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

May 10, 2022 10:12 AM EDT

  
    NPORT-P
    false
    
      
      
        
          0001166729
          XXXXXXXX
        
      
      
      
      
        S000011063
        C000030507
      
      
      
    
  
  
    
      BERNSTEIN SANFORD C FUND II INC
      811-21034
      0001166729
      549300XBDNFQ7T12YS53
      ALLIANCEBERNSTEIN LP
      1345 AVENUE OF THE AMERICAS
      NEW YORK
      
      10105
      212-969-1000
      Bernstein Intermediate Duration Institutional Portfolio
      S000011063
      549300XBDNFQ7T12YS53
      2022-09-30
      2022-03-31
      N
    
    
      913016594.87
      60662308.37
      852354286.50
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      11567370.13000000
      
        
          EUR
          
          
        
        
          JPY
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AFW94
        
          
        
        1465000.00000000
        PA
        USD
        1470527.18000000
        0.172525345773
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2024-02-13
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCL5
        
          
        
        1243000.00000000
        PA
        USD
        1115592.50000000
        0.130883661602
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2022-R02
        20754BAA9
        
          
        
        2371453.31000000
        PA
        USD
        2351996.72000000
        0.275941208632
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-25
          Floating
          1.29900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PAS4
        
          
        
        49000.00000000
        PA
        USD
        52403.54000000
        0.006148093677
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828R36
        
          
        
        49675400.00000000
        PA
        USD
        47983331.69000000
        5.629505529564
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-05-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140K3BF8
        
          
        
        1519140.18000000
        PA
        USD
        1534579.51000000
        0.180040100027
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBQ3
        
          
        
        1539000.00000000
        PA
        USD
        1352365.47000000
        0.158662365100
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-11-15
          Fixed
          3.18700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412EJ72
        
          
        
        1031.41000000
        PA
        USD
        1050.99000000
        0.000123304360
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Floating
          1.83500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OA21   CDS USD R F  3.00000 IS1OA21 CMBX / Short: IS1OA21   CDS USD P V 01MEVENT IS1OA32 CMBX
        000000000
        
          
        
        97560.89000000
        OU
        Notional Amount
        USD
        -23757.70000000
        -0.00278730339
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -10584.50000000
            USD
            97560.89000000
            USD
            -13173.20000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828V98
        
          
        
        1975000.00000000
        PA
        USD
        1956792.97000000
        0.229575072360
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-02-15
          Fixed
          2.25000000
          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
        
          
        
        6695.36000000
        OU
        Notional Amount
        USD
        -1630.43000000
        -0.00019128548
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -1022.01000000
            USD
            6695.36000000
            USD
            -608.42000000
          
        
        
          N
          N
          N
        
      
      
        LB-UBS Commercial Mortgage Trust
        N/A
        LB-UBS Commercial Mortgage Trust 2006-C6
        50179MAH4
        
          
        
        147436.53000000
        PA
        USD
        61360.49000000
        0.007198941915
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-09-15
          Variable
          5.45200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2021-B
        64034QAC2
        
          
        
        620000.00000000
        PA
        USD
        567932.96000000
        0.066631090967
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-04-20
          Fixed
          2.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RN0
        
          
        
        51400.00000000
        PA
        USD
        53680.88000000
        0.006297953896
        Long
        DBT
        UST
        US
        N
        
        2
        
          2045-08-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brex Inc
        N/A
        Brex Commercial Charge Card Master Trust
        05601DAC7
        
          
        
        1888000.00000000
        PA
        USD
        1885131.94000000
        0.221167649398
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828YS3
        
          
        
        1386000.00000000
        PA
        USD
        1327311.56000000
        0.155722987614
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-11-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48127FAA1
        
          
        
        401000.00000000
        PA
        USD
        399945.37000000
        0.046922433116
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Variable
          3.53400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128286B1
        
          
        
        8921000.00000000
        PA
        USD
        9038088.13000000
        1.060367534152
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-02-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L Street Securities
        N/A
        JP Morgan Madison Avenue Securities Trust Series 2014-1
        46643HAB4
        
          
        
        53625.46000000
        PA
        USD
        52617.59000000
        0.006173206474
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2024-11-25
          Floating
          4.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-20CB
        12667GQL0
        
          
        
        69046.79000000
        PA
        USD
        57425.02000000
        0.006737224286
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCANADA PIPELINES
        5BV01I6231JPDAPMGH09
        TransCanada PipeLines Ltd
        89352HAD1
        
          
        
        829000.00000000
        PA
        USD
        1013701.20000000
        0.118929559697
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2037-10-15
          Fixed
          6.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VORNADO REALTY LP
        549300BMOJ05INE4YK86
        Vornado Realty LP
        929043AL1
        
          
        
        2003000.00000000
        PA
        USD
        1876150.01000000
        0.220113870454
        Long
        DBT
        
        US
        N
        
        2
        
          2031-06-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD MYR
        000000000
        
          
        
        1.00000000
        NC
        
        -12335.04000000
        -0.00144717287
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            10195067.41000000
            MYR
            2401664.88000000
            USD
            2022-06-16
            -12335.04000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132Y3ZC1
        
          
        
        469639.98000000
        PA
        USD
        497468.83000000
        0.058364090833
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376MJL2
        
          
        
        1993798.25000000
        PA
        USD
        315983.53000000
        0.037071853219
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-03-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AL2
        
          
        
        355000.00000000
        PA
        USD
        350896.20000000
        0.041167881191
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-08-21
          Fixed
          6.37500000
          N
          N
          N
          N
          Y
          
            
              Credit Suisse Group AG
              Credit Suisse Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Dext ABS
        N/A
        Dext ABS 2021-1 LLC
        23345CAB5
        
          
        
        186000.00000000
        PA
        USD
        177055.58000000
        0.020772533534
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          1.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONOCOPHILLIPS COMPANY
        6VJJ5GQWIRDQ06DUXG89
        ConocoPhillips Co
        20826FAW6
        
          
        
        85000.00000000
        PA
        USD
        86396.55000000
        0.010136225202
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-15
          Fixed
          3.75800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAH4
        
          
        
        145000.00000000
        PA
        USD
        145176.18000000
        0.017032375187
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS19123   CDS USD R F  3.00000 IS19123 CMBX-BBB--394233 / Short: IS19123   CDS USD P V 00MEVENT IS19134 CMBX-BBB--394233
        000000000
        
          
        
        908655.38000000
        OU
        Notional Amount
        USD
        -221272.73000000
        -0.02596018269
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -65829.40000000
            USD
            908655.38000000
            USD
            -155443.33000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2A0
        
          
        
        559000.00000000
        PA
        USD
        558849.07000000
        0.065565349861
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-22
          Fixed
          3.58400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLCAN CIA MINERA SAA-CM
        549300XKJ91C4SZLG750
        Volcan Cia Minera SAA
        92863UAB2
        
          
        
        397000.00000000
        PA
        USD
        380127.50000000
        0.044597358870
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2026-02-11
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DS1
        
          
        
        696000.00000000
        PA
        USD
        588903.00000000
        0.069091340224
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2031-04-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E6KV3
        
          
        
        57104.37000000
        PA
        USD
        56795.03000000
        0.006663312533
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        31359MGK3
        
          
        
        260000.00000000
        PA
        USD
        340876.06000000
        0.039992297264
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2030-11-15
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Wholsale Mortgage LLC
        N/A
        UWM Mortgage Trust 2021-INV1
        90354XAC4
        
          
        
        1885224.23000000
        PA
        USD
        1749112.93000000
        0.205209612681
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-08-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796U56
        
          
        
        4281200.00000000
        PA
        USD
        4261438.71000000
        0.499960964295
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-09-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAL5
        
          
        
        390000.00000000
        PA
        USD
        353304.90000000
        0.041450474948
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-20
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Discover Bank
        X05BVSK68TQ7YTOSNR22
        Discover Bank
        25466AAN1
        
          
        
        386000.00000000
        PA
        USD
        391268.90000000
        0.045904491383
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-09
          Fixed
          4.68200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAL4
        
          
        
        2687000.00000000
        PA
        USD
        2896639.74000000
        0.339839874788
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-03-01
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER HOLDINGS USA
        549300SMVCQN2P0O6I58
        Santander Holdings USA Inc
        80282KBC9
        
          
        
        697000.00000000
        PA
        USD
        651172.25000000
        0.076396899776
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-06
          Fixed
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31346YA29
        
          
        
        526907.25000000
        PA
        USD
        532097.66000000
        0.062426818099
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Balboa Bay Loan Funding Ltd
        549300G0EX8VHFWPJW18
        Balboa Bay Loan Funding 2021-1 Ltd
        05765XAA9
        
          
        
        1472447.00000000
        PA
        USD
        1462478.53000000
        0.171581061204
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          1.45400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        000000000
        
          
        
        954000.00000000
        PA
        USD
        966449.70000000
        0.113385914203
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-07-17
          Fixed
          7.50000000
          N
          N
          N
          N
          Y
          
            
              Credit Suisse Group AG
              Credit Suisse Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380B6Y6
        
          
        
        1809385.96000000
        PA
        USD
        285472.61000000
        0.033492247827
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Floating
          5.70100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEIBO CORP
        549300Q9ID4640FE0422
        Weibo Corp
        948596AE1
        
          
        
        3313000.00000000
        PA
        USD
        2813151.13000000
        0.330044815231
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-07-08
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LORCA TELECOM BONDCO
        9598004HFBAS82YM7X35
        Lorca Telecom Bondco SA
        000000000
        
          
        
        540000.00000000
        PA
        
        575319.79000000
        0.067497729419
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-09-18
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JXTG3
        
          
        
        1458271.39000000
        PA
        USD
        1470357.83000000
        0.172505477274
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900SCWI9IDKK5LV64
        Bellemeade Re 2019-3 Ltd
        07877GAB5
        
          
        
        557310.70000000
        PA
        USD
        556671.80000000
        0.065309907959
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-07-25
          Floating
          2.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810TA6
        
          
        
        18692500.00000000
        PA
        USD
        16224505.86000000
        1.903493197250
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-08-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARKER-HANNIFIN CORP
        5493002CONDB4N2HKI23
        Parker-Hannifin Corp
        701094AN4
        
          
        
        743000.00000000
        PA
        USD
        733095.81000000
        0.086008344371
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-14
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R03
        20754AAA1
        
          
        
        2604452.79000000
        PA
        USD
        2571555.43000000
        0.301700298893
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          0.94900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280AT6
        
          
        
        3579000.00000000
        PA
        USD
        3708738.75000000
        0.435117040970
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-30
          Fixed
          6.37500000
          N
          N
          N
          N
          Y
          
            
              HSBC Holdings PLC
              HSBC Holdings PLC
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        03846JAB6
        
          
        
        1070000.00000000
        PA
        USD
        896125.00000000
        0.105135272291
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2031-02-16
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA6
        35564KKY4
        
          
        
        2513292.00000000
        PA
        USD
        2390172.61000000
        0.280420084448
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          1.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISTRA CORP
        549300KP43CPCUJOOG15
        Vistra Corp
        92840MAC6
        
          
        
        648000.00000000
        PA
        USD
        630808.56000000
        0.074007788778
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLP CAPITAL LP / FIN II
        N/A
        GLP Capital LP / GLP Financing II Inc
        361841AR0
        
          
        
        1181000.00000000
        PA
        USD
        1070659.17000000
        0.125611988695
        Long
        DBT
        
        US
        N
        
        2
        
          2032-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PEF1
        
          
        
        1919000.00000000
        PA
        USD
        1738853.88000000
        0.204005999329
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2032-09-23
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        138219.46000000
        0.016216198145
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            1918479921.00000000
            JPY
            15903917.95000000
            USD
            2022-04-28
            138219.46000000
          
        
        
          N
          N
          N
        
      
      
        University of California
        N/A
        UNIV OF CALIFORNIA CA REVENUES
        91412HKE2
        
          
        
        2070000.00000000
        PA
        USD
        1801900.85000000
        0.211402802630
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2051-05-15
          Fixed
          3.07100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBJ1
        
          
        
        1745000.00000000
        PA
        USD
        1679876.60000000
        0.197086660630
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-06
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2013-C14
        46640LAN2
        
          
        
        472496.00000000
        PA
        USD
        292016.94000000
        0.034260042405
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-08-15
          Variable
          4.54900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828X47
        
          
        
        2580000.00000000
        PA
        USD
        2583225.00000000
        0.303069397422
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-04-30
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2018-EXCL
        12433WAA9
        
          
        
        1122631.71000000
        PA
        USD
        1110040.39000000
        0.130232276364
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-15
          Floating
          1.48500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSF 2021 1 ISSUER LLC
        N/A
        GSF 2021 1 ISSUER LLC
        36261CAC5
        
          
        
        990000.00000000
        PA
        USD
        972881.71000000
        0.114140531162
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2026-08-15
          Variable
          2.43500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AREIT CRE Trust
        N/A
        AREIT 2022-CRE6 Trust
        04002VAA9
        
          
        
        3187500.00000000
        PA
        USD
        3153927.66000000
        0.370025435426
        Long
        ABS-MBS
        CORP
        KY
        N
        
        2
        
          2024-11-17
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05367AAH6
        
          
        
        350000.00000000
        PA
        USD
        355449.50000000
        0.041702083937
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYJ7
        
          
        
        739000.00000000
        PA
        USD
        656697.57000000
        0.077045141955
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-07-21
          Fixed
          2.38300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        3128NHRW5
        
          
        
        126.12000000
        PA
        USD
        131.56000000
        0.000015434896
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Floating
          2.59500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mello Mortgage Capital Acceptance Trust
        N/A
        Mello Mortgage Capital Acceptance 2021-INV2
        58549XAC7
        
          
        
        1454355.67000000
        PA
        USD
        1343120.73000000
        0.157577752734
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-08-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYU2
        
          
        
        764000.00000000
        PA
        USD
        716769.52000000
        0.084092909644
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-10
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-28CB
        02147TAP1
        
          
        
        302777.72000000
        PA
        USD
        206300.84000000
        0.024203649030
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BS2F5G2   CDS USD R V 03MEVENT IS2F5H3 CCPCDX / Short: BS2F5G2   CDS USD P F  5.00000 IS2F5G2 CCPCDX
        000000000
        
          
        
        20910000.00000000
        OU
        Notional Amount
        USD
        -1176225.92000000
        -0.13799730213
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.HY.S38
                2I65BRYR5
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            USD
            -997509.74000000
            USD
            20910000.00000000
            USD
            -178716.18000000
          
        
        
          N
          N
          N
        
      
      
        Australia & New Zealand Banking Group Ltd.
        JHE42UYNWWTJB8YTTU19
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -1089305.57000000
        -0.12779962361
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Australia & New Zealand Banking Group Ltd.
              JHE42UYNWWTJB8YTTU19
            
            25681078.84000000
            AUD
            18133281.36000000
            USD
            2022-04-28
            -1089305.57000000
          
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2021-D
        64034YAC5
        
          
        
        798000.00000000
        PA
        USD
        746878.84000000
        0.087625398479
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-04-20
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417EJG7
        
          
        
        711941.07000000
        PA
        USD
        729911.39000000
        0.085634741510
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KA79
        
          
        
        516.02000000
        PA
        USD
        559.87000000
        0.000065685127
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22
        61690FAM5
        
          
        
        2000000.00000000
        PA
        USD
        1987864.20000000
        0.233220414501
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-04-15
          Fixed
          3.30600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CGRBS Commercial Mortgage Trust
        N/A
        CGRBS Commercial Mortgage Trust 2013-VN05
        125354AA8
        
          
        
        2495000.00000000
        PA
        USD
        2503280.16000000
        0.293690100425
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-13
          Fixed
          3.36900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1D6Z3   CDS USD R F  3.00000 IS1D6Z3 CMBX-BBB--413146 / Short: IS1D6Z3   CDS USD P V 00MEVENT IS1D705 CMBX-BBB--413146
        000000000
        
          
        
        42085.10000000
        OU
        Notional Amount
        USD
        -10248.42000000
        -0.00120236621
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -5289.36000000
            USD
            42085.10000000
            USD
            -4959.06000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XBG0
        
          
        
        600000.00000000
        PA
        USD
        628842.00000000
        0.073777067817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83368RBH4
        
          
        
        2339000.00000000
        PA
        USD
        2189514.51000000
        0.256878453558
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-01-19
          Fixed
          2.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402QY39
        
          
        
        76321.07000000
        PA
        USD
        82459.71000000
        0.009674346842
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBP5
        
          
        
        323000.00000000
        PA
        USD
        284769.72000000
        0.033409783292
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-11-15
          Fixed
          3.13700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QA9
        
          
        
