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

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May 7, 2021 2:33 PM EDT 

  
    NPORT-P
    false
    
      
      
        
          0000832808
          XXXXXXXX
        
      
      
      
      
        S000011053
        C000030486
        C000084882
        C000030488
      
      
      
    
  
  
    
      BERNSTEIN SANFORD C FUND INC
      811-05555
      0000832808
      549300GA5IHQHIM7CU60
      ALLIANCEBERNSTEIN LP
      1345 AVENUE OF THE AMERICAS
      NEW YORK
      
      10105
      212-969-1000
      Short Duration Plus Portfolio
      S000011053
      549300HCBIZ0OTJC2W76
      2021-09-30
      2021-03-31
      N
    
    
      280782628.31
      1555904.77
      279226723.54
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      554958.99000000
      0.00000000
      0.00000000
      13253623.05000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AFW94
        
          
        
        445000.00000000
        PA
        USD
        472616.70000000
        0.169259121766
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2024-02-13
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mello Warehouse Securitization Trust
        N/A
        Mello Warehouse Securitization Trust 2020-1
        585505AA8
        
          
        
        513950.00000000
        PA
        USD
        514049.55000000
        0.184097547499
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-10-25
          Floating
          1.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2011-C3
        61760RAJ1
        
          
        
        250000.00000000
        PA
        USD
        244654.58000000
        0.087618612179
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-15
          Variable
          5.26100000
          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
        
          
        
        19000.00000000
        OU
        Notional Amount
        USD
        -5118.60000000
        -0.00183313399
        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
            -2111.44000000
            USD
            19000.00000000
            USD
            -3007.16000000
          
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 77 CLO Ltd
        26252VAC5
        
          
        
        275000.00000000
        PA
        USD
        275498.85000000
        0.098664929526
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-05-20
          Floating
          2.18200000
          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
        
          
        
        3000.00000000
        OU
        Notional Amount
        USD
        -807.95000000
        -0.00028935267
        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
            -469.08000000
            USD
            3000.00000000
            USD
            -338.87000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AEHA8
        
          
        
        282220.65000000
        PA
        USD
        283524.65000000
        0.101539224614
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-25
          Floating
          0.45900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796F20
        
          
        
        33705000.00000000
        PA
        USD
        33704634.97000000
        12.07070531885
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-04-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411ADY8
        
          
        
        224.55000000
        PA
        USD
        225.47000000
        0.000080748001
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Securities
        N/A
        Natixis Commercial Mortgage Securities Trust 2018-850T
        63874PAA3
        
          
        
        408814.00000000
        PA
        USD
        406236.59000000
        0.145486286144
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-07-15
          Floating
          0.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OD88   CDS USD R F  3.00000 IS1OD88 CMBX / Short: IS1OD88   CDS USD P V 01MEVENT IS1OD99 CMBX
        000000000
        
          
        
        38000.00000000
        OU
        Notional Amount
        USD
        -10237.20000000
        -0.00366626799
        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
            -4129.60000000
            USD
            38000.00000000
            USD
            -6107.60000000
          
        
        
          N
          N
          N
        
      
      
        SoFi Consumer Loan Program Trust
        N/A
        SoFi Consumer Loan Program 2019-3 Trust
        83405TAA1
        
          
        
        96606.50000000
        PA
        USD
        97383.18000000
        0.034876024316
        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
        
          
        
        118000.00000000
        OU
        Notional Amount
        USD
        12956.40000000
        0.004640100286
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            7797.17000000
            USD
            0.00000000
            USD
            118000.00000000
            USD
            5159.23000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31339UZQ6
        
          
        
        320267.17000000
        PA
        USD
        345987.57000000
        0.123909189497
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31346YA29
        
          
        
        240917.49000000
        PA
        USD
        259060.79000000
        0.092777935691
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re Ltd
        07876MAB3
        
          
        
        684390.00000000
        PA
        USD
        683292.17000000
        0.244708730359
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2031-03-25
          Floating
          2.21700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAG6
        
          
        
        56525000.00000000
        PA
        USD
        56525000.00000000
        20.24340624829
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-08-31
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900SCWI9IDKK5LV64
        Bellemeade Re 2019-3 Ltd
        07877GAB5
        
          
        
        259610.00000000
        PA
        USD
        260793.12000000
        0.093398338344
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-07-25
          Floating
          1.70900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OF60   CDS USD R V 01MEVENT IS1OF71 CMBX / Short: IS1OF60   CDS USD P F  3.00000 IS1OF60 CMBX
        000000000
        
          
        
        295000.00000000
        OU
        Notional Amount
        USD
        32391.00000000
        0.011600250717
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            20733.72000000
            USD
            0.00000000
            USD
            295000.00000000
            USD
            11657.28000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128284G2
        
          
        
        14135000.00000000
        PA
        USD
        14146042.97000000
        5.066149396683
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-04-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSF 2021 1 ISSUER LLC
        N/A
        GSF 2021 1 ISSUER LLC 08/26 1
        36261CAC5
        
          
        
        70000.00000000
        PA
        USD
        72100.00000000
        0.025821310756
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2026-08-15
          Variable
          2.43500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortgage Trust
        N/A
        UBS-Barclays Commercial Mortgage Trust 2013-C5
        90270YAL3
        
          
        
        505184.00000000
        PA
        USD
        494651.92000000
        0.177150637205
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-03-10
          Variable
          4.08400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KBQ2
        
          
        
        230000.00000000
        PA
        USD
        243850.60000000
        0.087330681285
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Westlake Automobile Receivables Trust
        N/A
        Westlake Automobile Receivables Trust 2021-1
        96043FAE3
        
          
        
        837000.00000000
        PA
        USD
        836503.91000000
        0.299578743536
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-03-16
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAV3
        
          
        
        525000.00000000
        PA
        USD
        558883.50000000
        0.200154015673
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2025-12-20
          Fixed
          3.24400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        5493005BBCF84ICNQ550
        GS Mortgage Securities Corp II
        36192CAG0
        
          
        
        7540295.05000000
        PA
        USD
        169308.28000000
        0.060634697801
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-02-10
          Variable
          1.48600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BY5
        
          
        
        621000.00000000
        PA
        USD
        617901.21000000
        0.221290140917
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-01-12
          Fixed
          0.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31339U5V8
        
          
        
        274395.93000000
        PA
        USD
        293431.24000000
        0.105087090619
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2013-GC11
        17320DAN8
        
          
        
        770650.00000000
        PA
        USD
        800814.71000000
        0.286797302151
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-10
          Fixed
          3.42200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Consumer Loan Program Trust
        549300O6TO32N91PEI50
        Sofi Consumer Loan Program 2017-5 LLC
        83405LAB6
        
          
        
