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

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May 10, 2022 10:12 AM EDT 

  
    NPORT-P
    false
    
      
      
        
          0000832808
          XXXXXXXX
        
      
      
      
      
        S000011053
        C000030486
        C000084882
        C000030488
      
      
      
    
  
  
    
      BERNSTEIN SANFORD C FUND INC
      811-05555
      0000832808
      549300GA5IHQHIM7CU60
      ALLIANCEBERNSTEIN LP
      1345 AVENUE OF THE AMERICAS
      NEW YORK
      
      10105
      212-969-1000
      Short Duration Plus Portfolio
      S000011053
      549300HCBIZ0OTJC2W76
      2022-09-30
      2022-03-31
      N
    
    
      236890500.77
      1713753.06
      235176747.71
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      353000.00000000
      0.00000000
      0.00000000
      7966416.53000000
      
        
          EUR
          
          
        
        
          JPY
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AFW94
        
          
        
        445000.00000000
        PA
        USD
        446678.90000000
        0.189933275440
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2024-02-13
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2022-R02
        20754BAA9
        
          
        
        484584.45000000
        PA
        USD
        480608.68000000
        0.204360628625
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-25
          Floating
          1.29900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2011-C3
        61760RAJ1
        
          
        
        54008.75000000
        PA
        USD
        54313.92000000
        0.023094936267
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-15
          Variable
          5.08600000
          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
        
          
        
        18173.11000000
        OU
        Notional Amount
        USD
        -4425.46000000
        -0.00188175916
        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
            -1971.63000000
            USD
            18173.11000000
            USD
            -2453.83000000
          
        
        
          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
        
          
        
        2869.43000000
        OU
        Notional Amount
        USD
        -698.76000000
        -0.00029712121
        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
            -438.01000000
            USD
            2869.43000000
            USD
            -260.75000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AEHA8
        
          
        
        192651.23000000
        PA
        USD
        192744.95000000
        0.081957485966
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-25
          Floating
          0.80700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Drive Auto Receivables Trust
        N/A
        Drive Auto Receivables Trust 2021-1
        262108AE3
        
          
        
        220000.00000000
        PA
        USD
        216710.85000000
        0.092148076759
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          1.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1OD88   CDS USD R F  3.00000 IS1OD88 CMBX / Short: IS1OD88   CDS USD P V 01MEVENT IS1OD99 CMBX
        000000000
        
          
        
        36346.21000000
        OU
        Notional Amount
        USD
        -8850.91000000
        -0.00376351407
        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
            -3856.15000000
            USD
            36346.21000000
            USD
            -4994.76000000
          
        
        
          N
          N
          N
        
      
      
        VASA Trust
        N/A
        VASA Trust 2021-VASA
        92230AAA4
        
          
        
        830000.00000000
        PA
        USD
        812320.67000000
        0.345408582230
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-07-15
          Floating
          1.29700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAL5
        
          
        
        99000.00000000
        PA
        USD
        89685.09000000
        0.038135185928
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-20
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31339UZQ6
        
          
        
        242385.50000000
        PA
        USD
        245379.13000000
        0.104338176452
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER HOLDINGS USA
        549300SMVCQN2P0O6I58
        Santander Holdings USA Inc
        80282KBC9
        
          
        
        185000.00000000
        PA
        USD
        172836.25000000
        0.073492065726
        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
        
          
        
        147888.24000000
        PA
        USD
        149345.04000000
        0.063503318867
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re Ltd
        07876MAB3
        
          
        
        684390.00000000
        PA
        USD
        684389.59000000
        0.291010738376
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2031-03-25
          Floating
          2.29900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAG6
        
          
        
        59364800.00000000
        PA
        USD
        59160733.50000000
        25.15586003976
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-08-31
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900SCWI9IDKK5LV64
        Bellemeade Re 2019-3 Ltd
        07877GAB5
        
          
        
        158171.58000000
        PA
        USD
        157990.25000000
        0.067179366811
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-07-25
          Floating
          2.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R03
        20754AAA1
        
          
        
        664087.20000000
        PA
        USD
        655698.98000000
        0.278811143697
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          0.94900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freedom Financial
        N/A
        FREED ABS Trust 2021-2
        35635CAA0
        
          
        
        93553.32000000
        PA
        USD
        93415.44000000
        0.039721375905
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-06-19
          Fixed
          0.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128285D8
        
          
        
        65215000.00000000
        PA
        USD
        65958858.59000000
        28.04650512104
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-09-30
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSF 2021 1 ISSUER LLC
        N/A
        GSF 2021 1 ISSUER LLC
        36261CAC5
        
          
        
