00000000 KRW 767050000.00000000 KRW -12040.74000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5420000.00000000 OU Notional Amount -583.58000000 -0.00006221387 N/A DIR GB N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-09-21 0.00000000 GBP -26442.24000000 GBP 5420000.00000000 GBP 32882.79000000 N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAA9 85000.00000000 PA USD 86328.95000000 0.009203294503 Long DBT CORP US N 2 2028-06-01 Fixed 8.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9DC4 109691.78000000 PA USD 107679.50000000 0.011479418555 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.50000000 N N N N N N Dominion Energy Inc ILUL7B6Z54MRYCF6H308 25746UCE7 500000.00000000 PA USD 481646.87000000 0.051347062501 Long DBT CORP US N 2 2025-10-01 Fixed 3.90000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128E6JK4 13209.04000000 PA USD 12549.47000000 0.001337864856 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 3.50000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAH4 375000.00000000 PA USD 345476.53000000 0.036830313002 Long DBT CORP US N 2 2045-06-01 Fixed 5.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCG28 1181170.10000000 PA USD 1042722.45000000 0.111161803692 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHHM2 892221.78000000 PA USD 790959.28000000 0.084322017054 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31376JSZ3 1618.34000000 PA USD 1608.79000000 0.000171508725 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 7.50000000 N N N N N N Freddie Mac N/A 3128JQAP3 19306.04000000 PA USD 18887.34000000 0.002013527934 Long ABS-MBS USGSE US N 2 2040-02-01 Floating 4.19000000 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDR7 140000.00000000 PA USD 140479.20000000 0.014976105341 Long DBT CORP US N 2 2032-11-15 Fixed 5.38000000 N N N N N UMBS, TBA N/A 01F012478 1609625.00000000 PA USD 1388553.07000000 0.148029865266 Long ABS-MBS USGSE US N 2 2038-07-15 Fixed 1.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FHY5 79469.83000000 PA USD 80748.69000000 0.008608398165 Long ABS-MBS USGA US N 2 2040-07-20 Fixed 5.00000000 N N N N N N DTE ELECTRIC CO 9N0FWODEJVKHC2DYLO03 23338VAR7 217000.00000000 PA USD 169006.06000000 0.018017276279 Long DBT CORP US N 2 2052-03-01 Fixed 3.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHT44 31135.68000000 PA USD 30568.95000000 0.003258872597 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 4.50000000 N N N N N N CANADIAN NATL RAILWAY 3SU7BEP7TH9YEQOZCS77 136375DB5 240000.00000000 PA USD 219936.85000000 0.023446869245 Long DBT CORP CA N 2 2052-08-05 Fixed 4.40000000 N N N N N N DEERE & COMPANY PWFTNG3EI0Y73OXWDH08 244199BH7 215000.00000000 PA USD 206388.52000000 0.022002518642 Long DBT CORP US N 2 2025-04-15 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408H5Q4 5315.13000000 PA USD 5427.29000000 0.000578588622 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6.50000000 N N N N N N United Mexican States 254900EGTWEU67VP6075 91086QAV0 100000.00000000 PA USD 101450.00000000 0.010815308507 Long DBT NUSS MX N 2 2040-01-11 Fixed 6.05000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TG41 23015.62000000 PA USD 21498.35000000 0.002291880607 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 3.50000000 N N N N N N XCEL ENERGY INC LGJNMI9GH8XIDG5RCM61 98389BAX8 50000.00000000 PA USD 36247.88000000 0.003864287875 Long DBT CORP US N 2 2049-12-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TCY9 499349.25000000 PA USD 479328.60000000 0.051099918043 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31334YPK7 1029836.28000000 PA USD 929605.63000000 0.099102727243 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620C0Y44 127073.73000000 PA USD 127036.29000000 0.013542993277 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 5.00000000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAW4 805000.00000000 PA USD 814104.62000000 0.086789478785 Long DBT CORP US N 2 2028-03-09 Fixed 4.88000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389DHV2 9225.99000000 PA USD 9420.67000000 0.001004311999 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWM68 1633244.97000000 PA USD 1513595.06000000 0.161360251646 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 2.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 475000.00000000 PA USD 364346.40000000 0.038841978508 Long DBT CORP US N 2 2035-11-15 Fixed 3.14000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9Q53 120795.92000000 PA USD 115657.18000000 0.012329897317 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 4.00000000 N N N N N N HERSHEY COMPANY 21X2CX66SU2BR6QTAD08 427866BJ6 550000.00000000 PA USD 546181.15000000 0.058226886528 Long DBT CORP US N 2 2033-05-04 Fixed 4.50000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36197EFP6 169114.30000000 PA USD 158164.91000000 0.016861530771 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 3.50000000 N N N N N N Upstart Securitization Trust N/A 91679JAA5 565172.14000000 PA USD 552569.71000000 0.058907953529 Long ABS-O CORP US N 2 2031-11-20 Fixed 1.31000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D6C1 1856047.96000000 PA USD 1576689.11000000 0.168086536670 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128MJMS6 31497.58000000 PA USD 31140.26000000 0.003319778402 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202EW54 15547.23000000 PA USD 16269.59000000 0.001734456728 Long ABS-MBS USGA US N 2 2038-10-20 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q7RP4 251353.69000000 PA USD 239722.57000000 0.025556171027 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407KQK8 16068.18000000 PA USD 16345.20000000 0.001742517305 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A5HX6 347959.10000000 PA USD 310847.35000000 0.033138590330 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UZS4 110407.97000000 PA USD 99617.36000000 0.010619935742 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RF95 173447.20000000 PA USD 162446.79000000 0.017318010349 Long ABS-MBS USGA US N 2 2045-06-20 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7520000.00000000 OU Notional Amount 983.61000000 0.000104859986 N/A DIR CZ N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 83.85000000 CZK 0.00000000 CZK 7520000.00000000 CZK 979.80000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJZM5 221289.95000000 PA USD 198211.01000000 0.021130736547 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.00000000 N N N N N N KIMBERLY-CLARK CORP MP3J6QPYPGN75NVW2S34 494368CA9 160000.00000000 PA USD 115288.75000000 0.012290619997 Long DBT CORP US N 2 2050-02-07 Fixed 2.88000000 N N N N N Freddie Mac 254900HROIFWPRGM1V77 31335ANR5 20902.01000000 PA USD 20535.56000000 0.002189240185 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413UKP3 12400.61000000 PA USD 12839.82000000 0.001368818279 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KYG65 183789.94000000 PA USD 163886.91000000 0.017471537624 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 2.00000000 N N N N N N ATMOS ENERGY CORP QVLWEGTD2S8GJMO8D383 049560AY1 105000.00000000 PA USD 111129.96000000 0.011847262709 Long DBT CORP US N 2 2052-10-15 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9JK0 141986.56000000 PA USD 141402.35000000 0.015074519851 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XQDL2 58768.75000000 PA USD 56470.60000000 0.006020177039 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQXU5 390174.74000000 PA USD 382726.22000000 0.040801401116 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.00000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CC6 325000.00000000 PA USD 224817.29000000 0.023967159676 Long DBT CORP US N 2 2050-06-01 Fixed 2.53000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TV77 233320.53000000 PA USD 228457.76000000 0.024355260279 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGGD5 4587952.28000000 PA USD 3763028.96000000 0.401166280192 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JBD9 500000.00000000 PA USD 373996.10000000 0.039870706773 Long DBT CORP US N 2 2042-09-15 Fixed 4.50000000 N N N N N N DIAGEO CAPITAL PLC 213800L23DJLALFC4O95 25243YBE8 380000.00000000 PA USD 308742.05000000 0.032914150024 Long DBT CORP GB N 2 2032-04-29 Fixed 2.13000000 N N N N N N Freddie Mac N/A 31292G2S4 2602.32000000 PA USD 2662.92000000 0.000283886656 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 6.50000000 N N N N N N Freddie Mac N/A 31335BLL8 29394.44000000 PA USD 27501.98000000 0.002931911269 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797FC6 47500000.00000000 PA USD 46710972.28000000 4.979729678652 Long DBT UST US N 2 2023-10-26 None 0.00000000 N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 000000000 1.00000000 NC 774.76000000 0.000082595055 N/A DFE US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2480000.00000000 HKD 317815.85000000 USD 2023-09-20 774.76000000 N N N CHS/COMMUNITY HEALTH SYS 5493007X5NC5XI1BB106 12543DBJ8 100000.00000000 PA USD 62452.00000000 0.006657837820 Long DBT CORP US N 2 2029-04-15 Fixed 6.88000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A5F59 322191.72000000 PA USD 287602.27000000 0.030660495589 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QEXP2 987061.65000000 PA USD 811917.64000000 0.086556330797 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11040000.00000000 OU Notional Amount 18036.34000000 0.001922805139 N/A DIR ZA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 123.10000000 ZAR 0.00000000 ZAR 11040000.00000000 ZAR 18030.09000000 N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833EA4 95000.00000000 PA USD 62686.10000000 0.006682794584 Long DBT CORP US N 2 2060-08-20 Fixed 2.55000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5MC4 79283.85000000 PA USD 77380.00000000 0.008249271289 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138E9N55 854382.56000000 PA USD 799046.57000000 0.085184181040 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 3.00000000 N N N N N N CQP HOLDCO LP/BIP-V CHIN N/A 12657NAA8 400000.00000000 PA USD 356765.04000000 0.038033750343 Long DBT CORP US N 2 2031-06-15 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MPGQ2 11155.75000000 PA USD 10709.98000000 0.001141761831 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 3.00000000 N N N N N N Exeter Automobile Receivables Trust N/A 30168BAF7 1020000.00000000 PA USD 1016033.12000000 0.108316526828 Long ABS-O CORP US N 2 2029-06-15 Fixed 6.69000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132WFEV7 2162.48000000 PA USD 2121.28000000 0.000226143889 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBJ9 1110000.00000000 PA USD 830309.53000000 0.088517040155 Long DBT CORP US N 2 2041-02-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W1VC8 32981.56000000 PA USD 30812.72000000 0.003284860253 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 840000.00000000 OU Notional Amount -10921.72000000 -0.00116433485 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 CAD -289.71000000 CAD 840000.00000000 CAD -10707.10000000 N N N Oklahoma Development Finance Authority 549300PXGPHUWC32DJ91 6789084G6 110000.00000000 PA USD 105144.10000000 0.011209126458 Long DBT MUN US N 2 2044-06-01 Fixed 4.62000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 312938Z48 34975.82000000 PA USD 34488.56000000 0.003676731556 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 4.50000000 N N N N N N COMM Mortgage Trust N/A 12595EAD7 1290000.00000000 PA USD 1173210.50000000 0.125072779712 Long ABS-MBS CORP US N 2 2050-09-10 Fixed 3.51000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JN8 270000.00000000 PA USD 212060.74000000 0.022607218585 Long DBT CORP US N 2 2050-07-01 Fixed 4.95000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CF9 365000.00000000 PA USD 266156.40000000 0.028374209731 Long DBT CORP US N 2 2062-03-17 Fixed 3.04000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 79050000.00000000 OU Notional Amount 188266.30000000 0.020070558068 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 93525.59000000 EUR 0.00000000 EUR 79050000.00000000 EUR 85973.90000000 N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KC4 565000.00000000 PA USD 480607.71000000 0.051236280480 Long DBT CORP US N 2 2049-05-15 Fixed 4.25000000 N N N N N N DIAGEO CAPITAL PLC 213800L23DJLALFC4O95 25243YBH1 1335000.00000000 PA USD 1411510.69000000 0.150477314678 Long DBT CORP GB N 2 2033-01-24 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EJ6P8 78971.82000000 PA USD 73938.31000000 0.007882362081 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416J7C9 20712.14000000 PA USD 20426.95000000 0.002177661568 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4.50000000 N N N N N N WISCONSIN ELECTRIC POWER AENKIFMULUAWOUU8Q584 976656CH9 800000.00000000 PA USD 761707.57000000 0.081203571829 Long DBT CORP US N 2 2025-06-01 Fixed 3.10000000 N N N N N ARTHUR J GALLAGHER & CO 54930049QLLMPART6V29 363576AB5 580000.00000000 PA USD 414816.21000000 0.044222427650 Long DBT CORP US N 2 2051-05-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HAFL9 62643.70000000 PA USD 61473.99000000 0.006553574835 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CDL5 34575.44000000 PA USD 31052.03000000 0.003310372441 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406BBF6 47336.75000000 PA USD 48473.14000000 0.005167589585 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YAY1 5085000.00000000 PA USD 4594873.07000000 0.489846917746 Long DBT CORP US N 2 2026-02-24 Fixed 0.75000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335APZ5 47841.89000000 PA USD 44555.12000000 0.004749900132 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.50000000 N N N N N N ATLANTIC CITY ELECTRIC 549300S5TW3VP5V06B73 048303CJ8 570000.00000000 PA USD 470594.40000000 0.050168788742 Long DBT CORP US N 2 2031-03-15 Fixed 2.30000000 N N N N N N DUKE ENERGY INDIANA LLC 6URPHM2EAWGJ2C6ISB97 26443TAD8 20000.00000000 PA USD 20157.56000000 0.002148942633 Long DBT CORP US N 2 2053-04-01 Fixed 5.40000000 N N N N N XEROX HOLDINGS CORP 5493000Y33XDVO2CXC18 98421MAB2 380000.00000000 PA USD 323314.64000000 0.034467694200 Long DBT CORP US N 2 2028-08-15 Fixed 5.50000000 N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132GFFX0 2604.85000000 PA USD 2575.31000000 0.000274546793 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ALVD3 20629.83000000 PA USD 19966.97000000 0.002128624352 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8X57 1726262.23000000 PA USD 1662558.99000000 0.177240890970 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 3.00000000 N N N N N N ANALOG DEVICES INC GYVOE5EZ4GDAVTU4CQ61 032654AS4 225000.00000000 PA USD 216226.23000000 0.023051290141 Long DBT CORP US N 2 2025-04-01 Fixed 2.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QVG3 9351.51000000 PA USD 9701.87000000 0.001034289966 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 6.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 96.00000000 NC USD -112660.32000000 -0.01201041022 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Ultra 10-Year U.S. Treasury Notes Futures UXYU3 Comdty 2023-09-20 11491660.32000000 USD -112660.32000000 N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CR1 245000.00000000 PA USD 240236.01000000 0.025610907469 Long DBT CORP US N 2 2025-09-15 Fixed 4.00000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRW33 294529.12000000 PA USD 289248.09000000 0.030835951982 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 234740000.00000000 OU Notional Amount -1980.39000000 -0.00021112399 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 2619.00000000 KRW 0.00000000 KRW 234740000.00000000 KRW -1982.40000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179T4Q5 148050.49000000 PA USD 144398.55000000 0.015393936582 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8340000.00000000 OU Notional Amount 10568.76000000 0.001126706751 N/A DIR ZA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 93.00000000 ZAR 0.00000000 ZAR 8340000.00000000 ZAR 10563.93000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BL71 13740.92000000 PA USD 14267.80000000 0.001521051342 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6.00000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAV7 220000.00000000 PA USD 196323.09000000 0.020929470532 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 265450000.00000000 OU Notional Amount -1738.42000000 -0.00018532822 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 2951.00000000 KRW 0.00000000 KRW 265450000.00000000 KRW -1740.65000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140E0E76 6931.88000000 PA USD 6792.00000000 0.000724076642 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 4.50000000 N N N N N N Equinor ASA OW6OFBNCKXC4US5C7523 85771PAX0 400000.00000000 PA USD 388413.78000000 0.041407736415 Long DBT CORP NO N 2 2024-11-10 Fixed 3.25000000 N N N N N N Freddie Mac N/A 31336SBZ0 1436.01000000 PA USD 1403.07000000 0.000149577475 Long ABS-MBS USGSE US N 2 2032-09-01 Floating 4.04000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1990020000.00000000 OU Notional Amount 1296.99000000 0.000138268575 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 22781.00000000 KRW 0.00000000 KRW 1990020000.00000000 KRW 1279.76000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RD63 178011.72000000 PA USD 162267.29000000 0.017298874342 Long ABS-MBS USGA US N 2 2045-05-20 Fixed 3.00000000 N N N N N N MCKESSON CORP 549300WZWOM80UCFSF54 581557BQ7 1465000.00000000 PA USD 1312843.52000000 0.139958676106 Long DBT CORP US N 2 2025-12-03 Fixed 0.90000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FRMZ5 139381.23000000 PA USD 123909.12000000 0.013209614191 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJ6R4 5449.81000000 PA USD 5348.00000000 0.000570135730 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.50000000 N N N N N N ROCKEFELLER FOUNDATION 549300JU3NX0IK5I9038 77310VAA2 72000.00000000 PA USD 46776.59000000 0.004986725005 Long DBT CORP US N 2 2050-10-01 Fixed 2.49000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4520000.00000000 OU Notional Amount -27980.19000000 -0.00298289193 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-09-21 0.00000000 CAD -25852.42000000 CAD 4520000.00000000 CAD -8466.72000000 N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHL6 1283000.00000000 PA USD 1281427.71000000 0.136609522068 Long DBT CORP US N 2 2024-07-23 Fixed 3.86000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416VS21 22195.24000000 PA USD 23046.26000000 0.002456899081 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N DH EUROPE FINANCE II 222100KDGL314CKTZ511 23291KAK1 375000.00000000 PA USD 293024.83000000 0.031238579959 Long DBT CORP LU N 2 2049-11-15 Fixed 3.40000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5NM7 112079.90000000 PA USD 109987.72000000 0.011725491610 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J96V8 84232.80000000 PA USD 80527.49000000 0.008584816635 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7VQ9 558892.58000000 PA USD 480939.31000000 0.051271631454 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BS0 500000.00000000 PA USD 530438.50000000 0.056548605439 Long DBT CORP PA N 2 2030-06-01 Fixed 10.50000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6GA3 534574.68000000 PA USD 497179.76000000 0.053002981647 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408GVE4 22733.29000000 PA USD 22934.84000000 0.002445020898 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 6.00000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XEF9 85000.00000000 PA USD 84027.34000000 0.008957926122 Long DBT CORP US N 2 2026-04-06 Fixed 5.40000000 N N N N N N SOUTHERN CALIF GAS CO XY0N0J73VHV5F4CUJV89 842434CY6 100000.00000000 PA USD 101062.34000000 0.010773981129 Long DBT CORP US N 2 2053-06-01 Fixed 5.75000000 N N N N N N BAYLOR SCOTT & WHITE HOL 549300JQDKSBWYRGGV95 072863AJ2 92000.00000000 PA USD 61706.08000000 0.006578317318 Long DBT CORP US N 2 2050-11-15 Fixed 2.84000000 N N N N N N UMASS MEM HEALTH CARE N/A 90407JAA6 42000.00000000 PA USD 41377.88000000 0.004411183219 Long DBT CORP US N 2 2052-07-01 Fixed 5.36000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BLD8 52832.36000000 PA USD 54121.21000000 0.005769714962 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 312939CK5 10142.73000000 PA USD 10001.44000000 0.001066226309 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389SVS0 4901.84000000 PA USD 4949.08000000 0.000527607954 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 6.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 89490000.00000000 OU Notional Amount USD 305251.56000000 0.032542038381 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-09-22 0.00000000 USD -15490.08000000 USD 89490000.00000000 USD 320741.64000000 N N N Texas Transportation Commission State Highway Fund N/A 88283LKV7 690000.00000000 PA USD 654400.83000000 0.069763892203 Long DBT MUN US N 2 2033-10-01 Fixed 4.00000000 N N N N N N Chase Auto Credit Linked Notes N/A 46591HCD0 2906615.07000000 PA USD 2767735.84000000 0.295060788341 Long ABS-O CORP US N 2 2029-02-26 Fixed 0.76000000 N N N N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 68233JCH5 40000.00000000 PA USD 36534.06000000 0.003894796746 Long DBT CORP US N 2 2052-06-01 Fixed 4.60000000 N N N N N N UMBS, TBA N/A 01F030678 1300000.00000000 PA USD 1144050.78000000 0.121964141292 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 3.00000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AQ2 710000.00000000 PA USD 613837.81000000 0.065439578992 Long DBT US N 2 2031-01-15 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 880000.00000000 OU Notional Amount -6122.03000000 -0.00065265296 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 1153.82000000 CAD 0.00000000 CAD 880000.00000000 CAD -6968.25000000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BY4 485000.00000000 PA USD 449925.64000000 0.047965348468 Long DBT CORP US N 2 2039-06-15 Fixed 5.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M8EN9 14449.43000000 PA USD 13862.68000000 0.001477862601 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERHL7 35900.08000000 PA USD 33409.52000000 0.003561698037 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5MS5 535730.46000000 PA USD 510886.91000000 0.054464263619 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.00000000 N N N N N N Amgen Inc 62QBXGPJ34PQ72Z12S66 031162BY5 800000.00000000 PA USD 766238.00000000 0.081686548647 Long DBT CORP US N 2 2025-05-01 Fixed 3.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31409VDU4 17568.01000000 PA USD 17738.73000000 0.001891077747 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.50000000 N N N N N N State of California N/A 13063DGC6 500000.00000000 PA USD 477067.00000000 0.050858815020 Long DBT MUN US N 2 2028-04-01 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M9KW1 156027.14000000 PA USD 154259.23000000 0.016445156851 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.50000000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MCA6 1049000.00000000 PA USD 963365.17000000 0.102701739961 Long DBT CORP JP N 2 2025-07-08 Fixed 1.47000000 N N N N N N PG&E CORP 8YQ2GSDWYZXO2EDN3511 69331CAJ7 500000.00000000 PA USD 448146.60000000 0.047775689853 Long DBT CORP US N 2 2030-07-01 Fixed 5.25000000 N N N N N BERKSHIRE HATHAWAY FIN 549300RLHFT5RU20WM87 084664CV1 95000.00000000 PA USD 66108.30000000 0.007047626016 Long DBT CORP US N 2 2050-10-15 Fixed 2.85000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJVB3 219959.87000000 PA USD 205076.96000000 0.021862696798 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 3.50000000 N N N N N N Conagra Brands Inc 54930035UDEIH090K650 205887CE0 340000.00000000 PA USD 323952.06000000 0.034535647812 Long DBT CORP US N 2 2048-11-01 Fixed 5.40000000 N N N N N N INTERPUBLIC GROUP COS 5493008IUOJ5VWTRC333 460690BS8 78000.00000000 PA USD 56875.56000000 0.006063348722 Long DBT CORP US N 2 2041-03-01 Fixed 3.38000000 N N N N N PPL ELECTRIC UTILITIES 549300GCZLSGYEYPIR35 69351UBB8 130000.00000000 PA USD 132481.96000000 0.014123541341 Long DBT CORP US N 2 2053-05-15 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WTWW2 13965.62000000 PA USD 13643.13000000 0.001454456973 Long ABS-MBS USGSE US N 2 2043-05-01 Floating 5.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413HHS0 3169.60000000 PA USD 3200.31000000 0.000341176342 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MCXP4 11200.32000000 PA USD 10111.44000000 0.001077953110 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128E6AD9 32660.31000000 PA USD 31428.99000000 0.003350559122 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EL6H1 71128.60000000 PA USD 68387.94000000 0.007290652235 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QG3B1 868727.49000000 PA USD 713463.67000000 0.076060420897 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A23R1 148528.84000000 PA USD 134399.99000000 0.014328017301 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 3.50000000 N N N N N N Santander Revolving Auto Loan Trust N/A 80286JAA3 4790000.00000000 PA USD 4545721.50000000 0.484607002584 Long ABS-O CORP US N 2 2032-01-26 Fixed 2.51000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JM4A7 262769.23000000 PA USD 242510.12000000 0.025853344150 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 3.50000000 N N N N N N Carvana Auto Receivables Trust N/A 14686KAC1 462524.95000000 PA USD 424254.85000000 0.045228655383 Long ABS-O CORP US N 2 2028-03-10 Fixed 0.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042679 1788000.00000000 PA USD 1725699.38000000 0.183972116176 Long ABS-MBS USGA US N 2 2053-07-20 Fixed 4.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MT5 8880000.00000000 PA USD 8723193.41000000 0.929955918194 Long DBT CORP US N 2 2024-10-30 Fixed 0.78000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9F65 7607.02000000 PA USD 7444.69000000 0.000793658147 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A 01F022675 875000.00000000 PA USD 741904.30000000 0.079092399089 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 2.50000000 N N N N N N Nomura International PLC DGQCSV2PHVF7I2743539 000000000 1.00000000 NC 226.41000000 0.000024136954 N/A DFE US N 2 Nomura International PLC DGQCSV2PHVF7I2743539 70000.00000000 EUR 76902.50000000 USD 2023-09-20 226.41000000 N N N WESTPAC BANKING CORP EN5TNI6CI43VEPAMHL14 961214EQ2 120000.00000000 PA USD 80445.49000000 0.008576074838 Long DBT CORP AU N 2 2040-11-16 Fixed 2.96000000 N N N N N Westlake Automobile Receivables Trust N/A 96042QAJ9 2762019.08000000 PA USD 2727586.37000000 0.290780562570 Long ABS-O CORP US N 2 2025-11-17 Fixed 1.24000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797GV3 9000000.00000000 PA USD 8881147.53000000 0.946794977217 Long DBT UST US N 2 2023-10-03 None 0.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FEBQ2 1190000.00000000 PA USD 1132581.55000000 0.120741437883 Long ABS-MBS USGSE US N 2 2027-12-25 Fixed 3.44000000 N N N N N N Tyson Foods Inc WD6L6041MNRW1JE49D58 902494BH5 80000.00000000 PA USD 72655.52000000 0.007745607329 Long DBT CORP US N 2 2048-09-28 Fixed 5.10000000 N N N N N N UMBS, TBA N/A 01F052672 1250000.00000000 PA USD 1243945.31000000 0.132613625374 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202EH44 37162.50000000 PA USD 38085.83000000 0.004060226724 Long ABS-MBS USGA US N 2 2036-05-20 Fixed 5.50000000 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BP3 140000.00000000 PA USD 127867.81000000 0.013631639362 Long DBT CORP US N 2 2029-04-01 Fixed 3.70000000 N N N N N N GEORGETOWN UNIVERSITY 549300GCL3B0KVXSX752 37310PAD3 27000.00000000 PA USD 18269.17000000 0.001947626512 Long DBT CORP US N 2 2050-04-01 Fixed 2.94000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80286WAF3 843425.05000000 PA USD 840075.47000000 0.089558160450 Long ABS-O CORP US N 2 2026-01-15 Fixed 1.01000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31293EAT7 1054.26000000 PA USD 1065.66000000 0.000113607113 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 6.00000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCA5 50000.00000000 PA USD 43533.11000000 0.004640946426 Long DBT CORP US N 2 2039-11-21 Fixed 4.05000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 608620000.00000000 OU Notional Amount -4326.21000000 -0.00046120547 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 6596.00000000 KRW 0.00000000 KRW 608620000.00000000 KRW -4331.21000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 710000.00000000 OU Notional Amount -6483.97000000 -0.00069123840 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 CAD -988.99000000 CAD 710000.00000000 CAD -5756.69000000 N N N WILLIS NORTH AMERICA INC 5493004KVU1HWZCP0C66 970648AM3 210000.00000000 PA USD 204766.74000000 0.021829625088 Long DBT CORP US N 2 2033-05-15 Fixed 5.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMZZ0 2713880.70000000 PA USD 2304576.88000000 0.245684671628 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CR8 2670000.00000000 PA USD 2381488.42000000 0.253884001672 Long DBT CORP US N 2 2026-05-01 Fixed 0.88000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128CUUA2 84710.49000000 PA USD 80480.98000000 0.008579858331 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 3.50000000 N N N N N N Hess Corp UASVRYNXNK17ULIGK870 42809HAD9 165000.00000000 PA USD 157867.77000000 0.016829853484 Long DBT CORP US N 2 2041-02-15 Fixed 5.60000000 N N N N N N NSTAR ELECTRIC CO 54930080R72Y2Z31UR68 67021CAT4 90000.00000000 PA USD 87323.53000000 0.009309323971 Long DBT CORP US N 2 2052-09-15 Fixed 4.95000000 N N N N N N UNIV SOUTHERN CALIFORIA 0GMCSQ6M60R4T46U5511 914886AF3 190000.00000000 PA USD 135210.47000000 0.014414420369 Long DBT CORP US N 2 2051-10-01 Fixed 2.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403APE9 30890.28000000 PA USD 31176.31000000 0.003323621594 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.50000000 N N N N N N PROV ST JOSEPH HLTH OBL N/A 743820AB8 136000.00000000 PA USD 81454.15000000 0.008683605337 Long DBT CORP US N 2 2051-10-01 Fixed 2.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371KHZ7 5056.81000000 PA USD 5226.41000000 0.000557173351 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 7.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBK1 1063000.00000000 PA USD 995501.33000000 0.106127688552 Long DBT CORP US N 2 2026-04-22 Fixed 2.08000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2520000.00000000 OU Notional Amount USD -4109.83000000 -0.00043813779 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-09-22 224.26000000 USD 0.00000000 USD 2520000.00000000 USD -4334.09000000 N N N AT&T INC 549300Z40J86GGSTL398 00206RML3 3620000.00000000 PA USD 3299600.10000000 0.351761390175 Long DBT CORP US N 2 2026-03-25 Fixed 1.70000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822CB8 315000.00000000 PA USD 253237.71000000 0.026996983335 Long DBT CORP JP N 2 2032-10-13 Fixed 2.49000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179DJ76 12268.93000000 PA USD 11399.57000000 0.001215277145 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGXT9 420569.70000000 PA USD 372926.31000000 0.039756659371 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 2.00000000 N N N N N N WISCONSIN POWER & LIGHT JWBYHVQVMY66CVCOSO49 976826BL0 390000.00000000 PA USD 362253.85000000 0.038618897445 Long DBT CORP US N 2 2027-10-15 Fixed 3.05000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179R4F3 93505.22000000 PA USD 89922.75000000 0.009586419744 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 4.00000000 N N N N N N FIRSTCASH INC 549300V2X3UU7K0DG350 31944TAA8 500000.00000000 PA USD 451912.05000000 0.048177114234 Long DBT CORP US N 2 2030-01-01 Fixed 5.63000000 N N N N N N EARTHSTONE ENERGY HOL 549300HGVO86L8G72J25 27034RAC7 240000.00000000 PA USD 237228.00000000 0.025290231706 Long DBT CORP US N 2 2031-07-15 Fixed 9.88000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 880000.00000000 OU Notional Amount 5141.25000000 0.000548094675 N/A DIR NZ N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NZD -9.81000000 NZD 880000.00000000 NZD 5147.38000000 N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508BM5 870000.00000000 PA USD 603070.60000000 0.064291716026 Long DBT CORP US N 2 2051-09-15 Fixed 2.70000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBE2 1127000.00000000 PA USD 1103135.87000000 0.117602314045 Long DBT CORP US N 2 2039-02-14 Fixed 5.80000000 N N N N N TAMPA ELECTRIC CO WS423EPRKJIIJUITXD73 875127BJ0 35000.00000000 PA USD 25025.70000000 0.002667921795 Long DBT CORP US N 2 2051-03-15 Fixed 3.45000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 17800000.00000000 OU Notional Amount -10052.08000000 -0.00107162490 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-09-13 0.00000000 MXN -164.03000000 MXN 17800000.00000000 MXN -10043.37000000 N N N Regents of the University of California Medical Center Pooled Revenue N/A 913366KD1 85000.00000000 PA USD 56779.49000000 0.006053106961 Long DBT MUN US N 2 2120-05-15 Fixed 3.71000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AR8 100000.00000000 PA USD 59500.00000000 0.006343133131 Long DBT CORP CA N 2 2030-10-15 Fixed 14.00000000 N N N N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CBU8 60000.00000000 PA USD 54848.24000000 0.005847221653 Long DBT CORP US N 2 2052-08-15 Fixed 5.00000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGZ83 522687.16000000 PA USD 445659.63000000 0.047510560747 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2ZU9 53749.63000000 PA USD 51302.03000000 0.005469169852 Long ABS-MBS USGA US N 2 2046-12-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ASL75 17498.71000000 PA USD 17695.64000000 0.001886484039 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 4.07000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KAT7 245000.00000000 PA USD 230786.62000000 0.024603533708 Long DBT CORP US N 2 2027-05-01 Fixed 3.55000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TLS2 204703.43000000 PA USD 191468.86000000 0.020411974277 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QCWN2 397121.79000000 PA USD 352450.40000000 0.037573778310 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N S&P GLOBAL INC Y6X4K52KMJMZE7I7MY94 78409VAR5 2113000.00000000 PA USD 1223773.13000000 0.130463124142 Long DBT CORP US N 2 2060-08-15 Fixed 2.30000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7VU0 3019261.54000000 PA USD 2582040.71000000 0.275264335711 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AJL3 89890.29000000 PA USD 86069.16000000 0.009175598998 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JAFC7 224112.37000000 PA USD 215272.23000000 0.022949586797 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 4.00000000 N N N N N N Fannie Mae - CAS N/A 20754RAA4 1046546.16000000 PA USD 1042621.61000000 0.111151053414 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 5.82000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SB71 298208.41000000 PA USD 271182.24000000 0.028910000861 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.00000000 N N N N N N PUBLIC SERVICE COLORADO 5BANEF6PGSEK0SNMQF44 744448CP4 1300000.00000000 PA USD 1233571.39000000 0.131507689985 Long DBT CORP US N 2 2028-06-15 Fixed 3.70000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46640UAC6 337868.68000000 PA USD 336373.14000000 0.035859825360 Long ABS-MBS CORP US N 2 2047-01-15 Fixed 3.93000000 N N N N N N ROGERS COMMUNICATIONS IN 54930030NVF3Y2OL0A78 775109CD1 250000.00000000 PA USD 201055.77000000 0.021434008672 Long DBT CORP CA N 2 2052-03-15 Fixed 4.55000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A25U2 47244.09000000 PA USD 42753.28000000 0.004557810871 Long ABS-MBS USGA US N 2 2046-12-15 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6950000.00000000 OU Notional Amount 11016.77000000 0.001174467878 N/A DIR NO N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NOK -77.49000000 NOK 6950000.00000000 NOK 11023.79000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 15080000.00000000 OU Notional Amount -9036.43000000 -0.00096334921 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-09-13 0.00000000 MXN -138.96000000 MXN 15080000.00000000 MXN -9029.01000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MLBA1 20453.38000000 PA USD 19602.68000000 0.002089788386 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 840000.00000000 OU Notional Amount 5367.70000000 0.000572235894 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -9.37000000 EUR 840000.00000000 EUR 5377.74000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QHEP6 251169.78000000 PA USD 223984.69000000 0.023878398455 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 2.