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Form NPORT-P BERNSTEIN SANFORD C FUND For: Mar 31

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10. MINN


May 7, 2021 2:33 PM EDT 

  
    NPORT-P
    false
    
      
      
        
          0001166729
          XXXXXXXX
        
      
      
      
      
        S000011063
        C000030507
      
      
      
    
  
  
    
      BERNSTEIN SANFORD C FUND II INC
      811-21034
      0001166729
      549300XBDNFQ7T12YS53
      ALLIANCEBERNSTEIN LP
      1345 AVENUE OF THE AMERICAS
      NEW YORK
      
      10105
      212-969-1000
      Bernstein Intermediate Duration Institutional Portfolio
      S000011063
      549300XBDNFQ7T12YS53
      2021-09-30
      2021-03-31
      N
    
    
      989910878.73
      65373275.14
      924537603.59
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      3068924.55000000
      0.00000000
      0.00000000
      3895629.03000000
      
        
          CAD
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          SEK
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AFW94
        
          
        
        1465000.00000000
        PA
        USD
        1555917.90000000
        0.168291467427
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2024-02-13
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fifth Third Bancorp
        THRNG6BD57P9QWTQLG42
        Fifth Third Bancorp
        316773CL2
        
          
        
        41000.00000000
        PA
        USD
        42116.43000000
        0.004555404759
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Consumer Loan Program Trust
        N/A
        Sofi Consumer Loan Program 2017-6 LLC
        83405QAB5
        
          
        
        33265.49000000
        PA
        USD
        33306.19000000
        0.003602470020
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-11-25
          Fixed
          2.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PAS4
        
          
        
        49000.00000000
        PA
        USD
        56661.15000000
        0.006128593340
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCT6
        
          
        
        1200000.00000000
        PA
        USD
        1372308.00000000
        0.148431820909
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140K3BF8
        
          
        
        2152181.88000000
        PA
        USD
        2315606.09000000
        0.250460995962
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412EJ72
        
          
        
        1215.91000000
        PA
        USD
        1257.71000000
        0.000136036651
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Floating
          1.83500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OA21   CDS USD R F  3.00000 IS1OA21 CMBX / Short: IS1OA21   CDS USD P V 01MEVENT IS1OA32 CMBX
        000000000
        
          
        
        102000.00000000
        OU
        Notional Amount
        USD
        -27478.80000000
        -0.00297216683
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -11335.08000000
            USD
            102000.00000000
            USD
            -16143.72000000
          
        
        
          N
          N
          N
        
      
      
        COLBUN SA
        5493003VQJLE2QB8IF36
        Colbun SA
        192714AD5
        
          
        
        200000.00000000
        PA
        USD
        204625.00000000
        0.022132685485
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2030-03-06
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828V98
        
          
        
        1975000.00000000
        PA
        USD
        2096585.94000000
        0.226771299713
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-02-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 77 CLO Ltd
        26252VAC5
        
          
        
        1000000.00000000
        PA
        USD
        1001814.00000000
        0.108358383272
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-05-20
          Floating
          2.18200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT RRB
        4BFD7AQU0A75QLAHK410
        Canadian Government Real Return Bond
        135087ZH0
        
          
        
        6717473.60000000
        PA
        
        6826090.67000000
        0.738324827837
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2044-12-01
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1IFA6   CDS USD R F  3.00000 IS1IFA6 CMBX / Short: IS1IFA6   CDS USD P V 01MEVENT IS1IFB7 CMBX
        000000000
        
          
        
        7000.00000000
        OU
        Notional Amount
        USD
        -1885.22000000
        -0.00020390949
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -1094.47000000
            USD
            7000.00000000
            USD
            -790.75000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SN9
        
          
        
        3270000.00000000
        PA
        USD
        2459653.13000000
        0.266041437411
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-05-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LB-UBS Commercial Mortgage Trust
        N/A
        LB-UBS Commercial Mortgage Trust 2006-C6
        50179MAH4
        
          
        
        249686.10000000
        PA
        USD
        144698.14000000
        0.015650865842
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-09-15
          Variable
          5.45200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RN0
        
          
        
        51400.00000000
        PA
        USD
        55945.69000000
        0.006051207628
        Long
        DBT
        UST
        US
        N
        
        2
        
          2045-08-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828YS3
        
          
        
        1386000.00000000
        PA
        USD
        1401592.50000000
        0.151599296184
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-11-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48127FAA1
        
          
        
        401000.00000000
        PA
        USD
        397856.16000000
        0.043032988431
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-07-01
          Variable
          3.52200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128286B1
        
          
        
        8921000.00000000
        PA
        USD
        9643043.44000000
        1.043012572182
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-02-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAA5
        
          
        
        680000.00000000
        PA
        USD
        695844.00000000
        0.075264001950
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2022-01-10
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L Street Securities
        N/A
        JP Morgan Madison Avenue Securities Trust Series 2014-1
        46643HAB4
        
          
        
        90105.71000000
        PA
        USD
        88684.25000000
        0.009592281553
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-11-25
          Floating
          4.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-20CB
        12667GQL0
        
          
        
        83487.15000000
        PA
        USD
        74127.31000000
        0.008017771230
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132Y3ZC1
        
          
        
        777159.53000000
        PA
        USD
        871836.06000000
        0.094299686309
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Securities
        N/A
        Natixis Commercial Mortgage Securities Trust 2018-850T
        63874PAA3
        
          
        
        1465237.00000000
        PA
        USD
        1455999.27000000
        0.157484050875
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-07-15
          Floating
          0.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376MJL2
        
          
        
        2702066.67000000
        PA
        USD
        558492.86000000
        0.060407803623
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-03-20
          Floating
          5.98900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AL2
        
          
        
        355000.00000000
        PA
        USD
        377208.80000000
        0.040799725023
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-08-21
          Fixed
          6.37500000
          N
          N
          N
          N
          Y
          
            
              Credit Suisse Group AG
              Credit Suisse Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QDC3
        
          
        
        356000.00000000
        PA
        USD
        359969.40000000
        0.038935073987
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2030-01-23
          Fixed
          6.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCB3
        
          
        
        1349000.00000000
        PA
        USD
        1527014.04000000
        0.165165163003
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-21
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS19123   CDS USD R F  3.00000 IS19123 CMBX-BBB--394233 / Short: IS19123   CDS USD P V 00MEVENT IS19134 CMBX-BBB--394233
        000000000
        
          
        
        950000.00000000
        OU
        Notional Amount
        USD
        -255850.83000000
        -0.02767338278
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -70497.76000000
            USD
            950000.00000000
            USD
            -185353.07000000
          
        
        
          N
          N
          N
        
      
      
        VOLCAN CIA MINERA SAA-CM
        549300XKJ91C4SZLG750
        Volcan Cia Minera SAA
        92863UAB2
        
          
        
        397000.00000000
        PA
        USD
        404940.00000000
        0.043799191988
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2026-02-11
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DS1
        
          
        
        696000.00000000
        PA
        USD
        681210.00000000
        0.073681156651
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2031-04-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E6KV3
        
          
        
        98749.96000000
        PA
        USD
        103846.90000000
        0.011232306787
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        31359MGK3
        
          
        
        260000.00000000
        PA
        USD
        370513.00000000
        0.040075492717
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2030-11-15
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAV6
        
          
        
        73496.69000000
        PA
        USD
        73685.53000000
        0.007969987344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-02-25
          Floating
          4.65900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Consumer Loan Program Trust
        N/A
        SoFi Consumer Loan Program 2019-3 Trust
        83405TAA1
        
          
        
        289819.47000000
        PA
        USD
        292149.50000000
        0.031599525953
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-05-25
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P7Y5   CDS USD R V 01MEVENT IS1P7Z6 CMBX / Short: IS1P7Y5   CDS USD P F  3.00000 IS1P7Y5 CMBX
        000000000
        
          
        
        400000.00000000
        OU
        Notional Amount
        USD
        43920.00000000
        0.004750482817
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            26431.09000000
            USD
            0.00000000
            USD
            400000.00000000
            USD
            17488.91000000
          
        
        
          N
          N
          N
        
      
      
        Discover Bank
        X05BVSK68TQ7YTOSNR22
        Discover Bank
        25466AAN1
        
          
        
        386000.00000000
        PA
        USD
        411834.98000000
        0.044544968036
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-09
          Fixed
          4.68200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AF5
        
          
        
        502000.00000000
        PA
        USD
        536331.78000000
        0.058010812963
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-05-30
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAL4
        
          
        
        2687000.00000000
        PA
        USD
        3073471.21000000
        0.332433337277
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-03-01
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833DZ0
        
          
        
        1790000.00000000
        PA
        USD
        1560414.60000000
        0.168777840289
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-08-20
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31346YA29
        
          
        
        858358.81000000
        PA
        USD
        923001.13000000
        0.099833811671
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        000000000
        
          
        
        954000.00000000
        PA
        USD
        1007920.08000000
        0.109018830179
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-07-17
          Fixed
          7.50000000
          N
          N
          N
          N
          Y
          
            
              Credit Suisse Group AG
              Credit Suisse Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380B6Y6
        
          
        
        2398943.65000000
        PA
        USD
        526236.84000000
        0.056918922276
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Floating
          6.03900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEIBO CORP
        549300Q9ID4640FE0422
        Weibo Corp
        948596AE1
        
          
        
        3313000.00000000
        PA
        USD
        3277418.38000000
        0.354492707194
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-07-08
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2015-GC35
        17324KAP3
        
          
        
        630000.00000000
        PA
        USD
        693427.90000000
        0.075002671314
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-11-10
          Fixed
          3.81800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAG6
        
          
        
        45206000.00000000
        PA
        USD
        45206000.00000000
        4.889579377243
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-08-31
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JXTG3
        
          
        
        2328867.68000000
        PA
        USD
        2489697.42000000
        0.269291093226
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900SCWI9IDKK5LV64
        Bellemeade Re 2019-3 Ltd
        07877GAB5
        
          
        
        914724.00000000
        PA
        USD
        918892.67000000
        0.099389431693
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-07-25
          Floating
          1.70900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-PC1 Mortgage Trust
        12593GAF9
        
          
        
        226400.00000000
        PA
        USD
        249003.66000000
        0.026932777967
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-07-10
          Fixed
          3.90200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIACOMCBS INC
        5KYC8KF17ROCY24M3H09
        ViacomCBS Inc
        92556HAB3
        
          
        
        437000.00000000
        PA
        USD
        516210.62000000
        0.055834464492
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUST & NZ BANKING GROUP
        JHE42UYNWWTJB8YTTU19
        Australia & New Zealand Banking Group Ltd
        052528AK2
        
          
        
        400000.00000000
        PA
        USD
        448096.00000000
        0.048467038902
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2026-05-19
          Fixed
          4.40000000
          N
          N
          N
          N
          Y
          
            
              Australia & New Zealand Banking Group Ltd
              Australia & New Zealand Banking Group Ltd
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280AT6
        
          
        
        1317000.00000000
        PA
        USD
        1452848.55000000
        0.157143262140
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-30
          Fixed
          6.37500000
          N
          N
          N
          N
          Y
          
            
              HSBC Holdings PLC
              HSBC Holdings PLC
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        03846JAB6
        
          
        
        1897000.00000000
        PA
        USD
        1773695.00000000
        0.191846712682
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2031-02-16
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBT1
        
          
        
        1725000.00000000
        PA
        USD
        1860015.75000000
        0.201183352929
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PEF1
        
          
        
        1919000.00000000
        PA
        USD
        1938190.00000000
        0.209638850001
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2032-09-23
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-3BP Mortgage Trust
        12592TAA3
        
          
        
        400000.00000000
        PA
        USD
        424530.80000000
        0.045918175567
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-02-10
          Fixed
          3.17800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUXL 30Y BND JUN21 XEUR 20210608
        000000000
        
          
        
        77.00000000
        NC
        
        -124667.11000000
        -0.01348426602
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Euro-Buxl (FGBX)
                UBM1 Comdty
              
            
            2021-06-08
            15971387.76000000
            EUR
            -124667.11000000
          
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBJ1
        
          
        
        1745000.00000000
        PA
        USD
        1822076.65000000
        0.197079777277
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-06
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XCA1
        
          
        
        1632000.00000000
        PA
        USD
        1684974.72000000
        0.182250534046
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-03-25
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        549300UOGMFS1M8XVM16
        JPMBB Commercial Mortgage Securities Trust 2015-C31
        46644YAU4
        
          
        
        1903105.00000000
        PA
        USD
        2078197.89000000
        0.224782408193
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-08-15
          Fixed
          3.80100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2013-C14
        46640LAN2
        
          
        
        472496.00000000
        PA
        USD
        354192.59000000
        0.038310241641
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-08-15
          Variable
          4.70200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADVANCE AUTO PARTS
        529900UCNQ5H9FSL0Y70
        Advance Auto Parts Inc
        00751YAF3
        
          
        
        519000.00000000
        PA
        USD
        510768.66000000
        0.055245850251
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828X47
        
          
        
        2580000.00000000
        PA
        USD
        2629584.38000000
        0.284421571365
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-04-30
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2018-EXCL
        12433WAA9
        
          
        
        1329322.33000000
        PA
        USD
        1289515.91000000
        0.139476848209
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-15
          Floating
          1.19400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSF 2021 1 ISSUER LLC
        N/A
        GSF 2021 1 ISSUER LLC 08/26 1
        36261CAC5
        
          
        
        231000.00000000
        PA
        USD
        237930.00000000
        0.025735026793
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2026-08-15
          Variable
          2.43500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05578AAA6
        
          
        
        585000.00000000
        PA
        USD
        608019.75000000
        0.065764739869
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-01-11
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05367AAH6
        
          
        
        350000.00000000
        PA
        USD
        382014.50000000
        0.041319519997
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GFL ENVIRONMENTAL INC
        549300FYK4MBXWIVZU26
        GFL Environmental Inc
        36168QAM6
        
          
        
        1435000.00000000
        PA
        USD
        1390084.50000000
        0.150354565850
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2028-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        3128NHRW5
        
          
        
        133.40000000
        PA
        USD
        141.42000000
        0.000015296295
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Floating
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBV0
        
          
        
        1376000.00000000
        PA
        USD
        1464779.52000000
        0.158433741830
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-21
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-28CB
        02147TAP1
        
          
        
        340359.44000000
        PA
        USD
        252260.26000000
        0.027285018913
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KBQ2
        
          
        
        342000.00000000
        PA
        USD
        362595.24000000
        0.039219090558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trust
        54930025J96YEH8FQE77
        CSAIL 2015-C4 Commercial Mortgage Trust
        12635RAX6
        
          
        
        1641000.00000000
        PA
        USD
        1800174.37000000
        0.194710778989
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-11-15
          Fixed
          3.80800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAD9
        
          
        
        364000.00000000
        PA
        USD
        390925.08000000
        0.042283307729
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-10-04
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417EJG7
        
          
        
        877914.41000000
        PA
        USD
        952259.89000000
        0.102998502851
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KA79
        
          
        
        681.75000000
        PA
        USD
        790.08000000
        0.000085456772
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05367AAJ2
        
          
        
        143000.00000000
        PA
        USD
        145034.89000000
        0.015687289455
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-01-20
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22
        61690FAM5
        
          
        
        2000000.00000000
        PA
        USD
        2143529.20000000
        0.231848784914
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-04-15
          Fixed
          3.30600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CGRBS Commercial Mortgage Trust
        N/A
        CGRBS Commercial Mortgage Trust 2013-VN05
        125354AA8
        
          
        
        2495000.00000000
        PA
        USD
        2601627.57000000
        0.281397701932
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-13
          Fixed
          3.36900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1D6Z3   CDS USD R F  3.00000 IS1D6Z3 CMBX-BBB--413146 / Short: IS1D6Z3   CDS USD P V 00MEVENT IS1D705 CMBX-BBB--413146
        000000000
        
          
        
        44000.00000000
        OU
        Notional Amount
        USD
        -11849.93000000
        -0.00128171422
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -5664.46000000
            USD
            44000.00000000
            USD
            -6185.47000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XBG0
        
          
        
        600000.00000000
        PA
        USD
        687516.00000000
        0.074363227339
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402QY39
        
          
        
        100456.98000000
        PA
        USD
        115911.32000000
        0.012537220719
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38143U8H7
        
          
        
        210000.00000000
        PA
        USD
        230487.60000000
        0.024930040606
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-25
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Husky Energy Inc
        N/A
        Husky Energy Inc
        448055AP8
        
          
        
        2939000.00000000
        PA
        USD
        3140056.99000000
        0.339635400205
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2029-04-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QA9
        
          
        
        8105000.00000000
        PA
        USD
        9689274.22000000
        1.048012993995
        Long
        DBT
        UST
        US
        N
        
        2
        
          2039-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1CJQ2   CDS USD R F  3.00000 IS1CJQ2 CMBX-BBB--410410 / Short: IS1CJQ2   CDS USD P V 00MEVENT IS1CJR3 CMBX-BBB--410410
        000000000
        
          
        
        610000.00000000
        OU
        Notional Amount
        USD
        -164283.17000000
        -0.01776922532
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -67703.45000000
            USD
            610000.00000000
            USD
            -96579.72000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -172285.37000000
        -0.01863476069
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            9279200.87000000
            USD
            692585634.28000000
            RUB
            2021-05-25
            -172285.37000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300CFP9NBBMZH1008
        Wells Fargo Commercial Mortgage Trust 2016-NXS6
        95000KBH7
        
          
        
        1030000.00000000
        PA
        USD
        1074471.80000000
        0.116217209102
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-15
          Variable
          4.31600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Consumer Loan Program Trust
        549300O6TO32N91PEI50
        Sofi Consumer Loan Program 2017-5 LLC
        83405LAB6
        
          
        
        215841.12000000
        PA
        USD
        216988.94000000
        0.023469996153
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-09-25
          Fixed
          2.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIACOMCBS INC
        5KYC8KF17ROCY24M3H09
        ViacomCBS Inc
        124857AT0
        
          
        
        974000.00000000
        PA
        USD
        1036092.50000000
        0.112066020460
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFP9
        
          
        
        2450000.00000000
        PA
        USD
        2685812.50000000
        0.290503327238
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-21
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Time Warner Cable LLC
        549300U5NFR7S6E3GM41
        Time Warner Cable LLC
        88732JBD9
        
          
        
        505000.00000000
        PA
        USD
        539678.35000000
        0.058372785260
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300F7COUCG1RROP29
        Magnetite XXVI Ltd
        55954YAA3
        
          
        
        2229352.00000000
        PA
        USD
        2233663.57000000
        0.241597914603
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-15
          Floating
          1.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HHA1
        
          
        
        820000.00000000
        PA
        USD
        817302.20000000
        0.088401185287
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-04-30
          Variable
          3.68200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alliance Bernstein
        5493006YWHO7MNK2U579
        AB Fixed Income Shares, Inc. - Government Money Market Portfolio
        018616748
        
          
        
        23278355.60000000
        NS
        USD
        23278355.60000000
        2.517837620623
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0RL5
        
          
        
        2192427.85000000
        PA
        USD
        2220078.75000000
        0.240128550897
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-04-25
          Floating
          2.45900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        617446HD4
        
          
        
        55000.00000000
        PA
        USD
        77270.05000000
        0.008357696831
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-01
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132XXD22
        
          
        
        491444.31000000
        PA
        USD
        541999.63000000
        0.058623859959
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENA MASTER TRUST
        549300CBCHB6Q73VG753
        ENA Master Trust
        29249BAA3
        
          
        
        380000.00000000
        PA
        USD
        383325.00000000
        0.041461266530
        Long
        DBT
        CORP
        PA
        N
        