        289000.00000000
        PA
        USD
        284002.84000000
        0.120761445493
        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
        
          
        
        814500.00000000
        PA
        USD
        805921.28000000
        0.342687484135
        Long
        ABS-MBS
        CORP
        KY
        N
        
        2
        
          2024-11-17
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MVW Owner Trust
        N/A
        MVW 2021-2 LLC
        55400KAA3
        
          
        
        522694.80000000
        PA
        USD
        492161.95000000
        0.209273218884
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2039-05-20
          Fixed
          1.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortgage Trust
        N/A
        UBS-Barclays Commercial Mortgage Trust 2013-C5
        90270YAL3
        
          
        
        505184.00000000
        PA
        USD
        483518.02000000
        0.205597715211
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-03-10
          Variable
          4.07400000
          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
        
          
        
        1940000.00000000
        OU
        Notional Amount
        USD
        -109128.57000000
        -0.04640278899
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.HY.S38
                2I65BRYR5
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            USD
            -92547.53000000
            USD
            1940000.00000000
            USD
            -16581.04000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BY5
        
          
        
        621000.00000000
        PA
        USD
        593539.38000000
        0.252380129319
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-01-12
          Fixed
          0.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83368RBH4
        
          
        
        367000.00000000
        PA
        USD
        343545.03000000
        0.146079505455
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-01-19
          Fixed
          2.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31339U5V8
        
          
        
        223834.76000000
        PA
        USD
        225689.95000000
        0.095966098773
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2013-GC11
        17320DAN8
        
          
        
        770650.00000000
        PA
        USD
        772469.81000000
        0.328463514153
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-10
          Fixed
          3.42200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B4VN3
        
          
        
        300118.31000000
        PA
        USD
        302181.68000000
        0.128491308321
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-15
          Floating
          0.89700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796M71
        
          
        
        2581400.00000000
        PA
        USD
        2570902.30000000
        1.093178779379
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-09-08
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA4
        35564KNK1
        
          
        
        480966.00000000
        PA
        USD
        468870.38000000
        0.199369361369
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          1.04900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38373MWF3
        
          
        
        269657.33000000
        PA
        USD
        590.12000000
        0.000250926167
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-08-16
          Variable
          0.96200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Foursight Capital Automobile Receivables Trust
        N/A
        Foursight Capital Automobile Receivables Trust 2021-1
        35105WAJ8
        
          
        
        229000.00000000
        PA
        USD
        218708.35000000
        0.092997437939
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          1.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2019-BOCA
        36256QAA5
        
          
        
        502504.00000000
        PA
        USD
        502361.49000000
        0.213610186760
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          1.59700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPS Auto Trust
        N/A
        CPS Auto Receivables Trust 2020-C
        12597TAB6
        
          
        
        202949.52000000
        PA
        USD
        202830.02000000
        0.086245779812
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          1.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAV7
        
          
        
        595000.00000000
        PA
        USD
        550035.85000000
        0.233881901742
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2026-10-29
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAP9
        
          
        
        213418.26000000
        PA
        USD
        219721.38000000
        0.093428190558
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-11-25
          Floating
          5.35700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2020-1 Ltd
        43731WAB1
        
          
        
        120694.56000000
        PA
        USD
        120777.25000000
        0.051355948739
        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
        
          
        
        224360.58000000
        PA
        USD
        210557.69000000
        0.089531678641
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-04-30
          Fixed
          3.58400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade RE 2021-3 Ltd
        078777AA7
        
          
        
        479987.00000000
        PA
        USD
        473059.40000000
        0.201150583383
        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
        
          
        
        296863.00000000
        PA
        USD
        294077.21000000
        0.125045189570
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-12-19
          Floating
          1.47900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Westlake Automobile Receivables Trust
        N/A
        Westlake Automobile Receivables Trust 2020-3
        96042QAJ9
        
          
        
        657000.00000000
        PA
        USD
        644899.37000000
        0.274219018793
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-11-17
          Fixed
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPS Auto Trust
        N/A
        CPS Auto Receivables Trust 2021-A
        12656NAE1
        
          
        
        635000.00000000
        PA
        USD
        622536.16000000
        0.264709911188
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          0.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atalaya Equipment Leasing Fund I LP
        N/A
        Atalaya Equipment Leasing Trust 21-1
        046497AA1
        
          
        
        99855.79000000
        PA
        USD
        99745.70000000
        0.042413079086
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          0.32600000
          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
        
          
        
        13390.71000000
        OU
        Notional Amount
        USD
        -3260.86000000
        -0.00138655714
        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
            -1530.25000000
            USD
            13390.71000000
            USD
            -1730.61000000
          