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9220000.00000000 OU Notional Amount -1358.67000000 -0.00014484411 N/A DIR CZ N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 102.81000000 CZK 0.00000000 CZK 9220000.00000000 CZK -1363.35000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GNV4 30256.43000000 PA USD 28294.79000000 0.003016430586 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5190000.00000000 OU Notional Amount 10813.65000000 0.001152813808 N/A DIR SE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 SEK -57.87000000 SEK 5190000.00000000 SEK 10819.15000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6450000.00000000 OU Notional Amount 9628.71000000 0.001026490578 N/A DIR NO N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NOK -71.92000000 NOK 6450000.00000000 NOK 9635.19000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KQN31 1637499.78000000 PA USD 1347399.45000000 0.143642589795 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEW8 520000.00000000 PA USD 516852.46000000 0.055100234675 Long DBT CORP US N 2 2053-04-15 Fixed 5.05000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80286NAF3 1377042.60000000 PA USD 1365797.26000000 0.145603930268 Long ABS-O CORP US N 2 2026-02-17 Fixed 0.75000000 N N N N N N UMBS, TBA N/A 01F020471 6676375.00000000 PA USD 5915894.16000000 0.630677382344 Long ABS-MBS USGSE US N 2 2038-07-15 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407YR68 6656.34000000 PA USD 6685.73000000 0.000712747486 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.00000000 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAB7 190000.00000000 PA USD 156982.99000000 0.016735529495 Long DBT CORP US N 2 2052-04-15 Fixed 4.95000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05553RAC4 380000.00000000 PA USD 384384.17000000 0.040978150655 Long ABS-MBS CORP US N 2 2056-04-15 Fixed 5.45000000 N N N N N N SIX FLAGS ENTERTAINMENT 549300JYTDUAA4JQ3717 83001AAD4 194000.00000000 PA USD 188946.32000000 0.020143053151 Long DBT CORP US N 2 2031-05-15 Fixed 7.25000000 N N N N N American Home Mortgage Investment Trust N/A 02660TBN2 5556.80000000 PA USD 5499.27000000 0.000586262214 Long ABS-MBS CORP US N 2 2034-10-25 Floating 3.84000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RQZ5 19850.33000000 PA USD 18138.67000000 0.001933714262 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133L8A39 127693.83000000 PA USD 113227.13000000 0.012070836297 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 2.00000000 N N N N N N UNITED RENTALS NORTH AM NGIZXNT70J2LYT3FBI09 911365BL7 200000.00000000 PA USD 190905.18000000 0.020351881886 Long DBT CORP US N 2 2030-01-15 Fixed 5.25000000 N N N N N Freddie Mac N/A 3128MJ4E7 195030.19000000 PA USD 191550.83000000 0.020420712876 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N CONSUMERS ENERGY CO 7NKTFWJ1G6MELP9TU740 210518DS2 130000.00000000 PA USD 128979.74000000 0.013750179195 Long DBT CORP US N 2 2028-03-01 Fixed 4.65000000 N N N N N N Fannie Mae - CAS N/A 20754RAB2 3040000.00000000 PA USD 2979319.17000000 0.317617111544 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 6.62000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 500000.00000000 OU Notional Amount USD 220252.41000000 0.023480510238 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2050-10-20 0.00000000 USD 0.00000000 USD 500000.00000000 USD 220252.41000000 N N N Freddie Mac 254900HROIFWPRGM1V77 31287YYC2 37996.29000000 PA USD 40338.47000000 0.004300374546 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 6.50000000 N N N N N N Morgan Stanley Capital I Trust IGJSJL3JD5P30I6NJZ34 61765DAU2 550000.00000000 PA USD 521603.28000000 0.055606706671 Long ABS-MBS CORP US N 2 2048-05-15 Variable 3.78000000 N N N N N N INTUIT INC VI90HBPH7XSFMB9E4M29 46124HAD8 71000.00000000 PA USD 57594.37000000 0.006139979101 Long DBT CORP US N 2 2030-07-15 Fixed 1.65000000 N N N N N N CBRE Services Inc 549300CTE3HOMEUMM603 12505BAD2 670000.00000000 PA USD 650764.31000000 0.069376212699 Long DBT CORP US N 2 2026-03-01 Fixed 4.88000000 N N N N N N BIOGEN INC W8J5WZB5IY3K0NDQT671 09062XAG8 1290000.00000000 PA USD 882532.27000000 0.094084364396 Long DBT CORP US N 2 2050-05-01 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F9WA9 172274.13000000 PA USD 159404.94000000 0.016993726995 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N Alphabet Inc 5493006MHB84DD0ZWV18 02079KAC1 800000.00000000 PA USD 740461.72000000 0.078938609560 Long DBT CORP US N 2 2026-08-15 Fixed 2.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128P7Q63 6466.64000000 PA USD 6353.86000000 0.000677367729 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 4.50000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CN8 85000.00000000 PA USD 78636.18000000 0.008383189221 Long DBT CORP US N 2 2045-07-20 Fixed 5.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FPG5 35643.22000000 PA USD 35394.54000000 0.003773315619 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 4.50000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBR0 200000.00000000 PA USD 166343.98000000 0.017733479172 Long DBT CORP US N 2 2030-06-01 Fixed 2.25000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BP4 865000.00000000 PA USD 838248.42000000 0.089363383620 Long DBT CORP US N 2 2025-03-25 Fixed 3.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8SQ1 1307569.15000000 PA USD 1077121.19000000 0.114828959782 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5VE0 89015.36000000 PA USD 84846.02000000 0.009045203370 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 3.50000000 N N N N N N EIDP INC GLU7INWNWH88J9XBXD45 263534CP2 500000.00000000 PA USD 417305.89000000 0.044487845661 Long DBT CORP US N 2 2030-07-15 Fixed 2.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617NWHS4 1020574.66000000 PA USD 861257.59000000 0.091816328638 Long ABS-MBS USGA US N 2 2050-09-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2R87 201166.42000000 PA USD 183407.18000000 0.019552540504 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DMG9 24205.30000000 PA USD 22498.05000000 0.002398455905 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 3.50000000 N N N N N N Freddie Mac N/A 3132Y1GL6 19173.19000000 PA USD 18905.84000000 0.002015500169 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AL3 895000.00000000 PA USD 852177.38000000 0.090848312152 Long DBT US N 2 2029-01-15 Fixed 5.30000000 N N N N N N ROGERS COMMUNICATIONS IN 54930030NVF3Y2OL0A78 775109CB5 520000.00000000 PA USD 483441.42000000 0.051538374595 Long DBT CORP CA N 2 2027-03-15 Fixed 3.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DYB2 1728943.70000000 PA USD 1415615.95000000 0.150914965279 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N KAISER FOUNDATION HOSPIT DW4Z57L3G4IRMHYZYK62 48305QAG8 161000.00000000 PA USD 112707.64000000 0.012015454881 Long DBT CORP US N 2 2051-06-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GNKS1 8996.03000000 PA USD 8832.17000000 0.000941573615 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.50000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17324TAE9 550000.00000000 PA USD 513211.27000000 0.054712057315 Long ABS-MBS CORP US N 2 2049-02-10 Fixed 3.62000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410LQ21 90105.14000000 PA USD 80674.33000000 0.008600470848 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 3.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZV9 650000.00000000 PA USD 648909.74000000 0.069178502037 Long DBT CORP US N 2 2024-11-01 Fixed 5.70000000 N N N N N N ONEOK Partners LP T4DHW82NMF6BXJT50795 68268NAP8 2000000.00000000 PA USD 1966287.94000000 0.209620608042 Long DBT CORP US N 2 2025-03-15 Fixed 4.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJUS5 98137.00000000 PA USD 90728.40000000 0.009672307899 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XDA1 930045.70000000 PA USD 805712.94000000 0.085894864610 Long ABS-MBS USGA US N 2 2052-08-20 Fixed 2.50000000 N N N N N N SAN DIEGO G & E KNIRVXKVNJJ4P8OTMS63 797440BU7 400000.00000000 PA USD 373491.02000000 0.039816861568 Long DBT CORP US N 2 2026-05-15 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FLP9 68516.25000000 PA USD 68038.01000000 0.007253347150 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 4.50000000 N N N N N N ELI LILLY & CO FRDRIPF3EKNDJ2CQJL29 532457CG1 465000.00000000 PA USD 477604.27000000 0.050916091913 Long DBT CORP US N 2 2053-02-27 Fixed 4.88000000 N N N N N GLP CAPITAL LP / FIN II 2549005PXW31DRW8EC44 361841AH2 380000.00000000 PA USD 371987.43000000 0.039656567929 Long DBT US N 2 2026-04-15 Fixed 5.38000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FBKZ2 17577.84000000 PA USD 16775.40000000 0.001788379756 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 4.00000000 N N N N N N INOVA HEALTH SYSTEMS FOU 5493001L7PBVS286Y307 45791GAA0 18000.00000000 PA USD 15376.15000000 0.001639209521 Long DBT CORP US N 2 2052-05-15 Fixed 4.07000000 N N N N N N BLACKSTONE PRIVATE CRE 549300ORP3TTCNXSYO43 09261HAT4 220000.00000000 PA USD 211888.61000000 0.022588868274 Long DBT CORP US N 2 2025-03-24 Fixed 4.70000000 N N N N N N ENTERGY MISSISSIPPI LLC 54930043I78H35DVVW89 29366WAD8 180000.00000000 PA USD 176525.21000000 0.018818872405 Long DBT CORP US N 2 2033-09-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q7RH2 93501.49000000 PA USD 86293.85000000 0.009199552588 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1080000.00000000 OU Notional Amount 13823.68000000 0.001473704917 N/A DIR NZ N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NZD -12.04000000 NZD 1080000.00000000 NZD 13831.34000000 N N N NVR INC 529900RWXR4JI3JYTV70 62944TAF2 2645000.00000000 PA USD 2290936.44000000 0.244230501428 Long DBT CORP US N 2 2030-05-15 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6570000.00000000 OU Notional Amount USD -24320.32000000 -0.00259272315 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 15399.95000000 USD 0.00000000 USD 6570000.00000000 USD -39720.27000000 N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JF5 65000.00000000 PA USD 55521.93000000 0.005919041911 Long DBT CORP US N 2 2027-08-01 Fixed 2.10000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296GJF9 13006.39000000 PA USD 12588.45000000 0.001342020407 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416W5B4 15389.79000000 PA USD 14797.14000000 0.001577482840 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBN2 430000.00000000 PA USD 287947.69000000 0.030697319875 Long DBT CORP US N 2 2051-02-04 Fixed 3.70000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172BL2 1530000.00000000 PA USD 1272852.78000000 0.135695372109 Long DBT CORP US N 2 2044-11-10 Fixed 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKZQ5 790766.84000000 PA USD 674470.63000000 0.071903478982 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SQV2 137974.10000000 PA USD 125213.65000000 0.013348686585 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 3.00000000 N N N N N N ACTIVISION BLIZZARD 549300TPQQDBP9GNOF40 00507VAQ2 125000.00000000 PA USD 80414.60000000 0.008572781739 Long DBT CORP US N 2 2050-09-15 Fixed 2.50000000 N N N N N N Freddie Mac N/A 3128MMLD3 8244.77000000 PA USD 8150.83000000 0.000868937812 Long ABS-MBS USGSE US N 2 2024-09-01 Fixed 4.50000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBZ7 965000.00000000 PA USD 941346.58000000 0.100354397982 Long DBT CORP GB N 2 2026-08-09 Fixed 5.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178WS67 26998.15000000 PA USD 25093.50000000 0.002675149768 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 3.50000000 N N N N N N HOAG MEMORIAL HOSPITAL FZFVQHQN7LISVXIZDB30 43371HAA1 73000.00000000 PA USD 58982.37000000 0.006287950005 Long DBT CORP US N 2 2052-07-15 Fixed 3.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202EQN2 33351.58000000 PA USD 35302.62000000 0.003763516278 Long ABS-MBS USGA US N 2 2037-12-20 Fixed 6.50000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 760942BD3 50000.00000000 PA USD 48703.50000000 0.005192147638 Long DBT NUSS UY N 2 2055-04-20 Fixed 4.98000000 N N N N N Morgan Stanley Capital I Trust N/A 61691UBH1 970000.00000000 PA USD 829402.38000000 0.088420331361 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 3.49000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MJF20 11340.47000000 PA USD 10842.89000000 0.001155931005 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 3.00000000 N N N N N N VIATRIS INC 254900ZZTSW7NL773X71 92556VAB2 180000.00000000 PA USD 165605.14000000 0.017654713450 Long DBT CORP US N 2 2025-06-22 Fixed 1.65000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11460000.00000000 OU Notional Amount 27205.94000000 0.002900351250 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 EUR -38027.92000000 EUR 11460000.00000000 EUR 68376.85000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMAE4 3157132.97000000 PA USD 2581094.64000000 0.275163477762 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407YAR0 55020.91000000 PA USD 55624.42000000 0.005929968091 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179R7J2 570287.71000000 PA USD 534117.15000000 0.056940776308 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 3.50000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBZ1 3520000.00000000 PA USD 3377344.96000000 0.360049558196 Long DBT CORP US N 2 2024-11-21 Fixed 2.60000000 N N N N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585AAJ1 182000.00000000 PA USD 150082.79000000 0.015999917945 Long DBT CORP US N 2 2054-09-15 Fixed 5.00000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAG0 240000.00000000 PA USD 215984.42000000 0.023025511435 Long DBT CORP GB N 2 2028-11-03 Fixed 3.82000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MJWD7 9878.02000000 PA USD 9458.08000000 0.001008300178 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TSG1 126515.48000000 PA USD 118347.60000000 0.012616715674 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.50000000 N N N N N N FRED HUTCH CNCR CTR 549300ESFMVM81MJ8C69 35561RAA5 130000.00000000 PA USD 124494.55000000 0.013272025290 Long DBT CORP US N 2 2052-01-01 Fixed 4.97000000 N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CW7 336000.00000000 PA USD 319878.12000000 0.034101336152 Long DBT CORP US N 2 2029-05-03 Fixed 4.05000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QAXL9 447410.24000000 PA USD 445223.73000000 0.047464090634 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 5.00000000 N N N N N N Fannie Mae - CAS N/A 20754LAA7 4382428.73000000 PA USD 4334484.96000000 0.462087649719 Long ABS-MBS USGSE US N 2 2041-12-25 Floating 6.07000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A26Q0 208789.13000000 PA USD 195320.38000000 0.020822574347 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 3.50000000 N N N N N N GLP CAPITAL LP / FIN II 2549005PXW31DRW8EC44 361841AK5 1145000.00000000 PA USD 1120228.50000000 0.119424512829 Long DBT US N 2 2028-06-01 Fixed 5.75000000 N N N N N N ESSENTIAL UTILITIES INC 549300ILTEOF3E3QY357 03836WAB9 630000.00000000 PA USD 572971.01000000 0.061082880621 Long DBT CORP US N 2 2029-05-01 Fixed 3.57000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4EZ5 19390.96000000 PA USD 18954.78000000 0.002020717529 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ER5J5 40321.08000000 PA USD 36084.32000000 0.003846851188 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELBU6 84275.96000000 PA USD 84878.06000000 0.009048619067 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 5.00000000 N N N N N N FS KKR CAPITAL CORP 549300TYRSI1T21B1360 302635AH0 800000.00000000 PA USD 681948.97000000 0.072700724465 Long DBT CORP US N 2 2027-01-15 Fixed 2.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGXK8 365574.37000000 PA USD 311911.54000000 0.033252040731 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HJJL6 267069.92000000 PA USD 261480.97000000 0.027875774858 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3010000.00000000 OU Notional Amount 4351.32000000 0.000463882387 N/A DIR NO N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NOK -33.56000000 NOK 3010000.00000000 NOK 4354.36000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131XVS48 139323.60000000 PA USD 128826.95000000 0.013733890668 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PES7 570000.00000000 PA USD 633115.19000000 0.067494688030 Long DBT CORP US N 2 2053-02-15 Fixed 5.88000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ADPE2 97574.59000000 PA USD 95541.11000000 0.010185377819 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MLUW2 24620.12000000 PA USD 23606.67000000 0.002516642867 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 3.00000000 N N N N N N ROGERS COMMUNICATIONS IN 54930030NVF3Y2OL0A78 775109BZ3 650000.00000000 PA USD 539566.28000000 0.057521693233 Long DBT CORP CA N 2 2042-03-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31401NJY6 37406.30000000 PA USD 37643.80000000 0.004013103108 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417V4V2 9174.08000000 PA USD 8968.15000000 0.000956070073 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4.00000000 N N N N N N University of Michigan N/A 914455VJ6 238000.00000000 PA USD 206429.54000000 0.022006891672 Long DBT MUN US N 2 2047-04-01 Fixed 3.60000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3A9 940000.00000000 PA USD 918777.64000000 0.097948384687 Long DBT CORP US N 2 2028-07-25 Fixed 4.81000000 N N N N N N AMERICAN HONDA FINANCE B6Q2VFHD1797Q7NZ3E43 02665WDL2 900000.00000000 PA USD 828185.82000000 0.088290637209 Long DBT CORP US N 2 2025-07-08 Fixed 1.20000000 N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAG2 335000.00000000 PA USD 203778.38000000 0.021724258717 Long DBT CORP US N 2 2060-08-15 Fixed 2.25000000 N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638DT6 455000.00000000 PA USD 338456.30000000 0.036081905380 Long DBT NUSS PE N 2 2051-03-10 Fixed 3.55000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179S2R7 17900.29000000 PA USD 17642.67000000 0.001880837052 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 4.50000000 N N N N N N Fannie Mae - CAS N/A 20753QAE9 514430.85000000 PA USD 516026.82000000 0.055012215441 Long ABS-MBS USGSE US N 2 2031-04-25 Floating 7.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQAH5 133778.19000000 PA USD 131280.06000000 0.013995410052 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A 01F042673 3120081.00000000 PA USD 2999665.37000000 0.319786164575 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 4.50000000 N N N N N N WISCONSIN PUBLIC SERVICE 549300BJRHJVYNUMQZ30 976843BM3 85000.00000000 PA USD 61066.98000000 0.006510184606 Long DBT CORP US N 2 2049-09-01 Fixed 3.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EKCU7 98027.33000000 PA USD 96803.45000000 0.010319952452 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCSD8 183517.16000000 PA USD 180345.48000000 0.019226140997 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BE2 1140000.00000000 PA USD 1174133.93000000 0.125171224073 Long DBT CORP US N 2 2031-01-15 Fixed 6.35000000 N N N N N Morgan Stanley Capital I Trust N/A 61770KAX3 3070000.00000000 PA USD 2574804.70000000 0.274492924370 Long ABS-MBS CORP US N 2 2053-02-15 Fixed 2.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AGDH9 262215.30000000 PA USD 215350.69000000 0.022957951204 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TXV2 224830.68000000 PA USD 215661.11000000 0.022991044236 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKW8 985000.00000000 PA USD 967304.42000000 0.103121692686 Long DBT CORP US N 2 2028-07-22 Fixed 4.95000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -8.00000000 NC -3644.31000000 -0.00038850997 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short EUX 10 Year Euro BUND Futures RXU3 Comdty 2023-09-07 -1066580.27000000 EUR -3644.31000000 N N N MAUSER PACKAGING SOLUT 549300DNGHXL0OMHW304 57763RAB3 50000.00000000 PA USD 49675.42000000 0.005295761385 Long DBT CORP US N 2 2026-08-15 Fixed 7.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416CKK1 114666.72000000 PA USD 117194.86000000 0.012493825198 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJA32 26515.68000000 PA USD 24660.04000000 0.002628939777 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P8FX4 205968.53000000 PA USD 195116.87000000 0.020800878699 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 3.50000000 N N N N N N PFIZER INVESTMENT ENTER 5493000FQO8XF9C0RT95 716973AH5 80000.00000000 PA USD 80955.86000000 0.008630483996 Long DBT CORP SG N 2 2063-05-19 Fixed 5.34000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1490000.00000000 OU Notional Amount 7684.49000000 0.000819222573 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 16.62000000 PLN 0.00000000 PLN 1490000.00000000 PLN 7680.50000000 N N N Freddie Mac 254900HROIFWPRGM1V77 31294MAC5 12900.72000000 PA USD 12624.20000000 0.001345831618 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6525000.00000000 OU Notional Amount USD -43338.02000000 -0.00462014841 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 USD -42599.88000000 USD 6525000.00000000 USD -738.14000000 N N N UNITI GROUP/CSL CAPITAL N/A 91327TAA9 100000.00000000 PA USD 99206.37000000 0.010576121217 Long DBT US N 2 2028-02-15 Fixed 10.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q7TF4 46937.39000000 PA USD 44765.42000000 0.004772319642 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWBX0 928157.84000000 PA USD 718813.88000000 0.076630792230 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 1.50000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DA4 735000.00000000 PA USD 696824.97000000 0.074286614355 Long DBT CORP GB N 2 2026-03-10 Fixed 3.00000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAX3 150000.00000000 PA USD 122714.81000000 0.013082292051 Long DBT CORP IE N 2 2032-01-30 Fixed 3.30000000 N N N N N N COCA-COLA FEMSA SAB CV 5493008KEVFYPMGTXO33 191241AH1 1784000.00000000 PA USD 1570455.20000000 0.167421956484 Long DBT CORP MX N 2 2030-01-22 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CU77 57421.86000000 PA USD 52995.48000000 0.005649703949 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335CB78 142608.07000000 PA USD 132782.13000000 0.014155541648 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SWZ6 14941.98000000 PA USD 14757.54000000 0.001573261191 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 4.50000000 N N N N N N Freddie Mac - STACR 5493000ISONLNOUKGB71 35564KKR9 3141026.09000000 PA USD 3125320.96000000 0.333181965182 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 5.87000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WJR0 902883.33000000 PA USD 781845.20000000 0.083350389780 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J93T6 98562.59000000 PA USD 92178.97000000 0.009826949220 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 670000.00000000 OU Notional Amount 128.87000000 0.000013738480 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 7.47000000 CAD 0.00000000 CAD 670000.00000000 CAD 123.27000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DV6K6 84941.21000000 PA USD 75380.44000000 0.008036103637 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8540000.00000000 OU Notional Amount 5903.93000000 0.000629401915 N/A DIR ZA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 95.23000000 ZAR 0.00000000 ZAR 8540000.00000000 ZAR 5898.99000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q7XX0 154785.46000000 PA USD 142854.16000000 0.015229293366 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EHK9 1102063.34000000 PA USD 1059725.13000000 0.112974413151 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1034700000.00000000 OU Notional Amount -15781.97000000 -0.00168247288 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 11771.00000000 KRW 0.00000000 KRW 1034700000.00000000 KRW -15791.06000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8980000.00000000 OU Notional Amount 2441.90000000 0.000260324315 N/A DIR CZ N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 100.13000000 CZK 0.00000000 CZK 8980000.00000000 CZK 2437.25000000 N N N Freddie Mac N/A 31323AB35 114358.81000000 PA USD 103212.23000000 0.011003175053 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816DF3 720000.00000000 PA USD 704247.68000000 0.075077929275 Long DBT CORP US N 2 2034-05-01 Fixed 5.04000000 N N N N N N ZOETIS INC 549300HD9Q1LOC9KLJ48 98978VAT0 100000.00000000 PA USD 69741.84000000 0.007434987831 Long DBT CORP US N 2 2050-05-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A9TL5 40176.81000000 PA USD 40353.16000000 0.004301940607 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617QG3N2 618093.84000000 PA USD 521433.69000000 0.055588627142 Long ABS-MBS USGA US N 2 2050-09-20 Fixed 2.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128P7SJ3 508874.71000000 PA USD 476908.89000000 0.050841959343 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJX39 1493663.79000000 PA USD 1344299.05000000 0.143312064586 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EW6D2 31391.99000000 PA USD 29975.23000000 0.003195577723 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.00000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QCE4 105000.00000000 PA USD 61792.49000000 0.006587529253 Long DBT CORP US N 2 2050-08-01 Fixed 2.05000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RHK1 695000.00000000 PA USD 639352.18000000 0.068159596566 Long DBT CORP US N 2 2039-03-01 Fixed 4.85000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJZB9 1821220.63000000 PA USD 1631470.40000000 0.173926620966 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GK3 370000.00000000 PA USD 300119.74000000 0.031994949012 Long DBT CORP US N 2 2048-03-01 Fixed 4.13000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GML7 77417.22000000 PA USD 72370.42000000 0.007715213594 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.50000000 N N N N N N Florida Power & Light Co A89MY1K3YLIGJMYWVX50 341081FL6 500000.00000000 PA USD 427756.15000000 0.045601919450 Long DBT CORP US N 2 2044-10-01 Fixed 4.05000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAV1 125000.00000000 PA USD 129308.51000000 0.013785228470 Long DBT CORP US N 2 2033-03-15 Fixed 6.25000000 N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAU9 565000.00000000 PA USD 530935.79000000 0.056601620173 Long DBT CORP IE N 2 2024-10-29 Fixed 1.65000000 N N N N N N Motorola Solutions Inc 6S552MUG6KGJVEBSEC55 620076BL2 259000.00000000 PA USD 251184.08000000 0.026778051428 Long DBT CORP US N 2 2028-02-23 Fixed 4.60000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1260000.00000000 OU Notional Amount -13808.68000000 -0.00147210580 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 1997.66000000 CAD 0.00000000 CAD 1260000.00000000 CAD -15288.10000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36176HTH7 4893.29000000 PA USD 4609.51000000 0.000491407321 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 3.50000000 N N N N N N Exeter Automobile Receivables Trust N/A 30166AAE4 2950000.00000000 PA USD 2842724.73000000 0.303055149898 Long ABS-O CORP US N 2 2026-10-15 Fixed 0.96000000 N N N N N N Freddie Mac N/A 31335BLS3 7734.79000000 PA USD 7241.22000000 0.000771966764 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BTUM1 1590000.00000000 PA USD 1511633.83000000 0.161151170251 Long ABS-MBS USGSE US N 2 2026-11-25 Variable 3.35000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 410000.00000000 OU Notional Amount 2889.28000000 0.000308018280 N/A DIR NZ N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NZD -4.57000000 NZD 410000.00000000 NZD 2892.04000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11840000.00000000 OU Notional Amount 14260.23000000 0.001520244325 N/A DIR ZA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 132.02000000 ZAR 0.00000000 ZAR 11840000.00000000 ZAR 14253.44000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QACR9 5891.74000000 PA USD 5770.81000000 0.000615210354 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.50000000 N N N N N N Apple Inc HWUPKR0MPOU8FGXBT394 037833CX6 925000.00000000 PA USD 875901.32000000 0.093377456855 Long DBT CORP US N 2 2027-06-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406XLV2 5361.91000000 PA USD 5501.14000000 0.000586461569 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SWW3 23340.84000000 PA USD 21174.58000000 0.002257364368 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416XJM3 44810.64000000 PA USD 42153.80000000 0.004493901939 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 3.50000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QBU9 800000.00000000 PA USD 761031.73000000 0.081131522366 Long DBT CORP US N 2 2028-05-01 Fixed 3.70000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172AC3 2010000.00000000 PA USD 2194811.90000000 0.233982925724 Long DBT CORP US N 2 2038-05-16 Fixed 6.38000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 312939JD4 5382.77000000 PA USD 5307.78000000 0.000565847986 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.50000000 N N N N N N FRONTIER COMMUNICATIONS N/A 35908MAD2 490000.00000000 PA USD 478913.16000000 0.051055629115 Long DBT CORP US N 2 2030-05-15 Fixed 8.75000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TAJ4 92533.57000000 PA USD 83861.85000000 0.008940283684 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 3.00000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 615000.00000000 PA USD 525033.04000000 0.055972344054 Long DBT CORP US N 2 2031-03-25 Fixed 2.88000000 N N N N N N TRANSOCEAN INC DOL4HJ22ADYSIWES4H94 893830BQ1 200000.00000000 PA USD 207250.00000000 0.022094358681 Long DBT CORP KY N 2 2027-01-30 Fixed 11.50000000 N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BU5 215000.00000000 PA USD 218760.71000000 0.023321484159 Long DBT CORP US N 2 2028-03-01 Fixed 5.75000000 N N N N N N ROGERS COMMUNICATIONS IN 54930030NVF3Y2OL0A78 775109CC3 660000.00000000 PA USD 576920.37000000 0.061503911147 Long DBT CORP CA N 2 2032-03-15 Fixed 3.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WTX6 13436221.45000000 PA USD 11296282.16000000 1.204265909803 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 2.00000000 N N N N N N BlackRock Funds III 5493008LW2651I1QB503 066922519 52885262.50000000 NS USD 52895839.55000000 5.639081552518 Long STIV RF US N 1 N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BG7 590000.00000000 PA USD 600238.55000000 0.063989798880 Long DBT CORP US N 2 2032-11-15 Fixed 6.10000000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473PAM7 20000.00000000 PA USD 18420.61000000 0.001963771119 Long DBT CORP US N 2 2052-06-15 Fixed 5.00000000 N N N N N N Exeter Automobile Receivables Trust N/A 30166RAE7 2909672.86000000 PA USD 2872545.73000000 0.306234285581 Long ABS-O CORP US N 2 2026-01-15 Fixed 0.74000000 N N N N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585ABE1 93000.00000000 PA USD 73326.48000000 0.007817136549 Long DBT CORP US N 2 2048-04-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371PBT6 2382.64000000 PA USD 2368.19000000 0.000252466293 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TUD5 52995.04000000 PA USD 53078.38000000 0.005658541693 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 5.00000000 N N N N N N IDEX CORP 549300U5Y5EL6PHYLF13 45167RAH7 3039000.00000000 PA USD 2540621.14000000 0.270848708034 Long DBT CORP US N 2 2031-06-15 Fixed 2.63000000 N N N N N N State of California N/A 13063BJC7 300000.00000000 PA USD 383194.20000000 0.040851291191 Long DBT MUN US N 2 2040-11-01 Fixed 7.60000000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473PAJ4 60000.00000000 PA USD 54034.77000000 0.005760499829 Long DBT CORP US N 2 2030-05-01 Fixed 3.60000000 N N N N N N ESSENTIAL UTILITIES INC 549300ILTEOF3E3QY357 29670GAD4 380000.00000000 PA USD 321703.66000000 0.034295952005 Long DBT CORP US N 2 2030-04-15 Fixed 2.70000000 N N N N N N BHP BILLITON FIN USA LTD 5493003NUVITP3TMY274 055451AZ1 2475000.00000000 PA USD 2457822.46000000 0.262021766011 Long DBT CORP AU N 2 2028-02-28 Fixed 4.