        8105000.00000000
        PA
        USD
        9281491.41000000
        1.088924119583
        Long
        DBT
        UST
        US
        N
        
        2
        
          2039-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1CJQ2   CDS USD R F  3.00000 IS1CJQ2 CMBX-BBB--410410 / Short: IS1CJQ2   CDS USD P V 00MEVENT IS1CJR3 CMBX-BBB--410410
        000000000
        
          
        
        583452.42000000
        OU
        Notional Amount
        USD
        -142080.39000000
        -0.01666917058
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -63220.13000000
            USD
            583452.42000000
            USD
            -78860.26000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300CFP9NBBMZH1008
        Wells Fargo Commercial Mortgage Trust 2016-NXS6
        95000KBH7
        
          
        
        1030000.00000000
        PA
        USD
        1008017.84000000
        0.118262775933
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-15
          Variable
          4.39300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJT7
        
          
        
        2071000.00000000
        PA
        USD
        1903538.94000000
        0.223327197404
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-22
          Fixed
          2.68700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Time Warner Cable LLC
        549300U5NFR7S6E3GM41
        Time Warner Cable LLC
        88732JBD9
        
          
        
        505000.00000000
        PA
        USD
        467109.85000000
        0.054802311362
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810FP8
        
          
        
        3645900.00000000
        PA
        USD
        4530030.75000000
        0.531472748098
        Long
        DBT
        UST
        US
        N
        
        2
        
          2031-02-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HHA1
        
          
        
        820000.00000000
        PA
        USD
        820016.40000000
        0.096206051050
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-30
          Variable
          3.76900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132XXD22
        
          
        
        378069.10000000
        PA
        USD
        396367.91000000
        0.046502717975
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENA MASTER TRUST
        549300CBCHB6Q73VG753
        ENA Master Trust
        29249BAA3
        
          
        
        380000.00000000
        PA
        USD
        356558.75000000
        0.041832223483
        Long
        DBT
        CORP
        PA
        N
        
        2
        
          2048-05-19
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2014-C22
        46642NBF2
        
          
        
        5397950.28000000
        PA
        USD
        83738.40000000
        0.009824365445
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-09-15
          Variable
          0.81800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371L6D6
        
          
        
        26828.67000000
        PA
        USD
        28483.51000000
        0.003341745381
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IQVIA INC
        549300PLWY28YB00C717
        IQVIA Inc
        000000000
        
          
        
        310000.00000000
        PA
        
        313945.50000000
        0.036832747247
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN22
        000000000
        
          
        
        196.00000000
        NC
        USD
        -1301881.82000000
        -0.15273951696
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                Ultra 10-Year US Treasury Note Futures
                UXYM2 COMDTY
              
            
            2022-06-21
            27853756.82000000
            USD
            -1301881.82000000
          
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AH3
        
          
        
        740000.00000000
        PA
        USD
        778361.60000000
        0.091319022186
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1IYH6   CDS USD R F  3.00000 IS1IYH6 CMBX / Short: IS1IYH6   CDS USD P V 01MEVENT IS1IYI7 CMBX
        000000000
        
          
        
        26781.41000000
        OU
        Notional Amount
        USD
        -6521.72000000
        -0.00076514192
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -3854.68000000
            USD
            26781.41000000
            USD
            -2667.04000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN WATER CAPITAL C
        5IDHQUFVC8Q2KIBBFF06
        American Water Capital Corp
        03040WAU9
        
          
        
        438000.00000000
        PA
        USD
        439905.30000000
        0.051610616262
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2019-BOCA
        36256QAA5
        
          
        
        738455.00000000
        PA
        USD
        738245.57000000
        0.086612525060
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          1.59700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2019-IMC
        05608BAL4
        
          
        
        206696.00000000
        PA
        USD
        201751.96000000
        0.023669964848
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-15
          Floating
          2.29700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FRANCE SA
        5493001ZMCICV4N02J21
        Altice France SA/France
        000000000
        
          
        
        259000.00000000
        PA
        
        260230.60000000
        0.030530802052
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-01-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE MUTUAL INSURA
        Z7LVXXWM8HZPKF5T2355
        Nationwide Mutual Insurance Co
        638671AK3
        
          
        
        377000.00000000
        PA
        USD
        573450.93000000
        0.067278470828
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-08-15
          Fixed
          9.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MetLife Capital Trust IV
        N/A
        MetLife Capital Trust IV
        591560AA5
        
          
        
        970000.00000000
        PA
        USD
        1159237.30000000
        0.136004161457
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-12-15
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOMURA HOLDINGS INC
        549300B3CEAHYG7K8164
        Nomura Holdings Inc
        65535HBA6
        
          
        
        1881000.00000000
        PA
        USD
        1728037.08000000
        0.202736949572
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2032-01-22
          Fixed
          2.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RBG3
        
          
        
        1425000.00000000
        PA
        USD
        1479734.25000000
        0.173605538616
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2014-UBS5 Mortgage Trust
        12592KBC7
        
          
        
        1925000.00000000
        PA
        USD
        1937230.68000000
        0.227279983298
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-09-10
          Fixed
          3.83800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RU4
        
          
        
        387000.00000000
        PA
        USD
        407801.25000000
        0.047844101503
        Long
        DBT
        UST
        US
        N
        
        2
        
          2046-11-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upstart Securitization Trust
        N/A
        Upstart Securitization Trust 2021-3
        91679LAB8
        
          
        
        1360000.00000000
        PA
        USD
        1284407.39000000
        0.150689380031
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-07-20
          Fixed
          1.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KRF8
        
          
        
        1716861.00000000
        PA
        USD
        1670524.98000000
        0.195989508876
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-25
          Floating
          2.49900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1XIP7   CDS USD R F  3.00000 IS1XIP7 CMBX / Short: IS1XIP7   CDS USD P V 01MEVENT IS1XIQ8 CMBX
        000000000
        
          
        
        608320.86000000
        OU
        Notional Amount
        USD
        -148136.27000000
        -0.01737965918
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -45656.39000000
            USD
            608320.86000000
            USD
            -102479.88000000
          
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAH8
        
          
        
        1150000.00000000
        PA
        USD
        1153691.50000000
        0.135353516521
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-01-05
          Fixed
          3.37300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2022-1 Ltd
        078774AB2
        
          
        
        1000000.00000000
        PA
        USD
        996002.10000000
        0.116853064010
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2032-01-26
          Floating
          2.24900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAD0
        
          
        
        875000.00000000
        PA
        USD
        849415.00000000
        0.099655156717
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2030-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re Ltd
        07876MAC1
        
          
        
        1036483.00000000
        PA
        USD
        1030974.20000000
        0.120956064435
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2031-03-25
          Floating
          3.04900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAQ4
        
          
        
        1572000.00000000
        PA
        USD
        1592483.16000000
        0.186833478193
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1CJM8   CDS USD R F  3.00000 IS1CJM8 CMBX-BBB--410332 / Short: IS1CJM8   CDS USD P V 00MEVENT IS1CJN9 CMBX-BBB--410332
        000000000
        
          
        
        583452.42000000
        OU
        Notional Amount
        USD
        -142080.39000000
        -0.01666917058
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -63244.84000000
            USD
            583452.42000000
            USD
            -78835.55000000
          
        
        
          N
          N
          N
        
      
      
        Mission Lane Credit Card Master Trust
        N/A
        Mission Lane Credit Card Master Trust
        60510MAB4
        
          
        
        400000.00000000
        PA
        USD
        390979.80000000
        0.045870573562
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK Inc
        2T3D6M0JSY48PSZI1Q41
        ONEOK Inc
        682680AW3
        
          
        
        1012000.00000000
        PA
        USD
        1033241.88000000
        0.121222113429
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK Inc
        2T3D6M0JSY48PSZI1Q41
        ONEOK Inc
        682680AS2
        
          
        
        1720000.00000000
        PA
        USD
        1730767.20000000
        0.203057253000
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-13
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-CCRE25 Mortgage Trust
        12593PAW2
        
          
        
        999000.00000000
        PA
        USD
        1012732.45000000
        0.118815903907
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-08-10
          Fixed
          3.75900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA ASAHAN ALUMINI
        2549008P48EB9SN2OI80
        Indonesia Asahan Aluminium Persero PT
        74445PAE2
        
          
        
        591000.00000000
        PA
        USD
        603623.76000000
        0.070818410790
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2025-05-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALIBABA GROUP HOLDING
        5493001NTNQJDH60PM02
        Alibaba Group Holding Ltd
        01609WAX0
        
          
        
        1972000.00000000
        PA
        USD
        1713076.40000000
        0.200981731086
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2031-02-09
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAD Auto Receivables Trust
        N/A
        LAD Auto Receivables Trust 2021-1
        501683AA4
        
          
        
        1300959.99000000
        PA
        USD
        1274879.51000000
        0.149571549083
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-08-17
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAA9
        
          
        
        318000.00000000
        PA
        USD
        301212.78000000
        0.035338917721
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2020-1 Ltd
        43731WAB1
        
          
        
        449251.36000000
        PA
        USD
        449559.14000000
        0.052743225102
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2030-10-25
          Floating
          3.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neighborly Issuer LLC
        N/A
        Neighborly Issuer LLC
        64016NAA5
        
          
        
        773138.65000000
        PA
        USD
        725574.39000000
        0.085125915536
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-04-30
          Fixed
          3.58400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJGA0
        
          
        
        1311333.47000000
        PA
        USD
        1303573.26000000
        0.152937960264
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RT7
        
          
        
        2376900.00000000
        PA
        USD
        2227229.58000000
        0.261303265000
        Long
        DBT
        UST
        US
        N
        
        2
        
          2046-08-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRUST
        N/A
        WFRBS Commercial Mortgage Trust 2014-C24
        92939KAG3
        
          
        
        355700.00000000
        PA
        USD
        355012.18000000
        0.041650776633
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-11-15
          Fixed
          3.93100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FTV38
        
          
        
        5509909.65000000
        PA
        USD
        778278.04000000
        0.091309218751
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          5.64300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Credit Auto Owner Trust/Ford Credit
        N/A
        Ford Credit Auto Owner Trust 2021-REV1
        345340AD5
        
          
        
        1390000.00000000
        PA
        USD
        1295234.94000000
        0.151959691001
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-10-17
          Fixed
          2.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XBF0
        
          
        
        144690.33000000
        PA
        USD
        154771.74000000
        0.018158146495
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-25
          Floating
          6.15700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AU2
        
          
        
        2591000.00000000
        PA
        USD
        2331226.34000000
        0.273504383907
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2032-05-14
          Fixed
          3.09100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade RE 2021-3 Ltd
        078777AA7
        
          
        
        1893917.00000000
        PA
        USD
        1866582.29000000
        0.218991365393
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2031-09-25
          Floating
          1.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DBWF Mortgage Trust
        N/A
        DBWF 2018-GLKS Mortgage Trust
        23307GAA4
        
          
        
        1271805.00000000
        PA
        USD
        1259870.25000000
        0.147810631090
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-12-19
          Floating
          1.47900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EHUP5
        
          
        
        397601.10000000
        PA
        USD
        406107.86000000
        0.047645429422
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCS8
        
          
        
        5357900.00000000
        PA
        USD
        4872340.31000000
        0.571633226601
        Long
        DBT
        UST
        US
        N
        
        2
        
          2031-08-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atalaya Equipment Leasing Fund I LP
        N/A
        Atalaya Equipment Leasing Trust 21-1
        046497AA1
        
          
        
        443519.99000000
        PA
        USD
        443031.01000000
        0.051977331142
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          0.32600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6
        46634SAM7
        
          
        
        712127.00000000
        PA
        USD
        498488.90000000
        0.058483767594
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-15
          Variable
          5.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1S4L0   CDS USD R F  3.00000 IS1S4L0 CMBX / Short: IS1S4L0   CDS USD P V 01MEVENT IS1S4M1 CMBX
        000000000
        
          
        
        33476.78000000
        OU
        Notional Amount
        USD
        -8152.15000000
        -0.00095642740
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -3825.62000000
            USD
            33476.78000000
            USD
            -4326.53000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QX9
        
          
        
        190000.00000000
        PA
        USD
        193384.38000000
        0.022688262740
        Long
        DBT
        UST
        US
        N
        
        2
        
          2042-08-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHF Trust 2021-2
        N/A
        FHF Trust 2021-2
        30322JAA4
        
          
        
        794104.55000000
        PA
        USD
        772365.70000000
        0.090615570571
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          0.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES/SKYMILES
        N/A
        Delta Air Lines Inc / SkyMiles IP Ltd
        830867AA5
        
          
        
        818806.00000000
        PA
        USD
        824627.71000000
        0.096747059651
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P7W3   CDS USD R F  3.00000 IS1P7W3 CMBX / Short: IS1P7W3   CDS USD P V 01MEVENT IS1P7X4 CMBX
        000000000
        
          
        
        47823.97000000
        OU
        Notional Amount
        USD
        -11645.93000000
        -0.00136632503
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -5750.17000000
            USD
            47823.97000000
            USD
            -5895.76000000
          
        
        
          N
          N
          N
        
      
      
        Carvana Auto Receivables Trust
        N/A
        Carvana Auto Receivables Trust 2021-N4
        14687HAE3
        
          
        
        793000.00000000
        PA
        USD
        761081.35000000
        0.089291666863
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-09-11
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ODEBRECHT HOLDCO FIN LTD
        N/A
        Odebrecht Holdco Finance Ltd
        67577TAA6
        
          
        
        416511.00000000
        PA
        USD
        2499.07000000
        0.000293196155
        Long
        DBT
        CORP
        KY
        N
        
        2
        
          2058-09-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAJ0
        
          
        
        429000.00000000
        PA
        USD
        429532.53000000
        0.050393661040
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAIDU INC
        254900AL64IANZYI1E02
        Baidu Inc
        056752AR9
        
          
        
        203000.00000000
        PA
        USD
        194725.72000000
        0.022845631574
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-04-07
          Fixed
          3.42500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1PAM4   CDS USD R F  3.00000 IS1PAM4 CMBX / Short: IS1PAM4   CDS USD P V 01MEVENT IS1PAN5 CMBX
        000000000
        
          
        
        9564.79000000
        OU
        Notional Amount
        USD
        -2329.19000000
        -0.00027326547
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -1167.33000000
            USD
            9564.79000000
            USD
            -1161.86000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        20753XAB0
        
          
        
        1544519.00000000
        PA
        USD
        1559783.19000000
        0.182997048845
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          3.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385XJW8
        
          
        
        248374.08000000
        PA
        USD
        266499.77000000
        0.031266314280
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMBRAER NETHERLANDS FINA
        724500PBR8LR26XBSP67
        Embraer Netherlands Finance BV
        29082HAB8
        
          
        
        1025000.00000000
        PA
        USD
        1026921.88000000
        0.120480637718
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-02-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SB71
        
          
        
        584254.30000000
        PA
        USD
        585359.59000000
        0.068675619900
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-05-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISH DBS CORP
        N/A
        DISH DBS Corp
        25470XBF1
        
          
        
        996000.00000000
        PA
        USD
        945572.52000000
        0.110936559477
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8
        46638UAH9
        
          
        
        1896643.00000000
        PA
        USD
        1899072.98000000
        0.222803241572
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-15
          Fixed
          3.42400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENCENT HOLDINGS LTD
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032XAU8
        
          
        
        1050000.00000000
        PA
        USD
        930431.25000000
        0.109160153792
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-06-03
          Fixed
          2.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SU3
        
          
        
        6050200.00000000
        PA
        USD
        5290143.63000000
        0.620650792022
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-02-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1I2V6   CDS USD R F  3.00000 IS1I2V6 CMBX / Short: IS1I2V6   CDS USD P V 01MEVENT IS1I2W7 CMBX
        000000000
        
          
        
        310855.80000000
        OU
        Notional Amount
        USD
        -75698.57000000
        -0.00888111565
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -45283.84000000
            USD
            310855.80000000
            USD
            -30414.73000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAK7
        
          
        
        1131000.00000000
        PA
        USD
        1040644.41000000
        0.122090593838
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CEMEX SAB DE CV
        549300RIG2CXWN6IV731
        Cemex SAB de CV
        151290BZ5
        
          
        
        1525000.00000000
        PA
        USD
        1393468.75000000
        0.163484688476
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-07-11
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genworth Mortgage Insurance Corporation
        N/A
        Triangle Re 2021-3 Ltd
        89600HAA7
        
          
        
        1282204.00000000
        PA
        USD
        1275022.76000000
        0.149588355475
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2034-02-25
          Floating
          1.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ACD5
        
          
        
        171000.00000000
        PA
        USD
        162750.96000000
        0.019094285390
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        20754KAB7
        