        
        
          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
        
          
        
        14347.19000000
        OU
        Notional Amount
        USD
        -3493.78000000
        -0.00148559754
        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
            -1725.05000000
            USD
            14347.19000000
            USD
            -1768.73000000
          
        
        
          N
          N
          N
        
      
      
        Affirm Inc
        N/A
        Affirm Asset Securitization Trust 2021-A
        00833MAA2
        
          
        
        479000.00000000
        PA
        USD
        476483.57000000
        0.202606581917
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEA5
        
          
        
        7196100.00000000
        PA
        USD
        7097153.63000000
        3.017795636306
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-02-29
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upstart Securitization Trust
        N/A
        Upstart Securitization Trust 2021-1
        91681NAA2
        
          
        
        86388.22000000
        PA
        USD
        85596.40000000
        0.036396625445
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-03-20
          Fixed
          0.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412CFA3
        
          
        
        662.67000000
        PA
        USD
        683.35000000
        0.000290568692
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-01-01
          Floating
          1.56200000
          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
        
          
        
        2869.43000000
        OU
        Notional Amount
        USD
        -698.76000000
        -0.00029712121
        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
            -350.20000000
            USD
            2869.43000000
            USD
            -348.56000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B6VQ1
        
          
        
        252404.96000000
        PA
        USD
        253616.78000000
        0.107840924950
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-12-15
          Floating
          0.84700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carvana Auto Receivables Trust
        N/A
        Carvana Auto Receivables Trust 2021-N1
        14687DAC6
        
          
        
        622000.00000000
        PA
        USD
        612183.16000000
        0.260307690263
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-01-10
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R01
        20754RAA4
        
          
        
        150918.29000000
        PA
        USD
        149833.53000000
        0.063711030728
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          0.84900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2011-GC5
        36191YAE8
        
          
        
        545670.77000000
        PA
        USD
        546644.90000000
        0.232440028754
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-08-10
          Variable
          5.16300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        5493004GWEVMOU8S3L34
        COMM 2014-UBS4 Mortgage Trust
        12591QAR3
        
          
        
        750000.00000000
        PA
        USD
        752802.00000000
        0.320100523257
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-10
          Fixed
          3.69400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1I2V6   CDS USD R F  3.00000 IS1I2V6 CMBX / Short: IS1I2V6   CDS USD P V 01MEVENT IS1I2W7 CMBX
        000000000
        
          
        
        153036.69000000
        OU
        Notional Amount
        USD
        -37266.99000000
        -0.01584637527
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -22293.59000000
            USD
            153036.69000000
            USD
            -14973.40000000
          
        
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortgage Trust
        N/A
        UBS-Barclays Commercial Mortgage Trust 2012-C4
        90270RBC7
        
          
        
        463170.29000000
        PA
        USD
        463699.37000000
        0.197170585321
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-10
          Fixed
          2.53300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAK7
        
          
        
        298000.00000000
        PA
        USD
        274192.78000000
        0.116590089228
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genworth Mortgage Insurance Corporation
        N/A
        Triangle Re 2021-3 Ltd
        89600HAA7
        
          
        
        297236.00000000
        PA
        USD
        295571.27000000
        0.125680481968
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2034-02-25
          Floating
          1.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HFX FUNDING ISSUER
        N/A
        HFX FUNDING ISSUER
        40422GAE0
        
          
        
        470000.00000000
        PA
        USD
        455835.23000000
        0.193826657796
        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
        
          
        
        778650000.00000000
        PA
        
        6397095.21000000
        2.720122321739
        Long
        STIV
        NUSS
        JP
        N
        
        2
        
          2022-06-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Credit Auto Owner Trust/Ford Credit
        N/A
        Ford Credit Auto Owner Trust 2021-REV1
        345340AC7
        
          
        
        202000.00000000
        PA
        USD
        188216.09000000
        0.080031759871
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-10-17
          Fixed
          1.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hertz Vehicle Financing LLC
        549300MNOMKDMDFI8J66
        Hertz Vehicle Financing III LLC
        42806MAJ8
        
          
        
        562000.00000000
        PA
        USD
        539583.51000000
        0.229437440246
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-06-25
          Fixed
          1.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rad CLO Ltd
        N/A
        Rad CLO 2 Ltd
        48661TAJ4
        
          
        
        614483.00000000
        PA
        USD
        610190.22000000
        0.259460268050
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-10-15
          Floating
          1.32100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        Credit Suisse AG
        22546DAA4
        
          
        
        561000.00000000
        PA
        USD
        575238.18000000
        0.244598237538
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-08-08
          Fixed
          6.50000000
          N
          N
          N
          N
          Y
          