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1250000.00000000 OU Notional Amount USD 282052.41000000 0.030068840113 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-21 0.00000000 USD 0.00000000 USD 1250000.00000000 USD 282052.41000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YL2D2 59093.49000000 PA USD 51015.10000000 0.005438581025 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 2.50000000 N N N N N N Freddie Mac N/A 31326FRD2 25948.49000000 PA USD 26302.53000000 0.002804041167 Long ABS-MBS USGSE US N 2 2043-05-01 Floating 6.59000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412AQB3 1701.53000000 PA USD 1759.87000000 0.000187614953 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 6.00000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KZ3 790000.00000000 PA USD 760809.16000000 0.081107794783 Long DBT CORP US N 2 2053-02-06 Fixed 5.10000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 440000.00000000 OU Notional Amount 228.74000000 0.000024385349 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -214.87000000 EUR 440000.00000000 EUR 459.13000000 N N N BALTIMORE GAS & ELECTRIC 88V8C2WYSOD1SPSSLH72 059165EM8 170000.00000000 PA USD 113329.51000000 0.012081750750 Long DBT CORP US N 2 2050-06-15 Fixed 2.90000000 N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 3137G0MD8 4388288.33000000 PA USD 4508966.26000000 0.480688626440 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 8.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CXX7 31535.53000000 PA USD 30629.51000000 0.003265328734 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4.00000000 N N N N N N Merck & Co Inc 4YV9Y5M8S0BRK1RP0397 58933YAW5 330000.00000000 PA USD 291829.15000000 0.031111111767 Long DBT CORP US N 2 2049-03-07 Fixed 4.00000000 N N N N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAS8 145000.00000000 PA USD 132476.87000000 0.014122998710 Long DBT CORP US N 2 2045-05-14 Fixed 4.70000000 N N N N N N META PLATFORMS INC BQ4BKCS1HXDV9HN80Z93 30303M8J4 280000.00000000 PA USD 243470.35000000 0.025955711658 Long DBT CORP US N 2 2052-08-15 Fixed 4.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X3CP1 192152.62000000 PA USD 170350.82000000 0.018160637484 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.00000000 N N N N N N BERKSHIRE HATHAWAY FIN 549300RLHFT5RU20WM87 084664CQ2 125000.00000000 PA USD 112557.05000000 0.011999400891 Long DBT CORP US N 2 2048-08-15 Fixed 4.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417DUM3 20464.43000000 PA USD 19598.65000000 0.002089358758 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 3.00000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CP2 945000.00000000 PA USD 937314.67000000 0.099924567025 Long DBT CORP US N 2 2028-06-01 Fixed 5.20000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241LLT1 58198.21000000 PA USD 60057.69000000 0.006402586945 Long ABS-MBS USGA US N 2 2040-07-20 Fixed 5.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 33.00000000 NC USD -78941.52000000 -0.00841574068 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year U.S. Treasury Notes Futures TUU3 Comdty 2023-09-29 6790832.11000000 USD -78941.52000000 N N N Exeter Automobile Receivables Trust N/A 30166AAD6 2508125.71000000 PA USD 2491755.42000000 0.265639266563 Long ABS-O CORP US N 2 2026-01-15 Fixed 0.69000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 760942BA9 1000000.00000000 PA USD 998090.00000000 0.106403659619 Long DBT NUSS UY N 2 2050-06-18 Fixed 5.10000000 N N N N N VERISIGN INC LMPL4N8ZOJRMF0KOF759 92343EAM4 630000.00000000 PA USD 524372.57000000 0.055901933144 Long DBT CORP US N 2 2031-06-15 Fixed 2.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SSN8 283846.66000000 PA USD 248992.42000000 0.026544404518 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 2.50000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61746BDZ6 200000.00000000 PA USD 193061.91000000 0.020581805004 Long DBT CORP US N 2 2026-01-27 Fixed 3.88000000 N N N N N CAESARS ENTERTAIN INC 549300FA4CTCW903Y781 12769GAB6 400000.00000000 PA USD 401696.00000000 0.042823717755 Long DBT CORP US N 2 2030-02-15 Fixed 7.00000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1090000.00000000 OU Notional Amount 2564.30000000 0.000273373046 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -12.16000000 EUR 1090000.00000000 EUR 2577.37000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404QAL3 51157.60000000 PA USD 52345.08000000 0.005580366575 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385JJC3 86559.68000000 PA USD 90213.45000000 0.009617410480 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 6.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1310000.00000000 OU Notional Amount -20615.79000000 -0.00219779328 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 CAD -3074.65000000 CAD 1310000.00000000 CAD -18329.12000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDH6 375000.00000000 PA USD 366440.04000000 0.039065175772 Long DBT CORP US N 2 2033-07-25 Fixed 4.91000000 N N N N N General Motors Co 54930070NSV60J38I987 37045VAJ9 530000.00000000 PA USD 452102.02000000 0.048197366419 Long DBT CORP US N 2 2045-04-01 Fixed 5.20000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XBQ8 157314.20000000 PA USD 136254.09000000 0.014525677858 Long ABS-MBS USGA US N 2 2052-07-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LSZ78 14281.90000000 PA USD 13586.63000000 0.001448433662 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 3.50000000 N N N N N N Bay Area Toll Authority 5493001FUZGUQMIP5D78 072024ND0 100000.00000000 PA USD 118396.20000000 0.012621896787 Long DBT MUN US N 2 2049-04-01 Fixed 6.26000000 N N N N N N S&P Global Inc Y6X4K52KMJMZE7I7MY94 78409VAM6 685000.00000000 PA USD 641734.33000000 0.068413551097 Long DBT CORP US N 2 2027-01-22 Fixed 2.95000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 30140000.00000000 OU Notional Amount USD -165259.16000000 -0.01761782946 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-09-22 0.00000000 USD -79248.51000000 USD 30140000.00000000 USD -86010.65000000 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEA6 730000.00000000 PA USD 508715.34000000 0.054232758449 Long DBT CORP US N 2 2060-05-15 Fixed 3.13000000 N N N N N PepsiCo Inc FJSUNZKFNQ5YPJ5OT455 713448DV7 946000.00000000 PA USD 867732.16000000 0.092506564932 Long DBT CORP US N 2 2047-05-02 Fixed 4.00000000 N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBT6 305000.00000000 PA USD 259034.79000000 0.027614994263 Long DBT CORP US N 2 2052-03-14 Fixed 4.95000000 N N N N N N EQUINIX INC 549300EVUN2BTLJ3GT74 29444UBC9 225000.00000000 PA USD 214869.97000000 0.022906702952 Long DBT US N 2 2024-11-18 Fixed 2.63000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AS0 100000.00000000 PA USD 93908.98000000 0.010011380880 Long DBT CORP US N 2 2028-01-15 Fixed 4.38000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 510000.00000000 OU Notional Amount 7610.90000000 0.000811377343 N/A DIR AU N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 AUD -5.68000000 AUD 510000.00000000 AUD 7614.68000000 N N N Madison Avenue Trust N/A 556227AA4 150000.00000000 PA USD 133494.54000000 0.014231489740 Long ABS-MBS CORP US N 2 2035-09-10 Variable 3.67000000 N N N N N N EAGLE MATERIALS 529900KRXRGXL61SG039 26969PAB4 1355000.00000000 PA USD 1105107.69000000 0.117812524411 Long DBT CORP US N 2 2031-07-01 Fixed 2.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31292SAV2 61534.46000000 PA USD 57660.70000000 0.006147050362 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBR1 1860000.00000000 PA USD 1717903.14000000 0.183140980239 Long DBT CORP US N 2 2029-04-15 Fixed 4.00000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7180000.00000000 OU Notional Amount 4008.92000000 0.000427380055 N/A DIR NO N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NOK -4554.95000000 NOK 7180000.00000000 NOK 4433.54000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 8920000.00000000 OU Notional Amount -7191.84000000 -0.00076670249 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-09-13 0.00000000 MXN -82.20000000 MXN 8920000.00000000 MXN -7187.43000000 N N N Freddie Mac N/A 31326FRA8 742.58000000 PA USD 723.37000000 0.000077116507 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 5.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SGM3 27914.36000000 PA USD 26845.09000000 0.002861882013 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 4.00000000 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523AF7 444000.00000000 PA USD 443599.84000000 0.047290972139 Long DBT CORP US N 2 2023-07-15 Fixed 3.75000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178DSS1 57914.47000000 PA USD 53814.84000000 0.005737053690 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132GUJW5 10987.32000000 PA USD 10575.97000000 0.001127475390 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4.00000000 N N N N N N PIEDMONT NATURAL GAS CO VXB4M3BDPKF3I2AZ3G89 720186AL9 500000.00000000 PA USD 452874.52000000 0.048279720542 Long DBT CORP US N 2 2029-06-01 Fixed 3.50000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 3133.02000000 0.000334002738 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 170000.00000000 AUD 116622.82000000 USD 2023-09-20 3133.02000000 N N N Louisiana Loc Govt Envrnmntl Fac & Cmnty Dev Auth 5493004WIZ1HV87IVF85 54627RAN0 85000.00000000 PA USD 80470.47000000 0.008578737888 Long ABS-O CORP US N 2 2036-02-01 Fixed 4.28000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VSF8 847964.94000000 PA USD 716373.05000000 0.076370581984 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHX0 165000.00000000 PA USD 142057.25000000 0.015144336959 Long DBT CORP US N 2 2030-10-22 Fixed 2.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNQJ4 1892503.94000000 PA USD 1546013.44000000 0.164816286944 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081FX0 40000.00000000 PA USD 29159.97000000 0.003108665072 Long DBT CORP US N 2 2049-10-01 Fixed 3.15000000 N N N N N N IRON MOUNTAIN INC SQL3F6CKNNBM3SQGHX24 46284VAP6 300000.00000000 PA USD 300504.60000000 0.032035977890 Long DBT US N 2 2029-02-15 Fixed 7.00000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KLEZ6 2514590.02000000 PA USD 2064106.25000000 0.220048751959 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Freddie Mac N/A 3128UGY27 8098.05000000 PA USD 8085.49000000 0.000861972092 Long ABS-MBS USGSE US N 2 2041-07-01 Floating 4.44000000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MBV1 1325000.00000000 PA USD 1256274.50000000 0.133928006779 Long DBT CORP JP N 2 2025-01-15 Fixed 2.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MBWR3 107771.68000000 PA USD 103334.91000000 0.011016253634 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 3.00000000 N N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 595620AW5 105000.00000000 PA USD 66342.63000000 0.007072607300 Long DBT CORP US N 2 2052-08-01 Fixed 2.70000000 N N N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508BJ2 482000.00000000 PA USD 404770.59000000 0.043151491430 Long DBT CORP US N 2 2030-05-04 Fixed 1.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 500000.00000000 OU Notional Amount USD -212045.81000000 -0.02260562693 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2050-10-20 0.00000000 USD 0.00000000 USD 500000.00000000 USD -212045.81000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 500000.00000000 OU Notional Amount USD 150283.86000000 0.016021353470 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2035-10-22 0.00000000 USD 0.00000000 USD 500000.00000000 USD 150283.86000000 N N N EDCON HOLDCO 1 213800QFMH6S1TYEKJ66 000000000 1643590.00000000 NS 0.87000000 0.000000092748 Long EC CORP ZA N 3 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TAK1 67615.61000000 PA USD 63312.52000000 0.006749575516 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31409CE76 6393.02000000 PA USD 6638.13000000 0.000707672980 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXA7 720000.00000000 PA USD 628282.64000000 0.066979503022 Long DBT CORP US N 2 2039-04-23 Fixed 4.41000000 N N N N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBL2 440000.00000000 PA USD 440126.38000000 0.046920676018 Long DBT CORP US N 2 2024-10-01 Fixed 5.90000000 N N N N N N NSTAR ELECTRIC CO 54930080R72Y2Z31UR68 67021CAQ0 110000.00000000 PA USD 76911.17000000 0.008199290598 Long DBT CORP US N 2 2051-06-01 Fixed 3.10000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 12450000.00000000 OU Notional Amount USD -140141.47000000 -0.01494010086 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 USD -65475.41000000 USD 12450000.00000000 USD -74666.06000000 N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KS9 2350000.00000000 PA USD 2296942.76000000 0.244870818864 Long DBT CORP US N 2 2025-07-27 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8KW6 737085.28000000 PA USD 628935.41000000 0.067049093055 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109BR4 95000.00000000 PA USD 91836.41000000 0.009790429831 Long DBT US N 2 2030-03-15 Fixed 4.85000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180NAD7 39573.45000000 PA USD 37326.54000000 0.003979280883 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ETU61 4736628.13000000 PA USD 4461025.39000000 0.475577780711 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 860000.00000000 OU Notional Amount 2802.75000000 0.000298793552 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 9.59000000 CAD 0.00000000 CAD 860000.00000000 CAD 2795.46000000 N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CL6 840000.00000000 PA USD 745961.71000000 0.079524948531 Long DBT CORP US N 2 2030-04-15 Fixed 2.88000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140E24G3 9267.82000000 PA USD 8860.12000000 0.000944553289 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.00000000 N N N N N N CHS/COMMUNITY HEALTH SYS 5493007X5NC5XI1BB106 12543DBC3 150000.00000000 PA USD 146114.60000000 0.015576880004 Long DBT CORP US N 2 2026-03-15 Fixed 8.00000000 N N N N N CONOCOPHILLIPS COMPANY 6VJJ5GQWIRDQ06DUXG89 20826FAV8 85000.00000000 PA USD 68807.24000000 0.007335352667 Long DBT CORP US N 2 2052-03-15 Fixed 3.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8GN7 162273.77000000 PA USD 151605.62000000 0.016162262708 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RQ36 4945.42000000 PA USD 4755.91000000 0.000507014626 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2500000.00000000 OU Notional Amount USD 320278.93000000 0.034144065415 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-10-20 0.00000000 USD 0.00000000 USD 2500000.00000000 USD 320278.93000000 N N N FMG RESOURCES AUG 2006 549300EFD6S2NFE9D745 30251GBE6 200000.00000000 PA USD 190599.10000000 0.020319251530 Long DBT CORP AU N 2 2032-04-15 Fixed 6.13000000 N N N N N PacifiCorp SGY07Y7FNYBNLM6Z1M11 695114CT3 280000.00000000 PA USD 217012.43000000 0.023135104785 Long DBT CORP US N 2 2049-01-15 Fixed 4.13000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1730000.00000000 OU Notional Amount USD -7584.20000000 -0.00080853092 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on USD - US CPI Urban Consumers NSA (CPURNSA) 2033-04-14 35.98000000 USD 0.00000000 USD 1730000.00000000 USD -7620.18000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8VQ3 37393.29000000 PA USD 33758.55000000 0.003598907176 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 3.00000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216DL1 90000.00000000 PA USD 68568.91000000 0.007309944954 Long DBT CORP US N 2 2051-03-05 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJXK3 1028423.49000000 PA USD 910746.10000000 0.097092164057 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N AMEREN CORP XRZQ5S7HYJFPHJ78L959 023608AH5 65000.00000000 PA USD 62286.34000000 0.006640177258 Long DBT CORP US N 2 2024-09-15 Fixed 2.50000000 N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AQ0 100000.00000000 PA USD 71030.00000000 0.007572315064 Long DBT CORP CA N 2 2028-09-30 Fixed 11.00000000 N N N N N N SUTTER HEALTH 549300MJCC12LU768G81 86944BAJ2 54000.00000000 PA USD 38754.99000000 0.004131564051 Long DBT CORP US N 2 2050-08-15 Fixed 3.36000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXG4 2380000.00000000 PA USD 2026992.35000000 0.216092140047 Long DBT CORP US N 2 2030-02-07 Fixed 2.60000000 N N N N N N PROCTER & GAMBLE CO/THE 2572IBTT8CCZW6AU4141 742718FM6 645000.00000000 PA USD 520048.10000000 0.055440913162 Long DBT CORP US N 2 2030-10-29 Fixed 1.20000000 N N N N N N MAUSER PACKAGING SOLUT 549300DNGHXL0OMHW304 57763RAC1 50000.00000000 PA USD 46150.10000000 0.004919936610 Long DBT CORP US N 2 2027-04-15 Fixed 9.25000000 N N N N N Freddie Mac 254900HROIFWPRGM1V77 31296J3K0 63258.82000000 PA USD 63082.62000000 0.006725066503 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GSNW8 8611.97000000 PA USD 8213.48000000 0.000875616758 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.00000000 N N N N N N ATMOS ENERGY CORP QVLWEGTD2S8GJMO8D383 049560AT2 30000.00000000 PA USD 23571.02000000 0.002512842317 Long DBT CORP US N 2 2031-01-15 Fixed 1.50000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBD4 2415000.00000000 PA USD 2348717.38000000 0.250390370250 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLA1 715011.45000000 PA USD 615268.25000000 0.065592074309 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416XJR2 203091.71000000 PA USD 190150.94000000 0.020271474412 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GQ6T8 229962.16000000 PA USD 212236.09000000 0.022625912171 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128PLLG5 63.56000000 PA USD 63.22000000 0.000006739712 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 5.00000000 N N N N N N WILLIS NORTH AMERICA INC 5493004KVU1HWZCP0C66 970648AJ0 940000.00000000 PA USD 808596.77000000 0.086202301880 Long DBT CORP US N 2 2029-09-15 Fixed 2.95000000 N N N N N N DISH DBS Corp N/A 25470XAY1 425000.00000000 PA USD 260510.13000000 0.027772276247 Long DBT CORP US N 2 2026-07-01 Fixed 7.75000000 N N N N N N CANADIAN IMPERIAL BANK 2IGI19DL77OX0HC3ZE78 13607GLZ5 1505000.00000000 PA USD 1426944.06000000 0.152122624268 Long DBT CORP CA N 2 2025-01-28 Fixed 2.25000000 N N N N N N JPMorgan Chase Bank, NA - CACLN N/A 48128U2M0 1367385.38000000 PA USD 1322079.94000000 0.140943345715 Long ABS-O CORP US N 2 2028-12-26 Fixed 0.89000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XPM0 1076994.41000000 PA USD 1074977.74000000 0.114600452409 Long ABS-MBS USGSE US N 2 2030-01-25 Floating 6.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F0JL9 47803.23000000 PA USD 46816.47000000 0.004990976503 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5CH4 50465.34000000 PA USD 48522.30000000 0.005172830399 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 4.00000000 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAH0 250000.00000000 PA USD 227791.95000000 0.024284280086 Long DBT CORP US N 2 2029-04-15 Fixed 4.63000000 N N N N N N TRAVELERS COS INC 549300Y650407RU8B149 89417EAS8 140000.00000000 PA USD 146522.01000000 0.015620312876 Long DBT CORP US N 2 2053-05-25 Fixed 5.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBJE1 414076.72000000 PA USD 393544.69000000 0.041954728771 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 4.00000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBH4 2170000.00000000 PA USD 2090562.18000000 0.222869146683 Long DBT CORP US N 2 2025-03-19 Fixed 2.99000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGV61 424331.39000000 PA USD 378367.46000000 0.040336725570 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 2.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2500000.00000000 OU Notional Amount USD -319445.90000000 -0.03405525835 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-10-20 0.00000000 USD 0.00000000 USD 2500000.00000000 USD -319445.90000000 N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QBR6 400000.00000000 PA USD 367708.38000000 0.039200390049 Long DBT CORP US N 2 2026-09-15 Fixed 2.25000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371KP88 6667.74000000 PA USD 6903.84000000 0.000735999600 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 7.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACX1 985000.00000000 PA USD 1000808.13000000 0.106693432063 Long DBT CORP US N 2 2062-09-15 Fixed 5.80000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAZ9 350000.00000000 PA USD 319363.08000000 0.034046429138 Long DBT CORP US N 2 2049-10-01 Fixed 4.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8LY9 91915.33000000 PA USD 86164.12000000 0.009185722425 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WXL7 288087.52000000 PA USD 265881.85000000 0.028344940703 Long ABS-MBS USGA US N 2 2052-02-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415RPD0 6451.98000000 PA USD 6511.37000000 0.000694159441 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411WXC6 5066.20000000 PA USD 5023.35000000 0.000535525677 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297GD64 132680.54000000 PA USD 133251.12000000 0.014205539396 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPZJ6 54419.79000000 PA USD 51496.94000000 0.005489948677 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 3.50000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAW8 190000.00000000 PA USD 180222.60000000 0.019213041094 Long DBT CORP XX N 2 2025-05-01 Fixed 2.70000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JH1 90000.00000000 PA USD 60634.15000000 0.006464041777 Long DBT CORP US N 2 2040-08-01 Fixed 3.30000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -78.00000000 NC 91843.56000000 0.009791192073 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short French Government Bond Futures OATU3 Comdty 2023-09-07 -10099367.46000000 EUR 91843.56000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8AM5 230148.73000000 PA USD 221237.79000000 0.023585558919 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.00000000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311VAK3 222000.00000000 PA USD 187898.27000000 0.020031323391 Long DBT CORP US N 2 2032-02-15 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WUD2 6993.48000000 PA USD 7043.58000000 0.000750896901 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417Y7H4 33378.82000000 PA USD 32083.95000000 0.003420382625 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 3.50000000 N N N N N N FACTSET RESEARCH SYSTEMS 549300ZSJE7NBK6K9P30 303075AA3 1575000.00000000 PA USD 1444903.38000000 0.154037218515 Long DBT CORP US N 2 2027-03-01 Fixed 2.90000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6750000.00000000 OU Notional Amount USD -85.19000000 -0.00000908187 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-09-21 66.15000000 USD 0.00000000 USD 6750000.00000000 USD -151.34000000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAT7 685000.00000000 PA USD 620743.91000000 0.066175819525 Long DBT CORP US N 2 2049-02-15 Fixed 5.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132XS6Q8 32794.22000000 PA USD 32663.85000000 0.003482204187 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 5.00000000 N N N N N N HERSHEY COMPANY 21X2CX66SU2BR6QTAD08 427866BG2 105000.00000000 PA USD 70714.31000000 0.007538660212 Long DBT CORP US N 2 2050-06-01 Fixed 2.65000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80287EAE5 4373573.83000000 PA USD 4283844.71000000 0.456689030432 Long ABS-O CORP US N 2 2027-09-15 Fixed 0.95000000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493007CD1Q2V06I4172 94989AAW5 510000.00000000 PA USD 478661.11000000 0.051028758750 Long ABS-MBS CORP US N 2 2047-12-15 Fixed 3.81000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M5GF0 13307.08000000 PA USD 12790.86000000 0.001363598787 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417DUL5 11693.37000000 PA USD 11212.27000000 0.001195309601 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 3.00000000 N N N N N N UnitedHealth Group Inc 549300GHBMY8T5GXDE41 91324PCR1 800000.00000000 PA USD 765532.92000000 0.081611381986 Long DBT CORP US N 2 2045-07-15 Fixed 4.75000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132QL4T7 10238.16000000 PA USD 9798.68000000 0.001044610617 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230SMC5 11462.33000000 PA USD 11184.56000000 0.001192355514 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416YLQ9 69755.75000000 PA USD 70255.23000000 0.007489718942 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5.00000000 N N N N N N Exeter Automobile Receivables Trust N/A 30165JAE6 2500000.00000000 PA USD 2392412.50000000 0.255048588122 Long ABS-O CORP US N 2 2027-10-15 Fixed 1.46000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JAND6 185066.78000000 PA USD 176827.59000000 0.018851108314 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202DJA0 1857.36000000 PA USD 1919.73000000 0.000204657192 Long ABS-MBS USGA US N 2 2030-08-20 Fixed 7.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335B7C4 147057.24000000 PA USD 140824.79000000 0.015012947751 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4.00000000 N N N N N N ALBERTSONS COS/SAFEWAY N/A 01309QAA6 400000.00000000 PA USD 400664.00000000 0.042713699042 Long DBT CORP US N 2 2028-02-15 Fixed 6.50000000 N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BV4 180000.00000000 PA USD 187108.45000000 0.019947122830 Long DBT CORP US N 2 2029-11-01 Fixed 6.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 500000.00000000 OU Notional Amount USD -148054.15000000 -0.01578365015 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2035-10-22 0.00000000 USD 0.00000000 USD 500000.00000000 USD -148054.15000000 N N N CENTERPOINT ENER HOUSTON 549300S8SEQBOJLKHW63 15189XBA5 75000.00000000 PA USD 71114.13000000 0.007581283934 Long DBT CORP US N 2 2052-10-01 Fixed 4.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EJX52 17039.94000000 PA USD 16835.11000000 0.001794745277 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.50000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300DT2BKPLXAJ4C66 94989CAZ4 1380000.00000000 PA USD 1301459.51000000 0.138745057770 Long ABS-MBS CORP US N 2 2048-02-15 Fixed 3.58000000 N N N N N N Eversource Energy SJ7XXD41SQU3ZNWUJ746 30040WAE8 1000000.00000000 PA USD 920634.79000000 0.098146370396 Long DBT CORP US N 2 2028-01-15 Fixed 3.30000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1126670000.00000000 OU Notional Amount -13837.24000000 -0.00147515051 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 13069.00000000 KRW 0.00000000 KRW 1126670000.00000000 KRW -13847.16000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180UHF9 17777.76000000 PA USD 16767.45000000 0.001787532229 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 3.50000000 N N N N N N ANALOG DEVICES INC GYVOE5EZ4GDAVTU4CQ61 032654AU9 385000.00000000 PA USD 330824.76000000 0.035268327662 Long DBT CORP US N 2 2028-10-01 Fixed 1.70000000 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 26442CBK9 100000.00000000 PA USD 101295.27000000 0.010798813163 Long DBT CORP US N 2 2053-01-15 Fixed 5.35000000 N N N N N N ELECTRONIC ARTS INC 549300O7A67PUEYKDL45 285512AF6 250000.00000000 PA USD 169118.67000000 0.018029281325 Long DBT CORP US N 2 2051-02-15 Fixed 2.95000000 N N N N N BURLINGTN NORTH SANTA FE N/A 12189LAV3 800000.00000000 PA USD 769961.52000000 0.082083502984 Long DBT CORP US N 2 2025-04-01 Fixed 3.00000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31373KHT9 66067.80000000 PA USD 63451.48000000 0.006764389664 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 3.66000000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AC1 500000.00000000 PA USD 467105.35000000 0.049796830614 Long DBT CORP US N 2 2028-07-01 Fixed 4.50000000 N N N N N INTERSTATE POWER & LIGHT EF9UQIIO4KY2BWOK3P26 461070AS3 20000.00000000 PA USD 16613.60000000 0.001771130699 Long DBT CORP US N 2 2030-06-01 Fixed 2.30000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132HMVZ1 73258.32000000 PA USD 68646.52000000 0.007318218745 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.50000000 N N N N N N State of Illinois 54930048FV8RWPR02D67 452151LF8 255000.00000000 PA USD 250002.26000000 0.026652060813 Long DBT MUN US N 2 2033-06-01 Fixed 5.10000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H032670 500000.00000000 PA USD 461464.85000000 0.049195512254 Long ABS-MBS USGA US N 2 2053-07-20 Fixed 3.50000000 N N N N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 369550BP2 1350000.00000000 PA USD 1136116.99000000 0.121118341523 Long DBT CORP US N 2 2031-06-01 Fixed 2.25000000 N N N N N N Fannie Mae - CAS N/A 20753WAF3 180959.11000000 PA USD 181241.41000000 0.019321653657 Long ABS-MBS USGSE US N 2 2039-10-25 Floating 7.25000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAG5 340000.00000000 PA USD 277480.80000000 0.029581473207 Long DBT NUSS MX N 2 2050-01-31 Fixed 4.50000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133A36A1 1240552.01000000 PA USD 1100531.39000000 0.117324657517 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.00000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BZ4 360000.00000000 PA USD 263387.01000000 0.028078972597 Long DBT CORP US N 2 2049-12-15 Fixed 3.13000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6AP3 14580.44000000 PA USD 14957.71000000 0.001594600770 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620C0XW3 118665.88000000 PA USD 118711.49000000 0.012655508997 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8LM3 251365.10000000 PA USD 226925.73000000 0.024191934729 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2RT1 384542.29000000 PA USD 350800.42000000 0.037397878431 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 3.00000000 N N N N N N AIR PRODUCTS & CHEMICALS 7QEON6Y1RL5XR3R1W237 009158AZ9 187000.00000000 PA USD 139460.64000000 0.014867519430 Long DBT CORP US N 2 2040-05-15 Fixed 2.70000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M7ME3 1033.89000000 PA USD 1022.16000000 0.000108969696 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKQD0 122609.64000000 PA USD 113304.35000000 0.012079068511 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJQ27 191524.22000000 PA USD 176876.03000000 0.018856272371 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CS1 1080000.00000000 PA USD 1080129.29000000 0.115149645140 Long DBT CORP US N 2 2025-11-18 Fixed 5.24000000 N N N N N PFIZER INVESTMENT ENTER 5493000FQO8XF9C0RT95 716973AG7 145000.00000000 PA USD 150753.79000000 0.016071451429 Long DBT CORP SG N 2 2053-05-19 Fixed 5.30000000 N N N N N YUM! BRANDS INC 549300JE8XHZZ7OHN517 988498AP6 300000.00000000 PA USD 271001.55000000 0.028890737992 Long DBT CORP US N 2 2032-01-31 Fixed 4.63000000 N N N N N Upstart Securitization Trust N/A 91679LAA0 507373.10000000 PA USD 502377.30000000 0.053557077247 Long ABS-O CORP US N 2 2031-07-20 Fixed 0.83000000 N N N N N N ALABAMA POWER CO 0RL818ELFOHP5JHOFU19 010392FT0 370000.00000000 PA USD 270557.48000000 0.028843396897 Long DBT CORP US N 2 2049-10-01 Fixed 3.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DCB6 8004.83000000 PA USD 7820.70000000 0.000833743550 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WR26 874934.30000000 PA USD 757525.71000000 0.080757755111 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 2.50000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGM5 1050000.00000000 PA USD 922051.59000000 0.098297411589 Long DBT CORP US N 2 2038-04-24 Fixed 4.24000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WLP1 7350157.32000000 PA USD 6373348.17000000 0.679445309857 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YPAX0 42040.44000000 PA USD 35884.79000000 0.003825579838 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AVB0 132230.62000000 PA USD 135300.14000000 0.014423979844 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M7R60 3585795.88000000 PA USD 2942240.61000000 0.313664267134 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138E4YL9 956.96000000 PA USD 935.26000000 0.000099705524 Long ABS-MBS USGSE US N 2 2042-02-01 Floating 4.24000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 29920000.00000000 OU Notional Amount USD 82062.10000000 0.008748417232 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-09-22 0.00000000 USD -70713.02000000 USD 29920000.00000000 USD 152775.12000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179T7L3 193018.82000000 PA USD 188665.35000000 0.020113099703 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TV93 10560.93000000 PA USD 10766.50000000 0.001147787274 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RXE4 24998.81000000 PA USD 24040.35000000 0.002562876312 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RVB2 65923.12000000 PA USD 61552.53000000 0.006561947771 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 3.50000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448FT0 1760000.00000000 PA USD 1772704.17000000 0.188983168963 Long DBT CORP US N 2 2053-02-15 Fixed 4.