          
        
        1070622.00000000
        PA
        USD
        1021218.15000000
        0.119811464102
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-25
          Floating
          2.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XDK7
        
          
        
        1212179.80000000
        PA
        USD
        1258632.47000000
        0.147665412133
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-25
          Floating
          4.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MT LOGAN RE LTD
        N/A
        MT LOGAN RE LTD
        000000000
        
          
        
        2267.00000000
        NS
        USD
        2081462.60000000
        0.244201575913
        Long
        EC
        CORP
        BM
        Y
        
        3
        
          N
          N
          N
        
      
      
        HFX FUNDING ISSUER
        N/A
        HFX FUNDING ISSUER
        40422GAE0
        
          
        
        1690000.00000000
        PA
        USD
        1639067.12000000
        0.192298806489
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-15
          Variable
          3.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN TREASURY DISC BILL
        353800WZS8AXZXFUC241
        Japan Treasury Discount Bill
        000000000
        
          
        
        1918150000.00000000
        PA
        
        15758798.14000000
        1.848855386732
        Long
        STIV
        NUSS
        JP
        N
        
        2
        
          2022-06-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS NC
        N/A
        Duke Energy Carolinas NC Storm Funding LLC
        26443KAB1
        
          
        
        920000.00000000
        PA
        USD
        817613.20000000
        0.095924102565
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-07-01
          Fixed
          2.61700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOX CORP
        549300DDU6FDRBIELS05
        Fox Corp
        35137LAH8
        
          
        
        700000.00000000
        PA
        USD
        746816.00000000
        0.087618025958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-25
          Fixed
          4.70900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A2N58
        
          
        
        896656.99000000
        PA
        USD
        149987.22000000
        0.017596816532
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          6.08300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RC4
        
          
        
        1943400.00000000
        PA
        USD
        2257684.22000000
        0.264876267504
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-08-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132Y3ZL1
        
          
        
        1160263.87000000
        PA
        USD
        1221135.03000000
        0.143266133501
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMMER BC HOLDCO B SARL
        984500NRF59D5DB9B654
        Summer BC Holdco B SARL
        000000000
        
          
        
        540000.00000000
        PA
        
        606000.96000000
        0.071097308900
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2026-10-31
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Issuance Trust
        5493008SHVCX2Y068L12
        Chase Issuance Trust
        161571FQ2
        
          
        
        200000.00000000
        PA
        USD
        200695.20000000
        0.023545983539
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417VPC1
        
          
        
        12518.10000000
        PA
        USD
        13429.88000000
        0.001575621805
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carvana Auto Receivables Trust
        N/A
        Carvana Auto Receivables Trust 2021-N3
        14687GAD7
        
          
        
        905000.00000000
        PA
        USD
        874548.29000000
        0.102603847232
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-06-12
          Fixed
          1.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FPL72
        
          
        
        383295.56000000
        PA
        USD
        381147.07000000
        0.044716976970
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2P8
        
          
        
        1587000.00000000
        PA
        USD
        1450454.52000000
        0.170170379028
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2032-04-19
          Fixed
          2.87100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505EL4
        
          
        
        524000.00000000
        PA
        USD
        550503.92000000
        0.064586279287
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-23
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L Street Securities
        549300T6W1U156OOG754
        Wells Fargo Credit Risk Transfer Securities Trust 2015
        949771AC3
        
          
        
        208242.14000000
        PA
        USD
        194510.78000000
        0.022820414360
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-11-25
          Floating
          5.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDK4
        
          
        
        21786900.00000000
        PA
        USD
        20639683.55000000
        2.421491142462
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-11-30
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XEP5
        
          
        
        692719.11000000
        PA
        USD
        705160.14000000
        0.082730872733
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-07-25
          Floating
          4.00700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re Ltd
        N/A
        Eagle RE 2021-2 Ltd
        26982AAB0
        
          
        
        649959.00000000
        PA
        USD
        640276.04000000
        0.075118533471
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2034-04-25
          Floating
          2.14900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARNIVAL CORP
        F1OF2ZSX47CR0BCWA982
        Carnival Corp
        143658BQ4
        
          
        
        1545000.00000000
        PA
        USD
        1440125.40000000
        0.168958544916
        Long
        DBT
        CORP
        PA
        
        N
        
        2
        
          2028-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA4
        35564KNS4
        
          
        
        1530017.00000000
        PA
        USD
        1438001.93000000
        0.168709414943
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          2.44900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANGLO AMERICAN CAPITAL
        TINT358G1SSHR3L3PW36
        Anglo American Capital PLC
        034863BB5
        
          
        
        403000.00000000
        PA
        USD
        402179.90000000
        0.047184592882
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2029-03-16
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS1BZK5   CDS USD R F  3.00000 IS1BZK5 CMBX-BBB--408197 / Short: IS1BZK5   CDS USD P V 00MEVENT IS1BZL6 CMBX-BBB--408197
        000000000
        
          
        
        43041.56000000
        OU
        Notional Amount
        USD
        -10481.33000000
        -0.00122969170
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -3723.05000000
            USD
            43041.56000000
            USD
            -6758.28000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BS1YET6   IRS USD R V 03MLIBOR IS1YEU7 CCPVANILLA / Short: BS1YET6   IRS USD P F  1.76350 IS1YET6 CCPVANILLA
        000000000
        
          
        
        4950000.00000000
        OU
        Notional Amount
        USD
        209544.83000000
        0.024584240769
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2029-12-13
            0.00000000
            USD
            0.00000000
            USD
            4950000.00000000
            USD
            209544.83000000
          
        
        
          N
          N
          N
        
      
      
        ZF FINANCE GMBH
        5493001N9T6QDCCXB426
        ZF Finance GmbH
        000000000
        
          
        
        400000.00000000
        PA
        
        420056.31000000
        0.049281890952
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2028-09-21
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Affirm Inc
        N/A
        Affirm Asset Securitization Trust 2021-Z1
        00834CAA3
        
          
        
        632497.65000000
        PA
        USD
        622358.33000000
        0.073016389998
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          1.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN22
        000000000
        
          
        
        55.00000000
        NC
        USD
        -334956.95000000
        -0.03929785481
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNM2 COMDTY
              
            
            2022-06-21
            10076831.95000000
            USD
            -334956.95000000
          
        
        
          N
          N
          N
        
      
      
        CIM TRUST
        N/A
        CIM Trust 2021-INV1
        12566PAB1
        
          
        
        1728815.95000000
        PA
        USD
        1600258.60000000
        0.187745709189
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-07-01
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371K3A7
        
          
        
        128626.74000000
        PA
        USD
        138074.48000000
        0.016199188786
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        25111.47000000
        0.002946130546
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            635993.11000000
            USD
            883225.50000000
            AUD
            2022-04-28
            25111.47000000
          
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAL7
        
          
        
        1826000.00000000
        PA
        USD
        1836280.38000000
        0.215436281495
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          4.27900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        2549009SOTYJD2MZFC61
        Bellemeade Re 2018-3 Ltd
        07877TAB7
        
          
        
        474777.63000000
        PA
        USD
        473208.58000000
        0.055517827210
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2028-10-25
          Floating
          2.30700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AUZQ7
        
          
        
        1547715.82000000
        PA
        USD
        241563.31000000
        0.028340716275
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-25
          Floating
          5.54300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re Ltd
        07876AAB9
        
          
        
        1891912.00000000
        PA
        USD
        1845816.13000000
        0.216555035767
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2031-06-25
          Floating
          1.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNICREDIT SPA
        549300TRUWO2CD2G5692
        UniCredit SpA
        904678AU3
        
          
        
        459000.00000000
        PA
        USD
        425447.10000000
        0.049914349788
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2026-09-22
          Fixed
          2.56900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397C27
        
          
        
        812000.00000000
        PA
        USD
        825552.28000000
        0.096855532150
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-28
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FLOWSERVE CORPORATION
        6Y0GK87T6V7NJKZJVM41
        Flowserve Corp
        34355JAB4
        
          
        
        1227000.00000000
        PA
        USD
        1088324.46000000
        0.127684517721
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: IS1GW43   CDS USD R F  3.00000 IS1GW43 CMBX / Short: IS1GW43   CDS USD P V 01MEVENT IS1GW54 CMBX
        000000000
        
          
        
        1147775.24000000
        OU
        Notional Amount
        USD
        -279502.40000000
        -0.03279181021
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -144888.86000000
            USD
            1147775.24000000
            USD
            -134613.54000000
          
        
        
          N
          N
          N
        
      
      
        ONEOK INC
        2T3D6M0JSY48PSZI1Q41
        ONEOK Inc
        682680BE2
        
          
        
        263000.00000000
        PA
        USD
        304485.62000000
        0.035722894202
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BOBL FUTURE JUN22
        000000000
        
          
        
        255.00000000
        NC
        
        178942.09000000
        0.020993862861
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                EUX 5 Year Euro BOBL Future
                OEM2 COMDTY
              
            
            2022-06-08
            32697544.40000000
            EUR
            178942.09000000
          
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280DA4
        
          
        
        200000.00000000
        PA
        USD
        196140.00000000
        0.023011557882
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-10
          Fixed
          2.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAX3
        
          
        
        1320000.00000000
        PA
        USD
        1193148.00000000
        0.139982636199
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2032-01-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2T0
        
          
        
        751000.00000000
        PA
        USD
        706683.49000000
        0.082909595363
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-01-20
          Fixed
          2.59100000
          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
        
          
        
        47823.97000000
        OU
        Notional Amount
        USD
        -11645.93000000
        -0.00136632503
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -5939.53000000
            USD
            47823.97000000
            USD
            -5706.40000000
          
        
        
          N
          N
          N
        
      
      
        Rad CLO Ltd
        N/A
        Rad CLO 11 Ltd
        48662NAG2
        
          
        
        950000.00000000
        PA
        USD
        924443.10000000
        0.108457611423
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-15
          Floating
          3.14100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        22546DAB2
        
          
        
        553000.00000000
        PA
        USD
        573002.01000000
        0.067225802588
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-12-11
          Fixed
          7.50000000
          N
          N
          N
          N
          Y
          
            
              Credit Suisse Group AG
              Credit Suisse Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AXZN8
        
          
        
        1972838.44000000
        PA
        USD
        348971.25000000
        0.040942042003
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-09-25
          Floating
          5.69300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        549300KSCKXTOBY0IP86
        Voya CLO 2019-1 Ltd
        92917NAS7
        
          
        
        480000.00000000
        PA
        USD
        459076.80000000
        0.053859857018
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          3.09100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS1BYG4   CDS USD R F  3.00000 IS1BYG4 CMBX-BBB--407892 / Short: IS1BYG4   CDS USD P V 00MEVENT IS1BYH5 CMBX-BBB--407892
        000000000
        
          
        
        256336.47000000
        OU
        Notional Amount
        USD
        -62422.20000000
        -0.00732350396
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -20991.01000000
            USD
            256336.47000000
            USD
            -41431.19000000
          
        
        
          N
          N
          N
        
      
      
        GSF 2021 1 ISSUER LLC
        N/A
        GSF 2021 1 ISSUER LLC
        36261CAE1
        
          
        
        59000.00000000
        PA
        USD
        56970.13000000
        0.006683855634
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2026-08-15
          Variable
          2.63800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAL5
        
          
        
        1113000.00000000
        PA
        USD
        1129205.28000000
        0.132480741621
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-15
          Fixed
          4.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS1PCY0   CDS USD R F  3.00000 IS1PCY0 CMBX / Short: IS1PCY0   CDS USD P V 01MEVENT IS1PCZ1 CMBX
        000000000
        
          
        
        157819.11000000
        OU
        Notional Amount
        USD
        -38431.58000000
        -0.00450887390
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -18555.23000000
            USD
            157819.11000000
            USD
            -19876.35000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411KKA0
        
          
        
        658.02000000
        PA
        USD
        677.57000000
        0.000079493939
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Floating
          2.14800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: IS1P8O2   CDS USD R F  3.00000 IS1P8O2 CMBX / Short: IS1P8O2   CDS USD P V 01MEVENT IS1P8P3 CMBX
        000000000
        
          
        
        131994.15000000
        OU
        Notional Amount
        USD
        -32142.77000000
        -0.00377105747
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -15962.07000000
            USD
            131994.15000000
            USD
            -16180.70000000
          
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAA6
        
          
        
        639000.00000000
        PA
        USD
        563118.75000000
        0.066066277710
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-21
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61746BDQ6
        
          
        
        335000.00000000
        PA
        USD
        341810.55000000
        0.040101933598
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-29
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LSTAR Commercial Mortgage Trust
        N/A
        LSTAR Commercial Mortgage Trust 2016-4
        50219QAC8
        
          
        
        929461.69000000
        PA
        USD
        927286.28000000
        0.108791179288
        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
        
          
        
        371113.99000000
        OU
        Notional Amount
        USD
        -90372.44000000
        -0.01060268499
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -20945.21000000
            USD
            371113.99000000
            USD
            -69427.23000000
          
        
        
          N
          N
          N
        
      
      
        CPS Auto Trust
        N/A
        CPS Auto Receivables Trust 2022-A
        12659WAE8
        
          
        
        1373000.00000000
        PA
        USD
        1321541.61000000
        0.155046044928
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-04-16
          Fixed
          2.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XCE3
        
          
        
        1479000.00000000
        PA
        USD
        1349676.24000000
        0.158346858973
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-25
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABS3
        
          
        
        291000.00000000
        PA
        USD
        265726.65000000
        0.031175610213
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KIMBERLY-CLARK DE MEXICO
        549300JGHL56QT00KT54
        Kimberly-Clark de Mexico SAB de CV
        494386AD7
        
          
        
        469000.00000000
        PA
        USD
        424093.25000000
        0.049755513255
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-07-01
          Fixed
          2.43100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19
        61764PAN2
        
          
        
        603432.00000000
        PA
        USD
        551698.27000000
        0.064726402945
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-12-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967GD7
        
          
        
        481000.00000000
        PA
        USD
        486165.94000000
        0.057038011974
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-30
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2017-SCH
        054966AA4
        
          
        
        2435000.00000000
        PA
        USD
        2370350.26000000
        0.278094484599
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-11-15
          Floating
          1.39700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        254900JBDDKUTX6TX151
        Radnor RE 2019-1 Ltd
        75049SAB9
        
          
        
        908875.57000000
        PA
        USD
        910084.37000000
        0.106773014979
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-02-25
          Floating
          2.40700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513CA1
        
          
        
        209000.00000000
        PA
        USD
        201189.67000000
        0.023603995801
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-03
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US Bancorp
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        902973AZ9
        
          
        
        723000.00000000
        PA
        USD
        715300.05000000
        0.083920508329
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUMEN TECHNOLOGIES INC
        8M3THTGWLTYZVE6BBY25
        Lumen Technologies Inc
        156700BD7
        
          
        
        1045000.00000000
        PA
        USD
        899316.55000000
        0.105509711659
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XBD5
        
          
        
        3637.76000000
        PA
        USD
        3637.76000000
        0.000426789664
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-25
          Floating
          5.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Petroleum Corp
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585AAF9
        
          
        
        415000.00000000
        PA
        USD
        511026.85000000
        0.059954746294
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-03-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA5
        35566AAH2
        
          
        
        876856.68000000
        PA
        USD
        878526.39000000
        0.103070566302
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Floating
          2.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        949746TD3
        
          
        
        635000.00000000
        PA
        USD
        606075.75000000
        0.071106083420
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RP5
        
          
        
        363300.00000000
        PA
        USD
        388276.88000000
        0.045553461295
        Long
        DBT
        UST
        US
        N
        
        2
        
          2045-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corporation
        N/A
        JPMorgan Chase Bank NA - CHASE
        46591HAC4
        
          
        
        239288.21000000
        PA
        USD
        238847.63000000
        0.028022106978
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-25
          Floating
          2.55700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1C6B6   CDS USD R F  3.00000 IS1C6B6 CMBX-BBB--409425 / Short: IS1C6B6   CDS USD P V 00MEVENT IS1C6C7 CMBX-BBB--409425
        000000000
        
          
        
        265901.26000000
        OU
        Notional Amount
        USD
        -64751.39000000
        -0.00759676944
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -31752.68000000
            USD
            265901.26000000
            USD
            -32998.71000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137F6JL2
        
          
        
        4748165.12000000
        PA
        USD
        853392.47000000
        0.100121801874
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALFA S.A.
        549300ZCGJ6T8YDJ4M34
        Alfa SAB de CV
        015398AB6
        
          
        
        915000.00000000
        PA
        USD
        935358.75000000
        0.109738258470
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2024-03-25
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        S&P GLOBAL INC
        Y6X4K52KMJMZE7I7MY94
        S&P Global Inc
        78409VAY0
        
