0001752724-21-229707.txt : 20211028 0001752724-21-229707.hdr.sgml : 20211028 20211028112416 ACCESSION NUMBER: 0001752724-21-229707 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20210831 FILED AS OF DATE: 20211028 PERIOD START: 20210831 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MORGAN STANLEY PATHWAY FUNDS CENTRAL INDEX KEY: 0000875186 IRS NUMBER: 000000000 FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-06318 FILM NUMBER: 211356104 BUSINESS ADDRESS: STREET 1: 2000 WESTCHESTER AVENUE CITY: PURCHASE STATE: NY ZIP: 10577 BUSINESS PHONE: 8883749999 MAIL ADDRESS: STREET 1: 2000 WESTCHESTER AVENUE CITY: PURCHASE STATE: NY ZIP: 10577 FORMER COMPANY: FORMER CONFORMED NAME: CONSULTING GROUP CAPITAL MARKETS FUNDS DATE OF NAME CHANGE: 19950125 FORMER COMPANY: FORMER CONFORMED NAME: TRUST FOR TRAK INVESTMENTS DATE OF NAME CHANGE: 19920929 FORMER COMPANY: FORMER CONFORMED NAME: INSTITUTIONAL ADVISORS PORTFOLIOS DATE OF NAME CHANGE: 19600201 0000875186 S000008437 Core Fixed Income Fund C000023145 Core Fixed Income Fund TIIUX NPORT-P 1 primary_doc.xml NPORT-P false 0000875186 XXXXXXXX S000008437 C000023145 MORGAN STANLEY PATHWAY FUNDS 811-06318 0000875186 549300P3RUTI9W6SLI87 2000 Westchester Avenue NULL Purchase 10577 888-454-3965 Core Fixed Income Fund S000008437 1UKL0F219G5CMXW7TL44 2021-08-31 2021-08-31 N 1629787429.18 319224582.44 1310562846.74 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 92140700.64000000 AUD BRL CAD CHF CNY EUR GBP IDR JPY MXN MYR RUB USD ZAR N GNMA II P#MA7313 3% 04/20/51 N/A GINNIE MAE II POOL P#MA7313 3.00000000 36179WDS4 1837195.86000000 NS USD 1922488.95000000 0.146691854937 Long ABS-MBS USGSE US N 2 2051-04-20 Fixed 3.00000000 N N N N N N HSBC HOLDINGS PLC V/R 05/22/30 MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC REGD V/R 3.97300000 404280CC1 420000.00000000 NS USD 471357.82000000 0.035966060015 Long DBT CORP GB N 2 2030-05-22 Variable 3.97300000 N N N N N N TYSON FOODS INC 3.9% 09/28/23 WD6L6041MNRW1JE49D58 TYSON FOODS INC REGD 3.90000000 902494BG7 285000.00000000 NS USD 304438.45000000 0.023229595647 Long DBT CORP US N 2 2023-09-28 Fixed 3.90000000 N N N N N N WILLIAMS COS IN 7.75% 06/15/31 D71FAKCBLFS2O0RBPG08 WILLIAMS COS INC REGD 7.75000000 969457BD1 260000.00000000 NS USD 366444.46000000 0.027960846052 Long DBT CORP US N 2 2031-06-15 Fixed 7.75000000 N N N N N N MARRIOTT INTER 4.625% 06/15/30 225YDZ14ZO8E1TXUSU86 MARRIOTT INTERNATIONAL REGD SER FF 4.62500000 571903BE2 97000.00000000 NS USD 111599.22000000 0.008515365766 Long DBT CORP US N 2 2030-06-15 Fixed 4.62500000 N N N N N N FGLMC P#G07509 6.5% 09/01/39 N/A FREDDIE MAC GOLD POOL P#G07509 6.50000000 3128M9VA7 22420.71000000 NS USD 26061.84000000 0.001988599025 Long ABS-MBS USGA US N 2 2039-09-01 Fixed 6.50000000 N N N N N N SOUTHERN NATURAL G 8% 03/01/32 N/A SOUTHERN NATURAL GAS REGD 8.00000000 843452AZ6 258000.00000000 NS USD 371372.50000000 0.028336870751 Long DBT CORP US N 2 2032-03-01 Fixed 8.00000000 N N N N N N AMERICAN TOWER C 2.1% 06/15/30 5493006ORUSIL88JOE18 AMERICAN TOWER CORP REGD 2.10000000 03027XBC3 208000.00000000 NS USD 205942.36000000 0.015714039239 Long DBT CORP US N 2 2030-06-15 Fixed 2.10000000 N N N N N N MARSH & MCLENNA 2.25% 11/15/30 549300XMP3KDCKJXIU47 MARSH & MCLENNAN COS INC REGD 2.25000000 571748BN1 268000.00000000 NS USD 274731.17000000 0.020962838270 Long DBT CORP US N 2 2030-11-15 Fixed 2.25000000 N N N N N N JPMORGAN CHASE 4.95% 06/01/45 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD 4.95000000 46625HLL2 490000.00000000 NS USD 655188.30000000 0.049992894398 Long DBT CORP US N 2 2045-06-01 Fixed 4.95000000 N N N N N N UMBS P#BR7222 2.5% 04/01/51 N/A FANNIE MAE POOL UMBS P#BR7222 2.50000000 3140L6AY0 99098.41000000 NS USD 103547.95000000 0.007901028955 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N UMBS P#MA4097 3% 08/01/50 N/A FANNIE MAE POOL UMBS P#MA4097 3.00000000 31418DRT1 377243.29000000 NS USD 394691.42000000 0.030116176494 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N STATE OF ISRAEL 2.75% 07/03/30 N/A STATE OF ISRAEL REGD 2.75000000 46513JB34 200000.00000000 NS USD 215666.40000000 0.016456013577 Long DBT USGA IL N 2 2030-07-03 Fixed 2.75000000 N N N N N N CHEVRON USA INC 4.95% 08/15/47 N/A CHEVRON USA INC REGD 4.95000000 166756AW6 30000.00000000 NS USD 41243.31000000 0.003146992157 Long DBT CORP US N 2 2047-08-15 Fixed 4.95000000 N N N N N N UMBS P#AS2350 4.5% 05/01/44 N/A FANNIE MAE POOL UMBS P#AS2350 4.50000000 3138WBTG0 140711.25000000 NS USD 155797.62000000 0.011887840433 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 4.50000000 N N N N N N FNA 2019-M28 2.232% 02/25/27 N/A FANNIE MAE-ACES SER 2019-M28 CL AV 2.23200000 3136B7GA3 112972.64000000 NS USD 119464.84000000 0.009115536908 Long ABS-CBDO CORP US N 2 2027-02-25 Fixed 2.23200000 N N N N N N GNMA II P#MA4068 3% 11/20/46 N/A GINNIE MAE II POOL P#MA4068 3.00000000 36179SQV2 59533.57000000 NS USD 62829.16000000 0.004794059297 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.00000000 N N N N N N BANK OF AMERICA C V/R 01/20/28 N/A BANK OF AMERICA CORP REGD V/R MTN 3.82400000 06051GGF0 802000.00000000 NS USD 894295.51000000 0.068237514303 Long DBT CORP US N 2 2028-01-20 Variable 3.82400000 N N N N N N UMBS P#AB7795 2.5% 02/01/28 N/A FANNIE MAE POOL UMBS P#AB7795 2.50000000 31417EUV1 63299.46000000 NS USD 66565.45000000 0.005079149784 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 2.50000000 N N N N N N CENTERPOINT ENE 3.35% 04/01/51 N/A CENTERPOINT ENER HOUSTON REGD SER AF 3.35000000 15189XAW8 146000.00000000 NS USD 163147.49000000 0.012448658254 Long DBT CORP US N 2 2051-04-01 Fixed 3.35000000 N N N N N N JPMORGAN CHASE & V/R 12/05/29 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 4.45200000 46647PAX4 697000.00000000 NS USD 814921.80000000 0.062181054653 Long DBT CORP US N 2 2029-12-05 Variable 4.45200000 N N N N N N GOLDMAN SACHS G 5.15% 05/22/45 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD 5.15000000 38148LAF3 290000.00000000 NS USD 388927.02000000 0.029676334940 Long DBT CORP US N 2 2045-05-22 Fixed 5.15000000 N N N N N N ORACLE CORP 3.8% 11/15/37 1Z4GXXU7ZHVWFCD8TV52 ORACLE CORP REGD 3.80000000 68389XBP9 444000.00000000 NS USD 486582.76000000 0.037127770042 Long DBT CORP US N 2 2037-11-15 Fixed 3.80000000 N N N N N N CLEVELAND OH A 2.882% 01/01/31 N/A CLEVELAND OH ARPT SYS REVENUE REGD N/C B/E 2.88200000 186352SP6 90000.00000000 NS USD 95670.53000000 0.007299957437 Long DBT MUN US N 2 2031-01-01 Fixed 2.88200000 N N N N N N MICROSOFT CORP 3.45% 08/08/36 INR2EJN1ERAN0W5ZP974 MICROSOFT CORP REGD 3.45000000 594918BS2 5000.00000000 NS USD 5859.21000000 0.000447075851 Long DBT CORP US N 2 2036-08-08 Fixed 3.45000000 N N N N N N BOEING CO 5.805% 05/01/50 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 5.80500000 097023CW3 490000.00000000 NS USD 667552.96000000 0.050936356212 Long DBT CORP US N 2 2050-05-01 Fixed 5.80500000 N N N N N N UMBS P#FM6117 3% 11/01/48 N/A FANNIE MAE POOL UMBS P#FM6117 3.00000000 3140X9YP4 482274.10000000 NS USD 509164.93000000 0.038850859481 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.00000000 N N N N N N GNMA II P#BM9743 4% 11/20/49 N/A GINNIE MAE II POOL P#BM9743 4.00000000 3617K1ZG1 146189.82000000 NS USD 153525.30000000 0.011714455387 Long ABS-MBS USGSE US N 2 2049-11-20 Fixed 4.00000000 N N N N N N GNMA II P#MA5076 3% 03/20/48 N/A GINNIE MAE II POOL P#MA5076 3.00000000 36179TT96 167583.53000000 NS USD 175578.75000000 0.013397201853 Long ABS-MBS USGSE US N 2 2048-03-20 Fixed 3.00000000 N N N N N N GNMA II P#MA4722 5% 09/20/47 N/A GINNIE MAE II POOL P#MA4722 5.00000000 36179TG74 123846.60000000 NS USD 135048.19000000 0.010304594727 Long ABS-MBS USGSE US N 2 2047-09-20 Fixed 5.00000000 N N N N N N PUBLIC SERVICE ELE 3% 05/15/27 N/A PUBLIC SERVICE ELECTRIC REGD MTN 3.00000000 74456QBS4 23000.00000000 NS USD 25064.88000000 0.001912527893 Long DBT CORP US N 2 2027-05-15 Fixed 3.00000000 N N N N N N COX COMMUNICATI 3.85% 02/01/25 N/A COX COMMUNICATIONS INC REGD P/P 3.85000000 224044CE5 70000.00000000 NS USD 76254.92000000 0.005818486323 Long DBT CORP US Y 2 2025-02-01 Fixed 3.85000000 N N N N N N 3M COMPANY 3.05% 04/15/30 LUZQVYP4VS22CLWDAR65 3M COMPANY REGD 3.05000000 88579YBN0 30000.00000000 NS USD 33023.70000000 0.002519810483 Long DBT CORP US N 2 2030-04-15 Fixed 3.05000000 N N N N N N MIDAMERICAN ENER 3.1% 05/01/27 N/A MIDAMERICAN ENERGY CO REGD 3.10000000 595620AQ8 255000.00000000 NS USD 279644.27000000 0.021337723001 Long DBT CORP US N 2 2027-05-01 Fixed 3.10000000 N N N N N N T/L ASURION LLC 0% 11/03/24 N/A T/L ASURION LLC ZCP REGD 0.00000000 04649VAW0 176069.32000000 NS USD 173345.53000000 0.013226800258 Long LON CORP US N 2 2024-11-03 Variable 3.08463000 N N N N N N PROLOGIS LP 3% 04/15/50 N/A PROLOGIS LP REGD 3.00000000 74340XBP5 67000.00000000 NS USD 70190.34000000 0.005355740106 Long DBT CORP US N 2 2050-04-15 Fixed 3.00000000 N N N N N N UMBS P#AV9187 4% 03/01/44 N/A FANNIE MAE POOL UMBS P#AV9187 4.00000000 3138XMF54 179320.44000000 NS USD 198464.10000000 0.015143424864 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 4.00000000 N N N N N N UMBS P#QC4824 2.5% 08/01/51 N/A FREDDIE MAC POOL UMBS P#QC4824 2.50000000 3133APLD9 99486.43000000 NS USD 104945.06000000 0.008007632770 Long ABS-MBS USGA US N 2 2051-08-01 Fixed 2.50000000 N N N N N N GNMA II P#MA7256 3% 03/20/51 N/A GINNIE MAE II POOL P#MA7256 3.00000000 36179WBZ0 698434.22000000 NS USD 730859.51000000 0.055766841843 Long ABS-MBS USGSE US N 2 2051-03-20 Fixed 3.00000000 N N N N N N GNMA II P#MA5652 4.5% 12/20/48 N/A GINNIE MAE II POOL P#MA5652 4.50000000 36179UH54 68331.78000000 NS USD 72747.46000000 0.005550856273 Long ABS-MBS USGSE US N 2 2048-12-20 Fixed 4.50000000 N N N N N N US TREAS BDS 3.125% 08/15/44 N/A UNITED STATES TREASURY BOND 3.12500000 912810RH3 415000.00000000 NS USD 511309.18000000 0.039014472390 Long DBT UST US N 2 2044-08-15 Fixed 3.12500000 N N N N N N UMBS P#AS9830 4% 06/01/47 N/A FANNIE MAE POOL UMBS P#AS9830 4.00000000 3138WK4Q5 127667.78000000 NS USD 137787.18000000 0.010513588138 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N MEX BONOS 7.75% 11/13/42/MXN/ N/A MEX BONOS DESARR FIX RT /MXN/ REGD SER M 7.75000000 P4R0C9EK5 111575700.00000000 NS 5667956.18000000 0.432482592811 Long DBT USGA MX N 2 2042-11-13 Fixed 7.75000000 N N N N N N GNMA P#784571 3.5% 06/15/48 N/A GINNIE MAE I POOL P#784571 3.50000000 3622A3CG3 94176.08000000 NS USD 100962.43000000 0.007703745780 Long ABS-MBS USGSE US N 2 2048-06-15 Fixed 3.50000000 N N N N N N BAMLL 2018-PARK V/R 08/10/28 N/A BAMLL COMMERCIAL MORTGAGE SECURITIES SER 2018-PARK CL A V/R REGD 144A P/P 4.22710800 05491YAA8 420000.00000000 NS USD 484337.87000000 0.036956477989 Long ABS-CBDO CORP US Y 2 2038-08-10 Variable 4.22710800 N N N N N N LLOYDS BANKING GR V/R 05/11/27 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC REGD V/R 1.62700000 53944YAP8 350000.00000000 NS USD 351491.85000000 0.026819915647 Long DBT CORP GB N 2 2027-05-11 Variable 1.62700000 N N N N N N FGLMC P#G02427 5.5% 12/01/36 N/A FREDDIE MAC GOLD POOL P#G02427 5.50000000 3128M4A45 8898.28000000 NS USD 10340.89000000 0.000789041901 Long ABS-MBS USGA US N 2 2036-12-01 Fixed 5.50000000 N N N N N N DUKE ENERGY PROG 4.1% 03/15/43 N/A DUKE ENERGY PROGRESS INC REGD 4.10000000 144141DD7 48000.00000000 NS USD 58588.55000000 0.004470487634 Long DBT CORP US N 2 2043-03-15 Fixed 4.10000000 N N N N N N GNMA II 30 YR TBA 2% SEP 21 N/A GNMA II 30 YR TBA 2% SEP 21 TO BE ANNOUNCED 2.00000000 21H020691 2300000.00000000 NS USD 2348335.95000000 0.179185298579 Long ABS-MBS USGA US N 2 2051-09-01 Fixed 2.00000000 N N N N N N UMBS P#MA3239 4% 01/01/48 N/A FANNIE MAE POOL UMBS P#MA3239 4.00000000 31418CS54 57726.65000000 NS USD 62432.85000000 0.004763819618 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N CITIZENS FINANC 2.85% 07/27/26 2138004JDDA4ZQUPFW65 CITIZENS FINANCIAL GROUP REGD 2.85000000 174610AR6 142000.00000000 NS USD 151951.44000000 0.011594364999 Long DBT CORP US N 2 2026-07-27 Fixed 2.85000000 N N N N N N FIDELITY NATL IN 3.1% 03/01/41 6WQI0GK1PRFVBA061U48 FIDELITY NATL INFO SERV REGD 3.10000000 31620MBU9 142000.00000000 NS USD 147945.57000000 0.011288704724 Long DBT CORP US N 2 2041-03-01 Fixed 3.10000000 N N N N N N ENTERPRISE PRODU 3.9% 02/15/24 N/A ENTERPRISE PRODUCTS OPER REGD 3.90000000 29379VBB8 50000.00000000 NS USD 53612.87000000 0.004090827855 Long DBT CORP US N 2 2024-02-15 Fixed 3.90000000 N N N N N N GNMA II P#4853 4% 11/20/40 N/A GINNIE MAE II POOL P#4853 4.00000000 36202FMA1 17196.69000000 NS USD 18849.72000000 0.001438291955 Long ABS-MBS USGSE US N 2 2040-11-20 Fixed 4.00000000 N N N N N N COMM 2018-COR 4.228% 04/10/28 N/A COMM 2018-COR3 MORTGAGE TRUST SER 2018-COR3 CL A3 REGD 4.22800000 12595VAD9 465000.00000000 NS USD 537761.62000000 0.041032875404 Long ABS-CBDO CORP US N 2 2051-05-10 Fixed 4.22800000 N N N N N N UMBS TBA 30YR 1.5% SEP 21 N/A UMBS TBA 30YR 1.5% SEP 21 TO BE ANNOUNCED 1.50000000 01F012692 200000.00000000 NS USD 196609.38000000 0.015001903990 Long ABS-MBS USGA US N 2 2051-09-01 Fixed 1.50000000 N N N N N N INTEL CORP 3.2% 08/12/61 KNX4USFCNGPY45LOCE31 INTEL CORP REGD 3.20000000 458140BX7 168000.00000000 NS USD 173828.46000000 0.013263649311 Long DBT CORP US N 2 2061-08-12 Fixed 3.20000000 N N N N N N HYUNDAI CAPITA 2.375% 02/10/23 N/A HYUNDAI CAPITAL AMERICA REGD 144A P/P 2.37500000 44891ABE6 412000.00000000 NS USD 421916.84000000 0.032193560274 Long DBT CORP US Y 2 2023-02-10 Fixed 2.37500000 N N N N N N CREDIT SUISSE 4.282% 01/09/28 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG REGD 144A P/P 4.28200000 225401AC2 65000.00000000 NS USD 72734.71000000 0.005549883409 Long DBT CORP CH Y 2 2028-01-09 Fixed 4.28200000 N N N N N N GSMS 2021-ROSS A V/R 05/15/23 N/A GS MORTGAGE SECURITIES CORP TRUST 2021-ROSS SER 2021-ROSS CL A V/R REGD 144A P/P 1.24600000 36264YAA8 370000.00000000 NS USD 370719.65000000 0.028287056276 Long ABS-CBDO CORP US Y 2 2026-05-15 Variable 1.24600000 N N N N N N PHILIP MORRIS IN 4.5% 03/20/42 HL3H1H2BGXWVG3BSWR90 PHILIP MORRIS INTL INC REGD 4.50000000 718172AP4 60000.00000000 NS USD 71456.53000000 0.005452354320 Long DBT CORP US N 2 2042-03-20 Fixed 4.50000000 N N N N N N CGCMT 2016-C2 3.176% 08/10/26 N/A CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C2 SER 2016-C2 CL B REGD 3.17600000 17291CBU8 285000.00000000 NS USD 297765.63000000 0.022720438835 Long ABS-CBDO CORP US N 2 2049-08-10 Fixed 3.17600000 N N N N N N FGLMC P#G08716 3.5% 08/01/46 N/A FREDDIE MAC GOLD POOL P#G08716 3.50000000 3128MJYN4 280423.00000000 NS USD 301942.86000000 0.023039174409 Long ABS-MBS USGA US N 2 2046-08-01 Fixed 3.50000000 N N N N N N COMCAST CORP 3.75% 04/01/40 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 3.75000000 20030NDH1 20000.00000000 NS USD 23004.69000000 0.001755329021 Long DBT CORP US N 2 2040-04-01 Fixed 3.75000000 N N N N N N KLA CORP 4.1% 03/15/29 549300H0BF5JCG96TJ81 KLA CORP REGD 4.10000000 482480AG5 383000.00000000 NS USD 441508.01000000 0.033688427159 Long DBT CORP US N 2 2029-03-15 Fixed 4.10000000 N N N N N N GILEAD SCIENCES 4.8% 04/01/44 549300WTZWR07K8MNV44 GILEAD SCIENCES INC REGD 4.80000000 375558AX1 218000.00000000 NS USD 279095.94000000 0.021295883726 Long DBT CORP US N 2 2044-04-01 Fixed 4.80000000 N N N N N N PIONEER NATURAL 2.15% 01/15/31 FY8JBF7CCL2VE4F1B628 PIONEER NATURAL RESOURCE REGD 2.15000000 723787AR8 250000.00000000 NS USD 245107.79000000 0.018702482724 Long DBT CORP US N 2 2031-01-15 Fixed 2.15000000 N N N N N N UMBS P#BF0141 5.5% 09/01/56 N/A FANNIE MAE POOL UMBS P#BF0141 5.50000000 3140FXEP3 285052.36000000 NS USD 338510.98000000 0.025829435104 Long ABS-MBS USGSE US N 2 2056-09-01 Fixed 5.50000000 N N N N N N FNR 2012-75 AO ZCP 03/25/42 N/A FANNIE MAE REMICS SER 2012-75 CL AO ZCP 0.00000000 3136A6Q56 15096.98000000 NS USD 14393.95000000 0.001098302918 Long ABS-CBDO CORP US N 2 2042-03-25 Fixed 0.00000000 N N N N N N PHILIP MORRIS 1.125% 05/01/23 HL3H1H2BGXWVG3BSWR90 PHILIP MORRIS INTL INC REGD 1.12500000 718172CQ0 100000.00000000 NS USD 101271.18000000 0.007727304360 Long DBT CORP US N 2 2023-05-01 Fixed 1.12500000 N N N N N N LEVEL 3 FINANC 3.875% 11/15/29 N/A LEVEL 3 FINANCING INC REGD 144A P/P 3.87500000 527298BQ5 595000.00000000 NS USD 639687.48000000 0.048810133874 Long DBT CORP US Y 2 2029-11-15 Fixed 3.87500000 N N N N N N LLOYDS BANKING 4.582% 12/10/25 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC REGD SER WI 4.58200000 539439AM1 245000.00000000 NS USD 276313.41000000 0.021083568078 Long DBT CORP GB N 2 2025-12-10 Fixed 4.58200000 N N N N N N JPMORGAN CHASE & V/R 02/22/48 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 4.26000000 46647PAA4 38000.00000000 NS USD 46864.17000000 0.003575881165 Long DBT CORP US N 2 2048-02-22 Variable 4.26000000 N N N N N N ABBOTT LABORATO 3.75% 11/30/26 HQD377W2YR662HK5JX27 ABBOTT LABORATORIES REGD 3.75000000 002824BF6 164000.00000000 NS USD 185645.11000000 0.014165296266 Long DBT CORP US N 2 2026-11-30 Fixed 3.75000000 N N N N N N T/L STERIGENICS-NO 0% 12/11/26 N/A T/L STERIGENICS-NORDION HOLDINGS LLC REGD 0.00000000 N/A 360000.00000000 NS USD 358200.00000000 0.027331768246 Long LON CORP US N 2 2026-12-11 Variable 3.25000000 N N N N N N NATWEST GROUP PLC V/R 03/22/25 N/A NATWEST GROUP PLC REGD V/R 4.26900000 780097BK6 865000.00000000 NS USD 937899.57000000 0.071564638989 Long DBT CORP GB N 2 2025-03-22 Variable 4.26900000 N N N N N N ANHEUSER-BUSCH 3.65% 02/01/26 N/A ANHEUSER-BUSCH CO/INBEV REGD SER * 3.65000000 03522AAG5 340000.00000000 NS USD 375625.19000000 0.028661364156 Long DBT CORP US N 2 2026-02-01 Fixed 3.65000000 N N N N N N CHEVRON CORP 1.554% 05/11/25 N/A CHEVRON CORP REGD 1.55400000 166764BW9 190000.00000000 NS USD 194944.70000000 0.014874883755 Long DBT CORP US N 2 2025-05-11 Fixed 1.55400000 N N N N N N GNMA II P#MA4718 3% 09/20/47 N/A GINNIE MAE II POOL P#MA4718 3.00000000 36179TG33 6654.31000000 NS USD 7019.23000000 0.000535588966 Long ABS-MBS USGSE US N 2 2047-09-20 Fixed 3.00000000 N N N N N N CHEVRON CORP 1.995% 05/11/27 N/A CHEVRON CORP REGD 1.99500000 166764BX7 70000.00000000 NS USD 72674.37000000 0.005545279280 Long DBT CORP US N 2 2027-05-11 Fixed 1.99500000 N N N N N N UMBS P#BF0191 4% 06/01/57 N/A FANNIE MAE POOL UMBS P#BF0191 4.00000000 3140FXF98 157394.39000000 NS USD 171192.30000000 0.013062502147 Long ABS-MBS USGSE US N 2 2057-06-01 Fixed 4.00000000 N N N N N N MOTOROLA SOLUTI 2.75% 05/24/31 6S552MUG6KGJVEBSEC55 MOTOROLA SOLUTIONS INC REGD 2.75000000 620076BU2 172000.00000000 NS USD 177341.74000000 0.013531723445 Long DBT CORP US N 2 2031-05-24 Fixed 2.75000000 N N N N N N FGLMC P#C91981 3% 02/01/38 N/A FREDDIE MAC GOLD POOL P#C91981 3.00000000 3128P8FW6 32596.11000000 NS USD 34157.99000000 0.002606360319 Long ABS-MBS USGA US N 2 2038-02-01 Fixed 3.00000000 N N N N N N N/A N/A CAD/USD FWD 20211019 STAR USD N/A 1.00000000 NC N/A -50482.65000000 -0.00385198238 N/A DFE N/A N 2 CITIBANK N.A. N/A -11545682.97000000 USD 14501678.00000000 CAD 2021-10-19 -50482.65000000 N N N SBIC 2018-10B 3.548% 09/10/28 N/A SBA SMALL BUSINESS INVESTMENT COS SER 2018-10B CL 1 REGD 3.54800000 831641FL4 531229.51000000 NS USD 577855.47000000 0.044092160207 Long ABS-CBDO CORP US N 2 2028-09-10 Fixed 3.54800000 N N N N N N WAMU 05-AR4 A5 4.6787% 4/25/35 N/A WAMU 05-AR4 A5 4.6787% 4/25/35 2.84475900 92922FG77 164039.94000000 NS USD 166067.60000000 0.012671471682 Long ABS-CBDO CORP US N 2 2035-04-25 Variable 2.84475900 N N N N N N AMAZON.COM INC 2.5% 06/03/50 N/A AMAZON.COM INC REGD 2.50000000 023135BT2 200000.00000000 NS USD 192054.73000000 0.014654370103 Long DBT CORP US N 2 2050-06-03 Fixed 2.50000000 N N N N N N HERSHEY COMPANY 0.9% 06/01/25 21X2CX66SU2BR6QTAD08 HERSHEY COMPANY REGD 0.90000000 427866BF4 50000.00000000 NS USD 50197.11000000 0.003830194799 Long DBT CORP US N 2 2025-06-01 Fixed 0.90000000 N N N N N N CAALT 2021-2A 0.96% 07/15/24 N/A CREDIT ACCEPTANCE AUTO LOAN TRUST 2021-2 SER 2021-2A CL A REGD 144A P/P 0.96000000 22537CAA7 410000.00000000 NS USD 412125.56000000 0.031446455316 Long ABS-CBDO CORP US Y 2 2030-02-15 Fixed 0.96000000 N N N N N N LOCKHEED MARTIN 3.55% 01/15/26 DPRBOZP0K5RM2YE8UU08 LOCKHEED MARTIN CORP REGD SER 10YR 3.55000000 539830BH1 170000.00000000 NS USD 188090.12000000 0.014351858094 Long DBT CORP US N 2 2026-01-15 Fixed 3.55000000 N N N N N N NATIONAL RETAIL 3.5% 04/15/51 5493008JKH5SOTI0JS97 NATIONAL RETAIL PROP INC REGD 3.50000000 637417AQ9 150000.00000000 NS USD 159738.97000000 0.012188577632 Long DBT CORP US N 2 2051-04-15 Fixed 3.50000000 N N N N N N T/L PILOT TRA 0% 07/28/2028 N/A T/L PILOT TRAVEL CENTERS LLC REGD 0.00000000 N/A 680000.00000000 NS USD 676035.60000000 0.051583607888 Long LON CORP US N 2 2028-07-28 Variable 0.00000000 N N N N N N CWL 06-SD3 A1 V/R 7/25/36 N/A CWL 06-SD3 A1 V/R 7/25/36 0.74438000 23244AAA3 77684.90000000 NS USD 75963.72000000 0.005796266862 Long ABS-CBDO CORP US Y 2 2036-07-25 Variable 0.74438000 N N N N N N UMBS P#AL4464 2.5% 06/01/28 N/A FANNIE MAE POOL UMBS P#AL4464 2.50000000 3138EL6A6 157790.24000000 NS USD 166040.84000000 0.012669429811 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 2.50000000 N N N N N N UNITED MEXICAN 4.75% 03/08/44 N/A UNITED MEXICAN STATES REGD MTN 4.75000000 91086QBB3 210000.00000000 NS USD 236650.05000000 0.018057130994 Long DBT USGA MX N 2 2044-03-08 Fixed 4.75000000 N N N N N N AMAZON.COM INC 4.95% 12/05/44 ZXTILKJKG63JELOEG630 AMAZON.COM INC REGD 4.95000000 023135AQ9 160000.00000000 NS USD 220238.73000000 0.016804896502 Long DBT CORP US N 2 2044-12-05 Fixed 4.95000000 N N N N N N T/L CLARIOS GLOB 0% 04/30/26 N/A T/L CLARIOS GLOBAL LP REGD 0.00000000 C8000CAG8 218077.01000000 NS USD 216123.04000000 0.016490856622 Long LON CORP US N 2 2026-04-30 Variable 3.33463000 N N N N N N REPUBLIC OF INDO 3.5% 01/11/28 N/A REPUBLIC OF INDONESIA REGD 3.50000000 455780CD6 290000.00000000 NS USD 320113.60000000 0.024425658090 Long DBT USGA ID N 2 2028-01-11 Fixed 3.50000000 N N N N N N AETNA INC 2.8% 06/15/23 N/A AETNA INC REGD 2.80000000 00817YAV0 40000.00000000 NS USD 41514.63000000 0.003167694712 Long DBT CORP US N 2 2023-06-15 Fixed 2.80000000 N N N N N N ALTRIA GROUP I 3.875% 09/16/46 XSGZFLO9YTNO9VCQV219 ALTRIA GROUP INC REGD 3.87500000 02209SAV5 80000.00000000 NS USD 80852.92000000 0.006169327949 Long DBT CORP US N 2 2046-09-16 Fixed 3.87500000 N N N N N N UMBS P#BR3290 2% 03/01/51 N/A FANNIE MAE POOL UMBS P#BR3290 2.00000000 3140L1UQ6 195896.05000000 NS USD 198856.74000000 0.015173384511 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N ABBVIE INC 4.25% 11/21/49 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD SER WI 4.25000000 00287YCB3 230000.00000000 NS USD 279018.25000000 0.021289955738 Long DBT CORP US N 2 2049-11-21 Fixed 4.25000000 N N N N N N BANK OF AMERICA 7.25% 10/15/25 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD 7.25000000 638585AP4 30000.00000000 NS USD 36949.87000000 0.002819389401 Long DBT CORP US N 2 2025-10-15 Fixed 7.25000000 N N N N N N DUKE ENERGY OHI 3.65% 02/01/29 N/A DUKE ENERGY OHIO INC REGD 3.65000000 26442EAF7 335000.00000000 NS USD 376055.31000000 0.028694183642 Long DBT CORP US N 2 2029-02-01 Fixed 3.65000000 N N N N N N UMBS P#CA9358 2.5% 03/01/41 N/A FANNIE MAE POOL UMBS P#CA9358 2.50000000 3140QHMG7 97400.36000000 NS USD 103472.82000000 0.007895296303 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 2.50000000 N N N N N N UMBS P#CA2327 4% 09/01/48 N/A FANNIE MAE POOL UMBS P#CA2327 4.00000000 3140Q9SR5 163563.65000000 NS USD 181157.40000000 0.013822870108 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N FGLMC P#U91254 4% 04/01/43 N/A FREDDIE MAC GOLD POOL P#U91254 4.00000000 3132HBH73 72354.73000000 NS USD 79684.45000000 0.006080170073 Long ABS-MBS USGA US N 2 2043-04-01 Fixed 4.00000000 N N N N N N UMBS P#SD0552 2% 03/01/51 N/A FREDDIE MAC POOL UMBS P#SD0552 2.00000000 3132DMTH8 295762.55000000 NS USD 300318.69000000 0.022915245212 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 2.00000000 N N N N N N ANTHEM INC 4.55% 03/01/48 8MYN82XMYQH89CTMTH67 ANTHEM INC REGD 4.55000000 036752AH6 133000.00000000 NS USD 169663.25000000 0.012945830901 Long DBT CORP US N 2 2048-03-01 Fixed 4.55000000 N N N N N N PETROLEOS MEXIC 6.75% 09/21/47 N/A PETROLEOS MEXICANOS REGD MTN 6.75000000 71654QCC4 1170000.00000000 NS USD 1034865.00000000 0.078963401303 Long DBT CORP MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N HSBC HOLDINGS PLC V/R 05/24/27 MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC REGD V/R 1.58900000 404280CM9 715000.00000000 NS USD 717708.97000000 0.054763414954 Long DBT CORP GB N 2 2027-05-24 Variable 1.58900000 N N N N N N P/O IMM EURO$ FUT MAR22 99.375 N/A PUT OPTION ON IMM EURO$ FUT OPT MAR22 99.375 0.00000000 N/A -210.00000000 NC USD -3937.50000000 -0.00030044343 N/A DO CORP US N 1 WESTERN N/A Put Purchased P/O IMM EURO$ FUT MAR22 99.375 0 -525000.00000000 USD 99.37500000 USD 2022-03-14 XXXX 6559.00000000 N N N UMBS P#CB0101 2.5% 04/01/41 N/A FANNIE MAE POOL UMBS P#CB0101 2.50000000 3140QKDF2 196436.50000000 NS USD 208683.59000000 0.015923203570 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 2.50000000 N N N N N N UMBS P#ZM8774 5% 10/01/48 N/A FREDDIE MAC POOL UMBS P#ZM8774 5.00000000 3131Y3XB7 26962.41000000 NS USD 29508.33000000 0.002251576875 Long ABS-MBS USGA US N 2 2048-10-01 Fixed 5.00000000 N N N N N N CIM 2019-R4 A1 V/R 10/25/59 N/A CIM TRUST 2019-R4 SER 2019-R4 CL A1 V/R REGD 144A P/P 3.00000000 12556FAA7 1276638.23000000 NS USD 1299023.19000000 0.099119488487 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 3.00000000 N N N N N N MICROSOFT CORP 2.921% 03/17/52 INR2EJN1ERAN0W5ZP974 MICROSOFT CORP REGD 2.92100000 594918CE2 18000.00000000 NS USD 19334.14000000 0.001475254700 Long DBT CORP US N 2 2052-03-17 Fixed 2.92100000 N N N N N N UMBS TBA 15YR 1.5% OCT 21 N/A UMBS TBA 15YR 1.5% OCT 21 TO BE ANNOUNCED 1.50000000 01F0124A1 5390000.00000000 NS USD 5471895.66000000 0.417522568536 Long ABS-MBS USGA US N 2 2036-10-01 Fixed 1.50000000 N N N N N N UMBS P#RA2358 4% 03/01/50 N/A FREDDIE MAC POOL UMBS P#RA2358 4.00000000 3133KHTP1 43748.11000000 NS USD 47318.74000000 0.003610566263 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 4.00000000 N N N N N N UMBS P#AQ1641 4% 10/01/42 N/A FANNIE MAE POOL UMBS P#AQ1641 4.00000000 3138MGZF5 24148.67000000 NS USD 26587.92000000 0.002028740557 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.00000000 N N N N N N PMTCR 2019-3R A V/R 10/27/22 N/A PMT CREDIT RISK TRANSFER TRUST 2019-3R SER 2019-3R CL A V/R REGD 144A P/P 2.78788000 69349MAA4 287062.38000000 NS USD 288184.19000000 0.021989345319 Long ABS-CBDO CORP US Y 2 2022-10-27 Variable 2.78788000 N N N N N N FHR 3866 SA V/R 05/15/41 N/A FREDDIE MAC REMICS SER 3866 CL SA V/R 5.85450000 3137AACP6 669484.70000000 NS USD 115966.47000000 0.008848600453 Long ABS-CBDO CORP US N 2 2041-05-15 Variable 5.85450000 N N N N N N UMBS P#RA3175 3% 07/01/50 N/A FREDDIE MAC POOL UMBS P#RA3175 3.00000000 3133KJQ47 473654.56000000 NS USD 503658.26000000 0.038430683522 Long ABS-MBS USGA US N 2 2050-07-01 Fixed 3.00000000 N N N N N N CIM 2018-R6 A1 V/R 09/25/58 N/A CIM TRUST 2018-R6 SER 2018-R6 CL A1 V/R REGD 144A P/P 1.17175000 12554EAA2 585087.69000000 NS USD 581439.43000000 0.044365627443 Long ABS-CBDO CORP US Y 2 2058-09-25 Variable 1.17175000 N N N N N N KINDER MORGAN 5.625% 11/15/23 549300WR7IX8XE0TBO16 KINDER MORGAN INC REGD P/P 5.62500000 49456BAB7 480000.00000000 NS USD 525665.23000000 0.040109883422 Long DBT CORP US Y 2 2023-11-15 Fixed 5.62500000 N N N N N N US CASH MGMT BILL ZCP 12/21/21 N/A UNITED STATES CASH MANAGEMENT BILL ZCP 0.00000000 912796P78 1865000.00000000 PA USD 1864758.49000000 0.142286842224 Long STIV UST US N 2 2021-12-21 Fixed 0.00000000 N N N N N N FGLMC P#G08844 5% 10/01/48 N/A FREDDIE MAC GOLD POOL P#G08844 5.00000000 3128MJ5E6 99456.90000000 NS USD 109311.01000000 0.008340768263 Long ABS-MBS USGA US N 2 2048-10-01 Fixed 5.00000000 N N N N N N RAYMOND JAMES F 4.95% 07/15/46 RGUZHJ05YTITL6D76949 RAYMOND JAMES FINANCIAL REGD 4.95000000 754730AF6 220000.00000000 NS USD 288820.93000000 0.022037930551 Long DBT CORP US N 2 2046-07-15 Fixed 4.95000000 N N N N N N BSARM 2007-3 1A1 V/R 05/25/47 N/A BEAR STEARNS ARM TRUST 2007-3 SER 2007-3 CL 1A1 V/R REGD 3.15058900 073881AA2 133241.46000000 NS USD 132535.15000000 0.010112841999 Long ABS-CBDO CORP US N 2 2047-05-01 Variable 3.15058900 N N N N N N GNR 2020-47 MI 3.5% 04/20/50 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-47 CL MI 3.50000000 38382EDP9 362391.34000000 NS USD 53093.52000000 0.004051199843 Long ABS-CBDO CORP US N 2 2050-04-20 Fixed 3.50000000 N N N N N N FNR 2018-94 KD 3.5% 12/25/48 N/A FANNIE MAE REMICS SER 2018-94 CL KD 3.50000000 3136B3WS5 182882.85000000 NS USD 192100.82000000 0.014657886913 Long ABS-CBDO CORP US N 2 2048-12-25 Fixed 3.50000000 N N N N N N CHARTER COMM OPT 4.8% 03/01/50 N/A CHARTER COMM OPT LLC/CAP REGD 4.80000000 161175BT0 330000.00000000 NS USD 385909.96000000 0.029446123927 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N OCCIDENTAL PETR 6.95% 07/01/24 IM7X0T3ECJW4C1T7ON55 OCCIDENTAL PETROLEUM COR REGD 6.95000000 674599DB8 200000.00000000 NS USD 225291.00000000 0.017190400335 Long DBT CORP US N 2 2024-07-01 Fixed 6.95000000 N N N N N N ROYAL BANK OF C 1.15% 06/10/25 ES7IP3U3RHIGC71XBU11 ROYAL BANK OF CANADA REGD MTN 1.15000000 78015K7H1 160000.00000000 NS USD 161161.89000000 0.012297150831 Long DBT CORP CA N 2 2025-06-10 Fixed 1.15000000 N N N N N N EXXON MOBIL CO 3.452% 04/15/51 J3WHBG0MTS7O8ZVMDC91 EXXON MOBIL CORPORATION REGD 3.45200000 30231GBM3 100000.00000000 NS USD 110706.20000000 0.008447225577 Long DBT CORP US N 2 2051-04-15 Fixed 3.45200000 N N N N N N REPUBLIC OF CO 4.125% 02/22/42 N/A REPUBLIC OF COLOMBIA REGD 4.12500000 195325EA9 230000.00000000 NS USD 221306.00000000 0.016886332505 Long DBT USGA CO N 2 2042-02-22 Fixed 4.12500000 N N N N N N T-MOBILE USA IN 3.75% 04/15/27 N/A T-MOBILE USA INC REGD SER WI 3.75000000 87264ABD6 2029000.00000000 NS USD 2248629.11000000 0.171577358200 Long DBT CORP US N 2 2027-04-15 Fixed 3.75000000 N N N N N N QATAR PETROLEU 3.125% 07/12/41 N/A QATAR PETROLEUM REGD 144A P/P 3.12500000 74730DAE3 240000.00000000 NS USD 247596.00000000 0.018892340845 Long DBT CORP QA Y 2 2041-07-12 Fixed 3.12500000 N N N N N N ANHEUSER-BUSCH INB 4% 04/13/28 N/A ANHEUSER-BUSCH INBEV WOR REGD 4.00000000 035240AL4 140000.00000000 NS USD 159489.65000000 0.012169553745 Long DBT CORP US N 2 2028-04-13 Fixed 4.00000000 N N N N N N AMERICAN TOWER C 3.8% 08/15/29 5493006ORUSIL88JOE18 AMERICAN TOWER CORP REGD 3.80000000 03027XAW0 134000.00000000 NS USD 149666.99000000 0.011420054396 Long DBT CORP US N 2 2029-08-15 Fixed 3.80000000 N N N N N N EOG RESOURCES 4.375% 04/15/30 XWTZDRYZPBUHIQBKDB46 EOG RESOURCES INC REGD 4.37500000 26875PAU5 210000.00000000 NS USD 248373.89000000 0.018951696259 Long DBT CORP US N 2 2030-04-15 Fixed 4.37500000 N N N N N N MARS INC 3.2% 04/01/30 54930073HKEO6GZBSS03 MARS INC REGD 144A P/P 3.20000000 571676AB1 350000.00000000 NS USD 387457.20000000 0.029564183126 Long DBT CORP US Y 2 2030-04-01 Fixed 3.20000000 N N N N N N T/L ASPLUNDH TREE 0% 09/07/27 N/A T/L ASPLUNDH TREE EXPERT LLC REGD 0.00000000 04538FAD1 626593.36000000 NS USD 623169.03000000 0.047549725032 Long LON CORP US N 2 2027-09-07 Variable 1.83463000 N N N N N N GNR 2019-12 QA 3.5% 09/20/48 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2019-12 CL QA 3.50000000 38381BQQ0 298984.13000000 NS USD 314156.02000000 0.023971076303 Long ABS-CBDO CORP US N 2 2048-09-20 Fixed 3.50000000 N N N N N N PETROLEOS MEXI 6.625% 06/15/35 N/A PETROLEOS MEXICANOS REGD 6.62500000 706451BG5 199000.00000000 NS USD 193026.02000000 0.014728482535 Long DBT CORP MX N 2 2035-06-15 Fixed 6.62500000 N N N N N N ONCOR ELECTRIC D 3.7% 11/15/28 N/A ONCOR ELECTRIC DELIVERY REGD 3.70000000 68233JBH6 168000.00000000 NS USD 191120.07000000 0.014583052653 Long DBT CORP US N 2 2028-11-15 Fixed 3.70000000 N N N N N N CITIGROUP INC 6.625% 6/15/32 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD 6.62500000 172967BL4 30000.00000000 NS USD 41027.72000000 0.003130541973 Long DBT CORP US N 2 2032-06-15 Fixed 6.62500000 N N N N N N NOMURA HOLDING 2.608% 07/14/31 549300B3CEAHYG7K8164 NOMURA HOLDINGS INC REGD 2.60800000 65535HAX7 200000.00000000 NS USD 202260.53000000 0.015433104219 Long DBT CORP JP N 2 2031-07-14 Fixed 2.60800000 N N N N N N UMBS TBA 30YR 2% SEP 21 N/A UMBS TBA 30YR 2% SEP 21 TO BE ANNOUNCED 2.00000000 01F020695 5600000.00000000 NS USD 5680062.53000000 0.433406344772 Long ABS-MBS USGA US N 2 2051-09-01 Fixed 2.00000000 N N N N N N TRP 2021-1 A 2.07% 06/17/27 N/A TRP 2021 LLC SER 2021-1 CL A REGD 144A P/P 2.07000000 87267CAA6 329098.89000000 NS USD 330402.52000000 0.025210734519 Long ABS-CBDO CORP US Y 2 2051-06-19 Fixed 2.07000000 N N N N N N CVS HEALTH CORP 5.05% 03/25/48 549300EJG376EN5NQE29 CVS HEALTH CORP REGD 5.05000000 126650CZ1 1375000.00000000 NS USD 1820913.79000000 0.138941355962 Long DBT CORP US N 2 2048-03-25 Fixed 5.05000000 N N N N N N GNMA P#BS8439 3.5% 05/15/50 N/A GINNIE MAE I POOL P#BS8439 3.50000000 3617MKLU1 80153.32000000 NS USD 85462.85000000 0.006521079871 Long ABS-MBS USGSE US N 2 2050-05-15 Fixed 3.50000000 N N N N N N REPUBLIC OF CHI 3.24% 02/06/28 N/A REPUBLIC OF CHILE REGD 3.24000000 168863CF3 100000.00000000 NS USD 108846.50000000 0.008305324713 Long DBT USGA CL N 2 2028-02-06 Fixed 3.24000000 N N N N N N FED REPUBLIC O 4.625% 01/13/28 N/A FED REPUBLIC OF BRAZIL REGD 4.62500000 105756BZ2 300000.00000000 NS USD 324376.50000000 0.024750930549 Long DBT USGA BR N 2 2028-01-13 Fixed 4.62500000 N N N N N N DRSLF 2013-28A A V/R 08/15/30 N/A DRYDEN XXVIII SENIOR LOAN FUND SER 2013-28A CL A1LR V/R REGD 144A P/P 1.32475000 26251BAL0 700000.00000000 NS USD 701067.50000000 0.053493619305 Long ABS-CBDO CORP KY Y 2 2030-08-15 Variable 1.32475000 N N N N N N AMERICAN INTL GR 2.5% 06/30/25 ODVCVCQG2BP6VHV36M30 AMERICAN INTL GROUP REGD 2.50000000 026874DQ7 90000.00000000 NS USD 94683.96000000 0.007224679093 Long DBT CORP US N 2 2025-06-30 Fixed 2.50000000 N N N N N N T/L PHOENIX GUARANT 0% 3/5/26 N/A T/L PHOENIX GUARANTOR INC (AKA BRIGHTSPRING) REGD 0.00000000 N/A 349125.00000000 NS USD 347597.58000000 0.026522770797 Long LON CORP US N 2 2026-03-05 Variable 3.59550000 N N N N N N FIRSTENERGY CORP 4.4% 07/15/27 549300SVYJS666PQJH88 FIRSTENERGY CORP REGD SER B 4.40000000 337932AH0 310000.00000000 NS USD 348295.21000000 0.026576002125 Long DBT CORP US N 2 2027-07-15 Variable 4.40000000 N N N N N N LUMEN TECHNOLO 5.375% 06/15/29 8M3THTGWLTYZVE6BBY25 LUMEN TECHNOLOGIES INC REGD 144A P/P 5.37500000 550241AA1 430000.00000000 NS USD 442358.20000000 0.033753299286 Long DBT CORP US Y 2 2029-06-15 Fixed 5.37500000 N N N N N N CLEARWATER PAPE 4.75% 08/15/28 549300HCVV19GXN4P292 CLEARWATER PAPER CORP REGD 144A P/P 4.75000000 18538RAJ2 215000.00000000 NS USD 221009.25000000 0.016863689562 Long DBT CORP US Y 2 2028-08-15 Fixed 4.75000000 N N N N N N INTEL CORP 3.7% 07/29/25 KNX4USFCNGPY45LOCE31 INTEL CORP REGD 3.70000000 458140AS9 70000.00000000 NS USD 77162.61000000 0.005887745878 Long DBT CORP US N 2 2025-07-29 Fixed 3.70000000 N N N N N N JOHNSON & JOHNS 0.95% 09/01/27 549300G0CFPGEF6X2043 JOHNSON & JOHNSON REGD 0.95000000 478160CP7 210000.00000000 NS USD 208141.08000000 0.015881808378 Long DBT CORP US N 2 2027-09-01 Fixed 0.95000000 N N N N N N NIKE INC 3.375% 03/27/50 787RXPR0UX0O0XUXPZ81 NIKE INC REGD 3.37500000 654106AM5 220000.00000000 NS USD 252680.90000000 0.019280334447 Long DBT CORP US N 2 2050-03-27 Fixed 3.37500000 N N N N N N BAYER US FINAN 4.875% 06/25/48 N/A BAYER US FINANCE II LLC REGD 144A P/P 4.87500000 07274NAQ6 670000.00000000 NS USD 849220.02000000 0.064798114955 Long DBT CORP US Y 2 2048-06-25 Fixed 4.87500000 N N N N N N UMBS P#310088 5% 06/01/38 N/A FANNIE MAE POOL UMBS P#310088 5.00000000 31374CND4 40769.58000000 NS USD 46541.47000000 0.003551258157 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.00000000 N N N N N N DEUTSCHE BANK 1.686% 03/19/26 N/A DEUTSCHE BANK NY REGD 1.68600000 25160PAF4 846000.00000000 NS USD 857439.20000000 0.065425263819 Long DBT CORP US N 2 2026-03-19 Fixed 1.68600000 N N N N N N DIAMOND SPORTS 5.375% 08/15/26 N/A DIAMOND SPORTS GR/DIAMON REGD 144A P/P 5.37500000 25277LAA4 600000.00000000 NS USD 398670.00000000 0.030419754458 Long DBT CORP US Y 2 2026-08-15 Fixed 5.37500000 N N N N N N T-MOBILE USA INC 3% 02/15/41 N/A T-MOBILE USA INC REGD SER WI 3.00000000 87264ABL8 60000.00000000 NS USD 59675.40000000 0.004553417651 Long DBT CORP US N 2 2041-02-15 Fixed 3.00000000 N N N N N N GOLDMAN SACHS G 4.75% 10/21/45 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD 4.75000000 38141GVS0 180000.00000000 NS USD 237694.04000000 0.018136790661 Long DBT CORP US N 2 2045-10-21 Fixed 4.75000000 N N N N N N CHASE 2007-A1 5A V/R 02/25/37 N/A CHASE MORTGAGE FINANCE TRUST SERIES 2007-A1 SER 2007-A1 CL 5A1 V/R REGD 2.50853300 161630AQ1 50108.45000000 NS USD 50685.30000000 0.003867445206 Long ABS-CBDO CORP US N 2 2037-02-25 Variable 2.50853300 N N N N N N MILEAGE PLUS HLD 6.5% 06/20/27 N/A MILEAGE PLUS HLDINGS LLC REGD 144A P/P 6.50000000 599191AA1 170000.00000000 NS USD 184892.00000000 0.014107831643 Long DBT CORP US Y 2 2027-06-20 Fixed 6.50000000 N N N N N N UMBS P#AY6181 3.5% 04/01/45 N/A FANNIE MAE POOL UMBS P#AY6181 3.50000000 3138YK2P7 45071.75000000 NS USD 48590.65000000 0.003707616931 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 3.50000000 N N N N N N FGLMC P#Q00179 5% 04/01/41 N/A FREDDIE MAC GOLD POOL P#Q00179 5.00000000 3132GDFU1 161126.29000000 NS USD 184509.57000000 0.014078651051 Long ABS-MBS USGA US N 2 2041-04-01 Fixed 5.00000000 N N N N N N PROSUS NV 3.68% 01/21/30 N/A PROSUS NV REGD 144A P/P 3.68000000 74365PAA6 200000.00000000 NS USD 208444.72000000 0.015904977050 Long DBT CORP NL Y 2 2030-01-21 Fixed 3.68000000 N N N N N N MONDELEZ INTERNA 1.5% 05/04/25 549300DV9GIB88LZ5P30 MONDELEZ INTERNATIONAL REGD 1.50000000 609207AU9 330000.00000000 NS USD 336258.72000000 0.025657580697 Long DBT CORP US N 2 2025-05-04 Fixed 1.50000000 N N N N N N ENERGY TRANSFER 5.25% 04/15/29 MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD 5.25000000 29278NAG8 438000.00000000 NS USD 516516.65000000 0.039411818462 Long DBT CORP US N 2 2029-04-15 Fixed 5.25000000 N N N N N N SPIRIT LOYALTY KY 8% 09/20/25 N/A SPIRIT LOYALTY KY LTD/IP REGD 144A P/P 8.00000000 84859BAA9 95743.00000000 NS USD 108548.63000000 0.008282596311 Long DBT CORP KY Y 2 2025-09-20 Fixed 8.00000000 N N N N N N FGLMC P#A60881 5.5% 05/01/37 N/A FREDDIE MAC GOLD POOL P#A60881 5.50000000 3128KQ6S0 10534.33000000 NS USD 11780.93000000 0.000898921408 Long ABS-MBS USGA US N 2 2037-05-01 Fixed 5.50000000 N N N N N N BANK OF NY MELLO 3.4% 01/29/28 WFLLPEPC7FZXENRZV188 BANK OF NY MELLON CORP REGD MTN 3.40000000 06406RAF4 24000.00000000 NS USD 26819.90000000 0.002046441348 Long DBT CORP US N 2 2028-01-29 Fixed 3.40000000 N N N N N N ENERGY TRANSFER 4.95% 06/15/28 MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD SER 10Y 4.95000000 29278NAF0 33000.00000000 NS USD 38260.21000000 0.002919372397 Long DBT CORP US N 2 2028-06-15 Fixed 4.95000000 N N N N N N HALLIBURTON CO 4.85% 11/15/35 ENYF8GB5SMQZ25S06U51 HALLIBURTON CO REGD 4.85000000 406216BJ9 20000.00000000 NS USD 23703.17000000 0.001808625207 Long DBT CORP US N 2 2035-11-15 Fixed 4.85000000 N N N N N N PHILIP MORRIS IN 2.5% 11/02/22 HL3H1H2BGXWVG3BSWR90 PHILIP MORRIS INTL INC REGD SER 5YR 2.50000000 718172CD9 110000.00000000 NS USD 112594.64000000 0.008591319392 Long DBT CORP US N 2 2022-11-02 Fixed 2.50000000 N N N N N N BOEING CO 3.25% 02/01/35 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 3.25000000 097023CP8 440000.00000000 NS USD 450638.75000000 0.034385130871 Long DBT CORP US N 2 2035-02-01 Fixed 3.25000000 N N N N N N WASTE MANAGEMENT I 2% 06/01/29 549300YX8JIID70NFS41 WASTE MANAGEMENT INC REGD 2.00000000 94106LBQ1 98000.00000000 NS USD 99897.83000000 0.007622513506 Long DBT CORP US N 2 2029-06-01 Fixed 2.00000000 N N N N N N UMBS P#AL0054 4.5% 02/01/41 N/A FANNIE MAE POOL UMBS P#AL0054 4.50000000 3138EGBY9 120248.06000000 NS USD 134383.71000000 0.010253892847 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.50000000 N N N N N N MSSTR 2005-1 4A1 V/R 10/25/32 N/A MASTR SEASONED SECURITIZATION TRUST 2005-1 SER 2005-1 CL 4A1 V/R REGD 2.42226300 55265WCK7 194068.97000000 NS USD 194012.59000000 0.014803760878 Long ABS-CBDO CORP US N 2 2032-10-01 Variable 2.42226300 N N N N N N UMBS P#BF0183 4% 01/01/57 N/A FANNIE MAE POOL UMBS P#BF0183 4.00000000 3140FXFZ0 56723.73000000 NS USD 64075.73000000 0.004889176445 Long ABS-MBS USGSE US N 2 2057-01-01 Fixed 4.00000000 N N N N N N COMMONSPIRIT HE 3.91% 10/01/50 4SXHN5XW08IBO0UG2V58 COMMONSPIRIT HEALTH REGD 3.91000000 20268JAG8 95000.00000000 NS USD 106545.83000000 0.008129776474 Long DBT CORP US N 2 2050-10-01 Fixed 3.91000000 N N N N N N GNMA P#745057 5% 11/15/39 N/A GINNIE MAE I POOL P#745057 5.00000000 3620C0WS3 2524.94000000 NS USD 2902.46000000 0.000221466678 Long ABS-MBS USGSE US N 2 2039-11-15 Fixed 5.00000000 N N N N N N FGLMC P#G18691 3% 06/01/33 N/A FREDDIE MAC GOLD POOL P#G18691 3.00000000 3128MMXV0 42214.47000000 NS USD 44608.03000000 0.003403730703 Long ABS-MBS USGA US N 2 2033-06-01 Fixed 3.00000000 N N N N N N UNITED PARCEL S 4.45% 04/01/30 D01LMJZU09ULLNCY6Z23 UNITED PARCEL SERVICE REGD 4.45000000 911312BY1 43000.00000000 NS USD 52040.67000000 0.003970864131 Long DBT CORP US N 2 2030-04-01 Fixed 4.45000000 N N N N N N NORTHROP GRUMMA 4.03% 10/15/47 RIMU48P07456QXSO0R61 NORTHROP GRUMMAN CORP REGD 4.03000000 666807BP6 121000.00000000 NS USD 145110.38000000 0.011072370955 Long DBT CORP US N 2 2047-10-15 Fixed 4.03000000 N N N N N N NORFOLK SOUTHERN 4.8% 08/15/43 54930036C8MWP850MI84 NORFOLK SOUTHERN CORP REGD 4.80000000 655844BN7 33000.00000000 NS USD 41021.35000000 0.003130055922 Long DBT CORP US N 2 2043-08-15 Fixed 4.80000000 N N N N N N N/A N/A MXN/USD FWD 20211019 STAR USD N/A 1.00000000 NC N/A -2407.66000000 -0.00018371190 N/A DFE N/A N 2 CITIBANK N.A. N/A -62442905.24000000 MXN 3086276.80000000 USD 2021-10-19 -2407.66000000 N N N UMBS P#MA4402 1.5% 08/01/36 N/A FANNIE MAE POOL UMBS P#MA4402 1.50000000 31418D3L4 2097508.27000000 NS USD 2133082.22000000 0.162760772999 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 1.50000000 N N N N N N UMBS P#QC1352 2% 04/01/51 N/A FREDDIE MAC POOL UMBS P#QC1352 2.00000000 3133AKQD5 98381.76000000 NS USD 99868.66000000 0.007620287744 Long ABS-MBS USGA US N 2 2051-04-01 Fixed 2.00000000 N N N N N N GNMA II P#MA5530 5% 10/20/48 N/A GINNIE MAE II POOL P#MA5530 5.00000000 36179UEB4 37911.99000000 NS USD 40870.25000000 0.003118526524 Long ABS-MBS USGSE US N 2 2048-10-20 Fixed 5.00000000 N N N N N N JPMCC 2012-HSB 4.02% 07/05/22 N/A JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES SER 2012-HSBC CL C REGD 144A P/P 4.02060000 46637YAJ8 460000.00000000 NS USD 470072.02000000 0.035867949497 Long ABS-CBDO CORP US Y 2 2032-07-05 Fixed 4.02060000 N N N N N N UMBS P#AH6438 3.5% 02/01/26 N/A FANNIE MAE POOL UMBS P#AH6438 3.50000000 3138A8EL6 8673.39000000 NS USD 9263.69000000 0.000706848208 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 3.50000000 N N N N N N FORD MOTOR CREDIT 4% 11/13/30 N/A FORD MOTOR CREDIT CO LLC REGD 4.00000000 345397B36 200000.00000000 NS USD 211803.00000000 0.016161224204 Long DBT CORP US N 2 2030-11-13 Fixed 4.00000000 N N N N N N IPT 2018-INDP 3.763% 07/10/25 N/A INDEPENDENCE PLAZA TRUST 2018-INDP SER 2018-INDP CL A REGD 144A P/P 3.76300000 45378YAA2 710000.00000000 NS USD 752188.48000000 0.057394308244 Long ABS-CBDO CORP US Y 2 2035-07-10 Fixed 3.76300000 N N N N N N T/L CITYCENTER HOL 0% 04/18/24 N/A T/L CITYCENTER HOLDINGS LLC REGD 0.00000000 17875LAL3 159082.85000000 NS USD 158902.29000000 0.012124736360 Long LON CORP US N 2 2024-04-18 Variable 3.00000000 N N N N N N TENCENT HOLDING 3.68% 04/22/41 254900N4SLUMW4XUYY11 TENCENT HOLDINGS LTD REGD 144A P/P MTN 3.68000000 88032WBB1 870000.00000000 NS USD 918631.77000000 0.070094446236 Long DBT CORP CN Y 2 2041-04-22 Fixed 3.68000000 N N N N N N ANHEUSER-BUSCH 5.55% 01/23/49 N/A ANHEUSER-BUSCH INBEV WOR REGD 5.55000000 03523TBV9 270000.00000000 NS USD 375662.36000000 0.028664200342 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N MANITOBA (PROVI 3.05% 05/14/24 5493003QILFOB3JRKE30 MANITOBA (PROVINCE OF) REGD 3.05000000 563469UD5 152000.00000000 NS USD 162624.69000000 0.012408766996 Long DBT USGA CA N 2 2024-05-14 Fixed 3.05000000 N N N N N N T/L SCIENTIFIC GAM 0% 08/14/24 N/A T/L SCIENTIFIC GAMES INTERNATIONAL INC REGD 0.00000000 80875AAP6 315575.84000000 NS USD 313226.38000000 0.023900141895 Long LON CORP US N 2 2024-08-14 Variable 2.83463000 N N N N N N CGCMT 2017-P7 3.509% 09/14/26 N/A CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P7 SER 2017-P7 CL AAB REGD 3.50900000 17325HBQ6 355000.00000000 NS USD 380997.08000000 0.029071255983 Long ABS-CBDO CORP US N 2 2050-04-14 Fixed 3.50900000 N N N N N N UMBS P#BL2454 3.16% 05/01/29 N/A FANNIE MAE POOL UMBS P#BL2454 3.16000000 3140HTWQ8 77671.63000000 NS USD 86976.12000000 0.006636547054 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.16000000 N N N N N N UMBS P#AS4752 2.5% 04/01/30 N/A FANNIE MAE POOL UMBS P#AS4752 2.50000000 3138WEH69 66273.32000000 NS USD 69985.93000000 0.005340142990 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 2.50000000 N N N N N N MIDAMERICAN ENE 3.65% 04/15/29 N/A MIDAMERICAN ENERGY CO REGD 3.65000000 595620AT2 100000.00000000 NS USD 113674.75000000 0.008673735127 Long DBT CORP US N 2 2029-04-15 Fixed 3.65000000 N N N N N N APPLE INC 3.85% 08/04/46 HWUPKR0MPOU8FGXBT394 APPLE INC REGD 3.85000000 037833CD0 80000.00000000 NS USD 95749.64000000 0.007305993774 Long DBT CORP US N 2 2046-08-04 Fixed 3.85000000 N N N N N N CON EDISON CO O 3.35% 04/01/30 N/A CON EDISON CO OF NY INC REGD SER 20A 3.35000000 209111FX6 60000.00000000 NS USD 66443.94000000 0.005069878195 Long DBT CORP US N 2 2030-04-01 Fixed 3.35000000 N N N N N N GNMA P#659726 5% 11/15/36 N/A GINNIE MAE I POOL P#659726 5.00000000 36294T4K8 9336.36000000 NS USD 10484.93000000 0.000800032598 Long ABS-MBS USGSE US N 2 2036-11-15 Fixed 5.00000000 N N N N N N WESTROCK RKT LLC 4% 03/01/23 N/A WESTROCK RKT LLC REGD SER WI 4.00000000 772739AQ1 20000.00000000 NS USD 20858.83000000 0.001591593264 Long DBT CORP US N 2 2023-03-01 Fixed 4.00000000 N N N N N N GNR 2008-51 GS V/R 06/16/38 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-51 CL GS V/R 6.13450000 38375QZ44 1056286.12000000 NS USD 204960.39000000 0.015639111890 Long ABS-CBDO CORP US N 2 2038-06-16 Variable 6.13450000 N N N N N N UMBS P#MA3521 4% 11/01/48 N/A FANNIE MAE POOL UMBS P#MA3521 4.00000000 31418C4F8 118209.49000000 NS USD 126641.58000000 0.009663144374 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N CITIGROUP INC V/R /PERP/ 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD V/R /PERP/ SER P 5.95000000 172967JM4 220000.00000000 NS USD 242000.00000000 0.018465348731 Long DBT CORP US N 2 2169-11-15 Variable 5.95000000 N N N N N N COX COMMUNICATI 3.15% 08/15/24 N/A COX COMMUNICATIONS INC REGD 144A P/P 3.15000000 224044CH8 82000.00000000 NS USD 87221.73000000 0.006655287857 Long DBT CORP US Y 2 2024-08-15 Fixed 3.15000000 N N N N N N FORD MOTOR COMPA 8.5% 04/21/23 20S05OYHG0MQM4VUIC57 FORD MOTOR COMPANY REGD 8.50000000 345370CV0 40000.00000000 NS USD 44300.00000000 0.003380227061 Long DBT CORP US N 2 2023-04-21 Fixed 8.50000000 N N N N N N GNMA II P#MA5019 3.5% 02/20/48 N/A GINNIE MAE II POOL P#MA5019 3.50000000 36179TSG1 540432.37000000 NS USD 572726.62000000 0.043700813083 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3.50000000 N N N N N N KRAFT HEINZ FOODS 3% 06/01/26 N/A KRAFT HEINZ FOODS CO REGD 3.00000000 50077LAD8 10000.00000000 NS USD 10610.13000000 0.000809585746 Long DBT CORP US N 2 2026-06-01 Fixed 3.00000000 N N N N N N UMBS P#MA0776 4.5% 06/01/31 N/A FANNIE MAE POOL UMBS P#MA0776 4.50000000 31417Y2J5 17570.93000000 NS USD 19179.60000000 0.001463462820 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 4.50000000 N N N N N N GNMA II P#MA4836 3% 11/20/47 N/A GINNIE MAE II POOL P#MA4836 3.00000000 36179TLR4 499782.44000000 NS USD 526720.22000000 0.040190382423 Long ABS-MBS USGSE US N 2 2047-11-20 Fixed 3.00000000 N N N N N N JPMDB 2017-C7 3.409% 08/15/27 N/A JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2017-C7 SER 2017-C7 CL A5 REGD 3.40920000 46648KAU0 190000.00000000 NS USD 211196.48000000 0.016114944851 Long ABS-CBDO CORP US N 2 2050-10-15 Fixed 3.40920000 N N N N N N OCCIDENTAL PETRO 4.2% 03/15/48 IM7X0T3ECJW4C1T7ON55 OCCIDENTAL PETROLEUM COR REGD 4.20000000 674599CN3 560000.00000000 NS USD 539680.40000000 0.041179284255 Long DBT CORP US N 2 2048-03-15 Fixed 4.20000000 N N N N N N FGLMC P#A81872 6% 09/01/38 N/A FREDDIE MAC GOLD POOL P#A81872 6.00000000 312928CH5 214.54000000 NS USD 241.35000000 0.000018415751 Long ABS-MBS USGA US N 2 2038-09-01 Fixed 6.00000000 N N N N N N CAS 2018-C06 1M2 V/R 03/25/31 N/A FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2018-C06 CL 1M2 V/R REGD 2.08438000 30711X3H5 557347.69000000 NS USD 561539.95000000 0.042847235552 Long ABS-CBDO CORP US N 2 2031-03-25 Variable 2.08438000 N N N N N N T/L BERRY GLOBAL INC 0% 7/1/26 N/A T/L BERRY GLOBAL INC REGD 0.00000000 N/A 226081.79000000 NS USD 224386.18000000 0.017121359769 Long LON CORP US N 2 2026-07-01 Variable 1.85625000 N N N N N N COCA-COLA CO/T 2.125% 09/06/29 UWJKFUJFZ02DKWI3RY53 COCA-COLA CO/THE REGD 2.12500000 191216CM0 74000.00000000 NS USD 76976.59000000 0.005873551977 Long DBT CORP US N 2 2029-09-06 Fixed 2.12500000 N N N N N N BOEING CO 5.93% 05/01/60 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 5.93000000 097023CX1 10000.00000000 NS USD 13895.00000000 0.001060231490 Long DBT CORP US N 2 2060-05-01 Fixed 5.93000000 N N N N N N COMM 2013-CR12 B V/R 11/10/23 N/A COMM 2013-CCRE12 MORTGAGE TRUST SER 2013-CR12 CL B V/R REGD 4.76200000 12591KAH8 40000.00000000 NS USD 42194.24000000 0.003219551058 Long ABS-CBDO CORP US N 2 2046-10-10 Variable 4.76200000 N N N N N N AERCAP IRELAND 4.875% 01/16/24 N/A AERCAP IRELAND CAP/GLOBA REGD 4.87500000 00774MAK1 280000.00000000 NS USD 304045.53000000 0.023199614635 Long DBT CORP IE N 2 2024-01-16 Fixed 4.87500000 N N N N N N GNMA II P#MA5467 4.5% 09/20/48 N/A GINNIE MAE II POOL P#MA5467 4.50000000 36179UCC4 346983.82000000 NS USD 371479.77000000 0.028345055784 Long ABS-MBS USGSE US N 2 2048-09-20 Fixed 4.50000000 N N N N N N UMBS P#CA2047 4.5% 07/01/48 N/A FANNIE MAE POOL UMBS P#CA2047 4.50000000 3140Q9HZ9 115448.35000000 NS USD 127516.49000000 0.009729902714 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N REYNOLDS AMERIC 5.85% 08/15/45 N/A REYNOLDS AMERICAN INC REGD 5.85000000 761713BB1 1131000.00000000 NS USD 1399890.40000000 0.106815968687 Long DBT CORP US N 2 2045-08-15 Fixed 5.85000000 N N N N N N SANTANDER UK GROU V/R 08/21/26 N/A SANTANDER UK GROUP HLDGS REGD V/R 1.53200000 80281LAM7 666000.00000000 NS USD 669533.21000000 0.051087455413 Long DBT CORP GB N 2 2026-08-21 Variable 1.53200000 N N N N N N NXP BV/NXP FDG/N 2.5% 05/11/31 N/A NXP BV/NXP FDG/NXP USA REGD 144A P/P 2.50000000 62954HAG3 218000.00000000 NS USD 225413.36000000 0.017199736781 Long DBT CORP NL Y 2 2031-05-11 Fixed 2.50000000 N N N N N N UMBS P#AH0356 3.5% 02/01/26 N/A FANNIE MAE POOL UMBS P#AH0356 3.50000000 3138A1ME8 55269.37000000 NS USD 59041.33000000 0.004505036148 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 3.50000000 N N N N N N HEAT 2005-6 M5 V/R 12/25/35 N/A HOME EQUITY ASSET TRUST 2005-6 SER 2005-6 CL M5 V/R REGD 1.02938000 437084NG7 780000.00000000 NS USD 778362.70000000 0.059391482212 Long ABS-CBDO CORP US N 2 2035-12-25 Variable 1.02938000 N N N N N N REPUBLIC OF PA 2.739% 01/29/33 N/A REPUBLIC OF PARAGUAY REGD 144A P/P 2.73900000 699149AK6 200000.00000000 NS USD 199250.00000000 0.015203391466 Long DBT USGA PY Y 2 2033-01-29 Fixed 2.73900000 N N N N N N UMBS P#AL3429 4.5% 06/01/41 N/A FANNIE MAE POOL UMBS P#AL3429 4.50000000 3138EKY33 26105.26000000 NS USD 29137.91000000 0.002223312683 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.50000000 N N N N N N GNMA II P#MA5596 4.5% 11/20/48 N/A GINNIE MAE II POOL P#MA5596 4.50000000 36179UGD8 52297.98000000 NS USD 55824.46000000 0.004259579015 Long ABS-MBS USGSE US N 2 2048-11-20 Fixed 4.50000000 N N N N N N CHEVRON CORP 2.954% 05/16/26 N/A CHEVRON CORP REGD 2.95400000 166764BL3 230000.00000000 NS USD 249468.29000000 0.019035202365 Long DBT CORP US N 2 2026-05-16 Fixed 2.95400000 N N N N N N UNION PACIFIC C 2.15% 02/05/27 549300LMMRSZZCZ8CL11 UNION PACIFIC CORP REGD 2.15000000 907818FJ2 60000.00000000 NS USD 62670.33000000 0.004781940076 Long DBT CORP US N 2 2027-02-05 Fixed 2.15000000 N N N N N N UMBS P#RA4175 2.5% 12/01/50 N/A FREDDIE MAC POOL UMBS P#RA4175 2.50000000 3133KKT82 379285.90000000 NS USD 398055.90000000 0.030372896728 Long ABS-MBS USGA US N 2 2050-12-01 Fixed 2.50000000 N N N N N N US TREAS BDS 1.125% 08/15/40 N/A UNITED STATES TREASURY BOND 1.12500000 912810SQ2 3815000.00000000 NS USD 3386110.53000000 0.258370709838 Long DBT UST US N 2 2040-08-15 Fixed 1.12500000 N N N N N N T-MOBILE USA IN 2.05% 02/15/28 N/A T-MOBILE USA INC REGD SER WI 2.05000000 87264ACA1 30000.00000000 NS USD 30581.85000000 0.002333489773 Long DBT CORP US N 2 2028-02-15 Fixed 2.05000000 N N N N N N BRISTOL-MYERS SQ 2.6% 05/16/22 HLYYNH7UQUORYSJQCN42 BRISTOL-MYERS SQUIBB CO REGD 2.60000000 110122CL0 190000.00000000 NS USD 193278.54000000 0.014747750592 Long DBT CORP US N 2 2022-05-16 Fixed 2.60000000 N N N N N N TIME WARNER CABL 5.5% 09/01/41 N/A TIME WARNER CABLE LLC REGD 5.50000000 88732JBB3 490000.00000000 NS USD 612685.58000000 0.046749805362 Long DBT CORP US N 2 2041-09-01 Fixed 5.50000000 N N N N N N AT&T INC 4.5% 05/15/35 549300Z40J86GGSTL398 AT&T INC REGD 4.50000000 00206RCP5 501000.00000000 NS USD 595022.91000000 0.045402088994 Long DBT CORP US N 2 2035-05-15 Fixed 4.50000000 N N N N N N JPMORGAN CHASE & V/R 01/23/49 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 3.89700000 46647PAN6 49000.00000000 NS USD 57651.53000000 0.004398990108 Long DBT CORP US N 2 2049-01-23 Variable 3.89700000 N N N N N N UMBS P#AS8359 3% 11/01/46 N/A FANNIE MAE POOL UMBS P#AS8359 3.00000000 3138WJJD1 293655.58000000 NS USD 310124.18000000 0.023663434437 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N TEACHERS INSUR & 4.9% 09/15/44 N/A TEACHERS INSUR & ANNUITY REGD P/P 4.90000000 878091BD8 348000.00000000 NS USD 458824.32000000 0.035009715187 Long DBT CORP US Y 2 2044-09-15 Fixed 4.90000000 N N N N N N FHLMC P#840698 V/R 03/01/47 N/A FREDDIE MAC NON GOLD POOL P#840698 V/R 2.09000000 31347AX33 147543.86000000 NS USD 152927.26000000 0.011668823084 Long ABS-MBS USGA US N 2 2047-03-01 Variable 2.09000000 N N N N N N AFC 1999-2 2A V/R 06/25/29 N/A AFC HOME EQUITY LOAN TRUST SER 1999-2 CL 2A V/R REGD 0.73438000 00105HEA0 78563.23000000 NS USD 64585.80000000 0.004928096364 Long ABS-CBDO CORP US N 2 2029-06-25 Variable 0.73438000 N N N N N N GNR 2020-160 IH 2.5% 10/20/50 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-160 CL IH 2.50000000 38382KG64 96748.52000000 NS USD 13074.49000000 0.000997624038 Long ABS-CBDO CORP US N 2 2050-10-20 Fixed 2.50000000 N N N N N N GNMA II P#785219 2% 12/20/50 N/A GINNIE MAE II POOL P#785219 2.00000000 3622AAVL5 191912.20000000 NS USD 196167.59000000 0.014968194046 Long ABS-MBS USGSE US N 2 2050-12-20 Fixed 2.00000000 N N N N N N ACTIVISION BLIZZ 2.5% 09/15/50 549300TPQQDBP9GNOF40 ACTIVISION BLIZZARD REGD 2.50000000 00507VAQ2 144000.00000000 NS USD 128619.93000000 0.009814098600 Long DBT CORP US N 2 2050-09-15 Fixed 2.50000000 N N N N N N THERMO FISHER 4.497% 03/25/30 HCHV7422L5HDJZCRFL38 THERMO FISHER SCIENTIFIC REGD 4.49700000 883556CG5 403000.00000000 NS USD 481485.49000000 0.036738832570 Long DBT CORP US N 2 2030-03-25 Fixed 4.49700000 N N N N N N UMBS P#ZS8673 3% 10/01/32 N/A FREDDIE MAC POOL UMBS P#ZS8673 3.00000000 3132A9T64 34656.24000000 NS USD 36720.61000000 0.002801896154 Long ABS-MBS USGA US N 2 2032-10-01 Fixed 3.00000000 N N N N N N CVS HEALTH CORP 3% 08/15/26 549300EJG376EN5NQE29 CVS HEALTH CORP REGD 3.00000000 126650DF4 180000.00000000 NS USD 194445.74000000 0.014836811564 Long DBT CORP US N 2 2026-08-15 Fixed 3.00000000 N N N N N N UMBS P#BO2252 3.5% 10/01/49 N/A FANNIE MAE POOL UMBS P#BO2252 3.50000000 3140JWQE3 417257.98000000 NS USD 449763.08000000 0.034318314540 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.50000000 N N N N N N GLP CAPITAL LP / F 4% 01/15/30 N/A GLP CAPITAL LP / FIN II REGD 4.00000000 361841AP4 467000.00000000 NS USD 504937.91000000 0.038528324777 Long DBT CORP US N 2 2030-01-15 Fixed 4.00000000 N N N N N N GOLDMAN SACHS G 6.75% 10/01/37 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD 6.75000000 38141GFD1 460000.00000000 NS USD 671208.28000000 0.051215268437 Long DBT CORP US N 2 2037-10-01 Fixed 6.75000000 N N N N N N UMBS P#MA3211 4% 12/01/47 N/A FANNIE MAE POOL UMBS P#MA3211 4.00000000 31418CR97 28335.83000000 NS USD 30566.02000000 0.002332281895 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 4.00000000 N N N N N N SHELL INTERNAT 3.875% 11/13/28 N/A SHELL INTERNATIONAL FIN REGD 3.87500000 822582CB6 300000.00000000 NS USD 344923.89000000 0.026318759978 Long DBT CORP NL N 2 2028-11-13 Fixed 3.87500000 N N N N N N BANK OF AMERICA 4.45% 03/03/26 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD MTN 4.45000000 06051GFU8 196000.00000000 NS USD 221224.55000000 0.016880117618 Long DBT CORP US N 2 2026-03-03 Fixed 4.45000000 N N N N N N GNMA P#604841 6% 12/15/33 N/A GINNIE MAE I POOL P#604841 6.00000000 36200M5A7 4604.82000000 NS USD 5168.89000000 0.000394402299 Long ABS-MBS USGSE US N 2 2033-12-15 Fixed 6.00000000 N N N N N N UMBS P#BC0853 3% 04/01/31 N/A FANNIE MAE POOL UMBS P#BC0853 3.00000000 3140EU5P0 205776.65000000 NS USD 218774.05000000 0.016693136887 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 3.00000000 N N N N N N ORACLE CORP 2.8% 04/01/27 1Z4GXXU7ZHVWFCD8TV52 ORACLE CORP REGD 2.80000000 68389XBU8 762000.00000000 NS USD 813498.60000000 0.062072460090 Long DBT CORP US N 2 2027-04-01 Fixed 2.80000000 N N N N N N T/L REYNOLDS CONS ZCP 02/04/27 549300DWNZYMOSR1X343 T/L REYNOLDS CONSUMER PRODUC INC REGD 0.00000000 76171JAB7 398802.03000000 NS USD 396594.66000000 0.030261399595 Long LON CORP US N 2 2027-02-04 Variable 1.83463000 N N N N N N TELEFONICA EMI 4.103% 03/08/27 N/A TELEFONICA EMISIONES SAU REGD 4.10300000 87938WAT0 330000.00000000 NS USD 372745.30000000 0.028441619639 Long DBT CORP ES N 2 2027-03-08 Fixed 4.10300000 N N N N N N QATAR PETROLEUM 3.3% 07/12/51 N/A QATAR PETROLEUM REGD P/P 3.30000000 74730DAD5 250000.00000000 NS USD 258762.50000000 0.019744379343 Long DBT CORP QA Y 2 2051-07-12 Fixed 3.30000000 N N N N N N UMBS P#BT3290 2.5% 08/01/51 N/A FANNIE MAE POOL UMBS P#BT3290 2.50000000 3140LRUQ9 99903.84000000 NS USD 105074.79000000 0.008017531571 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N GNMA II P#785220 2% 12/20/50 N/A GINNIE MAE II POOL P#785220 2.00000000 3622AAVM3 97069.95000000 NS USD 99340.59000000 0.007579994370 Long ABS-MBS USGSE US N 2 2050-12-20 Fixed 2.00000000 N N N N N N CHEVRON USA INC 5.25% 11/15/43 N/A CHEVRON USA INC REGD 5.25000000 166756AU0 110000.00000000 NS USD 151551.58000000 0.011563854444 Long DBT CORP US N 2 2043-11-15 Fixed 5.25000000 N N N N N N FHR 4210 Z 3% 05/15/43 N/A FREDDIE MAC REMICS SER 4210 CL Z 3.00000000 3137B1W73 150424.92000000 NS USD 159639.20000000 0.012180964873 Long ABS-CBDO CORP US N 2 2043-05-15 Fixed 3.00000000 N N N N N N UMBS P#AD8529 4.5% 08/01/40 N/A FANNIE MAE POOL UMBS P#AD8529 4.50000000 31418WPP9 125174.50000000 NS USD 139889.65000000 0.010674013104 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.50000000 N N N N N N CWHEL 2004-B 2A V/R 02/15/29 N/A CWABS REVOLVING HOME EQUITY LOAN TRUST SERIES 2004-B SER 2004-B CL 2A V/R REGD 0.31550000 1266715X0 702433.73000000 NS USD 666991.80000000 0.050893537967 Long ABS-CBDO CORP US N 2 2029-02-15 Variable 0.31550000 N N N N N N MPLX LP 4.8% 02/15/29 N/A MPLX LP REGD 4.80000000 55336VAS9 550000.00000000 NS USD 644029.68000000 0.049141457168 Long DBT CORP US N 2 2029-02-15 Fixed 4.80000000 N N N N N N FNMA P#821116 6% 5/1/35 N/A FNMA P#821116 6% 5/1/35 6.00000000 31406VGZ3 1123.16000000 NS USD 1288.66000000 0.000098328745 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6.00000000 N N N N N N FNR 2004-38 FK V/R 05/25/34 N/A FANNIE MAE REMICS SER 2004-38 CL FK V/R 0.43438000 31393YBS3 17587.17000000 NS USD 17706.86000000 0.001351088201 Long ABS-CBDO CORP US N 2 2034-05-25 Variable 0.43438000 N N N N N N BROADCOM INC 2.45% 02/15/31 549300WV6GIDOZJTV909 BROADCOM INC REGD 144A P/P 2.45000000 11135FBH3 98000.00000000 NS USD 97074.50000000 0.007407084692 Long DBT CORP US Y 2 2031-02-15 Fixed 2.45000000 N N N N N N UMBS P#BR2644 2% 02/01/51 N/A FANNIE MAE POOL UMBS P#BR2644 2.00000000 3140L05E3 96232.88000000 NS USD 97810.30000000 0.007463228508 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N GLENCORE FUNDI 1.625% 04/27/26 N/A GLENCORE FUNDING LLC REGD 144A P/P 1.62500000 378272BD9 25000.00000000 NS USD 25103.03000000 0.001915438856 Long DBT CORP US Y 2 2026-04-27 Fixed 1.62500000 N N N N N N UMBS P#AT0059 2.5% 03/01/28 N/A FANNIE MAE POOL UMBS P#AT0059 2.50000000 3138WMB59 26696.02000000 NS USD 28043.99000000 0.002139843203 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 2.50000000 N N N N N N MCDONALD'S COR 4.875% 12/09/45 UE2136O97NLB5BYP9H04 MCDONALD'S CORP REGD MTN 4.87500000 58013MFA7 155000.00000000 NS USD 204483.08000000 0.015602691660 Long DBT CORP US N 2 2045-12-09 Fixed 4.87500000 N N N N N N INTEL CORP 3.734% 12/08/47 KNX4USFCNGPY45LOCE31 INTEL CORP REGD SER WI 3.73400000 458140BG4 54000.00000000 NS USD 61877.17000000 0.004721419514 Long DBT CORP US N 2 2047-12-08 Fixed 3.73400000 N N N N N N DELTA AIR LINES IN 7% 05/01/25 Q2CCMS6R0AS67HJMBN42 DELTA AIR LINES INC REGD 144A P/P 7.00000000 247361ZX9 970000.00000000 NS USD 1134279.29000000 0.086549019211 Long DBT CORP US Y 2 2025-05-01 Fixed 7.00000000 N N N N N N MIDAMERICAN ENE 3.15% 04/15/50 N/A MIDAMERICAN ENERGY CO REGD 3.15000000 595620AV7 100000.00000000 NS USD 106479.69000000 0.008124729788 Long DBT CORP US N 2 2050-04-15 Fixed 3.15000000 N N N N N N UMBS P#QC4818 2.5% 08/01/51 N/A FREDDIE MAC POOL UMBS P#QC4818 2.50000000 3133APK73 99880.33000000 NS USD 105050.10000000 0.008015647647 Long ABS-MBS USGA US N 2 2051-08-01 Fixed 2.50000000 N N N N N N T/L ICON LUXEMBOU 0% 06/16/28 N/A T/L ICON LUXEMBOURG S.A.R.L. REGD 0.00000000 N/A 320217.59000000 NS USD 320352.08000000 0.024443854851 Long LON CORP LU N 2 2028-06-16 Variable 3.00000000 N N N N N N VERIZON COMMUNI 1.68% 10/30/30 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD SER WI 1.68000000 92343VFX7 138000.00000000 NS USD 133429.06000000 0.010181050098 Long DBT CORP US N 2 2030-10-30 Fixed 1.68000000 N N N N N N TRANSOCEAN PROT 6.25% 12/01/24 N/A TRANSOCEAN PROTEUS LTD REGD 144A P/P 6.25000000 893829AA9 68750.00000000 NS USD 67804.69000000 0.005173707630 Long DBT CORP KY Y 2 2024-12-01 Fixed 6.25000000 N N N N N N SUNRN 2019-2 A 3.61% 10/30/27 N/A SUNRUN ATLAS ISSUER 2019-2 LLC SER 2019-2 CL A REGD 144A P/P 3.61000000 86772FAA9 401268.51000000 NS USD 430527.89000000 0.032850610031 Long ABS-CBDO CORP US Y 2 2055-02-01 Fixed 3.61000000 N N N N N N UMBS P#FM7630 2.5% 06/01/51 N/A FANNIE MAE POOL UMBS P#FM7630 2.50000000 3140XBPQ7 98516.62000000 NS USD 103354.73000000 0.007886285671 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N UMBS P#CA1710 4.5% 05/01/48 N/A FANNIE MAE POOL UMBS P#CA1710 4.50000000 3140Q83U7 505702.48000000 NS USD 548294.74000000 0.041836585049 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N F/C AUST 10Y BOND FUT SEP21 N/A FUTURE CONTRACT ON AUST 10Y BOND FUT SEP21 /AUD/ 0.00000000 N/A 42.00000000 NC 4479994.54000000 0.341837444205 N/A DIR CORP AU N 1 CITIGROUP GLOBAL MARKETS, INC. MBNUM2BPBDO7JBLYG310 Long F/C AUST 10Y BOND FUT SEP21 AUST 10Y BOND FUT SEP21 /AUD/ 2021-09-15 4351688.38000000 AUD 128306.16000000 N N N AIR LEASE CORP 3.25% 03/01/25 5493004NW4M4P8TMMK63 AIR LEASE CORP REGD 3.25000000 00912XBA1 495000.00000000 NS USD 526269.45000000 0.040155987277 Long DBT CORP US N 2 2025-03-01 Fixed 3.25000000 N N N N N N IHS MARKIT LTD 4.75% 08/01/28 549300HLPTRASHS0E726 IHS MARKIT LTD REGD 4.75000000 44962LAF4 450000.00000000 NS USD 533121.75000000 0.040678838968 Long DBT CORP GB N 2 2028-08-01 Fixed 4.75000000 N N N N N N NOTA DO TESO 10% 01/01/27/BRL/ N/A NOTA DO TESOURO NACIONAL /BRL/ REGD SER NTNF 10.00000000 P8T60MXG3 1224000.00000000 NS 241060.41000000 0.018393655107 Long DBT USGA BR N 2 2027-01-01 Fixed 10.00000000 N N N N N N IBM CORP 4.15% 05/15/39 VGRQXHF3J8VDLUA7XE92 IBM CORP REGD 4.15000000 459200KB6 100000.00000000 NS USD 120241.64000000 0.009174809151 Long DBT CORP US N 2 2039-05-15 Fixed 4.15000000 N N N N N N COMMONWEALTH EDISO 4% 03/01/48 N/A COMMONWEALTH EDISON CO REGD 4.00000000 202795JM3 92000.00000000 NS USD 110568.45000000 0.008436714826 Long DBT CORP US N 2 2048-03-01 Fixed 4.00000000 N N N N N N T/L MICHAELS ST 0% 09/17/27 N/A T/L MICHAELS STORES INC REGD 0.00000000 N/A 0.01000000 NS USD 0.01000000 0.000000000763 Long LON CORP US N 2 2027-09-17 Variable 0.00000000 N N N N N N TOYOTA MOTOR CREDI 3% 04/01/25 N/A TOYOTA MOTOR CREDIT CORP REGD MTN 3.00000000 89236TGX7 257000.00000000 NS USD 275758.39000000 0.021041218335 Long DBT CORP US N 2 2025-04-01 Fixed 3.00000000 N N N N N N LOS ANGELES CA 5.75% 07/01/34 N/A LOS ANGELES CA UNIF SCH DIST REGD N/C B/E 5.75000000 544646XZ0 530000.00000000 NS USD 715303.74000000 0.054579888463 Long DBT MUN US N 2 2034-07-01 Fixed 5.75000000 N N N N N N WESTERN MIDSTREA 5.5% 08/15/48 N/A WESTERN MIDSTREAM OPERAT REGD 5.50000000 958254AL8 10000.00000000 NS USD 11473.80000000 0.000875486439 Long DBT CORP US N 2 2048-08-15 Fixed 5.50000000 N N N N N N COMMONSPIRIT HE 4.35% 11/01/42 4SXHN5XW08IBO0UG2V58 COMMONSPIRIT HEALTH REGD 4.35000000 14916RAD6 30000.00000000 NS USD 35452.60000000 0.002705143067 Long DBT CORP US N 2 2042-11-01 Fixed 4.35000000 N N N N N N KRAFT HEINZ FO 4.625% 10/01/39 N/A KRAFT HEINZ FOODS CO REGD SER WI 4.62500000 50077LAX4 10000.00000000 NS USD 11915.71000000 0.000909205539 Long DBT CORP US N 2 2039-10-01 Fixed 4.62500000 N N N N N N T/L WESTERN DIGITA 0% 04/29/23 N/A T/L WESTERN DIGITAL CORPORATION REGD 0.00000000 95810DAR2 71034.20000000 NS USD 71140.75000000 0.005428259329 Long LON CORP US N 2 2023-04-29 Variable 1.83788000 N N N N N N UMBS P#FM1001 3.5% 11/01/48 N/A FANNIE MAE POOL UMBS P#FM1001 3.50000000 3140X4DF0 167452.52000000 NS USD 177707.08000000 0.013559600017 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.50000000 N N N N N N UMBS P#BM5521 3.5% 07/01/48 N/A FANNIE MAE POOL UMBS P#BM5521 3.50000000 3140JAD39 912699.92000000 NS USD 974064.92000000 0.074324167087 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.50000000 N N N N N N PUBLIC SERVICE 3.85% 08/01/25 N/A PUBLIC SERVICE CO OF NEW REGD 3.85000000 744542AC5 500000.00000000 NS USD 544915.76000000 0.041578758420 Long DBT CORP US N 2 2025-08-01 Fixed 3.85000000 N N N N N N UMBS P#995243 4.5% 08/01/38 N/A FANNIE MAE POOL UMBS P#995243 4.50000000 31416BS82 125781.25000000 NS USD 140995.86000000 0.010758420349 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 4.50000000 N N N N N N US TREAS NTS 0.75% 8/31/26 N/A UNITED STATES TREASURY NOTE 0.75000000 91282CCW9 9865000.00000000 NS USD 9855366.24000000 0.751994935955 Long DBT UST US N 2 2026-08-31 Fixed 0.75000000 N N N N N N PPSI 2004-WWF1 M V/R 12/25/34 N/A PARK PLACE SECURITIES INC ASSET-BACKED PASS-THROUG SER 2004-WWF1 CL M5 V/R REGD 1.88438000 70069FDN4 1656295.77000000 NS USD 1673623.94000000 0.127702684702 Long ABS-CBDO CORP US N 2 2034-12-25 Variable 1.88438000 N N N N N N FNA 2015-M7 X2 V/R 12/25/24 N/A FANNIE MAE-ACES SER 2015-M7 CL X2 V/R 0.57700000 3136ANLJ4 4044382.63000000 NS USD 53466.74000000 0.004079677684 Long ABS-CBDO CORP US N 2 2024-12-25 Variable 0.57700000 N N N N N N UMBS P#AS8740 3.5% 02/01/37 N/A FANNIE MAE POOL UMBS P#AS8740 3.50000000 3138WJWA2 30468.57000000 NS USD 32820.07000000 0.002504272884 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 3.50000000 N N N N N N ANHEUSER-BUSCH C 4.9% 02/01/46 N/A ANHEUSER-BUSCH CO/INBEV REGD SER * 4.90000000 03522AAJ9 1115000.00000000 NS USD 1423733.00000000 0.108635232834 Long DBT CORP US N 2 2046-02-01 Fixed 4.90000000 N N N N N N REPUBLIC OF PANA 4.5% 04/01/56 N/A REPUBLIC OF PANAMA REGD 4.50000000 698299BM5 290000.00000000 NS USD 332105.10000000 0.025340646640 Long DBT USGA PA N 2 2056-04-01 Fixed 4.50000000 N N N N N N UMBS P#MA3124 2.5% 09/01/32 N/A FANNIE MAE POOL UMBS P#MA3124 2.50000000 31418CPJ7 942966.08000000 NS USD 989705.17000000 0.075517566552 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 2.50000000 N N N N N N MICRON TECHNOL 2.497% 04/24/23 B3DXGBC8GAIYWI2Z0172 MICRON TECHNOLOGY INC REGD 2.49700000 595112BR3 150000.00000000 NS USD 154843.50000000 0.011815038125 Long DBT CORP US N 2 2023-04-24 Fixed 2.49700000 N N N N N N SINOPEC GRP OV 4.375% 04/10/24 N/A SINOPEC GRP OVERSEA 2014 REGD P/P 4.37500000 82937WAE5 400000.00000000 NS USD 436492.28000000 0.033305711441 Long DBT CORP VG Y 2 2024-04-10 Fixed 4.37500000 N N N N N N CGCMT 2016-C3 2.896% 10/15/26 N/A CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C3 SER 2016-C3 CL A3 REGD 2.89600000 17325GAC0 740000.00000000 NS USD 790683.34000000 0.060331585163 Long ABS-CBDO CORP US N 2 2049-11-15 Fixed 2.89600000 N N N N N N HOME DEPOT INC 3.3% 04/15/40 QEKMOTMBBKA8I816DO57 HOME DEPOT INC REGD 3.30000000 437076CC4 70000.00000000 NS USD 77606.72000000 0.005921632845 Long DBT CORP US N 2 2040-04-15 Fixed 3.30000000 N N N N N N PFIZER INC 2.625% 04/01/30 765LHXWGK1KXCLTFYQ30 PFIZER INC REGD 2.62500000 717081EW9 160000.00000000 NS USD 172176.60000000 0.013137607282 Long DBT CORP US N 2 2030-04-01 Fixed 2.62500000 N N N N N N OHIO POWER COMPANY 4% 06/01/49 N/A OHIO POWER COMPANY REGD 4.00000000 677415CR0 29000.00000000 NS USD 35028.67000000 0.002672795897 Long DBT CORP US N 2 2049-06-01 Fixed 4.00000000 N N N N N N ORACLE CORP 4.3% 07/08/34 1Z4GXXU7ZHVWFCD8TV52 ORACLE CORP REGD 4.30000000 68389XAV7 411000.00000000 NS USD 478460.15000000 0.036507989768 Long DBT CORP US N 2 2034-07-08 Fixed 4.30000000 N N N N N N GNMA II P#MA4654 4.5% 08/20/47 N/A GINNIE MAE II POOL P#MA4654 4.50000000 36179TE35 40441.48000000 NS USD 43567.96000000 0.003324370144 Long ABS-MBS USGSE US N 2 2047-08-20 Fixed 4.50000000 N N N N N N UMBS P#AP9766 4% 10/01/42 N/A FANNIE MAE POOL UMBS P#AP9766 4.00000000 3138MDZ88 91397.56000000 NS USD 100120.95000000 0.007639538252 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.00000000 N N N N N N UNITED AIR 2018- 3.5% 03/01/30 N/A UNITED AIR 2018-1 AA PTT REGD SER AA 3.50000000 909318AA5 17669.23000000 NS USD 18484.01000000 0.001410387151 Long DBT CORP US N 2 2030-03-01 Fixed 3.50000000 N N N N N N GENERAL MOTORS C 5.2% 04/01/45 54930070NSV60J38I987 GENERAL MOTORS CO REGD 5.20000000 37045VAJ9 455000.00000000 NS USD 558186.60000000 0.042591364571 Long DBT CORP US N 2 2045-04-01 Fixed 5.20000000 N N N N N N JPMORGAN CHASE & V/R 07/24/48 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 4.03200000 46647PAK2 199000.00000000 NS USD 237909.23000000 0.018153210324 Long DBT CORP US N 2 2048-07-24 Variable 4.03200000 N N N N N N UMBS P#BE3776 4.5% 07/01/47 N/A FANNIE MAE POOL UMBS P#BE3776 4.50000000 3140FPFS3 223478.65000000 NS USD 243987.99000000 0.018617038519 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.50000000 N N N N N N CHEVRON USA INC 3.85% 01/15/28 N/A CHEVRON USA INC REGD 3.85000000 166756AR7 240000.00000000 NS USD 272843.08000000 0.020818771162 Long DBT CORP US N 2 2028-01-15 Fixed 3.85000000 N N N N N N 3M COMPANY 2.375% 08/26/29 LUZQVYP4VS22CLWDAR65 3M COMPANY REGD 2.37500000 88579YBJ9 150000.00000000 NS USD 158152.20000000 0.012067502172 Long DBT CORP US N 2 2029-08-26 Fixed 2.37500000 N N N N N N CROWN CASTLE IN 4.15% 07/01/50 54930012H97VSM0I2R19 CROWN CASTLE INTL CORP REGD 4.15000000 22822VAQ4 74000.00000000 NS USD 86096.97000000 0.006569465189 Long DBT CORP US N 2 2050-07-01 Fixed 4.15000000 N N N N N N NATIONWIDE BLDG S V/R 03/08/24 549300XFX12G42QIKN82 NATIONWIDE BLDG SOCIETY REGD V/R 144A P/P 3.76600000 63861VAA5 900000.00000000 NS USD 941292.68000000 0.071823543780 Long DBT CORP GB Y 2 2024-03-08 Variable 3.76600000 N N N N N N EXELON CORP 4.7% 04/15/50 3SOUA6IRML7435B56G12 EXELON CORP REGD 4.70000000 30161NAY7 143000.00000000 NS USD 183286.77000000 0.013985347627 Long DBT CORP US N 2 2050-04-15 Fixed 4.70000000 N N N N N N CENTENE CORP 3% 10/15/30 549300Z7JJ4TQSQGT333 CENTENE CORP REGD 3.00000000 15135BAW1 1050000.00000000 NS USD 1084741.88000000 0.082769161562 Long DBT CORP US N 2 2030-10-15 Fixed 3.00000000 N N N N N N GOLDMAN SACHS GRO V/R 05/15/26 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R SER . 