            
              Credit Suisse AG
              Credit Suisse AG
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Provident Funding Mortgage Warehouse Securitization Trust
        N/A
        Provident Funding Mortgage Warehouse Securitization Trust 2021-1
        74387PAA0
        
          
        
        219757.81000000
        PA
        USD
        216810.46000000
        0.092190432137
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2055-02-25
          Floating
          0.88700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Affirm Inc
        N/A
        Affirm Asset Securitization Trust 2021-Z1
        00834CAA3
        
          
        
        176659.15000000
        PA
        USD
        173827.20000000
        0.073913429661
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          1.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2022-R01
        20754LAA7
        
          
        
        1435388.16000000
        PA
        USD
        1420859.02000000
        0.604166455159
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          1.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8
        46638UAM8
        
          
        
        355000.00000000
        PA
        USD
        354308.25000000
        0.150656156890
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-15
          Variable
          4.62600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BOBL FUTURE JUN22
        000000000
        
          
        
        37.00000000
        NC
        
        26001.42000000
        0.011056118537
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                EUX 5 Year Euro BOBL Future
                OEM2 COMDTY
              
            
            2022-06-08
            4744315.89000000
            EUR
            26001.42000000
          
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280DA4
        
          
        
        595000.00000000
        PA
        USD
        583516.50000000
        0.248118279414
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-10
          Fixed
          2.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2T0
        
          
        
        490000.00000000
        PA
        USD
        461085.10000000
        0.196058966071
        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
        
          
        
        14347.19000000
        OU
        Notional Amount
        USD
        -3493.78000000
        -0.00148559754
        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
            -1781.87000000
            USD
            14347.19000000
            USD
            -1711.91000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA6
        35564KKR9
        
          
        
        398750.00000000
        PA
        USD
        394451.24000000
        0.167725442179
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          0.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        College Ave Student Loans
        N/A
        College Ave Student Loans 2021-C LLC
        19424WAB3
        
          
        
        482263.19000000
        PA
        USD
        454706.14000000
        0.193346555060
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-07-26
          Fixed
          2.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crossroads Asset Trust
        N/A
        Crossroads Asset Trust 2021-A
        22767CAC4
        
          
        
        172000.00000000
        PA
        USD
        167979.57000000
        0.071426946598
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-06-20
          Fixed
          1.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        549300KSCKXTOBY0IP86
        Voya CLO 2019-1 Ltd
        92917NAS7
        
          
        
        130000.00000000
        PA
        USD
        124333.30000000
        0.052868024245
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          3.09100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSF 2021 1 ISSUER LLC
        N/A
        GSF 2021 1 ISSUER LLC
        36261CAE1
        
          
        
        18000.00000000
        PA
        USD
        17380.72000000
        0.007390492541
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2026-08-15
          Variable
          2.63800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2013-GC15
        17321JAH7
        
          
        
        516418.00000000
        PA
        USD
        514457.68000000
        0.218753633175
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-09-10
          Variable
          5.17600000
          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
        
          
        
        38259.18000000
        OU
        Notional Amount
        USD
        -9316.75000000
        -0.00396159488
        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
            -4626.69000000
            USD
            38259.18000000
            USD
            -4690.06000000
          
        
        
          N
          N
          N
        
      
      
        LSTAR Commercial Mortgage Trust
        N/A
        LSTAR Commercial Mortgage Trust 2016-4
        50219QAC8
        
          
        
        496202.41000000
        PA
        USD
        495041.05000000
        0.210497447056
        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
        
          
        
        199904.18000000
        OU
        Notional Amount
        USD
        -48680.00000000
        -0.02069932528
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -11282.35000000
            USD
            199904.18000000
            USD
            -37397.65000000
          
        
        
          N
          N
          N
        
      
      
        Donlen Fleet Lease Funding
        549300ZWUQETU54FDP26
        Donlen Fleet Lease Funding 2 LLC
        257812AF4
        
          
        
        371000.00000000
        PA
        USD
        355871.96000000
        0.151321065311
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-12-11
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        254900JBDDKUTX6TX151
        Radnor RE 2019-1 Ltd
        75049SAB9
        
          
        
        191558.52000000
        PA
        USD
        191813.29000000
        0.081561332856
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-02-25
          Floating
          2.40700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables Trust
        N/A
        Exeter Automobile Receivables Trust 2021-2
        30166RAE7
        
          
        
        540000.00000000
        PA
        USD
        529622.50000000
        0.225201898213
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          0.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAZ4
        
          
        