        62923.18000000
        PA
        USD
        63257.80000000
        0.022654636776
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-09-25
          Fixed
          2.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B4VN3
        
          
        
        404415.42000000
        PA
        USD
        408787.76000000
        0.146399941530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-15
          Floating
          0.60600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300F7COUCG1RROP29
        Magnetite XXVI Ltd
        55954YAA3
        
          
        
        471630.00000000
        PA
        USD
        472542.13000000
        0.169232415869
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-15
          Floating
          1.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0RL5
        
          
        
        664138.50000000
        PA
        USD
        672514.61000000
        0.240848942205
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-04-25
          Floating
          2.45900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2014-C22
        46642NBF2
        
          
        
        10029833.85000000
        PA
        USD
        237855.50000000
        0.085183644668
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-09-15
          Variable
          0.82900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38373MWF3
        
          
        
        356756.98000000
        PA
        USD
        894.21000000
        0.000320245135
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-08-16
          Variable
          0.97200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Foursight Capital Automobile Receivables Trust
        N/A
        Foursight Capital Automobile Receivables Trust 2021-1
        35105WAJ8
        
          
        
        229000.00000000
        PA
        USD
        226735.74000000
        0.081201303774
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          1.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2019-BOCA
        36256QAA5
        
          
        
        502504.00000000
        PA
        USD
        503030.07000000
        0.180151120072
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          1.30600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128287A2
        
          
        
        3155000.00000000
        PA
        USD
        3167324.22000000
        1.134319874489
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-06-30
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPS Auto Trust
        N/A
        CPS Auto Receivables Trust 2020-C
        12597TAB6
        
          
        
        603000.00000000
        PA
        USD
        604649.45000000
        0.216544262789
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          1.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FW3Q1
        
          
        
        3030083.52000000
        PA
        USD
        419163.88000000
        0.150115961210
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          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
        
          
        
        289000.00000000
        OU
        Notional Amount
        USD
        31756.28000000
        0.011372937230
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            50126.74000000
            USD
            0.00000000
            USD
            289000.00000000
            USD
            -18370.46000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAP9
        
          
        
        357865.39000000
        PA
        USD
        368597.42000000
        0.132006498277
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-11-25
          Floating
          5.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2020-1 Ltd
        43731WAB1
        
          
        
        335821.00000000
        PA
        USD
        342133.63000000
        0.122528970602
        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
        
          
        
        226056.00000000
        PA
        USD
        226738.69000000
        0.081202360263
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-04-30
          Fixed
          3.58400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Biogen Inc
        W8J5WZB5IY3K0NDQT671
        Biogen Inc
        09062XAF0
        
          
        
        600000.00000000
        PA
        USD
        666714.00000000
        0.238771558662
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2
        46635GAQ3
        
          
        
        545800.00000000
        PA
        USD
        472608.33000000
        0.169256124201
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-11-15
          Variable
          5.72200000
          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
        
          
        
        119000.00000000
        OU
        Notional Amount
        USD
        13066.20000000
        0.004679423170
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            7863.25000000
            USD
            0.00000000
            USD
            119000.00000000
            USD
            5202.95000000
          
        
        
          N
          N
          N
        
      
      
        DBWF Mortgage Trust
        N/A
        DBWF 2018-GLKS Mortgage Trust
        23307GAA4
        
          
        
        296863.00000000
        PA
        USD
        296682.03000000
        0.106251302253
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-12-19
          Floating
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Westlake Automobile Receivables Trust
        N/A
        Westlake Automobile Receivables Trust 2020-3
        96042QAJ9
        
          
        
        657000.00000000
        PA
        USD
        662798.48000000
        0.237369286004
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-11-17
          Fixed
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPS Auto Trust
        N/A
        CPS Auto Receivables Trust 2021-A
        12656NAE1
        
          
        
        635000.00000000
        PA
        USD
        633899.16000000
        0.227019517316
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          0.83000000
          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
        
          
        
        308000.00000000
        OU
        Notional Amount
        USD
        33844.07000000
        0.012120641452
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            61934.84000000
            USD
            0.00000000
            USD
            308000.00000000
            USD
            -28090.77000000
          
        
        
          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
        
          
        
        14000.00000000
        OU
        Notional Amount
        USD
        -3772.77000000
        -0.00135114932
        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
            -1638.76000000
            USD
            14000.00000000
            USD
            -2134.01000000
          
        
        
          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
        
          
        
        15000.00000000
        OU
        Notional Amount
        USD
        -4041.00000000
        -0.00144721105
        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
            -1847.39000000
            USD
            15000.00000000
            USD
            -2193.61000000
          
        
        
          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
        
          
        
        113000.00000000
        OU
        Notional Amount
        USD
        12407.40000000
        0.004443485867
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            7634.16000000
            USD
            0.00000000
            USD
            113000.00000000
            USD
            4773.24000000
          
        
        
          N
          N
          N
        
      
      
        Affirm Inc
        N/A
        Affirm Asset Securitization Trust 2021-A
        00833MAA2
        
          
        
        479000.00000000
        PA
        USD
        479323.23000000
        0.171660944168
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIGMA ALIMENTOS SA
        549300FW3RGHPHT21D10
        Sigma Alimentos SA de CV
        000000000
        
          
        
        491000.00000000
        PA
        USD
        532274.69000000
        0.190624551709
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2026-05-02
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2012-GC6
        36192BAG2
        
          
        
        450000.00000000
        PA
        USD
        457974.05000000
        0.164015121544
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-01-10
          Variable
          5.65200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAL4
        
          
        
        379000.00000000
        PA
        USD
        380018.56000000
        0.136096772967
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2023-09-02
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upstart Securitization Trust
        N/A
        Upstart Securitization Trust 2021-1
        91681NAA2
        
          
        
        224265.13000000
        PA
        USD
        224433.93000000
        0.080376952160
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-03-20
          Fixed
          0.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412CFA3
        
          
        
        1245.05000000
        PA
        USD
        1290.41000000
        0.000462136998
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Floating
          1.57700000
          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
        
          
        
        3000.00000000
        OU
        Notional Amount
        USD
        -808.20000000
        -0.00028944221
        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
            -375.03000000
            USD
            3000.00000000
            USD
            -433.17000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B6VQ1
        
          
        
        364753.78000000
        PA
        USD
        368384.47000000
        0.131930234087
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-12-15
          Floating
          0.55600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carvana Auto Receivables Trust
        N/A
        Carvana Auto Receivables Trust 2021-N1
        14687DAC6
        
          
        
        622000.00000000
        PA
        USD
        621720.78000000
        0.222658050819
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-01-10
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2012-GCJ7
        36192KAV9
        
          
        
        500000.00000000
        PA
        USD
        511972.65000000
        0.183353743334
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-10
          Fixed
          4.08500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2011-GC5
        36191YAE8
        