1.29475000 38141GXD1 150000.00000000 NS USD 153745.01000000 0.011731219939 Long DBT CORP US N 2 2026-05-15 Variable 1.29475000 N N N N N N SEVEN & I HOLDI 3.35% 09/17/21 52990037G8JRM3TWGY86 SEVEN & I HOLDINGS REGD 144A P/P 3.35000000 81783HAA3 200000.00000000 NS USD 200253.72000000 0.015279978407 Long DBT CORP JP Y 2 2021-09-17 Fixed 3.35000000 N N N N N N UNITED AIRLINE 4.625% 04/15/29 N/A UNITED AIRLINES INC REGD 144A P/P 4.62500000 90932LAH0 790000.00000000 NS USD 820790.25000000 0.062628835545 Long DBT CORP US Y 2 2029-04-15 Fixed 4.62500000 N N N N N N UMBS P#FM1468 5% 08/01/49 N/A FANNIE MAE POOL UMBS P#FM1468 5.00000000 3140X4T22 131125.78000000 NS USD 143711.93000000 0.010965664894 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 5.00000000 N N N N N N HONEYWELL INTER 1.35% 06/01/25 ISRPG12PN4EIEOEMW547 HONEYWELL INTERNATIONAL REGD 1.35000000 438516CB0 110000.00000000 NS USD 112288.57000000 0.008567965304 Long DBT CORP US N 2 2025-06-01 Fixed 1.35000000 N N N N N N EQUATE PETROCHE 4.25% 11/03/26 N/A EQUATE PETROCHEMICAL BV REGD 144A P/P MTN 4.25000000 29441WAC9 200000.00000000 NS USD 222666.00000000 0.016990104713 Long DBT CORP NL Y 2 2026-11-03 Fixed 4.25000000 N N N N N N NISSAN MOTOR CO 4.81% 09/17/30 353800DRBDH1LUTNAY26 NISSAN MOTOR CO REGD 144A P/P 4.81000000 654744AD3 245000.00000000 NS USD 277858.07000000 0.021201430415 Long DBT CORP JP Y 2 2030-09-17 Fixed 4.81000000 N N N N N N UNITED MEXICAN 3.75% 01/11/28 N/A UNITED MEXICAN STATES REGD 3.75000000 91087BAE0 323000.00000000 NS USD 357414.04000000 0.027271797067 Long DBT USGA MX N 2 2028-01-11 Fixed 3.75000000 N N N N N N GNMA II P#MA4719 3.5% 09/20/47 N/A GINNIE MAE II POOL P#MA4719 3.50000000 36179TG41 166955.69000000 NS USD 177378.58000000 0.013534534451 Long ABS-MBS USGSE US N 2 2047-09-20 Fixed 3.50000000 N N N N N N BALL CORP 4% 11/15/23 0BGI85ALH27ZJP15DY16 BALL CORP REGD 4.00000000 058498AS5 130000.00000000 NS USD 137637.50000000 0.010502167091 Long DBT CORP US N 2 2023-11-15 Fixed 4.00000000 N N N N N N VOC ESCROW LTD 5% 02/15/28 N/A VOC ESCROW LTD REGD 144A P/P 5.00000000 91832VAA2 110000.00000000 NS USD 108908.80000000 0.008310078396 Long DBT CORP US Y 2 2028-02-15 Fixed 5.00000000 N N N N N N GNMA II P#MA5529 4.5% 10/20/48 N/A GINNIE MAE II POOL P#MA5529 4.50000000 36179UEA6 239802.91000000 NS USD 255282.70000000 0.019478859837 Long ABS-MBS USGSE US N 2 2048-10-20 Fixed 4.50000000 N N N N N N CIT GROUP INC 5.25% 03/07/25 N8O96ZZJQRFYQUJY7K79 CIT GROUP INC REGD 5.25000000 125581GW2 40000.00000000 NS USD 45138.00000000 0.003444169053 Long DBT CORP US N 2 2025-03-07 Fixed 5.25000000 N N N N N N JPMORGAN CHASE 4.25% 10/01/27 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD 4.25000000 46625HNJ5 210000.00000000 NS USD 241087.26000000 0.018395703845 Long DBT CORP US N 2 2027-10-01 Fixed 4.25000000 N N N N N N LAM RESEARCH C 4.875% 03/15/49 549300I4GMO6D34U1T02 LAM RESEARCH CORP REGD 4.87500000 512807AT5 49000.00000000 NS USD 67753.88000000 0.005169830669 Long DBT CORP US N 2 2049-03-15 Fixed 4.87500000 N N N N N N SUMITOMO MITSUI 3.04% 07/16/29 35380028MYWPB6AUO129 SUMITOMO MITSUI FINL GRP REGD 3.04000000 86562MBP4 200000.00000000 NS USD 215294.97000000 0.016427672319 Long DBT CORP JP N 2 2029-07-16 Fixed 3.04000000 N N N N N N GNR 2019-86 C 2.5% 03/20/49 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2019-86 CL C 2.50000000 38381WC71 508821.27000000 NS USD 531469.06000000 0.040552733607 Long ABS-CBDO CORP US N 2 2049-03-20 Fixed 2.50000000 N N N N N N UMBS P#MA2773 3% 10/01/36 N/A FANNIE MAE POOL UMBS P#MA2773 3.00000000 31418CCK8 678070.00000000 NS USD 717006.30000000 0.054709799059 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 3.00000000 N N N N N N D.R. HORTON INC 1.3% 10/15/26 529900ZIUEYVSB8QDD25 D.R. HORTON INC REGD 1.30000000 23331ABQ1 248000.00000000 NS USD 247772.45000000 0.018905804526 Long DBT CORP US N 2 2026-10-15 Fixed 1.30000000 N N N N N N USD PUT /CAD CALL 11/22/21 1.2685 N/A USD PUT /CAD CALL 11/22/21 1.2685 0.00000000 N/A 2050000.00000000 NC USD 31316.33000000 0.002389532869 N/A DFE CORP US N 2 CITIGROUP GLOBAL MARKETS, INC. MBNUM2BPBDO7JBLYG310 Put Written USD PUT /CAD CALL 11/22/21 1.2685 0 2050000.00000000 USD 1.26850000 USD 2021-11-22 XXXX 12938.08000000 N N N BOAMS 2004-F 1A1 V/R 07/25/34 N/A BANC OF AMERICA MORTGAGE 2004-F TRUST SER 2004-F CL 1A1 V/R REGD 2.44575500 05949AHR4 26088.00000000 NS USD 26710.52000000 0.002038095316 Long ABS-CBDO CORP US N 2 2034-07-25 Variable 2.44575500 N N N N N N APPLE INC 2.45% 08/04/26 HWUPKR0MPOU8FGXBT394 APPLE INC REGD 2.45000000 037833BZ2 280000.00000000 NS USD 298673.09000000 0.022789680841 Long DBT CORP US N 2 2026-08-04 Fixed 2.45000000 N N N N N N FRESENIUS MED 1.875% 12/01/26 N/A FRESENIUS MED CARE III REGD 144A P/P 1.87500000 35805BAC2 355000.00000000 NS USD 358596.64000000 0.027362033106 Long DBT CORP US Y 2 2026-12-01 Fixed 1.87500000 N N N N N N BHP BILLITON FIN U 5% 09/30/43 N/A BHP BILLITON FIN USA LTD REGD 5.00000000 055451AV0 150000.00000000 NS USD 208076.26000000 0.015876862412 Long DBT CORP AU N 2 2043-09-30 Fixed 5.00000000 N N N N N N FGLMC P#G60440 3.5% 03/01/46 N/A FREDDIE MAC GOLD POOL P#G60440 3.50000000 31335APZ5 389798.41000000 NS USD 424672.20000000 0.032403802767 Long ABS-MBS USGA US N 2 2046-03-01 Fixed 3.50000000 N N N N N N VIRGIN MEDIA SEC 4.5% 08/15/30 N/A VIRGIN MEDIA SECURED FIN REGD 144A P/P 4.50000000 92769XAR6 525000.00000000 NS USD 533163.75000000 0.040682043697 Long DBT CORP GB Y 2 2030-08-15 Fixed 4.50000000 N N N N N N REPUBLIC OF CHI 2.55% 07/27/33 N/A REPUBLIC OF CHILE REGD 2.55000000 168863DT2 435000.00000000 NS USD 443795.70000000 0.033862984984 Long DBT USGA CL N 2 2033-07-27 Fixed 2.55000000 N N N N N N SCHLUMBERGER HLDGS 4% 12/21/25 N/A SCHLUMBERGER HLDGS CORP REGD 144A P/P 4.00000000 806851AG6 90000.00000000 NS USD 100010.88000000 0.007631139570 Long DBT CORP US Y 2 2025-12-21 Fixed 4.00000000 N N N N N N GNMA II P#MA3937 3.5% 09/20/46 N/A GINNIE MAE II POOL P#MA3937 3.50000000 36179SLS4 215284.29000000 NS USD 229641.49000000 0.017522356182 Long ABS-MBS USGSE US N 2 2046-09-20 Fixed 3.50000000 N N N N N N FGLMC P#U90841 3.5% 02/01/43 N/A FREDDIE MAC GOLD POOL P#U90841 3.50000000 3132H35A7 37243.12000000 NS USD 40244.93000000 0.003070812674 Long ABS-MBS USGA US N 2 2043-02-01 Fixed 3.50000000 N N N N N N UNITED AIR 201 4.625% 09/03/22 N/A UNITED AIR 2014-2 B PTT REGD SER B 4.62500000 90932QAB2 43600.44000000 NS USD 44489.15000000 0.003394659791 Long DBT CORP US N 2 2022-09-03 Fixed 4.62500000 N N N N N N HYUNDAI CAPITAL 3.75% 03/05/23 N/A HYUNDAI CAPITAL SERVICES REGD 144A P/P 3.75000000 44920UAM0 200000.00000000 NS USD 209263.42000000 0.015967446393 Long DBT CORP KR Y 2 2023-03-05 Fixed 3.75000000 N N N N N N ABBVIE INC 4.05% 11/21/39 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD SER WI 4.05000000 00287YCA5 175000.00000000 NS USD 205672.61000000 0.015693456480 Long DBT CORP US N 2 2039-11-21 Fixed 4.05000000 N N N N N N KEURIG DR PEPPE 2.25% 03/15/31 DYTQ8KRTKO7Y2BVU5K74 KEURIG DR PEPPER INC REGD 2.25000000 49271VAN0 79000.00000000 NS USD 80187.50000000 0.006118554344 Long DBT CORP US N 2 2031-03-15 Fixed 2.25000000 N N N N N N RELX CAPITAL INC 4% 03/18/29 N/A RELX CAPITAL INC REGD 4.00000000 74949LAC6 59000.00000000 NS USD 66786.23000000 0.005095995981 Long DBT CORP US N 2 2029-03-18 Fixed 4.00000000 N N N N N N SPRINT CORP 7.875% 09/15/23 N/A SPRINT CORP REGD SER WI 7.87500000 85207UAF2 34000.00000000 NS USD 38562.80000000 0.002942460950 Long DBT CORP US N 2 2023-09-15 Fixed 7.87500000 N N N N N N US TREAS NTS 0.125% 08/15/23 N/A UNITED STATES TREASURY NOTE 0.12500000 91282CAF8 725000.00000000 NS USD 724051.27000000 0.055247352067 Long DBT UST US N 2 2023-08-15 Fixed 0.12500000 N N N N N N COMM 2013-CR9 E V/R 07/10/23 N/A COMM 2013-CCRE9 MORTGAGE TRUST SER 2013-CR9 CL E V/R REGD 144A P/P 4.41198200 12625UAL7 260000.00000000 NS USD 86703.50000000 0.006615745304 Long ABS-CBDO CORP US Y 2 2045-07-10 Variable 4.41198200 N N N N N N HUMANA INC 3.95% 03/15/27 529900YLDW34GJAO4J06 HUMANA INC REGD 3.95000000 444859BF8 30000.00000000 NS USD 33734.27000000 0.002574029172 Long DBT CORP US N 2 2027-03-15 Fixed 3.95000000 N N N N N N FNR 2013-73 IA 3% 09/25/32 N/A FANNIE MAE REMICS SER 2013-73 CL IA 3.00000000 3136AFRX4 48460.34000000 NS USD 2820.83000000 0.000215238056 Long ABS-CBDO CORP US N 2 2032-09-25 Fixed 3.00000000 N N N N N N COMM 2014-CR1 3.828% 06/15/24 N/A COMM 2014-CCRE18 MORTGAGE TRUST SER 2014-CR18 CL A5 REGD 3.82800000 12632QAX1 140000.00000000 NS USD 151228.42000000 0.011539196336 Long ABS-CBDO CORP US N 2 2047-07-15 Fixed 3.82800000 N N N N N N US TREAS NTS 1.25% 05/31/28 N/A UNITED STATES TREASURY NOTE 1.25000000 91282CCE9 2920000.00000000 NS USD 2959693.75000000 0.225833790219 Long DBT UST US N 2 2028-05-31 Fixed 1.25000000 N N N N N N ALTRIA GROUP IN 2.35% 05/06/25 XSGZFLO9YTNO9VCQV219 ALTRIA GROUP INC REGD 2.35000000 02209SBH5 40000.00000000 NS USD 41741.48000000 0.003185004069 Long DBT CORP US N 2 2025-05-06 Fixed 2.35000000 N N N N N N FORD MOTOR COMP 4.75% 01/15/43 20S05OYHG0MQM4VUIC57 FORD MOTOR COMPANY REGD 4.75000000 345370CQ1 30000.00000000 NS USD 32400.75000000 0.002472277470 Long DBT CORP US N 2 2043-01-15 Fixed 4.75000000 N N N N N N EXXON MOBIL CO 2.992% 03/19/25 J3WHBG0MTS7O8ZVMDC91 EXXON MOBIL CORPORATION REGD 2.99200000 30231GBH4 430000.00000000 NS USD 460266.26000000 0.035119739671 Long DBT CORP US N 2 2025-03-19 Fixed 2.99200000 N N N N N N HCA INC 5.25% 06/15/49 N/A HCA INC REGD 5.25000000 404119BZ1 295000.00000000 NS USD 384583.97000000 0.029344946788 Long DBT CORP US N 2 2049-06-15 Fixed 5.25000000 N N N N N N COMCAST CORP 4.15% 10/15/28 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 4.15000000 20030NCT6 1077000.00000000 NS USD 1250966.32000000 0.095452600622 Long DBT CORP US N 2 2028-10-15 Fixed 4.15000000 N N N N N N HCA INC 5.25% 04/15/25 N/A HCA INC REGD 5.25000000 404119BQ1 1059000.00000000 NS USD 1209419.63000000 0.092282459632 Long DBT CORP US N 2 2025-04-15 Fixed 5.25000000 N N N N N N AMER AIRLINE 17 3.65% 02/15/29 N/A AMER AIRLINE 17-1 AA PTT REGD SER AA 3.65000000 023761AA7 37500.00000000 NS USD 39118.73000000 0.002984880129 Long DBT CORP US N 2 2029-02-15 Fixed 3.65000000 N N N N N N US TREAS NTS 0.875% 6/30/26 N/A UNITED STATES TREASURY NOTE 0.87500000 91282CCJ8 11160000.00000000 NS USD 11223646.82000000 0.856398977578 Long DBT UST US N 2 2026-06-30 Fixed 0.87500000 N N N N N N CSMC 2020-NET 2.815% 08/15/25 N/A CSMC 2020-NET SER 2020-NET CL B REGD 144A P/P 2.81590000 126438AE0 280000.00000000 NS USD 292064.19000000 0.022285401324 Long ABS-CBDO CORP US Y 2 2037-08-15 Fixed 2.81590000 N N N N N N LLOYDS BANKING 4.55% 08/16/28 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC REGD 4.55000000 539439AT6 200000.00000000 NS USD 233561.20000000 0.017821442182 Long DBT CORP GB N 2 2028-08-16 Fixed 4.55000000 N N N N N N UNITED RENTALS 3.875% 11/15/27 N/A UNITED RENTALS NORTH AM REGD 3.87500000 911365BM5 20000.00000000 NS USD 21040.00000000 0.001605417096 Long DBT CORP US N 2 2027-11-15 Fixed 3.87500000 N N N N N N ABSHE 2007-HE1 A V/R 12/25/36 N/A ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIE SER 2007-HE1 CL A1B V/R REGD 0.23438000 04544RAS4 578070.25000000 NS USD 564106.15000000 0.043043044551 Long ABS-CBDO CORP US Y 2 2036-12-25 Variable 0.23438000 N N N N N N FGLMC P#G08795 3% 01/01/48 N/A FREDDIE MAC GOLD POOL P#G08795 3.00000000 3128MJ3D0 73495.45000000 NS USD 77185.56000000 0.005889497034 Long ABS-MBS USGA US N 2 2048-01-01 Fixed 3.00000000 N N N N N N US T BILL ZCP 01/13/22 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796K73 10130000.00000000 PA USD 10128137.92000000 0.772808259076 Long STIV UST US N 2 2022-01-13 Fixed 0.00000000 N N N N N N FHR 1865 DA V/R 2/15/24 N/A FREDDIE MAC SERIES 1865 CLASS_ DA 30.04856200 3133T7HY8 4715.72000000 NS USD 776.78000000 0.000059270717 Long ABS-MBS USGA US N 2 2024-02-15 Variable 30.04856200 N N N N N N FORD MOTOR CREDIT V/R 08/03/22 N/A FORD MOTOR CREDIT CO LLC REGD V/R 1.19775000 345397YP2 1250000.00000000 NS USD 1246576.24000000 0.095117623935 Long DBT CORP US N 2 2022-08-03 Variable 1.19775000 N N N N N N FGLMC P#G05860 5.5% 02/01/40 N/A FREDDIE MAC GOLD POOL P#G05860 5.50000000 3128M7ZZ2 79284.21000000 NS USD 92386.92000000 0.007049407834 Long ABS-MBS USGA US N 2 2040-02-01 Fixed 5.50000000 N N N N N N NISSAN MOTOR AC 2.75% 03/09/28 N/A NISSAN MOTOR ACCEPTANCE REGD 144A P/P 2.75000000 654740BT5 54000.00000000 NS USD 55754.47000000 0.004254238561 Long DBT CORP US Y 2 2028-03-09 Fixed 2.75000000 N N N N N N NGPL PIPECO LL 4.875% 08/15/27 N/A NGPL PIPECO LLC REGD 144A P/P 4.87500000 62912XAF1 190000.00000000 NS USD 217586.53000000 0.016602525437 Long DBT CORP US Y 2 2027-08-15 Fixed 4.87500000 N N N N N N UMBS P#FM6871 2.5% 04/01/51 N/A FANNIE MAE POOL UMBS P#FM6871 2.50000000 3140XAT51 98557.70000000 NS USD 103549.82000000 0.007901171642 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N ATHENE GLOBAL FUN V/R 05/24/24 549300LM1QSI4MSIL320 ATHENE GLOBAL FUNDING REGD V/R 144A P/P 0.73909000 04685A2X8 535000.00000000 NS USD 538259.78000000 0.041070886553 Long DBT CORP US Y 2 2024-05-24 Variable 0.73909000 N N N N N N CREDIT AGRICOLE L V/R 06/16/26 N/A CREDIT AGRICOLE LONDON REGD V/R 144A P/P MTN 1.90700000 22535WAG2 500000.00000000 NS USD 511960.84000000 0.039064196064 Long DBT CORP GB Y 2 2026-06-16 Variable 1.90700000 N N N N N N US TREAS NTS 1.125% 02/29/28 N/A UNITED STATES TREASURY NOTE 1.12500000 91282CBP5 223000.00000000 NS USD 224733.48000000 0.017147859834 Long DBT UST US N 2 2028-02-29 Fixed 1.12500000 N N N N N N UNITED AIR 2016- 3.1% 07/07/28 N/A UNITED AIR 2016-1 AA PTT REGD SER AA 3.10000000 90931LAA6 3944.68000000 NS USD 4147.63000000 0.000316477001 Long DBT CORP US N 2 2028-07-07 Fixed 3.10000000 N N N N N N KRAFT HEINZ FOO 6.75% 03/15/32 N/A KRAFT HEINZ FOODS CO REGD 6.75000000 42307TAG3 10000.00000000 NS USD 13560.69000000 0.001034722602 Long DBT CORP US N 2 2032-03-15 Fixed 6.75000000 N N N N N N UMBS P#FM3347 3.5% 05/01/47 N/A FANNIE MAE POOL UMBS P#FM3347 3.50000000 3140X6WH0 2656611.44000000 NS USD 2842632.18000000 0.216901630247 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.50000000 N N N N N N DISH DBS CORP 5.125% 06/01/29 N/A DISH DBS CORP REGD 144A P/P 5.12500000 25470XBC8 70000.00000000 NS USD 69737.50000000 0.005321187013 Long DBT CORP US Y 2 2029-06-01 Fixed 5.12500000 N N N N N N UMBS P#995203 5% 07/01/35 N/A FANNIE MAE POOL UMBS P#995203 5.00000000 31416BRY6 17715.39000000 NS USD 20191.98000000 0.001540710546 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.00000000 N N N N N N MCDONALD'S CORP 3.8% 04/01/28 UE2136O97NLB5BYP9H04 MCDONALD'S CORP REGD MTN 3.80000000 58013MFF6 340000.00000000 NS USD 384992.82000000 0.029376143308 Long DBT CORP US N 2 2028-04-01 Fixed 3.80000000 N N N N N N UMBS P#BM3848 4.5% 03/01/46 N/A FANNIE MAE POOL UMBS P#BM3848 4.50000000 3140J8H22 450714.62000000 NS USD 502970.55000000 0.038378209122 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 4.50000000 N N N N N N L3 TECHNOLOGIES 3.85% 12/15/26 N/A L3 TECHNOLOGIES INC REGD 3.85000000 502413BE6 141000.00000000 NS USD 156437.12000000 0.011936636261 Long DBT CORP US N 2 2026-12-15 Fixed 3.85000000 N N N N N N NORTHERN NATURAL 3.4% 10/16/51 N/A NORTHERN NATURAL GAS CO REGD 144A P/P 3.40000000 665501AM4 50000.00000000 NS USD 52399.78000000 0.003998265335 Long DBT CORP US Y 2 2051-10-16 Fixed 3.40000000 N N N N N N GNMA II P#MA5020 4% 02/20/48 N/A GINNIE MAE II POOL P#MA5020 4.00000000 36179TSH9 197900.25000000 NS USD 212638.44000000 0.016224970861 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 4.00000000 N N N N N N COMCAST CORP 3.95% 10/15/25 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 3.95000000 20030NCS8 30000.00000000 NS USD 33483.94000000 0.002554928219 Long DBT CORP US N 2 2025-10-15 Fixed 3.95000000 N N N N N N IMPERIAL BRANDS 3.5% 07/26/26 N/A IMPERIAL BRANDS FIN PLC REGD 144A P/P 3.50000000 45262BAB9 205000.00000000 NS USD 221410.55000000 0.016894309994 Long DBT CORP GB Y 2 2026-07-26 Fixed 3.50000000 N N N N N N COMCAST CORP 3.999% 11/01/49 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD SER WI 3.99900000 20030NCE9 23000.00000000 NS USD 27401.99000000 0.002090856616 Long DBT CORP US N 2 2049-11-01 Fixed 3.99900000 N N N N N N VIACOMCBS INC 4.2% 05/19/32 5KYC8KF17ROCY24M3H09 VIACOMCBS INC REGD 4.20000000 92556HAD9 255000.00000000 NS USD 294821.33000000 0.022495779636 Long DBT CORP US N 2 2032-05-19 Fixed 4.20000000 N N N N N N FHMS K104 XAM V/R 01/25/30 N/A FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K104 CL XAM V/R 1.50522600 3137FREM9 5000000.00000000 NS USD 544485.50000000 0.041545928251 Long ABS-CBDO CORP US N 2 2052-02-25 Variable 1.50522600 N N N N N N KRAFT HEINZ FO 4.375% 06/01/46 N/A KRAFT HEINZ FOODS CO REGD SER WI 4.37500000 50077LAB2 678000.00000000 NS USD 786721.67000000 0.060029297485 Long DBT CORP US N 2 2046-06-01 Fixed 4.37500000 N N N N N N WAMU 2005-AR1 A1 V/R 01/25/45 N/A WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR1 SER 2005-AR1 CL A1B V/R REGD 0.86438000 939336X57 371033.21000000 NS USD 365668.37000000 0.027901627984 Long ABS-CBDO CORP US N 2 2045-01-25 Variable 0.86438000 N N N N N N DTE ELECTRIC CO 4.05% 05/15/48 N/A DTE ELECTRIC CO REGD SER A 4.05000000 23338VAH9 30000.00000000 NS USD 36985.93000000 0.002822140890 Long DBT CORP US N 2 2048-05-15 Fixed 4.05000000 N N N N N N EATON CORP 4.15% 11/02/42 N/A EATON CORP REGD 4.15000000 278062AE4 160000.00000000 NS USD 193285.50000000 0.014748281662 Long DBT CORP US N 2 2042-11-02 Fixed 4.15000000 N N N N N N GENERAL ELECTRI 6.75% 03/15/32 3C7474T6CDKPR9K6YT90 GENERAL ELECTRIC CO REGD MTN SER MTNA 6.75000000 36962GXZ2 610000.00000000 NS USD 847331.30000000 0.064653999776 Long DBT CORP US N 2 2032-03-15 Fixed 6.75000000 N N N N N N UMBS P#CA2471 4% 10/01/48 N/A FANNIE MAE POOL UMBS P#CA2471 4.00000000 3140Q9W90 132756.87000000 NS USD 143125.76000000 0.010920938309 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.00000000 N N N N N N CITRIX SYSTEMS I 3.3% 03/01/30 HCTKJGUQOPZ5NBK7NP58 CITRIX SYSTEMS INC REGD 3.30000000 177376AF7 232000.00000000 NS USD 244958.38000000 0.018691082278 Long DBT CORP US N 2 2030-03-01 Fixed 3.30000000 N N N N N N GNMA P#667703 5.5% 05/15/37 N/A GINNIE MAE I POOL P#667703 5.50000000 36295DX87 10098.92000000 NS USD 11719.55000000 0.000894237924 Long ABS-MBS USGSE US N 2 2037-05-15 Fixed 5.50000000 N N N N N N BARCLAYS PLC V/R 06/20/30 213800LBQA1Y9L22JB70 BARCLAYS PLC REGD V/R 5.08800000 06738EBK0 200000.00000000 NS USD 233761.12000000 0.017836696697 Long DBT CORP GB N 2 2030-06-20 Variable 5.08800000 N N N N N N FHR 5013 IN 2.5% 09/25/50 N/A FREDDIE MAC REMICS SER 5013 CL IN 2.50000000 3137FW3E8 95341.48000000 NS USD 14548.07000000 0.001110062751 Long ABS-CBDO CORP US N 2 2050-09-25 Fixed 2.50000000 N N N N N N UMBS P#MA4020 3% 05/01/50 N/A FANNIE MAE POOL UMBS P#MA4020 3.00000000 31418DPE6 1921295.31000000 NS USD 2010166.27000000 0.153381905720 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 3.00000000 N N N N N N FGLMC P#G67709 3.5% 03/01/48 N/A FREDDIE MAC GOLD POOL P#G67709 3.50000000 3132XCR64 1085304.02000000 NS USD 1182012.88000000 0.090191239812 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.50000000 N N N N N N US TIPS 1.75% 01/15/28 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75000000 912810PV4 311256.00000000 NS USD 379916.93000000 0.028988837196 Long DBT UST US N 2 2028-01-15 Fixed 1.75000000 N N N N N N T/L CAESARS RES 0% 06/19/25 N/A T/L CAESARS RESORT COLLECTION LLC REGD 0.00000000 12769LAD1 218350.00000000 NS USD 219112.04000000 0.016718926569 Long LON CORP US N 2 2025-06-19 Variable 4.58463000 N N N N N N GNR 2015-167 OI 4% 04/16/45 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-167 CL OI 4.00000000 38379FFB0 64345.08000000 NS USD 9309.24000000 0.000710323814 Long ABS-CBDO CORP US N 2 2045-04-16 Fixed 4.00000000 N N N N N N BROADCOM INC 3.15% 11/15/25 549300WV6GIDOZJTV909 BROADCOM INC REGD 3.15000000 11135FBB6 280000.00000000 NS USD 300051.36000000 0.022894847106 Long DBT CORP US N 2 2025-11-15 Fixed 3.15000000 N N N N N N T/L QUIKRETE HOLD 0% 06/10/28 N/A T/L QUIKRETE HOLDINGS INC REGD 0.00000000 N/A 170000.00000000 NS USD 168884.80000000 0.012886432758 Long LON CORP US N 2 2028-06-10 Variable 0.00000000 N N N N N N CIGNA CORP 3.75% 07/15/23 549300VIWYMSIGT1U456 CIGNA CORP REGD SER WI 3.75000000 125523AF7 216000.00000000 NS USD 228833.67000000 0.017460717017 Long DBT CORP US N 2 2023-07-15 Fixed 3.75000000 N N N N N N CWL 2007-13 2A2 V/R 02/25/36 N/A CWABS ASSET-BACKED CERTIFICATES TRUST 2007-13 SER 2007-13 CL 2A2 V/R REGD 0.88438000 126698AD1 223431.35000000 NS USD 222313.79000000 0.016963230000 Long ABS-CBDO CORP US N 2 2047-10-25 Variable 0.88438000 N N N N N N DEVON ENERGY CO 4.75% 05/15/42 54930042348RKR3ZPN35 DEVON ENERGY CORPORATION REGD 4.75000000 25179MAN3 10000.00000000 NS USD 11480.48000000 0.000875996143 Long DBT CORP US N 2 2042-05-15 Fixed 4.75000000 N N N N N N IMPERIAL BRAND 3.125% 07/26/24 N/A IMPERIAL BRANDS FIN PLC REGD 144A P/P 3.12500000 45262BAA1 400000.00000000 NS USD 421908.18000000 0.032192899489 Long DBT CORP GB Y 2 2024-07-26 Fixed 3.12500000 N N N N N N CVS HEALTH COR 4.875% 07/20/35 549300EJG376EN5NQE29 CVS HEALTH CORP REGD 4.87500000 126650CM0 500000.00000000 NS USD 616645.98000000 0.047051996135 Long DBT CORP US N 2 2035-07-20 Fixed 4.87500000 N N N N N N INTESA SANPAOL 5.017% 06/26/24 2W8N8UU78PMDQKZENC08 INTESA SANPAOLO SPA REGD P/P MTN 5.01700000 46115HAT4 200000.00000000 NS USD 217193.20000000 0.016572513141 Long DBT CORP IT Y 2 2024-06-26 Fixed 5.01700000 N N N N N N DUPONT DE NEMO 4.493% 11/15/25 5493004JF0SDFLM8GD76 DUPONT DE NEMOURS INC REGD 4.49300000 26078JAC4 479000.00000000 NS USD 541213.98000000 0.041296301153 Long DBT CORP US N 2 2025-11-15 Fixed 4.49300000 N N N N N N N/A N/A IRS RUS3MP00.45 05/15/27 SBNYUS33 FLOAT N/A 1.00000000 NC USD 611246.36000000 0.046639988423 N/A DIR US N 2 BA SECURITIES INC N/A BA SECURITIES INC N/A BA SECURITIES INC N/A BA SECURITIES INC N/A BA SECURITIES INC N/A N/A N/A Y 2027-05-15 -23507976.32000000 USD 23485000.00000000 USD 23485000.00000000 USD 659705.02000000 N N N BNP PARIBAS V/R 03/01/33 R0MUWSFPU8MPRO8K5P83 BNP PARIBAS REGD V/R 144A P/P MTN 4.37500000 09659T2A8 200000.00000000 NS USD 222277.46000000 0.016960457909 Long DBT CORP FR Y 2 2033-03-01 Variable 4.37500000 N N N N N N UMBS P#FM3123 2.5% 03/01/38 N/A FANNIE MAE POOL UMBS P#FM3123 2.50000000 3140X6PH8 311718.80000000 NS USD 324921.36000000 0.024792505052 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 2.50000000 N N N N N N GNMA II P#MA4720 4% 09/20/47 N/A GINNIE MAE II POOL P#MA4720 4.00000000 36179TG58 685699.72000000 NS USD 735729.02000000 0.056138400522 Long ABS-MBS USGSE US N 2 2047-09-20 Fixed 4.00000000 N N N N N N UMBS P#CA8377 1.5% 12/01/35 N/A FANNIE MAE POOL UMBS P#CA8377 1.50000000 3140QGJX6 94149.79000000 NS USD 95830.49000000 0.007312162880 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 1.50000000 N N N N N N NISSAN MOTOR C 4.345% 09/17/27 353800DRBDH1LUTNAY26 NISSAN MOTOR CO REGD 144A P/P 4.34500000 654744AC5 300000.00000000 NS USD 334281.81000000 0.025506736348 Long DBT CORP JP Y 2 2027-09-17 Fixed 4.34500000 N N N N N N UMBS P#AD0836 5.5% 11/01/28 N/A FANNIE MAE POOL UMBS P#AD0836 5.50000000 31418M4W9 42155.70000000 NS USD 47113.76000000 0.003594925654 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 5.50000000 N N N N N N COMCAST CORP 2.8% 01/15/51 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 2.80000000 20030NDL2 520000.00000000 NS USD 506575.72000000 0.038653294747 Long DBT CORP US N 2 2051-01-15 Fixed 2.80000000 N N N N N N LEVEL 3 FINANCIN 3.4% 03/01/27 N/A LEVEL 3 FINANCING INC REGD 144A P/P 3.40000000 527298BP7 586000.00000000 NS USD 618435.10000000 0.047188511526 Long DBT CORP US Y 2 2027-03-01 Fixed 3.40000000 N N N N N N GLP CAPITAL LP 5.25% 06/01/25 N/A GLP CAPITAL LP / FIN II REGD 5.25000000 361841AJ8 795000.00000000 NS USD 892272.23000000 0.068083131779 Long DBT CORP US N 2 2025-06-01 Fixed 5.25000000 N N N N N N KINDER MORGAN I 5.55% 06/01/45 549300WR7IX8XE0TBO16 KINDER MORGAN INC REGD 5.55000000 49456BAH4 240000.00000000 NS USD 311612.50000000 0.023776997858 Long DBT CORP US N 2 2045-06-01 Fixed 5.55000000 N N N N N N BANK OF NY MELL 3.25% 05/16/27 WFLLPEPC7FZXENRZV188 BANK OF NY MELLON CORP REGD MTN 3.25000000 06406RAD9 115000.00000000 NS USD 126941.52000000 0.009686030724 Long DBT CORP US N 2 2027-05-16 Fixed 3.25000000 N N N N N N UMBS P#931368 4.5% 06/01/29 N/A FANNIE MAE POOL UMBS P#931368 4.50000000 31412PW56 5919.95000000 NS USD 6402.88000000 0.000488559554 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4.50000000 N N N N N N NIKE INC 2.75% 03/27/27 787RXPR0UX0O0XUXPZ81 NIKE INC REGD 2.75000000 654106AJ2 70000.00000000 NS USD 75801.67000000 0.005783901946 Long DBT CORP US N 2 2027-03-27 Fixed 2.75000000 N N N N N N GNR 2020-129 IE 2.5% 09/20/50 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-129 CL IE 2.50000000 38382JZK5 95888.57000000 NS USD 13089.57000000 0.000998774689 Long ABS-CBDO CORP US N 2 2050-09-20 Fixed 2.50000000 N N N N N N CSMC 2021-RPL4 A V/R 12/27/60 N/A CSMC 2021-RPL4 TRUST SER 2021-RPL4 CL A1 V/R REGD 144A P/P 1.79561000 12662GAC2 1636522.91000000 NS USD 1646088.39000000 0.125601637044 Long ABS-CBDO CORP US Y 2 2060-12-27 Variable 1.79561000 N N N N N N VERIZON COMMUNI 1.75% 01/20/31 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 1.75000000 92343VFR0 140000.00000000 NS USD 135757.29000000 0.010358701250 Long DBT CORP US N 2 2031-01-20 Fixed 1.75000000 N N N N N N UMBS P#FM7195 2.5% 09/01/50 N/A FANNIE MAE POOL UMBS P#FM7195 2.50000000 3140XA7H9 95861.14000000 NS USD 101291.14000000 0.007728827370 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N CIGNA CORP 4.8% 08/15/38 549300VIWYMSIGT1U456 CIGNA CORP REGD SER WI 4.80000000 125523AJ9 300000.00000000 NS USD 376068.06000000 0.028695156507 Long DBT CORP US N 2 2038-08-15 Fixed 4.80000000 N N N N N N JPMCC 2021-MHC D V/R 04/15/26 N/A JP MORGAN CHASE COMMERCIAL MORTGAGE SECUR SER 2021-MHC CL D V/R REGD 144A P/P 1.79600000 466330AL1 250000.00000000 NS USD 251779.93000000 0.019211587649 Long ABS-CBDO CORP US Y 2 2038-04-15 Variable 1.79600000 N N N N N N PFIZER INC 1.7% 05/28/30 765LHXWGK1KXCLTFYQ30 PFIZER INC REGD 1.70000000 717081EY5 140000.00000000 NS USD 140315.77000000 0.010706527378 Long DBT CORP US N 2 2030-05-28 Fixed 1.70000000 N N N N N N GNMA II P#MA2677 3% 03/20/45 N/A GINNIE MAE II POOL P#MA2677 3.00000000 36179Q6N6 107597.80000000 NS USD 114013.85000000 0.008699609506 Long ABS-MBS USGSE US N 2 2045-03-20 Fixed 3.00000000 N N N N N N UNITEDHEALTH GR 4.25% 06/15/48 549300GHBMY8T5GXDE41 UNITEDHEALTH GROUP INC REGD 4.25000000 91324PDL3 40000.00000000 NS USD 50506.27000000 0.003853784664 Long DBT CORP US N 2 2048-06-15 Fixed 4.25000000 N N N N N N RAYTHEON COMPANY 4.2% 12/15/44 N/A RAYTHEON COMPANY REGD 4.20000000 755111BZ3 55000.00000000 NS USD 64321.29000000 0.004907913432 Long DBT CORP US N 2 2044-12-15 Fixed 4.20000000 N N N N N N NCMS 2020-2PA 2.966% 01/15/25 N/A NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2020 SER 2020-2PAC CL A REGD 144A P/P 2.96600000 63875DAA9 390000.00000000 NS USD 409066.71000000 0.031213055598 Long ABS-CBDO CORP US Y 2 2038-12-15 Fixed 2.96600000 N N N N N N UMBS P#ZT1403 3.5% 11/01/33 N/A FREDDIE MAC POOL UMBS P#ZT1403 3.50000000 3132ADRY6 64858.77000000 NS USD 69365.49000000 0.005292801499 Long ABS-MBS USGA US N 2 2033-11-01 Fixed 3.50000000 N N N N N N UMBS P#MA3088 4% 08/01/47 N/A FANNIE MAE POOL UMBS P#MA3088 4.00000000 31418CNE0 11739.16000000 NS USD 12658.25000000 0.000965863638 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N UMBS P#BR3750 2% 02/01/51 N/A FANNIE MAE POOL UMBS P#BR3750 2.00000000 3140L2EY5 292810.49000000 NS USD 297235.91000000 0.022680019561 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N BOEING CO 2.7% 02/01/27 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 2.70000000 097023CM5 70000.00000000 NS USD 72671.17000000 0.005545035110 Long DBT CORP US N 2 2027-02-01 Fixed 2.70000000 N N N N N N UMBS P#CA2208 4.5% 08/01/48 N/A FANNIE MAE POOL UMBS P#CA2208 4.50000000 3140Q9N25 123611.42000000 NS USD 134091.67000000 0.010231609291 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N BP CAPITAL MAR 3.814% 02/10/24 N/A BP CAPITAL MARKETS PLC REGD 3.81400000 05565QCP1 270000.00000000 NS USD 291147.65000000 0.022215466486 Long DBT CORP GB N 2 2024-02-10 Fixed 3.81400000 N N N N N N PHILIP MORRIS IN 2.1% 05/01/30 HL3H1H2BGXWVG3BSWR90 PHILIP MORRIS INTL INC REGD 2.10000000 718172CP2 100000.00000000 NS USD 101346.82000000 0.007733075926 Long DBT CORP US N 2 2030-05-01 Fixed 2.10000000 N N N N N N T/L EYECARE PART 0% 02/05/2027 N/A T/L EYECARE PARTNERS LLC REGD 0.00000000 N/A 108784.43000000 NS USD 107978.34000000 0.008239081419 Long LON CORP US N 2 2027-02-05 Variable 3.85700000 N N N N N N UNITEDHEALTH G 3.125% 05/15/60 549300GHBMY8T5GXDE41 UNITEDHEALTH GROUP INC REGD 3.12500000 91324PEA6 20000.00000000 NS USD 21059.67000000 0.001606917978 Long DBT CORP US N 2 2060-05-15 Fixed 3.12500000 N N N N N N SMB 2015-B A2A V/R 05/15/23 N/A SMB PRIVATE EDUCATION LOAN TRUST 2015-B SER 2015-B CL A2A V/R REGD 144A P/P 2.98000000 78448QAB4 12647.96000000 NS USD 12760.43000000 0.000973660288 Long ABS-CBDO CORP US Y 2 2027-07-15 Fixed 2.98000000 N N N N N N FNR 2012-133 CS V/R 12/25/42 N/A FANNIE MAE REMICS SER 2012-133 CL CS V/R 6.06562000 3136AAXW0 67091.74000000 NS USD 13973.01000000 0.001066183894 Long ABS-CBDO CORP US N 2 2042-12-25 Variable 6.06562000 N N N N N N HERTZ 2021-1A 1.21% 12/25/24 N/A HERTZ VEHICLE FINANCING LLC SER 2021-1A CL A REGD 144A P/P 1.21000000 42806MAA7 920000.00000000 NS USD 926512.50000000 0.070695770317 Long ABS-CBDO CORP US Y 2 2025-12-26 Fixed 1.21000000 N N N N N N UMBS P#BM2006 4% 01/01/48 N/A FANNIE MAE POOL UMBS P#BM2006 4.00000000 3140J6GQ4 714206.37000000 NS USD 768811.16000000 0.058662670158 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.00000000 N N N N N N VISA INC 4.15% 12/14/35 549300JZ4OKEHW3DPJ59 VISA INC REGD 4.15000000 92826CAE2 154000.00000000 NS USD 190082.19000000 0.014503859198 Long DBT CORP US N 2 2035-12-14 Fixed 4.15000000 N N N N N N BAT INTL FINANC 3.95% 06/15/25 N/A BAT INTL FINANCE PLC REGD P/P 3.95000000 05530QAK6 70000.00000000 NS USD 76577.69000000 0.005843114673 Long DBT CORP GB Y 2 2025-06-15 Fixed 3.95000000 N N N N N N BANCO SANTANDE 3.848% 04/12/23 5493006QMFDDMYWIAM13 BANCO SANTANDER SA REGD 3.84800000 05964HAG0 200000.00000000 NS USD 210595.66000000 0.016069100426 Long DBT CORP ES N 2 2023-04-12 Fixed 3.84800000 N N N N N N ANHEUSER-BUSCH C 4.7% 02/01/36 N/A ANHEUSER-BUSCH CO/INBEV REGD SER * 4.70000000 03522AAH3 1202000.00000000 NS USD 1483916.58000000 0.113227426192 Long DBT CORP US N 2 2036-02-01 Fixed 4.70000000 N N N N N N UMBS P#CB0100 2.5% 04/01/41 N/A FANNIE MAE POOL UMBS P#CB0100 2.50000000 3140QKDE5 195865.34000000 NS USD 208439.04000000 0.015904543648 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 2.50000000 N N N N N N GNMA P#AB2892 3% 09/15/42 N/A GINNIE MAE I POOL P#AB2892 3.00000000 36178NF95 90877.55000000 NS USD 96323.09000000 0.007349749784 Long ABS-MBS USGSE US N 2 2042-09-15 Fixed 3.00000000 N N N N N N OTIS WORLDWIDE 2.056% 04/05/25 549300ZLBKR8VSU25153 OTIS WORLDWIDE CORP REGD SER WI 2.05600000 68902VAH0 80000.00000000 NS USD 82922.11000000 0.006327213548 Long DBT CORP US N 2 2025-04-05 Fixed 2.05600000 N N N N N N REPUBLIC OF IND 3.75% 04/25/22 N/A REPUBLIC OF INDONESIA REGD EMTN 3.75000000 Y20721BC2 1400000.00000000 NS USD 1431213.00000000 0.109205979977 Long DBT USGA ID N 2 2022-04-25 Fixed 3.75000000 N N N N N N BAT CAPITAL CO 3.984% 09/25/50 N/A BAT CAPITAL CORP REGD 3.98400000 05526DBU8 150000.00000000 NS USD 148747.85000000 0.011349921170 Long DBT CORP US N 2 2050-09-25 Fixed 3.98400000 N N N N N N FHRR R007 ZA 6% 05/15/36 N/A FREDDIE MAC REFERENCE REMIC SER R007 CL ZA 6.00000000 31396NRF5 57513.88000000 NS USD 67304.89000000 0.005135571343 Long ABS-CBDO CORP US N 2 2036-05-15 Fixed 6.00000000 N N N N N N RANGE RESOURCE 4.875% 05/15/25 H3Y3WLYCX0BTO1TRW162 RANGE RESOURCES CORP REGD 4.87500000 75281AAS8 50000.00000000 NS USD 51812.50000000 0.003953454054 Long DBT CORP US N 2 2025-05-15 Fixed 4.87500000 N N N N N N ORACLE CORP 3.9% 05/15/35 1Z4GXXU7ZHVWFCD8TV52 ORACLE CORP REGD 3.90000000 68389XBE4 506000.00000000 NS USD 570716.01000000 0.043547397320 Long DBT CORP US N 2 2035-05-15 Fixed 3.90000000 N N N N N N ESA 2021-ESH A V/R 07/15/26 N/A EXTENDED STAY AMERICA TRUST 2021-ESH SER 2021-ESH CL A V/R REGD 144A P/P 1.17600000 30227FAA8 830000.00000000 NS USD 833949.72000000 0.063632943820 Long ABS-CBDO CORP US Y 2 2038-07-15 Variable 1.17600000 N N N N N N AERCAP IRELAND 4.45% 04/03/26 N/A AERCAP IRELAND CAP/GLOBA REGD 4.45000000 00774MAL9 150000.00000000 NS USD 164784.97000000 0.012573603044 Long DBT CORP IE N 2 2026-04-03 Fixed 4.45000000 N N N N N N GLP CAPITAL LP / 5.3% 01/15/29 N/A GLP CAPITAL LP / FIN II REGD 5.30000000 361841AL3 220000.00000000 NS USD 258626.50000000 0.019734002123 Long DBT CORP US N 2 2029-01-15 Fixed 5.30000000 N N N N N N FGLMC P#Q41209 3.5% 06/01/46 N/A FREDDIE MAC GOLD POOL P#Q41209 3.50000000 3132WEKX9 72845.13000000 NS USD 78844.46000000 0.006016076237 Long ABS-MBS USGA US N 2 2046-06-01 Fixed 3.50000000 N N N N N N COMCAST CORP 6.5% 11/15/35 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 6.50000000 20030NAK7 7000.00000000 NS USD 10221.46000000 0.000779929022 Long DBT CORP US N 2 2035-11-15 Fixed 6.50000000 N N N N N N NATIONAL RETAIL 3.1% 04/15/50 5493008JKH5SOTI0JS97 NATIONAL RETAIL PROP INC REGD 3.10000000 637417AP1 164000.00000000 NS USD 163185.92000000 0.012451590582 Long DBT CORP US N 2 2050-04-15 Fixed 3.10000000 N N N N N N EQT CORP 3% 10/01/22 4NT01YGM4X7ZX86ISY52 EQT CORP REGD 3.00000000 26884LAE9 20000.00000000 NS USD 20446.60000000 0.001560138840 Long DBT CORP US N 2 2022-10-01 Fixed 3.00000000 N N N N N N SHELL INTERNATI 3.25% 04/06/50 N/A SHELL INTERNATIONAL FIN REGD 3.25000000 822582CH3 480000.00000000 NS USD 519270.42000000 0.039621939633 Long DBT CORP NL N 2 2050-04-06 Fixed 3.25000000 N N N N N N NRG ENERGY INC 2.45% 12/02/27 5E2UPK5SW04M13XY7I38 NRG ENERGY INC REGD 144A P/P 2.45000000 629377CP5 155000.00000000 NS USD 157671.36000000 0.012030812592 Long DBT CORP US Y 2 2027-12-02 Fixed 2.45000000 N N N N N N IHS MARKIT LTD 4.75% 02/15/25 549300HLPTRASHS0E726 IHS MARKIT LTD REGD 144A P/P 4.75000000 44962LAB3 112000.00000000 NS USD 124499.20000000 0.009499674152 Long DBT CORP GB Y 2 2025-02-15 Fixed 4.75000000 N N N N N N UMBS P#AL7430 3.5% 08/01/30 N/A FANNIE MAE POOL UMBS P#AL7430 3.50000000 3138EQHG0 710761.73000000 NS USD 770157.91000000 0.058765431350 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 3.50000000 N N N N N N UMBS P#AL6175 3.5% 01/01/44 N/A FANNIE MAE POOL UMBS P#AL6175 3.50000000 3138EN2H1 219909.91000000 NS USD 239417.08000000 0.018268263944 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 3.50000000 N N N N N N FNGT 2000-T6 A3 V/R 01/25/28 N/A FANNIE MAE GRANTOR TRUST 2000-T6 SER 2000-T6 CL A3 V/R 4.23766000 31358SR78 53134.11000000 NS USD 54611.47000000 0.004167024125 Long ABS-MBS USGSE US N 2 2028-01-25 Variable 4.23766000 N N N N N N BERRY GLOBAL IN 1.57% 01/15/26 N/A BERRY GLOBAL INC REGD 144A P/P 1.57000000 08576PAB7 530000.00000000 NS USD 535337.10000000 0.040847877027 Long DBT CORP US Y 2 2026-01-15 Fixed 1.57000000 N N N N N N UMBS P#AO2711 4% 05/01/42 N/A FANNIE MAE POOL UMBS P#AO2711 4.00000000 3138LTAM0 10579.01000000 NS USD 11568.99000000 0.000882749730 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.00000000 N N N N N N PLMRS 2014-1A A1 V/R 01/17/31 N/A PALMER SQUARE CLO 2014-1 LTD SER 2014-1A CL A1R2 V/R REGD 144A P/P 1.26388000 69688XAS0 800000.00000000 NS USD 801657.60000000 0.061168955154 Long ABS-CBDO CORP KY Y 2 2031-01-17 Variable 1.26388000 N N N N N N AON CORP 2.8% 05/15/30 N/A AON CORP REGD 2.80000000 037389BE2 407000.00000000 NS USD 430895.47000000 0.032878657522 Long DBT CORP US N 2 2030-05-15 Fixed 2.80000000 N N N N N N BANK OF AMERIC 4.125% 01/22/24 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD MTN 4.12500000 06051GFB0 490000.00000000 NS USD 531894.37000000 0.040585186076 Long DBT CORP US N 2 2024-01-22 Fixed 4.12500000 N N N N N N TECK RESOURCES L 3.9% 07/15/30 T8KI5SQ2JRWHL7XY0E11 TECK RESOURCES LIMITED REGD 3.90000000 878742BG9 200000.00000000 NS USD 218265.21000000 0.016654310820 Long DBT CORP CA N 2 2030-07-15 Fixed 3.90000000 N N N N N N BANK OF AMERICA 4.25% 10/22/26 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD MTN 4.25000000 06051GFL8 20000.00000000 NS USD 22730.37000000 0.001734397557 Long DBT CORP US N 2 2026-10-22 Fixed 4.25000000 N N N N N N F/C US ULTRA BOND CBT DEC21 N/A FUTURE CONTRACT ON US ULTRA BOND CBT DEC21 0.00000000 N/A 199.00000000 NC USD 39258968.75000000 2.995580780246 N/A DIR CORP US N 1 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Long F/C US ULTRA BOND CBT DEC21 US ULTRA BOND CBT DEC21 2021-12-21 39386404.15000000 USD -127435.40000000 N N N T-MOBILE USA I 2.625% 02/15/29 N/A T-MOBILE USA INC REGD 2.62500000 87264ABS3 110000.00000000 NS USD 111512.50000000 0.008508748762 Long DBT CORP US N 2 2029-02-15 Fixed 2.62500000 N N N N N N UBS GROUP AG 3.491% 05/23/23 549300SZJ9VS8SGXAN81 UBS GROUP AG REGD 144A P/P 3.49100000 90352JAA1 650000.00000000 NS USD 664604.18000000 0.050711355174 Long DBT CORP CH Y 2 2023-05-23 Fixed 3.49100000 N N N N N N WELLS FARGO & 5.375% 11/02/43 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD 5.37500000 94974BFP0 230000.00000000 NS USD 310028.88000000 0.023656162752 Long DBT CORP US N 2 2043-11-02 Fixed 5.37500000 N N N N N N FGLMC P#A96286 4% 01/01/41 N/A FREDDIE MAC GOLD POOL P#A96286 4.00000000 3129446X4 27281.94000000 NS USD 29904.81000000 0.002281829526 Long ABS-MBS USGA US N 2 2041-01-01 Fixed 4.00000000 N N N N N N US WEST COMM 7.25% 9/15/25 N/A US WEST COMM QWEST CORORATION REGD 7.25000000 912920AK1 150000.00000000 NS USD 177817.50000000 0.013568025405 Long DBT CORP US N 2 2025-09-15 Fixed 7.25000000 N N N N N N VERIZON COMMUNIC 5.5% 03/16/47 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 5.50000000 92343VDV3 53000.00000000 NS USD 75294.93000000 0.005745236116 Long DBT CORP US N 2 2047-03-16 Fixed 5.50000000 N N N N N N CITIGROUP INC 4.3% 11/20/26 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD 4.30000000 172967JC6 890000.00000000 NS USD 1010668.64000000 0.077117144173 Long DBT CORP US N 2 2026-11-20 Fixed 4.30000000 N N N N N N BANK OF AMERICA 4.2% 08/26/24 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD MTN 4.20000000 06051GFH7 600000.00000000 NS USD 657894.87000000 0.050199414063 Long DBT CORP US N 2 2024-08-26 Fixed 4.20000000 N N N N N N PARK AEROSPACE H 5.5% 02/15/24 N/A PARK AEROSPACE HOLDINGS REGD 144A P/P 5.50000000 70014LAB6 60000.00000000 NS USD 65868.86000000 0.005025997811 Long DBT CORP IE Y 2 2024-02-15 Fixed 5.50000000 N N N N N N FGLMC P#G07028 4% 06/01/42 N/A FREDDIE MAC GOLD POOL P#G07028 4.00000000 3128M9D90 72064.98000000 NS USD 79207.55000000 0.006043781127 Long ABS-MBS USGA US N 2 2042-06-01 Fixed 4.00000000 N N N N N N UMBS P#QA7256 3% 02/01/50 N/A FREDDIE MAC POOL UMBS P#QA7256 3.00000000 3133A2BZ2 95626.43000000 NS USD 100147.82000000 0.007641588516 Long ABS-MBS USGA US N 2 2050-02-01 Fixed 3.00000000 N N N N N N GEORGIA-PACIFIC 3.6% 03/01/25 N/A GEORGIA-PACIFIC LLC REGD P/P 3.60000000 37331NAH4 175000.00000000 NS USD 190434.52000000 0.014530743067 Long DBT CORP US Y 2 2025-03-01 Fixed 3.60000000 N N N N N N CAS 2017-C07 1M2 V/R 05/25/30 N/A FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C07 CL 1M2 V/R REGD 2.48438000 30711XUX0 866931.23000000 NS USD 880331.91000000 0.067172048421 Long ABS-CBDO CORP US N 2 2030-05-25 Variable 2.48438000 N N N N N N LIFE STORAGE L 3.875% 12/15/27 N/A LIFE STORAGE LP REGD 3.87500000 53227JAA2 350000.00000000 NS USD 394966.55000000 0.030137169765 Long DBT CORP US N 2 2027-12-15 Fixed 3.87500000 N N N N N N BSABS 2005-AC6 1 V/R 09/25/35 N/A BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005-AC6 SER 2005-AC6 CL 1A3 V/R REGD 5.50000000 073879L55 305658.86000000 NS USD 310227.39000000 0.023671309679 Long ABS-CBDO CORP US N 2 2035-09-25 Variable 5.50000000 N N N N N N MAGNA INTERNATI 2.45% 06/15/30 95RWVLFZX6VGDZNNTN43 MAGNA INTERNATIONAL INC REGD 2.45000000 559222AV6 239000.00000000 NS USD 247109.83000000 0.018855244570 Long DBT CORP CA N 2 2030-06-15 Fixed 2.45000000 N N N N N N UMBS P#257125 5.5% 03/01/28 N/A FANNIE MAE POOL UMBS P#257125 5.50000000 31371NSN6 9561.13000000 NS USD 10686.79000000 0.000815435141 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 5.50000000 N N N N N N DELTA AIR LINE 7.375% 01/15/26 Q2CCMS6R0AS67HJMBN42 DELTA AIR LINES INC REGD 7.37500000 247361ZZ4 210000.00000000 NS USD 247400.26000000 0.018877405277 Long DBT CORP US N 2 2026-01-15 Fixed 7.37500000 N N N N N N FEDEX CORP 4.9% 01/15/34 549300E707U7WNPZN687 FEDEX CORP REGD 4.90000000 31428XAX4 91000.00000000 NS USD 114271.37000000 0.008719259078 Long DBT CORP US N 2 2034-01-15 Fixed 4.90000000 N N N N N N DUKE ENERGY CARO 3.2% 08/15/49 N/A DUKE ENERGY CAROLINAS REGD 3.20000000 26442CAZ7 205000.00000000 NS USD 218259.44000000 0.016653870552 Long DBT CORP US N 2 2049-08-15 Fixed 3.20000000 N N N N N N UMBS P#ZT1476 3.5% 02/01/48 N/A FREDDIE MAC POOL UMBS P#ZT1476 3.50000000 3132ADT99 149277.56000000 NS USD 158615.50000000 0.012102853395 Long ABS-MBS USGA US N 2 2048-02-01 Fixed 3.50000000 N N N N N N GENERAL MOTORS F 4.3% 07/13/25 N/A GENERAL MOTORS FINL CO REGD 4.30000000 37045XAZ9 104000.00000000 NS USD 115053.00000000 0.008778899866 Long DBT CORP US N 2 2025-07-13 Fixed 4.30000000 N N N N N N GNMA II P#784106 3.5% 01/20/46 N/A GINNIE MAE II POOL P#784106 3.50000000 3622A2R38 42194.91000000 NS USD 45216.35000000 0.003450147401 Long ABS-MBS USGSE US N 2 2046-01-20 Fixed 3.50000000 N N N N N N FNS 409 C22 4.5% 11/25/39 N/A FANNIE MAE INTEREST STRIP SER 409 CL C22 4.50000000 3136FLFR2 20874.41000000 NS USD 2962.29000000 0.000226031892 Long ABS-CBDO CORP US N 2 2039-11-25 Fixed 4.50000000 N N N N N N FHR 3451 SB V/R 05/15/38 N/A FREDDIE MAC REMICS SER 3451 CL SB V/R 5.93450000 31397TP97 18936.29000000 NS USD 2921.36000000 0.000222908806 Long ABS-CBDO CORP US N 2 2038-05-15 Variable 5.93450000 N N N N N N NXP BV/NXP FDG/N 2.7% 05/01/25 N/A NXP BV/NXP FDG/NXP USA REGD 144A P/P 2.70000000 62954HAE8 90000.00000000 NS USD 94735.90000000 0.007228642276 Long DBT CORP NL Y 2 2025-05-01 Fixed 2.70000000 N N N N N N UMBS P#ZS4739 3.5% 10/01/47 N/A FREDDIE MAC POOL UMBS P#ZS4739 3.50000000 3132A5HQ1 233453.83000000 NS USD 248262.64000000 0.018943207539 Long ABS-MBS USGA US N 2 2047-10-01 Fixed 3.50000000 N N N N N N US TREAS NTS 0.125% 06/30/23 N/A UNITED STATES TREASURY NOTE 0.12500000 91282CCK5 8050000.00000000 NS USD 8044025.37000000 0.613784023407 Long DBT UST US N 2 2023-06-30 Fixed 0.12500000 N N N N N N UNION PACIFIC 2.891% 04/06/36 549300LMMRSZZCZ8CL11 UNION PACIFIC CORP REGD 144A P/P 2.89100000 907818FP8 651000.00000000 NS USD 685139.68000000 0.052278277360 Long DBT CORP US Y 2 2036-04-06 Fixed 2.89100000 N N N N N N PRIME 06-DR1 1A1 5.5% 5/25/35 N/A PRIME 06-DR1 1A1 5.5% 5/25/35 5.50000000 74159UAA5 10207.84000000 NS USD 10213.13000000 0.000779293417 Long ABS-CBDO CORP US Y 2 2035-05-25 Fixed 5.50000000 N N N N N N AVOLON HOLDING 2.875% 02/15/25 N/A AVOLON HOLDINGS FNDG LTD REGD 144A P/P 2.87500000 05401AAH4 500000.00000000 NS USD 515839.75000000 0.039360168898 Long DBT CORP IE Y 2 2025-02-15 Fixed 2.87500000 N N N N N N UMBS P#AT6549 4% 06/01/43 N/A FANNIE MAE POOL UMBS P#AT6549 4.00000000 3138WUH30 32226.84000000 NS USD 35966.60000000 0.002744362858 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N US T BILL ZCP 01/20/22 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796K81 1460000.00000000 PA USD 1459736.95000000 0.111382445613 Long STIV UST US N 2 2022-01-20 Fixed 0.00000000 N N N N N N HOME DEPOT INC 3.9% 06/15/47 QEKMOTMBBKA8I816DO57 HOME DEPOT INC REGD 3.90000000 437076BS0 20000.00000000 NS USD 24077.83000000 0.001837212924 Long DBT CORP US N 2 2047-06-15 Fixed 3.90000000 N N N N N N UMBS P#BD6718 3% 09/01/46 N/A FANNIE MAE POOL UMBS P#BD6718 3.00000000 3140FEPC2 19390.20000000 NS USD 20646.00000000 0.001575353677 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N SCRT 2020-2 M V/R 11/25/59 N/A SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2 SER 2020-2 CL M V/R REGD 144A P/P 4.25000000 35563PRE1 210000.00000000 NS USD 220318.14000000 0.016810955731 Long ABS-CBDO CORP US Y 2 2059-11-25 Variable 4.25000000 N N N N N N COCA-COLA CO/THE 2.6% 06/01/50 UWJKFUJFZ02DKWI3RY53 COCA-COLA CO/THE REGD 2.60000000 191216CX6 60000.00000000 NS USD 59426.63000000 0.004534435731 Long DBT CORP US N 2 2050-06-01 Fixed 2.60000000 N N N N N N ITC HOLDINGS CO 4.05% 07/01/23 N/A ITC HOLDINGS CORP REGD 4.05000000 465685AG0 400000.00000000 NS USD 421443.65000000 0.032157454413 Long DBT CORP US N 2 2023-07-01 Fixed 4.05000000 N N N N N N CITIGROUP INC 4.75% 05/18/46 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD 4.75000000 172967KR1 30000.00000000 NS USD 38666.44000000 0.002950369003 Long DBT CORP US N 2 2046-05-18 Fixed 4.75000000 N N N N N N REPUBLIC OF POLAND 4% 01/22/24 N/A REPUBLIC OF POLAND REGD 4.00000000 857524AC6 810000.00000000 NS USD 878583.51000000 0.067038640091 Long DBT USGA PL N 2 2024-01-22 Fixed 4.00000000 N N N N N N GNR 2018-124 NW 3.5% 09/20/48 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-124 CL NW 3.50000000 38380Y2X2 134936.46000000 NS USD 145031.30000000 0.011066336907 Long ABS-CBDO CORP US N 2 2048-09-20 Fixed 3.50000000 N N N N N N GNMA II P#MA6865 2.5% 09/20/50 N/A GINNIE MAE II POOL P#MA6865 2.50000000 36179VTW0 1467794.77000000 NS USD 1523581.33000000 0.116253969337 Long ABS-MBS USGSE US N 2 2050-09-20 Fixed 2.50000000 N N N N N N UMBS P#MA3240 4.5% 01/01/48 N/A FANNIE MAE POOL UMBS P#MA3240 4.50000000 31418CS62 54974.97000000 NS USD 59721.01000000 0.004556897835 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 4.50000000 N N N N N N UMBS P#MA3657 3% 05/01/34 N/A FANNIE MAE POOL UMBS P#MA3657 3.00000000 31418DB35 169541.48000000 NS USD 178939.88000000 0.013653666472 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 3.00000000 N N N N N N UMBS P#BL1355 3.64% 03/01/28 N/A FANNIE MAE POOL UMBS P#BL1355 3.64000000 3140HSQH7 1152623.78000000 NS USD 1312518.78000000 0.100149243759 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 3.64000000 N N N N N N ALTRIA GROUP IN 2.45% 02/04/32 XSGZFLO9YTNO9VCQV219 ALTRIA GROUP INC REGD 2.45000000 02209SBL6 560000.00000000 NS USD 547822.94000000 0.041800585249 Long DBT CORP US N 2 2032-02-04 Fixed 2.45000000 N N N N N N US TREAS BDS 1.75% 8/15/51 N/A UNITED STATES TREASURY BOND 1.75000000 912810SZ2 20635000.00000000 NS USD 20973542.96000000 1.600346218586 Long DBT UST US N 2 2051-08-15 Fixed 1.75000000 N N N N N N T/L FRONERI INTER 0% 01/29/27 N/A T/L FRONERI INTERNATIONAL PLC REGD 0.00000000 G3679YAC6 158400.00000000 NS USD 156210.91000000 0.011919375739 Long LON CORP GB N 2 2027-01-29 Variable 2.33463000 N N N N N N COCA-COLA CO/TH 3.45% 03/25/30 UWJKFUJFZ02DKWI3RY53 COCA-COLA CO/THE REGD 3.45000000 191216CT5 179000.00000000 NS USD 203247.17000000 0.015508387904 Long DBT CORP US N 2 2030-03-25 Fixed 3.45000000 N N N N N N JPMORGAN CHASE & V/R 06/01/24 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 1.51400000 46647PBQ8 460000.00000000 NS USD 468290.59000000 0.035732020876 Long DBT CORP US N 2 2024-06-01 Variable 1.51400000 N N N N N N WELLS FARGO & COMP 3% 10/23/26 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD 3.00000000 949746SH5 260000.00000000 NS USD 281266.38000000 0.021461495013 Long DBT CORP US N 2 2026-10-23 Fixed 3.00000000 N N N N N N AMER AIRLINE 16 3.75% 10/15/25 N/A AMER AIRLINE 16-3 B PTT REGD 3.75000000 023771S41 690.66000000 NS USD 670.87000000 0.000051189456 Long DBT CORP US N 2 2025-10-15 Fixed 3.75000000 N N N N N N UMBS P#QB9090 2% 02/01/51 N/A FREDDIE MAC POOL UMBS P#QB9090 2.00000000 3133AGC31 98806.60000000 NS USD 100848.92000000 0.007695084615 Long ABS-MBS USGA US N 2 2051-02-01 Fixed 2.00000000 N N N N N N T/L CITADEL SECURI 0% 02/29/28 N/A T/L CITADEL SECURITIES LP REGD 0.00000000 N/A 468226.50000000 NS USD 462624.17000000 0.035299655499 Long LON CORP US N 2 2028-02-29 Variable 2.58463000 N N N N N N GENERAL MOTORS 6.125% 10/01/25 54930070NSV60J38I987 GENERAL MOTORS CO REGD 6.12500000 37045VAV2 290000.00000000 NS USD 342090.03000000 0.026102527692 Long DBT CORP US N 2 2025-10-01 Fixed 6.12500000 N N N N N N UMBS P#BD2455 3% 01/01/47 N/A FANNIE MAE POOL UMBS P#BD2455 3.00000000 3140F9WR2 246039.33000000 NS USD 263297.91000000 0.020090445159 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N UNITED MEXICAN 4.75% 04/27/32 N/A UNITED MEXICAN STATES REGD 4.75000000 91087BAK6 200000.00000000 NS USD 232214.00000000 0.017718646654 Long DBT USGA MX N 2 2032-04-27 Fixed 4.75000000 N N N N N N UMBS P#CA0684 3.5% 11/01/47 N/A FANNIE MAE POOL UMBS P#CA0684 3.50000000 3140Q7XN2 1094832.55000000 NS USD 1192593.84000000 0.090998599797 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N UMBS P#BM5822 3% 11/01/48 N/A FANNIE MAE POOL UMBS P#BM5822 3.00000000 3140JAPG7 2071100.14000000 NS USD 2190094.66000000 0.167110998564 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.00000000 N N N N N N REPUBLIC SERVI 3.375% 11/15/27 NKNQHM6BLECKVOQP7O46 REPUBLIC SERVICES INC REGD 3.37500000 760759AS9 219000.00000000 NS USD 241549.44000000 0.018430969609 Long DBT CORP US N 2 2027-11-15 Fixed 3.37500000 N N N N N N AUTODESK INC 4.375% 06/15/25 FRKKVKAIQEF3FCSTPG55 AUTODESK INC REGD 4.37500000 052769AD8 59000.00000000 NS USD 65763.53000000 0.005017960806 Long DBT CORP US N 2 2025-06-15 Fixed 4.37500000 N N N N N N STARBUCKS CORP 2.25% 03/12/30 OQSJ1DU9TAOC51A47K68 STARBUCKS CORP REGD 2.25000000 855244AW9 280000.00000000 NS USD 286239.81000000 0.021840983109 Long DBT CORP US N 2 2030-03-12 Fixed 2.25000000 N N N N N N GNMA II P#4837 6% 10/20/40 N/A GINNIE MAE II POOL P#4837 6.00000000 36202FLS3 11077.44000000 NS USD 12973.38000000 0.000989909032 Long ABS-MBS USGSE US N 2 2040-10-20 Fixed 6.00000000 N N N N N N GNMA II P#MA4962 3.5% 01/20/48 N/A GINNIE MAE II POOL P#MA4962 3.50000000 36179TQP3 79465.02000000 NS USD 84454.29000000 0.006444123622 Long ABS-MBS USGSE US N 2 2048-01-20 Fixed 3.50000000 N N N N N N FNR 2012-35 SC V/R 04/25/42 N/A FANNIE MAE REMICS SER 2012-35 CL SC V/R 6.41562000 3136A5LM6 53408.30000000 NS USD 10770.53000000 0.000821824762 Long ABS-CBDO CORP US N 2 2042-04-25 Variable 6.41562000 N N N N N N APPLE INC 1.125% 05/11/25 HWUPKR0MPOU8FGXBT394 APPLE INC REGD 1.12500000 037833DT4 290000.00000000 NS USD 293546.55000000 0.022398509978 Long DBT CORP US N 2 2025-05-11 Fixed 1.12500000 N N N N N N UNITED MEXICAN 2.659% 05/24/31 N/A UNITED MEXICAN STATES REGD 2.65900000 91087BAM2 1499000.00000000 NS USD 1487862.43000000 0.113528506755 Long DBT USGA MX N 2 2031-05-24 Fixed 2.65900000 N N N N N N CVS HEALTH CORP 4.78% 03/25/38 549300EJG376EN5NQE29 CVS HEALTH CORP REGD 4.78000000 126650CY4 440000.00000000 NS USD 547906.56000000 0.041806965714 Long DBT CORP US N 2 2038-03-25 Fixed 4.78000000 N N N N N N CITIGROUP INC 4.65% 07/30/45 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD 4.65000000 172967JU6 196000.00000000 NS USD 255489.81000000 0.019494662971 Long DBT CORP US N 2 2045-07-30 Fixed 4.65000000 N N N N N N MACQUARIE GROUP L V/R 09/23/27 ACMHD8HWFMFUIQQ8Y590 MACQUARIE GROUP LTD REGD V/R 144A P/P MTN 1.62900000 55607PAF2 100000.00000000 NS USD 100482.08000000 0.007667093588 Long DBT CORP AU Y 2 2027-09-23 Variable 1.62900000 N N N N N N APPLE INC 2.8% 02/08/61 HWUPKR0MPOU8FGXBT394 APPLE INC REGD 2.80000000 037833EG1 111000.00000000 NS USD 110177.96000000 0.008406919231 Long DBT CORP US N 2 2061-02-08 Fixed 2.80000000 N N N N N N BNP PARIBAS V/R 11/19/25 R0MUWSFPU8MPRO8K5P83 BNP PARIBAS REGD V/R 144A P/P 2.81900000 09659W2J2 490000.00000000 NS USD 514067.39000000 0.039224932347 Long DBT CORP FR Y 2 2025-11-19 Variable 2.81900000 N N N N N N UNITED MEXICAN S 4.5% 04/22/29 N/A UNITED MEXICAN STATES REGD 4.50000000 91087BAF7 572000.00000000 NS USD 656063.98000000 0.050059711492 Long DBT USGA MX N 2 2029-04-22 Fixed 4.50000000 N N N N N N ABBVIE INC 4.4% 11/06/42 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD SER WI 4.40000000 00287YAM1 489000.00000000 NS USD 595391.98000000 0.045430250176 Long DBT CORP US N 2 2042-11-06 Fixed 4.40000000 N N N N N N EXXON MOBIL CO 1.571% 04/15/23 J3WHBG0MTS7O8ZVMDC91 EXXON MOBIL CORPORATION REGD 1.57100000 30231GBL5 20000.00000000 NS USD 20409.87000000 0.001557336227 Long DBT CORP US N 2 2023-04-15 Fixed 1.57100000 N N N N N N UMBS P#BD6533 3% 10/01/46 N/A FANNIE MAE POOL UMBS P#BD6533 3.00000000 3140FEHK3 75301.15000000 NS USD 80864.50000000 0.006170211539 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N UMBS P#888030 5.5% 12/01/36 N/A FANNIE MAE POOL UMBS P#888030 5.50000000 31410FST3 27721.94000000 NS USD 32199.16000000 0.002456895530 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.50000000 N N N N N N GILEAD SCIENCES 4.75% 03/01/46 549300WTZWR07K8MNV44 GILEAD SCIENCES INC REGD 4.75000000 375558BD4 130000.00000000 NS USD 167390.17000000 0.012772387864 Long DBT CORP US N 2 2046-03-01 Fixed 4.75000000 N N N N N N MAGNE 2016-18A A V/R 11/15/28 N/A MAGNETITE XVIII LTD SER 2016-18A CL AR V/R REGD 144A P/P 1.20475000 55953TAJ6 700000.00000000 NS USD 700251.44000000 0.053431351403 Long ABS-CBDO CORP KY Y 2 2028-11-15 Variable 1.20475000 N N N N N N GOLDMAN SACHS GRO V/R 05/01/29 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R 4.22300000 38141GWZ3 1330000.00000000 NS USD 1524267.23000000 0.116306305629 Long DBT CORP US N 2 2029-05-01 Variable 4.22300000 N N N N N N KKR GROUP FIN CO 5.5% 02/01/43 N/A KKR GROUP FIN CO II REGD P/P 5.50000000 48249DAA9 30000.00000000 NS USD 40622.77000000 0.003099643035 Long DBT CORP US Y 2 2043-02-01 Fixed 5.50000000 N N N N N N TRANSOCEAN POS 6.875% 02/01/27 N/A TRANSOCEAN POSEIDON LTD REGD 144A P/P 6.87500000 89383JAA6 140000.00000000 NS USD 135625.00000000 0.010348607114 Long DBT CORP KY Y 2 2027-02-01 Fixed 6.87500000 N N N N N N CVS HEALTH COR 4.125% 04/01/40 549300EJG376EN5NQE29 CVS HEALTH CORP REGD 4.12500000 126650DK3 50000.00000000 NS USD 58203.02000000 0.004441070502 Long DBT CORP US N 2 2040-04-01 Fixed 4.12500000 N N N N N N CROWN CASTLE INT 3.7% 06/15/26 54930012H97VSM0I2R19 CROWN CASTLE INTL CORP REGD 3.70000000 22822VAC5 172000.00000000 NS USD 189528.15000000 0.014461584232 Long DBT CORP US N 2 2026-06-15 Fixed 3.70000000 N N N N N N UMBS P#MA1363 3% 02/01/43 N/A FANNIE MAE POOL UMBS P#MA1363 3.00000000 31418AQR2 145795.33000000 NS USD 155554.67000000 0.011869302596 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.00000000 N N N N N N COMM 2014-CR21 C V/R 12/10/24 N/A COMM 2014-CCRE21 MORTGAGE TRUST SER 2014-CR21 CL C V/R REGD 4.56918400 12592RBM0 210000.00000000 NS USD 220140.02000000 0.016797364624 Long ABS-CBDO CORP US N 2 2047-12-10 Variable 4.56918400 N N N N N N UMBS P#AL3650 5% 02/01/41 N/A FANNIE MAE POOL UMBS P#AL3650 5.00000000 3138ELBU6 171549.23000000 NS USD 194472.14000000 0.014838825965 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 5.00000000 N N N N N N LOWE'S COS INC 4.5% 04/15/30 WAFCR4OKGSC504WU3E95 LOWE'S COS INC REGD 4.50000000 548661DU8 70000.00000000 NS USD 83180.62000000 0.006346938661 Long DBT CORP US N 2 2030-04-15 Fixed 4.50000000 N N N N N N DEVON ENERGY COR 4.5% 01/15/30 54930042348RKR3ZPN35 DEVON ENERGY CORPORATION REGD 144A P/P 4.50000000 25179MBA0 20000.00000000 NS USD 21843.13000000 0.001666698400 Long DBT CORP US Y 2 2030-01-15 Fixed 4.50000000 N N N N N N UMBS P#RA2353 4.5% 03/01/50 N/A FREDDIE MAC POOL UMBS P#RA2353 4.50000000 3133KHTJ5 50932.60000000 NS USD 55330.67000000 0.004221901310 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 4.50000000 N N N N N N GNMA II P#MA5078 4% 03/20/48 N/A GINNIE MAE II POOL P#MA5078 4.00000000 36179TUB9 297251.59000000 NS USD 315720.68000000 0.024090464702 Long ABS-MBS USGSE US N 2 2048-03-20 Fixed 4.00000000 N N N N N N T/L US FOODS INC 0% 06/27/23 N/A T/L US FOODS INC REGD 0.00000000 90351HAB4 313636.36000000 NS USD 310528.22000000 0.023694263939 Long LON CORP US N 2 2023-06-27 Variable 1.83463000 N N N N N N TEXTRON INC 3.65% 03/15/27 3PPKBHUG1HD6BO7RNR87 TEXTRON INC REGD 3.65000000 883203BX8 70000.00000000 NS USD 77697.89000000 0.005928589399 Long DBT CORP US N 2 2027-03-15 Fixed 3.65000000 N N N N N N UMBS P#AS8487 3% 12/01/46 N/A FANNIE MAE POOL UMBS P#AS8487 3.00000000 3138WJND6 403215.45000000 NS USD 431640.93000000 0.032935538427 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N UMBS P#MA3276 3.5% 02/01/48 N/A FANNIE MAE POOL UMBS P#MA3276 3.50000000 31418CUA0 363399.24000000 NS USD 387000.39000000 0.029529327110 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N GNMA II P#MA3521 3.5% 03/20/46 N/A GINNIE MAE II POOL P#MA3521 3.50000000 36179R4E6 258289.44000000 NS USD 274520.14000000 0.020946736028 Long ABS-MBS USGSE US N 2 2046-03-20 Fixed 3.50000000 N N N N N N AT&T INC 4.5% 03/09/48 549300Z40J86GGSTL398 AT&T INC REGD SER WI 4.50000000 00206RDJ8 238000.00000000 NS USD 282066.97000000 0.021522582507 Long DBT CORP US N 2 2048-03-09 Fixed 4.50000000 N N N N N N UMBS P#MA3444 4.5% 08/01/48 N/A FANNIE MAE POOL UMBS P#MA3444 4.50000000 31418CZJ6 173046.86000000 NS USD 187150.00000000 0.014280124029 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N VERIZON COMMUNI 1.45% 03/20/26 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 1.45000000 92343VGG3 90000.00000000 NS USD 91245.64000000 0.006962324639 Long DBT CORP US N 2 2026-03-20 Fixed 1.45000000 N N N N N N FGLMC P#G67703 3.5% 04/01/47 N/A FREDDIE MAC GOLD POOL P#G67703 3.50000000 3132XCRY3 108073.49000000 NS USD 117919.22000000 0.008997601320 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 3.50000000 N N N N N N CIGNA CORP 4.125% 11/15/25 549300VIWYMSIGT1U456 CIGNA CORP REGD SER WI 4.12500000 125523AG5 624000.00000000 NS USD 697604.18000000 0.053229357274 Long DBT CORP US N 2 2025-11-15 Fixed 4.12500000 N N N N N N OHIO POWER COM 1.625% 01/15/31 N/A OHIO POWER COMPANY REGD SER Q 1.62500000 677415CT6 118000.00000000 NS USD 115054.70000000 0.008779029581 Long DBT CORP US N 2 2031-01-15 Fixed 1.62500000 N N N N N N EVERNORTH HEALTH 4.5% 02/25/26 N/A EVERNORTH HEALTH INC REGD SER 10YR 4.50000000 30219GAM0 88000.00000000 NS USD 98941.48000000 0.007549541042 Long DBT CORP US N 2 2026-02-25 Fixed 4.50000000 N N N N N N BP CAP MARKETS 3.633% 04/06/30 N/A BP CAP MARKETS AMERICA REGD 3.63300000 10373QBL3 110000.00000000 NS USD 124376.87000000 0.009490339994 Long DBT CORP US N 2 2030-04-06 Fixed 3.63300000 N N N N N N GNMA P#731669 5% 09/15/40 N/A GINNIE MAE I POOL P#731669 5.00000000 3620AJ2A6 87831.30000000 NS USD 99958.71000000 0.007627158838 Long ABS-MBS USGSE US N 2 2040-09-15 Fixed 5.00000000 N N N N N N ENTERPRISE PROD 4.15% 10/16/28 N/A ENTERPRISE PRODUCTS OPER REGD 4.15000000 29379VBT9 780000.00000000 NS USD 896855.46000000 0.068432846408 Long DBT CORP US N 2 2028-10-16 Fixed 4.15000000 N N N N N N FNR 2013-54 BS V/R 06/25/43 N/A FANNIE MAE REMICS SER 2013-54 CL BS V/R 6.06562000 3136AETS6 58843.44000000 NS USD 12714.41000000 0.000970148820 Long ABS-CBDO CORP US N 2 2043-06-25 Variable 6.06562000 N N N N N N UMBS P#BJ2544 3% 12/01/37 N/A FANNIE MAE POOL UMBS P#BJ2544 3.00000000 3140H3ZJ8 36838.49000000 NS USD 38692.24000000 0.002952337623 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 3.00000000 N N N N N N NIKE INC 2.4% 03/27/25 787RXPR0UX0O0XUXPZ81 NIKE INC REGD 2.40000000 654106AH6 40000.00000000 NS USD 42403.89000000 0.003235548001 Long DBT CORP US N 2 2025-03-27 Fixed 2.40000000 N N N N N N UMBS P#MA4031 4.5% 05/01/50 N/A FANNIE MAE POOL UMBS P#MA4031 4.50000000 31418DPR7 179816.28000000 NS USD 194765.99000000 0.014861247629 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 4.50000000 N N N N N N SOUTHWESTERN PU 3.15% 05/01/50 N/A SOUTHWESTERN PUBLIC SERV REGD SER 8 3.15000000 845743BU6 134000.00000000 NS USD 141868.90000000 0.010825036002 Long DBT CORP US N 2 2050-05-01 Fixed 3.15000000 N N N N N N INDX 2005-AR15 A V/R 09/25/35 N/A INDYMAC INDX MORTGAGE LOAN TRUST 2005-AR15 SER 2005-AR15 CL A2 V/R REGD 2.93474000 45660LVM8 31175.41000000 NS USD 29692.21000000 0.002265607488 Long ABS-CBDO CORP US N 2 2035-09-25 Variable 2.93474000 N N N N N N UMBS P#985439 5% 07/01/23 N/A FANNIE MAE POOL UMBS P#985439 5.00000000 31415PV88 1608.19000000 NS USD 1676.52000000 0.000127923663 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 5.00000000 N N N N N N BNP PARIBAS 4.4% 08/14/28 R0MUWSFPU8MPRO8K5P83 BNP PARIBAS REGD 144A P/P 4.40000000 09659W2F0 750000.00000000 NS USD 865580.81000000 0.066046493852 Long DBT CORP FR Y 2 2028-08-14 Fixed 4.40000000 N N N N N N MRAIT 2021-EBO1 V/R 10/08/21 N/A MRA ISSUANCE TRUST SER 2021-EBO1 CL A1X V/R REGD 144A P/P 1.85025000 55349BAA7 530000.00000000 NS USD 530280.53000000 0.040462045091 Long STIV CORP US N 2 2021-10-08 Variable 1.85025000 N N N N N N CHENIERE CORP 5.125% 06/30/27 N/A CHENIERE CORP CHRISTI HD REGD 5.12500000 16412XAG0 323000.00000000 NS USD 375955.67000000 0.028686580802 Long DBT CORP US N 2 2027-06-30 Fixed 5.12500000 N N N N N N GENERAL ELECTR 3.625% 05/01/30 3C7474T6CDKPR9K6YT90 GENERAL ELECTRIC CO REGD 3.62500000 369604BW2 70000.00000000 NS USD 78789.37000000 0.006011872700 Long DBT CORP US N 2 2030-05-01 Fixed 3.62500000 N N N N N N GNR 2014-H20 FA V/R 10/20/64 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H20 CL FA V/R 0.53288000 38375UQY9 1360315.36000000 NS USD 1365456.26000000 0.104188537268 Long ABS-CBDO CORP US N 2 2064-10-20 Variable 0.53288000 N N N N N N PEPSICO INC 1.625% 05/01/30 FJSUNZKFNQ5YPJ5OT455 PEPSICO INC REGD 1.62500000 713448EZ7 150000.00000000 NS USD 149669.48000000 0.011420244391 Long DBT CORP US N 2 2030-05-01 Fixed 1.62500000 N N N N N N DTE ELECTRIC CO 3.95% 03/01/49 N/A DTE ELECTRIC CO REGD 3.95000000 23338VAJ5 100000.00000000 NS USD 121440.85000000 0.009266312584 Long DBT CORP US N 2 2049-03-01 Fixed 3.95000000 N N N N N N UMBS P#ZS9316 3.5% 01/01/38 N/A FREDDIE MAC POOL UMBS P#ZS9316 3.50000000 3132AAK52 140647.47000000 NS USD 152263.27000000 0.011618158593 Long ABS-MBS USGA US N 2 2038-01-01 Fixed 3.50000000 N N N N N N UMBS P#QC0161 2% 03/01/51 N/A FREDDIE MAC POOL UMBS P#QC0161 2.00000000 3133AJFA6 95852.90000000 NS USD 97511.52000000 0.007440430670 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 2.00000000 N N N N N N GNR 2015-167 SA V/R 11/20/45 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-167 CL SA V/R 6.16162000 38379FEC9 220411.57000000 NS USD 43447.55000000 0.003315182488 Long ABS-CBDO CORP US N 2 2045-11-20 Variable 6.16162000 N N N N N N US TREAS NTS 1.25% 06/30/28 N/A UNITED STATES TREASURY NOTE 1.25000000 91282CCH2 1590000.00000000 NS USD 1610371.88000000 0.122876356826 Long DBT UST US N 2 2028-06-30 Fixed 1.25000000 N N N N N N DUKE ENERGY FLOR 2.5% 12/01/29 N/A DUKE ENERGY FLORIDA LLC REGD 2.50000000 26444HAH4 334000.00000000 NS USD 352165.96000000 0.026871352325 Long DBT CORP US N 2 2029-12-01 Fixed 2.50000000 N N N N N N TOLL BROS FINA 4.375% 04/15/23 N/A TOLL BROS FINANCE CORP REGD 4.37500000 88947EAN0 50000.00000000 NS USD 52187.50000000 0.003982067714 Long DBT CORP US N 2 2023-04-15 Fixed 4.37500000 N N N N N N BERKSHIRE HATHAW 4.4% 05/15/42 N/A BERKSHIRE HATHAWAY FIN REGD 4.40000000 084664BU4 400000.00000000 NS USD 506202.64000000 0.038624827589 Long DBT CORP US N 2 2042-05-15 Fixed 4.40000000 N N N N N N KEYCORP 2.25% 04/06/27 RKPI3RZGV1V1FJTH5T61 KEYCORP REGD MTN 2.25000000 49326EEK5 189000.00000000 NS USD 197150.69000000 0.015043207618 Long DBT CORP US N 2 2027-04-06 Fixed 2.25000000 N N N N N N GNMA II P#MA4261 3% 02/20/47 N/A GINNIE MAE II POOL P#MA4261 3.00000000 36179SWW3 799331.30000000 NS USD 844886.99000000 0.064467491360 Long ABS-MBS USGSE US N 2 2047-02-20 Fixed 3.00000000 N N N N N N DEERE & COMPANY 3.75% 04/15/50 PWFTNG3EI0Y73OXWDH08 DEERE & COMPANY REGD 3.75000000 244199BK0 130000.00000000 NS USD 159034.68000000 0.012134838126 Long DBT CORP US N 2 2050-04-15 Fixed 3.75000000 N N N N N N MDC HOLDINGS INC 6% 01/15/43 5299005FV4VNV75R8R35 MDC HOLDINGS INC REGD 6.00000000 552676AQ1 10000.00000000 NS USD 12899.30000000 0.000984256499 Long DBT CORP US N 2 2043-01-15 Fixed 6.00000000 N N N N N N GNMA II P#784825 3.5% 10/20/49 N/A GINNIE MAE II POOL P#784825 3.50000000 3622AAHA5 65101.05000000 NS USD 67489.10000000 0.005149627136 Long ABS-MBS USGSE US N 2 2049-10-20 Fixed 3.50000000 N N N N N N GNR 2016-84 IG 4.5% 11/16/45 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2016-84 CL IG 4.50000000 38379XGR5 63659.21000000 NS USD 11108.12000000 0.000847583923 Long ABS-CBDO CORP US N 2 2045-11-16 Fixed 4.50000000 N N N N N N CONOCOPHILLIPS 4.3% 08/15/28 WPTL2Z3FIYTHSP5V2253 CONOCOPHILLIPS REGD 144A P/P 4.30000000 20825CAX2 550000.00000000 NS USD 637811.07000000 0.048666957985 Long DBT CORP US Y 2 2028-08-15 Fixed 4.30000000 N N N N N N FNMA P#843997 V/R 11/1/35 N/A FNMA P#843997 V/R 11/1/35 1.96100000 31407XUW9 5735.31000000 NS USD 5998.08000000 0.000457672061 Long ABS-MBS USGSE US N 2 2035-11-01 Variable 1.96100000 N N N N N N OBP 2019-OBP 2.516% 09/15/29 N/A ONE BRYANT PARK TRUST 2019-OBP SER 2019-OBP CL A REGD 144A P/P 2.51641000 68236JAA9 500000.00000000 NS USD 524254.60000000 0.040002247988 Long ABS-CBDO CORP US Y 2 2054-09-15 Fixed 2.51641000 N N N N N N T/L CHARTER 0% 04/30/2025 N/A T/L CHARTER COMMUNICATIONS OPERATING LLC REGD 0.00000000 16117LBW8 345203.84000000 NS USD 344406.42000000 0.026279275416 Long LON CORP US N 2 2025-04-30 Variable 1.84000000 N N N N N N US TREAS BDS 2.25% 08/15/49 N/A UNITED STATES TREASURY BOND 2.25000000 912810SJ8 950000.00000000 NS USD 1016500.00000000 0.077562094982 Long DBT UST US N 2 2049-08-15 Fixed 2.25000000 N N N N N N EMLT 2003-2 M2 V/R 09/25/33 N/A EQUIFIRST MORTGAGE LOAN TRUST 2003-2 SER 2003-2 CL M2 V/R REGD 2.63438000 29445FAK4 229206.41000000 NS USD 231997.69000000 0.017702141532 Long ABS-CBDO CORP US N 2 2033-09-25 Variable 2.63438000 N N N N N N UMBS P#BM4304 3% 02/01/30 N/A FANNIE MAE POOL UMBS P#BM4304 3.00000000 3140J8YA5 388389.09000000 NS USD 409050.20000000 0.031211795833 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 3.00000000 N N N N N N US TREAS NTS 0.375% 07/15/24 N/A UNITED STATES TREASURY NOTE 0.37500000 91282CCL3 602000.00000000 NS USD 601952.97000000 0.045930874013 Long DBT UST US N 2 2024-07-15 Fixed 0.37500000 N N N N N N UMBS P#AQ4372 2.5% 11/01/27 N/A FANNIE MAE POOL UMBS P#AQ4372 2.50000000 3138MK2E5 110084.68000000 NS USD 115873.37000000 0.008841496635 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 2.50000000 N N N N N N UMBS P#975331 5% 05/01/23 N/A FANNIE MAE POOL UMBS P#975331 5.00000000 31414TA84 226.71000000 NS USD 236.24000000 0.000018025842 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 5.00000000 N N N N N N UMBS P#AL2499 4.5% 01/01/42 N/A FANNIE MAE POOL UMBS P#AL2499 4.50000000 3138EJX52 23714.62000000 NS USD 26357.18000000 0.002011134381 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.50000000 N N N N N N US TREAS BDS 3.125% 