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HJ2A8 59947.79000000 PA USD 59275.78000000 0.006319229647 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230UGQ6 68157.94000000 PA USD 65969.27000000 0.007032804406 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 4.00000000 N N N N N N CON EDISON CO OF NY INC VZFZPMWDHTQCFKYOBP05 209111FM0 800000.00000000 PA USD 743139.10000000 0.079224037758 Long DBT CORP US N 2 2027-11-15 Fixed 3.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A5J75 3501.36000000 PA USD 3376.74000000 0.000359985065 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GVG97 69124.90000000 PA USD 66558.54000000 0.007095624878 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FS3Z4 8772.97000000 PA USD 8609.06000000 0.000917788465 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SYR2 6564.88000000 PA USD 5955.65000000 0.000634915644 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 3.00000000 N N N N N N AstraZeneca PLC PY6ZZQWO2IZFZC3IOL08 046353AM0 200000.00000000 PA USD 185826.51000000 0.019810458694 Long DBT CORP GB N 2 2045-11-16 Fixed 4.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBHB7 19018.13000000 PA USD 18234.92000000 0.001943975213 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNFJ6 2737402.55000000 PA USD 2324605.42000000 0.247819859790 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CF4 751000.00000000 PA USD 651874.29000000 0.069494544647 Long DBT CORP US N 2 2032-03-15 Fixed 3.63000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 760000.00000000 OU Notional Amount -3727.57000000 -0.00039738609 N/A DIR CH N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 8.47000000 CHF 0.00000000 CHF 760000.00000000 CHF -3737.01000000 N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738BD9 790000.00000000 PA USD 793857.29000000 0.084630966016 Long DBT CORP US N 2 2028-03-02 Fixed 5.45000000 N N N N N N AEP TEXAS INC 5493001L78U618KXNZ75 00108WAQ3 140000.00000000 PA USD 132070.69000000 0.014079696965 Long DBT CORP US N 2 2052-05-15 Fixed 5.25000000 N N N N N N Port Authority of New York & New Jersey 54930006MR4KZ4W74Z83 73358WX90 500000.00000000 PA USD 436904.50000000 0.046577200156 Long DBT MUN US N 2 2048-09-01 Fixed 4.03000000 N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128CUWF9 53361.79000000 PA USD 49960.47000000 0.005326149790 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31288BLZ4 4772.12000000 PA USD 4907.56000000 0.000523181620 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 6.00000000 N N N N N N KEYSIGHT TECHNOLOGIES 549300GLKVIO8YRCYN02 49338LAE3 1225000.00000000 PA USD 1205388.29000000 0.128503166365 Long DBT CORP US N 2 2027-04-06 Fixed 4.60000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179W2U1 481505.74000000 PA USD 417021.26000000 0.044457502031 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132L93U7 215212.96000000 PA USD 199870.86000000 0.021307688640 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N CONSTELLATION EN GEN LLC S2PEWKCZFFECR4533P43 210385AC4 175000.00000000 PA USD 179135.68000000 0.019097167510 Long DBT CORP US N 2 2033-03-01 Fixed 5.80000000 N N N N N GLOBAL PART/GLP FINANCE N/A 37954FAJ3 200000.00000000 PA USD 185750.00000000 0.019802302171 Long DBT CORP US N 2 2029-01-15 Fixed 6.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KZC5 47003.11000000 PA USD 48454.63000000 0.005165616284 Long ABS-MBS USGA US N 2 2038-11-15 Fixed 5.50000000 N N N N N N AUTOZONE INC GA3JGKJ41LJKXDN23E90 053332BC5 180000.00000000 PA USD 175375.36000000 0.018696290024 Long DBT CORP US N 2 2028-02-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ABZZ5 32792.62000000 PA USD 32383.29000000 0.003452294448 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1220000.00000000 OU Notional Amount 1524.35000000 0.000162506806 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 13.61000000 PLN 0.00000000 PLN 1220000.00000000 PLN 1521.07000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ER2G4 317448.36000000 PA USD 297589.90000000 0.031725249652 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 330920000.00000000 OU Notional Amount -3109.91000000 -0.00033153904 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 2636.00000000 KRW 0.00000000 KRW 330920000.00000000 KRW -3111.91000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFFJ3 1076545.66000000 PA USD 919254.25000000 0.097999194782 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXGQ9 481363.31000000 PA USD 455785.34000000 0.048590035143 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4.00000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DS5 720000.00000000 PA USD 799280.14000000 0.085209081302 Long DBT CORP GB N 2 2033-11-03 Fixed 8.11000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133A9NL5 406099.26000000 PA USD 334013.46000000 0.035608266294 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SEG8 65185.40000000 PA USD 59257.01000000 0.006317228628 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 3.00000000 N N N N N N Johnson & Johnson 549300G0CFPGEF6X2043 478160CF9 195000.00000000 PA USD 175473.91000000 0.018706796172 Long DBT CORP US N 2 2037-03-03 Fixed 3.63000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KCD0 470000.00000000 PA USD 461105.25000000 0.049157176276 Long DBT CORP US N 2 2024-03-21 Fixed 2.94000000 N N N N N EVERGY KANSAS CENTRAL J75GNWGEO73W89ZV3S44 95709TAN0 800000.00000000 PA USD 740825.21000000 0.078977360240 Long DBT CORP US N 2 2026-07-01 Fixed 2.55000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 400000.00000000 OU Notional Amount 7839.57000000 0.000835755230 N/A DIR AU N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 AUD -4.46000000 AUD 400000.00000000 AUD 7842.54000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJTD0 49538.17000000 PA USD 44328.69000000 0.004725761045 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17326DAF9 2090000.00000000 PA USD 1846454.18000000 0.196845456893 Long ABS-MBS CORP US N 2 2050-09-15 Variable 3.79000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FZZ2 8262.39000000 PA USD 8274.75000000 0.000882148586 Long ABS-MBS USGA US N 2 2041-12-20 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3128MJEV8 21281.04000000 PA USD 22122.84000000 0.002358455787 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DYX4 1912106.23000000 PA USD 1565705.99000000 0.166915656127 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Ford Credit Auto Owner Trust/Ford Credit N/A 34532PAA8 450000.00000000 PA USD 444217.37000000 0.047356805332 Long ABS-O CORP US N 2 2030-07-15 Fixed 3.52000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKTU9 8769.21000000 PA USD 7843.65000000 0.000836190188 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 610220000.00000000 OU Notional Amount -9094.20000000 -0.00096950792 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 6814.00000000 KRW 0.00000000 KRW 610220000.00000000 KRW -9099.30000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 17327CAR4 70000.00000000 PA USD 70609.86000000 0.007527525082 Long DBT CORP US N 2 2034-05-25 Fixed 6.17000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJH48 94436.45000000 PA USD 86139.03000000 0.009183047649 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 2.50000000 N N N N N N NOVARTIS CAPITAL CORP 5493002KF87V5RSRQS84 66989HAS7 271000.00000000 PA USD 197274.39000000 0.021030886037 Long DBT CORP US N 2 2050-08-14 Fixed 2.75000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D6NW6 1338795.97000000 PA USD 1222554.14000000 0.130333170935 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TLT0 203249.91000000 PA USD 195083.04000000 0.020797272175 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.00000000 N N N N N N AEP TRANSMISSION CO LLC 549300X123Z1I0LA3Y84 00115AAP4 130000.00000000 PA USD 116259.70000000 0.012394130335 Long DBT CORP US N 2 2052-06-15 Fixed 4.50000000 N N N N N N Amgen Inc 62QBXGPJ34PQ72Z12S66 031162CJ7 800000.00000000 PA USD 740672.60000000 0.078961090903 Long DBT CORP US N 2 2026-08-19 Fixed 2.60000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11900000.00000000 OU Notional Amount -39637.23000000 -0.00422561725 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 0.00000000 EUR -57361.33000000 EUR 11900000.00000000 EUR 22270.01000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VDN7 640691.31000000 PA USD 578054.12000000 0.061624777150 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXFM9 326450.65000000 PA USD 306981.30000000 0.032726441257 Long ABS-MBS USGSE US N 2 2057-01-01 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6230000.00000000 OU Notional Amount 11483.87000000 0.001224264139 N/A DIR NO N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NOK -11527.59000000 NOK 6230000.00000000 NOK 12526.61000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UCA8 59571.47000000 PA USD 55684.37000000 0.005936359197 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A2VH9 54281.01000000 PA USD 52970.34000000 0.005647023842 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 4.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128MJYD6 132255.11000000 PA USD 126386.13000000 0.013473681488 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 4.00000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCN3 235000.00000000 PA USD 227056.49000000 0.024205874696 Long DBT CORP US N 2 2030-05-06 Fixed 4.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36210BBZ7 6910.42000000 PA USD 7048.30000000 0.000751400088 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 6.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8440000.00000000 OU Notional Amount 4998.26000000 0.000532850900 N/A DIR SE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 SEK -94.11000000 SEK 8440000.00000000 SEK 5007.04000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDC5 430000.00000000 PA USD 353459.10000000 0.037681313073 Long DBT CORP US N 2 2046-08-15 Fixed 4.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q7XS1 91013.66000000 PA USD 85007.15000000 0.009062381001 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 3.50000000 N N N N N N NASDAQ INC 549300L8X1Q78ERXFD06 63111XAK7 95000.00000000 PA USD 97269.57000000 0.010369644238 Long DBT CORP US N 2 2053-08-15 Fixed 5.95000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 12190000.00000000 OU Notional Amount -6954.23000000 -0.00074137154 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-09-13 0.00000000 MXN -112.33000000 MXN 12190000.00000000 MXN -6948.19000000 N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DG2 410000.00000000 PA USD 336498.79000000 0.035873220564 Long DBT CORP US N 2 2062-02-22 Fixed 4.40000000 N N N N N N ANALOG DEVICES INC GYVOE5EZ4GDAVTU4CQ61 032654AX3 180000.00000000 PA USD 127140.69000000 0.013554123077 Long DBT CORP US N 2 2051-10-01 Fixed 2.95000000 N N N N N N AMERIGAS PART/FIN CORP N/A 030981AM6 150000.00000000 PA USD 152343.00000000 0.016240872784 Long DBT CORP US N 2 2028-06-01 Fixed 9.38000000 N N N N N Freddie Mac - STACR 549300TCRXCIFPAC3B85 35565JAH4 1055053.67000000 PA USD 1054403.02000000 0.112407037483 Long ABS-MBS USGSE US N 2 2050-01-25 Floating 7.05000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 467.65000000 0.000049854894 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 110000.00000000 GBP 140197.33000000 USD 2023-09-20 467.65000000 N N N GENUINE PARTS CO 549300D46DQVEU651W04 372460AA3 1530000.00000000 PA USD 1197728.02000000 0.127686525820 Long DBT CORP US N 2 2030-11-01 Fixed 1.88000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABN4 245000.00000000 PA USD 171865.15000000 0.018322076086 Long DBT CORP US N 2 2051-02-15 Fixed 3.30000000 N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BH4 111000.00000000 PA USD 104603.22000000 0.011151464713 Long DBT CORP US N 2 2039-03-15 Fixed 4.75000000 N N N N N N GS Mortgage Securities Trust 549300WF5YRKNHB1FX69 36198EAE5 83769.71000000 PA USD 82598.01000000 0.008805549140 Long ABS-MBS CORP US N 2 2046-07-10 Variable 4.09000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBL6 1550000.00000000 PA USD 1208773.08000000 0.128864009619 Long DBT CORP US N 2 2032-02-04 Fixed 2.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRKD4 588884.75000000 PA USD 592654.04000000 0.063181234902 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DRT1 20129.88000000 PA USD 17840.58000000 0.001901935698 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EVS81 213530.57000000 PA USD 198465.93000000 0.021157912875 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.50000000 N N N N N N ARES CAPITAL CORP WEQ82666OJYSI5GUAB47 04010LBB8 240000.00000000 PA USD 198471.95000000 0.021158554651 Long DBT CORP US N 2 2028-06-15 Fixed 2.88000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBG5 1365000.00000000 PA USD 1003799.49000000 0.107012332815 Long DBT CORP US N 2 2051-02-15 Fixed 3.75000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCZ6 340000.00000000 PA USD 337709.57000000 0.036002298526 Long DBT CORP US N 2 2029-06-08 Fixed 6.31000000 N N N N N N PUBLIC STORAGE 549300LMZF40TKJ6DM64 74460DAJ8 525000.00000000 PA USD 428755.98000000 0.045708508607 Long DBT US N 2 2031-11-09 Fixed 2.25000000 N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132GF5X1 6577.44000000 PA USD 6485.77000000 0.000691430295 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3128MJCV0 4295.94000000 PA USD 4237.60000000 0.000451759007 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 4.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128MJYM6 113555.20000000 PA USD 101777.26000000 0.010850196805 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M8HY2 16581.33000000 PA USD 15926.92000000 0.001697925612 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 3.00000000 N N N N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06368FAJ8 935000.00000000 PA USD 855991.45000000 0.091254919779 Long DBT CORP CA N 2 2027-03-08 Fixed 2.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36294UU67 7222.50000000 PA USD 6812.34000000 0.000726245034 Long ABS-MBS USGA US N 2 2042-04-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TNR2 112072.25000000 PA USD 104972.11000000 0.011190791072 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132WDY24 555.72000000 PA USD 540.06000000 0.000057574327 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 4.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 312940EP0 9853.28000000 PA USD 9741.57000000 0.001038522275 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 4.50000000 N N N N N N Affirm Inc N/A 00834WAF8 2275000.00000000 PA USD 2213913.98000000 0.236019346506 Long ABS-O CORP US N 2 2027-05-17 Fixed 4.30000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 12520000.00000000 OU Notional Amount -3183.67000000 -0.00033940239 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-09-13 0.00000000 MXN -115.37000000 MXN 12520000.00000000 MXN -3176.93000000 N N N SOUTHWEST GAS CORP OQQR1IQTGBKH0UR88X59 845011AC9 85000.00000000 PA USD 69042.90000000 0.007360475739 Long DBT CORP US N 2 2030-06-15 Fixed 2.20000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFK5 2420000.00000000 PA USD 1908463.86000000 0.203456140182 Long DBT CORP US N 2 2049-09-01 Fixed 3.63000000 N N N N N N Freddie Mac N/A 31295NJW9 19807.64000000 PA USD 19190.42000000 0.002045838469 Long ABS-MBS USGSE US N 2 2032-04-01 Floating 4.84000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKUB9 48840.43000000 PA USD 45075.88000000 0.004805416938 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31296MF20 16432.20000000 PA USD 16524.06000000 0.001761585083 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128MJ2T6 27747.90000000 PA USD 26287.72000000 0.002802462314 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.00000000 N N N N N N Roper Technologies Inc 54930003T4SXCIWVXY35 776743AE6 310000.00000000 PA USD 308634.54000000 0.032902688676 Long DBT CORP US N 2 2023-09-15 Fixed 3.65000000 N N N N N COLGATE-PALMOLIVE CO YMEGZFW4SBUSS5BQXF88 194162AP8 90000.00000000 PA USD 82653.69000000 0.008811485033 Long DBT CORP US N 2 2032-08-15 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8TY3 454811.35000000 PA USD 411186.92000000 0.043835518916 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 3.00000000 N N N N N N NiSource Inc 549300D8GOWWH0SJB189 65473QBG7 310000.00000000 PA USD 248759.58000000 0.026519582079 Long DBT CORP US N 2 2048-03-30 Fixed 3.95000000 N N N N N N AstraZeneca PLC PY6ZZQWO2IZFZC3IOL08 046353AN8 990000.00000000 PA USD 929094.10000000 0.099048194422 Long DBT CORP GB N 2 2027-06-12 Fixed 3.13000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10070000.00000000 OU Notional Amount 21505.75000000 0.002292669501 N/A DIR SE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 SEK -112.28000000 SEK 10070000.00000000 SEK 21516.43000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407YDC0 25902.67000000 PA USD 25862.57000000 0.002757138229 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N Freddie Mac N/A 31326FW61 4950.65000000 PA USD 4885.26000000 0.000520804278 Long ABS-MBS USGSE US N 2 2043-08-01 Floating 2.39000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 360000.00000000 OU Notional Amount 2876.67000000 0.000306673962 N/A DIR SG N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 SGD -4.01000000 SGD 360000.00000000 SGD 2879.66000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QLPQ3 1821494.59000000 PA USD 1555250.99000000 0.165801077019 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Westlake Automobile Receivables Trust N/A 96043PAL5 3060000.00000000 PA USD 3053323.39000000 0.325506500112 Long ABS-O CORP US N 2 2027-12-15 Fixed 6.44000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 750000.00000000 OU Notional Amount -7778.31000000 -0.00082922446 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 CAD -1108.72000000 CAD 750000.00000000 CAD -6954.07000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HEXQ0 237013.35000000 PA USD 232624.15000000 0.024799427782 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.50000000 N N N N N N Gilead Sciences Inc 549300WTZWR07K8MNV44 375558AZ6 400000.00000000 PA USD 387855.05000000 0.041348171729 Long DBT CORP US N 2 2025-02-01 Fixed 3.50000000 N N N N N N RENAISSANCERE HOLDINGS L EK6GB9U3U58PDI411C94 75968NAE1 1700000.00000000 PA USD 1664960.93000000 0.177496955259 Long DBT CORP BM N 2 2033-06-05 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCSU3 977489.77000000 PA USD 756864.39000000 0.080687253585 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 1.50000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61747YDY8 580000.00000000 PA USD 507384.63000000 0.054090895076 Long DBT CORP US N 2 2045-01-27 Fixed 4.30000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 241780000.00000000 OU Notional Amount -3539.90000000 -0.00037737910 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 2658.00000000 KRW 0.00000000 KRW 241780000.00000000 KRW -3541.90000000 N N N EATON CORP 0NZWDMRCE180888QQE14 278062AK0 35000.00000000 PA USD 34328.16000000 0.003659631748 Long DBT CORP US N 2 2028-05-18 Fixed 4.35000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBP7 365000.00000000 PA USD 251600.58000000 0.026822453360 Long DBT CORP US N 2 2061-02-04 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJTG3 119992.21000000 PA USD 107222.70000000 0.011430720350 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WECQ0 59601.41000000 PA USD 57095.87000000 0.006086835372 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 4.00000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAG4 470000.00000000 PA USD 492104.10000000 0.052461879343 Long DBT CORP US N 2 2030-02-01 Fixed 7.00000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7180000.00000000 OU Notional Amount 1247.54000000 0.000132996845 N/A DIR CZ N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 80.06000000 CZK 0.00000000 CZK 7180000.00000000 CZK 1243.92000000 N N N PepsiCo Inc FJSUNZKFNQ5YPJ5OT455 713448DF2 800000.00000000 PA USD 762116.30000000 0.081247145423 Long DBT CORP US N 2 2026-02-24 Fixed 2.85000000 N N N N N California State University N/A 13077DKU5 595000.00000000 PA USD 426222.30000000 0.045438399875 Long DBT MUN US N 2 2051-11-01 Fixed 2.98000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QDDQ4 425018.50000000 PA USD 377210.55000000 0.040213390542 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128K8FX9 8957.29000000 PA USD 9007.36000000 0.000960250145 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6NC8 46323.93000000 PA USD 47537.94000000 0.005067890457 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.50000000 N N N N N N NEW FORTRESS ENERGY INC 254900EICTYTCHA5X705 644393AB6 200000.00000000 PA USD 178939.26000000 0.019076227708 Long DBT CORP US N 2 2026-09-30 Fixed 6.50000000 N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128LXUP3 82086.15000000 PA USD 85330.73000000 0.009096876985 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N Tenet Healthcare Corp 0W9AIBT6U6ADJ2I8HK17 88033GAV2 300000.00000000 PA USD 299245.50000000 0.031901748664 Long DBT CORP US N 2 2031-11-15 Fixed 6.88000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388PR52 4067.69000000 PA USD 4103.72000000 0.000437486425 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 6.00000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAR6 170000.00000000 PA USD 161076.38000000 0.017171914667 Long DBT CORP IE N 2 2027-10-15 Fixed 4.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AAP40 3705471.31000000 PA USD 3354597.01000000 0.357624461132 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFMW6 1331324.21000000 PA USD 1149173.80000000 0.122510292517 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WRP20 10357.05000000 PA USD 9349.44000000 0.000996718363 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N Verisk Analytics Inc 549300I1YSWNIRKBWP67 92345YAF3 1056000.00000000 PA USD 1008025.63000000 0.107462870103 Long DBT CORP US N 2 2029-03-15 Fixed 4.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ARSQ5 256542.63000000 PA USD 247506.11000000 0.026385953052 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 440000.00000000 OU Notional Amount 4263.18000000 0.000454486021 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -4.91000000 EUR 440000.00000000 EUR 4268.43000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2SG8 99499.73000000 PA USD 90715.02000000 0.009670881494 Long ABS-MBS USGA US N 2 2046-02-20 Fixed 3.00000000 N N N N N N WASTE CONNECTIONS INC 549300HDLRTPBQU69P29 94106BAA9 305000.00000000 PA USD 263880.44000000 0.028131575827 Long DBT CORP CA N 2 2030-02-01 Fixed 2.60000000 N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAT2 310000.00000000 PA USD 305033.03000000 0.032518741493 Long DBT CORP IE N 2 2023-10-29 Fixed 1.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CR97 20248.46000000 PA USD 19355.30000000 0.002063415877 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.00000000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 455780CX2 200000.00000000 PA USD 137166.00000000 0.014622894103 Long DBT NUSS ID N 2 2071-03-12 Fixed 3.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9CL7 233955.40000000 PA USD 213548.43000000 0.022765817168 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 2.50000000 N N N N N N Affirm Inc N/A 00834JAE0 2375000.00000000 PA USD 2357153.78000000 0.251289751903 Long ABS-O CORP US N 2 2028-01-18 Fixed 6.61000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46643PBJ8 2180000.00000000 PA USD 2076593.44000000 0.221379977314 Long ABS-MBS CORP US N 2 2047-11-15 Fixed 4.07000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BX1 425000.00000000 PA USD 338199.19000000 0.036054495582 Long DBT CORP JP N 2 2032-07-20 Fixed 2.31000000 N N N N N N DOLLAR GENERAL CORP OPX52SQVOZI8IVSWYU66 256677AJ4 75000.00000000 PA USD 73554.12000000 0.007841404630 Long DBT CORP US N 2 2024-09-20 Fixed 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2FW7 217022.67000000 PA USD 204736.14000000 0.021826362905 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 3.50000000 N N N N N N Sales Tax Securitization Corp N/A 79467BDX0 140000.00000000 PA USD 111101.90000000 0.011844271308 Long DBT MUN US N 2 2042-01-01 Fixed 3.24000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LBF7 990000.00000000 PA USD 701315.91000000 0.074765381251 Long DBT CORP US N 2 2051-02-15 Fixed 3.05000000 N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833EK2 890000.00000000 PA USD 619927.11000000 0.066088742699 Long DBT CORP US N 2 2051-08-05 Fixed 2.70000000 N N N N N Freddie Mac N/A 31300LQK4 16840.00000000 PA USD 16891.88000000 0.001800797372 Long ABS-MBS USGSE US N 2 2041-08-01 Floating 3.97000000 N N N N N N Freddie Mac N/A 3128MCRS6 13044.44000000 PA USD 12891.58000000 0.001374336272 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.50000000 N N N N N N ARIZONA PUBLIC SERVICE YG6VT0TPHRH4TFVAQV64 040555CS1 400000.00000000 PA USD 381930.88000000 0.040716612082 Long DBT CORP US N 2 2025-05-15 Fixed 3.15000000 N N N N N New York State Dormitory Authority 549300C8XO7EXTX2XU71 64990GWW8 255000.00000000 PA USD 205370.12000000 0.021893949788 Long DBT MUN US N 2 2043-07-01 Fixed 3.14000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TLR4 35911.22000000 PA USD 32510.45000000 0.003465850630 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128CUWB8 31250.90000000 PA USD 29258.36000000 0.003119154162 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.00000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAN0 805000.00000000 PA USD 660718.95000000 0.070437449788 Long DBT CORP US N 2 2048-04-15 Fixed 4.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DGZ6 22725.45000000 PA USD 23316.82000000 0.002485742747 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EHS37 6656.07000000 PA USD 6551.70000000 0.000698458913 Long ABS-MBS USGSE US N 2 2042-01-01 Floating 4.07000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KHUP9 7101256.73000000 PA USD 5864173.50000000 0.625163583486 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 2.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016FZX5 10000.00000000 PA USD 9800.47000000 0.001044801444 Long DBT CORP CA N 2 2033-02-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620A82U6 29908.47000000 PA USD 29543.14000000 0.003149513783 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 4.50000000 N N N N N N BOOKING HOLDINGS INC FXM8FAOHMYDIPD38UZ17 09857LAR9 315000.00000000 PA USD 306923.98000000 0.032720330528 Long DBT CORP US N 2 2030-04-13 Fixed 4.63000000 N N N N N N AEP TRANSMISSION CO LLC 549300X123Z1I0LA3Y84 00115AAL3 30000.00000000 PA USD 21339.59000000 0.002274955636 Long DBT CORP US N 2 2049-09-15 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EUQ51 21652.28000000 PA USD 20142.30000000 0.002147315806 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136AUZC8 614978.82000000 PA USD 573982.06000000 0.061190665911 Long ABS-MBS USGSE US N 2 2026-09-25 Variable 2.59000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389MY27 28744.28000000 PA USD 28941.42000000 0.003085366051 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.00000000 N N N N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587CV7 1900000.00000000 PA USD 1787147.20000000 0.190522901099 Long DBT CORP US N 2 2026-07-01 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DA85 31262.11000000 PA USD 31242.47000000 0.003330674732 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620AWS92 31522.27000000 PA USD 30509.21000000 0.003252503878 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31391XH93 9444.53000000 PA USD 9228.64000000 0.000983840204 Long ABS-MBS USGSE US N 2 2032-10-01 Floating 3.70000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1040000.00000000 OU Notional Amount 3919.49000000 0.000417846166 N/A DIR NZ N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NZD -11.60000000 NZD 1040000.00000000 NZD 3926.57000000 N N N Freddie Mac 254900HROIFWPRGM1V77 3128PQBL4 11232.96000000 PA USD 11098.68000000 0.001183200081 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179MVS6 12639.06000000 PA USD 11902.60000000 0.001268903805 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DDX4 39566.15000000 PA USD 40583.46000000 0.004326492264 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.50000000 N N N N N N University of California N/A 91412GHA6 115000.00000000 PA USD 102962.49000000 0.010976550951 Long DBT MUN US N 2 2112-05-15 Fixed 4.86000000 N N N N N MEDTRONIC GLOBAL HLDINGS 549300JXMTTP8GKYIX14 58507LBB4 60000.00000000 PA USD 58561.63000000 0.006243096058 Long DBT CORP LU N 2 2028-03-30 Fixed 4.25000000 N N N N N N ATHENE HOLDING LTD 549300H316CT32FQXI76 04686JAE1 55000.00000000 PA USD 33814.00000000 0.003604818549 Long DBT CORP BM N 2 2052-05-15 Fixed 3.45000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J92F7 418932.24000000 PA USD 399548.54000000 0.042594782886 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202EWE5 78131.67000000 PA USD 81738.65000000 0.008713935108 Long ABS-MBS USGA US N 2 2038-09-20 Fixed 6.00000000 N N N N N N Regents of the University of California Medical Center Pooled Revenue N/A 913366KB5 120000.00000000 PA USD 84254.16000000 0.008982106786 Long DBT MUN US N 2 2050-05-15 Fixed 3.01000000 N N N N N N CON EDISON CO OF NY INC VZFZPMWDHTQCFKYOBP05 209111EL3 640000.00000000 PA USD 655042.25000000 0.069832272245 Long DBT CORP US N 2 2036-03-15 Fixed 5.85000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDQ0 200000.00000000 PA USD 197140.00000000 0.021016559085 Long DBT CORP US N 2 2030-06-15 Fixed 6.13000000 N N N N N KENTUCKY UTILITIES CO AGX0G2MXE54NFNNICD28 491674BM8 60000.00000000 PA USD 42670.65000000 0.004549001911 Long DBT CORP US N 2 2050-06-01 Fixed 3.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202D2W0 14517.60000000 PA USD 15189.50000000 0.001619311272 Long ABS-MBS USGA US N 2 2033-12-20 Fixed 6.00000000 N N N N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AF8 200000.00000000 PA USD 186483.98000000 0.019880549782 Long DBT CORP US N 2 2030-01-15 Fixed 4.88000000 N N N N N EVERGY METRO 1128SIJQ26096WL7IO82 485134BP4 300000.00000000 PA USD 287805.35000000 0.030682145395 Long DBT CORP US N 2 2025-08-15 Fixed 3.65000000 N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAE9 1600000.00000000 PA USD 1502073.18000000 0.160131935364 Long DBT CORP ES N 2 2025-05-28 Fixed 2.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 600000.00000000 OU Notional Amount 2732.44000000 0.000291297994 N/A DIR CH N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 2829.67000000 CHF 0.00000000 CHF 600000.00000000 CHF -428.85000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WQB7 1694859.57000000 PA USD 1519691.65000000 0.162010192520 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 3.00000000 N N N N N N CNOOC FINANCE 2015 US 549300Q3CTIH31RFPO82 12634MAB6 600000.00000000 PA USD 577512.00000000 0.061566983211 Long DBT CORP US N 2 2025-05-05 Fixed 3.50000000 N N N N N N PepsiCo Inc FJSUNZKFNQ5YPJ5OT455 713448DP0 7000.00000000 PA USD 5754.10000000 0.000613428947 Long DBT CORP US N 2 2046-10-06 Fixed 3.45000000 N N N N N N Union Electric Co QMPJLLDULY5C1M8PNY21 906548CN0 230000.00000000 PA USD 188536.49000000 0.020099362289 Long DBT CORP US N 2 2048-04-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPUP7 104882.47000000 PA USD 102923.96000000 0.010972443373 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKLM9 657928.03000000 PA USD 565043.53000000 0.060237753545 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGLY1 2004685.16000000 PA USD 1648326.09000000 0.175723560221 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N TRANSCANADA PIPELINES 5BV01I6231JPDAPMGH09 89352HAK5 800000.00000000 PA USD 796158.93000000 0.084876337595 Long DBT CORP CA N 2 2023-10-16 Fixed 3.75000000 N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 06406RBP1 270000.00000000 PA USD 259318.81000000 0.027645272863 Long DBT CORP US N 2 2034-02-01 Fixed 4.71000000 N N N N N N UNIVISION COMMUNICATIONS 549300YQDE2JSGTL8V47 914906AX0 600000.00000000 PA USD 571270.44000000 0.060901587480 Long DBT CORP US N 2 2030-06-30 Fixed 7.38000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UQ70 50968.16000000 PA USD 50673.26000000 0.005402138393 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 5.00000000 N N N N N N Oglethorpe Power Corp 3EERXCUSWMS9GV5D9M98 677050AN6 130000.00000000 PA USD 114668.44000000 0.012224490435 Long DBT CORP US N 2 2048-10-01 Fixed 5.05000000 N N N N N N Public Storage 549300LMZF40TKJ6DM64 74460DAC3 1250000.00000000 PA USD 1165682.91000000 0.124270283821 Long DBT US N 2 2027-09-15 Fixed 3.09000000 N N N N N N EDCON HOLDCO 2 213800QFMH6S1TYEKJ66 000000000 163560.00000000 NS 0.09000000 0.000000009594 Long EC CORP ZA N 3 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 820000.00000000 OU Notional Amount 4.92000000 0.000000524507 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 CAD -237.17000000 CAD 820000.00000000 CAD 184.44000000 N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174468G7 415000.00000000 PA USD 394845.74000000 0.042093430172 Long DBT CORP US N 2 2030-01-23 Fixed 4.43000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACW3 450000.00000000 PA USD 456930.12000000 0.048712077025 Long DBT CORP US N 2 2053-01-15 Fixed 5.