        2
        
          2048-05-19
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2014-C22
        46642NBF2
        
          
        
        5686802.06000000
        PA
        USD
        134861.37000000
        0.014586899383
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-09-15
          Variable
          0.82900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371L6D6
        
          
        
        46401.76000000
        PA
        USD
        51831.95000000
        0.005606256554
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aircastle Ltd
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAR2
        
          
        
        905000.00000000
        PA
        USD
        964784.30000000
        0.104353170304
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2023-09-25
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AH3
        
          
        
        740000.00000000
        PA
        USD
        846981.80000000
        0.091611395438
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1IYH6   CDS USD R F  3.00000 IS1IYH6 CMBX / Short: IS1IYH6   CDS USD P V 01MEVENT IS1IYI7 CMBX
        000000000
        
          
        
        28000.00000000
        OU
        Notional Amount
        USD
        -7540.87000000
        -0.00081563691
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -4128.05000000
            USD
            28000.00000000
            USD
            -3412.82000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBJ9
        
          
        
        1319000.00000000
        PA
        USD
        1263615.19000000
        0.136675369946
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVRON USA INC
        VA8TZDWPEZYU430RZ444
        Chevron USA Inc
        166756AU0
        
          
        
        1396000.00000000
        PA
        USD
        1818136.44000000
        0.196653595585
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-11-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALERO ENERGY CORP
        549300XTO5VR8SKV1V74
        Valero Energy Corp
        91913YAX8
        
          
        
        943000.00000000
        PA
        USD
        979126.33000000
        0.105904435492
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017DD8
        
          
        
        1318000.00000000
        PA
        USD
        1464785.66000000
        0.158434405946
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-16
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2019-BOCA
        36256QAA5
        
          
        
        738455.00000000
        PA
        USD
        739228.09000000
        0.079956519575
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          1.30600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE MUTUAL INSURA
        Z7LVXXWM8HZPKF5T2355
        Nationwide Mutual Insurance Co
        638671AK3
        
          
        
        377000.00000000
        PA
        USD
        612402.57000000
        0.066238795222
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-08-15
          Fixed
          9.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MetLife Capital Trust IV
        N/A
        MetLife Capital Trust IV
        591560AA5
        
          
        
        970000.00000000
        PA
        USD
        1347795.60000000
        0.145780506359
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-12-15
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Funding Certificates
        N/A
        ABFC 2003-WF1 Trust
        04542BCD2
        
          
        
        72498.22000000
        PA
        USD
        72248.51000000
        0.007814556132
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-12-25
          Floating
          1.23400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BBVA USA
        C90VT034M03BN29IRA40
        BBVA USA
        20453KAB1
        
          
        
        1785000.00000000
        PA
        USD
        1835676.15000000
        0.198550728804
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-29
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29273RBG3
        
          
        
        1425000.00000000
        PA
        USD
        1582462.50000000
        0.171162589153
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2014-UBS5 Mortgage Trust
        12592KBC7
        
          
        
        1925000.00000000
        PA
        USD
        2096666.88000000
        0.226780054359
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-09-10
          Fixed
          3.83800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cox Communications Inc
        5493001NEDZNIFRP2R92
        Cox Communications Inc
        224044CA3
        
          
        
        463000.00000000
        PA
        USD
        483626.65000000
        0.052310111359
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-30
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RU4
        
          
        
        387000.00000000
        PA
        USD
        421467.19000000
        0.045586808839
        Long
        DBT
        UST
        US
        N
        
        2
        
          2046-11-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        549300FPK70TCB78NG05
        Hertz Vehicle Financing II LP
        42806DCD9
        
          
        
        303327.95000000
        PA
        USD
        304539.93000000
        0.032939701837
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-03-25
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cooperatieve Rabobank UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        21684AAC0
        
          
        
        1869000.00000000
        PA
        USD
        2070833.31000000
        0.223985839186
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-08-04
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1XIP7   CDS USD R F  3.00000 IS1XIP7 CMBX / Short: IS1XIP7   CDS USD P V 01MEVENT IS1XIQ8 CMBX
        000000000
        
          
        
        636000.00000000
        OU
        Notional Amount
        USD
        -171285.40000000
        -0.01852660176
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -48894.15000000
            USD
            636000.00000000
            USD
            -122391.25000000
          
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAH8
        
          
        
        1150000.00000000
        PA
        USD
        1202221.50000000
        0.130034894776
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-01-05
          Fixed
          3.37300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -580.19000000
        -0.00006275461
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            12758.66000000
            USD
            106350.82000000
            SEK
            2021-04-15
            -580.19000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re Ltd
        07876MAC1
        
          
        
        1036483.00000000
        PA
        USD
        1032133.81000000
        0.111637839931
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2031-03-25
          Floating
          2.96700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN21 XCBT 20210621
        000000000
        
          
        
        136.00000000
        NC
        USD
        -143939.05000000
        -0.01556876101
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US 10 Year Ultra Bond
                UXYM1 Comdty
              
            
            2021-06-21
            19685439.05000000
            USD
            -143939.05000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAQ4
        
          
        
        1657000.00000000
        PA
        USD
        1787853.29000000
        0.193378104152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1CJM8   CDS USD R F  3.00000 IS1CJM8 CMBX-BBB--410332 / Short: IS1CJM8   CDS USD P V 00MEVENT IS1CJN9 CMBX-BBB--410332
        000000000
        
          
        
        610000.00000000
        OU
        Notional Amount
        USD
        -164283.17000000
        -0.01776922532
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -67729.91000000
            USD
            610000.00000000
            USD
            -96553.26000000
          
        
        
          N
          N
          N
        
      
      
        ORBIA ADVANCE CORP SAB
        549300MVHZ20SBIOEQ79
        Orbia Advance Corp SAB de CV
        59284BAF5
        
          
        
        750000.00000000
        PA
        USD
        813984.38000000
        0.088042322652
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2027-10-04
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK Inc
        2T3D6M0JSY48PSZI1Q41
        ONEOK Inc
        682680AW3
        
          
        
        1012000.00000000
        PA
        USD
        1103353.24000000
        0.119341088530
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK Inc
        2T3D6M0JSY48PSZI1Q41
        ONEOK Inc
        682680AS2
        
          
        
        1720000.00000000
        PA
        USD
        1865993.60000000
        0.201829930200
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-13
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-CCRE25 Mortgage Trust
        12593PAW2
        
          
        
        999000.00000000
        PA
        USD
        1098950.25000000
        0.118864851546
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-08-10
          Fixed
          3.75900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA ASAHAN ALUMINI
        2549008P48EB9SN2OI80
        Indonesia Asahan Aluminium Persero PT
        74445PAE2
        
          
        
        591000.00000000
        PA
        USD
        642239.70000000
        0.069466044161
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2025-05-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALIBABA GROUP HOLDING
        5493001NTNQJDH60PM02
        Alibaba Group Holding Ltd
        01609WAX0
        
          
        
        1972000.00000000
        PA
        USD
        1876200.24000000
        0.202933902603
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2031-02-09
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS23FW2   CDS USD R V 01MEVENT IS23FX3 CMBX / Short: IS23FW2   CDS USD P F  3.00000 IS23FW2 CMBX
        000000000
        
          
        
        997000.00000000
        OU
        Notional Amount
        USD
        109553.68000000
        0.011849564536
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            172928.60000000
            USD
            0.00000000
            USD
            997000.00000000
            USD
            -63374.92000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAA9
        
          
        
        318000.00000000
        PA
        USD
        326964.42000000
        0.035365183496
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trust
        549300ZAGI6FKGY8O078
        CSAIL 2015-C3 Commercial Mortgage Trust
        12635FAT1
        
          
        
        1164966.00000000
        PA
        USD
        1270595.91000000
        0.137430419819
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-08-15
          Fixed
          3.71800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2020-1 Ltd
        43731WAB1
        
          
        
        1250000.00000000
        PA
        USD
        1273497.00000000
        0.137744208029
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2030-10-25
          Floating
          3.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neighborly Issuer LLC
        N/A
        Neighborly Issuer LLC
        64016NAA5
        
          
        
        778981.00000000
        PA
        USD
        781333.52000000
        0.084510734551
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-04-30
          Fixed
          3.58400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJGA0
        
          
        
        1896305.73000000
        PA
        USD
        1982990.23000000
        0.214484540412
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Biogen Inc
        W8J5WZB5IY3K0NDQT671
        Biogen Inc
        09062XAF0
        
          
        
        2096000.00000000
        PA
        USD
        2329054.24000000
        0.251915577144
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RT7
        
          
        
        2376900.00000000
        PA
        USD
        2299279.36000000
        0.248695061301
        Long
        DBT
        UST
        US
        N
        
        2
        
          2046-08-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRUST
        N/A
        WFRBS Commercial Mortgage Trust 2014-C24
        92939KAG3
        
          
        
        355700.00000000
        PA
        USD
        376488.10000000
        0.040721772542
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-11-15
          Fixed
          3.93100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FTV38
        
          
        
        8704123.78000000
        PA
        USD
        1476674.62000000
        0.159720341743
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          5.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        21191.53000000
        0.002292122020
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            2170417.84000000
            USD
            44844739.42000000
            MXN
            2021-04-16
            21191.53000000
          
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAA0
        
          
        
        578000.00000000
        PA
        USD
        626916.14000000
        0.067808614551
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XBF0
        
          
        
        167922.22000000
        PA
        USD
        178120.09000000
        0.019265856716
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-25
          Floating
          5.80900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P7U1   CDS USD R V 01MEVENT IS1P7V2 CMBX / Short: IS1P7U1   CDS USD P F  3.00000 IS1P7U1 CMBX
        000000000
        
          
        
        400000.00000000
        OU
        Notional Amount
        USD
        43920.00000000
        0.004750482817
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            26431.09000000
            USD
            0.00000000
            USD
            400000.00000000
            USD
            17488.91000000
          
        
        
          N
          N
          N
        
      
      
        DBWF Mortgage Trust
        N/A
        DBWF 2018-GLKS Mortgage Trust
        23307GAA4
        
          
        
        1271805.00000000
        PA
        USD
        1271029.71000000
        0.137477340571
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-12-19
          Floating
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CORP FINANCIERA DE DESAR
        254900BOM7T4MG6T0J30
        Corp Financiera de Desarrollo SA
        21987DAE4
        
          
        
        1473000.00000000
        PA
        USD
        1449063.75000000
        0.156733889933
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2027-09-28
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EHUP5
        
          
        
        487803.76000000
        PA
        USD
        529570.35000000
        0.057279481974
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS23S23   CDS USD R V 01MEVENT IS23S34 CMBX / Short: IS23S23   CDS USD P F  3.00000 IS23S23 CMBX
        000000000
        
          
        
        133000.00000000
        OU
        Notional Amount
        USD
        14614.48000000
        0.001580733973
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            26744.59000000
            USD
            0.00000000
            USD
            133000.00000000
            USD
            -12130.11000000
          
        
        
          N
          N
          N
        
      
      
        SPRINT SPECTRUM / SPEC I
        N/A
        Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
        85208NAD2
        
          
        
        1380000.00000000
        PA
        USD
        1484562.60000000
        0.160573522832
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-20
          Fixed
          4.73800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        166.19000000
        0.000017975472
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            2226980.00000000
            JPY
            20287.89000000
            USD
            2021-05-20
            166.19000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLICA ORIENT URUGUAY
        549300RDR012H2V82H43
        Uruguay Government International Bond
        917288BK7
        
          
        
        359632.00000000
        PA
        USD
        416498.81000000
        0.045049418042
        Long
        DBT
        NUSS
        UY
        N
        
        2
        
          2031-01-23
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6
        46634SAM7
        
          
        
        712127.00000000
        PA
        USD
        460123.70000000
        0.049767981119
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-15
          Variable
          5.14200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1S4L0   CDS USD R F  3.00000 IS1S4L0 CMBX / Short: IS1S4L0   CDS USD P V 01MEVENT IS1S4M1 CMBX
        000000000
        
          
        
        35000.00000000
        OU
        Notional Amount
        USD
        -9431.92000000
        -0.00102017700
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -4096.93000000
            USD
            35000.00000000
            USD
            -5334.99000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QX9
        
          
        
        190000.00000000
        PA
        USD
        203240.63000000
        0.021982949012
        Long
        DBT
        UST
        US
        N
        
        2
        
          2042-08-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES/SKYMILES
        N/A
        Delta Air Lines Inc / SkyMiles IP Ltd
        830867AA5
        
          
        
        818806.00000000
        PA
        USD
        873878.89000000
        0.094520643249
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P7W3   CDS USD R F  3.00000 IS1P7W3 CMBX / Short: IS1P7W3   CDS USD P V 01MEVENT IS1P7X4 CMBX
        000000000
        
          
        
        50000.00000000
        OU
        Notional Amount
        USD
        -13470.00000000
        -0.00145694452
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -6157.96000000
            USD
            50000.00000000
            USD
            -7312.04000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P9M7   CDS USD R V 01MEVENT IS1P9N8 CMBX / Short: IS1P9M7   CDS USD P F  3.00000 IS1P9M7 CMBX
        000000000
        
          
        
        380000.00000000
        OU
        Notional Amount
        USD
        41724.00000000
        0.004512958676
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            25672.37000000
            USD
            0.00000000
            USD
            380000.00000000
            USD
            16051.63000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBK1
        
          
        
        1167000.00000000
        PA
        USD
        1198707.39000000
        0.129654800988
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-22
          Fixed
          2.08300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ODEBRECHT HOLDCO FIN LTD
        N/A
        Odebrecht Holdco Finance Ltd
        67577TAA6
        
          
        
        416511.00000000
        PA
        USD
        9631.82000000
        0.001041798620
        Long
        DBT
        CORP
        KY
        N
        
        2
        
          2058-09-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RALPH LAUREN CORP
        HO1QNWM0IXBZ0QSMMO20
        Ralph Lauren Corp
        731572AB9
        
          
        
        2519000.00000000
        PA
        USD
        2602781.94000000
        0.281522561104
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CB4
        
          
        
        2395000.00000000
        PA
        USD
        2601425.05000000
        0.281375796927
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        672148.02000000
        0.072700993165
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            25387952.29000000
            NZD
            18401111.66000000
            USD
            2021-05-27
            672148.02000000
          
        
        
          N
          N
          N
        
      
      
        BAIDU INC
        254900AL64IANZYI1E02
        Baidu Inc
        056752AR9
        
          
        
        203000.00000000
        PA
        USD
        212134.49000000
        0.022944928272
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-04-07
          Fixed
          3.42500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1PAM4   CDS USD R F  3.00000 IS1PAM4 CMBX / Short: IS1PAM4   CDS USD P V 01MEVENT IS1PAN5 CMBX
        000000000
        
          
        
        10000.00000000
        OU
        Notional Amount
        USD
        -2694.00000000
        -0.00029138890
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -1250.10000000
            USD
            10000.00000000
            USD
            -1443.90000000
          
        
        
          N
          N
          N
        
      
      
        STAR ENERGY CO ISSUE
        N/A
        Star Energy Geothermal Darajat II / Star Energy Geothermal Salak
        85513LAB0
        
          
        
        801000.00000000
        PA
        USD
        872088.75000000
        0.094327017810
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2038-10-14
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2015-C30
        46644UBA5
        
          
        
        725000.00000000
        PA
        USD
        797186.66000000
        0.086225444687
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-07-15
          Fixed
          3.82200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385XJW8
        
          
        
        325749.86000000
        PA
        USD
        373339.08000000
        0.040381167683
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMBRAER NETHERLANDS FINA
        724500PBR8LR26XBSP67
        Embraer Netherlands Finance BV
        29082HAB8
        
          
        
        1025000.00000000
        PA
        USD
        1068485.63000000
        0.115569731923
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-02-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SB71
        
          
        
        977395.08000000
        PA
        USD
        1031171.55000000
        0.111533759794
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-05-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -8096.92000000
        -0.00087578049
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            4116724.55000000
            CAD
            3267886.98000000
            USD
            2021-04-22
            -8096.92000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8
        46638UAH9
        
          
        
        1896643.00000000
        PA
        USD
        1952523.03000000
        0.211189141730
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-15
          Fixed
          3.42400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT RRB
        4BFD7AQU0A75QLAHK410
        Canadian Government Real Return Bond
        135087G99
        
          
        
        1669145.50000000
        PA
        
        1424146.23000000
        0.154038756722
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2050-12-01
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GEH8
        
          
        
        10000.00000000
        PA
        USD
        10050.70000000
        0.001087105593
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-05-13
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rumo Luxembourg Sarl
        222100HOIQFT7YOSPB46
        Rumo Luxembourg Sarl
        781467AB1
        
          
        
        672000.00000000
        PA
        USD
        705600.00000000
        0.076319232150
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2025-01-18
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENCENT HOLDINGS LTD
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032XAU8
        
          
        
        1050000.00000000
        PA
        USD
        1012053.00000000
        0.109465855804
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-06-03
          Fixed
          2.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SU3
        
          
        
        10960000.00000000
        PA
        USD
        9687612.50000000
        1.047833258742
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-02-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1I2V6   CDS USD R F  3.00000 IS1I2V6 CMBX / Short: IS1I2V6   CDS USD P V 01MEVENT IS1I2W7 CMBX
        000000000
        
          
        
        325000.00000000
        OU
        Notional Amount
        USD
        -87527.92000000
        -0.00946721038
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -48495.18000000
            USD
            325000.00000000
            USD
            -39032.74000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAK7
        
          
        
        1033000.00000000
        PA
        USD
        1006544.87000000
        0.108870084471
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CEMEX SAB DE CV
        549300RIG2CXWN6IV731
        Cemex SAB de CV
        151290BZ5
        
          
        
        1525000.00000000
        PA
        USD
        1489162.50000000
        0.161071058031
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-07-11
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BK4
        
          
        
        901000.00000000
        PA
        USD
        987964.52000000
        0.106860393364
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-03-13
          Fixed
          4.04100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Israel Electric Corp Ltd
        254900JW7GE35YNJGJ55
        Israel Electric Corp Ltd
        000000000
        
          
        
        1117000.00000000
        PA
        USD
        1257434.83000000
        0.136006888753
        Long
        DBT
        CORP
        IL
        N
        
        2
        
          2024-11-12
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XDK7
        
          
        
        1342440.80000000
        PA
        USD
        1396743.34000000
        0.151074800481
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-25
          Floating
          4.55900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI ARABIAN OIL CO
        5586006WD91QHB7J4X50
        Saudi Arabian Oil Co
        80414L2K0
        
          
        
        527000.00000000
        PA
        USD
        505682.85000000
        0.054695757969
        Long
        DBT
        CORP
        SA
        N
        
        2
        
          2030-11-24
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MT LOGAN RE LTD
        N/A
        MT LOGAN RE LTD PREFERRED STOCK
        000000000
        
          
        
        2267.00000000
        NS
        USD
        2240586.41000000
        0.242346704049
        Long
        EC
        CORP
        BM
        Y
        
        3
        
          N
          N
          N
        
      
      
        GoldenTree Loan Management US CLO1, LTD
        549300DO8S88M0JNL340
        Goldentree Loan Management US Clo 7 Ltd
        38138LAA6
        
          
        
        1414546.00000000
        PA
        USD
        1415437.16000000
        0.153096764750
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          2.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HFX FUNDING ISSUER
        N/A
        HFX FUNDING ISSUER 03/35 1
        40422GAE0
        
          
        
        1690000.00000000
        PA
        USD
        1743926.89000000
        0.188626929097
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-15
          Variable
          3.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A2N58
        
          
        
        1188537.35000000
        PA
        USD
        235338.83000000
        0.025454760205
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          6.43100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-CCRE24 Mortgage Trust
        12593JBF2
        