02/15/43 N/A UNITED STATES TREASURY BOND 3.12500000 912810QZ4 100000.00000000 NS USD 122503.91000000 0.009347427351 Long DBT UST US N 2 2043-02-15 Fixed 3.12500000 N N N N N N BPCE SA 2.7% 10/01/29 N/A BPCE SA REGD 144A P/P 2.70000000 05578AAN8 434000.00000000 NS USD 455838.93000000 0.034781920694 Long DBT CORP FR Y 2 2029-10-01 Fixed 2.70000000 N N N N N N SALESFORCE.COM I 3.7% 04/11/28 RCGZFPDMRW58VJ54VR07 SALESFORCE.COM INC REGD 3.70000000 79466LAF1 450000.00000000 NS USD 512311.20000000 0.039090929616 Long DBT CORP US N 2 2028-04-11 Fixed 3.70000000 N N N N N N UMBS P#QC0165 2.5% 03/01/51 N/A FREDDIE MAC POOL UMBS P#QC0165 2.50000000 3133AJFE8 95992.33000000 NS USD 100501.05000000 0.007668541058 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 2.50000000 N N N N N N COCA-COLA CO/THE 2.5% 06/01/40 UWJKFUJFZ02DKWI3RY53 COCA-COLA CO/THE REGD 2.50000000 191216CW8 10000.00000000 NS USD 10032.05000000 0.000765476453 Long DBT CORP US N 2 2040-06-01 Fixed 2.50000000 N N N N N N SOUTHERN COPPER 5.25% 11/08/42 N/A SOUTHERN COPPER CORP REGD 5.25000000 84265VAG0 860000.00000000 NS USD 1106936.10000000 0.084462649216 Long DBT CORP PE N 2 2042-11-08 Fixed 5.25000000 N N N N N N CIGNA CORP 4.375% 10/15/28 549300VIWYMSIGT1U456 CIGNA CORP REGD SER WI 4.37500000 125523AH3 720000.00000000 NS USD 841004.42000000 0.064171239257 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N ABBVIE INC 2.3% 11/21/22 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD SER WI 2.30000000 00287YBM0 680000.00000000 NS USD 695649.09000000 0.053080177858 Long DBT CORP US N 2 2022-11-21 Fixed 2.30000000 N N N N N N MSBAM 2016-C2 3.272% 11/15/25 N/A MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 20 SER 2016-C28 CL A3 REGD 3.27200000 61766LBR9 595949.95000000 NS USD 632966.19000000 0.048297278652 Long ABS-CBDO CORP US N 2 2049-01-15 Fixed 3.27200000 N N N N N N STATE OF QATAR 4.817% 03/14/49 N/A STATE OF QATAR REGD 144A P/P 4.81700000 74727PBB6 1020000.00000000 NS USD 1335406.44000000 0.101895643030 Long DBT USGA QA Y 2 2049-03-14 Fixed 4.81700000 N N N N N N HCA INC 5.25% 06/15/26 N/A HCA INC REGD 5.25000000 404119BT5 152000.00000000 NS USD 175758.91000000 0.013410948619 Long DBT CORP US N 2 2026-06-15 Fixed 5.25000000 N N N N N N NORTHERN NATURAL 4.3% 01/15/49 N/A NORTHERN NATURAL GAS CO REGD 144A P/P 4.30000000 665501AL6 94000.00000000 NS USD 112956.21000000 0.008618908301 Long DBT CORP US Y 2 2049-01-15 Fixed 4.30000000 N N N N N N EXXON MOBIL CO 4.327% 03/19/50 J3WHBG0MTS7O8ZVMDC91 EXXON MOBIL CORPORATION REGD 4.32700000 30231GBG6 110000.00000000 NS USD 137636.98000000 0.010502127413 Long DBT CORP US N 2 2050-03-19 Fixed 4.32700000 N N N N N N MICROSOFT CORP 2.875% 02/06/24 INR2EJN1ERAN0W5ZP974 MICROSOFT CORP REGD 2.87500000 594918BX1 270000.00000000 NS USD 285015.75000000 0.021747583544 Long DBT CORP US N 2 2024-02-06 Fixed 2.87500000 N N N N N N GE CAPITAL INT 4.418% 11/15/35 N/A GE CAPITAL INTL FUNDING REGD 4.41800000 36164QNA2 1946000.00000000 NS USD 2363373.44000000 0.180332705591 Long DBT CORP IE N 2 2035-11-15 Fixed 4.41800000 N N N N N N UMBS P#SD0496 3% 02/01/47 N/A FREDDIE MAC POOL UMBS P#SD0496 3.00000000 3132DMRR8 423506.87000000 NS USD 457188.08000000 0.034884865013 Long ABS-MBS USGA US N 2 2047-02-01 Fixed 3.00000000 N N N N N N YAMANA GOLD IN 4.625% 12/15/27 54930002VY22NXG01418 YAMANA GOLD INC REGD SER WI 4.62500000 98462YAD2 90000.00000000 NS USD 100892.62000000 0.007698419061 Long DBT CORP CA N 2 2027-12-15 Fixed 4.62500000 N N N N N N UMBS P#FM7632 4% 06/01/49 N/A FANNIE MAE POOL UMBS P#FM7632 4.00000000 3140XBPS3 987241.49000000 NS USD 1066363.95000000 0.081366868643 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4.00000000 N N N N N N COMMONWEALTH BAN 3.9% 07/12/47 MSFSBD3QN1GSN7Q6C537 COMMONWEALTH BANK AUST REGD 144A P/P MTN 3.90000000 2027A0JN0 58000.00000000 NS USD 71005.93000000 0.005417972146 Long DBT CORP AU Y 2 2047-07-12 Fixed 3.90000000 N N N N N N AVOLON HOLDING 2.528% 11/18/27 N/A AVOLON HOLDINGS FNDG LTD REGD 144A P/P 2.52800000 05401AAR2 663000.00000000 NS USD 658697.61000000 0.050260665609 Long DBT CORP IE Y 2 2027-11-18 Fixed 2.52800000 N N N N N N PFP 2019-5 A V/R 03/14/22 N/A PFP 2019-5 LTD SER 2019-5 CL A V/R REGD 144A P/P 1.06550000 69346TAA2 635174.02000000 NS USD 635034.60000000 0.048455104734 Long ABS-CBDO CORP KY Y 2 2036-04-14 Variable 1.06550000 N N N N N N HCOMF 2015-1A 3.25% 11/01/35 N/A HILDENE COMMUNITY FUNDING CDO LTD SER 2015-1A CL AR REGD 144A P/P 3.25000000 43133KAA3 400000.00000000 NS USD 399000.00000000 0.030444934479 Long ABS-CBDO CORP KY Y 2 2035-11-01 Fixed 3.25000000 N N N N N N NORTHERN TRUST 3.15% 05/03/29 549300GLF98S992BC502 NORTHERN TRUST CORP REGD 3.15000000 665859AU8 33000.00000000 NS USD 36560.83000000 0.002789704445 Long DBT CORP US N 2 2029-05-03 Fixed 3.15000000 N N N N N N BAMLL 2015-200P V/R 04/14/25 N/A BAMLL COMMERCIAL MORTGAGE SECURITIES SER 2015-200P CL B V/R REGD 144A P/P 3.49000000 05526QAE6 480000.00000000 NS USD 512981.52000000 0.039142077106 Long ABS-CBDO CORP US Y 2 2033-04-14 Fixed 3.49000000 N N N N N N FFML 2006-FF13 A V/R 10/25/36 N/A FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF13 SER 2006-FF13 CL A2D V/R REGD 0.56438000 30247DAE1 1197055.46000000 NS USD 986309.54000000 0.075258469477 Long ABS-CBDO CORP US N 2 2036-10-25 Variable 0.56438000 N N N N N N GNMA II P#BM7534 3.5% 02/20/50 N/A GINNIE MAE II POOL P#BM7534 3.50000000 3617JYLP6 59146.19000000 NS USD 62607.89000000 0.004777175711 Long ABS-MBS USGSE US N 2 2050-02-20 Fixed 3.50000000 N N N N N N BANK OF AMERICA CO 4% 01/22/25 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD MTN 4.00000000 06051GFM6 1284000.00000000 NS USD 1404003.48000000 0.107129809416 Long DBT CORP US N 2 2025-01-22 Fixed 4.00000000 N N N N N N FHMS KIR2 A1 2.748% 03/25/27 N/A FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER KIR2 CL A1 2.74800000 3137BXSV5 246343.31000000 NS USD 260717.69000000 0.019893566390 Long ABS-CBDO CORP US N 2 2027-03-25 Fixed 2.74800000 N N N N N N UMBS P#SD0505 4% 06/01/48 N/A FREDDIE MAC POOL UMBS P#SD0505 4.00000000 3132DMR23 379870.12000000 NS USD 415066.06000000 0.031670824564 Long ABS-MBS USGA US N 2 2048-06-01 Fixed 4.00000000 N N N N N N NATIONWIDE MUTUAL V/R 12/15/24 Z7LVXXWM8HZPKF5T2355 NATIONWIDE MUTUAL INSURA REGD V/R 2.40888000 638671AJ6 850000.00000000 NS USD 851071.91000000 0.064939419892 Long DBT CORP US Y 2 2024-12-15 Variable 2.40888000 N N N N N N UMBS P#QB9290 2% 03/01/51 N/A FREDDIE MAC POOL UMBS P#QB9290 2.00000000 3133AGKB4 195385.46000000 NS USD 199809.53000000 0.015246085336 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 2.00000000 N N N N N N L3HARRIS TECH 5.054% 04/27/45 549300UTE50ZMDBG8A20 L3HARRIS TECH INC REGD 5.05400000 413875AT2 60000.00000000 NS USD 80315.30000000 0.006128305880 Long DBT CORP US N 2 2045-04-27 Fixed 5.05400000 N N N N N N APPLE INC 3.85% 05/04/43 HWUPKR0MPOU8FGXBT394 APPLE INC REGD 3.85000000 037833AL4 55000.00000000 NS USD 65676.06000000 0.005011286575 Long DBT CORP US N 2 2043-05-04 Fixed 3.85000000 N N N N N N DANSKE BANK A/ 5.375% 01/12/24 MAES062Z21O4RZ2U7M96 DANSKE BANK A/S REGD 144A P/P 5.37500000 23636AAT8 1435000.00000000 NS USD 1582686.92000000 0.120763908723 Long DBT CORP DK Y 2 2024-01-12 Fixed 5.37500000 N N N N N N WAMU 2005-AR19 A V/R 12/25/45 N/A WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005- SER 2005-AR19 CL A1B3 V/R REGD 0.78438000 92925CBE1 897185.28000000 NS USD 896045.59000000 0.068371050822 Long ABS-CBDO CORP US N 2 2045-12-25 Variable 0.78438000 N N N N N N FNR 2018-55 PA 3.5% 01/25/47 N/A FANNIE MAE REMICS SER 2018-55 CL PA 3.50000000 3136B2TU6 278600.48000000 NS USD 288703.81000000 0.022028993933 Long ABS-CBDO CORP US N 2 2047-01-25 Fixed 3.50000000 N N N N N N GNMA II P#MA5818 4.5% 03/20/49 N/A GINNIE MAE II POOL P#MA5818 4.50000000 36179UPB2 40094.82000000 NS USD 42718.76000000 0.003259573556 Long ABS-MBS USGSE US N 2 2049-03-20 Fixed 4.50000000 N N N N N N UMBS P#MA3305 3.5% 03/01/48 N/A FANNIE MAE POOL UMBS P#MA3305 3.50000000 31418CU77 71895.56000000 NS USD 76387.41000000 0.005828595720 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N GNMA II P#MA5816 3.5% 03/20/49 N/A GINNIE MAE II POOL P#MA5816 3.50000000 36179UN99 444230.19000000 NS USD 468835.44000000 0.035773594617 Long ABS-MBS USGSE US N 2 2049-03-20 Fixed 3.50000000 N N N N N N FGLMC P#G08849 5% 11/01/48 N/A FREDDIE MAC GOLD POOL P#G08849 5.00000000 3128MJ5K2 131817.08000000 NS USD 144924.72000000 0.011058204523 Long ABS-MBS USGA US N 2 2048-11-01 Fixed 5.00000000 N N N N N N PFIZER INC 0.8% 05/28/25 765LHXWGK1KXCLTFYQ30 PFIZER INC REGD 0.80000000 717081EX7 230000.00000000 NS USD 230449.50000000 0.017584009845 Long DBT CORP US N 2 2025-05-28 Fixed 0.80000000 N N N N N N US TREASURYSP ZCP 05/15/49 N/A UNITED STATES TREASURY STRIP PRINCIPAL ZCP 0.00000000 912803FJ7 2020000.00000000 NS USD 1171035.92000000 0.089353663802 Long DBT UST US N 2 2049-05-15 Fixed 0.00000000 N N N N N N GNR 2021-133 IO V/R 07/16/63 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-133 CL IO V/R 0.89008000 38381DXB1 2996299.89000000 NS USD 251166.64000000 0.019164791724 Long ABS-CBDO CORP US N 2 2063-07-16 Variable 0.89008000 N N N N N N US TREAS NTS 0.125% 11/30/22 N/A UNITED STATES TREASURY NOTE 0.12500000 91282CAX9 1765000.00000000 NS USD 1765551.56000000 0.134717046526 Long DBT UST US N 2 2022-11-30 Fixed 0.12500000 N N N N N N KUWAIT INTL BOND 3.5% 03/20/27 N/A KUWAIT INTL BOND REGD 144A P/P 3.50000000 501499AB3 360000.00000000 NS USD 402992.64000000 0.030749585264 Long DBT USGA KW Y 2 2027-03-20 Fixed 3.50000000 N N N N N N FGLMC P#G07335 7% 03/01/39 N/A FREDDIE MAC GOLD POOL P#G07335 7.00000000 3128M9PU0 9550.36000000 NS USD 11205.73000000 0.000855031868 Long ABS-MBS USGA US N 2 2039-03-01 Fixed 7.00000000 N N N N N N FNMA P#833212 5.5% 9/1/35 N/A FNMA P#833212 5.5% 9/1/35 5.50000000 31407KVD8 8690.54000000 NS USD 9691.69000000 0.000739505932 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.50000000 N N N N N N CSX CORP 4.1% 03/15/44 549300JVQR4N1MMP3Q88 CSX CORP REGD 4.10000000 126408GY3 56000.00000000 NS USD 66459.90000000 0.005071095992 Long DBT CORP US N 2 2044-03-15 Fixed 4.10000000 N N N N N N FGLMC P#G08843 4.5% 10/01/48 N/A FREDDIE MAC GOLD POOL P#G08843 4.50000000 3128MJ5D8 301422.78000000 NS USD 326948.67000000 0.024947195078 Long ABS-MBS USGA US N 2 2048-10-01 Fixed 4.50000000 N N N N N N UMBS P#MA2863 3% 01/01/47 N/A FANNIE MAE POOL UMBS P#MA2863 3.00000000 31418CFD1 189357.57000000 NS USD 200087.44000000 0.015267290729 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N AEP TRANSMISSIO 3.75% 12/01/47 N/A AEP TRANSMISSION CO LLC REGD SER WI 3.75000000 00115AAH2 505000.00000000 NS USD 583753.03000000 0.044542162281 Long DBT CORP US N 2 2047-12-01 Fixed 3.75000000 N N N N N N US CASH MGMT BILL ZCP 12/14/21 N/A UNITED STATES CASH MANAGEMENT BILL ZCP 0.00000000 912796P60 6395000.00000000 PA USD 6394337.91000000 0.487907766186 Long STIV UST US N 2 2021-12-14 Fixed 0.00000000 N N N N N N AMAZON.COM INC 2.875% 05/12/41 ZXTILKJKG63JELOEG630 AMAZON.COM INC REGD 2.87500000 023135CA2 360000.00000000 NS USD 377666.04000000 0.028817087325 Long DBT CORP US N 2 2041-05-12 Fixed 2.87500000 N N N N N N SMB 2018-A A2B V/R 05/17/27 N/A SMB PRIVATE EDUCATION LOAN TRUST 2018-A SER 2018-A CL A2B V/R REGD 144A P/P 0.89313000 78449PAC3 304436.04000000 NS USD 305904.70000000 0.023341475058 Long ABS-CBDO CORP US Y 2 2036-02-15 Variable 0.89313000 N N N N N N WELLS FARGO & C 3.45% 02/13/23 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD MTN SER M 3.45000000 94974BFJ4 330000.00000000 NS USD 344390.38000000 0.026278051514 Long DBT CORP US N 2 2023-02-13 Fixed 3.45000000 N N N N N N REPUBLIC OF ARGE S/UP 07/09/30 N/A REPUBLIC OF ARGENTINA REGD S/UP 0.50000000 040114HS2 1852700.00000000 NS USD 726239.87000000 0.055414349018 Long DBT USGA AR N 2 2030-07-09 Variable 0.50000000 N N N N N N US TREAS NTS 0.125% 8/31/23 N/A UNITED STATES TREASURY NOTE 0.12500000 91282CCU3 41445000.00000000 NS USD 41377892.26000000 3.157261199867 Long DBT UST US N 2 2023-08-31 Fixed 0.12500000 N N N N N N VMWARE INC 1.8% 08/15/28 N/A VMWARE INC REGD 1.80000000 928563AK1 135000.00000000 NS USD 133953.98000000 0.010221103118 Long DBT CORP US N 2 2028-08-15 Fixed 1.80000000 N N N N N N UMBS P#CA8460 2.5% 01/01/51 N/A FANNIE MAE POOL UMBS P#CA8460 2.50000000 3140QGMJ3 92391.91000000 NS USD 96101.32000000 0.007332828047 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N T/L DELL INTERNATI 0% 9/19/25 N/A T/L DELL INTERNATIONAL L L C REGD 0.00000000 N/A 641665.32000000 NS USD 642213.94000000 0.049002910588 Long LON CORP US N 2 2025-09-19 Variable 2.00000000 N N N N N N AT&T INC 3.8% 12/01/57 549300Z40J86GGSTL398 AT&T INC REGD 144A P/P 3.80000000 00206RMG4 1030000.00000000 NS USD 1096459.65000000 0.083663263667 Long DBT CORP US Y 2 2057-12-01 Fixed 3.80000000 N N N N N N WALMART INC 3.7% 06/26/28 Y87794H0US1R65VBXU25 WALMART INC REGD 3.70000000 931142EE9 290000.00000000 NS USD 331427.37000000 0.025288933745 Long DBT CORP US N 2 2028-06-26 Fixed 3.70000000 N N N N N N FGLMC P#U90598 3.5% 12/01/42 N/A FREDDIE MAC GOLD POOL P#U90598 3.50000000 3132H3UX9 13270.30000000 NS USD 14272.79000000 0.001089058036 Long ABS-MBS USGA US N 2 2042-12-01 Fixed 3.50000000 N N N N N N F/C US ULTRA BOND CBT DEC21 N/A FUTURE CONTRACT ON US ULTRA BOND CBT DEC21 0.00000000 N/A -2.00000000 NC USD -394562.50000000 -0.03010633949 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Short F/C US ULTRA BOND CBT DEC21 US ULTRA BOND CBT DEC21 2021-12-21 392438.38000000 USD -2124.12000000 N N N NEW YORK ST DO 5.289% 03/15/33 549300C8XO7EXTX2XU71 NEW YORK ST DORM AUTH ST PERSO REGD N/C B/E 5.28900000 6499022E2 350000.00000000 NS USD 433858.15000000 0.033104719173 Long DBT MUN US N 2 2033-03-15 Fixed 5.28900000 N N N N N N DEERE & COMPANY 3.1% 04/15/30 PWFTNG3EI0Y73OXWDH08 DEERE & COMPANY REGD 3.10000000 244199BJ3 40000.00000000 NS USD 44313.08000000 0.003381225105 Long DBT CORP US N 2 2030-04-15 Fixed 3.10000000 N N N N N N BANK OF AMERICA C V/R 10/22/30 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 2.88400000 06051GHX0 488000.00000000 NS USD 517281.62000000 0.039470188040 Long DBT CORP US N 2 2030-10-22 Variable 2.88400000 N N N N N N GNR 2020-181 WI 2% 12/20/50 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-181 CL WI 2.00000000 38382LXR7 479412.51000000 NS USD 49041.93000000 0.003742050991 Long ABS-CBDO CORP US N 2 2050-12-20 Fixed 2.00000000 N N N N N N ALPHABET INC 2.05% 08/15/50 5493006MHB84DD0ZWV18 ALPHABET INC REGD 2.05000000 02079KAF4 140000.00000000 NS USD 127061.64000000 0.009695196252 Long DBT CORP US N 2 2050-08-15 Fixed 2.05000000 N N N N N N OFFICE CHERIFIEN 4.5% 10/22/25 N/A OFFICE CHERIFIEN DES PHO REGD P/P 4.50000000 67091TAC9 200000.00000000 NS USD 217060.80000000 0.016562410611 Long DBT CORP MA Y 2 2025-10-22 Fixed 4.50000000 N N N N N N SOUTHERN CO GAS 4.4% 05/30/47 N/A SOUTHERN CO GAS CAPITAL REGD 4.40000000 8426EPAC2 250000.00000000 NS USD 300798.26000000 0.022951837887 Long DBT CORP US N 2 2047-05-30 Fixed 4.40000000 N N N N N N T/L HC GROUP HOLDI 0% 08/06/26 N/A T/L HC GROUP HOLDINGS II INC REGD 0.00000000 N/A 197000.00000000 NS USD 196852.25000000 0.015020435722 Long LON CORP US N 2 2026-08-06 Variable 3.83463000 N N N N N N N/A N/A IRS RUS3MP00.90 03/17/50 GOLDMAN SACH FLOAT N/A 1.00000000 NC USD 253154.32000000 0.019316457858 N/A DIR US N 2 GOLDMAN SACHS N/A N/A N/A Y 2050-03-17 -1492045.10000000 USD 1492000.00000000 USD 1492000.00000000 USD 260937.20000000 N N N US TREAS BDS 3.75% 11/15/43 N/A UNITED STATES TREASURY BOND 3.75000000 912810RD2 11510000.00000000 NS USD 15483647.71000000 1.181450225642 Long DBT UST US N 2 2043-11-15 Fixed 3.75000000 N N N N N N UMBS P#890604 4.5% 10/01/44 N/A FANNIE MAE POOL UMBS P#890604 4.50000000 31410LNV0 23214.15000000 NS USD 25929.90000000 0.001978531595 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4.50000000 N N N N N N RYDER SYSTEM I 4.625% 06/01/25 ZXJ6Y2OSPZXIVGRILD15 RYDER SYSTEM INC REGD MTN 4.62500000 78355HKQ1 410000.00000000 NS USD 461209.96000000 0.035191746900 Long DBT CORP US N 2 2025-06-01 Fixed 4.62500000 N N N N N N JOHNSON & JOHNS 0.55% 09/01/25 549300G0CFPGEF6X2043 JOHNSON & JOHNSON REGD 0.55000000 478160CN2 100000.00000000 NS USD 99172.17000000 0.007567143403 Long DBT CORP US N 2 2025-09-01 Fixed 0.55000000 N N N N N N UMBS P#FM8275 3.5% 06/01/49 N/A FANNIE MAE POOL UMBS P#FM8275 3.50000000 3140XCFR4 190873.38000000 NS USD 203196.89000000 0.015504551384 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N US TREAS NTS 0.375% 01/31/26 N/A UNITED STATES TREASURY NOTE 0.37500000 91282CBH3 545000.00000000 NS USD 537442.38000000 0.041008516404 Long DBT UST US N 2 2026-01-31 Fixed 0.37500000 N N N N N N LAS VEGAS SANDS 2.9% 06/25/25 549300DUOO1KXOHPM605 LAS VEGAS SANDS CORP REGD 2.90000000 517834AH0 50000.00000000 NS USD 51673.46000000 0.003942844872 Long DBT CORP US N 2 2025-06-25 Fixed 2.90000000 N N N N N N CENTENE CORP 3.375% 02/15/30 549300Z7JJ4TQSQGT333 CENTENE CORP REGD SER WI 3.37500000 15135BAV3 30000.00000000 NS USD 31387.50000000 0.002394963360 Long DBT CORP US N 2 2030-02-15 Fixed 3.37500000 N N N N N N TARGA RESOURCES PA 4% 01/15/32 N/A TARGA RESOURCES PARTNERS REGD 144A P/P 4.00000000 87612BBT8 40000.00000000 NS USD 41803.40000000 0.003189728756 Long DBT CORP US Y 2 2032-01-15 Fixed 4.00000000 N N N N N N AT&T INC 3.5% 02/01/61 549300Z40J86GGSTL398 AT&T INC REGD 3.50000000 00206RKF8 305000.00000000 NS USD 303168.76000000 0.023132714371 Long DBT CORP US N 2 2061-02-01 Fixed 3.50000000 N N N N N N BANK OF AMERICA C V/R 02/07/30 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 3.97400000 06051GHQ5 875000.00000000 NS USD 994987.05000000 0.075920590338 Long DBT CORP US N 2 2030-02-07 Variable 3.97400000 N N N N N N US TIPS 0.125% 02/15/51 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000 912810SV1 954866.55000000 NS USD 1084508.20000000 0.082751331055 Long DBT UST US N 2 2051-02-15 Fixed 0.12500000 N N N N N N DELTA AIR LINES/ 4.5% 10/20/25 N/A DELTA AIR LINES/SKYMILES REGD 144A P/P 4.50000000 830867AA5 230000.00000000 NS USD 246789.18000000 0.018830777983 Long DBT CORP US Y 2 2025-10-20 Fixed 4.50000000 N N N N N N UMBS P#929226 5.5% 03/01/23 N/A FANNIE MAE POOL UMBS P#929226 5.50000000 31412MLF3 905.87000000 NS USD 923.77000000 0.000070486509 Long ABS-MBS USGSE US N 2 2023-03-01 Fixed 5.50000000 N N N N N N SMB 2021-A A2B 1.59% 01/15/53 N/A SMB PRIVATE EDUCATION LOAN TRUST 2021-A SER 2021-A CL A2B REGD 144A P/P 1.59000000 78448YAC5 730000.00000000 NS USD 736031.99000000 0.056161518070 Long ABS-CBDO CORP US Y 2 2053-01-15 Fixed 1.59000000 N N N N N N BAYER US FINAN 4.625% 06/25/38 N/A BAYER US FINANCE II LLC REGD 144A P/P 4.62500000 07274NAN3 285000.00000000 NS USD 342251.78000000 0.026114869718 Long DBT CORP US Y 2 2038-06-25 Fixed 4.62500000 N N N N N N CREDIT SUISSE GRO V/R 06/05/26 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG REGD V/R 144A P/P 2.19300000 225401AQ1 835000.00000000 NS USD 857088.84000000 0.065398530267 Long DBT CORP CH Y 2 2026-06-05 Variable 2.19300000 N N N N N N GENERAL MOTORS C 5.4% 10/02/23 54930070NSV60J38I987 GENERAL MOTORS CO REGD 5.40000000 37045VAW0 70000.00000000 NS USD 76546.62000000 0.005840743936 Long DBT CORP US N 2 2023-10-02 Fixed 5.40000000 N N N N N N FGLMC P#G07784 4% 07/01/44 N/A FREDDIE MAC GOLD POOL P#G07784 4.00000000 3128M96V9 69132.66000000 NS USD 76530.22000000 0.005839492565 Long ABS-MBS USGA US N 2 2044-07-01 Fixed 4.00000000 N N N N N N FIRSTENERGY CO 7.375% 11/15/31 549300SVYJS666PQJH88 FIRSTENERGY CORP REGD SER C 7.37500000 337932AC1 550000.00000000 NS USD 769521.56000000 0.058716875876 Long DBT CORP US N 2 2031-11-15 Fixed 7.37500000 N N N N N N SL GREEN OPERAT 3.25% 10/15/22 N/A SL GREEN OPERATING PARTN REGD 3.25000000 78444FAF3 800000.00000000 NS USD 822109.82000000 0.062729522818 Long DBT CORP US N 2 2022-10-15 Fixed 3.25000000 N N N N N N GNMA II P#MA6089 3% 08/20/49 N/A GINNIE MAE II POOL P#MA6089 3.00000000 36179UXS6 1362956.07000000 NS USD 1426232.25000000 0.108825933342 Long ABS-MBS USGSE US N 2 2049-08-20 Fixed 3.00000000 N N N N N N UMBS P#BR7191 2% 04/01/51 N/A FANNIE MAE POOL UMBS P#BR7191 2.00000000 3140L57D2 293769.79000000 NS USD 298840.96000000 0.022802489841 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N GLENCORE FUNDING L 4% 03/27/27 N/A GLENCORE FUNDING LLC REGD 144A P/P 4.00000000 378272AN8 159000.00000000 NS USD 176018.21000000 0.013430734011 Long DBT CORP US Y 2 2027-03-27 Fixed 4.00000000 N N N N N N QUALCOMM INC 4.65% 05/20/35 H1J8DDZKZP6H7RWC0H53 QUALCOMM INC REGD 4.65000000 747525AJ2 30000.00000000 NS USD 38136.52000000 0.002909934467 Long DBT CORP US N 2 2035-05-20 Fixed 4.65000000 N N N N N N NORTHROP GRUMMA 3.25% 01/15/28 RIMU48P07456QXSO0R61 NORTHROP GRUMMAN CORP REGD 3.25000000 666807BN1 340000.00000000 NS USD 371887.63000000 0.028376176764 Long DBT CORP US N 2 2028-01-15 Fixed 3.25000000 N N N N N N DAIMLER FINANCE 3.5% 08/03/25 N/A DAIMLER FINANCE NA LLC REGD 144A P/P 3.50000000 233851CB8 300000.00000000 NS USD 326732.99000000 0.024930738027 Long DBT CORP US Y 2 2025-08-03 Fixed 3.50000000 N N N N N N WAMU 2006-AR3 A1 V/R 02/25/46 N/A WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2006-AR3 SER 2006-AR3 CL A1A V/R REGD 1.09792000 92925CDA7 649342.61000000 NS USD 655900.32000000 0.050047223727 Long ABS-CBDO CORP US N 2 2046-02-25 Variable 1.09792000 N N N N N N SBA COMMUNICAT 4.875% 09/01/24 5299001HX8ZN8Y8QIT49 SBA COMMUNICATIONS CORP REGD 4.87500000 78388JAV8 69000.00000000 NS USD 70121.25000000 0.005350468325 Long DBT CORP US N 2 2024-09-01 Fixed 4.87500000 N N N N N N NEW YORK NY 3% 08/01/34 549300ABYZD2SFD5JB29 NEW YORK NY REGD B/E 3.00000000 64966QCL2 375000.00000000 NS USD 401182.61000000 0.030611474375 Long DBT MUN US N 2 2034-08-01 Fixed 3.00000000 N N N N N N UBS GROUP AG 2.65% 02/01/22 549300SZJ9VS8SGXAN81 UBS GROUP AG REGD 144A P/P 2.65000000 90351DAH0 260000.00000000 NS USD 262664.41000000 0.020042107149 Long DBT CORP CH Y 2 2022-02-01 Fixed 2.65000000 N N N N N N US TREAS NTS 0.25% 05/15/24 N/A UNITED STATES TREASURY NOTE 0.25000000 91282CCC3 15419000.00000000 NS USD 15378645.55000000 1.173438235965 Long DBT UST US N 2 2024-05-15 Fixed 0.25000000 N N N N N N OCCIDENTAL PET 4.625% 06/15/45 IM7X0T3ECJW4C1T7ON55 OCCIDENTAL PETROLEUM COR REGD 4.62500000 674599CF0 90000.00000000 NS USD 93274.65000000 0.007117144380 Long DBT CORP US N 2 2045-06-15 Fixed 4.62500000 N N N N N N T/L VALEANT PHARM 0% 11/27/25 N/A T/L VALEANT PHARMACEUTICALS INTERNATIONAL REGD 0.00000000 C9413PBB8 231486.51000000 NS USD 230370.75000000 0.017578000976 Long LON CORP US N 2 2025-11-27 Variable 2.83463000 N N N N N N US T BILL ZCP 01/27/22 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796C31 1620000.00000000 PA USD 1619700.30000000 0.123588144134 Long STIV UST US N 2 2022-01-27 Fixed 0.00000000 N N N N N N GNR 2014-105 IO V/R 06/16/54 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-105 CL IO V/R 0.20366000 38378XCY5 96995.22000000 NS USD 3800.04000000 0.000289954809 Long ABS-CBDO CORP US N 2 2054-06-16 Variable 0.20366000 N N N N N N SAUDI INTERNAT 3.625% 03/04/28 N/A SAUDI INTERNATIONAL BOND REGD REG S EMTN 3.62500000 M6320UAG4 200000.00000000 NS USD 222099.60000000 0.016946886641 Long DBT USGA SA N 2 2028-03-04 Fixed 3.62500000 N N N N N N F/C US 10YR ULTRA FUT DEC21 N/A FUTURE CONTRACT ON US 10YR ULTRA FUT DEC21 0.00000000 N/A -63.00000000 NC USD -9324984.38000000 -0.71152515907 N/A DIR CORP US N 1 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Short F/C US 10YR ULTRA FUT DEC21 US 10YR ULTRA FUT DEC21 2021-12-21 9333961.47000000 USD 8977.09000000 N N N UMBS P#AS5138 3% 06/01/30 N/A FANNIE MAE POOL UMBS P#AS5138 3.00000000 3138WEV89 223455.77000000 NS USD 237632.96000000 0.018132130068 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 3.00000000 N N N N N N CVS HEALTH CORP 4.25% 04/01/50 549300EJG376EN5NQE29 CVS HEALTH CORP REGD 4.25000000 126650DL1 30000.00000000 NS USD 36564.90000000 0.002790014999 Long DBT CORP US N 2 2050-04-01 Fixed 4.25000000 N N N N N N CIM 2021-R4 A1A V/R 05/01/61 N/A CIM TRUST 2021-R4 SER 2021-R4 CL A1A V/R REGD 144A P/P 2.00000000 12598HAB1 1796114.11000000 NS USD 1809136.30000000 0.138042697036 Long ABS-CBDO CORP US Y 2 2061-05-01 Variable 2.00000000 N N N N N N NORFOLK SOUTHER 2.55% 11/01/29 54930036C8MWP850MI84 NORFOLK SOUTHERN CORP REGD 2.55000000 655844CE6 282000.00000000 NS USD 296654.87000000 0.022635684411 Long DBT CORP US N 2 2029-11-01 Fixed 2.55000000 N N N N N N EASTERN GAS TRAN 4.6% 12/15/44 N/A EASTERN GAS TRAN REGD 144A P/P 4.60000000 276480AC4 38000.00000000 NS USD 46281.95000000 0.003531455978 Long DBT CORP US Y 2 2044-12-15 Fixed 4.60000000 N N N N N N DOW CHEMICAL CO 5.55% 11/30/48 N/A DOW CHEMICAL CO/THE REGD 5.55000000 260543CR2 58000.00000000 NS USD 82275.84000000 0.006277901147 Long DBT CORP US N 2 2048-11-30 Fixed 5.55000000 N N N N N N UMBS P#AA2953 5% 04/01/39 N/A FANNIE MAE POOL UMBS P#AA2953 5.00000000 31416LH74 5989.32000000 NS USD 6637.59000000 0.000506468653 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 5.00000000 N N N N N N UMBS P#AQ7082 4% 01/01/43 N/A FANNIE MAE POOL UMBS P#AQ7082 4.00000000 3138MN2Q2 72126.64000000 NS USD 79298.75000000 0.006050739970 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 4.00000000 N N N N N N JPMORGAN CHASE 3.875% 09/10/24 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD 3.87500000 46625HJY7 270000.00000000 NS USD 294025.20000000 0.022435032454 Long DBT CORP US N 2 2024-09-10 Fixed 3.87500000 N N N N N N COMCAST CORP 4.049% 11/01/52 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD SER WI 4.04900000 20030NCG4 21000.00000000 NS USD 25430.89000000 0.001940455588 Long DBT CORP US N 2 2052-11-01 Fixed 4.04900000 N N N N N N MOLINA HEALTHC 3.875% 11/15/30 549300NQQCEQ46YHZ591 MOLINA HEALTHCARE INC REGD 144A P/P 3.87500000 60855RAK6 564000.00000000 NS USD 602146.14000000 0.045945613481 Long DBT CORP US Y 2 2030-11-15 Fixed 3.87500000 N N N N N N FGLMC P#G05665 6% 10/01/38 N/A FREDDIE MAC GOLD POOL P#G05665 6.00000000 3128M7TW6 17151.45000000 NS USD 20221.73000000 0.001542980563 Long ABS-MBS USGA US N 2 2038-10-01 Fixed 6.00000000 N N N N N N NATIONWIDE BLDG S V/R 08/01/24 549300XFX12G42QIKN82 NATIONWIDE BLDG SOCIETY REGD V/R 144A P/P 4.36300000 63861VAC1 500000.00000000 NS USD 533631.64000000 0.040717745152 Long DBT CORP GB Y 2 2024-08-01 Variable 4.36300000 N N N N N N COMM 2014-CR17 C V/R 05/10/24 N/A COMM 2014-CCRE17 MORTGAGE TRUST SER 2014-CR17 CL C V/R REGD 4.94579800 12631DBG7 205000.00000000 NS USD 217256.66000000 0.016577355335 Long ABS-CBDO CORP US N 2 2047-05-10 Variable 4.94579800 N N N N N N COMCAST CORP 3.25% 11/01/39 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 3.25000000 20030NCY5 20000.00000000 NS USD 21782.18000000 0.001662047726 Long DBT CORP US N 2 2039-11-01 Fixed 3.25000000 N N N N N N GNMA II 30 YR TBA 2% OCT 21 N/A GNMA II 30 YR TBA 2% OCT 21 TO BE ANNOUNCED 2.00000000 21H0206A8 4000000.00000000 NS USD 4077031.28000000 0.311090100725 Long ABS-MBS USGA US N 2 2051-10-01 Fixed 2.00000000 N N N N N N CIGNA CORP 3.4% 03/01/27 549300VIWYMSIGT1U456 CIGNA CORP REGD SER * 3.40000000 125523CB4 244000.00000000 NS USD 269002.85000000 0.020525749731 Long DBT CORP US N 2 2027-03-01 Fixed 3.40000000 N N N N N N JPMBB 2015-C2 2.912% 01/15/25 N/A JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C28 SER 2015-C28 CL A3 REGD 2.91240000 46644FAC5 990187.06000000 NS USD 1027565.04000000 0.078406391769 Long ABS-CBDO CORP US N 2 2048-10-15 Fixed 2.91240000 N N N N N N UMBS P#AE0212 5.5% 12/01/27 N/A FANNIE MAE POOL UMBS P#AE0212 5.50000000 31419AGW1 32298.03000000 NS USD 36033.27000000 0.002749449985 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 5.50000000 N N N N N N UMBS P#FM1628 3.5% 09/01/33 N/A FANNIE MAE POOL UMBS P#FM1628 3.50000000 3140X4Y26 391848.34000000 NS USD 418649.87000000 0.031944280355 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.50000000 N N N N N N REPUBLIC OF ARGENT 1% 07/09/29 N/A REPUBLIC OF ARGENTINA REGD 1.00000000 040114HX1 64372.00000000 NS USD 26478.13000000 0.002020363240 Long DBT USGA AR N 2 2029-07-09 Fixed 1.00000000 N N N N N N RUSSIA GOV 7.05% 01/19/28/RUB/ N/A RUSSIA GOVT BOND - OFZ /RUB/ REGD SER 6212 7.05000000 X5424XAK4 205378000.00000000 NS 2850065.15000000 0.217468788855 Long DBT USGA RU N 2 2028-01-19 Fixed 7.05000000 N N N N N N UMBS P#MA4379 2.5% 07/01/51 N/A FANNIE MAE POOL UMBS P#MA4379 2.50000000 31418D2M3 8113979.03000000 NS USD 8439743.93000000 0.643978573861 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N GNMA II P#MA6997 3.5% 11/20/50 N/A GINNIE MAE II POOL P#MA6997 3.50000000 36179VX21 970025.05000000 NS USD 1021363.46000000 0.077933192028 Long ABS-MBS USGSE US N 2 2050-11-20 Fixed 3.50000000 N N N N N N BANK OF AMERICA C V/R 04/23/40 N/A BANK OF AMERICA CORP REGD V/R MTN 4.07800000 06051GHU6 575000.00000000 NS USD 677850.30000000 0.051722075113 Long DBT CORP US N 2 2040-04-23 Variable 4.07800000 N N N N N N LMAT 2019-GS5 A1 V/R 05/25/59 N/A LEGACY MORTGAGE ASSET TRUST 2019-GS5 SER 2019-GS5 CL A1 V/R REGD 144A P/P 3.20000000 52475FAF0 726320.69000000 NS USD 730008.37000000 0.055701897228 Long ABS-CBDO CORP US Y 2 2059-05-25 Variable 3.20000000 N N N N N N JPMORGAN CHASE & V/R 10/15/30 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 2.73900000 46647PBE5 194000.00000000 NS USD 204559.17000000 0.015608497563 Long DBT CORP US N 2 2030-10-15 Variable 2.73900000 N N N N N N FHR 5010 JI 2.5% 09/25/50 N/A FREDDIE MAC REMICS SER 5010 CL JI 2.50000000 3137FVQG0 279202.53000000 NS USD 41088.48000000 0.003135178149 Long ABS-CBDO CORP US N 2 2050-09-25 Fixed 2.50000000 N N N N N N UMBS P#FM5773 4% 09/01/47 N/A FANNIE MAE POOL UMBS P#FM5773 4.00000000 3140X9MX0 811510.98000000 NS USD 877606.10000000 0.066964060684 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.00000000 N N N N N N UMBS P#BQ9226 2% 01/01/51 N/A FANNIE MAE POOL UMBS P#BQ9226 2.00000000 3140KVHC7 95542.71000000 NS USD 97167.13000000 0.007414152647 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N ABBVIE INC 2.95% 11/21/26 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD SER WI 2.95000000 00287YBV0 150000.00000000 NS USD 161741.18000000 0.012341352450 Long DBT CORP US N 2 2026-11-21 Fixed 2.95000000 N N N N N N AT&T INC 2.55% 12/01/33 549300Z40J86GGSTL398 AT&T INC REGD 144A P/P 2.55000000 00206RMF6 1660000.00000000 NS USD 1670375.90000000 0.127454849201 Long DBT CORP US Y 2 2033-12-01 Fixed 2.55000000 N N N N N N FHR 4639 HZ V/R 04/15/53 N/A FREDDIE MAC REMICS SER 4639 CL HZ V/R 3.25000000 3137BTEH0 866010.24000000 NS USD 959845.05000000 0.073239147011 Long ABS-CBDO CORP US N 2 2053-04-15 Variable 3.25000000 N N N N N N FGLMC P#G60397 4% 12/01/45 N/A FREDDIE MAC GOLD POOL P#G60397 4.00000000 31335ANN4 296107.36000000 NS USD 322575.26000000 0.024613490364 Long ABS-MBS USGA US N 2 2045-12-01 Fixed 4.00000000 N N N N N N CWALT INC 2005-43 V/R 11/25/35 N/A CWALT INC SER 2005-43 REGD V/R 0.70438000 12668AHA6 862639.87000000 NS USD 843812.67000000 0.064385517420 Long ABS-CBDO CORP US N 2 2035-11-25 Variable 0.70438000 N N N N N N UMBS P#FM3002 4.5% 11/01/49 N/A FANNIE MAE POOL UMBS P#FM3002 4.50000000 3140X6KQ3 140860.95000000 NS USD 153710.18000000 0.011728562303 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 4.50000000 N N N N N N COMCAST CORP 3.1% 04/01/25 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 3.10000000 20030NDJ7 10000.00000000 NS USD 10756.33000000 0.000820741258 Long DBT CORP US N 2 2025-04-01 Fixed 3.10000000 N N N N N N VODAFONE GROUP 4.125% 05/30/25 213800TB53ELEUKM7Q61 VODAFONE GROUP PLC REGD 4.12500000 92857WBJ8 155000.00000000 NS USD 172603.78000000 0.013170202438 Long DBT CORP GB N 2 2025-05-30 Fixed 4.12500000 N N N N N N CENTERPOINT ENE 3.95% 03/01/48 N/A CENTERPOINT ENER HOUSTON REGD 3.95000000 15189XAS7 15000.00000000 NS USD 18084.19000000 0.001379879648 Long DBT CORP US N 2 2048-03-01 Fixed 3.95000000 N N N N N N UMBS P#ZA5318 3.5% 03/01/48 N/A FREDDIE MAC POOL UMBS P#ZA5318 3.50000000 31329N4B1 105204.61000000 NS USD 111860.47000000 0.008535299949 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.50000000 N N N N N N CHUBB INA HOLDI 3.35% 05/03/26 N/A CHUBB INA HOLDINGS INC REGD 3.35000000 00440EAV9 70000.00000000 NS USD 77025.71000000 0.005877299985 Long DBT CORP US N 2 2026-05-03 Fixed 3.35000000 N N N N N N FGLMC P#Q19611 4% 07/01/43 N/A FREDDIE MAC GOLD POOL P#Q19611 4.00000000 3132JBDR1 69726.91000000 NS USD 78494.64000000 0.005989383889 Long ABS-MBS USGA US N 2 2043-07-01 Fixed 4.00000000 N N N N N N UMBS P#AE1201 3.5% 11/01/25 N/A FANNIE MAE POOL UMBS P#AE1201 3.50000000 31419BKP9 6489.85000000 NS USD 6931.69000000 0.000528909393 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 3.50000000 N N N N N N COMCAST CORP 4.75% 03/01/44 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 4.75000000 20030NBK6 27000.00000000 NS USD 34665.84000000 0.002645110845 Long DBT CORP US N 2 2044-03-01 Fixed 4.75000000 N N N N N N GNMA II P#MA4838 4% 11/20/47 N/A GINNIE MAE II POOL P#MA4838 4.00000000 36179TLT0 546085.81000000 NS USD 586486.84000000 0.044750760443 Long ABS-MBS USGSE US N 2 2047-11-20 Fixed 4.00000000 N N N N N N MLCFC 2007-9 AJ V/R 10/12/17 N/A ML-CFC COMMERCIAL MORTGAGE TRUST 2007-9 SER 2007-9 CL AJ V/R REGD 6.19300000 60688CAJ5 5157.34000000 NS USD 5082.24000000 0.000387790636 Long ABS-CBDO CORP US N 2 2049-09-12 Variable 6.19300000 N N N N N N UMBS P#CA1711 4.5% 05/01/48 N/A FANNIE MAE POOL UMBS P#CA1711 4.50000000 3140Q83V5 330924.88000000 NS USD 358698.47000000 0.027369803050 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N NEW JERSEY ST 6.561% 12/15/40 549300YUVD5TEXR6L889 NEW JERSEY ST TRANSPRTN TRUST REGD N/C B/E 6.56100000 646136XR7 85000.00000000 NS USD 128070.76000000 0.009772195230 Long DBT MUN US N 2 2040-12-15 Fixed 6.56100000 N N N N N N BANK OF MONTREAL V/R 12/15/32 NQQ6HPCNCCU6TUTQYE16 BANK OF MONTREAL REGD V/R 3.80300000 06368BGS1 50000.00000000 NS USD 55210.32000000 0.004212718233 Long DBT CORP CA N 2 2032-12-15 Variable 3.80300000 N N N N N N AEP TEXAS INC 2.4% 10/01/22 N/A AEP TEXAS INC REGD SER WI 2.40000000 00108WAD2 50000.00000000 NS USD 51060.02000000 0.003896037502 Long DBT CORP US N 2 2022-10-01 Fixed 2.40000000 N N N N N N AT&T INC 3.85% 06/01/60 549300Z40J86GGSTL398 AT&T INC REGD 3.85000000 00206RKB7 50000.00000000 NS USD 53370.48000000 0.004072332748 Long DBT CORP US N 2 2060-06-01 Fixed 3.85000000 N N N N N N PROCTER & GAMBLE C 3% 03/25/30 2572IBTT8CCZW6AU4141 PROCTER & GAMBLE CO/THE REGD 3.00000000 742718FH7 80000.00000000 NS USD 88840.70000000 0.006778820277 Long DBT CORP US N 2 2030-03-25 Fixed 3.00000000 N N N N N N GNR 2013-53 OI 3.5% 04/20/43 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-53 CL OI 3.50000000 38378MVC6 135453.05000000 NS USD 13589.64000000 0.001036931577 Long ABS-CBDO CORP US N 2 2043-04-20 Fixed 3.50000000 N N N N N N BROADCOM INC 3.625% 10/15/24 549300WV6GIDOZJTV909 BROADCOM INC REGD 3.62500000 11135FAY7 85000.00000000 NS USD 91970.14000000 0.007017606231 Long DBT CORP US N 2 2024-10-15 Fixed 3.62500000 N N N N N N T/L MILANO ACQUIS 0% 10/01/27 N/A T/L MILANO ACQUISITION CORP REGD 0.00000000 59909TAC8 109724.31000000 NS USD 110204.35000000 0.008408932869 Long LON CORP US N 2 2027-10-01 Variable 4.75000000 N N N N N N NORTHROP GRUMMA 4.75% 06/01/43 RIMU48P07456QXSO0R61 NORTHROP GRUMMAN CORP REGD 4.75000000 666807BH4 29000.00000000 NS USD 37627.30000000 0.002871079406 Long DBT CORP US N 2 2043-06-01 Fixed 4.75000000 N N N N N N BAMLL 2020-JGDN V/R 11/15/22 N/A BAMLL COMMERCIAL MORTGAGE SECURITIES SER 2020-JGDN CL A V/R REGD 144A P/P 2.84600000 05493DAA2 710000.00000000 NS USD 722800.16000000 0.055151888503 Long ABS-CBDO CORP US Y 2 2030-11-15 Variable 2.84600000 N N N N N N FNA 2020-M6 A 2.5% 10/25/37 N/A FANNIE MAE-ACES SER 2020-M6 CL A 2.50000000 3136B8UA5 93489.56000000 NS USD 99431.85000000 0.007586957790 Long ABS-CBDO CORP US N 2 2037-10-25 Fixed 2.50000000 N N N N N N UMBS P#CA8962 2.5% 02/01/51 N/A FANNIE MAE POOL UMBS P#CA8962 2.50000000 3140QG5Y9 95125.30000000 NS USD 100513.92000000 0.007669523079 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N CIMAREX ENERGY C 3.9% 05/15/27 11KYOFXPU1C4CQL1CL44 CIMAREX ENERGY CO REGD 3.90000000 171798AD3 470000.00000000 NS USD 519449.96000000 0.039635639091 Long DBT CORP US N 2 2027-05-15 Fixed 3.90000000 N N N N N N SUZANO AUSTRIA 3.75% 01/15/31 N/A SUZANO AUSTRIA GMBH REGD 3.75000000 86964WAJ1 380000.00000000 NS USD 399478.80000000 0.030481468400 Long DBT CORP BR N 2 2031-01-15 Fixed 3.75000000 N N N N N N FGLMC P#G08741 3% 01/01/47 N/A FREDDIE MAC GOLD POOL P#G08741 3.00000000 3128MJZF0 625637.44000000 NS USD 664237.75000000 0.050683395432 Long ABS-MBS USGA US N 2 2047-01-01 Fixed 3.00000000 N N N N N N UMBS P#AS8392 2.5% 11/01/31 N/A FANNIE MAE POOL UMBS P#AS8392 2.50000000 3138WJKE7 365746.80000000 NS USD 384007.69000000 0.029300974841 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N SANTANDER UK GROU V/R 11/03/28 N/A SANTANDER UK GROUP HLDGS REGD V/R 3.82300000 80281LAG0 200000.00000000 NS USD 221113.88000000 0.016871673155 Long DBT CORP GB N 2 2028-11-03 Variable 3.82300000 N N N N N N CVS HEALTH COR 2.125% 09/15/31 549300EJG376EN5NQE29 CVS HEALTH CORP REGD 2.12500000 126650DR8 140000.00000000 NS USD 139639.84000000 0.010654951828 Long DBT CORP US N 2 2031-09-15 Fixed 2.12500000 N N N N N N FGLMC P#G16728 2.5% 11/01/31 N/A FREDDIE MAC GOLD POOL P#G16728 2.50000000 3128MFVV7 463137.71000000 NS USD 486437.92000000 0.037116718302 Long ABS-MBS USGA US N 2 2031-11-01 Fixed 2.50000000 N N N N N N US TREAS NTS 1% 07/31/28 N/A UNITED STATES TREASURY NOTE 1.00000000 91282CCR0 4595000.00000000 NS USD 4574178.90000000 0.349024002273 Long DBT UST US N 2 2028-07-31 Fixed 1.00000000 N N N N N N REPUBLIC SERVICE 2.5% 08/15/24 NKNQHM6BLECKVOQP7O46 REPUBLIC SERVICES INC REGD 2.50000000 760759AU4 130000.00000000 NS USD 136511.67000000 0.010416262778 Long DBT CORP US N 2 2024-08-15 Fixed 2.50000000 N N N N N N UMBS P#SD8065 4.5% 05/01/50 N/A FREDDIE MAC POOL UMBS P#SD8065 4.50000000 3132DV6A8 97621.76000000 NS USD 105737.12000000 0.008068069399 Long ABS-MBS USGA US N 2 2050-05-01 Fixed 4.50000000 N N N N N N COMCAST CORP 2.987% 11/01/63 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 144A P/P 2.98700000 20030NDV0 95000.00000000 NS USD 93883.83000000 0.007163626699 Long DBT CORP US Y 2 2063-11-01 Fixed 2.98700000 N N N N N N T/L GARDA WORLD 0% 10/30/2026 N/A T/L GARDA WORLD SECURITY CORPORATION REGD 0.00000000 C4000KAD6 75577.19000000 NS USD 75557.16000000 0.005765245076 Long LON CORP CA N 2 2026-10-30 Variable 4.34000000 N N N N N N UMBS P#MA2806 3% 11/01/46 N/A FANNIE MAE POOL UMBS P#MA2806 3.00000000 31418CDL5 336057.69000000 NS USD 353747.72000000 0.026992045507 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N UMBS P#CA3633 3.5% 06/01/49 N/A FANNIE MAE POOL UMBS P#CA3633 3.50000000 3140QBBB3 249097.73000000 NS USD 270881.01000000 0.020669059150 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N FGLMC P#A97420 4% 03/01/41 N/A FREDDIE MAC GOLD POOL P#A97420 4.00000000 312946G59 146481.05000000 NS USD 161301.91000000 0.012307834790 Long ABS-MBS USGA US N 2 2041-03-01 Fixed 4.00000000 N N N N N N PETROLEOS MEXIC 6.95% 01/28/60 N/A PETROLEOS MEXICANOS REGD SER WI 6.95000000 71654QDF6 170000.00000000 NS USD 150247.70000000 0.011464364366 Long DBT CORP MX N 2 2060-01-28 Fixed 6.95000000 N N N N N N MACQUARIE GROUP L V/R 01/12/27 ACMHD8HWFMFUIQQ8Y590 MACQUARIE GROUP LTD REGD V/R 144A P/P 1.34000000 55608JAR9 540000.00000000 NS USD 538579.76000000 0.041095302017 Long DBT CORP AU Y 2 2027-01-12 Variable 1.34000000 N N N N N N AT&T INC 4.1% 02/15/28 549300Z40J86GGSTL398 AT&T INC REGD SER * 4.10000000 00206RGL0 306000.00000000 NS USD 349501.18000000 0.026668021367 Long DBT CORP US N 2 2028-02-15 Fixed 4.10000000 N N N N N N TARGA RESOURCES 6.5% 07/15/27 N/A TARGA RESOURCES PARTNERS REGD 144A 6.50000000 87612BBL5 50000.00000000 NS USD 54198.50000000 0.004135513236 Long DBT CORP US Y 2 2027-07-15 Fixed 6.50000000 N N N N N N OFFICE CHERIFI 5.125% 06/23/51 N/A OFFICE CHERIFIEN DES PHO REGD 144A P/P 5.12500000 67091TAE5 200000.00000000 NS USD 202576.60000000 0.015457221338 Long DBT CORP MA Y 2 2051-06-23 Fixed 5.12500000 N N N N N N GNR 2020-123 NI 2.5% 08/20/50 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-123 CL NI 2.50000000 38382HM98 285364.38000000 NS USD 37402.94000000 0.002853960044 Long ABS-CBDO CORP US N 2 2050-08-20 Fixed 2.50000000 N N N N N N CVS HEALTH COR 3.875% 07/20/25 549300EJG376EN5NQE29 CVS HEALTH CORP REGD 3.87500000 126650CL2 116000.00000000 NS USD 127770.88000000 0.009749313458 Long DBT CORP US N 2 2025-07-20 Fixed 3.87500000 N N N N N N GNMA II P#MA7255 2.5% 03/20/51 N/A GINNIE MAE II POOL P#MA7255 2.50000000 36179WBY3 725661.10000000 NS USD 753422.38000000 0.057488458632 Long ABS-MBS USGSE US N 2 2051-03-20 Fixed 2.50000000 N N N N N N BARCLAYS PLC V/R 05/16/29 213800LBQA1Y9L22JB70 BARCLAYS PLC REGD V/R MTN 4.97200000 06738EBD6 620000.00000000 NS USD 729247.95000000 0.055643874829 Long DBT CORP GB N 2 2029-05-16 Variable 4.97200000 N N N N N N VALE OVERSEAS 6.875% 11/21/36 N/A VALE OVERSEAS LIMITED REGD 6.87500000 91911TAH6 125000.00000000 NS USD 175480.63000000 0.013389714994 Long DBT CORP BR N 2 2036-11-21 Fixed 6.87500000 N N N N N N OCCIDENTAL PET 7.875% 09/15/31 IM7X0T3ECJW4C1T7ON55 OCCIDENTAL PETROLEUM COR REGD 7.87500000 674599DE2 75000.00000000 NS USD 99736.50000000 0.007610203528 Long DBT CORP US N 2 2031-09-15 Fixed 7.87500000 N N N N N N SHELL INTERNATI 4.55% 08/12/43 N/A SHELL INTERNATIONAL FIN REGD 4.55000000 822582AY8 90000.00000000 NS USD 114107.61000000 0.008706763684 Long DBT CORP NL N 2 2043-08-12 Fixed 4.55000000 N N N N N N GOLDMAN SACHS GR 3.2% 02/23/23 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD 3.20000000 38141GWT7 130000.00000000 NS USD 135056.11000000 0.010305199047 Long DBT CORP US N 2 2023-02-23 Fixed 3.20000000 N N N N N N SOUTHERN CAL E 1.845% 02/01/22 9R1Z5I36FERIBVKW4P77 SOUTHERN CAL EDISON REGD 1.84500000 842400GF4 3214.29000000 NS USD 3217.14000000 0.000245477735 Long DBT CORP US N 2 2022-02-01 Fixed 1.84500000 N N N N N N COMCAST CORP 7.05% 03/15/33 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 7.05000000 20030NAC5 56000.00000000 NS USD 82072.21000000 0.006262363548 Long DBT CORP US N 2 2033-03-15 Fixed 7.05000000 N N N N N N LOCKHEED MARTIN 4.07% 12/15/42 DPRBOZP0K5RM2YE8UU08 LOCKHEED MARTIN CORP REGD 4.07000000 539830BB4 60000.00000000 NS USD 73738.61000000 0.005626484085 Long DBT CORP US N 2 2042-12-15 Fixed 4.07000000 N N N N N N ECMC 2016-1A A V/R 02/25/29 N/A ECMC GROUP STUDENT LOAN TRUST 2016-1 SER 2016-1A CL A V/R 1.43438000 26827XAA1 174460.44000000 NS USD 180035.18000000 0.013737241250 Long ABS-CBDO CORP US Y 2 2066-07-26 Variable 1.43438000 N N N N N N FGLMC P#H00790 5.5% 05/01/37 N/A FREDDIE MAC GOLD POOL P#H00790 5.50000000 3128MS2X7 32640.44000000 NS USD 34735.22000000 0.002650404754 Long ABS-MBS USGA US N 2 2037-05-01 Fixed 5.50000000 N N N N N N BAT CAPITAL CO 3.557% 08/15/27 N/A BAT CAPITAL CORP REGD 3.55700000 05526DBB0 500000.00000000 NS USD 541516.57000000 0.041319389707 Long DBT CORP US N 2 2027-08-15 Fixed 3.55700000 N N N N N N TPGI 2021-DGWD A V/R 06/15/26 N/A TPGI TRUST 2021-DGWD SER 2021-DGWD CL A V/R REGD 144A P/P 0.80000000 87267HAA5 200000.00000000 NS USD 200443.60000000 0.015294466839 Long ABS-CBDO CORP US Y 2 2026-06-15 Variable 0.80000000 N N N N N N MLCFC 2007-5 AJ V/R 08/12/48 N/A ML-CFC COMMERCIAL MORTGAGE TRUST 2007-5 SER 2007-5 CL AJ V/R REGD 5.45000000 55312YAH5 31802.58000000 NS USD 15774.74000000 0.001203661467 Long ABS-CBDO CORP US N 2 2048-08-12 Variable 5.45000000 N N N N N N UMBS P#CB0189 3% 04/01/51 N/A FANNIE MAE POOL UMBS P#CB0189 3.00000000 3140QKF78 2265593.03000000 NS USD 2392719.96000000 0.182571935863 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 3.00000000 N N N N N N UMBS P#FM3454 3.5% 10/01/47 N/A FANNIE MAE POOL UMBS P#FM3454 3.50000000 3140X6ZU8 56909.84000000 NS USD 62084.45000000 0.004737235620 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.50000000 N N N N N N ONCOR ELECTRIC D 3.1% 09/15/49 N/A ONCOR ELECTRIC DELIVERY REGD SER * 3.10000000 68233JBR4 98000.00000000 NS USD 104828.60000000 0.007998746512 Long DBT CORP US N 2 2049-09-15 Fixed 3.10000000 N N N N N N FHS 353 S1 V/R 12/15/46 N/A FREDDIE MAC STRIPS SER 353 CL S1 V/R 5.90450000 31325WSM5 99684.29000000 NS USD 21567.22000000 0.001645645613 Long ABS-CBDO CORP US N 2 2046-12-15 Variable 5.90450000 N N N N N N FGLMC P#G67714 4% 07/01/48 N/A FREDDIE MAC GOLD POOL P#G67714 4.00000000 3132XCSB2 114537.27000000 NS USD 125709.82000000 0.009592048203 Long ABS-MBS USGA US N 2 2048-07-01 Fixed 4.00000000 N N N N N N GNMA II P#BM9734 4% 10/20/49 N/A GINNIE MAE II POOL P#BM9734 4.00000000 3617K1Y72 64756.61000000 NS USD 69682.48000000 0.005316988816 Long ABS-MBS USGSE US N 2 2049-10-20 Fixed 4.00000000 N N N N N N ANHEUSER-BUSCH I 3.5% 06/01/30 N/A ANHEUSER-BUSCH INBEV WOR REGD 3.50000000 035240AV2 260000.00000000 NS USD 289696.50000000 0.022104739251 Long DBT CORP US N 2 2030-06-01 Fixed 3.50000000 N N N N N N TRANSOCEAN PHOE 7.75% 10/15/24 N/A TRANSOCEAN PHOENIX 2 LTD REGD 144A P/P 7.75000000 893828AA1 20900.00000000 NS USD 21239.63000000 0.001620649482 Long DBT CORP KY Y 2 2024-10-15 Fixed 7.75000000 N N N N N N BNP PARIBAS V/R 06/09/26 R0MUWSFPU8MPRO8K5P83 BNP PARIBAS REGD V/R 144A P/P 2.21900000 09659W2L7 220000.00000000 NS USD 226553.55000000 0.017286736806 Long DBT CORP FR Y 2 2026-06-09 Variable 2.21900000 N N N N N N ENERGY TRANSFER 5.3% 04/01/44 MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD SER 30YR 5.30000000 86765BAP4 200000.00000000 NS USD 233326.27000000 0.017803516296 Long DBT CORP US N 2 2044-04-01 Fixed 5.30000000 N N N N N N CSX CORP 2.5% 05/15/51 549300JVQR4N1MMP3Q88 CSX CORP REGD 2.50000000 126408HT3 60000.00000000 NS USD 55423.50000000 0.004228984526 Long DBT CORP US N 2 2051-05-15 Fixed 2.50000000 N N N N N N GNMA II P#4696 4.5% 05/20/40 N/A GINNIE MAE II POOL P#4696 4.50000000 36202FGD2 32995.05000000 NS USD 36505.72000000 0.002785499382 Long ABS-MBS USGSE US N 2 2040-05-20 Fixed 4.50000000 N N N N N N UMBS P#888412 7% 04/01/37 N/A FANNIE MAE POOL UMBS P#888412 7.00000000 31410GAM5 20742.86000000 NS USD 23752.12000000 0.001812360243 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 7.00000000 N N N N N N US BANCORP 3.1% 04/27/26 N1GZ7BBF3NP8GI976H15 US BANCORP REGD MTN 3.10000000 91159HHM5 56000.00000000 NS USD 61011.13000000 0.004655337983 Long DBT CORP US N 2 2026-04-27 Fixed 3.10000000 N N N N N N NORTHROP GRUMMA 5.25% 05/01/50 RIMU48P07456QXSO0R61 NORTHROP GRUMMAN CORP REGD 5.25000000 666807BU5 248000.00000000 NS USD 352813.01000000 0.026920724242 Long DBT CORP US N 2 2050-05-01 Fixed 5.25000000 N N N N N N VIACOMCBS INC 3.875% 04/01/24 5KYC8KF17ROCY24M3H09 VIACOMCBS INC REGD 3.87500000 92553PAX0 10000.00000000 NS USD 10716.39000000 0.000817693712 Long DBT CORP US N 2 2024-04-01 Fixed 3.87500000 N N N N N N UMBS P#AL0484 5.5% 05/01/40 N/A FANNIE MAE POOL UMBS P#AL0484 5.50000000 3138EGRE6 39085.54000000 NS USD 45506.09000000 0.003472255459 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.50000000 N N N N N N RAYTHEON TECH C 3.95% 08/16/25 I07WOS4YJ0N7YRFE7309 RAYTHEON TECH CORP REGD 3.95000000 913017DD8 120000.00000000 NS USD 133173.32000000 0.010161536345 Long DBT CORP US N 2 2025-08-16 Fixed 3.95000000 N N N N N N UNION PACIFIC C 3.75% 02/05/70 549300LMMRSZZCZ8CL11 UNION PACIFIC CORP REGD 3.75000000 907818FL7 160000.00000000 NS USD 182464.41000000 0.013922599015 Long DBT CORP US N 2 2070-02-05 Fixed 3.75000000 N N N N N N WELLS FARGO & C 4.15% 01/24/29 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD MTN 4.15000000 95000U2D4 736000.00000000 NS USD 847680.21000000 0.064680622688 Long DBT CORP US N 2 2029-01-24 Fixed 4.15000000 N N N N N N INTERCONTINENTAL 2.1% 06/15/30 5493000F4ZO33MV32P92 INTERCONTINENTALEXCHANGE REGD 2.10000000 45866FAK0 298000.00000000 NS USD 299296.03000000 0.022837213090 Long DBT CORP US N 2 2030-06-15 Fixed 2.10000000 N N N N N N CWHL 2005-11 6A1 V/R 03/25/35 N/A CHL MORTGAGE PASS-THROUGH TRUST 2005-11 SER 2005-11 CL 6A1 V/R REGD 0.68438000 12669GUX7 43583.41000000 NS USD 35369.38000000 0.002698793124 Long ABS-CBDO CORP US N 2 2035-03-25 Variable 0.68438000 N N N N N N HUMANA INC 4.5% 04/01/25 529900YLDW34GJAO4J06 HUMANA INC REGD 4.50000000 444859BM3 201000.00000000 NS USD 224285.55000000 0.017113681389 Long DBT CORP US N 2 2025-04-01 Fixed 4.50000000 N N N N N N CAPITAL ONE FIN 3.75% 03/09/27 ZUE8T73ROZOF6FLBAR73 CAPITAL ONE FINANCIAL CO REGD 3.75000000 14040HBN4 20000.00000000 NS USD 22379.26000000 0.001707606777 Long DBT CORP US N 2 2027-03-09 Fixed 3.75000000 N N N N N N CHENIERE ENERGY PA 4% 03/01/31 5493005UEC8AZ34LDV29 CHENIERE ENERGY PARTNERS REGD 144A P/P 4.00000000 16411QAH4 30000.00000000 NS USD 31612.50000000 0.002412131556 Long DBT CORP US Y 2 2031-03-01 Fixed 4.00000000 N N N N N N T/L ALTICE US FINA 0% 01/15/26 N/A T/L ALTICE US FINANCE I CORPORATION REGD 0.00000000 64072UAH5 69820.97000000 NS USD 68879.43000000 0.005255713617 Long LON CORP US N 2 2026-01-15 Variable 2.34513000 N N N N N N FHS 334 S7 V/R 08/15/44 N/A FREDDIE MAC STRIPS SER 334 CL S7 V/R 6.00450000 31325VKQ6 62834.55000000 NS USD 14363.02000000 0.001095942864 Long ABS-CBDO CORP US N 2 2044-08-15 Variable 6.00450000 N N N N N N UMBS P#MA1582 3.5% 09/01/43 N/A FANNIE MAE POOL UMBS P#MA1582 3.50000000 31418AXL7 242623.67000000 NS USD 263350.79000000 0.020094480066 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 3.50000000 N N N N N N GNMA P#782333 5.5% 06/15/38 N/A GINNIE MAE I POOL P#782333 5.50000000 36241KSW9 18140.85000000 NS USD 21354.10000000 0.001629383898 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 5.50000000 N N N N N N FHR 4335 SW V/R 05/15/44 N/A FREDDIE MAC REMICS SER 4335 CL SW V/R 5.90450000 3137BAQX3 57821.26000000 NS USD 10881.85000000 0.000830318822 Long ABS-CBDO CORP US N 2 2044-05-15 Variable 5.90450000 N N N N N N OI EUROPEAN GROUP 4% 03/15/23 N/A OI EUROPEAN GROUP BV REGD 144A P/P 4.00000000 67777LAC7 24000.00000000 NS USD 24865.20000000 0.001897291691 Long DBT CORP NL Y 2 2023-03-15 Fixed 4.00000000 N N N N N N BMW US CAPITAL 2.55% 04/01/31 N/A BMW US CAPITAL LLC REGD 144A P/P 2.55000000 05565EBS3 159000.00000000 NS USD 166569.03000000 0.012709732342 Long DBT CORP US Y 2 2031-04-01 Fixed 2.55000000 N N N N N N ECOPETROL SA 4.125% 01/16/25 N/A ECOPETROL SA REGD 4.12500000 279158AK5 95000.00000000 NS USD 99482.10000000 0.007590792020 Long DBT CORP CO N 2 2025-01-16 Fixed 4.12500000 N N N N N N GNMA II P#MA6657 3.5% 05/20/50 N/A GINNIE MAE II POOL P#MA6657 3.50000000 36179VME7 321803.23000000 NS USD 338862.70000000 0.025856272428 Long ABS-MBS USGSE US N 2 2050-05-20 Fixed 3.50000000 N N N N N N HVMLT 2006-10 1A V/R 11/19/36 N/A HARBORVIEW MORTGAGE LOAN TRUST 2006-10 SER 2006-10 CL 1A1A V/R REGD 0.28650000 41162CAA9 782908.99000000 NS USD 734501.73000000 0.056044754498 Long ABS-CBDO CORP US N 2 2036-11-19 Variable 0.28650000 N N N N N N UMBS P#889117 5% 10/01/35 N/A FANNIE MAE POOL UMBS P#889117 5.00000000 31410GYN7 41328.25000000 NS USD 47096.63000000 0.003593618582 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.00000000 N N N N N N FNR 2006-51 SP V/R 03/25/36 N/A FANNIE MAE REMICS SER 2006-51 CL SP V/R 6.56562000 31395DS42 357817.45000000 NS USD 45820.71000000 0.003496261939 Long ABS-CBDO CORP US N 2 2036-03-25 Variable 6.56562000 N N N N N N COMM 2015-CR2 3.349% 09/10/25 N/A COMM 2015-CCRE27 MORTGAGE TRUST SER 2015-CR27 CL A3 REGD 3.34900000 12635QBF6 901981.63000000 NS USD 960818.97000000 0.073313460120 Long ABS-CBDO CORP US N 2 2048-10-10 Fixed 3.34900000 N N N N N N ORBIA ADVANCE 1.875% 05/11/26 549300MVHZ20SBIOEQ79 ORBIA ADVANCE CORP SAB REGD 144A P/P 1.87500000 68560EAA6 270000.00000000 NS USD 272435.40000000 0.020787663916 Long DBT CORP MX Y 2 2026-05-11 Fixed 1.87500000 N N N N N N T/L ASURION LLC 0% 07/29/2027 N/A T/L ASURION LLC REGD 0.00000000 N/A 119700.00000000 NS USD 117480.76000000 0.008964145465 Long LON CORP US N 2 2027-07-29 Variable 3.33463000 N N N N N N AMER AIRLINE 16-3 3% 10/15/28 N/A AMER AIRLINE 16-3 AA PTT REGD 3.00000000 023771R91 92409.09000000 NS USD 93340.54000000 0.007122171991 Long DBT CORP US N 2 2028-10-15 Fixed 3.00000000 N N N N N N UMBS P#BM1565 3% 04/01/47 N/A FANNIE MAE POOL UMBS P#BM1565 3.00000000 3140J5W39 474932.38000000 NS USD 508696.14000000 0.038815089353 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.00000000 N N N N N N MICROSOFT CORP 2.4% 08/08/26 INR2EJN1ERAN0W5ZP974 MICROSOFT CORP REGD 2.40000000 594918BR4 1030000.00000000 NS USD 1101728.42000000 0.084065287119 Long DBT CORP US N 2 2026-08-08 Fixed 2.40000000 N N N N N N UNICREDIT SPA V/R 04/02/34 549300TRUWO2CD2G5692 UNICREDIT SPA REGD V/R 144A P/P MTN 7.29600000 904678AQ2 200000.00000000 NS USD 242181.87000000 0.018479225975 Long DBT CORP IT Y 2 2034-04-02 Variable 7.29600000 N N N N N N FGLMC P#G08800 3.5% 02/01/48 N/A FREDDIE MAC GOLD POOL P#G08800 3.50000000 3128MJ3J7 391133.39000000 NS USD 414917.64000000 0.031659499659 Long ABS-MBS USGA US N 2 2048-02-01 Fixed 3.50000000 N N N N N N SANTANDER UK PLC 5% 11/07/23 N/A SANTANDER UK PLC REGD P/P 5.00000000 80283LAA1 535000.00000000 NS USD 580817.40000000 0.044318164630 Long DBT CORP GB Y 2 2023-11-07 Fixed 5.00000000 N N N N N N EASTMAN CHEMICAL 4.5% 12/01/28 FDPVHDGJ1IQZFK9KH630 EASTMAN CHEMICAL CO REGD 4.50000000 277432AW0 4000.00000000 NS USD 4677.17000000 0.000356882541 Long DBT CORP US N 2 2028-12-01 Fixed 4.50000000 N N N N N N T/L ALTERRA M 0% 07/30/28 N/A T/L ALTERRA MOUNTAIN COMPANY REGD 0.00000000 46124CAJ6 155959.60000000 NS USD 155570.48000000 0.011870508948 Long LON CORP US N 2 2028-07-30 Variable 4.00000000 N N N N N N SHELL INTERNAT 2.875% 05/10/26 N/A SHELL INTERNATIONAL FIN REGD 2.87500000 822582BT8 260000.00000000 NS USD 280975.18000000 0.021439275552 Long DBT CORP NL N 2 2026-05-10 Fixed 2.87500000 N N N N N N GNMA II P#5259 4% 12/20/41 N/A GINNIE MAE II POOL P#5259 4.00000000 36202FZY5 75598.84000000 NS USD 82883.29000000 0.006324251462 Long ABS-MBS USGSE US N 2 2041-12-20 Fixed 4.00000000 N N N N N N BECTON DICKINS 3.734% 12/15/24 ICE2EP6D98PQUILVRZ91 BECTON DICKINSON AND CO REGD 3.73400000 075887BF5 17000.00000000 NS USD 18461.60000000 0.001408677198 Long DBT CORP US N 2 2024-12-15 Fixed 3.73400000 N N N N N N SCRT 2018-2 MA 3.5% 11/25/57 N/A SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-2 SER 2018-2 CL MA 3.50000000 35563PFG9 121841.31000000 NS USD 127926.32000000 0.009761174011 Long ABS-CBDO CORP US N 2 2057-11-25 Fixed 3.50000000 N N N N N N SOUTHERN CAL EDI 1.2% 02/01/26 N/A SOUTHERN CAL EDISON REGD SER 20C 1.20000000 842400GV9 206000.00000000 NS USD 205270.01000000 0.015662736854 Long DBT CORP US N 2 2026-02-01 Fixed 1.20000000 N N N N N N ANGLO AMERICAN 4.75% 04/10/27 N/A ANGLO AMERICAN CAPITAL REGD 144A P/P 4.75000000 034863AR1 617000.00000000 NS USD 712820.07000000 0.054390376758 Long DBT CORP GB Y 2 2027-04-10 Fixed 4.75000000 N N N N N N SPRINT SPECTRU 5.152% 03/20/28 N/A SPRINT SPECTRUM / SPEC I REGD 144A P/P 5.15200000 85208NAE0 1000000.00000000 NS USD 1152900.00000000 0.087969836995 Long DBT CORP US Y 2 2028-03-20 Fixed 5.15200000 N N N N N N DBJPM 2016-C1 B V/R 03/10/26 N/A DBJPM 16-C1 MORTGAGE TRUST SER 2016-C1 CL B V/R REGD 4.19500000 23312LAU2 350000.00000000 NS USD 376792.19000000 0.028750409866 Long ABS-CBDO CORP US N 2 2049-05-10 Variable 4.19500000 N N N N N N STACR 2017-HRP1 V/R 12/25/42 N/A FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES SER 2017-HRP1 CL M2 V/R REGD 2.53438000 3137G0SN0 238226.13000000 NS USD 239545.76000000 0.018278082626 Long ABS-CBDO CORP US N 2 2042-12-25 Variable 2.53438000 N N N N N N JPMBB 2014-C23 E V/R 10/15/24 N/A JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C23 SER 2014-C23 CL E V/R REGD 3.36400000 46643AAJ2 350000.00000000 NS USD 260642.87000000 0.019887857392 Long ABS-CBDO CORP US Y 2 2047-09-15 Variable 3.36400000 N N N N N N FHR 5018 MI 2% 10/25/50 N/A FREDDIE MAC REMICS SER 5018 CL MI 2.00000000 3137FXC89 190436.20000000 NS USD 24505.60000000 0.001869853098 Long ABS-CBDO CORP US N 2 2050-10-25 Fixed 2.00000000 N N N N N N FGLMC P#G05518 5% 02/01/39 N/A FREDDIE MAC GOLD POOL P#G05518 5.00000000 3128M7PB6 10210.94000000 NS USD 11690.82000000 0.000892045736 Long ABS-MBS USGA US N 2 2039-02-01 Fixed 5.00000000 N N N N N N FGLMC P#A97052 5% 02/01/41 N/A FREDDIE MAC GOLD POOL P#A97052 5.00000000 312945ZR2 7888.21000000 NS USD 9015.07000000 0.000687877733 Long ABS-MBS USGA US N 2 2041-02-01 Fixed 5.00000000 N N N N N N OAKIG 2020-1A 1.85% 11/20/25 N/A OAK STREET INVESTMENT GRADE NET LEASE FUND SERIES 2 SER 2020-1A CL A1 REGD 144A P/P 1.85000000 67181DAA9 365160.67000000 NS USD 371393.34000000 0.028338460908 Long ABS-CBDO CORP US Y 2 2050-11-20 Fixed 1.85000000 N N N N N N SOHO 2021-SOHO B V/R 08/10/28 N/A SOHO TRUST 2021-SOHO SER 2021-SOHO CL B V/R REGD 144A P/P 2.78648000 83410JAE8 310000.00000000 NS USD 301450.79000000 0.023001627945 Long ABS-CBDO CORP US Y 2 2038-08-10 Variable 2.78648000 N N N N N N EOG RESOURCES IN 3.9% 04/01/35 XWTZDRYZPBUHIQBKDB46 EOG RESOURCES INC REGD 3.90000000 26875PAN1 260000.00000000 NS USD 300384.10000000 0.022920236198 Long DBT CORP US N 2 2035-04-01 Fixed 3.90000000 N N N N N N MLMI 2004-A3 4A3 V/R 05/25/34 N/A MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES ML SER 2004-A3 CL 4A3 V/R REGD 2.39357600 59020UHN8 13611.73000000 NS USD 13685.09000000 0.001044214707 Long ABS-CBDO CORP US N 2 2034-05-01 Variable 2.39357600 N N N N N N UMBS P#AS9326 3% 03/01/32 N/A FANNIE MAE POOL UMBS P#AS9326 3.00000000 3138WKLG8 72917.15000000 NS USD 77635.85000000 0.005923855555 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 3.00000000 N N N N N N FOX CORP 4.03% 01/25/24 549300DDU6FDRBIELS05 FOX CORP REGD SER WI 4.03000000 35137LAG0 200000.00000000 NS USD 215597.30000000 0.016450741033 Long DBT CORP US N 2 2024-01-25 Fixed 4.03000000 N N N N N N UMBS P#AQ4078 4% 06/01/43 N/A FANNIE MAE POOL UMBS P#AQ4078 4.00000000 3138MKQ82 33803.74000000 NS USD 37725.46000000 0.002878569318 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N GOLDMAN SACHS GR 3.5% 11/16/26 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD 3.50000000 38145GAH3 613000.00000000 NS USD 667771.38000000 0.050953022333 Long DBT CORP US N 2 2026-11-16 Fixed 3.50000000 N N N N N N BOEING CO 2.8% 03/01/27 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 2.80000000 097023BU8 646000.00000000 NS USD 673767.06000000 0.051410511268 Long DBT CORP US N 2 2027-03-01 Fixed 2.80000000 N N N N N N T/L IHEARTCOMMU 0% 05/01/2026 N/A T/L IHEARTCOMMUNICATIONS INC REGD 0.00000000 45174UAF5 162988.38000000 NS USD 161749.67000000 0.012342000263 Long LON CORP US N 2 2026-05-01 Variable 3.08436000 N N N N N N DEUTSCHE BANK NY V/R 11/24/26 N/A DEUTSCHE BANK NY REGD V/R 2.12900000 251526CE7 188000.00000000 NS USD 192181.62000000 0.014664052203 Long DBT CORP US N 2 2026-11-24 Variable 2.12900000 N N N N N N FNMA P#842083 6.0% 9/1/35 N/A FNMA P#842083 6.0% 9/1/35 6.00000000 31407VRC1 41956.97000000 NS USD 47154.10000000 0.003598003721 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6.00000000 N N N N N N GLP CAPITAL LP 5.375% 04/15/26 N/A GLP CAPITAL LP / FIN II REGD 5.37500000 361841AH2 490000.00000000 NS USD 562407.30000000 0.042913417040 Long DBT CORP US N 2 2026-04-15 Fixed 5.37500000 N N N N N N NORTHROP GRUMMA 2.93% 01/15/25 RIMU48P07456QXSO0R61 NORTHROP GRUMMAN CORP REGD 2.93000000 666807BM3 534000.00000000 NS USD 568053.41000000 0.043344232702 Long DBT CORP US N 2 2025-01-15 Fixed 2.93000000 N N N N N N GNMA P#689876 6.5% 09/15/38 N/A GINNIE MAE I POOL P#689876 6.50000000 36296FMZ3 10991.55000000 NS USD 12672.70000000 0.000966966218 Long ABS-MBS USGSE US N 2 2038-09-15 Fixed 6.50000000 N N N N N N HSBC HOLDINGS PLC V/R 05/24/32 MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC REGD V/R 2.80400000 404280CT4 255000.00000000 NS USD 263534.31000000 0.020108483210 Long DBT CORP GB N 2 2032-05-24 Variable 2.80400000 N N N N N N T/L GOLDEN NUGGET 0% 10/04/23 N/A T/L GOLDEN NUGGET INC REGD 0.00000000 N/A 137822.28000000 NS USD 137082.17000000 0.010459793694 Long LON CORP US N 2 2023-10-04 Variable 3.25000000 N N N N N N UMBS P#AD6374 5% 05/01/40 N/A FANNIE MAE POOL UMBS P#AD6374 5.00000000 31418UCL6 3458.78000000 NS USD 3925.87000000 0.000299556027 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 5.00000000 N N N N N N WFCM 2018-C43 XA V/R 03/15/51 N/A WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C43 SER 2018-C43 CL XA V/R REGD 0.81786000 95001LAV4 11511508.34000000 NS USD 429455.24000000 0.032768763517 Long ABS-CBDO CORP US N 2 2051-03-15 Variable 0.81786000 N N N N N N UMBS P#AS4489 2.5% 03/01/30 N/A FANNIE MAE POOL UMBS P#AS4489 2.50000000 3138WD7B1 192096.23000000 NS USD 202535.46000000 0.015454082229 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 2.50000000 N N N N N N GNMA II P#MA5138 4.5% 04/20/48 N/A GINNIE MAE II POOL P#MA5138 4.50000000 36179TV77 135088.42000000 NS USD 144696.92000000 0.011040822678 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4.50000000 N N N N N N CITIGROUP INC V/R 03/20/30 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD V/R 3.98000000 172967ME8 100000.00000000 NS USD 113686.34000000 0.008674619479 Long DBT CORP US N 2 2030-03-20 Variable 3.98000000 N N N N N N GOLDMAN SACHS G 6.25% 02/01/41 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD 6.25000000 38141GGM0 370000.00000000 NS USD 549923.20000000 0.041960841585 Long DBT CORP US N 2 2041-02-01 Fixed 6.25000000 N N N N N N AMAZON.COM INC 1.5% 06/03/30 ZXTILKJKG63JELOEG630 AMAZON.COM INC REGD 1.50000000 023135BS4 120000.00000000 NS USD 118085.93000000 0.009010321808 Long DBT CORP US N 2 2030-06-03 Fixed 1.50000000 N N N N N N F/C US 2YR NOTE (CBT) DEC21 N/A FUTURE CONTRACT ON US 2YR NOTE (CBT) DEC21 0.00000000 N/A -12.00000000 NC USD -2643937.51000000 -0.20174061217 N/A DIR CORP US N 1 GOLDMAN, SACHS AND CO. FOR8UP27PHTHYVLBNG30 Short F/C US 2YR NOTE (CBT) DEC21 US 2YR NOTE (CBT) DEC21 2021-12-31 2642189.05000000 USD -1748.46000000 N N N UNITED MEXICAN 3.25% 04/16/30 N/A UNITED MEXICAN STATES REGD 3.25000000 91087BAH3 550000.00000000 NS USD 577346.00000000 0.044053286069 Long DBT USGA MX N 2 2030-04-16 Fixed 3.25000000 N N N N N N CHARTER COMM O 4.908% 07/23/25 N/A CHARTER COMM OPT LLC/CAP REGD SER WI 4.90800000 161175AY0 300000.00000000 NS USD 339877.16000000 0.025933678865 Long DBT CORP US N 2 2025-07-23 Fixed 4.90800000 N N N N N N JPMORGAN CHASE & V/R 02/01/28 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 3.78200000 46625HRY8 992000.00000000 NS USD 1103697.24000000 0.084215514177 Long DBT CORP US N 2 2028-02-01 Variable 3.78200000 N N N N N N CITIGROUP INC V/R 06/03/31 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD V/R 2.57200000 172967MS7 70000.00000000 NS USD 72341.93000000 0.005519913080 Long DBT CORP US N 2 2031-06-03 Variable 2.57200000 N N N N N N WI TREASURY SEC 0.25% 06/15/24 N/A WI TREASURY N/B REGD 0.25000000 91282CCG4 6377000.00000000 NS USD 6358068.28000000 0.485140281201 Long DBT UST US N 2 2024-06-15 Fixed 0.25000000 N N N N N N LYB INT FINANCE 4.2% 05/01/50 N/A LYB INT FINANCE III REGD 4.20000000 50249AAD5 87000.00000000 NS USD 102185.57000000 0.007797075146 Long DBT CORP US N 2 2050-05-01 Fixed 4.20000000 N N N N N N UMBS P#MA4204 2% 12/01/40 N/A FANNIE MAE POOL UMBS P#MA4204 2.00000000 31418DU67 358826.76000000 NS USD 365567.20000000 0.027893908400 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 2.00000000 N N N N N N CAMERON LNG LL 3.302% 01/15/35 N/A CAMERON LNG LLC REGD 144A P/P 3.30200000 133434AB6 533000.00000000 NS USD 579237.24000000 0.044197593533 Long DBT CORP US Y 2 2035-01-15 Fixed 3.30200000 N N N N N N UMBS P#BD8104 3% 10/01/46 N/A FANNIE MAE POOL UMBS P#BD8104 3.00000000 3140FGAE9 417186.52000000 NS USD 447179.34000000 0.034121167184 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N VERIZON COMMUN 4.522% 09/15/48 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD SER WI 4.52200000 92343VCX0 150000.00000000 NS USD 188598.77000000 0.014390669662 Long DBT CORP US N 2 2048-09-15 Fixed 4.52200000 N N N N N N BRISTOL-MYERS 3.875% 08/15/25 HLYYNH7UQUORYSJQCN42 BRISTOL-MYERS SQUIBB CO REGD 3.87500000 110122DC9 137000.00000000 NS USD 151894.02000000 0.011589983675 Long DBT CORP US N 2 2025-08-15 Fixed 3.87500000 N N N N N N BANK OF AMERICA C V/R 06/14/29 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 2.08700000 06051GJZ3 3215000.00000000 NS USD 3263933.14000000 0.249048196972 Long DBT CORP US N 2 2029-06-14 Variable 2.08700000 N N N N N N WALT DISNEY COMP 6.2% 12/15/34 549300GZKULIZ0WOW665 WALT DISNEY COMPANY/THE REGD SER WI 6.20000000 254687DZ6 25000.00000000 NS USD 35576.09000000 0.002714565737 Long DBT CORP US N 2 2034-12-15 Fixed 6.20000000 N N N N N N UMBS P#QC4446 2.5% 07/01/51 N/A FREDDIE MAC POOL UMBS P#QC4446 2.50000000 3133AN5F7 99809.38000000 NS USD 104770.95000000 0.007994347639 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 2.50000000 N N N N N N CSMC 2019-SKLZ D V/R 01/15/21 N/A CREDIT SUISSE COMMERCIAL MORTGAGE SECURI SER 2019-SKLZ CL D V/R REGD 144A P/P 3.69600000 12655GAL1 190000.00000000 NS USD 188215.88000000 0.014361453971 Long ABS-CBDO CORP US Y 2 2034-01-15 Variable 3.69600000 N N N N N N FNR 2012-51 B 7.00% 05/25/42 N/A FANNIE MAE REMICS SER 2012-51_ CL B 7.00000000 3136A54N3 109258.03000000 NS USD 134289.86000000 0.010246731801 Long ABS-CBDO CORP US N 2 2042-05-25 Fixed 7.00000000 N N N N N N ENTERGY TEXAS I 3.45% 12/01/27 N/A ENTERGY TEXAS INC REGD 3.45000000 29365TAF1 60000.00000000 NS USD 65463.16000000 0.004995041646 Long DBT CORP US N 2 2027-12-01 Fixed 3.45000000 N N N N N N SAUDI INTERNATI 3.25% 10/26/26 N/A SAUDI INTERNATIONAL BOND REGD REG S EMTN 3.25000000 M6320UAD1 200000.00000000 NS USD 217707.80000000 0.016611778713 Long DBT USGA SA N 2 2026-10-26 Fixed 3.25000000 N N N N N N UMBS P#AP4903 4% 09/01/42 N/A FANNIE MAE POOL UMBS P#AP4903 4.00000000 3138M8NV1 32281.07000000 NS USD 35712.62000000 0.002724983398 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.00000000 N N N N N N RYDER SYSTEM INC 2.9% 12/01/26 ZXJ6Y2OSPZXIVGRILD15 RYDER SYSTEM INC REGD MTN 2.90000000 78355HKP3 161000.00000000 NS USD 172962.50000000 0.013197573884 Long DBT CORP US N 2 2026-12-01 Fixed 2.90000000 N N N N N N C/O US 5YR FUTR O OCT21 123.75 N/A CALL OPTION ON US 5YR FUTR OPTN OCT21 123.75 0.00000000 N/A -66.00000000 NC USD -19593.75000000 -0.00149506374 N/A DO CORP US N 1 WESTERN N/A Call Purchased C/O US 5YR FUTR O OCT21 123.75 0 -66000.00000000 USD 123.75000000 USD 2021-09-24 XXXX -5325.11000000 N N N RUSSIA GOVT 6.9% 05/23/29/RUB/ N/A RUSSIA GOVT BOND - OFZ /RUB/ REGD SER 6224 6.90000000 X5424XBW7 170520000.00000000 NS 2337998.39000000 0.178396510767 Long DBT USGA RU N 2 2029-05-23 Fixed 6.90000000 N N N N N N CIM 2018-R5 A1 V/R 07/25/58 N/A CIM TRUST 2018-R5 SER 2018-R5 CL A1 V/R REGD 144A P/P 3.75000000 12553UAA7 581586.28000000 NS USD 581129.21000000 0.044341956697 Long ABS-CBDO CORP US Y 2 2058-07-25 Variable 3.75000000 N N N N N N UMBS P#995072 5.5% 08/01/38 N/A FANNIE MAE POOL UMBS P#995072 5.50000000 31416BMV7 18932.59000000 NS USD 22076.57000000 0.001684510594 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.50000000 N N N N N N UMBS P#MA3939 3.5% 02/01/50 N/A FANNIE MAE POOL UMBS P#MA3939 3.50000000 31418DLV2 197520.73000000 NS USD 208713.26000000 0.015925467482 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N FRESB 2019-SB60 V/R 01/25/29 N/A FRESB 2019-SB60 MORTGAGE TRUST SER 2019-SB60 CL A10H V/R 3.50000000 30308GAH3 187768.28000000 NS USD 201844.70000000 0.015401375103 Long ABS-CBDO CORP US N 2 2039-01-25 Variable 3.50000000 N N N N N N N/A N/A IRS RUS3MP01.35 02/15/28 GOLDUS33 FLOAT N/A 1.00000000 NC USD -222993.80000000 -0.01701511686 N/A DIR US N 2 CITIGROUP N/A CITIGROUP N/A N/A N/A Y 2028-02-15 -10402165.35000000 USD 10365000.00000000 USD 10365000.00000000 USD -169941.42000000 N N N GLENCORE FUNDI 4.125% 03/12/24 N/A GLENCORE FUNDING LLC REGD 144A P/P 4.12500000 378272AT5 820000.00000000 NS USD 882089.64000000 0.067306168658 Long DBT CORP US Y 2 2024-03-12 Fixed 4.12500000 N N N N N N SYNCHRONY FINANC 3.7% 08/04/26 549300RS7EWPM9MA6C78 SYNCHRONY FINANCIAL REGD 3.70000000 87165BAL7 265000.00000000 NS USD 290621.18000000 0.022175295196 Long DBT CORP US N 2 2026-08-04 Fixed 3.70000000 N N N N N N UMBS P#BN1623 4.5% 11/01/48 N/A FANNIE MAE POOL UMBS P#BN1623 4.50000000 3140JHYV9 126921.28000000 NS USD 140247.48000000 0.010701316640 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.50000000 N N N N N N GNMA P#740493 5% 07/15/40 N/A GINNIE MAE I POOL P#740493 5.00000000 3620AUUS1 141059.30000000 NS USD 159736.50000000 0.012188389164 Long ABS-MBS USGSE US N 2 2040-07-15 Fixed 5.00000000 N N N N N N ALTRIA GROUP INC 4.4% 02/14/26 XSGZFLO9YTNO9VCQV219 ALTRIA GROUP INC REGD 4.40000000 02209SBC6 130000.00000000 NS USD 147147.75000000 0.011227828590 Long DBT CORP US N 2 2026-02-14 Fixed 4.40000000 N N N N N N UMBS P#FM2373 5% 12/01/49 N/A FANNIE MAE POOL UMBS P#FM2373 5.00000000 3140X5T78 72494.88000000 NS USD 79425.14000000 0.006060383918 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 5.00000000 N N N N N N UMBS P#MA0706 4.5% 04/01/31 N/A FANNIE MAE POOL UMBS P#MA0706 4.50000000 31417YYC5 15458.45000000 NS USD 16911.52000000 0.001290401299 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4.50000000 N N N N N N TARGA RESOURCE 6.875% 01/15/29 N/A TARGA RESOURCES PARTNERS REGD 144A 6.87500000 87612BBN1 20000.00000000 NS USD 22509.00000000 0.001717506341 Long DBT CORP US Y 2 2029-01-15 Fixed 6.87500000 N N N N N N WESTLAKE CHEMI 3.375% 08/15/61 N/A WESTLAKE CHEMICAL CORP REGD 3.37500000 960413BA9 84000.00000000 NS USD 81188.32000000 0.006194920007 Long DBT CORP US N 2 2061-08-15 Fixed 3.37500000 N N N N N N GNMA II P#MA5265 4.5% 06/20/48 N/A GINNIE MAE II POOL P#MA5265 4.50000000 36179TZ65 178139.08000000 NS USD 191148.21000000 0.014585199822 Long ABS-MBS