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9FM2 96724.79000000 PA USD 86260.31000000 0.009195976979 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 2.00000000 N N N N N N Johnson & Johnson 549300G0CFPGEF6X2043 478160BV5 529000.00000000 PA USD 465739.57000000 0.049651228523 Long DBT CORP US N 2 2046-03-01 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407FFW5 25591.28000000 PA USD 26212.30000000 0.002794421993 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.50000000 N N N N N N CANADIAN NATL RESOURCES 549300T15RIMIKZC5Q38 136385BA8 551000.00000000 PA USD 473108.10000000 0.050436767461 Long DBT CORP CA N 2 2030-07-15 Fixed 2.95000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390MVH4 1597.80000000 PA USD 1631.52000000 0.000173931908 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 6.50000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B2GX4 3402436.31000000 PA USD 3214964.11000000 0.342738577531 Long ABS-MBS USGSE US N 2 2028-06-25 Variable 3.41000000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153BL5 763000.00000000 PA USD 829715.96000000 0.088453761272 Long DBT CORP LR N 2 2027-08-15 Fixed 11.63000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GYJ26 444388.40000000 PA USD 410804.27000000 0.043794725641 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AQAW6 7030.29000000 PA USD 6745.85000000 0.000719156716 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.00000000 N N N N N N Drive Auto Receivables Trust N/A 26208VAF3 312100.51000000 PA USD 311079.25000000 0.033163312558 Long ABS-O CORP US N 2 2026-08-17 Fixed 2.28000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERX39 67707.41000000 PA USD 60601.48000000 0.006460558917 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J6E94 188255.07000000 PA USD 175129.63000000 0.018670093418 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.50000000 N N N N N N Board of Regents of the University of Texas System TEHUYFNKZR6XVWLGEU86 91514AKD6 105000.00000000 PA USD 69566.39000000 0.007416283584 Long DBT MUN US N 2 2049-08-15 Fixed 2.44000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128PUYA4 20179.38000000 PA USD 19644.19000000 0.002094213654 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31296XKQ7 7356.96000000 PA USD 7398.05000000 0.000788685984 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.00000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YBM6 710000.00000000 PA USD 719257.87000000 0.076678124796 Long DBT CORP US N 2 2053-05-17 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8KB0 60365.23000000 PA USD 55809.54000000 0.005949703230 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N PRES & FELLOWS OF HARVAR 6S3X7J22E861RNTJSA74 740816AP8 54000.00000000 PA USD 36105.77000000 0.003849137914 Long DBT CORP US N 2 2050-10-15 Fixed 2.52000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAN0 735000.00000000 PA USD 500976.00000000 0.053407688466 Long DBT NUSS MX N 2 2061-05-24 Fixed 3.77000000 N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAW5 210000.00000000 PA USD 181577.07000000 0.019357437456 Long DBT CORP IE N 2 2028-10-29 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 234740000.00000000 OU Notional Amount -1652.18000000 -0.00017613441 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 2606.00000000 KRW 0.00000000 KRW 234740000.00000000 KRW -1654.18000000 N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 -150.00000000 NC 198542.68000000 0.021166094984 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Short Montreal Exchange 10 Year Canadian Bond Futures CNU3 Comdty 2023-09-20 -18642519.42000000 CAD 198542.68000000 N N N WAKEMED 549300RAN6BZ6UMO7Z44 931108AA2 81000.00000000 PA USD 56802.56000000 0.006055566391 Long DBT CORP US N 2 2052-10-01 Fixed 3.29000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDT4 475000.00000000 PA USD 476157.01000000 0.050761803461 Long DBT CORP US N 2 2031-05-15 Fixed 6.75000000 N N N N N N Bath & Body Works Inc GR3KVMWVCR54YWQNXU90 501797AL8 200000.00000000 PA USD 182997.74000000 0.019508891220 Long DBT CORP US N 2 2035-11-01 Fixed 6.88000000 N N N N N AMERICAN AIRLINES/AADVAN N/A 00253XAB7 950000.00000000 PA USD 922429.86000000 0.098337737925 Long DBT CORP XX N 2 2029-04-20 Fixed 5.75000000 N N N N N N CHEVRON CORP N/A 166764BW9 550000.00000000 PA USD 515363.36000000 0.054941485775 Long DBT CORP US N 2 2025-05-11 Fixed 1.55000000 N N N N N N SAN DIEGO G & E KNIRVXKVNJJ4P8OTMS63 797440CD4 95000.00000000 PA USD 94225.30000000 0.010045102895 Long DBT CORP US N 2 2053-04-01 Fixed 5.35000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2N81 110504.20000000 PA USD 100635.57000000 0.010728484340 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 3.00000000 N N N N N N RPM International Inc 549300TJCKW4BRXPJ474 749685AV5 105000.00000000 PA USD 98511.56000000 0.010502049413 Long DBT CORP US N 2 2027-03-15 Fixed 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KK3U1 1333254.88000000 PA USD 1138367.17000000 0.121358227092 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N WASTE CONNECTIONS INC 549300HDLRTPBQU69P29 94106BAE1 715000.00000000 PA USD 623145.32000000 0.066431827312 Long DBT CORP CA N 2 2032-06-01 Fixed 3.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMCH5 857437.82000000 PA USD 728386.84000000 0.077651339452 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 84840000.00000000 OU Notional Amount 586080.63000000 0.062480461545 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 202164.60000000 EUR 0.00000000 EUR 84840000.00000000 EUR 364853.53000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 910000.00000000 OU Notional Amount USD -1767.69000000 -0.00018844862 N/A DO US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on USD - US CPI Urban Consumers NSA (CPURNSA) 2033-04-13 18.93000000 USD 0.00000000 USD 910000.00000000 USD -1786.62000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HAFM7 363460.07000000 PA USD 356616.80000000 0.038017946880 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31409GKK1 10816.80000000 PA USD 11231.71000000 0.001197382047 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 6.00000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BW3 1820000.00000000 PA USD 1719476.25000000 0.183308685217 Long DBT CORP JP N 2 2025-07-19 Fixed 0.95000000 N N N N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 0641593U8 900000.00000000 PA USD 801399.73000000 0.085435045025 Long DBT CORP CA N 2 2026-03-02 Fixed 1.05000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H040673 400000.00000000 PA USD 378484.38000000 0.040349190093 Long ABS-MBS USGA US N 2 2053-07-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DQA3 100024.90000000 PA USD 88666.53000000 0.009452497548 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERJH4 17300.10000000 PA USD 15483.47000000 0.001650650614 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N Appalachian Power Co 3SCHO1ABYYIG382BEI70 037735CW5 1190000.00000000 PA USD 1110744.36000000 0.118413434465 Long DBT CORP US N 2 2027-06-01 Fixed 3.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8WQ6 598290.24000000 PA USD 494456.94000000 0.052712709214 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8H26 115775.19000000 PA USD 108427.87000000 0.011559200245 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 3.00000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80285RAG3 6167505.73000000 PA USD 6057008.08000000 0.645721153458 Long ABS-O CORP US N 2 2026-09-15 Fixed 2.22000000 N N N N N N ELI LILLY & CO FRDRIPF3EKNDJ2CQJL29 532457CH9 160000.00000000 PA USD 163283.00000000 0.017407156422 Long DBT CORP US N 2 2063-02-27 Fixed 4.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WE3W7 11320.97000000 PA USD 10531.02000000 0.001122683392 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31400SHP7 25686.47000000 PA USD 25914.42000000 0.002762665816 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 6.00000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DX3 55000.00000000 PA USD 44178.08000000 0.004709704923 Long DBT CORP US N 2 2062-03-15 Fixed 3.90000000 N N N N N N NASDAQ INC 549300L8X1Q78ERXFD06 63111XAG6 290000.00000000 PA USD 290837.30000000 0.031005373336 Long DBT CORP US N 2 2025-06-28 Fixed 5.65000000 N N N N N N Southwest Gas Corp OQQR1IQTGBKH0UR88X59 845011AA3 230000.00000000 PA USD 213297.66000000 0.022739083261 Long DBT CORP US N 2 2028-04-01 Fixed 3.70000000 N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BT5 535000.00000000 PA USD 473678.27000000 0.050497551733 Long DBT CORP US N 2 2062-06-15 Fixed 4.30000000 N N N N N N BROWN & BROWN INC 549300PC8KTJ71XKFY89 115236AE1 120000.00000000 PA USD 107763.20000000 0.011488341584 Long DBT CORP US N 2 2032-03-17 Fixed 4.20000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VVY3 534646.29000000 PA USD 465215.60000000 0.049595369507 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N Fannie Mae - CAS N/A 20754FAK8 567498.52000000 PA USD 569775.83000000 0.060742251174 Long ABS-MBS USGSE US N 2 2031-07-25 Floating 7.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406M3E4 24701.93000000 PA USD 24046.98000000 0.002563583118 Long ABS-MBS USGSE US N 2 2035-04-01 Floating 4.15000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCT8 475000.00000000 PA USD 462854.77000000 0.049343687844 Long DBT CORP US N 2 2031-03-01 Fixed 7.38000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DHD7 113989.74000000 PA USD 104621.55000000 0.011153418824 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 2.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 620000.00000000 OU Notional Amount -193.80000000 -0.00002066049 N/A DIR NZ N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NZD -6.92000000 NZD 620000.00000000 NZD -189.45000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F5AD5 15768.31000000 PA USD 14113.92000000 0.001504646614 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 126650CY4 265000.00000000 PA USD 244560.94000000 0.026071976491 Long DBT CORP US N 2 2038-03-25 Fixed 4.78000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CP2 670000.00000000 PA USD 554385.38000000 0.059101517169 Long DBT CORP US N 2 2030-05-01 Fixed 2.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418VWW8 7337.11000000 PA USD 7389.53000000 0.000787777690 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N VIRGIN MEDIA FINANCE PLC 2138001LVYC87DDHT482 92769VAJ8 200000.00000000 PA USD 159219.00000000 0.016973904438 Long DBT CORP GB N 2 2030-07-15 Fixed 5.00000000 N N N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 68233JCM4 70000.00000000 PA USD 67505.47000000 0.007196574509 Long DBT CORP US N 2 2052-09-15 Fixed 4.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D3H3 528779.96000000 PA USD 449379.33000000 0.047907107845 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGLT2 1153009.99000000 PA USD 952895.67000000 0.101585615048 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 103400000.00000000 OU Notional Amount USD -1584277.74000000 -0.16889553987 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.IG.S40 2I65BYEC5 Y buy protection 2028-06-21 0.00000000 USD -632509.52000000 USD 103400000.00000000 USD -951768.22000000 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDZ2 410000.00000000 PA USD 285764.02000000 0.030464524757 Long DBT CORP US N 2 2050-05-15 Fixed 2.90000000 N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109BP8 170000.00000000 PA USD 171803.77000000 0.018315532531 Long DBT US N 2 2032-10-13 Fixed 5.63000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179MNH9 14637.64000000 PA USD 13791.28000000 0.001470250841 Long ABS-MBS USGA US N 2 2042-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DL96 8074.48000000 PA USD 7615.67000000 0.000811885860 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 3.50000000 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AE3 662000.00000000 PA USD 589709.60000000 0.062867336164 Long DBT US N 2 2052-05-15 Fixed 5.63000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A5GA7 1411473.15000000 PA USD 1262925.40000000 0.134637041134 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132WNJK9 8342.68000000 PA USD 8196.35000000 0.000873790575 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ER5K2 213774.35000000 PA USD 199781.45000000 0.021298156883 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TSF3 65140.84000000 PA USD 58816.41000000 0.006270257461 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.00000000 N N N N N N Conagra Brands Inc 54930035UDEIH090K650 205887CD2 440000.00000000 PA USD 422781.56000000 0.045071591944 Long DBT CORP US N 2 2038-11-01 Fixed 5.30000000 N N N N N N Freddie Mac - STACR 5493000ISUYHCRLRBE46 35564KED7 209027.87000000 PA USD 207721.45000000 0.022144618683 Long ABS-MBS USGSE US N 2 2033-10-25 Floating 5.82000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J75K7 15826.37000000 PA USD 15114.49000000 0.001611314660 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 860000.00000000 OU Notional Amount 5728.30000000 0.000610678479 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -9.59000000 EUR 860000.00000000 EUR 5738.62000000 N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016EZD2 1030000.00000000 PA USD 974726.51000000 0.103912941510 Long DBT CORP CA N 2 2027-05-04 Fixed 3.63000000 N N N N N N RIO TINTO FIN USA PLC 2138006TSNBEUA761G16 76720AAP1 920000.00000000 PA USD 927674.47000000 0.098896851529 Long DBT CORP GB N 2 2053-03-09 Fixed 5.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WGB86 8930.07000000 PA USD 8763.27000000 0.000934228374 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.50000000 N N N N N N Carvana Auto Receivables Trust N/A 14686KAD9 1299626.26000000 PA USD 1191251.60000000 0.126996092303 Long ABS-O CORP US N 2 2028-03-10 Fixed 1.07000000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAL8 495000.00000000 PA USD 342876.60000000 0.036553141538 Long DBT CORP US N 2 2050-06-15 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DLH8 71594.67000000 PA USD 66520.22000000 0.007091539687 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKLP2 325147.94000000 PA USD 277430.25000000 0.029576084209 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Chase Funding Mortgage Loan Asset-Backed CTFS N/A 161546JS6 107553.68000000 PA USD 101881.74000000 0.010861335134 Long ABS-O CORP US N 2 2035-02-26 Floating 5.65000000 N N N N N N PLAINS ALL AMER PIPELINE 5521FA2ITF25TVH63740 72650RBH4 170000.00000000 PA USD 136846.76000000 0.014588860795 Long DBT CORP US N 2 2045-02-15 Fixed 4.90000000 N N N N N Freddie Mac - STACR 5493000ISUYHCRLRBE46 35564KEL9 670000.00000000 PA USD 657195.83000000 0.070061859550 Long ABS-MBS USGSE US N 2 2033-10-25 Floating 7.17000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8PJ6 80108.77000000 PA USD 75096.45000000 0.008005828236 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1250000.00000000 OU Notional Amount 3215.35000000 0.000342779716 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 646.72000000 CAD 0.00000000 CAD 1250000.00000000 CAD 2729.53000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBS3 233000.00000000 PA USD 165571.81000000 0.017651160229 Long DBT CORP GB N 2 2042-03-10 Fixed 3.81000000 N N N N N N Morgan Stanley BAML Trust N/A 61763BAU8 460000.00000000 PA USD 455537.36000000 0.048563598670 Long ABS-MBS CORP US N 2 2046-11-15 Fixed 4.04000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1198.00000000 NC USD -2003158.31000000 -0.21355125788 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year U.S. Treasury Notes FVU3 Comdty 2023-09-29 130357627.06000000 USD -2003158.31000000 N N N Duke Energy Ohio Inc L6KC0HABGHNFU1Z6QY21 26442EAG5 100000.00000000 PA USD 83603.37000000 0.008912727834 Long DBT CORP US N 2 2049-02-01 Fixed 4.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A26S6 323871.89000000 PA USD 302921.60000000 0.032293647684 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617HP7D0 92285.36000000 PA USD 87317.80000000 0.009308713111 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 4.00000000 N N N N N N AON GLOBAL LTD 635400FALWQYX5E6QC64 00185AAK0 3400000.00000000 PA USD 3276945.02000000 0.349346193729 Long DBT CORP GB N 2 2025-12-15 Fixed 3.88000000 N N N N N WISCONSIN ELECTRIC POWER AENKIFMULUAWOUU8Q584 976656CN6 20000.00000000 PA USD 19578.06000000 0.002087163714 Long DBT CORP US N 2 2032-09-30 Fixed 4.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230QTD0 9421.64000000 PA USD 8886.76000000 0.000947393307 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M6AR9 22472.25000000 PA USD 23092.74000000 0.002461854188 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9SE1 27237.41000000 PA USD 24587.36000000 0.002621191560 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230SME1 3750.58000000 PA USD 3659.71000000 0.000390151726 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 4.00000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661EN3 305000.00000000 PA USD 301640.71000000 0.032157095486 Long DBT CORP US N 2 2062-09-15 Fixed 5.80000000 N N N N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 100.00000000 NC -53286.49000000 -0.00568072773 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SFE 10 Year Australian Bond Futures XMU3 Comdty 2023-09-15 11697222.70000000 AUD -53286.49000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ3J7 108197.05000000 PA USD 99968.46000000 0.010657365558 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDG8 1150000.00000000 PA USD 1134594.26000000 0.120956007421 Long DBT CORP US N 2 2028-07-25 Fixed 4.85000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132HNRA9 36007.76000000 PA USD 34659.55000000 0.003694960334 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617BKPT2 76192.45000000 PA USD 72374.03000000 0.007715598446 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.00000000 N N N N N N University of Virginia N/A 915217XM0 60000.00000000 PA USD 39635.82000000 0.004225466941 Long DBT MUN US N 2 2051-11-01 Fixed 2.58000000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BX6 930000.00000000 PA USD 1032547.71000000 0.110077102340 Long DBT CORP US N 2 2054-11-15 Fixed 5.70000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128CUJL1 15774.80000000 PA USD 15637.21000000 0.001667040417 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 5.00000000 N N N N N N OneMain Financial Issuance Trust N/A 68269BAA6 5690000.00000000 PA USD 5147152.38000000 0.548723912522 Long ABS-O CORP US N 2 2036-10-14 Fixed 3.14000000 N N N N N N INDIANA MICHIGAN POWER JHR9V15J0ZRG02MIRD06 454889AV8 50000.00000000 PA USD 51307.67000000 0.005469771117 Long DBT CORP US N 2 2053-04-01 Fixed 5.63000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4940000.00000000 OU Notional Amount 76529.34000000 0.008158584741 N/A DIR GB N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-09-22 37578.96000000 GBP 0.00000000 GBP 4940000.00000000 GBP 28490.25000000 N N N Freddie Mac - STACR 5493000IRODEKU3J3Q16 35564KTA7 1044484.20000000 PA USD 1046447.83000000 0.111558956319 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 7.17000000 N N N N N N UNITED PARCEL SERVICE D01LMJZU09ULLNCY6Z23 911312BW5 280000.00000000 PA USD 294133.29000000 0.031356749864 Long DBT CORP US N 2 2050-04-01 Fixed 5.30000000 N N N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 084659AR2 500000.00000000 PA USD 421666.73000000 0.044952742950 Long DBT CORP US N 2 2049-01-15 Fixed 4.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D6BH2 584646.74000000 PA USD 504545.02000000 0.053788171979 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 1.50000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468R3 2060000.00000000 PA USD 1915590.07000000 0.204215846044 Long DBT CORP US N 2 2025-10-21 Fixed 0.86000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402CVV1 133837.86000000 PA USD 138225.66000000 0.014735861572 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WY93 1416522.06000000 PA USD 1226595.94000000 0.130764056237 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 2.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128L5LD1 8470.04000000 PA USD 8558.28000000 0.000912374948 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385H7M8 672.26000000 PA USD 696.22000000 0.000074222120 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TAL9 257440.06000000 PA USD 247102.82000000 0.026342959402 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.00000000 N N N N N N KYNDRYL HOLDINGS INC 549300LQ4LWX2R8ZV130 50155QAM2 30000.00000000 PA USD 20043.22000000 0.002136753157 Long DBT CORP US N 2 2041-10-15 Fixed 4.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390UXE1 19590.74000000 PA USD 19782.62000000 0.002108971300 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 6.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128MJQH6 208966.55000000 PA USD 201145.95000000 0.021443622516 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31287YYB4 73547.88000000 PA USD 78447.55000000 0.008363079890 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 6.50000000 N N N N N N BANNER HEALTH PLD0E0WJKFN8IZJ2WD85 06654DAC1 119000.00000000 PA USD 85289.57000000 0.009092489029 Long DBT CORP US N 2 2050-01-01 Fixed 3.18000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132GFUJ4 6917.38000000 PA USD 6838.93000000 0.000729079722 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417SAQ3 5224.64000000 PA USD 5191.84000000 0.000553487938 Long ABS-MBS USGSE US N 2 2024-10-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TQP3 28051.38000000 PA USD 26288.74000000 0.002802571053 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 3.50000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JJ7 340000.00000000 PA USD 216275.81000000 0.023056575730 Long DBT CORP US N 2 2050-08-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FKM7 192762.86000000 PA USD 187166.67000000 0.019953329506 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXGM8 65347.30000000 PA USD 58696.20000000 0.006257442200 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.00000000 N N N N N N S&P GLOBAL INC Y6X4K52KMJMZE7I7MY94 78409VBH6 840000.00000000 PA USD 774777.26000000 0.082596895925 Long DBT CORP US N 2 2027-03-01 Fixed 2.45000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A2SC7 17476.39000000 PA USD 15933.42000000 0.001698618559 Long ABS-MBS USGA US N 2 2046-02-20 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 350000.00000000 OU Notional Amount -20891.13000000 -0.00222714653 N/A DIR GB N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 GBP -805.37000000 GBP 350000.00000000 GBP -19885.02000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 890000.00000000 OU Notional Amount 10709.05000000 0.001141662686 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -722.66000000 EUR 890000.00000000 EUR 11486.81000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9690000.00000000 OU Notional Amount -2272.50000000 -0.00024226504 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 107.79000000 THB 0.00000000 THB 9690000.00000000 THB -2275.60000000 N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCQ6 450000.00000000 PA USD 435754.42000000 0.046454593256 Long DBT CORP US N 2 2053-02-06 Fixed 5.55000000 N N N N N N BLACKROCK CASH FUNDS TREASURY SL AGENCY SHARES 5493008LW2651I1QB503 066922477 100000.00000000 NS USD 100000.00000000 0.010660727952 Long STIV RF US N 1 N N N Freddie Mac 254900HROIFWPRGM1V77 3132WDDB7 1659.94000000 PA USD 1628.34000000 0.000173592897 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 4.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M9R79 64550.67000000 PA USD 60504.28000000 0.006450196690 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CYZ1 17612.45000000 PA USD 17123.39000000 0.001825478024 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 4.00000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DE6 1420000.00000000 PA USD 1378394.00000000 0.146946834451 Long DBT CORP GB N 2 2025-12-09 Fixed 4.18000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGXX0 416354.32000000 PA USD 369209.00000000 0.039360367065 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 2.00000000 N N N N N N ALLINA HEALTH SYSTEM 5493001V00JCD7SQ0G44 01959LAE2 230000.00000000 PA USD 149796.89000000 0.015969438923 Long DBT CORP US N 2 2051-11-15 Fixed 2.90000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount USD 363509.63000000 0.038752772734 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2040-10-22 0.00000000 USD 0.00000000 USD 1000000.00000000 USD 363509.63000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9390000.00000000 OU Notional Amount 14357.46000000 0.001530609751 N/A DIR ZA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 104.70000000 ZAR 0.00000000 ZAR 9390000.00000000 ZAR 14352.17000000 N N N New Jersey Turnpike Authority 5493005YN67D71KSMI84 646139X83 150000.00000000 PA USD 182925.15000000 0.019501152597 Long DBT MUN US N 2 2041-01-01 Fixed 7.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q7RS8 167250.29000000 PA USD 164167.27000000 0.017501426041 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EQLB6 33674.06000000 PA USD 33913.75000000 0.003615452625 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QHP33 110415.38000000 PA USD 100870.25000000 0.010753502937 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 2.50000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B1K86 1458280.54000000 PA USD 1366410.18000000 0.145669272002 Long ABS-MBS USGSE US N 2 2028-03-25 Variable 3.13000000 N N N N N N COOPERAT RABOBANK UA/NY DG3RU1DBUFHT4ZF9WN62 21688AAV4 445000.00000000 PA USD 441468.88000000 0.047063796290 Long DBT CORP NL N 2 2025-01-13 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 20270000.00000000 OU Notional Amount USD -162497.24000000 -0.01732338868 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-09-21 0.00000000 USD -64165.81000000 USD 20270000.00000000 USD -98331.43000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DH9 1690000.00000000 PA USD 1652254.07000000 0.176142311483 Long DBT CORP GB N 2 2033-08-11 Fixed 5.40000000 N N N N N University of Michigan N/A 914455UK4 67000.00000000 PA USD 53882.27000000 0.005744242219 Long DBT MUN US N 2 2052-04-01 Fixed 3.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLA5 945000.00000000 PA USD 928894.53000000 0.099026918807 Long DBT CORP US N 2 2026-07-22 Fixed 4.83000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397C68 300000.00000000 PA USD 306372.60000000 0.032661549406 Long DBT CORP US N 2 2030-03-06 Fixed 7.35000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9770000.00000000 OU Notional Amount 16611.49000000 0.001770905757 N/A DIR SE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 SEK -108.94000000 SEK 9770000.00000000 SEK 16622.03000000 N N N BROOKFIELD CAPITAL FIN N/A 11259NAA2 145000.00000000 PA USD 147203.15000000 0.015692927358 Long DBT CORP US N 2 2033-06-14 Fixed 6.09000000 N N N N N N SOUTHERN CALIF GAS CO XY0N0J73VHV5F4CUJV89 842434CQ3 800000.00000000 PA USD 745574.96000000 0.079483718166 Long DBT CORP US N 2 2026-06-15 Fixed 2.60000000 N N N N N ACC Auto Trust N/A 00108XAA6 127141.38000000 PA USD 126855.07000000 0.013523673906 Long ABS-O CORP US N 2 2027-04-15 Fixed 1.08000000 N N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74762EAJ1 605000.00000000 PA USD 419834.09000000 0.044757370185 Long DBT CORP US N 2 2041-10-01 Fixed 3.05000000 N N N N N VISTRA CORP 549300ZH5GKBTJZ7NM23 92840VAF9 500000.00000000 PA USD 468008.50000000 0.049893112978 Long DBT CORP US N 2 2027-07-31 Fixed 5.00000000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BY4 135000.00000000 PA USD 153592.74000000 0.016374104165 Long DBT CORP US N 2 2063-11-15 Fixed 5.90000000 N N N N N Exeter Automobile Receivables Trust N/A 30165XAF2 2225000.00000000 PA USD 2062263.28000000 0.219852277941 Long ABS-O CORP US N 2 2027-04-15 Fixed 1.40000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 20268JAG8 339000.00000000 PA USD 261919.61000000 0.027922537075 Long DBT CORP US N 2 2050-10-01 Fixed 3.91000000 N N N N N N CONSUMERS ENERGY CO 7NKTFWJ1G6MELP9TU740 210518DQ6 60000.00000000 PA USD 51336.85000000 0.005472881917 Long DBT CORP US N 2 2052-09-01 Fixed 4.20000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31297FFY4 66299.30000000 PA USD 67020.99000000 0.007144925414 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179DJ84 30980.21000000 PA USD 28794.17000000 0.003069668129 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MHSX8 931272.51000000 PA USD 790932.58000000 0.084319170640 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N NATIONAL RURAL UTIL COOP 4NYF266XZC35SCTGX023 637432NS0 680000.00000000 PA USD 627709.17000000 0.066918366945 Long DBT CORP US N 2 2029-03-15 Fixed 3.70000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AVGL3 158492.54000000 PA USD 152387.00000000 0.016245563504 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RJD2 103771.48000000 PA USD 94932.32000000 0.010120476374 Long ABS-MBS USGA US N 2 2045-07-20 Fixed 3.00000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CY3 480000.00000000 PA USD 465869.67000000 0.049665098131 Long DBT CORP US N 2 2025-08-01 Fixed 3.95000000 N N N N N N AGILENT TECHNOLOGIES INC QUIX8Y7A2WP0XRMW7G29 00846UAN1 1115000.00000000 PA USD 912460.94000000 0.097274978484 Long DBT CORP US N 2 2031-03-12 Fixed 2.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDCS3 1775251.90000000 PA USD 1459137.55000000 0.155554684655 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.00000000 N N N N N N BLACKROCK CASH FUNDS N/A 066922477 3611541.61000000 NS USD 3612263.91000000 0.385093628364 Long STIV RF US N 1 N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KCJ7 50000.00000000 PA USD 49311.31000000 0.005256944608 Long DBT CORP US N 2 2032-07-15 Fixed 5.00000000 N N N N N ALLIED UNIVERSAL N/A 019576AB3 200000.00000000 PA USD 176790.66000000 0.018847171307 Long DBT CORP US N 2 2027-07-15 Fixed 9.75000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D6BX7 190223.88000000 PA USD 173212.78000000 0.018465743254 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413YMN8 5692.02000000 PA USD 5880.20000000 0.000626872125 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6.00000000 N N N N N N Flex Ltd 549300EAQH74YHD07T53 33938XAA3 745000.00000000 PA USD 704851.95000000 0.075142348856 Long DBT CORP SG N 2 2029-06-15 Fixed 4.88000000 N N N N N N MEDLINE BORROWER LP 254900QT3R363TVK6F09 62482BAB8 400000.00000000 PA USD 347079.64000000 0.037001216198 Long DBT CORP US N 2 2029-10-01 Fixed 5.25000000 N N N N N AMEREN ILLINOIS CO RC71E2BZ6UOMFPDJSE79 02361DAU4 130000.00000000 PA USD 95007.47000000 0.010128487911 Long DBT CORP US N 2 2050-03-15 Fixed 3.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AADU5 20503.36000000 PA USD 19758.33000000 0.002106381809 Long ABS-MBS USGA US N 2 2048-05-15 Fixed 4.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31297P2C4 44128.10000000 PA USD 44494.66000000 0.004743454655 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BMN5 28786.48000000 PA USD 29454.14000000 0.003140025736 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 5.50000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833EL0 450000.00000000 PA USD 306249.00000000 0.032648372746 Long DBT CORP US N 2 2061-08-05 Fixed 2.85000000 N N N N N N UNIVERSITY OF CHICAGO 54930099Y7GU6182V326 91412NBE9 157000.00000000 PA USD 106815.14000000 0.011387271487 Long DBT CORP US N 2 2050-04-01 Fixed 2.55000000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200KU4 2905000.00000000 PA USD 2785141.56000000 0.296916364798 Long DBT CORP US N 2 2032-07-27 Fixed 4.40000000 N N N N N NASDAQ INC 549300L8X1Q78ERXFD06 63111XAB7 68000.00000000 PA USD 45971.86000000 0.004900934929 Long DBT CORP US N 2 2050-04-28 Fixed 3.25000000 N N N N N NORTHWESTERN UNIVERSITY OBWWNZE695DUK77DTI34 668444AS1 266000.00000000 PA USD 184460.27000000 0.019664807564 Long DBT CORP US N 2 2050-12-01 Fixed 2.64000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 608620000.00000000 OU Notional Amount -4432.58000000 -0.00047254529 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 6801.00000000 KRW 0.00000000 KRW 608620000.00000000 KRW -4437.73000000 N N N Santander Drive Auto Receivables Trust N/A 80285VAE9 5030000.00000000 PA USD 4834890.32000000 0.515434503808 Long ABS-O CORP US N 2 2027-02-16 Fixed 1.26000000 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BR9 100000.00000000 PA USD 99332.91000000 0.010589611302 Long DBT CORP US N 2 2033-08-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNQM7 931474.31000000 PA USD 791310.83000000 0.084359494843 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89114TZL9 1420000.00000000 PA USD 1336670.30000000 0.142498784302 Long DBT CORP CA N 2 2025-01-10 Fixed 1.45000000 N N N N N GS Mortgage Securities Trust 549300WZ62L3Y22NOZ64 36252AAC0 2030000.00000000 PA USD 1909536.76000000 0.203570519133 Long ABS-MBS CORP US N 2 2048-11-10 Fixed 3.73000000 N N N N N N Bank N/A 06035RAR7 2800000.00000000 PA USD 2606007.04000000 0.277819320952 Long ABS-MBS CORP US N 2 2060-09-15 Fixed 3.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417FBL1 84718.95000000 PA USD 85440.41000000 0.009108569671 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 5.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128PYAM6 293899.21000000 PA USD 281334.51000000 0.029992306747 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 2.50000000 N N N N N N Freddie Mac - STACR 5493003FQV7GR462GO02 35565HAH8 2781871.71000000 PA USD 2781994.95000000 0.296580913266 Long ABS-MBS USGSE US N 2 2050-01-25 Floating 6.85000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NEC1 1570000.00000000 PA USD 1558562.57000000 0.166154115554 Long DBT CORP US N 2 2033-02-15 Fixed 4.65000000 N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M9SS2 188106.52000000 PA USD 176045.62000000 0.018767744620 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2690000.00000000 OU Notional Amount USD -58508.49000000 -0.00623743094 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-09-22 0.00000000 USD -23325.50000000 USD 2690000.00000000 USD -35182.99000000 N N N Chicago O'Hare International Airport N/A 167593H62 110000.00000000 PA USD 102562.68000000 0.010933928295 Long DBT MUN US N 2 2049-01-01 Fixed 4.47000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3420000.00000000 OU Notional Amount USD -21760.87000000 -0.00231986715 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-09-21 62.93000000 USD 0.00000000 USD 3420000.00000000 USD -21823.80000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230QTP3 32287.79000000 PA USD 31409.53000000 0.003348484544 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AVV7 210078.92000000 PA USD 196458.25000000 0.020943879572 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.00000000 N N N N N N TUCSON ELECTRIC POWER CO YLF139GXSRKPBBTNZL03 898813AS9 190000.00000000 PA USD 149732.73000000 0.015962599000 Long DBT CORP US N 2 2030-08-01 Fixed 1.