          
        
        730000.00000000
        PA
        USD
        801646.58000000
        0.086707839344
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-08-10
          Fixed
          3.69600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE CAPITAL INTL FUNDING
        549300G6UZOB126GBY72
        GE Capital International Funding Co Unlimited Co
        36164QNA2
        
          
        
        757000.00000000
        PA
        USD
        866280.52000000
        0.093698787008
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2035-11-15
          Fixed
          4.41800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RC4
        
          
        
        1943400.00000000
        PA
        USD
        2377628.44000000
        0.257169468366
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-08-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132Y3ZL1
        
          
        
        1956956.85000000
        PA
        USD
        2158026.14000000
        0.233416805505
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Issuance Trust
        5493008SHVCX2Y068L12
        Chase Issuance Trust
        161571FQ2
        
          
        
        200000.00000000
        PA
        USD
        205559.60000000
        0.022233773856
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2016-GC36
        17324TAE9
        
          
        
        705000.00000000
        PA
        USD
        770796.45000000
        0.083371022120
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-10
          Fixed
          3.61600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417VPC1
        
          
        
        18237.32000000
        PA
        USD
        21008.40000000
        0.002272314281
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747WAL3
        
          
        
        746000.00000000
        PA
        USD
        758226.94000000
        0.082011476553
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-07-28
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Long: BS25Q36   IRS EUR R V 06MEURIB IS25Q47 CCPVANILLA / Short: BS25Q36   IRS EUR P F   .02200 IS25Q36 CCPVANILLA
        000000000
        
          
        
        6130000.00000000
        OU
        Notional Amount
        
        938602.03000000
        0.101521238979
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley
              IGJSJL3JD5P30I6NJZ34
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2050-11-10
            39936.62000000
            EUR
            0.00000000
            EUR
            6130000.00000000
            EUR
            891439.53000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FPL72
        
          
        
        660317.84000000
        PA
        USD
        690296.14000000
        0.074663933334
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505EL4
        
          
        
        524000.00000000
        PA
        USD
        588436.28000000
        0.063646549119
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-23
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAR2
        
          
        
        44272000.00000000
        PA
        USD
        44265082.50000000
        4.787807691987
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-10-31
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Consumer Loan Program Trust
        5493000RZZ85L9YT5K31
        SoFi Consumer Loan Program 2019-1 Trust
        78472CAA6
        
          
        
        97246.84000000
        PA
        USD
        97649.71000000
        0.010562005225
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-02-25
          Fixed
          3.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L Street Securities
        549300T6W1U156OOG754
        Wells Fargo Credit Risk Transfer Securities Trust 2015
        949771AC3
        
          
        
        382360.12000000
        PA
        USD
        374401.41000000
        0.040496071608
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-11-25
          Floating
          5.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        000000000
        
          
        
        453000.00000000
        PA
        USD
        473978.43000000
        0.051266538879
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-04-02
          Fixed
          7.50000000
          N
          N
          N
          N
          Y
          
            
              Standard Chartered PLC
              Standard Chartered PLC
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XEP5
        
          
        
        798186.04000000
        PA
        USD
        822160.20000000
        0.088926637143
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-07-25
          Floating
          3.65900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        8403.77000000
        0.000908970058
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            490579.92000000
            GBP
            684723.15000000
            USD
            2021-04-09
            8403.77000000
          
        
        
          N
          N
          N
        
      
      
        Lear Corp
        549300UPNBTXA1SYTQ33
        Lear Corp
        521865AY1
        
          
        
        1089000.00000000
        PA
        USD
        1187445.60000000
        0.128436701264
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TWDC Enterprises 18 Corp
        7260JQNI6SCF9FIV2392
        TWDC Enterprises 18 Corp
        25468PDB9
        
          
        
        1573000.00000000
        PA
        USD
        1794321.10000000
        0.194077676563
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-06-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174467X1
        
          
        
        699000.00000000
        PA
        USD
        803325.75000000
        0.086889462027
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-24
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBX2
        
          
        
        1146000.00000000
        PA
        USD
        1112170.08000000
        0.120294737140
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MALAYSIA GOVERNMENT
        254900GSIL471JOBYY43
        Malaysia Government Bond
        000000000
        
          
        
        9375000.00000000
        PA
        
        2301526.89000000
        0.248938159038
        Long
        DBT
        NUSS
        MY
        N
        
        2
        
          2022-03-10
          Fixed
          3.88200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Transocean Poseidon Ltd
        N/A
        Transocean Poseidon Ltd
        89383JAA6
        
          
        
        491000.00000000
        PA
        USD
        452682.36000000
        0.048963109584
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-02-01
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -382.56000000
        -0.00004137852
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            350358.75000000
            AUD
            265803.38000000
            USD
            2021-06-04
            -382.56000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS1BZK5   CDS USD R F  3.00000 IS1BZK5 CMBX-BBB--408197 / Short: IS1BZK5   CDS USD P V 00MEVENT IS1BZL6 CMBX-BBB--408197
        000000000
        
          
        
        45000.00000000
        OU
        Notional Amount
        USD
        -12119.25000000
        -0.00131084446
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -3987.08000000
            USD
            45000.00000000
            USD
            -8132.17000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BS1YET6   IRS USD R V 03MLIBOR IS1YEU7 CCPVANILLA / Short: BS1YET6   IRS USD P F  1.76350 IS1YET6 CCPVANILLA
        000000000
        
          
        
        4950000.00000000
        OU
        Notional Amount
        USD
        -59583.13000000
        -0.00644464105
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2029-12-13
            0.00000000
            USD
            0.00000000
            USD
            4950000.00000000
            USD
            -59583.13000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -56.29000000
        -0.00000608844
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            2946.69000000
            USD
            319897.00000000
            JPY
            2021-05-20
            -56.29000000
          
        
        
          N
          N
          N
        
      
      
        REXFORD INDUSTRIAL REALT
        549300028US163ELJN70
        Rexford Industrial Realty LP
        76169XAA2
        
          
        
        1670000.00000000
        PA
        USD
        1559997.10000000
        0.168732682580
        Long
        DBT
        
        US
        N
        
        2
        
          2030-12-01
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371K3A7
        
          
        
        165970.25000000
        PA
        USD
        190304.43000000
        0.020583741457
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        549300W2612MGSLICQ35
        Marlette Funding Trust 2019-3
        57109MAA9
        
          
        
        325670.41000000
        PA
        USD
        327416.10000000
        0.035414038188
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-09-17
          Fixed
          2.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -223972.63000000
        -0.02422536726
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            28413208.61000000
            CAD
            22386530.68000000
            USD
            2021-04-22
            -223972.63000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        2549009SOTYJD2MZFC61
        Bellemeade Re 2018-3 Ltd
        07877TAB7
        
          
        
        474777.63000000
        PA
        USD
        477398.54000000
        0.051636465422
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2028-10-25
          Floating
          1.95900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -59.76000000
        -0.00000646377
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            20181.46000000
            USD
            2226980.00000000
            JPY
            2021-05-20
            -59.76000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AUZQ7
        
          
        
        2116511.84000000
        PA
        USD
        422015.74000000
        0.045646141201
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-25
          Floating
          5.89100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNICREDIT SPA
        549300TRUWO2CD2G5692
        UniCredit SpA
        904678AU3
        
          
        
        2675000.00000000
        PA
        USD
        2687733.00000000
        0.290711052699
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2026-09-22
          Fixed
          2.56900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: IS1GW43   CDS USD R F  3.00000 IS1GW43 CMBX / Short: IS1GW43   CDS USD P V 01MEVENT IS1GW54 CMBX
        000000000
        
          
        
        1200000.00000000
        OU
        Notional Amount
        USD
        -323180.00000000
        -0.03495585238
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -155163.77000000
            USD
            1200000.00000000
            USD
            -168016.23000000
          
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trust
        549300D5DIOOMKWXVZ20
        Csail 2015-C2 Commercial Mortgage Trust
        12634NAT5
        
          
        
        675102.00000000
        PA
        USD
        728711.65000000
        0.078819038530
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-06-15
          Fixed
          3.50400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816BJ7
        
          
        
        153000.00000000
        PA
        USD
        153022.95000000
        0.016551295415
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-05-15
          Variable
          3.62200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK INC
        2T3D6M0JSY48PSZI1Q41
        ONEOK Inc
        682680BE2
        
          
        
        291000.00000000
        PA
        USD
        365094.42000000
        0.039489407308
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        03523TBV9
        
          
        
        2345000.00000000
        PA
        USD
        3024135.45000000
        0.327097074067
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2049-01-23
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HAY1
        
          
        
        90000.00000000
        PA
        USD
        91101.60000000
        0.009853747391
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-07-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P9K5   CDS USD R F  3.00000 IS1P9K5 CMBX / Short: IS1P9K5   CDS USD P V 01MEVENT IS1P9L6 CMBX
        000000000
        
          
        
        50000.00000000
        OU
        Notional Amount
        USD
        -13470.00000000
        -0.00145694452
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -6360.74000000
            USD
            50000.00000000
            USD
            -7109.26000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FTBB2
        
          
        
        6210692.39000000
        PA
        USD
        1132957.61000000
        0.122543161641
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COCA-COLA FEMSA SAB CV
        5493008KEVFYPMGTXO33
        Coca-Cola Femsa SAB de CV
        191241AH1
        
          
        
        636000.00000000
        PA
        USD
        639180.00000000
        0.069135100348
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2030-01-22
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kayne CLO
        N/A
        KAYNE CLO
        48662NAG2
        
          
        
        950000.00000000
        PA
        USD
        950100.70000000
        0.102764960160
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-15
          Floating
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        22546DAB2
        
          
        
        553000.00000000
        PA
        USD
        598926.65000000
        0.064781210377
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-12-11
          Fixed
          7.50000000
          N
          N
          N
          N
          Y
          
            
              Credit Suisse Group AG
              Credit Suisse Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AXZN8
        
          
        
        2664580.68000000
        PA
        USD
        635311.18000000
        0.068716640354
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-09-25
          Floating
          6.04100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        549300KSCKXTOBY0IP86
        Voya CLO 2019-1 Ltd
        92917NAS7
        
          
        
        480000.00000000
        PA
        USD
        469776.48000000
        0.050812046819
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          3.09100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS1BYG4   CDS USD R F  3.00000 IS1BYG4 CMBX-BBB--407892 / Short: IS1BYG4   CDS USD P V 00MEVENT IS1BYH5 CMBX-BBB--407892
        000000000
        
          
        
        268000.00000000
        OU
        Notional Amount
        USD
        -72176.87000000
        -0.00780680739
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -22479.61000000
            USD
            268000.00000000
            USD
            -49697.26000000
          
        
        
          N
          N
          N
        
      
      
        GSF 2021 1 ISSUER LLC
        N/A
        GSF 2021 1 ISSUER LLC 08/26 1
        36261CAE1
        
          
        
        58000.00000000
        PA
        USD
        59740.00000000
        0.006461608458
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2026-08-15
          Variable
          2.63800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAL5
        
          
        
        1436000.00000000
        PA
        USD
        1567896.60000000
        0.169587109698
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-15
          Fixed
          4.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS1PCY0   CDS USD R F  3.00000 IS1PCY0 CMBX / Short: IS1PCY0   CDS USD P V 01MEVENT IS1PCZ1 CMBX
        000000000
        
          
        
        165000.00000000
        OU
        Notional Amount
        USD
        -44451.00000000
        -0.00480791693
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -19871.07000000
            USD
            165000.00000000
            USD
            -24579.93000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411KKA0
        
          
        
        1006.39000000
        PA
        USD
        1053.04000000
        0.000113899098
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Floating
          3.54400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN21 XCBT 20210621
        000000000
        
          
        
        -16.00000000
        NC
        USD
        51163.66000000
        0.005533972853
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Ultra Long Bond
                WNM1 Comdty
              
            
            2021-06-21
            -2950663.66000000
            USD
            51163.66000000
          
        
        
          N
          N
          N
        
      
      
        ADVANCE AUTO PARTS
        529900UCNQ5H9FSL0Y70
        Advance Auto Parts Inc
        00751YAE6
        
          
        
        768000.00000000
        PA
        USD
        834071.04000000
        0.090214939528
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HJX9
        
          
        
        436000.00000000
        PA
        USD
        475152.80000000
        0.051393561295
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-13
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BF6
        
          
        
        2220000.00000000
        PA
        USD
        2404126.80000000
        0.260035588673
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-02-19
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CFCRE Commercial Mortgage Trust
        N/A
        CFCRE Commercial Mortgage Trust 2016-C4
        12531YAN8
        
          
        
        2808185.00000000
        PA
        USD
        3036734.19000000
        0.328459781214
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-05-10
          Fixed
          3.28300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS1P8O2   CDS USD R F  3.00000 IS1P8O2 CMBX / Short: IS1P8O2   CDS USD P V 01MEVENT IS1P8P3 CMBX
        000000000
        
          
        
        138000.00000000
        OU
        Notional Amount
        USD
        -37165.70000000
        -0.00401992302
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -17094.03000000
            USD
            138000.00000000
            USD
            -20071.67000000
          
        
        
          N
          N
          N
        
      
      
        Newell Brands Inc
        549300LWGYFM1TVO1Z12
        Newell Brands Inc
        651229AW6
        
          
        
        266000.00000000
        PA
        USD
        293366.08000000
        0.031731113895
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAA6
        
          
        
        639000.00000000
        PA
        USD
        660566.25000000
        0.071448283707
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-21
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61746BDQ6
        
          
        
        335000.00000000
        PA
        USD
        365933.90000000
        0.039580207292
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-29
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LSTAR Commercial Mortgage Trust
        N/A
        LSTAR Commercial Mortgage Trust 2016-4
        50219QAC8
        
          
        
        966120.28000000
        PA
        USD
        980728.69000000
        0.106077750238
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-03-10
          Fixed
          2.57900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS178V5   CDS USD R F  3.00000 IS178V5 CMBX-BBB--369102 / Short: IS178V5   CDS USD P V 00MEVENT IS178W6 CMBX-BBB--369102
        000000000
        
          
        
        388000.00000000
        OU
        Notional Amount
        USD
        -104494.87000000
        -0.01130239263
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -22430.58000000
            USD
            388000.00000000
            USD
            -82064.29000000
          
        
        
          N
          N
          N
        
      
      
        KIMBERLY-CLARK DE MEXICO
        549300JGHL56QT00KT54
        Kimberly-Clark de Mexico SAB de CV
        494386AD7
        
          
        
        469000.00000000
        PA
        USD
        459033.75000000
        0.049650089754
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-07-01
          Fixed
          2.43100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19
        61764PAN2
        
          
        
        603432.00000000
        PA
        USD
        587309.62000000
        0.063524687121
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-12-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967GD7
        
          
        
        481000.00000000
        PA
        USD
        504809.50000000
        0.054601294532
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-30
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2017-SCH
        054966AA4
        
          
        
        2435000.00000000
        PA
        USD
        2376959.58000000
        0.257097123012
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-11-15
          Floating
          1.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        254900JBDDKUTX6TX151
        Radnor RE 2019-1 Ltd
        75049SAB9
        
          
        
        908875.57000000
        PA
        USD
        911329.72000000
        0.098571406556
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-02-25
          Floating
          2.05900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US Bancorp
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        902973AZ9
        
          
        
        723000.00000000
        PA
        USD
        791692.23000000
        0.085631155177
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUMEN TECHNOLOGIES INC
        8M3THTGWLTYZVE6BBY25
        Lumen Technologies Inc
        156700BD7
        
          
        
        1401000.00000000
        PA
        USD
        1367067.78000000
        0.147865027305
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XBD5
        
          
        
        228766.88000000
        PA
        USD
        231697.80000000
        0.025060938473
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-25
          Floating
          5.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        N/A
        Marlette Funding Trust 2020-1
        57109JAA6
        
          
        
        140362.77000000
        PA
        USD
        140894.59000000
        0.015239465593
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Petroleum Corp
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585AAF9
        
          
        
        415000.00000000
        PA
        USD
        550211.15000000
        0.059512035839
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-03-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GUSAP III LP
        549300WY05UJ7WTHIN64
        GUSAP III LP
        36258GAA5
        
          
        
        1190000.00000000
        PA
        USD
        1252475.00000000
        0.135470422742
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2030-01-21
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA5
        35566AAH2
        
          
        
        1510000.00000000
        PA
        USD
        1518733.99000000
        0.164269574769
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Floating
          2.81700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE CAPITAL FUNDING LLC
        549300XAGH9TOLX5XM67
        GE Capital Funding LLC
        36166NAB9
        
          
        
        2430000.00000000
        PA
        USD
        2755134.00000000
        0.298001291597
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        949746TD3
        
          
        
        635000.00000000
        PA
        USD
        641883.40000000
        0.069427505977
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        969457BX7
        
          
        
        402000.00000000
        PA
        USD
        426397.38000000
        0.046120068923
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONOCOPHILLIPS COMPANY
        6VJJ5GQWIRDQ06DUXG89
        ConocoPhillips Co
        208251AE8
        
          
        
        85000.00000000
        PA
        USD
        113179.20000000
        0.012241708672
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BS27X86   IRS CAD R V 03MCDOR IS27X97 CCPVANILLA / Short: BS27X86   IRS CAD P F  2.29700 IS27X86 CCPVANILLA
        000000000
        
          
        
        5275000.00000000
        OU
        Notional Amount
        
        221858.96000000
        0.023996748119
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-03-03
            268.02000000
            CAD
            0.00000000
            CAD
            5275000.00000000
            CAD
            221647.01000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RP5
        
          
        
        363300.00000000
        PA
        USD
        404228.02000000
        0.043722182681
        Long
        DBT
        UST
        US
        N
        
        2
        
          2045-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corporation
        N/A
        Chase Mortgage Reference Notes 2019-CL1
        46591HAC4
        
          
        
        288364.38000000
        PA
        USD
        292619.34000000
        0.031650344871
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-25
          Floating
          2.20900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE Futures Europe - Financial Products Division
        549300UF4R84F48NCH34
        LONG GILT FUTURE  JUN21 IFLL 20210628
        000000000
        
          
        
        -220.00000000
        NC
        
        489160.21000000
        0.052908633256
        N/A
        DIR
        
        GB
        N
        
        1
        
          
            
              ICE Futures Europe - Financial Products Division
              549300UF4R84F48NCH34
            
            Short
            
              
                United Kingdom Gilt
                G M1 Comdty
              
            
            2021-06-28
            -28424624.10000000
            GBP
            489160.21000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1C6B6   CDS USD R F  3.00000 IS1C6B6 CMBX-BBB--409425 / Short: IS1C6B6   CDS USD P V 00MEVENT IS1C6C7 CMBX-BBB--409425
        000000000
        
          
        
        278000.00000000
        OU
        Notional Amount
        USD
        -74870.03000000
        -0.00809810544
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -34004.44000000
            USD
            278000.00000000
            USD
            -40865.59000000
          
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AU4
        
          
        
        900000.00000000
        PA
        USD
        1019754.00000000
        0.110298812729
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2060-06-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137F6JL2
        
          
        
        6113275.89000000
        PA
        USD
        1250636.86000000
        0.135271605518
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALFA S.A.
        549300ZCGJ6T8YDJ4M34
        Alfa SAB de CV
        015398AB6
        
          
        
        915000.00000000
        PA
        USD
        997350.00000000
        0.107875547314
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2024-03-25
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAF6
        
          
        
        200000.00000000
        PA
        USD
        208984.00000000
        0.022604164415
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2030-05-28
          Fixed
          3.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        605.90000000
        0.000065535463
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            31532567743.00000000
            IDR
            2162430.92000000
            USD
            2021-04-15
            605.90000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810FF0
        