USGSE US N 2 2048-06-20 Fixed 4.50000000 N N N N N N BIOGEN INC 3.15% 05/01/50 W8J5WZB5IY3K0NDQT671 BIOGEN INC REGD 3.15000000 09062XAG8 125000.00000000 NS USD 123907.05000000 0.009454491275 Long DBT CORP US N 2 2050-05-01 Fixed 3.15000000 N N N N N N MEX BONOS D 8.5% 05/31/29/MXN/ N/A MEX BONOS DESARR FIX RT /MXN/ REGD SER M 20 8.50000000 P9767G6N6 22540000.00000000 NS 1229403.96000000 0.093807325841 Long DBT USGA MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N UMBS P#FM7304 2.5% 05/01/51 N/A FANNIE MAE POOL UMBS P#FM7304 2.50000000 3140XBDJ6 99329.90000000 NS USD 103856.35000000 0.007924560829 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N UMBS P#AD6404 4.5% 06/01/30 N/A FANNIE MAE POOL UMBS P#AD6404 4.50000000 31418UDJ0 20903.36000000 NS USD 22799.15000000 0.001739645684 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 4.50000000 N N N N N N FGLMC P#V83224 3.5% 07/01/47 N/A FREDDIE MAC GOLD POOL P#V83224 3.50000000 3132L8SM0 258648.23000000 NS USD 282208.24000000 0.021533361845 Long ABS-MBS USGA US N 2 2047-07-01 Fixed 3.50000000 N N N N N N STACR 2021-DNA1 V/R 01/25/51 N/A FREDDIE MAC STACR REMIC TRUST 2021-DNA1 SER 2021-DNA1 CL M2 V/R REGD 144A P/P 1.85000000 35564KAH2 410000.00000000 NS USD 411718.56000000 0.031415399957 Long ABS-CBDO CORP US Y 2 2051-01-25 Variable 1.85000000 N N N N N N WASTE PRO USA IN 5.5% 02/15/26 549300BY1QXU5BI3UF28 WASTE PRO USA INC REGD 144A P/P 5.50000000 94107JAA1 109000.00000000 NS USD 111224.69000000 0.008486787968 Long DBT CORP US Y 2 2026-02-15 Fixed 5.50000000 N N N N N N FNMA PRIN STP ZCP 05/15/30 N/A FANNIE MAE PRINCIPAL STRIP ZCP 0.00000000 31358DDR2 595000.00000000 NS USD 524123.98000000 0.039992281278 Long DBT USGA US N 2 2030-05-15 Fixed 0.00000000 N N N N N N BANK OF AMERICA C V/R 07/23/31 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 1.89800000 06051GJF7 172000.00000000 NS USD 168624.61000000 0.012866579456 Long DBT CORP US N 2 2031-07-23 Variable 1.89800000 N N N N N N INTESA SANPAOL 3.125% 07/14/22 2W8N8UU78PMDQKZENC08 INTESA SANPAOLO SPA REGD 144A P/P 3.12500000 46115HAZ0 200000.00000000 NS USD 204599.87000000 0.015611603099 Long DBT CORP IT Y 2 2022-07-14 Fixed 3.12500000 N N N N N N US TREAS BDS 3.375% 11/15/48 N/A UNITED STATES TREASURY BOND 3.37500000 912810SE9 595000.00000000 NS USD 781913.67000000 0.059662432209 Long DBT UST US N 2 2048-11-15 Fixed 3.37500000 N N N N N N CREDIT SUISSE GRO V/R 02/02/27 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG REGD V/R 144A P/P 1.30500000 225401AT5 900000.00000000 NS USD 886346.17000000 0.067630955066 Long DBT CORP CH Y 2 2027-02-02 Variable 1.30500000 N N N N N N JERSEY CITY NJ 5.47% 05/15/27 N/A JERSEY CITY NJ MUNI UTILITIES REGD N/C B/E NATL 5.47000000 476624BH3 570000.00000000 NS USD 645742.74000000 0.049272168946 Long DBT MUN US N 2 2027-05-15 Fixed 5.47000000 N N N N N N T/L VICI PROPER 0% 12/20/24 N/A T/L VICI PROPERTIES INC REGD 0.00000000 92565EAB9 350000.00000000 NS USD 348566.75000000 0.026596721467 Long LON CORP US N 2 2024-12-20 Variable 1.83788000 N N N N N N UMBS P#AV0634 3% 11/01/28 N/A FANNIE MAE POOL UMBS P#AV0634 3.00000000 3138XBV43 201395.23000000 NS USD 213563.57000000 0.016295561142 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.00000000 N N N N N N FNR 2012-70 YS V/R 02/25/41 N/A FANNIE MAE REMICS SER 2012-70 CL YS V/R 6.56562000 3136A7ER9 3656.73000000 NS USD 131.36000000 0.000010023174 Long ABS-CBDO CORP US N 2 2041-02-25 Variable 6.56562000 N N N N N N EXELON CORP 5.625% 06/15/35 3SOUA6IRML7435B56G12 EXELON CORP REGD 5.62500000 30161NAC5 143000.00000000 NS USD 189943.65000000 0.014493288167 Long DBT CORP US N 2 2035-06-15 Fixed 5.62500000 N N N N N N VERIZON COMMUNI 2.55% 03/21/31 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 2.55000000 92343VGJ7 1225000.00000000 NS USD 1266901.27000000 0.096668486608 Long DBT CORP US N 2 2031-03-21 Fixed 2.55000000 N N N N N N TARGA RESOURCE 5.375% 02/01/27 N/A TARGA RESOURCES PARTNERS REGD 5.37500000 87612BBE1 20000.00000000 NS USD 20700.00000000 0.001579474044 Long DBT CORP US N 2 2027-02-01 Fixed 5.37500000 N N N N N N THPT 2018-THL E V/R 11/11/19 N/A THARALDSON HOTEL PORTFOLIO TRUST 2018-THPT SER 2018-THL CL E V/R REGD 144A P/P 3.42600000 88327HAN3 291628.89000000 NS USD 290956.01000000 0.022200843761 Long ABS-CBDO CORP US Y 2 2034-11-11 Variable 3.42600000 N N N N N N MAPSL 2021-1A 2.521% 06/15/28 N/A MAPS 2021-1 TRUST SER 2021-1A CL A REGD 144A P/P 2.52100000 55292RAA9 868736.00000000 NS USD 881068.06000000 0.067228218943 Long ABS-CBDO CORP US Y 2 2046-06-15 Fixed 2.52100000 N N N N N N FGLMC P#G08698 3.5% 03/01/46 N/A FREDDIE MAC GOLD POOL P#G08698 3.50000000 3128MJX47 529785.85000000 NS USD 573189.01000000 0.043736094871 Long ABS-MBS USGA US N 2 2046-03-01 Fixed 3.50000000 N N N N N N UMBS P#766768 V/R 03/01/34 N/A FANNIE MAE POOL UMBS P#766768 V/R 1.78900000 31404EZ90 95160.65000000 NS USD 95249.53000000 0.007267833834 Long ABS-MBS USGSE US N 2 2034-03-01 Variable 1.78900000 N N N N N N GENERAL ELECTR 6.875% 01/10/39 3C7474T6CDKPR9K6YT90 GENERAL ELECTRIC CO REGD MTN SER GMTN 6.87500000 36962G4B7 95000.00000000 NS USD 143873.18000000 0.010977968767 Long DBT CORP US N 2 2039-01-10 Fixed 6.87500000 N N N N N N GNMA II 30 YR TBA 2.5% OCT 21 N/A GNMA II 30 YR TBA 2.5% OCT 21 TO BE ANNOUNCED 2.50000000 21H0226A4 5725000.00000000 NS USD 5927387.74000000 0.452278023502 Long ABS-MBS USGA US N 2 2051-10-01 Fixed 2.50000000 N N N N N N ANGLO AMERICAN 2.25% 03/17/28 N/A ANGLO AMERICAN CAPITAL REGD 144A P/P 2.25000000 034863AZ3 212000.00000000 NS USD 215038.10000000 0.016408072343 Long DBT CORP GB Y 2 2028-03-17 Fixed 2.25000000 N N N N N N T/L CHARTER 0% 02/01/2027 N/A T/L CHARTER COMMUNICATIONS OPERATING LLC AKA CCO SAFARI LLC REGD 0.00000000 16117LBX6 206842.08000000 NS USD 204902.94000000 0.015634728277 Long LON CORP US N 2 2027-02-01 Variable 1.84000000 N N N N N N FHR 3947 SG V/R 10/15/41 N/A FREDDIE MAC REMICS SER 3947 CL SG V/R 5.85450000 3137AGE55 189136.98000000 NS USD 30268.57000000 0.002309585539 Long ABS-CBDO CORP US N 2 2041-10-15 Variable 5.85450000 N N N N N N GNMA II P#4291 6% 11/20/38 N/A GINNIE MAE II POOL P#4291 6.00000000 36202EXU8 15376.57000000 NS USD 18011.13000000 0.001374304944 Long ABS-MBS USGSE US N 2 2038-11-20 Fixed 6.00000000 N N N N N N BROADCOM INC 5% 04/15/30 549300WV6GIDOZJTV909 BROADCOM INC REGD 5.00000000 11135FBD2 689000.00000000 NS USD 817021.50000000 0.062341268259 Long DBT CORP US N 2 2030-04-15 Fixed 5.00000000 N N N N N N T/L VFH PARENT LLC 0% 03/01/26 N/A T/L VFH PARENT LLC REGD 0.00000000 91820UAQ3 150000.00000000 NS USD 149391.00000000 0.011398995505 Long LON CORP US N 2 2026-03-01 Variable 3.08788000 N N N N N N T/L ATHENAHEALTH 0% 2/11/26 N/A T/L ATHENAHEALTH INC REGD 0.00000000 04685YAM1 541245.81000000 NS USD 543784.25000000 0.041492420707 Long LON CORP US N 2 2026-02-11 Variable 4.37716979 N N N N N N GNMA II P#4006 6% 07/20/37 N/A GINNIE MAE II POOL P#4006 6.00000000 36202ENX3 22332.15000000 NS USD 26047.56000000 0.001987509417 Long ABS-MBS USGSE US N 2 2037-07-20 Fixed 6.00000000 N N N N N N US TREAS BDS 2.75% 08/15/47 N/A UNITED STATES TREASURY BOND 2.75000000 912810RY6 500000.00000000 NS USD 586035.16000000 0.044716295861 Long DBT UST US N 2 2047-08-15 Fixed 2.75000000 N N N N N N TIME WARNER EN 8.375% 07/15/33 N/A TIME WARNER ENTERTAINMEN REGD SER * 8.37500000 88731EAJ9 240000.00000000 NS USD 357836.37000000 0.027304022152 Long DBT CORP US N 2 2033-07-15 Fixed 8.37500000 N N N N N N ARCELORMITTAL 7% 10/15/39 2EULGUTUI56JI9SAL165 ARCELORMITTAL REGD 7.00000000 03938LAP9 30000.00000000 NS USD 43093.20000000 0.003288144487 Long DBT CORP LU N 2 2039-10-15 Fixed 7.00000000 N N N N N N GNMA II P#4923 4.5% 01/20/41 N/A GINNIE MAE II POOL P#4923 4.50000000 36202FPG5 9196.24000000 NS USD 10304.23000000 0.000786244629 Long ABS-MBS USGSE US N 2 2041-01-20 Fixed 4.50000000 N N N N N N GNMA II P#783368 4.5% 07/20/41 N/A GINNIE MAE II POOL P#783368 4.50000000 36241LW51 40237.63000000 NS USD 44963.04000000 0.003430819064 Long ABS-MBS USGSE US N 2 2041-07-20 Fixed 4.50000000 N N N N N N CSMC 2021-2R 1A1 V/R 07/25/47 N/A CSMC SERIES 2021-2R SER 2021-2R CL 1A1 V/R REGD 144A P/P 1.84575000 12657PAA3 409564.18000000 NS USD 415904.44000000 0.031734795552 Long ABS-CBDO CORP US Y 2 2047-07-25 Variable 1.84575000 N N N N N N RUBY PIPELINE LLC 8% 04/01/22 N/A RUBY PIPELINE LLC REGD P/P 8.00000000 781172AB7 287878.79000000 NS USD 271137.09000000 0.020688598847 Long DBT CORP US Y 2 2022-04-01 Fixed 8.00000000 N N N N N N MIZUHO FINANCIAL V/R 09/08/31 353800CI5L6DDAN5XZ33 MIZUHO FINANCIAL GROUP REGD V/R 1.97900000 60687YBL2 945000.00000000 NS USD 930133.28000000 0.070972047034 Long DBT CORP JP N 2 2031-09-08 Variable 1.97900000 N N N N N N SLMA 2005-5 A4 V/R 10/25/28 N/A SLM STUDENT LOAN TRUST 2005-5 SER 2005-5 CL A4 V/R 0.26525000 78442GPQ3 1048919.93000000 NS USD 1044383.67000000 0.079689705274 Long ABS-CBDO CORP US N 2 2028-10-25 Variable 0.26525000 N N N N N N CITIGROUP INC 5.5% 09/13/25 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD 5.50000000 172967HB0 250000.00000000 NS USD 290645.01000000 0.022177113499 Long DBT CORP US N 2 2025-09-13 Fixed 5.50000000 N N N N N N VISTRA CORP 4.3% 07/15/29 N/A VISTRA CORP REGD 144A P/P 4.30000000 92840VAE2 323000.00000000 NS USD 348715.75000000 0.026608090628 Long DBT CORP US Y 2 2029-07-15 Fixed 4.30000000 N N N N N N GNMA II P#MA4196 3.5% 01/20/47 N/A GINNIE MAE II POOL P#MA4196 3.50000000 36179SUV7 68514.90000000 NS USD 73140.80000000 0.005580869332 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 3.50000000 N N N N N N ST JUDE MEDICAL 4.75% 04/15/43 N/A ST JUDE MEDICAL LLC REGD 4.75000000 790849AK9 13000.00000000 NS USD 16270.92000000 0.001241521537 Long DBT CORP US N 2 2043-04-15 Fixed 4.75000000 N N N N N N UMBS P#BJ3644 3% 01/01/33 N/A FANNIE MAE POOL UMBS P#BJ3644 3.00000000 3140H5BN0 190125.11000000 NS USD 203309.19000000 0.015513120222 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 3.00000000 N N N N N N GNR 2013-85 IA V/R 03/16/47 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-85 CL IA V/R 0.31858000 38378KUV9 1015674.43000000 NS USD 12473.19000000 0.000951742988 Long ABS-CBDO CORP US N 2 2047-03-16 Variable 0.31858000 N N N N N N NRZT 2019-6A A1B V/R 09/25/59 N/A NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-6 SER 2019-6A CL A1B V/R REGD 144A P/P 3.50000000 64828GAD2 680584.49000000 NS USD 718528.57000000 0.054825952970 Long ABS-CBDO CORP US Y 2 2059-09-25 Variable 3.50000000 N N N N N N UMBS P#MA2320 3% 07/01/35 N/A FANNIE MAE POOL UMBS P#MA2320 3.00000000 31418BSJ6 28251.59000000 NS USD 30024.61000000 0.002290970637 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 3.00000000 N N N N N N AMER AIRLINE 17 4.95% 02/15/25 N/A AMER AIRLINE 17-1B PTT REGD SER B 4.95000000 02378WAA7 46662.00000000 NS USD 46082.93000000 0.003516270136 Long DBT CORP US N 2 2025-02-15 Fixed 4.95000000 N N N N N N INDONESIA G 6.5% 02/15/31/IDR/ N/A INDONESIA GOVERNMENT /IDR/ REGD SER FR87 6.50000000 Y6S86ZPZ6 33727000000.00000000 NS 2435412.07000000 0.185829475942 Long DBT USGA ID N 2 2031-02-15 Fixed 6.50000000 N N N N N N UMBS P#AP7399 4% 09/01/42 N/A FANNIE MAE POOL UMBS P#AP7399 4.00000000 3138MBGH3 73160.25000000 NS USD 80939.90000000 0.006175964792 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.00000000 N N N N N N GNMA II P#5082 4.5% 06/20/41 N/A GINNIE MAE II POOL P#5082 4.50000000 36202FUF1 313358.35000000 NS USD 349870.33000000 0.026696188654 Long ABS-MBS USGSE US N 2 2041-06-20 Fixed 4.50000000 N N N N N N UMBS P#BO2878 3% 11/01/49 N/A FANNIE MAE POOL UMBS P#BO2878 3.00000000 3140JXFU7 76094.36000000 NS USD 79793.44000000 0.006088486347 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N ENERGY TRANSFER LP V/R /PERP/ MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD V/R /PERP/ SER F 6.75000000 29273VAL4 140000.00000000 NS USD 141757.00000000 0.010816497686 Long DBT CORP US N 2 2170-05-15 Variable 6.75000000 N N N N N N AT&T INC 1.65% 02/01/28 549300Z40J86GGSTL398 AT&T INC REGD 1.65000000 00206RKG6 170000.00000000 NS USD 170051.91000000 0.012975486862 Long DBT CORP US N 2 2028-02-01 Fixed 1.65000000 N N N N N N ALPHABET INC 1.1% 08/15/30 5493006MHB84DD0ZWV18 ALPHABET INC REGD 1.10000000 02079KAD9 80000.00000000 NS USD 76137.53000000 0.005809529103 Long DBT CORP US N 2 2030-08-15 Fixed 1.10000000 N N N N N N SABINE PASS LI 5.625% 03/01/25 N/A SABINE PASS LIQUEFACTION REGD SER WI 5.62500000 785592AM8 110000.00000000 NS USD 125421.21000000 0.009570026367 Long DBT CORP US N 2 2025-03-01 Fixed 5.62500000 N N N N N N UMBS P#MA1629 4.5% 10/01/43 N/A FANNIE MAE POOL UMBS P#MA1629 4.50000000 31418AY36 59436.18000000 NS USD 66500.27000000 0.005074176348 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N REPUBLIC OF KENY 6.3% 01/23/34 N/A REPUBLIC OF KENYA REGD 144A P/P 6.30000000 491798AL8 520000.00000000 NS USD 537364.88000000 0.041002602914 Long DBT USGA KE Y 2 2034-01-23 Fixed 6.30000000 N N N N N N FNA 2019-M19 A 2.56% 09/25/29 N/A FANNIE MAE-ACES SER 2019-M19 CL A2 2.56000000 3136B57A7 211879.08000000 NS USD 228763.64000000 0.017455373511 Long ABS-CBDO CORP US N 2 2029-09-25 Fixed 2.56000000 N N N N N N GNR 2020-H13 FA V/R 07/20/70 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-H13 CL FA V/R 0.53838000 38380QGQ9 367615.65000000 NS USD 370348.58000000 0.028258742487 Long ABS-CBDO CORP US N 2 2070-07-20 Variable 0.53838000 N N N N N N UNION PACIFIC C 3.25% 02/05/50 549300LMMRSZZCZ8CL11 UNION PACIFIC CORP REGD 3.25000000 907818FK9 234000.00000000 NS USD 249295.89000000 0.019022047711 Long DBT CORP US N 2 2050-02-05 Fixed 3.25000000 N N N N N N N/A N/A JPY/USD FWD 20211019 STAR USD N/A 1.00000000 NC N/A -10257.83000000 -0.00078270416 N/A DFE N/A N 2 CITIBANK N.A. N/A -4756894.83000000 USD 521992622.00000000 JPY 2021-10-19 -10257.83000000 N N N UMBS P#AL1779 5.5% 12/01/38 N/A FANNIE MAE POOL UMBS P#AL1779 5.50000000 3138EH6R8 158140.13000000 NS USD 182851.99000000 0.013952172568 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.50000000 N N N N N N WI TREASURY SE 0.125% 03/31/23 N/A WI TREASURY N/B REGD 0.12500000 91282CBU4 5655000.00000000 NS USD 5653232.81000000 0.431359154126 Long DBT UST US N 2 2023-03-31 Fixed 0.12500000 N N N N N N TEVA PHARMACEU 7.125% 01/31/25 N/A TEVA PHARMACEUTICALS NE REGD SER WI 7.12500000 88167AAN1 220000.00000000 NS USD 240559.00000000 0.018355395973 Long DBT CORP NL N 2 2025-01-31 Fixed 7.12500000 N N N N N N GNMA II P#MA5399 4.5% 08/20/48 N/A GINNIE MAE II POOL P#MA5399 4.50000000 36179T7L3 201068.85000000 NS USD 215268.93000000 0.016425685386 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 4.50000000 N N N N N N BMARK 2021-B28 X V/R 08/15/31 N/A BENCHMARK 2021-B28 MORTGAGE TRUST SER 2021-B28 CL XA V/R REGD 1.40570000 08163GAZ3 2200000.00000000 NS USD 218916.06000000 0.016703972689 Long ABS-CBDO CORP US N 2 2054-08-15 Variable 1.40570000 N N N N N N GNMA II P#MA3735 3% 06/20/46 N/A GINNIE MAE II POOL P#MA3735 3.00000000 36179SEG8 428989.73000000 NS USD 452965.80000000 0.034562691985 Long ABS-MBS USGSE US N 2 2046-06-20 Fixed 3.00000000 N N N N N N MOTOROLA SOLUTIO 2.3% 11/15/30 6S552MUG6KGJVEBSEC55 MOTOROLA SOLUTIONS INC REGD 2.30000000 620076BT5 253000.00000000 NS USD 251994.32000000 0.019227946269 Long DBT CORP US N 2 2030-11-15 Fixed 2.30000000 N N N N N N UMBS P#MA2672 3% 07/01/36 N/A FANNIE MAE POOL UMBS P#MA2672 3.00000000 31418B6J0 334447.27000000 NS USD 352863.10000000 0.026924546264 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 3.00000000 N N N N N N AMAZON.COM INC 2.1% 05/12/31 ZXTILKJKG63JELOEG630 AMAZON.COM INC REGD 2.10000000 023135BZ8 320000.00000000 NS USD 328843.22000000 0.025091755104 Long DBT CORP US N 2 2031-05-12 Fixed 2.10000000 N N N N N N BANK OF AMERICA C V/R 03/05/29 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 3.97000000 06051GHG7 934000.00000000 NS USD 1055077.04000000 0.080505642489 Long DBT CORP US N 2 2029-03-05 Variable 3.97000000 N N N N N N UMBS P#RA3474 3% 09/01/50 N/A FREDDIE MAC POOL UMBS P#RA3474 3.00000000 3133KJ2F8 86089.54000000 NS USD 90692.37000000 0.006920108427 Long ABS-MBS USGA US N 2 2050-09-01 Fixed 3.00000000 N N N N N N CREDIT SUISSE N 1.25% 08/07/26 N/A CREDIT SUISSE NEW YORK REGD 1.25000000 22550L2G5 1025000.00000000 NS USD 1020163.75000000 0.077841650443 Long DBT CORP US N 2 2026-08-07 Fixed 1.25000000 N N N N N N KEURIG DR PEPPER 3.2% 05/01/30 DYTQ8KRTKO7Y2BVU5K74 KEURIG DR PEPPER INC REGD 3.20000000 49271VAJ9 114000.00000000 NS USD 124005.43000000 0.009461997973 Long DBT CORP US N 2 2030-05-01 Fixed 3.20000000 N N N N N N CAPITAL ONE FINA 3.8% 01/31/28 ZUE8T73ROZOF6FLBAR73 CAPITAL ONE FINANCIAL CO REGD 3.80000000 14040HBW4 236000.00000000 NS USD 265319.78000000 0.020244720095 Long DBT CORP US N 2 2028-01-31 Fixed 3.80000000 N N N N N N EQT CORP 5% 01/15/29 4NT01YGM4X7ZX86ISY52 EQT CORP REGD 5.00000000 26884LAL3 10000.00000000 NS USD 11386.60000000 0.000868832809 Long DBT CORP US N 2 2029-01-15 Fixed 5.00000000 N N N N N N T/L FINCO I LLC 0% 6/27/2025 N/A T/L FINCO I LLC REGD 0.00000000 N/A 18028.60000000 NS USD 17923.94000000 0.001367652077 Long LON CORP US N 2 2025-06-27 Variable 2.58463000 N N N N N N QUALCOMM INC 4.3% 05/20/47 H1J8DDZKZP6H7RWC0H53 QUALCOMM INC REGD 4.30000000 747525AV5 137000.00000000 NS USD 174451.63000000 0.013311199110 Long DBT CORP US N 2 2047-05-20 Fixed 4.30000000 N N N N N N UMBS P#MA1711 4.5% 12/01/43 N/A FANNIE MAE POOL UMBS P#MA1711 4.50000000 31418A3V8 63933.08000000 NS USD 71652.47000000 0.005467305148 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.50000000 N N N N N N MEG ENERGY COR 5.875% 02/01/29 5493002WXPTG5ZC1T326 MEG ENERGY CORP REGD 144A P/P 5.87500000 552704AF5 30000.00000000 NS USD 30713.85000000 0.002343561781 Long DBT CORP CA Y 2 2029-02-01 Fixed 5.87500000 N N N N N N UMBS P#ZT1596 5% 01/01/49 N/A FREDDIE MAC POOL UMBS P#ZT1596 5.00000000 3132ADXZ6 148633.28000000 NS USD 162972.58000000 0.012435312080 Long ABS-MBS USGA US N 2 2049-01-01 Fixed 5.00000000 N N N N N N ACTIVISION BLIZZ 3.4% 09/15/26 549300TPQQDBP9GNOF40 ACTIVISION BLIZZARD REGD SER WI 3.40000000 00507VAK5 189000.00000000 NS USD 208229.50000000 0.015888555098 Long DBT CORP US N 2 2026-09-15 Fixed 3.40000000 N N N N N N GOLDMAN SACHS GRO V/R 03/09/27 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R 1.43100000 38141GYA6 685000.00000000 NS USD 687992.81000000 0.052495980006 Long DBT CORP US N 2 2027-03-09 Variable 1.43100000 N N N N N N DISCOVER FINANCI 4.5% 01/30/26 Z1YLO2USPORE63VVUL20 DISCOVER FINANCIAL SVS REGD 4.50000000 254709AP3 255000.00000000 NS USD 288068.89000000 0.021980547572 Long DBT CORP US N 2 2026-01-30 Fixed 4.50000000 N N N N N N GNMA II P#MA4454 5% 05/20/47 N/A GINNIE MAE II POOL P#MA4454 5.00000000 36179S5P8 188771.21000000 NS USD 206629.79000000 0.015766492275 Long ABS-MBS USGSE US N 2 2047-05-20 Fixed 5.00000000 N N N N N N ABBVIE INC 3.8% 03/15/25 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD SER WI 3.80000000 00287YCX5 260000.00000000 NS USD 283662.06000000 0.021644292809 Long DBT CORP US N 2 2025-03-15 Fixed 3.80000000 N N N N N N DEVON ENERGY CORPO 5% 06/15/45 54930042348RKR3ZPN35 DEVON ENERGY CORPORATION REGD 5.00000000 25179MAU7 280000.00000000 NS USD 331561.18000000 0.025299143862 Long DBT CORP US N 2 2045-06-15 Fixed 5.00000000 N N N N N N US TREAS NTS 0.125% 07/15/23 N/A UNITED STATES TREASURY NOTE 0.12500000 912828ZY9 620000.00000000 NS USD 619382.42000000 0.047260794973 Long DBT UST US N 2 2023-07-15 Fixed 0.12500000 N N N N N N SLMA 2003-10A A4 V/R 12/17/68 N/A SLM STUDENT LOAN TRUST 2003-10 SER 2003-10A CL A4 V/R 144A P/P 0.78888000 78442GJH0 780000.00000000 NS USD 782088.68000000 0.059675786014 Long ABS-CBDO CORP US Y 2 2068-12-17 Variable 0.78888000 N N N N N N T-MOBILE USA IN 2.55% 02/15/31 N/A T-MOBILE USA INC REGD 2.55000000 87264ACB9 1165000.00000000 NS USD 1189721.30000000 0.090779416108 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N APPLIED MATERIA 4.35% 04/01/47 41BNNE1AFPNAZELZ6K07 APPLIED MATERIALS INC REGD 4.35000000 038222AM7 32000.00000000 NS USD 41100.38000000 0.003136086155 Long DBT CORP US N 2 2047-04-01 Fixed 4.35000000 N N N N N N T/L JAZZ FINANC 0% 04/21/2028 N/A T/L JAZZ FINANCING LUX S A R L REGD 0.00000000 N/A 390000.00000000 NS USD 390563.55000000 0.029801207242 Long LON CORP US N 2 2028-04-21 Variable 4.00000000 N N N N N N GNMA II P#MA7472 2.5% 07/20/51 N/A GINNIE MAE II POOL P#MA7472 2.50000000 36179WJR0 687706.30000000 NS USD 713770.97000000 0.054462933370 Long ABS-MBS USGSE US N 2 2051-07-20 Fixed 2.50000000 N N N N N N UMBS P#BC1832 2.5% 04/01/31 N/A FANNIE MAE POOL UMBS P#BC1832 2.50000000 3140EWBA2 223537.36000000 NS USD 235055.34000000 0.017935449687 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 2.50000000 N N N N N N WALMART INC 3.05% 07/08/26 Y87794H0US1R65VBXU25 WALMART INC REGD 3.05000000 931142EM1 100000.00000000 NS USD 109558.62000000 0.008359661673 Long DBT CORP US N 2 2026-07-08 Fixed 3.05000000 N N N N N N UMBS P#BR5577 2% 03/01/51 N/A FANNIE MAE POOL UMBS P#BR5577 2.00000000 3140L4FT1 97016.25000000 NS USD 98725.53000000 0.007533063389 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N MCDONALD'S CORP 3.5% 03/01/27 UE2136O97NLB5BYP9H04 MCDONALD'S CORP REGD MTN 3.50000000 58013MFB5 30000.00000000 NS USD 33204.91000000 0.002533637366 Long DBT CORP US N 2 2027-03-01 Fixed 3.50000000 N N N N N N GNMA II P#MA3802 3% 07/20/46 N/A GINNIE MAE II POOL P#MA3802 3.00000000 36179SGK7 851051.23000000 NS USD 898564.11000000 0.068563221690 Long ABS-MBS USGSE US N 2 2046-07-20 Fixed 3.00000000 N N N N N N CREDIT SUISSE G 4.55% 04/17/26 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG REGD SER WI 4.55000000 225433AR2 625000.00000000 NS USD 708124.33000000 0.054032077268 Long DBT CORP CH N 2 2026-04-17 Fixed 4.55000000 N N N N N N AMGEN INC 3.625% 05/22/24 62QBXGPJ34PQ72Z12S66 AMGEN INC REGD 3.62500000 031162BV1 70000.00000000 NS USD 75155.19000000 0.005734573522 Long DBT CORP US N 2 2024-05-22 Fixed 3.62500000 N N N N N N VIRGINIA ELEC & 4.2% 05/15/45 N/A VIRGINIA ELEC & POWER CO REGD SER B 4.20000000 927804FT6 94000.00000000 NS USD 114270.76000000 0.008719212534 Long DBT CORP US N 2 2045-05-15 Fixed 4.20000000 N N N N N N N/A N/A IRS RSOFRP01.72 02/15/47 GOLDUS33XXX FLOAT N/A 1.00000000 NC USD -121048.52000000 -0.00923637659 N/A DIR US N 2 BA SECURITIES INC N/A N/A N/A Y 2047-02-15 -1505000.00000000 USD 1505000.00000000 USD 1505000.00000000 USD -121048.52000000 N N N UMBS P#AJ4713 4.5% 11/01/41 N/A FANNIE MAE POOL UMBS P#AJ4713 4.50000000 3138AWGX5 100554.16000000 NS USD 112487.99000000 0.008583181667 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 4.50000000 N N N N N N GOLDMAN SACHS GRO V/R 04/22/32 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R 2.61500000 38141GYB4 520000.00000000 NS USD 537086.85000000 0.040981388365 Long DBT CORP US N 2 2032-04-22 Variable 2.61500000 N N N N N N GNMA II P#MA1995 3.5% 06/20/44 N/A GINNIE MAE II POOL P#MA1995 3.50000000 36179QGC9 43361.94000000 NS USD 46774.31000000 0.003569024569 Long ABS-MBS USGSE US N 2 2044-06-20 Fixed 3.50000000 N N N N N N TARGA RESOURCES PA 5% 01/15/28 N/A TARGA RESOURCES PARTNERS REGD 5.00000000 87612BBG6 40000.00000000 NS USD 42082.40000000 0.003211017320 Long DBT CORP US N 2 2028-01-15 Fixed 5.00000000 N N N N N N HSBC HOLDINGS PL 6.5% 09/15/37 MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC REGD 6.50000000 404280AH2 190000.00000000 NS USD 266155.44000000 0.020308483539 Long DBT CORP GB N 2 2037-09-15 Fixed 6.50000000 N N N N N N ABBVIE INC 4.5% 05/14/35 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD 4.50000000 00287YAR0 396000.00000000 NS USD 481804.08000000 0.036763141973 Long DBT CORP US N 2 2035-05-14 Fixed 4.50000000 N N N N N N HASBRO INC 2.6% 11/19/22 549300NUB6D2R1ITYR45 HASBRO INC REGD 2.60000000 418056AW7 44000.00000000 NS USD 45134.61000000 0.003443910386 Long DBT CORP US N 2 2022-11-19 Fixed 2.60000000 N N N N N N UMBS P#MA0734 4.5% 05/01/31 N/A FANNIE MAE POOL UMBS P#MA0734 4.50000000 31417YY84 60420.08000000 NS USD 65951.63000000 0.005032313418 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 4.50000000 N N N N N N GNMA II P#4884 5% 12/20/40 N/A GINNIE MAE II POOL P#4884 5.00000000 36202FM94 39579.73000000 NS USD 44721.86000000 0.003412416284 Long ABS-MBS USGSE US N 2 2040-12-20 Fixed 5.00000000 N N N N N N UMBS P#MA3564 4.5% 01/01/49 N/A FANNIE MAE POOL UMBS P#MA3564 4.50000000 31418C6A7 212142.04000000 NS USD 229288.00000000 0.017495383801 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.50000000 N N N N N N GNMA P#AA5649 3% 09/15/42 N/A GINNIE MAE I POOL P#AA5649 3.00000000 36178DH20 24701.80000000 NS USD 26339.60000000 0.002009792972 Long ABS-MBS USGSE US N 2 2042-09-15 Fixed 3.00000000 N N N N N N UMBS P#AA2238 4% 05/01/24 N/A FANNIE MAE POOL UMBS P#AA2238 4.00000000 31416KPY8 6738.92000000 NS USD 7150.97000000 0.000545641135 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 4.00000000 N N N N N N LMAT 2021-GS2 A1 V/R 04/25/61 N/A LEGACY MORTGAGE ASSET TRUST 2021-GS2 SER 2021-GS2 CL A1 V/R REGD 144A P/P 1.75000000 52476DAA5 745712.94000000 NS USD 748385.87000000 0.057104157336 Long ABS-CBDO CORP US Y 2 2061-04-25 Variable 1.75000000 N N N N N N WFRBS 2013-C1 3.073% 05/15/23 N/A WFRBS COMMERCIAL MORTGAGE TRUST 2013-C14 SER 2013-C14 CL A4 REGD 3.07300000 92890PAD6 125474.24000000 NS USD 127993.86000000 0.009766327522 Long ABS-CBDO CORP US N 2 2046-06-15 Fixed 3.07300000 N N N N N N FNR 2013-9 CB 5.5% 04/25/42 N/A FANNIE MAE REMICS SER 2013-9 CL CB 5.50000000 3136ABQH9 219229.46000000 NS USD 251468.75000000 0.019187843652 Long ABS-CBDO CORP US N 2 2042-04-25 Fixed 5.50000000 N N N N N N USAA CAPITAL C 2.125% 05/01/30 N/A USAA CAPITAL CORP REGD 144A P/P 2.12500000 90327QD55 150000.00000000 NS USD 152908.97000000 0.011667427501 Long DBT CORP US Y 2 2030-05-01 Fixed 2.12500000 N N N N N N NVIDIA CORP 3.7% 04/01/60 549300S4KLFTLO7GSQ80 NVIDIA CORP REGD 3.70000000 67066GAJ3 160000.00000000 NS USD 191097.68000000 0.014581344227 Long DBT CORP US N 2 2060-04-01 Fixed 3.70000000 N N N N N N ABBVIE INC 4.75% 03/15/45 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD SER WI 4.75000000 00287YDB2 150000.00000000 NS USD 190115.53000000 0.014506403143 Long DBT CORP US N 2 2045-03-15 Fixed 4.75000000 N N N N N N BOEING CO 5.705% 05/01/40 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 5.70500000 097023CV5 210000.00000000 NS USD 271914.27000000 0.020747900085 Long DBT CORP US N 2 2040-05-01 Fixed 5.70500000 N N N N N N GNMA II P#784674 3.5% 04/20/48 N/A GINNIE MAE II POOL P#784674 3.50000000 3622AACK8 349432.90000000 NS USD 379512.99000000 0.028958015324 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 3.50000000 N N N N N N UNITED MEXICAN STA 4% 10/02/23 N/A UNITED MEXICAN STATES REGD 4.00000000 91086QBC1 8000.00000000 NS USD 8614.72000000 0.000657329789 Long DBT USGA MX N 2 2023-10-02 Fixed 4.00000000 N N N N N N HUMANA INC 4.625% 12/01/42 529900YLDW34GJAO4J06 HUMANA INC REGD 4.62500000 444859BB7 70000.00000000 NS USD 87309.41000000 0.006661978112 Long DBT CORP US N 2 2042-12-01 Fixed 4.62500000 N N N N N N UMBS P#FM7210 2% 04/01/51 N/A FANNIE MAE POOL UMBS P#FM7210 2.00000000 3140XBAL4 691535.06000000 NS USD 705828.30000000 0.053856883075 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N FNS 409 C13 3.5% 11/25/41 N/A FANNIE MAE INTEREST STRIP SER 409 CL C13 3.50000000 3136FLFG6 72435.96000000 NS USD 6882.53000000 0.000525158333 Long ABS-CBDO CORP US N 2 2041-11-25 Fixed 3.50000000 N N N N N N UMBS P#MA3042 2.5% 06/01/32 N/A FANNIE MAE POOL UMBS P#MA3042 2.50000000 31418CLY8 199585.81000000 NS USD 209425.49000000 0.015979812835 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 2.50000000 N N N N N N ABBOTT LABORATOR 4.9% 11/30/46 HQD377W2YR662HK5JX27 ABBOTT LABORATORIES REGD 4.90000000 002824BH2 150000.00000000 NS USD 208178.60000000 0.015884671270 Long DBT CORP US N 2 2046-11-30 Fixed 4.90000000 N N N N N N JOHNSON & JOHN 3.625% 03/03/37 549300G0CFPGEF6X2043 JOHNSON & JOHNSON REGD 3.62500000 478160CF9 110000.00000000 NS USD 129702.13000000 0.009896673808 Long DBT CORP US N 2 2037-03-03 Fixed 3.62500000 N N N N N N CWHL 2005-11 3A3 V/R 04/25/35 N/A CHL MORTGAGE PASS-THROUGH TRUST 2005-11 SER 2005-11 CL 3A3 V/R REGD 2.53510200 12669GUP4 63340.06000000 NS USD 52344.13000000 0.003994019068 Long ABS-CBDO CORP US N 2 2035-04-25 Variable 2.53510200 N N N N N N ANHEUSER-BUSCH 4.75% 01/23/29 N/A ANHEUSER-BUSCH INBEV WOR REGD 4.75000000 035240AQ3 258000.00000000 NS USD 307058.42000000 0.023429507464 Long DBT CORP US N 2 2029-01-23 Fixed 4.75000000 N N N N N N BANK OF AMERICA C V/R 10/24/26 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 1.19700000 06051GJK6 273000.00000000 NS USD 271969.54000000 0.020752117357 Long DBT CORP US N 2 2026-10-24 Variable 1.19700000 N N N N N N UMBS P#AD5335 5% 07/01/40 N/A FANNIE MAE POOL UMBS P#AD5335 5.00000000 31418S4V8 5021.73000000 NS USD 5718.42000000 0.000436333138 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 5.00000000 N N N N N N BALTIMORE GAS & 2.9% 06/15/50 N/A BALTIMORE GAS & ELECTRIC REGD 2.90000000 059165EM8 67000.00000000 NS USD 68110.68000000 0.005197055613 Long DBT CORP US N 2 2050-06-15 Fixed 2.90000000 N N N N N N T/L LEVEL 3 0% 03/01/27 N/A T/L LEVEL 3 FINANCING INC REGD 0.00000000 52729KAP1 382876.04000000 NS USD 377850.79000000 0.028831184322 Long LON CORP US N 2 2027-03-01 Variable 1.83463000 N N N N N N OCCIDENTAL PETRO 3.4% 04/15/26 IM7X0T3ECJW4C1T7ON55 OCCIDENTAL PETROLEUM COR REGD 3.40000000 674599CH6 90000.00000000 NS USD 92587.50000000 0.007064712709 Long DBT CORP US N 2 2026-04-15 Fixed 3.40000000 N N N N N N INTELSAT JACKSON 8.5% 10/15/24 N/A INTELSAT JACKSON HLDG REGD 144A P/P 0.00000000 45824TBA2 184000.00000000 NS USD 99590.00000000 0.007599025124 Long DBT CORP LU Y 2 2024-10-15 Fixed 0.00000000 Y N N N N N MICHAELS COS IN 5.25% 05/01/28 549300H9LWMBP7HYLR98 MICHAELS COS INC/THE REGD 144A P/P 5.25000000 55916AAA2 360000.00000000 NS USD 369900.00000000 0.028224514445 Long DBT CORP US Y 2 2028-05-01 Fixed 5.25000000 N N N N N N GNMA II P#MA7367 2.5% 05/20/51 N/A GINNIE MAE II POOL P#MA7367 2.50000000 36179WFG8 1371006.89000000 NS USD 1422800.65000000 0.108564091644 Long ABS-MBS USGSE US N 2 2051-05-20 Fixed 2.50000000 N N N N N N T/L PPD INC 0% 1/6/28 N/A T/L PPD INC REGD 0.00000000 N/A 359100.00000000 NS USD 358555.96000000 0.027358929096 Long LON CORP US N 2 2028-01-06 Variable 2.50000000 N N N N N N AT&T INC 4.35% 03/01/29 549300Z40J86GGSTL398 AT&T INC REGD 4.35000000 00206RHJ4 184000.00000000 NS USD 213559.40000000 0.016295242958 Long DBT CORP US N 2 2029-03-01 Fixed 4.35000000 N N N N N N CIT GROUP INC 4.75% 02/16/24 N8O96ZZJQRFYQUJY7K79 CIT GROUP INC REGD 4.75000000 125581GY8 90000.00000000 NS USD 97200.00000000 0.007416660730 Long DBT CORP US N 2 2024-02-16 Fixed 4.75000000 N N N N N N TAMPA ELECTRIC 3.625% 06/15/50 N/A TAMPA ELECTRIC CO REGD 3.62500000 875127BG6 115000.00000000 NS USD 130288.30000000 0.009941400393 Long DBT CORP US N 2 2050-06-15 Fixed 3.62500000 N N N N N N JPMORGAN CHASE & V/R 04/22/32 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 2.58000000 46647PCC8 430000.00000000 NS USD 444866.51000000 0.033944691100 Long DBT CORP US N 2 2032-04-22 Variable 2.58000000 N N N N N N REPUBLICA ORIE 4.375% 01/23/31 N/A REPUBLICA ORIENT URUGUAY REGD 4.37500000 917288BK7 200000.00000000 NS USD 235154.00000000 0.017942977750 Long DBT USGA UY N 2 2031-01-23 Fixed 4.37500000 N N N N N N INTEL CORP 3.05% 08/12/51 KNX4USFCNGPY45LOCE31 INTEL CORP REGD 3.05000000 458140BW9 569000.00000000 NS USD 584516.60000000 0.044600425035 Long DBT CORP US N 2 2051-08-12 Fixed 3.05000000 N N N N N N KAZMUNAYGAS NA 5.375% 04/24/30 N/A KAZMUNAYGAS NATIONAL CO REGD REG S 5.37500000 N4960ZAG2 200000.00000000 NS USD 239997.80000000 0.018312574677 Long DBT CORP KZ N 2 2030-04-24 Fixed 5.37500000 N N N N N N PENSKE TRUCK LEA 2.7% 11/01/24 N/A PENSKE TRUCK LEASING/PTL REGD 144A P/P 2.70000000 709599BG8 110000.00000000 NS USD 115588.51000000 0.008819760936 Long DBT CORP US Y 2 2024-11-01 Fixed 2.70000000 N N N N N N VERIZON COMMUN 4.272% 01/15/36 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD SER WI 4.27200000 92343VCV4 48000.00000000 NS USD 57485.56000000 0.004386326084 Long DBT CORP US N 2 2036-01-15 Fixed 4.27200000 N N N N N N IHS MARKIT LTD 5% 11/01/22 549300HLPTRASHS0E726 IHS MARKIT LTD REGD 144A P/P 5.00000000 44962LAA5 584000.00000000 NS USD 607330.80000000 0.046341219080 Long DBT CORP GB Y 2 2022-11-01 Fixed 5.00000000 N N N N N N COMM 2015-CR25 X V/R 08/10/25 N/A COMM 2015-CCRE25 MORTGAGE TRUST SER 2015-CR25 CL XA V/R REGD 0.97398500 12593PAX0 2922252.25000000 NS USD 81093.38000000 0.006187675791 Long ABS-CBDO CORP US N 2 2048-08-10 Variable 0.97398500 N N N N N N TENCENT HOLDING 3.84% 04/22/51 254900N4SLUMW4XUYY11 TENCENT HOLDINGS LTD REGD 144A P/P MTN 3.84000000 88032WBC9 350000.00000000 NS USD 379308.76000000 0.028942431943 Long DBT CORP CN Y 2 2051-04-22 Fixed 3.84000000 N N N N N N UMBS P#MA4325 2% 05/01/51 N/A FANNIE MAE POOL UMBS P#MA4325 2.00000000 31418DYX4 6830081.43000000 NS USD 6933308.55000000 0.529032893557 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N ALABAMA POWER C 4.15% 08/15/44 N/A ALABAMA POWER CO REGD 4.15000000 010392FL7 121000.00000000 NS USD 147174.37000000 0.011229859778 Long DBT CORP US N 2 2044-08-15 Fixed 4.15000000 N N N N N N SALESFORCE.COM 3.05% 07/15/61 RCGZFPDMRW58VJ54VR07 SALESFORCE.COM INC REGD 3.05000000 79466LAM6 50000.00000000 NS USD 52085.20000000 0.003974261908 Long DBT CORP US N 2 2061-07-15 Fixed 3.05000000 N N N N N N F/C US LONG BOND(CBT) DEC21 N/A FUTURE CONTRACT ON US LONG BOND(CBT) DEC21 0.00000000 N/A -65.00000000 NC USD -10592968.75000000 -0.80827628956 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Short F/C US LONG BOND(CBT) DEC21 US LONG BOND(CBT) DEC21 2021-12-21 10606802.33000000 USD 13833.58000000 N N N AT&T INC 3.1% 02/01/43 549300Z40J86GGSTL398 AT&T INC REGD 3.10000000 00206RKD3 70000.00000000 NS USD 69386.92000000 0.005294436674 Long DBT CORP US N 2 2043-02-01 Fixed 3.10000000 N N N N N N T/L UNITED AI 0% 04/15/28 N/A T/L UNITED AIRLINES INC REGD 0.00000000 N/A 468825.00000000 NS USD 470529.18000000 0.035902832219 Long LON CORP US N 2 2028-04-15 Variable 4.50000000 N N N N N N KINDER MORGAN IN 4.3% 03/01/28 549300WR7IX8XE0TBO16 KINDER MORGAN INC REGD 4.30000000 49456BAP6 290000.00000000 NS USD 331585.03000000 0.025300963690 Long DBT CORP US N 2 2028-03-01 Fixed 4.30000000 N N N N N N CONTINENTAL RESO 3.8% 06/01/24 XXRTID9RYWOZ0UPIVR53 CONTINENTAL RESOURCES REGD SER WI 3.80000000 212015AN1 870000.00000000 NS USD 929812.50000000 0.070947570527 Long DBT CORP US N 2 2024-06-01 Fixed 3.80000000 N N N N N N F/C EURO-OAT FUTURE SEP21 N/A FUTURE CONTRACT ON EURO-OAT FUTURE SEP21 /EUR/ 0.00000000 N/A 24.00000000 NC 4567518.77000000 0.348515813748 N/A DIR CORP DE N 1 J.P. MORGAN SEC'S - FIXED INC. ZBUT11V806EZRVTWT807 Long F/C EURO-OAT FUTURE SEP21 EURO-OAT FUTURE SEP21 /EUR/ 2021-09-08 4483638.29000000 EUR 83880.48000000 N N N JPMORGAN CHASE & V/R 07/23/29 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 4.20300000 46647PAV8 480000.00000000 NS USD 551971.86000000 0.042117160681 Long DBT CORP US N 2 2029-07-23 Variable 4.20300000 N N N N N N AMERICAN TOWER 3.95% 03/15/29 5493006ORUSIL88JOE18 AMERICAN TOWER CORP REGD 3.95000000 03027XAU4 111000.00000000 NS USD 124774.60000000 0.009520688024 Long DBT CORP US N 2 2029-03-15 Fixed 3.95000000 N N N N N N NATIONAL SECS CL 1.5% 04/23/25 N/A NATIONAL SECS CLEARING REGD 144A P/P 1.50000000 637639AB1 250000.00000000 NS USD 255383.48000000 0.019486549663 Long DBT CORP US Y 2 2025-04-23 Fixed 1.50000000 N N N N N N GNMA P#AP1362 4% 11/15/45 N/A GINNIE MAE I POOL P#AP1362 4.00000000 36188MQP7 70566.75000000 NS USD 77145.32000000 0.005886426598 Long ABS-MBS USGSE US N 2 2045-11-15 Fixed 4.00000000 N N N N N N GNMA II P#4617 4.5% 01/20/40 N/A GINNIE MAE II POOL P#4617 4.50000000 36202FDW3 28471.64000000 NS USD 31500.75000000 0.002403604686 Long ABS-MBS USGSE US N 2 2040-01-20 Fixed 4.50000000 N N N N N N WELLS FARGO & CO 4.4% 06/14/46 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD MTN 4.40000000 94974BGT1 40000.00000000 NS USD 48779.06000000 0.003721993197 Long DBT CORP US N 2 2046-06-14 Fixed 4.40000000 N N N N N N CITIGROUP INC V/R 05/15/24 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD V/R 1.67800000 172967MR9 180000.00000000 NS USD 183689.17000000 0.014016051992 Long DBT CORP US N 2 2024-05-15 Variable 1.67800000 N N N N N N GNMA II P#MA7419 3% 06/20/51 N/A GINNIE MAE II POOL P#MA7419 3.00000000 36179WG44 791837.11000000 NS USD 829886.01000000 0.063322870174 Long ABS-MBS USGSE US N 2 2051-06-20 Fixed 3.00000000 N N N N N N CARRIER GLOBAL 2.242% 02/15/25 549300JE3W6CWY2NAN77 CARRIER GLOBAL CORP REGD SER WI 2.24200000 14448CAN4 178000.00000000 NS USD 185550.04000000 0.014158042131 Long DBT CORP US N 2 2025-02-15 Fixed 2.24200000 N N N N N N DIN 2019-1A A 4.194% 06/05/24 N/A APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC SER 2019-1A CL A2I REGD 144A P/P 4.19400000 03789XAD0 674900.00000000 NS USD 689135.13000000 0.052583142556 Long ABS-CBDO CORP US Y 2 2049-06-07 Fixed 4.19400000 N N N N N N UMBS P#BT0846 2.5% 07/01/51 N/A FANNIE MAE POOL UMBS P#BT0846 2.50000000 3140LN5G8 99674.58000000 NS USD 104279.61000000 0.007956856877 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N FGLMC P#G16756 3.5% 01/01/34 N/A FREDDIE MAC GOLD POOL P#G16756 3.50000000 3128MFWR5 271651.33000000 NS USD 292409.35000000 0.022311738099 Long ABS-MBS USGA US N 2 2034-01-01 Fixed 3.50000000 N N N N N N GENERAL ELECTRI 3.45% 05/01/27 3C7474T6CDKPR9K6YT90 GENERAL ELECTRIC CO REGD 3.45000000 369604BV4 30000.00000000 NS USD 33112.73000000 0.002526603747 Long DBT CORP US N 2 2027-05-01 Fixed 3.45000000 N N N N N N SUZANO AUSTRIA 3.125% 01/15/32 N/A SUZANO AUSTRIA G REGD 3.12500000 86964WAK8 170000.00000000 NS USD 170722.50000000 0.013026654953 Long DBT CORP BR N 2 2032-01-15 Fixed 3.12500000 N N N N N N GNMA P#646496 6% 05/15/36 N/A GINNIE MAE I POOL P#646496 6.00000000 36292EGD6 1598.31000000 NS USD 1791.16000000 0.000136671049 Long ABS-MBS USGSE US N 2 2036-05-15 Fixed 6.00000000 N N N N N N EOG RESOURCES I 3.15% 04/01/25 XWTZDRYZPBUHIQBKDB46 EOG RESOURCES INC REGD 3.15000000 26875PAM3 14000.00000000 NS USD 15029.20000000 0.001146774459 Long DBT CORP US N 2 2025-04-01 Fixed 3.15000000 N N N N N N UNITEDHEALTH GR 4.75% 07/15/45 549300GHBMY8T5GXDE41 UNITEDHEALTH GROUP INC REGD 4.75000000 91324PCR1 305000.00000000 NS USD 406940.61000000 0.031050827590 Long DBT CORP US N 2 2045-07-15 Fixed 4.75000000 N N N N N N AT&T INC 3.65% 09/15/59 549300Z40J86GGSTL398 AT&T INC REGD 144A P/P 3.65000000 00206RME9 45000.00000000 NS USD 46316.95000000 0.003534126586 Long DBT CORP US Y 2 2059-09-15 Fixed 3.65000000 N N N N N N UMBS P#AB6282 3.5% 09/01/42 N/A FANNIE MAE POOL UMBS P#AB6282 3.50000000 31417C6U4 582385.86000000 NS USD 627605.41000000 0.047888234552 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.50000000 N N N N N N BP CAPITAL MAR 3.506% 03/17/25 N/A BP CAPITAL MARKETS PLC REGD 3.50600000 05565QDA3 270000.00000000 NS USD 293915.40000000 0.022426654374 Long DBT CORP GB N 2 2025-03-17 Fixed 3.50600000 N N N N N N FNA 2013-M7 X2 V/R 12/27/22 N/A FANNIE MAE-ACES SER 2013-M7 CL X2 V/R 0.24800000 3136AEGT8 7482156.31000000 NS USD 16161.46000000 0.001233169400 Long ABS-CBDO CORP US N 2 2022-12-27 Variable 0.24800000 N N N N N N APACHE CORP 4.375% 10/15/28 72ZZ1XRHOOU9P9X16K08 APACHE CORP REGD 4.37500000 037411BE4 220000.00000000 NS USD 237688.00000000 0.018136329790 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N UMBS P#257595 5% 03/01/29 N/A FANNIE MAE POOL UMBS P#257595 5.00000000 31371PC81 1334.26000000 NS USD 1475.97000000 0.000112621077 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 5.00000000 N N N N N N UMBS P#MA1964 3.5% 07/01/29 N/A FANNIE MAE POOL UMBS P#MA1964 3.50000000 31418BFE1 23578.36000000 NS USD 25314.27000000 0.001931557121 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 3.50000000 N N N N N N UMBS P#MA1283 3.5% 12/01/42 N/A FANNIE MAE POOL UMBS P#MA1283 3.50000000 31418AM96 218905.63000000 NS USD 237604.36000000 0.018129947799 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.50000000 N N N N N N UMBS P#AD7150 4% 07/01/25 N/A FANNIE MAE POOL UMBS P#AD7150 4.00000000 31418U5L4 6249.33000000 NS USD 6636.55000000 0.000506389298 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N PETROBRAS GLOBA 5.75% 02/01/29 N/A PETROBRAS GLOBAL FINANCE REGD 5.75000000 71647NAZ2 360000.00000000 NS USD 411672.60000000 0.031411893067 Long DBT CORP NL N 2 2029-02-01 Fixed 5.75000000 N N N N N N RAST 2005-A15 5.75% 02/25/36 N/A RESIDENTIAL ASSET SECURITIZATION TRUST 2005-A15 SER 2005-A15 CL 1A4 REGD 5.75000000 45660L3K3 130801.28000000 NS USD 135257.37000000 0.010320555808 Long ABS-CBDO CORP US N 2 2036-02-01 Fixed 5.75000000 N N N N N N F/C 90DAY EURO$ FUTR JUN23 N/A FUTURE CONTRACT ON 90DAY EURO$ FUTR JUN23 0.00000000 N/A 89.00000000 NC USD 22107600.00000000 1.686878279434 N/A DIR CORP US N 1 BMO HARRIS BANK NA 001 3Y4U8VZURTYWI1W2K376 BMO HARRIS BANK NA 001 3Y4U8VZURTYWI1W2K376 BMO HARRIS BANK NA 001 3Y4U8VZURTYWI1W2K376 Long F/C 90DAY EURO$ FUTR JUN23 90DAY EURO$ FUTR JUN23 2023-06-19 22081144.46000000 USD 26455.54000000 N N N UMBS P#BO7625 3% 03/01/50 N/A FANNIE MAE POOL UMBS P#BO7625 3.00000000 3140K3PK2 243159.32000000 NS USD 255753.71000000 0.019514799357 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.00000000 N N N N N N GNMA P#688031 6.5% 10/15/38 N/A GINNIE MAE I POOL P#688031 6.50000000 36296DLL0 6992.92000000 NS USD 8271.94000000 0.000631174614 Long ABS-MBS USGSE US N 2 2038-10-15 Fixed 6.50000000 N N N N N N HYUNDAI CAPITAL SE 3% 08/29/22 N/A HYUNDAI CAPITAL SERVICES REGD 144A P/P 3.00000000 44920UAK4 200000.00000000 NS USD 204820.93000000 0.015628470661 Long DBT CORP KR Y 2 2022-08-29 Fixed 3.00000000 N N N N N N ALIMENTATION CO 3.55% 07/26/27 549300OSW32RVX8CCZ87 ALIMENTATION COUCHE-TARD REGD 144A P/P 3.55000000 01626PAH9 250000.00000000 NS USD 276759.73000000 0.021117623675 Long DBT CORP CA Y 2 2027-07-26 Fixed 3.55000000 N N N N N N FNR 2020-47 GZ 2% 07/25/50 N/A FANNIE MAE REMICS SER 2020-47 CL GZ 2.00000000 3136BAS21 204717.56000000 NS USD 195306.35000000 0.014902478769 Long ABS-CBDO CORP US N 2 2050-07-25 Fixed 2.00000000 N N N N N N TPMT 2016-3 A1 V/R 04/25/56 N/A TOWD POINT MORTGAGE TRUST 2016-3 SER 2016-3 CL A1 V/R REGD 144A P/P 2.25000000 89172YAA8 44206.77000000 NS USD 44376.85000000 0.003386090954 Long ABS-CBDO CORP US Y 2 2056-04-25 Variable 2.25000000 N N N N N N COMMONSPIRIT H 2.782% 10/01/30 4SXHN5XW08IBO0UG2V58 COMMONSPIRIT HEALTH REGD 2.78200000 20268JAF0 190000.00000000 NS USD 198970.28000000 0.015182047964 Long DBT CORP US N 2 2030-10-01 Fixed 2.78200000 N N N N N N DEVON ENERGY COR 5.6% 07/15/41 54930042348RKR3ZPN35 DEVON ENERGY CORPORATION REGD 5.60000000 25179MAL7 460000.00000000 NS USD 574922.15000000 0.043868338815 Long DBT CORP US N 2 2041-07-15 Fixed 5.60000000 N N N N N N UMBS P#AT7698 4% 06/01/43 N/A FANNIE MAE POOL UMBS P#AT7698 4.00000000 3138WVRU7 34818.80000000 NS USD 38832.40000000 0.002963032264 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N SHERWIN-WILLIAMS 4.5% 06/01/47 Z15BMIOX8DDH0X2OBP21 SHERWIN-WILLIAMS CO REGD 4.50000000 824348AX4 34000.00000000 NS USD 42645.60000000 0.003253991222 Long DBT CORP US N 2 2047-06-01 Fixed 4.50000000 N N N N N N T-MOBILE USA IN 4.75% 02/01/28 N/A T-MOBILE USA INC REGD 4.75000000 87264AAV7 192000.00000000 NS USD 205123.20000000 0.015651534797 Long DBT CORP US N 2 2028-02-01 Fixed 4.75000000 N N N N N N US TREAS NTS 0.75% 04/30/26 N/A UNITED STATES TREASURY NOTE 0.75000000 91282CBW0 20346000.00000000 NS USD 20367458.73000000 1.554100116653 Long DBT UST US N 2 2026-04-30 Fixed 0.75000000 N N N N N N ARAB REPUBLIC 5.577% 02/21/23 N/A ARAB REPUBLIC OF EGYPT REGD 144A P/P 5.57700000 03846JW30 230000.00000000 NS USD 240949.38000000 0.018385183175 Long DBT USGA EG Y 2 2023-02-21 Fixed 5.57700000 N N N N N N GLOBAL PAYMENTS 2.9% 05/15/30 549300NOMHGVQBX6S778 GLOBAL PAYMENTS INC REGD 2.90000000 37940XAD4 127000.00000000 NS USD 133618.62000000 0.010195514113 Long DBT CORP US N 2 2030-05-15 Fixed 2.90000000 N N N N N N UMBS P#AL6854 3% 02/01/44 N/A FANNIE MAE POOL UMBS P#AL6854 3.00000000 3138EPTL8 102062.05000000 NS USD 109385.04000000 0.008346416981 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 3.00000000 N N N N N N T/L EDELMAN FINA 0% 03/15/2028 N/A T/L EDELMAN FINANCIAL CENTER LLC THE REGD 0.00000000 N/A 174483.48000000 NS USD 173808.23000000 0.013262105700 Long LON CORP US N 2 2028-03-15 Variable 4.25000000 N N N N N N RAYTHEON TECH 4.125% 11/16/28 I07WOS4YJ0N7YRFE7309 RAYTHEON TECH CORP REGD 4.12500000 913017CY3 696000.00000000 NS USD 801537.33000000 0.061159778181 Long DBT CORP US N 2 2028-11-16 Fixed 4.12500000 N N N N N N UMBS P#983077 5% 05/01/38 N/A FANNIE MAE POOL UMBS P#983077 5.00000000 31415LCN5 29794.77000000 NS USD 34141.56000000 0.002605106659 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 5.00000000 N N N N N N UMBS P#AS8623 3% 01/01/47 N/A FANNIE MAE POOL UMBS P#AS8623 3.00000000 3138WJSM1 104472.53000000 NS USD 111516.55000000 0.008509057789 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N BANK OF AMERICA C V/R 07/23/29 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 4.27100000 06051GHM4 1302000.00000000 NS USD 1498575.91000000 0.114345978426 Long DBT CORP US N 2 2029-07-23 Variable 4.27100000 N N N N N N AT&T INC 4.9% 06/15/42 549300Z40J86GGSTL398 AT&T INC REGD 4.90000000 00206RJH6 30000.00000000 NS USD 37545.39000000 0.002864829419 Long DBT CORP US N 2 2042-06-15 Fixed 4.90000000 N N N N N N ABBVIE INC 4.625% 10/01/42 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD SER WI 4.62500000 00287YCZ0 7000.00000000 NS USD 8690.48000000 0.000663110511 Long DBT CORP US N 2 2042-10-01 Fixed 4.62500000 N N N N N N CIMAREX ENERGY 4.375% 03/15/29 11KYOFXPU1C4CQL1CL44 CIMAREX ENERGY CO REGD 4.37500000 171798AE1 150000.00000000 NS USD 170705.38000000 0.013025348645 Long DBT CORP US N 2 2029-03-15 Fixed 4.37500000 N N N N N N LEHMAN BRTH HLD 6.75% 12/28/17 N/A LEHMAN BRTH HLD ESCROW IN DEFAULT 6.75000000 524ESC7M6 650000.00000000 NS USD 0.07000000 0.000000005341 Long DBT CORP US N 3 2021-12-31 Fixed 6.75000000 Y N N N N N FGLMC P#G08833 5% 07/01/48 N/A FREDDIE MAC GOLD POOL P#G08833 5.00000000 3128MJ4T4 107938.33000000 NS USD 118692.46000000 0.009056601924 Long ABS-MBS USGA US N 2 2048-07-01 Fixed 5.00000000 N N N N N N UNION PACIFIC 4.163% 07/15/22 549300LMMRSZZCZ8CL11 UNION PACIFIC CORP REGD 4.16300000 907818DK1 64000.00000000 NS USD 65546.56000000 0.005001405324 Long DBT CORP US N 2 2022-07-15 Fixed 4.16300000 N N N N N N UMBS P#AT9637 4% 07/01/43 N/A FANNIE MAE POOL UMBS P#AT9637 4.00000000 3138WXV79 127791.57000000 NS USD 141942.25000000 0.010830632834 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N F/C EURO-BUND FUTURE SEP21 N/A FUTURE CONTRACT ON EURO-BUND FUTURE SEP21 /EUR/ 0.00000000 N/A -130.00000000 NC -26931135.94000000 -2.05492899535 N/A DIR CORP DE N 1 CITIGROUP GLOBAL MARKETS, INC. MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS, INC. MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS, INC. MBNUM2BPBDO7JBLYG310 Short F/C EURO-BUND FUTURE SEP21 EURO-BUND FUTURE SEP21 /EUR/ 2021-09-08 26494329.29000000 EUR -436806.65000000 N N N VENTAS REALTY L 3.75% 05/01/24 N/A VENTAS REALTY LP REGD 3.75000000 92277GAD9 400000.00000000 NS USD 427992.50000000 0.032657151930 Long DBT CORP US N 2 2024-05-01 Fixed 3.75000000 N N N N N N UMBS P#AT3874 4% 06/01/43 N/A FANNIE MAE POOL UMBS P#AT3874 4.00000000 3138WRJU5 23359.15000000 NS USD 25891.21000000 0.001975579428 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N UMBS P#MA2138 3.5% 01/01/35 N/A FANNIE MAE POOL UMBS P#MA2138 3.50000000 31418BLU8 21983.56000000 NS USD 23741.41000000 0.001811543037 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 3.50000000 N N N N N N CITIGROUP INC 8.125% 07/15/39 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD 8.12500000 172967EW7 314000.00000000 NS USD 541944.08000000 0.041352010042 Long DBT CORP US N 2 2039-07-15 Fixed 8.12500000 N N N N N N UMBS P#939419 V/R 05/01/37 N/A FANNIE MAE POOL UMBS P#939419 V/R 1.51500000 31413ADY6 41722.04000000 NS USD 41920.16000000 0.003198637906 Long ABS-MBS USGSE US N 2 2037-05-01 Variable 1.51500000 N N N N N N UMBS P#AL3508 4% 04/01/43 N/A FANNIE MAE POOL UMBS P#AL3508 4.00000000 3138EK3S2 34008.48000000 NS USD 37955.17000000 0.002896096901 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 4.00000000 N N N N N N FGLMC P#A78602 6% 06/01/38 N/A FREDDIE MAC GOLD POOL P#A78602 6.00000000 3128LCRX6 2845.98000000 NS USD 3200.17000000 0.000244182872 Long ABS-MBS USGA US N 2 2038-06-01 Fixed 6.00000000 N N N N N N COMM 2014-LC1 3.917% 09/10/24 N/A COMM 2014-LC17 MORTGAGE TRUST SER 2014-LC17 CL A5 REGD 3.91700000 12592MBK5 345000.00000000 NS USD 375710.73000000 0.028667891122 Long ABS-CBDO CORP US N 2 2047-10-10 Fixed 3.91700000 N N N N N N EXXON MOBIL CO 4.114% 03/01/46 J3WHBG0MTS7O8ZVMDC91 EXXON MOBIL CORPORATION REGD 4.11400000 30231GAW2 70000.00000000 NS USD 83733.98000000 0.006389161741 Long DBT CORP US N 2 2046-03-01 Fixed 4.11400000 N N N N N N REPUBLIC OF PH 2.457% 05/05/30 N/A REPUBLIC OF PHILIPPINES REGD 2.45700000 718286CJ4 200000.00000000 NS USD 211371.26000000 0.016128281106 Long DBT USGA PH N 2 2030-05-05 Fixed 2.45700000 N N N N N N TORONTO-DOMINIO 1.15% 06/12/25 PT3QB789TSUIDF371261 TORONTO-DOMINION BANK REGD MTN 1.15000000 89114QCH9 150000.00000000 NS USD 151460.30000000 0.011556889498 Long DBT CORP CA N 2 2025-06-12 Fixed 1.15000000 N N N N N N SAIL 2004-6 A3 V/R 07/25/34 N/A STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-6 SER 2004-6 CL A3 V/R REGD 0.88438000 86358EJS6 620829.83000000 NS USD 616743.53000000 0.047059439502 Long ABS-CBDO CORP US N 2 2034-07-25 Variable 0.88438000 N N N N N N COSTCO WHOLESALE 1.6% 04/20/30 29DX7H14B9S6O3FD6V18 COSTCO WHOLESALE CORP REGD 1.60000000 22160KAP0 160000.00000000 NS USD 158987.72000000 0.012131254933 Long DBT CORP US N 2 2030-04-20 Fixed 1.60000000 N N N N N N VERIZON COMMUN 3.875% 02/08/29 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 3.87500000 92343VES9 320000.00000000 NS USD 365022.21000000 0.027852323977 Long DBT CORP US N 2 2029-02-08 Fixed 3.87500000 N N N N N N CREDIT SUISSE N 2.95% 04/09/25 N/A CREDIT SUISSE NEW YORK REGD 2.95000000 22550L2C4 250000.00000000 NS USD 267153.80000000 0.020384661495 Long DBT CORP US N 2 2025-04-09 Fixed 2.95000000 N N N N N N N/A N/A IRS RSOFRP01.52 02/15/47 SBNYUS33 FLOAT N/A 1.00000000 NC USD -30286.27000000 -0.00231093610 N/A DIR US N 2 CITIGROUP N/A CITIGROUP N/A CITIGROUP N/A N/A N/A Y 2047-02-15 -1028544.17000000 USD 997000.00000000 USD 997000.00000000 USD 1257.90000000 N N N UNITEDHEALTH G 3.875% 08/15/59 549300GHBMY8T5GXDE41 UNITEDHEALTH GROUP INC REGD 3.87500000 91324PDV1 120000.00000000 NS USD 145318.53000000 0.011088253444 Long DBT CORP US N 2 2059-08-15 Fixed 3.87500000 N N N N N N SANDS CHINA LTD 3.8% 01/08/26 N/A SANDS CHINA LTD REGD 3.80000000 80007RAK1 200000.00000000 NS USD 212592.00000000 0.016221427345 Long DBT CORP MO N 2 2026-01-08 Fixed 3.80000000 N N N N N N UMBS P#MA1253 4% 11/01/42 N/A FANNIE MAE POOL UMBS P#MA1253 4.00000000 31418AMB1 143416.63000000 NS USD 156699.36000000 0.011956645985 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 4.00000000 N N N N N N SANTANDER UK GROU V/R 11/15/24 N/A SANTANDER UK GROUP HLDGS REGD V/R 4.79600000 80281LAJ4 180000.00000000 NS USD 195692.66000000 0.014931955417 Long DBT CORP GB N 2 2024-11-15 Variable 4.79600000 N N N N N N WILLIS NORTH AM 2.95% 09/15/29 N/A WILLIS NORTH AMERICA INC REGD 2.95000000 970648AJ0 67000.00000000 NS USD 71192.88000000 0.005432237010 Long DBT CORP US N 2 2029-09-15 Fixed 2.95000000 N N N N N N UMBS P#SD8003 4% 07/01/49 N/A FREDDIE MAC POOL UMBS P#SD8003 4.00000000 3132DV3L7 260894.67000000 NS USD 279357.96000000 0.021315876662 Long ABS-MBS USGA US N 2 2049-07-01 Fixed 4.00000000 N N N N N N BOEING CO 3.5% 03/01/45 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 3.50000000 097023BL8 120000.00000000 NS USD 118389.16000000 0.009033459196 Long DBT CORP US N 2 2045-03-01 Fixed 3.50000000 N N N N N N JPMORGAN CHASE & V/R 11/15/48 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 3.96400000 46647PAL0 357000.00000000 NS USD 422528.79000000 0.032240253952 Long DBT CORP US N 2 2048-11-15 Variable 3.96400000 N N N N N N US TREAS NTS 0.75% 03/31/26 N/A UNITED STATES TREASURY NOTE 0.75000000 91282CBT7 11500000.00000000 NS USD 11517519.56000000 0.878822376862 Long DBT UST US N 2 2026-03-31 Fixed 0.75000000 N N N N N N N/A N/A IRS R00.00P00.00 01/04/27 SBNYUS33 LONG N/A 1.00000000 NC -93576.55000000 -0.00714018028 N/A DIR BR N 2 CITIGROUP N/A N/A N/A Y 2027-01-04 -3206574.96000000 BRL 3210698.81000000 BRL 2326121.22912052 BRL -97700.40000000 N N N UMBS P#MA1146 4% 08/01/42 N/A FANNIE MAE POOL UMBS P#MA1146 4.00000000 31418AHY7 258348.85000000 NS USD 283919.52000000 0.021663937803 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.00000000 N N N N N N ANHEUSER-BUSCH I 4.5% 06/01/50 N/A ANHEUSER-BUSCH INBEV WOR REGD 4.50000000 035240AT7 525000.00000000 NS USD 651970.01000000 0.049747328914 Long DBT CORP US N 2 2050-06-01 Fixed 4.50000000 N N N N N N VERIZON COMMUN 3.376% 02/15/25 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD SER WI 3.37600000 92343VEN0 100000.00000000 NS USD 108352.51000000 0.008267631748 Long DBT CORP US N 2 2025-02-15 Fixed 3.37600000 N N N N N N CREDIT SUISSE GRO V/R 04/01/31 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG REGD V/R 144A P/P 4.19400000 225401AP3 250000.00000000 NS USD 283374.50000000 0.021622351091 Long DBT CORP CH Y 2 2031-04-01 Variable 4.19400000 N N N N N N FGLMC P#Q09011 4% 06/01/42 N/A FREDDIE MAC GOLD POOL P#Q09011 4.00000000 3132GUKY9 161092.46000000 NS USD 178237.89000000 0.013600102463 Long ABS-MBS USGA US N 2 2042-06-01 Fixed 4.00000000 N N N N N N UNITEDHEALTH GR 3.75% 10/15/47 549300GHBMY8T5GXDE41 UNITEDHEALTH GROUP INC REGD 3.75000000 91324PDF6 223000.00000000 NS USD 261115.13000000 0.019923892291 Long DBT CORP US N 2 2047-10-15 Fixed 3.75000000 N N N N N N PARK AEROSPACE 5.25% 08/15/22 N/A PARK AEROSPACE HOLDINGS REGD 144A P/P 5.25000000 70014LAA8 9000.00000000 NS USD 9357.69000000 0.000714020699 Long DBT CORP IE Y 2 2022-08-15 Fixed 5.25000000 N N N N N N UMBS P#AE9743 3.5% 12/01/25 N/A FANNIE MAE POOL UMBS P#AE9743 3.50000000 31419LZH9 3542.21000000 NS USD 3781.12000000 0.000288511154 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 3.50000000 N N N N N N GNMA II P#MA5762 3.5% 02/20/49 N/A GINNIE MAE II POOL P#MA5762 3.50000000 36179UMK5 316654.05000000 NS USD 335153.26000000 0.025573230679 Long ABS-MBS USGSE US N 2 2049-02-20 Fixed 3.50000000 N N N N N N FGLMC P#G18716 3.5% 12/01/33 N/A FREDDIE MAC GOLD POOL P#G18716 3.50000000 3128MMYN7 313351.21000000 NS USD 335427.75000000 0.025594175116 Long ABS-MBS USGA US N 2 2033-12-01 Fixed 3.50000000 N N N N N N WFCM 2016-BNK 2.514% 09/15/25 N/A WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1 SER 2016-BNK1 CL ASB REGD 2.51400000 95000GAZ7 499992.13000000 NS USD 519805.07000000 0.039662735083 Long ABS-CBDO CORP US N 2 2049-08-15 Fixed 2.51400000 N N N N N N IMM 2007-A A V/R 05/25/37 N/A IMPAC CMB TRUST SERIES 2007-A SER 2007-A CL A V/R REGD 144A P/P 0.58438000 452550AA4 65319.50000000 NS USD 65331.87000000 0.004985023813 Long ABS-CBDO CORP US Y 2 2037-05-25 Variable 0.58438000 N N N N N N UMBS P#735580 5% 06/01/35 N/A FANNIE MAE POOL UMBS P#735580 5.00000000 31402RFV6 37076.38000000 NS USD 42226.72000000 0.003222029382 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.00000000 N N N N N N UNITEDHEALTH GRO 3.5% 06/15/23 549300GHBMY8T5GXDE41 UNITEDHEALTH GROUP INC REGD 3.50000000 91324PDJ8 60000.00000000 NS USD 63396.60000000 0.004837356724 Long DBT CORP US N 2 2023-06-15 Fixed 3.50000000 N N N N N N COMM 2015-CR26 3.63% 08/10/25 N/A COMM 2015-CCRE26 MORTGAGE TRUST SER 2015-CR26 CL A4 REGD 3.63000000 12593QBE9 175000.00000000 NS USD 191914.52000000 0.014643671646 Long ABS-CBDO CORP US N 2 2048-10-10 Fixed 3.63000000 N N N N N N UMBS P#988107 5% 08/01/23 N/A FANNIE MAE POOL UMBS P#988107 5.00000000 31415SU83 1388.43000000 NS USD 1447.30000000 0.000110433467 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 5.00000000 N N N N N N JPMCC 2019-OS 3.397% 06/05/29 N/A J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES SER 2019-OSB CL A REGD 144A P/P 3.39730000 46651EAA2 365000.00000000 NS USD 406496.27000000 0.031016923073 Long ABS-CBDO CORP US Y 2 2039-06-05 Fixed 3.39730000 N N N N N N GNMA II P#784905 3% 01/20/50 N/A GINNIE MAE II POOL P#784905 3.00000000 3622AAKS2 156340.92000000 NS USD 163673.05000000 0.012488760108 Long ABS-MBS USGSE US N 2 2050-01-20 Fixed 3.00000000 N N N N N N MIZUHO FINANCIAL V/R 07/09/32 353800CI5L6DDAN5XZ33 MIZUHO FINANCIAL GROUP REGD V/R 2.26000000 60687YBT5 200000.00000000 NS USD 200195.23000000 0.015275515439 Long DBT CORP JP N 2 2032-07-09 Variable 2.26000000 N N N N N N GNMA P#783669 3% 09/15/42 N/A GINNIE MAE I POOL P#783669 3.00000000 3622A2CE0 71542.92000000 NS USD 77051.48000000 0.005879266316 Long ABS-MBS USGSE US N 2 2042-09-15 Fixed 3.00000000 N N N N N N P/O EURO$ 2Y MIDCV DEC21 98.75 N/A PUT OPTION ON EURO$ 2Y MIDCV OP DEC21 98.75 0.00000000 N/A -520.00000000 NC USD -71500.00000000 -0.00545567121 N/A DO CORP US N 1 CITIGROUP GLOBAL MARKETS MBNUM2BPBDO7JBLYG310 Put Purchased P/O EURO$ 2Y MIDCV DEC21 98.75 0 -1300000.00000000 USD 98.75000000 USD 2021-12-10 XXXX 2074.80000000 N N N EQUINIX INC 2% 05/15/28 549300EVUN2BTLJ3GT74 EQUINIX INC REGD 2.00000000 29444UBR6 427000.00000000 NS USD 433475.14000000 0.033075494325 Long DBT CORP US N 2 2028-05-15 Fixed 2.00000000 N N N N N N FGLMC P#G08676 3.5% 11/01/45 N/A FREDDIE MAC GOLD POOL P#G08676 3.50000000 3128MJXE5 225584.77000000 NS USD 242603.68000000 0.018511411383 Long ABS-MBS USGA US N 2 2045-11-01 Fixed 3.50000000 N N N N N N AIR CANADA 2017- 3.3% 01/15/30 N/A AIR CANADA 2017-1AA PTT REGD 144A P/P 3.30000000 00908PAA5 47398.40000000 NS USD 48339.00000000 0.003688415257 Long DBT CORP CA Y 2 2030-01-15 Fixed 3.30000000 N N N N N N UMBS P#FM2384 3% 03/01/47 N/A FANNIE MAE POOL UMBS P#FM2384 3.00000000 3140X5UJ0 647869.46000000 NS USD 682751.83000000 0.052096077017 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 3.00000000 N N N N N N UMBS P#BM1948 6% 07/01/41 N/A FANNIE MAE POOL UMBS P#BM1948 6.00000000 3140J6EW3 86989.98000000 NS USD 103437.29000000 0.007892585255 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 6.00000000 N N N N N N UMBS P#AQ5137 4% 11/01/42 N/A FANNIE MAE POOL UMBS P#AQ5137 4.00000000 3138MLV76 141582.19000000 NS USD 156583.26000000 0.011947787196 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 4.00000000 N N N N N N REPUBLIC OF PH 1.648% 06/10/31 N/A REPUBLIC OF PHILIPPINES REGD 1.64800000 718286CK1 360000.00000000 NS USD 355039.03000000 0.027090576455 Long DBT USGA PH N 2 2031-06-10 Fixed 1.64800000 N N N N N N PAYPAL HOLDINGS 2.3% 06/01/30 5493005X2GO78EFZ3E94 PAYPAL HOLDINGS INC REGD 2.30000000 70450YAH6 100000.00000000 NS USD 104078.81000000 0.007941535215 Long DBT CORP US N 2 2030-06-01 Fixed 2.30000000 N N N N N N JPMAC 2006-FRE1 V/R 05/25/35 N/A JP MORGAN MORTGAGE ACQUISITION CORP 2006-FRE1 SER 2006-FRE1 CL M1 V/R REGD 0.66938000 46626LFN5 1043562.98000000 NS USD 1041028.06000000 0.079433661849 Long ABS-CBDO CORP US N 2 2035-05-25 Variable 0.66938000 N N N N N N ALEXANDRIA REAL 3.8% 04/15/26 MGCJBT4MKTQBVLNUIS88 ALEXANDRIA REAL ESTATE E REGD 3.80000000 015271AP4 103000.00000000 NS USD 114854.28000000 0.008763736915 Long DBT CORP US N 2 2026-04-15 Fixed 3.80000000 N N N N N N UNION PACIFIC 3.839% 03/20/60 549300LMMRSZZCZ8CL11 UNION PACIFIC CORP REGD 3.83900000 907818FG8 300000.00000000 NS USD 348788.72000000 0.026613658464 Long DBT CORP US N 2 2060-03-20 Fixed 3.83900000 N N N N N N ORACLE CORP 3.65% 03/25/41 1Z4GXXU7ZHVWFCD8TV52 ORACLE CORP REGD 3.65000000 68389XBZ7 570000.00000000 NS USD 611509.06000000 0.046660033246 Long DBT CORP US N 2 2041-03-25 Fixed 3.65000000 N N N N N N RAYTHEON TECH C 2.82% 09/01/51 I07WOS4YJ0N7YRFE7309 RAYTHEON TECH CORP REGD 2.82000000 75513ECL3 8000.00000000 NS USD 7880.72000000 0.000601323318 Long DBT CORP US N 2 2051-09-01 Fixed 2.82000000 N N N N N N HUNTINGTON ING 2.043% 08/16/28 5TZLZ6WJTBVJ0QWBG121 HUNTINGTON INGALLS INDUS REGD 144A P/P 2.04300000 446413AX4 223000.00000000 NS USD 223313.15000000 0.017039484260 Long DBT CORP US Y 2 2028-08-16 Fixed 2.04300000 N N N N N N JPMDB 2017-C5 B V/R 02/15/27 N/A JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2017-C5 SER 2017-C5 CL B V/R REGD 4.00880000 46590TAK1 340000.00000000 NS USD 364150.44000000 0.027785805229 Long ABS-CBDO CORP US N 2 2050-03-15 Variable 4.00880000 N N N N N N ABBVIE INC 4.55% 03/15/35 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD 4.55000000 00287YCY3 171000.00000000 NS USD 208692.01000000 0.015923846042 Long DBT CORP US N 2 2035-03-15 Fixed 4.55000000 N N N N N N FGLMC P#G06669 6.5% 09/01/39 N/A FREDDIE MAC GOLD POOL P#G06669 6.50000000 3128M8W67 65952.13000000 NS USD 75819.32000000 0.005785248695 Long ABS-MBS USGA US N 2 2039-09-01 Fixed 6.50000000 N N N N N N INDX 2005-AR14 2 V/R 07/25/35 N/A INDYMAC INDX MORTGAGE LOAN TRUST 2005-AR14 SER 2005-AR14 CL 2A1A V/R REGD 0.68438000 45660LRX9 1091251.33000000 NS USD 1017863.26000000 0.077666115938 Long ABS-CBDO CORP US N 2 2035-07-25 Variable 0.68438000 N N N N N N UBS AG LONDON 1.75% 04/21/22 N/A UBS AG LONDON REGD 144A P/P 1.75000000 902674YA2 290000.00000000 NS USD 292585.41000000 0.022325172022 Long DBT CORP GB Y 2 2022-04-21 Fixed 1.75000000 N N N N N N ENERGY TRANSFER LP 5% 05/15/50 MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD 5.00000000 29278NAR4 720000.00000000 NS USD 844974.32000000 0.064474154909 Long DBT CORP US N 2 2050-05-15 Fixed 5.00000000 N N N N N N GNMA II P#BS8420 4% 04/20/50 N/A GINNIE MAE II POOL P#BS8420 4.00000000 3617MKK99 142755.15000000 NS USD 154629.19000000 0.011798685609 Long ABS-MBS USGSE US N 2 2050-04-20 Fixed 4.00000000 N N N N N N LEIDOS INC 4.375% 05/15/30 N/A LEIDOS INC REGD SER WI 4.37500000 52532XAF2 800000.00000000 NS USD 918764.00000000 0.070104535794 Long DBT CORP US N 2 2030-05-15 Fixed 4.37500000 N N N N N N SUNCOR ENERGY IN 6.8% 05/15/38 549300W70ZOQDVLCHY06 SUNCOR ENERGY INC REGD 6.80000000 71644EAJ1 58000.00000000 NS USD 83348.08000000 0.006359716377 Long DBT CORP CA N 2 2038-05-15 Fixed 6.80000000 N N N N N N VERIZON COMMUNI 2.65% 11/20/40 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 2.65000000 92343VFT6 466000.00000000 NS USD 452161.42000000 0.034501315303 Long DBT CORP US N 2 2040-11-20 Fixed 2.65000000 N N N N N N FGLMC P#G08348 5% 06/01/39 N/A FREDDIE MAC GOLD POOL P#G08348 5.00000000 3128MJL65 36886.04000000 NS USD 42111.34000000 0.003213225531 Long ABS-MBS USGA US N 2 2039-06-01 Fixed 5.00000000 N N N N N N MPLX LP 4.5% 04/15/38 N/A MPLX LP REGD 4.50000000 55336VAM2 150000.00000000 NS USD 171707.92000000 0.013101845548 Long DBT CORP US N 2 2038-04-15 Fixed 4.50000000 N N N N N N CHARTER COMM OPT 4.4% 12/01/61 N/A CHARTER COMM OPT LLC/CAP REGD 4.40000000 161175CC6 140000.00000000 NS USD 153356.53000000 0.011701577713 Long DBT CORP US N 2 2061-12-01 Fixed 4.40000000 N N N N N N T/L BROOKFIELD 0% 08/01/2025 N/A T/L BROOKFIELD WEC HOLDINGS INC REGD 0.00000000 N/A 77843.06000000 NS USD 77271.30000000 0.005896039262 Long LON CORP US N 2 2025-08-01 Variable 3.25000000 N N N N N N FGLMC P#G06172 5.5% 12/01/38 N/A FREDDIE MAC GOLD POOL P#G06172 5.50000000 3128M8FM1 54477.14000000 NS USD 63528.87000000 0.004847449335 Long ABS-MBS USGA US N 2 2038-12-01 Fixed 5.50000000 N N N N N N RAYTHEON TECH C 2.25% 07/01/30 I07WOS4YJ0N7YRFE7309 RAYTHEON TECH CORP REGD 2.25000000 75513EAD3 140000.00000000 NS USD 143257.63000000 0.010931000398 Long DBT CORP US N 2 2030-07-01 Fixed 2.25000000 N N N N N N VERIZON COMMUNI 5.25% 03/16/37 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 5.25000000 92343VDU5 150000.00000000 NS USD 198804.81000000 0.015169422091 Long DBT CORP US N 2 2037-03-16 Fixed 5.25000000 N N N N N N UBSCM 2019-C1 2.668% 08/15/29 N/A UBS COMMERCIAL MORTGAGE TRUST SER 2019-C17 CL A3 REGD 2.66860000 90278MAZ0 350000.00000000 NS USD 370529.95000000 0.028272581579 Long ABS-CBDO CORP US N 2 2052-10-15 Fixed 2.66860000 N N N N N N UMBS P#745000 6% 10/01/35 N/A FANNIE MAE POOL UMBS P#745000 6.00000000 31403CUZ2 3637.11000000 NS USD 4321.11000000 0.000329714062 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6.00000000 N N N N N N UMBS P#AB7426 3% 12/01/42 N/A FANNIE MAE POOL UMBS P#AB7426 3.00000000 31417EHC8 300884.14000000 NS USD 322720.17000000 0.024624547445 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.00000000 N N N N N N CVS HEALTH CORP 4.3% 03/25/28 549300EJG376EN5NQE29 CVS HEALTH CORP REGD 4.30000000 126650CX6 162000.00000000 NS USD 186732.30000000 0.014248252227 Long DBT CORP US N 2 2028-03-25 Fixed 4.30000000 N N N N N N IBM CORP 2.85% 05/15/40 VGRQXHF3J8VDLUA7XE92 IBM CORP REGD 2.85000000 459200KK6 121000.00000000 NS USD 123515.12000000 0.009424585803 Long DBT CORP US N 2 2040-05-15 Fixed 2.85000000 N N N N N N VERIZON COMMUNIC 3.5% 11/01/24 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 3.50000000 92343VCR3 80000.00000000 NS USD 86493.19000000 0.006599698001 Long DBT CORP US N 2 2024-11-01 Fixed 3.50000000 N N N N N N DAIMLER FINANC 2.125% 03/10/25 N/A DAIMLER FINANCE NA LLC REGD 144A P/P 2.12500000 233851DZ4 340000.00000000 NS USD 352471.27000000 0.026894648423 Long DBT CORP US Y 2 2025-03-10 Fixed 2.12500000 N N N N N N GEORGIA-PACIFIC 0.95% 05/15/26 N/A GEORGIA-PACIFIC LLC REGD 144A P/P 0.95000000 37331NAN1 236000.00000000 NS USD 234427.52000000 0.017887545079 Long DBT CORP US Y 2 2026-05-15 Fixed 0.95000000 N N N N N N N/A N/A GBP/USD FWD 20211019 STAR USD N/A 1.00000000 NC N/A -15874.98000000 -0.00121131009 N/A DFE N/A N 2 CITIBANK N.A. N/A -2292165.24000000 USD 1655489.00000000 GBP 2021-10-19 -15874.98000000 N N N FHLB 4% 09/01/28 N/A FEDERAL HOME LOAN BANKS 4.00000000 3130A07B0 345000.00000000 NS USD 411367.86000000 0.031388640462 Long ABS-MBS USGA US N 2 2028-09-01 Fixed 4.00000000 N N N N N N GNMA P#711577 4% 06/15/41 N/A GINNIE MAE I POOL P#711577 4.00000000 36297GQ60 363770.19000000 NS USD 415630.06000000 0.031713859509 Long ABS-MBS USGSE US N 2 2041-06-15 Fixed 4.00000000 N N N N N N COMCAST CORP 2.937% 11/01/56 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 144A P/P 2.93700000 20030NDT5 439000.00000000 NS USD 433644.03000000 0.033088381154 Long DBT CORP US Y 2 2056-11-01 Fixed 2.93700000 N N N N N N SANTANDER UK GROU V/R 06/14/27 N/A SANTANDER UK GROUP HLDGS REGD V/R 1.67300000 80281LAQ8 1075000.00000000 NS USD 1079259.95000000 0.082350873343 Long DBT CORP GB N 2 2027-06-14 Variable 1.67300000 N N N N N N MKT 2020-525M 2.694% 02/12/30 N/A MKT 2020-525M MORTGAGE TRUST SER 2020-525M CL A REGD 144A P/P 2.69400000 55316PAA5 500000.00000000 NS USD 529703.50000000 0.040418015917 Long ABS-CBDO CORP US Y 2 2040-02-12 Fixed 2.69400000 N N N N N N ARES CAPITAL CO 4.25% 03/01/25 WEQ82666OJYSI5GUAB47 ARES CAPITAL CORP REGD 4.25000000 04010LAV5 131000.00000000 NS USD 141360.97000000 0.010786279372 Long DBT CORP US N 2 2025-03-01 Fixed 4.25000000 N N N N N N DUKE REALTY LP 2.875% 11/15/29 N/A DUKE REALTY LP REGD 2.87500000 26441YBC0 392000.00000000 NS USD 418351.85000000 0.031921540507 Long DBT CORP US N 2 2029-11-15 Fixed 2.87500000 N N N N N N BARCLAYS PLC 3.684% 01/10/23 213800LBQA1Y9L22JB70 BARCLAYS PLC REGD 3.68400000 06738EAS4 333000.00000000 NS USD 336923.74000000 0.025708323781 Long DBT CORP GB N 2 2023-01-10 Fixed 3.68400000 N N N N N N TEVA PHARMACEUTI 2.8% 07/21/23 N/A TEVA PHARMACEUTICALS NE REGD 2.80000000 88167AAD3 300000.00000000 NS USD 296922.00000000 0.022656067256 Long DBT CORP NL N 2 2023-07-21 Fixed 2.80000000 N N N N N N GNMA P#782167 6% 06/15/37 N/A GINNIE MAE I POOL P#782167 6.00000000 36241KMQ8 2272.91000000 NS USD 2701.07000000 0.000206099997 Long ABS-MBS USGSE US N 2 2037-06-15 Fixed 6.00000000 N N N N N N UMBS P#AL3183 5.5% 08/01/41 N/A FANNIE MAE POOL UMBS P#AL3183 5.50000000 3138EKRD9 138661.24000000 NS USD 159791.72000000 0.012192602620 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 5.50000000 N N N N N N T-MOBILE USA INC 3.5% 04/15/25 N/A T-MOBILE USA INC REGD 3.50000000 87264ABB0 360000.00000000 NS USD 389016.00000000 0.029683124389 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N PROSUS NV 3.061% 07/13/31 N/A PROSUS NV REGD 144A P/P MTN 3.06100000 74365PAF5 940000.00000000 NS USD 920698.37000000 0.070252134210 Long DBT CORP NL Y 2 2031-07-13 Fixed 3.06100000 N N N N N N FIRSTENERGY CORP 1.6% 01/15/26 549300SVYJS666PQJH88 FIRSTENERGY CORP REGD SER A 1.60000000 337932AN7 60000.00000000 NS USD 59469.90000000 0.004537737365 Long DBT CORP US N 2 2026-01-15 Fixed 1.60000000 N N N N N N T/L BJ'S WHOLESALE CLUB INC 0% 2/3/24 N/A T/L BJ'S WHOLESALE CLUB INC REGD 0.00000000 09179FAU6 6041.04000000 NS USD 6044.54000000 0.000461217103 Long LON CORP US N 2 2024-02-03 Variable 2.09663000 N N N N N N VIRGINIA ELEC & 4.65% 08/15/43 N/A VIRGINIA ELEC & POWER CO REGD SER D 4.65000000 927804FP4 55000.00000000 NS USD 70160.11000000 0.005353433463 Long DBT CORP US N 2 2043-08-15 Fixed 4.65000000 N N N N N N N/A N/A IRS RUS3MP01.00 02/15/47 SBNYUS33 FLOAT N/A 1.00000000 NC USD 1244178.27000000 0.094934651405 N/A DIR US N 2 BARCLAYS AC28XWWI3WIBK2824319 BARCLAYS AC28XWWI3WIBK2824319 BARCLAYS AC28XWWI3WIBK2824319 BARCLAYS AC28XWWI3WIBK2824319 N/A N/A Y 2047-02-15 -9139651.00000000 USD 9250000.00000000 USD 9250000.00000000 USD 1180707.51000000 N N N COMCAST CORP 4% 03/01/48 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 4.00000000 20030NCK5 20000.00000000 NS USD 23552.73000000 0.001797146169 Long DBT CORP US N 2 2048-03-01 Fixed 4.00000000 N N N N N N SMB 2018-B A2A 3.6% 08/15/27 N/A SMB PRIVATE EDUCATION LOAN TRUST 2018-B SER 2018-B CL A2A REGD 144A P/P 3.60000000 78449LAB4 357236.34000000 NS USD 378745.61000000 0.028899461856 