          
        
        750000.00000000
        PA
        USD
        754121.70000000
        0.270075045267
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-08-10
          Variable
          5.20900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        5493004GWEVMOU8S3L34
        COMM 2014-UBS4 Mortgage Trust
        12591QAR3
        
          
        
        750000.00000000
        PA
        USD
        809458.95000000
        0.289893080339
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-10
          Fixed
          3.69400000
          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
        
          
        
        160000.00000000
        OU
        Notional Amount
        USD
        -43090.67000000
        -0.01543214397
        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
            -23874.56000000
            USD
            160000.00000000
            USD
            -19216.11000000
          
        
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortgage Trust
        N/A
        UBS-Barclays Commercial Mortgage Trust 2012-C4
        90270RBC7
        
          
        
        612068.26000000
        PA
        USD
        612654.62000000
        0.219411169616
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-10
          Fixed
          2.53300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAK7
        
          
        
        273000.00000000
        PA
        USD
        266008.47000000
        0.095266121604
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BG8
        
          
        
        1000000.00000000
        PA
        USD
        1026380.00000000
        0.367579430431
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2022-03-07
          Fixed
          3.21800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GoldenTree Loan Management US CLO1, LTD
        549300DO8S88M0JNL340
        Goldentree Loan Management US Clo 7 Ltd
        38138LAA6
        
          
        
        404180.00000000
        PA
        USD
        404434.63000000
        0.144840946766
        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
        
          
        
        470000.00000000
        PA
        USD
        484997.42000000
        0.173693052674
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-15
          Variable
          3.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796D97
        
          
        
        3595000.00000000
        PA
        USD
        3594971.53000000
        1.287474022695
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-04-20
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828SF8
        
          
        
        3007000.00000000
        PA
        USD
        3057743.13000000
        1.095075389358
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Provident Funding Mortgage Warehouse Securitization Trust
        N/A
        Provident Funding Mortgage Warehouse Securitization Trust 2021-1
        74387PAA0
        
          
        
        395564.00000000
        PA
        USD
        395564.00000000
        0.141664091095
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2055-02-25
          Variable
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        549300W2612MGSLICQ35
        Marlette Funding Trust 2019-3
        57109MAA9
        
          
        
        92540.23000000
        PA
        USD
        93036.27000000
        0.033319257132
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-09-17
          Fixed
          2.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8
        46638UAM8
        
          
        
        355000.00000000
        PA
        USD
        330578.02000000
        0.118390537914
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-15
          Variable
          4.62300000
          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
        
          
        
        15000.00000000
        OU
        Notional Amount
        USD
        -4041.00000000
        -0.00144721105
        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
            -1908.23000000
            USD
            15000.00000000
            USD
            -2132.77000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FTBB2
        
          
        
        1731065.17000000
        PA
        USD
        315781.77000000
        0.113091528631
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crossroads Asset Trust
        N/A
        Crossroads Asset Trust 2021-A
        22767CAC4
        
          
        
        172000.00000000
        PA
        USD
        171477.76000000
        0.061411657819
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-06-20
          Fixed
          1.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        549300KSCKXTOBY0IP86
        Voya CLO 2019-1 Ltd
        92917NAS7
        
          
        
        130000.00000000
        PA
        USD
        127231.13000000
        0.045565527678
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          3.09100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSF 2021 1 ISSUER LLC
        N/A
        GSF 2021 1 ISSUER LLC 08/26 1
        36261CAE1
        
          
        
        18000.00000000
        PA
        USD
        18540.00000000
        0.006639765623
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2026-08-15
          Variable
          2.63800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2013-GC15
        17321JAH7
        
          
        
        516418.00000000
        PA
        USD
        540517.68000000
        0.193576629467
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-09-10
          Variable
          5.18100000
          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
        
          
        
        40000.00000000
        OU
        Notional Amount
        USD
        -10772.67000000
        -0.00385803688
        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
            -4954.80000000
            USD
            40000.00000000
            USD
            -5817.87000000
          
        
        
          N
          N
          N
        
      
      
        LSTAR Commercial Mortgage Trust
        N/A
        LSTAR Commercial Mortgage Trust 2016-4
        50219QAC8
        
          
        
        515772.96000000
        PA
        USD
        523571.81000000
        0.187507772666
        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
        
          
        
        209000.00000000
        OU
        Notional Amount
        USD
        -56287.18000000
        -0.02015823531
        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
            -12082.44000000
            USD
            209000.00000000
            USD
            -44204.74000000
          
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        254900JBDDKUTX6TX151
        Radnor RE 2019-1 Ltd
        75049SAB9
        
          
        
        191558.52000000
        PA
        USD
        192075.77000000
        0.068788462495
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-02-25
          Floating
          2.05900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables Trust
        N/A
        Exeter Automobile Receivables Trust 2021-1
        30166RAE7
        
          
        
        540000.00000000
        PA
        USD
        538541.51000000
        0.192868899929
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          0.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        N/A
        Marlette Funding Trust 2020-1
        57109JAA6
        
          
        
        55358.03000000
        PA
        USD
        55567.78000000
        0.019900595220
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AZURE ORBIT IV INTL FIN
        549300DX1ZQGOMLNIF41
        Azure Orbit IV International Finance Ltd
        000000000
        
          
        
        900000.00000000
        PA
        USD
        938619.00000000
        0.336149415822
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-01-25
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT INTL FINANCE PLC
        21380041YBGOQDFAC823
        BAT International Finance PLC
        05530QAN0
        
          
        
        740000.00000000
        PA
        USD
        732341.00000000
        0.262274681561
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-25
          Fixed
          1.66800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corporation
        N/A
        Chase Mortgage Reference Notes 2019-CL1
        46591HAC4
        
          
        
        78920.78000000
        PA
        USD
        80085.30000000
        0.028681101502
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-25
          Floating
          2.20900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2019-BPR
        61769GAJ6
        
          
        
        365000.00000000
        PA
        USD
        310137.03000000
        0.111069967110
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-15
          Floating
          3.15600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCW4
        
          
        
        274000.00000000
        PA
        USD
        297147.52000000
        0.106418009076
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-20
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cooperatieve Rabobank UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        21684AAF3
        
          
        
        282000.00000000
        PA
        USD
        307701.48000000
        0.110197718935
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-07-21
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137F6JL2
        
          
        
        1655906.71000000
        PA
        USD
        338760.76000000
        0.121321038224
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Investors Auto Owner Trust
        N/A
        First Investors Auto Owner Trust 2020-1
        32060KAA3
        
          
        
        154006.13000000
        PA
        USD
        154924.15000000
        0.055483281842
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          1.49000000
          N
          N
          N
        