          
        
        2645000.00000000
        PA
        USD
        3364935.94000000
        0.363958797017
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-11-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENGIZCHEVROIL FIN CO IN
        5493001VEV2XTJIBZH31
        Tengizchevroil Finance Co International Ltd
        88034QAC1
        
          
        
        415000.00000000
        PA
        USD
        413755.00000000
        0.044752641579
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2030-08-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AF7
        
          
        
        169000.00000000
        PA
        USD
        180633.96000000
        0.019537762368
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-24CB
        02146TAR8
        
          
        
        463107.87000000
        PA
        USD
        361531.13000000
        0.039103994104
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Investors Auto Owner Trust
        N/A
        First Investors Auto Owner Trust 2020-1
        32060KAA3
        
          
        
        618357.96000000
        PA
        USD
        622043.93000000
        0.067281625710
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          1.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST
        N/A
        PMT Credit Risk Transfer Trust 2020-1R
        730151AA5
        
          
        
        624063.59000000
        PA
        USD
        620044.00000000
        0.067065308927
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-02-27
          Floating
          2.45900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRESNILLO PLC
        549300JXWH1UV5J0XV81
        Fresnillo PLC
        358070AB6
        
          
        
        2722000.00000000
        PA
        USD
        2674365.00000000
        0.289265140716
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2050-10-02
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FHP35
        
          
        
        723675.03000000
        PA
        USD
        756755.88000000
        0.081852363501
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2016-UBS12
        61691EBA2
        
          
        
        1105000.00000000
        PA
        USD
        1201351.91000000
        0.129940838029
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-15
          Fixed
          3.59600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCANADA PIPELINES
        5BV01I6231JPDAPMGH09
        TransCanada PipeLines Ltd
        893526DJ9
        
          
        
        2167000.00000000
        PA
        USD
        2850320.11000000
        0.308296828482
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2040-06-01
          Fixed
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        19717.42000000
        0.002132679073
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            700222.80000000
            NZD
            508698.35000000
            USD
            2021-05-27
            19717.42000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS23VL3   CDS USD R V 01MEVENT IS23VM4 CMBX / Short: IS23VL3   CDS USD P F  3.00000 IS23VL3 CMBX
        000000000
        
          
        
        1254000.00000000
        OU
        Notional Amount
        USD
        137898.20000000
        0.014915369527
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            247065.91000000
            USD
            0.00000000
            USD
            1254000.00000000
            USD
            -109167.71000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254AL4
        
          
        
        723000.00000000
        PA
        USD
        794049.21000000
        0.085886091265
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-01-26
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS1C069   CDS USD R F  3.00000 IS1C069 CMBX-BBB--408481 / Short: IS1C069   CDS USD P V 00MEVENT IS1C070 CMBX-BBB--408481
        000000000
        
          
        
        45000.00000000
        OU
        Notional Amount
        USD
        -12119.25000000
        -0.00131084446
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -4314.48000000
            USD
            45000.00000000
            USD
            -7804.77000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828Y38
        
          
        
        1635861.50000000
        PA
        USD
        1864115.30000000
        0.201626769182
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-07-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIB Group PLC
        635400AKJBGNS5WNQL34
        AIB Group PLC
        00135TAA2
        
          
        
        575000.00000000
        PA
        USD
        628325.50000000
        0.067961053997
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-10-12
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        80413TAS8
        
          
        
        1022000.00000000
        PA
        USD
        1083000.63000000
        0.117139705923
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2025-10-22
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intesa Sanpaolo SpA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        46115HAT4
        
          
        
        757000.00000000
        PA
        USD
        825182.99000000
        0.089253588690
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2024-06-26
          Fixed
          5.01700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KA8
        
          
        
        1675000.00000000
        PA
        USD
        1883872.50000000
        0.203763750948
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-29
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Alt-A Securities INC Mortgage Loan Trust
        N/A
        Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4
        25150PAB5
        
          
        
        992917.23000000
        PA
        USD
        491659.45000000
        0.053178956495
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.48900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FBCZ7
        
          
        
        1934207.81000000
        PA
        USD
        417933.37000000
        0.045204583175
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-15
          Floating
          6.09400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WENA3
        
          
        
        935284.02000000
        PA
        USD
        984727.44000000
        0.106510263744
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XDS0
        
          
        
        354352.47000000
        PA
        USD
        368894.71000000
        0.039900454948
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-04-25
          Floating
          4.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN LISTRIK NEGAR
        254900OYVDRYS9J51J61
        Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
        71568QAF4
        
          
        
        200000.00000000
        PA
        USD
        243266.00000000
        0.026312180170
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2048-05-21
          Fixed
          6.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBD4
        
          
        
        1204000.00000000
        PA
        USD
        1381722.44000000
        0.149450107235
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-14
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASS MUTUAL LIFE INS CO
        R6ZXK5P01NP6HXSY1S07
        Massachusetts Mutual Life Insurance Co
        575767AN8
        
          
        
        11000.00000000
        PA
        USD
        10755.58000000
        0.001163346948
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2070-10-15
          Fixed
          3.72900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RM2
        
          
        
        128500.00000000
        PA
        USD
        142795.63000000
        0.015445086218
        Long
        DBT
        UST
        US
        N
        
        2
        
          2045-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banco Santander SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAA7
        
          
        
        3400000.00000000
        PA
        USD
        3863216.00000000
        0.417853853104
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-11-19
          Fixed
          5.17900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NY MELLON CORP
        WFLLPEPC7FZXENRZV188
        Bank of New York Mellon Corp/The
        064058AH3
        
          
        
        392000.00000000
        PA
        USD
        424896.64000000
        0.045957745617
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-20
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BX6
        
          
        
        466000.00000000
        PA
        USD
        516043.74000000
        0.055816414388
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-09-12
          Fixed
          4.29200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AC5
        
          
        
        2084000.00000000
        PA
        USD
        2270247.08000000
        0.245554866690
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2027-09-17
          Fixed
          4.34500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS23UB6   CDS USD R V 01MEVENT IS23UC7 CMBX / Short: IS23UB6   CDS USD P F  3.00000 IS23UB6 CMBX
        000000000
        
          
        
        6261000.00000000
        OU
        Notional Amount
        USD
        687979.55000000
        0.074413365917
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            1268238.24000000
            USD
            0.00000000
            USD
            6261000.00000000
            USD
            -580258.69000000
          
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAL9
        
          
        
        351000.00000000
        PA
        USD
        380936.79000000
        0.041202952537
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2026-04-03
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAS0
        
          
        
        128000.00000000
        PA
        USD
        134787.84000000
        0.014578946218
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2026-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0QG7
        
          
        
        1319995.00000000
        PA
        USD
        1326176.14000000
        0.143442098498
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-12-25
          Floating
          2.75900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0LJ6
        
          
        
        520068.51000000
        PA
        USD
        540382.49000000
        0.058448946576
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-03-25
          Floating
          3.90900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVERSIONES CMPC CI
        549300G475ACIABB4385
        Inversiones CMPC SA/Cayman Islands Branch
        000000000
        
          
        
        322000.00000000
        PA
        USD
        338703.75000000
        0.036634934986
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2023-05-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCP CLO Ltd
        254900MN6N176YEZLX15
        OCP CLO 2020-18 Ltd
        671078AA1
        
          
        
        1500000.00000000
        PA
        USD
        1500000.00000000
        0.162243265625
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-04-20
          Floating
          2.02400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-J1
        12668BKK8
        
          
        
        216624.76000000
        PA
        USD
        195708.47000000
        0.021168254188
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B0DZ6
        
          
        
        1854119.52000000
        PA
        USD
        418966.49000000
        0.045316327683
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-25
          Floating
          6.09100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29273RAS8
        
          
        
        100000.00000000
        PA
        USD
        104167.00000000
        0.011266929500
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port Authority of New York & New Jersey
        54930006MR4KZ4W74Z83
        PORT AUTH OF NEW YORK & NEW JERSEY NY
        73358W4V3
        
          
        
        1000000.00000000
        PA
        USD
        1014892.70000000
        0.109773003938
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-07-01
          Fixed
          1.08600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FPWG0
        
          
        
        20658.39000000
        PA
        USD
        21602.73000000
        0.002336598307
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CKE Restaurants Holdings Inc
        N/A
        Hardee's Funding LLC
        411707AH5
        
          
        
        488379.99000000
        PA
        USD
        504052.10000000
        0.054519372499
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-12-20
          Fixed
          3.98100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2020-2 Ltd
        078782AB5
        
          
        
        782673.00000000
        PA
        USD
        788749.99000000
        0.085312916093
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-08-26
          Floating
          3.30900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        CCUBS Commercial Mortgage Trust 2017-C1
        12508GAU0
        
          
        
        2005000.00000000
        PA
        USD
        2193872.20000000
        0.237293993395
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-15
          Variable
          3.54400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402C4G4
        
          
        
        65241.31000000
        PA
        USD
        74955.60000000
        0.008107360880
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cooperatieve Rabobank UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        21685WDF1
        
          
        
        443000.00000000
        PA
        USD
        466368.25000000
        0.050443405242
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2022-11-09
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        549300FPK70TCB78NG05
        Hertz Vehicle Financing II LP
        42806DCH0
        
          
        
        205141.21000000
        PA
        USD
        205674.68000000
        0.022246221159
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-05-25
          Fixed
          3.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRF GMBH
        5299002S6DY5RA2IOQ11
        BRF GmbH
        000000000
        
          
        
        525000.00000000
        PA
        USD
        536976.56000000
        0.058080553772
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2026-09-29
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAC5
        
          
        
        768000.00000000
        PA
        USD
        802260.48000000
        0.086774240104
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828XR6
        
          
        
        3719000.00000000
        PA
        USD
        3789893.44000000
        0.409923125385
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-05-31
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        70580.47000000
        0.007634137294
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            23977695.33000000
            AUD
            18287694.72000000
            USD
            2021-06-04
            70580.47000000
          
        
        
          N
          N
          N
        
      
      
        BRASKEM NETHERLANDS
        N/A
        Braskem Netherlands Finance BV
        10554TAD7
        
          
        
        500000.00000000
        PA
        USD
        501225.00000000
        0.054213587208
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-31
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DE CREDITO DEL PER
        549300EQYQ8SCQZ4BY14
        Banco de Credito del Peru
        05971U2C0
        
          
        
        1447000.00000000
        PA
        USD
        1444612.45000000
        0.156252427634
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2030-07-01
          Fixed
          3.12500000
          N
          N
          N
          N
          Y
          
            
              Banco de Credito del Peru
              Banco de Credito del Peru
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        SIGMA ALIMENTOS SA
        549300FW3RGHPHT21D10
        Sigma Alimentos SA de CV
        82655AAC7
        
          
        
        221000.00000000
        PA
        USD
        239577.81000000
        0.025913257510
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2026-05-02
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828Z94
        
          
        
        8393000.00000000
        PA
        USD
        8284153.28000000
        0.896032054059
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-02-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Commercial Mortgage Trust
        N/A
        Banc of America Commercial Mortgage Trust 2015-UBS7
        06054ABB4
        
          
        
        211000.00000000
        PA
        USD
        230471.35000000
        0.024928282971
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-15
          Variable
          3.98900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022642
        
          
        
        18305000.00000000
        PA
        USD
        18769774.93000000
        2.030179719799
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AG2
        
          
        
        228000.00000000
        PA
        USD
        237721.92000000
        0.025712520407
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-08
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cencosud SA
        549300NLTGCFV7482429
        Cencosud SA
        000000000
        
          
        
        1704000.00000000
        PA
        USD
        1901557.50000000
        0.205676599049
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2025-02-12
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS17I04   CDS USD R F  3.00000 IS17I04 CMBX-BBB--380158 / Short: IS17I04   CDS USD P V 00MEVENT IS17I15 CMBX-BBB--380158
        000000000
        
          
        
        324000.00000000
        OU
        Notional Amount
        USD
        -87258.60000000
        -0.00943808014
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -26046.65000000
            USD
            324000.00000000
            USD
            -61211.95000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AJ7
        
          
        
        1617000.00000000
        PA
        USD
        1708392.84000000
        0.184783488888
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-07-17
          Fixed
          7.50000000
          N
          N
          N
          N
          Y
          
            
              Credit Suisse Group AG
              Credit Suisse Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        TENCENT HOLDINGS LTD
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032WAV8
        
          
        
        1022000.00000000
        PA
        USD
        937511.26000000
        0.101403258922
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2050-06-03
          Fixed
          3.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900K56RF3Z7VQ3U81
        Bellemeade Re 2019-1 Ltd
        07876RAB2
        
          
        
        1425000.00000000
        PA
        USD
        1409924.64000000
        0.152500518586
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-03-25
          Floating
          1.85900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJD88
        
          
        
        80444.08000000
        PA
        USD
        84121.36000000
        0.009098749436
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-10-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALPEK SA DE CV
        549300PWKJTP62D4IQ66
        Alpek SAB de CV
        020564AE0
        
          
        
        469000.00000000
        PA
        USD
        462082.25000000
        0.049979822151
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-02-25
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FTUK5
        
          
        
        1116946.88000000
        PA
        USD
        1167656.04000000
        0.126296219371
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1D987   CDS USD R F  3.00000 IS1D987 CMBX-BBB--413312 / Short: IS1D987   CDS USD P V 00MEVENT IS1D998 CMBX-BBB--413312
        000000000
        
          
        
        42000.00000000
        OU
        Notional Amount
        USD
        -11311.30000000
        -0.00122345483
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -5535.37000000
            USD
            42000.00000000
            USD
            -5775.93000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FPL49
        
          
        
        170774.72000000
        PA
        USD
        178527.86000000
        0.019309962007
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genworth Mortgage Insurance Corporation
        N/A
        Traingle Re 2021-1 Ltd
        89600FAA1
        
          
        
        1818387.00000000
        PA
        USD
        1818386.27000000
        0.196680617742
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2033-08-25
          Floating
          1.80700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128284N7
        
          
        
        2786000.00000000
        PA
        USD
        3060246.88000000
        0.331002964954
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-05-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brex Inc
        N/A
        Brex Commercial Charge Card Master Trust
        05601DAA1
        
          
        
        1021000.00000000
        PA
        USD
        1020924.55000000
        0.110425421966
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-07-17
          Fixed
          2.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2012-CCRE3 Mortgage Trust
        12624PAU9
        
          
        
        888738.00000000
        PA
        USD
        474947.28000000
        0.051371331804
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-15
          Variable
          4.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P8M0   CDS USD R F  3.00000 IS1P8M0 CMBX / Short: IS1P8M0   CDS USD P V 01MEVENT IS1P8N1 CMBX
        000000000
        
          
        
        71000.00000000
        OU
        Notional Amount
        USD
        -19127.40000000
        -0.00206886122
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -8744.30000000
            USD
            71000.00000000
            USD
            -10383.10000000
          
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 78 CLO Ltd
        26253LAE2
        
          
        
        1260000.00000000
        PA
        USD
        1263303.72000000
        0.136641680673
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-17
          Floating
          2.17300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTINGHOUSE AIR BRAKE
        06BTX5UWZD0GQ5N5Y745
        Westinghouse Air Brake Technologies Corp
        960386AQ3
        
          
        
        270000.00000000
        PA
        USD
        286613.10000000
        0.031000696876
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CZ1
        
          
        
        1616000.00000000
        PA
        USD
        1983688.48000000
        0.214560064652
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-25
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        UBS Commercial Mortgage Trust 2012-C1
        90269GAE1
        
          
        
        1250000.00000000
        PA
        USD
        1281309.00000000
        0.138589170956
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-10
          Fixed
          4.17100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        UBS Commercial Mortgage Trust 2018-C9
        90291JAW7
        
          
        
        2100000.00000000
        PA
        USD
        2344812.54000000
        0.253620029179
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-03-15
          Variable
          4.11700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BCF21
        
          
        
        10430343.12000000
        PA
        USD
        1730167.59000000
        0.187138693253
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortgage Trust
        N/A
        UBS-Barclays Commercial Mortgage Trust 2012-C4
        90270RBE3
        
          
        
        2348425.00000000
        PA
        USD
        2419692.42000000
        0.261719200020
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-10
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEIDOS INC
        5493006I78VIN6J1BQ95
        Leidos Inc
        52532XAE5
        
          
        
        1913000.00000000
        PA
        USD
        2124596.93000000
        0.229801029374
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2019-SMP
        36259NAA9
        
          
        
        870000.00000000
        PA
        USD
        869473.91000000
        0.094044191023
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-08-15
          Floating
          1.25600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAQ7
        
          
        
        30000.00000000
        PA
        USD
        32514.90000000
        0.003516882371
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Invitation Homes Trust
        N/A
        Invitation Homes 2018-SFR3 Trust
        46187VAE9
        
          
        
        1000000.00000000
        PA
        USD
        1003103.20000000
        0.108497825951
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-07-17
          Floating
          1.40800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBJ0
        
          
        
        2986000.00000000
        PA
        USD
        3277702.34000000
        0.354523420926
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAF3
        
          
        
        968000.00000000
        PA
        USD
        1055303.92000000
        0.114143969472
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-01
          Fixed
          3.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUIST FINANCIAL CORP
        549300DRQQI75D2JP341
        Truist Financial Corp
        89832QAF6
        
          
        
        1603000.00000000
        PA
        USD
        1748103.56000000
        0.189078686817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063BJA1
        
          
        
        1255000.00000000
        PA
        USD
        1294911.38000000
        0.140060433991
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2021-11-01
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBP9
        
          
        
        1110000.00000000
        PA
        USD
        1250426.10000000
        0.135248809258
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-04-02
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBR5
        
          
        
        2706000.00000000
        PA
        USD
        2661378.06000000
        0.287860445012
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-03-25
          Fixed
          2.25900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SJ8
        
          
        
        15570000.00000000
        PA
        USD
        15010453.13000000
        1.623563289552
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-08-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254AA8
        
          
        
        400000.00000000
        PA
        USD
        375140.00000000
        0.040575959111
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-01-30
          Variable
          1.72200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020646
        
          
        
        8650000.00000000
        PA
        USD
        8623644.32000000
        0.932752144046
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        UBS Commercial Mortgage Trust 2018-C8
        90276VAE9
        
          
        
        1320000.00000000
        PA
        USD
        1464012.40000000
        0.158350768461
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-02-15
          Fixed
          3.98300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAV2
        
          
        
        278000.00000000
        PA
        USD
        327481.22000000
        0.035421081709
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN21 XCBT 20210630
        000000000
        
          
        
        475.00000000
        NC
        USD
        -22651.25000000
        -0.00245000851
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                2 Year US Treasury Note
                TUM1 Comdty
              
            
            2021-06-30
            104867768.20000000
            USD
            -22651.25000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BS2
        
          
        
        467000.00000000
        PA
        USD
        527186.96000000
        0.057021689323
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-07-01
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
        46652BAN9
        
          
        
        137672.84000000
        PA
        USD
        137059.36000000
        0.014824638767
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-16
          Floating
          1.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORBIA ADVANCE CORP SAB
        549300MVHZ20SBIOEQ79
        Orbia Advance Corp SAB de CV
        59284BAB4
        
          
        
        365000.00000000
        PA
        USD
        383592.19000000
        0.041490166382
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2022-09-19
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS23YB4   CDS USD R V 01MEVENT IS23YC5 CMBX / Short: IS23YB4   CDS USD P F  3.00000 IS23YB4 CMBX
        000000000
        
          
        