Long ABS-CBDO CORP US Y 2 2037-01-15 Fixed 3.60000000 N N N N N N CITIGROUP INC V/R 04/08/26 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD V/R 3.10600000 172967MQ1 120000.00000000 NS USD 128389.04000000 0.009796480979 Long DBT CORP US N 2 2026-04-08 Variable 3.10600000 N N N N N N SINCLAIR TELEV 4.125% 12/01/30 N/A SINCLAIR TELEVISION GROU REGD 144A P/P 4.12500000 829259BA7 425000.00000000 NS USD 416021.88000000 0.031743756587 Long DBT CORP US Y 2 2030-12-01 Fixed 4.12500000 N N N N N N METLIFE INC 6.4% 12/15/36 C4BXATY60WC6XEOZDX54 METLIFE INC REGD 6.40000000 59156RAP3 620000.00000000 NS USD 798074.22000000 0.060895532174 Long DBT CORP US N 2 2066-12-15 Fixed 6.40000000 N N N N N N INTEL CORP 1.6% 08/12/28 KNX4USFCNGPY45LOCE31 INTEL CORP REGD 1.60000000 458140BT6 90000.00000000 NS USD 90594.49000000 0.006912639880 Long DBT CORP US N 2 2028-08-12 Fixed 1.60000000 N N N N N N UMBS P#953027 6.5% 09/01/37 N/A FANNIE MAE POOL UMBS P#953027 6.50000000 31413RHC3 22921.46000000 NS USD 25778.45000000 0.001966975491 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6.50000000 N N N N N N FNR 2011-131 PB 4.5% 12/25/41 N/A FANNIE MAE REMICS SER 2011-131 CL PB 4.50000000 3136A2M67 770000.00000000 NS USD 882436.02000000 0.067332598523 Long ABS-CBDO CORP US N 2 2041-12-25 Fixed 4.50000000 N N N N N N NVIDIA CORP 3.5% 04/01/40 549300S4KLFTLO7GSQ80 NVIDIA CORP REGD 3.50000000 67066GAG9 120000.00000000 NS USD 136684.26000000 0.010429431929 Long DBT CORP US N 2 2040-04-01 Fixed 3.50000000 N N N N N N MONDELEZ INTERN 2.75% 04/13/30 549300DV9GIB88LZ5P30 MONDELEZ INTERNATIONAL REGD 2.75000000 609207AT2 95000.00000000 NS USD 100700.08000000 0.007683727663 Long DBT CORP US N 2 2030-04-13 Fixed 2.75000000 N N N N N N CSMC 2015-5R 1A1 V/R 09/27/46 N/A CSMC SERIES 2015-5R SER 2015-5R CL 1A1 V/R REGD 1.02833000 12593DAA7 197391.58000000 NS USD 198481.30000000 0.015144737277 Long ABS-CBDO CORP US Y 2 2046-09-27 Variable 1.02833000 N N N N N N OCCIDENTAL PETRO 4.5% 07/15/44 IM7X0T3ECJW4C1T7ON55 OCCIDENTAL PETROLEUM COR REGD 4.50000000 674599DK8 150000.00000000 NS USD 153207.00000000 0.011690168112 Long DBT CORP US N 2 2044-07-15 Fixed 4.50000000 N N N N N N AEP TRANSMISSIO 2.75% 08/15/51 N/A AEP TRANSMISSION CO LLC REGD SER N 2.75000000 00115AAN9 120000.00000000 NS USD 118327.12000000 0.009028725352 Long DBT CORP US N 2 2051-08-15 Fixed 2.75000000 N N N N N N GOLDMAN SACHS GRO V/R 07/21/42 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R 2.90800000 38141GYK4 360000.00000000 NS USD 363752.37000000 0.027755431256 Long DBT CORP US N 2 2042-07-21 Variable 2.90800000 N N N N N N ENERGY TRANSFE 5.875% 01/15/24 MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD SER * 5.87500000 29278NAM5 230000.00000000 NS USD 253574.02000000 0.019348482267 Long DBT CORP US N 2 2024-01-15 Fixed 5.87500000 N N N N N N US TIPS 0.75% 02/15/42 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000 912810QV3 96192.00000000 NS USD 120036.22000000 0.009159134970 Long DBT UST US N 2 2042-02-15 Fixed 0.75000000 N N N N N N BOEING CO 3.55% 03/01/38 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 3.55000000 097023BY0 40000.00000000 NS USD 41354.07000000 0.003155443487 Long DBT CORP US N 2 2038-03-01 Fixed 3.55000000 N N N N N N GLENCORE FUNDING 2.5% 09/01/30 N/A GLENCORE FUNDING LLC REGD 144A P/P 2.50000000 378272AY4 308000.00000000 NS USD 307715.24000000 0.023479624862 Long DBT CORP US Y 2 2030-09-01 Fixed 2.50000000 N N N N N N DUKE ENERGY FLO 1.75% 06/15/30 N/A DUKE ENERGY FLORIDA LLC REGD 1.75000000 26444HAJ0 504000.00000000 NS USD 499030.69000000 0.038077585614 Long DBT CORP US N 2 2030-06-15 Fixed 1.75000000 N N N N N N VIRGINIA ELEC & PO 6% 01/15/36 N/A VIRGINIA ELEC & POWER CO REGD SER B 6.00000000 927804FA7 33000.00000000 NS USD 46270.91000000 0.003530613592 Long DBT CORP US N 2 2036-01-15 Fixed 6.00000000 N N N N N N UMBS P#MA3282 2.5% 02/01/33 N/A FANNIE MAE POOL UMBS P#MA3282 2.50000000 31418CUG7 79599.77000000 NS USD 83541.62000000 0.006374484078 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 2.50000000 N N N N N N T-MOBILE USA IN 2.25% 11/15/31 N/A T-MOBILE USA INC REGD 2.25000000 87264ABX2 290000.00000000 NS USD 288967.60000000 0.022049121926 Long DBT CORP US N 2 2031-11-15 Fixed 2.25000000 N N N N N N DUKE ENERGY CAR 4.25% 12/15/41 N/A DUKE ENERGY CAROLINAS REGD 4.25000000 26442CAM6 500000.00000000 NS USD 609154.53000000 0.046480375322 Long DBT CORP US N 2 2041-12-15 Fixed 4.25000000 N N N N N N FNR 2007-68 SC V/R 07/25/37 N/A FANNIE MAE REMICS SER 2007-68 CL SC V/R 6.61562000 31396WJ80 163506.82000000 NS USD 33676.36000000 0.002569610460 Long ABS-MBS USGSE US N 2 2037-07-25 Variable 6.61562000 N N N N N N XAN 2020-RSO8 A V/R 10/15/24 549300RUJWPCMY4JFR46 ACRES COMMERCIAL REALTY CORP SER 2020-RSO8 CL A V/R REGD 144A P/P 1.31448000 30070RAA0 121331.56000000 NS USD 121483.24000000 0.009269547073 Long ABS-CBDO CORP US Y 2 2035-03-15 Variable 1.31448000 N N N N N N FGLMC P#G67707 3.5% 01/01/48 N/A FREDDIE MAC GOLD POOL P#G67707 3.50000000 3132XCR49 1665469.15000000 NS USD 1837144.44000000 0.140179804773 Long ABS-MBS USGA US N 2 2048-01-01 Fixed 3.50000000 N N N N N N JPMORGAN CHASE & V/R 01/29/27 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 3.96000000 46647PBA3 644000.00000000 NS USD 717525.78000000 0.054749436990 Long DBT CORP US N 2 2027-01-29 Variable 3.96000000 N N N N N N GENERAL DYNAMIC 4.25% 04/01/40 9C1X8XOOTYY2FNYTVH06 GENERAL DYNAMICS CORP REGD 4.25000000 369550BH0 10000.00000000 NS USD 12452.90000000 0.000950194798 Long DBT CORP US N 2 2040-04-01 Fixed 4.25000000 N N N N N N DUKE ENERGY PRO 3.45% 03/15/29 N/A DUKE ENERGY PROGRESS LLC REGD 3.45000000 26442UAH7 130000.00000000 NS USD 145273.51000000 0.011084818279 Long DBT CORP US N 2 2029-03-15 Fixed 3.45000000 N N N N N N RAYTHEON TECH C 3.15% 12/15/24 I07WOS4YJ0N7YRFE7309 RAYTHEON TECH CORP REGD SER WI 3.15000000 75513EBX8 70000.00000000 NS USD 74640.65000000 0.005695312528 Long DBT CORP US N 2 2024-12-15 Fixed 3.15000000 N N N N N N ABBVIE INC 3.6% 05/14/25 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD 3.60000000 00287YAQ2 100000.00000000 NS USD 108747.70000000 0.008297785968 Long DBT CORP US N 2 2025-05-14 Fixed 3.60000000 N N N N N N GENERAL DYNAMIC 3.75% 05/15/28 9C1X8XOOTYY2FNYTVH06 GENERAL DYNAMICS CORP REGD 3.75000000 369550BC1 607000.00000000 NS USD 692122.06000000 0.052811054557 Long DBT CORP US N 2 2028-05-15 Fixed 3.75000000 N N N N N N BANK OF AMERICA C V/R 04/22/32 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R 2.68700000 06051GJT7 690000.00000000 NS USD 717788.52000000 0.054769484865 Long DBT CORP US N 2 2032-04-22 Variable 2.68700000 N N N N N N UMBS P#RB5125 2% 09/01/41 N/A FREDDIE MAC POOL UMBS P#RB5125 2.00000000 3133KYVS5 700000.00000000 NS USD 717915.48000000 0.054779172306 Long ABS-MBS USGA US N 2 2041-09-01 Fixed 2.00000000 N N N N N N CARGILL INC 1.375% 07/23/23 QXZYQNMR4JZ5RIRN4T31 CARGILL INC REGD 144A P/P 1.37500000 141781BL7 150000.00000000 NS USD 153069.23000000 0.011679655834 Long DBT CORP US Y 2 2023-07-23 Fixed 1.37500000 N N N N N N APPLE INC 3.75% 11/13/47 HWUPKR0MPOU8FGXBT394 APPLE INC REGD 3.75000000 037833DG2 272000.00000000 NS USD 321800.56000000 0.024554378357 Long DBT CORP US N 2 2047-11-13 Fixed 3.75000000 N N N N N N SMB 2017-B A2A 2.82% 07/15/26 N/A SMB PRIVATE EDUCATION LOAN TRUST 2017-B SER 2017-B CL A2A REGD 144A P/P 2.82000000 83189DAB6 125620.36000000 NS USD 130209.33000000 0.009935374737 Long ABS-CBDO CORP US Y 2 2035-10-15 Fixed 2.82000000 N N N N N N FED REPUBLIC OF BR 5% 01/27/45 N/A FED REPUBLIC OF BRAZIL REGD 5.00000000 105756BW9 1680000.00000000 NS USD 1660075.20000000 0.126668873921 Long DBT USGA BR N 2 2045-01-27 Fixed 5.00000000 N N N N N N ORGANON & CO/O 4.125% 04/30/28 N/A ORGANON & CO/ORG REGD 144A P/P 4.12500000 68622TAA9 425000.00000000 NS USD 439003.75000000 0.033497344373 Long DBT CORP US Y 2 2028-04-30 Fixed 4.12500000 N N N N N N FGLMC P#G03812 5.5% 02/01/38 N/A FREDDIE MAC GOLD POOL P#G03812 5.50000000 3128M5R93 5.39000000 NS USD 6.29000000 0.000000479946 Long ABS-MBS USGA US N 2 2038-02-01 Fixed 5.50000000 N N N N N N ALABAMA POWER CO 5.2% 06/01/41 N/A ALABAMA POWER CO REGD SER 11-C 5.20000000 010392FF0 17000.00000000 NS USD 22526.84000000 0.001718867588 Long DBT CORP US N 2 2041-06-01 Fixed 5.20000000 N N N N N N JPMORGAN CHASE & V/R 06/23/25 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & REGD V/R SER F2F 0.96900000 46647PCK0 795000.00000000 NS USD 797577.47000000 0.060857628612 Long DBT CORP US N 2 2025-06-23 Variable 0.96900000 N N N N N N GILEAD SCIENCES 3.7% 04/01/24 549300WTZWR07K8MNV44 GILEAD SCIENCES INC REGD 3.70000000 375558AW3 160000.00000000 NS USD 171565.87000000 0.013091006694 Long DBT CORP US N 2 2024-04-01 Fixed 3.70000000 N N N N N N WALT DISNEY COM 6.65% 11/15/37 549300GZKULIZ0WOW665 WALT DISNEY COMPANY/THE REGD SER WI 6.65000000 254687EH5 30000.00000000 NS USD 45788.40000000 0.003493796586 Long DBT CORP US N 2 2037-11-15 Fixed 6.65000000 N N N N N N UMBS P#BH4101 3.5% 10/01/47 N/A FANNIE MAE POOL UMBS P#BH4101 3.50000000 3140GSRX2 1578912.73000000 NS USD 1681971.38000000 0.128339620200 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 3.50000000 N N N N N N EQUINIX INC 3.2% 11/18/29 549300EVUN2BTLJ3GT74 EQUINIX INC REGD 3.20000000 29444UBE5 118000.00000000 NS USD 127083.47000000 0.009696861948 Long DBT CORP US N 2 2029-11-18 Fixed 3.20000000 N N N N N N GOLDMAN SACHS GRO V/R 12/09/26 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R SER VAR 1.09300000 38141GXM1 220000.00000000 NS USD 218418.40000000 0.016665999691 Long DBT CORP US N 2 2026-12-09 Variable 1.09300000 N N N N N N AETNA INC 6.625% 06/15/36 N/A AETNA INC REGD 6.62500000 00817YAF5 48000.00000000 NS USD 70074.71000000 0.005346917179 Long DBT CORP US N 2 2036-06-15 Fixed 6.62500000 N N N N N N REPUBLIC OF CO 3.875% 04/25/27 N/A REPUBLIC OF COLOMBIA REGD 3.87500000 195325DL6 280000.00000000 NS USD 296895.20000000 0.022654022333 Long DBT USGA CO N 2 2027-04-25 Fixed 3.87500000 N N N N N N UMBS P#QB8975 2% 03/01/51 N/A FREDDIE MAC POOL UMBS P#QB8975 2.00000000 3133AF6L0 98693.75000000 NS USD 100432.57000000 0.007663315822 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 2.00000000 N N N N N N JPMMT 2015-5 A9 V/R 02/25/21 N/A JP MORGAN TRUST 2015-5 SER 2015-5 CL A9 V/R REGD 144A P/P 2.46913100 46644XAK8 91093.99000000 NS USD 92192.20000000 0.007034550096 Long ABS-CBDO CORP US Y 2 2045-05-25 Variable 2.46913100 N N N N N N GNMA II P#MA0698 3% 01/20/43 N/A GINNIE MAE II POOL P#MA0698 3.00000000 36179MX39 108786.63000000 NS USD 116319.60000000 0.008875545365 Long ABS-MBS USGSE US N 2 2043-01-20 Fixed 3.00000000 N N N N N N GLENCORE FUNDIN 2.85% 04/27/31 N/A GLENCORE FUNDING LLC REGD 144A P/P 2.85000000 378272BE7 138000.00000000 NS USD 141394.55000000 0.010788841630 Long DBT CORP US Y 2 2031-04-27 Fixed 2.85000000 N N N N N N CAMERON LNG LL 2.902% 07/15/31 N/A CAMERON LNG LLC REGD 144A P/P 2.90200000 133434AA8 50000.00000000 NS USD 53890.33000000 0.004111998912 Long DBT CORP US Y 2 2031-07-15 Fixed 2.90200000 N N N N N N CVS HEALTH COR 3.625% 04/01/27 549300EJG376EN5NQE29 CVS HEALTH CORP REGD 3.62500000 126650DH0 207000.00000000 NS USD 229933.74000000 0.017544655761 Long DBT CORP US N 2 2027-04-01 Fixed 3.62500000 N N N N N N FHR 4239 IO 3.5% 06/15/27 N/A FREDDIE MAC REMICS SER 4239 CL IO 3.50000000 3137B4A30 76484.57000000 NS USD 4364.68000000 0.000333038588 Long ABS-CBDO CORP US N 2 2027-06-15 Fixed 3.50000000 N N N N N N UMBS P#AQ8684 3% 12/01/42 N/A FANNIE MAE POOL UMBS P#AQ8684 3.00000000 3138MQUJ0 124734.54000000 NS USD 133111.82000000 0.010156843705 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.00000000 N N N N N N LOWE'S COS INC 3.65% 04/05/29 WAFCR4OKGSC504WU3E95 LOWE'S COS INC REGD SER 10YR 3.65000000 548661DR5 251000.00000000 NS USD 282038.13000000 0.021520381926 Long DBT CORP US N 2 2029-04-05 Fixed 3.65000000 N N N N N N UMBS P#CA1182 3.5% 02/01/48 N/A FANNIE MAE POOL UMBS P#CA1182 3.50000000 3140Q8J48 31920.14000000 NS USD 34487.54000000 0.002631506004 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N UMBS P#FM8210 3% 04/01/50 N/A FANNIE MAE POOL UMBS P#FM8210 3.00000000 3140XCDQ8 100096.23000000 NS USD 105895.94000000 0.008080187856 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.00000000 N N N N N N AIR LEASE CORP 3.5% 01/15/22 5493004NW4M4P8TMMK63 AIR LEASE CORP REGD SER 3Y 3.50000000 00912XBE3 460000.00000000 NS USD 465260.99000000 0.035500853023 Long DBT CORP US N 2 2022-01-15 Fixed 3.50000000 N N N N N N GNMA II P#MA4837 3.5% 11/20/47 N/A GINNIE MAE II POOL P#MA4837 3.50000000 36179TLS2 1175043.76000000 NS USD 1246655.40000000 0.095123664088 Long ABS-MBS USGSE US N 2 2047-11-20 Fixed 3.50000000 N N N N N N SHELL INTERNATIONA 4% 05/10/46 N/A SHELL INTERNATIONAL FIN REGD 4.00000000 822582BQ4 40000.00000000 NS USD 47840.68000000 0.003650391899 Long DBT CORP NL N 2 2046-05-10 Fixed 4.00000000 N N N N N N BOEING CO 5.15% 05/01/30 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 5.15000000 097023CY9 250000.00000000 NS USD 296365.08000000 0.022613572537 Long DBT CORP US N 2 2030-05-01 Fixed 5.15000000 N N N N N N FGLMC P#U90778 3.5% 01/01/43 N/A FREDDIE MAC GOLD POOL P#U90778 3.50000000 3132H32K8 30034.45000000 NS USD 32609.51000000 0.002488206504 Long ABS-MBS USGA US N 2 2043-01-01 Fixed 3.50000000 N N N N N N US TREAS NTS 1.625% 05/15/31 N/A UNITED STATES TREASURY NOTE 1.62500000 91282CCB5 3450000.00000000 NS USD 3557812.50000000 0.271472101383 Long DBT UST US N 2 2031-05-15 Fixed 1.62500000 N N N N N N UMBS P#255165 4.5% 03/01/24 N/A FANNIE MAE POOL UMBS P#255165 4.50000000 31371LMN6 25456.09000000 NS USD 27462.11000000 0.002095443958 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 4.50000000 N N N N N N DSLA 2004-AR2 A2 V/R 11/19/44 N/A DSLA MORTGAGE LOAN TRUST 2004-AR2 SER 2004-AR2 CL A2B V/R REGD 0.88650000 23332UAS3 35277.84000000 NS USD 34126.27000000 0.002603939985 Long ABS-CBDO CORP US N 2 2044-11-19 Variable 0.88650000 N N N N N N N/A N/A USD/ZAR FWD 20211019 STAR USD N/A 1.00000000 NC N/A -3113.89000000 -0.00023759944 N/A DFE N/A N 2 CITIBANK N.A. N/A -596830.20000000 USD 8680000.00000000 ZAR 2021-10-19 -3113.89000000 N N N JPMORGAN CHASE & V/R 04/23/29 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 4.00500000 46647PAR7 846000.00000000 NS USD 960959.77000000 0.073324203596 Long DBT CORP US N 2 2029-04-23 Variable 4.00500000 N N N N N N EDISON INTERNAT 4.95% 04/15/25 549300I7ROF15MAEVP56 EDISON INTERNATIONAL REGD 4.95000000 281020AR8 91000.00000000 NS USD 100960.27000000 0.007703580965 Long DBT CORP US N 2 2025-04-15 Fixed 4.95000000 N N N N N N UMBS P#AT3870 4% 06/01/43 N/A FANNIE MAE POOL UMBS P#AT3870 4.00000000 3138WRJQ4 29656.64000000 NS USD 33098.56000000 0.002525522532 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N VERIZON COMMUNIC 4.5% 08/10/33 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 4.50000000 92343VEA8 630000.00000000 NS USD 763549.74000000 0.058261207533 Long DBT CORP US N 2 2033-08-10 Fixed 4.50000000 N N N N N N US TREAS NTS 0.125% 02/15/24 N/A UNITED STATES TREASURY NOTE 0.12500000 91282CBM2 5940000.00000000 NS USD 5916564.86000000 0.451452204273 Long DBT UST US N 2 2024-02-15 Fixed 0.12500000 N N N N N N UMBS P#FM7675 2.5% 06/01/51 N/A FANNIE MAE POOL UMBS P#FM7675 2.50000000 3140XBQ52 198702.99000000 NS USD 208303.67000000 0.015894214498 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N GNMA II P#MA4586 3.5% 07/20/47 N/A GINNIE MAE II POOL P#MA4586 3.50000000 36179TCX1 217973.21000000 NS USD 231492.46000000 0.017663590920 Long ABS-MBS USGSE US N 2 2047-07-20 Fixed 3.50000000 N N N N N N NORTHERN STATES 2.6% 06/01/51 N/A NORTHERN STATES PWR-MINN REGD 2.60000000 665772CS6 85000.00000000 NS USD 82723.93000000 0.006312091801 Long DBT CORP US N 2 2051-06-01 Fixed 2.60000000 N N N N N N SUMITOMO MITSU 3.544% 01/17/28 35380028MYWPB6AUO129 SUMITOMO MITSUI FINL GRP REGD 3.54400000 86562MAY6 96000.00000000 NS USD 107121.89000000 0.008173731634 Long DBT CORP JP N 2 2028-01-17 Fixed 3.54400000 N N N N N N N TX TOLLWAY AU 2.53% 01/01/35 PQGZGRE0F2WPMYQQ1B78 N TX TOLLWAY AUTH REVENUE REGD B/E 2.53000000 66285WD94 350000.00000000 NS USD 360423.53000000 0.027501430465 Long DBT MUN US N 2 2035-01-01 Fixed 2.53000000 N N N N N N MIZUHO FINANCIAL V/R 05/25/26 353800CI5L6DDAN5XZ33 MIZUHO FINANCIAL GROUP REGD V/R 2.22600000 60687YBD0 536000.00000000 NS USD 555871.52000000 0.042414716805 Long DBT CORP JP N 2 2026-05-25 Variable 2.22600000 N N N N N N GENERAL MOTORS FIN 4% 01/15/25 N/A GENERAL MOTORS FINL CO REGD 4.00000000 37045XAS5 64000.00000000 NS USD 69631.76000000 0.005313118724 Long DBT CORP US N 2 2025-01-15 Fixed 4.00000000 N N N N N N UMBS P#555743 5% 09/01/33 N/A FANNIE MAE POOL UMBS P#555743 5.00000000 31385XLY1 14824.74000000 NS USD 16871.37000000 0.001287337729 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.00000000 N N N N N N FGLMC P#G08726 3% 10/01/46 N/A FREDDIE MAC GOLD POOL P#G08726 3.00000000 3128MJYY0 362571.72000000 NS USD 384996.70000000 0.029376439364 Long ABS-MBS USGA US N 2 2046-10-01 Fixed 3.00000000 N N N N N N BOEING CO 4.875% 05/01/25 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 4.87500000 097023CT0 990000.00000000 NS USD 1107255.61000000 0.084487028817 Long DBT CORP US N 2 2025-05-01 Fixed 4.87500000 N N N N N N UMBS P#BR5458 2% 03/01/51 N/A FANNIE MAE POOL UMBS P#BR5458 2.00000000 3140L4B40 98455.20000000 NS USD 100051.10000000 0.007634208481 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N UMBS P#CA2199 4.5% 08/01/48 N/A FANNIE MAE POOL UMBS P#CA2199 4.50000000 3140Q9NR0 217412.19000000 NS USD 239856.93000000 0.018301825860 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N IBM CORP 3.3% 01/27/27 VGRQXHF3J8VDLUA7XE92 IBM CORP REGD 3.30000000 459200JR3 101000.00000000 NS USD 111552.86000000 0.008511828355 Long DBT CORP US N 2 2027-01-27 Fixed 3.30000000 N N N N N N FGLMC P#C91244 4.5% 04/01/29 N/A FREDDIE MAC GOLD POOL P#C91244 4.50000000 3128P7LZ4 23829.96000000 NS USD 25779.38000000 0.001967046453 Long ABS-MBS USGA US N 2 2029-04-01 Fixed 4.50000000 N N N N N N GNR 2020-47 NI 3.5% 04/20/50 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-47 CL NI 3.50000000 38382EDT1 90431.24000000 NS USD 13944.48000000 0.001064006967 Long ABS-CBDO CORP US N 2 2050-04-20 Fixed 3.50000000 N N N N N N FLORIDA POWER & 3.95% 03/01/48 N/A FLORIDA POWER & LIGHT CO REGD 3.95000000 341081FQ5 453000.00000000 NS USD 556941.20000000 0.042496336698 Long DBT CORP US N 2 2048-03-01 Fixed 3.95000000 N N N N N N KRAFT HEINZ FOOD 5.2% 07/15/45 N/A KRAFT HEINZ FOODS CO REGD 5.20000000 50077LAM8 150000.00000000 NS USD 192684.41000000 0.014702416635 Long DBT CORP US N 2 2045-07-15 Fixed 5.20000000 N N N N N N GOLDMAN SACHS G 4.25% 10/21/25 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD 4.25000000 38141GVR2 600000.00000000 NS USD 670015.55000000 0.051124259448 Long DBT CORP US N 2 2025-10-21 Fixed 4.25000000 N N N N N N INDONESIA ASAHA 6.53% 11/15/28 N/A INDONESIA ASAHAN ALUMINI REGD 144A P/P 6.53000000 74445PAC6 200000.00000000 NS USD 245867.00000000 0.018760412796 Long DBT CORP ID Y 2 2028-11-15 Fixed 6.53000000 N N N N N N BAT CAPITAL CO 3.215% 09/06/26 N/A BAT CAPITAL CORP REGD 3.21500000 05526DBJ3 332000.00000000 NS USD 354633.83000000 0.027059658442 Long DBT CORP US N 2 2026-09-06 Fixed 3.21500000 N N N N N N FHR 4316 XZ 4.5% 03/15/44 N/A FREDDIE MAC REMICS SER 4316 CL XZ 4.50000000 3137B9AH8 334877.47000000 NS USD 381961.21000000 0.029144822085 Long ABS-CBDO CORP US N 2 2044-03-15 Fixed 4.50000000 N N N N N N BAYER US FINANC 4.25% 12/15/25 N/A BAYER US FINANCE II LLC REGD 144A P/P 4.25000000 07274NAJ2 280000.00000000 NS USD 311913.90000000 0.023799995610 Long DBT CORP US Y 2 2025-12-15 Fixed 4.25000000 N N N N N N MICROSOFT CORP 4.2% 11/03/35 INR2EJN1ERAN0W5ZP974 MICROSOFT CORP REGD 4.20000000 594918BK9 98000.00000000 NS USD 123271.81000000 0.009406020497 Long DBT CORP US N 2 2035-11-03 Fixed 4.20000000 N N N N N N TORONTO-DOMINIO 0.75% 06/12/23 PT3QB789TSUIDF371261 TORONTO-DOMINION BANK REGD MTN 0.75000000 89114QCG1 310000.00000000 NS USD 312416.72000000 0.023838362332 Long DBT CORP CA N 2 2023-06-12 Fixed 0.75000000 N N N N N N ROCKIES EXPRES 6.875% 04/15/40 N/A ROCKIES EXPRESS PIPELINE REGD P/P 6.87500000 77340RAM9 280000.00000000 NS USD 309782.20000000 0.023637340305 Long DBT CORP US Y 2 2040-04-15 Fixed 6.87500000 N N N N N N CONTINENTAL RESO 4.9% 06/01/44 XXRTID9RYWOZ0UPIVR53 CONTINENTAL RESOURCES REGD SER WI 4.90000000 212015AQ4 30000.00000000 NS USD 33834.00000000 0.002581638880 Long DBT CORP US N 2 2044-06-01 Fixed 4.90000000 N N N N N N UMBS P#AA4596 4% 04/01/24 N/A FANNIE MAE POOL UMBS P#AA4596 4.00000000 31416NDA7 11000.45000000 NS USD 11673.08000000 0.000890692119 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 4.00000000 N N N N N N UNITEDHEALTH G 2.375% 10/15/22 549300GHBMY8T5GXDE41 UNITEDHEALTH GROUP INC REGD 2.37500000 91324PDD1 20000.00000000 NS USD 20477.74000000 0.001562514918 Long DBT CORP US N 2 2022-10-15 Fixed 2.37500000 N N N N N N UMBS P#BC1509 3% 08/01/46 N/A FANNIE MAE POOL UMBS P#BC1509 3.00000000 3140EVVB0 97780.93000000 NS USD 104060.74000000 0.007940156418 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N GNR 2012-H27 AI V/R 10/20/62 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H27 CL AI V/R 1.74656000 38375BZC9 204900.49000000 NS USD 9852.03000000 0.000751740370 Long ABS-CBDO CORP US N 2 2062-10-20 Variable 1.74656000 N N N N N N MSRR 2014-R3 2A V/R 07/26/48 N/A MORGAN STANLEY RESECURITIZATIO SER 2014-R3 CL 2A V/R REGD 144A P/P 3.00000000 61763PAG8 202237.91000000 NS USD 204031.52000000 0.015568236235 Long ABS-CBDO CORP US Y 2 2048-07-26 Variable 3.00000000 N N N N N N T/L TRANS UNION 0% 11/16/26 N/A T/L TRANS UNION LLC REGD 0.00000000 89334GAX2 204798.52000000 NS USD 203070.02000000 0.015494870811 Long LON CORP US N 2 2026-11-16 Variable 1.83463000 N N N N N N RUSSIA GOV 7.75% 09/16/26/RUB/ N/A RUSSIA GOVT BOND - OFZ /RUB/ REGD SER 6219 7.75000000 X5424XBF4 6950000.00000000 NS 99281.92000000 0.007575517667 Long DBT USGA RU N 2 2026-09-16 Fixed 7.75000000 N N N N N N BANK OF AMERICA C V/R 03/20/51 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 4.08300000 06051GJA8 310000.00000000 NS USD 374322.54000000 0.028561967930 Long DBT CORP US N 2 2051-03-20 Variable 4.08300000 N N N N N N VERIZON COMMUNICAT 4% 03/22/50 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 4.00000000 92343VFD1 50000.00000000 NS USD 58034.45000000 0.004428208089 Long DBT CORP US N 2 2050-03-22 Fixed 4.00000000 N N N N N N ABU DHABI GOVT I 2.5% 09/30/29 N/A ABU DHABI GOVT INT'L REGD REG S 2.50000000 M0152WAE1 200000.00000000 NS USD 211933.20000000 0.016171158867 Long DBT USGA AE N 2 2029-09-30 Fixed 2.50000000 N N N N N N UMBS P#MA4176 2% 11/01/40 N/A FANNIE MAE POOL UMBS P#MA4176 2.00000000 31418DUA8 1302293.09000000 NS USD 1335728.62000000 0.101920226360 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 2.00000000 N N N N N N INTELSAT JACKSON 5.5% 08/01/23 N/A INTELSAT JACKSON HLDG REGD 0.00000000 45824TAP0 400000.00000000 NS USD 211500.00000000 0.016138104366 Long DBT CORP LU N 2 2023-08-01 Fixed 0.00000000 Y N N N N N HALLIBURTON CO 3.8% 11/15/25 ENYF8GB5SMQZ25S06U51 HALLIBURTON CO REGD 3.80000000 406216BG5 14000.00000000 NS USD 15419.84000000 0.001176581499 Long DBT CORP US N 2 2025-11-15 Fixed 3.80000000 N N N N N N CINTAS CORPORATI 3.7% 04/01/27 N/A CINTAS CORPORATION NO. 2 REGD 3.70000000 17252MAN0 110000.00000000 NS USD 123518.95000000 0.009424878044 Long DBT CORP US N 2 2027-04-01 Fixed 3.70000000 N N N N N N HOLOGIC INC 4.625% 02/01/28 549300DYP6F5ZJL0LB74 HOLOGIC INC REGD 144A P/P 4.62500000 436440AM3 100000.00000000 NS USD 106504.50000000 0.008126622867 Long DBT CORP US Y 2 2028-02-01 Fixed 4.62500000 N N N N N N UMBS P#RA5576 2.5% 07/01/51 N/A FREDDIE MAC POOL UMBS P#RA5576 2.50000000 3133KMFR1 795244.28000000 NS USD 834714.19000000 0.063691275246 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 2.50000000 N N N N N N EQT CORP 3.9% 10/01/27 4NT01YGM4X7ZX86ISY52 EQT CORP REGD 3.90000000 26884LAF6 70000.00000000 NS USD 75672.80000000 0.005774068766 Long DBT CORP US N 2 2027-10-01 Fixed 3.90000000 N N N N N N GNMA II P#MA5018 3% 02/20/48 N/A GINNIE MAE II POOL P#MA5018 3.00000000 36179TSF3 15350.01000000 NS USD 16092.52000000 0.001227909065 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 3.00000000 N N N N N N CITIGROUP INC 6.675% 09/13/43 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD 6.67500000 172967HA2 100000.00000000 NS USD 155906.53000000 0.011896150603 Long DBT CORP US N 2 2043-09-13 Fixed 6.67500000 N N N N N N TEXTRON INC 3.9% 09/17/29 3PPKBHUG1HD6BO7RNR87 TEXTRON INC REGD 3.90000000 883203CA7 218000.00000000 NS USD 246111.01000000 0.018779031513 Long DBT CORP US N 2 2029-09-17 Fixed 3.90000000 N N N N N N UMBS P#SD0633 3.5% 02/01/51 N/A FREDDIE MAC POOL UMBS P#SD0633 3.50000000 3132DMV28 192367.15000000 NS USD 206751.95000000 0.015775813461 Long ABS-MBS USGA US N 2 2051-02-01 Fixed 3.50000000 N N N N N N NISSAN MOTOR AC 3.65% 09/21/21 N/A NISSAN MOTOR ACCEPTANCE REGD 144A P/P 3.65000000 654740BJ7 20000.00000000 NS USD 20034.13000000 0.001528666103 Long DBT CORP US Y 2 2021-09-21 Fixed 3.65000000 N N N N N N UST BDS 4.375% DUE 2/15/38 N/A UNITED STATES TREASURY BOND 4.37500000 912810PW2 2835000.00000000 NS USD 3983396.47000000 0.303945475023 Long DBT UST US N 2 2038-02-15 Fixed 4.37500000 N N N N N N UMBS TBA 15YR 1.5% SEP 21 N/A UMBS TBA 15YR 1.5% SEP 21 TO BE ANNOUNCED 1.50000000 01F012494 3100000.00000000 NS USD 3150492.03000000 0.240392289300 Long ABS-MBS USGA US N 2 2036-09-01 Fixed 1.50000000 N N N N N N APACHE CORP 4.75% 04/15/43 72ZZ1XRHOOU9P9X16K08 APACHE CORP REGD 4.75000000 037411BA2 30000.00000000 NS USD 32223.15000000 0.002458726041 Long DBT CORP US N 2 2043-04-15 Fixed 4.75000000 N N N N N N UMBS P#BE7172 3% 03/01/32 N/A FANNIE MAE POOL UMBS P#BE7172 3.00000000 3140FS6J7 171618.91000000 NS USD 181854.97000000 0.013876096858 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 3.00000000 N N N N N N UNITED AIR 2015 3.45% 12/01/27 N/A UNITED AIR 2015-1 AA PTT REGD 3.45000000 90932LAA5 31845.92000000 NS USD 33685.37000000 0.002570297951 Long DBT CORP US N 2 2027-12-01 Fixed 3.45000000 N N N N N N UMBS P#SD8155 2% 07/01/51 N/A FREDDIE MAC POOL UMBS P#SD8155 2.00000000 3132DWBY8 6656907.04000000 NS USD 6757516.87000000 0.515619444485 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 2.00000000 N N N N N N KRAFT HEINZ FOODS 5% 07/15/35 N/A KRAFT HEINZ FOODS CO REGD 5.00000000 50077LAL0 40000.00000000 NS USD 49672.87000000 0.003790193665 Long DBT CORP US N 2 2035-07-15 Fixed 5.00000000 N N N N N N N/A N/A IRS RUS3MP01.22 02/15/47 GOLDUS33 FLOAT N/A 1.00000000 NC USD 60872.11000000 0.004644730327 N/A DIR US N 2 BA SECURITIES INC N/A N/A N/A Y 2047-02-15 -723168.52000000 USD 724000.00000000 USD 724000.00000000 USD 64732.46000000 N N N UMBS P#AB9683 4% 06/01/43 N/A FANNIE MAE POOL UMBS P#AB9683 4.00000000 31417GXM3 68641.24000000 NS USD 75935.98000000 0.005794150214 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N GNMA II P#MA0221 4% 07/20/42 N/A GINNIE MAE II POOL P#MA0221 4.00000000 36179MG61 34447.20000000 NS USD 37754.34000000 0.002880772951 Long ABS-MBS USGSE US N 2 2042-07-20 Fixed 4.00000000 N N N N N N MCDONALD'S CORP 3.7% 01/30/26 UE2136O97NLB5BYP9H04 MCDONALD'S CORP REGD MTN 3.70000000 58013MEY6 140000.00000000 NS USD 155017.07000000 0.011828282053 Long DBT CORP US N 2 2026-01-30 Fixed 3.70000000 N N N N N N CSAIL 2015-C1 3.505% 01/15/25 N/A CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST SER 2015-C1 CL A4 REGD 3.50500000 126281AZ7 295000.00000000 NS USD 317897.07000000 0.024256529993 Long ABS-CBDO CORP US N 2 2050-04-15 Fixed 3.50500000 N N N N N N UMBS P#BR3286 2% 03/01/51 N/A FANNIE MAE POOL UMBS P#BR3286 2.00000000 3140L1UL7 96423.07000000 NS USD 98176.45000000 0.007491166886 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N GNMA II P#4747 5% 07/20/40 N/A GINNIE MAE II POOL P#4747 5.00000000 36202FHY5 6171.07000000 NS USD 6950.29000000 0.000530328630 Long ABS-MBS USGSE US N 2 2040-07-20 Fixed 5.00000000 N N N N N N UMBS P#AE6061 4.5% 10/01/40 N/A FANNIE MAE POOL UMBS P#AE6061 4.50000000 31419GWX8 63573.99000000 NS USD 70673.68000000 0.005392620443 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.50000000 N N N N N N BRISTOL-MYERS SQ 3.4% 07/26/29 HLYYNH7UQUORYSJQCN42 BRISTOL-MYERS SQUIBB CO REGD 3.40000000 110122CP1 130000.00000000 NS USD 146157.39000000 0.011152261058 Long DBT CORP US N 2 2029-07-26 Fixed 3.40000000 N N N N N N LAS VEGAS SANDS 3.2% 08/08/24 549300DUOO1KXOHPM605 LAS VEGAS SANDS CORP REGD 3.20000000 517834AG2 270000.00000000 NS USD 281326.46000000 0.021466079303 Long DBT CORP US N 2 2024-08-08 Fixed 3.20000000 N N N N N N TIME WARNER CA 5.875% 11/15/40 N/A TIME WARNER CABLE LLC REGD 5.87500000 88732JAY4 100000.00000000 NS USD 128906.43000000 0.009835959436 Long DBT CORP US N 2 2040-11-15 Fixed 5.87500000 N N N N N N FHR 4879 BC 3% 04/15/49 N/A FREDDIE MAC REMICS SER 4879 CL BC 3.00000000 3137FLUD4 308045.82000000 NS USD 318036.61000000 0.024267177326 Long ABS-CBDO CORP US N 2 2049-04-15 Fixed 3.00000000 N N N N N N MCDONALD'S CORP 3.6% 07/01/30 UE2136O97NLB5BYP9H04 MCDONALD'S CORP REGD MTN 3.60000000 58013MFQ2 100000.00000000 NS USD 113076.08000000 0.008628054753 Long DBT CORP US N 2 2030-07-01 Fixed 3.60000000 N N N N N N INTL FLAVOR & FRAG 5% 09/26/48 BZLRL03D3GPGMOGFO832 INTL FLAVOR & FRAGRANCES REGD 5.00000000 459506AL5 5000.00000000 NS USD 6664.22000000 0.000508500604 Long DBT CORP US N 2 2048-09-26 Fixed 5.00000000 N N N N N N UMBS P#MA3997 3% 04/01/50 N/A FANNIE MAE POOL UMBS P#MA3997 3.00000000 31418DNP3 525909.17000000 NS USD 542073.61000000 0.041361893582 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.00000000 N N N N N N TPMT 2016-5 B2 V/R 10/25/56 N/A TOWD POINT MORTGAGE TRUST 2016-5 SER 2016-5 CL B2 V/R REGD 144A P/P 3.63809400 89173CAF4 770000.00000000 NS USD 822663.84000000 0.062771796258 Long ABS-CBDO CORP US Y 2 2056-10-25 Variable 3.63809400 N N N N N N P/O EURO$ 2Y MIDC DEC21 99.125 N/A PUT OPTION ON EURO$ 2Y MIDCV OP DEC21 99.125 0.00000000 N/A 260.00000000 NC USD 125125.00000000 0.009547424628 N/A DO CORP US N 1 CITIGROUP GLOBAL MARKETS MBNUM2BPBDO7JBLYG310 Put Written P/O EURO$ 2Y MIDC DEC21 99.125 0 650000.00000000 USD 99.12500000 USD 2021-12-10 XXXX 10774.40000000 N N N HSBC HOLDINGS PLC V/R 03/13/23 MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC REGD V/R 3.26200000 404280BJ7 200000.00000000 NS USD 203137.25000000 0.015500000668 Long DBT CORP GB N 2 2023-03-13 Variable 3.26200000 N N N N N N GNR 2013-107 AD V/R 11/16/47 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-107 CL AD V/R 2.76873000 38378KYP8 110488.32000000 NS USD 115616.59000000 0.008821903526 Long ABS-CBDO CORP US N 2 2047-11-16 Variable 2.76873000 N N N N N N UMBS P#FM6043 3.5% 06/01/49 N/A FANNIE MAE POOL UMBS P#FM6043 3.50000000 3140X9WD3 1499765.52000000 NS USD 1594295.68000000 0.121649693028 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N FNR 2011-87 SG V/R 04/25/40 N/A FANNIE MAE REMICS SER 2011-87 CL SG V/R 6.46562000 3136A03E5 157241.32000000 NS USD 14013.05000000 0.001069239070 Long ABS-CBDO CORP US N 2 2040-04-25 Variable 6.46562000 N N N N N N CREDIT SUISSE GRO V/R 05/14/32 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG REGD V/R 144A P/P 3.09100000 225401AU2 1101000.00000000 NS USD 1149297.72000000 0.087694971886 Long DBT CORP CH Y 2 2032-05-14 Variable 3.09100000 N N N N N N CON EDISON CO O 3.95% 04/01/50 N/A CON EDISON CO OF NY INC REGD SER 20B 3.95000000 209111FY4 40000.00000000 NS USD 46483.10000000 0.003546804345 Long DBT CORP US N 2 2050-04-01 Fixed 3.95000000 N N N N N N FNGT 2017-T1 2.898% 06/25/27 N/A FANNIE MAE GRANTOR TRUST 2017-T1 SER 2017-T1 CL A 2.89800000 3136AV6R5 99596.03000000 NS USD 108948.83000000 0.008313132809 Long ABS-CBDO CORP US N 2 2027-06-25 Fixed 2.89800000 N N N N N N US TREAS NTS 1.125% 08/31/28 N/A UNITED STATES TREASURY NOTE 1.12500000 91282CCV1 2140000.00000000 NS USD 2146687.50000000 0.163798897957 Long DBT UST US N 2 2028-08-31 Fixed 1.12500000 N N N N N N HUNTINGTON ING 3.483% 12/01/27 5TZLZ6WJTBVJ0QWBG121 HUNTINGTON INGALLS INDUS REGD SER WI 3.48300000 446413AL0 185000.00000000 NS USD 201633.51000000 0.015385260653 Long DBT CORP US N 2 2027-12-01 Fixed 3.48300000 N N N N N N T/L DELTA 2 0% 02/01/2018 N/A T/L DELTA 2 LUX SARL REGD 0.00000000 L2465BAQ9 20000.00000000 NS USD 19952.50000000 0.001522437481 Long LON CORP LU N 2 2024-02-01 Variable 3.50000000 N N N N N N NATWEST GROUP PLC V/R 06/25/24 N/A NATWEST GROUP PLC REGD V/R 4.51900000 780097BJ9 200000.00000000 NS USD 213622.16000000 0.016300031740 Long DBT CORP GB N 2 2024-06-25 Variable 4.51900000 N N N N N N GSMS 2018-SRP5 A V/R 06/15/21 N/A GS MORTGAGE SECURITIES CORP II SER 2018-SRP5 CL A V/R REGD 144A P/P 1.64600000 36255TAA0 710000.00000000 NS USD 646000.74000000 0.049291855145 Long ABS-CBDO CORP US Y 2 2031-09-15 Variable 1.64600000 N N N N N N MSBAM 2013-C13 A 4.039% 11/15/23 N/A MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUS SER 2013-C13 CL A4 REGD 4.03900000 61763BAU8 500000.00000000 NS USD 533513.75000000 0.040708749780 Long ABS-CBDO CORP US N 2 2046-11-15 Fixed 4.03900000 N N N N N N SMB 2018-C A2B V/R 10/15/27 N/A SMB PRIVATE EDUCATION LOAN TRUST 2018-C SER 2018-C CL A2B V/R REGD 144A P/P 0.84313000 78449QAC1 435043.48000000 NS USD 435997.49000000 0.033267957434 Long ABS-CBDO CORP US Y 2 2035-11-15 Variable 0.84313000 N N N N N N GNMA II P#BS1742 4% 02/20/50 N/A GINNIE MAE II POOL P#BS1742 4.00000000 3617MB5B1 65500.73000000 NS USD 70988.61000000 0.005416650577 Long ABS-MBS USGSE US N 2 2050-02-20 Fixed 4.00000000 N N N N N N GNMA II P#5204 4.5% 10/20/41 N/A GINNIE MAE II POOL P#5204 4.50000000 36202FX92 21960.34000000 NS USD 24539.39000000 0.001872431380 Long ABS-MBS USGSE US N 2 2041-10-20 Fixed 4.50000000 N N N N N N FGLMC P#G67708 3.5% 03/01/48 N/A FREDDIE MAC GOLD POOL P#G67708 3.50000000 3132XCR56 1122975.07000000 NS USD 1213149.10000000 0.092567029732 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.50000000 N N N N N N ABSHE 2007-HE1 A V/R 12/25/36 N/A ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES SER 2007-HE1 CL A4 V/R REGD 0.22438000 04544RAC9 843654.59000000 NS USD 827839.69000000 0.063166729627 Long ABS-CBDO CORP US N 2 2036-12-25 Variable 0.22438000 N N N N N N CCCIT 2017-A6 A6 V/R 05/14/27 N/A CITIBANK CREDIT CARD ISSUANCE TRUST SER 2017-A6 CL A6 V/R REGD 0.86550000 17305EGE9 315000.00000000 NS USD 321218.86000000 0.024509992847 Long ABS-CBDO CORP US N 2 2029-05-14 Variable 0.86550000 N N N N N N ENTERPRISE PRODU 3.7% 01/31/51 N/A ENTERPRISE PRODUCTS OPER REGD 3.70000000 29379VBY8 300000.00000000 NS USD 324127.34000000 0.024731918870 Long DBT CORP US N 2 2051-01-31 Fixed 3.70000000 N N N N N N TEACHERS INSUR 4.27% 05/15/47 N/A TEACHERS INSUR & ANNUITY REGD 144A P/P 4.27000000 878091BF3 85000.00000000 NS USD 104853.92000000 0.008000678507 Long DBT CORP US Y 2 2047-05-15 Fixed 4.27000000 N N N N N N ALIMENTATION C 3.439% 05/13/41 549300OSW32RVX8CCZ87 ALIMENTATION COUCHE-TARD REGD 144A P/P 3.43900000 01626PAP1 76000.00000000 NS USD 79961.68000000 0.006101323580 Long DBT CORP CA Y 2 2041-05-13 Fixed 3.43900000 N N N N N N BACARDI LTD 4.45% 05/15/25 549300R32WTQNHNN5055 BACARDI LTD REGD 144A P/P 4.45000000 067316AE9 405000.00000000 NS USD 449918.14000000 0.034330146098 Long DBT CORP BM Y 2 2025-05-15 Fixed 4.45000000 N N N N N N NXP BV/NXP FDG/N 4.3% 06/18/29 N/A NXP BV/NXP FDG/NXP USA REGD 144A P/P 4.30000000 62954HAB4 859000.00000000 NS USD 987803.72000000 0.075372480034 Long DBT CORP NL Y 2 2029-06-18 Fixed 4.30000000 N N N N N N VISA INC 4.3% 12/14/45 549300JZ4OKEHW3DPJ59 VISA INC REGD 4.30000000 92826CAF9 310000.00000000 NS USD 397797.61000000 0.030353188402 Long DBT CORP US N 2 2045-12-14 Fixed 4.30000000 N N N N N N UMBS P#AR7721 2.5% 02/01/28 N/A FANNIE MAE POOL UMBS P#AR7721 2.50000000 3138W5SK5 63382.96000000 NS USD 66770.34000000 0.005094783524 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 2.50000000 N N N N N N REPUBLICA ORIENT 4.5% 08/14/24 N/A REPUBLICA ORIENT URUGUAY REGD 4.50000000 760942AZ5 70000.00000000 NS USD 75710.60000000 0.005776953023 Long DBT USGA UY N 2 2024-08-14 Fixed 4.50000000 N N N N N N P/O IMM EURO$ FUT MAR22 99.625 N/A PUT OPTION ON IMM EURO$ FUT OPT MAR22 99.625 0.00000000 N/A 249.00000000 NC USD 6225.00000000 0.000474986759 N/A DO CORP US N 1 WESTERN N/A Put Written P/O IMM EURO$ FUT MAR22 99.625 0 622500.00000000 USD 99.62500000 USD 2022-03-14 XXXX -19197.90000000 N N N AMAZON.COM INC 0.8% 06/03/25 ZXTILKJKG63JELOEG630 AMAZON.COM INC REGD 0.80000000 023135BQ8 190000.00000000 NS USD 190506.82000000 0.014536259781 Long DBT CORP US N 2 2025-06-03 Fixed 0.80000000 N N N N N N COMCAST CORP 3.4% 07/15/46 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 3.40000000 20030NBU4 111000.00000000 NS USD 121145.44000000 0.009243771887 Long DBT CORP US N 2 2046-07-15 Fixed 3.40000000 N N N N N N INTELSAT JACKSO 9.75% 07/15/25 N/A INTELSAT JACKSON HLDG REGD 144A P/P 0.00000000 45824TAY1 605000.00000000 NS USD 327456.25000000 0.024985925002 Long DBT CORP LU Y 2 2025-07-15 Fixed 0.00000000 Y N N N N N NVIDIA CORP 1.55% 06/15/28 549300S4KLFTLO7GSQ80 NVIDIA CORP REGD 1.55000000 67066GAM6 320000.00000000 NS USD 321794.49000000 0.024553915197 Long DBT CORP US N 2 2028-06-15 Fixed 1.55000000 N N N N N N UMBS P#AS4347 4% 01/01/45 N/A FANNIE MAE POOL UMBS P#AS4347 4.00000000 3138WDZM6 55483.83000000 NS USD 61403.87000000 0.004685305260 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.00000000 N N N N N N CIM 2021-R3 A1A V/R 06/25/57 N/A CIM TRUST 2021-R3 SER 2021-R3 CL A1A V/R REGD 144A P/P 1.95100000 12566LAB0 1578414.31000000 NS USD 1601143.48000000 0.122172201354 Long ABS-CBDO CORP US Y 2 2057-06-25 Variable 1.95100000 N N N N N N UMBS P#RA3882 2% 11/01/50 N/A FREDDIE MAC POOL UMBS P#RA3882 2.00000000 3133KKJ34 188904.23000000 NS USD 192388.79000000 0.014679859915 Long ABS-MBS USGA US N 2 2050-11-01 Fixed 2.00000000 N N N N N N GNMA II P#785221 2% 12/20/50 N/A GINNIE MAE II POOL P#785221 2.00000000 3622AAVN1 190604.12000000 NS USD 194830.67000000 0.014866182914 Long ABS-MBS USGSE US N 2 2050-12-20 Fixed 2.00000000 N N N N N N UMBS P#MA4356 2.5% 06/01/51 N/A FANNIE MAE POOL UMBS P#MA4356 2.50000000 31418DZW5 886552.20000000 NS USD 922146.03000000 0.070362595147 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N IXIS 2006-HE2 A3 V/R 08/25/36 N/A IXIS REAL ESTATE CAPITAL TRUST 2006-HE2 SER 2006-HE2 CL A3 V/R REGD 0.40438000 46602WAC8 956476.71000000 NS USD 356240.80000000 0.027182275225 Long ABS-CBDO CORP US N 2 2036-08-25 Variable 0.40438000 N N N N N N UMBS P#MA4128 2% 09/01/40 N/A FANNIE MAE POOL UMBS P#MA4128 2.00000000 31418DSS2 120578.35000000 NS USD 123659.08000000 0.009435570396 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 2.00000000 N N N N N N BANK OF AMERICA C V/R 07/23/30 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 3.19400000 06051GHV4 464000.00000000 NS USD 501580.84000000 0.038272169949 Long DBT CORP US N 2 2030-07-23 Variable 3.19400000 N N N N N N CHARTER COMM OPT 4.2% 03/15/28 N/A CHARTER COMM OPT LLC/CAP REGD SER WI 4.20000000 161175BK9 260000.00000000 NS USD 294635.68000000 0.022481613967 Long DBT CORP US N 2 2028-03-15 Fixed 4.20000000 N N N N N N US TREAS BDS 2.375% 05/15/51 N/A UNITED STATES TREASURY BOND 2.37500000 912810SX7 11169000.00000000 NS USD 12319930.61000000 0.940048822583 Long DBT UST US N 2 2051-05-15 Fixed 2.37500000 N N N N N N AMGEN INC 4.663% 06/15/51 62QBXGPJ34PQ72Z12S66 AMGEN INC REGD SER WI 4.66300000 031162CF5 98000.00000000 NS USD 127262.53000000 0.009710524780 Long DBT CORP US N 2 2051-06-15 Fixed 4.66300000 N N N N N N GNMA II P#MA7366 2% 05/20/51 N/A GINNIE MAE II POOL P#MA7366 2.00000000 36179WFF0 1229944.09000000 NS USD 1257074.20000000 0.095918650763 Long ABS-MBS USGSE US N 2 2051-05-20 Fixed 2.00000000 N N N N N N UMBS P#995245 5% 01/01/39 N/A FANNIE MAE POOL UMBS P#995245 5.00000000 31416BTA6 41490.51000000 NS USD 46776.48000000 0.003569190147 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.00000000 N N N N N N UMBS P#QC4689 2.5% 08/01/51 N/A FREDDIE MAC POOL UMBS P#QC4689 2.50000000 3133APF61 99832.63000000 NS USD 105396.06000000 0.008042045466 Long ABS-MBS USGA US N 2 2051-08-01 Fixed 2.50000000 N N N N N N GNMA P#661598 6% 01/15/37 N/A GINNIE MAE I POOL P#661598 6.00000000 36294V7K0 9716.20000000 NS USD 10937.55000000 0.000834568905 Long ABS-MBS USGSE US N 2 2037-01-15 Fixed 6.00000000 N N N N N N ENTERPRISE PROD 4.85% 03/15/44 N/A ENTERPRISE PRODUCTS OPER REGD 4.85000000 29379VBA0 200000.00000000 NS USD 247862.60000000 0.018912683250 Long DBT CORP US N 2 2044-03-15 Fixed 4.85000000 N N N N N N GNR 2020-160 VI 2.5% 10/20/50 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-160 CL VI 2.50000000 38382KS87 95902.52000000 NS USD 12732.37000000 0.000971519224 Long ABS-CBDO CORP US N 2 2050-10-20 Fixed 2.50000000 N N N N N N AMAZON.COM INC 4.05% 08/22/47 ZXTILKJKG63JELOEG630 AMAZON.COM INC REGD 4.05000000 023135BJ4 100000.00000000 NS USD 123704.67000000 0.009439049054 Long DBT CORP US N 2 2047-08-22 Fixed 4.05000000 N N N N N N FGLMC P#G67711 4% 03/01/48 N/A FREDDIE MAC GOLD POOL P#G67711 4.00000000 3132XCR80 223783.20000000 NS USD 247071.74000000 0.018852338185 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 4.00000000 N N N N N N GNMA II P#MA3803 3.5% 07/20/46 N/A GINNIE MAE II POOL P#MA3803 3.50000000 36179SGL5 48985.72000000 NS USD 52148.83000000 0.003979117073 Long ABS-MBS USGSE US N 2 2046-07-20 Fixed 3.50000000 N N N N N N PHILIP MORRIS IN 2.9% 11/15/21 HL3H1H2BGXWVG3BSWR90 PHILIP MORRIS INTL INC REGD 2.90000000 718172AL3 190000.00000000 NS USD 191027.51000000 0.014575990039 Long DBT CORP US N 2 2021-11-15 Fixed 2.90000000 N N N N N N BP CAP MARKETS 3.79% 02/06/24 N/A BP CAP MARKETS AMERICA REGD 3.79000000 10373QAD2 30000.00000000 NS USD 32185.73000000 0.002455870779 Long DBT CORP US N 2 2024-02-06 Fixed 3.79000000 N N N N N N CSAIL 2016-C5 3.756% 11/15/25 N/A CSAIL 2016-C5 COMMERCIAL MORTGAGE TRUST SER 2016-C5 CL A5 REGD 3.75670000 12636LAY6 1000000.00000000 NS USD 1098167.30000000 0.083793562646 Long ABS-CBDO CORP US N 2 2048-11-15 Fixed 3.75670000 N N N N N N COMM 2013-CR12 C V/R 11/10/23 N/A COMM 2013-CCRE12 MORTGAGE TRUST SER 2013-CR12 CL C V/R REGD 5.24057100 12591KAK1 20000.00000000 NS USD 20057.39000000 0.001530440913 Long ABS-CBDO CORP US N 2 2046-10-10 Variable 5.24057100 N N N N N N CIM 2021-R1 A2 V/R 08/25/56 N/A CIM TRUST 2021-R1 SER 2021-R1 CL A2 V/R REGD 144A P/P 2.40000000 12563RAC8 1475425.25000000 NS USD 1481283.28000000 0.113026497255 Long ABS-CBDO CORP US Y 2 2056-08-25 Variable 2.40000000 N N N N N N UMBS P#BR4035 2% 02/01/51 N/A FANNIE MAE POOL UMBS P#BR4035 2.00000000 3140L2PV9 98827.75000000 NS USD 100441.94000000 0.007664030782 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N UMBS P#QC0160 2% 03/01/51 N/A FREDDIE MAC POOL UMBS P#QC0160 2.00000000 3133AJE90 98165.02000000 NS USD 99936.82000000 0.007625488563 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 2.00000000 N N N N N N FHR 5040 IB 2.5% 11/25/50 N/A FREDDIE MAC REMICS SER 5040 CL IB 2.50000000 3137F6P92 93014.69000000 NS USD 11706.48000000 0.000893240643 Long ABS-CBDO CORP US N 2 2050-11-25 Fixed 2.50000000 N N N N N N SALESFORCE.COM 3.25% 04/11/23 RCGZFPDMRW58VJ54VR07 SALESFORCE.COM INC REGD 3.25000000 79466LAE4 130000.00000000 NS USD 135891.50000000 0.010368941889 Long DBT CORP US N 2 2023-04-11 Fixed 3.25000000 N N N N N N T/L 1011778 B C 0% 11/19/26 N/A T/L 1011778 B.C UNLIMITED LIABILITY COMPANY NEW RED INC AKA BURGER KING TIM HORTONS TERM LOAN B4 REGD 0.00000000 N/A 237191.96000000 NS USD 233460.93000000 0.017813791271 Long LON CORP CA N 2 2026-11-19 Variable 1.83463000 N N N N N N GNMA II P#MA4778 3.5% 10/20/47 N/A GINNIE MAE II POOL P#MA4778 3.50000000 36179TJX4 85276.39000000 NS USD 91008.13000000 0.006944201892 Long ABS-MBS USGSE US N 2 2047-10-20 Fixed 3.50000000 N N N N N N WELLS FARGO & COM V/R 04/30/41 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD V/R 3.06800000 95000U2Q5 521000.00000000 NS USD 547010.88000000 0.041738622559 Long DBT CORP US N 2 2041-04-30 Variable 3.06800000 N N N N N N UMBS P#AE3049 4.5% 09/01/40 N/A FANNIE MAE POOL UMBS P#AE3049 4.50000000 31419DL74 722677.12000000 NS USD 803374.90000000 0.061299990458 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.50000000 N N N N N N HCA INC 5.5% 06/15/47 N/A HCA INC REGD 5.50000000 404119BV0 160000.00000000 NS USD 211551.37000000 0.016142024056 Long DBT CORP US N 2 2047-06-15 Fixed 5.50000000 N N N N N N UMBS P#AP9862 4% 10/01/42 N/A FANNIE MAE POOL UMBS P#AP9862 4.00000000 3138MD5Y4 20364.61000000 NS USD 22392.32000000 0.001708603296 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.00000000 N N N N N N WFCM 2015-C28 AS V/R 04/15/25 N/A WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C28 SER 2015-C28 CL AS V/R REGD 3.87200000 94989JBB1 1000000.00000000 NS USD 1083815.30000000 0.082698460642 Long ABS-CBDO CORP US N 2 2048-05-15 Variable 3.87200000 N N N N N N SHIRE ACQ INV IR 3.2% 09/23/26 N/A SHIRE ACQ INV IRELAND DA REGD 3.20000000 82481LAD1 259000.00000000 NS USD 281350.62000000 0.021467922785 Long DBT CORP IE N 2 2026-09-23 Fixed 3.20000000 N N N N N N MPLX LP 4.7% 04/15/48 N/A MPLX LP REGD 4.70000000 55336VAN0 260000.00000000 NS USD 304728.18000000 0.023251702942 Long DBT CORP US N 2 2048-04-15 Fixed 4.70000000 N N N N N N TPMT 2015-2 1B3 V/R 10/25/31 N/A TOWD POINT MORTGAGE TRUST 2015-2 SER 2015-2 CL 1B3 V/R REGD 144A P/P 3.39994700 89171YAG6 760000.00000000 NS USD 797608.98000000 0.060860032922 Long ABS-CBDO CORP US Y 2 2060-11-25 Variable 3.39994700 N N N N N N WESTERN MIDSTRE 4.35% 02/01/25 N/A WESTERN MIDSTREAM OPERAT REGD 4.35000000 958667AB3 140000.00000000 NS USD 147289.80000000 0.011238667444 Long DBT CORP US N 2 2025-02-01 Fixed 4.35000000 N N N N N N AMEREN ILLINOIS 3.25% 03/15/50 N/A AMEREN ILLINOIS CO REGD 3.25000000 02361DAU4 161000.00000000 NS USD 176899.61000000 0.013497987558 Long DBT CORP US N 2 2050-03-15 Fixed 3.25000000 N N N N N N CSMC 2019-ICE4 F V/R 05/15/21 N/A CREDIT SUISSE MORTGAGE CAPITAL CER SER 2019-ICE4 CL F V/R REGD 144A P/P 2.74600000 12653VAL0 950000.00000000 NS USD 954537.20000000 0.072834141634 Long ABS-CBDO CORP US Y 2 2036-05-15 Variable 2.74600000 N N N N N N BAMLL 2019-BP 3.287% 11/05/24 N/A BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-BPR SER 2019-BPR CL AMP REGD 144A P/P 3.28700000 05492PAQ1 820000.00000000 NS USD 859123.59000000 0.065553787987 Long ABS-CBDO CORP US Y 2 2032-11-05 Fixed 3.28700000 N N N N N N FARMERS EXCHANGE V/R 11/01/53 N/A FARMERS EXCHANGE CAP II REGD V/R 6.15100000 30958PAA1 900000.00000000 NS USD 1180427.64000000 0.090070281096 Long DBT CORP US Y 2 2053-11-01 Variable 6.15100000 N N N N N N NAROT 2018-C A 3.22% 05/15/22 N/A NISSAN AUTO RECEIVABLES 2018-C OWNER TRUST SER 2018-C CL A3 REGD 3.22000000 65478NAD7 355074.38000000 NS USD 358365.78000000 0.027344417773 Long ABS-CBDO CORP US N 2 2023-06-15 Fixed 3.22000000 N N N N N N CENTERPOINT ENE 1.75% 10/01/30 N/A CENTERPOINT ENERGY RES REGD 1.75000000 15189YAF3 244000.00000000 NS USD 237821.41000000 0.018146509386 Long DBT CORP US N 2 2030-10-01 Fixed 1.75000000 N N N N N N TAKEDA PHARMACE 2.05% 03/31/30 549300ZLMVP4X0OGR454 TAKEDA PHARMACEUTICAL REGD 2.05000000 874060AX4 407000.00000000 NS USD 405593.73000000 0.030948056478 Long DBT CORP JP N 2 2030-03-31 Fixed 2.05000000 N N N N N N REPUBLIC OF CHI 2.45% 01/31/31 N/A REPUBLIC OF CHILE REGD 2.45000000 168863DP0 650000.00000000 NS USD 667868.50000000 0.050960432890 Long DBT USGA CL N 2 2031-01-31 Fixed 2.45000000 N N N N N N GNMA II P#783449 5% 09/20/41 N/A GINNIE MAE II POOL P#783449 5.00000000 36241LZN9 14383.67000000 NS USD 16252.85000000 0.001240142740 Long ABS-MBS USGSE US N 2 2041-09-20 Fixed 5.00000000 N N N N N N VODAFONE GROUP 4.375% 05/30/28 213800TB53ELEUKM7Q61 VODAFONE GROUP PLC REGD 4.37500000 92857WBK5 190000.00000000 NS USD 221275.51000000 0.016884006024 Long DBT CORP GB N 2 2028-05-30 Fixed 4.37500000 N N N N N N GNMA II P#1722 9% 11/20/21 N/A GINNIE MAE II POOL P#1722 9.00000000 36202B4F9 4.81000000 NS USD 4.81000000 0.000000367017 Long ABS-MBS USGSE US N 2 2021-11-20 Fixed 9.00000000 N N N N N N SLMA 2010-C A5 V/R 04/15/24 N/A SLM PRIVATE EDUCATION LOAN TRUST 2010-C SER 2010-C CL A5 V/R REGD 4.84550000 78445QAE1 395000.00000000 NS USD 441287.32000000 0.033671587829 Long ABS-CBDO CORP US Y 2 2041-10-15 Variable 4.84550000 N N N N N N N/A N/A RUB/USD FWD 20211019 STAR USD N/A 1.00000000 NC N/A 109006.55000000 0.008317537023 N/A DFE N/A N 2 CITIBANK N.A. N/A -5210883.27000000 USD 392836970.00000000 RUB 2021-10-19 109006.55000000 N N N FGLMC P#A90798 5% 01/01/40 N/A FREDDIE MAC GOLD POOL P#A90798 5.00000000 3129383F8 26449.33000000 NS USD 30131.81000000 0.002299150328 Long ABS-MBS USGA US N 2 2040-01-01 Fixed 5.00000000 N N N N N N THPT 2018-THL A V/R 11/11/19 N/A THARALDSON HOTEL PORTFOLIO TRUST 2018-THPT SER 2018-THL CL A V/R REGD 144A P/P 0.99600000 88327HAA1 81008.03000000 NS USD 81123.30000000 0.006189958780 Long ABS-CBDO CORP US Y 2 2034-11-11 Variable 0.99600000 N N N N N N UMBS P#AQ4080 4% 06/01/43 N/A FANNIE MAE POOL UMBS P#AQ4080 4.00000000 3138MKRA6 23653.98000000 NS USD 26158.43000000 0.001995969141 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N US TREAS NTS 0.25% 05/31/25 N/A UNITED STATES TREASURY NOTE 0.25000000 912828ZT0 3900000.00000000 NS USD 3853916.00000000 0.294065714558 Long DBT UST US N 2 2025-05-31 Fixed 0.25000000 N N N N N N T/L CAESARS RESORT 0% 12/23/24 N/A T/L CAESARS RESORT COLLECTION LLC ZCP REGD 0.00000000 12769LAB5 96419.57000000 NS USD 95750.90000000 0.007306089916 Long LON CORP US N 2 2024-12-23 Variable 2.83463000 N N N N N N US BANCORP 1.45% 05/12/25 N1GZ7BBF3NP8GI976H15 US BANCORP REGD 1.45000000 91159HHZ6 350000.00000000 NS USD 358225.64000000 0.027333724658 Long DBT CORP US N 2 2025-05-12 Fixed 1.45000000 N N N N N N NORTHWEST PIPELINE 4% 04/01/27 N/A NORTHWEST PIPELINE LLC REGD SER WI 4.00000000 66775VAB1 426000.00000000 NS USD 476445.52000000 0.036354267266 Long DBT CORP US N 2 2027-04-01 Fixed 4.00000000 N N N N N N T/L TRANSDIGM IN 0% 12/09/25 N/A T/L TRANSDIGM INC REGD 0.00000000 89364MBR4 19898.98000000 NS USD 19613.83000000 0.001496595912 Long LON CORP US N 2 2025-12-09 Variable 2.33463000 N N N N N N T/L UFC HOLDINGS 0% 04/29/2026 N/A T/L UFC HOLDINGS LLC REGD 0.00000000 N/A 407171.74000000 NS USD 405207.14000000 0.030918558465 Long LON CORP US N 2 2026-04-29 Variable 3.50000000 N N N N N N ENERGY TRANSFER 3.75% 05/15/30 MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD 3.75000000 29278NAQ6 630000.00000000 NS USD 684815.76000000 0.052253561262 Long DBT CORP US N 2 2030-05-15 Fixed 3.75000000 N N N N N N FNS 409 C18 4% 04/25/42 N/A FANNIE MAE INTEREST STRIP SER 409 CL C18 4.00000000 3136FLFM3 154303.20000000 NS USD 20995.43000000 0.001602016267 Long ABS-CBDO CORP US N 2 2042-04-25 Fixed 4.00000000 N N N N N N FNR 2012-101 BI 4% 09/25/27 N/A FANNIE MAE REMICS SER 2012-101 CL BI 4.00000000 3136A76M9 43920.00000000 NS USD 2141.28000000 0.000163386288 Long ABS-CBDO CORP US N 2 2027-09-25 Fixed 4.00000000 N N N N N N BANK OF AMERICA C V/R 06/19/26 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 1.31900000 06051GJD2 2272000.00000000 NS USD 2280408.49000000 0.174002223218 Long DBT CORP US N 2 2026-06-19 Variable 1.31900000 N N N N N N FGLMC P#U99124 3.5% 03/01/45 N/A FREDDIE MAC GOLD POOL P#U99124 3.50000000 3132H7D68 110673.18000000 NS USD 119730.42000000 0.009135801483 Long ABS-MBS USGA US N 2 2045-03-01 Fixed 3.50000000 N N N N N N OCCIDENTAL PETR 5.55% 03/15/26 IM7X0T3ECJW4C1T7ON55 OCCIDENTAL PETROLEUM COR REGD 5.55000000 674599DC6 760000.00000000 NS USD 848350.00000000 0.064731729738 Long DBT CORP US N 2 2026-03-15 Fixed 5.55000000 N N N N N N UMBS P#FM7987 2% 07/01/51 N/A FANNIE MAE POOL UMBS P#FM7987 2.00000000 3140XB2V1 299337.07000000 NS USD 305200.30000000 0.023287727159 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.00000000 N N N N N N US TREAS NTS 0.25% 03/15/24 N/A UNITED STATES TREASURY NOTE 0.25000000 91282CBR1 4100000.00000000 NS USD 4094074.23000000 0.312390530540 Long DBT UST US N 2 2024-03-15 Fixed 0.25000000 N N N N N N INTESA SANPAOL 3.375% 01/12/23 2W8N8UU78PMDQKZENC08 INTESA SANPAOLO SPA REGD 144A P/P 3.37500000 46115HBC0 200000.00000000 NS USD 207515.06000000 0.015834041115 Long DBT CORP IT Y 2 2023-01-12 Fixed 3.37500000 N N N N N N UMBS P#AO7501 4% 06/01/42 N/A FANNIE MAE POOL UMBS P#AO7501 4.00000000 3138LYKP1 47172.26000000 NS USD 52182.57000000 0.003981691540 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4.00000000 N N N N N N FGLMC P#G67700 3.5% 08/01/46 N/A FREDDIE MAC GOLD POOL P#G67700 3.50000000 3132XCRV9 233026.05000000 NS USD 253865.58000000 0.019370729197 Long ABS-MBS USGA US N 2 2046-08-01 Fixed 3.50000000 N N N N N N OOMLT 2004-3 M1 V/R 11/25/34 N/A OPTION ONE MORTGAGE LOAN TRUST 2004-3 SER 2004-3 CL M1 V/R REGD 0.86438000 68389FFT6 351359.86000000 NS USD 351441.06000000 0.026816040213 Long ABS-CBDO CORP US N 2 2034-11-25 Variable 0.86438000 N N N N N N UMBS P#AH3551 3.5% 03/01/26 N/A FANNIE MAE POOL UMBS P#AH3551 3.50000000 3138A45M3 5623.92000000 NS USD 6003.27000000 0.000458068074 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 3.50000000 N N N N N N N/A N/A IRS RFE01P00.56 07/20/45 SBNYUS33 FLOAT N/A 1.00000000 NC USD 126201.41000000 0.009629558041 N/A DIR US N 2 CITIGROUP N/A N/A N/A Y 2045-07-20 -730000.00000000 USD 730000.00000000 USD 730000.00000000 USD 129737.65000000 N N N BANK OF AMERICA C V/R 02/13/31 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 2.49600000 06051GHZ5 49000.00000000 NS USD 50358.61000000 0.003842517749 Long DBT CORP US N 2 2031-02-13 Variable 2.49600000 N N N N N N ANGLO AMERICAN CAP 4% 09/11/27 N/A ANGLO AMERICAN CAPITAL REGD 144A P/P 4.00000000 034863AT7 200000.00000000 NS USD 223598.84000000 0.017061283291 Long DBT CORP GB Y 2 2027-09-11 Fixed 4.00000000 N N N N N N T/L AVOLON TLB BORROWER 1 US LLC 0% 12/01/27 N/A T/L AVOLON TLB BORROWER 1 US LLC REGD 0.00000000 N/A 562175.00000000 NS USD 562922.69000000 0.042952742892 Long LON CORP US N 2 2027-12-01 Variable 2.75000000 N N N N N N FHMS K016 X1 V/R 10/25/21 N/A FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K016 CL X1 V/R 1.59940300 3137AJMG6 63414.18000000 NS USD 0.63000000 0.000000048070 Long ABS-CBDO CORP US N 2 2021-10-25 Variable 1.59940300 N N N N N N GALAXY PIPELINE 2.16% 03/31/34 549300L82YB0C6JQIC26 GALAXY PIPELINE ASSETS REGD 144A P/P 2.16000000 36321PAD2 200000.00000000 NS USD 199532.02000000 0.015224910464 Long DBT CORP AE Y 2 2034-03-31 Fixed 2.16000000 N N N N N N FEDEX CORP 2.4% 05/15/31 549300E707U7WNPZN687 FEDEX CORP REGD 2.40000000 31428XCD6 34000.00000000 NS USD 34994.90000000 0.002670219141 Long DBT CORP US N 2 2031-05-15 Fixed 2.40000000 N N N N N N FGLMC P#G08026 5% 12/01/34 N/A FREDDIE MAC GOLD POOL P#G08026 5.00000000 3128MJA42 20859.07000000 NS USD 23808.61000000 0.001816670605 Long ABS-MBS USGA US N 2 2034-12-01 Fixed 5.00000000 N N N N N N CGCMT 2015-P1 3.717% 07/15/25 N/A CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1 SER 2015-P1 CL A5 REGD 3.71700000 17324DAU8 575000.00000000 NS USD 631087.46000000 0.048153925740 Long ABS-CBDO CORP US N 2 2048-09-15 Fixed 3.71700000 N N N N N N MICROSOFT CORP 3.3% 02/06/27 INR2EJN1ERAN0W5ZP974 MICROSOFT CORP REGD 3.30000000 594918BY9 670000.00000000 NS USD 747303.30000000 0.057021553896 Long DBT CORP US N 2 2027-02-06 Fixed 3.30000000 N N N N N N FHMS K736 X1 V/R 07/25/26 N/A FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K736 CL X1 V/R 1.43682200 3137FNWZ9 1038775.99000000 NS USD 55236.08000000 0.004214683800 Long ABS-CBDO CORP US N 2 2026-07-25 Variable 1.43682200 N N N N N N SCHLUMBERGER HLD 3.9% 05/17/28 N/A SCHLUMBERGER HLDGS CORP REGD 144A P/P 3.90000000 806851AK7 171000.00000000 NS USD 191353.21000000 0.014600841957 Long DBT CORP US Y 2 2028-05-17 Fixed 3.90000000 N N N N N N FNMA P#AL1704 6.5% 5/01/40 N/A FANNIE MAE POOL UMBS P#AL1704 6.50000000 3138EH3N0 24383.12000000 NS USD 29019.19000000 0.002214253980 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 6.50000000 N N N N N N JPMORGAN CHASE & V/R 06/01/28 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 2.18200000 46647PBR6 635000.00000000 NS USD 655276.71000000 0.049999640355 Long DBT CORP US N 2 2028-06-01 Variable 2.18200000 N N N N N N UMBS P#BR0001 2.5% 12/01/50 N/A FANNIE MAE POOL UMBS P#BR0001 2.50000000 3140KXAB2 95421.04000000 NS USD 99758.50000000 0.007611882196 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N N/A N/A IRS RUS3MP01.20 10/07/50 GOLDUS33XXX FLOAT N/A 1.00000000 NC USD 66164.68000000 0.005048569793 N/A DIR US N 2 JP MORGAN MORGAN SECURITIES LL N/A N/A N/A Y 2050-10-07 -662289.55000000 USD 662000.00000000 USD 662000.00000000 USD 69327.32000000 N N N ENDO DAC/FIN LLC/F 6% 06/30/28 N/A ENDO DAC/FIN LLC/FINCO REGD 144A P/P 6.00000000 29273DAC4 202000.00000000 NS USD 126527.75000000 0.009654458793 Long DBT CORP IE Y 2 2028-06-30 Fixed 6.00000000 N N N N N N FNR 2008-18 SM V/R 03/25/38 N/A FANNIE MAE REMICS SER 2008-18_ CL SM V/R 6.91562000 31396YXH0 458577.26000000 NS USD 72096.42000000 0.005501179907 Long ABS-CBDO CORP US N 2 2038-03-25 Variable 6.91562000 N N N N N N RAYTHEON COMPANY 7.2% 08/15/27 N/A RAYTHEON COMPANY REGD 7.20000000 755111AF8 40000.00000000 NS USD 52673.73000000 0.004019168567 Long DBT CORP US N 2 2027-08-15 Fixed 7.20000000 N N N N N N UMBS P#BL3540 2.79% 08/01/29 N/A FANNIE MAE POOL UMBS P#BL3540 2.79000000 3140HU5A0 400000.00000000 NS USD 439456.84000000 0.033531916542 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 2.79000000 N N N N N N BANK OF AMERICA C V/R 03/05/24 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 3.55000000 06051GHF9 902000.00000000 NS USD 942188.99000000 0.071891935006 Long DBT CORP US N 2 2024-03-05 Variable 3.55000000 N N N N N N BARCLAYS PLC V/R 03/10/42 213800LBQA1Y9L22JB70 BARCLAYS PLC REGD V/R 3.81100000 06738EBS3 213000.00000000 NS USD 231903.88000000 0.017694983539 Long DBT CORP GB N 2 2042-03-10 Variable 3.81100000 N N N N N N POWERTEAM SERV 9.033% 12/04/25 N/A POWERTEAM SERVICES LLC REGD 144A P/P 9.03300000 73939VAA2 87000.00000000 NS USD 95156.25000000 0.007260716282 Long DBT CORP US Y 2 2025-12-04 Fixed 9.03300000 N N N N N N EXXON MOBIL CO 3.482% 03/19/30 J3WHBG0MTS7O8ZVMDC91 EXXON MOBIL CORPORATION REGD 3.48200000 30231GBK7 180000.00000000 NS USD 202669.99000000 0.015464347284 Long DBT CORP US N 2 2030-03-19 Fixed 3.48200000 N N N N N N CSMC 2019-ICE4 A V/R 05/15/21 N/A CREDIT SUISSE MORTGAGE CAPITAL CER SER 2019-ICE4 CL A V/R REGD 144A P/P 1.07600000 12653VAA4 660000.00000000 NS USD 662733.79000000 0.050568638630 Long ABS-CBDO CORP US Y 2 2036-05-15 Variable 1.07600000 N N N N N N UMBS P#937775 5% 06/01/22 N/A FANNIE MAE POOL UMBS P#937775 5.00000000 31412XJU9 81.54000000 NS USD 84.94000000 0.000006481184 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 5.00000000 N N N N N N WELLS FARGO BANK V/R 09/09/22 N/A WELLS FARGO BANK NA REGD V/R SER BKNT 2.08200000 94988J6A0 517000.00000000 NS USD 517192.83000000 0.039463413089 Long DBT CORP US N 2 2022-09-09 Variable 2.08200000 N N N N N N SYNOVUS FINANC 3.125% 11/01/22 549300EIUS8UN5JTLE54 SYNOVUS FINANCIAL CORP REGD 3.12500000 87161CAL9 96000.00000000 NS USD 98350.57000000 0.007504452781 Long DBT CORP US N 2 2022-11-01 Fixed 3.12500000 N N N N N N GENERAL MOTORS 4.35% 01/17/27 N/A GENERAL MOTORS FINL CO REGD 4.35000000 37045XBT2 100000.00000000 NS USD 112619.70000000 0.008593231547 Long DBT CORP US N 2 2027-01-17 Fixed 4.35000000 N N N N N N VERIZON COMMUN 2.987% 10/30/56 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD SER WI 2.98700000 92343VFW9 114000.00000000 NS USD 110451.91000000 0.008427822463 Long DBT CORP US N 2 2056-10-30 Fixed 2.98700000 N N N N N N UMBS P#SD0482 3.5% 10/01/45 N/A FREDDIE MAC POOL UMBS P#SD0482 3.50000000 3132DMRB3 1069613.84000000 NS USD 1163929.09000000 0.088811390685 Long ABS-MBS USGA US N 2 2045-10-01 Fixed 3.50000000 N N N N N N UMBS P#FM7900 2.5% 07/01/51 N/A FANNIE MAE POOL UMBS P#FM7900 2.50000000 3140XBX62 99621.06000000 NS USD 104516.14000000 0.007974904847 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N UMBS P#FM7576 4% 06/01/49 N/A FANNIE MAE POOL UMBS P#FM7576 4.00000000 3140XBM23 88255.08000000 NS USD 95380.06000000 0.007277793677 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 4.00000000 N N N N N N UMBS P#SD0247 4% 07/01/47 N/A FREDDIE MAC POOL UMBS P#SD0247 4.00000000 3132DMHY4 54248.12000000 NS USD 58964.57000000 0.004499179123 Long ABS-MBS USGA US N 2 2047-07-01 Fixed 4.00000000 N N N N N N ALLERGAN FUNDIN 4.55% 03/15/35 N/A ALLERGAN FUNDING SCS REGD 4.55000000 00507UAT8 255000.00000000 NS USD 279566.42000000 0.021331782805 Long DBT CORP LU N 2 2035-03-15 Fixed 4.55000000 N N N N N N ARES CAPITAL CO 3.25% 07/15/25 WEQ82666OJYSI5GUAB47 ARES CAPITAL CORP REGD 3.25000000 04010LAY9 119000.00000000 NS USD 125815.48000000 0.009600110388 Long DBT CORP US N 2 2025-07-15 Fixed 3.25000000 N N N N N N D.R. HORTON INC 2.6% 10/15/25 529900ZIUEYVSB8QDD25 D.R. HORTON INC REGD 2.60000000 23331ABN8 69000.00000000 NS USD 72927.66000000 0.005564606091 Long DBT CORP US N 2 2025-10-15 Fixed 2.60000000 N N N N N N SABINE PASS LIQU 4.2% 03/15/28 N/A SABINE PASS LIQUEFACTION REGD SER WI 4.20000000 785592AU0 550000.00000000 NS USD 618336.70000000 0.047181003302 Long DBT CORP US N 2 2028-03-15 Fixed 4.20000000 N N N N N N PMTCR 2019-2R A V/R 05/27/23 N/A PMT CREDIT RISK TRANSFER TRUST 2019-2R SER 2019-2R CL A V/R REGD 2.83788000 69345WAA6 440943.02000000 NS USD 437387.04000000 0.033373984398 Long ABS-CBDO CORP US Y 2 2023-05-27 Variable 2.83788000 N N N N N N T/L AIR CANADA 0% 7/27/2028 N/A T/L AIR CANADA REGD 0.00000000 N/A 150000.00000000 NS USD 150107.25000000 0.011453647596 Long LON CORP CA N 2 2028-07-27 Variable 4.25000000 N N N N N N AMER AIRLN 15-2 4.4% 09/22/23 N/A AMER AIRLN 15-2 B PTT REGD 4.40000000 02377BAC0 111058.57000000 NS USD 108811.03000000 0.008302618243 Long DBT CORP US N 2 2023-09-22 Fixed 4.40000000 N N N N N N GNR 2007-51 SG V/R 08/20/37 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-51 CL SG V/R 6.49162000 38375K4K5 335902.01000000 NS USD 50014.90000000 0.003816291612 Long ABS-CBDO CORP US N 2 2037-08-20 Variable 6.49162000 N N N N N N T/L FOUR SEASONS 0% 11/30/2023 N/A T/L FOUR SEASONS HOLDINGS INC ZCP REGD /LX134485/ 0.00000000 35100DAR7 49356.00000000 NS USD 49074.42000000 0.003744530078 Long LON CORP CA N 2 2023-11-30 Variable 2.08463000 N N N N N N SUNOCO LP/FINANC 4.5% 05/15/29 N/A SUNOCO LP/FINANCE CORP REGD SER WI 4.50000000 86765LAT4 425000.00000000 NS USD 430975.50000000 0.032884764059 Long DBT CORP US N 2 2029-05-15 Fixed 4.50000000 N N N N N N UMBS P#BM5119 4.5% 12/01/48 N/A FANNIE MAE POOL UMBS P#BM5119 4.50000000 3140J9VM0 173351.93000000 NS USD 189762.59000000 0.014479472729 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.50000000 N N N N N N BRISTOL-MYERS SQ 2.9% 07/26/24 HLYYNH7UQUORYSJQCN42 BRISTOL-MYERS SQUIBB CO REGD 2.90000000 110122CM8 326000.00000000 NS USD 347503.85000000 0.026515618908 Long DBT CORP US N 2 2024-07-26 Fixed 2.90000000 N N N N N N ENERGY TRANSFER LP 6% 06/15/48 MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD SER 30Y 6.00000000 29278NAE3 200000.00000000 NS USD 256684.23000000 0.019585800912 Long DBT CORP US N 2 2048-06-15 Fixed 6.00000000 N N N N N N GNR 2010-85 HS V/R 01/20/40 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-85 CL HS V/R 6.56162000 38374YVW0 18994.80000000 NS USD 1124.06000000 0.000085769255 Long ABS-CBDO CORP US N 2 2040-01-20 Variable 6.56162000 N N N N N N UMBS P#BM4299 3% 03/01/30 N/A FANNIE MAE POOL UMBS P#BM4299 3.00000000 3140J8X57 409002.84000000 NS USD 430936.34000000 0.032881776030 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 3.00000000 N N N N N N FNR 2012-74 SA V/R 03/25/42 N/A FANNIE MAE REMICS SER 2012-74 CL SA V/R 6.56562000 3136A65Y6 90581.87000000 NS USD 15191.97000000 0.001159194313 Long ABS-MBS USGSE US N 2 2042-03-25 Variable 6.56562000 N N N N N N UMBS P#BR6462 2% 03/01/51 N/A FANNIE MAE POOL UMBS P#BR6462 2.00000000 3140L5FC5 98977.10000000 NS USD 100473.00000000 0.007666400756 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N FGLMC P#A96478 4% 01/01/41 N/A FREDDIE MAC GOLD POOL P#A96478 4.00000000 312945FT0 8449.48000000 NS USD 9261.57000000 0.000706686445 Long ABS-MBS USGA US N 2 2041-01-01 Fixed 4.00000000 N N N N N N BNP PARIBAS V/R 01/10/25 R0MUWSFPU8MPRO8K5P83 BNP PARIBAS REGD V/R 144A P/P 4.70500000 09659W2G8 470000.00000000 NS USD 511787.31000000 0.039050955188 Long DBT CORP FR Y 2 2025-01-10 Variable 4.70500000 N N N N N N GNMA P#683353 5% 04/15/38 N/A GINNIE MAE I POOL P#683353 5.00000000 36295XE27 817.43000000 NS USD 917.79000000 0.000070030216 Long ABS-MBS USGSE US N 2 2038-04-15 Fixed 5.00000000 N N N N N N AT&T INC 3.55% 09/15/55 549300Z40J86GGSTL398 AT&T INC REGD 144A P/P 3.55000000 00206RMD1 503000.00000000 NS USD 515067.30000000 0.039301228573 Long DBT CORP US Y 2 2055-09-15 Fixed 3.55000000 N N N N N N UMBS P#AS9453 4% 04/01/47 N/A FANNIE MAE POOL UMBS P#AS9453 4.00000000 3138WKQF5 92603.66000000 NS USD 100455.80000000 0.007665088343 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N GNMA II P#MA1448 3.5% 11/20/43 N/A GINNIE MAE II POOL P#MA1448 3.50000000 36179NTD0 151045.97000000 NS USD 163014.74000000 0.012438529018 Long ABS-MBS USGSE US N 2 2043-11-20 Fixed 3.50000000 N N N N N N CSFB 2005-6 8A1 4.5% 07/25/20 N/A CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP SER 2005-6 CL 8A1 REGD 4.50000000 225458YA0 35892.67000000 NS USD 35825.23000000 0.002733575889 Long ABS-CBDO CORP US N 2 2022-07-25 Fixed 4.50000000 N N N N N N MOTOROLA SOLUTIO 4.6% 02/23/28 6S552MUG6KGJVEBSEC55 MOTOROLA SOLUTIONS INC REGD 4.60000000 620076BL2 186000.00000000 NS USD 216460.23000000 0.016516585262 Long DBT CORP US N 2 2028-02-23 Fixed 4.60000000 N N N N N N REPUBLIC OF IND 2.85% 02/14/30 N/A REPUBLIC OF INDONESIA REGD 2.85000000 455780CQ7 445000.00000000 NS USD 468467.00000000 0.035745481505 Long DBT USGA ID N 2 2030-02-14 Fixed 2.85000000 N N N N N N GOLDMAN SACHS GRO V/R 04/22/42 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R 3.21000000 38141GYC2 20000.00000000 NS USD 21142.37000000 0.001613228244 Long DBT CORP US N 2 2042-04-22 Variable 3.21000000 N N N N N N GOLDMAN SACHS GRO V/R 09/10/27 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R 1.54200000 38141GYG3 1240000.00000000 NS USD 1246634.99000000 0.095122106742 Long DBT CORP US N 2 2027-09-10 Variable 1.54200000 N N N N N N FGLMC P#U90940 3.5% 02/01/43 N/A FREDDIE MAC GOLD POOL P#U90940 3.50000000 3132H4BH3 27938.57000000 NS USD 30152.83000000 0.002300754219 Long ABS-MBS USGA US N 2 2043-02-01 Fixed 3.50000000 N N N N N N SBIC 2019-10A 3.113% 03/10/29 N/A SBA SMALL BUSINESS INVESTMENT COS SER 2019-10A CL 1 REGD 3.11300000 831641FM2 330349.40000000 NS USD 355294.35000000 0.027110058161 Long ABS-CBDO CORP US N 2 2029-03-10 Fixed 3.11300000 N N N N N N UNITED MEXICAN 4.15% 03/28/27 N/A UNITED MEXICAN STATES REGD 4.15000000 91087BAC4 200000.00000000 NS USD 228877.00000000 0.017464023230 Long DBT USGA MX N 2 2027-03-28 Fixed 4.15000000 N N N N N N DEUTSCHE BANK NY V/R 04/01/25 N/A DEUTSCHE BANK NY REGD V/R 1.44700000 251526CG2 474000.00000000 NS USD 477474.72000000 0.036432798410 Long DBT CORP US N 2 2025-04-01 Variable 1.44700000 N N N N N N TOYOTA MOTOR CR 3.45% 09/20/23 N/A TOYOTA MOTOR CREDIT CORP REGD MTN SER GMTN 3.45000000 89236TFN0 3000.00000000 NS USD 3188.67000000 0.000243305386 Long DBT CORP US N 2 2023-09-20 Fixed 3.45000000 N N N N N N COMM 2013-CR1 3.983% 08/10/23 N/A COMM 2013-CCRE11 MORTGAGE TRUST SER 2013-CR11 CL A3 REGD 3.98300000 12626LAD4 534851.19000000 NS USD 566758.01000000 0.043245389674 Long ABS-CBDO CORP US N 2 2050-08-10 Fixed 3.98300000 N N N N N N CASL 2019-A A2 3.28% 03/25/30 N/A COLLEGE AVE STUDENT LOANS 2019-A LLC SER 2019-A CL A2 REGD 144A P/P 3.28000000 19421UAB0 159484.45000000 NS USD 165251.30000000 0.012609185466 Long ABS-CBDO CORP US Y 2 2048-12-28 Fixed 3.28000000 N N N N N N CCO HLDGS LLC/CA 4.5% 05/01/32 N/A CCO HLDGS LLC/CAP CORP REGD SER WI 4.50000000 1248EPCN1 100000.00000000 NS USD 104632.50000000 0.007983783475 Long DBT CORP US N 2 2032-05-01 Fixed 4.50000000 N N N N N N TARGET CORP 2.25% 04/15/25 8WDDFXB5T1Z6J0XC1L66 TARGET CORP REGD 2.25000000 87612EBL9 120000.00000000 NS USD 126198.03000000 0.009629300137 Long DBT CORP US N 2 2025-04-15 Fixed 2.25000000 N N N N N N GOLDMAN SACHS G 3.75% 05/22/25 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD 3.75000000 38148LAE6 437000.00000000 NS USD 476630.57000000 0.036368387154 Long DBT CORP US N 2 2025-05-22 Fixed 3.75000000 N N N N N N F/C US 10YR NOTE (CBT)DEC21 N/A FUTURE CONTRACT ON US 10YR NOTE (CBT)DEC21 0.00000000 N/A -287.00000000 NC USD -38301046.88000000 -2.92248837781 N/A DIR CORP US N 1 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Short F/C US 10YR NOTE (CBT)DEC21 US 10YR NOTE (CBT)DEC21 2021-12-21 38262873.78000000 USD -38173.10000000 N N N GNMA II P#MA7195 3.5% 02/20/51 N/A GINNIE MAE II POOL P#MA7195 3.50000000 36179V7G9 755858.05000000 NS USD 795810.82000000 0.060722827751 Long ABS-MBS USGSE US N 2 2051-02-20 Fixed 3.50000000 N N N N N N GNMA II P#MA4901 4% 12/20/47 N/A GINNIE MAE II POOL P#MA4901 4.00000000 36179TNS0 101992.00000000 NS USD 108710.84000000 0.008294973436 Long ABS-MBS USGSE US N 2 2047-12-20 Fixed 4.00000000 N N N N N N US TREAS BDS 2% 02/15/50 N/A UNITED STATES TREASURY BOND 2.00000000 912810SL3 4480000.00000000 NS USD 4549474.99000000 0.347139017508 Long DBT UST US N 2 2050-02-15 Fixed 2.00000000 N N N N N N T/L DIGICERT HOLDI 0% 10/16/26 N/A T/L DIGICERT HOLDINGS INC REGD 0.00000000 24022KAB5 425072.74000000 NS USD 424926.09000000 0.032423175359 Long LON CORP US N 2 2026-10-16 Variable 4.08463000 N N N N N N ABU DHABI GOVT I 2.5% 10/11/22 N/A ABU DHABI GOVT INT'L REGD 144A P/P 2.50000000 29135LAC4 400000.00000000 NS USD 409804.00000000 0.031269313106 Long DBT USGA AE Y 