          
        
        83000.00000000
        PA
        USD
        89161.09000000
        0.010460566857
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-HQA1
        35564KTB5
        
          
        
        398982.00000000
        PA
        USD
        406224.80000000
        0.047659149069
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORGANON & CO/ORG
        N/A
        Organon & Co / Organon Foreign Debt Co-Issuer BV
        000000000
        
          
        
        320000.00000000
        PA
        
        337492.91000000
        0.039595378980
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-30
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADIENT GLOBAL HOLDINGS
        213800VA38VCKE6M8790
        Adient Global Holdings Ltd
        000000000
        
          
        
        540000.00000000
        PA
        
        586992.49000000
        0.068867195167
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2024-08-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAF6
        
          
        
        200000.00000000
        PA
        USD
        193142.00000000
        0.022659826208
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2030-05-28
          Fixed
          3.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810FF0
        
          
        
        2645000.00000000
        PA
        USD
        3100435.94000000
        0.363749674179
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-11-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENGIZCHEVROIL FIN CO IN
        5493001VEV2XTJIBZH31
        Tengizchevroil Finance Co International Ltd
        88034QAC1
        
          
        
        415000.00000000
        PA
        USD
        334905.00000000
        0.039291759929
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2030-08-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-24CB
        02146TAR8
        
          
        
        398176.72000000
        PA
        USD
        286459.60000000
        0.033608043572
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Investors Auto Owner Trust
        N/A
        First Investors Auto Owner Trust 2020-1
        32060KAA3
        
          
        
        21809.23000000
        PA
        USD
        21809.22000000
        0.002558703621
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          1.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796G45
        
          
        
        1795000.00000000
        PA
        USD
        1794850.42000000
        0.210575631334
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-04-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAJUN GLOBAL LLC
        N/A
        Cajun Global LLC
        12803VAA3
        
          
        
        443331.25000000
        PA
        USD
        418966.65000000
        0.049154049746
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-11-20
          Fixed
          3.93100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST
        N/A
        PMT Credit Risk Transfer Trust 2020-1R
        730151AA5
        
          
        
        301425.17000000
        PA
        USD
        300266.49000000
        0.035227896985
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-02-27
          Floating
          2.79500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FHP35
        
          
        
        499820.53000000
        PA
        USD
        496862.69000000
        0.058292977212
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pikes Peak CLO
        549300NJA5BS4BQQJL72
        Pikes Peak CLO 8
        72133CAA0
        
          
        
        1906547.00000000
        PA
        USD
        1895717.81000000
        0.222409605961
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          1.42400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCANADA PIPELINES
        5BV01I6231JPDAPMGH09
        TransCanada PipeLines Ltd
        893526DJ9
        
          
        
        1356000.00000000
        PA
        USD
        1665818.88000000
        0.195437379313
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2040-06-01
          Fixed
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: IS1C069   CDS USD R F  3.00000 IS1C069 CMBX-BBB--408481 / Short: IS1C069   CDS USD P V 00MEVENT IS1C070 CMBX-BBB--408481
        000000000
        
          
        
        43041.56000000
        OU
        Notional Amount
        USD
        -10481.33000000
        -0.00122969170
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -4028.79000000
            USD
            43041.56000000
            USD
            -6452.54000000
          
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        N/A
        New Residential Mortgage Loan Trust 2021-INV1
        64829WAB0
        
          
        
        2154436.90000000
        PA
        USD
        1998888.71000000
        0.234513833233
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-06-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        8521.15000000
        0.000999719264
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            227602.17000000
            EUR
            260611.77000000
            USD
            2022-05-12
            8521.15000000
          
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CY3
        
          
        
        2242000.00000000
        PA
        USD
        2343898.90000000
        0.274991155335
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-16
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NH HOTEL GROUP SA
        959800LM1RW3PKJ4A296
        NH Hotel Group SA
        000000000
        
          
        
        190000.00000000
        PA
        
        205056.78000000
        0.024057693291
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2026-07-02
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        80413TAS8
        
          
        
        1022000.00000000
        PA
        USD
        1028356.84000000
        0.120648990248
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2025-10-22
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYNCHRONY FINANCIAL
        549300RS7EWPM9MA6C78
        Synchrony Financial
        87165BAR4
        
          
        
        1255000.00000000
        PA
        USD
        1115243.20000000
        0.130842680991
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-10-28
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intesa Sanpaolo SpA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        46115HAT4
        
          
        
        757000.00000000
        PA
        USD
        763994.68000000
        0.089633464874
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2024-06-26
          Fixed
          5.01700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Alt-A Securities INC Mortgage Loan Trust
        N/A
        Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4
        25150PAB5
        
          
        
        895453.58000000
        PA
        USD
        402814.69000000
        0.047259067782
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.83700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WENA3
        
          
        
        593763.53000000
        PA
        USD
        590547.05000000
        0.069284223632
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XDS0
        
          
        
        275668.97000000
        PA
        USD
        287742.72000000
        0.033758581913
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-04-25
          Floating
          4.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBD4
        
          
        
        1204000.00000000
        PA
        USD
        1264428.76000000
        0.148345445083
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-14
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASS MUTUAL LIFE INS CO
        R6ZXK5P01NP6HXSY1S07
        Massachusetts Mutual Life Insurance Co
        575767AN8
        
          
        
        11000.00000000
        PA
        USD
        9721.69000000
        0.001140569145
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2070-10-15
          Fixed
          3.72900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKA6
        
          
        
        924000.00000000
        PA
        USD
        822313.80000000
        0.096475586856
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-07-21
          Fixed
          2.29900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RM2
        
          
        
        128500.00000000
        PA
        USD
        136772.19000000
        0.016046401381
        Long
        DBT
        UST
        US
        N
        
        2
        
          2045-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAB8
        
          
        
        845000.00000000
        PA
        USD
        803468.25000000
        0.094264587240
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NY MELLON CORP
        WFLLPEPC7FZXENRZV188
        Bank of New York Mellon Corp/The
        064058AH3
        
          
        
        392000.00000000
        PA
        USD
        402148.88000000
        0.047180953550
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-20
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAIDU INC
        254900AL64IANZYI1E02
        Baidu Inc
        056752AV0
        
          
        
        719000.00000000
        PA
        USD
        646007.12000000
        0.075790915847
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-02-23
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BX6
        
          
        
        220000.00000000
        PA
        USD
        223080.00000000
        0.026172215419
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-09-12
          Fixed
          4.29200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AC5
        
          
        
        2084000.00000000
        PA
        USD
        2054865.68000000
        0.241081169244
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2027-09-17
          Fixed
          4.34500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAL9
        
          
        
        351000.00000000
        PA
        USD
        354183.57000000
        0.041553562363
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2026-04-03
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAS0
        
          
        
        128000.00000000
        PA
        USD
        126225.92000000
        0.014809090773
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2026-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0QG7
        
          
        
        1319995.00000000
        PA
        USD
        1345842.09000000
        0.157897028420
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-12-25
          Floating
          3.10700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVERSIONES CMPC CI
        549300G475ACIABB4385
        Inversiones CMPC SA/Cayman Islands Branch
        000000000
        
          
        
        322000.00000000
        PA
        USD
        326387.25000000
        0.038292439560
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2023-05-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADVANCE AUTO PARTS
        529900UCNQ5H9FSL0Y70
        Advance Auto Parts Inc
        00751YAG1
        
          
        
        1186000.00000000
        PA
        USD
        1140576.20000000
        0.133814801903
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-J1
        12668BKK8
        
          
        
        175559.51000000
        PA
        USD
        150915.26000000
        0.017705696139
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B0DZ6
        
          
        
        1438982.01000000
        PA
        USD
        252030.50000000
        0.029568749050
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-25
          Floating
          5.74300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RAS8
        
          
        
        100000.00000000
        PA
        USD
        100581.00000000
        0.011800374749
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMISION FEDERAL DE ELEC
        4469000001BFPONMPF32
        Comision Federal de Electricidad
        200447AL4
        
          
        
        478000.00000000
        PA
        USD
        471666.50000000
        0.055336907137
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2029-05-15
          Fixed
          4.68800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS
        L2Z2MO2EQURH3BREWI15
        Discovery Communications LLC
        25470DAT6
        
          
        
        509000.00000000
        PA
        USD
        529074.96000000
        0.062072188569
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-09-20
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port Authority of New York & New Jersey
        54930006MR4KZ4W74Z83
        PORT AUTH OF NEW YORK & NEW JERSEY NY
        73358W4V3
        
          
        
        1000000.00000000
        PA
        USD
        988101.00000000
        0.115926090318
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-07-01
          Fixed
          1.08600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FPWG0
        
          
        
        13372.78000000
        PA
        USD
        13293.64000000
        0.001559637841
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300LCOEVXWN75LP18
        Neuberger Berman Loan Advisers Clo 43 Ltd
        64134AAA0
        
          
        
        1729056.00000000
        PA
        USD
        1718332.39000000
        0.201598374902
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-07-17
          Floating
          1.37100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hardee's Funding LLC and Carls' Jr Funding LLC
        N/A
        Hardee's Funding LLC
        411707AH5
        
          
        
        483483.95000000
        PA
        USD
        468704.81000000
        0.054989435428
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-12-20
          Fixed
          3.98100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402C4G4
        
          
        
        50207.70000000
        PA
        USD
        54023.25000000
        0.006338121466
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOST HOTELS & RESORTS LP
        FXB7X4WXVA8QPMNOGS12
        Host Hotels & Resorts LP
        44107TAZ9
        
          
        
        298000.00000000
        PA
        USD
        283865.86000000
        0.033303740533
        Long
        DBT
        
        US
        N
        
        2
        
          2030-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAQ5
        
          
        
        702000.00000000
        PA
        USD
        623888.46000000
        0.073195908072
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRF GMBH
        5299002S6DY5RA2IOQ11
        BRF GmbH
        000000000
        
          
        
        525000.00000000
        PA
        USD
        511153.13000000
        0.059969561729
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2026-09-29
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDJ7
        
          
        
        17368800.00000000
        PA
        USD
        15941301.75000000
        1.870267094620
        Long
        DBT
        UST
        US
        N
        
        2
        
          2031-11-15
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828XR6
        
          
        
        3719000.00000000
        PA
        USD
        3727135.31000000
        0.437275364133
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-05-31
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNICREDIT SPA
        549300TRUWO2CD2G5692
        UniCredit SpA
        904678AY5
        
          
        
        484000.00000000
        PA
        USD
        426239.44000000
        0.050007308785
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2032-06-03
          Fixed
          3.12700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRASKEM NETHERLANDS
        2549000TLMHFQ74DS330
        Braskem Netherlands Finance BV
        10554TAD7
        
          
        
        500000.00000000
        PA
        USD
        484187.50000000
        0.056805897227
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-31
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DE CREDITO DEL PER
        549300EQYQ8SCQZ4BY14
        Banco de Credito del Peru S.A.
        05971U2C0
        
          
        
        1447000.00000000
        PA
        USD
        1354392.00000000
        0.158900121868
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2030-07-01
          Fixed
          3.12500000
          N
          N
          N
          N
          Y
          
            
              Banco de Credito del Peru
              Banco de Credito del Peru
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEL5
        
          
        
        812000.00000000
        PA
        USD
        760860.24000000
        0.089265725772
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-01-21
          Fixed
          2.94300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828Z94
        
          
        
        10851000.00000000
        PA
        USD
        10181289.84000000
        1.194490366418
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-02-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Commercial Mortgage Trust
        N/A
        Banc of America Commercial Mortgage Trust 2015-UBS7
        06054ABB4
        
          
        
        211000.00000000
        PA
        USD
        210673.48000000
        0.024716656364
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-15
          Variable
          3.98900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCP CLO Ltd
        254900MN6N176YEZLX15
        OCP CLO 2020-18 Ltd
        671078AN3
        
          
        
        1954000.00000000
        PA
        USD
        1928590.18000000
        0.226266261640
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-20
          Floating
          1.34400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022642
        
          
        
        18727000.00000000
        PA
        USD
        17881359.84000000
        2.097878795615
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cencosud SA
        549300NLTGCFV7482429
        Cencosud SA
        000000000
        
          
        
        1704000.00000000
        PA
        USD
        1767900.00000000
        0.207413751300
        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
        
          
        
        309899.31000000
        OU
        Notional Amount
        USD
        -75465.65000000
        -0.00885378899
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -24321.86000000
            USD
            309899.31000000
            USD
            -51143.79000000
          
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        N/A
        Madison Park Funding LI Ltd
        55821GAL9
        
          
        
        888814.00000000
        PA
        USD
        872164.74000000
        0.102324204126
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-19
          Floating
          3.29800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AJ7
        
          
        
        1617000.00000000
        PA
        USD
        1638101.85000000
        0.192185558979
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-07-17
          Fixed
          7.50000000
          N
          N
          N
          N
          Y
          
            
              Credit Suisse Group AG
              Credit Suisse Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        TENCENT HOLDINGS LTD
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032WAV8
        
          
        
        1022000.00000000
        PA
        USD
        798948.50000000
        0.093734320652
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2050-06-03
          Fixed
          3.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900K56RF3Z7VQ3U81
        Bellemeade Re 2019-1 Ltd
        07876RAB2
        
          
        
        781458.72000000
        PA
        USD
        781629.94000000
        0.091702470719
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-03-25
          Floating
          2.20700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MT LOGAN RE LTD
        N/A
        MT LOGAN RE LTD
        000000000
        
          
        
        358.51000000
        NS
        USD
        358250.08000000
        0.042030653881
        Long
        EP
        CORP
        BM
        N
        
        3
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJD88
        
          
        
        54699.87000000
        PA
        USD
        54376.17000000
        0.006379526783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-10-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FTUK5
        
          
        
        659009.18000000
        PA
        USD
        655109.30000000
        0.076858802774
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        226529.23000000
        0.026576886347
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            6096312.56000000
            EUR
            6978763.56000000
            USD
            2022-05-12
            226529.23000000
          
        
        
          N
          N
          N
        
      
      
        Prudential Financial Inc
        5PRBRS5FEH7NREC8OR45
        Prudential Financial Inc
        744320AM4
        
          
        
        289000.00000000
        PA
        USD
        292748.33000000
        0.034345850620
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-06-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSN RESOURCES SA
        222100ZEX458NMOXZP08
        CSN Resources SA
        12644VAD0
        
          
        
        293000.00000000
        PA
        USD
        266684.94000000
        0.031288038814
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2031-06-10
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1D987   CDS USD R F  3.00000 IS1D987 CMBX-BBB--413312 / Short: IS1D987   CDS USD P V 00MEVENT IS1D998 CMBX-BBB--413312
        000000000
        
          
        
        40172.13000000
        OU
        Notional Amount
        USD
        -9782.59000000
        -0.00114771406
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -5168.81000000
            USD
            40172.13000000
            USD
            -4613.78000000
          
        
        
          N
          N
          N
        
      
      
        Carvana Auto Receivables Trust
        N/A
        Carvana Auto Receivables Trust 2021-P4
        14687KAG1
        
          
        
        989000.00000000
        PA
        USD
        928745.97000000
        0.108962433193
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-09-11
          Fixed
          2.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FPL49
        
          
        
        136651.89000000
        PA
        USD
        135843.21000000
        0.015937411490
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128284N7
        
          
        
        2786000.00000000
        PA
        USD
        2853473.44000000
        0.334775513562
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-05-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brex Inc
        N/A
        Brex Commercial Charge Card Master Trust
        05601DAA1
        
          
        
        1021000.00000000
        PA
        USD
        1009446.26000000
        0.118430361175
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          2.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2012-CCRE3 Mortgage Trust
        12624PAU9
        
          
        
        888738.00000000
        PA
        USD
        526246.48000000
        0.061740345339
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-15
          Variable
          4.75200000
          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
        
          
        
        67910.03000000
        OU
        Notional Amount
        USD
        -16537.23000000
        -0.00194018265
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -8165.25000000
            USD
            67910.03000000
            USD
            -8371.98000000
          
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 78 CLO Ltd
        26253LAE2
        
          
        
        1260000.00000000
        PA
        USD
        1249815.42000000
        0.146630977258
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-17
          Floating
          2.19100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTINGHOUSE AIR BRAKE
        06BTX5UWZD0GQ5N5Y745
        Westinghouse Air Brake Technologies Corp
        960386AQ3
        
          
        
        270000.00000000
        PA
        USD
        265750.20000000
        0.031178373149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BCP Trust
        N/A
        BCP Trust 2021-330N
        05553BAA3
        
          
        