        95500.00000000
        PA
        USD
        88397.19000000
        0.037587555258
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-11-30
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AZURE ORBIT IV INTL FIN
        549300DX1ZQGOMLNIF41
        Azure Orbit IV International Finance Ltd
        000000000
        
          
        
        900000.00000000
        PA
        USD
        903051.00000000
        0.383988216859
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-01-25
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT INTL FINANCE PLC
        21380041YBGOQDFAC823
        BAT International Finance PLC
        05530QAN0
        
          
        
        740000.00000000
        PA
        USD
        680237.60000000
        0.289245261967
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-25
          Fixed
          1.66800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corporation
        N/A
        JPMorgan Chase Bank NA - CHASE
        46591HAC4
        
          
        
        65489.41000000
        PA
        USD
        65368.83000000
        0.027795617822
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-25
          Floating
          2.55700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2019-BPR
        61769GAJ6
        
          
        
        365000.00000000
        PA
        USD
        349073.08000000
        0.148430099233
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-15
          Floating
          3.44700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cooperatieve Rabobank UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        21684AAF3
        
          
        
        282000.00000000
        PA
        USD
        280248.78000000
        0.119165173738
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-07-21
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAJUN GLOBAL LLC
        N/A
        Cajun Global LLC
        12803VAA3
        
          
        
        102613.75000000
        PA
        USD
        96974.30000000
        0.041234646258
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-11-20
          Fixed
          3.93100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPS Auto Trust
        N/A
        CPS Auto Receivables Trust 2021-B
        12656QAC8
        
          
        
        389000.00000000
        PA
        USD
        377565.89000000
        0.160545586958
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          1.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERCK & CO INC
        4YV9Y5M8S0BRK1RP0397
        Merck & Co Inc
        58933YBC8
        
          
        
        736000.00000000
        PA
        USD
        697286.40000000
        0.296494618107
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-10
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MZ39
        
          
        
        674495.94000000
        PA
        USD
        724006.03000000
        0.307856128231
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XDS0
        
          
        
        123926.08000000
        PA
        USD
        129353.79000000
        0.055002797368
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-04-25
          Floating
          4.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3137EAEV7
        
          
        
        2000000.00000000
        PA
        USD
        1949813.58000000
        0.829084337200
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-08-24
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        JPMorgan Chase Bank NA - CACLN
        48128U2M0
        
          
        
        417364.19000000
        PA
        USD
        409576.72000000
        0.174156979373
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-12-26
          Fixed
          0.88900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAIDU INC
        254900AL64IANZYI1E02
        Baidu Inc
        056752AV0
        
          
        
        397000.00000000
        PA
        USD
        356696.56000000
        0.151671695213
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-02-23
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BS29BB1   IRS USD R V 03MLIBOR IS29BC2 CCPVANILLA / Short: BS29BB1   IRS USD P F  1.61650 IS29BB1 CCPVANILLA
        000000000
        
          
        
        2830000.00000000
        OU
        Notional Amount
        USD
        161942.02000000
        0.068859707252
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-05-21
            0.00000000
            USD
            0.00000000
            USD
            2830000.00000000
            USD
            161942.02000000
          
        
        
          N
          N
          N
        
      
      
        Port Authority of New York & New Jersey
        54930006MR4KZ4W74Z83
        PORT AUTH OF NEW YORK & NEW JERSEY NY
        73358W4V3
        
          
        
        280000.00000000
        PA
        USD
        276668.28000000
        0.117642701795
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-07-01
          Fixed
          1.08600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDICORP LTD
        529900UYAEYQCQ2BKB17
        Credicorp Ltd
        000000000
        
          
        
        389000.00000000
        PA
        USD
        373216.33000000
        0.158696101393
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-06-17
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137APGN4
        
          
        
        295454.89000000
        PA
        USD
        291536.36000000
        0.123964789392
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526BR9
        
          
        
        234000.00000000
        PA
        USD
        236421.90000000
        0.100529453826
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2023-02-27
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCW9
        
          
        
        1749200.00000000
        PA
        USD
        1623476.25000000
        0.690321754088
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-08-31
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCP CLO Ltd
        254900MN6N176YEZLX15
        OCP CLO 2020-18 Ltd
        671078AN3
        
          
        
        590000.00000000
        PA
        USD
        582327.64000000
        0.247612761750
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-20
          Floating
          1.34400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AG2
        
          
        
        227000.00000000
        PA
        USD
        219079.97000000
        0.093155455262
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-08
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cencosud SA
        549300NLTGCFV7482429
        Cencosud SA
        000000000
        
          
        
        481000.00000000
        PA
        USD
        499037.50000000
        0.212196785974
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2025-02-12
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upstart Securitization Trust
        N/A
        Upstart Securitization Trust 2021-3
        91679LAA0
        