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3B7 835000.00000000 PA USD 800942.23000000 0.085386272195 Long DBT CORP US N 2 2033-07-25 Fixed 4.90000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833ER7 270000.00000000 PA USD 236343.94000000 0.025195984475 Long DBT CORP US N 2 2062-08-08 Fixed 4.10000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1620000.00000000 OU Notional Amount 9730.12000000 0.001037301622 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 18.07000000 PLN 0.00000000 PLN 1620000.00000000 PLN 9725.81000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CAF1 72639.87000000 PA USD 65080.37000000 0.006938041196 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBG2 250000.00000000 PA USD 196629.68000000 0.020962155258 Long DBT CORP US N 2 2050-05-01 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8RR0 698111.34000000 PA USD 576945.33000000 0.061506572064 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GNU6 72338.42000000 PA USD 67648.79000000 0.007211853464 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335CBP8 1970.34000000 PA USD 1881.29000000 0.000200559208 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 780000.00000000 OU Notional Amount 3217.24000000 0.000342981203 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -8.70000000 EUR 780000.00000000 EUR 3226.77000000 N N N Freddie Mac 254900HROIFWPRGM1V77 3128M7MH6 26352.17000000 PA USD 27032.84000000 0.002881897530 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.50000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NBW0 400000.00000000 PA USD 367266.47000000 0.039153279226 Long DBT CORP US N 2 2027-01-15 Fixed 2.35000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TV85 29717.64000000 PA USD 29666.39000000 0.003162653131 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1020000.00000000 OU Notional Amount 3178.01000000 0.000338799000 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -11.38000000 EUR 1020000.00000000 EUR 3190.27000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31400HVV2 4898.01000000 PA USD 5011.62000000 0.000534275174 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 5.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJD2 2030000.00000000 PA USD 1859518.18000000 0.198238174393 Long DBT CORP US N 2 2026-06-19 Fixed 1.32000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SGK7 90972.13000000 PA USD 82805.05000000 0.008827621111 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9SN2 512428.43000000 PA USD 457739.90000000 0.048798405468 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9FE6 77606.16000000 PA USD 76037.18000000 0.008106116902 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796ZN2 9600000.00000000 PA USD 9351452.64000000 0.996932925539 Long DBT UST US N 2 2023-12-28 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXF23 372955.25000000 PA USD 350712.43000000 0.037388498057 Long ABS-MBS USGSE US N 2 2057-02-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWMP6 1571159.01000000 PA USD 1505374.72000000 0.160483903562 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 3.50000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BJ0 1735000.00000000 PA USD 1631620.34000000 0.173942605662 Long DBT CORP US N 2 2049-03-15 Fixed 4.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416CA63 56286.43000000 PA USD 58238.26000000 0.006208622462 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 6.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M5ED8 21152.84000000 PA USD 21754.66000000 0.002319205119 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 5.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 880000.00000000 OU Notional Amount 10086.31000000 0.001075274069 N/A DIR NZ N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NZD -9.81000000 NZD 880000.00000000 NZD 10092.54000000 N N N Freddie Mac 254900HROIFWPRGM1V77 3132J2SY0 13590.54000000 PA USD 12724.34000000 0.001356507271 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 3.00000000 N N N N N N SERVICENOW INC 549300HJTQM36M0E1G39 81762PAE2 72000.00000000 PA USD 57006.75000000 0.006077334531 Long DBT CORP US N 2 2030-09-01 Fixed 1.40000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAG5 209000.00000000 PA USD 205981.66000000 0.021959144404 Long DBT CORP US N 2 2024-12-01 Fixed 4.88000000 N N N N N N CME GROUP INC LCZ7XYGSLJUHFXXNXD88 12572QAK1 305000.00000000 PA USD 259065.65000000 0.027618284164 Long DBT CORP US N 2 2032-03-15 Fixed 2.65000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128MJL65 58017.38000000 PA USD 58500.98000000 0.006236630327 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MAJZ2 215458.17000000 PA USD 201731.70000000 0.021506067730 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31387WTS6 359.58000000 PA USD 367.17000000 0.000039142994 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 6.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAH3 365000.00000000 PA USD 342188.69000000 0.036479805324 Long DBT CORP US N 2 2026-11-16 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 37800000.00000000 OU Notional Amount USD 70961.68000000 0.007565031655 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 USD -152051.89000000 USD 37800000.00000000 USD 223013.57000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TZ65 284642.61000000 PA USD 278443.59000000 0.029684113630 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181FM81 16162.31000000 PA USD 15131.15000000 0.001613090737 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3129332E3 34401.90000000 PA USD 34011.69000000 0.003625893742 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414BWQ9 17846.46000000 PA USD 18326.00000000 0.001953685004 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q7XJ1 91542.44000000 PA USD 85304.79000000 0.009094111592 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RNX3 184457.32000000 PA USD 177660.24000000 0.018939874865 Long ABS-MBS USGA US N 2 2045-09-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FTM8 145676.39000000 PA USD 148023.13000000 0.015780343195 Long ABS-MBS USGA US N 2 2041-05-20 Fixed 5.00000000 N N N N N N Freddie Mac - STACR N/A 35565AAH3 381057.27000000 PA USD 381533.59000000 0.040674258076 Long ABS-MBS USGSE US N 2 2049-10-25 Floating 7.10000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 312940RE1 1972.10000000 PA USD 1949.75000000 0.000207857543 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 4.50000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582AD4 67000.00000000 PA USD 75086.49000000 0.008004766427 Long DBT CORP NL N 2 2038-12-15 Fixed 6.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181GDE6 141711.00000000 PA USD 131679.36000000 0.014037978338 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620ARST9 72534.03000000 PA USD 69979.37000000 0.007460310258 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJM96 77254.88000000 PA USD 69462.63000000 0.007405222012 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CT7 120000.00000000 PA USD 119186.08000000 0.012706103745 Long DBT CORP US N 2 2052-09-15 Fixed 4.95000000 N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132GMAK8 6337.37000000 PA USD 6192.82000000 0.000660199692 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132CWM84 1131357.17000000 PA USD 1048448.13000000 0.111772202860 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 2.50000000 N N N N N N Freddie Mac N/A 3128LLDM5 469.35000000 PA USD 458.01000000 0.000048827200 Long ABS-MBS USGSE US N 2 2042-01-01 Floating 4.15000000 N N N N N N Motorola Solutions Inc 6S552MUG6KGJVEBSEC55 620076BE8 1370000.00000000 PA USD 1300439.96000000 0.138636366318 Long DBT CORP US N 2 2044-09-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230QTQ1 35500.83000000 PA USD 34535.37000000 0.003681721843 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 4.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31287YYD0 71076.07000000 PA USD 75562.59000000 0.008055522153 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 6.50000000 N N N N N N Commonwealth of Massachusetts 5493001N1YCXNI1O7K10 57582RYY6 295000.00000000 PA USD 211373.11000000 0.022533912221 Long DBT MUN US N 2 2049-09-01 Fixed 2.90000000 N N N N N N FAIRFAX FINL HLDGS LTD GLS7OQD0WOEDI8YAP031 303901BJ0 360000.00000000 PA USD 303855.33000000 0.032393190099 Long DBT CORP CA N 2 2031-03-03 Fixed 3.38000000 N N N N N N PECO ENERGY CO YH65D4JBECK76IFEJ279 693304BA4 70000.00000000 PA USD 48353.69000000 0.005154855345 Long DBT CORP US N 2 2051-03-15 Fixed 3.05000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180MXS1 153983.31000000 PA USD 144428.31000000 0.015397109215 Long ABS-MBS USGA US N 2 2043-03-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XFE1 289672.61000000 PA USD 259206.28000000 0.027633276346 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 3.00000000 N N N N N N Bay Area Toll Authority 5493001FUZGUQMIP5D78 072024NU2 50000.00000000 PA USD 58823.10000000 0.006270970664 Long DBT MUN US N 2 2040-04-01 Fixed 6.92000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178DZF1 95271.08000000 PA USD 88524.16000000 0.009437319869 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWBN2 913323.50000000 PA USD 707464.80000000 0.075420897686 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 1.50000000 N N N N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 718286CP0 200000.00000000 PA USD 147444.00000000 0.015718603722 Long DBT NUSS PH N 2 2046-07-06 Fixed 3.20000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JW8 100000.00000000 PA USD 86191.90000000 0.009188683975 Long DBT CORP US N 2 2028-06-15 Fixed 3.00000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DX4 430000.00000000 PA USD 428330.90000000 0.045663191984 Long DBT CORP GB N 2 2034-06-20 Fixed 6.55000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1000000.00000000 OU Notional Amount USD -353815.62000000 -0.03771932070 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2040-10-22 0.00000000 USD 0.00000000 USD 1000000.00000000 USD -353815.62000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1170000.00000000 OU Notional Amount 5277.13000000 0.000562580472 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 13.05000000 PLN 0.00000000 PLN 1170000.00000000 PLN 5274.02000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CGW5 15070754.00000000 PA USD 14580954.50000000 1.554435892095 Long DBT UST US N 2 2028-04-15 Fixed 1.25000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661EM5 67000.00000000 PA USD 66959.86000000 0.007138408511 Long DBT CORP US N 2 2053-04-15 Fixed 5.63000000 N N N N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 369550BK3 1130000.00000000 PA USD 1092470.41000000 0.116465298369 Long DBT CORP US N 2 2025-04-01 Fixed 3.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179VZS2 377345.89000000 PA USD 340074.72000000 0.036254440733 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 3.00000000 N N N N N N Freddie Mac N/A 31335BRK4 176620.18000000 PA USD 158213.83000000 0.016866745999 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4160000.00000000 OU Notional Amount 9561.56000000 0.001019331899 N/A DIR SE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 13813.01000000 SEK 0.00000000 SEK 4160000.00000000 SEK 8247.54000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGKE3 77853.36000000 PA USD 78411.77000000 0.008359265482 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31335AY69 64067.41000000 PA USD 62943.86000000 0.006710273677 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHTS1 194808.57000000 PA USD 185952.53000000 0.019823893343 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 800000.00000000 OU Notional Amount -3173.28000000 -0.00033829474 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 2382.63000000 CAD 0.00000000 CAD 800000.00000000 CAD -4927.15000000 N N N NatWest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC -106.70000000 -0.00001137499 N/A DFE US N 2 NatWest Markets PLC RR3QWICWWIPCS8A4S074 80000.00000000 EUR 87523.12000000 USD 2023-09-20 -106.70000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5420000.00000000 OU Notional Amount 587.00000000 0.000062578473 N/A DIR CZ N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 60.44000000 CZK 0.00000000 CZK 5420000.00000000 CZK 584.28000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36296QME6 46146.24000000 PA USD 45540.02000000 0.004854897641 Long ABS-MBS USGA US N 2 2039-03-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QYH8 147735.05000000 PA USD 148785.42000000 0.015861608858 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177YC95 3598.44000000 PA USD 3394.02000000 0.000361827238 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.50000000 N N N N N N University of Michigan N/A 914455UH1 38000.00000000 PA USD 30610.82000000 0.003263336244 Long DBT MUN US N 2 2052-04-01 Fixed 3.50000000 N N N N N COTY/HFC PRESTIGE/INT US N/A 222070AG9 347000.00000000 PA USD 319934.00000000 0.034107293366 Long DBT CORP US N 2 2029-01-15 Fixed 4.75000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHKC5 31662.14000000 PA USD 29408.58000000 0.003135168708 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.50000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 35565TAH2 3969471.52000000 PA USD 4029013.59000000 0.429522177991 Long ABS-MBS USGSE US N 2 2050-11-25 Floating 7.67000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407SPQ9 26245.32000000 PA USD 26922.92000000 0.002870179258 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A24E9 247897.90000000 PA USD 226750.38000000 0.024173241142 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 3.50000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAN4 200000.00000000 PA USD 182722.30000000 0.019479527311 Long DBT CORP CA N 2 2029-06-15 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138Y4PH6 260001.40000000 PA USD 246643.40000000 0.026293981886 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TV69 196323.30000000 PA USD 188144.31000000 0.020057553046 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2720000.00000000 OU Notional Amount 7340.62000000 0.000782563528 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 30.33000000 PLN 0.00000000 PLN 2720000.00000000 PLN 7333.34000000 N N N Freddie Mac 254900HROIFWPRGM1V77 3132JAEZ4 202401.70000000 PA USD 189250.63000000 0.020175494812 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128MAET2 42937.00000000 PA USD 41222.79000000 0.004394649496 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 4.00000000 N N N N N N BECTON DICKINSON & CO ICE2EP6D98PQUILVRZ91 075887CP2 180000.00000000 PA USD 170740.97000000 0.018202230314 Long DBT CORP US N 2 2032-08-22 Fixed 4.30000000 N N N N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 718286CL9 200000.00000000 PA USD 134144.00000000 0.014300726904 Long DBT NUSS PH N 2 2045-12-10 Fixed 2.65000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DS4 1070000.00000000 PA USD 695699.18000000 0.074166596946 Long DBT CORP US N 2 2050-11-13 Fixed 2.55000000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AP9 200000.00000000 PA USD 184553.92000000 0.019674791336 Long DBT CORP US N 2 2029-12-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179W5B0 489494.05000000 PA USD 423917.34000000 0.045192674360 Long ABS-MBS USGA US N 2 2052-05-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418UCL6 9043.04000000 PA USD 9083.23000000 0.000968338439 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.00000000 N N N N N N Zoetis Inc 549300HD9Q1LOC9KLJ48 98978VAL7 1800000.00000000 PA USD 1676778.93000000 0.178756840089 Long DBT CORP US N 2 2027-09-12 Fixed 3.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 424.00000000 NC USD -94430.94000000 -0.01006702561 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT U.S. Long Bond Futures USU3 Comdty 2023-09-20 53995430.94000000 USD -94430.94000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132LAV82 11637.76000000 PA USD 11406.29000000 0.001215993546 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.50000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBZ7 940000.00000000 PA USD 724203.24000000 0.077205337238 Long DBT CORP US N 2 2041-03-25 Fixed 3.65000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAZ8 335000.00000000 PA USD 287445.39000000 0.030643771039 Long DBT CORP US N 2 2050-04-15 Fixed 4.50000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEF5 5000.00000000 PA USD 3729.53000000 0.000397595047 Long DBT CORP US N 2 2051-05-15 Fixed 3.25000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BR7 500000.00000000 PA USD 501895.00000000 0.053505660556 Long DBT CORP US N 2 2028-08-15 Fixed 6.75000000 N N N N N N COMM Mortgage Trust N/A 12631DBB8 670000.00000000 PA USD 654817.47000000 0.069808309060 Long ABS-MBS CORP US N 2 2047-05-10 Fixed 3.98000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8GK3 130317.44000000 PA USD 116634.40000000 0.012434076082 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ER5V8 239805.30000000 PA USD 214607.40000000 0.022878711079 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.00000000 N N N N N N TRANSOCEAN INC DOL4HJ22ADYSIWES4H94 893830BX6 300000.00000000 PA USD 304500.00000000 0.032461916614 Long DBT CORP KY N 2 2030-02-15 Fixed 8.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TJZ9 15442.67000000 PA USD 15133.25000000 0.001613314612 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 47570000.00000000 OU Notional Amount -488032.02000000 -0.05202776597 N/A DIR GB N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-09-22 0.00000000 GBP -33470.48000000 GBP 47570000.00000000 GBP -445245.01000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030674 525000.00000000 PA USD 469075.19000000 0.050006829897 Long ABS-MBS USGA US N 2 2053-07-20 Fixed 3.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128PMWR7 846.75000000 PA USD 836.11000000 0.000089135412 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.50000000 N N N N N N ENERFLEX LTD 54930014N7872VUS3F89 29269RAA3 5000.00000000 PA USD 4864.85000000 0.000518628423 Long DBT CORP CA N 2 2027-10-15 Fixed 9.00000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6010000.00000000 OU Notional Amount 7930.75000000 0.000845475682 N/A DIR ZA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 67.01000000 ZAR 0.00000000 ZAR 6010000.00000000 ZAR 7927.27000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WG6H2 18043.18000000 PA USD 16780.81000000 0.001788956502 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HAFK1 241935.68000000 PA USD 237478.07000000 0.025316890989 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 880000.00000000 OU Notional Amount 14322.87000000 0.001526922205 N/A DIR AU N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 AUD -9.81000000 AUD 880000.00000000 AUD 14329.41000000 N N N Freddie Mac 254900HROIFWPRGM1V77 31288DKG3 2573.48000000 PA USD 2659.82000000 0.000283556174 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 6.00000000 N N N N N N CSX Corp 549300JVQR4N1MMP3Q88 126408HE6 800000.00000000 PA USD 739840.61000000 0.078872394712 Long DBT CORP US N 2 2026-11-01 Fixed 2.60000000 N N N N N N META PLATFORMS INC BQ4BKCS1HXDV9HN80Z93 30303M8N5 2075000.00000000 PA USD 2073394.70000000 0.221038968344 Long DBT CORP US N 2 2033-05-15 Fixed 4.95000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBT1 370000.00000000 PA USD 351180.90000000 0.037438440369 Long DBT CORP US N 2 2025-04-01 Fixed 2.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31292HK94 537.20000000 PA USD 556.35000000 0.000059310959 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 6.50000000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 163.39000000 0.000017418563 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 90000.00000000 GBP 114487.67000000 USD 2023-09-20 163.39000000 N N N Freddie Mac - STACR 5493005LAQ76UDHPEE03 35565CAH9 72826.30000000 PA USD 72826.08000000 0.007763790267 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 7.20000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 13360000.00000000 OU Notional Amount -2474.21000000 -0.00026376879 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-09-13 0.00000000 MXN -123.11000000 MXN 13360000.00000000 MXN -2467.58000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DV66 2775672.60000000 PA USD 2144281.92000000 0.228596062021 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 1.50000000 N N N N N N EMERALD DEBT MERGER 98450099EE3A0ZD5F786 29103CAA6 140000.00000000 PA USD 138775.00000000 0.014794425215 Long DBT CORP US N 2 2030-12-15 Fixed 6.63000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335CAQ7 68756.97000000 PA USD 65778.79000000 0.007012497852 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 4.00000000 N N N N N N District of Columbia Water & Sewer Authority 549300OT2FIJQJ5PSH71 254845RM4 200000.00000000 PA USD 150079.40000000 0.015999556546 Long DBT MUN US N 2 2048-10-01 Fixed 3.21000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WRWL0 25350.89000000 PA USD 25100.50000000 0.002675896019 Long ABS-MBS USGSE US N 2 2043-06-01 Floating 4.96000000 N N N N N N Freddie Mac N/A 3128JPLG3 29272.74000000 PA USD 28421.42000000 0.003029930266 Long ABS-MBS USGSE US N 2 2038-04-01 Floating 4.82000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AAEU4 56907.63000000 PA USD 54572.51000000 0.005817826827 Long ABS-MBS USGA US N 2 2048-05-15 Fixed 4.00000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HQW3 266000.00000000 PA USD 253412.05000000 0.027015569248 Long DBT CORP US N 2 2026-04-01 Fixed 3.30000000 N N N N N N Freddie Mac - STACR 5493000ISM9M3KNO6J64 35564KFN4 773672.85000000 PA USD 769804.49000000 0.082066762443 Long ABS-MBS USGSE US N 2 2033-12-25 Floating 5.77000000 N N N N N N PUBLIC SERVICE COLORADO 5BANEF6PGSEK0SNMQF44 744448CR0 20000.00000000 PA USD 16222.21000000 0.001729405675 Long DBT CORP US N 2 2049-09-15 Fixed 4.05000000 N N N N N N Westlake Automobile Receivables Trust N/A 96042PAE2 549570.10000000 PA USD 548800.32000000 0.058506109116 Long ABS-O CORP US N 2 2025-07-15 Fixed 2.01000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132L7LF4 12900.13000000 PA USD 12011.13000000 0.001280473893 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N HACKENSACK MERIDIAN HLTH 5493001CB3OCWTEJY668 404530AD9 58000.00000000 PA USD 38925.18000000 0.004149707544 Long DBT CORP US N 2 2050-09-01 Fixed 2.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKQV0 16483.75000000 PA USD 15720.87000000 0.001675959182 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136AJLC8 252211.49000000 PA USD 248784.16000000 0.026522202486 Long ABS-MBS USGSE US N 2 2024-01-25 Variable 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KLHN0 2220856.63000000 PA USD 1823925.86000000 0.194443773986 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ3X6 52958.02000000 PA USD 48906.77000000 0.005213817699 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 3.50000000 N N N N N N MIZUHO FINANCIAL GROUP 353800CI5L6DDAN5XZ33 60687YDB2 1240000.00000000 PA USD 1243691.03000000 0.132586517275 Long DBT CORP JP N 2 2034-07-06 Fixed 5.75000000 N N N N N N ONEOK Partners LP T4DHW82NMF6BXJT50795 68268NAG8 75000.00000000 PA USD 72353.55000000 0.007713415129 Long DBT CORP US N 2 2041-02-01 Fixed 6.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFFK0 843425.80000000 PA USD 720192.62000000 0.076777775950 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N TALEN ENERGY SUPPLY LLC K5K33XN0PQAU1XF7NN66 87422VAK4 140000.00000000 PA USD 144900.00000000 0.015447394802 Long DBT CORP US N 2 2030-06-01 Fixed 8.63000000 N N N N N N Countrywide Asset-Backed Certificates N/A 126671Z25 5178.18000000 PA USD 5030.34000000 0.000536270862 Long ABS-O CORP US N 2 2034-03-25 Floating 5.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGKL7 33816.90000000 PA USD 32997.00000000 0.003517720402 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 4.00000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BJ1 170000.00000000 PA USD 168664.22000000 0.017980833647 Long DBT CORP US N 2 2027-10-15 Fixed 5.00000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 768690000.00000000 OU Notional Amount -11267.82000000 -0.00120123163 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 8042.00000000 KRW 0.00000000 KRW 768690000.00000000 KRW -11273.83000000 N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74762EAF9 1190000.00000000 PA USD 1010945.79000000 0.107774180417 Long DBT CORP US N 2 2030-10-01 Fixed 2.90000000 N N N N N CONSUMERS ENERGY CO 7NKTFWJ1G6MELP9TU740 210518DN3 72000.00000000 PA USD 46135.07000000 0.004918334303 Long DBT CORP US N 2 2052-08-15 Fixed 2.65000000 N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661EJ2 116000.00000000 PA USD 94642.06000000 0.010089532545 Long DBT CORP US N 2 2052-04-01 Fixed 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202D2D2 40468.98000000 PA USD 40685.93000000 0.004337416312 Long ABS-MBS USGA US N 2 2033-11-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQKT2 483628.06000000 PA USD 474383.36000000 0.050572719460 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132WFDH9 42977.24000000 PA USD 40015.25000000 0.004265916941 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FCQ7 158736.06000000 PA USD 164148.81000000 0.017499458071 Long ABS-MBS USGA US N 2 2039-11-20 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XB4Y3 1517384.60000000 PA USD 1343424.83000000 0.143218866370 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 3.00000000 N N N N N N FRONTIER COMMUNICATIONS N/A 35906ABG2 500000.00000000 PA USD 387902.70000000 0.041353251566 Long DBT CORP US N 2 2029-05-01 Fixed 6.75000000 N N N N N UNION ELECTRIC CO QMPJLLDULY5C1M8PNY21 906548CW0 10000.00000000 PA USD 10189.89000000 0.001086316451 Long DBT CORP US N 2 2053-03-15 Fixed 5.45000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407CBT3 25717.08000000 PA USD 25900.22000000 0.002761151993 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BTAC5 1190000.00000000 PA USD 1133701.34000000 0.120860815649 Long ABS-MBS USGSE US N 2 2026-10-25 Fixed 3.30000000 N N N N N N CHOICE HOTELS INTL INC 5493003CYRY5RFGTIR97 169905AF3 280000.00000000 PA USD 241542.54000000 0.025750193078 Long DBT CORP US N 2 2029-12-01 Fixed 3.70000000 N N N N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 89788MAA0 945000.00000000 PA USD 856329.83000000 0.091290993550 Long DBT CORP US N 2 2025-08-05 Fixed 1.20000000 N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABY0 970000.00000000 PA USD 680783.29000000 0.072576454491 Long DBT CORP US N 2 2060-11-15 Fixed 3.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TQQ1 1364007.40000000 PA USD 1309250.48000000 0.139575631887 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 4.00000000 N N N N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBM0 200000.00000000 PA USD 200516.12000000 0.021376478053 Long DBT CORP US N 2 2026-04-01 Fixed 6.10000000 N N N N N N Atmos Energy Corp QVLWEGTD2S8GJMO8D383 049560AN5 400000.00000000 PA USD 373364.87000000 0.039803413060 Long DBT CORP US N 2 2027-06-15 Fixed 3.00000000 N N N N N N Credit Suisse First Boston Mortgage Securities 549300ECVPNB3VQOQ826 2254W0HE8 4658.15000000 PA USD 2797.44000000 0.000298227468 Long ABS-MBS CORP US N 2 2019-09-25 Fixed 5.00000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBT1 125000.00000000 PA USD 88934.87000000 0.009481104545 Long DBT CORP US N 2 2040-09-25 Fixed 3.73000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1090000.00000000 OU Notional Amount USD 7023.06000000 0.000748709320 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 USD -12.16000000 USD 1090000.00000000 USD 7035.22000000 N N N ICE Futures Europe - Financial Products Division N/A 000000000 -76.00000000 NC 9054.12000000 0.000965235101 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Short Long Gilt Futures G U3 Comdty 2023-09-27 -7249929.23000000 GBP 9054.12000000 N N N RIO TINTO FIN USA LTD 213800RX94ZKEZXPKH58 767201AT3 230000.00000000 PA USD 156631.75000000 0.016698084754 Long DBT CORP AU N 2 2051-11-02 Fixed 2.75000000 N N N N N N CONSUMERS ENERGY CO 7NKTFWJ1G6MELP9TU740 210518DU7 110000.00000000 PA USD 106998.65000000 0.011406834989 Long DBT CORP US N 2 2033-05-15 Fixed 4.63000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 79.00000000 NC USD 56770.14000000 0.006052110183 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CME Ultra Long Term U.S. Treasury Bond Futures WNU3 Comdty 2023-09-20 10704511.11000000 USD 56770.14000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 550000.00000000 PA USD 519469.86000000 0.055379268568 Long DBT CORP US N 2 2029-05-01 Fixed 4.22000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J7XH3 61255.64000000 PA USD 54842.98000000 0.005846660898 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CXA7 72354.76000000 PA USD 70256.07000000 0.007489808492 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank, NA - CACLN N/A 48128U2N8 588003.45000000 PA USD 568517.19000000 0.060608070988 Long ABS-O CORP US N 2 2028-12-26 Fixed 0.97000000 N N N N N N Fannie Mae - CAS N/A 20755AAC6 420000.00000000 PA USD 426821.51000000 0.045502280023 Long ABS-MBS USGSE US N 2 2043-01-25 Floating 8.42000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 620000.00000000 OU Notional Amount 6297.14000000 0.000671320964 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -6.92000000 EUR 620000.00000000 EUR 6304.58000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2M4 610000.00000000 PA USD 568157.70000000 0.060569746737 Long DBT CORP US N 2 2051-04-04 Fixed 5.01000000 N N N N N N Exeter Automobile Receivables Trust N/A 30166QAD1 5000000.00000000 PA USD 4926176.50000000 0.525166275115 Long ABS-O CORP US N 2 2026-10-15 Fixed 3.65000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAP5 340000.00000000 PA USD 273977.59000000 0.029208005520 Long DBT CORP US N 2 2058-04-15 Fixed 4.90000000 N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QCJ3 85000.00000000 PA USD 74284.53000000 0.007919271653 Long DBT CORP US N 2 2032-03-15 Fixed 3.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KJY1 43560.15000000 PA USD 45195.86000000 0.004818207680 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 6.00000000 N N N N N N REGENERON PHARMACEUTICAL 549300RCBFWIRX3HYQ56 75886FAE7 2640000.00000000 PA USD 2104263.30000000 0.224329785813 Long DBT CORP US N 2 2030-09-15 Fixed 1.75000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EPZH0 94327.05000000 PA USD 89259.64000000 0.009515727391 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QREH2 1466626.34000000 PA USD 1438604.46000000 0.153365707790 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 294930000.00000000 OU Notional Amount -1869.62000000 -0.00019931510 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 2652.00000000 KRW 0.00000000 KRW 294930000.00000000 KRW -1871.62000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JGLW3 102328.83000000 PA USD 99708.84000000 0.010629688176 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.50000000 N N N N N N Exeter Automobile Receivables Trust N/A 30166BAF9 1250000.00000000 PA USD 1226350.00000000 0.130737837243 Long ABS-O CORP US N 2 2028-12-15 Fixed 5.98000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448EP9 719000.00000000 PA USD 539966.68000000 0.057564378787 Long DBT CORP US N 2 2049-10-15 Fixed 2.88000000 N N N N N N Upstart Securitization Trust N/A 91682NAA1 1344392.85000000 PA USD 1320931.45000000 0.140820908321 Long ABS-O CORP US N 2 2031-09-20 Fixed 0.84000000 N N N N N N Nasdaq Inc 549300L8X1Q78ERXFD06 631103AG3 32000.00000000 PA USD 30747.15000000 0.003277870014 Long DBT CORP US N 2 2026-06-30 Fixed 3.85000000 N N N N N N Exeter Automobile Receivables Trust N/A 30166NAF3 1730000.00000000 PA USD 1691705.93000000 0.180348166950 Long ABS-O CORP US N 2 2026-07-15 Fixed 1.73000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418MYN6 72351.52000000 PA USD 73947.60000000 0.007883352463 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MHT41 934506.25000000 PA USD 793591.10000000 0.084602588224 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEC5 1510000.00000000 PA USD 1337811.47000000 0.142620441331 Long DBT CORP US N 2 2027-07-20 Fixed 1.51000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCS0 545000.00000000 PA USD 513476.49000000 0.054740331697 Long DBT CORP US N 2 2029-09-01 Fixed 6.38000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QAXR6 32688.82000000 PA USD 31258.78000000 0.003332413497 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 50815000.00000000 OU Notional Amount 512545.14000000 0.054641043008 N/A DIR GB N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 GBP -39982.61000000 GBP 50815000.00000000 GBP 563719.03000000 N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAL1 70000.00000000 PA USD 54053.24000000 0.005762468865 Long DBT CORP US N 2 2040-02-15 Fixed 3.11000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3620AWSY7 26648.66000000 PA USD 25792.20000000 0.002749636274 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 4.00000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 455780CB0 500000.00000000 PA USD 471225.00000000 0.050236015293 Long DBT NUSS ID N 2 2047-07-18 Fixed 4.75000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385XTY3 89544.51000000 PA USD 91622.16000000 0.009767589221 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SLR6 317622.51000000 PA USD 288764.47000000 0.030784394569 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 3.00000000 N N N N N N Duke Energy Florida LLC 7MOHLM3DKE63RX2ZCN83 26444HAE1 1365000.00000000 PA USD 1298881.88000000 0.138470263648 Long DBT CORP US N 2 2028-07-15 Fixed 3.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHUV2 74605.82000000 PA USD 71192.49000000 0.007589637681 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 4.