        1248000.00000000
        OU
        Notional Amount
        USD
        136926.40000000
        0.014810257524
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            254396.69000000
            USD
            0.00000000
            USD
            1248000.00000000
            USD
            -117470.29000000
          
        
        
          N
          N
          N
        
      
      
        Prudential Financial Inc
        5PRBRS5FEH7NREC8OR45
        Prudential Financial Inc
        744320AL6
        
          
        
        103000.00000000
        PA
        USD
        108834.95000000
        0.011771825134
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Multifamily Structured Credit Risk
        N/A
        Freddie Mac Multifamily Structured Credit Risk
        35563FAA9
        
          
        
        350456.70000000
        PA
        USD
        351325.62000000
        0.038000143924
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-01-25
          Floating
          2.01700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA CINDA 2020 I MNGMN
        549300ZIBIB6Z9RSNU64
        China Cinda 2020 I Management Ltd
        000000000
        
          
        
        1495000.00000000
        PA
        USD
        1502942.19000000
        0.162561499301
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2030-03-18
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAC4
        
          
        
        1085000.00000000
        PA
        USD
        1227948.75000000
        0.132817610147
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG STAMFORD CT
        254900R882POXXVAK772
        UBS AG/Stamford CT
        90261AAB8
        
          
        
        1584000.00000000
        PA
        USD
        1726956.00000000
        0.186791320687
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2022-08-17
          Fixed
          7.62500000
          N
          N
          N
          N
          Y
          
            
              UBS AG
              UBS AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        254900YVLP8CB4GC2O97
        Radnor RE 2020-1 Ltd
        750493AA6
        
          
        
        535509.00000000
        PA
        USD
        535564.64000000
        0.057927837431
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2030-02-25
          Floating
          1.05900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FVTE2
        
          
        
        4908097.60000000
        PA
        USD
        907019.87000000
        0.098105243797
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS1VK11   CDS USD R F  3.00000 IS1VK11 CMBX / Short: IS1VK11   CDS USD P V 01MEVENT IS1VK22 CMBX
        000000000
        
          
        
        59000.00000000
        OU
        Notional Amount
        USD
        -15889.68000000
        -0.00171866238
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -5588.77000000
            USD
            59000.00000000
            USD
            -10300.91000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WQKW1
        
          
        
        303868.36000000
        PA
        USD
        331025.59000000
        0.035804448484
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN21 XCBT 20210630
        000000000
        
          
        
        17.00000000
        NC
        USD
        -7990.66000000
        -0.00086428718
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                5 Year US Treasury Note
                FVM1 Comdty
              
            
            2021-06-30
            2105764.11000000
            USD
            -7990.66000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAG4
        
          
        
        600000.00000000
        PA
        USD
        570426.00000000
        0.061698518025
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2030-12-03
          Fixed
          2.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        268251.03000000
        0.029014615409
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            669265640.00000000
            JPY
            6315348.43000000
            USD
            2021-05-20
            268251.03000000
          
        
        
          N
          N
          N
        
      
      
        COMISION FEDERAL DE ELEC
        4469000001BFPONMPF32
        Comision Federal de Electricidad
        200447AH3
        
          
        
        1685000.00000000
        PA
        USD
        1617073.44000000
        0.174906183774
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-02-09
          Fixed
          3.34800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upstart Securitization Trust
        N/A
        Upstart Securitization Trust 2020-3
        91680EAA3
        
          
        
        810598.54000000
        PA
        USD
        816984.60000000
        0.088366832979
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-11-20
          Fixed
          1.70200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Host Hotels & Resorts LP
        FXB7X4WXVA8QPMNOGS12
        Host Hotels & Resorts LP
        44107TAU0
        
          
        
        48000.00000000
        PA
        USD
        50652.96000000
        0.005478734429
        Long
        DBT
        
        US
        N
        
        2
        
          2023-10-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MetLife Inc
        C4BXATY60WC6XEOZDX54
        MetLife Inc
        59156RAV0
        
          
        
        25000.00000000
        PA
        USD
        42075.25000000
        0.004550950641
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-08-01
          Fixed
          10.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        4515.52000000
        0.000488408473
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            147399783.00000000
            KRW
            135229.16000000
            USD
            2021-04-22
            4515.52000000
          
        
        
          N
          N
          N
        
      
      
        NEWELL BRANDS INC
        549300LWGYFM1TVO1Z12
        Newell Brands Inc
        651229BB1
        
          
        
        164000.00000000
        PA
        USD
        181047.80000000
        0.019582524204
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS1S8V8   CDS USD R F  3.00000 IS1S8V8 CMBX / Short: IS1S8V8   CDS USD P V 01MEVENT IS1S8W9 CMBX
        000000000
        
          
        
        338000.00000000
        OU
        Notional Amount
        USD
        -91029.03000000
        -0.00984589806
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -40591.92000000
            USD
            338000.00000000
            USD
            -50437.11000000
          
        
        
          N
          N
          N
        
      
      
        OMAN GOV INTERNTL BOND
        549300SZ20F0QTKNQC75
        Oman Government International Bond
        000000000
        
          
        
        345000.00000000
        PA
        USD
        359554.69000000
        0.038890218051
        Long
        DBT
        NUSS
        OM
        N
        
        2
        
          2025-02-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2C6
        
          
        
        1535000.00000000
        PA
        USD
        1659780.15000000
        0.179525434504
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-24
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -15808.98000000
        -0.00170993369
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            4570795.23000000
            CAD
            3621512.73000000
            USD
            2021-04-22
            -15808.98000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -70446.41000000
        -0.00761963707
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            2113073.16000000
            USD
            11497231.08000000
            BRL
            2021-04-05
            -70446.41000000
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2014-GC22
        36253BAU7
        
          
        
        1531669.00000000
        PA
        USD
        1659600.43000000
        0.179505995597
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-10
          Fixed
          3.86200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        N/A
        Hertz Vehicle Financing LLC 2018-2
        42806DBV0
        
          
        
        205661.00000000
        PA
        USD
        206614.20000000
        0.022347841688
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-06-27
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Enel Chile SA
        549300YM5CWCAUVOPB53
        Enel Chile SA
        29278DAA3
        
          
        
        957000.00000000
        PA
        USD
        1105634.06000000
        0.119587786987
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2028-06-12
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding AESOP LLC
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RDC5
        
          
        
        1680000.00000000
        PA
        USD
        1821121.18000000
        0.196976431561
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M43N1
        
          
        
        199952.53000000
        PA
        USD
        229892.06000000
        0.024865625703
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0QQ5
        
          
        
        970000.00000000
        PA
        USD
        988413.61000000
        0.106908967916
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-03-25
          Floating
          2.60900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARDWALK PIPELINES LP
        549300W6AQ2GHHCGL606
        Boardwalk Pipelines LP
        096630AH1
        
          
        
        926000.00000000
        PA
        USD
        932231.98000000
        0.100832240503
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Oil Corp
        1FRVQX2CRLGC1XLP5727
        Marathon Oil Corp
        565849AL0
        
          
        
        998000.00000000
        PA
        USD
        1070933.84000000
        0.115834535646
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -116104.24000000
        -0.01255808736
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            34765061.48000000
            ZAR
            2238538.91000000
            USD
            2021-04-08
            -116104.24000000
          
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCZ2
        
          
        
        779000.00000000
        PA
        USD
        800142.06000000
        0.086545107185
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-02-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOOKING HOLDINGS INC
        FXM8FAOHMYDIPD38UZ17
        Booking Holdings Inc
        09857LAR9
        
          
        
        2166000.00000000
        PA
        USD
        2517693.42000000
        0.272319201536
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-13
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEAR CORP
        549300UPNBTXA1SYTQ33
        Lear Corp
        521865BB0
        
          
        
        729000.00000000
        PA
        USD
        763284.87000000
        0.082558553274
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-30
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAF8
        
          
        
        312000.00000000
        PA
        USD
        331815.12000000
        0.035889845768
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-30
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OFS2   CDS USD R V 01MEVENT IS1OFT3 CMBX / Short: IS1OFS2   CDS USD P F  3.00000 IS1OFS2 CMBX
        000000000
        
          
        
        1980000.00000000
        OU
        Notional Amount
        USD
        217404.00000000
        0.023514889946
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            134464.74000000
            USD
            0.00000000
            USD
            1980000.00000000
            USD
            82939.26000000
          
        
        
          N
          N
          N
        
      
      
        WF-RBS Commercial Mortgage Trust
        N/A
        WFRBS Commercial Mortgage Trust 2014-C25
        92939LAE6
        
          
        
        2100000.00000000
        PA
        USD
        2281934.55000000
        0.246819008890
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-11-15
          Fixed
          3.63100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -104557.02000000
        -0.01130911491
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            44638596.79000000
            MXN
            2076977.94000000
            USD
            2021-04-16
            -104557.02000000
          
        
        
          N
          N
          N
        
      
      
        Anthem Inc
        8MYN82XMYQH89CTMTH67
        Anthem Inc
        94973VBA4
        
          
        
        33000.00000000
        PA
        USD
        34656.93000000
        0.003748568999
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BHMS Mortgage Trust
        N/A
        BHMS 2018-ATLS
        05549GAA9
        
          
        
        1199540.00000000
        PA
        USD
        1198796.29000000
        0.129664416606
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-15
          Floating
          1.35600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403DDX4
        
          
        
        93819.28000000
        PA
        USD
        108785.41000000
        0.011766466780
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2014-C21
        46642EAY2
        
          
        
        1445000.00000000
        PA
        USD
        1559365.25000000
        0.168664340308
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-15
          Fixed
          3.77500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        549300FPK70TCB78NG05
        Hertz Vehicle Financing II LP
        42806DBQ1
        
          
        
        111723.45000000
        PA
        USD
        112027.66000000
        0.012117155599
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-02-25
          Fixed
          3.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMBRAER NETHERLANDS FINA
        724500PBR8LR26XBSP67
        Embraer Netherlands Finance BV
        29082HAC6
        
          
        
        537000.00000000
        PA
        USD
        588176.10000000
        0.063618407484
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-01-17
          Fixed
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAH4
        
          
        
        879000.00000000
        PA
        USD
        985271.10000000
        0.106569067193
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        61490.83000000
        0.006650982043
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            2303511.27000000
            USD
            34918005.93000000
            ZAR
            2021-04-08
            61490.83000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SK5
        
          
        
        4905000.00000000
        PA
        USD
        4858249.22000000
        0.525478812450
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-11-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUZANO AUSTRIA GMBH
        254900287ZNSGVP1R341
        Suzano Austria GmbH
        86964WAJ1
        
          
        
        343000.00000000
        PA
        USD
        354113.20000000
        0.038301654646
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2031-01-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402C4H2
        
          
        
        78507.37000000
        PA
        USD
        90194.63000000
        0.009755647542
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ashford Hospitality Trust
        N/A
        Ashford Hospitality Trust 2018-ASHF
        04410RAA4
        
          
        
        909465.58000000
        PA
        USD
        907816.45000000
        0.098191403624
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-15
          Floating
          1.00600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CE7
        
          
        
        958000.00000000
        PA
        USD
        959848.94000000
        0.103819351021
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-11-24
          Fixed
          2.12900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417DRX3
        
          
        
        867182.55000000
        PA
        USD
        941161.20000000
        0.101798044378
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lloyds Banking Group PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        539439AS8
        
          
        
        250000.00000000
        PA
        USD
        269707.50000000
        0.029172150375
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-08-16
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICRON TECHNOLOGY INC
        B3DXGBC8GAIYWI2Z0172
        Micron Technology Inc
        595112BP7
        
          
        
        2396000.00000000
        PA
        USD
        2660686.12000000
        0.287785603275
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          4.18500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2019-IMC
        05608BAA8
        
          
        
        1041652.00000000
        PA
        USD
        1037687.47000000
        0.112238535887
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-15
          Floating
          1.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XAZ9
        
          
        
        275000.00000000
        PA
        USD
        302428.50000000
        0.032711324972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-13
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OMAN GOV INTERNTL BOND
        549300SZ20F0QTKNQC75
        Oman Government International Bond
        68205LAS2
        
          
        
        469000.00000000
        PA
        USD
        490544.69000000
        0.053058381627
        Long
        DBT
        NUSS
        OM
        N
        
        2
        
          2031-01-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402QYV7
        
          
        
        373023.18000000
        PA
        USD
        429214.98000000
        0.046424826673
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RD2
        
          
        
        295000.00000000
        PA
        USD
        367828.13000000
        0.039785091333
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-11-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QW1
        
          
        
        843000.00000000
        PA
        USD
        938364.38000000
        0.101495534238
        Long
        DBT
        UST
        US
        N
        
        2
        
          2042-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS1S733   CDS USD R F  3.00000 IS1S733 CMBX / Short: IS1S733   CDS USD P V 01MEVENT IS1S744 CMBX
        000000000
        
          
        
        975000.00000000
        OU
        Notional Amount
        USD
        -262583.75000000
        -0.02840163006
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -116067.49000000
            USD
            975000.00000000
            USD
            -146516.26000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS1UPY6   CDS USD R F  3.00000 IS1UPY6 CMBX / Short: IS1UPY6   CDS USD P V 01MEVENT IS1UPZ7 CMBX
        000000000
        
          
        
        239000.00000000
        OU
        Notional Amount
        USD
        -64366.68000000
        -0.00696204024
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -22571.86000000
            USD
            239000.00000000
            USD
            -41794.82000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2015-GC27
        17323CAE7
        
          
        
        1467955.00000000
        PA
        USD
        1566683.49000000
        0.169455897079
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-02-10
          Fixed
          3.13700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KD2
        
          
        
        574000.00000000
        PA
        USD
        574717.50000000
        0.062162696008
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-05-15
          Variable
          4.67200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagship Credit Auto Trust
        549300A2KXZJ0K08VV65
        Flagship Credit Auto Trust 2016-4
        33844FAE7
        
          
        
        555805.11000000
        PA
        USD
        562418.47000000
        0.060832406147
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          3.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1BHY3   CDS USD R F  2.00000 IS1BHY3 CMBX-A-405887 / Short: IS1BHY3   CDS USD P V 00MEVENT IS1BHZ4 CMBX-A-405887
        000000000
        
          
        
        1460000.00000000
        OU
        Notional Amount
        USD
        -114918.22000000
        -0.01242980486
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                Markit CMBX.NA.A.6
                137BEOAF1
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -27723.32000000
            USD
            1460000.00000000
            USD
            -87194.90000000
          
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBW2
        
          
        
        2401000.00000000
        PA
        USD
        2559201.89000000
        0.276808848019
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-01-31
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIC
        2549006I3Q3M98KHOT11
        CITIC Ltd
        000000000
        
          
        
        889000.00000000
        PA
        USD
        880943.44000000
        0.095284760357
        Long
        DBT
        CORP
        HK
        
        N
        
        2
        
          2030-02-25
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WPG65
        
          
        
        3094720.02000000
        PA
        USD
        3356793.91000000
        0.363078137326
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AF4
        
          
        
        983000.00000000
        PA
        USD
        1009953.86000000
        0.109238808251
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-08
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government International Bond
        46513JB42
        
          
        
        928000.00000000
        PA
        USD
        1019350.00000000
        0.110255115210
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2050-07-03
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAU5
        
          
        
        2065000.00000000
        PA
        USD
        1969658.95000000
        0.213042600144
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2028-01-26
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZIMMER BIOMET HOLDINGS
        2P2YLDVPES3BXQ1FRB91
        Zimmer Biomet Holdings Inc
        98956PAT9
        
          
        
        296000.00000000
        PA
        USD
        316844.32000000
        0.034270571447
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-20
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Consumer Loan Program Trust
        N/A
        Sofi Consumer Loan Program 2018-3 Trust
        83405XAB0
        
          
        
        103443.20000000
        PA
        USD
        103744.65000000
        0.011221247204
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-08-25
          Fixed
          3.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OA09   CDS USD R F  3.00000 IS1OA09 CMBX / Short: IS1OA09   CDS USD P V 01MEVENT IS1OA10 CMBX
        000000000
        
          
        
        72000.00000000
        OU
        Notional Amount
        USD
        -19396.80000000
        -0.00209800011
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -8001.24000000
            USD
            72000.00000000
            USD
            -11395.56000000
          
        
        
          N
          N
          N
        
      
      
        PT PERTAMINA (PERSERO)
        254900NDAKGNZ2IBBL45
        Pertamina Persero PT
        69370RAA5
        
          
        
        850000.00000000
        PA
        USD
        1053991.50000000
        0.114002015267
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2044-05-30
          Fixed
          6.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AH0
        
          
        
        1168000.00000000
        PA
        USD
        1198963.68000000
        0.129682521873
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-25
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS17H29   CDS USD R F  3.00000 IS17H29 CMBX-BBB--379858 / Short: IS17H29   CDS USD P V 00MEVENT IS17H30 CMBX-BBB--379858
        000000000
        
          
        
        251000.00000000
        OU
        Notional Amount
        USD
        -67598.48000000
        -0.00731159876
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -19758.10000000
            USD
            251000.00000000
            USD
            -47840.38000000
          
        
        
          N
          N
          N
        
      
      
        OEC FINANCE LTD
        N/A
        OEC Finance Ltd
        67614CAE0
        
          
        
        340781.00000000
        PA
        USD
        55751.77000000
        0.006030232819
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2033-12-27
          Fixed
          5.25000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83368JKF6
        
          
        
        1706000.00000000
        PA
        USD
        1856810.40000000
        0.200836655295
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-08-19
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TAKEDA PHARMACEUTICAL
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        874060AT3
        
          
        
        1378000.00000000
        PA
        USD
        1506402.04000000
        0.162935724209
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-11-26
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natwest Markets PLC
        RR3QWICWWIPCS8A4S074
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        22891.70000000
        0.002476016109
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Natwest Markets PLC
              RR3QWICWWIPCS8A4S074
            
            2084171.98000000
            USD
            2647815.45000000
            CAD
            2021-04-22
            22891.70000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335AY51
        
          
        
        1540559.78000000
        PA
        USD
        1702508.20000000
        0.184146993414
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAG5
        
          
        
        892000.00000000
        PA
        USD
        939889.25000000
        0.101660467497
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2025-04-16
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2N2
        
          
        
        843000.00000000
        PA
        USD
        869647.23000000
        0.094062937691
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-30
          Fixed
          2.18800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dow Chemical Co/The
        ZQUIP1CSZO8LXRBSOU78
        Dow Chemical Co/The
        260543CG6
        
          
        
        87000.00000000
        PA
        USD
        98952.93000000
        0.010702964337
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-11-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANNER HEALTH
        PLD0E0WJKFN8IZJ2WD85
        Banner Health
        06654DAD9
        
          
        
        500000.00000000
        PA
        USD
        474575.00000000
        0.051331065189
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-01
          Fixed
          1.89700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2018-B2
        17327FAD8
        
          
        
        1200000.00000000
        PA
        USD
        1338352.56000000
        0.144759126595
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-03-10
          Fixed
          4.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INRETAIL CONSUMER
        N/A
        InRetail Consumer
        45790TAB1
        
          
        
        813000.00000000
        PA
        USD
        811475.63000000
        0.087770970791
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2028-03-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAK9
        
          
        
        918000.00000000
        PA
        USD
        1086241.86000000
        0.117490284416
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 78 CLO Ltd
        26253LAG7
        
          
        
        400000.00000000
        PA
        USD
        400914.00000000
        0.043363731063
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-17
          Floating
          3.22300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAU4
        
          
        
        390000.00000000
        PA
        USD
        484894.80000000
        0.052447277224
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          6.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kayne CLO
        N/A
        Kayne CLO 7 Ltd
        48661CAE2
        
          
        