          
        
        361051.89000000
        PA
        USD
        354581.05000000
        0.150772154752
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-07-20
          Fixed
          0.83000000
          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
        
          
        
        160688.54000000
        OU
        Notional Amount
        USD
        -39130.34000000
        -0.01663869425
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -12611.35000000
            USD
            160688.54000000
            USD
            -26518.99000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900K56RF3Z7VQ3U81
        Bellemeade Re 2019-1 Ltd
        07876RAB2
        
          
        
        219356.86000000
        PA
        USD
        219404.92000000
        0.093293627935
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-03-25
          Floating
          2.20700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN22
        000000000
        
          
        
        -7.00000000
        NC
        USD
        -2337.77000000
        -0.00099404810
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                Ultra 10-Year US Treasury Note Futures
                UXYM2 COMDTY
              
            
            2022-06-21
            -945943.48000000
            USD
            -2337.77000000
          
        
        
          N
          N
          N
        
      
      
        Santander Consumer Auto Receivables Trust
        N/A
        Santander Consumer Auto Receivables Trust 2021-A
        80282YAG1
        
          
        
        727000.00000000
        PA
        USD
        684224.34000000
        0.290940472075
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          1.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAX2
        
          
        
        12922.82000000
        PA
        USD
        12922.82000000
        0.005494939497
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-25
          Floating
          4.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brex Inc
        N/A
        Brex Commercial Charge Card Master Trust
        05601DAA1
        
          
        
        555000.00000000
        PA
        USD
        548719.56000000
        0.233322199300
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          2.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P8M0   CDS USD R F  3.00000 IS1P8M0 CMBX / Short: IS1P8M0   CDS USD P V 01MEVENT IS1P8N1 CMBX
        000000000
        
          
        
        20086.06000000
        OU
        Notional Amount
        USD
        -4891.29000000
        -0.00207983571
        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
            -2415.08000000
            USD
            20086.06000000
            USD
            -2476.21000000
          
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 78 CLO Ltd
        26253LAE2
        
          
        
        320000.00000000
        PA
        USD
        317413.44000000
        0.134968037057
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-17
          Floating
          2.19100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BCP Trust
        N/A
        BCP Trust 2021-330N
        05553BAA3
        
          
        
        102756.00000000
        PA
        USD
        100574.20000000
        0.042765367315
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          1.19600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2019-SMP
        36259NAA9
        
          
        
        250000.00000000
        PA
        USD
        247195.35000000
        0.105110455181
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-08-15
          Floating
          1.54700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36225BUB2
        
          
        
        33155.30000000
        PA
        USD
        36549.01000000
        0.015541081486
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-03-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816CS6
        
          
        
        262000.00000000
        PA
        USD
        254629.94000000
        0.108271732847
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-04
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2021-1 Ltd
        437307AA9
        
          
        
        470331.46000000
        PA
        USD
        469194.57000000
        0.199507210882
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2033-07-25
          Floating
          1.50700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEK7
        
          
        
        303000.00000000
        PA
        USD
        288955.95000000
        0.122867567824
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-21
          Fixed
          2.47500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300LGCRX4YI1JNS93
        Neuberger Berman Loan Advisers Clo 42 Ltd
        64133WAA3
        
          
        
        799055.00000000
        PA
        USD
        791261.02000000
        0.336453764117
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-07-16
          Floating
          1.34100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        254900YVLP8CB4GC2O97
        Radnor RE 2020-1 Ltd
        750493AA6
        
          
        
        184714.00000000
        PA
        USD
        183375.34000000
        0.077973414372
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2030-01-25
          Floating
          1.40700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upstart Securitization Trust
        N/A
        Upstart Securitization Trust 2020-3
        91680EAA3
        
          
        
        180743.98000000
        PA
        USD
        180356.72000000
        0.076689860607
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-11-20
          Fixed
          1.70200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDV0
        
          
        
        2480700.00000000
        PA
        USD
        2419070.11000000
        1.028617894224
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-01-31
          Fixed
          0.87500000
          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
        
          
        
        132950.63000000
        OU
        Notional Amount
        USD
        -32375.69000000
        -0.01376653530
        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
            -15587.69000000
            USD
            132950.63000000
            USD
            -16788.00000000
          
        
        
          N
          N
          N
        
      
      
        Invitation Homes Trust
        N/A
        Invitation Homes 2018-SFR3 Trust
        46187VAA7
        
          
        
        51335.05000000
        PA
        USD
        51335.03000000
        0.021828276179
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-07-17
          Floating
          1.44100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KMA4
        