2 2022-10-11 Fixed 2.50000000 N N N N N N UMBS P#MA4413 2% 09/01/51 N/A FANNIE MAE POOL UMBS P#MA4413 2.00000000 31418D3X8 1925000.00000000 NS USD 1954093.68000000 0.149103393619 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.00000000 N N N N N N HARTFORD FINL SV 4.3% 04/15/43 IU7C3FTM7Y3BQM112U94 HARTFORD FINL SVCS GRP REGD 4.30000000 416515BB9 4000.00000000 NS USD 4847.08000000 0.000369847200 Long DBT CORP US N 2 2043-04-15 Fixed 4.30000000 N N N N N N APACHE CORP 5.25% 02/01/42 72ZZ1XRHOOU9P9X16K08 APACHE CORP REGD 5.25000000 037411AY1 20000.00000000 NS USD 22143.10000000 0.001689587039 Long DBT CORP US N 2 2042-02-01 Fixed 5.25000000 N N N N N N BALTIMORE GAS & 3.75% 08/15/47 N/A BALTIMORE GAS & ELECTRIC REGD SER * 3.75000000 059165EJ5 150000.00000000 NS USD 175847.46000000 0.013417705258 Long DBT CORP US N 2 2047-08-15 Fixed 3.75000000 N N N N N N F/C US 2YR NOTE (CBT) DEC21 N/A FUTURE CONTRACT ON US 2YR NOTE (CBT) DEC21 0.00000000 N/A 324.00000000 NC USD 71386312.82000000 5.446996532640 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 CITIGROUP GLOBAL MARKETS INC MBNUM2BPBDO7JBLYG310 Long F/C US 2YR NOTE (CBT) DEC21 US 2YR NOTE (CBT) DEC21 2021-12-31 71342510.54000000 USD 43802.28000000 N N N PETRONAS CAPITA 2.48% 01/28/32 N/A PETRONAS CAPITAL LTD REGD 144A P/P MTN 2.48000000 71675CAB4 200000.00000000 NS USD 203905.36000000 0.015558609837 Long DBT CORP MY Y 2 2032-01-28 Fixed 2.48000000 N N N N N N GENERAL DYNAMICS 3.5% 04/01/27 9C1X8XOOTYY2FNYTVH06 GENERAL DYNAMICS CORP REGD 3.50000000 369550BL1 121000.00000000 NS USD 135238.23000000 0.010319095367 Long DBT CORP US N 2 2027-04-01 Fixed 3.50000000 N N N N N N GNMA II P#MA4588 4.5% 07/20/47 N/A GINNIE MAE II POOL P#MA4588 4.50000000 36179TCZ6 488470.16000000 NS USD 527636.77000000 0.040260318023 Long ABS-MBS USGSE US N 2 2047-07-20 Fixed 4.50000000 N N N N N N T-MOBILE USA I 3.875% 04/15/30 N/A T-MOBILE USA INC REGD SER WI 3.87500000 87264ABF1 525000.00000000 NS USD 588183.75000000 0.044880239926 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N STATE OF QATAR 4% 03/14/29 N/A STATE OF QATAR REGD 144A P/P 4.00000000 74727PBA8 250000.00000000 NS USD 288482.50000000 0.022012107295 Long DBT USGA QA Y 2 2029-03-14 Fixed 4.00000000 N N N N N N COMCAST CORP 3.3% 04/01/27 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 3.30000000 20030NDK4 177000.00000000 NS USD 194923.41000000 0.014873259262 Long DBT CORP US N 2 2027-04-01 Fixed 3.30000000 N N N N N N METWEST LEHMAN SWAP RECEIVABLE N/A METWEST LEHMAN SWAP RECEIVABLE IMPAIRED 0.00000000 N/A 140378.21000000 NS USD 0.00000000 0.000000 Long DBT CORP US N 3 2049-12-31 Fixed 0.00000000 N N N N N N NEW YORK CITY NY T 5% 11/01/42 N/A NEW YORK CITY NY TRANSITIONAL REGD B/E 5.00000000 64971Q8V8 80000.00000000 NS USD 87623.39000000 0.006685935757 Long DBT MUN US N 2 2042-11-01 Fixed 5.00000000 N N N N N N ANTHEM INC 3.65% 12/01/27 8MYN82XMYQH89CTMTH67 ANTHEM INC REGD 3.65000000 036752AB9 1120000.00000000 NS USD 1254716.52000000 0.095738752484 Long DBT CORP US N 2 2027-12-01 Fixed 3.65000000 N N N N N N EOG RESOURCES I 4.15% 01/15/26 XWTZDRYZPBUHIQBKDB46 EOG RESOURCES INC REGD 4.15000000 26875PAP6 10000.00000000 NS USD 11218.61000000 0.000856014652 Long DBT CORP US N 2 2026-01-15 Fixed 4.15000000 N N N N N N COMCAST CORP 3.45% 02/01/50 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 3.45000000 20030NCZ2 80000.00000000 NS USD 88109.93000000 0.006723060265 Long DBT CORP US N 2 2050-02-01 Fixed 3.45000000 N N N N N N GNR 2019-123 A 3% 10/20/49 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2019-123 CL A 3.00000000 38382AKD6 6708.37000000 NS USD 6741.58000000 0.000514403411 Long ABS-CBDO CORP US N 2 2049-10-20 Fixed 3.00000000 N N N N N N WELLS FARGO & COM V/R 04/30/26 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD V/R 2.18800000 95000U2N2 300000.00000000 NS USD 311728.67000000 0.023785861988 Long DBT CORP US N 2 2026-04-30 Variable 2.18800000 N N N N N N FGLMC P#G60138 3.5% 08/01/45 N/A FREDDIE MAC GOLD POOL P#G60138 3.50000000 31335AEK0 1118044.74000000 NS USD 1231369.64000000 0.093957313307 Long ABS-MBS USGA US N 2 2045-08-01 Fixed 3.50000000 N N N N N N HP ENTERPRISE C 4.65% 10/01/24 549300BX44RGX6ANDV88 HP ENTERPRISE CO REGD 4.65000000 42824CBF5 227000.00000000 NS USD 251804.17000000 0.019213437236 Long DBT CORP US N 2 2024-10-01 Fixed 4.65000000 N N N N N N UMBS P#AR2627 3% 02/01/43 N/A FANNIE MAE POOL UMBS P#AR2627 3.00000000 3138NY4M4 159167.25000000 NS USD 172865.25000000 0.013190153408 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.00000000 N N N N N N T/L VIRGIN MEDIA 0% 01/31/28 N/A T/L VIRGIN MEDIA BRISTOL LLC REGD 0.00000000 G9368PBC7 430000.00000000 NS USD 426084.85000000 0.032511592333 Long LON CORP US N 2 2028-01-31 Variable 2.59550000 N N N N N N BANCO SANTANDE 2.746% 05/28/25 5493006QMFDDMYWIAM13 BANCO SANTANDER SA REGD 2.74600000 05971KAE9 600000.00000000 NS USD 632842.66000000 0.048287852930 Long DBT CORP ES N 2 2025-05-28 Fixed 2.74600000 N N N N N N US TREAS NTS 0.375% 04/30/25 N/A UNITED STATES TREASURY NOTE 0.37500000 912828ZL7 480000.00000000 NS USD 476915.63000000 0.036390138114 Long DBT UST US N 2 2025-04-30 Fixed 0.37500000 N N N N N N FNR 2021-61 KI 2.5% 04/25/49 N/A FANNIE MAE REMICS SER 2021-61 CL KI 2.50000000 3136BGVA6 600000.00000000 NS USD 76534.22000000 0.005839797777 Long ABS-CBDO CORP US N 2 2049-04-25 Fixed 2.50000000 N N N N N N N/A N/A IRS RUS3MP02.00 06/03/51 SBNYUS33 FLOAT N/A 1.00000000 NC USD -7732.84000000 -0.00059003961 N/A DIR US N 2 CITIGROUP N/A N/A N/A Y 2051-06-03 -84909.90000000 USD 85000.00000000 USD 85000.00000000 USD -7822.94000000 N N N REPUBLIC OF IND 4.35% 01/11/48 N/A REPUBLIC OF INDONESIA REGD 4.35000000 455780CE4 530000.00000000 NS USD 616669.05000000 0.047053756447 Long DBT USGA ID N 2 2048-01-11 Fixed 4.35000000 N N N N N N WELLS FARGO & 5.606% 01/15/44 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD SER WI 5.60600000 949746RF0 110000.00000000 NS USD 152502.17000000 0.011636387402 Long DBT CORP US N 2 2044-01-15 Fixed 5.60600000 N N N N N N UBSCM 2018-C11 B V/R 06/15/28 N/A UBS COMMERCIAL MORTGAGE TRUST 2018-C11 SER 2018-C11 CL B V/R REGD 4.71290000 90276XAZ8 340000.00000000 NS USD 384309.38000000 0.029323994721 Long ABS-CBDO CORP US N 2 2051-06-15 Variable 4.71290000 N N N N N N AGILENT TECHNOLO 2.3% 03/12/31 QUIX8Y7A2WP0XRMW7G29 AGILENT TECHNOLOGIES INC REGD 2.30000000 00846UAN1 190000.00000000 NS USD 192619.77000000 0.014697484403 Long DBT CORP US N 2 2031-03-12 Fixed 2.30000000 N N N N N N TRANSOCEAN PON 6.125% 08/01/25 N/A TRANSOCEAN PONTUS LTD REGD 144A P/P 6.12500000 89382PAA3 85090.00000000 NS USD 84688.38000000 0.006461985414 Long DBT CORP KY Y 2 2025-08-01 Fixed 6.12500000 N N N N N N BANK OF AMERICA C V/R 03/15/50 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 4.33000000 06051GHS1 710000.00000000 NS USD 887931.87000000 0.067751948882 Long DBT CORP US N 2 2050-03-15 Variable 4.33000000 N N N N N N AERCAP IRELAND 3.15% 02/15/24 N/A AERCAP IRELAND CAP/GLOBA REGD 3.15000000 00774MAQ8 190000.00000000 NS USD 198800.08000000 0.015169061178 Long DBT CORP IE N 2 2024-02-15 Fixed 3.15000000 N N N N N N US TREAS BDS 1.875% 02/15/51 N/A UNITED STATES TREASURY BOND 1.87500000 912810SU3 5363000.00000000 NS USD 5291353.64000000 0.403746653826 Long DBT UST US N 2 2051-02-15 Fixed 1.87500000 N N N N N N CMLTI 2006-AR6 2 V/R 09/25/36 N/A CITIGROUP MORTGAGE LOAN TRUST 2006-AR6 SER 2006-AR6 CL 2A4 V/R REGD 0.52438000 17309RAK8 1651640.36000000 NS USD 575005.87000000 0.043874726910 Long ABS-CBDO CORP US N 2 2036-09-25 Variable 0.52438000 N N N N N N COMM 2013-300P B V/R 08/10/23 N/A COMM 2013-300P MORTGAGE TRUST SER 2013-300P CL B V/R REGD 4.53995000 12625XAG2 190000.00000000 NS USD 199468.29000000 0.015220047668 Long ABS-CBDO CORP US Y 2 2030-08-10 Variable 4.53995000 N N N N N N NORTHERN STATES 3.2% 04/01/52 N/A NORTHERN STATES PWR-MINN REGD 3.20000000 665772CU1 50000.00000000 NS USD 54826.64000000 0.004183442261 Long DBT CORP US N 2 2052-04-01 Fixed 3.20000000 N N N N N N UMBS P#FM5309 2.5% 11/01/50 N/A FANNIE MAE POOL UMBS P#FM5309 2.50000000 3140X83T2 95850.98000000 NS USD 101256.51000000 0.007726184993 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N UMBS P#AT8394 4% 06/01/43 N/A FANNIE MAE POOL UMBS P#AT8394 4.00000000 3138WWKG3 62933.29000000 NS USD 70236.90000000 0.005359292778 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N PEPSICO INC 2.625% 03/19/27 FJSUNZKFNQ5YPJ5OT455 PEPSICO INC REGD 2.62500000 713448ER5 20000.00000000 NS USD 21562.20000000 0.001645262572 Long DBT CORP US N 2 2027-03-19 Fixed 2.62500000 N N N N N N UMBS P#CA5379 4.5% 03/01/50 N/A FANNIE MAE POOL UMBS P#CA5379 4.50000000 3140QC6R2 66855.19000000 NS USD 74131.30000000 0.005656447547 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4.50000000 N N N N N N FNMA P#836852 V/R 10/1/35 N/A FNMA P#836852 V/R 10/1/35 1.92500000 31407PWM6 17459.01000000 NS USD 18247.42000000 0.001392334602 Long ABS-MBS USGSE US N 2 2035-10-01 Variable 1.92500000 N N N N N N US TREAS BDS 3% 02/15/48 N/A UNITED STATES TREASURY BOND 3.00000000 912810SA7 2120000.00000000 NS USD 2601885.94000000 0.198531947282 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N VIRGIN MEDIA SEC 5.5% 05/15/29 N/A VIRGIN MEDIA SECURED FIN REGD 144A P/P 5.50000000 92769XAP0 225000.00000000 NS USD 241312.50000000 0.018412890354 Long DBT CORP GB Y 2 2029-05-15 Fixed 5.50000000 N N N N N N CGCMT 2016-GC3 3.05% 01/10/26 N/A CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37 SER 2016-GC37 CL A3 REGD 3.05000000 17290XAS9 1017215.68000000 NS USD 1072348.97000000 0.081823544186 Long ABS-CBDO CORP US N 2 2049-04-10 Fixed 3.05000000 N N N N N N COMCAST CORP 4.25% 10/15/30 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 4.25000000 20030NCU3 200000.00000000 NS USD 236272.40000000 0.018028315130 Long DBT CORP US N 2 2030-10-15 Fixed 4.25000000 N N N N N N REPUBLIC OF PHILIP 3% 02/01/28 N/A REPUBLIC OF PHILIPPINES REGD 3.00000000 718286CC9 400000.00000000 NS USD 436177.80000000 0.033281715644 Long DBT USGA PH N 2 2028-02-01 Fixed 3.00000000 N N N N N N GNMA II P#MA6209 3% 10/20/49 N/A GINNIE MAE II POOL P#MA6209 3.00000000 36179U3S9 354369.98000000 NS USD 364501.29000000 0.027812576169 Long ABS-MBS USGSE US N 2 2049-10-20 Fixed 3.00000000 N N N N N N 3Y30Y SWAPTION 2.75 (BACR) N/A 3Y30Y SWAPTION 2.75 (BACR) 0.00000000 N/A 1270000.00000000 NC USD 33792.16000000 0.002578446358 N/A DO CORP US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Put Written 3Y30Y SWAPTION 2.75 (BACR) 0 1270000.00000000 USD 2.75000000 USD 2024-01-19 XXXX 33792.16000000 N N N UMBS P#AS4786 3% 04/01/45 N/A FANNIE MAE POOL UMBS P#AS4786 3.00000000 3138WEJ83 448130.20000000 NS USD 480526.59000000 0.036665665534 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 3.00000000 N N N N N N PFSFC 2020-E A 1% 10/15/23 N/A PFS FINANCING CORP SER 2020-E CL A REGD 144A P/P 1.00000000 69335PDT9 400000.00000000 NS USD 404224.56000000 0.030843584571 Long ABS-CBDO CORP US Y 2 2025-10-15 Fixed 1.00000000 N N N N N N T/L DELOS FINANCE 0% 10/06/23 N/A T/L DELOS FINANCE S A R L REGD 0.00000000 L2324EAE1 750000.00000000 NS USD 749478.75000000 0.057187547462 Long LON CORP LU N 2 2023-10-06 Variable 1.89725000 N N N N N N GNMA II P#MA5330 4% 07/20/48 N/A GINNIE MAE II POOL P#MA5330 4.00000000 36179T4P7 30951.09000000 NS USD 32872.28000000 0.002508256668 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.00000000 N N N N N N COCA-COLA CO/T 3.375% 03/25/27 UWJKFUJFZ02DKWI3RY53 COCA-COLA CO/THE REGD 3.37500000 191216CR9 110000.00000000 NS USD 122793.66000000 0.009369536173 Long DBT CORP US N 2 2027-03-25 Fixed 3.37500000 N N N N N N QATAR PETROLEUM 2.25% 07/12/31 N/A QATAR PETROLEUM REGD 144A P/P 2.25000000 74730DAC7 390000.00000000 NS USD 393824.73000000 0.030050045366 Long DBT CORP QA Y 2 2031-07-12 Fixed 2.25000000 N N N N N N MICROSOFT CORP 3.041% 03/17/62 INR2EJN1ERAN0W5ZP974 MICROSOFT CORP REGD 3.04100000 594918CF9 42000.00000000 NS USD 45582.18000000 0.003478061362 Long DBT CORP US N 2 2062-03-17 Fixed 3.04100000 N N N N N N PT PERTAMINA (PE 3.1% 08/27/30 N/A PT PERTAMINA (PERSERO) REGD 144A P/P MTN 3.10000000 69370PAH4 200000.00000000 NS USD 209295.92000000 0.015969926243 Long DBT CORP ID Y 2 2030-08-27 Fixed 3.10000000 N N N N N N ENERGY TRANSFER 6.25% 04/15/49 MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD 6.25000000 29279FAA7 10000.00000000 NS USD 13258.52000000 0.001011666096 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N GNMA P#783295 4.5% 03/15/41 N/A GINNIE MAE I POOL P#783295 4.50000000 36241LUU8 65645.60000000 NS USD 74256.39000000 0.005665992301 Long ABS-MBS USGSE US N 2 2041-03-15 Fixed 4.50000000 N N N N N N HONEYWELL INTE 3.812% 11/21/47 ISRPG12PN4EIEOEMW547 HONEYWELL INTERNATIONAL REGD 3.81200000 438516BS4 28000.00000000 NS USD 34026.81000000 0.002596350879 Long DBT CORP US N 2 2047-11-21 Fixed 3.81200000 N N N N N N GNMA P#AB9108 3% 10/15/42 N/A GINNIE MAE I POOL P#AB9108 3.00000000 36178WDM8 60571.06000000 NS USD 64203.92000000 0.004898957738 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.00000000 N N N N N N UNITEDHEALTH G 3.875% 12/15/28 549300GHBMY8T5GXDE41 UNITEDHEALTH GROUP INC REGD 3.87500000 91324PDP4 50000.00000000 NS USD 57765.77000000 0.004407706974 Long DBT CORP US N 2 2028-12-15 Fixed 3.87500000 N N N N N N HOME DEPOT INC 3.35% 04/15/50 QEKMOTMBBKA8I816DO57 HOME DEPOT INC REGD 3.35000000 437076CD2 210000.00000000 NS USD 234059.07000000 0.017859431204 Long DBT CORP US N 2 2050-04-15 Fixed 3.35000000 N N N N N N JPMMT 2018-5 A1 V/R 10/25/40 N/A JP MORGAN MORTGAGE TRUST 2018-5 SER 2018-5 CL A1 V/R REGD 144A P/P 3.50000000 46649KAA3 272966.97000000 NS USD 275624.58000000 0.021031008218 Long ABS-CBDO CORP US Y 2 2048-10-25 Variable 3.50000000 N N N N N N AT&T INC 4.25% 03/01/27 549300Z40J86GGSTL398 AT&T INC REGD 4.25000000 00206RDQ2 20000.00000000 NS USD 22803.07000000 0.001739944792 Long DBT CORP US N 2 2027-03-01 Fixed 4.25000000 N N N N N N CITIGROUP INC V/R 05/01/32 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD V/R 2.56100000 172967MY4 520000.00000000 NS USD 535282.79000000 0.040843733006 Long DBT CORP US N 2 2032-05-01 Variable 2.56100000 N N N N N N UMBS P#MA3630 5% 04/01/49 N/A FANNIE MAE POOL UMBS P#MA3630 5.00000000 31418DA85 78122.18000000 NS USD 85994.30000000 0.006561631150 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 5.00000000 N N N N N N HUMANA INC 3.95% 08/15/49 529900YLDW34GJAO4J06 HUMANA INC REGD 3.95000000 444859BL5 35000.00000000 NS USD 41101.92000000 0.003136203662 Long DBT CORP US N 2 2049-08-15 Fixed 3.95000000 N N N N N N FHR 4203 PS V/R 09/15/42 N/A FREDDIE MAC REMICS SER 4203 CL PS V/R 6.15450000 3137B2DY3 184524.00000000 NS USD 24964.86000000 0.001904896057 Long ABS-CBDO CORP US N 2 2042-09-15 Variable 6.15450000 N N N N N N DELTA AIR LINES 2.9% 10/28/24 Q2CCMS6R0AS67HJMBN42 DELTA AIR LINES INC REGD 2.90000000 247361ZU5 200000.00000000 NS USD 203897.14000000 0.015557982626 Long DBT CORP US N 2 2024-10-28 Fixed 2.90000000 N N N N N N CCO HLDGS LLC/ 5.125% 05/01/27 N/A CCO HLDGS LLC/CAP CORP REGD 144A P/P 5.12500000 1248EPBT9 130000.00000000 NS USD 136070.35000000 0.010382588697 Long DBT CORP US Y 2 2027-05-01 Fixed 5.12500000 N N N N N N GNMA P#675065 6.5% 01/15/38 N/A GINNIE MAE I POOL P#675065 6.50000000 36295M6A2 25719.94000000 NS USD 30743.87000000 0.002345852400 Long ABS-MBS USGSE US N 2 2038-01-15 Fixed 6.50000000 N N N N N N UMBS P#FM1238 4% 03/01/49 N/A FANNIE MAE POOL UMBS P#FM1238 4.00000000 3140X4LU8 748596.74900000 NS USD 801080.77000000 0.061124941241 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4.00000000 N N N N N N WILLIAMS COMPANI 7.5% 01/15/31 D71FAKCBLFS2O0RBPG08 WILLIAMS COMPANIES INC REGD SER A 7.50000000 969457BB5 50000.00000000 NS USD 69951.42000000 0.005337509771 Long DBT CORP US N 2 2031-01-15 Fixed 7.50000000 N N N N N N AMGEN INC 4.4% 05/01/45 62QBXGPJ34PQ72Z12S66 AMGEN INC REGD 4.40000000 031162BZ2 156000.00000000 NS USD 191173.67000000 0.014587142499 Long DBT CORP US N 2 2045-05-01 Fixed 4.40000000 N N N N N N FISERV INC 3.5% 07/01/29 GI7UBEJLXYLGR2C7GV83 FISERV INC REGD 3.50000000 337738AU2 774000.00000000 NS USD 851316.27000000 0.064958065316 Long DBT CORP US N 2 2029-07-01 Fixed 3.50000000 N N N N N N HVMLT 2006-2 1A V/R 02/25/36 N/A HARBORVIEW MORTGAGE LOAN TRUST 2006-2 SER 2006-2 CL 1A V/R REGD 2.62248600 41161PJ38 36705.22000000 NS USD 16216.29000000 0.001237353099 Long ABS-CBDO CORP US N 2 2036-02-25 Variable 2.62248600 N N N N N N TEVA PHARMACEUT 2.95% 12/18/22 N/A TEVA PHARMACEUT FIN BV REGD 2.95000000 88165FAG7 50000.00000000 NS USD 50437.50000000 0.003848537300 Long DBT CORP CW N 2 2022-12-18 Fixed 2.95000000 N N N N N N UMBS P#AS3253 4% 09/01/44 N/A FANNIE MAE POOL UMBS P#AS3253 4.00000000 3138WCTK9 14709.04000000 NS USD 16114.54000000 0.001229589259 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 4.00000000 N N N N N N US TREAS NTS 0.625% 12/31/27 N/A UNITED STATES TREASURY NOTE 0.62500000 91282CBB6 120000.00000000 NS USD 117360.94000000 0.008955002828 Long DBT UST US N 2 2027-12-31 Fixed 0.62500000 N N N N N N ROYAL BANK OF CA 1.6% 04/17/23 ES7IP3U3RHIGC71XBU11 ROYAL BANK OF CANADA REGD MTN SER GMTN 1.60000000 78015K7G3 260000.00000000 NS USD 265676.28000000 0.020271922148 Long DBT CORP CA N 2 2023-04-17 Fixed 1.60000000 N N N N N N DANSKE BANK A/ 3.875% 09/12/23 MAES062Z21O4RZ2U7M96 DANSKE BANK A/S REGD 144A P/P 3.87500000 23636AAP6 200000.00000000 NS USD 212262.57000000 0.016196290817 Long DBT CORP DK Y 2 2023-09-12 Fixed 3.87500000 N N N N N N FGLMC P#G08779 3.5% 09/01/47 N/A FREDDIE MAC GOLD POOL P#G08779 3.50000000 3128MJ2M1 205012.92000000 NS USD 216840.20000000 0.016545578149 Long ABS-MBS USGA US N 2 2047-09-01 Fixed 3.50000000 N N N N N N L3HARRIS TECH IN 4.4% 06/15/28 549300UTE50ZMDBG8A20 L3HARRIS TECH INC REGD 4.40000000 413875AW5 773000.00000000 NS USD 893607.10000000 0.068184986490 Long DBT CORP US N 2 2028-06-15 Fixed 4.40000000 N N N N N N UMBS P#BD6102 3% 10/01/46 N/A FANNIE MAE POOL UMBS P#BD6102 3.00000000 3140FDX84 31392.41000000 NS USD 33325.79000000 0.002542860884 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N UMBS P#745148 5% 01/01/36 N/A FANNIE MAE POOL UMBS P#745148 5.00000000 31403CZM6 126743.62000000 NS USD 144623.63000000 0.011035230424 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.00000000 N N N N N N UNITED PARCEL SE 2.5% 09/01/29 D01LMJZU09ULLNCY6Z23 UNITED PARCEL SERVICE REGD 2.50000000 911312BU9 41000.00000000 NS USD 43772.89000000 0.003340006937 Long DBT CORP US N 2 2029-09-01 Fixed 2.50000000 N N N N N N T/L ASURION LLC 0% 12/18/2026 N/A T/L ASURION LLC REGD 0.00000000 N/A 385217.88000000 NS USD 378235.81000000 0.028860562539 Long LON CORP US N 2 2026-12-18 Variable 3.33463000 N N N N N N REPUBLIC OF PA 3.875% 03/17/28 N/A REPUBLIC OF PANAMA REGD 3.87500000 698299BF0 210000.00000000 NS USD 232544.55000000 0.017743868642 Long DBT USGA PA N 2 2028-03-17 Fixed 3.87500000 N N N N N N GOLDMAN SACHS GRO V/R 04/23/29 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R 3.81400000 38141GWV2 620000.00000000 NS USD 695201.58000000 0.053046031461 Long DBT CORP US N 2 2029-04-23 Variable 3.81400000 N N N N N N WELLS FARGO & COM V/R 10/30/30 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD V/R MTN 2.87900000 95000U2G7 1076000.00000000 NS USD 1145169.77000000 0.087379996529 Long DBT CORP US N 2 2030-10-30 Variable 2.87900000 N N N N N N FNR 2012-46 BA 6.00% 05/25/42_ N/A FANNIE MAE REMICS SER 2012-46_ CL BA 6.00000000 3136A5J49 73256.02000000 NS USD 86100.36000000 0.006569723856 Long ABS-CBDO CORP US N 2 2042-05-25 Fixed 6.00000000 N N N N N N UMBS P#FM3278 3.5% 11/01/48 N/A FANNIE MAE POOL UMBS P#FM3278 3.50000000 3140X6UC3 116061.81000000 NS USD 123262.56000000 0.009405314694 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.50000000 N N N N N N BALTA 2005-4 23A V/R 05/25/35 N/A BEAR STEARNS ALT-A TRUST 2005-4 SER 2005-4 CL 23A2 V/R REGD 2.62981200 07386HSZ5 59565.65000000 NS USD 60031.89000000 0.004580618941 Long ABS-CBDO CORP US N 2 2035-05-25 Variable 2.62981200 N N N N N N CVS HEALTH CORP 3.75% 04/01/30 549300EJG376EN5NQE29 CVS HEALTH CORP REGD 3.75000000 126650DJ6 620000.00000000 NS USD 699147.32000000 0.053347103631 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N REPUBLIC OF PAN 3.16% 01/23/30 N/A REPUBLIC OF PANAMA REGD 3.16000000 698299BK9 700000.00000000 NS USD 742658.00000000 0.056667103134 Long DBT USGA PA N 2 2030-01-23 Fixed 3.16000000 N N N N N N AUTODESK INC 2.85% 01/15/30 FRKKVKAIQEF3FCSTPG55 AUTODESK INC REGD 2.85000000 052769AG1 190000.00000000 NS USD 202241.34000000 0.015431639963 Long DBT CORP US N 2 2030-01-15 Fixed 2.85000000 N N N N N N FGLMC P#Q19615 4% 07/01/43 N/A FREDDIE MAC GOLD POOL P#Q19615 4.00000000 3132JBDV2 60346.08000000 NS USD 67367.45000000 0.005140344865 Long ABS-MBS USGA US N 2 2043-07-01 Fixed 4.00000000 N N N N N N UMBS P#MA4152 2% 10/01/40 N/A FANNIE MAE POOL UMBS P#MA4152 2.00000000 31418DTJ1 1366910.24000000 NS USD 1401841.08000000 0.106964811606 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 2.00000000 N N N N N N CHARTER COMM O 5.375% 04/01/38 N/A CHARTER COMM OPT LLC/CAP REGD 5.37500000 161175BM5 50000.00000000 NS USD 61921.88000000 0.004724831026 Long DBT CORP US N 2 2038-04-01 Fixed 5.37500000 N N N N N N GNR 2019-119 JE 3% 09/20/49 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2019-119 CL JE 3.00000000 38381YZE7 195254.44000000 NS USD 202125.72000000 0.015422817799 Long ABS-CBDO CORP US N 2 2049-09-20 Fixed 3.00000000 N N N N N N UMBS P#MA1527 3% 08/01/33 N/A FANNIE MAE POOL UMBS P#MA1527 3.00000000 31418AVV7 682911.19000000 NS USD 728925.90000000 0.055619301417 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.00000000 N N N N N N PENSKE TRUCK LEA 1.7% 06/15/26 N/A PENSKE TRUCK LEASING/PTL REGD 144A P/P 1.70000000 709599BM5 51000.00000000 NS USD 51588.57000000 0.003936367502 Long DBT CORP US Y 2 2026-06-15 Fixed 1.70000000 N N N N N N FGLMC P#G67710 3.5% 03/01/48 N/A FREDDIE MAC GOLD POOL P#G67710 3.50000000 3132XCR72 1022622.24000000 NS USD 1101568.82000000 0.084053109146 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 3.50000000 N N N N N N T/L FIRST EAGLE 0% 02/01/27 N/A T/L FIRST EAGLE HOLDINGS INC FKA ARNHOLD AND S BLEICHROEDER HOLDINGS INC REGD 0.00000000 N/A 56977.35000000 NS USD 56187.93000000 0.004287312900 Long LON CORP US N 2 2027-02-01 Variable 2.64725000 N N N N N N AEP TEXAS INC 3.45% 01/15/50 N/A AEP TEXAS INC REGD SER H 3.45000000 00108WAK6 82000.00000000 NS USD 87292.97000000 0.006660723689 Long DBT CORP US N 2 2050-01-15 Fixed 3.45000000 N N N N N N FORD MOTOR CREDIT V/R 10/12/21 N/A FORD MOTOR CREDIT CO LLC REGD V/R SER FRN 0.99900000 345397ZG1 440000.00000000 NS USD 440015.80000000 0.033574566919 Long DBT CORP US N 2 2021-10-12 Variable 0.99900000 N N N N N N RAYTHEON TECH C 3.75% 11/01/46 I07WOS4YJ0N7YRFE7309 RAYTHEON TECH CORP REGD 3.75000000 913017CJ6 387000.00000000 NS USD 440494.89000000 0.033611122968 Long DBT CORP US N 2 2046-11-01 Fixed 3.75000000 N N N N N N GNMA II P#MA5466 4% 09/20/48 N/A GINNIE MAE II POOL P#MA5466 4.00000000 36179UCB6 352882.57000000 NS USD 375274.38000000 0.028634596267 Long ABS-MBS USGSE US N 2 2048-09-20 Fixed 4.00000000 N N N N N N GNMA II P#MA3597 3.5% 04/20/46 N/A GINNIE MAE II POOL P#MA3597 3.50000000 36179R7J2 1352972.98000000 NS USD 1438039.82000000 0.109726887464 Long ABS-MBS USGSE US N 2 2046-04-20 Fixed 3.50000000 N N N N N N MAGELLAN MIDSTRE 4.2% 10/03/47 MZF5TI8NFVZZNUSKDL39 MAGELLAN MIDSTREAM PARTN REGD 4.20000000 559080AM8 35000.00000000 NS USD 39324.32000000 0.003000567282 Long DBT CORP US N 2 2047-10-03 Fixed 4.20000000 N N N N N N SWEDBANK AB 1.3% 06/02/23 M312WZV08Y7LYUC71685 SWEDBANK AB REGD P/P 1.30000000 87020PAK3 200000.00000000 NS USD 203212.00000000 0.015505704324 Long DBT CORP SE Y 2 2023-06-02 Fixed 1.30000000 N N N N N N CCMFC 2004-2A B1 V/R 05/25/35 N/A CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SER 2004-2A CL B1 V/R REGD 0.63447900 16678RBE6 1251476.53000000 NS USD 1143996.72000000 0.087290489185 Long ABS-CBDO CORP US Y 2 2035-05-25 Variable 0.63447900 N N N N N N T/L AECOM TECH 0% 04/13/2028 N/A T/L AECOM TECHNOLOGY CORPORATION REGD 0.00000000 00766WAV5 40000.00000000 NS USD 40020.00000000 0.003053649819 Long LON CORP US N 2 2028-04-13 Variable 1.83463000 N N N N N N FGLMC P#A97944 5% 04/01/41 N/A FREDDIE MAC GOLD POOL P#A97944 5.00000000 312946ZH2 5398.56000000 NS USD 5919.14000000 0.000451648695 Long ABS-MBS USGA US N 2 2041-04-01 Fixed 5.00000000 N N N N N N BOEING CO 1.433% 02/04/24 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 1.43300000 097023DE2 530000.00000000 NS USD 531266.84000000 0.040537303596 Long DBT CORP US N 2 2024-02-04 Fixed 1.43300000 N N N N N N WELLS FARGO & COM V/R 05/22/28 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD V/R MTN 3.58400000 95000U2A0 3259000.00000000 NS USD 3618854.02000000 0.276129758218 Long DBT CORP US N 2 2028-05-22 Variable 3.58400000 N N N N N N GENERAL MOTORS 6.25% 10/02/43 54930070NSV60J38I987 GENERAL MOTORS CO REGD SER WI 6.25000000 37045VAF7 250000.00000000 NS USD 341967.92000000 0.026093210321 Long DBT CORP US N 2 2043-10-02 Fixed 6.25000000 N N N N N N AMAZON.COM INC 3.875% 08/22/37 ZXTILKJKG63JELOEG630 AMAZON.COM INC REGD 3.87500000 023135BF2 80000.00000000 NS USD 95524.61000000 0.007288823289 Long DBT CORP US N 2 2037-08-22 Fixed 3.87500000 N N N N N N GNMA II P#BS8546 2.5% 12/20/50 N/A GINNIE MAE II POOL P#BS8546 2.50000000 3617MKP78 97326.02000000 NS USD 102445.78000000 0.007816929974 Long ABS-MBS USGSE US N 2 2050-12-20 Fixed 2.50000000 N N N N N N REPUBLIC OF PE 4.125% 08/25/27 N/A REPUBLIC OF PERU REGD 4.12500000 715638BU5 625000.00000000 NS USD 705356.25000000 0.053820864200 Long DBT USGA PE N 2 2027-08-25 Fixed 4.12500000 N N N N N N GNMA II P#MA6544 4.5% 03/20/50 N/A GINNIE MAE II POOL P#MA6544 4.50000000 36179VHV5 77624.55000000 NS USD 82570.75000000 0.006300403693 Long ABS-MBS USGSE US N 2 2050-03-20 Fixed 4.50000000 N N N N N N ABU DHABI GOVT 3.875% 04/16/50 N/A ABU DHABI GOVT INT'L REGD 144A P/P MTN 3.87500000 29135LAJ9 790000.00000000 NS USD 925162.68000000 0.070592774875 Long DBT USGA AE Y 2 2050-04-16 Fixed 3.87500000 N N N N N N BROADCOM CRP / 3.875% 01/15/27 N/A BROADCOM CRP / CAYMN FI REGD SER WI 3.87500000 11134LAH2 245000.00000000 NS USD 270540.25000000 0.020643058108 Long DBT CORP US N 2 2027-01-15 Fixed 3.87500000 N N N N N N GNR 2020-H13 FC V/R 07/20/70 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-H13 CL FC V/R 0.53838000 38380QGU0 78507.62000000 NS USD 79044.86000000 0.006031367377 Long ABS-CBDO CORP US N 2 2070-07-20 Variable 0.53838000 N N N N N N PFSFC 2021-A A 0.71% 04/15/24 N/A PFS FINANCING CORP SER 2021-A CL A REGD 144A P/P 0.71000000 69335PDZ5 190000.00000000 NS USD 190398.66000000 0.014528006838 Long ABS-CBDO CORP US Y 2 2026-04-15 Fixed 0.71000000 N N N N N N UMBS P#FM1241 3.5% 08/01/49 N/A FANNIE MAE POOL UMBS P#FM1241 3.50000000 3140X4LX2 43975.02000000 NS USD 47150.57000000 0.003597734371 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 3.50000000 N N N N N N GLOBAL PAYMENTS 3.2% 08/15/29 549300NOMHGVQBX6S778 GLOBAL PAYMENTS INC REGD 3.20000000 37940XAB8 387000.00000000 NS USD 415572.07000000 0.031709434693 Long DBT CORP US N 2 2029-08-15 Fixed 3.20000000 N N N N N N UNITEDHEALTH GRO 3.7% 08/15/49 549300GHBMY8T5GXDE41 UNITEDHEALTH GROUP INC REGD 3.70000000 91324PDU3 100000.00000000 NS USD 116431.53000000 0.008884085970 Long DBT CORP US N 2 2049-08-15 Fixed 3.70000000 N N N N N N UMBS P#MA2110 3.5% 12/01/34 N/A FANNIE MAE POOL UMBS P#MA2110 3.50000000 31418BKY1 21230.82000000 NS USD 22980.18000000 0.001753458833 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 3.50000000 N N N N N N MCDONALD'S CORP 4.2% 04/01/50 UE2136O97NLB5BYP9H04 MCDONALD'S CORP REGD MTN 4.20000000 58013MFR0 400000.00000000 NS USD 491189.36000000 0.037479267875 Long DBT CORP US N 2 2050-04-01 Fixed 4.20000000 N N N N N N ELECTRONIC ARTS 1.85% 02/15/31 549300O7A67PUEYKDL45 ELECTRONIC ARTS INC REGD 1.85000000 285512AE9 476000.00000000 NS USD 467768.11000000 0.035692154036 Long DBT CORP US N 2 2031-02-15 Fixed 1.85000000 N N N N N N UMBS P#AD9638 4.5% 09/01/40 N/A FANNIE MAE POOL UMBS P#AD9638 4.50000000 31418XV88 158871.36000000 NS USD 176549.84000000 0.013471299025 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.50000000 N N N N N N HALLIBURTON CO 5% 11/15/45 ENYF8GB5SMQZ25S06U51 HALLIBURTON CO REGD 5.00000000 406216BK6 50000.00000000 NS USD 60118.46000000 0.004587224500 Long DBT CORP US N 2 2045-11-15 Fixed 5.00000000 N N N N N N COMCAST CABLE 9.455% 11/15/22 N/A COMCAST CABLE COMMUNICAT REGD 9.45500000 00209TAB1 160000.00000000 NS USD 177716.57000000 0.013560324134 Long DBT CORP US N 2 2022-11-15 Fixed 9.45500000 N N N N N N AT&T INC 4.35% 06/15/45 549300Z40J86GGSTL398 AT&T INC REGD SER WI 4.35000000 00206RBK7 73000.00000000 NS USD 84625.41000000 0.006457180608 Long DBT CORP US N 2 2045-06-15 Fixed 4.35000000 N N N N N N PECO ENERGY CO 3.05% 03/15/51 N/A PECO ENERGY CO REGD 3.05000000 693304BA4 148000.00000000 NS USD 156844.86000000 0.011967748085 Long DBT CORP US N 2 2051-03-15 Fixed 3.05000000 N N N N N N MIZUHO FINANCIAL V/R 07/16/25 353800CI5L6DDAN5XZ33 MIZUHO FINANCIAL GROUP REGD V/R 2.83900000 60687YAW9 738000.00000000 NS USD 778783.46000000 0.059423587501 Long DBT CORP JP N 2 2025-07-16 Variable 2.83900000 N N N N N N UMBS P#AL4324 6.5% 05/01/40 N/A FANNIE MAE POOL UMBS P#AL4324 6.50000000 3138ELYW7 108976.09000000 NS USD 128357.46000000 0.009794071327 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 6.50000000 N N N N N N US TIPS 0.75% 02/15/45 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000 912810RL4 11537.90000000 NS USD 14589.01000000 0.001113186600 Long DBT UST US N 2 2045-02-15 Fixed 0.75000000 N N N N N N HEALTHCARE REA 3.625% 01/15/28 549300CB86LH2IOKHH22 HEALTHCARE REALTY TRUST REGD 3.62500000 421946AK0 485000.00000000 NS USD 536022.47000000 0.040900172878 Long DBT CORP US N 2 2028-01-15 Fixed 3.62500000 N N N N N N GNMA II P#MA6477 4.5% 02/20/50 N/A GINNIE MAE II POOL P#MA6477 4.50000000 36179VFS4 111312.74000000 NS USD 118715.19000000 0.009058336293 Long ABS-MBS USGSE US N 2 2050-02-20 Fixed 4.50000000 N N N N N N DIAMONDBACK ENE 3.25% 12/01/26 549300R22LSX6OHWEN64 DIAMONDBACK ENERGY INC REGD 3.25000000 25278XAM1 81000.00000000 NS USD 86842.95000000 0.006626385771 Long DBT CORP US N 2 2026-12-01 Fixed 3.25000000 N N N N N N RYDER SYSTEM INC 2.5% 09/01/24 ZXJ6Y2OSPZXIVGRILD15 RYDER SYSTEM INC REGD MTN 2.50000000 78355HKN8 69000.00000000 NS USD 72354.06000000 0.005520838636 Long DBT CORP US N 2 2024-09-01 Fixed 2.50000000 N N N N N N GENERAL MOTORS F 4.2% 11/06/21 N/A GENERAL MOTORS FINL CO REGD 4.20000000 37045XCP9 642000.00000000 NS USD 646510.14000000 0.049330723941 Long DBT CORP US N 2 2021-11-06 Fixed 4.20000000 N N N N N N SPRINT SPECTRU 4.738% 03/20/25 N/A SPRINT SPECTRUM / SPEC I REGD 144A P/P 4.73800000 85208NAD2 1317187.50000000 NS USD 1408995.47000000 0.107510713698 Long DBT CORP US Y 2 2025-03-20 Fixed 4.73800000 N N N N N N SLMA 2003-4 A5E V/R 03/15/33 N/A SLM STUDENT LOAN TRUST 2003-4 SER 2003-4 CL A5E V/R 0.86888000 78442GGN0 155872.34000000 NS USD 148319.39000000 0.011317228347 Long ABS-CBDO CORP US Y 2 2033-03-15 Variable 0.86888000 N N N N N N TIME WARNER CABL 7.3% 07/01/38 N/A TIME WARNER CABLE LLC REGD 7.30000000 88732JAN8 230000.00000000 NS USD 335271.00000000 0.025582214606 Long DBT CORP US N 2 2038-07-01 Fixed 7.30000000 N N N N N N T/L PRIME SECU 0% 9/23/2026 N/A T/L PRIME SECURITY SERVICES BORROWER LLC REGD 0.00000000 N/A 403938.91000000 NS USD 403716.74000000 0.030804836334 Long LON CORP US N 2 2026-09-23 Variable 3.50000000 N N N N N N PENSKE TRUCK LE 3.95% 03/10/25 N/A PENSKE TRUCK LEASING/PTL REGD 144A P/P 3.95000000 709599AZ7 97000.00000000 NS USD 105995.94000000 0.008087818166 Long DBT CORP US Y 2 2025-03-10 Fixed 3.95000000 N N N N N N KAISER FOUNDATI 3.15% 05/01/27 N/A KAISER FOUNDATION HOSPIT REGD 3.15000000 48305QAC7 500000.00000000 NS USD 549330.54000000 0.041915619793 Long DBT CORP US N 2 2027-05-01 Fixed 3.15000000 N N N N N N REPUBLIC OF CO 3.125% 04/15/31 N/A REPUBLIC OF COLOMBIA REGD 3.12500000 195325DS1 315000.00000000 NS USD 308372.40000000 0.023529768203 Long DBT USGA CO N 2 2031-04-15 Fixed 3.12500000 N N N N N N AT&T INC 4.3% 02/15/30 549300Z40J86GGSTL398 AT&T INC REGD SER * 4.30000000 00206RGQ9 439000.00000000 NS USD 510083.30000000 0.038920933953 Long DBT CORP US N 2 2030-02-15 Fixed 4.30000000 N N N N N N JPMMT 2018-3 A1 V/R 09/25/40 N/A JP MORGAN MORTGAGE TRUST 2018-3 SER 2018-3 CL A1 V/R REGD 144A P/P 3.50000000 46649TAA4 290471.62000000 NS USD 292069.33000000 0.022285793521 Long ABS-CBDO CORP US Y 2 2048-09-25 Variable 3.50000000 N N N N N N UMBS P#AA4298 4.5% 03/01/29 N/A FANNIE MAE POOL UMBS P#AA4298 4.50000000 31416MX41 43876.09000000 NS USD 47453.67000000 0.003620861839 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 4.50000000 N N N N N N GNMA II P#MA6339 3.5% 12/20/49 N/A GINNIE MAE II POOL P#MA6339 3.50000000 36179VBG4 716380.96000000 NS USD 752925.52000000 0.057450546677 Long ABS-MBS USGSE US N 2 2049-12-20 Fixed 3.50000000 N N N N N N GNMA II P#MA5397 3.5% 08/20/48 N/A GINNIE MAE II POOL P#MA5397 3.50000000 36179T7J8 79915.64000000 NS USD 84466.26000000 0.006445036970 Long ABS-MBS USGSE US N 2 2048-08-20 Fixed 3.50000000 N N N N N N BARRICK GOLD CO 5.25% 04/01/42 0O4KBQCJZX82UKGCBV73 BARRICK GOLD CORP REGD 5.25000000 067901AH1 40000.00000000 NS USD 52847.02000000 0.004032391131 Long DBT CORP CA N 2 2042-04-01 Fixed 5.25000000 N N N N N N LENNAR CORP 4.75% 11/29/27 529900G61XVRLX5TJX09 LENNAR CORP REGD SER WI 4.75000000 526057CD4 130000.00000000 NS USD 151459.10000000 0.011556797934 Long DBT CORP US N 2 2027-11-29 Fixed 4.75000000 N N N N N N STACR 2016-DNA1 V/R 07/25/28 N/A FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES SER 2016-DNA1 CL M3 V/R REGD 5.63438000 3137G0HW2 322579.71000000 NS USD 337642.38000000 0.025763158236 Long ABS-CBDO CORP US N 2 2028-07-25 Variable 5.63438000 N N N N N N FNR 2018-57 QA 3.5% 05/25/46 N/A FANNIE MAE REMICS SER 2018-57 CL QA 3.50000000 3136B2ZR6 228675.48000000 NS USD 235584.59000000 0.017975833099 Long ABS-CBDO CORP US N 2 2046-05-25 Fixed 3.50000000 N N N N N N WELLS FARGO & COMPA V/R /PERP/ PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD V/R /PERP/ SER U 5.87500000 949746RN3 50000.00000000 NS USD 56430.00000000 0.004305783590 Long DBT CORP US N 2 2170-06-15 Variable 5.87500000 N N N N N N DANSKE BANK A/ 1.226% 06/22/24 MAES062Z21O4RZ2U7M96 DANSKE BANK A/S REGD 144A P/P 1.22600000 23636AAW1 944000.00000000 NS USD 954138.57000000 0.072803724931 Long DBT CORP DK Y 2 2024-06-22 Fixed 1.22600000 N N N N N N NISSAN MOTOR C 3.043% 09/15/23 353800DRBDH1LUTNAY26 NISSAN MOTOR CO REGD 144A P/P 3.04300000 654744AA9 250000.00000000 NS USD 260561.57000000 0.019881653951 Long DBT CORP JP Y 2 2023-09-15 Fixed 3.04300000 N N N N N N DANSKE BANK A/S V/R 09/20/22 MAES062Z21O4RZ2U7M96 DANSKE BANK A/S REGD V/R 3.00100000 23636AAU5 430000.00000000 NS USD 430519.53000000 0.032849972137 Long DBT CORP DK Y 2 2022-09-20 Variable 3.00100000 N N N N N N BERRY GLOBAL I 4.875% 07/15/26 N/A BERRY GLOBAL INC REGD 144A P/P 4.87500000 085770AA3 510000.00000000 NS USD 538458.00000000 0.041086011353 Long DBT CORP US Y 2 2026-07-15 Fixed 4.87500000 N N N N N N FGLMC P#G08732 3% 11/01/46 N/A FREDDIE MAC GOLD POOL P#G08732 3.00000000 3128MJY61 488074.48000000 NS USD 518418.64000000 0.039556946184 Long ABS-MBS USGA US N 2 2046-11-01 Fixed 3.00000000 N N N N N N WELLS FARGO & COM V/R 04/04/51 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD V/R MTN 5.01300000 95000U2M4 1990000.00000000 NS USD 2757797.24000000 0.210428461852 Long DBT CORP US N 2 2051-04-04 Variable 5.01300000 N N N N N N AMER AIRLN 15-2 3.6% 09/22/27 N/A AMER AIRLN 15-2 AA PTT REGD 3.60000000 02377BAB2 38921.47000000 NS USD 40539.09000000 0.003093257992 Long DBT CORP US N 2 2027-09-22 Fixed 3.60000000 N N N N N N BOEING CO 2.196% 02/04/26 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 2.19600000 097023DG7 210000.00000000 NS USD 210902.40000000 0.016092505637 Long DBT CORP US N 2 2026-02-04 Fixed 2.19600000 N N N N N N BP CAP MARKETS 3.216% 11/28/23 N/A BP CAP MARKETS AMERICA REGD SER * 3.21600000 10373QAW0 230000.00000000 NS USD 243097.99000000 0.018549128765 Long DBT CORP US N 2 2023-11-28 Fixed 3.21600000 N N N N N N MCDONALD'S CORP 3.3% 07/01/25 UE2136O97NLB5BYP9H04 MCDONALD'S CORP REGD MTN 3.30000000 58013MFN9 40000.00000000 NS USD 43392.44000000 0.003310977425 Long DBT CORP US N 2 2025-07-01 Fixed 3.30000000 N N N N N N FGLMC P#G05519 6% 06/01/39 N/A FREDDIE MAC GOLD POOL P#G05519 6.00000000 3128M7PC4 7659.47000000 NS USD 9103.43000000 0.000694619874 Long ABS-MBS USGA US N 2 2039-06-01 Fixed 6.00000000 N N N N N N CHEVRON USA INC 5.05% 11/15/44 N/A CHEVRON USA INC REGD 5.05000000 166756AV8 81000.00000000 NS USD 109693.85000000 0.008369980140 Long DBT CORP US N 2 2044-11-15 Fixed 5.05000000 N N N N N N UMBS P#ZN1436 5% 11/01/48 N/A FREDDIE MAC POOL UMBS P#ZN1436 5.00000000 3131Y7SZ1 58536.58000000 NS USD 64433.76000000 0.004916495241 Long ABS-MBS USGA US N 2 2048-11-01 Fixed 5.00000000 N N N N N N UBS GROUP AG V/R /PERP/ 549300SZJ9VS8SGXAN81 UBS GROUP AG REGD V/R /PERP/ 144A P/P 7.00000000 90352JAF0 1070000.00000000 NS USD 1173773.95000000 0.089562583963 Long DBT CORP CH Y 2 2170-07-31 Variable 7.00000000 N N N N N N JPMORGAN CHASE & V/R 04/22/26 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 2.08300000 46647PBK1 280000.00000000 NS USD 289279.96000000 0.022072955960 Long DBT CORP US N 2 2026-04-22 Variable 2.08300000 N N N N N N VISA INC 2.05% 04/15/30 549300JZ4OKEHW3DPJ59 VISA INC REGD 2.05000000 92826CAM4 110000.00000000 NS USD 113697.18000000 0.008675446605 Long DBT CORP US N 2 2030-04-15 Fixed 2.05000000 N N N N N N SEAGATE HDD CA 4.091% 06/01/29 N/A SEAGATE HDD CAYMAN REGD P/P 4.09100000 81180WAZ4 71000.00000000 NS USD 75180.84000000 0.005736530696 Long DBT CORP KY Y 2 2029-06-01 Fixed 4.09100000 N N N N N N UMBS P#BT3270 2.5% 08/01/51 N/A FANNIE MAE POOL UMBS P#BT3270 2.50000000 3140LRT40 99771.24000000 NS USD 105245.95000000 0.008030591608 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N AT&T INC ZCP 11/27/22 549300Z40J86GGSTL398 AT&T INC REGD ZCP P/P 0.00000000 00206RAE2 1000000.00000000 NS USD 994173.04000000 0.075858478856 Long DBT CORP US Y 2 2022-11-27 Fixed 0.00000000 N N N N N N US TREAS BDS 3.625% 02/15/44 N/A UNITED STATES TREASURY BOND 3.62500000 912810RE0 1095000.00000000 NS USD 1450361.72000000 0.110667086558 Long DBT UST US N 2 2044-02-15 Fixed 3.62500000 N N N N N N HCRX INVESTMENTS 4.5% 08/01/29 N/A HCRX INVESTMENTS HOLDCO REGD 144A P/P 4.50000000 40390FAA8 215000.00000000 NS USD 218082.56000000 0.016640374060 Long DBT CORP US Y 2 2029-08-01 Fixed 4.50000000 N N N N N N VMED O2 UK FINA 4.25% 01/31/31 N/A VMED O2 UK FINAN REGD 144A P/P 4.25000000 92858RAA8 450000.00000000 NS USD 452830.50000000 0.034552368177 Long DBT CORP GB Y 2 2031-01-31 Fixed 4.25000000 N N N N N N DISH DBS CORP 7.75% 07/01/26 N/A DISH DBS CORP REGD SER WI 7.75000000 25470XAY1 140000.00000000 NS USD 160538.00000000 0.012249546093 Long DBT CORP US N 2 2026-07-01 Fixed 7.75000000 N N N N N N VISA INC 3.15% 12/14/25 549300JZ4OKEHW3DPJ59 VISA INC REGD 3.15000000 92826CAD4 420000.00000000 NS USD 458678.45000000 0.034998584855 Long DBT CORP US N 2 2025-12-14 Fixed 3.15000000 N N N N N N FGLMC P#V80024 3% 04/01/43 N/A FREDDIE MAC GOLD POOL P#V80024 3.00000000 3132L5AZ6 338662.85000000 NS USD 362599.87000000 0.027667491940 Long ABS-MBS USGA US N 2 2043-04-01 Fixed 3.00000000 N N N N N N INTERNATIONAL PA 4.8% 06/15/44 824LMFJDH41EY779Q875 INTERNATIONAL PAPER CO REGD 4.80000000 460146CK7 70000.00000000 NS USD 90306.69000000 0.006890679849 Long DBT CORP US N 2 2044-06-15 Fixed 4.80000000 N N N N N N DELTA AIR LINE 3.625% 03/15/22 Q2CCMS6R0AS67HJMBN42 DELTA AIR LINES INC REGD 3.62500000 247361ZJ0 120000.00000000 NS USD 121271.88000000 0.009253419651 Long DBT CORP US N 2 2022-03-15 Fixed 3.62500000 N N N N N N HUMANA INC 3.15% 12/01/22 529900YLDW34GJAO4J06 HUMANA INC REGD 3.15000000 444859BA9 280000.00000000 NS USD 287796.91000000 0.021959794657 Long DBT CORP US N 2 2022-12-01 Fixed 3.15000000 N N N N N N AEP TEXAS INC 3.45% 05/15/51 N/A AEP TEXAS INC REGD 3.45000000 00108WAN0 191000.00000000 NS USD 202524.83000000 0.015453271127 Long DBT CORP US N 2 2051-05-15 Fixed 3.45000000 N N N N N N NRG ENERGY INC 4.45% 06/15/29 5E2UPK5SW04M13XY7I38 NRG ENERGY INC REGD 144A P/P 4.45000000 629377CL4 122000.00000000 NS USD 136783.80000000 0.010437027139 Long DBT CORP US Y 2 2029-06-15 Fixed 4.45000000 N N N N N N GNMA II P#MA5528 4% 10/20/48 N/A GINNIE MAE II POOL P#MA5528 4.00000000 36179UD90 115406.55000000 NS USD 122588.07000000 0.009353849020 Long ABS-MBS USGSE US N 2 2048-10-20 Fixed 4.00000000 N N N N N N CHARTER COMM O 6.484% 10/23/45 N/A CHARTER COMM OPT LLC/CAP REGD SER WI 6.48400000 161175BA1 756000.00000000 NS USD 1056581.89000000 0.080620467200 Long DBT CORP US N 2 2045-10-23 Fixed 6.48400000 N N N N N N COMM 2014-CR1 3.452% 05/15/23 N/A COMM 2014-CCRE18 MORTGAGE TRUST SER 2014-CR18 CL ASB REGD 3.45200000 12632QAU7 315733.14000000 NS USD 324554.72000000 0.024764529286 Long ABS-CBDO CORP US N 2 2047-07-15 Fixed 3.45200000 N N N N N N UMBS P#FM6780 2.5% 04/01/51 N/A FANNIE MAE POOL UMBS P#FM6780 2.50000000 3140XARA2 195395.79000000 NS USD 204235.87000000 0.015583828773 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N DUKE ENERGY PROG 2.9% 08/15/51 N/A DUKE ENERGY PROGRESS LLC REGD 2.90000000 26442UAM6 67000.00000000 NS USD 67567.73000000 0.005155626849 Long DBT CORP US N 2 2051-08-15 Fixed 2.90000000 N N N N N N FRONTIER COMMUNICA 5% 05/01/28 N/A FRONTIER COMMUNICATIONS REGD 144A P/P 5.00000000 35906ABF4 160000.00000000 NS USD 167400.00000000 0.012773137924 Long DBT CORP US Y 2 2028-05-01 Fixed 5.00000000 N N N N N N GNMA II P#MA4069 3.5% 11/20/46 N/A GINNIE MAE II POOL P#MA4069 3.50000000 36179SQW0 370380.53000000 NS USD 394903.88000000 0.030132387850 Long ABS-MBS USGSE US N 2 2046-11-20 Fixed 3.50000000 N N N N N N FGLMC P#G04316 6% 05/01/38 N/A FREDDIE MAC GOLD POOL P#G04316 6.00000000 3128M6DV7 2392.40000000 NS USD 2832.49000000 0.000216127750 Long ABS-MBS USGA US N 2 2038-05-01 Fixed 6.00000000 N N N N N N UMBS P#FM5783 3% 06/01/38 N/A FANNIE MAE POOL UMBS P#FM5783 3.00000000 3140X9M93 150716.88000000 NS USD 158779.55000000 0.012115370918 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 3.00000000 N N N N N N JPMORGAN CHASE & V/R 04/22/31 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 2.52200000 46647PBL9 150000.00000000 NS USD 155346.11000000 0.011853388823 Long DBT CORP US N 2 2031-04-22 Variable 2.52200000 N N N N N N UMBS P#BR6496 2.5% 04/01/51 N/A FANNIE MAE POOL UMBS P#BR6496 2.50000000 3140L5GE0 97334.19000000 NS USD 101905.97000000 0.007775740801 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N UMBS P#FM5291 3% 07/01/46 N/A FANNIE MAE POOL UMBS P#FM5291 3.00000000 3140X82Z9 400315.19000000 NS USD 429127.87000000 0.032743784173 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.00000000 N N N N N N FNMA TBA 15YR 2% OCT21 N/A FNMA TBA 15YR 2% OCT21 TO BE ANNOUNCED 2.00000000 01F0204A4 7200000.00000000 NS USD 7441021.80000000 0.567772985363 Long ABS-MBS USGA US N 2 2036-10-01 Fixed 2.00000000 N N N N N N HYUNDAI CAPITAL 3.95% 02/01/22 N/A HYUNDAI CAPITAL AMERICA REGD 144A P/P 3.95000000 44891AAY3 250000.00000000 NS USD 253542.05000000 0.019346042857 Long DBT CORP US Y 2 2022-02-01 Fixed 3.95000000 N N N N N N MOODY'S CORPORA 3.25% 01/15/28 549300GCEDD8YCF5WU84 MOODY'S CORPORATION REGD SER WI 3.25000000 615369AM7 39000.00000000 NS USD 42742.72000000 0.003261401779 Long DBT CORP US N 2 2028-01-15 Fixed 3.25000000 N N N N N N UMBS P#CA0996 3.5% 01/01/48 N/A FANNIE MAE POOL UMBS P#CA0996 3.50000000 3140Q8DA0 132670.76000000 NS USD 143399.95000000 0.010941859854 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N WFCM 2019-C54 3.146% 12/15/52 N/A WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C54 SER 2019-C54 CL A4 REGD 3.14600000 95001YAE4 180000.00000000 NS USD 197947.08000000 0.015103974639 Long ABS-CBDO CORP US N 2 2052-12-15 Fixed 3.14600000 N N N N N N GNMA II P#MA5137 4% 04/20/48 N/A GINNIE MAE II POOL P#MA5137 4.00000000 36179TV69 203115.09000000 NS USD 215740.51000000 0.016461668399 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4.00000000 N N N N N N POST HOLDINGS IN 4.5% 09/15/31 JM1I5YUAURL6DC8N1468 POST HOLDINGS INC REGD 144A P/P 4.50000000 737446AR5 325000.00000000 NS USD 328250.00000000 0.025046490583 Long DBT CORP US Y 2 2031-09-15 Fixed 4.50000000 N N N N N N GLENCORE FUNDI 4.625% 04/29/24 N/A GLENCORE FUNDING LLC REGD P/P 4.62500000 378272AH1 210000.00000000 NS USD 230065.79000000 0.017554731585 Long DBT CORP US Y 2 2024-04-29 Fixed 4.62500000 N N N N N N APPLE INC 3.35% 02/09/27 HWUPKR0MPOU8FGXBT394 APPLE INC REGD 3.35000000 037833CJ7 550000.00000000 NS USD 611523.94000000 0.046661168636 Long DBT CORP US N 2 2027-02-09 Fixed 3.35000000 N N N N N N GNR 2018-130 A 3.25% 05/16/59 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-130 CL A 3.25000000 38380MJT9 22929.47000000 NS USD 23428.29000000 0.001787651012 Long ABS-CBDO CORP US N 2 2059-05-16 Fixed 3.25000000 N N N N N N MOTOROLA SOLUTIO 4.6% 05/23/29 6S552MUG6KGJVEBSEC55 MOTOROLA SOLUTIONS INC REGD 4.60000000 620076BN8 341000.00000000 NS USD 400132.24000000 0.030531327894 Long DBT CORP US N 2 2029-05-23 Fixed 4.60000000 N N N N N N REPUBLIC OF COL 3.25% 04/22/32 N/A REPUBLIC OF COLOMBIA REGD 3.25000000 195325DZ5 430000.00000000 NS USD 420853.90000000 0.032112454663 Long DBT USGA CO N 2 2032-04-22 Fixed 3.25000000 N N N N N N CVS HEALTH COR 5.125% 07/20/45 549300EJG376EN5NQE29 CVS HEALTH CORP REGD 5.12500000 126650CN8 350000.00000000 NS USD 462206.52000000 0.035267787512 Long DBT CORP US N 2 2045-07-20 Fixed 5.12500000 N N N N N N SABINE PASS LIQUEF 5% 03/15/27 N/A SABINE PASS LIQUEFACTION REGD SER WI 5.00000000 785592AS5 135000.00000000 NS USD 156017.78000000 0.011904639322 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N UMBS P#AW3557 3% 05/01/29 N/A FANNIE MAE POOL UMBS P#AW3557 3.00000000 3138XS5T0 72979.99000000 NS USD 77453.00000000 0.005909903534 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.00000000 N N N N N N T/L ICON LUXEMBOU 0% 06/16/28 N/A T/L ICON LUXEMBOURG S.A.R.L. REGD 0.00000000 N/A 79782.41000000 NS USD 79815.92000000 0.006090201641 Long LON CORP LU N 2 2028-06-16 Variable 3.00000000 N N N N N N US TREAS BDS 3% 11/15/45 N/A UNITED STATES TREASURY BOND 3.00000000 912810RP5 1412500.00000000 NS USD 1717401.37000000 0.131043038055 Long DBT UST US N 2 2045-11-15 Fixed 3.00000000 N N N N N N IBM CORP 3% 05/15/24 VGRQXHF3J8VDLUA7XE92 IBM CORP REGD 3.00000000 459200JY8 680000.00000000 NS USD 723925.45000000 0.055237751611 Long DBT CORP US N 2 2024-05-15 Fixed 3.00000000 N N N N N N UMBS P#890827 3.5% 12/01/37 N/A FANNIE MAE POOL UMBS P#890827 3.50000000 31410LVU3 53905.95000000 NS USD 58444.32000000 0.004459482438 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 3.50000000 N N N N N N NORTHERN STATES 2.9% 03/01/50 N/A NORTHERN STATES PWR-MINN REGD 2.90000000 665772CR8 114000.00000000 NS USD 118593.28000000 0.009049034183 Long DBT CORP US N 2 2050-03-01 Fixed 2.90000000 N N N N N N PEPSICO INC 0.75% 05/01/23 FJSUNZKFNQ5YPJ5OT455 PEPSICO INC REGD 0.75000000 713448EY0 180000.00000000 NS USD 181636.90000000 0.013859457442 Long DBT CORP US N 2 2023-05-01 Fixed 0.75000000 N N N N N N UMBS P#FM2903 3.5% 06/01/47 N/A FANNIE MAE POOL UMBS P#FM2903 3.50000000 3140X6GM7 100938.96000000 NS USD 107631.23000000 0.008212595852 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 3.50000000 N N N N N N WELLS FARGO & C 4.75% 12/07/46 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD MTN 4.75000000 94974BGU8 160000.00000000 NS USD 203945.60000000 0.015561680274 Long DBT CORP US N 2 2046-12-07 Fixed 4.75000000 N N N N N N UMBS P#SD8104 1.5% 11/01/50 N/A FREDDIE MAC POOL UMBS P#SD8104 1.50000000 3132DWAD5 1703724.52000000 NS USD 1676359.21000000 0.127911394266 Long ABS-MBS USGA US N 2 2050-11-01 Fixed 1.50000000 N N N N N N MICROSOFT CORP 2.525% 06/01/50 INR2EJN1ERAN0W5ZP974 MICROSOFT CORP REGD 2.52500000 594918CC6 7000.00000000 NS USD 6982.83000000 0.000532811533 Long DBT CORP US N 2 2050-06-01 Fixed 2.52500000 N N N N N N UMBS P#FM1727 5% 09/01/49 N/A FANNIE MAE POOL UMBS P#FM1727 5.00000000 3140X44M5 137496.03000000 NS USD 153246.18000000 0.011693157667 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 5.00000000 N N N N N N FGLMC P#U95137 4% 08/01/43 N/A FREDDIE MAC GOLD POOL P#U95137 4.00000000 3132H5EK0 32289.77000000 NS USD 35572.44000000 0.002714287230 Long ABS-MBS USGA US N 2 2043-08-01 Fixed 4.00000000 N N N N N N CSX CORP 2.6% 11/01/26 549300JVQR4N1MMP3Q88 CSX CORP REGD 2.60000000 126408HE6 82000.00000000 NS USD 87455.63000000 0.006673135150 Long DBT CORP US N 2 2026-11-01 Fixed 2.60000000 N N N N N N FGLMC P#G08801 4% 02/01/48 N/A FREDDIE MAC GOLD POOL P#G08801 4.00000000 3128MJ3K4 27455.01000000 NS USD 29501.11000000 0.002251025967 Long ABS-MBS USGA US N 2 2048-02-01 Fixed 4.00000000 N N N N N N GNMA II P#MA7471 2% 07/20/51 N/A GINNIE MAE II POOL P#MA7471 2.00000000 36179WJQ2 1684856.40000000 NS USD 1721603.56000000 0.131363678154 Long ABS-MBS USGSE US N 2 2051-07-20 Fixed 2.00000000 N N N N N N DIAMONDBACK EN 3.125% 03/24/31 549300R22LSX6OHWEN64 DIAMONDBACK ENERGY INC REGD 3.12500000 25278XAR0 381000.00000000 NS USD 397127.25000000 0.030302037860 Long DBT CORP US N 2 2031-03-24 Fixed 3.12500000 N N N N N N CC HOLDINGS GS 3.849% 04/15/23 N/A CC HOLDINGS GS V LLC/CRO REGD SER WI 3.84900000 14987BAE3 271000.00000000 NS USD 285454.70000000 0.021781076787 Long DBT CORP US N 2 2023-04-15 Fixed 3.84900000 N N N N N N AIR PRODUCTS & C 2.8% 05/15/50 7QEON6Y1RL5XR3R1W237 AIR PRODUCTS & CHEMICALS REGD 2.80000000 009158BA3 80000.00000000 NS USD 81827.69000000 0.006243705916 Long DBT CORP US N 2 2050-05-15 Fixed 2.80000000 N N N N N N MGM GROWTH/MGM F 4.5% 01/15/28 N/A MGM GROWTH/MGM FINANCE REGD SER WI 4.50000000 55303XAF2 160000.00000000 NS USD 175845.60000000 0.013417563334 Long DBT CORP US N 2 2028-01-15 Fixed 4.50000000 N N N N N N FREEPORT-MCMORA 5.45% 03/15/43 549300IRDTHJQ1PVET45 FREEPORT-MCMORAN INC REGD SER WI 5.45000000 35671DBC8 70000.00000000 NS USD 89689.95000000 0.006843620679 Long DBT CORP US N 2 2043-03-15 Fixed 5.45000000 N N N N N N UMBS P#AS0190 2.5% 08/01/28 N/A FANNIE MAE POOL UMBS P#AS0190 2.50000000 3138W9F88 171574.89000000 NS USD 180878.74000000 0.013801607488 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 2.50000000 N N N N N N UMBS P#254793 5% 07/01/33 N/A FANNIE MAE POOL UMBS P#254793 5.00000000 31371K7E5 11840.71000000 NS USD 13491.16000000 0.001029417248 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.00000000 N N N N N N FGLMC P#G60278 4% 10/01/45 N/A FREDDIE MAC GOLD POOL P#G60278 4.00000000 31335AJX7 458728.98000000 NS USD 511989.70000000 0.039066398171 Long ABS-MBS USGA US N 2 2045-10-01 Fixed 4.00000000 N N N N N N GENERAL MOTORS 2.75% 06/20/25 N/A GENERAL MOTORS FINL CO REGD 2.75000000 37045XCX2 646000.00000000 NS USD 678828.17000000 0.051796689619 Long DBT CORP US N 2 2025-06-20 Fixed 2.75000000 N N N N N N SOFI 2018-B A2 3.34% 11/25/26 N/A SOFI PROFESSIONAL LOAN PROGRAM 2018-B TRUST SER 2018-B CL A2FX REGD 144A P/P 3.34000000 83404RAB4 219622.43000000 NS USD 225445.52000000 0.017202190689 Long ABS-CBDO CORP US Y 2 2047-08-25 Fixed 3.34000000 N N N N N N US TREAS BDS 1.875% 02/15/41 N/A UNITED STATES TREASURY BOND 1.87500000 912810SW9 7670000.00000000 NS USD 7727525.00000000 0.589634065945 Long DBT UST US N 2 2041-02-15 Fixed 1.87500000 N N N N N N NXP BV/NXP FDG/ 3.15% 05/01/27 N/A NXP BV/NXP FDG/NXP USA REGD 144A P/P 3.15000000 62954HAC2 107000.00000000 NS USD 115059.85000000 0.008779422542 Long DBT CORP NL Y 2 2027-05-01 Fixed 3.15000000 N N N N N N WELLS FARGO & C 4.48% 01/16/24 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD SER WI 4.48000000 949746RE3 169000.00000000 NS USD 184165.20000000 0.014052374554 Long DBT CORP US N 2 2024-01-16 Fixed 4.48000000 N N N N N N ANHEUSER-BUSCH 4.439% 10/06/48 N/A ANHEUSER-BUSCH INBEV WOR REGD SER WI 4.43900000 03523TBT4 43000.00000000 NS USD 51970.07000000 0.003965477132 Long DBT CORP US N 2 2048-10-06 Fixed 4.43900000 N N N N N N ENTERGY LOUISIAN 2.9% 03/15/51 N/A ENTERGY LOUISIANA LLC REGD 2.90000000 29364WBD9 60000.00000000 NS USD 60473.59000000 0.004614322018 Long DBT CORP US N 2 2051-03-15 Fixed 2.90000000 N N N N N N UMBS P#ZT1970 3.5% 04/01/33 N/A FREDDIE MAC POOL UMBS P#ZT1970 3.50000000 3132AEFK7 57543.20000000 NS USD 62154.40000000 0.004742573021 Long ABS-MBS USGA US N 2 2033-04-01 Fixed 3.50000000 N N N N N N HSBC HOLDINGS PLC V/R 09/22/28 MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC REGD V/R 2.01300000 404280CL1 1285000.00000000 NS USD 1297941.20000000 0.099036929303 Long DBT CORP GB N 2 2028-09-22 Variable 2.01300000 N N N N N N N/A N/A IDR/USD FWD 20211019 STAR USD N/A 1.00000000 NC N/A 90557.64000000 0.006909828111 N/A DFE N/A N 2 CITIBANK N.A. N/A -2991395.07000000 USD 44149999820.00000000 IDR 2021-10-19 90557.64000000 N N N JOHNSON & JOHNS 2.45% 03/01/26 549300G0CFPGEF6X2043 JOHNSON & JOHNSON REGD 2.45000000 478160BY9 400000.00000000 NS USD 426862.26000000 0.032570911121 Long DBT CORP US N 2 2026-03-01 Fixed 2.45000000 N N N N N N CCO HLDGS LLC/CA 4.5% 06/01/33 N/A CCO HLDGS LLC/CAP CORP REGD 144A P/P 4.50000000 1248EPCL5 700000.00000000 NS USD 725315.50000000 0.055343816727 Long DBT CORP US Y 2 2033-06-01 Fixed 4.50000000 N N N N N N UMBS P#FM7626 2.5% 12/01/33 N/A FANNIE MAE POOL UMBS P#FM7626 2.50000000 3140XBPL8 461836.62000000 NS USD 483333.93000000 0.036879874261 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 2.50000000 N N N N N N JPMORGAN CHASE & 5.6% 07/15/41 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD 5.60000000 46625HJB7 146000.00000000 NS USD 205813.59000000 0.015704213690 Long DBT CORP US N 2 2041-07-15 Fixed 5.60000000 N N N N N N UNITEDHEALTH GR 1.25% 01/15/26 549300GHBMY8T5GXDE41 UNITEDHEALTH GROUP INC REGD 1.25000000 91324PDW9 60000.00000000 NS USD 60802.87000000 0.004639447101 Long DBT CORP US N 2 2026-01-15 Fixed 1.25000000 N N N N N N UMBS P#SD0653 2.5% 07/01/51 N/A FREDDIE MAC POOL UMBS P#SD0653 2.50000000 3132DMWN1 99343.93000000 NS USD 104275.65000000 0.007956554716 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 2.50000000 N N N N N N UMBS P#AB8862 2.5% 04/01/28 N/A FANNIE MAE POOL UMBS P#AB8862 2.50000000 31417FZ43 11367.82000000 NS USD 11967.25000000 0.000913138200 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 2.50000000 N N N N N N CSX CORP 3.25% 06/01/27 549300JVQR4N1MMP3Q88 CSX CORP REGD 3.25000000 126408HH9 114000.00000000 NS USD 124782.44000000 0.009521286240 Long DBT CORP US N 2 2027-06-01 Fixed 3.25000000 N N N N N N APACHE CORP 4.25% 01/15/44 72ZZ1XRHOOU9P9X16K08 APACHE CORP REGD 4.25000000 037411BC8 60000.00000000 NS USD 61011.30000000 0.004655350954 Long DBT CORP US N 2 2044-01-15 Fixed 4.25000000 N N N N N N US T BILL ZCP 10/05/21 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796M22 25665000.00000000 PA USD 25664351.01000000 1.958269385847 Long STIV UST US N 2 2021-10-05 Fixed 0.00000000 N N N N N N CSMC 2014-USA 4.373% 09/15/25 N/A CSMC 2014-USA OA LLC SER 2014-USA CL F REGD 144A P/P 4.37330000 12649AAS8 1260000.00000000 NS USD 992376.50000000 0.075721397296 Long ABS-CBDO CORP US Y 2 2037-09-15 Fixed 4.37330000 N N N N N N ALTRIA GROUP IN 5.95% 02/14/49 XSGZFLO9YTNO9VCQV219 ALTRIA GROUP INC REGD 5.95000000 02209SBF9 260000.00000000 NS USD 338547.79000000 0.025832243821 Long DBT CORP US N 2 2049-02-14 Fixed 5.95000000 N N N N N N SCRT 2019-1 M V/R 07/25/58 N/A SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-1 SER 2019-1 CL M V/R REGD 144A P/P 4.75000000 35563PJQ3 790000.00000000 NS USD 837075.94000000 0.063871484078 Long ABS-CBDO CORP US Y 2 2058-07-25 Variable 4.75000000 N N N N N N UMBS P#AP2530 4% 08/01/42 N/A FANNIE MAE POOL UMBS P#AP2530 4.00000000 3138M5Y45 21830.50000000 NS USD 24151.53000000 0.001842836462 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.00000000 N N N N N N CROWN CASTLE INT 3.8% 02/15/28 54930012H97VSM0I2R19 CROWN CASTLE INTL CORP REGD 3.80000000 22822VAK7 120000.00000000 NS USD 133623.32000000 0.010195872737 Long DBT CORP US N 2 2028-02-15 Fixed 3.80000000 N N N N N N UNITED AIR 2019- 2.7% 05/01/32 N/A UNITED AIR 2019-2 AA PTT REGD SER AA 2.70000000 90932JAA0 81693.95000000 NS USD 82499.94000000 0.006295000671 Long DBT CORP US N 2 2032-05-01 Fixed 2.70000000 N N N N N N COMCAST CORP 2.65% 02/01/30 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 2.65000000 20030NDA6 342000.00000000 NS USD 360370.78000000 0.027497405477 Long DBT CORP US N 2 2030-02-01 Fixed 2.65000000 N N N N N N FGLMC P#C91987 3% 04/01/38 N/A FREDDIE MAC GOLD POOL P#C91987 3.00000000 3128P8F48 32470.75000000 NS USD 34023.69000000 0.002596112814 Long ABS-MBS USGA US N 2 2038-04-01 Fixed 3.00000000 N N N N N N SYNCHRONY FINANC 4.5% 07/23/25 549300RS7EWPM9MA6C78 SYNCHRONY FINANCIAL REGD 4.50000000 87165BAG8 6000.00000000 NS USD 6679.90000000 0.000509697037 Long DBT CORP US N 2 2025-07-23 Fixed 4.50000000 N N N N N N VERIZON COMMUN 4.125% 03/16/27 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 4.12500000 92343VDY7 223000.00000000 NS USD 254981.85000000 0.019455904051 Long DBT CORP US N 2 2027-03-16 Fixed 4.12500000 N N N N N N FNMA P#843823 V/R 11/1/35 N/A FNMA P#843823 V/R 11/1/35 2.01300000 31407XPG0 15776.19000000 NS USD 16520.30000000 0.001260550002 Long ABS-MBS USGSE US N 2 2035-11-01 Variable 2.01300000 N N N N N N HEALTHCARE TRUST 3.1% 02/15/30 N/A HEALTHCARE TRUST OF AMER REGD 3.10000000 42225UAG9 350000.00000000 NS USD 374518.05000000 0.028576885948 Long DBT CORP US N 2 2030-02-15 Fixed 3.10000000 N N N N N N UMBS P#AU1633 3.5% 07/01/43 N/A FANNIE MAE POOL UMBS P#AU1633 3.50000000 3138X0Y77 421138.25000000 NS USD 463351.40000000 0.035355145398 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N VIRGINIA ELEC & PO 6% 05/15/37 N/A VIRGINIA ELEC & POWER CO REGD SER A 6.00000000 927804FB5 68000.00000000 NS USD 96226.59000000 0.007342386535 Long DBT CORP US N 2 2037-05-15 Fixed 6.00000000 N N N N N N AT&T INC 3.65% 06/01/51 549300Z40J86GGSTL398 AT&T INC REGD 3.65000000 00206RKA9 167000.00000000 NS USD 176278.59000000 0.013450601811 Long DBT CORP US N 2 2051-06-01 Fixed 3.65000000 N N N N N N HCA INC 4.5% 02/15/27 N/A HCA INC REGD 4.50000000 404119BU2 76000.00000000 NS USD 86197.15000000 0.006577109233 Long DBT CORP US N 2 2027-02-15 Fixed 4.50000000 N N N N N N UMBS P#MA1547 4% 08/01/43 N/A FANNIE MAE POOL UMBS P#MA1547 4.00000000 31418AWH7 33616.62000000 NS USD 37014.72000000 0.002824337657 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.00000000 N N N N N N UMBS P#BK7700 4.5% 10/01/48 N/A FANNIE MAE POOL UMBS P#BK7700 4.50000000 3140HMRW6 299295.60000000 NS USD 328918.73000000 0.025097516751 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N UMBS P#BM1145 3% 03/01/43 N/A FANNIE MAE POOL UMBS P#BM1145 3.00000000 3140J5HX0 466541.56000000 NS USD 500013.00000000 0.038152538906 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.00000000 N N N N N N UMBS P#SD0508 3.5% 01/01/48 N/A FREDDIE MAC POOL UMBS P#SD0508 3.50000000 3132DMR56 789122.63000000 NS USD 863262.55000000 0.065869603441 Long ABS-MBS USGA US N 2 2048-01-01 Fixed 3.50000000 N N N N N N SMB 2021-A B 2.31% 01/15/53 N/A SMB PRIVATE EDUCATION LOAN TRUST 2021-A SER 2021-A CL B REGD 144A P/P 2.31000000 78448YAD3 240000.00000000 NS USD 244770.86000000 0.018676773922 Long ABS-CBDO CORP US Y 2 2053-01-15 Fixed 2.31000000 N N N N N N BP CAP MARKETS 3.41% 02/11/26 N/A BP CAP MARKETS AMERICA REGD 3.41000000 10373QBE9 300000.00000000 NS USD 328139.99000000 0.025038096480 Long DBT CORP US N 2 2026-02-11 Fixed 3.41000000 N N N N N N TEXAS EASTERN TR 3.5% 01/15/28 N/A TEXAS EASTERN TRANSMISSI REGD 144A P/P 3.50000000 882384AD2 184000.00000000 NS USD 201626.58000000 0.015384731873 Long DBT CORP US Y 2 2028-01-15 Fixed 3.50000000 N N N N N N EXXON MOBIL CO 3.043% 03/01/26 J3WHBG0MTS7O8ZVMDC91 EXXON MOBIL CORPORATION REGD 3.04300000 30231GAT9 380000.00000000 NS USD 412280.40000000 0.031458270087 Long DBT CORP US N 2 2026-03-01 Fixed 3.04300000 N N N N N N CHARTER COMM OP 5.75% 04/01/48 N/A CHARTER COMM OPT LLC/CAP REGD 5.75000000 161175BN3 836000.00000000 NS USD 1076507.39000000 0.082140844498 Long DBT CORP US N 2 2048-04-01 Fixed 5.75000000 N N N N N N BAYER US FINANCE 4.4% 07/15/44 N/A BAYER US FINANCE II LLC REGD 144A P/P 4.40000000 07274NBF9 140000.00000000 NS USD 163982.05000000 0.012512337764 Long DBT CORP US Y 2 2044-07-15 Fixed 4.40000000 N N N N N N NAVSL 2017-4A A2 V/R 08/25/22 N/A NAVIENT STUDENT LOAN TRUST 2017-4 SER 2017-4A CL A2 V/R 144A P/P 0.58438000 63940AAB4 270558.69000000 NS USD 271241.47000000 0.020696563363 Long ABS-CBDO CORP US Y 2 2066-09-27 Variable 0.58438000 N N N N N N RAYTHEON TECH CO 4.5% 06/01/42 I07WOS4YJ0N7YRFE7309 RAYTHEON TECH CORP REGD 4.50000000 913017BT5 160000.00000000 NS USD 200392.15000000 0.015290541044 Long DBT CORP US N 2 2042-06-01 Fixed 4.50000000 N N N N N N UMBS P#SD0507 4% 09/01/45 N/A FREDDIE MAC POOL UMBS P#SD0507 4.00000000 3132DMR49 164405.62000000 NS USD 184764.40000000 0.014098095368 Long ABS-MBS USGA US N 2 2045-09-01 Fixed 4.00000000 N N N N N N REPUBLIC OF PE 5.625% 11/18/50 N/A REPUBLIC OF PERU REGD 5.62500000 715638BM3 160000.00000000 NS USD 222896.00000000 0.017007654425 Long DBT USGA PE N 2 2050-11-18 Fixed 5.62500000 N N N N N N GNMA II P#MA5526 3% 10/20/48 N/A GINNIE MAE II POOL P#MA5526 3.00000000 36179UD74 38168.13000000 NS USD 39990.50000000 0.003051398877 Long ABS-MBS USGSE US N 2 2048-10-20 Fixed 3.00000000 N N N N N N PEPSICO INC 2.875% 10/15/49 FJSUNZKFNQ5YPJ5OT455 PEPSICO INC REGD 2.87500000 713448EP9 60000.00000000 NS USD 62980.31000000 0.004805592509 Long DBT CORP US N 2 2049-10-15 Fixed 2.87500000 N N N N N N TENCENT HOLDIN 2.985% 01/19/23 254900N4SLUMW4XUYY11 TENCENT HOLDINGS LTD REGD 144A P/P MTN 2.98500000 88032WAE6 407000.00000000 NS USD 419287.45000000 0.031992929682 Long DBT CORP CN Y 2 2023-01-19 Fixed 2.98500000 N N N N N N WESTERN MIDSTREA 5.3% 02/01/30 N/A WESTERN MIDSTREAM OPERAT REGD 5.30000000 958667AC1 430000.00000000 NS USD 479796.15000000 0.036609930702 Long DBT CORP US N 2 2030-02-01 Variable 5.30000000 N N N N N N BAT CAPITAL COR 4.54% 08/15/47 N/A BAT CAPITAL CORP REGD SER WI 4.54000000 05526DBF1 1320000.00000000 NS USD 1414467.13000000 0.107928218285 Long DBT CORP US N 2 2047-08-15 Fixed 4.54000000 N N N N N N CVS HEALTH CORP 3.7% 03/09/23 549300EJG376EN5NQE29 CVS HEALTH CORP REGD 3.70000000 126650CV0 28000.00000000 NS USD 29314.08000000 0.002236754999 Long DBT CORP US N 2 2023-03-09 Fixed 3.70000000 N N N N N N MEX BONOS DES 8% 11/07/47/MXN/ N/A MEX BONOS DESARR FIX RT /MXN/ REGD SER M 8.00000000 P4R07XQS8 84090000.00000000 NS 4367036.60000000 0.333218403898 Long DBT USGA MX N 2 2047-11-07 Fixed 8.00000000 N N N N N N WFCM 2016-C33 3.162% 01/15/26 N/A WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33 SER 2016-C33 CL A3 REGD 3.16200000 95000LAY9 459928.33000000 NS USD 489566.57000000 0.037355443977 Long ABS-CBDO CORP US N 2 2059-03-15 Fixed 3.16200000 N N N N N N COMCAST CORP 3.9% 03/01/38 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 3.90000000 20030NCJ8 50000.00000000 NS USD 58359.95000000 0.004453044746 Long DBT CORP US N 2 2038-03-01 Fixed 3.90000000 N N N N N N PRIME 06-DR1 2A1 5.5% 5/25/35 N/A PRIME 06-DR1 2A1 5.5% 5/25/35 5.50000000 74159UAC1 658510.75000000 NS USD 608627.90000000 0.046440191823 Long ABS-CBDO CORP US Y 2 2036-05-25 Fixed 5.50000000 N N N N N N LSEGA FINANCING PL 2% 04/06/28 N/A LSEGA FINANCING PLC REGD 144A P/P MTN 2.00000000 50220PAC7 535000.00000000 NS USD 544887.34000000 0.041576589886 Long DBT CORP GB Y 2 2028-04-06 Fixed 2.00000000 N N N N N N HCA INC 4.125% 06/15/29 N/A HCA INC REGD 4.12500000 404119BX6 1429000.00000000 NS USD 1618376.97000000 0.123487169961 Long DBT CORP US N 2 2029-06-15 Fixed 4.12500000 N N N N N N CONSUMERS ENERG 2.65% 08/15/52 N/A CONSUMERS ENERGY CO REGD 2.65000000 210518DN3 91000.00000000 NS USD 89264.84000000 0.006811183471 Long DBT CORP US N 2 2052-08-15 Fixed 2.65000000 N N N N N N N/A N/A EUR/USD FWD 20211019 STAR USD N/A 1.00000000 NC N/A 5905.01000000 0.000450570532 N/A DFE N/A N 2 CITIBANK N.A. N/A -1130310.65000000 EUR 1341781.70000000 USD 2021-10-19 5905.01000000 N N N DIAMONDBACK ENER 3.5% 12/01/29 549300R22LSX6OHWEN64 DIAMONDBACK ENERGY INC REGD 3.50000000 25278XAN9 484000.00000000 NS USD 521403.16000000 0.039784674294 Long DBT CORP US N 2 2029-12-01 Fixed 3.50000000 N N N N N N REPUBLIC OF SOU 4.85% 09/30/29 N/A REPUBLIC OF SOUTH AFRICA REGD 4.85000000 836205BA1 300000.00000000 NS USD 317977.80000000 0.024262689942 Long DBT USGA ZA N 2 2029-09-30 Fixed 4.85000000 N N N N N N TRANSCONT GAS PIPE 4% 03/15/28 N/A TRANSCONT GAS PIPE LINE REGD SER WI 4.00000000 893574AK9 650000.00000000 NS USD 736161.79000000 0.056171422212 Long DBT CORP US N 2 2028-03-15 Fixed 4.00000000 N N N N N N FNA 2020-M36 X1 V/R 09/25/34 N/A FANNIE MAE-ACES SER 2020-M36 CL X1 V/R 1.56000000 3136BBBW1 596360.22000000 NS USD 62262.15000000 0.004750794679 Long ABS-CBDO CORP US N 2 2034-09-25 Variable 1.56000000 N N N N N N EDISON INTERNAT 5.75% 06/15/27 549300I7ROF15MAEVP56 EDISON INTERNATIONAL REGD 5.75000000 281020AN7 72000.00000000 NS USD 82368.04000000 0.006284936293 Long DBT CORP US N 2 2027-06-15 Fixed 5.75000000 N N N N N N UMBS P#952027 5% 12/01/22 N/A FANNIE MAE POOL UMBS P#952027 5.00000000 31413QD88 51.95000000 NS USD 54.11000000 0.000004128760 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 5.00000000 N N N N N N SHERWIN-WILLIAMS 4.2% 01/15/22 Z15BMIOX8DDH0X2OBP21 SHERWIN-WILLIAMS CO REGD 4.20000000 824348BB1 210000.00000000 NS USD 210998.29000000 0.016099822341 Long DBT CORP US N 2 2022-01-15 Fixed 4.20000000 N N N N N N UMBS P#QB9961 2% 03/01/51 N/A FREDDIE MAC POOL UMBS P#QB9961 2.00000000 3133AHB63 97534.90000000 NS USD 99253.36000000 0.007573338451 Long ABS-MBS USGA US N 2 2051-03-01 Fixed 2.00000000 N N N N N N UMBS P#AE2913 3.5% 12/01/25 N/A FANNIE MAE POOL UMBS P#AE2913 3.50000000 31419DGX3 16165.36000000 NS USD 17245.71000000 0.001315901030 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 3.50000000 N N N N N N BANK OF MONTREA 1.85% 05/01/25 NQQ6HPCNCCU6TUTQYE16 BANK OF MONTREAL REGD MTN 1.85000000 06367WB85 300000.00000000 NS USD 310251.97000000 0.023673185209 Long DBT CORP CA N 2 2025-05-01 Fixed 1.85000000 N N N N N N AMERICAN INTL GR 4.8% 07/10/45 ODVCVCQG2BP6VHV36M30 AMERICAN INTL GROUP REGD 4.80000000 026874DF1 281000.00000000 NS USD 362972.02000000 0.027695888137 Long DBT CORP US N 2 2045-07-10 Fixed 4.80000000 N N N N N N GNMA II P#MA1601 4% 01/20/44 N/A GINNIE MAE II POOL P#MA1601 4.00000000 36179NX60 955459.87000000 NS USD 1045625.45000000 0.079784456930 Long ABS-MBS USGSE US N 2 2044-01-20 Fixed 4.00000000 N N N N N N WESTERN MIDSTREA 4.5% 03/01/28 N/A WESTERN MIDSTREAM OPERAT REGD 4.50000000 958254AH7 40000.00000000 NS USD 43154.00000000 0.003292783715 Long DBT CORP US N 2 2028-03-01 Fixed 4.50000000 N N N N N N MCDONALD'S CORP 1.45% 09/01/25 UE2136O97NLB5BYP9H04 MCDONALD'S CORP REGD MTN 1.45000000 58013MFL3 30000.00000000 NS USD 30566.78000000 0.002332339885 Long DBT CORP US N 2 2025-09-01 Fixed 1.45000000 N N N N N N GNMA P#741682 4% 07/15/41 N/A GINNIE MAE I POOL P#741682 4.00000000 3620AV6T4 14839.04000000 NS USD 16274.53000000 0.001241796991 Long ABS-MBS USGSE US N 2 2041-07-15 Fixed 4.00000000 N N N N N N DUKE ENERGY CAR 3.95% 11/15/28 N/A DUKE ENERGY CAROLINAS REGD 3.95000000 26442CAX2 22000.00000000 NS USD 25249.09000000 0.001926583685 Long DBT CORP US N 2 2028-11-15 Fixed 3.95000000 N N N N N N TEXAS EASTERN T 4.15% 01/15/48 N/A TEXAS EASTERN TRANSMISSI REGD 144A P/P 4.15000000 882384AE0 221000.00000000 NS USD 253254.41000000 0.019324095035 Long DBT CORP US Y 2 2048-01-15 Fixed 4.15000000 N N N N N N REPUBLIC OF PE 2.783% 01/23/31 N/A REPUBLIC OF PERU REGD 2.78300000 715638DF6 360000.00000000 NS USD 368359.20000000 0.028106946638 Long DBT USGA PE N 2 2031-01-23 Fixed 2.78300000 N N N N N N FGLMC P#G08784 3.5% 10/01/47 N/A FREDDIE MAC GOLD POOL P#G08784 3.50000000 3128MJ2S8 608795.73000000 NS USD 647547.88000000 0.049409906713 Long ABS-MBS USGA US N 2 2047-10-01 Fixed 3.50000000 N N N N N N COX COMMUNICATI 3.35% 09/15/26 N/A COX COMMUNICATIONS INC REGD 144A P/P 3.35000000 224044CG0 3000.00000000 NS USD 3268.24000000 0.000249376823 Long DBT CORP US Y 2 2026-09-15 Fixed 3.35000000 N N N N N N PUBLIC SERVICE E 3.2% 05/15/29 N/A PUBLIC SERVICE ELECTRIC REGD MTN 3.20000000 74456QBY1 199000.00000000 NS USD 220033.10000000 0.016789206297 Long DBT CORP US N 2 2029-05-15 Fixed 3.20000000 N N N N N N TEACHERS INSUR 6.85% 12/16/39 N/A TEACHERS INSUR & ANNUITY REGD P/P 6.85000000 878091BC0 24000.00000000 NS USD 36903.85000000 0.002815877933 Long DBT CORP US Y 2 2039-12-16 Fixed 6.85000000 N N N N N N ENTERPRISE PRODU 2.8% 01/31/30 N/A ENTERPRISE PRODUCTS OPER REGD 2.80000000 29379VBX0 340000.00000000 NS USD 361200.63000000 0.027560725599 Long DBT CORP US N 2 2030-01-31 Fixed 2.80000000 N N N N N N UMBS P#FM6555 2% 04/01/51 N/A FANNIE MAE POOL UMBS P#FM6555 2.00000000 3140XAH96 292528.06000000 NS USD 297192.83000000 0.022676732423 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N SOUTHERN CAL EDI 4.2% 03/01/29 N/A SOUTHERN CAL EDISON REGD SER A 4.20000000 842400GQ0 97000.00000000 NS USD 110159.32000000 0.008405496941 Long DBT CORP US N 2 2029-03-01 Fixed 4.20000000 N N N N N N ING GROEP NV V/R 04/01/27 549300NYKK9MWM7GGW15 ING GROEP NV REGD V/R SER VAR 1.72600000 456837AV5 200000.00000000 NS USD 203102.91000000 0.015497380419 Long DBT CORP NL N 2 2027-04-01 Variable 1.72600000 N N N N N N COSTCO WHOLESA 1.375% 06/20/27 29DX7H14B9S6O3FD6V18 COSTCO WHOLESALE CORP REGD 1.37500000 22160KAN5 260000.00000000 NS USD 263081.51000000 0.020073933169 Long DBT CORP US N 2 2027-06-20 Fixed 1.37500000 N N N N N N CCMFC 2004-2A A1 V/R 05/25/35 N/A CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SER 