        368293.00000000
        PA
        USD
        360473.11000000
        0.042291464442
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          1.19600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMGEN INC
        62QBXGPJ34PQ72Z12S66
        Amgen Inc
        031162DE7
        
          
        
        978000.00000000
        PA
        USD
        969902.16000000
        0.113790964081
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-22
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BCF21
        
          
        
        7759209.51000000
        PA
        USD
        1408872.26000000
        0.165291860710
        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
        
          
        
        870000.00000000
        PA
        USD
        860239.82000000
        0.100925147397
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-08-15
          Floating
          1.54700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AV3
        
          
        
        1353000.00000000
        PA
        USD
        1203723.51000000
        0.141223377305
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-01
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN DIGITAL CORP
        549300QQXOOYEF89IC56
        Western Digital Corp
        958102AR6
        
          
        
        1444000.00000000
        PA
        USD
        1290733.84000000
        0.151431612469
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-01
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -309905.66000000
        -0.03635878471
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            23225350.03000000
            CAD
            18266390.37000000
            USD
            2022-04-22
            -309905.66000000
          
        
        
          N
          N
          N
        
      
      
        Invitation Homes Trust
        N/A
        Invitation Homes 2018-SFR3 Trust
        46187VAE9
        
          
        
        250188.16000000
        PA
        USD
        248865.06000000
        0.029197372963
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-07-17
          Floating
          1.74100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE LUFTHANSA AG
        529900PH63HYJ86ASW55
        Deutsche Lufthansa AG
        000000000
        
          
        
        200000.00000000
        PA
        
        212787.14000000
        0.024964635406
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-05-29
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816CS6
        
          
        
        982000.00000000
        PA
        USD
        954376.34000000
        0.111969442181
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-04
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBR5
        
          
        
        2706000.00000000
        PA
        USD
        2432748.12000000
        0.285415132947
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-03-25
          Fixed
          2.25900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SJ8
        
          
        
        15570000.00000000
        PA
        USD
        14818260.94000000
        1.738509581602
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-08-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254AA8
        
          
        
        400000.00000000
        PA
        USD
        345204.00000000
        0.040500060299
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-01-30
          Variable
          1.80900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020646
        
          
        
        3870000.00000000
        PA
        USD
        3593960.25000000
        0.421650985619
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WRKCo Inc
        549300JEB576INN13W07
        WRKCo Inc
        96145DAH8
        
          
        
        1732000.00000000
        PA
        USD
        1768112.20000000
        0.207438647051
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FINANCING SA
        549300DIYGW8HVDF7Q17
        Altice Financing SA
        000000000
        
          
        
        540000.00000000
        PA
        
        527398.38000000
        0.061875488673
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2028-01-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GCI Funding I LLC
        N/A
        GCI Funding I LLC
        36166VAE5
        
          
        
        688246.23000000
        PA
        USD
        641347.48000000
        0.075244237068
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2046-06-18
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOST HOTELS & RESORTS LP
        FXB7X4WXVA8QPMNOGS12
        Host Hotels & Resorts LP
        44107TBA3
        
          
        
        480000.00000000
        PA
        USD
        429811.20000000
        0.050426355191
        Long
        DBT
        
        US
        N
        
        2
        
          2031-12-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAV2
        
          
        
        278000.00000000
        PA
        USD
        298747.14000000
        0.035049643643
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BS2
        
          
        
        467000.00000000
        PA
        USD
        464954.54000000
        0.054549445854
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-07-01
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prudential Financial Inc
        5PRBRS5FEH7NREC8OR45
        Prudential Financial Inc
        744320AL6
        
          
        
        2353000.00000000
        PA
        USD
        2364765.00000000
        0.277439210132
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Multifamily Structured Credit Risk
        N/A
        Freddie Mac Multifamily Structured Credit Risk
        35563FAA9
        
          
        
        283477.61000000
        PA
        USD
        273993.81000000
        0.032145530836
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-01-25
          Floating
          2.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBW4
        
          
        
        840000.00000000
        PA
        USD
        728145.60000000
        0.085427575309
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG STAMFORD CT
        254900R882POXXVAK772
        UBS AG/Stamford CT
        90261AAB8
        
          
        
        1584000.00000000
        PA
        USD
        1610975.52000000
        0.189003040814
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2022-08-17
          Fixed
          7.62500000
          N
          N
          N
          N
          Y
          
            
              UBS AG
              UBS AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        254900YVLP8CB4GC2O97
        Radnor RE 2020-1 Ltd
        750493AA6
        
          
        
        535509.00000000
        PA
        USD
        531628.06000000
        0.062371723638
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2030-01-25
          Floating
          1.40700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FVTE2
        
          
        
        3627816.68000000
        PA
        USD
        612227.80000000
        0.071827854883
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RBH4
        
          
        
        1081000.00000000
        PA
        USD
        1092718.04000000
        0.128199981780
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: IS1VK11   CDS USD R F  3.00000 IS1VK11 CMBX / Short: IS1VK11   CDS USD P V 01MEVENT IS1VK22 CMBX
        000000000
        
          
        
        56432.28000000
        OU
        Notional Amount
        USD
        -13742.20000000
        -0.00161226384
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -5218.68000000
            USD
            56432.28000000
            USD
            -8523.52000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WQKW1
        
          
        
        221805.20000000
        PA
        USD
        227126.60000000
        0.026646971053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMISION FEDERAL DE ELEC
        4469000001BFPONMPF32
        Comision Federal de Electricidad
        200447AH3
        
          
        
        1685000.00000000
        PA
        USD
        1477323.75000000
        0.173322733679
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-02-09
          Fixed
          3.34800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AU2
        
          
        
        2539000.00000000
        PA
        USD
        2498553.73000000
        0.293135585703
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upstart Securitization Trust
        N/A
        Upstart Securitization Trust 2020-3
        91680EAA3
        
          
        
        243160.89000000
        PA
        USD
        242639.89000000
        0.028467022908
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-11-20
          Fixed
          1.70200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MetLife Inc
        C4BXATY60WC6XEOZDX54
        MetLife Inc
        59156RAV0
        
          
        
        25000.00000000
        PA
        USD
        36323.00000000
        0.004261490858
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-08-01
          Fixed
          10.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: IS1S8V8   CDS USD R F  3.00000 IS1S8V8 CMBX / Short: IS1S8V8   CDS USD P V 01MEVENT IS1S8W9 CMBX
        000000000
        
          
        
        323290.02000000
        OU
        Notional Amount
        USD
        -78726.50000000
        -0.00923635878
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -37903.93000000
            USD
            323290.02000000
            USD
            -40822.57000000
          
        
        
          N
          N
          N
        
      
      
        AB Issuer LLC
        N/A
        AB Issuer LLC
        00091JAA6
        
          
        
        2095470.00000000
        PA
        USD
        1906049.99000000
        0.223621799079
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-07-30
          Fixed
          3.73400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERPUBLIC GROUP COS
        5493008IUOJ5VWTRC333
        Interpublic Group of Cos Inc/The
        460690BP4
        
          
        
        519000.00000000
        PA
        USD
        543258.06000000
        0.063736179732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding AESOP LLC
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RDC5
        
          
        
        1680000.00000000
        PA
        USD
        1706456.64000000
        0.200205086901
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M43N1
        
          
        
        157055.99000000
        PA
        USD
        169076.73000000
        0.019836438049
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1925.65000000
        0.000225921313
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            632604.13000000
            USD
            847721.97000000
            AUD
            2022-04-28
            1925.65000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAF8
        
          
        
        312000.00000000
        PA
        USD
        313971.84000000
        0.036835837511
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-30
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS Commercial Mortgage Trust
        N/A
        WFRBS Commercial Mortgage Trust 2014-C25
        92939LAE6
        
          
        
        2100000.00000000
        PA
        USD
        2113340.04000000
        0.247941504310
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-11-15
          Fixed
          3.63100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2019-IMC
        05608BAN0
        
          
        
        839400.00000000
        PA
        USD
        818383.69000000
        0.096014498074
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-15
          Floating
          2.54700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anthem Inc
        8MYN82XMYQH89CTMTH67
        Anthem Inc
        94973VBA4
        
          
        
        33000.00000000
        PA
        USD
        33317.79000000
        0.003908913292
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BHMS Mortgage Trust
        N/A
        BHMS 2018-ATLS
        05549GAA9
        
          
        
        1199540.00000000
        PA
        USD
        1187107.37000000
        0.139273936765
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-15
          Floating
          1.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31403DDX4
        
          
        
        70576.52000000
        PA
        USD
        76596.49000000
        0.008986461523
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bankers Healthcare Group Securitization Trust
        N/A
        BHG Securitization Trust 2022-A
        054977AA1
        
          
        
        339796.33000000
        PA
        USD
        333840.72000000
        0.039166896358
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-02-20
          Fixed
          1.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rockford Tower CLO Ltd
        N/A
        Rockford Tower CLO 2021-2 Ltd
        77341LAA7
        
          
        
        1309799.00000000
        PA
        USD
        1298853.01000000
        0.152384170593
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          1.41400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCHSNER LSU HEALTH SYST
        N/A
        Ochsner LSU Health System of North Louisiana
        67555JAA4
        
          
        
        1480000.00000000
        PA
        USD
        1298507.60000000
        0.152343646364
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-15
          Fixed
          2.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMBRAER NETHERLANDS FINA
        724500PBR8LR26XBSP67
        Embraer Netherlands Finance BV
        29082HAC6
        
          
        
        537000.00000000
        PA
        USD
        566300.06000000
        0.066439515700
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-01-17
          Fixed
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN22
        000000000
        
          
        
        445.00000000
        NC
        USD
        -1091324.49000000
        -0.12803648755
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            95396559.31000000
            USD
            -1091324.49000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAH4
        
          
        
        879000.00000000
        PA
        USD
        905994.09000000
        0.106293134715
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AP3
        
          
        
        799000.00000000
        PA
        USD
        789547.83000000
        0.092631414249
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2031-04-01
          Fixed
          4.19400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SK5
        
          
        
        4905000.00000000
        PA
        USD
        4802301.56000000
        0.563416132946
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-11-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUZANO AUSTRIA GMBH
        254900287ZNSGVP1R341
        Suzano Austria GmbH
        86964WAJ1
        
          
        
        343000.00000000
        PA
        USD
        321219.50000000
        0.037686148246
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2031-01-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402C4H2
        
          
        
        59868.26000000
        PA
        USD
        64391.40000000
        0.007554534660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CE7
        
          
        
        958000.00000000
        PA
        USD
        889560.48000000
        0.104365108979
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-11-24
          Fixed
          2.12900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Affirm Inc
        N/A
        Affirm Asset Securitization Trust 2021-Z2
        00834TAA6
        
          
        
        648377.34000000
        PA
        USD
        636656.04000000
        0.074693827447
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-11-16
          Fixed
          1.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417DRX3
        
          
        
        657683.13000000
        PA
        USD
        674283.91000000
        0.079108408402
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lloyds Banking Group PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        539439AS8
        
          
        
        250000.00000000
        PA
        USD
        254395.00000000
        0.029846157170
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-08-16
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICRON TECHNOLOGY INC
        B3DXGBC8GAIYWI2Z0172
        Micron Technology Inc
        595112BP7
        
          
        
        1267000.00000000
        PA
        USD
        1299751.95000000
        0.152489636127
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          4.18500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254CJ7
        
          
        
        885000.00000000
        PA
        USD
        884123.85000000
        0.103727272098
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-30
          Fixed
          3.97100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2019-IMC
        05608BAA8
        
          
        
        1041652.00000000
        PA
        USD
        1029968.62000000
        0.120838087672
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-15
          Floating
          1.39700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XAZ9
        
          
        
        275000.00000000
        PA
        USD
        279012.25000000
        0.032734304786
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-13
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402QYV7
        
          
        
        282802.56000000
        PA
        USD
        304761.95000000
        0.035755313820
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2U6
        
          
        
        2052000.00000000
        PA
        USD
        1995262.20000000
        0.234088363442
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-03-02
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RD2
        
          
        
        295000.00000000
        PA
        USD
        349344.53000000
        0.040985835999
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-11-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QW1
        
          
        
        843000.00000000
        PA
        USD
        893711.72000000
        0.104852141199
        Long
        DBT
        UST
        US
        N
        
        2
        
          2042-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: IS1S733   CDS USD R F  3.00000 IS1S733 CMBX / Short: IS1S733   CDS USD P V 01MEVENT IS1S744 CMBX
        000000000
        
          
        
        932567.37000000
        OU
        Notional Amount
        USD
        -227095.70000000
        -0.02664334580
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -108381.51000000
            USD
            932567.37000000
            USD
            -118714.19000000
          
        
        
          N
          N
          N
        
      
      
        College Ave Student Loans
        N/A
        College Ave Student Loans 2021-C LLC
        19424WAC1
        
          
        
        636508.00000000
        PA
        USD
        598283.66000000
        0.070191899011
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-07-26
          Fixed
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEC1
        
          
        
        11081200.00000000
        PA
        USD
        10800707.13000000
        1.267161707410
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-02-28
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: IS1UPY6   CDS USD R F  3.00000 IS1UPY6 CMBX / Short: IS1UPY6   CDS USD P V 01MEVENT IS1UPZ7 CMBX
        000000000
        
          
        
        228598.57000000
        OU
        Notional Amount
        USD
        -55667.56000000
        -0.00653103537
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -21077.15000000
            USD
            228598.57000000
            USD
            -34590.41000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1BHY3   CDS USD R F  2.00000 IS1BHY3 CMBX-A-405887 / Short: IS1BHY3   CDS USD P V 00MEVENT IS1BHZ4 CMBX-A-405887
        000000000
        
          
        
        1355143.78000000
        OU
        Notional Amount
        USD
        -109239.65000000
        -0.01281622580
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                CMBX.NA.A.6
                137BEOAF1
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -25121.58000000
            USD
            1355143.78000000
            USD
            -84118.07000000
          
        
        
          N
          N
          N
        
      
      
        CITIC
        2549006I3Q3M98KHOT11
        CITIC Ltd
        000000000
        
          
        
        889000.00000000
        PA
        USD
        824714.19000000
        0.096757205666
        Long
        DBT
        CORP
        HK
        
        N
        
        2
        
          2030-02-25
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEVA PHARM FNC NL II
        549300HSQCIKJAOYIT23
        Teva Pharmaceutical Finance Netherlands II BV
        000000000
        
          
        
        350000.00000000
        PA
        
        364633.75000000
        0.042779599489
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-05-09
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WPG65
        
          
        
        2267471.97000000
        PA
        USD
        2321871.57000000
        0.272406862589
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AF4
        
          
        
        2303000.00000000
        PA
        USD
        2110791.62000000
        0.247642518308
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-08
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAU5
        
          
        
        2065000.00000000
        PA
        USD
        1860585.65000000
        0.218287826959
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2028-01-26
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SZ2
        
          
        
        9349400.00000000
        PA
        USD
        8433450.97000000
        0.989430229139
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-08-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OA09   CDS USD R F  3.00000 IS1OA09 CMBX / Short: IS1OA09   CDS USD P V 01MEVENT IS1OA10 CMBX
        000000000
        
          
        
        68866.52000000
        OU
        Notional Amount
        USD
        -16770.15000000
        -0.00196750931
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -7471.39000000
            USD
            68866.52000000
            USD
            -9298.76000000
          
        
        
          N
          N
          N
        
      
      
        SUZANO AUSTRIA GMBH
        254900287ZNSGVP1R341
        Suzano Austria GmbH
        86964WAL6
        
          
        
        2416000.00000000
        PA
        USD
        2171500.80000000
        0.254765047163
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2028-09-15
          Fixed
          2.50000000
          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
        
          
        
        240076.31000000
        OU
        Notional Amount
        USD
        -58462.58000000
        -0.00685895301
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -18449.74000000
            USD
            240076.31000000
            USD
            -40012.84000000
          
        
        
          N
          N
          N
        
      
      
        OEC FINANCE LTD
        N/A
        OEC Finance Ltd
        67614CAE0
        
          
        
        366363.00000000
        PA
        USD
        13097.48000000
        0.001536623937
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2033-12-27
          Fixed
          5.25000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN22
        000000000
        
          
        
        566.00000000
        NC
        USD
        -1536237.88000000
        -0.18023466348
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            66449362.88000000
            USD
            -1536237.88000000
          
        
        
          N
          N
          N
        
      
      
        TAKEDA PHARMACEUTICAL
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        874060AT3
        
          
        
        1378000.00000000
        PA
        USD
        1411788.56000000
        0.165634007168
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-11-26
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335AY51
        
          
        
        1119221.95000000
        PA
        USD
        1159387.02000000
        0.136021726923
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA3
        35564KEL9
        
          
        