          
        
        754281.00000000
        PA
        USD
        739757.77000000
        0.314553958757
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-25
          Floating
          0.94900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        5493002EPQ51IPGGFX73
        GS Mortgage Securities Trust 2015-GC28
        36251FAW6
        
          
        
        500000.00000000
        PA
        USD
        498621.00000000
        0.212019685132
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-02-10
          Fixed
          3.39600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables Trust
        N/A
        Exeter Automobile Receivables Trust 2020-3
        30166NAE6
        
          
        
        477000.00000000
        PA
        USD
        473175.94000000
        0.201200137601
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          1.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1PBA9   CDS USD R F  3.00000 IS1PBA9 CMBX / Short: IS1PBA9   CDS USD P V 01MEVENT IS1PBB0 CMBX
        000000000
        
          
        
        55475.80000000
        OU
        Notional Amount
        USD
        -13509.28000000
        -0.00574430938
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -6742.13000000
            USD
            55475.80000000
            USD
            -6767.15000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN22
        000000000
        
          
        
        459.00000000
        NC
        USD
        -1256501.32000000
        -0.53427957152
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            98528642.40000000
            USD
            -1256501.32000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAH4
        
          
        
        65000.00000000
        PA
        USD
        66996.15000000
        0.028487573985
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        20754KAA9
        
          
        
        593161.65000000
        PA
        USD
        586859.13000000
        0.249539606153
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-25
          Floating
          0.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCM5
        
          
        
        597000.00000000
        PA
        USD
        584516.73000000
        0.248543589318
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-03
          Fixed
          2.63600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEC1
        
          
        
        2491100.00000000
        PA
        USD
        2428044.03000000
        1.032433713639
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-02-28
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AH0
        
          
        
        393000.00000000
        PA
        USD
        366008.76000000
        0.155631355380
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-25
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        Long: IS17H29   CDS USD R F  3.00000 IS17H29 CMBX-BBB--379858 / Short: IS17H29   CDS USD P V 00MEVENT IS17H30 CMBX-BBB--379858
        000000000
        
          
        
        126255.27000000
        OU
        Notional Amount
        USD
        -30745.26000000
        -0.01307325673
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -9702.66000000
            USD
            126255.27000000
            USD
            -21042.60000000
          
        
        
          N
          N
          N
        
      
      
        First Investors Auto Owner Trust
        N/A
        First Investors Auto Owner Trust 2018-1
        32059RAL7
        
          
        
        650000.00000000
        PA
        USD
        658282.37000000
        0.279909632397
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          5.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN22
        000000000
        
          
        
        79.00000000
        NC
        USD
        -306687.03000000
        -0.13040703767
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            9366999.53000000
            USD
            -306687.03000000
          
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AU5
        
          
        
        618000.00000000
        PA
        USD
        578268.78000000
        0.245886885345
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-15
          Fixed
          2.26800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atalaya Equipment Leasing Fund I LP
        N/A
        Atalaya Equipment Leasing Trust 21-1
        046497AB9
        
          
        
        530000.00000000
        PA
        USD
        519968.85000000
        0.221097049373
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          1.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2021-D
        64034YAB7
        
          
        
        144007.02000000
        PA
        USD
        137255.55000000
        0.058362721372
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-04-20
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Affirm Inc
        N/A
        Affirm Asset Securitization Trust 2021-B
        00834DAB9
        
          
        
        198000.00000000
        PA
        USD
        185694.66000000
        0.078959617312
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-08-17
          Fixed
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-HQA1
        35564KTA7
        
          
        
        600000.00000000
        PA
        USD
        600729.90000000
        0.255437625466
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AGL CLO Ltd.
        54930005OE1IFBESDA27
        AGL CLO 12 Ltd
        00120BAA8
        
          
        
        685658.00000000
        PA
        USD
        681052.44000000
        0.289591741799
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          1.41400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Jersey Turnpike Authority
        5493005YN67D71KSMI84
        NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE
        646140DP5
        
          
        
        125000.00000000
        PA
        USD
        116028.39000000
        0.049336675980
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2026-01-01
          Fixed
          1.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KYNDRYL HOLDINGS INC
        549300LQ4LWX2R8ZV130
        Kyndryl Holdings Inc
        50155QAA8
        
          
        
        641000.00000000
        PA
        USD
        575957.73000000
        0.244904198909
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT Credit Risk Transfer Trust
        N/A
        PMT Credit Risk Transfer Trust 2019-3R
        69349MAA4
        
          
        
        28751.66000000
        PA
        USD
        28680.18000000
        0.012195159716
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2022-10-27
          Floating
          3.14500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Affirm Asset Securitization Trust 2020-A
        N/A
        Affirm Asset Securitization Trust 2020-A
        00833LAA4
        