2004-2A CL A1 V/R REGD 0.35438000 16678RBC0 331820.13000000 NS USD 332945.80000000 0.025404794652 Long ABS-CBDO CORP US Y 2 2035-05-25 Variable 0.35438000 N N N N N N ABBVIE INC 2.6% 11/21/24 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD SER WI 2.60000000 00287YBZ1 730000.00000000 NS USD 769436.47000000 0.058710383245 Long DBT CORP US N 2 2024-11-21 Fixed 2.60000000 N N N N N N GNMA II P#4882 4% 12/20/40 N/A GINNIE MAE II POOL P#4882 4.00000000 36202FM78 4547.44000000 NS USD 4984.02000000 0.000380296146 Long ABS-MBS USGSE US N 2 2040-12-20 Fixed 4.00000000 N N N N N N EQT CORP 6.625% 02/01/25 4NT01YGM4X7ZX86ISY52 EQT CORP REGD 6.62500000 26884LAH2 10000.00000000 NS USD 11474.70000000 0.000875555111 Long DBT CORP US N 2 2025-02-01 Fixed 6.62500000 N N N N N N FGLMC P#G08721 3% 09/01/46 N/A FREDDIE MAC GOLD POOL P#G08721 3.00000000 3128MJYT1 1073050.60000000 NS USD 1133603.38000000 0.086497445186 Long ABS-MBS USGA US N 2 2046-09-01 Fixed 3.00000000 N N N N N N US TREAS NTS 0.125% 7/31/23 N/A UNITED STATES TREASURY NOTE 0.12500000 91282CCN9 20445000.00000000 NS USD 20421394.20000000 1.558215559886 Long DBT UST US N 2 2023-07-31 Fixed 0.12500000 N N N N N N DANSKE BANK A/S 5% 01/12/22 MAES062Z21O4RZ2U7M96 DANSKE BANK A/S REGD 144A P/P 5.00000000 23636AAS0 200000.00000000 NS USD 203178.07000000 0.015503115360 Long DBT CORP DK Y 2 2022-01-12 Fixed 5.00000000 N N N N N N AVOLON HOLDINGS 5.25% 05/15/24 N/A AVOLON HOLDINGS FNDG LTD REGD 144A P/P 5.25000000 05401AAD3 75000.00000000 NS USD 82290.84000000 0.006279045694 Long DBT CORP IE Y 2 2024-05-15 Fixed 5.25000000 N N N N N N BP CAPITAL MAR 3.535% 11/04/24 N/A BP CAPITAL MARKETS PLC REGD 3.53500000 05565QCS5 30000.00000000 NS USD 32528.66000000 0.002482037399 Long DBT CORP GB N 2 2024-11-04 Fixed 3.53500000 N N N N N N BANK OF AMERICA 3.5% 04/19/26 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD MTN SER GMTN 3.50000000 06051GFX2 210000.00000000 NS USD 231391.69000000 0.017655901857 Long DBT CORP US N 2 2026-04-19 Fixed 3.50000000 N N N N N N N/A N/A IRS RUS3MP01.25 02/15/28 SBNYUS33 FLOAT N/A 1.00000000 NC USD -86028.89000000 -0.00656427047 N/A DIR US N 2 BA SECURITIES INC N/A N/A N/A Y 2028-02-15 -5724266.66000000 USD 5730000.00000000 USD 5730000.00000000 USD -83711.70000000 N N N ENERGY TRANSFER 5.5% 06/01/27 MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD SER * 5.50000000 29278NAN3 625000.00000000 NS USD 738405.33000000 0.056342611255 Long DBT CORP US N 2 2027-06-01 Fixed 5.50000000 N N N N N N COMMONSPIRIT H 3.347% 10/01/29 4SXHN5XW08IBO0UG2V58 COMMONSPIRIT HEALTH REGD 3.34700000 20268JAB9 205000.00000000 NS USD 222859.65000000 0.017004880807 Long DBT CORP US N 2 2029-10-01 Fixed 3.34700000 N N N N N N UMBS P#725423 5.5% 05/01/34 N/A FANNIE MAE POOL UMBS P#725423 5.50000000 31402C4G4 145136.51000000 NS USD 167880.29000000 0.012809785537 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.50000000 N N N N N N DUKE REALTY LP 1.75% 07/01/30 N/A DUKE REALTY LP REGD 1.75000000 26441YBE6 139000.00000000 NS USD 135250.54000000 0.010320034658 Long DBT CORP US N 2 2030-07-01 Fixed 1.75000000 N N N N N N UMBS P#AO6086 4% 06/01/42 N/A FANNIE MAE POOL UMBS P#AO6086 4.00000000 3138LWXQ9 24976.71000000 NS USD 27543.97000000 0.002101690130 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 4.00000000 N N N N N N REPUBLIC OF INDO 4.1% 04/24/28 N/A REPUBLIC OF INDONESIA REGD 4.10000000 455780CF1 80000.00000000 NS USD 91173.04000000 0.006956785035 Long DBT USGA ID N 2 2028-04-24 Fixed 4.10000000 N N N N N N BANK OF AMERICA CO 5% 01/21/44 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD MTN 5.00000000 06051GFC8 240000.00000000 NS USD 322998.24000000 0.024645765046 Long DBT CORP US N 2 2044-01-21 Fixed 5.00000000 N N N N N N NAVSL 2014-AA A2 V/R 11/15/23 N/A NAVIENT PRIVATE EDUCATION LOAN TRUST 2014-A SER 2014-AA CL A2B V/R REGD 1.34550000 63939CAC1 110927.24000000 NS USD 111432.11000000 0.008502614756 Long ABS-CBDO CORP US Y 2 2029-02-15 Variable 1.34550000 N N N N N N UMBS P#AH5620 4% 02/01/26 N/A FANNIE MAE POOL UMBS P#AH5620 4.00000000 3138A7G69 13809.87000000 NS USD 14698.22000000 0.001121519661 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 4.00000000 N N N N N N AMAZON.COM INC 3.15% 08/22/27 ZXTILKJKG63JELOEG630 AMAZON.COM INC REGD 3.15000000 023135BC9 130000.00000000 NS USD 143959.10000000 0.010984524729 Long DBT CORP US N 2 2027-08-22 Fixed 3.15000000 N N N N N N CAALT 2021-3A A 1% 07/15/24 N/A CREDIT ACCEPTANCE AUTO LOAN TRUST 2021-3 SER 2021-3A CL A REGD 144A P/P 1.00000000 22535GAA0 320000.00000000 NS USD 321601.54000000 0.024539192515 Long ABS-CBDO CORP US Y 2 2030-05-15 Fixed 1.00000000 N N N N N N FGLMC P#G01644 5.5% 02/01/34 N/A FREDDIE MAC GOLD POOL P#G01644 5.50000000 31283HZH1 92402.23000000 NS USD 106905.22000000 0.008157199043 Long ABS-MBS USGA US N 2 2034-02-01 Fixed 5.50000000 N N N N N N CAALT 2019-3A 2.38% 02/15/23 N/A CREDIT ACCEPTANCE AUTO LOAN TRUST 2019-3 SER 2019-3A CL A REGD 144A P/P 2.38000000 22535KAA1 450000.00000000 NS USD 456951.51000000 0.034866813990 Long ABS-CBDO CORP US Y 2 2028-11-15 Fixed 2.38000000 N N N N N N UMBS P#BR4722 2% 03/01/51 N/A FANNIE MAE POOL UMBS P#BR4722 2.00000000 3140L3G88 96683.87000000 NS USD 98328.10000000 0.007502738250 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N CD 2017-CD4 XA V/R 04/10/27 N/A CD 2017-CD4 MORTGAGE TRUST SER 2017-CD4 CL XA V/R REGD 1.43528300 12515DAS3 1998865.90000000 NS USD 100339.27000000 0.007656196743 Long ABS-CBDO CORP US N 2 2050-05-10 Variable 1.43528300 N N N N N N FNR 2013-9 BC 6.5% 07/25/42 N/A FANNIE MAE REMICS SER 2013-9 CL BC 6.50000000 3136ABQF3 268872.10000000 NS USD 321810.76000000 0.024555156648 Long ABS-CBDO CORP US N 2 2042-07-25 Fixed 6.50000000 N N N N N N UMBS P#BT3303 2.5% 08/01/51 N/A FANNIE MAE POOL UMBS P#BT3303 2.50000000 3140LRU55 99921.37000000 NS USD 104684.38000000 0.007987742080 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N FHR 3621 SB V/R 01/15/40 N/A FREDDIE MAC REMICS SER 3621 CL SB V/R 6.13450000 31398W2M5 55401.31000000 NS USD 11075.90000000 0.000845125438 Long ABS-CBDO CORP US N 2 2040-01-15 Variable 6.13450000 N N N N N N UMBS P#AV7116 4.5% 03/01/44 N/A FANNIE MAE POOL UMBS P#AV7116 4.50000000 3138XJ4A2 73360.59000000 NS USD 82255.09000000 0.006276317858 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 4.50000000 N N N N N N SMB 2020-PTB A2 1.6% 09/15/54 N/A SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB SER 2020-PTB CL A2A REGD 144A P/P 1.60000000 78449DAB2 844792.67000000 NS USD 856153.19000000 0.065327137277 Long ABS-CBDO CORP US Y 2 2054-09-15 Fixed 1.60000000 N N N N N N FNMA 30YR TBA 2.5% OCT21 N/A FNMA 30YR TBA 2.5% OCT21 TO BE ANNOUNCED 2.50000000 01F0226A8 32275000.00000000 NS USD 33465885.85000000 2.553550631566 Long ABS-MBS USGA US N 2 2051-10-01 Fixed 2.50000000 N N N N N N T/L ALLIED UNIVER ZCP 05/05/28 N/A T/L ALLIED UNIVERSAL HOLDCO REGD ZCP TERM LOAN 0.00000000 01957TAH0 419292.72000000 NS USD 419793.77000000 0.032031563464 Long LON CORP US N 2 2028-05-05 Variable 4.25000000 N N N N N N BAE SYSTEMS HOL 3.85% 12/15/25 N/A BAE SYSTEMS HOLDINGS INC REGD 144A P/P 3.85000000 05523UAP5 776000.00000000 NS USD 854696.77000000 0.065216007925 Long DBT CORP US Y 2 2025-12-15 Fixed 3.85000000 N N N N N N COOPERATIEVE R 4.375% 08/04/25 DG3RU1DBUFHT4ZF9WN62 COOPERATIEVE RABOBANK UA REGD 4.37500000 21684AAC0 990000.00000000 NS USD 1107352.32000000 0.084494408089 Long DBT CORP NL N 2 2025-08-04 Fixed 4.37500000 N N N N N N MARS INC 2.7% 04/01/25 54930073HKEO6GZBSS03 MARS INC REGD 144A P/P 2.70000000 571676AA3 110000.00000000 NS USD 116806.49000000 0.008912696578 Long DBT CORP US Y 2 2025-04-01 Fixed 2.70000000 N N N N N N CIGNA CORP 3.2% 03/15/40 549300VIWYMSIGT1U456 CIGNA CORP REGD 3.20000000 125523CJ7 210000.00000000 NS USD 221312.36000000 0.016886817793 Long DBT CORP US N 2 2040-03-15 Fixed 3.20000000 N N N N N N F/C JPN 10Y BOND(OSE) SEP21 N/A FUTURE CONTRACT ON JPN 10Y BOND(OSE) SEP21 /JPY/ 0.00000000 N/A -5.00000000 NC -6915420.62000000 -0.52766798915 N/A DIR CORP JP N 1 UBS SECURITIES LLC 254900R882POXXVAK772 Short F/C JPN 10Y BOND(OSE) SEP21 JPN 10Y BOND(OSE) SEP21 /JPY/ 2021-09-13 6889515.07000000 JPY -25905.56000000 N N N VERIZON COMMUN 4.125% 08/15/46 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 4.12500000 92343VDC5 100000.00000000 NS USD 117494.53000000 0.008965196159 Long DBT CORP US N 2 2046-08-15 Fixed 4.12500000 N N N N N N UNIV OF CALIFO 4.767% 05/15/15 N/A UNIV OF CALIFORNIA CA REVENUES REGD N/C B/E 4.76700000 91412GC86 266000.00000000 NS USD 387079.93000000 0.029535396258 Long DBT MUN US N 2 2115-05-15 Fixed 4.76700000 N N N N N N T/L PCI GAMING 0% 5/29/26 N/A T/L PCI GAMING AUTHORITY REGD 0.00000000 70455DAG9 119726.92000000 NS USD 119010.35000000 0.009080857915 Long LON CORP US N 2 2026-05-29 Variable 2.58463000 N N N N N N INTL FLAVOR & FR 2.3% 11/01/30 BZLRL03D3GPGMOGFO832 INTL FLAVOR & FRAGRANCES REGD 144A P/P 2.30000000 459506AQ4 841000.00000000 NS USD 852841.18000000 0.065074420667 Long DBT CORP US Y 2 2030-11-01 Fixed 2.30000000 N N N N N N FGLMC P#G01169 5.5% 01/01/30 N/A FREDDIE MAC GOLD POOL P#G01169 5.50000000 31283HJN6 267.65000000 NS USD 300.23000000 0.000022908477 Long ABS-MBS USGA US N 2 2030-01-01 Fixed 5.50000000 N N N N N N UMBS P#QC0297 2% 04/01/51 N/A FREDDIE MAC POOL UMBS P#QC0297 2.00000000 3133AJKJ1 99034.31000000 NS USD 100805.23000000 0.007691750933 Long ABS-MBS USGA US N 2 2051-04-01 Fixed 2.00000000 N N N N N N US TREAS NTS 0.625% 07/31/26 N/A UNITED STATES TREASURY NOTE 0.62500000 91282CCP4 21340000.00000000 NS USD 21199691.63000000 1.617602061796 Long DBT UST US N 2 2026-07-31 Fixed 0.62500000 N N N N N N UMBS P#RA1665 3% 02/01/47 N/A FREDDIE MAC POOL UMBS P#RA1665 3.00000000 3133KGZ68 199901.97000000 NS USD 212499.20000000 0.016214346418 Long ABS-MBS USGA US N 2 2047-02-01 Fixed 3.00000000 N N N N N N CITIGROUP INC 5.3% 05/06/44 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD 5.30000000 172967HS3 286000.00000000 NS USD 388778.75000000 0.029665021480 Long DBT CORP US N 2 2044-05-06 Fixed 5.30000000 N N N N N N GNMA II P#MA5331 4.5% 07/20/48 N/A GINNIE MAE II POOL P#MA5331 4.50000000 36179T4Q5 389999.72000000 NS USD 416594.97000000 0.031787485127 Long ABS-MBS USGSE US N 2 2048-07-20 Fixed 4.50000000 N N N N N N UMBS P#BQ9453 2% 03/01/51 N/A FANNIE MAE POOL UMBS P#BQ9453 2.00000000 3140KVQF0 95055.63000000 NS USD 97145.77000000 0.007412522813 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N KRAFT HEINZ FO 7.125% 08/01/39 N/A KRAFT HEINZ FOODS CO REGD P/P 7.12500000 42307TAH1 10000.00000000 NS USD 15192.76000000 0.001159254593 Long DBT CORP US Y 2 2039-08-01 Fixed 7.12500000 N N N N N N CSAIL 2021-C2 2.804% 03/15/31 N/A CSAIL 2021-C20 COMMERCIAL MORTGAGE TRUST SER 2021-C20 CL A3 REGD 2.80480000 22945EAU5 180000.00000000 NS USD 192678.91000000 0.014701996968 Long ABS-CBDO CORP US N 2 2054-03-15 Fixed 2.80480000 N N N N N N UNION PACIFIC C 3.75% 07/15/25 549300LMMRSZZCZ8CL11 UNION PACIFIC CORP REGD 3.75000000 907818ES3 50000.00000000 NS USD 55260.31000000 0.004216532624 Long DBT CORP US N 2 2025-07-15 Fixed 3.75000000 N N N N N N HSBC HOLDINGS PLC V/R 09/12/26 MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC REGD V/R 4.29200000 404280BX6 105000.00000000 NS USD 116705.88000000 0.008905019724 Long DBT CORP GB N 2 2026-09-12 Variable 4.29200000 N N N N N N HOME DEPOT INC 2.5% 04/15/27 QEKMOTMBBKA8I816DO57 HOME DEPOT INC REGD 2.50000000 437076CA8 210000.00000000 NS USD 224379.41000000 0.017120843197 Long DBT CORP US N 2 2027-04-15 Fixed 2.50000000 N N N N N N GNMA II P#MA3523 4.5% 03/20/46 N/A GINNIE MAE II POOL P#MA3523 4.50000000 36179R4G1 46073.28000000 NS USD 51077.79000000 0.003897393408 Long ABS-MBS USGSE US N 2 2046-03-20 Fixed 4.50000000 N N N N N N PEPSICO INC 3.875% 03/19/60 FJSUNZKFNQ5YPJ5OT455 PEPSICO INC REGD 3.87500000 713448EV6 40000.00000000 NS USD 49946.91000000 0.003811103765 Long DBT CORP US N 2 2060-03-19 Fixed 3.87500000 N N N N N N UBS GROUP AG V/R 08/15/23 549300SZJ9VS8SGXAN81 UBS GROUP AG REGD V/R 2.85900000 90352JAE3 200000.00000000 NS USD 204669.55000000 0.015616919898 Long DBT CORP CH Y 2 2023-08-15 Variable 2.85900000 N N N N N N UMBS P#MA1281 3% 12/01/27 N/A FANNIE MAE POOL UMBS P#MA1281 3.00000000 31418AM70 67932.83000000 NS USD 72072.67000000 0.005499367709 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 3.00000000 N N N N N N NIKE INC 3.25% 03/27/40 787RXPR0UX0O0XUXPZ81 NIKE INC REGD 3.25000000 654106AL7 100000.00000000 NS USD 111657.05000000 0.008519778374 Long DBT CORP US N 2 2040-03-27 Fixed 3.25000000 N N N N N N UMBS P#BR2664 2% 02/01/51 N/A FANNIE MAE POOL UMBS P#BR2664 2.00000000 3140L06A0 192545.34000000 NS USD 195817.58000000 0.014941487200 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N N/A N/A BRL/USD FWD 20211019 STAR USD N/A 1.00000000 NC N/A 655.26000000 0.000049998365 N/A DFE N/A N 2 CITIBANK N.A. N/A -32897.56000000 USD 174640.00000000 BRL 2021-10-19 655.26000000 N N N US TREAS BDS 2.875% 08/15/45 N/A UNITED STATES TREASURY BOND 2.87500000 912810RN0 245000.00000000 NS USD 291253.32000000 0.022223529434 Long DBT UST US N 2 2045-08-15 Fixed 2.87500000 N N N N N N JPMCC 2016-JP 2.558% 04/15/26 N/A JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 20 SER 2016-JP2 CL A3 REGD 2.55890000 46590MAQ3 993647.87000000 NS USD 1039439.83000000 0.079312474986 Long ABS-CBDO CORP US N 2 2049-08-15 Fixed 2.55890000 N N N N N N UMBS P#BT3244 2.5% 07/01/51 N/A FANNIE MAE POOL UMBS P#BT3244 2.50000000 3140LRTA6 99800.93000000 NS USD 104411.80000000 0.007966943383 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N CROWN CASTLE IN 2.25% 01/15/31 54930012H97VSM0I2R19 CROWN CASTLE INTL CORP REGD 2.25000000 22822VAT8 297000.00000000 NS USD 295052.82000000 0.022513443039 Long DBT CORP US N 2 2031-01-15 Fixed 2.25000000 N N N N N N UNITEDHEALTH GROUP 2% 05/15/30 549300GHBMY8T5GXDE41 UNITEDHEALTH GROUP INC REGD 2.00000000 91324PDX7 50000.00000000 NS USD 50813.00000000 0.003877189112 Long DBT CORP US N 2 2030-05-15 Fixed 2.00000000 N N N N N N REPUBLIC OF COLOMB 3% 01/30/30 N/A REPUBLIC OF COLOMBIA REGD 3.00000000 195325DR3 540000.00000000 NS USD 530585.10000000 0.040485284724 Long DBT USGA CO N 2 2030-01-30 Fixed 3.00000000 N N N N N N VMWARE INC 2.2% 08/15/31 N/A VMWARE INC REGD 2.20000000 928563AL9 43000.00000000 NS USD 42759.52000000 0.003262683671 Long DBT CORP US N 2 2031-08-15 Fixed 2.20000000 N N N N N N GNMA II P#MA7254 2% 03/20/51 N/A GINNIE MAE II POOL P#MA7254 2.00000000 36179WBX5 453301.45000000 NS USD 463263.26000000 0.035348420043 Long ABS-MBS USGSE US N 2 2051-03-20 Fixed 2.00000000 N N N N N N ENDEAVOR ENERGY 5.75% 01/30/28 N/A ENDEAVOR ENERGY RESOURCE REGD 144A P/P 5.75000000 29260FAE0 29000.00000000 NS USD 30558.75000000 0.002331727171 Long DBT CORP US Y 2 2028-01-30 Fixed 5.75000000 N N N N N N LLOYDS BANKING 4.375% 03/22/28 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC REGD 4.37500000 539439AR0 468000.00000000 NS USD 539119.58000000 0.041136491953 Long DBT CORP GB N 2 2028-03-22 Fixed 4.37500000 N N N N N N FFML 2006-FF15 A V/R 11/25/36 N/A FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF15 SER 2006-FF15 CL A2 V/R REGD 0.20438000 32028GAB1 686437.86000000 NS USD 660732.20000000 0.050415911121 Long ABS-CBDO CORP US N 2 2036-11-25 Variable 0.20438000 N N N N N N BANK OF NY MELLO 1.6% 04/24/25 WFLLPEPC7FZXENRZV188 BANK OF NY MELLON CORP REGD MTN 1.60000000 06406RAN7 90000.00000000 NS USD 92562.12000000 0.007062776137 Long DBT CORP US N 2 2025-04-24 Fixed 1.60000000 N N N N N N BARCLAYS BANK PL 1.7% 05/12/22 N/A BARCLAYS BANK PLC REGD 1.70000000 06739GCR8 200000.00000000 NS USD 201847.87000000 0.015401616984 Long DBT CORP GB N 2 2022-05-12 Fixed 1.70000000 N N N N N N VISTRA OPERATION 3.7% 01/30/27 N/A VISTRA OPERATIONS CO LLC REGD 144A P/P 3.70000000 92840VAG7 92000.00000000 NS USD 97700.59000000 0.007454857296 Long DBT CORP US Y 2 2027-01-30 Fixed 3.70000000 N N N N N N SUMITOMO MITSU 3.944% 07/19/28 35380028MYWPB6AUO129 SUMITOMO MITSUI FINL GRP REGD 3.94400000 86562MBC3 114000.00000000 NS USD 130441.65000000 0.009953101472 Long DBT CORP JP N 2 2028-07-19 Fixed 3.94400000 N N N N N N T-MOBILE USA INC 3.5% 04/15/31 N/A T-MOBILE USA INC REGD 3.50000000 87264ABW4 1000000.00000000 NS USD 1064490.00000000 0.081223880460 Long DBT CORP US N 2 2031-04-15 Fixed 3.50000000 N N N N N N KREF 2021-FL2 A V/R 02/15/39 N/A KREF 2021-FL2 LTD SER 2021-FL2 CL A V/R REGD 144A P/P 1.16300000 48275RAA5 890000.00000000 NS USD 893115.00000000 0.068147437738 Long ABS-CBDO CORP KY Y 2 2039-02-15 Variable 1.16300000 N N N N N N GOLDMAN SACHS GRO V/R 10/31/22 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R 2.87600000 38148YAC2 738000.00000000 NS USD 740986.94000000 0.056539596086 Long DBT CORP US N 2 2022-10-31 Variable 2.87600000 N N N N N N NISSAN MOTOR C 3.522% 09/17/25 353800DRBDH1LUTNAY26 NISSAN MOTOR CO REGD 144A P/P 3.52200000 654744AB7 600000.00000000 NS USD 642215.60000000 0.049003037252 Long DBT CORP JP Y 2 2025-09-17 Fixed 3.52200000 N N N N N N PETROLEOS MEXIC 7.69% 01/23/50 N/A PETROLEOS MEXICANOS REGD SER WI 7.69000000 71654QDD1 185000.00000000 NS USD 177971.85000000 0.013579802787 Long DBT CORP MX N 2 2050-01-23 Fixed 7.69000000 N N N N N N NEW YORK NY 5.968% 03/01/36 549300ABYZD2SFD5JB29 NEW YORK NY REGD N/C B/E 5.96800000 64966HYM6 500000.00000000 NS USD 704048.20000000 0.053721055938 Long DBT MUN US N 2 2036-03-01 Fixed 5.96800000 N N N N N N BAYER US FINAN 4.375% 12/15/28 N/A BAYER US FINANCE II LLC REGD 144A P/P 4.37500000 07274NAL7 625000.00000000 NS USD 718462.89000000 0.054820941383 Long DBT CORP US Y 2 2028-12-15 Fixed 4.37500000 N N N N N N SMB 2015-C A3 V/R 08/15/24 N/A SMB PRIVATE EDUCATION LOAN TRUST 2015-C SER 2015-C CL A3 V/R REGD 144A P/P 2.04550000 78448RAD8 545000.00000000 NS USD 555494.30000000 0.042385933752 Long ABS-CBDO CORP US Y 2 2032-08-16 Variable 2.04550000 N N N N N N FGLMC P#G18592 3% 03/01/31 N/A FREDDIE MAC GOLD POOL P#G18592 3.00000000 3128MMUS0 139749.17000000 NS USD 148258.59000000 0.011312589119 Long ABS-MBS USGA US N 2 2031-03-01 Fixed 3.00000000 N N N N N N ANHEUSER-BUSCH 4.75% 04/15/58 N/A ANHEUSER-BUSCH INBEV WOR REGD 4.75000000 035240AP5 2000.00000000 NS USD 2556.14000000 0.000195041390 Long DBT CORP US N 2 2058-04-15 Fixed 4.75000000 N N N N N N UMBS P#ZA6680 4% 04/01/49 N/A FREDDIE MAC POOL UMBS P#ZA6680 4.00000000 31329QM57 276422.02000000 NS USD 301761.36000000 0.023025325397 Long ABS-MBS USGA US N 2 2049-04-01 Fixed 4.00000000 N N N N N N T/L ASURION LLC 0% 11/03/23 N/A T/L ASURION LLC REGD 0.00000000 04649VAV2 51568.48000000 NS USD 51085.03000000 0.003897945842 Long LON CORP US N 2 2023-11-03 Variable 3.20963000 N N N N N N UMBS P#MA4326 2.5% 05/01/51 N/A FANNIE MAE POOL UMBS P#MA4326 2.50000000 31418DYY2 1443318.68000000 NS USD 1501265.90000000 0.114551232986 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N LAM RESEARCH CO 3.75% 03/15/26 549300I4GMO6D34U1T02 LAM RESEARCH CORP REGD 3.75000000 512807AS7 38000.00000000 NS USD 42495.41000000 0.003242531260 Long DBT CORP US N 2 2026-03-15 Fixed 3.75000000 N N N N N N COCA-COLA CO/THE 2% 03/05/31 UWJKFUJFZ02DKWI3RY53 COCA-COLA CO/THE REGD 2.00000000 191216DK3 41000.00000000 NS USD 41729.74000000 0.003184108271 Long DBT CORP US N 2 2031-03-05 Fixed 2.00000000 N N N N N N ALTRIA GROUP INC 6.2% 02/14/59 XSGZFLO9YTNO9VCQV219 ALTRIA GROUP INC REGD 6.20000000 02209SBG7 82000.00000000 NS USD 106698.29000000 0.008141409644 Long DBT CORP US N 2 2059-02-14 Fixed 6.20000000 N N N N N N UMBS P#BQ9224 2% 01/01/51 N/A FANNIE MAE POOL UMBS P#BQ9224 2.00000000 3140KVHA1 96534.25000000 NS USD 98049.26000000 0.007481461895 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N DANSKE BANK A/S V/R 01/12/23 MAES062Z21O4RZ2U7M96 DANSKE BANK A/S REGD V/R 144A P/P 5.00000000 23636AAX9 327000.00000000 NS USD 332089.67000000 0.025339469284 Long DBT CORP DK Y 2 2023-01-12 Variable 5.00000000 N N N N N N WILLIAMS COS IN 8.75% 03/15/32 D71FAKCBLFS2O0RBPG08 WILLIAMS COS INC REGD 8.75000000 969457BM1 116000.00000000 NS USD 179898.01000000 0.013726774755 Long DBT CORP US N 2 2032-03-15 Fixed 8.75000000 N N N N N N US TREAS NTS 0.125% 12/15/23 N/A UNITED STATES TREASURY NOTE 0.12500000 91282CBA8 3015000.00000000 NS USD 3005460.36000000 0.229325924161 Long DBT UST US N 2 2023-12-15 Fixed 0.12500000 N N N N N N UMBS P#CB0470 2.5% 05/01/41 N/A FANNIE MAE POOL UMBS P#CB0470 2.50000000 3140QKQY7 392724.80000000 NS USD 412127.88000000 0.031446632340 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 2.50000000 N N N N N N US T BILL ZCP 12/02/21 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 9127965G0 15145000.00000000 PA USD 15143451.84000000 1.155492228218 Long STIV UST US N 2 2021-12-02 Fixed 0.00000000 N N N N N N UMBS P#FM6134 3% 03/01/40 N/A FANNIE MAE POOL UMBS P#FM6134 3.00000000 3140X9Y82 151308.54000000 NS USD 158757.46000000 0.012113685382 Long ABS-MBS USGSE US N 2 2040-03-01 Fixed 3.00000000 N N N N N N TEXAS EASTERN TR 2.8% 10/15/22 N/A TEXAS EASTERN TRANSMISSI REGD P/P 2.80000000 882384AC4 30000.00000000 NS USD 30566.41000000 0.002332311653 Long DBT CORP US Y 2 2022-10-15 Fixed 2.80000000 N N N N N N GOLDMAN SACHS GRO V/R 04/23/39 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R 4.41100000 38141GXA7 341000.00000000 NS USD 418349.33000000 0.031921348223 Long DBT CORP US N 2 2039-04-23 Fixed 4.41100000 N N N N N N KRAFT HEINZ FOODS 5% 06/04/42 N/A KRAFT HEINZ FOODS CO REGD SER WI 5.00000000 50076QAE6 445000.00000000 NS USD 563515.64000000 0.042997986811 Long DBT CORP US N 2 2042-06-04 Fixed 5.00000000 N N N N N N FGLMC P#Q17792 3.5% 05/01/43 N/A FREDDIE MAC GOLD POOL P#Q17792 3.50000000 3132J9C63 170727.28000000 NS USD 185965.00000000 0.014189704863 Long ABS-MBS USGA US N 2 2043-05-01 Fixed 3.50000000 N N N N N N GNR 2020-H12 F V/R 07/20/70 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-H12 CL F V/R 0.58838000 38380QDH2 87977.74000000 NS USD 88806.47000000 0.006776208422 Long ABS-CBDO CORP US N 2 2070-07-20 Variable 0.58838000 N N N N N N ENTERGY LOUISIA 3.05% 06/01/31 N/A ENTERGY LOUISIANA LLC REGD 3.05000000 29364WAX6 47000.00000000 NS USD 51314.56000000 0.003915459691 Long DBT CORP US N 2 2031-06-01 Fixed 3.05000000 N N N N N N AMER AIRLINE 1 4.375% 06/15/24 N/A AMER AIRLINE 16-2 B PTT REGD 144A P/P 4.37500000 02376GAA4 59500.00000000 NS USD 58579.49000000 0.004469796328 Long DBT CORP US Y 2 2024-06-15 Fixed 4.37500000 N N N N N N UMBS P#BQ6341 3% 11/01/50 N/A FANNIE MAE POOL UMBS P#BQ6341 3.00000000 3140KSBK2 83745.79000000 NS USD 88787.13000000 0.006774732720 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 3.00000000 N N N N N N VERIZON COMMUNIC 2.1% 03/22/28 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 2.10000000 92343VGH1 360000.00000000 NS USD 369415.83000000 0.028187570776 Long DBT CORP US N 2 2028-03-22 Fixed 2.10000000 N N N N N N BX 2019-IMC A V/R 04/15/21 N/A BX COMMERCIAL MORTGAGE TRUST 2019-IMC SER 2019-IMC CL A V/R REGD 144A P/P 1.09600000 05608BAA8 940000.00000000 NS USD 941172.37000000 0.071814363755 Long ABS-CBDO CORP US Y 2 2034-04-15 Variable 1.09600000 N N N N N N HUMANA INC 4.95% 10/01/44 529900YLDW34GJAO4J06 HUMANA INC REGD 4.95000000 444859BE1 40000.00000000 NS USD 52347.47000000 0.003994273920 Long DBT CORP US N 2 2044-10-01 Fixed 4.95000000 N N N N N N UMBS P#BM3904 5% 05/01/48 N/A FANNIE MAE POOL UMBS P#BM3904 5.00000000 3140J8KS1 27672.17000000 NS USD 30568.10000000 0.002332440605 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 5.00000000 N N N N N N ORACLE CORP 3.6% 04/01/40 1Z4GXXU7ZHVWFCD8TV52 ORACLE CORP REGD 3.60000000 68389XBW4 214000.00000000 NS USD 227367.42000000 0.017348837605 Long DBT CORP US N 2 2040-04-01 Fixed 3.60000000 N N N N N N GNR 2020-123 IL 2.5% 08/20/50 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-123 CL IL 2.50000000 38382HS35 96736.20000000 NS USD 12761.24000000 0.000973722094 Long ABS-CBDO CORP US N 2 2050-08-20 Fixed 2.50000000 N N N N N N BOEING CO 3.75% 02/01/50 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 3.75000000 097023CQ6 140000.00000000 NS USD 145131.57000000 0.011073987818 Long DBT CORP US N 2 2050-02-01 Fixed 3.75000000 N N N N N N RAYTHEON TECH C 4.05% 05/04/47 I07WOS4YJ0N7YRFE7309 RAYTHEON TECH CORP REGD 4.05000000 913017CP2 108000.00000000 NS USD 127615.99000000 0.009737494872 Long DBT CORP US N 2 2047-05-04 Fixed 4.05000000 N N N N N N L3HARRIS TECH I 3.85% 12/15/26 549300UTE50ZMDBG8A20 L3HARRIS TECH INC REGD 3.85000000 502431AL3 489000.00000000 NS USD 546863.05000000 0.041727342672 Long DBT CORP US N 2 2026-12-15 Fixed 3.85000000 N N N N N N FGLMC P#G60038 3.5% 01/01/44 N/A FREDDIE MAC GOLD POOL P#G60038 3.50000000 31335ABF4 418513.06000000 NS USD 454454.23000000 0.034676263799 Long ABS-MBS USGA US N 2 2044-01-01 Fixed 3.50000000 N N N N N N GNMA II P#4871 6% 11/20/40 N/A GINNIE MAE II POOL P#4871 6.00000000 36202FMU7 8479.34000000 NS USD 9930.40000000 0.000757720243 Long ABS-MBS USGSE US N 2 2040-11-20 Fixed 6.00000000 N N N N N N UMBS P#AM9319 3.36% 07/01/35 N/A FANNIE MAE POOL UMBS P#AM9319 3.36000000 3138LAK99 317229.22000000 NS USD 357817.80000000 0.027302605204 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 3.36000000 N N N N N N UMBS P#AS8745 3% 02/01/47 N/A FANNIE MAE POOL UMBS P#AS8745 3.00000000 3138WJWF1 313254.07000000 NS USD 335020.08000000 0.025563068633 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.00000000 N N N N N N BROADCOM INC 4.75% 04/15/29 549300WV6GIDOZJTV909 BROADCOM INC REGD 4.75000000 11135FBA8 469000.00000000 NS USD 545280.55000000 0.041606593026 Long DBT CORP US N 2 2029-04-15 Fixed 4.75000000 N N N N N N INDONESIA ASAHA 4.75% 05/15/25 N/A INDONESIA ASAHAN ALUMINI REGD REG S 4.75000000 Y7140WAE8 200000.00000000 NS USD 218272.00000000 0.016654828918 Long DBT CORP ID N 2 2025-05-15 Fixed 4.75000000 N N N N N N AT&T INC 5.25% 03/01/37 549300Z40J86GGSTL398 AT&T INC REGD 5.25000000 00206RDR0 47000.00000000 NS USD 59498.99000000 0.004539957022 Long DBT CORP US N 2 2037-03-01 Fixed 5.25000000 N N N N N N BANK OF AMERICA C V/R 07/21/28 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN SER GMTN 3.59300000 06051GGR4 50000.00000000 NS USD 55335.21000000 0.004222247726 Long DBT CORP US N 2 2028-07-21 Variable 3.59300000 N N N N N N BRISTOL-MYERS SQ 3.2% 06/15/26 HLYYNH7UQUORYSJQCN42 BRISTOL-MYERS SQUIBB CO REGD 3.20000000 110122CN6 240000.00000000 NS USD 263727.06000000 0.020123190631 Long DBT CORP US N 2 2026-06-15 Fixed 3.20000000 N N N N N N LAM RESEARCH C 2.875% 06/15/50 549300I4GMO6D34U1T02 LAM RESEARCH CORP REGD 2.87500000 512807AW8 125000.00000000 NS USD 128772.39000000 0.009825731770 Long DBT CORP US N 2 2050-06-15 Fixed 2.87500000 N N N N N N AMAZON.COM INC 1.2% 06/03/27 ZXTILKJKG63JELOEG630 AMAZON.COM INC REGD 1.20000000 023135BR6 240000.00000000 NS USD 241126.89000000 0.018398727737 Long DBT CORP US N 2 2027-06-03 Fixed 1.20000000 N N N N N N TENCENT HOLDIN 3.975% 04/11/29 254900N4SLUMW4XUYY11 TENCENT HOLDINGS LTD REGD 144A P/P MTN 3.97500000 88032WAN6 165000.00000000 NS USD 183151.03000000 0.013974990246 Long DBT CORP CN Y 2 2029-04-11 Fixed 3.97500000 N N N N N N T/L ARAMARK SERVIC 0% 01/15/27 N/A T/L ARAMARK SERVICES INC REGD 0.00000000 03852JAR2 328343.75000000 NS USD 322256.26000000 0.024589149677 Long LON CORP US N 2 2027-01-15 Variable 1.83463000 N N N N N N MASTERCARD INC 3.85% 03/26/50 AR5L2ODV9HN37376R084 MASTERCARD INC REGD 3.85000000 57636QAQ7 30000.00000000 NS USD 36657.79000000 0.002797102793 Long DBT CORP US N 2 2050-03-26 Fixed 3.85000000 N N N N N N REPUBLIC OF PA 2.252% 09/29/32 N/A REPUBLIC OF PANAMA REGD 2.25200000 698299BN3 240000.00000000 NS USD 234463.20000000 0.017890267573 Long DBT USGA PA N 2 2032-09-29 Fixed 2.25200000 N N N N N N CAS 2018-C01 1M2 V/R 07/25/30 N/A FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2018-C01 CL 1M2 V/R REGD 2.33438000 30711XYX6 762078.94000000 NS USD 772565.60000000 0.058949145546 Long ABS-CBDO CORP US N 2 2030-07-25 Variable 2.33438000 N N N N N N TEACHERS INSUR & 3.3% 05/15/50 N/A TEACHERS INSUR & ANNUITY REGD 144A P/P 3.30000000 878091BG1 595000.00000000 NS USD 640418.69000000 0.048865927459 Long DBT CORP US Y 2 2050-05-15 Fixed 3.30000000 N N N N N N OCCIDENTAL PETRO 4.1% 02/15/47 IM7X0T3ECJW4C1T7ON55 OCCIDENTAL PETROLEUM COR REGD 4.10000000 674599CL7 30000.00000000 NS USD 29373.45000000 0.002241285114 Long DBT CORP US N 2 2047-02-15 Fixed 4.10000000 N N N N N N FNR 2020-56 DI 2.5% 08/25/50 N/A FANNIE MAE REMICS SER 2020-56 CL DI 2.50000000 3136BBMQ2 182021.16000000 NS USD 28131.26000000 0.002146502174 Long ABS-CBDO CORP US N 2 2050-08-25 Fixed 2.50000000 N N N N N N FGLMC P#Q15884 3% 02/01/43 N/A FREDDIE MAC GOLD POOL P#Q15884 3.00000000 3132J66W9 197749.27000000 NS USD 211124.32000000 0.016109438820 Long ABS-MBS USGA US N 2 2043-02-01 Fixed 3.00000000 N N N N N N UMBS P#BQ5876 2.5% 11/01/50 N/A FANNIE MAE POOL UMBS P#BQ5876 2.50000000 3140KRQ69 94992.20000000 NS USD 99774.36000000 0.007613092363 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N MPLX LP 4.875% 06/01/25 N/A MPLX LP REGD SER WI 4.87500000 55336VAJ9 180000.00000000 NS USD 202948.12000000 0.015485569463 Long DBT CORP US N 2 2025-06-01 Fixed 4.87500000 N N N N N N NRZT 2016-4A A1 V/R 11/25/56 N/A NEW RESIDENTIAL MORTGAGE LOAN TRUST 2016-4 SER 2016-4A CL A1 V/R REGD 144A P/P 3.75000000 64829LAA6 203106.44000000 NS USD 218698.80000000 0.016687395079 Long ABS-CBDO CORP US Y 2 2056-11-25 Variable 3.75000000 N N N N N N GENERAL MOTORS 4.375% 09/25/21 N/A GENERAL MOTORS FINL CO REGD 4.37500000 37045XAQ9 1183000.00000000 NS USD 1186045.16000000 0.090498915252 Long DBT CORP US N 2 2021-09-25 Fixed 4.37500000 N N N N N N BURLINGTN NORTH 4.15% 12/15/48 N/A BURLINGTN NORTH SANTA FE REGD 4.15000000 12189LBD2 216000.00000000 NS USD 269098.78000000 0.020533069487 Long DBT CORP US N 2 2048-12-15 Fixed 4.15000000 N N N N N N US TREAS BDS 2.25% 05/15/41 N/A UNITED STATES TREASURY BOND 2.25000000 912810SY5 4913000.00000000 NS USD 5254607.04000000 0.400942774554 Long DBT UST US N 2 2041-05-15 Fixed 2.25000000 N N N N N N UMBS P#AD6388 4% 05/01/25 N/A FANNIE MAE POOL UMBS P#AD6388 4.00000000 31418UC28 10414.92000000 NS USD 11055.15000000 0.000843542148 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.00000000 N N N N N N BANCO SANTANDE 2.706% 06/27/24 5493006QMFDDMYWIAM13 BANCO SANTANDER SA REGD 2.70600000 05971KAD1 400000.00000000 NS USD 422687.59000000 0.032252370884 Long DBT CORP ES N 2 2024-06-27 Fixed 2.70600000 N N N N N N COMCAST CORP 2.887% 11/01/51 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 144A P/P 2.88700000 20030NDR9 29000.00000000 NS USD 28875.16000000 0.002203264045 Long DBT CORP US Y 2 2051-11-01 Fixed 2.88700000 N N N N N N UTILICORP UNI 8.27% 11/15/21 N/A UTILICORP UNITED INC 8.27000000 918005AT6 775000.00000000 NS USD 786873.11000000 0.060040852825 Long DBT CORP US N 2 2021-11-15 Fixed 8.27000000 N N N N N N CIGNA CORP 3.4% 03/15/51 549300VIWYMSIGT1U456 CIGNA CORP REGD 3.40000000 125523CQ1 420000.00000000 NS USD 449184.17000000 0.034274141916 Long DBT CORP US N 2 2051-03-15 Fixed 3.40000000 N N N N N N UMBS P#AE2911 3.5% 12/01/25 N/A FANNIE MAE POOL UMBS P#AE2911 3.50000000 31419DGV7 23643.38000000 NS USD 25239.76000000 0.001925871778 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 3.50000000 N N N N N N GOLDMAN SACHS GRO V/R 10/31/22 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R SER * 0.90850000 38148YAB4 40000.00000000 NS USD 40043.87000000 0.003055471174 Long DBT CORP US N 2 2022-10-31 Variable 0.90850000 N N N N N N HSBC HOLDINGS PLC V/R 08/17/29 MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC REGD V/R 2.20600000 404280CV9 785000.00000000 NS USD 791787.31000000 0.060415821489 Long DBT CORP GB N 2 2029-08-17 Variable 2.20600000 N N N N N N L3HARRIS TECH IN 4.4% 06/15/28 549300UTE50ZMDBG8A20 L3HARRIS TECH INC REGD SER * 4.40000000 502431AM1 161000.00000000 NS USD 186119.98000000 0.014201530316 Long DBT CORP US N 2 2028-06-15 Fixed 4.40000000 N N N N N N AERCAP IRELAND C 3.5% 01/15/25 N/A AERCAP IRELAND CAP/GLOBA REGD 3.50000000 00774MAC9 350000.00000000 NS USD 370667.01000000 0.028283039681 Long DBT CORP IE N 2 2025-01-15 Fixed 3.50000000 N N N N N N UMBS P#BP1662 3.5% 02/01/50 N/A FANNIE MAE POOL UMBS P#BP1662 3.50000000 3140K8Z46 47736.93000000 NS USD 50504.18000000 0.003853625190 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N LOCKHEED MARTIN 4.5% 05/15/36 DPRBOZP0K5RM2YE8UU08 LOCKHEED MARTIN CORP REGD 4.50000000 539830BK4 40000.00000000 NS USD 50682.21000000 0.003867209430 Long DBT CORP US N 2 2036-05-15 Fixed 4.50000000 N N N N N N CITIGROUP INC 4.4% 06/10/25 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD 4.40000000 172967JT9 890000.00000000 NS USD 990481.39000000 0.075576794540 Long DBT CORP US N 2 2025-06-10 Fixed 4.40000000 N N N N N N NORTHWEST AIR 7.041% 4/1/22 N/A NORTHWEST AIR 7.041% 4/1/22 7.04100000 667294AW2 87278.77000000 NS USD 87290.03000000 0.006660499358 Long DBT CORP US N 2 2022-04-01 Fixed 7.04100000 N N N N N N GNMA P#655342 6% 05/15/36 N/A GINNIE MAE I POOL P#655342 6.00000000 36294PBK8 823.37000000 NS USD 921.46000000 0.000070310248 Long ABS-MBS USGSE US N 2 2036-05-15 Fixed 6.00000000 N N N N N N UMBS P#929623 5% 06/01/38 N/A FANNIE MAE POOL UMBS P#929623 5.00000000 31412MYU6 4140.23000000 NS USD 4542.37000000 0.000346596884 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 5.00000000 N N N N N N SMB 2016-A A2A 2.7% 05/15/25 N/A SMB PRIVATE EDUCATION LOAN TRUST 2016-A SER 2016-A CL A2A REGD 144A P/P 2.70000000 78449FAB7 37702.01000000 NS USD 38671.18000000 0.002950730680 Long ABS-CBDO CORP US Y 2 2031-05-15 Fixed 2.70000000 N N N N N N FNA 2019-M4 A2 3.61% 02/25/31 N/A FANNIE MAE-ACES SER 2019-M4 CL A2 3.61000000 3136B35Z9 80000.00000000 NS USD 94117.74000000 0.007181474755 Long ABS-CBDO CORP US N 2 2031-02-25 Fixed 3.61000000 N N N N N N UMBS P#MA3332 3.5% 04/01/48 N/A FANNIE MAE POOL UMBS P#MA3332 3.50000000 31418CV27 570901.99000000 NS USD 606193.72000000 0.046254456358 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.50000000 N N N N N N UMBS P#AH2857 3.5% 01/01/26 N/A FANNIE MAE POOL UMBS P#AH2857 3.50000000 3138A4E76 1012.57000000 NS USD 1081.36000000 0.000082511113 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.50000000 N N N N N N GNR 2020-H09 FL V/R 05/20/70 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-H09 CL FL V/R 1.23838000 38380QAW2 270715.82000000 NS USD 284555.22000000 0.021712443680 Long ABS-CBDO CORP US N 2 2070-05-20 Variable 1.23838000 N N N N N N UMBS P#MA1591 4.5% 09/01/43 N/A FANNIE MAE POOL UMBS P#MA1591 4.50000000 31418AXV5 63503.79000000 NS USD 71171.60000000 0.005430613280 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N MPLX LP 5.5% 02/15/49 N/A MPLX LP REGD 5.50000000 55336VAT7 150000.00000000 NS USD 194291.77000000 0.014825063176 Long DBT CORP US N 2 2049-02-15 Fixed 5.50000000 N N N N N N UMBS P#MA4398 2% 08/01/51 N/A FANNIE MAE POOL UMBS P#MA4398 2.00000000 31418D3G5 2118185.46000000 NS USD 2150198.87000000 0.164066826352 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.00000000 N N N N N N US TREAS BDS 1.375% 08/15/50 N/A UNITED STATES TREASURY BOND 1.37500000 912810SP4 10210000.00000000 NS USD 8925773.44000000 0.681064129217 Long DBT UST US N 2 2050-08-15 Fixed 1.37500000 N N N N N N UMBS P#BP3082 3% 03/01/50 N/A FANNIE MAE POOL UMBS P#BP3082 3.00000000 3140KAM86 831463.42000000 NS USD 874866.88000000 0.066755049723 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 3.00000000 N N N N N N F/C 90DAY EURO$ FUTR DEC21 N/A FUTURE CONTRACT ON 90DAY EURO$ FUTR DEC21 0.00000000 N/A -347.00000000 NC USD -86598187.50000000 -6.60770963524 N/A DIR CORP US N 1 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Short F/C 90DAY EURO$ FUTR DEC21 90DAY EURO$ FUTR DEC21 2021-12-13 86491992.42000000 USD -106195.08000000 N N N NVENT FINANCE S 3.95% 04/15/23 N/A NVENT FINANCE SARL REGD 3.95000000 67078AAC7 320000.00000000 NS USD 334175.64000000 0.025498635249 Long DBT CORP LU N 2 2023-04-15 Fixed 3.95000000 N N N N N N FNR 2005-117 LC 5.5% 11/25/35 N/A FANNIE MAE REMICS SER 2005-117 CL LC 5.50000000 31394VCF5 45093.25000000 NS USD 46693.95000000 0.003562892852 Long ABS-CBDO CORP US N 2 2035-11-25 Fixed 5.50000000 N N N N N N T/L RACKSPACE TECHNOLOGY GLOBAL INC 0% 02/03/28 N/A T/L RACKSPACE TECHNOLOGY GLOBAL INC REGD 0.00000000 N/A 209475.00000000 NS USD 207587.63000000 0.015839578431 Long LON CORP US N 2 2028-02-03 Variable 3.50000000 N N N N N N FREMF 2019-KF58 V/R 01/25/26 N/A FREMF 2019-KF58 MORTGAGE TRUST SER 2019-KF58 CL B V/R 144A P/P 2.24050000 302986AC8 513536.41000000 NS USD 513613.13000000 0.039190270903 Long ABS-CBDO CORP US Y 2 2026-01-25 Variable 2.24050000 N N N N N N US TREAS NTS 0.25% 06/30/25 N/A UNITED STATES TREASURY NOTE 0.25000000 912828ZW3 3060000.00000000 NS USD 3021570.71000000 0.230555193710 Long DBT UST US N 2 2025-06-30 Fixed 0.25000000 N N N N N N ENERGY TRANSFER 5.4% 10/01/47 MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD 5.40000000 86765BAV1 300000.00000000 NS USD 363513.62000000 0.027737213892 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N US TREAS BDS 3% 02/15/47 N/A UNITED STATES TREASURY BOND 3.00000000 912810RV2 738000.00000000 NS USD 902147.35000000 0.068836633988 Long DBT UST US N 2 2047-02-15 Fixed 3.00000000 N N N N N N CAS 2017-C03 1M2 V/R 10/25/29 N/A FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C03 CL 1M2 V/R REGD 3.08438000 30711XJX3 841134.17000000 NS USD 864528.89000000 0.065966229101 Long ABS-CBDO CORP US N 2 2029-10-25 Variable 3.08438000 N N N N N N FFMER 2007-4 2A4 V/R 07/25/37 N/A MERRILL LYNCH FIRST FRANKLIN MORTGAGE LOAN TRUST SERIES SER 2007-4 CL 2A4 V/R REGD 0.33438000 59025CAE0 243798.39000000 NS USD 161262.81000000 0.012304851339 Long ABS-CBDO CORP US N 2 2037-07-25 Variable 0.33438000 N N N N N N UMBS P#AQ7003 4% 12/01/42 N/A FANNIE MAE POOL UMBS P#AQ7003 4.00000000 3138MNX96 118049.35000000 NS USD 130191.06000000 0.009933980680 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4.00000000 N N N N N N MOLINA HEALTHC 5.375% 11/15/22 549300NQQCEQ46YHZ591 MOLINA HEALTHCARE INC REGD SER WI 5.37500000 60855RAG5 255000.00000000 NS USD 264690.00000000 0.020196665933 Long DBT CORP US N 2 2022-11-15 Fixed 5.37500000 N N N N N N COX COMMUNICATIO 3.6% 06/15/51 N/A COX COMMUNICATIONS INC REGD 144A P/P 3.60000000 224044CP0 97000.00000000 NS USD 102730.05000000 0.007838620654 Long DBT CORP US Y 2 2051-06-15 Fixed 3.60000000 N N N N N N CONSUMERS ENERGY 3.5% 08/01/51 N/A CONSUMERS ENERGY CO REGD 3.50000000 210518DH6 256000.00000000 NS USD 295783.15000000 0.022569169478 Long DBT CORP US N 2 2051-08-01 Fixed 3.50000000 N N N N N N US TREAS NTS 0.375% 12/31/25 N/A UNITED STATES TREASURY NOTE 0.37500000 91282CBC4 620000.00000000 NS USD 612032.03000000 0.046699937475 Long DBT UST US N 2 2025-12-31 Fixed 0.37500000 N N N N N N LLOYDS BANKING GR V/R 11/07/23 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC REGD V/R SER . 2.90700000 539439AP4 860000.00000000 NS USD 883831.14000000 0.067439050496 Long DBT CORP GB N 2 2023-11-07 Variable 2.90700000 N N N N N N HCA INC 5% 03/15/24 N/A HCA INC REGD 5.00000000 404119BN8 598000.00000000 NS USD 657946.35000000 0.050203342146 Long DBT CORP US N 2 2024-03-15 Fixed 5.00000000 N N N N N N BALTIMORE GAS & 3.2% 09/15/49 N/A BALTIMORE GAS & ELECTRIC REGD 3.20000000 059165EL0 130000.00000000 NS USD 140062.55000000 0.010687205909 Long DBT CORP US N 2 2049-09-15 Fixed 3.20000000 N N N N N N UMBS P#MA4397 1.5% 08/01/51 N/A FANNIE MAE POOL UMBS P#MA4397 1.50000000 31418D3F7 1096432.60000000 NS USD 1078833.52000000 0.082318335414 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 1.50000000 N N N N N N GNMA II P#785359 2% 03/20/51 N/A GINNIE MAE II POOL P#785359 2.00000000 3622AAZY3 97033.93000000 NS USD 99185.81000000 0.007568184177 Long ABS-MBS USGSE US N 2 2051-03-20 Fixed 2.00000000 N N N N N N APPLE INC 2.9% 09/12/27 HWUPKR0MPOU8FGXBT394 APPLE INC REGD 2.90000000 037833DB3 360000.00000000 NS USD 393350.58000000 0.030013866254 Long DBT CORP US N 2 2027-09-12 Fixed 2.90000000 N N N N N N VERIZON COMMUNI 0.85% 11/20/25 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 0.85000000 92343VFS8 40000.00000000 NS USD 39726.74000000 0.003031273173 Long DBT CORP US N 2 2025-11-20 Fixed 0.85000000 N N N N N N ABBVIE INC 3.45% 03/15/22 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD SER WI 3.45000000 00287YCS6 100000.00000000 NS USD 101173.90000000 0.007719881595 Long DBT CORP US N 2 2022-03-15 Fixed 3.45000000 N N N N N N KRAFT HEINZ FO 6.875% 01/26/39 N/A KRAFT HEINZ FOODS CO REGD SER WI 6.87500000 50076QAR7 30000.00000000 NS USD 44863.84000000 0.003423249797 Long DBT CORP US N 2 2039-01-26 Fixed 6.87500000 N N N N N N BANK OF NOVA SCO 1.3% 06/11/25 L3I9ZG2KFGXZ61BMYR72 BANK OF NOVA SCOTIA REGD 1.30000000 064159VL7 170000.00000000 NS USD 172013.54000000 0.013125165300 Long DBT CORP CA N 2 2025-06-11 Fixed 1.30000000 N N N N N N RBSCF 2013-GSP A V/R 01/15/24 N/A RBS COMMERCIAL FUNDING INC 2013-GSP TRUST SER 2013-GSP CL A V/R REGD 3.96138700 74932QAA8 1535000.00000000 NS USD 1624694.66000000 0.123969229254 Long ABS-CBDO CORP US Y 2 2032-01-15 Variable 3.96138700 N N N N N N COCA-COLA CO/TH 2.25% 01/05/32 UWJKFUJFZ02DKWI3RY53 COCA-COLA CO/THE REGD 2.25000000 191216DP2 74000.00000000 NS USD 76638.28000000 0.005847737877 Long DBT CORP US N 2 2032-01-05 Fixed 2.25000000 N N N N N N BMARK 2018-B1 3.571% 01/15/23 N/A BENCHMARK 2018-B1 MORTGAGE TRUST SER 2018-B1 CL A2 REGD 3.57100000 08162PAT8 285000.00000000 NS USD 292777.14000000 0.022339801614 Long ABS-CBDO CORP US N 2 2051-01-15 Fixed 3.57100000 N N N N N N T/L MICHAELS ST 0% 04/08/28 N/A T/L MICHAELS STORES INC REGD 0.00000000 N/A 140000.00000000 NS USD 140262.50000000 0.010702462712 Long LON CORP US N 2 2028-04-08 Variable 5.00000000 N N N N N N BOSTON SCIENTIF 2.65% 06/01/30 Y6ZDD9FP4P8JSSJMW954 BOSTON SCIENTIFIC CORP REGD 2.65000000 101137BA4 62000.00000000 NS USD 64630.03000000 0.004931471249 Long DBT CORP US N 2 2030-06-01 Fixed 2.65000000 N N N N N N UMBS P#RC1887 2% 03/01/36 N/A FREDDIE MAC POOL UMBS P#RC1887 2.00000000 3133L8CY9 1396763.54000000 NS USD 1450548.11000000 0.110681308691 Long ABS-MBS USGA US N 2 2036-03-01 Fixed 2.00000000 N N N N N N CIGNA CORP 3.5% 06/15/24 549300VIWYMSIGT1U456 CIGNA CORP REGD SER * 3.50000000 125523BX7 65000.00000000 NS USD 69640.03000000 0.005313749750 Long DBT CORP US N 2 2024-06-15 Fixed 3.50000000 N N N N N N APPLE INC 2.4% 05/03/23 HWUPKR0MPOU8FGXBT394 APPLE INC REGD 2.40000000 037833AK6 300000.00000000 NS USD 310795.79000000 0.023714680358 Long DBT CORP US N 2 2023-05-03 Fixed 2.40000000 N N N N N N TEVA PHARMACEUT 3.15% 10/01/26 N/A TEVA PHARMACEUTICALS NE REGD 3.15000000 88167AAE1 540000.00000000 NS USD 516447.90000000 0.039406572625 Long DBT CORP NL N 2 2026-10-01 Fixed 3.15000000 N N N N N N COCA-COLA CO/TH 1.45% 06/01/27 UWJKFUJFZ02DKWI3RY53 COCA-COLA CO/THE REGD 1.45000000 191216CU2 160000.00000000 NS USD 163273.02000000 0.012458236581 Long DBT CORP US N 2 2027-06-01 Fixed 1.45000000 N N N N N N FED REPUBLIC O 3.875% 06/12/30 N/A FED REPUBLIC OF BRAZIL REGD 3.87500000 105756CC2 200000.00000000 NS USD 200870.00000000 0.015327002478 Long DBT USGA BR N 2 2030-06-12 Fixed 3.87500000 N N N N N N FHMS K743 X1 V/R 05/25/28 N/A FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K743 CL X1 V/R 0.92590500 3137H14D5 4000000.00000000 NS USD 229999.60000000 0.017549681083 Long ABS-CBDO CORP US N 2 2028-05-25 Variable 0.92590500 N N N N N N UMBS P#QA8791 3.5% 04/01/50 N/A FREDDIE MAC POOL UMBS P#QA8791 3.50000000 3133A3XU7 68960.13000000 NS USD 74348.43000000 0.005673015238 Long ABS-MBS USGA US N 2 2050-04-01 Fixed 3.50000000 N N N N N N GNMA II P#BT1888 2.5% 12/20/50 N/A GINNIE MAE II POOL P#BT1888 2.50000000 3617MQCZ7 96947.90000000 NS USD 100673.26000000 0.007681681214 Long ABS-MBS USGSE US N 2 2050-12-20 Fixed 2.50000000 N N N N N N UMBS P#SD0490 4% 01/01/45 N/A FREDDIE MAC POOL UMBS P#SD0490 4.00000000 3132DMRK3 851632.16000000 NS USD 936616.69000000 0.071466751276 Long ABS-MBS USGA US N 2 2045-01-01 Fixed 4.00000000 N N N N N N F/C 90DAY EURO$ FUTR DEC23 N/A FUTURE CONTRACT ON 90DAY EURO$ FUTR DEC23 0.00000000 N/A 180.00000000 NC USD 44565750.00000000 3.400504608447 N/A DIR CORP US N 1 BMO HARRIS BANK NA 001 3Y4U8VZURTYWI1W2K376 BMO HARRIS BANK NA 001 3Y4U8VZURTYWI1W2K376 BMO HARRIS BANK NA 001 3Y4U8VZURTYWI1W2K376 Long F/C 90DAY EURO$ FUTR DEC23 90DAY EURO$ FUTR DEC23 2023-12-18 44552575.00000000 USD 13175.00000000 N N N DUKE ENERGY COR 2.55% 06/15/31 I1BZKREC126H0VB1BL91 DUKE ENERGY CORP REGD 2.55000000 26441CBL8 500000.00000000 NS USD 514782.82000000 0.039279521869 Long DBT CORP US N 2 2031-06-15 Fixed 2.55000000 N N N N N N UMBS P#MA4378 2% 07/01/51 N/A FANNIE MAE POOL UMBS P#MA4378 2.00000000 31418D2L5 2707017.37000000 NS USD 2747930.15000000 0.209675572356 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.00000000 N N N N N N INSTR 2021-1A A 2.3% 02/15/28 N/A INSTAR LEASING III LLC SER 2021-1A CL A REGD 144A P/P 2.30000000 45783NAA5 330882.30000000 NS USD 334579.78000000 0.025529472381 Long ABS-CBDO CORP US Y 2 2054-02-15 Fixed 2.30000000 N N N N N N MICROSOFT CORP 2.7% 02/12/25 INR2EJN1ERAN0W5ZP974 MICROSOFT CORP REGD 2.70000000 594918BB9 70000.00000000 NS USD 74694.41000000 0.005699414582 Long DBT CORP US N 2 2025-02-12 Fixed 2.70000000 N N N N N N UMBS P#AT0969 3% 04/01/43 N/A FANNIE MAE POOL UMBS P#AT0969 3.00000000 3138WNCF4 83812.08000000 NS USD 89223.57000000 0.006808034442 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N VERIZON COMMUNIC 4.4% 11/01/34 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD SER 20YR 4.40000000 92343VCQ5 140000.00000000 NS USD 168808.56000000 0.012880615410 Long DBT CORP US N 2 2034-11-01 Fixed 4.40000000 N N N N N N GNR 2017-187 SJ V/R 12/20/47 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-187 CL SJ V/R 6.11162000 38380UFS7 97518.86000000 NS USD 19159.22000000 0.001461907763 Long ABS-CBDO CORP US N 2 2047-12-20 Variable 6.11162000 N N N N N N UMBS P#AK8441 4% 04/01/42 N/A FANNIE MAE POOL UMBS P#AK8441 4.00000000 3138EDLX7 39869.97000000 NS USD 44108.94000000 0.003365648592 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.00000000 N N N N N N US TREAS BDS 3% 11/15/44 N/A UNITED STATES TREASURY BOND 3.00000000 912810RJ9 1375000.00000000 NS USD 1662568.35000000 0.126859108980 Long DBT UST US N 2 2044-11-15 Fixed 3.00000000 N N N N N N UNITED AIR 2014 4.75% 04/11/22 N/A UNITED AIR 2014-1 B PTT REGD SER B 4.75000000 90932PAB4 29639.18000000 NS USD 30026.30000000 0.002291099589 Long DBT CORP US N 2 2022-04-11 Fixed 4.75000000 N N N N N N ARES CAPITAL CO 2.15% 07/15/26 WEQ82666OJYSI5GUAB47 ARES CAPITAL CORP REGD 2.15000000 04010LBA0 460000.00000000 NS USD 463648.32000000 0.035377801312 Long DBT CORP US N 2 2026-07-15 Fixed 2.15000000 N N N N N N NGPL PIPECO LLC 3.25% 07/15/31 N/A NGPL PIPECO LLC REGD 144A P/P 3.25000000 62928CAA0 277000.00000000 NS USD 286408.80000000 0.021853877569 Long DBT CORP US Y 2 2031-07-15 Fixed 3.25000000 N N N N N N GENERAL DYNAMIC 4.25% 04/01/50 9C1X8XOOTYY2FNYTVH06 GENERAL DYNAMICS CORP REGD 4.25000000 369550BJ6 70000.00000000 NS USD 90799.25000000 0.006928263701 Long DBT CORP US N 2 2050-04-01 Fixed 4.25000000 N N N N N N VODAFONE GROUP 5.25% 05/30/48 213800TB53ELEUKM7Q61 VODAFONE GROUP PLC REGD 5.25000000 92857WBM1 116000.00000000 NS USD 155012.51000000 0.011827934111 Long DBT CORP GB N 2 2048-05-30 Fixed 5.25000000 N N N N N N ENERGY TRANSFER LP 4% 10/01/27 MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD 4.00000000 86765BAU3 303000.00000000 NS USD 337030.12000000 0.025716440904 Long DBT CORP US N 2 2027-10-01 Fixed 4.00000000 N N N N N N VERIZON COMMUN 2.875% 11/20/50 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 2.87500000 92343VFU3 430000.00000000 NS USD 413112.79000000 0.031521784020 Long DBT CORP US N 2 2050-11-20 Fixed 2.87500000 N N N N N N UMBS P#FM8576 3% 02/01/50 N/A FANNIE MAE POOL UMBS P#FM8576 3.00000000 3140XCQ68 2230000.00000000 NS USD 2357286.13000000 0.179868225004 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.00000000 N N N N N N T/L REALPAGE INC 0% 2/18/28 N/A T/L REALPAGE INC REGD 0.00000000 N/A 340000.00000000 NS USD 338449.60000000 0.025824751620 Long LON CORP US N 2 2028-02-18 Variable 3.75000000 N N N N N N BMARK 2019-B1 2.952% 10/15/29 N/A BENCHMARK 2019-B13 MORTGAGE TRUST SER 2019-B13 CL A4 REGD 2.95200000 08162DAE8 348000.00000000 NS USD 377145.45000000 0.028777364697 Long ABS-CBDO CORP US N 2 2057-08-15 Fixed 2.95200000 N N N N N N SANTANDER HOLDIN 4.5% 07/17/25 N/A SANTANDER HOLDINGS USA REGD 4.50000000 80282KAE6 30000.00000000 NS USD 33277.75000000 0.002539195284 Long DBT CORP US N 2 2025-07-17 Fixed 4.50000000 N N N N N N UMBS P#BF0222 4.5% 09/01/57 N/A FANNIE MAE POOL UMBS P#BF0222 4.50000000 3140FXG89 274211.41000000 NS USD 307484.12000000 0.023461989691 Long ABS-MBS USGSE US N 2 2057-09-01 Fixed 4.50000000 N N N N N N T/L ZAYO GROUP 0% 03/09/2027 N/A T/L ZAYO GROUP HOLDINGS INC REGD 0.00000000 98919XAB7 80000.00000000 NS USD 79073.60000000 0.006033560328 Long LON CORP US N 2 2027-03-09 Variable 3.08463000 N N N N N N T/L FLEETCOR TECHNO 0% 4/21/28 N/A T/L FLEETCOR TECHNOLOGIES OPERATING COMPANY LLCREGD 0.00000000 33903RAY5 160000.00000000 NS USD 159471.20000000 0.012168145953 Long LON CORP US N 2 2028-04-21 Variable 1.83463000 N N N N N N US TREAS BDS 1.375% 11/15/40 N/A UNITED STATES TREASURY BOND 1.37500000 912810ST6 5470000.00000000 NS USD 5062100.40000000 0.386253922319 Long DBT UST US N 2 2040-11-15 Fixed 1.37500000 N N N N N N JBS USA/FOOD/FIN 5.5% 01/15/30 N/A JBS USA/FOOD/FINANCE REGD 144A P/P 5.50000000 46590XAB2 275000.00000000 NS USD 310695.00000000 0.023706989769 Long DBT CORP US Y 2 2030-01-15 Fixed 5.50000000 N N N N N N PAYPAL HOLDINGS 1.65% 06/01/25 5493005X2GO78EFZ3E94 PAYPAL HOLDINGS INC REGD 1.65000000 70450YAG8 140000.00000000 NS USD 144190.88000000 0.011002210260 Long DBT CORP US N 2 2025-06-01 Fixed 1.65000000 N N N N N N UMBS P#AT9657 4% 07/01/43 N/A FANNIE MAE POOL UMBS P#AT9657 4.00000000 3138WXWT0 55027.20000000 NS USD 60875.12000000 0.004644959999 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N UMBS P#MA3277 4% 02/01/48 N/A FANNIE MAE POOL UMBS P#MA3277 4.00000000 31418CUB8 173826.90000000 NS USD 186845.78000000 0.014256911102 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 4.00000000 N N N N N N US TREAS NTS 0.75% 01/31/28 N/A UNITED STATES TREASURY NOTE 0.75000000 91282CBJ9 7910000.00000000 NS USD 7788569.16000000 0.594291924219 Long DBT UST US N 2 2028-01-31 Fixed 0.75000000 N N N N N N RANGE RESOURCE 5.875% 07/01/22 H3Y3WLYCX0BTO1TRW162 RANGE RESOURCES COR REGD SER * 5.87500000 75281AAU3 8000.00000000 NS USD 8181.36000000 0.000624263080 Long DBT CORP US N 2 2022-07-01 Fixed 5.87500000 N N N N N N JPMDB 2018-C8 4.521% 05/15/28 N/A JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2018-C8 SER 2018-C8 CL B REGD 4.52160000 46591ABF1 130000.00000000 NS USD 149008.18000000 0.011369785155 Long ABS-CBDO CORP US N 2 2051-06-15 Fixed 4.52160000 N N N N N N UMBS P#977174 5% 02/01/23 N/A FANNIE MAE POOL UMBS P#977174 5.00000000 31414VCK0 53.62000000 NS USD 55.88000000 0.000004263816 Long ABS-MBS USGSE US N 2 2023-02-01 Fixed 5.00000000 N N N N N N FGLMC P#G06012 4% 09/01/40 N/A FREDDIE MAC GOLD POOL P#G06012 4.00000000 3128M8AM6 1194318.29000000 NS USD 1344470.77000000 0.102587279453 Long ABS-MBS USGA US N 2 2040-09-01 Fixed 4.00000000 N N N N N N ECOPETROL SA 5.875% 05/28/45 N/A ECOPETROL SA REGD 5.87500000 279158AJ8 760000.00000000 NS USD 815936.00000000 0.062258441251 Long DBT CORP CO N 2 2045-05-28 Fixed 5.87500000 N N N N N N FORD MOTOR CRE 3.339% 03/28/22 N/A FORD MOTOR CREDIT CO LLC REGD 3.33900000 345397YL1 470000.00000000 NS USD 475466.10000000 0.036279534490 Long DBT CORP US N 2 2022-03-28 Fixed 3.33900000 N N N N N N T/L HILTON WORLDWI 0% 6/22/26 N/A T/L HILTON WORLDWIDE FINANCE LLC REGD 0.00000000 43289DAH6 431964.16000000 NS USD 427914.50000000 0.032651200288 Long LON CORP US N 2 2026-06-22 Variable 1.83438000 N N N N N N GILEAD SCIENCES 3.65% 03/01/26 549300WTZWR07K8MNV44 GILEAD SCIENCES INC REGD 3.65000000 375558BF9 60000.00000000 NS USD 66192.58000000 0.005050698649 Long DBT CORP US N 2 2026-03-01 Fixed 3.65000000 N N N N N N REALTY INCOME C 3.25% 01/15/31 549300CUWDAUZSH43859 REALTY INCOME CORP REGD 3.25000000 756109AX2 144000.00000000 NS USD 159199.92000000 0.012147446449 Long DBT CORP US N 2 2031-01-15 Fixed 3.25000000 N N N N N N REPUBLIC OF PER 6.55% 03/14/37 N/A REPUBLIC OF PERU REGD 6.55000000 715638AU6 70000.00000000 NS USD 97032.95000000 0.007403914298 Long DBT USGA PE N 2 2037-03-14 Fixed 6.55000000 N N N N N N RELX CAPITAL INC 3% 05/22/30 N/A RELX CAPITAL INC REGD 3.00000000 74949LAD4 447000.00000000 NS USD 480477.89000000 0.036661949573 Long DBT CORP US N 2 2030-05-22 Fixed 3.00000000 N N N N N N CELGENE CORP 3.9% 02/20/28 N/A CELGENE CORP REGD 3.90000000 151020BB9 65000.00000000 NS USD 71502.34000000 0.005455849765 Long DBT CORP US N 2 2028-02-20 Fixed 3.90000000 N N N N N N BOEING CO 3.2% 03/01/29 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 3.20000000 097023CD5 260000.00000000 NS USD 273916.45000000 0.020900672614 Long DBT CORP US N 2 2029-03-01 Fixed 3.20000000 N N N N N N T/L CLOUDERA INC 0% 08/10/28 N/A T/L CLOUDERA INC REGD 0.00000000 74339VAB4 130000.00000000 NS USD 129472.20000000 0.009879129438 Long LON CORP US N 2 2028-08-10 Variable 0.00000000 N N N N N N N/A N/A IRS RUS3MP01.67 07/09/51 GOLDUS33 FLOAT N/A 1.00000000 NC USD -12843.81000000 -0.00098002244 N/A DIR US N 2 NOMURA N/A N/A N/A Y 2051-07-09 -1679118.23000000 USD 1672000.00000000 USD 1672000.00000000 USD -5725.58000000 N N N T-MOBILE USA INC 3.3% 02/15/51 N/A T-MOBILE USA INC REGD 3.30000000 87264ABN4 10000.00000000 NS USD 10040.65000000 0.000766132660 Long DBT CORP US N 2 2051-02-15 Fixed 3.30000000 N N N N N N STATE OF QATAR 4.5% 04/23/28 N/A STATE OF QATAR REGD 4.50000000 M8489SAH0 200000.00000000 NS USD 236500.00000000 0.018045681715 Long DBT USGA QA N 2 2028-04-23 Fixed 4.50000000 N N N N N N KRAFT HEINZ FOOD 5.5% 06/01/50 N/A KRAFT HEINZ FOODS CO REGD SER WI 5.50000000 50077LBJ4 80000.00000000 NS USD 106807.98000000 0.008149779330 Long DBT CORP US N 2 2050-06-01 Fixed 5.50000000 N N N N N N UMBS P#AQ3599 4% 11/01/42 N/A FANNIE MAE POOL UMBS P#AQ3599 4.00000000 3138MJ7M5 39002.14000000 NS USD 43149.57000000 0.003292445692 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 4.00000000 N N N N N N ATMOS ENERGY C 4.125% 10/15/44 QVLWEGTD2S8GJMO8D383 ATMOS ENERGY CORP REGD 4.12500000 049560AM7 82000.00000000 NS USD 98009.69000000 0.007478442582 Long DBT CORP US N 2 2044-10-15 Fixed 4.12500000 N N N N N N UMBS P#FM3753 3.5% 04/01/48 N/A FANNIE MAE POOL UMBS P#FM3753 3.50000000 3140X7E39 183216.02000000 NS USD 197340.56000000 0.015057695286 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.50000000 N N N N N N WESTERN MIDSTREAM V/R 01/13/23 N/A WESTERN MIDSTREAM OPERAT REGD V/R 2.22863000 958667AD9 50000.00000000 NS USD 49885.18000000 0.003806393575 Long DBT CORP US N 2 2023-01-13 Variable 2.22863000 N N N N N N PIONEER NATURA 1.125% 01/15/26 FY8JBF7CCL2VE4F1B628 PIONEER NATURAL RESOURCE REGD 1.12500000 723787AT4 30000.00000000 NS USD 29736.15000000 0.002268960246 Long DBT CORP US N 2 2026-01-15 Fixed 1.12500000 N N N N N N ORACLE CORP 2.875% 03/25/31 1Z4GXXU7ZHVWFCD8TV52 ORACLE CORP REGD 2.87500000 68389XCE3 855000.00000000 NS USD 901621.24000000 0.068796490167 Long DBT CORP US N 2 2031-03-25 Fixed 2.87500000 N N N N N N CVS HEALTH CORP 2.75% 12/01/22 549300EJG376EN5NQE29 CVS HEALTH CORP REGD 2.75000000 126650BZ2 340000.00000000 NS USD 348265.94000000 0.026573768733 Long DBT CORP US N 2 2022-12-01 Fixed 2.75000000 N N N N N N FREEPORT-MCMOR 3.875% 03/15/23 549300IRDTHJQ1PVET45 FREEPORT-MCMORAN INC REGD SER WI 3.87500000 35671DAZ8 10000.00000000 NS USD 10350.00000000 0.000789737022 Long DBT CORP US N 2 2023-03-15 Fixed 3.87500000 N N N N N N UMBS P#AY6262 3% 03/01/30 N/A FANNIE MAE POOL UMBS P#AY6262 3.00000000 3138YK5Y5 36527.70000000 NS USD 38878.60000000 0.002966557467 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 3.00000000 N N N N N N UMBS P#FM1539 4.5% 09/01/49 N/A FANNIE MAE POOL UMBS P#FM1539 4.50000000 3140X4V94 31960.56000000 NS USD 34772.65000000 0.002653260779 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 4.50000000 N N N N N N VNDO 2012-6AV 2.995% 11/15/22 N/A VNDO 2012-6AVE MORTGAGE TRUST SER 2012-6AVE CL A REGD 144A P/P 2.99560000 91830CAA6 530000.00000000 NS USD 542410.59000000 0.041387606199 Long ABS-CBDO CORP US Y 2 2030-11-15 Fixed 2.99560000 N N N N N N CGCMT 2016-P5 2.941% 09/10/26 N/A CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P5 SER 2016-P5 CL A4 REGD 2.94100000 17325DAD5 500000.00000000 NS USD 537471.80000000 0.041010761241 Long ABS-CBDO CORP US N 2 2049-10-10 Fixed 2.94100000 N N N N N N US TREAS NTS 1.25% 04/30/28 N/A UNITED STATES TREASURY NOTE 1.25000000 91282CBZ3 3600000.00000000 NS USD 3650625.00000000 0.278553982289 Long DBT UST US N 2 2028-04-30 Fixed 1.25000000 N N N N N N TARGA RES PART 4.875% 2/1/31 N/A TARGA RES PARTNERS REGD 4.87500000 87612BBS0 10000.00000000 NS USD 10890.50000000 0.000830978844 Long DBT CORP US N 2 2031-02-01 Fixed 4.87500000 N N N N N N VDC 2019-1A A 3.188% 07/15/24 N/A VANTAGE DATA CENTERS ISSUER LLC SER 2019-1A CL A2 REGD 144A P/P 3.18800000 92212KAA4 793799.99000000 NS USD 822916.89000000 0.062791104756 Long ABS-CBDO CORP US Y 2 2044-07-15 Fixed 3.18800000 N N N N N N CVS HEALTH CORP AMRTZ 6.036%28 N/A CVS HEALTH CORP AMRTZ 6.036%28 6.03600000 126650BP4 134754.00000000 NS USD 158018.80000000 0.012057323339 Long DBT CORP US N 2 2028-12-10 Fixed 6.03600000 N N N N N N UNITEDHEALTH GR 3.75% 07/15/25 549300GHBMY8T5GXDE41 UNITEDHEALTH GROUP INC REGD 3.75000000 91324PCP5 70000.00000000 NS USD 77777.00000000 0.005934625736 Long DBT CORP US N 2 2025-07-15 Fixed 3.75000000 N N N N N N WELLS FARGO & COM V/R 04/04/31 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD V/R MTN 4.47800000 95000U2L6 100000.00000000 NS USD 118605.31000000 0.009049952109 Long DBT CORP US N 2 2031-04-04 Variable 4.47800000 N N N N N N DEVON ENERGY CO 5.25% 10/15/27 54930042348RKR3ZPN35 DEVON ENERGY CORPORATION REGD 144A P/P 5.25000000 25179MAY9 32000.00000000 NS USD 34053.12000000 0.002598358414 Long DBT CORP US Y 2 2027-10-15 Fixed 5.25000000 N N N N N N SOUTHERN CAL EDI 3.7% 08/01/25 N/A SOUTHERN CAL EDISON REGD SER E 3.70000000 842400GN7 486000.00000000 NS USD 532019.54000000 0.040594736934 Long DBT CORP US N 2 2025-08-01 Fixed 3.70000000 N N N N N N T/L CHANGE HEALTH ZCP 03/01/24 N/A T/L CHANGE HEALTHCARE HOLDINGS ZCP TERM LOAN 0.00000000 15911AAC7 246285.48000000 NS USD 246023.19000000 0.018772330576 Long LON CORP US N 2 2024-03-01 Variable 3.50000000 N N N N N N MONSANTO CO 4.4% 07/15/44 N/A MONSANTO CO REGD 4.40000000 61166WAP6 30000.00000000 NS USD 32565.24000000 0.002484828566 Long DBT CORP US N 2 2044-07-15 Fixed 4.40000000 N N N N N N KLA CORP 3.3% 03/01/50 549300H0BF5JCG96TJ81 KLA CORP REGD 3.30000000 482480AJ9 159000.00000000 NS USD 173740.72000000 0.013256954478 Long DBT CORP US N 2 2050-03-01 Fixed 3.30000000 N N N N N N JPMORGAN CHASE & V/R 05/01/28 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 3.54000000 46647PAF3 45000.00000000 NS USD 49666.76000000 0.003789727453 Long DBT CORP US N 2 2028-05-01 Variable 3.54000000 N N N N N N UMBS P#QC4690 2.5% 08/01/51 N/A FREDDIE MAC POOL UMBS P#QC4690 2.50000000 3133APF79 99815.07000000 NS USD 105084.84000000 0.008018298417 Long ABS-MBS USGA US N 2 2051-08-01 Fixed 2.50000000 N N N N N N DELTA AIR LINES 4.75% 10/20/28 N/A DELTA AIR LINES/SKYMILES REGD 144A P/P 4.75000000 830867AB3 120000.00000000 NS USD 133585.84000000 0.010193012897 Long DBT CORP US Y 2 2028-10-20 Fixed 4.75000000 N N N N N N T-MOBILE USA IN 2.25% 02/15/26 N/A T-MOBILE USA INC REGD 2.25000000 87264ABR5 740000.00000000 NS USD 756650.00000000 0.057734736024 Long DBT CORP US N 2 2026-02-15 Fixed 2.25000000 N N N N N N WALMART INC 3.55% 06/26/25 Y87794H0US1R65VBXU25 WALMART INC REGD 3.55000000 931142ED1 50000.00000000 NS USD 55078.50000000 0.004202659959 Long DBT CORP US N 2 2025-06-26 Fixed 3.55000000 N N N N N N BRISTOL-MYERS S 3.55% 08/15/22 HLYYNH7UQUORYSJQCN42 BRISTOL-MYERS SQUIBB CO REGD 3.55000000 110122CX4 60000.00000000 NS USD 61921.23000000 0.004724781429 Long DBT CORP US N 2 2022-08-15 Fixed 3.55000000 N N N N N N UMBS P#CA2652 5% 11/01/48 N/A FANNIE MAE POOL UMBS P#CA2652 5.00000000 3140Q95N9 254964.98000000 NS USD 280004.41000000 0.021365202797 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 5.00000000 N N N N N N CGRBS 2013-VN05 V/R 03/13/23 N/A CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 SER 2013-VN05 CL A V/R REGD 144A P/P 3.36900000 125354AA8 545000.00000000 NS USD 562064.66000000 0.042887272548 Long ABS-CBDO CORP US Y 2 2035-03-13 Fixed 3.36900000 N N N N N N LLOYDS BANKING 3.75% 01/11/27 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC REGD 3.75000000 53944YAD5 273000.00000000 NS USD 302934.60000000 0.023114847239 Long DBT CORP GB N 2 2027-01-11 Fixed 3.75000000 N N N N N N ABBVIE INC 3.75% 11/14/23 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD 3.75000000 00287YBC2 30000.00000000 NS USD 32025.95000000 0.002443679071 Long DBT CORP US N 2 2023-11-14 Fixed 3.75000000 N N N N N N LOCKHEED MARTIN 3.1% 01/15/23 DPRBOZP0K5RM2YE8UU08 LOCKHEED MARTIN CORP REGD 3.10000000 539830BG3 30000.00000000 NS USD 31003.27000000 0.002365645423 Long DBT CORP US N 2 2023-01-15 Fixed 3.10000000 N N N N N N UMBS P#SD8161 2.5% 08/01/51 N/A FREDDIE MAC POOL UMBS P#SD8161 2.50000000 3132DWB69 8330899.74000000 NS USD 8665373.70000000 0.661194823396 Long ABS-MBS USGA US N 2 2051-08-01 Fixed 2.50000000 N N N N N N UMBS P#AO9859 4% 07/01/42 N/A FANNIE MAE POOL UMBS P#AO9859 4.00000000 3138M15V6 13155.60000000 NS USD 14332.07000000 0.001093581283 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.00000000 N N N N N N UMBS P#FM7786 4% 01/01/49 N/A FANNIE MAE POOL UMBS P#FM7786 4.00000000 3140XBUL2 452423.80000000 NS USD 488999.89000000 0.037312204539 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 4.00000000 N N N N N N ALTRIA GROUP INC 5.8% 02/14/39 XSGZFLO9YTNO9VCQV219 ALTRIA GROUP INC REGD 5.80000000 02209SBE2 929000.00000000 NS USD 1164131.72000000 0.088826851981 Long DBT CORP US N 2 2039-02-14 Fixed 5.80000000 N N N N N N GNMA II P#MA3663 3.5% 05/20/46 N/A GINNIE MAE II POOL P#MA3663 3.50000000 36179SB89 47152.89000000 NS USD 50232.34000000 0.003832882957 Long ABS-MBS USGSE US N 2 2046-05-20 Fixed 3.50000000 N N N N N N VODAFONE GROUP 4.875% 06/19/49 213800TB53ELEUKM7Q61 VODAFONE GROUP PLC REGD 4.87500000 92857WBS8 1035000.00000000 NS USD 1332368.84000000 0.101663864752 Long DBT CORP GB N 2 2049-06-19 Fixed 4.87500000 N N N N N N PAYPAL HOLDINGS 1.35% 06/01/23 5493005X2GO78EFZ3E94 PAYPAL HOLDINGS INC REGD 1.35000000 70450YAF0 130000.00000000 NS USD 132281.05000000 0.010093453383 Long DBT CORP US N 2 2023-06-01 Fixed 1.35000000 N N N N N N UMBS P#256153 5.5% 03/01/26 N/A FANNIE MAE POOL UMBS P#256153 5.50000000 31371MQE0 13306.05000000 NS USD 14837.86000000 0.001132174625 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 5.50000000 N N N N N N JPMORGAN CHASE & V/R 05/06/30 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 3.70200000 46647PBD7 147000.00000000 NS USD 164738.41000000 0.012570050372 Long DBT CORP US N 2 2030-05-06 Variable 3.70200000 N N N N N N SANTANDER UK GROU V/R 03/15/25 N/A SANTANDER UK GROUP HLDGS REGD V/R 1.08900000 80281LAN5 760000.00000000 NS USD 762419.89000000 0.058174996483 Long DBT CORP GB N 2 2025-03-15 Variable 1.08900000 N N N N N N UMBS P#BR8656 2% 04/01/51 N/A FANNIE MAE POOL UMBS P#BR8656 2.00000000 3140L7TN2 97446.71000000 NS USD 98919.48000000 0.007547862374 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N UMBS P#ZS3204 5% 06/01/41 N/A FREDDIE MAC POOL UMBS P#ZS3204 5.00000000 3132A3RZ5 80553.47000000 NS USD 90669.31000000 0.006918348877 Long ABS-MBS USGA US N 2 2041-06-01 Fixed 5.00000000 N N N N N N BANK OF AMERICA CO 4% 04/01/24 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD MTN 4.00000000 06051GFF1 280000.00000000 NS USD 304559.03000000 0.023238796274 Long DBT CORP US N 2 2024-04-01 Fixed 4.00000000 N N N N N N VERIZON COMMUN 4.329% 09/21/28 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD SER WI 4.32900000 92343VER1 986000.00000000 NS USD 1152558.50000000 0.087943779488 Long DBT CORP US N 2 2028-09-21 Fixed 4.32900000 N N N N N N ORACLE CORP 5.375% 07/15/40 1Z4GXXU7ZHVWFCD8TV52 ORACLE CORP REGD 5.37500000 68389XAM7 322000.00000000 NS USD 417436.11000000 0.031851666712 Long DBT CORP US N 2 2040-07-15 Fixed 5.37500000 N N N N N N BRISTOL-MYERS SQUI 5% 08/15/45 HLYYNH7UQUORYSJQCN42 BRISTOL-MYERS SQUIBB CO REGD SER WI 5.00000000 110122DJ4 46000.00000000 NS USD 63408.38000000 0.004838255575 Long DBT CORP US N 2 2045-08-15 Fixed 5.00000000 N N N N N N GOLDMAN SACHS GR 3.5% 04/01/25 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD 3.50000000 38141GXJ8 2320000.00000000 NS USD 2514060.02000000 0.191830557859 Long DBT CORP US N 2 2025-04-01 Fixed 3.50000000 N N N N N N AMAZON.COM INC 4.25% 08/22/57 ZXTILKJKG63JELOEG630 AMAZON.COM INC REGD 4.25000000 023135BM7 40000.00000000 NS USD 52171.39000000 0.003980838471 Long DBT CORP US N 2 2057-08-22 Fixed 4.25000000 N N N N N N CONOCOPHILLIPS 3.75% 10/01/27 WPTL2Z3FIYTHSP5V2253 CONOCOPHILLIPS REGD 144A P/P 3.75000000 20825CAV6 80000.00000000 NS USD 90047.10000000 0.006870872329 Long DBT CORP US Y 2 2027-10-01 Fixed 3.75000000 N N N N N N UNITED AIR 2016 3.65% 10/07/25 N/A UNITED AIR 2016-2 B PTT REGD SER 16-2 3.65000000 90933JAA9 4201.39000000 NS USD 4197.10000000 0.000320251715 Long DBT CORP US N 2 2025-10-07 Fixed 3.65000000 N N N N N N MDST 2004-1 A 6.005% 08/15/37 N/A MID-STATE CAPITAL CORP 2004-1 TRUST SER 2004-1 CL A REGD 6.00500000 59560UAA9 291167.46000000 NS USD 307097.78000000 0.023432510753 Long ABS-CBDO CORP US N 2 2037-08-15 Fixed 6.00500000 N N N N N N VERIZON COMMUN 2.625% 08/15/26 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 2.62500000 92343VDD3 220000.00000000 NS USD 234384.11000000 0.017884232761 Long DBT CORP US N 2 2026-08-15 Fixed 2.62500000 N N N N N N BANK OF AMERICA C V/R 04/29/31 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R 2.59200000 06051GJB6 953000.00000000 NS USD 987382.57000000 0.075340344986 Long DBT CORP US N 2 2031-04-29 Variable 2.59200000 N N N N N N WELLS FARGO & C 4.65% 11/04/44 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD MTN 4.65000000 94974BGE4 280000.00000000 NS USD 350012.07000000 0.026707003854 Long DBT CORP US N 2 2044-11-04 Fixed 4.65000000 N N N N N N ACCR 2007-1 A4 V/R 02/25/37 N/A ACCREDITED MORTGAGE LOAN TRUST 2007-1 SER 2007-1 CL A4 V/R REGD 0.30438000 00438QAD6 1243598.88000000 NS USD 1233772.09000000 0.094140627675 Long ABS-CBDO CORP US N 2 2037-02-25 Variable 0.30438000 N N N N N N UMBS P#FM7518 2.5% 06/01/51 N/A FANNIE MAE POOL UMBS P#FM7518 2.50000000 3140XBK82 197012.66000000 NS USD 206806.17000000 0.015779950615 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N UMBS P#ZS3412 5.5% 12/01/38 N/A FREDDIE MAC POOL UMBS P#ZS3412 5.50000000 3132A3YH7 5872.87000000 NS USD 6808.13000000 0.000519481382 Long ABS-MBS USGA US N 2 2038-12-01 Fixed 5.50000000 N N N N N N UMBS P#735402 5% 04/01/35 N/A FANNIE MAE POOL UMBS P#735402 5.00000000 31402RAB5 44327.93000000 NS USD 50486.16000000 0.003852250208 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.00000000 N N N N N N VERIZON COMMUNI 3.15% 03/22/30 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 3.15000000 92343VFE9 1495000.00000000 NS USD 1622839.32000000 0.123827661072 Long DBT CORP US N 2 2030-03-22 Fixed 3.15000000 N N N N N N BARCLAYS PLC V/R 03/10/32 213800LBQA1Y9L22JB70 BARCLAYS PLC REGD V/R 2.66700000 06738EBR5 995000.00000000 NS USD 1013245.82000000 0.077313790980 Long DBT CORP GB N 2 2032-03-10 Variable 2.66700000 N N N N N N MARATHON PETROLE 6.5% 03/01/41 3BNYRYQHD39K4LCKQF12 MARATHON PETROLEUM CORP REGD 6.50000000 56585AAF9 28000.00000000 NS USD 38995.38000000 0.002975468143 Long DBT CORP US N 2 2041-03-01 Fixed 6.50000000 N N N N N N UMBS P#RA5155 2% 05/01/51 N/A FREDDIE MAC POOL UMBS P#RA5155 2.00000000 3133KLWQ6 493228.58000000 NS USD 503423.51000000 0.038412771371 Long ABS-MBS USGA US N 2 2051-05-01 Fixed 2.00000000 N N N N N N UMBS P#ZT0714 5% 10/01/48 N/A FREDDIE MAC POOL UMBS P#ZT0714 5.00000000 3132ACYK0 23965.52000000 NS USD 26335.93000000 0.002009512940 Long ABS-MBS USGA US N 2 2048-10-01 Fixed 5.00000000 N N N N N N CIM 2020-R6 A1A V/R 12/25/60 N/A CIM TRUST 2020-R6 SER 2020-R6 CL A1A V/R REGD 144A P/P 2.25000000 12560YAB8 700589.99000000 NS USD 700032.81000000 0.053414669257 Long ABS-CBDO CORP US Y 2 2060-12-25 Variable 2.25000000 N N N N N N UMBS P#AQ0100 4% 10/01/42 N/A FANNIE MAE POOL UMBS P#AQ0100 4.00000000 3138MFDE4 38312.16000000 NS USD 42385.66000000 0.003234156996 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.00000000 N N N N N N FGLMC P#G67718 4% 01/01/49 N/A FREDDIE MAC GOLD POOL P#G67718 4.00000000 3132XCSF3 404372.58000000 NS USD 441091.14000000 0.033656618688 Long ABS-MBS USGA US N 2 2049-01-01 Fixed 4.00000000 N N N N N N MEDTRONIC INC 3.5% 03/15/25 N/A MEDTRONIC INC REGD SER WI 3.50000000 585055BS4 61000.00000000 NS USD 66653.61000000 0.005085876664 Long DBT CORP US N 2 2025-03-15 Fixed 3.50000000 N N N N N N GENERAL MOTORS 3.45% 04/10/22 N/A GENERAL MOTORS FINL CO REGD 3.45000000 37045XAW6 95000.00000000 NS USD 96278.50000000 0.007346347429 Long DBT CORP US N 2 2022-04-10 Fixed 3.45000000 N N N N N N AMER AIRLINE 16- 3.2% 06/15/28 N/A AMER AIRLINE 16-2 AA PTT REGD SER AA 3.20000000 023765AA8 44072.00000000 NS USD 44936.31000000 0.003428779482 Long DBT CORP US N 2 2028-06-15 Fixed 3.20000000 N N N N N N UMBS P#FM5665 3.5% 08/01/48 N/A FANNIE MAE POOL UMBS P#FM5665 3.50000000 3140X9JK2 190493.13000000 NS USD 203497.73000000 0.015527506407 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 3.50000000 N N N N N N NIKE INC 2.85% 03/27/30 787RXPR0UX0O0XUXPZ81 NIKE INC REGD 2.85000000 654106AK9 140000.00000000 NS USD 153245.21000000 