        778630.00000000
        PA
        USD
        760753.04000000
        0.089253148843
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-25
          Floating
          2.19900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 78 CLO Ltd
        26253LAG7
        
          
        
        400000.00000000
        PA
        USD
        391831.20000000
        0.045970461603
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-17
          Floating
          3.24100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        25160PAH0
        
          
        
        1458000.00000000
        PA
        USD
        1347366.96000000
        0.158075929380
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2028-01-07
          Fixed
          2.55200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCE1
        
          
        
        348000.00000000
        PA
        USD
        326761.56000000
        0.038336354398
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Diamond Infrastructure Funding LLC
        N/A
        Diamond Infrastructure Funding LLC
        25265LAC4
        
          
        
        934964.00000000
        PA
        USD
        871816.53000000
        0.102283351396
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2049-04-15
          Fixed
          2.35500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rad CLO Ltd
        N/A
        Rad CLO 7 Ltd
        48661CAE2
        
          
        
        570000.00000000
        PA
        USD
        569651.16000000
        0.066832673809
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-17
          Floating
          2.24100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re 2018-1 Ltd.
        549300BLEDGL5R7YKU33
        Eagle RE 2018-1 Ltd
        269826AB9
        
          
        
        217315.00000000
        PA
        USD
        216463.73000000
        0.025395980688
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2028-11-25
          Floating
          3.18700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Homebanc Mortgage Trust
        N/A
        HomeBanc Mortgage Trust 2005-1
        43739EAP2
        
          
        
        182082.07000000
        PA
        USD
        160595.48000000
        0.018841399937
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          0.95700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BT5
        
          
        
        20000.00000000
        PA
        USD
        21122.20000000
        0.002478100988
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2015-XLF1
        61765VAA6
        
          
        
        315184.62000000
        PA
        USD
        290442.63000000
        0.034075341040
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-11-15
          Floating
          2.59700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        31359MEU3
        
          
        
        355000.00000000
        PA
        USD
        439619.70000000
        0.051577109068
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2029-05-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJKC1
        
          
        
        757932.31000000
        PA
        USD
        753447.02000000
        0.088395991189
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KYNDRYL HOLDINGS INC
        549300LQ4LWX2R8ZV130
        Kyndryl Holdings Inc
        50155QAA8
        
          
        
        2545000.00000000
        PA
        USD
        2286758.85000000
        0.268287364329
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810PT9
        
          
        
        1525000.00000000
        PA
        USD
        1988218.75000000
        0.233262011054
        Long
        DBT
        UST
        US
        N
        
        2
        
          2037-02-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT Credit Risk Transfer Trust
        N/A
        PMT Credit Risk Transfer Trust 2019-3R
        69349MAA4
        
          
        
        78093.43000000
        PA
        USD
        77899.27000000
        0.009139306416
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2022-10-27
          Floating
          3.14500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030645
        
          
        
        26203209.00000000
        PA
        USD
        25652532.84000000
        3.009609178518
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INFOR INC
        549300Q3IIYBYI4RHD64
        Infor Inc
        45674CAA1
        
          
        
        649000.00000000
        PA
        USD
        608547.83000000
        0.071396113052
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALBERTSONS COS/SAFEWAY
        N/A
        Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
        013092AG6
        
          
        
        959000.00000000
        PA
        USD
        865708.48000000
        0.101566742106
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Affirm Asset Securitization Trust 2020-A
        N/A
        Affirm Asset Securitization Trust 2020-A
        00833LAA4
        
          
        
        830386.36000000
        PA
        USD
        828906.36000000
        0.097249039880
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-02-18
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIMA METRO LINE 2 FIN LT
        5493009BVQNQT1UKQ352
        Lima Metro Line 2 Finance Ltd
        532522AB5
        
          
        
        251577.67000000
        PA
        USD
        250477.02000000
        0.029386491505
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2036-04-05
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L Street Securities
        549300T6W1U156OOG754
        Wells Fargo Credit Risk Transfer Securities Trust 2015
        949771AG4
        
          
        
        54147.44000000
        PA
        USD
        51271.68000000
        0.006015301478
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2025-11-25
          Floating
          5.95700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2013-WBRK
        05525BAL4
        
          
        
        740000.00000000
        PA
        USD
        677047.68000000
        0.079432659719
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-10
          Variable
          3.53400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1IXF7   CDS USD R F  3.00000 IS1IXF7 CMBX / Short: IS1IXF7   CDS USD P V 01MEVENT IS1IXG8 CMBX
        000000000
        
          
        
        46867.49000000
        OU
        Notional Amount
        USD
        -11413.01000000
        -0.00133899836
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -6619.15000000
            USD
            46867.49000000
            USD
            -4793.86000000
          
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBL5
        
          
        
        683000.00000000
        PA
        USD
        701242.93000000
        0.082271297406
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBP0
        
          
        
        1256000.00000000
        PA
        USD
        1177562.80000000
        0.138154147711
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-13
          Fixed
          2.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00912XAV6
        
          
        
        76000.00000000
        PA
        USD
        74543.84000000
        0.008745640302
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        Flagstar Mortgage Trust 2021-8INV
        33852HAB8
        
          
        
        1527592.50000000
        PA
        USD
        1408846.62000000
        0.165288852571
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QBP4
        
          
        
        2985000.00000000
        PA
        USD
        2546622.90000000
        0.298775161964
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-06-04
          Fixed
          2.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APCOA PARKING HOLDINGS G
        529900H8FIYAOV5FUW68
        APCOA Parking Holdings GmbH
        000000000
        
          
        
        540000.00000000
        PA
        
        560827.47000000
        0.065797459915
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-01-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ashford Hospitality Trust
        N/A
        Ashford Hospitality Trust 2018-KEYS
        04410CAA7
        
          
        
        791993.00000000
        PA
        USD
        784944.66000000
        0.092091360650
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-15
          Floating
          1.39700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oaktown Re Ltd
        N/A
        Oaktown Re VII Ltd
        67389JAA6
        
          
        
        1766937.00000000
        PA
        USD
        1745733.40000000
        0.204813119104
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2034-04-25
          Floating
          1.69900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2011-GC5
        36191YAL2
        
          
        
        27526.00000000
        PA
        USD
        12753.33000000
        0.001496247534
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-08-10
          Variable
          5.16300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BK0
        
          
        
        1949000.00000000
        PA
        USD
        1870240.91000000
        0.219420602397
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWISS RE FINANCE LUX
        549300CLQZ6TM98LW631
        Swiss Re Finance Luxembourg SA
        000000000
        
          
        
        1400000.00000000
        PA
        USD
        1452738.00000000
        0.170438281710
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2049-04-02
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAN5
        
          
        
        245000.00000000
        PA
        USD
        259829.85000000
        0.030483785218
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBN4
        
          
        
        917000.00000000
        PA
        USD
        943492.13000000
        0.110692483741
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2030-04-02
          Fixed
          4.90600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABN AMRO Bank NV
        BFXS5XCH7N0Y05NIXW11
        ABN AMRO Bank NV
        00080QAF2
        
          
        
        269000.00000000
        PA
        USD
        275173.55000000
        0.032283940417
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-07-28
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS1IXL3   CDS USD R F  3.00000 IS1IXL3 CMBX / Short: IS1IXL3   CDS USD P V 01MEVENT IS1IXM4 CMBX
        000000000
        
          
        
        398851.90000000
        OU
        Notional Amount
        USD
        -97127.09000000
        -0.01139515475
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -56074.03000000
            USD
            398851.90000000
            USD
            -41053.06000000
          
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2021-C
        64035GAC3
        
          
        
        907173.00000000
        PA
        USD
        822696.32000000
        0.096520464908
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-04-20
          Fixed
          2.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAQ8
        
          
        
        800000.00000000
        PA
        USD
        805552.00000000
        0.094509057179
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2028-03-24
          Fixed
          4.17500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tobacco Settlement Finance Authority
        N/A
        TOBACCO SETTLEMENT FIN AUTH WV ASSET BACKED
        88880LAV5
        
          
        
        1211100.08000000
        PA
        USD
        1223458.27000000
        0.143538700910
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDBL FUNDING 1
        254900PLOF8VWTAH3F83
        CDBL Funding 1
        000000000
        
          
        
        1460000.00000000
        PA
        USD
        1418287.80000000
        0.166396511692
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-10-24
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Baxalta Inc
        5493000JW8DCO3T45R55
        Baxalta Inc
        07177MAL7
        
          
        
        5000.00000000
        PA
        USD
        5006.50000000
        0.000587373123
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-23
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KMH9
        
          
        
        2411530.00000000
        PA
        USD
        2293599.91000000
        0.269089971896
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-25
          Floating
          1.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BFLM1
        
          
        
        1576949.26000000
        PA
        USD
        232937.17000000
        0.027328679363
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-12-15
          Floating
          5.70300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Braemar Hotels & Resorts Trust
        N/A
        Braemar Hotels & Resorts Trust 2018-Prime
        10482TAA0
        
          
        
        900000.00000000
        PA
        USD
        890222.85000000
        0.104442819623
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-15
          Floating
          1.21700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BYRV4
        
          
        
        1665910.24000000
        PA
        USD
        275788.77000000
        0.032356119323
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-15
          Floating
          5.75300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        3128NHWD1
        
          
        
        374.45000000
        PA
        USD
        391.28000000
        0.000045905793
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Floating
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -301.13000000
        -0.00003532920
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            10767.89000000
            USD
            9450.00000000
            EUR
            2022-05-12
            -301.13000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RX8
        
          
        
        1447000.00000000
        PA
        USD
        1563664.38000000
        0.183452398229
        Long
        DBT
        UST
        US
        N
        
        2
        
          2047-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410FYE9
        
          
        
        3434.63000000
        PA
        USD
        3723.65000000
        0.000436866460
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063BFR8
        
          
        
        2040000.00000000
        PA
        USD
        3002910.60000000
        0.352307795896
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-03-01
          Fixed
          7.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENCENT HOLDINGS LTD
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032WAT3
        
          
        
        1256000.00000000
        PA
        USD
        1163213.00000000
        0.136470598954
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-01-26
          Fixed
          1.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9T37
        
          
        
        711322.49000000
        PA
        USD
        748265.95000000
        0.087788137145
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prudential Financial Inc
        5PRBRS5FEH7NREC8OR45
        Prudential Financial Inc
        744320AN2
        
          
        
        462000.00000000
        PA
        USD
        460493.88000000
        0.054026111828
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-03-15
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neighborly Issuer LLC
        N/A
        Neighborly Issuer 2022-1
        64016NAC1
        
          
        
        2013000.00000000
        PA
        USD
        1873935.92000000
        0.219854108752
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2052-01-30
          Fixed
          3.69500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Biogen Inc
        W8J5WZB5IY3K0NDQT671
        Biogen Inc
        09062XAE3
        
          
        
        11000.00000000
        PA
        USD
        11093.50000000
        0.001301512783
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIMA METRO LINE 2 FIN LT
        5493009BVQNQT1UKQ352
        Lima Metro Line 2 Finance Ltd
        000000000
        
          
        
        409750.24000000
        PA
        USD
        438893.73000000
        0.051491936739
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2034-07-05
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS
        L2Z2MO2EQURH3BREWI15
        Discovery Communications LLC
        25470DBH1
        
          
        
        152000.00000000
        PA
        USD
        148368.72000000
        0.017406930703
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aircastle Ltd
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAQ4
        
          
        
        359000.00000000
        PA
        USD
        358220.97000000
        0.042027238634
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2024-05-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP
        353800CI5L6DDAN5XZ33
        Mizuho Financial Group Inc
        60687YBD0
        
          
        
        386000.00000000
        PA
        USD
        370324.54000000
        0.043447254957
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2026-05-25
          Fixed
          2.22600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHILE ELEC PEC SPA
        N/A
        Chile Electricity PEC SpA
        168831AA3
        
          
        
        1040000.00000000
        PA
        USD
        784095.00000000
        0.091991676749
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2028-01-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freedom Financial
        N/A
        FREED ABS Trust 2021-2
        35635CAC6
        
          
        
        1760000.00000000
        PA
        USD
        1708811.46000000
        0.200481359343
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-06-19
          Fixed
          1.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Oil Corp
        1FRVQX2CRLGC1XLP5727
        Marathon Oil Corp
        565849AB2
        
          
        
        1800000.00000000
        PA
        USD
        2157282.00000000
        0.253096867601
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          6.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBC4
        
          
        
        565000.00000000
        PA
        USD
        574181.25000000
        0.067364153509
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2025-04-16
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505EU4
        
          
        
        335000.00000000
        PA
        USD
        356051.40000000
        0.041772700113
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-10
          Fixed
          6.30000000
          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
        
          
        
        229555.06000000
        OU
        Notional Amount
        USD
        -55900.48000000
        -0.00655836204
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -15040.65000000
            USD
            229555.06000000
            USD
            -40859.83000000
          
        
        
          N
          N
          N
        
      
      
        Marathon Petroleum Corp
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585ABC5
        
          
        
        2794000.00000000
        PA
        USD
        2977342.28000000
        0.349308066746
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alliance Bernstein
        5493006YWHO7MNK2U579
        AB Fixed Income Shares, Inc. - Government Money Market Portfolio
        018616748
        
          
        
        11886391.89000000
        NS
        USD
        11886391.89000000
        1.394536529969
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        WESTINGHOUSE AIR BRAKE
        06BTX5UWZD0GQ5N5Y745
        Westinghouse Air Brake Technologies Corp
        960386AN0
        
          
        
        1145000.00000000
        PA
        USD
        1166514.55000000
        0.136857943753
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9T45
        
          
        
        1059030.58000000
        PA
        USD
        1114032.71000000
        0.130700663755
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810TD0
        
          
        
        1671700.00000000
        PA
        USD
        1602481.17000000
        0.188006465783
        Long
        DBT
        UST
        US
        N
        
        2
        
          2052-02-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAG3
        
          
        
        489000.00000000
        PA
        USD
        447435.00000000
        0.052494016524
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-01-19
          Fixed
          3.25700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900SCWI9IDKK5LV64
        Bellemeade Re 2019-3 Ltd
        07877GAC3
        
          
        
        300000.00000000
        PA
        USD
        298166.97000000
        0.034981576877
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-07-25
          Floating
          2.40700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GV67
        
          
        
        87360.89000000
        PA
        USD
        94140.96000000
        0.011044815693
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WYNN MACAU LTD
        254900NMDQ8ENTHU1I31
        Wynn Macau Ltd
        98313RAH9
        
          
        
        730000.00000000
        PA
        USD
        616704.00000000
        0.072353012094
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-08-26
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967ME8
        
          
        
        941000.00000000
        PA
        USD
        957909.77000000
        0.112383991630
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-20
          Fixed
          3.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BT5
        
          
        
        400000.00000000
        PA
        USD
        412640.00000000
        0.048411793843
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-06-19
          Fixed
          4.58300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Regatta XX Funding Ltd
        N/A
        REGATTA XX FUNDING LTD
        75884YAA6
        
          
        
        2923878.00000000
        PA
        USD
        2895487.14000000
        0.339704649329
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-15
          Floating
          1.40100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENGIE ENERGIA CHILE SA
        5493000FIKCC3ZDWTO77
        Engie Energia Chile SA
        000000000
        
          
        
        981000.00000000
        PA
        USD
        896266.13000000
        0.105151829960
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2030-01-28
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        5493008WNOU8I3M5WW38
        CHL Mortgage Pass-Through Trust 2006-13
        12543TAU9
        
          
        
        79124.96000000
        PA
        USD
        47296.01000000
        0.005548867501
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RE0
        
          
        
        38000.00000000
        PA
        USD
        44246.25000000
        0.005191063235
        Long
        DBT
        UST
        US
        N
        
        2
        
          2044-02-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VZ VENDOR FINANCING
        724500DRKUUR3GFOSK76
        VZ Vendor Financing II BV
        000000000
        
          
        
        540000.00000000
        PA
        
        539554.96000000
        0.063301724241
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2029-01-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBZ7
        
          
        
        455000.00000000
        PA
        USD
        396464.25000000
        0.046514020786
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-03-25
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AT8
        
          
        
        1006000.00000000
        PA
        USD
        1099417.16000000
        0.128985936647
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828N30
        
          
        
        11453000.00000000
        PA
        USD
        11510265.00000000
        1.350408531089
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-12-31
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJBE9
        
          
        
        21256.61000000
        PA
        USD
        23009.18000000
        0.002699485456
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CB3
        
          
        
        385000.00000000
        PA
        USD
        384788.25000000
        0.045144167876
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-11-26
          Fixed
          3.96100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0EW5
        
          
        
        444687.04000000
        PA
        USD
        450589.15000000
        0.052864068045
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-10-25
          Floating
          3.75700000
          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
        