        570000.00000000
        PA
        USD
        571793.79000000
        0.061846461169
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-17
          Floating
          2.22300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re 2018-1 Ltd.
        549300BLEDGL5R7YKU33
        Eagle RE 2018-1 Ltd
        269826AB9
        
          
        
        217315.00000000
        PA
        USD
        219208.99000000
        0.023710121594
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2028-11-25
          Floating
          3.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS24398   CDS USD R V 01MEVENT IS243A9 CMBX / Short: IS24398   CDS USD P F  3.00000 IS24398 CMBX
        000000000
        
          
        
        663000.00000000
        OU
        Notional Amount
        USD
        72742.15000000
        0.007867949309
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            133755.09000000
            USD
            0.00000000
            USD
            663000.00000000
            USD
            -61012.94000000
          
        
        
          N
          N
          N
        
      
      
        HomeBanc Mortgage Trust
        N/A
        HomeBanc Mortgage Trust 2005-1
        43739EAP2
        
          
        
        237509.05000000
        PA
        USD
        216143.04000000
        0.023378501767
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          0.60900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BT5
        
          
        
        20000.00000000
        PA
        USD
        23002.60000000
        0.002488011294
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2015-XLF1
        61765VAA6
        
          
        
        390535.70000000
        PA
        USD
        332284.64000000
        0.035940630073
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-11-15
          Floating
          2.05600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        31359MEU3
        
          
        
        355000.00000000
        PA
        USD
        479665.35000000
        0.051881648527
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2029-05-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BK9
        
          
        
        216000.00000000
        PA
        USD
        238295.52000000
        0.025774562232
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJKC1
        
          
        
        938832.28000000
        PA
        USD
        981748.46000000
        0.106188050782
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810PT9
        
          
        
        1525000.00000000
        PA
        USD
        2082101.56000000
        0.225204637638
        Long
        DBT
        UST
        US
        N
        
        2
        
          2037-02-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT Credit Risk Transfer Trust
        N/A
        PMT Credit Risk Transfer Trust 2019-3R
        69349MAA4
        
          
        
        165366.00000000
        PA
        USD
        165611.78000000
        0.017912930675
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2022-10-27
          Floating
          2.80900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BD6
        
          
        
        790000.00000000
        PA
        USD
        873376.60000000
        0.094466314469
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INFOR INC
        549300Q3IIYBYI4RHD64
        Infor Inc
        45674CAA1
        
          
        
        649000.00000000
        PA
        USD
        655223.91000000
        0.070870444582
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABV6
        
          
        
        462000.00000000
        PA
        USD
        467442.36000000
        0.050559583318
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALBERTSONS COS/SAFEWAY
        N/A
        Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
        013092AG6
        
          
        
        959000.00000000
        PA
        USD
        911702.12000000
        0.098611686150
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Affirm Asset Securitization Trust 2020-A
        N/A
        Affirm Asset Securitization Trust 2020-A
        00833LAA4
        
          
        
        1132000.00000000
        PA
        USD
        1144090.67000000
        0.123747337648
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-02-18
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: IS23U16   CDS USD R V 01MEVENT IS23U27 CMBX / Short: IS23U16   CDS USD P F  3.00000 IS23U16 CMBX
        000000000
        
          
        
        532000.00000000
        OU
        Notional Amount
        USD
        58457.93000000
        0.006322936976
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            103220.07000000
            USD
            0.00000000
            USD
            532000.00000000
            USD
            -44762.14000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OD00   CDS USD R V 01MEVENT IS1OD11 CMBX / Short: IS1OD00   CDS USD P F  3.00000 IS1OD00 CMBX
        000000000
        
          
        
        1608000.00000000
        OU
        Notional Amount
        USD
        176558.40000000
        0.019096940926
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            117000.60000000
            USD
            0.00000000
            USD
            1608000.00000000
            USD
            59557.80000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS23VJ1   CDS USD R V 01MEVENT IS23VK2 CMBX / Short: IS23VJ1   CDS USD P F  3.00000 IS23VJ1 CMBX
        000000000
        
          
        
        3130000.00000000
        OU
        Notional Amount
        USD
        344195.67000000
        0.037228953009
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            622280.24000000
            USD
            0.00000000
            USD
            3130000.00000000
            USD
            -278084.57000000
          
        
        
          N
          N
          N
        
      
      
        COCA-COLA FEMSA SAB CV
        5493008KEVFYPMGTXO33
        Coca-Cola Femsa SAB de CV
        191241AJ7
        
          
        
        529000.00000000
        PA
        USD
        484200.31000000
        0.052372159674
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2032-09-01
          Fixed
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIMA METRO LINE 2 FIN LT
        5493009BVQNQT1UKQ352
        Lima Metro Line 2 Finance Ltd
        532522AB5
        
          
        
        261000.00000000
        PA
        USD
        276007.50000000
        0.029853572091
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2036-04-05
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L Street Securities
        549300T6W1U156OOG754
        Wells Fargo Credit Risk Transfer Securities Trust 2015
        949771AG4
        
          
        
        118662.69000000
        PA
        USD
        117241.42000000
        0.012681087231
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-11-25
          Floating
          5.60900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTERCARD INC
        AR5L2ODV9HN37376R084
        Mastercard Inc
        57636QAR5
        
          
        
        663000.00000000
        PA
        USD
        729034.80000000
        0.078853991137
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-26
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2013-WBRK
        05525BAL4
        
          
        
        740000.00000000
        PA
        USD
        663489.92000000
        0.071764514220
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-10
          Variable
          3.53400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genworth Mortgage Insurance Corporation
        N/A
        Traingle Re 2020-1 Ltd
        89600MAB4
        
          
        
        2593000.00000000
        PA
        USD
        2634741.60000000
        0.284979387508
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2030-10-25
          Floating
          4.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1IXF7   CDS USD R F  3.00000 IS1IXF7 CMBX / Short: IS1IXF7   CDS USD P V 01MEVENT IS1IXG8 CMBX
        000000000
        
          
        
        49000.00000000
        OU
        Notional Amount
        USD
        -13196.52000000
        -0.00142736433
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -7088.54000000
            USD
            49000.00000000
            USD
            -6107.98000000
          
        
        
          N
          N
          N
        
      
      
        NETHERLANDS GOVERNMENT
        254900G14ALGVKORFN62
        Netherlands Government Bond
        000000000
        
          
        
        9090000.00000000
        PA
        
        11168104.44000000
        1.207966490128
        Long
        DBT
        NUSS
        NL
        N
        
        2
        
          2029-07-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBL5
        
          
        
        683000.00000000
        PA
        USD
        749865.70000000
        0.081107106632
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUTONATION INC
        N/A
        AutoNation Inc
        05329WAQ5
        
          
        
        286000.00000000
        PA
        USD
        329597.84000000
        0.035650019936
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBP0
        
          
        
        1256000.00000000
        PA
        USD
        1278356.80000000
        0.138269854577
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-13
          Fixed
          2.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00912XAV6
        
          
        
        76000.00000000
        PA
        USD
        80265.88000000
        0.008681732326
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QBP4
        
          
        
        2985000.00000000
        PA
        USD
        2664351.30000000
        0.288182037123
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-06-04
          Fixed
          2.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ashford Hospitality Trust
        N/A
        Ashford Hospitality Trust 2018-KEYS
        04410CAA7
        
          
        
        1500000.00000000
        PA
        USD
        1498614.75000000
        0.162093433969
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-15
          Floating
          1.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eastman Chemical Co
        FDPVHDGJ1IQZFK9KH630
        Eastman Chemical Co
        277432AR1
        
          
        
        496000.00000000
        PA
        USD
        539295.84000000
        0.058331412146
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2011-GC5
        36191YAL2
        
          
        
        27526.00000000
        PA
        USD
        16797.79000000
        0.001816885536
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-08-10
          Variable
          5.40600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAKER HUGHES LLC/CO-OBL
        N/A
        Baker Hughes a GE Co LLC / Baker Hughes Co-Obligor Inc
        05723KAE0
        
          
        
        3039000.00000000
        PA
        USD
        3251517.27000000
        0.351691186748
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          3.33700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BK0
        
          
        
        1949000.00000000
        PA
        USD
        1979267.97000000
        0.214081932667
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BB6
        
          
        
        1810000.00000000
        PA
        USD
        1858290.80000000
        0.200996778582
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2021-08-15
          Fixed
          8.62500000
          N
          N
          N
          N
          Y
          
            
              Natwest Group PLC
              Natwest Group PLC
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAN5
        
          
        
        245000.00000000
        PA
        USD
        285745.95000000
        0.030906904044
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABN AMRO Bank NV
        BFXS5XCH7N0Y05NIXW11
        ABN AMRO Bank NV
        00080QAF2
        
          
        
        269000.00000000
        PA
        USD
        301565.14000000
        0.032617942074
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-07-28
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS1IXL3   CDS USD R F  3.00000 IS1IXL3 CMBX / Short: IS1IXL3   CDS USD P V 01MEVENT IS1IXM4 CMBX
        000000000
        
          
        
        417000.00000000
        OU
        Notional Amount
        USD
        -112305.05000000
        -0.01214715870
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -60050.57000000
            USD
            417000.00000000
            USD
            -52254.48000000
          
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AGLD5
        
          
        
        3365000.00000000
        PA
        USD
        3381421.20000000
        0.365741878628
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2021-07-07
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAZ7
        
          
        
        122490.42000000
        PA
        USD
        124069.15000000
        0.013419589372
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-25
          Floating
          4.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tyson Foods Inc
        WD6L6041MNRW1JE49D58
        Tyson Foods Inc
        902494AX1
        
          
        
        1211000.00000000
        PA
        USD
        1324180.06000000
        0.143226198140
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tobacco Settlement Finance Authority
        N/A
        TOBACCO SETTLEMENT FIN AUTH WV ASSET BACKED
        88880LAV5
        
          
        
        1210000.00000000
        PA
        USD
        1242324.06000000
        0.134372474973
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        World Financial Network Credit Card Master Trust
        N/A
        World Financial Network Credit Card Master Trust
        981464GT1
        
          
        
        1100000.00000000
        PA
        USD
        1115627.59000000
        0.120668708948
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          3.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDBL FUNDING 1
        254900PLOF8VWTAH3F83
        CDBL Funding 1
        000000000
        
          
        
        1460000.00000000
        PA
        USD
        1548512.50000000
        0.167490483241
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-10-24
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Baxalta Inc
        5493000JW8DCO3T45R55
        Baxalta Inc
        07177MAL7
        
          
        
        5000.00000000
        PA
        USD
        5153.55000000
        0.000557419187
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-23
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Express Co
        R4PP93JZOLY261QX3811
        American Express Co
        025816BL2
        
          
        
        379000.00000000
        PA
        USD
        376744.95000000
        0.040749553997
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-06-15
          Variable
          3.46900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BFLM1
        
          
        
        2180012.47000000
        PA
        USD
        464684.48000000
        0.050261285013
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-12-15
          Floating
          5.99400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -91428.16000000
        -0.00988906883
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            2287101.50000000
            USD
            32026282335.00000000
            IDR
            2021-04-15
            -91428.16000000
          
        
        
          N
          N
          N
        
      
      
        Braemar Hotels & Resorts Trust
        N/A
        Braemar Hotels & Resorts Trust 2018-Prime
        10482TAA0
        
          
        
        900000.00000000
        PA
        USD
        896628.96000000
        0.096981340349
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-15
          Floating
          0.92600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BYRV4
        
          
        
        2249480.36000000
        PA
        USD
        537958.50000000
        0.058186762540
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-15
          Floating
          6.04400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        3128NHWD1
        
          
        
        574.19000000
        PA
        USD
        605.41000000
        0.000065482463
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Floating
          2.47500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RX8
        
          
        
        1447000.00000000
        PA
        USD
        1614535.47000000
        0.174631671413
        Long
        DBT
        UST
        US
        N
        
        2
        
          2047-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER MEXICO
        SCRYQ25DTVRHYYMM6P89
        Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
        05969BAD5
        
          
        
        668000.00000000
        PA
        USD
        750030.40000000
        0.081124920942
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2025-04-17
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410FYE9
        
          
        
        4564.25000000
        PA
        USD
        5287.60000000
        0.000571918327
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063BFR8
        
          
        
        2040000.00000000
        PA
        USD
        3271486.39000000
        0.353851090241
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-03-01
          Fixed
          7.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENCENT HOLDINGS LTD
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032WAT3
        
          
        
        1256000.00000000
        PA
        USD
        1260082.00000000
        0.136293212423
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-01-26
          Fixed
          1.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLEGHANY CORP
        549300DCJE6AYX159479
        Alleghany Corp
        017175AE0
        
          
        
        1801000.00000000
        PA
        USD
        1941946.26000000
        0.210045135261
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9T37
        
          
        
        1251578.89000000
        PA
        USD
        1380503.53000000
        0.149318267276
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        N/A
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137AYCD1
        
          
        
        13117.36000000
        PA
        USD
        13165.98000000
        0.001424061060
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-04-25
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prudential Financial Inc
        5PRBRS5FEH7NREC8OR45
        Prudential Financial Inc
        744320AN2
        
          
        
        462000.00000000
        PA
        USD
        492228.66000000
        0.053240523488
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-03-15
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        549300FK0U6W6777SM18
        Marlette Funding Trust 2019-1
        57109XAA5
        
          
        
        108714.66000000
        PA
        USD
        109329.52000000
        0.011825318902
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-04-16
          Fixed
          3.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HKK5
        
          
        
        673000.00000000
        PA
        USD
        673423.99000000
        0.072839004858
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-05-01
          Variable
          4.00500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAK4
        
          
        
        1815000.00000000
        PA
        USD
        1977859.95000000
        0.213929638158
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-22
          Fixed
          3.59100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Biogen Inc
        W8J5WZB5IY3K0NDQT671
        Biogen Inc
        09062XAE3
        
          
        
        11000.00000000
        PA
        USD
        11497.09000000
        0.001243550284
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        91282CBF7
        
          
        
        2240547.90000000
        PA
        USD
        2410689.51000000
        0.260745425674
        Long
        DBT
        UST
        US
        N
        
        2
        
          2031-01-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIMA METRO LINE 2 FIN LT
        5493009BVQNQT1UKQ352
        Lima Metro Line 2 Finance Ltd
        000000000
        
          
        
        431383.55000000
        PA
        USD
        503101.07000000
        0.054416507024
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2034-07-05
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aircastle Ltd
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAQ4
        
          
        
        359000.00000000
        PA
        USD
        379265.55000000
        0.041022187580
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2024-05-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHILE ELEC PEC SPA
        N/A
        Chile Electricity PEC SpA
        168831AA3
        
          
        
        1040000.00000000
        PA
        USD
        843700.00000000
        0.091256428805
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2028-01-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT Credit Risk Transfer Trust
        N/A
        PMT Credit Risk Transfer Trust 2019-1R
        73021CAA3
        
          
        
        257360.09000000
        PA
        USD
        244318.11000000
        0.026425978678
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-03-27
          Floating
          2.11500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Oil Corp
        1FRVQX2CRLGC1XLP5727
        Marathon Oil Corp
        565849AB2
        
          
        
        1800000.00000000
        PA
        USD
        2237112.00000000
        0.241970904299
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          6.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBC4
        
          
        
        565000.00000000
        PA
        USD
        613378.13000000
        0.066344313916
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2025-04-16
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505EU4
        
          
        
        335000.00000000
        PA
        USD
        384104.30000000
        0.041545557315
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-10
          Fixed
          6.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE CAPITAL EURO FUNDING
        YHZHHIVHTKEV7XROHS46
        GE Capital European Funding Unlimited Co
        000000000
        
          
        
        150000.00000000
        PA
        
        219620.91000000
        0.023754675758
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2027-02-22
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGK4
        
          
        
        2794000.00000000
        PA
        USD
        2837949.62000000
        0.306958809352
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-03-22
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS15983   CDS USD R F  3.00000 IS15983 CMBX-BBB--331914 / Short: IS15983   CDS USD P V 00MEVENT IS15994 CMBX-BBB--331914
        000000000
        
          
        
        240000.00000000
        OU
        Notional Amount
        USD
        -64636.00000000
        -0.00699117047
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -16107.27000000
            USD
            240000.00000000
            USD
            -48528.73000000
          
        
        
          N
          N
          N
        
      
      
        MATTEL INC
        549300VELLG24KHTJ564
        Mattel Inc
        577081BE1
        
          
        
        796000.00000000
        PA
        USD
        814721.92000000
        0.088122096584
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        639057AA6
        
          
        
        800000.00000000
        PA
        USD
        791544.00000000
        0.085615122297
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-09-30
          Variable
          2.52300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        524718.64000000
        0.056754710458
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            25322219.37000000
            EUR
            30251695.81000000
            USD
            2021-05-27
            524718.64000000
          
        
        
          N
          N
          N
        
      
      
        Marathon Petroleum Corp
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585ABC5
        
          
        
        2794000.00000000
        PA
        USD
        3256826.10000000
        0.352265401358
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Horizon Alternative Mortgage Securities
        549300KOHW56HILAN819
        First Horizon Alternative Mortgage Securities Trust 2006-FA3
        32051HAJ2
        
          
        
        344611.48000000
        PA
        USD
        237800.25000000
        0.025720992751
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9T45
        
          
        
        2067886.72000000
        PA
        USD
        2280898.90000000
        0.246706990731
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900SCWI9IDKK5LV64
        Bellemeade Re 2019-3 Ltd
        07877GAC3
        
          
        
        300000.00000000
        PA
        USD
        298869.51000000
        0.032326376865
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-07-25
          Floating
          2.05900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GV67
        
          
        
        113055.36000000
        PA
        USD
        130127.94000000
        0.014074921289
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WYNN MACAU LTD
        254900NMDQ8ENTHU1I31
        Wynn Macau Ltd
        98313RAH9
        
          
        
        730000.00000000
        PA
        USD
        757594.00000000
        0.081943016385
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-08-26
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oaktown Re Ltd
        N/A
        Oaktown Re V Ltd
        67401JAB8
        
          
        
        2252345.00000000
        PA
        USD
        2287931.83000000
        0.247467687751
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Floating
          3.70900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIACOMCBS INC
        5KYC8KF17ROCY24M3H09
        ViacomCBS Inc
        124857AX1
        
          
        
        450000.00000000
        PA
        USD
        487606.50000000
        0.052740580600
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MATTEL INC
        549300VELLG24KHTJ564
        Mattel Inc
        577081BF8
        
          
        
        796000.00000000
        PA
        USD
        801842.64000000
        0.086729045620
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        5493008WNOU8I3M5WW38
        CHL Mortgage Pass-Through Trust 2006-13
        12543TAU9
        
          
        
        87804.27000000
        PA
        USD
        58859.71000000
        0.006366394376
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RE0
        
          
        
        38000.00000000
        PA
        USD
        46573.75000000
        0.005037518194
        Long
        DBT
        UST
        US
        N
        
        2
        
          2044-02-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP /  CAYMN FI
        N/A
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAR0
        
          
        
        466000.00000000
        PA
        USD
        494756.86000000
        0.053513979104
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2028-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SS1VO75   IRS SEK R F   .00000 SS1VO75/-0.165/LCH / Short: SS1VO75   IRS SEK P V 03MLIBOR IS1VO86 IRSLV511135 LCH
        000000000
        
          
        
        307100000.00000000
        OU
        Notional Amount
        
        -397103.23000000
        -0.04295154988
        N/A
        DIR
        
        SE
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-08-30
            0.00000000
            SEK
            0.00000000
            SEK
            307100000.00000000
            SEK
            -397304.94000000
          
        
        
          N
          N
          N
        
      
      