        
          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
        
          
        
        239000.00000000
        OU
        Notional Amount
        USD
        26282.03000000
        0.009412433619
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            47088.32000000
            USD
            0.00000000
            USD
            239000.00000000
            USD
            -20806.29000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS23FU0   CDS USD R F  1.00000 IS23FU0 CCPCDX / Short: SS23FU0   CDS USD P V 03MEVENT IS23FV1 CCPCDX
        000000000
        
          
        
        2221000.00000000
        OU
        Notional Amount
        USD
        40683.81000000
        0.014570170606
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S34.V1
                2I65BYDW2
              
            
            Y
            
            sell protection
            2025-06-20
            23884.47000000
            USD
            0.00000000
            USD
            2221000.00000000
            USD
            16799.34000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MZ39
        
          
        
        861106.02000000
        PA
        USD
        980261.13000000
        0.351062791402
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XDS0
        
          
        
        159297.97000000
        PA
        USD
        165835.38000000
        0.059390941489
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-04-25
          Floating
          4.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3137EAEV7
        
          
        
        2000000.00000000
        PA
        USD
        2000592.04000000
        0.716475849673
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-08-24
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INFOR INC
        549300Q3IIYBYI4RHD64
        Infor Inc
        45674CAB9
        
          
        
        157000.00000000
        PA
        USD
        159312.61000000
        0.057054929406
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          1.45000000
          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
        
          
        
        1194000.00000000
        OU
        Notional Amount
        USD
        131200.70000000
        0.046987157366
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            241858.56000000
            USD
            0.00000000
            USD
            1194000.00000000
            USD
            -110657.86000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796F95
        
          
        
        3040000.00000000
        PA
        USD
        3039920.63000000
        1.088692583381
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-05-18
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCP CLO Ltd
        254900MN6N176YEZLX15
        OCP CLO 2020-18 Ltd
        671078AA1
        
          
        
        418123.00000000
        PA
        USD
        418123.00000000
        0.149743188867
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-04-20
          Floating
          2.02400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN21 XCBT 20210621
        000000000
        
          
        
        5.00000000
        NC
        USD
        -23288.65000000
        -0.00834040872
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Ultra Long Bond
                WNM1 Comdty
              
            
            2021-06-21
            929382.40000000
            USD
            -23288.65000000
          
        
        
          N
          N
          N
        
      
      
        Port Authority of New York & New Jersey
        54930006MR4KZ4W74Z83
        PORT AUTH OF NEW YORK & NEW JERSEY NY
        73358W4V3
        
          
        
        280000.00000000
        PA
        USD
        284169.96000000
        0.101770330718
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-07-01
          Fixed
          1.08600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDICORP LTD
        529900UYAEYQCQ2BKB17
        Credicorp Ltd
        000000000
        
          
        
        389000.00000000
        PA
        USD
        397266.25000000
        0.142273721140
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-06-17
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2020-2 Ltd
        078782AB5
        
          
        
        220426.00000000
        PA
        USD
        222137.48000000
        0.079554520134
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-08-26
          Floating
          3.30900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137APGN4
        
          
        
        537125.65000000
        PA
        USD
        552281.51000000
        0.197789632381
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FVXJ6
        
          
        
        2036570.81000000
        PA
        USD
        376522.43000000
        0.134844697250
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        549300FPK70TCB78NG05
        Hertz Vehicle Financing II LP
        42806DCH0
        
          
        
        78900.47000000
        PA
        USD
        79105.65000000
        0.028330257576
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-05-25
          Fixed
          3.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG LONDON
        BFM8T61CT2L1QCEMIK50
        UBS AG/London
        902674YA2
        
          
        
        212000.00000000
        PA
        USD
        214915.00000000
        0.076967919572
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2022-04-21
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526BR9
        
          
        
        234000.00000000
        PA
        USD
        246853.62000000
        0.088406158576
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2023-02-27
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAC5
        
          
        
        214000.00000000
        PA
        USD
        223546.54000000
        0.080059149484
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN21 XCBT 20210621
        000000000
        
          
        
        -13.00000000
        NC
        USD
        28700.83000000
        0.010278683084
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US 10 Year Ultra Bond
                UXYM1 Comdty
              
            
            2021-06-21
            -1896638.33000000
            USD
            28700.83000000
          
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AG2
        
          
        
        227000.00000000
        PA
        USD
        236679.28000000
        0.084762402752
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-08
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cencosud SA
        549300NLTGCFV7482429
        Cencosud SA
        000000000
        
          
        
        481000.00000000
        PA
        USD
        536765.94000000
        0.192233011652
        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
        
          
        
        168000.00000000
        OU
        Notional Amount
        USD
        -45245.20000000
        -0.01620374992
        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
            -13505.69000000
            USD
            168000.00000000
            USD
            -31739.51000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900K56RF3Z7VQ3U81
        Bellemeade Re 2019-1 Ltd
        07876RAB2
        
          
        
        400000.00000000
        PA
        USD
        395768.32000000
        0.141737264607
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-03-25
          Floating
          1.85900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Consumer Auto Receivables Trust
        N/A
        Santander Consumer Auto Receivables Trust 2021-A
        80282YAG1
        
          
        
        727000.00000000
        PA
        USD
        722846.72000000
        0.258874476925
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          1.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAX2
        
          
        
        23746.42000000
        PA
        USD
        24029.82000000
        0.008605845348
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-25
          Floating
          4.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genworth Mortgage Insurance Corporation
        N/A
        Traingle Re 2021-1 Ltd
        89600FAA1
        
          
        
        493657.00000000
        PA
        USD
        493656.80000000
        0.176794252978
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2033-08-25
          Floating
          1.80700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brex Inc
        N/A
        Brex Commercial Charge Card Master Trust
        05601DAA1
        
          
        
        555000.00000000
        PA
        USD
        554958.99000000
        0.198748523409
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-07-17
          Fixed
          2.09000000
          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
        
          
        
        21000.00000000
        OU
        Notional Amount
        USD
        -5657.40000000
        -0.00202609547
        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
            -2586.34000000
            USD
            21000.00000000
            USD
            -3071.06000000
          
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 78 CLO Ltd
        26253LAE2
        
          
        
        320000.00000000
        PA
        USD
        320839.04000000
        0.114902698399
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-17
          Floating
          2.17300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BCF21
        
          
        
        2934615.77000000
        PA
        USD
        486789.08000000
        0.174334703293
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2019-SMP
        36259NAA9
        
          
        
        250000.00000000
        PA
        USD
        249848.83000000
        0.089478838856
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-08-15
          Floating
          1.25600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36225BUB2
        
          
        
        41241.32000000
        PA
        USD
        48165.12000000
        0.017249466451
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-03-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2013-GC11
        17320DAL2
        