          
        
        428502.75000000
        OU
        Notional Amount
        USD
        -104347.56000000
        -0.01224227550
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -67325.77000000
            USD
            428502.75000000
            USD
            -37021.79000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2020-3 Ltd
        07877KAC4
        
          
        
        292216.00000000
        PA
        USD
        293224.70000000
        0.034401739352
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Floating
          3.30700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAJ1
        
          
        
        175000.00000000
        PA
        USD
        168929.25000000
        0.019819135384
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5
        46636VAR7
        
          
        
        22241.91000000
        PA
        USD
        22083.99000000
        0.002590940216
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-08-15
          Variable
          5.73500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS1C4Z6   CDS USD R F  3.00000 IS1C4Z6 CMBX-BBB--409304 / Short: IS1C4Z6   CDS USD P V 00MEVENT IS1C508 CMBX-BBB--409304
        000000000
        
          
        
        43041.56000000
        OU
        Notional Amount
        USD
        -10481.33000000
        -0.00122969170
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -4781.35000000
            USD
            43041.56000000
            USD
            -5699.98000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAD3
        
          
        
        10000.00000000
        PA
        USD
        9921.60000000
        0.001164023007
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIZENS FINANCIAL GROUP
        2138004JDDA4ZQUPFW65
        Citizens Financial Group Inc
        174610AK1
        
          
        
        2795000.00000000
        PA
        USD
        2852772.65000000
        0.334693295403
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-03
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QD3
        
          
        
        10740000.00000000
        PA
        USD
        13643156.25000000
        1.600643824532
        Long
        DBT
        UST
        US
        N
        
        2
        
          2039-11-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810TC2
        
          
        
        6894000.00000000
        PA
        USD
        6247687.50000000
        0.732991855494
        Long
        DBT
        UST
        US
        N
        
        2
        
          2041-11-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNICREDIT SPA
        549300TRUWO2CD2G5692
        UniCredit SpA
        904678AW9
        
          
        
        450000.00000000
        PA
        USD
        406719.00000000
        0.047717129653
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2027-06-03
          Fixed
          1.98200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810PW2
        
          
        
        898700.00000000
        PA
        USD
        1136012.97000000
        0.133279434149
        Long
        DBT
        UST
        US
        N
        
        2
        
          2038-02-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FMFN1
        
          
        
        331667.45000000
        PA
        USD
        329704.71000000
        0.038681650954
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEOK Partners LP
        T4DHW82NMF6BXJT50795
        ONEOK Partners LP
        68268NAG8
        
          
        
        73000.00000000
        PA
        USD
        80294.89000000
        0.009420365600
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN LISTRIK NEGAR
        254900OYVDRYS9J51J61
        Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
        71568PAE9
        
          
        
        447000.00000000
        PA
        USD
        480329.44000000
        0.056353261502
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2028-05-21
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS1PDS1   CDS USD R F  3.00000 IS1PDS1 CMBX / Short: IS1PDS1   CDS USD P V 01MEVENT IS1PDT2 CMBX
        000000000
        
          
        
        4782.40000000
        OU
        Notional Amount
        USD
        -1164.59000000
        -0.00013663215
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -566.04000000
            USD
            4782.40000000
            USD
            -598.55000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CDH4
        
          
        
        346211.72000000
        PA
        USD
        344162.91000000
        0.040377917428
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIGITAL REALTY TRUST LP
        CD4SPTZ3YBTHY0C1AH38
        Digital Realty Trust LP
        25389JAU0
        
          
        
        1584000.00000000
        PA
        USD
        1573228.80000000
        0.184574516127
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2021-2 Ltd
        43730VAB4
        
          
        
        1162055.00000000
        PA
        USD
        1141081.77000000
        0.133874116441
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2034-01-25
          Floating
          1.69900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SK HYNIX INC
        988400XAIK6XISWQV045
        SK Hynix Inc
        78392BAC1
        
          
        
        532000.00000000
        PA
        USD
        460392.80000000
        0.054014252910
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          2031-01-19
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RQ3
        
          
        
        932000.00000000
        PA
        USD
        914379.38000000
        0.107276914597
        Long
        DBT
        UST
        US
        N
        
        2
        
          2046-02-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: IS1UQ09   CDS USD R F  3.00000 IS1UQ09 CMBX / Short: IS1UQ09   CDS USD P V 01MEVENT IS1UQ10 CMBX
        000000000
        
          
        
        53562.84000000
        OU
        Notional Amount
        USD
        -13043.45000000
        -0.00153028502
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -4951.76000000
            USD
            53562.84000000
            USD
            -8091.69000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810FT0
        
          
        
        1073800.00000000
        PA
        USD
        1358021.44000000
        0.159325935413
        Long
        DBT
        UST
        US
        N
        
        2
        
          2036-02-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1IDZ7   CDS USD R F  3.00000 IS1IDZ7 CMBX / Short: IS1IDZ7   CDS USD P V 01MEVENT IS1IE09 CMBX
        000000000
        
          
        
        307986.36000000
        OU
        Notional Amount
        USD
        -74999.81000000
        -0.00879913566
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -47704.00000000
            USD
            307986.36000000
            USD
            -27295.81000000
          
        
        
          N
          N
          N
        
      
      
        FannieMae Grantor Trust
        N/A
        Fannie Mae Grantor Trust 2004-T5
        31394AXY7
        
          
        
        308433.98000000
        PA
        USD
        288359.62000000
        0.033830957920
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-28
          Variable
          0.72700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828R28
        
          
        
        5514000.00000000
        PA
        USD
        5503661.25000000
        0.645701128881
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-04-30
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967NB3
        
          
        
        139000.00000000
        PA
        USD
        130098.44000000
        0.015263422975
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elevation CLO Ltd
        N/A
        Elevation CLO 2020-11 Ltd
        28621YAE5
        
          
        
        1080000.00000000
        PA
        USD
        1055081.16000000
        0.123784343753
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          2.44100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW MOUNTAIN CLO LTD
        549300CEYMYPINCEX579
        New Mountain CLO 3 Ltd
        647550AJ1
        
          
        
        250000.00000000
        PA
        USD
        240726.25000000
        0.028242510633
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-20
          Floating
          3.48100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Diamond Issuer LLC
        N/A
        Diamond Issuer
        25267TAN1
        
          
        
        1940541.00000000
        PA
        USD
        1797084.76000000
        0.210837768808
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-11-20
          Fixed
          2.30500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LYONDELLBASELL IND NV
        BN6WCCZ8OVP3ITUUVN49
        LyondellBasell Industries NV
        552081AK7
        
          
        
        568000.00000000
        PA
        USD
        592730.72000000
        0.069540416395
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-04-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Playtech Plc
        21380068TTB6Z9ZEU548
        Playtech Plc
        000000000
        
          
        
        310000.00000000
        PA
        
        343630.16000000
        0.040315414076
        Long
        DBT
        CORP
        IM
        
        N
        
        2
        
          2026-03-07
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Group AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        000000000
        
          
        
        200000.00000000
        PA
        USD
        212098.00000000
        0.024883784050
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-02-19
          Fixed
          7.00000000
          N
          N
          N
          N
          Y
          
            
              UBS Group AG
              UBS Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST
        N/A
        PMT Credit Risk Transfer Trust 2019-2R
        69345WAA6
        
          
        
        862969.84000000
        PA
        USD
        855692.85000000
        0.100391687301
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-05-27
          Floating
          3.19500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elmwood CLO IX Ltd
        N/A
        Elmwood CLO IX Ltd
        29003UAA7
        
          
        
        1500000.00000000
        PA
        USD
        1489015.50000000
        0.174694434413
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          1.38400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XAM7
        
          
        
        270000.00000000
        PA
        USD
        284898.60000000
        0.033424903765
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-07-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BH2
        
          
        
        200000.00000000
        PA
        USD
        207626.00000000
        0.024359119592
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-04-02
          Fixed
          7.75000000
          N
          N
          N
          N
          Y
          
            
              Standard Chartered PLC
              Standard Chartered PLC
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-DNA1
        35564KPU7
        
          
        
        1019185.00000000
        PA
        USD
        1001208.31000000
        0.117463867532
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-25
          Floating
          1.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E6KU5
        
          
        
        844743.77000000
        PA
        USD
        840167.71000000
        0.098570245179
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RJ9
        
          
        
        199700.00000000
        PA
        USD
        211994.03000000
        0.024871586071
        Long
        DBT
        UST
        US
        N
        
        2
        
          2044-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FRZU8
        
          
        
        6271489.14000000
        PA
        USD
        1155348.15000000
        0.135547878188
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31346YAV5
        
          
        
        744356.01000000
        PA
        USD
        750757.99000000
        0.088080508526
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CX6
        
          
        
        87000.00000000
        PA
        USD
        91202.10000000
        0.010700022448
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-25
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419LZY2
        
          
        
        468141.49000000
        PA
        USD
        484658.74000000
        0.056861184096
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW Owner Trust
        N/A
        MVW 2021-2 LLC
        55400KAB1
        
          
        
        1022424.10000000
        PA
        USD
        968291.55000000
        0.113602003924
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2039-05-20
          Fixed
          1.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LW9
        
          
        
        1397000.00000000
        PA
        USD
        1426406.85000000
        0.167349055737
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-23
          Fixed
          4.07500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Phillips 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AC8
        
          
        
        65000.00000000
        PA
        USD
        65000.00000000
        0.007625936893
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-01
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        Radnor RE 2019-2 Ltd
        75049TAB7
        
          
        
        658746.47000000
        PA
        USD
        658133.24000000
        0.077213577783
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-06-25
          Floating
          2.20700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBM3
        
          
        
        1059000.00000000
        PA
        USD
        1023830.61000000
        0.120117963412
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview MSR Opportunity Master Fund Trust 2021-INV2
        N/A
        Bayview MSR Opportunity Master Fund Trust 2021-INV2
        07336LAB9
        
          
        
        683904.06000000
        PA
        USD
        634526.87000000
        0.074444028738
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2051-06-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1S4J8   CDS USD R F  3.00000 IS1S4J8 CMBX / Short: IS1S4J8   CDS USD P V 01MEVENT IS1S4K9 CMBX
        000000000
        
          
        
        110951.60000000
        OU
        Notional Amount
        USD
        -27018.57000000
        -0.00316987553
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -12679.22000000
            USD
            110951.60000000
            USD
            -14339.35000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RH3
        
          
        
        50000.00000000
        PA
        USD
        54109.38000000
        0.006348226419
        Long
        DBT
        UST
        US
        N
        
        2
        
          2044-08-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Suncor Energy Inc
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        71644EAJ1
        
          
        
        1377000.00000000
        PA
        USD
        1775737.89000000
        0.208333309062
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2038-05-15
          Fixed
          6.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Wolf Trust
        N/A
        Great Wolf Trust 2019-WOLF
        39152TAA8
        
          
        
        1433000.00000000
        PA
        USD
        1414104.75000000
        0.165905747457
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          1.43100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAY4
        
          
        
        1300000.00000000
        PA
        USD
        1406551.25000000
        0.165019554928
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2028-12-01
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29279FAA7
        
          
        
        882000.00000000
        PA
        USD
        1011680.46000000
        0.118692482225
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES/SKYMILES
        N/A
        Delta Air Lines Inc / SkyMiles IP Ltd
        830867AB3
        
          
        
        951000.00000000
        PA
        USD
        959492.43000000
        0.112569672634
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2028-10-20
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GoldenTree Loan Management US CLO1, LTD
        549300DO8S88M0JNL340
        Goldentree Loan Management US Clo 7 Ltd
        38138LAL2
        
          
        
        1491000.00000000
        PA
        USD
        1473641.78000000
        0.172890757205
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-20
          Floating
          1.32400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hardee's Funding
        N/A
        Hardee's Funding LLC
        411707AF9
        
          
        
        786222.17000000
        PA
        USD
        815474.35000000
        0.095673168178
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-06-20
          Fixed
          5.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418TDT1
        
          
        
        11087.07000000
        PA
        USD
        11912.88000000
        0.001397644170
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPS Auto Trust
        N/A
        CPS Auto Receivables Trust 2021-C
        12598CAG1
        
          
        
        1350000.00000000
        PA
        USD
        1271683.80000000
        0.149196621656
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          1.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MDC Holdings Inc
        5299005FV4VNV75R8R35
        MDC Holdings Inc
        552676AQ1
        
          
        
        968000.00000000
        PA
        USD
        1005858.48000000
        0.118009435270
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eni SpA
        BUCRF72VH5RBN7X3VL35
        Eni SpA
        26874RAJ7
        
          
        
        1163000.00000000
        PA
        USD
        1200006.66000000
        0.140787308635
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2029-05-09
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        Long: IS1SDF7   CDS USD R F  3.00000 IS1SDF7 CMBX / Short: IS1SDF7   CDS USD P V 01MEVENT IS1SDG8 CMBX
        000000000
        
          
        
        486847.99000000
        OU
        Notional Amount
        USD
        -118555.60000000
        -0.01390919267
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -57221.54000000
            USD
            486847.99000000
            USD
            -61334.06000000
          
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAD0
        
          
        
        485000.00000000
        PA
        USD
        363750.00000000
        0.042675916078
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2050-08-03
          Fixed
          4.02700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARLEY-DAVIDSON FINL SER
        RLUFFFFW4GRYU77BTS24
        Harley-Davidson Financial Services Inc
        41283LAY1
        
          
        
        2279000.00000000
        PA
        USD
        2243835.03000000
        0.263251451366
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-08
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1PBC1   CDS USD R F  3.00000 IS1PBC1 CMBX / Short: IS1PBC1   CDS USD P V 01MEVENT IS1PBD2 CMBX
        000000000
        
          
        
        29650.85000000
        OU
        Notional Amount
        USD
        -7220.47000000
        -0.00084712074
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -3603.57000000
            USD
            29650.85000000
            USD
            -3616.90000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MU2
        
          
        
        788000.00000000
        PA
        USD
        756826.72000000
        0.088792504711
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-10
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVERSIONES CMPC SA
        549300G475ACIABB4385
        Inversiones CMPC SA
        46128MAN1
        
          
        
        200000.00000000
        PA
        USD
        194725.00000000
        0.022845547102
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2030-01-13
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Group AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        90352JAF0
        
          
        
        256000.00000000
        PA
        USD
        267074.56000000
        0.031333749853
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-01-31
          Fixed
          7.00000000
          N
          N
          N
          N
          Y
          
            
              UBS Group AG
              UBS Group AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QZ4
        
          
        
        280000.00000000
        PA
        USD
        301656.25000000
        0.035390946555
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-02-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAD8
        
          
        
        918000.00000000
        PA
        USD
        996048.36000000
        0.116858491331
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        S&P GLOBAL INC
        Y6X4K52KMJMZE7I7MY94
        S&P Global Inc
        78409VAZ7
        
          
        
        411000.00000000
        PA
        USD
        432482.97000000
        0.050739812874
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XBW9
        
          
        
        211000.00000000
        PA
        USD
        211635.11000000
        0.024829476821
        Long
        DBT
        
        US
        N
        
        2
        
          2032-03-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBU4
        
          
        
        67064800.00000000
        PA
        USD
        66016912.50000000
        7.745243209966
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-03-31
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X6P58
        
          
        
        1649381.57000000
        PA
        USD
        1717207.11000000
        0.201466354683
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Barclays Bank PLC
        06738CAG4
        
          
        
        226000.00000000
        PA
        USD
        288195.20000000
        0.033811667819
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2032-06-15
          Fixed
          6.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2013-GC11
        17320DAQ1
        
          
        
        1140000.00000000
        PA
        USD
        1141691.08000000
        0.133945601973
        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
        36261CAA9
        
          
        
        486175.03000000
        PA
        USD
        466665.46000000
        0.054750174591
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2026-08-15
          Variable
          1.43300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARDAGH METAL PACKAGING
        N/A
        Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
        03969YAA6
        
          
        
        1463000.00000000
        PA
        USD
        1327965.10000000
        0.155799662303
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2028-09-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280DC0
        
          
        
        1009000.00000000
        PA
        USD
        1036555.79000000
        0.121610908329
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2033-03-29
          Fixed
          4.76200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re Ltd
        254900SAV74IHXQ8XY35
        Eagle RE 2020-1 Ltd
        26982LAA8
        
          
        
        1700000.00000000
        PA
        USD
        1687266.32000000
        0.197953638143
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2030-01-25
          Floating
          1.35700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAL7
        
          
        
        1190000.00000000
        PA
        USD
        1374878.40000000
        0.161303629462
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-07-15
          Fixed
          5.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOBEL BIDCO BV
        549300NZZFLYK83VVT71
        Nobel Bidco BV
        000000000
        