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M5QD5 19505.96000000 PA USD 20197.69000000 0.002153220783 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 21670000.00000000 OU Notional Amount -80760.43000000 -0.00860964973 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -85887.38000000 EUR 21670000.00000000 EUR 12225.50000000 N N N Freddie Mac 254900HROIFWPRGM1V77 3128MJYJ3 770508.54000000 PA USD 736235.65000000 0.078488079734 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 4.00000000 N N N N N N JP Morgan Chase Commercial Mortgage Sec Trust N/A 46629GAM0 210000.00000000 PA USD 10822.90000000 0.001153799925 Long ABS-MBS CORP US N 3 2045-05-12 Variable 5.67000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B5NU2 159959.40000000 PA USD 130683.75000000 0.013931839065 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N Dallas Fort Worth International Airport N/A 2350368N3 260000.00000000 PA USD 190472.10000000 0.020305712406 Long DBT MUN US N 2 2046-11-01 Fixed 2.84000000 N N N N N N BLACK HILLS CORP 3MGELCRSTNSAMJ962671 092113AU3 200000.00000000 PA USD 188923.47000000 0.020140617174 Long DBT CORP US N 2 2024-08-23 Fixed 1.04000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 19980000.00000000 OU Notional Amount -402911.46000000 -0.04295329463 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2053-09-22 107155.72000000 EUR 0.00000000 EUR 19980000.00000000 EUR -520230.92000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1030000.00000000 OU Notional Amount 6191.76000000 0.000660086689 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 11.48000000 PLN 0.00000000 PLN 1030000.00000000 PLN 6189.03000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YFB6 265000.00000000 PA USD 261566.11000000 0.027884851402 Long DBT CORP US N 2 2038-01-19 Fixed 5.95000000 N N N N N N Freddie Mac N/A 3132XCR98 103199.56000000 PA USD 99079.11000000 0.010562554374 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CX1 675000.00000000 PA USD 668511.41000000 0.071268182750 Long DBT CORP US N 2 2060-05-01 Fixed 5.93000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408DQF4 19910.80000000 PA USD 20052.53000000 0.002137745670 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.00000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -46.00000000 NC 4087.95000000 0.000435805228 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-BTP Italian Bond Futures IKU3 Comdty 2023-09-07 -5344806.29000000 EUR 4087.95000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJLB6 492014.00000000 PA USD 419809.76000000 0.044754776430 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 995920000.00000000 OU Notional Amount -12161.81000000 -0.00129653747 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 10530.00000000 KRW 0.00000000 KRW 995920000.00000000 KRW -12169.80000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415VKS3 518.28000000 PA USD 527.63000000 0.000056249198 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M7S64 4964.67000000 PA USD 4908.35000000 0.000523265840 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AAQ23 121714.79000000 PA USD 116668.60000000 0.012437722051 Long ABS-MBS USGA US N 2 2049-09-15 Fixed 4.00000000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAJ8 1250000.00000000 PA USD 1153967.13000000 0.123021296388 Long DBT CORP CA N 2 2028-01-15 Fixed 4.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LVEV1 236509.57000000 PA USD 221431.94000000 0.023606256722 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148LAE6 500000.00000000 PA USD 482580.33000000 0.051446576132 Long DBT CORP US N 2 2025-05-22 Fixed 3.75000000 N N N N N N Simon Property Group LP MR92GTD0MJTTTTQDVG45 828807CV7 90000.00000000 PA USD 86225.61000000 0.009192277707 Long DBT US N 2 2025-09-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJW71 586128.76000000 PA USD 560664.84000000 0.059770953316 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 450000.00000000 OU Notional Amount 2930.86000000 0.000312451011 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -5.02000000 EUR 450000.00000000 EUR 2936.28000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KLG35 1142002.35000000 PA USD 937414.60000000 0.099935220291 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABB0 25000.00000000 PA USD 24035.91000000 0.002562402975 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N CHEVRON CORP N/A 166764CA6 60000.00000000 PA USD 44660.72000000 0.004761157860 Long DBT CORP US N 2 2050-05-11 Fixed 3.08000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UH54 75193.12000000 PA USD 73449.67000000 0.007830269500 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 4.50000000 N N N N N N DISH DBS CORP N/A 25470XBB0 411000.00000000 PA USD 219885.00000000 0.023441341657 Long DBT CORP US N 2 2028-07-01 Fixed 7.38000000 N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132QWMN6 9624.01000000 PA USD 8960.74000000 0.000955280113 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31334YPW1 1075350.11000000 PA USD 970022.74000000 0.103411485386 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132HNH51 1063016.94000000 PA USD 996399.55000000 0.106223445343 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9990000.00000000 OU Notional Amount 19520.35000000 0.002081011408 N/A DIR NO N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 NOK -19398.02000000 NOK 9990000.00000000 NOK 21267.89000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A26R8 299033.79000000 PA USD 279699.80000000 0.029818034761 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 3.50000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCP8 715000.00000000 PA USD 694053.92000000 0.073991200253 Long DBT CORP US N 2 2033-02-06 Fixed 4.90000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17290YAR9 1290000.00000000 PA USD 1195211.96000000 0.127418295509 Long ABS-MBS CORP US N 2 2049-05-10 Fixed 3.21000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DR33 48668.54000000 PA USD 45219.30000000 0.004820706554 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36213ESA5 3214.77000000 PA USD 3269.87000000 0.000348591945 Long ABS-MBS USGA US N 2 2032-01-15 Fixed 6.00000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DF4 75000.00000000 PA USD 70306.93000000 0.007495230538 Long DBT CORP US N 2 2026-08-15 Fixed 3.00000000 N N N N N N Drive Auto Receivables Trust N/A 26208QAG2 5807846.71000000 PA USD 5712405.78000000 0.608984039738 Long ABS-O CORP US N 2 2027-05-17 Fixed 2.70000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CX5 710000.00000000 PA USD 727093.31000000 0.077513439738 Long DBT CORP US N 2 2032-11-17 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412Q2X6 23654.82000000 PA USD 23359.71000000 0.002490315133 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 19790000.00000000 OU Notional Amount 119.46000000 0.000012735305 N/A DIR AU N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 CZK 0.00000000 CZK 0.00000000 CZK 109.35000000 N N N GENUINE PARTS CO 549300D46DQVEU651W04 372460AB1 1050000.00000000 PA USD 983437.50000000 0.104841596456 Long DBT CORP US N 2 2025-02-01 Fixed 1.75000000 N N N N N Xcel Energy Inc LGJNMI9GH8XIDG5RCM61 98389BAV2 900000.00000000 PA USD 856394.69000000 0.091297908098 Long DBT CORP US N 2 2028-06-15 Fixed 4.00000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TEZ4 199572.92000000 PA USD 186489.17000000 0.019881103074 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 3.50000000 N N N N N N Southern Copper Corp 2549007U6NAP46Q9TU15 84265VAH8 152000.00000000 PA USD 147336.64000000 0.015707158364 Long DBT CORP US N 2 2025-04-23 Fixed 3.88000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833EH9 850000.00000000 PA USD 733671.77000000 0.078214751462 Long DBT CORP US N 2 2028-08-05 Fixed 1.40000000 N N N N N N Freddie Mac - STACR 5493008J93RJW7PJFN93 35564WAA1 1008919.58000000 PA USD 1001039.92000000 0.106718142565 Long ABS-MBS USGSE US N 2 2048-11-25 Floating 6.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419HEL2 25046.71000000 PA USD 25225.62000000 0.002689234722 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 5.00000000 N N N N N N RYDER SYSTEM INC ZXJ6Y2OSPZXIVGRILD15 78355HKV0 140000.00000000 PA USD 140058.46000000 0.014931251394 Long DBT CORP US N 2 2028-03-01 Fixed 5.65000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797GS0 13300000.00000000 PA USD 13165240.54000000 1.403510478237 Long DBT UST US N 2 2023-09-12 None 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J7R23 137628.63000000 PA USD 128254.60000000 0.013672873992 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJN38 13701.34000000 PA USD 12262.66000000 0.001307288822 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5140000.00000000 OU Notional Amount 523.24000000 0.000055781192 N/A DIR AU N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-09-21 161.89000000 AUD 0.00000000 AUD 5140000.00000000 AUD 416.08000000 N N N VIATRIS INC 254900ZZTSW7NL773X71 92556VAF3 150000.00000000 PA USD 99200.87000000 0.010575534877 Long DBT CORP US N 2 2050-06-22 Fixed 4.00000000 N N N N N ATHENE HOLDING LTD 549300H316CT32FQXI76 04686JAD3 30000.00000000 PA USD 20079.24000000 0.002140593151 Long DBT CORP BM N 2 2051-05-25 Fixed 3.95000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833EQ9 45000.00000000 PA USD 39660.72000000 0.004228121463 Long DBT CORP US N 2 2052-08-08 Fixed 3.95000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TAM7 38440.89000000 PA USD 37793.57000000 0.004029069681 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128P7QT3 12301.02000000 PA USD 12086.48000000 0.001288506751 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2730000.00000000 OU Notional Amount -460.21000000 -0.00004906173 N/A DIR GB N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-09-21 0.00000000 GBP -5414.99000000 GBP 2730000.00000000 GBP 6370.26000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36183FLQ0 24467.58000000 PA USD 22808.25000000 0.002431525483 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128MCDX0 3597.49000000 PA USD 3558.07000000 0.000379316163 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.50000000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MCS7 760000.00000000 PA USD 781987.10000000 0.083365517353 Long DBT CORP JP N 2 2033-01-13 Fixed 5.77000000 N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DT1 420000.00000000 PA USD 408870.85000000 0.043588608994 Long DBT CORP US N 2 2025-04-15 Fixed 4.00000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PET5 325000.00000000 PA USD 367501.96000000 0.039178384175 Long DBT CORP US N 2 2063-02-15 Fixed 6.05000000 N N N N N N COMMONWEALTH EDISON CO D8YOXB8L2ZDC8P7Q0771 202795JT8 70000.00000000 PA USD 49056.75000000 0.005229806659 Long DBT CORP US N 2 2051-03-15 Fixed 3.13000000 N N N N N N AmerisourceBergen Corp AI8GXW8LG5WK7E9UD086 03073EAP0 1427000.00000000 PA USD 1336001.54000000 0.142427489618 Long DBT CORP US N 2 2027-12-15 Fixed 3.45000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 720000.00000000 OU Notional Amount 3893.23000000 0.000415046658 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -1879.59000000 EUR 720000.00000000 EUR 5905.90000000 N N N EATON CORP 0NZWDMRCE180888QQE14 278062AJ3 90000.00000000 PA USD 86214.02000000 0.009191042128 Long DBT CORP US N 2 2052-08-23 Fixed 4.70000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5710000.00000000 OU Notional Amount -28161.23000000 -0.00300219211 N/A DIR GB N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 32443.40000000 GBP 0.00000000 GBP 5710000.00000000 GBP -69524.96000000 N N N HONEYWELL INTERNATIONAL ISRPG12PN4EIEOEMW547 438516CM6 1300000.00000000 PA USD 1271448.49000000 0.135545664572 Long DBT CORP US N 2 2034-01-15 Fixed 4.50000000 N N N N N N ALLEGION PLC 984500560CAC2E6FB757 01748TAB7 90000.00000000 PA USD 79484.64000000 0.008473641234 Long DBT CORP IE N 2 2029-10-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335CEA8 91244.74000000 PA USD 84312.53000000 0.008988329453 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407FN97 36404.71000000 PA USD 36256.64000000 0.003865221755 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 5.50000000 N N N N N N PROGRESSIVE CORP 529900TACNVLY9DCR586 743315BA0 35000.00000000 PA USD 27374.40000000 0.002918310312 Long DBT CORP US N 2 2052-03-15 Fixed 3.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SLU9 6671.95000000 PA USD 6483.37000000 0.000691174437 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AABZ6 88976.83000000 PA USD 85972.93000000 0.009165340179 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 4.50000000 N N N N N N MID-AMERICA APARTMENTS 549300FXWGE3QSYCUJ38 59523UAT4 70000.00000000 PA USD 61042.42000000 0.006507566331 Long DBT US N 2 2026-09-15 Fixed 1.10000000 N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 11670000.00000000 OU Notional Amount -18804.88000000 -0.00200473709 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-09-13 0.00000000 MXN -107.54000000 MXN 11670000.00000000 MXN -18798.90000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137BPW21 1590000.00000000 PA USD 1497599.69000000 0.159655028765 Long ABS-MBS USGSE US N 2 2026-03-25 Fixed 2.67000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FB47 39386.37000000 PA USD 40008.40000000 0.004265186682 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 5.00000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967KR1 50000.00000000 PA USD 42778.55000000 0.004560504837 Long DBT CORP US N 2 2046-05-18 Fixed 4.75000000 N N N N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081GQ4 55000.00000000 PA USD 54603.76000000 0.005821158305 Long DBT CORP US N 2 2033-05-15 Fixed 4.80000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4090000.00000000 OU Notional Amount 5488.75000000 0.000585140705 N/A DIR SE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 SEK -45.61000000 SEK 4090000.00000000 SEK 5493.16000000 N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397C35 300000.00000000 PA USD 306336.00000000 0.032657647580 Long DBT CORP US N 2 2027-11-04 Fixed 7.35000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCT1 1600000.00000000 PA USD 1498076.75000000 0.159705886834 Long DBT CORP US N 2 2025-12-10 Fixed 1.56000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDQC3 1293861.60000000 PA USD 1060011.58000000 0.113004950806 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGYV3 802689.36000000 PA USD 659560.17000000 0.070313915405 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N GE HEALTHCARE TECH INC 549300OI9J7XOWZMUN85 36267VAM5 730000.00000000 PA USD 812158.77000000 0.086582037010 Long DBT CORP US N 2 2052-11-22 Fixed 6.38000000 N N N N N N Bank N/A 06540DBH7 920000.00000000 PA USD 747751.25000000 0.079715726522 Long ABS-MBS CORP US N 2 2064-09-15 Fixed 2.47000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXGJ5 3409858.98000000 PA USD 3150071.85000000 0.335820590230 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.50000000 N N N N N N Fannie Mae - CAS N/A 20753MAF5 332636.19000000 PA USD 333051.99000000 0.035505766593 Long ABS-MBS USGSE US N 2 2031-09-25 Floating 7.30000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BL7 420000.00000000 PA USD 276666.60000000 0.029494673560 Long DBT NUSS PA N 2 2060-07-23 Fixed 3.87000000 N N N N N N Avant Loans Funding Trust N/A 05353LAA3 5460000.00000000 PA USD 5367289.75000000 0.572192158659 Long ABS-O CORP US N 2 2030-07-15 Fixed 1.21000000 N N N N N N Port Authority of New York & New Jersey 54930006MR4KZ4W74Z83 73358WXP4 200000.00000000 PA USD 190089.40000000 0.020264913800 Long DBT MUN US N 2 2045-06-01 Fixed 4.82000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ER2P4 241143.61000000 PA USD 237305.11000000 0.025298452194 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X75T2 96903.39000000 PA USD 90756.14000000 0.009675265185 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 3.00000000 N N N N N N FLEX LTD 549300EAQH74YHD07T53 33938XAC9 5000.00000000 PA USD 4760.40000000 0.000507493293 Long DBT CORP SG N 2 2026-02-01 Fixed 3.75000000 N N N N N N ONCOR ELECTRIC DELIVERY 549300SP2X2BS1KERD24 68233JBP8 320000.00000000 PA USD 258152.61000000 0.027520947453 Long DBT CORP US N 2 2049-06-01 Fixed 3.80000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GT4 100000.00000000 PA USD 74415.63000000 0.007933247868 Long DBT CORP US N 2 2050-02-01 Fixed 3.65000000 N N N N N N Freddie Mac N/A 3132Y1GK8 23415.73000000 PA USD 22989.81000000 0.002450881100 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KK3T4 531762.13000000 PA USD 453702.87000000 0.048368028682 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCM5 350000.00000000 PA USD 340533.39000000 0.036303338294 Long DBT CORP US N 2 2028-05-06 Fixed 4.50000000 N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280DC0 980000.00000000 PA USD 884432.54000000 0.094286947011 Long DBT CORP GB N 2 2033-03-29 Fixed 4.76000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QTS0 29795.87000000 PA USD 30936.82000000 0.003298090217 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 6.00000000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738BE7 865000.00000000 PA USD 880407.92000000 0.093857893221 Long DBT CORP US N 2 2033-03-02 Fixed 5.60000000 N N N N N PRIME SECSRVC BRW/FINANC N/A 74166MAE6 300000.00000000 PA USD 281040.45000000 0.029960957810 Long DBT CORP US N 2 2028-01-15 Fixed 6.25000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM5R2 2183969.83000000 PA USD 1782925.62000000 0.190072849940 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H23H9 207140.71000000 PA USD 200565.66000000 0.021381759378 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.00000000 N N N N N N Commonwealth Edison Co D8YOXB8L2ZDC8P7Q0771 202795JP6 90000.00000000 PA USD 74482.01000000 0.007940324459 Long DBT CORP US N 2 2049-03-01 Fixed 4.00000000 N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132L74A4 29912.38000000 PA USD 27761.91000000 0.002959621699 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N Maryland Health & Higher Educational Facilities Authority N/A 57421CAW4 80000.00000000 PA USD 56290.32000000 0.006000957878 Long DBT MUN US N 2 2050-07-01 Fixed 3.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CZ64 32788.40000000 PA USD 30939.31000000 0.003298355669 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 3.50000000 N N N N N N New York City Transitional Finance Authority Future Tax Secured Revenue 5493003476LG35QAKM08 64971M4P4 110000.00000000 PA USD 114202.33000000 0.012174799716 Long DBT MUN US N 2 2037-08-01 Fixed 5.51000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJNE4 29029.24000000 PA USD 25981.08000000 0.002769772257 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 3128JRH82 29324.21000000 PA USD 28567.25000000 0.003045476805 Long ABS-MBS USGSE US N 2 2027-11-01 Floating 3.76000000 N N N N N N UMBS, TBA N/A 01F032674 -781800.00000000 PA USD -712384.71000000 -0.07594539590 Short ABS-MBS USGSE US N 2 2053-07-15 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1500000.00000000 OU Notional Amount 5663.06000000 0.000603723420 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 16.73000000 PLN 0.00000000 PLN 1500000.00000000 PLN 5659.08000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3730000.00000000 OU Notional Amount 4428.55000000 0.000472115667 N/A DIR SE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 192.30000000 SEK 0.00000000 SEK 3730000.00000000 SEK 4410.34000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D56Q0 494976.96000000 PA USD 441349.91000000 0.047051113222 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRFB5 249795.41000000 PA USD 249852.68000000 0.026636114496 Long ABS-MBS USGSE US N 2 2053-06-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SQW0 28460.98000000 PA USD 26693.85000000 0.002845758728 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CPE8 37314.87000000 PA USD 34502.98000000 0.003678268833 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DQF7 27210.05000000 PA USD 25670.86000000 0.002736700547 Long ABS-MBS USGA US N 2 2043-03-15 Fixed 3.50000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DT4 165000.00000000 PA USD 167096.35000000 0.017813687291 Long DBT CORP US N 2 2053-03-02 Fixed 5.65000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PED0 185000.00000000 PA USD 156427.09000000 0.016676266508 Long DBT CORP US N 2 2031-05-15 Fixed 2.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GZB5 51291.81000000 PA USD 44278.65000000 0.004720426417 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 2.50000000 N N N N N N MARSH & MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BD3 1715000.00000000 PA USD 1448048.52000000 0.154372513334 Long DBT CORP US N 2 2048-03-01 Fixed 4.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418V5T5 4689.51000000 PA USD 4723.04000000 0.000503510445 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9RH5 12506.43000000 PA USD 11813.87000000 0.001259444541 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912797FJ1 10000000.00000000 PA USD 9814144.40000000 1.046259235331 Long DBT UST US N 2 2023-11-09 None 0.00000000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BY0 45000.00000000 PA USD 40309.71000000 0.004297308521 Long DBT CORP US N 2 2027-03-03 Fixed 2.45000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D7F3 2781022.09000000 PA USD 2361858.35000000 0.251791293312 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N FORD FOUNDATION/THE 54930013YZ3DULPNNT44 34531XAB0 5000.00000000 PA USD 3319.31000000 0.000353862608 Long DBT CORP US N 2 2050-06-01 Fixed 2.42000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TUB9 311250.26000000 PA USD 298788.91000000 0.031853072846 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N State Board of Administration Finance Corp 549300S34SOJ0RULXM35 341271AF1 119000.00000000 PA USD 99316.33000000 0.010587843753 Long DBT MUN US N 2 2030-07-01 Fixed 2.15000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJN0 315000.00000000 PA USD 233504.96000000 0.024893328540 Long DBT CORP US N 2 2052-03-13 Fixed 3.48000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECQ1 1145227.15000000 PA USD 971576.12000000 0.103577087002 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGK57 3204629.30000000 PA USD 2723702.95000000 0.290366561728 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWB6 1090000.00000000 PA USD 1036296.39000000 0.110476738917 Long DBT CORP US N 2 2027-01-26 Fixed 3.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416SKW0 3647.02000000 PA USD 3583.78000000 0.000382057036 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 4.00000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BL0 500000.00000000 PA USD 471599.90000000 0.050275982362 Long DBT CORP US N 2 2027-11-15 Fixed 5.50000000 N N N N N N Ameriprise Financial Inc 6ZLKQF7QB6JAEKQS5388 03076CAK2 930000.00000000 PA USD 885409.35000000 0.094391082067 Long DBT CORP US N 2 2025-04-02 Fixed 3.00000000 N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179MQP8 308484.59000000 PA USD 290472.86000000 0.030966521379 Long ABS-MBS USGA US N 2 2042-10-20 Fixed 3.50000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XZZ0 274046.57000000 PA USD 272676.34000000 0.029069282797 Long ABS-MBS USGSE US N 2 2030-07-25 Floating 6.00000000 N N N N N N UMBS, TBA N/A 01F040479 75000.00000000 PA USD 72395.51000000 0.007717888370 Long ABS-MBS USGSE US N 2 2038-07-15 Fixed 4.00000000 N N N N N N Abbott Laboratories HQD377W2YR662HK5JX27 002824BH2 1310000.00000000 PA USD 1322613.98000000 0.141000278267 Long DBT CORP US N 2 2046-11-30 Fixed 4.90000000 N N N N N N JOHN DEERE CAPITAL CORP E0KSF7PFQ210NWI8Z391 24422EWF2 595000.00000000 PA USD 576127.87000000 0.061419424878 Long DBT CORP US N 2 2025-06-06 Fixed 3.40000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KNNS8 1801884.90000000 PA USD 1587930.53000000 0.169284953875 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N YALE UNIVERSITY 9SFB6DIM0FRWV0EV8S84 98459LAC7 272000.00000000 PA USD 179688.03000000 0.019156052041 Long DBT CORP US N 2 2050-04-15 Fixed 2.40000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1250000.00000000 OU Notional Amount USD -283473.28000000 -0.03022031519 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2030-10-21 0.00000000 USD 0.00000000 USD 1250000.00000000 USD -283473.28000000 N N N Bombardier Inc W7L3VLU8EHQY34Z36697 097751BT7 540000.00000000 PA USD 538609.72000000 0.057419716973 Long DBT CORP CA N 2 2027-04-15 Fixed 7.88000000 N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74762EAH5 1280000.00000000 PA USD 1007127.19000000 0.107367089859 Long DBT CORP US N 2 2032-01-15 Fixed 2.35000000 N N N N N N META PLATFORMS INC BQ4BKCS1HXDV9HN80Z93 30303M8Q8 1590000.00000000 PA USD 1632949.03000000 0.174084253688 Long DBT CORP US N 2 2053-05-15 Fixed 5.60000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31335AUF3 90770.01000000 PA USD 84514.54000000 0.009009865189 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WFHS8 306188.57000000 PA USD 284823.22000000 0.030364228629 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132WKQ84 12836.35000000 PA USD 11482.67000000 0.001224136210 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417SX39 5214.68000000 PA USD 5145.33000000 0.000548529633 Long ABS-MBS USGSE US N 2 2024-11-01 Fixed 4.50000000 N N N N N N Georgia Power Co D981X4Z4RWS7PDMJUZ03 373334KE0 800000.00000000 PA USD 758471.09000000 0.080858539501 Long DBT CORP US N 2 2026-04-01 Fixed 3.25000000 N N N N N N NOMURA HOLDINGS INC 549300B3CEAHYG7K8164 65535HAP4 1100000.00000000 PA USD 1041359.45000000 0.111016497970 Long DBT CORP JP N 2 2025-01-16 Fixed 2.65000000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804GC2 320000.00000000 PA USD 229258.43000000 0.024440617530 Long DBT CORP US N 2 2049-12-01 Fixed 3.30000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31292KZV2 52779.41000000 PA USD 53219.42000000 0.005673577584 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418C3D4 55266.24000000 PA USD 52691.29000000 0.005617275081 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.00000000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BS7 700000.00000000 PA USD 616247.58000000 0.065696478016 Long DBT CORP US N 2 2053-06-15 Fixed 4.15000000 N N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 595620AV7 60000.00000000 PA USD 41989.75000000 0.004476413015 Long DBT CORP US N 2 2050-04-15 Fixed 3.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179R7H6 78326.01000000 PA USD 71292.44000000 0.007600293078 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9635000.00000000 OU Notional Amount 84340.07000000 0.008991265417 N/A DIR GB N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 GBP -17871.57000000 GBP 9635000.00000000 GBP 107254.10000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKNC9 321614.55000000 PA USD 274615.30000000 0.029275990048 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAM9 70000.00000000 PA USD 51381.99000000 0.005477694170 Long DBT CORP US N 2 2050-02-15 Fixed 3.36000000 N N N N N N EVERGY KANSAS CENTRAL J75GNWGEO73W89ZV3S44 30036FAA9 130000.00000000 PA USD 94567.80000000 0.010081615888 Long DBT CORP US N 2 2050-04-15 Fixed 3.45000000 N N N N N N MidAmerican Energy Co NINLOILYRTLIMK26MZ18 595620AQ8 800000.00000000 PA USD 747238.85000000 0.079661100952 Long DBT CORP US N 2 2027-05-01 Fixed 3.10000000 N N N N N N Pfizer Inc 765LHXWGK1KXCLTFYQ30 717081CY7 80000.00000000 PA USD 99599.01000000 0.010617979499 Long DBT CORP US N 2 2039-03-15 Fixed 7.20000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680AX1 1475000.00000000 PA USD 1425374.22000000 0.151955267896 Long DBT CORP US N 2 2024-09-01 Fixed 2.75000000 N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128M5NN6 11465.22000000 PA USD 11918.55000000 0.001270604191 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QBR75 329743.02000000 PA USD 294141.42000000 0.031357616581 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAG0 340000.00000000 PA USD 336593.63000000 0.035883331199 Long DBT CORP US N 2 2024-01-25 Fixed 4.03000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBV1 490000.00000000 PA USD 458711.83000000 0.048902020281 Long DBT US N 2 2027-03-15 Fixed 3.65000000 N N N N N N MCKESSON CORP 549300WZWOM80UCFSF54 581557BS3 1840000.00000000 PA USD 1833070.36000000 0.195418644254 Long DBT CORP US N 2 2026-02-15 Fixed 5.25000000 N N N N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAE3 200000.00000000 PA USD 198387.44000000 0.021149545269 Long DBT CORP US N 2 2030-01-15 Fixed 6.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TCW3 37511.69000000 PA USD 34083.32000000 0.003633530022 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D6BR0 1848570.71000000 PA USD 1638767.62000000 0.174704557738 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 2.00000000 N N N N N N PRINCIPAL FINANCIAL GRP CUMYEZJOAF02RYZ1JJ85 74251VAT9 470000.00000000 PA USD 465605.17000000 0.049636900505 Long DBT CORP US N 2 2033-03-15 Fixed 5.38000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419DL74 34762.81000000 PA USD 34238.78000000 0.003650103189 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.50000000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46513JXN6 390000.00000000 PA USD 292227.00000000 0.031153525473 Long DBT NUSS IL N 2 2050-01-15 Fixed 3.38000000 N N N N N N University of Michigan N/A 914455UJ7 69000.00000000 PA USD 60181.66000000 0.006415803049 Long DBT MUN US N 2 2122-04-01 Fixed 4.45000000 N N N N N N BOISE CASCADE COMPANY 549300Z8B8LSRHC7XA55 09739DAD2 300000.00000000 PA USD 271196.25000000 0.028911494429 Long DBT CORP US N 2 2030-07-01 Fixed 4.88000000 N N N N N N University of California N/A 91412GXY6 150000.00000000 PA USD 135215.25000000 0.014414929952 Long DBT MUN US N 2 2045-05-15 Fixed 4.13000000 N N N N N N Port Authority of New York & New Jersey 54930006MR4KZ4W74Z83 73358WXQ2 50000.00000000 PA USD 48377.40000000 0.005157383004 Long DBT MUN US N 2 2065-10-15 Fixed 4.81000000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DBD6 420000.00000000 PA USD 335961.02000000 0.035815890368 Long DBT CORP US N 2 2037-08-15 Fixed 4.39000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5630000.00000000 OU Notional Amount 2262.16000000 0.000241162723 N/A DIR CZ N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 62.77000000 CZK 0.00000000 CZK 5630000.00000000 CZK 2259.23000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617NWHH8 1059292.35000000 PA USD 893635.18000000 0.095268015425 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N Toyota Auto Loan Extended Note Trust 2020-1 549300XP7ILZSI1BWP36 89237JAA4 5680000.00000000 PA USD 5243935.04000000 0.559041648610 Long ABS-O CORP US N 2 2033-05-25 Fixed 1.35000000 N N N N N N Aflac Inc 549300N0B7DOGLXWPP39 001055AY8 45000.00000000 PA USD 41898.34000000 0.004466668043 Long DBT CORP US N 2 2049-01-15 Fixed 4.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132LA2L5 542608.93000000 PA USD 501317.86000000 0.053444133230 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 3.50000000 N N N N N N RELIANCE STEEL & ALUM 549300E287ZOFT3C5Z56 759509AG7 1575000.00000000 PA USD 1283323.64000000 0.136811642008 Long DBT CORP US N 2 2030-08-15 Fixed 2.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RTB5 31785.08000000 PA USD 31504.24000000 0.003358581319 Long ABS-MBS USGA US N 2 2045-11-20 Fixed 4.50000000 N N N N N N WF-RBS Commercial Mortgage Trust N/A 92939HAX3 259725.01000000 PA USD 250403.77000000 0.026694864702 Long ABS-MBS CORP US N 2 2057-10-15 Fixed 3.65000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1010000.00000000 OU Notional Amount 2412.08000000 0.000257145286 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 11.26000000 PLN 0.00000000 PLN 1010000.00000000 PLN 2409.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QA2X7 52142.53000000 PA USD 49861.49000000 0.005315597801 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.00000000 N N N N N N ARES CAPITAL CORP WEQ82666OJYSI5GUAB47 04010LBA0 702000.00000000 PA USD 608685.96000000 0.064890354279 Long DBT CORP US N 2 2026-07-15 Fixed 2.15000000 N N N N N N WASHINGTON GAS LIGHT CO DL22T1SB4DUBS063O841 93884PDY3 30000.00000000 PA USD 22296.30000000 0.002376947886 Long DBT CORP US N 2 2049-09-15 Fixed 3.65000000 N N N N N N CIVITAS RESOURCES INC IIVIHPH28S64K95M2381 17888HAA1 275000.00000000 PA USD 278107.50000000 0.029648283989 Long DBT CORP US N 2 2028-07-01 Fixed 8.38000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31298D3G0 328.08000000 PA USD 327.44000000 0.000034907487 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CEF7 316231.29000000 PA USD 284078.75000000 0.030284862707 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A 31335BNL6 403315.00000000 PA USD 375693.61000000 0.040051673696 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N Louisiana Local Government Environmental Facilities & Community Development Auth 5493004WIZ1HV87IVF85 54627RAP5 65000.00000000 PA USD 61284.11000000 0.006533332245 Long DBT MUN US N 2 2039-08-01 Fixed 4.48000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJBY3 13945.57000000 PA USD 13691.74000000 0.001459639153 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 450000.00000000 OU Notional Amount 4969.36000000 0.000529769950 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 EUR -5.02000000 EUR 450000.00000000 EUR 4974.74000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36297FSM5 55841.16000000 PA USD 55159.19000000 0.005880371186 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 4.50000000 N N N N N N BETH ISRAEL LAHEY HEALTH 549300QPZ5W3279DU141 08661UAB2 169000.00000000 PA USD 108884.85000000 0.011607917639 Long DBT CORP US N 2 2051-07-01 Fixed 3.08000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1790000.00000000 OU Notional Amount 7147.05000000 0.000761927557 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 19.96000000 PLN 0.00000000 PLN 1790000.00000000 PLN 7142.33000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AEB39 428128.00000000 PA USD 419604.44000000 0.044732887824 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.50000000 N N N N N N COMMONWEALTH EDISON CO D8YOXB8L2ZDC8P7Q0771 202795JR2 500000.00000000 PA USD 422646.89000000 0.045057235141 Long DBT CORP US N 2 2030-03-01 Fixed 2.20000000 N N N N N N UMBS, TBA N/A 01F020679 2150000.00000000 PA USD 1753173.83000000 0.186901092547 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 2.