          
        
        8305731.51000000
        PA
        USD
        178525.88000000
        0.063935814501
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-10
          Variable
          1.36500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063BJA1
        
          
        
        350000.00000000
        PA
        USD
        361130.67000000
        0.129332416833
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2021-11-01
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2021-1 Ltd
        437307AA9
        
          
        
        753709.00000000
        PA
        USD
        752708.23000000
        0.269568836555
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2033-07-25
          Floating
          1.15900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN21 XCBT 20210630
        000000000
        
          
        
        585.00000000
        NC
        USD
        -109127.40000000
        -0.03908200426
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                2 Year US Treasury Note
                TUM1 Comdty
              
            
            2021-06-30
            129234166.17000000
            USD
            -109127.40000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
        46652BAN9
        
          
        
        43215.69000000
        PA
        USD
        43023.12000000
        0.015407952166
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-16
          Floating
          1.95600000
          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
        
          
        
        241000.00000000
        OU
        Notional Amount
        USD
        26441.72000000
        0.009469623703
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            49126.28000000
            USD
            0.00000000
            USD
            241000.00000000
            USD
            -22684.56000000
          
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        254900YVLP8CB4GC2O97
        Radnor RE 2020-1 Ltd
        750493AA6
        
          
        
        184714.00000000
        PA
        USD
        184733.19000000
        0.066158850291
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2030-02-25
          Floating
          1.05900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upstart Securitization Trust
        N/A
        Upstart Securitization Trust 2020-3
        91680EAA3
        
          
        
        602526.17000000
        PA
        USD
        607272.99000000
        0.217483836181
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-11-20
          Fixed
          1.70200000
          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
        
          
        
        139000.00000000
        OU
        Notional Amount
        USD
        -37435.02000000
        -0.01340667523
        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
            -16693.13000000
            USD
            139000.00000000
            USD
            -20741.89000000
          
        
        
          N
          N
          N
        
      
      
        Invitation Homes Trust
        N/A
        Invitation Homes 2018-SFR3 Trust
        46187VAA7
        
          
        
        207302.26000000
        PA
        USD
        207689.60000000
        0.074380273265
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-07-17
          Floating
          1.10800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        5493002EPQ51IPGGFX73
        GS Mortgage Securities Trust 2015-GC28
        36251FAW6
        
          
        
        500000.00000000
        PA
        USD
        538789.85000000
        0.192957838407
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-02-10
          Fixed
          3.39600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables Trust
        N/A
        Exeter Automobile Receivables Trust 2020-3
        30166NAE6
        
          
        
        477000.00000000
        PA
        USD
        482200.16000000
        0.172691264606
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          1.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1PBA9   CDS USD R F  3.00000 IS1PBA9 CMBX / Short: IS1PBA9   CDS USD P V 01MEVENT IS1PBB0 CMBX
        000000000
        
          
        
        58000.00000000
        OU
        Notional Amount
        USD
        -15625.20000000
        -0.00559588272
        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
            -7220.25000000
            USD
            58000.00000000
            USD
            -8404.95000000
          
        
        
          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
        
          
        
        363000.00000000
        OU
        Notional Amount
        USD
        39857.40000000
        0.014274206814
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            24651.87000000
            USD
            0.00000000
            USD
            363000.00000000
            USD
            15205.53000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAH4
        
          
        
        65000.00000000
        PA
        USD
        72858.50000000
        0.026092953810
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oaktown Re Ltd
        N/A
        Oaktown Re V Ltd
        67401JAA0
        
          
        
        151360.40000000
        PA
        USD
        152446.30000000
        0.054595884687
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Floating
          2.50900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lloyds Banking Group PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        539439AS8
        
          
        
        350000.00000000
        PA
        USD
        377590.50000000
        0.135227207200
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-08-16
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2013-LC6 Mortgage Trust
        20048EAZ4
        
          
        
        2276971.11000000
        PA
        USD
        38612.88000000
        0.013828504489
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-01-10
          Variable
          1.31300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYALTY PHARMA PLC
        549300FGFN7VOK8BZR03
        Royalty Pharma PLC
        78081BAA1
        
          
        
        735000.00000000
        PA
        USD
        734059.20000000
        0.262890023810
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-09-02
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CL7
        
          
        
        610000.00000000
        PA
        USD
        613159.80000000
        0.219592090694
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-08-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128285L0
        
          
        
        6712600.00000000
        PA
        USD
        6830070.50000000
        2.446066197894
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-11-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Consumer Loan Program Trust
        N/A
        Sofi Consumer Loan Program 2018-3 Trust
        83405XAB0
        
          
        
        17412.09000000
        PA
        USD
        17462.83000000
        0.006253996672
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-08-25
          Fixed
          3.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AH0
        
          
        
        393000.00000000
        PA
        USD
        403418.43000000
        0.144477013118
        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
        
          
        
        132000.00000000
        OU
        Notional Amount
        USD
        -35549.80000000
        -0.01273151779
        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
            -10390.73000000
            USD
            132000.00000000
            USD
            -25159.07000000
          
        
        
          N
          N
          N
        
      
      
        First Investors Auto Owner Trust
        N/A
        First Investors Auto Owner Trust 2018-1
        32059RAL7
        
          
        
        650000.00000000
        PA
        USD
        680057.69000000
        0.243550359857
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          5.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AF5B9
        
          
        
        1450000.00000000
        PA
        USD
        1472663.50000000
        0.527407792968
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2021-10-12
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XCT9
        
          
        
        279601.91000000
        PA
        USD
        295696.24000000
        0.105898259396
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-10-25
          Floating
          6.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLAXOSMITHKLINE CAPITAL
        549300U0LV41VX7LEP38
        GlaxoSmithKline Capital PLC
        377373AJ4
        
          
        
        875000.00000000
        PA
        USD
        899228.75000000
        0.322042510329
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-06-01
          Fixed
          2.87500000
          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
        
          
        
        128000.00000000
        OU
        Notional Amount
        USD
        14043.73000000
        0.005029507857
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            25823.00000000
            USD
            0.00000000
            USD
            128000.00000000
            USD
            -11779.27000000
          
        
        
          N
          N
          N
        
      
      
        New Jersey Turnpike Authority
        5493005YN67D71KSMI84
        NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE
        646140DP5
        
          
        
        125000.00000000
        PA
        USD
        122948.03000000
        0.044031612891
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-01-01
          Fixed
          1.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT Credit Risk Transfer Trust
        N/A
        PMT Credit Risk Transfer Trust 2019-3R
        69349MAA4
        
          
        
        60882.84000000
        PA
        USD
        60973.33000000
        0.021836495170
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2022-10-27
          Floating
          2.80900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Affirm Asset Securitization Trust 2020-A
        N/A
        Affirm Asset Securitization Trust 2020-A
        00833LAA4
        