0.011693083653 Long DBT CORP US N 2 2030-03-27 Fixed 2.85000000 N N N N N N SEMT 2003-1 1A V/R 04/20/33 N/A SEQUOIA MORTGAGE TRUST 2003-1 SER 2003-1 CL 1A V/R REGD 0.84838000 81743PAA4 745763.39000000 NS USD 757794.49000000 0.057822064152 Long ABS-CBDO CORP US N 2 2033-04-20 Variable 0.84838000 N N N N N N UMBS P#MA4360 2% 06/01/36 N/A FANNIE MAE POOL UMBS P#MA4360 2.00000000 31418DZ21 1464478.63000000 NS USD 1517125.71000000 0.115761385558 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 2.00000000 N N N N N N BOEING CO 3.1% 05/01/26 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 3.10000000 097023CH6 50000.00000000 NS USD 53205.69000000 0.004059758761 Long DBT CORP US N 2 2026-05-01 Fixed 3.10000000 N N N N N N PIEDMONT NATURAL 3.5% 06/01/29 N/A PIEDMONT NATURAL GAS CO REGD 3.50000000 720186AL9 123000.00000000 NS USD 136072.58000000 0.010382758853 Long DBT CORP US N 2 2029-06-01 Fixed 3.50000000 N N N N N N T/L REGIONALCARE H 0% 11/16/25 N/A T/L REGIONALCARE HOSPITAL PARTNERS HOLDINGS INC REGD 0.00000000 75915TAD4 214383.51000000 NS USD 213104.71000000 0.016260548704 Long LON CORP US N 2 2025-11-16 Variable 3.83463000 N N N N N N GNMA II P#MA1090 3.5% 06/20/43 N/A GINNIE MAE II POOL P#MA1090 3.50000000 36179NF78 242502.29000000 NS USD 261721.81000000 0.019970183852 Long ABS-MBS USGSE US N 2 2043-06-20 Fixed 3.50000000 N N N N N N ENTERPRISE PROD 3.95% 01/31/60 N/A ENTERPRISE PRODUCTS OPER REGD 3.95000000 29379VBZ5 70000.00000000 NS USD 77933.77000000 0.005946587772 Long DBT CORP US N 2 2060-01-31 Fixed 3.95000000 N N N N N N JPMAC 2007-CH2 M V/R 10/25/13 N/A JP MORGAN MORTGAGE ACQUISITION TRUST 2007-CH2 SER 2007-CH2 CL MV2 V/R REGD 0.38438000 46630MAY8 880000.00000000 NS USD 861665.55000000 0.065747747400 Long ABS-CBDO CORP US N 2 2037-01-25 Variable 0.38438000 N N N N N N UMBS P#AA8408 4% 06/01/24 N/A FANNIE MAE POOL UMBS P#AA8408 4.00000000 31416SKW0 6054.85000000 NS USD 6425.08000000 0.000490253482 Long ABS-MBS USGSE US N 2 2024-06-01 Fixed 4.00000000 N N N N N N INTEL CORP 4.75% 03/25/50 KNX4USFCNGPY45LOCE31 INTEL CORP REGD 4.75000000 458140BM1 140000.00000000 NS USD 187203.96000000 0.014284241344 Long DBT CORP US N 2 2050-03-25 Fixed 4.75000000 N N N N N N UMBS P#FM6184 2% 03/01/51 N/A FANNIE MAE POOL UMBS P#FM6184 2.00000000 3140X92S3 386515.05000000 NS USD 393830.86000000 0.030050513104 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N PARKER-HANNIFIN 3.25% 06/14/29 5493002CONDB4N2HKI23 PARKER-HANNIFIN CORP REGD 3.25000000 701094AN4 156000.00000000 NS USD 169775.40000000 0.012954388293 Long DBT CORP US N 2 2029-06-14 Fixed 3.25000000 N N N N N N SUMITOMO MITSUI 2.75% 01/15/30 35380028MYWPB6AUO129 SUMITOMO MITSUI FINL GRP REGD 2.75000000 86562MBW9 200000.00000000 NS USD 212060.06000000 0.016180838677 Long DBT CORP JP N 2 2030-01-15 Fixed 2.75000000 N N N N N N GNMA II P#MA7056 4.5% 12/20/50 N/A GINNIE MAE II POOL P#MA7056 4.50000000 36179VZV5 99999.80000000 NS USD 106815.41000000 0.008150346262 Long ABS-MBS USGSE US N 2 2050-12-20 Fixed 4.50000000 N N N N N N UMBS P#SD0494 3.5% 06/01/49 N/A FREDDIE MAC POOL UMBS P#SD0494 3.50000000 3132DMRP2 1255933.26000000 NS USD 1385284.48000000 0.105701491801 Long ABS-MBS USGA US N 2 2049-06-01 Fixed 3.50000000 N N N N N N CITIGROUP INC V/R 06/09/27 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD V/R 1.46200000 172967NA5 2575000.00000000 NS USD 2583963.55000000 0.197164413475 Long DBT CORP US N 2 2027-06-09 Variable 1.46200000 N N N N N N US TREAS NTS 0.125% 10/15/23 N/A UNITED STATES TREASURY NOTE 0.12500000 91282CAP6 5790000.00000000 NS USD 5777673.61000000 0.440854372178 Long DBT UST US N 2 2023-10-15 Fixed 0.12500000 N N N N N N UMBS P#CA2251 5% 08/01/48 N/A FANNIE MAE POOL UMBS P#CA2251 5.00000000 3140Q9QD8 21788.09000000 NS USD 23931.85000000 0.001826074198 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 5.00000000 N N N N N N PROCTER & GAMBLE 2.8% 03/25/27 2572IBTT8CCZW6AU4141 PROCTER & GAMBLE CO/THE REGD 2.80000000 742718FG9 30000.00000000 NS USD 32657.04000000 0.002491833190 Long DBT CORP US N 2 2027-03-25 Fixed 2.80000000 N N N N N N BAE SYSTEMS HOLD 3.8% 10/07/24 N/A BAE SYSTEMS HOLDINGS INC REGD P/P 3.80000000 05523UAK6 205000.00000000 NS USD 222564.65000000 0.016982371395 Long DBT CORP US Y 2 2024-10-07 Fixed 3.80000000 N N N N N N US TREAS NTS 0.75% 5/31/26 N/A UNITED STATES TREASURY NOTE 0.75000000 91282CCF6 8427000.00000000 NS USD 8432127.83000000 0.643397441868 Long DBT UST US N 2 2026-05-31 Fixed 0.75000000 N N N N N N US T BILL ZCP 01/06/22 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796K65 6415000.00000000 PA USD 6414079.20000000 0.489414087691 Long STIV UST US N 2 2022-01-06 Fixed 0.00000000 N N N N N N UMBS P#AS9760 4.5% 06/01/47 N/A FANNIE MAE POOL UMBS P#AS9760 4.50000000 3138WKZ24 304450.99000000 NS USD 332375.92000000 0.025361311044 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.50000000 N N N N N N UMBS P#FM5840 4.5% 11/01/49 N/A FANNIE MAE POOL UMBS P#FM5840 4.50000000 3140X9P25 450252.00000000 NS USD 490229.75000000 0.037406046663 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 4.50000000 N N N N N N HVMLT 2004-5 2A6 V/R 06/19/34 N/A HARBORVIEW MORTGAGE LOAN TRUST 2004-5 2A6 V/R REGD 2.40077800 41161PEX7 72892.61000000 NS USD 76123.33000000 0.005808445599 Long ABS-CBDO CORP US N 2 2034-06-19 Variable 2.40077800 N N N N N N VERIZON COMMUNI 5.85% 09/15/35 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 5.85000000 92344GAX4 71000.00000000 NS USD 98005.16000000 0.007478096929 Long DBT CORP US N 2 2035-09-15 Fixed 5.85000000 N N N N N N FNR 2011-8 ZA 4% 02/25/41 N/A FANNIE MAE REMICS SER 2011-8 CL ZA 4.00000000 31397QJJ8 450048.25000000 NS USD 483259.92000000 0.036874227069 Long ABS-CBDO CORP US N 2 2041-02-25 Fixed 4.00000000 N N N N N N UMBS P#QC3690 2.5% 07/01/51 N/A FREDDIE MAC POOL UMBS P#QC3690 2.50000000 3133ANC36 99393.56000000 NS USD 104130.72000000 0.007945496109 Long ABS-MBS USGA US N 2 2051-07-01 Fixed 2.50000000 N N N N N N UMBS P#AS8489 3% 12/01/46 N/A FANNIE MAE POOL UMBS P#AS8489 3.00000000 3138WJNF1 376152.58000000 NS USD 401666.65000000 0.030648408124 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N JPMORGAN CHASE & V/R 04/22/27 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 1.57800000 46647PCB0 2037000.00000000 NS USD 2057292.73000000 0.156977800425 Long DBT CORP US N 2 2027-04-22 Variable 1.57800000 N N N N N N EXPEDIA GROUP I 3.25% 02/15/30 N/A EXPEDIA GROUP INC REGD SER WI 3.25000000 30212PAR6 69000.00000000 NS USD 71638.61000000 0.005466247588 Long DBT CORP US N 2 2030-02-15 Fixed 3.25000000 N N N N N N UMBS P#AQ4555 4% 12/01/42 N/A FANNIE MAE POOL UMBS P#AQ4555 4.00000000 3138MLBZ6 62386.10000000 NS USD 68695.00000000 0.005241641037 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4.00000000 N N N N N N WFMBS 2019-4 A2 V/R 06/01/41 N/A WELLS FARGO MORTGAGE BACKED SECURITIES 2019-4 SER 2019-4 CL A2 V/R REGD 144A P/P 3.00000000 95002FAB0 198855.39000000 NS USD 201762.54000000 0.015395106041 Long ABS-CBDO CORP US Y 2 2049-09-25 Variable 3.00000000 N N N N N N IBM CORP 3.3% 05/15/26 VGRQXHF3J8VDLUA7XE92 IBM CORP REGD 3.30000000 459200JZ5 238000.00000000 NS USD 261848.83000000 0.019979875871 Long DBT CORP US N 2 2026-05-15 Fixed 3.30000000 N N N N N N SUNCOR ENERGY I 6.85% 06/01/39 549300W70ZOQDVLCHY06 SUNCOR ENERGY INC REGD 6.85000000 86722TAB8 51000.00000000 NS USD 74772.75000000 0.005705392166 Long DBT CORP CA N 2 2039-06-01 Fixed 6.85000000 N N N N N N GNMA II 30 YR TBA 2.5% SEPT 21 N/A GNMA II 30 YR TBA 2.5% SEPT 21 TO BE ANNOUNCED 2.50000000 21H022697 2800000.00000000 NS USD 2904343.76000000 0.221610414733 Long ABS-MBS USGA US N 2 2051-09-01 Fixed 2.50000000 N N N N N N US TREAS BDS 3.625% 08/15/43 N/A UNITED STATES TREASURY BOND 3.62500000 912810RC4 502500.00000000 NS USD 662985.94000000 0.050587878456 Long DBT UST US N 2 2043-08-15 Fixed 3.62500000 N N N N N N FNA 2017-M8 A2 V/R 05/25/27 N/A FANNIE MAE-ACES SER 2017-M8 CL A2 V/R 3.06100000 3136AW7J0 100000.00000000 NS USD 109910.59000000 0.008386518073 Long ABS-CBDO CORP US N 2 2027-05-25 Variable 3.06100000 N N N N N N ORACLE CORP 2.3% 03/25/28 1Z4GXXU7ZHVWFCD8TV52 ORACLE CORP REGD 2.30000000 68389XCD5 520000.00000000 NS USD 537115.32000000 0.040983560714 Long DBT CORP US N 2 2028-03-25 Fixed 2.30000000 N N N N N N GNMA P#781811 5% 10/15/34 N/A GINNIE MAE I POOL P#781811 5.00000000 36241KAL2 40444.35000000 NS USD 46555.44000000 0.003552324111 Long ABS-MBS USGSE US N 2 2034-10-15 Fixed 5.00000000 N N N N N N GNR 2017-H22 IC V/R 11/20/67 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-H22 CL IC V/R 2.34976000 38375UY79 608743.05000000 NS USD 53425.36000000 0.004076520262 Long ABS-CBDO CORP US N 2 2067-11-20 Variable 2.34976000 N N N N N N ANHEUSER-BUSCH I 4.6% 04/15/48 N/A ANHEUSER-BUSCH INBEV WOR REGD 4.60000000 035240AN0 36000.00000000 NS USD 44416.56000000 0.003389120949 Long DBT CORP US N 2 2048-04-15 Fixed 4.60000000 N N N N N N ORACLE CORP 3.85% 07/15/36 1Z4GXXU7ZHVWFCD8TV52 ORACLE CORP REGD 3.85000000 68389XBH7 267000.00000000 NS USD 296550.60000000 0.022627728287 Long DBT CORP US N 2 2036-07-15 Fixed 3.85000000 N N N N N N UMBS P#AB9351 3% 05/01/43 N/A FANNIE MAE POOL UMBS P#AB9351 3.00000000 31417GL95 196280.08000000 NS USD 210518.44000000 0.016063208301 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N BACARDI LTD 5.3% 05/15/48 549300R32WTQNHNN5055 BACARDI LTD REGD 144A P/P 5.30000000 067316AH2 140000.00000000 NS USD 186747.48000000 0.014249410508 Long DBT CORP BM Y 2 2048-05-15 Fixed 5.30000000 N N N N N N WFCM 2013-LC12 B V/R 07/15/23 N/A WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12 SER 2013-LC12 CL B V/R REGD 4.44313000 94988QAQ4 120000.00000000 NS USD 120469.04000000 0.009192160475 Long ABS-CBDO CORP US N 2 2046-07-15 Variable 4.44313000 N N N N N N TEVA PHARMACEUT 3.65% 11/10/21 N/A TEVA PHARMACEUT FIN BV REGD SER 2 3.65000000 88165FAF9 50000.00000000 NS USD 50272.50000000 0.003835947289 Long DBT CORP CW N 2 2021-11-10 Fixed 3.65000000 N N N N N N WFRBS 2012-C7 XA V/R 06/15/45 N/A WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7 SER 2012-C7 CL XA V/R REGD 1.44956900 92936TAF9 1545266.11000000 NS USD 5399.78000000 0.000412019920 Long ABS-CBDO CORP US Y 2 2045-06-15 Variable 1.44956900 N N N N N N SUNTORY HOLDING 2.25% 10/16/24 N/A SUNTORY HOLDINGS LTD REGD 144A P/P 2.25000000 86803UAD3 355000.00000000 NS USD 369071.43000000 0.028161291991 Long DBT CORP JP Y 2 2024-10-16 Fixed 2.25000000 N N N N N N BLUEM 2017-1A A1 V/R 07/20/29 N/A BLUEMOUNTAIN FUJI US CLO I LTD SER 2017-1A CL A1R V/R REGD 144A P/P 1.11425000 09629CAL9 775000.00000000 NS USD 775196.08000000 0.059149859308 Long ABS-CBDO CORP KY Y 2 2029-07-20 Variable 1.11425000 N N N N N N EQT CORP 3.625% 05/15/31 4NT01YGM4X7ZX86ISY52 EQT CORP REGD 144A P/P 3.62500000 26884LAN9 80000.00000000 NS USD 84510.80000000 0.006448435510 Long DBT CORP US Y 2 2031-05-15 Fixed 3.62500000 N N N N N N US TREAS NTS 0.5% 02/28/26 N/A UNITED STATES TREASURY NOTE 0.50000000 91282CBQ3 4214000.00000000 NS USD 4176880.60000000 0.318708912769 Long DBT UST US N 2 2026-02-28 Fixed 0.50000000 N N N N N N US TREAS BDS 3.125% 11/15/41 N/A UNITED STATES TREASURY BOND 3.12500000 912810QT8 2270000.00000000 NS USD 2775784.38000000 0.211800936285 Long DBT UST US N 2 2041-11-15 Fixed 3.12500000 N N N N N N US TREAS BDS 1.25% 05/15/50 N/A UNITED STATES TREASURY BOND 1.25000000 912810SN9 10870000.00000000 NS USD 9210201.98000000 0.702766906822 Long DBT UST US N 2 2050-05-15 Fixed 1.25000000 N N N N N N UMBS P#ZM3481 3.5% 06/01/47 N/A FREDDIE MAC POOL UMBS P#ZM3481 3.50000000 3131XW2N2 69143.16000000 NS USD 74285.71000000 0.005668229508 Long ABS-MBS USGA US N 2 2047-06-01 Fixed 3.50000000 N N N N N N PFSFC 2019-B A V/R 09/15/21 N/A PFS FINANCING CORP SER 2019-B CL A V/R REGD 144A P/P 0.64550000 69335PDG7 1230000.00000000 NS USD 1231690.51000000 0.093981796681 Long ABS-CBDO CORP US Y 2 2023-09-15 Variable 0.64550000 N N N N N N GNMA II P#MA7311 2% 04/20/51 N/A GINNIE MAE II POOL P#MA7311 2.00000000 36179WDQ8 1388631.57000000 NS USD 1419220.92000000 0.108290947170 Long ABS-MBS USGSE US N 2 2051-04-20 Fixed 2.00000000 N N N N N N US TREAS BDS 1.625% 11/15/50 N/A UNITED STATES TREASURY BOND 1.62500000 912810SS8 4905000.00000000 NS USD 4561458.41000000 0.348053389530 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N N UMBS P#MA2523 3% 02/01/36 N/A FANNIE MAE POOL UMBS P#MA2523 3.00000000 31418BYV2 135943.37000000 NS USD 143563.65000000 0.010954350671 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 3.00000000 N N N N N N UMBS P#ZA4692 3.5% 06/01/46 N/A FREDDIE MAC POOL UMBS P#ZA4692 3.50000000 31329NF94 239653.39000000 NS USD 257475.38000000 0.019646168105 Long ABS-MBS USGA US N 2 2046-06-01 Fixed 3.50000000 N N N N N N ORACLE CORP 3.25% 11/15/27 1Z4GXXU7ZHVWFCD8TV52 ORACLE CORP REGD 3.25000000 68389XBN4 235000.00000000 NS USD 256477.13000000 0.019569998542 Long DBT CORP US N 2 2027-11-15 Fixed 3.25000000 N N N N N N NOMURA HOLDING 3.103% 01/16/30 549300B3CEAHYG7K8164 NOMURA HOLDINGS INC REGD 3.10300000 65535HAQ2 230000.00000000 NS USD 243381.11000000 0.018570731697 Long DBT CORP JP N 2 2030-01-16 Fixed 3.10300000 N N N N N N REPUBLICA ORIE 4.375% 10/27/27 N/A REPUBLICA ORIENT URUGUAY REGD 4.37500000 760942BB7 355000.00000000 NS USD 411732.55000000 0.031416467437 Long DBT USGA UY N 2 2027-10-27 Fixed 4.37500000 N N N N N N UMBS P#FM7910 2.5% 07/01/51 N/A FANNIE MAE POOL UMBS P#FM7910 2.50000000 3140XBYG9 199021.12000000 NS USD 208806.98000000 0.015932618608 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N BABSN 2013-IA AR V/R 01/20/28 N/A BARINGS CLO LTD 2013-I SER 2013-IA CL AR V/R REGD 144A P/P 0.93425000 06760EAA4 441925.41000000 NS USD 442433.62000000 0.033759054066 Long ABS-CBDO CORP KY Y 2 2028-01-20 Variable 0.93425000 N N N N N N JPMORGAN CHASE & V/R 03/13/26 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 2.00500000 46647PBH8 972000.00000000 NS USD 1002796.91000000 0.076516506819 Long DBT CORP US N 2 2026-03-13 Variable 2.00500000 N N N N N N CENTENE CORP 4.625% 12/15/29 549300Z7JJ4TQSQGT333 CENTENE CORP REGD SER WI 4.62500000 15135BAT8 30000.00000000 NS USD 32944.20000000 0.002513744387 Long DBT CORP US N 2 2029-12-15 Fixed 4.62500000 N N N N N N ASTRAZENECA PL 1.375% 08/06/30 PY6ZZQWO2IZFZC3IOL08 ASTRAZENECA PLC REGD 1.37500000 046353AW8 330000.00000000 NS USD 317963.97000000 0.024261634670 Long DBT CORP GB N 2 2030-08-06 Fixed 1.37500000 N N N N N N MEX BONOS DE 10% 12/05/24/MXN/ N/A MEX BONOS DESARR FIX RT /MXN/ REGD SER M 20 10.00000000 P9767GB34 15120000.00000000 NS 837922.58000000 0.063936085330 Long DBT USGA MX N 2 2024-12-05 Fixed 10.00000000 N N N N N N DANSKE BANK A/S V/R 12/20/25 MAES062Z21O4RZ2U7M96 DANSKE BANK A/S REGD V/R 3.24400000 23636AAV3 240000.00000000 NS USD 255257.47000000 0.019476934710 Long DBT CORP DK Y 2 2025-12-20 Variable 3.24400000 N N N N N N UMBS P#ZT1546 4.5% 12/01/48 N/A FREDDIE MAC POOL UMBS P#ZT1546 4.50000000 3132ADWF1 291340.69000000 NS USD 314591.15000000 0.024004278068 Long ABS-MBS USGA US N 2 2048-12-01 Fixed 4.50000000 N N N N N N BROADCOM INC 4.7% 04/15/25 549300WV6GIDOZJTV909 BROADCOM INC REGD 4.70000000 11135FBC4 370000.00000000 NS USD 414150.60000000 0.031600972134 Long DBT CORP US N 2 2025-04-15 Fixed 4.70000000 N N N N N N WELLS FARGO & C 3.75% 01/24/24 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD MTN 3.75000000 95000U2C6 270000.00000000 NS USD 289557.43000000 0.022094127780 Long DBT CORP US N 2 2024-01-24 Fixed 3.75000000 N N N N N N NSLT 2021-A AP 1.36% 04/20/62 N/A NELNET STUDENT LOAN TRUST 2021-A SER 2021-A CL APT1 REGD 144A P/P 1.36000000 64035DAB2 235746.66000000 NS USD 236748.39000000 0.018064634640 Long ABS-CBDO CORP US Y 2 2062-04-20 Fixed 1.36000000 N N N N N N AMCOR FLEXIBLES 2.69% 05/25/31 N/A AMCOR FLEXIBLES NORTH AM REGD 2.69000000 02344AAA6 236000.00000000 NS USD 246229.01000000 0.018788035279 Long DBT CORP US N 2 2031-05-25 Fixed 2.69000000 N N N N N N WMALT 2007-OA2 2 V/R 01/25/47 N/A WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATE SER 2007-OA2 CL 2A V/R REGD 0.79792000 93935QAB3 346364.77000000 NS USD 309309.00000000 0.023601233681 Long ABS-CBDO CORP US N 2 2047-01-25 Variable 0.79792000 N N N N N N ROCKIES EXPRESS 4.95% 07/15/29 N/A ROCKIES EXPRESS PIPELINE REGD 144A P/P 4.95000000 77340RAR8 300000.00000000 NS USD 312496.50000000 0.023844449793 Long DBT CORP US Y 2 2029-07-15 Fixed 4.95000000 N N N N N N UNITED AIR 201 2.875% 10/07/28 N/A UNITED AIR 2016-2 AA PTT REGD SER AA 2.87500000 90932EAA1 43194.12000000 NS USD 44251.07000000 0.003376493550 Long DBT CORP US N 2 2028-10-07 Fixed 2.87500000 N N N N N N LLOYDS BANKING G 3.9% 03/12/24 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC REGD 3.90000000 53944YAH6 400000.00000000 NS USD 431950.91000000 0.032959190860 Long DBT CORP GB N 2 2024-03-12 Fixed 3.90000000 N N N N N N F/C US 5YR NOTE (CBT) DEC21 N/A FUTURE CONTRACT ON US 5YR NOTE (CBT) DEC21 0.00000000 N/A 391.00000000 NC USD 48374031.25000000 3.691088250390 N/A DIR CORP US N 1 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Long F/C US 5YR NOTE (CBT) DEC21 US 5YR NOTE (CBT) DEC21 2021-12-31 48296422.37000000 USD 77608.88000000 N N N ECOLAB INC 2.75% 08/18/55 82DYEISM090VG8LTLS26 ECOLAB INC REGD 144A P/P 2.75000000 278865BH2 84000.00000000 NS USD 83141.27000000 0.006343936134 Long DBT CORP US Y 2 2055-08-18 Fixed 2.75000000 N N N N N N STACR 2017-DNA2 V/R 10/25/29 N/A FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES SER 2017-DNA2 CL M2 V/R REGD 3.53438000 3137G0NX3 655000.00000000 NS USD 677895.85000000 0.051725550719 Long ABS-CBDO CORP US N 2 2029-10-25 Variable 3.53438000 N N N N N N UMBS P#890877 3.5% 07/01/48 N/A FANNIE MAE POOL UMBS P#890877 3.50000000 31410LXE7 377415.03000000 NS USD 401212.78000000 0.030613776439 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 3.50000000 N N N N N N FNA 2015-M8 X2 V/R 01/25/25 N/A FANNIE MAE-ACES SER 2015-M8 CL X2 V/R 0.18100000 3136ANYS0 16518174.67000000 NS USD 47360.91000000 0.003613783964 Long ABS-CBDO CORP US N 2 2025-01-25 Variable 0.18100000 N N N N N N UMBS P#AT3708 3.5% 04/01/33 N/A FANNIE MAE POOL UMBS P#AT3708 3.50000000 3138WRDN7 417255.93000000 NS USD 451084.02000000 0.034419106349 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 3.50000000 N N N N N N C/O US BOND FUTR OPT OCT21 165 N/A CALL OPTION ON US BOND FUTR OPTN OCT21 165 0.00000000 N/A -85.00000000 NC USD -53125.00000000 -0.00405360186 N/A DO CORP US N 1 WESTERN N/A Call Purchased C/O US BOND FUTR OPT OCT21 165 0 -85000.00000000 USD 165.00000000 USD 2021-09-24 XXXX 104415.45000000 N N N WESTERN MIDSTREA 6.5% 02/01/50 N/A WESTERN MIDSTREAM OPERAT REGD 6.50000000 958667AA5 90000.00000000 NS USD 106225.20000000 0.008105311413 Long DBT CORP US N 2 2050-02-01 Fixed 6.50000000 N N N N N N T/L HARBOR 0% 10/19/2027 N/A T/L HARBOR FREIGHT TOOLS USA INC REGD 0.00000000 N/A 467644.12000000 NS USD 466528.79000000 0.035597590085 Long LON CORP US N 2 2027-10-19 Variable 3.25000000 N N N N N N FHR 3973 SA V/R 12/15/41 N/A FREDDIE MAC REMICS SER 3973 CL SA V/R 6.39450000 3137AJYN8 18237.72000000 NS USD 4021.72000000 0.000306869678 Long ABS-CBDO CORP US N 2 2041-12-15 Variable 6.39450000 N N N N N N DELL INT LLC / 8.35% 07/15/46 N/A DELL INT LLC / EMC CORP REGD 8.35000000 24703TAK2 75000.00000000 NS USD 123124.29000000 0.009394764265 Long DBT CORP US N 2 2046-07-15 Fixed 8.35000000 N N N N N N FGLMC P#G67713 4% 06/01/48 N/A FREDDIE MAC GOLD POOL P#G67713 4.00000000 3132XCSA4 709370.77000000 NS USD 777877.11000000 0.059354430192 Long ABS-MBS USGA US N 2 2048-06-01 Fixed 4.00000000 N N N N N N UMBS P#FM5660 4.5% 08/01/49 N/A FANNIE MAE POOL UMBS P#FM5660 4.50000000 3140X9JE6 69419.29000000 NS USD 75487.36000000 0.005759919120 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4.50000000 N N N N N N UMBS P#AS0070 4% 08/01/43 N/A FANNIE MAE POOL UMBS P#AS0070 4.00000000 3138W9CG3 57385.42000000 NS USD 63186.24000000 0.004821305605 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.00000000 N N N N N N SHELL INTERNAT 4.375% 05/11/45 N/A SHELL INTERNATIONAL FIN REGD 4.37500000 822582BF8 220000.00000000 NS USD 274205.58000000 0.020922734127 Long DBT CORP NL N 2 2045-05-11 Fixed 4.37500000 N N N N N N MARSH & MCLENN 4.375% 03/15/29 549300XMP3KDCKJXIU47 MARSH & MCLENNAN COS INC REGD 4.37500000 571748BG6 69000.00000000 NS USD 81194.17000000 0.006195366380 Long DBT CORP US N 2 2029-03-15 Fixed 4.37500000 N N N N N N COOPERATIEVE R 4.625% 12/01/23 DG3RU1DBUFHT4ZF9WN62 COOPERATIEVE RABOBANK UA REGD 4.62500000 21684AAA4 310000.00000000 NS USD 337453.82000000 0.025748770525 Long DBT CORP NL N 2 2023-12-01 Fixed 4.62500000 N N N N N N GNMA II P#5116 5% 07/20/41 N/A GINNIE MAE II POOL P#5116 5.00000000 36202FVH6 14049.21000000 NS USD 15875.05000000 0.001211315431 Long ABS-MBS USGSE US N 2 2041-07-20 Fixed 5.00000000 N N N N N N ENERGY TRANSFER 4.5% 04/15/24 MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD 4.50000000 29278NAH6 270000.00000000 NS USD 293338.73000000 0.022382652669 Long DBT CORP US N 2 2024-04-15 Fixed 4.50000000 N N N N N N TUCSON ELECTRIC 3.85% 03/15/23 N/A TUCSON ELECTRIC POWER CO REGD 3.85000000 898813AL4 800000.00000000 NS USD 834197.87000000 0.063651878433 Long DBT CORP US N 2 2023-03-15 Fixed 3.85000000 N N N N N N SMB 2017-B A2B V/R 07/15/26 N/A SMB PRIVATE EDUCATION LOAN TRUST 2017-B SER 2017-B CL A2B V/R REGD 144A P/P 0.84313000 83189DAC4 74230.21000000 NS USD 74577.14000000 0.005690466518 Long ABS-CBDO CORP US Y 2 2035-10-15 Variable 0.84313000 N N N N N N US TREAS NTS 0.375% 11/30/25 N/A UNITED STATES TREASURY NOTE 0.37500000 91282CAZ4 1920000.00000000 NS USD 1896974.99000000 0.144745060850 Long DBT UST US N 2 2025-11-30 Fixed 0.37500000 N N N N N N N/A N/A IRS RUS3MP01.63 02/15/47 GOLDUS33 FLOAT N/A 1.00000000 NC USD 23709.61000000 0.001809116598 N/A DIR US N 2 BNP PARIBAS N/A BNP PARIBAS N/A BNP PARIBAS N/A N/A N/A Y 2047-02-15 -5682999.91000000 USD 5745000.00000000 USD 5745000.00000000 USD -38290.48000000 N N N AMER AIRLINE 1 3.575% 01/15/28 N/A AMER AIRLINE 16-1 AA PTT REGD SER AA 3.57500000 02376UAA3 304748.82000000 NS USD 314669.06000000 0.024010222843 Long DBT CORP US N 2 2028-01-15 Fixed 3.57500000 N N N N N N BNP PARIBAS V/R 04/19/32 R0MUWSFPU8MPRO8K5P83 BNP PARIBAS REGD V/R 144A P/P 2.87100000 09659W2P8 200000.00000000 NS USD 207629.47000000 0.015842770952 Long DBT CORP FR Y 2 2032-04-19 Variable 2.87100000 N N N N N N GNR 2016-135 SB V/R 10/16/46 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2016-135 CL SB V/R 6.00450000 38380AK63 58437.45000000 NS USD 16956.26000000 0.001293815099 Long ABS-CBDO CORP US N 2 2046-10-16 Variable 6.00450000 N N N N N N PEPSICO INC 3.625% 03/19/50 FJSUNZKFNQ5YPJ5OT455 PEPSICO INC REGD 3.62500000 713448EU8 20000.00000000 NS USD 23793.92000000 0.001815549712 Long DBT CORP US N 2 2050-03-19 Fixed 3.62500000 N N N N N N UMBS P#SD0493 3.5% 06/01/48 N/A FREDDIE MAC POOL UMBS P#SD0493 3.50000000 3132DMRN7 559476.82000000 NS USD 610127.28000000 0.046554599156 Long ABS-MBS USGA US N 2 2048-06-01 Fixed 3.50000000 N N N N N N DELTA AIR LINES 3.8% 04/19/23 Q2CCMS6R0AS67HJMBN42 DELTA AIR LINES INC REGD 3.80000000 247361ZP6 50000.00000000 NS USD 51829.37000000 0.003954741287 Long DBT CORP US N 2 2023-04-19 Fixed 3.80000000 N N N N N N PENSKE TRUCK LEASI 4% 07/15/25 N/A PENSKE TRUCK LEASING/PTL REGD 144A P/P 4.00000000 709599BJ2 164000.00000000 NS USD 180507.34000000 0.013773268519 Long DBT CORP US Y 2 2025-07-15 Fixed 4.00000000 N N N N N N UMBS P#AT9653 4% 07/01/43 N/A FANNIE MAE POOL UMBS P#AT9653 4.00000000 3138WXWP8 109034.04000000 NS USD 121688.09000000 0.009285177761 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N US TREAS NTS 1.25% 08/15/31 N/A UNITED STATES TREASURY NOTE 1.25000000 91282CCS8 2555000.00000000 NS USD 2542823.84000000 0.194025326318 Long DBT UST US N 2 2031-08-15 Fixed 1.25000000 N N N N N N AMER AIRLINE 16 5.25% 01/15/24 N/A AMER AIRLINE 16-1 B PTT REGD SER B 5.25000000 02376YAA5 72546.33000000 NS USD 71820.97000000 0.005480162220 Long DBT CORP US N 2 2024-01-15 Fixed 5.25000000 N N N N N N RUSSIA GOVT 7.7% 03/16/39/RUB/ N/A RUSSIA GOVT BOND - OFZ /RUB/ REGD SER 6230 7.70000000 X5424XCK2 49650000.00000000 NS 716994.02000000 0.054708862057 Long DBT USGA RU N 2 2039-03-16 Fixed 7.70000000 N N N N N N LOCKHEED MARTIN 3.8% 03/01/45 DPRBOZP0K5RM2YE8UU08 LOCKHEED MARTIN CORP REGD 3.80000000 539830BD0 246000.00000000 NS USD 290732.32000000 0.022183775522 Long DBT CORP US N 2 2045-03-01 Fixed 3.80000000 N N N N N N KRAFT HEINZ FOO 4.25% 03/01/31 N/A KRAFT HEINZ FOODS CO REGD SER WI 4.25000000 50077LBF2 40000.00000000 NS USD 46229.29000000 0.003527437857 Long DBT CORP US N 2 2031-03-01 Fixed 4.25000000 N N N N N N BANK OF AMERICA C V/R 10/24/31 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 1.92200000 06051GJL4 190000.00000000 NS USD 186324.47000000 0.014217133536 Long DBT CORP US N 2 2031-10-24 Variable 1.92200000 N N N N N N CSMC 2018-J1 A2 V/R 02/25/48 N/A CSMC TRUST 2018-J1 SER 2018-J1 CL A2 V/R REGD 144A P/P 3.50000000 12653TAB7 888403.40000000 NS USD 909677.55000000 0.069411211546 Long ABS-CBDO CORP US N 2 2048-02-25 Variable 3.50000000 N N N N N N CGCMT 2013-37 3.251% 05/10/23 N/A CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P SER 2013-375P CL A REGD 144A P/P 3.25100000 17320QAA7 140000.00000000 NS USD 145156.62000000 0.011075899210 Long ABS-CBDO CORP US Y 2 2035-05-10 Fixed 3.25100000 N N N N N N HEALTHPEAK PROPE 3.4% 02/01/25 PZ9HF5U52KPF0MH0QN75 HEALTHPEAK PROPERTIES REGD 3.40000000 40414LAM1 31000.00000000 NS USD 33275.17000000 0.002538998422 Long DBT CORP US N 2 2025-02-01 Fixed 3.40000000 N N N N N N AT&T INC 5.15% 02/15/50 549300Z40J86GGSTL398 AT&T INC REGD SER WI 5.15000000 00206RFU1 215000.00000000 NS USD 278804.93000000 0.021273678762 Long DBT CORP US N 2 2050-02-15 Fixed 5.15000000 N N N N N N FNMA P#995112 05.500% 07/01/36 N/A FANNIE MAE POOL UMBS P#995112 5.50000000 31416BN53 46476.06000000 NS USD 53954.45000000 0.004116891466 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 5.50000000 N N N N N N CAS 2014-C02 1M2 V/R 05/25/24 N/A FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2014-C02 CL 1M2 V/R REGD 2.68438000 30711XAF1 773475.29000000 NS USD 780909.24000000 0.059585791092 Long ABS-CBDO CORP US N 2 2024-05-25 Variable 2.68438000 N N N N N N AIR LEASE CORP 3.375% 07/01/25 5493004NW4M4P8TMMK63 AIR LEASE CORP REGD 3.37500000 00914AAH5 200000.00000000 NS USD 214271.77000000 0.016349598993 Long DBT CORP US N 2 2025-07-01 Fixed 3.37500000 N N N N N N GENERAL MOTORS 4.35% 04/09/25 N/A GENERAL MOTORS FINL CO REGD 4.35000000 37045XCK0 87000.00000000 NS USD 95998.08000000 0.007324950515 Long DBT CORP US N 2 2025-04-09 Fixed 4.35000000 N N N N N N JPMORGAN CHASE & V/R 04/22/51 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 3.10900000 46647PBN5 50000.00000000 NS USD 52391.71000000 0.003997649569 Long DBT CORP US N 2 2051-04-22 Variable 3.10900000 N N N N N N T-MOBILE USA I 2.875% 02/15/31 N/A T-MOBILE USA INC REGD 2.87500000 87264ABT1 80000.00000000 NS USD 82300.00000000 0.006279744630 Long DBT CORP US N 2 2031-02-15 Fixed 2.87500000 N N N N N N GENERAL MOTORS F 5.2% 03/20/23 N/A GENERAL MOTORS FINL CO REGD 5.20000000 37045XCW4 421000.00000000 NS USD 449705.20000000 0.034313898117 Long DBT CORP US N 2 2023-03-20 Fixed 5.20000000 N N N N N N GNMA II P#MA4126 3% 12/20/46 N/A GINNIE MAE II POOL P#MA4126 3.00000000 36179SSP3 529337.61000000 NS USD 559783.12000000 0.042713183987 Long ABS-MBS USGSE US N 2 2046-12-20 Fixed 3.00000000 N N N N N N FNMA P#791263 6.0% 8/1/34 N/A FNMA P#791263 6.0% 8/1/34 6.00000000 31405KB83 106319.67000000 NS USD 119507.95000000 0.009118826334 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N GENERAL ELECTRIC V/R 08/15/36 3C7474T6CDKPR9K6YT90 GENERAL ELECTRIC CO REGD V/R MTN 0.60475000 36962GX74 1025000.00000000 NS USD 891826.08000000 0.068049089154 Long DBT CORP US N 2 2036-08-15 Variable 0.60475000 N N N N N N UMBS P#BF0104 4% 02/01/56 N/A FANNIE MAE POOL UMBS P#BF0104 4.00000000 3140FXDJ8 152599.86000000 NS USD 172377.99000000 0.013152973962 Long ABS-MBS USGSE US N 2 2056-02-01 Fixed 4.00000000 N N N N N N T/L NEXSTAR 0% 09/18/2026 N/A T/L NEXSTAR BROADCASTING INC REGD 0.00000000 65336RAW8 490184.76000000 NS USD 488498.52000000 0.037273948457 Long LON CORP US N 2 2026-09-18 Variable 2.59575000 N N N N N N CME GROUP INC 3.75% 06/15/28 LCZ7XYGSLJUHFXXNXD88 CME GROUP INC REGD 3.75000000 12572QAJ4 100000.00000000 NS USD 114622.41000000 0.008746044517 Long DBT CORP US N 2 2028-06-15 Fixed 3.75000000 N N N N N N UMBS P#RA2658 3.5% 05/01/50 N/A FREDDIE MAC POOL UMBS P#RA2658 3.50000000 3133KH5T9 67136.85000000 NS USD 72273.98000000 0.005514728284 Long ABS-MBS USGA US N 2 2050-05-01 Fixed 3.50000000 N N N N N N UMBS P#FM2256 4.5% 10/01/44 N/A FANNIE MAE POOL UMBS P#FM2256 4.50000000 3140X5QJ5 386922.39000000 NS USD 432762.59000000 0.033021124555 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4.50000000 N N N N N N OFFICE CHERIFIE 3.75% 06/23/31 N/A OFFICE CHERIFIEN DES PHO REGD 144A P/P 3.75000000 67091TAD7 200000.00000000 NS USD 202938.80000000 0.015484858319 Long DBT CORP MA Y 2 2031-06-23 Fixed 3.75000000 N N N N N N N/A N/A AUD/USD FWD 20211019 STAR USD N/A 1.00000000 NC N/A -109189.89000000 -0.00833152643 N/A DFE N/A N 2 CITIBANK N.A. N/A -4845910.22000000 USD 6473202.00000000 AUD 2021-10-19 -109189.89000000 N N N T/L BAUSCH HEALT 0% 06/02/2025 N/A T/L BAUSCH HEALTH COMPANIES___ INC REGD 0.00000000 C9413PAZ6 53459.66000000 NS USD 53326.01000000 0.004068939550 Long LON CORP CA N 2 2025-06-02 Variable 3.08463000 N N N N N N UMBS P#BH0187 2.5% 04/01/32 N/A FANNIE MAE POOL UMBS P#BH0187 2.50000000 3140GNF57 117117.92000000 NS USD 123030.53000000 0.009387610087 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 2.50000000 N N N N N N FREEPORT-MCMORA 4.55% 11/14/24 549300IRDTHJQ1PVET45 FREEPORT-MCMORAN INC REGD 4.55000000 35671DBL8 10000.00000000 NS USD 10837.50000000 0.000826934780 Long DBT CORP US N 2 2024-11-14 Fixed 4.55000000 N N N N N N ALPHABET INC 0.8% 08/15/27 5493006MHB84DD0ZWV18 ALPHABET INC REGD 0.80000000 02079KAJ6 70000.00000000 NS USD 68494.19000000 0.005226318613 Long DBT CORP US N 2 2027-08-15 Fixed 0.80000000 N N N N N N KINDER MORGAN IN 5.2% 03/01/48 549300WR7IX8XE0TBO16 KINDER MORGAN INC REGD 5.20000000 49456BAQ4 10000.00000000 NS USD 12611.38000000 0.000962287312 Long DBT CORP US N 2 2048-03-01 Fixed 5.20000000 N N N N N N COMCAST CORP 3.4% 04/01/30 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 3.40000000 20030NDG3 556000.00000000 NS USD 619113.03000000 0.047240239683 Long DBT CORP US N 2 2030-04-01 Fixed 3.40000000 N N N N N N UMBS P#ZS8669 3% 09/01/32 N/A FREDDIE MAC POOL UMBS P#ZS8669 3.00000000 3132A9T23 65875.81000000 NS USD 69800.85000000 0.005326020814 Long ABS-MBS USGA US N 2 2032-09-01 Fixed 3.00000000 N N N N N N UMBS P#BC9077 3.5% 12/01/46 N/A FANNIE MAE POOL UMBS P#BC9077 3.50000000 3140F5CP6 91466.61000000 NS USD 98815.30000000 0.007539913117 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N AT&T INC 2.3% 06/01/27 549300Z40J86GGSTL398 AT&T INC REGD SER * 2.30000000 00206RJX1 472000.00000000 NS USD 492019.75000000 0.037542629201 Long DBT CORP US N 2 2027-06-01 Fixed 2.30000000 N N N N N N CITIGROUP INC V/R 03/31/31 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD V/R 4.41200000 172967MP3 210000.00000000 NS USD 246449.44000000 0.018804854770 Long DBT CORP US N 2 2031-03-31 Variable 4.41200000 N N N N N N UMBS P#SD8150 2% 06/01/51 N/A FREDDIE MAC POOL UMBS P#SD8150 2.00000000 3132DWBT9 1595052.84000000 NS USD 1619159.83000000 0.123546904601 Long ABS-MBS USGA US N 2 2051-06-01 Fixed 2.00000000 N N N N N N FHR 5010 IK 2.5% 09/25/50 N/A FREDDIE MAC REMICS SER 5010 CL IK 2.50000000 3137FVQ54 83517.28000000 NS USD 11158.89000000 0.000851457831 Long ABS-CBDO CORP US N 2 2050-09-25 Fixed 2.50000000 N N N N N N HUMANA INC 1.35% 02/03/27 529900YLDW34GJAO4J06 HUMANA INC REGD 1.35000000 444859BQ4 128000.00000000 NS USD 127522.99000000 0.009730398684 Long DBT CORP US N 2 2027-02-03 Fixed 1.35000000 N N N N N N UMBS P#AL6672 5% 05/01/42 N/A FANNIE MAE POOL UMBS P#AL6672 5.00000000 3138EPMW1 75792.44000000 NS USD 86768.80000000 0.006620727896 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 5.00000000 N N N N N N FHMS KF73 AL V/R 11/25/29 N/A FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER KF73 CL AL V/R 0.69050000 3137FQKH5 2089234.34000000 NS USD 2109722.21000000 0.160978331962 Long ABS-CBDO CORP US N 2 2029-11-25 Variable 0.69050000 N N N N N N ENERGY TRANSFER 8.25% 11/15/29 MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD SER * 8.25000000 29273RBC2 380000.00000000 NS USD 525360.96000000 0.040086666679 Long DBT CORP US N 2 2029-11-15 Fixed 8.25000000 N N N N N N JPMCC 2018-PHH F V/R 06/15/20 N/A J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUS SER 2018-PHH CL F V/R REGD 4.66000000 46650FAQ5 1710000.00000000 NS USD 466830.00000000 0.035620573340 Long ABS-CBDO CORP US Y 2 2035-06-15 Variable 4.66000000 N N N N N N TECK RESOURCES LIM 6% 08/15/40 T8KI5SQ2JRWHL7XY0E11 TECK RESOURCES LIMITED REGD 6.00000000 878742AS4 10000.00000000 NS USD 12920.86000000 0.000985901594 Long DBT CORP CA N 2 2040-08-15 Fixed 6.00000000 N N N N N N 3M COMPANY 3.7% 04/15/50 LUZQVYP4VS22CLWDAR65 3M COMPANY REGD 3.70000000 88579YBP5 190000.00000000 NS USD 225872.67000000 0.017234783555 Long DBT CORP US N 2 2050-04-15 Fixed 3.70000000 N N N N N N RANGE RESOURCES CO 5% 03/15/23 H3Y3WLYCX0BTO1TRW162 RANGE RESOURCES COR REGD SER * 5.00000000 75281ABA6 105000.00000000 NS USD 107893.80000000 0.008232630756 Long DBT CORP US N 2 2023-03-15 Fixed 5.00000000 N N N N N N FARMERS EXCHANGE 7.2% 07/15/48 N/A FARMERS EXCHANGE CAPITAL REGD P/P 7.20000000 309588AE1 100000.00000000 NS USD 146061.38000000 0.011144935198 Long DBT CORP US Y 2 2048-07-15 Fixed 7.20000000 N N N N N N UMBS P#CA2482 4.5% 10/01/48 N/A FANNIE MAE POOL UMBS P#CA2482 4.50000000 3140Q9XL2 157023.26000000 NS USD 172396.26000000 0.013154368020 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N US TREAS NTS 0.25% 10/31/25 N/A UNITED STATES TREASURY NOTE 0.25000000 91282CAT8 2840000.00000000 NS USD 2793406.25000000 0.213145539486 Long DBT UST US N 2 2025-10-31 Fixed 0.25000000 N N N N N N WFCM 2019-C52 XA V/R 08/15/52 N/A WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C52 SER 2019-C52 CL XA V/R REGD 1.75893000 95002MAY5 3485968.74000000 NS USD 345425.69000000 0.026357048870 Long ABS-CBDO CORP US N 2 2052-08-15 Variable 1.75893000 N N N N N N UMBS P#FM8315 2.5% 07/01/51 N/A FANNIE MAE POOL UMBS P#FM8315 2.50000000 3140XCGZ5 99824.29000000 NS USD 105479.68000000 0.008048425931 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N DEVON ENERGY CO 5.85% 12/15/25 54930042348RKR3ZPN35 DEVON ENERGY CORPORATION REGD 5.85000000 25179MAV5 708000.00000000 NS USD 824636.74000000 0.062922334632 Long DBT CORP US N 2 2025-12-15 Fixed 5.85000000 N N N N N N RELX CAPITAL INC 3.5% 03/16/23 N/A RELX CAPITAL INC REGD 3.50000000 74949LAB8 305000.00000000 NS USD 318429.82000000 0.024297180466 Long DBT CORP US N 2 2023-03-16 Fixed 3.50000000 N N N N N N CROWN CASTLE INT 3.1% 11/15/29 54930012H97VSM0I2R19 CROWN CASTLE INTL CORP REGD 3.10000000 22822VAN1 150000.00000000 NS USD 160270.64000000 0.012229145698 Long DBT CORP US N 2 2029-11-15 Fixed 3.10000000 N N N N N N UMBS P#FM3158 4% 11/01/48 N/A FANNIE MAE POOL UMBS P#FM3158 4.00000000 3140X6QL8 56255.68000000 NS USD 61508.92000000 0.004693320900 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N COMCAST CORP 3.969% 11/01/47 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD SER WI 3.96900000 20030NCC3 272000.00000000 NS USD 320162.22000000 0.024429367946 Long DBT CORP US N 2 2047-11-01 Fixed 3.96900000 N N N N N N APACHE CORP 3.25% 04/15/22 72ZZ1XRHOOU9P9X16K08 APACHE CORP REGD 3.25000000 037411AZ8 181000.00000000 NS USD 182829.91000000 0.013950487796 Long DBT CORP US N 2 2022-04-15 Fixed 3.25000000 N N N N N N BERKSHIRE HATHA 4.25% 01/15/49 N/A BERKSHIRE HATHAWAY FIN REGD 4.25000000 084664CR0 350000.00000000 NS USD 440188.42000000 0.033587738359 Long DBT CORP US N 2 2049-01-15 Fixed 4.25000000 N N N N N N BECTON DICKINS 4.685% 12/15/44 ICE2EP6D98PQUILVRZ91 BECTON DICKINSON AND CO REGD 4.68500000 075887BG3 47000.00000000 NS USD 59852.85000000 0.004566957635 Long DBT CORP US N 2 2044-12-15 Fixed 4.68500000 N N N N N N UNITED PARCEL SE 3.4% 03/15/29 D01LMJZU09ULLNCY6Z23 UNITED PARCEL SERVICE REGD 3.40000000 911312BR6 264000.00000000 NS USD 297091.11000000 0.022668970873 Long DBT CORP US N 2 2029-03-15 Fixed 3.40000000 N N N N N N GNMA II P#MA2754 3.5% 04/20/45 N/A GINNIE MAE II POOL P#MA2754 3.50000000 36179RBX6 40622.44000000 NS USD 43505.75000000 0.003319623328 Long ABS-MBS USGSE US N 2 2045-04-20 Fixed 3.50000000 N N N N N N TARGA RESOURCES 5.5% 03/01/30 N/A TARGA RESOURCES PARTNERS REGD 5.50000000 87612BBQ4 50000.00000000 NS USD 55187.50000000 0.004210976996 Long DBT CORP US N 2 2030-03-01 Fixed 5.50000000 N N N N N N JPMBB 2013-C17 B V/R 12/15/23 N/A JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C17 SER 2013-C17 CL B V/R REGD 5.04884400 46640UAJ1 40000.00000000 NS USD 42958.05000000 0.003277832124 Long ABS-CBDO CORP US N 2 2047-01-15 Variable 5.04884400 N N N N N N GNMA II P#785218 2% 12/20/50 N/A GINNIE MAE II POOL P#785218 2.00000000 3622AAVK7 193207.56000000 NS USD 197435.68000000 0.015064953236 Long ABS-MBS USGSE US N 2 2050-12-20 Fixed 2.00000000 N N N N N N UMBS P#AT9839 4% 06/01/43 N/A FANNIE MAE POOL UMBS P#AT9839 4.00000000 3138WX4Z7 42302.07000000 NS USD 47211.60000000 0.003602391149 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N MIZUHO FINANCIAL V/R 07/10/31 353800CI5L6DDAN5XZ33 MIZUHO FINANCIAL GROUP REGD V/R 2.20100000 60687YBH1 200000.00000000 NS USD 200251.69000000 0.015279823512 Long DBT CORP JP N 2 2031-07-10 Variable 2.20100000 N N N N N N MICROSOFT CORP 2.675% 06/01/60 INR2EJN1ERAN0W5ZP974 MICROSOFT CORP REGD 2.67500000 594918CD4 8000.00000000 NS USD 8074.26000000 0.000616091019 Long DBT CORP US N 2 2060-06-01 Fixed 2.67500000 N N N N N N UMBS P#BN0341 5% 12/01/48 N/A FANNIE MAE POOL UMBS P#BN0341 5.00000000 3140JGLX1 252841.97000000 NS USD 278177.47000000 0.021225801623 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 5.00000000 N N N N N N UMBS P#FM5931 2.5% 02/01/51 N/A FANNIE MAE POOL UMBS P#FM5931 2.50000000 3140X9SV8 188592.57000000 NS USD 197371.30000000 0.015060040843 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N VERIZON COMMUN 4.862% 08/21/46 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD SER WI 4.86200000 92343VCK8 291000.00000000 NS USD 379179.15000000 0.028932542299 Long DBT CORP US N 2 2046-08-21 Fixed 4.86200000 N N N N N N UNICREDIT SPA 6.572% 01/14/22 549300TRUWO2CD2G5692 UNICREDIT SPA REGD 144A P/P MTN 6.57200000 904678AJ8 580000.00000000 NS USD 592347.83000000 0.045197972113 Long DBT CORP IT Y 2 2022-01-14 Fixed 6.57200000 N N N N N N UMBS P#SB8027 3% 01/01/35 N/A FREDDIE MAC POOL UMBS P#SB8027 3.00000000 3132D54L3 323131.00000000 NS USD 340770.00000000 0.026001805319 Long ABS-MBS USGA US N 2 2035-01-01 Fixed 3.00000000 N N N N N N ENTERGY ARKANSA 3.35% 06/15/52 N/A ENTERGY ARKANSAS LLC REGD 3.35000000 29366MAC2 87000.00000000 NS USD 96214.66000000 0.007341476239 Long DBT CORP US N 2 2052-06-15 Fixed 3.35000000 N N N N N N GOLDMAN SACHS CAPIT V/R /PERP/ N/A GOLDMAN SACHS CAPITAL II REGD V/R /PERP/ SER _ 4.00000000 381427AA1 11000.00000000 NS USD 11011.82000000 0.000840235935 Long DBT CORP US N 2 2169-12-03 Variable 4.00000000 N N N N N N FHR 3743 PB 4.5% 10/15/40 N/A FREDDIE MAC REMICS SER 3743 CL PB 4.50000000 3137GAHS9 555000.00000000 NS USD 631331.37000000 0.048172536828 Long ABS-CBDO CORP US N 2 2040-10-15 Fixed 4.50000000 N N N N N N CSX CORP 3.35% 09/15/49 549300JVQR4N1MMP3Q88 CSX CORP REGD 3.35000000 126408HR7 31000.00000000 NS USD 33438.33000000 0.002551448034 Long DBT CORP US N 2 2049-09-15 Fixed 3.35000000 N N N N N N JERSEY CENTRAL P 4.7% 04/01/24 N/A JERSEY CENTRAL PWR & LT REGD P/P 4.70000000 476556DB8 700000.00000000 NS USD 760248.69000000 0.058009327205 Long DBT CORP US Y 2 2024-04-01 Fixed 4.70000000 N N N N N N WYETH LLC 5.95% 04/01/37 N/A WYETH LLC REGD 5.95000000 983024AN0 130000.00000000 NS USD 186319.78000000 0.014216775674 Long DBT CORP US N 2 2037-04-01 Fixed 5.95000000 N N N N N N BARRICK NA FINAN 5.7% 05/30/41 N/A BARRICK NA FINANCE LLC REGD 5.70000000 06849RAG7 70000.00000000 NS USD 96850.25000000 0.007389973723 Long DBT CORP US N 2 2041-05-30 Fixed 5.70000000 N N N N N N UMBS P#RA2362 3.5% 03/01/50 N/A FREDDIE MAC POOL UMBS P#RA2362 3.50000000 3133KHTT3 107535.46000000 NS USD 113998.56000000 0.008698442831 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 3.50000000 N N N N N N VHDA 06-C CTFS 6% 6/25/34 549300LW3QBOVLQBP895 VHDA 06-C CTFS 6% 6/25/34 6.00000000 92812ULT3 137076.88000000 NS USD 143473.45000000 0.010947468132 Long ABS-CBDO CORP US N 2 2034-06-25 Fixed 6.00000000 N N N N N N FED REPUBLIC O 2.875% 06/06/25 N/A FED REPUBLIC OF BRAZIL REGD 2.87500000 105756CD0 200000.00000000 NS USD 206782.00000000 0.015778106369 Long DBT USGA BR N 2 2025-06-06 Fixed 2.87500000 N N N N N N COMCAST CORP 3.15% 03/01/26 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 3.15000000 20030NBS9 80000.00000000 NS USD 86889.75000000 0.006629956756 Long DBT CORP US N 2 2026-03-01 Fixed 3.15000000 N N N N N N AERCAP IRELAND 3.95% 02/01/22 N/A AERCAP IRELAND CAP/GLOBA REGD 3.95000000 00772BAR2 290000.00000000 NS USD 293301.93000000 0.022379844715 Long DBT CORP IE N 2 2022-02-01 Fixed 3.95000000 N N N N N N UMBS P#QA2244 3% 07/01/46 N/A FREDDIE MAC POOL UMBS P#QA2244 3.00000000 31334YP50 139110.65000000 NS USD 147006.25000000 0.011217031702 Long ABS-MBS USGA US N 2 2046-07-01 Fixed 3.00000000 N N N N N N UMBS P#BC4752 3% 10/01/46 N/A FANNIE MAE POOL UMBS P#BC4752 3.00000000 3140F0H64 264977.20000000 NS USD 287347.65000000 0.021925514729 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N BANK OF AMERICA C V/R 12/20/28 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R SER WI 3.41900000 06051GHD4 435000.00000000 NS USD 478278.12000000 0.036494100316 Long DBT CORP US N 2 2028-12-20 Variable 3.41900000 N N N N N N ANGLO AMERICAN 3.625% 09/11/24 N/A ANGLO AMERICAN CAPITAL REGD 144A P/P 3.62500000 034863AS9 350000.00000000 NS USD 377720.00000000 0.028821204640 Long DBT CORP GB Y 2 2024-09-11 Fixed 3.62500000 N N N N N N UMBS P#MA3182 3.5% 11/01/47 N/A FANNIE MAE POOL UMBS P#MA3182 3.50000000 31418CRC0 27529.65000000 NS USD 29300.15000000 0.002235692097 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.50000000 N N N N N N UMBS P#MA2832 3% 12/01/36 N/A FANNIE MAE POOL UMBS P#MA2832 3.00000000 31418CEE0 464441.78000000 NS USD 490672.33000000 0.037439816886 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 3.00000000 N N N N N N NATWEST GROUP PLC V/R 01/27/30 N/A NATWEST GROUP PLC REGD V/R 5.07600000 78009PEH0 400000.00000000 NS USD 480213.47000000 0.036641773509 Long DBT CORP GB N 2 2030-01-27 Variable 5.07600000 N N N N N N DOMINICAN REPUBL 4.5% 01/30/30 N/A DOMINICAN REPUBLIC REGD 144A P/P 4.50000000 25714PED6 200000.00000000 NS USD 208502.00000000 0.015909347691 Long DBT USGA DO Y 2 2030-01-30 Fixed 4.50000000 N N N N N N RAYTHEON COMPANY 7% 11/01/28 N/A RAYTHEON COMPANY REGD 7.00000000 755111AP6 24000.00000000 NS USD 31560.29000000 0.002408147772 Long DBT CORP US N 2 2028-11-01 Fixed 7.00000000 N N N N N N JPMORGAN CHASE & V/R 12/05/24 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 4.02300000 46647PAY2 430000.00000000 NS USD 462005.04000000 0.035252413964 Long DBT CORP US N 2 2024-12-05 Variable 4.02300000 N N N N N N ABBVIE INC 3.2% 11/21/29 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD SER WI 3.20000000 00287YBX6 880000.00000000 NS USD 962264.23000000 0.073423737930 Long DBT CORP US N 2 2029-11-21 Fixed 3.20000000 N N N N N N ALPHABET INC 0.45% 08/15/25 5493006MHB84DD0ZWV18 ALPHABET INC REGD 0.45000000 02079KAH0 40000.00000000 NS USD 39646.37000000 0.003025140694 Long DBT CORP US N 2 2025-08-15 Fixed 0.45000000 N N N N N N UMBS P#BR8580 2% 04/01/51 N/A FANNIE MAE POOL UMBS P#BR8580 2.00000000 3140L7RA2 99096.65000000 NS USD 100594.36000000 0.007675660900 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N UNITED AIR 2019- 3.5% 05/01/28 N/A UNITED AIR 2019-2 B PTT REGD SER B 3.50000000 90932KAA7 85995.49000000 NS USD 85481.91000000 0.006522534208 Long DBT CORP US N 2 2028-05-01 Fixed 3.50000000 N N N N N N GOLDMAN SACHS GRO V/R 10/31/38 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R 4.01700000 38148YAA6 95000.00000000 NS USD 111265.04000000 0.008489866798 Long DBT CORP US N 2 2038-10-31 Variable 4.01700000 N N N N N N CITIGROUP INC 4.65% 07/23/48 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD 4.65000000 172967MD0 70000.00000000 NS USD 92954.02000000 0.007092679319 Long DBT CORP US N 2 2048-07-23 Fixed 4.65000000 N N N N N N CHARTER COMM OP 3.75% 02/15/28 N/A CHARTER COMM OPT LLC/CAP REGD SER WI 3.75000000 161175BJ2 210000.00000000 NS USD 232536.49000000 0.017743253639 Long DBT CORP US N 2 2028-02-15 Fixed 3.75000000 N N N N N N JPMMT 2019-1 A11 V/R 05/25/49 N/A JP MORGAN MORTGAGE TRUST 2019-1 SER 2019-1 CL A11 V/R REGD 144A P/P 1.03438000 46650HAL2 76373.13000000 NS USD 76693.06000000 0.005851917761 Long ABS-CBDO CORP US Y 2 2049-05-25 Variable 1.03438000 N N N N N N FNR 2012-118 CI 3.5% 12/25/39 N/A FANNIE MAE REMICS SER 2012-118 CL CI 3.50000000 3136A93P1 18271.93000000 NS USD 99.74000000 0.000007610470 Long ABS-CBDO CORP US N 2 2039-12-25 Fixed 3.50000000 N N N N N N MCDONALD'S CORP 3.5% 07/01/27 UE2136O97NLB5BYP9H04 MCDONALD'S CORP REGD MTN 3.50000000 58013MFP4 60000.00000000 NS USD 66659.43000000 0.005086320748 Long DBT CORP US N 2 2027-07-01 Fixed 3.50000000 N N N N N N BANK OF AMERICA 3.95% 04/21/25 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD MTN SER L 3.95000000 06051GFP9 383000.00000000 NS USD 419697.13000000 0.032024189533 Long DBT CORP US N 2 2025-04-21 Fixed 3.95000000 N N N N N N FEDEX CORP 4.25% 05/15/30 549300E707U7WNPZN687 FEDEX CORP REGD 4.25000000 31428XBZ8 797000.00000000 NS USD 932779.52000000 0.071173963333 Long DBT CORP US N 2 2030-05-15 Fixed 4.25000000 N N N N N N HOME DEPOT INC 4.2% 04/01/43 QEKMOTMBBKA8I816DO57 HOME DEPOT INC REGD 4.20000000 437076BA9 25000.00000000 NS USD 30931.17000000 0.002360143969 Long DBT CORP US N 2 2043-04-01 Fixed 4.20000000 N N N N N N UMBS P#AP0692 4% 07/01/42 N/A FANNIE MAE POOL UMBS P#AP0692 4.00000000 3138M3XW9 17955.93000000 NS USD 19864.70000000 0.001515738070 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.00000000 N N N N N N US TIPS 1.375% 02/15/44 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 1.37500000 912810RF7 571232.20000000 NS USD 804943.66000000 0.061419691699 Long DBT UST US N 2 2044-02-15 Fixed 1.37500000 N N N N N N GOLDMAN SACHS GRO V/R 02/12/26 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R 0.85500000 38141GXS8 163000.00000000 NS USD 162147.34000000 0.012372343715 Long DBT CORP US N 2 2026-02-12 Variable 0.85500000 N N N N N N T/L INEOS US PETRO 0% 01/20/25 N/A T/L INEOS US PETROCHEM LLC REGD 0.00000000 N/A 140000.00000000 NS USD 139825.00000000 0.010669080109 Long LON CORP US N 2 2025-01-20 Variable 3.25000000 N N N N N N T/L JANE STREET 0% 01/31/28 N/A T/L JANE STREET GROUP LLC REGD 0.00000000 47077DAG5 185748.77000000 NS USD 183349.82000000 0.013990158538 Long LON CORP US N 2 2028-01-31 Variable 2.83463000 N N N N N N UNIV OF CALIFO 4.858% 05/15/12 N/A UNIV OF CALIFORNIA CA REVENUES REGD N/C B/E 4.85800000 91412GHA6 25000.00000000 NS USD 37407.71000000 0.002854324009 Long DBT MUN US N 2 2112-05-15 Fixed 4.85800000 N N N N N N BX 2018-IND G V/R 10/15/20 N/A BX COMMERCIAL MORTGAGE TRUST 2018-IND SER 2018-IND CL G V/R REGD 144A P/P 2.14600000 056059AS7 504000.00000000 NS USD 506141.50000000 0.038620162417 Long ABS-CBDO CORP US Y 2 2035-11-15 Variable 2.14600000 N N N N N N UMBS P#FM3154 5% 09/01/49 N/A FANNIE MAE POOL UMBS P#FM3154 5.00000000 3140X6QG9 155885.85000000 NS USD 171133.23000000 0.013057994923 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 5.00000000 N N N N N N FGLMC P#U90903 3.5% 02/01/43 N/A FREDDIE MAC GOLD POOL P#U90903 3.50000000 3132H4AC5 35641.54000000 NS USD 38696.70000000 0.002952677935 Long ABS-MBS USGA US N 2 2043-02-01 Fixed 3.50000000 N N N N N N UMBS TBA 30YR 2% OCT 21 N/A UMBS TBA 30YR 2% OCT 21 TO BE ANNOUNCED 2.00000000 01F0206A2 35725000.00000000 NS USD 36161223.33000000 2.759213220483 Long ABS-MBS USGA US N 2 2051-10-01 Fixed 2.00000000 N N N N N N CORNING INC 4.375% 11/15/57 549300X2937PB0CJ7I56 CORNING INC REGD 4.37500000 219350BF1 25000.00000000 NS USD 30653.29000000 0.002338940866 Long DBT CORP US N 2 2057-11-15 Fixed 4.37500000 N N N N N N GNMA II P#4855 5% 11/20/40 N/A GINNIE MAE II POOL P#4855 5.00000000 36202FMC7 14731.45000000 NS USD 16651.98000000 0.001270597594 Long ABS-MBS USGSE US N 2 2040-11-20 Fixed 5.00000000 N N N N N N GNMA P#729038 5% 02/15/40 N/A GINNIE MAE I POOL P#729038 5.00000000 3620AF4X2 34605.24000000 NS USD 39880.62000000 0.003043014693 Long ABS-MBS USGSE US N 2 2040-02-15 Fixed 5.00000000 N N N N N N GNR 2020-160 YI 2.5% 10/20/50 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-160 CL YI 2.50000000 38382KQ97 384598.13000000 NS USD 52658.71000000 0.004018022495 Long ABS-CBDO CORP US N 2 2050-10-20 Fixed 2.50000000 N N N N N N DCOT 2019-MTC 2.965% 10/15/29 N/A DC OFFICE TRUST 2019-MTC SER 2019-MTC CL A REGD 144A P/P 2.96500000 23312BAA8 390000.00000000 NS USD 420277.03000000 0.032068437698 Long ABS-CBDO CORP US Y 2 2045-09-15 Fixed 2.96500000 N N N N N N BALTIMORE GAS & 3.5% 08/15/46 N/A BALTIMORE GAS & ELECTRIC REGD 3.50000000 059165EH9 6000.00000000 NS USD 6712.88000000 0.000512213513 Long DBT CORP US N 2 2046-08-15 Fixed 3.50000000 N N N N N N UMBS P#SD0478 4% 01/01/45 N/A FREDDIE MAC POOL UMBS P#SD0478 4.00000000 3132DMQ73 1398448.44000000 NS USD 1545472.50000000 0.117924333338 Long ABS-MBS USGA US N 2 2045-01-01 Fixed 4.00000000 N N N N N N IHS MARKIT LTD 4% 03/01/26 549300HLPTRASHS0E726 IHS MARKIT LTD REGD 144A P/P 4.00000000 44962LAC1 28000.00000000 NS USD 30977.80000000 0.002363701983 Long DBT CORP GB Y 2 2026-03-01 Fixed 4.00000000 N N N N N N CYRUSONE LP/CYR 3.45% 11/15/29 N/A CYRUSONE LP/CYRUSONE FIN REGD 3.45000000 23283PAR5 400000.00000000 NS USD 420743.20000000 0.032104007911 Long DBT CORP US N 2 2029-11-15 Fixed 3.45000000 N N N N N N UMBS P#BF0301 4.5% 08/01/58 N/A FANNIE MAE POOL UMBS P#BF0301 4.50000000 3140FXKP6 172959.15000000 NS USD 195551.61000000 0.014921192866 Long ABS-MBS USGSE US N 2 2058-08-01 Fixed 4.50000000 N N N N N N GNMA P#617567 6% 06/15/37 N/A GINNIE MAE I POOL P#617567 6.00000000 36290UCC8 1216.96000000 NS USD 1445.77000000 0.000110316724 Long ABS-MBS USGSE US N 2 2037-06-15 Fixed 6.00000000 N N N N N N UMBS P#FM3445 4% 09/01/48 N/A FANNIE MAE POOL UMBS P#FM3445 4.00000000 3140X6ZK0 305465.60000000 NS USD 328423.54000000 0.025059732222 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 4.00000000 N N N N N N UMBS P#CA4819 4% 12/01/49 N/A FANNIE MAE POOL UMBS P#CA4819 4.00000000 3140QCK96 58465.89000000 NS USD 63791.11000000 0.004867459058 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 4.00000000 N N N N N N UMBS P#AP9229 4% 10/01/42 N/A FANNIE MAE POOL UMBS P#AP9229 4.00000000 3138MDHF2 14192.82000000 NS USD 15702.02000000 0.001198112706 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.00000000 N N N N N N AT&T INC 4.75% 05/15/46 549300Z40J86GGSTL398 AT&T INC REGD 4.75000000 00206RCQ3 820000.00000000 NS USD 1000559.00000000 0.076345747362 Long DBT CORP US N 2 2046-05-15 Fixed 4.75000000 N N N N N N US TREAS NTS 0.25% 11/15/23 N/A UNITED STATES TREASURY NOTE 0.25000000 91282CAW1 40000.00000000 NS USD 40005.47000000 0.003052541135 Long DBT UST US N 2 2023-11-15 Fixed 0.25000000 N N N N N N T/L ATLANTIC A 0% 12/06/25 N/A T/L ATLANTIC AVIATION FBO INC REGD 0.00000000 N/A 48750.00000000 NS USD 48719.53000000 0.003717450873 Long LON CORP US N 2 2025-12-06 Variable 3.84000000 N N N N N N DEUTSCHE BANK AG 4.1% 01/13/26 7LTWFZYICNSX8D621K86 DEUTSCHE BANK AG REGD SER 1254 4.10000000 25152R2Y8 38000.00000000 NS USD 41745.91000000 0.003185342092 Long DBT CORP DE N 2 2026-01-13 Fixed 4.10000000 N N N N N N SAMI 2005-AR5 A3 V/R 07/19/35 N/A STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2005-AR5 SER 2005-AR5 CL A3 V/R REGD 0.58650000 86359LPF0 68083.05000000 NS USD 69236.12000000 0.005282930167 Long ABS-CBDO CORP US N 2 2035-07-19 Variable 0.58650000 N N N N N N UMBS P#FM3957 5% 03/01/50 N/A FANNIE MAE POOL UMBS P#FM3957 5.00000000 3140X7MF3 104966.29000000 NS USD 115032.01000000 0.008777298264 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 5.00000000 N N N N N N VERIZON COMMUNICAT 3% 03/22/27 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS REGD 3.00000000 92343VFF6 129000.00000000 NS USD 139602.89000000 0.010652132428 Long DBT CORP US N 2 2027-03-22 Fixed 3.00000000 N N N N N N UMBS P#MA2579 3% 04/01/36 N/A FANNIE MAE POOL UMBS P#MA2579 3.00000000 31418B2M7 102994.94000000 NS USD 108912.38000000 0.008310351561 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 3.00000000 N N N N N N GNMA II P#MA3736 3.5% 06/20/46 N/A GINNIE MAE II POOL P#MA3736 3.50000000 36179SEH6 97462.34000000 NS USD 103959.36000000 0.007932420811 Long ABS-MBS USGSE US N 2 2046-06-20 Fixed 3.50000000 N N N N N N AMERICAN TOWER C 1.5% 01/31/28 5493006ORUSIL88JOE18 AMERICAN TOWER CORP REGD 1.50000000 03027XBJ8 197000.00000000 NS USD 193082.21000000 0.014732770006 Long DBT CORP US N 2 2028-01-31 Fixed 1.50000000 N N N N N N UMBS P#MA1664 4.5% 11/01/43 N/A FANNIE MAE POOL UMBS P#MA1664 4.50000000 31418AZ68 30352.62000000 NS USD 33787.64000000 0.002578101468 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.50000000 N N N N N N C/O US BOND FUTR OPT OCT21 168 N/A CALL OPTION ON US BOND FUTR OPTN OCT21 168 0.00000000 N/A 85.00000000 NC USD 13281.25000000 0.001013400466 N/A DO CORP US N 1 WESTERN N/A Call Written C/O US BOND FUTR OPT OCT21 168 0 85000.00000000 USD 168.00000000 USD 2021-09-24 XXXX -59272.05000000 N N N BMW US CAPITAL 1.95% 08/12/31 N/A BMW US CAPITAL LLC REGD 144A P/P 1.95000000 05565EBX2 45000.00000000 NS USD 44823.25000000 0.003420152655 Long DBT CORP US Y 2 2031-08-12 Fixed 1.95000000 N N N N N N UMBS P#AB3493 4.5% 09/01/41 N/A FANNIE MAE POOL UMBS P#AB3493 4.50000000 31416Y3B2 1834.83000000 NS USD 2041.43000000 0.000155767425 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N BROADCOM INC 4.15% 11/15/30 549300WV6GIDOZJTV909 BROADCOM INC REGD SER WI 4.15000000 11135FAQ4 264000.00000000 NS USD 297293.34000000 0.022684401647 Long DBT CORP US N 2 2030-11-15 Fixed 4.15000000 N N N N N N BANK OF AMERICA C V/R 03/11/27 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R SER N 1.65800000 06051GJQ3 740000.00000000 NS USD 748507.28000000 0.057113421295 Long DBT CORP US N 2 2027-03-11 Variable 1.65800000 N N N N N N N/A N/A IRS RUS3MP02.00 02/15/47 GOLDUS33XXX FLOAT N/A 1.00000000 NC USD -281021.35000000 -0.02144279846 N/A DIR US N 2 BA SECURITIES INC N/A BA SECURITIES INC N/A BA SECURITIES INC N/A N/A N/A Y 2047-02-15 -3479823.34000000 USD 3485000.00000000 USD 3485000.00000000 USD -277961.87000000 N N N UMBS P#MA2707 3% 08/01/36 N/A FANNIE MAE POOL UMBS P#MA2707 3.00000000 31418CAH7 92617.62000000 NS USD 97821.24000000 0.007464063264 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 3.00000000 N N N N N N ABBVIE INC 4.3% 05/14/36 FR5LCKFTG8054YNNRU85 ABBVIE INC REGD 4.30000000 00287YAV1 546000.00000000 NS USD 651309.20000000 0.049696907067 Long DBT CORP US N 2 2036-05-14 Fixed 4.30000000 N N N N N N UMBS P#AT2720 3% 05/01/43 N/A FANNIE MAE POOL UMBS P#AT2720 3.00000000 3138WQAW2 728393.84000000 NS USD 781267.60000000 0.059613135069 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N MCDONALD'S COR 2.125% 03/01/30 UE2136O97NLB5BYP9H04 MCDONALD'S CORP REGD MTN 2.12500000 58013MFM1 190000.00000000 NS USD 193525.31000000 0.014766579907 Long DBT CORP US N 2 2030-03-01 Fixed 2.12500000 N N N N N N UMBS P#ZA5297 4% 03/01/48 N/A FREDDIE MAC POOL UMBS P#ZA5297 4.00000000 31329N3E6 176334.01000000 NS USD 193124.27000000 0.014735979314 Long ABS-MBS USGA US N 2 2048-03-01 Fixed 4.00000000 N N N N N N ENTERGY LOUISIAN 1.6% 12/15/30 N/A ENTERGY LOUISIANA LLC REGD 1.60000000 29364WBE7 168000.00000000 NS USD 163713.36000000 0.012491835886 Long DBT CORP US N 2 2030-12-15 Fixed 1.60000000 N N N N N N SCRT 2019-2 MA 3.5% 08/25/58 N/A SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2 SER 2019-2 CL MA 3.50000000 35563PKG3 357063.19000000 NS USD 377103.08000000 0.028774131735 Long ABS-CBDO CORP US N 2 2058-08-25 Fixed 3.50000000 N N N N N N US TREAS NTS 0.25% 09/30/25 N/A UNITED STATES TREASURY NOTE 0.25000000 91282CAM3 375000.00000000 NS USD 369213.86000000 0.028172159840 Long DBT UST US N 2 2025-09-30 Fixed 0.25000000 N N N N N N TEXAS INSTRUMEN 1.75% 05/04/30 WDJNR2L6D8RWOEB8T652 TEXAS INSTRUMENTS INC REGD 1.75000000 882508BJ2 90000.00000000 NS USD 90103.23000000 0.006875155222 Long DBT CORP US N 2 2030-05-04 Fixed 1.75000000 N N N N N N C/O US 5YR FUTR OP OCT21 124.5 N/A CALL OPTION ON US 5YR FUTR OPTN OCT21 124.5 0.00000000 N/A 66.00000000 NC USD 4125.00000000 0.000314750262 N/A DO CORP US N 1 WESTERN N/A Call Written C/O US 5YR FUTR OP OCT21 124.5 0 66000.00000000 USD 124.50000000 USD 2021-09-24 XXXX 901.44000000 N N N ENERGY TRANSFER 5.35% 05/15/45 MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP REGD 5.35000000 86765BAQ2 10000.00000000 NS USD 11839.40000000 0.000903382850 Long DBT CORP US N 2 2045-05-15 Fixed 5.35000000 N N N N N N LOCKHEED MARTIN 4.7% 05/15/46 DPRBOZP0K5RM2YE8UU08 LOCKHEED MARTIN CORP REGD 4.70000000 539830BL2 39000.00000000 NS USD 52341.08000000 0.003993786343 Long DBT CORP US N 2 2046-05-15 Fixed 4.70000000 N N N N N N ORBIA ADVANCE 2.875% 05/11/31 549300MVHZ20SBIOEQ79 ORBIA ADVANCE CORP SAB REGD 144A P/P 2.87500000 68560EAB4 260000.00000000 NS USD 264621.50000000 0.020191439171 Long DBT CORP MX Y 2 2031-05-11 Fixed 2.87500000 N N N N N N UMBS P#FM2333 3.5% 02/01/50 N/A FANNIE MAE POOL UMBS P#FM2333 3.50000000 3140X5SX2 90760.65000000 NS USD 96938.93000000 0.007396740281 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N TRANSCONT GAS P 7.85% 02/01/26 N/A TRANSCONT GAS PIPE LINE REGD SER WI 7.85000000 893574AH6 1178000.00000000 NS USD 1483962.77000000 0.113230950632 Long DBT CORP US N 2 2026-02-01 Fixed 7.85000000 N N N N N N DBWF 2018-AMXP A V/R 05/05/23 N/A DBWF 2018-AMXP MORTGAGE TRUST SER 2018-AMXP CL A V/R REGD 144A P/P 3.87310000 23306PAA5 1417000.00000000 NS USD 1440354.71000000 0.109903520734 Long ABS-CBDO CORP US Y 2 2035-05-05 Variable 3.87310000 N N N N N N BARCLAYS PLC V/R 02/15/23 213800LBQA1Y9L22JB70 BARCLAYS PLC REGD V/R 4.61000000 06738EBE4 686000.00000000 NS USD 699084.82000000 0.053342334687 Long DBT CORP GB N 2 2023-02-15 Variable 4.61000000 N N N N N N ALABAMA POWER C 3.45% 10/01/49 N/A ALABAMA POWER CO REGD 3.45000000 010392FT0 60000.00000000 NS USD 66695.38000000 0.005089063845 Long DBT CORP US N 2 2049-10-01 Fixed 3.45000000 N N N N N N UMBS P#BR4056 2% 02/01/51 N/A FANNIE MAE POOL UMBS P#BR4056 2.00000000 3140L2QJ5 96795.20000000 NS USD 98500.55000000 0.007515896719 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N COMCAST CORP 4% 08/15/47 51M0QTTNCGUN7KFCFZ59 COMCAST CORP REGD 4.00000000 20030NBZ3 82000.00000000 NS USD 97156.82000000 0.007413365962 Long DBT CORP US N 2 2047-08-15 Fixed 4.00000000 N N N N N N BECTON DICKINS 3.363% 06/06/24 ICE2EP6D98PQUILVRZ91 BECTON DICKINSON AND CO REGD 3.36300000 075887BV0 377000.00000000 NS USD 402688.04000000 0.030726343341 Long DBT CORP US N 2 2024-06-06 Fixed 3.36300000 N N N N N N KINDER MORGAN E 6.95% 01/15/38 N/A KINDER MORGAN ENER PART REGD MTN 6.95000000 494550AW6 42000.00000000 NS USD 60164.52000000 0.004590739020 Long DBT CORP US N 2 2038-01-15 Fixed 6.95000000 N N N N N N ABBOTT LABORATO 4.75% 11/30/36 HQD377W2YR662HK5JX27 ABBOTT LABORATORIES REGD 4.75000000 002824BG4 70000.00000000 NS USD 90798.14000000 0.006928179005 Long DBT CORP US N 2 2036-11-30 Fixed 4.75000000 N N N N N N UNITEDHEALTH GR 4.45% 12/15/48 549300GHBMY8T5GXDE41 UNITEDHEALTH GROUP INC REGD 4.45000000 91324PDQ2 30000.00000000 NS USD 39052.56000000 0.002979831154 Long DBT CORP US N 2 2048-12-15 Fixed 4.45000000 N N N N N N SHELL INTERNATI 2.75% 04/06/30 N/A SHELL INTERNATIONAL FIN REGD 2.75000000 822582CG5 60000.00000000 NS USD 64228.57000000 0.004900838609 Long DBT CORP NL N 2 2030-04-06 Fixed 2.75000000 N N N N N N DUKE ENERGY FLOR 4.2% 07/15/48 N/A DUKE ENERGY FLORIDA LLC REGD 4.20000000 26444HAF8 24000.00000000 NS USD 29645.40000000 0.002262035740 Long DBT CORP US N 2 2048-07-15 Fixed 4.20000000 N N N N N N TENNESSEE GAS PI 2.9% 03/01/30 N/A TENNESSEE GAS PIPELINE REGD 144A P/P 2.90000000 880451AZ2 560000.00000000 NS USD 583685.68000000 0.044537023268 Long DBT CORP US Y 2 2030-03-01 Fixed 2.90000000 N N N N N N VIACOMCBS INC 4.375% 03/15/43 5KYC8KF17ROCY24M3H09 VIACOMCBS INC REGD SER WI 4.37500000 92553PAP7 141000.00000000 NS USD 165080.95000000 0.012596187234 Long DBT CORP US N 2 2043-03-15 Fixed 4.37500000 N N N N N N REPUBLIC OF CO 8.125% 05/21/24 N/A REPUBLIC OF COLOMBIA REGD 8.12500000 195325BD6 220000.00000000 NS USD 257471.50000000 0.019645872049 Long DBT USGA CO N 2 2024-05-21 Fixed 8.12500000 N N N N N N FORDF 2018-3 A 3.52% 10/15/21 N/A FORD CREDIT FLOORPLAN MASTER OWNER TRUST A SER 2018-3 CL A1 REGD 3.52000000 34528QGH1 1370000.00000000 NS USD 1375636.45000000 0.104965317262 Long ABS-CBDO CORP US N 2 2023-10-15 Fixed 3.52000000 N N N N N N DCP MIDSTREAM O 6.45% 11/03/36 N/A DCP MIDSTREAM OPERATING REGD P/P 6.45000000 26439XAH6 40000.00000000 NS USD 48568.60000000 0.003705934447 Long DBT CORP US Y 2 2036-11-03 Fixed 6.45000000 N N N N N N GNMA II P#MA5711 4.5% 01/20/49 N/A GINNIE MAE II POOL P#MA5711 4.50000000 36179UKY7 281190.98000000 NS USD 301145.26000000 0.022978315061 Long ABS-MBS USGSE US N 2 2049-01-20 Fixed 4.50000000 N N N N N N AON CORP 4.5% 12/15/28 N/A AON CORP REGD 4.50000000 037389BB8 22000.00000000 NS USD 25788.42000000 0.001967736233 Long DBT CORP US N 2 2028-12-15 Fixed 4.50000000 N N N N N N GNR 2020-127 IN 2.5% 08/20/50 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-127 CL IN 2.50000000 38382HY87 95718.68000000 NS USD 12654.56000000 0.000965582080 Long ABS-CBDO CORP US N 2 2050-08-20 Fixed 2.50000000 N N N N N N FNMA PRIN STP ZCP 01/15/30 N/A FANNIE MAE PRINCIPAL STRIP ZCP 0.00000000 31358DDG6 575000.00000000 NS USD 510154.66000000 0.038926378942 Long DBT USGA US N 2 2030-01-15 Fixed 0.00000000 N N N N N N ORACLE CORP 1.65% 03/25/26 1Z4GXXU7ZHVWFCD8TV52 ORACLE CORP REGD 1.65000000 68389XCC7 570000.00000000 NS USD 580279.08000000 0.044277089148 Long DBT CORP US N 2 2026-03-25 Fixed 1.65000000 N N N N N N GNMA II P#783050 5% 07/20/40 N/A GINNIE MAE II POOL P#783050 5.00000000 36241LL79 18550.41000000 NS USD 20756.59000000 0.001583792036 Long ABS-MBS USGSE US N 2 2040-07-20 Fixed 5.00000000 N N N N N N T/L SFR GROUP S A 0% 01/31/26 N/A T/L SFR GROUP S A REGD 0.00000000 F6628DAL8 129728.95000000 NS USD 128869.50000000 0.009833141563 Long LON CORP FR N 2 2026-01-31 Variable 3.81363000 N N N N N N US TREAS BDS 2.5% 02/15/46 N/A UNITED STATES TREASURY BOND 2.50000000 912810RQ3 6490000.00000000 NS USD 7244462.50000000 0.552774902632 Long DBT UST US N 2 2046-02-15 Fixed 2.50000000 N N N N N N N/A N/A IRS R00.00P00.00 01/04/27 SBNYUS33 LONG N/A 1.00000000 NC -49025.55000000 -0.00374080114 N/A DIR BR N 2 CITIGROUP N/A N/A N/A Y 2027-01-04 -1682579.96000000 BRL 1685899.48000000 BRL 1218674.73958081 BRL -52345.07000000 N N N US T BILL ZCP 02/03/22 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796K99 12795000.00000000 PA USD 12792517.45000000 0.976108660627 Long STIV UST US N 2 2022-02-03 Fixed 0.00000000 N N N N N N WELLS FARGO & CO 4.9% 11/17/45 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD MTN SER GMTN 4.90000000 94974BGQ7 450000.00000000 NS USD 583670.61000000 0.044535873380 Long DBT CORP US N 2 2045-11-17 Fixed 4.90000000 N N N N N N SANDS CHINA LT 5.125% 08/08/25 N/A SANDS CHINA LTD REGD SER WI 5.12500000 80007RAF2 400000.00000000 NS USD 445276.00000000 0.033975936454 Long DBT CORP MO N 2 2025-08-08 Fixed 5.12500000 N N N N N N UMBS P#MA3027 4% 06/01/47 N/A FANNIE MAE POOL UMBS P#MA3027 4.00000000 31418CLH5 115431.29000000 NS USD 124332.64000000 0.009486965108 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N VMWARE INC 4.7% 05/15/30 N/A VMWARE INC REGD 4.70000000 928563AF2 162000.00000000 NS USD 193793.69000000 0.014787058131 Long DBT CORP US N 2 2030-05-15 Fixed 4.70000000 N N N N N N TARGA RESOURCE 5.875% 04/15/26 N/A TARGA RESOURCES PARTNERS REGD 5.87500000 87612BBJ0 20000.00000000 NS USD 20950.00000000 0.001598549817 Long DBT CORP US N 2 2026-04-15 Fixed 5.87500000 N N N N N N ALTRIA GROUP INC 4.8% 02/14/29 XSGZFLO9YTNO9VCQV219 ALTRIA GROUP INC REGD 4.80000000 02209SBD4 45000.00000000 NS USD 52285.66000000 0.003989557626 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N WFCM 2018-C44 3.948% 05/15/51 N/A WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C44 SER 2018-C44 CL A4 REGD 3.94800000 95001JAW7 250000.00000000 NS USD 281068.23000000 0.021446375555 Long ABS-CBDO CORP US N 2 2051-05-15 Fixed 3.94800000 N N N N N N UMBS P#AL4741 4.5% 01/01/44 N/A FANNIE MAE POOL UMBS P#AL4741 4.50000000 3138EMHT1 28027.39000000 NS USD 31411.29000000 0.002396778611 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.50000000 N N N N N N GENERAL MOTORS F 3.5% 11/07/24 N/A GENERAL MOTORS FINL CO REGD 3.50000000 37045XCD6 80000.00000000 NS USD 85683.43000000 0.006537910807 Long DBT CORP US N 2 2024-11-07 Fixed 3.50000000 N N N N N N MCDONALD'S COR 3.625% 09/01/49 UE2136O97NLB5BYP9H04 MCDONALD'S CORP REGD MTN 3.62500000 58013MFK5 20000.00000000 NS USD 22485.59000000 0.001715720085 Long DBT CORP US N 2 2049-09-01 Fixed 3.62500000 N N N N N N AT&T INC 4.65% 06/01/44 549300Z40J86GGSTL398 AT&T INC REGD 4.65000000 00206RJK9 144000.00000000 NS USD 173010.96000000 0.013201271532 Long DBT CORP US N 2 2044-06-01 Fixed 4.65000000 N N N N N N UMBS P#MA4399 2.5% 08/01/51 N/A FANNIE MAE POOL UMBS P#MA4399 2.50000000 31418D3H3 2491627.58000000 NS USD 2591662.94000000 0.197751900753 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N ANHEUSER-BUSCH 4.35% 06/01/40 N/A ANHEUSER-BUSCH INBEV WOR REGD 4.35000000 035240AS9 160000.00000000 NS USD 191997.78000000 0.014650024642 Long DBT CORP US N 2 2040-06-01 Fixed 4.35000000 N N N N N N T-MOBILE USA I 4.375% 04/15/40 N/A T-MOBILE USA INC REGD SER WI 4.37500000 87264AAX3 450000.00000000 NS USD 527334.75000000 0.040237272963 Long DBT CORP US N 2 2040-04-15 Fixed 4.37500000 N N N N N N EOG RESOURCES I 4.95% 04/15/50 XWTZDRYZPBUHIQBKDB46 EOG RESOURCES INC REGD 4.95000000 26875PAT8 170000.00000000 NS USD 228960.53000000 0.017470396827 Long DBT CORP US N 2 2050-04-15 Fixed 4.95000000 N N N N N N FOX CORP 5.476% 01/25/39 549300DDU6FDRBIELS05 FOX CORP REGD SER WI 5.47600000 35137LAJ4 240000.00000000 NS USD 311684.87000000 0.023782519913 Long DBT CORP US N 2 2039-01-25 Fixed 5.47600000 N N N N N N BARRICK NA FINA 5.75% 05/01/43 N/A BARRICK NA FINANCE LLC REGD 5.75000000 06849RAK8 190000.00000000 NS USD 266791.60000000 0.020357024515 Long DBT CORP US N 2 2043-05-01 Fixed 5.75000000 N N N N N N SMB 2020-A A2B V/R 02/15/29 N/A SMB PRIVATE EDUCATION LOAN TRUST 2020-A SER 2020-A CL A2B V/R REGD 144A P/P 0.92313000 78449UAC2 100000.00000000 NS USD 100411.68000000 0.007661721851 Long ABS-CBDO CORP US Y 2 2037-09-15 Variable 0.92313000 N N N N N N UNITED AIR 2019 4.15% 08/25/31 N/A UNITED AIR 2019-1 AA PTT REGD SER AA 4.15000000 90931CAA6 53264.70000000 NS USD 58347.04000000 0.004452059673 Long DBT CORP US N 2 2031-08-25 Fixed 4.15000000 N N N N N N UMBS P#FM5183 2.5% 12/01/50 N/A FANNIE MAE POOL UMBS P#FM5183 2.50000000 3140X8XM4 1255996.17000000 NS USD 1309513.55000000 0.099919935412 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N NVIDIA CORP 3.5% 04/01/50 549300S4KLFTLO7GSQ80 NVIDIA CORP REGD 3.50000000 67066GAH7 440000.00000000 NS USD 505545.55000000 0.038574689589 Long DBT CORP US N 2 2050-04-01 Fixed 3.50000000 N N N N N N ANTHEM INC 4.85% 08/15/54 8MYN82XMYQH89CTMTH67 ANTHEM INC REGD 4.85000000 94973VBL0 33000.00000000 NS USD 42899.41000000 0.003273357710 Long DBT CORP US N 2 2054-08-15 Fixed 4.85000000 N N N N N N WFCM 2015-LC2 3.184% 03/15/25 N/A WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-LC20 SER 2015-LC20 CL A5 REGD 3.18400000 94989EAE7 150000.00000000 NS USD 160998.98000000 0.012284720294 Long ABS-CBDO CORP US N 2 2050-04-15 Fixed 3.18400000 N N N N N N GNMA II P#MA4963 4% 01/20/48 N/A GINNIE MAE II POOL P#MA4963 4.00000000 36179TQQ1 380577.53000000 NS USD 405760.20000000 0.030960758654 Long ABS-MBS USGSE US N 2 2048-01-20 Fixed 4.00000000 N N N N N N HSBC HOLDINGS PLC V/R 03/13/28 MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC REGD V/R 4.04100000 404280BK4 509000.00000000 NS USD 567434.66000000 0.043297020162 Long DBT CORP GB N 2 2028-03-13 Fixed 4.04100000 N N N N N N NOTA DO TESOU 6% 08/15/50/BRL/ N/A NOTA DO TESOURO NACIONAL /BRL/ REGD SER NTNB 21.42211800 P80551PG6 656000.00000000 NS 544453.68000000 0.041543500287 Long DBT USGA BR N 2 2050-08-15 Variable 21.42211800 N N N N N N OCCIDENTAL PETRO 7.5% 05/01/31 IM7X0T3ECJW4C1T7ON55 OCCIDENTAL PETROLEUM COR REGD 7.50000000 674599DD4 140000.00000000 NS USD 183374.80000000 0.013992064589 Long DBT CORP US N 2 2031-05-01 Fixed 7.50000000 N N N N N N DUKE ENERGY PROG 4.1% 05/15/42 N/A DUKE ENERGY PROGRESS LLC REGD 4.10000000 144141DB1 162000.00000000 NS USD 193576.37000000 0.014770475943 Long DBT CORP US N 2 2042-05-15 Fixed 4.10000000 N N N N N N REPUBLIC OF NI 7.143% 02/23/30 N/A REPUBLIC OF NIGERIA REGD 144A P/P 7.14300000 65412JAD5 260000.00000000 NS USD 274402.44000000 0.020937755154 Long DBT USGA NG Y 2 2030-02-23 Fixed 7.14300000 N N N N N N T/L FOCUS FINANCIA 0% 07/03/24 N/A T/L FOCUS FINANCIAL PARTNERS LLC REGD 0.00000000 N/A 216302.08000000 NS USD 214477.57000000 0.016365302170 Long LON CORP US N 2 2024-07-03 Variable 2.08463000 N N N N N N 2021-09-30 Morgan Stanley Pathway Funds Francis Smith Francis Smith Chief Financial Officer