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJA8 91000.00000000 PA USD 75449.16000000 0.008043429689 Long DBT CORP US N 2 2051-03-20 Fixed 4.08000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11430000.00000000 OU Notional Amount 12210.52000000 0.001301730318 N/A DIR ZA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 127.44000000 ZAR 0.00000000 ZAR 11430000.00000000 ZAR 12204.03000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QEKL5 781089.28000000 PA USD 666483.33000000 0.071051974658 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HFFN4 65569.23000000 PA USD 64653.12000000 0.006892493235 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.50000000 N N N N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 59259YGF0 355000.00000000 PA USD 383976.52000000 0.040934692197 Long DBT MUN US N 2 2040-11-15 Fixed 6.81000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36295NPG6 41710.01000000 PA USD 38758.31000000 0.004131917988 Long ABS-MBS USGA US N 2 2042-03-20 Fixed 3.50000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CB3 175000.00000000 PA USD 121072.58000000 0.012907218378 Long DBT CORP US N 2 2051-07-15 Fixed 3.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 80110000.00000000 OU Notional Amount -135998.53000000 -0.01449843330 N/A DIR MX N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2028-09-13 0.00000000 MXN -738.22000000 MXN 80110000.00000000 MXN -135957.42000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KMXX8 888160.02000000 PA USD 754387.89000000 0.080423240658 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DLG0 74968.89000000 PA USD 69656.08000000 0.007425845191 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36181FM99 31900.28000000 PA USD 30087.75000000 0.003207573174 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FVVS2 24417.78000000 PA USD 23886.67000000 0.002546492905 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.50000000 N N N N N N Thomson Reuters Corp 549300561UZND4C7B569 884903BV6 800000.00000000 PA USD 761200.76000000 0.081149542194 Long DBT CORP CA N 2 2026-05-15 Fixed 3.35000000 N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MAD63 70006.88000000 PA USD 67146.88000000 0.007158346205 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 4.00000000 N N N N N N TOYOTA MOTOR CREDIT CORP Z2VZBHUMB7PWWJ63I008 89236TKF1 1110000.00000000 PA USD 1072549.82000000 0.114341618463 Long DBT CORP US N 2 2025-08-18 Fixed 3.65000000 N N N N N N PUBLIC SERVICE ELECTRIC 549300RUHPVD434XUK18 74456QBS4 500000.00000000 PA USD 467339.95000000 0.049821840681 Long DBT CORP US N 2 2027-05-15 Fixed 3.00000000 N N N N N Freddie Mac N/A 3132L8T31 143908.51000000 PA USD 132964.92000000 0.014175028393 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SSP3 79127.10000000 PA USD 71872.36000000 0.007662116772 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 3.00000000 N N N N N N CHENIERE CORP CHRISTI HD 549300I7CIEWU1BBLQ53 16412XAG0 160000.00000000 PA USD 157289.67000000 0.016768223815 Long DBT CORP US N 2 2027-06-30 Fixed 5.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36241KWS3 22235.93000000 PA USD 22921.99000000 0.002443650995 Long ABS-MBS USGA US N 2 2038-11-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179SSQ1 304287.64000000 PA USD 284981.36000000 0.030381087504 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EEA4 190280.05000000 PA USD 173202.41000000 0.018464637736 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q7HS9 106361.15000000 PA USD 98162.07000000 0.010464791235 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 3.50000000 N N N N N N MASS INSTITUTE OF TECH DLZO3A31IADZ27B62557 575718AJ0 264000.00000000 PA USD 199783.10000000 0.021298332785 Long DBT CORP US N 2 2052-04-01 Fixed 3.07000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36177QXM0 11699.86000000 PA USD 10952.68000000 0.001167635418 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 42630000.00000000 OU Notional Amount 144472.97000000 0.015401870296 N/A DIR XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-09-21 24849.60000000 EUR 0.00000000 EUR 42630000.00000000 EUR 117298.69000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418Q4S9 2780.30000000 PA USD 2711.32000000 0.000289046449 Long ABS-MBS USGSE US N 2 2040-04-01 Floating 5.08000000 N N N N N N TUCSON ELECTRIC POWER CO YLF139GXSRKPBBTNZL03 898813AV2 30000.00000000 PA USD 29866.66000000 0.003184003371 Long DBT CORP US N 2 2053-04-15 Fixed 5.50000000 N N N N N N Freddie Mac N/A 3132XW5W7 7648.02000000 PA USD 7356.02000000 0.000784205280 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.00000000 N N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBY0 420000.00000000 PA USD 296013.01000000 0.031557141699 Long DBT CORP US N 2 2060-04-01 Fixed 3.85000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CR1 300000.00000000 PA USD 234193.50000000 0.024966731917 Long DBT CORP US N 2 2031-02-15 Fixed 3.63000000 N N N N N Pennsylvania State University/The 549300QDK4O4XCJ47X56 709235T88 80000.00000000 PA USD 56795.12000000 0.006054773233 Long DBT MUN US N 2 2050-09-01 Fixed 2.84000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31391NES6 2093.26000000 PA USD 2111.79000000 0.000225132186 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q7LA3 398577.18000000 PA USD 380005.91000000 0.040511396267 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.00000000 N N N N N N CenterPoint Energy Inc 21TPXMRRHFKOBHDC8J74 15189TAV9 170000.00000000 PA USD 159011.44000000 0.016951777031 Long DBT CORP US N 2 2028-11-01 Fixed 4.25000000 N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10130000.00000000 OU Notional Amount 48304.27000000 0.005149586814 N/A DIR AU N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-09-21 59232.24000000 AUD 0.00000000 AUD 10130000.00000000 AUD 8106.32000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFMX4 1952465.38000000 PA USD 1683796.62000000 0.179504976928 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECT5 502242.22000000 PA USD 433306.48000000 0.046193625032 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 1.50000000 N N N N N N CENTERPOINT ENERGY RES 2JADVB0458J06WCD4N56 15189YAG1 85000.00000000 PA USD 84965.56000000 0.009057947204 Long DBT CORP US N 2 2028-03-01 Fixed 5.25000000 N N N N N N GE HEALTHCARE TECH INC 549300OI9J7XOWZMUN85 36267VAF0 310000.00000000 PA USD 313798.16000000 0.033453168156 Long DBT CORP US N 2 2027-11-15 Fixed 5.65000000 N N N N N N Freddie Mac N/A 3128MJ3Z1 17221.73000000 PA USD 17171.09000000 0.001830563191 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 5.00000000 N N N N N N PROGRESSIVE CORP 529900TACNVLY9DCR586 743315AS2 295000.00000000 PA USD 254467.15000000 0.027128050589 Long DBT CORP US N 2 2047-04-15 Fixed 4.13000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 20315958.00000000 OU Notional Amount USD -604113.29000000 -0.06440287437 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 CDX.NA.HY.S40 2I65BRZI4 Y buy protection 2028-06-21 19787.66000000 USD 0.00000000 USD 20315958.00000000 USD -623900.95000000 N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081GE1 90000.00000000 PA USD 62210.14000000 0.006632053784 Long DBT CORP US N 2 2051-12-04 Fixed 2.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKUL7 85361.64000000 PA USD 81490.01000000 0.008687428274 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D5B4 259358.91000000 PA USD 223760.35000000 0.023854482178 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416WQW5 4865.17000000 PA USD 4754.86000000 0.000506902689 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 4.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128MJZR4 125489.47000000 PA USD 116245.36000000 0.012392601586 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178WS83 17435.02000000 PA USD 16199.28000000 0.001726961171 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7890000.00000000 OU Notional Amount 2024.47000000 0.000215823239 N/A DIR CZ N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 87.98000000 CZK 0.00000000 CZK 7890000.00000000 CZK 2020.48000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179S2P1 81298.39000000 PA USD 76142.04000000 0.008117295741 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KNLD3 942109.60000000 PA USD 769681.15000000 0.082053613501 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2310000.00000000 OU Notional Amount -22411.83000000 -0.00238926422 N/A DO XX N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on EUR - Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) 2033-05-15 48.05000000 EUR 0.00000000 EUR 2310000.00000000 EUR -22464.02000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JLL28 164662.61000000 PA USD 156990.31000000 0.016736309860 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.00000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBB6 198000.00000000 PA USD 188098.35000000 0.020052653376 Long DBT CORP US N 2 2025-11-15 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9VZ5 2218479.90000000 PA USD 1821298.50000000 0.194163678284 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273VAQ3 400000.00000000 PA USD 402618.40000000 0.042922052309 Long DBT CORP US N 2 2033-02-15 Fixed 5.75000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680BF9 80000.00000000 PA USD 83603.58000000 0.008912750222 Long DBT CORP US N 2 2051-01-15 Fixed 7.15000000 N N N N N N GENERAL MILLS INC 2TGYMUGI08PO8X8L6150 370334CT9 1125000.00000000 PA USD 1114950.76000000 0.118861867325 Long DBT CORP US N 2 2033-03-29 Fixed 4.95000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9130000.00000000 OU Notional Amount -29712.46000000 -0.00316756452 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2026-09-21 0.00000000 CAD -32099.74000000 CAD 9130000.00000000 CAD -5459.96000000 N N N Bay Area Toll Authority 5493001FUZGUQMIP5D78 072024XW7 540000.00000000 PA USD 384950.34000000 0.041038508498 Long DBT MUN US N 2 2055-04-01 Fixed 3.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3617J3E56 17983.98000000 PA USD 17358.25000000 0.001850515809 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132LAS94 227668.44000000 PA USD 217307.94000000 0.023166608302 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H050672 775000.00000000 PA USD 761558.59000000 0.081187689477 Long ABS-MBS USGA US N 2 2053-07-20 Fixed 5.00000000 N N N N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 682695AA9 135000.00000000 PA USD 136140.75000000 0.014513594989 Long DBT CORP US N 2 2029-01-15 Fixed 9.00000000 N N N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CBF1 700000.00000000 PA USD 567789.31000000 0.060530473681 Long DBT CORP US N 2 2049-06-15 Fixed 4.20000000 N N N N N N ESTEE LAUDER CO INC 549300VFZ8XJ9NUPU221 29736RAU4 95000.00000000 PA USD 96751.40000000 0.010314403544 Long DBT CORP US N 2 2053-05-15 Fixed 5.15000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 667660000.00000000 OU Notional Amount -12564.09000000 -0.00133942345 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 7418.00000000 KRW 0.00000000 KRW 667660000.00000000 KRW -12569.84000000 N N N MEMORIAL SLOAN-KETTERING 549300IZ71UAMEHWL382 586054AD0 46000.00000000 PA USD 31911.18000000 0.003401964086 Long DBT CORP US N 2 2050-01-01 Fixed 2.96000000 N N N N N N UMBS, TBA N/A 01F050676 34125000.00000000 PA USD 33437167.97000000 3.564645512240 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WY85 952771.01000000 PA USD 800680.49000000 0.085358368806 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X3EE8 41078.55000000 PA USD 35463.28000000 0.003780643803 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 2.50000000 N N N N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAB7 80000.00000000 PA USD 80653.39000000 0.008598238492 Long DBT CORP US N 2 2031-06-01 Fixed 8.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179USW3 50118.42000000 PA USD 49859.85000000 0.005315422965 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6ME8 696882.45000000 PA USD 648131.30000000 0.069095514666 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.50000000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397ZW6 555000.00000000 PA USD 521697.34000000 0.055616734151 Long DBT CORP US N 2 2026-08-01 Fixed 4.54000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179R4E6 549562.59000000 PA USD 514697.70000000 0.054870521573 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 3.50000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AA5 34000.00000000 PA USD 27848.38000000 0.002968840030 Long DBT CORP US N 2 2050-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412QSW0 134111.49000000 PA USD 135071.95000000 0.014399653129 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1840000.00000000 OU Notional Amount 10489.58000000 0.001118265587 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 20.52000000 PLN 0.00000000 PLN 1840000.00000000 PLN 10484.68000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36180DVC8 97852.80000000 PA USD 92318.21000000 0.009841793218 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 617482V92 460000.00000000 PA USD 512922.47000000 0.054681269132 Long DBT CORP US N 2 2042-07-24 Fixed 6.38000000 N N N N N Dallas Area Rapid Transit 75YWM81F2R6UQGJIEW47 235241WM4 100000.00000000 PA USD 71259.80000000 0.007596813417 Long DBT MUN US N 2 2048-12-01 Fixed 2.61000000 N N N N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HBG5 640000.00000000 PA USD 607878.34000000 0.064804256108 Long DBT CORP BM N 2 2029-02-15 Fixed 7.75000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J75S0 138105.93000000 PA USD 133723.35000000 0.014255882552 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179MX39 54502.48000000 PA USD 49804.75000000 0.005309548904 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 900000.00000000 OU Notional Amount -7699.69000000 -0.00082084300 N/A DIR CA N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 358.07000000 CAD 0.00000000 CAD 900000.00000000 CAD -7963.05000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8C52 440013.85000000 PA USD 410030.71000000 0.043712258514 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138E0SF7 4805.18000000 PA USD 4630.62000000 0.000493657800 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLC7 239782.27000000 PA USD 206155.88000000 0.021977717524 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417DWY5 11849.39000000 PA USD 11301.83000000 0.001204857349 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J92G5 78898.61000000 PA USD 75346.05000000 0.008032437413 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U3C5 3395000.00000000 PA USD 3317222.04000000 0.353640017258 Long DBT CORP US N 2 2026-08-15 Fixed 4.54000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390CVL7 1859.31000000 PA USD 1912.12000000 0.000203845911 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 6.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128MJYP9 710711.52000000 PA USD 678950.79000000 0.072381096651 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J82T9 113839.23000000 PA USD 112419.44000000 0.011984730663 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.50000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CL4 178000.00000000 PA USD 125387.62000000 0.013367233054 Long DBT CORP NL N 2 2051-11-26 Fixed 3.00000000 N N N N N BERKSHIRE HATHAWAY FIN 549300RLHFT5RU20WM87 084664DB4 325000.00000000 PA USD 268665.45000000 0.028641692726 Long DBT CORP US N 2 2052-03-15 Fixed 3.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9EY3 67848.91000000 PA USD 61254.10000000 0.006530132960 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 3.00000000 N N N N N N Grand Parkway Transportation Corp N/A 38611TDL8 100000.00000000 PA USD 73195.20000000 0.007803141146 Long DBT MUN US N 2 2052-10-01 Fixed 3.24000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132LAUF7 29799.39000000 PA USD 29206.63000000 0.003113639368 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.50000000 N N N N N N New York City Municipal Water Finance Authority 549300Q2EHQ6RJPQKP05 64972FY34 250000.00000000 PA USD 280903.75000000 0.029946384595 Long DBT MUN US N 2 2044-06-15 Fixed 5.88000000 N N N N N N Fannie Mae - CAS N/A 20753KAB8 277154.02000000 PA USD 277153.13000000 0.029546541200 Long ABS-MBS USGSE US N 2 2031-08-25 Floating 7.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385XF85 97422.34000000 PA USD 99665.92000000 0.010625112592 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.50000000 N N N N N N Commonwealth Edison Co D8YOXB8L2ZDC8P7Q0771 202795JN1 1200000.00000000 PA USD 1132205.65000000 0.120701364207 Long DBT CORP US N 2 2028-08-15 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405RRN8 3505.54000000 PA USD 3558.13000000 0.000379322559 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 6.00000000 N N N N N N CLOUD SOFTWARE GRP INC 04EEB871XLHVNY4RZJ65 88632QAE3 100000.00000000 PA USD 89038.08000000 0.009492107482 Long DBT CORP US N 2 2029-03-31 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36178EDX4 45463.30000000 PA USD 42891.03000000 0.004572496024 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 3.50000000 N N N N N N METHODIST HOSPITAL/THE 549300Y1E42JLBRENF23 591539AA9 87000.00000000 PA USD 56413.37000000 0.006014075904 Long DBT CORP US N 2 2050-12-01 Fixed 2.71000000 N N N N N N FACTSET RESEARCH SYSTEMS 549300ZSJE7NBK6K9P30 303075AB1 483000.00000000 PA USD 410855.07000000 0.043800141290 Long DBT CORP US N 2 2032-03-01 Fixed 3.45000000 N N N N N N DTE ENERGY CO 549300IX8SD6XXD71I78 233331BD8 250000.00000000 PA USD 244402.68000000 0.026055104822 Long DBT CORP US N 2 2024-11-01 Variable 4.22000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412RND5 53028.33000000 PA USD 49654.26000000 0.005293505575 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 3.50000000 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 756109BT0 635000.00000000 PA USD 606943.72000000 0.064704618812 Long DBT US N 2 2033-07-15 Fixed 4.90000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179RBX6 224085.62000000 PA USD 210311.02000000 0.022420685695 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 3.50000000 N N N N N N ARIZONA PUBLIC SERVICE YG6VT0TPHRH4TFVAQV64 040555CW2 800000.00000000 PA USD 725992.35000000 0.077396069388 Long DBT CORP US N 2 2027-09-15 Fixed 2.95000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5185000.00000000 OU Notional Amount -16932.04000000 -0.00180507872 N/A DIR GB N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2033-09-20 33608.61000000 GBP 0.00000000 GBP 5185000.00000000 GBP -59808.71000000 N N N Maryland Health & Higher Educational Facilities Authority N/A 57421CAV6 115000.00000000 PA USD 86458.50000000 0.009217105476 Long DBT MUN US N 2 2040-07-01 Fixed 3.05000000 N N N N N N AEP TEXAS INC 5493001L78U618KXNZ75 00108WAM2 260000.00000000 PA USD 212314.70000000 0.022634292569 Long DBT CORP US N 2 2030-07-01 Fixed 2.10000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416W4V1 4743.21000000 PA USD 4440.92000000 0.000473434399 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9400000.00000000 OU Notional Amount 16971.52000000 0.001809287576 N/A DIR SE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 149.33000000 SEK 0.00000000 SEK 9400000.00000000 SEK 16957.01000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4590000.00000000 OU Notional Amount 8693.34000000 0.000926773327 N/A DIR SE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 SEK -51.18000000 SEK 4590000.00000000 SEK 8698.28000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389VBN6 1430.03000000 PA USD 1425.33000000 0.000151950553 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 7.00000000 N N N N N N BANK 2021-BN35 N/A 06540CBF3 920000.00000000 PA USD 738639.66000000 0.078744364700 Long ABS-MBS CORP US N 2 2064-06-15 Fixed 2.29000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5G78 32821.92000000 PA USD 30505.62000000 0.003252121158 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D6A5 1241655.54000000 PA USD 960246.60000000 0.102369277697 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 1.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FGY6 54113.71000000 PA USD 54784.43000000 0.005840419042 Long ABS-MBS USGA US N 2 2040-06-20 Fixed 5.00000000 N N N N N N TRANE TECHNOLOGIES LUX 549300GHBOWCVY92IS29 456873AF5 95000.00000000 PA USD 83768.75000000 0.008930358546 Long DBT CORP LU N 2 2049-03-21 Fixed 4.50000000 N N N N N N ADOBE INC FU4LY2G4933NH2E1CP29 00724PAC3 2090000.00000000 PA USD 1919791.13000000 0.204663709621 Long DBT CORP US N 2 2027-02-01 Fixed 2.15000000 N N N N N N UMBS, TBA N/A 01F040677 -800000.00000000 PA USD -750718.75000000 -0.08003208362 Short ABS-MBS USGSE US N 2 2053-07-15 Fixed 4.00000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967MF5 2805000.00000000 PA USD 2742078.46000000 0.292325524859 Long DBT CORP US N 2 2025-04-24 Fixed 3.35000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9690000.00000000 OU Notional Amount -2734.97000000 -0.00029156771 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 108.30000000 THB 0.00000000 THB 9690000.00000000 THB -2738.09000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36230NHB4 18076.43000000 PA USD 17495.55000000 0.001865152989 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W3F32 37201.35000000 PA USD 32118.00000000 0.003424012603 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 2.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NA5 3035000.00000000 PA USD 2695326.32000000 0.287341406402 Long DBT CORP US N 2 2027-06-09 Fixed 1.46000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661EG8 280000.00000000 PA USD 264431.64000000 0.028190337760 Long DBT CORP US N 2 2027-04-01 Fixed 3.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ETGM2 11948.30000000 PA USD 10786.93000000 0.001149965261 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FCNG9 115617.77000000 PA USD 107118.49000000 0.011419610805 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D6NR7 2288450.59000000 PA USD 2094706.84000000 0.223310997610 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AXHR6 826086.37000000 PA USD 701662.31000000 0.074802310013 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4410000.00000000 OU Notional Amount 6148.05000000 0.000655426884 N/A DIR SE N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 0.00000000 SEK -49.18000000 SEK 4410000.00000000 SEK 6152.69000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EUKZ1 3520.08000000 PA USD 3449.01000000 0.000367689573 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TXU4 574881.96000000 PA USD 535924.33000000 0.057133434851 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1600000.00000000 OU Notional Amount -50566.35000000 -0.00539074100 N/A DO GB N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on GBP - UK Retail Price Index All Items Monthly (UKRPI) 2033-05-15 33.28000000 GBP 0.00000000 GBP 1600000.00000000 GBP -50607.64000000 N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136AY7L1 1117340.91000000 PA USD 1045904.72000000 0.111501056839 Long ABS-MBS USGSE US N 2 2027-12-25 Variable 3.09000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8KW2 817286.15000000 PA USD 837224.04000000 0.089254177255 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 5.50000000 N N N N N N Duke Energy Corp I1BZKREC126H0VB1BL91 26441CAS4 300000.00000000 PA USD 277267.94000000 0.029558780782 Long DBT CORP US N 2 2026-09-01 Fixed 2.65000000 N N N N N QUANTA SERVICES INC SHVRXXEACT60MMH07S24 74762EAG7 2110000.00000000 PA USD 1982688.80000000 0.211369059109 Long DBT CORP US N 2 2024-10-01 Fixed 0.95000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBM3 625000.00000000 PA USD 485620.53000000 0.051770683583 Long DBT CORP US N 2 2051-04-15 Fixed 3.45000000 N N N N N N COSTCO WHOLESALE CORP 29DX7H14B9S6O3FD6V18 22160KAQ8 160000.00000000 PA USD 129139.51000000 0.013767211840 Long DBT CORP US N 2 2032-04-20 Fixed 1.75000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31297M4D7 82949.70000000 PA USD 82891.13000000 0.008836797865 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.50000000 N N N N N N Humana Inc 529900YLDW34GJAO4J06 444859BD3 1000000.00000000 PA USD 976588.94000000 0.104111490105 Long DBT CORP US N 2 2024-10-01 Fixed 3.85000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DL1 315000.00000000 PA USD 260924.35000000 0.027816435114 Long DBT CORP US N 2 2050-04-01 Fixed 4.25000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132WNEK4 32782.42000000 PA USD 32207.41000000 0.003433544360 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622A27M8 45424.25000000 PA USD 41033.06000000 0.004374422897 Long ABS-MBS USGA US N 2 2047-02-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJQ39 540563.71000000 PA USD 481890.48000000 0.051373033100 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KH2L9 448906.06000000 PA USD 397958.15000000 0.042425235735 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.00000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBQ4 1100000.00000000 PA USD 1058607.00000000 0.112855212354 Long DBT CORP US N 2 2030-03-01 Fixed 5.50000000 N N N N N CENTERPOINT ENER HOUSTON 549300S8SEQBOJLKHW63 15189XAY4 55000.00000000 PA USD 42657.76000000 0.004547627744 Long DBT CORP US N 2 2052-03-01 Fixed 3.60000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJS9 2140000.00000000 PA USD 1910516.71000000 0.203674988936 Long DBT CORP US N 2 2027-07-22 Fixed 1.73000000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AC7 1395000.00000000 PA USD 1348793.96000000 0.143791254712 Long DBT CORP US N 2 2024-12-01 Fixed 3.35000000 N N N N N N JPMDB Commercial Mortgage Securities Trust N/A 46590TAE5 1160000.00000000 PA USD 1069266.89000000 0.113991634227 Long ABS-MBS CORP US N 2 2050-03-15 Fixed 3.69000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QHET8 163839.55000000 PA USD 145279.67000000 0.015487870388 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 2.00000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LBC9 575000.00000000 PA USD 552066.65000000 0.058854323671 Long DBT CORP US N 2 2027-05-15 Fixed 3.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179DK41 8222.74000000 PA USD 7640.38000000 0.000814520126 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 3.50000000 N N N N N N Mastercard Inc AR5L2ODV9HN37376R084 57636QAL8 280000.00000000 PA USD 232978.01000000 0.024837151834 Long DBT CORP US N 2 2049-06-01 Fixed 3.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9R64 176984.83000000 PA USD 157824.28000000 0.016825217133 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 2.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFX7 1687000.00000000 PA USD 1331856.22000000 0.141985568330 Long DBT CORP US N 2 2030-10-30 Fixed 1.68000000 N N N N N N TAPESTRY INC 549300LJNVY5SW3VTN33 876030AA5 980000.00000000 PA USD 782581.94000000 0.083428931627 Long DBT CORP US N 2 2032-03-15 Fixed 3.05000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 31297F3M3 5926.71000000 PA USD 5911.48000000 0.000630206800 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MKE85 14969.51000000 PA USD 14334.55000000 0.001528167378 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 3.00000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3128PUHH8 58787.25000000 PA USD 57432.65000000 0.006122738572 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 4.00000000 N N N N N N KAISER FOUNDATION HOSPIT DW4Z57L3G4IRMHYZYK62 48305QAF0 57000.00000000 PA USD 41871.05000000 0.004463758731 Long DBT CORP US N 2 2041-06-01 Fixed 2.81000000 N N N N N Oracle Corp 1Z4GXXU7ZHVWFCD8TV52 68389XBC8 800000.00000000 PA USD 763036.72000000 0.081345268895 Long DBT CORP US N 2 2025-05-15 Fixed 2.95000000 N N N N N N GS Mortgage Securities Trust N/A 36252WAX6 730000.00000000 PA USD 719292.65000000 0.076681832597 Long ABS-MBS CORP US N 2 2047-04-10 Fixed 4.00000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAM2 300000.00000000 PA USD 302871.00000000 0.032288253356 Long DBT CORP US N 2 2027-06-01 Fixed 7.50000000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KBF2 270000.00000000 PA USD 267066.03000000 0.028471182911 Long DBT CORP US N 2 2029-03-09 Fixed 6.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 23490000.00000000 OU Notional Amount -6007.13000000 -0.00064040378 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 261.31000000 THB 0.00000000 THB 23490000.00000000 THB -6014.68000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QAXY1 75240.12000000 PA USD 74884.05000000 0.007983184850 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UPB2 579916.35000000 PA USD 566220.21000000 0.060363196199 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 4.50000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132WFNV7 9432.06000000 PA USD 8797.83000000 0.000937912722 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 362670000.00000000 OU Notional Amount -4771.07000000 -0.00050863079 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 3987.00000000 KRW 0.00000000 KRW 362670000.00000000 KRW -4774.07000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402RDF3 38098.92000000 PA USD 39557.94000000 0.004217164366 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TE27 40333.60000000 PA USD 38712.90000000 0.004127076951 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 4.00000000 N N N N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAC6 500000.00000000 PA USD 375311.91000000 0.040010981697 Long DBT CORP NO N 2 2049-11-18 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFUZ0 2576996.56000000 PA USD 2118919.37000000 0.225892229564 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.00000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCV6 1335000.00000000 PA USD 1266690.31000000 0.135038407947 Long DBT CORP US N 2 2025-02-26 Fixed 2.90000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QEY30 532321.13000000 PA USD 458060.65000000 0.048832599753 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N AMPHENOL CORP 549300D3L3G0R4U4VT04 032095AK7 125000.00000000 PA USD 117978.74000000 0.012577392512 Long DBT CORP US N 2 2025-03-01 Fixed 2.05000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAR4 855000.00000000 PA USD 722101.37000000 0.076981262595 Long DBT CORP US N 2 2050-05-15 Fixed 5.00000000 N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECU2 912953.73000000 PA USD 809338.27000000 0.086281351178 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 2.00000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBX2 25000.00000000 PA USD 27512.88000000 0.002933073288 Long DBT CORP US N 2 2032-10-19 Fixed 7.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AADS0 135119.26000000 PA USD 122073.94000000 0.013013970644 Long ABS-MBS USGA US N 2 2047-02-15 Fixed 3.00000000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804FZ2 1750000.00000000 PA USD 1657934.48000000 0.176747884540 Long DBT CORP US N 2 2028-04-01 Fixed 3.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EUC64 30448.65000000 PA USD 28318.75000000 0.003018984896 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N BHP BILLITON FIN USA LTD 5493003NUVITP3TMY274 055451BA5 565000.00000000 PA USD 562807.20000000 0.059999344488 Long DBT CORP AU N 2 2033-02-28 Fixed 4.90000000 N N N N N Westlake Automobile Receivables Trust N/A 96042WAE7 3970000.00000000 PA USD 3856407.18000000 0.411121078193 Long ABS-O CORP US N 2 2027-03-15 Fixed 2.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 667660000.00000000 OU Notional Amount -12867.48000000 -0.00137176703 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 7695.00000000 KRW 0.00000000 KRW 667660000.00000000 KRW -12873.45000000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAM2 125000.00000000 PA USD 107591.11000000 0.011469995537 Long DBT CORP US N 2 2038-04-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F5CD3 49081.06000000 PA USD 43921.23000000 0.004682322843 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 763.00000000 NC USD -1396794.38000000 -0.14890844890 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year U.S. Treasury Notes TYU3 Comdty 2023-09-20 87091231.88000000 USD -1396794.38000000 N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076AU6 200000.00000000 PA USD 206891.67000000 0.022056158094 Long DBT CORP US N 2 2040-09-15 Fixed 5.40000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1080000.00000000 OU Notional Amount 5318.41000000 0.000566981221 N/A DIR PL N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2028-09-20 12.04000000 PLN 0.00000000 PLN 1080000.00000000 PLN 5315.56000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D57D8 361638.16000000 PA USD 312115.64000000 0.033273799277 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 1.50000000 N N N N N N CIVITAS RESOURCES INC IIVIHPH28S64K95M2381 17888HAB9 250000.00000000 PA USD 253450.00000000 0.027019614995 Long DBT CORP US N 2 2031-07-01 Fixed 8.75000000 N N N N N N Freddie Mac 254900HROIFWPRGM1V77 3132J4B40 46138.74000000 PA USD 43711.91000000 0.004660007807 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3622AADT8 73057.82000000 PA USD 66524.12000000 0.007091955455 Long ABS-MBS USGA US N 2 2044-01-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412PKK6 1103.87000000 PA USD 1083.50000000 0.000115508987 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 4.50000000 N N N N N N Freddie Mac N/A 3128P8GW5 44141.52000000 PA USD 41791.36000000 0.004455263197 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 3.50000000 N N N N N N 2023-07-31 Master Investment Portfolio II Chuck Pulsfort Chuck Pulsfort Assistant Treasurer