          
        
        206000.00000000
        PA
        USD
        208200.24000000
        0.074563149744
        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
        
          
        
        155000.00000000
        OU
        Notional Amount
        USD
        17031.92000000
        0.006099674051
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            30073.52000000
            USD
            0.00000000
            USD
            155000.00000000
            USD
            -13041.60000000
          
        
        
          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
        
          
        
        295000.00000000
        OU
        Notional Amount
        USD
        32391.00000000
        0.011600250717
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            21464.66000000
            USD
            0.00000000
            USD
            295000.00000000
            USD
            10926.34000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        Chase Auto Credit Linked Notes Series 2020-1
        46591HAP5
        
          
        
        617877.97000000
        PA
        USD
        621696.89000000
        0.222649495047
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-01-25
          Fixed
          1.38900000
          N
          N
          N
        
        
          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
        
          
        
        597000.00000000
        OU
        Notional Amount
        USD
        65650.10000000
        0.023511395745
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            118690.51000000
            USD
            0.00000000
            USD
            597000.00000000
            USD
            -53040.41000000
          
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2013-WBRK
        05525BAL4
        
          
        
        185000.00000000
        PA
        USD
        165872.48000000
        0.059404228183
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-10
          Variable
          3.53400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MET LIFE GLOB FUNDING I
        635400MMSOCXNNNZDZ82
        Metropolitan Life Global Funding I
        59217GDB2
        
          
        
        650000.00000000
        PA
        USD
        665996.50000000
        0.238514599017
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-17
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ashford Hospitality Trust
        N/A
        Ashford Hospitality Trust 2018-KEYS
        04410CAA7
        
          
        
        225000.00000000
        PA
        USD
        224792.21000000
        0.080505263661
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-15
          Floating
          1.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MC6J9
        
          
        
        55639.00000000
        PA
        USD
        57893.23000000
        0.020733413072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS19B23   CDS USD R F  3.00000 IS19B23 CMBX-BBB--394944 / Short: IS19B23   CDS USD P V 00MEVENT IS19B34 CMBX-BBB--394944
        000000000
        
          
        
        445000.00000000
        OU
        Notional Amount
        USD
        -119845.92000000
        -0.04292064831
        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
            -30989.83000000
            USD
            445000.00000000
            USD
            -88856.09000000
          
        
        
          N
          N
          N
        
      
      
        Tobacco Settlement Finance Authority
        N/A
        TOBACCO SETTLEMENT FIN AUTH WV ASSET BACKED
        88880LAV5
        
          
        
        860000.00000000
        PA
        USD
        882974.13000000
        0.316221212212
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CarMax Auto Owner Trust
        N/A
        CarMax Auto Owner Trust
        14316NAF6
        
          
        
        190000.00000000
        PA
        USD
        187480.03000000
        0.067142581348
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          0.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genworth Mortgage Insurance Corporation
        N/A
        Traingle Re 2020-1 Ltd
        89600MAA6
        
          
        
        250000.00000000
        PA
        USD
        250968.78000000
        0.089879928689
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2030-10-25
          Floating
          3.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828YZ7
        
          
        
        7632000.00000000
        PA
        USD
        7721437.50000000
        2.765293164675
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-12-31
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        9127963H0
        
          
        
        2485000.00000000
        PA
        USD
        2484920.28000000
        0.889929247636
        Long
        STIV
        UST
        US
        N
        
        2
        
          2021-06-17
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRUST
        N/A
        WFRBS Commercial Mortgage Trust 2011-C3
        92935VAQ1
        
          
        
        250000.00000000
        PA
        USD
        249119.98000000
        0.089217814413
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-03-15
          Variable
          5.33500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marlette Funding Trust
        549300FK0U6W6777SM18
        Marlette Funding Trust 2019-1
        57109XAA5
        
          
        
        70120.95000000
        PA
        USD
        70517.53000000
        0.025254577751
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-04-16
          Fixed
          3.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G0V34
        
          
        
        810000.00000000
        PA
        USD
        859661.10000000
        0.307872072236
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2024-02-05
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS Commercial Mortgage Trust
        N/A
        WFRBS Commercial Mortgage Trust 2012-C10
        92890NAA7
        
          
        
        1056679.53000000
        PA
        USD
        22852.28000000
        0.008184130698
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-15
          Variable
          1.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        459200JX0
        
          
        
        675000.00000000
        PA
        USD
        694244.25000000
        0.248631019695
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-05-13
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAT1
        
          
        
        100195.57000000
        PA
        USD
        101387.93000000
        0.036310253085
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-02-25
          Floating
          4.40900000
          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
        
          
        
        860000.00000000
        OU
        Notional Amount
        USD
        -231612.33000000
        -0.08294776626
        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
            -57717.67000000
            USD
            860000.00000000
            USD
            -173894.66000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        5493002S7XBI8CVRR075
        Wells Fargo Commercial Mortgage Trust 2015-NXS1
        94989HAF7
        
          
        
        63516.96000000
        PA
        USD
        63495.37000000
        0.022739718174
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-05-15
          Fixed
          2.63200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FQSU8
        
          
        
        1796778.83000000
        PA
        USD
        271232.39000000
        0.097136974055
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828WG1
        
          
        
        5956000.00000000
        PA
        USD
        5965306.25000000
        2.136366524798
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-04-30
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARATHON PETROLEUM CORP
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585ABG6
        
          
        
        372000.00000000
        PA
        USD
        399074.16000000
        0.142921191403
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        John Deere Capital Corp
        E0KSF7PFQ210NWI8Z391
        John Deere Capital Corp
        24422EUQ0
        
          
        
        236000.00000000
        PA
        USD
        241291.12000000
        0.086414049823
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-01-10
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagship Credit Auto Trust
        N/A
        Flagship Credit Auto Trust 2019-4
        33845FAC0
        
          
        
        590000.00000000
        PA
        USD
        607343.17000000
        0.217508969879
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-11-17
          Fixed
          2.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0EW5
        
          
        
        315687.17000000
        PA
        USD
        321788.55000000
        0.115242748229
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-10-25
          Floating
          3.40900000
          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
        
          
        
        186000.00000000
        OU
        Notional Amount
        USD
        -50092.90000000
        -0.01793986598
        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
            -29934.48000000
            USD
            186000.00000000
            USD
            -20158.42000000
          
        
        
          N
          N
          N
        
      
      
        LEIDOS INC
        5493006I78VIN6J1BQ95
        Leidos Inc
        52532XAA3
        
          
        
        137000.00000000
        PA
        USD
        143232.13000000
        0.051295996380
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2020-3 Ltd
        07877KAC4
        
          
        