          
        
        540000.00000000
        PA
        
        532117.64000000
        0.062429162195
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2028-06-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS1NCW2   CDS USD R F  3.00000 IS1NCW2 CMBX / Short: IS1NCW2   CDS USD P V 01MEVENT IS1NCX3 CMBX
        000000000
        
          
        
        1147775.24000000
        OU
        Notional Amount
        USD
        -279502.40000000
        -0.03279181021
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -109578.10000000
            USD
            1147775.24000000
            USD
            -169924.30000000
          
        
        
          N
          N
          N
        
      
      
        Conn Funding II, L.P
        N/A
        Conn's Receivables Funding 2021-A LLC
        20825GAA3
        
          
        
        2003164.01000000
        PA
        USD
        1995113.69000000
        0.234070939936
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERGY CORP
        4XM3TW50JULSLG8BNC79
        Entergy Corp
        29364GAN3
        
          
        
        2291000.00000000
        PA
        USD
        2075668.91000000
        0.243521848000
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FR3C3
        
          
        
        2482251.10000000
        PA
        USD
        388426.87000000
        0.045571058438
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-25
          Floating
          5.59300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828WE6
        
          
        
        160000.00000000
        PA
        USD
        161400.00000000
        0.018935787917
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-11-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLONY MORTGAGE CAPITAL LTD
        N/A
        CLNY Trust 2019-IKPR
        12564NAL6
        
          
        
        1450000.00000000
        PA
        USD
        1417325.27000000
        0.166283585646
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          2.42200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominos Pizza Master Issuer LLC
        N/A
        Domino's Pizza Master Issuer LLC
        25755TAN0
        
          
        
        1059990.00000000
        PA
        USD
        985176.97000000
        0.115583036960
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-04-25
          Fixed
          2.66200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828TY6
        
          
        
        165000.00000000
        PA
        USD
        165360.94000000
        0.019400493740
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-11-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16
        61763MAF7
        
          
        
        1345000.00000000
        PA
        USD
        1358078.38000000
        0.159332615733
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-15
          Fixed
          3.89200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-LC21 Mortgage Trust
        12593FBE3
        
          
        
        2212636.86000000
        PA
        USD
        39761.31000000
        0.004664880628
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-07-10
          Variable
          0.67400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179R7H6
        
          
        
        201957.15000000
        PA
        USD
        202339.21000000
        0.023738862255
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-04-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RS9
        
          
        
        5327100.00000000
        PA
        USD
        5228881.59000000
        0.613463400468
        Long
        DBT
        UST
        US
        N
        
        2
        
          2046-05-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402DP79
        
          
        
        233200.66000000
        PA
        USD
        251584.12000000
        0.029516378809
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XBV1
        
          
        
        845000.00000000
        PA
        USD
        843648.00000000
        0.098978560131
        Long
        DBT
        
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AES PANAMA GENERATION HL
        N/A
        AES Panama Generation Holdings SRL
        00109AAB3
        
          
        
        487000.00000000
        PA
        USD
        458997.50000000
        0.053850553375
        Long
        DBT
        CORP
        PA
        N
        
        2
        
          2030-05-31
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        161495.88000000
        0.018947036761
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            9416397.14000000
            USD
            11974933.94000000
            CAD
            2022-04-22
            161495.88000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDY4
        
          
        
        982700.00000000
        PA
        USD
        943852.64000000
        0.110734779533
        Long
        DBT
        UST
        US
        N
        
        2
        
          2032-02-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RB6
        
          
        
        165000.00000000
        PA
        USD
        170981.25000000
        0.020059880346
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-05-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133A1B92
        
          
        
        1582251.78000000
        PA
        USD
        1601793.70000000
        0.187925810354
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571903BD4
        
          
        
        1161000.00000000
        PA
        USD
        1232854.29000000
        0.144641061765
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS 2020-BID Mortgage Trust
        05493BAA6
        
          
        
        1998000.00000000
        PA
        USD
        1996190.81000000
        0.234197309923
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-15
          Floating
          2.53700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2013-G1
        36197QAC3
        
          
        
        1499468.00000000
        PA
        USD
        1488958.38000000
        0.174687732974
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-04-10
          Variable
          3.55700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P8K8   CDS USD R F  3.00000 IS1P8K8 CMBX / Short: IS1P8K8   CDS USD P V 01MEVENT IS1P8L9 CMBX
        000000000
        
          
        
        41128.61000000
        OU
        Notional Amount
        USD
        -10015.50000000
        -0.00117503955
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -4945.17000000
            USD
            41128.61000000
            USD
            -5070.33000000
          
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCQ4
        
          
        
        260000.00000000
        PA
        USD
        242299.20000000
        0.028427052440
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flatiron CLO Ltd
        N/A
        Flatiron CLO 21 Ltd
        33883PAC1
        
          
        
        1130000.00000000
        PA
        USD
        1120614.22000000
        0.131472820369
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-19
          Floating
          1.35800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SA7
        
          
        
        5490000.00000000
        PA
        USD
        5986673.44000000
        0.702369136264
        Long
        DBT
        UST
        US
        N
        
        2
        
          2048-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA5
        35564KHE2
        
          
        
        751354.00000000
        PA
        USD
        739158.62000000
        0.086719646009
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-25
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCN3
        
          
        
        1186000.00000000
        PA
        USD
        1146529.92000000
        0.134513304873
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          3.27300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JYGR1
        
          
        
        2073991.12000000
        PA
        USD
        2091828.90000000
        0.245417772061
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TK ELEVATOR MIDCO GMBH
        254900K869UN2ZWVB351
        TK Elevator Midco GmbH
        000000000
        
          
        
        331000.00000000
        PA
        
        362012.66000000
        0.042472087690
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-07-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Board of Administration Finance Corp
        549300S34SOJ0RULXM35
        FLORIDA ST BRD OF ADMIN FIN CORP REVENUE
        341271AE4
        
          
        
        1634000.00000000
        PA
        USD
        1523059.08000000
        0.178688498916
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2027-07-01
          Fixed
          1.70500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atalaya Equipment Leasing Fund I LP
        N/A
        Atalaya Equipment Leasing Trust 21-1
        046497AC7
        
          
        
        509000.00000000
        PA
        USD
        489402.58000000
        0.057417741395
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          2.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Danske Bank A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAP6
        
          
        
        1744000.00000000
        PA
        USD
        1760655.20000000
        0.206563776106
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2023-09-12
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-DNA1
        35564KPV5
        
          
        
        1223238.00000000
        PA
        USD
        1152970.07000000
        0.135268876834
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-25
          Floating
          1.94900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HAXF2
        
          
        
        817066.73000000
        PA
        USD
        825370.74000000
        0.096834233495
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER HOLDINGS USA
        549300SMVCQN2P0O6I58
        Santander Holdings USA Inc
        80282KAP1
        
          
        
        911000.00000000
        PA
        USD
        926696.53000000
        0.108721988576
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-13
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYB4
        
          
        
        1862000.00000000
        PA
        USD
        1692446.28000000
        0.198561361960
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-22
          Fixed
          2.61500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARLEY-DAVIDSON FINL SER
        RLUFFFFW4GRYU77BTS24
        Harley-Davidson Financial Services Inc
        41283LBA2
        
          
        
        121000.00000000
        PA
        USD
        115299.69000000
        0.013527202458
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-14
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rockford Tower CLO Ltd
        5493000QG193Z8ZVLY16
        Rockford Tower CLO 2021-1 Ltd
        77341KAJ0
        
          
        
        1882790.00000000
        PA
        USD
        1843889.68000000
        0.216329020596
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          3.25400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335A6X1
        
          
        
        752479.71000000
        PA
        USD
        779878.85000000
        0.091497029152
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BT0
        
          
        
        765000.00000000
        PA
        USD
        728968.50000000
        0.085524119670
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-01
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OLEODUCTO CENTRAL SA
        254900W4CPYCQFVH5E92
        Oleoducto Central SA
        680617AC1
        
          
        
        491000.00000000
        PA
        USD
        459085.00000000
        0.053860819059
        Long
        DBT
        CORP
        CO
        N
        
        2
        
          2027-07-14
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBO COMMUNICACOES PART
        52990054HEKS017PVR75
        Globo Comunicacao e Participacoes SA
        37959DAB0
        
          
        
        645000.00000000
        PA
        USD
        570018.75000000
        0.066875800242
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2030-01-22
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BFLD Trust
        N/A
        BFLD Trust
        05554BAA2
        
          
        
        2976000.00000000
        PA
        USD
        2951785.18000000
        0.346309653949
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          1.99700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        Long: IS1AAR4   CDS USD R F  3.00000 IS1AAR4 CMBX-BBB--398690 / Short: IS1AAR4   CDS USD P V 00MEVENT IS1AAS5 CMBX-BBB--398690
        000000000
        
          
        
        352940.87000000
        OU
        Notional Amount
        USD
        -85946.99000000
        -0.01008348187
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -23585.56000000
            USD
            352940.87000000
            USD
            -62361.43000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FHQA8
        
          
        
        58412.51000000
        PA
        USD
        58066.84000000
        0.006812523960
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Securities
        N/A
        Natixis Commercial Mortgage Securities Trust 2019-MILE
        63875FAA4
        
          
        
        666204.00000000
        PA
        USD
        662802.70000000
        0.077761408665
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-15
          Floating
          1.89700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENBRIDGE ENERGY PARTNERS
        CZ6VG2MNE1J6YDI02G48
        Enbridge Energy Partners LP
        29250RAX4
        
          
        
        1713000.00000000
        PA
        USD
        2377849.56000000
        0.278974318269
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-15
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380GQ64
        
          
        
        1028159.93000000
        PA
        USD
        145435.18000000
        0.017062761612
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-09-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Affirm Inc
        N/A
        Affirm Asset Securitization Trust 2022-X1
        00834HAA2
        
          
        
        2184000.00000000
        PA
        USD
        2158522.11000000
        0.253242359918
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B0CN4
        
          
        
        1568978.34000000
        PA
        USD
        264914.15000000
        0.031080286002
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-25
          Floating
          5.74300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FTKL4
        
          
        
        66549.04000000
        PA
        USD
        66176.01000000
        0.007763908863
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCB5
        
          
        
        3252900.00000000
        PA
        USD
        3064841.72000000
        0.359573685325
        Long
        DBT
        UST
        US
        N
        
        2
        
          2031-05-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAP3
        
          
        
        1502000.00000000
        PA
        USD
        1513910.86000000
        0.177615210479
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-24
          Fixed
          3.77200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137F7A96
        
          
        
        3949351.17000000
        PA
        USD
        596764.73000000
        0.070013694944
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2013-SFS Mortgage Trust
        12625EAA7
        
          
        
        157195.91000000
        PA
        USD
        156262.86000000
        0.018333087833
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-12
          Fixed
          1.87300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCC8
        
          
        
        2363000.00000000
        PA
        USD
        2167012.78000000
        0.254238503204
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-22
          Fixed
          2.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAF4
        
          
        
        1238000.00000000
        PA
        USD
        1179826.38000000
        0.138419715684
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-02-16
          Fixed
          2.97200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410F3K9
        
          
        
        2266.40000000
        PA
        USD
        2444.92000000
        0.000286843163
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GUARDIAN LIFE INSURANCE
        N1YIDVMMKBHFYCCAIX69
        Guardian Life Insurance Co of America/The
        401378AC8
        
          
        
        868000.00000000
        PA
        USD
        964382.72000000
        0.113143411756
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2077-01-24
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132Y3BL7
        
          
        
        736741.11000000
        PA
        USD
        775623.14000000
        0.090997740292
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prudential Financial Inc
        5PRBRS5FEH7NREC8OR45
        Prudential Financial Inc
        744320AV4
        
          
        
        139000.00000000
        PA
        USD
        139519.86000000
        0.016368763812
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-05-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Invitation Homes Trust
        N/A
        Invitation Homes 2018-SFR2 Trust
        46185HAE2
        
          
        
        509919.91000000
        PA
        USD
        505306.10000000
        0.059283575856
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-06-17
          Floating
          1.67700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCONT GAS PIPE LINE
        N/A
        Transcontinental Gas Pipe Line Co LLC
        893574AP8
        
          
        
        449000.00000000
        PA
        USD
        438219.51000000
        0.051412835829
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avis Budget Rental Car Funding AESOP LLC
        IHXLB8SL0QWSSG2VG640
        Avis Budget Rental Car Funding AESOP LLC
        05377RCY8
        
          
        
        1700000.00000000
        PA
        USD
        1726202.27000000
        0.202521685799
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-09-20
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837BB8
        
          
        
        1043000.00000000
        PA
        USD
        1050186.27000000
        0.123210064949
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2028-03-28
          Fixed
          4.01700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810TF5
        
          
        
        1736000.00000000
        PA
        USD
        1676325.00000000
        0.196669979438
        Long
        DBT
        UST
        US
        N
        
        2
        
          2042-02-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS
        L2Z2MO2EQURH3BREWI15
        Discovery Communications LLC
        25470DBG3
        
          
        
        222000.00000000
        PA
        USD
        233785.98000000
        0.027428263540
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-05-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25
        61765TAG8
        
          
        
        2004883.32000000
        PA
        USD
        54433.38000000
        0.006386238781
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-15
          Variable
          1.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        292234.60000000
        0.034285578735
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            9041050.05000000
            USD
            12469123.95000000
            AUD
            2022-04-28
            292234.60000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2022-R01
        20754LAB5
        
          
        
        2305760.00000000
        PA
        USD
        2198923.76000000
        0.257982366584
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          1.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TERRAFORM GLOBAL OPERATI
        549300LC7QMVR79H5O86
        Terraform Global Operating LLC
        88104UAC7
        
          
        
        117000.00000000
        PA
        USD
        116303.85000000
        0.013645012624
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LYB INTL FINANCE BV
        549300J6QSW38QNOJK61
        LYB International Finance BV
        50247VAA7
        
          
        
        187000.00000000
        PA
        USD
        189993.87000000
        0.022290480966
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PBK0
        
          
        
        1052000.00000000
        PA
        USD
        1094837.44000000
        0.128448634252
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROSS STORES INC
        549300ENZFLPGRDFZQ60
        Ross Stores Inc
        778296AC7
        
          
        
        1925000.00000000
        PA
        USD
        2030721.00000000
        0.238248464536
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAT8
        
          
        
        906000.00000000
        PA
        USD
        923920.68000000
        0.108396320008
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-08-11
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140M2LW0
        
          
        
        6731775.00000000
        PA
        USD
        6627464.80000000
        0.777548128163
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RG5
        
          
        
        645600.00000000
        PA
        USD
        725795.63000000
        0.085151871879
        Long
        DBT
        UST
        US
        N
        
        2
        
          2044-05-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402CVP4
        
          
        
        2587.41000000
        PA
        USD
        2782.89000000
        0.000326494515
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Synchrony Financial
        549300RS7EWPM9MA6C78
        Synchrony Financial
        87165BAG8
        
          
        
        873000.00000000
        PA
        USD
        891498.87000000
        0.104592524976
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1U5X5   CDS USD R F  3.00000 IS1U5X5 CMBX / Short: IS1U5X5   CDS USD P V 01MEVENT IS1U5Y6 CMBX
        000000000
        
          
        
        23911.98000000
        OU
        Notional Amount
        USD
        -5822.96000000
        -0.00068316193
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -2304.80000000
            USD
            23911.98000000
            USD
            -3518.16000000
          
        
        
          N
          N
          N
        
      
      
        Voya Financial Inc
        549300T065Z4KJ686G75
        Voya Financial Inc
        45685EAG1
        
          
        
        742000.00000000
        PA
        USD
        745932.60000000
        0.087514383609
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-05-15
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140M2QB1
        
          
        
        5300835.59000000
        PA
        USD
        5212072.04000000
        0.611491268660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Home Equity Trust
        N/A
        Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates Series 2004-1
        86359BMW8
        
          
        
        43300.01000000
        PA
        USD
        42048.05000000
        0.004933165781
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-25
          Floating
          1.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661DR5
        
          
        
        774000.00000000
        PA
        USD
        785726.10000000
        0.092183040836
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-05
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MFS99
        
          
        
        3572110.50000000
        PA
        USD
        3662275.21000000
        0.429665840602
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        114.11000000
        0.000013387625
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            7182.16000000
            USD
            6587.50000000
            EUR
            2022-05-12
            114.11000000
          
        
        
          N
          N
          N
        
      
    
    
      
      
      
      
    
    
      2022-04-19
      BERNSTEIN SANFORD C FUND II INC
      Joseph Mantineo
      Joseph Mantineo
      Treasurer and Chief Financial Officer
    
  





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