        SPECTRA ENERGY PARTNERS
        2HKVXE7U4NF5B6UGSU72
        Spectra Energy Partners LP
        84756NAF6
        
          
        
        20000.00000000
        PA
        USD
        21477.20000000
        0.002323020709
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300ZJL46M82UL2Z22
        Wells Fargo Commercial Mortgage Trust 2015-SG1
        94989QBB5
        
          
        
        544605.00000000
        PA
        USD
        515121.61000000
        0.055716674800
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-15
          Variable
          4.46300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        494550BJ4
        
          
        
        260000.00000000
        PA
        USD
        268624.20000000
        0.029054978289
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-01
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828N30
        
          
        
        2995000.00000000
        PA
        USD
        3097953.13000000
        0.335081355043
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-12-31
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJBE9
        
          
        
        28481.52000000
        PA
        USD
        32928.18000000
        0.003561583636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CB3
        
          
        
        385000.00000000
        PA
        USD
        416600.80000000
        0.045060449502
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-11-26
          Fixed
          3.96100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0EW5
        
          
        
        1178374.08000000
        PA
        USD
        1201148.87000000
        0.129918876780
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-10-25
          Floating
          3.40900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0NX3
        
          
        
        490000.00000000
        PA
        USD
        507775.93000000
        0.054922150059
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-10-25
          Floating
          3.55900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1IED2   CDS USD R F  3.00000 IS1IED2 CMBX / Short: IS1IED2   CDS USD P V 01MEVENT IS1IEE3 CMBX
        000000000
        
          
        
        448000.00000000
        OU
        Notional Amount
        USD
        -120653.87000000
        -0.01305018525
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -72100.24000000
            USD
            448000.00000000
            USD
            -48553.63000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2020-3 Ltd
        07877KAC4
        
          
        
        450000.00000000
        PA
        USD
        453797.01000000
        0.049083672555
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Floating
          2.95900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAJ1
        
          
        
        497000.00000000
        PA
        USD
        514390.03000000
        0.055637545514
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBT1
        
          
        
        1685000.00000000
        PA
        USD
        1767396.50000000
        0.191165453210
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JPMCC Commercial Mortgage Securities Trust 2017-JP7
        465968AG0
        
          
        
        10034961.13000000
        PA
        USD
        471663.24000000
        0.051016122888
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-15
          Variable
          1.05100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5
        46636VAR7
        
          
        
        224101.00000000
        PA
        USD
        200856.17000000
        0.021725040627
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-08-15
          Variable
          5.42500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1C4Z6   CDS USD R F  3.00000 IS1C4Z6 CMBX-BBB--409304 / Short: IS1C4Z6   CDS USD P V 00MEVENT IS1C508 CMBX-BBB--409304
        000000000
        
          
        
        45000.00000000
        OU
        Notional Amount
        USD
        -12119.25000000
        -0.00131084446
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -5120.41000000
            USD
            45000.00000000
            USD
            -6998.84000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAD3
        
          
        
        10000.00000000
        PA
        USD
        10652.10000000
        0.001152154326
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QD3
        
          
        
        10740000.00000000
        PA
        USD
        14317762.50000000
        1.548640362966
        Long
        DBT
        UST
        US
        N
        
        2
        
          2039-11-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET CORP
        549300ZFEEJ2IP5VME73
        State Street Corp
        857477BM4
        
          
        
        125000.00000000
        PA
        USD
        133078.75000000
        0.014394087323
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-30
          Fixed
          2.90100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810PW2
        
          
        
        898700.00000000
        PA
        USD
        1185722.31000000
        0.128250306466
        Long
        DBT
        UST
        US
        N
        
        2
        
          2038-02-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FMFN1
        
          
        
        501483.62000000
        PA
        USD
        523874.76000000
        0.056663434560
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN LISTRIK NEGAR
        254900OYVDRYS9J51J61
        Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
        71568PAE9
        
          
        
        447000.00000000
        PA
        USD
        516424.69000000
        0.055857618770
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2028-05-21
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS1PDS1   CDS USD R F  3.00000 IS1PDS1 CMBX / Short: IS1PDS1   CDS USD P V 01MEVENT IS1PDT2 CMBX
        000000000
        
          
        
        5000.00000000
        OU
        Notional Amount
        USD
        -1347.00000000
        -0.00014569445
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -606.18000000
            USD
            5000.00000000
            USD
            -740.82000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CDH4
        
          
        
        503502.58000000
        PA
        USD
        526518.84000000
        0.056949424009
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SK HYNIX INC
        988400XAIK6XISWQV045
        SK Hynix Inc
        78392BAC1
        
          
        
        532000.00000000
        PA
        USD
        503937.00000000
        0.054506923033
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2031-01-19
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RQ3
        
          
        
        932000.00000000
        PA
        USD
        946562.50000000
        0.102382260745
        Long
        DBT
        UST
        US
        N
        
        2
        
          2046-02-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IS1UQ09   CDS USD R F  3.00000 IS1UQ09 CMBX / Short: IS1UQ09   CDS USD P V 01MEVENT IS1UQ10 CMBX
        000000000
        
          
        
        56000.00000000
        OU
        Notional Amount
        USD
        -15081.73000000
        -0.00163127275
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -5302.92000000
            USD
            56000.00000000
            USD
            -9778.81000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810FT0
        
          
        
        1073800.00000000
        PA
        USD
        1418422.69000000
        0.153419686175
        Long
        DBT
        UST
        US
        N
        
        2
        
          2036-02-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1IDZ7   CDS USD R F  3.00000 IS1IDZ7 CMBX / Short: IS1IDZ7   CDS USD P V 01MEVENT IS1IE09 CMBX
        000000000
        
          
        
        322000.00000000
        OU
        Notional Amount
        USD
        -86719.97000000
        -0.00937982075
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -51086.97000000
            USD
            322000.00000000
            USD
            -35633.00000000
          
        
        
          N
          N
          N
        
      
      
        FannieMae Grantor Trust
        N/A
        Fannie Mae Grantor Trust 2004-T5
        31394AXY7
        
          
        
        323264.11000000
        PA
        USD
        310104.16000000
        0.033541541068
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-28
          Variable
          0.65800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828R28
        
          
        
        5514000.00000000
        PA
        USD
        5678558.44000000
        0.614205243567
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-04-30
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elevation CLO Ltd
        N/A
        Elevation CLO 2020-11 Ltd
        28621YAE5
        
          
        
        1080000.00000000
        PA
        USD
        1049954.40000000
        0.113565353742
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          2.44100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAQ1
        
          
        
        682000.00000000
        PA
        USD
        724781.86000000
        0.078393983888
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-24
          Fixed
          3.73700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LYONDELLBASELL IND NV
        BN6WCCZ8OVP3ITUUVN49
        LyondellBasell Industries NV
        552081AK7
        
          
        
        996000.00000000
        PA
        USD
        1125081.60000000
        0.121691275252
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-04-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJY9
        
          
        
        529000.00000000
        PA
        USD
        527000.38000000
        0.057001508424
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Group AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        000000000
        
          
        
        200000.00000000
        PA
        USD
        230200.00000000
        0.024898933164
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-02-19
          Fixed
          7.00000000
          N
          N
          N
          N
          Y
          
            
              UBS Group AG
              UBS Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JQK8
        
          
        
        192000.00000000
        PA
        USD
        191840.64000000
        0.020749901275
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-07-15
          Variable
          3.85100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST
        N/A
        PMT Credit Risk Transfer Trust 2019-2R
        69345WAA6
        
          
        
        657068.44000000
        PA
        USD
        650110.22000000
        0.070317336739
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-05-27
          Floating
          2.85900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETRONAS CAPITAL LTD
        549300G7YFX3540OYR85
        Petronas Capital Ltd
        716743AR0
        
          
        
        448000.00000000
        PA
        USD
        525432.32000000
        0.056831903641
        Long
        DBT
        CORP
        MY
        N
        
        2
        
          2050-04-21
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS23OK3   CDS USD R V 01MEVENT IS23OL4 CMBX / Short: IS23OK3   CDS USD P F  3.00000 IS23OK3 CMBX
        000000000
        
          
        
        133000.00000000
        OU
        Notional Amount
        USD
        14614.48000000
        0.001580733973
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            26765.26000000
            USD
            0.00000000
            USD
            133000.00000000
            USD
            -12150.78000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BH2
        
          
        
        200000.00000000
        PA
        USD
        217032.00000000
        0.023474653616
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-04-02
          Fixed
          7.75000000
          N
          N
          N
          N
          Y
          
            
              Standard Chartered PLC
              Standard Chartered PLC
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E6KU5
        
          
        
        1398258.90000000
        PA
        USD
        1470429.47000000
        0.159044852723
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        549300FPK70TCB78NG05
        Hertz Vehicle Financing II LP
        428040CU1
        
          
        
        236495.37000000
        PA
        USD
        237514.52000000
        0.025690087572
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2021-10-25
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RJ9
        
          
        
        199700.00000000
        PA
        USD
        221916.63000000
        0.024002985831
        Long
        DBT
        UST
        US
        N
        
        2
        
          2044-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FRZU8
        
          
        
        9309310.69000000
        PA
        USD
        1748889.93000000
        0.189163742308
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31346YAV5
        
          
        
        1193540.90000000
        PA
        USD
        1275965.88000000
        0.138011247465
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CX6
        
          
        
        224000.00000000
        PA
        USD
        254266.88000000
        0.027502059301
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-25
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419LZY2
        
          
        
        671536.71000000
        PA
        USD
        736863.13000000
        0.079700720353
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Phillips 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AC8
        
          
        
        131000.00000000
        PA
        USD
        135920.36000000
        0.014701442047
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-01
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        Radnor RE 2019-2 Ltd
        75049TAB7
        
          
        
        1076286.00000000
        PA
        USD
        1075636.25000000
        0.116343158550
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-06-25
          Floating
          1.85900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBM3
        
          
        
        173000.00000000
        PA
        USD
        172980.97000000
        0.018709998309
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1S4J8   CDS USD R F  3.00000 IS1S4J8 CMBX / Short: IS1S4J8   CDS USD P V 01MEVENT IS1S4K9 CMBX
        000000000
        
          
        
        116000.00000000
        OU
        Notional Amount
        USD
        -31260.07000000
        -0.00338115722
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -13578.38000000
            USD
            116000.00000000
            USD
            -17681.69000000
          
        
        
          N
          N
          N
        
      
      
        ENTEL CHILE SA
        N/A
        Empresa Nacional de Telecomunicaciones SA
        000000000
        
          
        
        988000.00000000
        PA
        USD
        1097297.50000000
        0.118686086508
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2026-08-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RH3
        
          
        
        50000.00000000
        PA
        USD
        56718.75000000
        0.006134823481
        Long
        DBT
        UST
        US
        N
        
        2
        
          2044-08-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Suncor Energy Inc
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        71644EAJ1
        
          
        
        1377000.00000000
        PA
        USD
        1879012.89000000
        0.203238124950
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2038-05-15
          Fixed
          6.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Wolf Trust
        N/A
        Great Wolf Trust 2019-WOLF
        39152TAA8
        
          
        
        1433000.00000000
        PA
        USD
        1431270.66000000
        0.154809350581
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAY4
        
          
        
        508000.00000000
        PA
        USD
        607750.88000000
        0.065735658305
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2028-12-01
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tyson Foods Inc
        WD6L6041MNRW1JE49D58
        Tyson Foods Inc
        902494BJ1
        
          
        
        181000.00000000
        PA
        USD
        200734.43000000
        0.021711872964
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29279FAA7
        
          
        
        882000.00000000
        PA
        USD
        1040319.00000000
        0.112523167901
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES/SKYMILES
        N/A
        Delta Air Lines Inc / SkyMiles IP Ltd
        830867AB3
        
          
        
        951000.00000000
        PA
        USD
        1034707.02000000
        0.111916163926
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2028-10-20
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEVI STRAUSS & CO
        MB0UERO0RDFKU8258G77
        Levi Strauss & Co
        52736RBJ0
        
          
        
        951000.00000000
        PA
        USD
        918219.03000000
        0.099316569324
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hardee's Funding
        N/A
        Hardee's Funding LLC
        411707AF9
        
          
        
        794369.55000000
        PA
        USD
        881845.52000000
        0.095382331294
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-06-20
          Fixed
          5.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418TDT1
        
          
        
        19916.72000000
        PA
        USD
        22942.97000000
        0.002481561583
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2016-C1
        17290YAR9
        
          
        
        2409000.00000000
        PA
        USD
        2590060.20000000
        0.280146550009
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-05-10
          Fixed
          3.20900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABU8
        
          
        
        438000.00000000
        PA
        USD
        444136.38000000
        0.048038757782
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDUSTRIAS PENOLES SAB D
        549300WA2HB7776CB324
        Industrias Penoles SAB de CV
        456472AD1
        
          
        
        463000.00000000
        PA
        USD
        475153.75000000
        0.051393664049
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2050-08-06
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMC3
        
          
        
        2518000.00000000
        PA
        USD
        2328570.86000000
        0.251863293711
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Retail Property Trust
        5493007115G809OI4R97
        Starwood Retail Property Trust 2014-STAR
        85571XAA5
        
          
        
        1851661.59000000
        PA
        USD
        1360971.27000000
        0.147205615511
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-11-15
          Floating
          1.57600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eni SpA
        BUCRF72VH5RBN7X3VL35
        Eni SpA
        26874RAJ7
        
          
        
        1163000.00000000
        PA
        USD
        1299536.20000000
        0.140560664591
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2029-05-09
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        Long: IS1SDF7   CDS USD R F  3.00000 IS1SDF7 CMBX / Short: IS1SDF7   CDS USD P V 01MEVENT IS1SDG8 CMBX
        000000000
        
          
        
        509000.00000000
        OU
        Notional Amount
        USD
        -137082.18000000
        -0.01482710702
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -61279.46000000
            USD
            509000.00000000
            USD
            -75802.72000000
          
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        UBS Commercial Mortgage Trust 2018-C10
        90276FAW4
        
          
        
        1350000.00000000
        PA
        USD
        1531665.45000000
        0.165668269635
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-05-15
          Fixed
          4.31300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -58950.30000000
        -0.00637619278
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            5963115.24000000
            USD
            653446516.00000000
            JPY
            2021-05-20
            -58950.30000000
          
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding AESOP LLC
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RCD4
        
          
        
        371000.00000000
        PA
        USD
        372341.57000000
        0.040273274829
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-06-20
          Fixed
          2.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAD0
        
          
        
        485000.00000000
        PA
        USD
        441350.00000000
        0.047737376855
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2050-08-03
          Fixed
          4.02700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARLEY-DAVIDSON FINL SER
        RLUFFFFW4GRYU77BTS24
        Harley-Davidson Financial Services Inc
        41283LAY1
        
          
        
        2504000.00000000
        PA
        USD
        2628398.72000000
        0.284293327799
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-08
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCC4
        
          
        
        996000.00000000
        PA
        USD
        846799.20000000
        0.091591645024
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-09-21
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1PBC1   CDS USD R F  3.00000 IS1PBC1 CMBX / Short: IS1PBC1   CDS USD P V 01MEVENT IS1PBD2 CMBX
        000000000
        
          
        
        31000.00000000
        OU
        Notional Amount
        USD
        -8351.40000000
        -0.00090330560
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -3859.10000000
            USD
            31000.00000000
            USD
            -4492.30000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MU2
        
          
        
        788000.00000000
        PA
        USD
        794784.68000000
        0.085965641301
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-10
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gilead Sciences Inc
        549300WTZWR07K8MNV44
        Gilead Sciences Inc
        375558BD4
        
          
        
        2451000.00000000
        PA
        USD
        2958920.73000000
        0.320043307974
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCD5
        
          
        
        808000.00000000
        PA
        USD
        840804.80000000
        0.090943277670
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-11
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVERSIONES CMPC SA
        549300G475ACIABB4385
        Inversiones CMPC SA
        46128MAN1
        
          
        
        200000.00000000
        PA
        USD
        212312.50000000
        0.022964182222
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2030-01-13
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828R77
        
          
        
        71700.00000000
        PA
        USD
        71856.84000000
        0.007772192252
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-05-31
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ahold Finance USA LLC
        549300XB4647UBM7K822
        Ahold Finance USA LLC
        008685AB5
        
          
        
        120000.00000000
        PA
        USD
        160886.40000000
        0.017401823287
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2029-05-01
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Group AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        90352JAF0
        
          
        
        256000.00000000
        PA
        USD
        280683.52000000
        0.030359340594
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-01-31
          Fixed
          7.00000000
          N
          N
          N
          N
          Y
          
            
              UBS Group AG
              UBS Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QZ4
        
          
        
        280000.00000000
        PA
        USD
        317625.00000000
        0.034355011496
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-02-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Triangle Re 2019-1 Ltd.
        N/A
        Mortgage Insurance-Linked Notes Series 2019-1
        89600TAA1
        
          
        
        1157575.00000000
        PA
        USD
        1159184.38000000
        0.125379906182
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-11-26
          Floating
          2.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X6P58
        
          
        
        2315487.04000000
        PA
        USD
        2552268.05000000
        0.276058868789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Barclays Bank PLC
        06738CAG4
        
          
        
        226000.00000000
        PA
        USD
        312445.00000000
        0.033794731418
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2032-06-15
          Fixed
          6.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2013-GC11
        17320DAQ1
        
          
        
        1140000.00000000
        PA
        USD
        1182210.89000000
        0.127870503634
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-10
          Variable
          3.73200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSF 2021 1 ISSUER LLC
        N/A
        GSF 2021 1 ISSUER LLC 08/26 1
        36261CAA9
        
          
        
        114506.70000000
        PA
        USD
        114506.70000000
        0.012385293962
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2026-08-15
          Variable
          1.43300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARDAGH METAL PACKAGING
        N/A
        Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
        03969YAA6
        
          
        
        1463000.00000000
        PA
        USD
        1446468.10000000
        0.156453138778
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2028-09-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        N/A
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137AUPD5
        
          
        
        12034.45000000
        PA
        USD
        12090.71000000
        0.001307757516
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-01-25
          Fixed
          1.60300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re Ltd
        254900SAV74IHXQ8XY35
        Eagle RE 2020-1 Ltd
        26982LAA8
        
          
        
        1700000.00000000
        PA
        USD
        1695101.96000000
        0.183345918372
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-01-25
          Floating
          1.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS1NCW2   CDS USD R F  3.00000 IS1NCW2 CMBX / Short: IS1NCW2   CDS USD P V 01MEVENT IS1NCX3 CMBX
        000000000
        
          
        
        1200000.00000000
        OU
        Notional Amount
        USD
        -323280.00000000
        -0.03496666860
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -117348.94000000
            USD
            1200000.00000000
            USD
            -205931.06000000
          
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AG5
        
          
        
        1278000.00000000
        PA
        USD
        1425698.46000000
        0.154206649298
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        9127964Z9
        
          
        
        23500000.00000000
        PA
        USD
        23499725.76000000
        2.541781499070
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-04-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCR5
        
          
        
        1398000.00000000
        PA
        USD
        1546649.34000000
        0.167288959799
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-17
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS27XM0   IRS CAD R V 03MCDOR IS27XN1 CCPVANILLA / Short: BS27XM0   IRS CAD P F  2.33250 IS27XM0 CCPVANILLA
        000000000
        
          
        
        5280000.00000000
        OU
        Notional Amount
        
        189314.69000000
        0.020476689024
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-03-04
            0.00000000
            CAD
            0.00000000
            CAD
            5280000.00000000
            CAD
            189314.69000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FR3C3
        
          
        
        3756516.25000000
        PA
        USD
        702588.75000000
        0.075993528794
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-25
          Floating
          5.94100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828WE6
        