        151273.00000000
        PA
        USD
        152549.41000000
        0.054632811668
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Floating
          2.95900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Investors Auto Owner Trust
        N/A
        First Investors Auto Owner Trust 2021-1
        32059FAE9
        
          
        
        351000.00000000
        PA
        USD
        350857.00000000
        0.125653087767
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          1.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LV1
        
          
        
        650000.00000000
        PA
        USD
        663455.00000000
        0.237604406766
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-24
          Fixed
          3.14200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Invitation Homes Trust
        N/A
        Invitation Homes 2018-SFR1 Trust
        46185JAE8
        
          
        
        880000.00000000
        PA
        USD
        881515.80000000
        0.315698937703
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-03-17
          Floating
          1.35800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620AC6T6
        
          
        
        345838.18000000
        PA
        USD
        393498.49000000
        0.140924366053
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-10-15
          Fixed
          5.00000000
          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
        
          
        
        133000.00000000
        OU
        Notional Amount
        USD
        -35819.12000000
        -0.01282796988
        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
            -21101.14000000
            USD
            133000.00000000
            USD
            -14717.98000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        N/A
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137B4WA0
        
          
        
        684957.84000000
        PA
        USD
        704724.76000000
        0.252384424766
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-02-25
          Fixed
          2.87100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2012-GCJ9
        36192PAT3
        
          
        
        517827.00000000
        PA
        USD
        533495.00000000
        0.191061583660
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-11-10
          Fixed
          3.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA
        ES7IP3U3RHIGC71XBU11
        Royal Bank of Canada
        78015K7G3
        
          
        
        572000.00000000
        PA
        USD
        585482.04000000
        0.209679801624
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-04-17
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elevation CLO Ltd
        N/A
        Elevation CLO 2020-11 Ltd
        28621YAE5
        
          
        
        250000.00000000
        PA
        USD
        243045.00000000
        0.087042170218
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          2.44100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FVTP7
        
          
        
        2420583.86000000
        PA
        USD
        426181.55000000
        0.152629212776
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828YC8
        
          
        
        13536000.00000000
        PA
        USD
        13616370.00000000
        4.876456603928
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-08-31
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST
        N/A
        PMT Credit Risk Transfer Trust 2019-2R
        69345WAA6
        
          
        
        152787.00000000
        PA
        USD
        151169.02000000
        0.054138449960
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-05-27
          Floating
          2.85900000
          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
        
          
        
        308000.00000000
        OU
        Notional Amount
        USD
        33844.07000000
        0.012120641452
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            61982.72000000
            USD
            0.00000000
            USD
            308000.00000000
            USD
            -28138.65000000
          
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        549300FPK70TCB78NG05
        Hertz Vehicle Financing II LP
        428040CU1
        
          
        
        86714.98000000
        PA
        USD
        87088.67000000
        0.031189231781
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2021-10-25
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables Trust
        N/A
        Exeter Automobile Receivables Trust 2019-3
        30167EAB1
        
          
        
        312658.27000000
        PA
        USD
        313892.14000000
        0.112414791829
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-08-15
          Fixed
          2.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31346YAV5
        
          
        
        336020.73000000
        PA
        USD
        359226.05000000
        0.128650311634
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        Radnor RE 2019-2 Ltd
        75049TAB7
        
          
        
        221598.00000000
        PA
        USD
        221464.22000000
        0.079313404244
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-06-25
          Floating
          1.85900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38148LAE6
        
          
        
        222000.00000000
        PA
        USD
        242499.48000000
        0.086846802098
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-22
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Wolf Trust
        N/A
        Great Wolf Trust 2019-WOLF
        39152TAA8
        
          
        
        700000.00000000
        PA
        USD
        699155.24000000
        0.250389801927
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hardee's Funding
        N/A
        Hardee's Funding LLC
        411707AF9
        
          
        
        874154.78000000
        PA
        USD
        970416.70000000
        0.347537186877
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-06-20
          Fixed
          5.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        Chase Auto Credit Linked Notes Series 2021-1
        46591HBR0
        
          
        
        828513.00000000
        PA
        USD
        828306.78000000
        0.296643089708
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-09-25
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivables Trust
        N/A
        Santander Drive Auto Receivables Trust 2020-4
        80286WAG1
        
          
        
        424000.00000000
        PA
        USD
        426496.30000000
        0.152741934795
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          1.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GCT Commercial Mortgage Trust
        N/A
        GCT Commercial Mortgage Trust 2021-GCT
        36167RAC7
        
          
        
        469006.00000000
        PA
        USD
        469005.86000000
        0.167965964737
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-02-15
          Floating
          1.35600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starwood Retail Property Trust
        5493007115G809OI4R97
        Starwood Retail Property Trust 2014-STAR
        85571XAA5
        
          
        
        858865.92000000
        PA
        USD
        631266.45000000
        0.226076659854
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-11-15
          Floating
          1.57600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mello Warehouse Securitization Trust
        N/A
        Mello Warehouse Securitization Trust 2021-1
        58550LAA3
        
          
        
        345583.00000000
        PA
        USD
        342705.75000000
        0.122733865030
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2055-02-25
          Floating
          0.80900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARLEY-DAVIDSON FINL SER
        RLUFFFFW4GRYU77BTS24
        Harley-Davidson Financial Services Inc
        41283LAY1
        
          
        
        585000.00000000
        PA
        USD
        614062.80000000
        0.219915483810
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-08
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN21 XCBT 20210630
        000000000
        
          
        
        -119.00000000
        NC
        USD
        58816.32000000
        0.021064001057
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                5 Year US Treasury Note
                FVM1 Comdty
              
            
            2021-06-30
            -14743230.44000000
            USD
            58816.32000000
          
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCD5
        
          
        
        230000.00000000
        PA
        USD
        239338.00000000
        0.085714575226
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-11
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        Chase Auto Credit Linked Notes Series 2020-2
        46591HAY6
        
          
        
        239537.12000000
        PA
        USD
        240158.72000000
        0.086008501247
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-02-25
          Fixed
          1.48700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Triangle Re 2019-1 Ltd.
        N/A
        Mortgage Insurance-Linked Notes Series 2019-1
        89600TAA1
        
          
        
        284343.00000000
        PA
        USD
        284738.32000000
        0.101973878570
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-11-26
          Floating
          2.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2013-GC11
        17320DAQ1
        
          
        
        350000.00000000
        PA
        USD
        362959.49000000
        0.129987375634
        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
        
          
        
        35884.82000000
        PA
        USD
        35884.82000000
        0.012851499149
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2026-08-15
          Variable
          1.43300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687FN1
        
          
        
        561000.00000000
        PA
        USD
        608241.81000000
        0.217830801539
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-24
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re Ltd
        254900SAV74IHXQ8XY35
        Eagle RE 2020-1 Ltd
        26982LAA8
        
          
        
        375000.00000000
        PA
        USD
        373919.55000000
        0.133912522862
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-01-25
          Floating
          1.00900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G0U35
        
          
        
        2217000.00000000
        PA
        USD
        2230390.68000000
        0.798774075677
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2021-06-22
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AJ7E3
        
          
        
        750000.00000000
        PA
        USD
        766845.00000000
        0.274631665006
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-02-17
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        California Earthquake Authority
        N/A
        CALIFORNIA ST EARTHQUAKE AUTH
        13017HAH9
        
          
        
        130000.00000000
        PA
        USD
        130313.79000000
        0.046669526593
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2021-07-01
          Fixed
          1.22700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLONY MORTGAGE CAPITAL LTD
        N/A
        CLNY Trust 2019-IKPR
        12564NAL6
        
          
        
        180000.00000000
        PA
        USD
        175039.11000000
        0.062687090899
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          2.13100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Credit Trust
        N/A
        Consumer Loan Underlying Bond CLUB Credit Trust 2020-P1
        21055JAB4
        
          
        
        100000.00000000
        PA
        USD
        101853.47000000
        0.036476977815
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          2.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MQ1
        
          
        
        346000.00000000
        PA
        USD
        369531.46000000
        0.132341007807
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-08
          Fixed
          3.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prosper Marketplace Issuance Trust
        N/A
        Prosper Marketplace Issuance Trust Series 2019-3
        74362DAA6
        
          
        
        6250.34000000
        PA
        USD
        6256.38000000
        0.002240609323
        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
        
          
        
        308000.00000000
        OU
        Notional Amount
        USD
        33844.07000000
        0.012120641452
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            62869.89000000
            USD
            0.00000000
            USD
            308000.00000000
            USD
            -29025.82000000
          
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QBH2
        
          
        
        454000.00000000
        PA
        USD
        476927.00000000
        0.170802777740
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-06
          Fixed
          2.93700000
          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
        
          
        
        147000.00000000
        OU
        Notional Amount
        USD
        16140.60000000
        0.005780463916
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            buy protection
            
            2058-09-17
            11360.05000000
            USD
            0.00000000
            USD
            147000.00000000
            USD
            4780.55000000
          
        
        
          N
          N
          N
        
      
      
        NatWest Markets PLC
        RR3QWICWWIPCS8A4S074
        NatWest Markets PLC
        63906AAA8
        
          
        
        825000.00000000
        PA
        USD
        863123.25000000
        0.309111978630
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-09-29
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS 2020-BID Mortgage Trust
        05493BAA6
        
          
        
        411000.00000000
        PA
        USD
        413059.48000000
        0.147929780775
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-15
          Floating
          2.24600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWEST AIRLINES CO
        UDTZ87G0STFETI6HGH41
        Southwest Airlines Co
        844741BJ6
        
          
        
        279000.00000000
        PA
        USD
        317418.30000000
        0.113677622247
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-04
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31294ME80
        
          
        
        75402.86000000
        PA
        USD
        79432.93000000
        0.028447466987
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-03-01
          Fixed
          6.50000000
          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
        
          
        
        13000.00000000
        OU
        Notional Amount
        USD
        -3502.20000000
        -0.00125424957
        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
            -1601.07000000
            USD
            13000.00000000
            USD
            -1901.13000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828TJ9
        
          
        
        3157000.00000000
        PA
        USD
        3222113.13000000
        1.153941531509
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-08-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05578QAA1
        
          
        
        660000.00000000
        PA
        USD
        737173.80000000
        0.264005461459
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-10-22
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagship Credit Auto Trust
        N/A
        Flagship Credit Auto Trust 2020-4
        33845XAC1
        
          
        
        615000.00000000
        PA
        USD
        618150.09000000
        0.221379272787
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-02-16
          Fixed
          1.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AKWD1
        
          
        
        465602.60000000
        PA
        USD
        465244.97000000
        0.166619070016
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-08-25
          Floating
          0.44300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828H45
        
          
        
        13941156.25000000
        PA
        USD
        15139224.37000000
        5.421839349066
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-01-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA5
        35566AAA7
        
          
        
        99467.31000000
        PA
        USD
        99467.29000000
        0.035622410612
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Floating
          1.31700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA6
        35566CAA3
        
          
        
        173270.88000000
        PA
        USD
        173371.83000000
        0.062089984727
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-25
          Floating
          0.91700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828YL8
        
          
        
        4689286.00000000
        PA
        USD
        5071023.19000000
        1.816095223877
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-10-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Securities
        N/A
        Natixis Commercial Mortgage Securities Trust 2019-MILE
        63875FAA4
        
          
        
        165647.00000000
        PA
        USD
        166129.41000000
        0.059496243014
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-15
          Floating
          1.60600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of New York NY
        549300ABYZD2SFD5JB29
        NEW YORK NY
        64966QRJ1
        
          
        
        740000.00000000
        PA
        USD
        739139.53000000
        0.264709452100
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-08-01
          Fixed
          0.98200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137F7A96
        
          
        
        1456591.88000000
        PA
        USD
        218547.48000000
        0.078268826575
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUTTER HEALTH
        549300MJCC12LU768G81
        Sutter Health
        86944BAF0
        
          
        
        356000.00000000
        PA
        USD
        354533.28000000
        0.126969680947
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          1.32100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receivables Trust
        N/A
        AmeriCredit Automobile Receivables Trust 2020-1
        03067DAB1
        
          
        
        345908.62000000
        PA
        USD
        346574.32000000
        0.124119323396
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-03-20
          Fixed
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2012-GC8
        17318UAF1
        
          
        
        600000.00000000
        PA
        USD
        618769.68000000
        0.221601167737
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-09-10
          Fixed
          3.68300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SINOPEC GRP DEV 2018
        549300C6OZZ8LTVR8209
        Sinopec Group Overseas Development 2018 Ltd
        82939GAF5
        
          
        
        516000.00000000
        PA
        USD
        539865.00000000
        0.193342883931
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-08-08
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AKN74
        
          
        
        100812.87000000
        PA
        USD
        102808.55000000
        0.036819022440
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-02-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DT Auto Owner Trust
        N/A
        DT Auto Owner Trust 2021-1
        23344GAE1
        
          
        
        760000.00000000
        PA
        USD
        757838.79000000
        0.271406253811
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-10-15
          Fixed
          0.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828T34
        
          
        
        6966000.00000000
        PA
        USD
        7003006.88000000
        2.508000234081
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-09-30
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
      
      
    
    
      2021-04-19
      BERNSTEIN SANFORD C FUND INC
      Joseph Mantineo
      Joseph Mantineo
      Treasurer and Chief Financial Officer

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