          
        
        160000.00000000
        PA
        USD
        170375.00000000
        0.018428130920
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-11-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVERSIONES CMPC SA
        549300G475ACIABB4385
        Inversiones CMPC SA
        000000000
        
          
        
        1103000.00000000
        PA
        USD
        1207398.95000000
        0.130594899040
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2027-04-04
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLONY MORTGAGE CAPITAL LTD
        N/A
        CLNY Trust 2019-IKPR
        12564NAL6
        
          
        
        1450000.00000000
        PA
        USD
        1410037.28000000
        0.152512701973
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          2.13100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280AP4
        
          
        
        1610000.00000000
        PA
        USD
        1751502.90000000
        0.189446366832
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-03-14
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MetLife Inc
        C4BXATY60WC6XEOZDX54
        MetLife Inc
        59156RBF4
        
          
        
        75000.00000000
        PA
        USD
        78336.00000000
        0.008472992304
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-15
          Fixed
          3.04800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828TY6
        
          
        
        165000.00000000
        PA
        USD
        168944.53000000
        0.018273408171
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-11-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16
        61763MAF7
        
          
        
        1345000.00000000
        PA
        USD
        1452098.58000000
        0.157062143752
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-15
          Fixed
          3.89200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prosper Marketplace Issuance Trust
        N/A
        Prosper Marketplace Issuance Trust Series 2019-3
        74362DAA6
        
          
        
        16892.78000000
        PA
        USD
        16909.12000000
        0.001828927231
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          3.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: IS23JM0   CDS USD R V 01MEVENT IS23JN1 CMBX / Short: IS23JM0   CDS USD P F  3.00000 IS23JM0 CMBX
        000000000
        
          
        
        1063000.00000000
        OU
        Notional Amount
        USD
        116805.98000000
        0.012633989093
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            216982.80000000
            USD
            0.00000000
            USD
            1063000.00000000
            USD
            -100176.82000000
          
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-LC21 Mortgage Trust
        12593FBE3
        
          
        
        2292035.15000000
        PA
        USD
        55896.32000000
        0.006045867662
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-07-10
          Variable
          0.68600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179R7H6
        
          
        
        341786.53000000
        PA
        USD
        360591.69000000
        0.039002382228
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-04-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1O9Y6   CDS USD R V 01MEVENT IS1O9Z7 CMBX / Short: IS1O9Y6   CDS USD P F  3.00000 IS1O9Y6 CMBX
        000000000
        
          
        
        804000.00000000
        OU
        Notional Amount
        USD
        88279.20000000
        0.009548470463
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            62132.51000000
            USD
            0.00000000
            USD
            804000.00000000
            USD
            26146.69000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RS9
        
          
        
        5327100.00000000
        PA
        USD
        5412000.66000000
        0.585373773763
        Long
        DBT
        UST
        US
        N
        
        2
        
          2046-05-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402DP79
        
          
        
        303617.83000000
        PA
        USD
        349843.71000000
        0.037839857312
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AES PANAMA GENERATION HL
        N/A
        AES Panama Generation Holdings SRL
        00109AAB3
        
          
        
        487000.00000000
        PA
        USD
        503874.55000000
        0.054500168305
        Long
        DBT
        CORP
        PA
        N
        
        2
        
          2030-05-31
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAV3
        
          
        
        3845000.00000000
        PA
        USD
        3553020.31000000
        0.384302411952
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-11-15
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Long: SS25Q14   IRS EUR R F   .00000 IS25Q14 IRS R F-0.043 / Short: SS25Q14   IRS EUR P V 06MEURIB IS25Q25 IRS P V 06EURIB
        000000000
        
          
        
        6130000.00000000
        OU
        Notional Amount
        
        -1074101.65000000
        -0.11617717287
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              Morgan Stanley
              IGJSJL3JD5P30I6NJZ34
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-11-10
            0.00000000
            EUR
            0.00000000
            EUR
            6130000.00000000
            EUR
            -1074101.65000000
          
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        Radnor RE 2020-2 Ltd
        75049UAC2
        
          
        
        909557.00000000
        PA
        USD
        926780.92000000
        0.100242641986
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Floating
          4.70900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHIRE ACQ INV IRELAND DA
        549300XK5HGW68R8K327
        Shire Acquisitions Investments Ireland DAC
        82481LAD1
        
          
        
        1229000.00000000
        PA
        USD
        1322182.78000000
        0.143010167987
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2026-09-23
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RB6
        
          
        
        165000.00000000
        PA
        USD
        179927.34000000
        0.019461332811
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-05-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVRON USA INC
        VA8TZDWPEZYU430RZ444
        Chevron USA Inc
        166756AP1
        
          
        
        1197000.00000000
        PA
        USD
        1318746.87000000
        0.142638532481
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3133A1B92
        
          
        
        2133980.05000000
        PA
        USD
        2306692.02000000
        0.249496830744
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571903BD4
        
          
        
        1161000.00000000
        PA
        USD
        1330273.80000000
        0.143885310325
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS 2020-BID Mortgage Trust
        05493BAA6
        
          
        
        1513000.00000000
        PA
        USD
        1520581.49000000
        0.164469404391
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-15
          Floating
          2.24600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aircastle Ltd
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAP6
        
          
        
        75000.00000000
        PA
        USD
        79961.25000000
        0.008648782882
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2023-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWEST AIRLINES CO
        UDTZ87G0STFETI6HGH41
        Southwest Airlines Co
        844741BJ6
        
          
        
        985000.00000000
        PA
        USD
        1120634.50000000
        0.121210267235
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-04
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2013-G1
        36197QAC3
        
          
        
        1499468.00000000
        PA
        USD
        1456226.04000000
        0.157508578812
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-04-10
          Variable
          3.55700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P8K8   CDS USD R F  3.00000 IS1P8K8 CMBX / Short: IS1P8K8   CDS USD P V 01MEVENT IS1P8L9 CMBX
        000000000
        
          
        
        43000.00000000
        OU
        Notional Amount
        USD
        -11584.20000000
        -0.00125297229
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -5295.85000000
            USD
            43000.00000000
            USD
            -6288.35000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SA7
        
          
        
        5490000.00000000
        PA
        USD
        6135075.00000000
        0.663583068571
        Long
        DBT
        UST
        US
        N
        
        2
        
          2048-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05578QAA1
        
          
        
        379000.00000000
        PA
        USD
        423316.47000000
        0.045786830990
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-10-22
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JYGR1
        
          
        
        2978829.54000000
        PA
        USD
        3184545.12000000
        0.344447333200
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        World Financial Network Credit Card Master Trust
        N/A
        World Financial Network Credit Card Master Trust
        981464HD5
        
          
        
        1600000.00000000
        PA
        USD
        1641311.52000000
        0.177527827275
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          3.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Board of Administration Finance Corp
        549300S34SOJ0RULXM35
        FLORIDA ST BRD OF ADMIN FIN CORP REVENUE
        341271AE4
        
          
        
        1634000.00000000
        PA
        USD
        1640003.64000000
        0.177386364127
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-07-01
          Fixed
          1.70500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Danske Bank A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAP6
        
          
        
        1744000.00000000
        PA
        USD
        1868207.68000000
        0.202069409913
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2023-09-12
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HAXF2
        
          
        
        1341737.42000000
        PA
        USD
        1441944.01000000
        0.155963803354
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER HOLDINGS USA
        549300SMVCQN2P0O6I58
        Santander Holdings USA Inc
        80282KAP1
        
          
        
        911000.00000000
        PA
        USD
        1007046.73000000
        0.108924366741
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-13
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828H45
        
          
        
        47245336.25000000
        PA
        USD
        51305482.33000000
        5.549312665139
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-01-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAE8
        
          
        
        204000.00000000
        PA
        USD
        214010.28000000
        0.023147817803
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-05-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2N3
        
          
        
        1141000.00000000
        PA
        USD
        1116936.31000000
        0.120810262953
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-01-13
          Fixed
          1.32300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENOVUS ENERGY INC
        549300EIRQ0Z2B9C1W06
        Cenovus Energy Inc
        15135UAS8
        
          
        
        539000.00000000
        PA
        USD
        606547.48000000
        0.065605495941
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-07-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335A6X1
        
          
        
        1141009.92000000
        PA
        USD
        1260154.18000000
        0.136301019569
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BT0
        
          
        
        765000.00000000
        PA
        USD
        823652.55000000
        0.089088052968
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-01
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OLEODUCTO CENTRAL SA
        254900W4CPYCQFVH5E92
        Oleoducto Central SA
        680617AC1
        
          
        
        491000.00000000
        PA
        USD
        518618.75000000
        0.056094933076
        Long
        DBT
        CORP
        CO
        N
        
        2
        
          2027-07-14
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBO COMMUNICACOES PART
        52990054HEKS017PVR75
        Globo Comunicacao e Participacoes SA
        37959DAB0
        
          
        
        645000.00000000
        PA
        USD
        649232.81000000
        0.070222434163
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2030-01-22
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Netflix Inc
        549300Y7VHGU0I7CE873
        Netflix Inc
        64110LAT3
        
          
        
        1911000.00000000
        PA
        USD
        2312252.67000000
        0.250098282754
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        Long: IS1AAR4   CDS USD R F  3.00000 IS1AAR4 CMBX-BBB--398690 / Short: IS1AAR4   CDS USD P V 00MEVENT IS1AAS5 CMBX-BBB--398690
        000000000
        
          
        
        369000.00000000
        OU
        Notional Amount
        USD
        -99377.85000000
        -0.01074892460
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -25258.13000000
            USD
            369000.00000000
            USD
            -74119.72000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FHQA8
        
          
        
        79067.80000000
        PA
        USD
        82682.17000000
        0.008943083513
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Securities
        N/A
        Natixis Commercial Mortgage Securities Trust 2019-MILE
        63875FAA4
        
          
        
        666204.00000000
        PA
        USD
        668144.19000000
        0.072267930196
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-15
          Floating
          1.60600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENBRIDGE ENERGY PARTNERS
        CZ6VG2MNE1J6YDI02G48
        Enbridge Energy Partners LP
        29250RAX4
        
          
        
        1713000.00000000
        PA
        USD
        2453855.37000000
        0.265414339067
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-15
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380GQ64
        
          
        
        1693712.97000000
        PA
        USD
        339657.37000000
        0.036738080601
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-09-20
          Floating
          6.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B0CN4
        
          
        
        2001620.32000000
        PA
        USD
        497216.30000000
        0.053779997489
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-25
          Floating
          6.09100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        10243.27000000
        0.001107934383
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            842792.72000000
            GBP
            1172127.46000000
            USD
            2021-04-09
            10243.27000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FTKL4
        
          
        
        73391.93000000
        PA
        USD
        76746.84000000
        0.008301105298
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837AW3
        
          
        
        1681000.00000000
        PA
        USD
        1679453.48000000
        0.181653344707
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2032-04-01
          Fixed
          2.72700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137F7A96
        
          
        
        5416951.84000000
        PA
        USD
        812761.08000000
        0.087910007861
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2013-SFS Mortgage Trust
        12625EAA7
        
          
        
        297963.84000000
        PA
        USD
        299134.60000000
        0.032355049577
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-12
          Fixed
          1.87300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBD2
        
          
        
        988000.00000000
        PA
        USD
        1126043.36000000
        0.121795301308
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAC4
        
          
        
        463000.00000000
        PA
        USD
        453050.13000000
        0.049002888388
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.83200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410F3K9
        
          
        
        2950.05000000
        PA
        USD
        3401.35000000
        0.000367897421
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBS3
        
          
        
        1061000.00000000
        PA
        USD
        1031185.90000000
        0.111535311921
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2031-03-25
          Fixed
          2.72600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GUARDIAN LIFE INSURANCE
        N1YIDVMMKBHFYCCAIX69
        Guardian Life Insurance Co of America/The
        401378AC8
        
          
        
        868000.00000000
        PA
        USD
        1009371.16000000
        0.109175782151
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2077-01-24
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132Y3BL7
        
          
        
        1232796.05000000
        PA
        USD
        1360231.29000000
        0.147125577663
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMPRESA DE TRANSPORTE ME
        959800T4M5QUPYMSCH69
        Empresa de Transporte de Pasajeros Metro SA
        29246QAD7
        
          
        
        200000.00000000
        PA
        USD
        216500.00000000
        0.023417111338
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2030-05-07
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prudential Financial Inc
        5PRBRS5FEH7NREC8OR45
        Prudential Financial Inc
        744320AV4
        
          
        
        139000.00000000
        PA
        USD
        152344.00000000
        0.016477858705
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-05-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD MYR
        000000000
        
          
        
        1.00000000
        NC
        
        12658.21000000
        0.001369139551
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            10195067.41000000
            MYR
            2464660.32000000
            USD
            2021-09-23
            12658.21000000
          
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00912XBC7
        
          
        
        145000.00000000
        PA
        USD
        154191.55000000
        0.016677693735
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-03
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -31344.88000000
        -0.00339033046
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            11480462.20000000
            BRL
            2008302.67000000
            USD
            2021-04-05
            -31344.88000000
          
        
        
          N
          N
          N
        
      
      
        Invitation Homes Trust
        N/A
        Invitation Homes 2018-SFR2 Trust
        46185HAE2
        
          
        
        510000.00000000
        PA
        USD
        511344.72000000
        0.055308158155
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-06-17
          Floating
          1.38600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SACI FALABELLA
        5493004CKJQ7H391LM41
        Falabella SA
        000000000
        
          
        
        840000.00000000
        PA
        USD
        904312.50000000
        0.097812408763
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2027-10-30
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XGN8
        
          
        
        1485669.00000000
        PA
        USD
        1525585.81000000
        0.165010682537
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-09-25
          Floating
          3.75900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0LU1
        
          
        
        872660.97000000
        PA
        USD
        902790.90000000
        0.097647829195
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-04-25
          Floating
          4.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11080.90000000
        -0.00119853426
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            1050213.91000000
            USD
            753753.04000000
            GBP
            2021-04-09
            -11080.90000000
          
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding AESOP LLC
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RCY8
        
          
        
        1700000.00000000
        PA
        USD
        1812017.93000000
        0.195991804223
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-09-20
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828XL9
        
          
        
        11490012.20000000
        PA
        USD
        12653375.94000000
        1.368616689128
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-07-15
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        549300JRCMNFIBT50883
        Marlette Funding Trust 2018-4
        57109GAA2
        
          
        
        18693.49000000
        PA
        USD
        18715.42000000
        0.002024300572
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-12-15
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA, National Association
        1IE8VN30JCEQV1H4R804
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -878336.26000000
        -0.09500276209
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              HSBC Bank USA, National Association
              1IE8VN30JCEQV1H4R804
            
            19031391.59000000
            USD
            17143382.39000000
            CHF
            2021-05-06
            -878336.26000000
          
        
        
          N
          N
          N
        
      
      
        UTAH ACQUISITION SUB
        254900JOFV74IJ7H9933
        Utah Acquisition Sub Inc
        62854AAN4
        
          
        
        1720000.00000000
        PA
        USD
        1896231.20000000
        0.205100494845
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25
        61765TAG8
        
          
        
        2103120.66000000
        PA
        USD
        80757.31000000
        0.008734886465
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-15
          Variable
          1.05300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBH7
        
          
        
        939000.00000000
        PA
        USD
        938568.06000000
        0.101517564710
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-06-01
          Variable
          3.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCFF LTD
        N/A
        SCFF I Ltd
        78434TAC2
        
          
        
        630000.00000000
        PA
        USD
        630463.05000000
        0.068192256058
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          3.49100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TERRAFORM GLOBAL OPERATI
        549300LC7QMVR79H5O86
        Terraform Global Operating LLC
        88104UAC7
        
          
        
        117000.00000000
        PA
        USD
        119927.34000000
        0.012971602186
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LYB INTL FINANCE BV
        549300J6QSW38QNOJK61
        LYB International Finance BV
        50247VAA7
        
          
        
        330000.00000000
        PA
        USD
        354872.10000000
        0.038383738922
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROSS STORES INC
        549300ENZFLPGRDFZQ60
        Ross Stores Inc
        778296AC7
        
          
        
        1925000.00000000
        PA
        USD
        2196174.75000000
        0.237543042216
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAT8
        
          
        
        906000.00000000
        PA
        USD
        987105.12000000
        0.106767438789
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-08-11
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-DC1 Mortgage Trust
        12629NAF2
        
          
        
        1960000.00000000
        PA
        USD
        2109703.23000000
        0.228190094357
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-02-10
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RG5
        
          
        
        645600.00000000
        PA
        USD
        761808.00000000
        0.082398811799
        Long
        DBT
        UST
        US
        N
        
        2
        
          2044-05-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828T34
        
          
        
        866400.00000000
        PA
        USD
        871002.75000000
        0.094209553685
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-09-30
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402CVP4
        
          
        
        3401.96000000
        PA
        USD
        3908.40000000
        0.000422741052
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RME9
        
          
        
        1140000.00000000
        PA
        USD
        1043419.20000000
        0.112858492282
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2059-09-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Investors Auto Owner Trust
        N/A
        First Investors Auto Owner Trust 2019-1
        32059TAC3
        
          
        
        1700000.00000000
        PA
        USD
        1733193.18000000
        0.187465947655
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-03-17
          Fixed
          3.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALPEK SA DE CV
        549300PWKJTP62D4IQ66
        Alpek SAB de CV
        020564AD2
        
          
        
        251000.00000000
        PA
        USD
        265824.69000000
        0.028752177192
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2029-09-18
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        617474AA9
        
          
        
        1813000.00000000
        PA
        USD
        1813616.42000000
        0.196164700381
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-04-15
          Variable
          4.05100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Synchrony Financial
        549300RS7EWPM9MA6C78
        Synchrony Financial
        87165BAG8
        
          
        
        1500000.00000000
        PA
        USD
        1661445.00000000
        0.179705508304
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SS8
        
          
        
        375000.00000000
        PA
        USD
        311367.19000000
        0.033678153142
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-11-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1U5X5   CDS USD R F  3.00000 IS1U5X5 CMBX / Short: IS1U5X5   CDS USD P V 01MEVENT IS1U5Y6 CMBX
        000000000
        
          
        
        25000.00000000
        OU
        Notional Amount
        USD
        -6732.92000000
        -0.00072824728
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -2468.27000000
            USD
            25000.00000000
            USD
            -4264.65000000
          
        
        
          N
          N
          N
        
      
      
        Voya Financial Inc
        549300T065Z4KJ686G75
        Voya Financial Inc
        45685EAG1
        
          
        
        742000.00000000
        PA
        USD
        792344.70000000
        0.085701727752
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-05-15
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Montreal Exchange / Bourse De Montreal
        N/A
        CAN 10YR BOND FUT JUN21 XMOD 20210621
        000000000
        
          
        
        -156.00000000
        NC
        
        -93962.47000000
        -0.01016318531
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              The Montreal Exchange / Bourse De Montreal
              N/A
            
            Short
            
              
                10 Year Canadian Bond
                CNM1 Comdty
              
            
            2021-06-21
            -21530037.36000000
            CAD
            -93962.47000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Home Equity Trust
        N/A
        Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates Series 2004-1
        86359BMW8
        
          
        
        48819.71000000
        PA
        USD
        47628.33000000
        0.005151583863
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-25
          Floating
          0.70900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MFS99
        
          
        
        4707439.52000000
        PA
        USD
        5109027.42000000
        0.552603528527
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
      
      
    
    
      2021-04-19
      BERNSTEIN SANFORD C FUND II INC
      Joseph Mantineo
      Joseph Mantineo
      Treasurer and Chief Financial Officer

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