          
        
        151112.71000000
        PA
        USD
        150843.38000000
        0.064140431173
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-02-18
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        JPMorgan Chase Bank NA - CACLN
        46591HAP5
        
          
        
        278260.54000000
        PA
        USD
        276733.92000000
        0.117670612717
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-01-25
          Fixed
          1.38900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2013-WBRK
        05525BAL4
        
          
        
        185000.00000000
        PA
        USD
        169261.92000000
        0.071972217342
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-10
          Variable
          3.53400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MET LIFE GLOB FUNDING I
        635400MMSOCXNNNZDZ82
        Metropolitan Life Global Funding I
        59217GDB2
        
          
        
        650000.00000000
        PA
        USD
        651989.00000000
        0.277233615290
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-17
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ashford Hospitality Trust
        N/A
        Ashford Hospitality Trust 2018-KEYS
        04410CAA7
        
          
        
        113307.00000000
        PA
        USD
        112298.62000000
        0.047750732627
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-15
          Floating
          1.39700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MC6J9
        
          
        
        22871.19000000
        PA
        USD
        23324.95000000
        0.009918051094
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCU3
        
          
        
        3984200.00000000
        PA
        USD
        3877124.63000000
        1.648600326245
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-08-31
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Long: IS19B23   CDS USD R F  3.00000 IS19B23 CMBX-BBB--394944 / Short: IS19B23   CDS USD P V 00MEVENT IS19B34 CMBX-BBB--394944
        000000000
        
          
        
        425633.31000000
        OU
        Notional Amount
        USD
        -103648.80000000
        -0.04407272445
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -28937.69000000
            USD
            425633.31000000
            USD
            -74711.11000000
          
        
        
          N
          N
          N
        
      
      
        Dext ABS
        N/A
        Dext ABS 2021-1 LLC
        23345CAA7
        
          
        
        640242.52000000
        PA
        USD
        626274.41000000
        0.266299460341
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          1.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAQ8
        
          
        
        200000.00000000
        PA
        USD
        201388.00000000
        0.085632615452
        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
        
          
        
        567600.01000000
        PA
        USD
        573391.86000000
        0.243813159924
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CarMax Auto Owner Trust
        N/A
        Carmax Auto Owner Trust 2021-1
        14316NAF6
        
          
        
        190000.00000000
        PA
        USD
        178110.94000000
        0.075734927765
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          0.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VORNADO REALTY LP
        549300BMOJ05INE4YK86
        Vornado Realty LP
        929043AK3
        
          
        
        426000.00000000
        PA
        USD
        398949.00000000
        0.169637944178
        Long
        DBT
        
        US
        N
        
        2
        
          2026-06-01
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        3135G0V34
        
          
        
        810000.00000000
        PA
        USD
        814067.52000000
        0.346151363996
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2024-02-05
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        459200JX0
        
          
        
        675000.00000000
        PA
        USD
        676417.50000000
        0.287620909204
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-05-13
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAT1
        
          
        
        48916.27000000
        PA
        USD
        49282.03000000
        0.020955315727
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-02-25
          Floating
          4.75700000
          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
        
          
        
        822572.23000000
        OU
        Notional Amount
        USD
        -200310.05000000
        -0.08517425806
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -53895.60000000
            USD
            822572.23000000
            USD
            -146414.45000000
          
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAG3
        
          
        
        367000.00000000
        PA
        USD
        335805.00000000
        0.142788351004
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-01-19
          Fixed
          3.25700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        5493002S7XBI8CVRR075
        Wells Fargo Commercial Mortgage Trust 2015-NXS1
        94989HAF7
        
          
        
        20483.46000000
        PA
        USD
        20468.26000000
        0.008703351925
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-05-15
          Fixed
          2.63200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagship Credit Auto Trust
        N/A
        Flagship Credit Auto Trust 2019-4
        33845FAC0
        
          
        
        590000.00000000
        PA
        USD
        590865.00000000
        0.251242950569
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-11-17
          Fixed
          2.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0EW5
        
          
        
        119131.95000000
        PA
        USD
        120713.13000000
        0.051328684138
        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
        
          
        
        177905.16000000
        OU
        Notional Amount
        USD
        -43322.87000000
        -0.01842140875
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -27952.23000000
            USD
            177905.16000000
            USD
            -15370.64000000
          
        
        
          N
          N
          N
        
      
      
        DT Auto Owner Trust
        N/A
        DT Auto Owner Trust 2021-2
        23345EAE5
        
          
        
        185000.00000000
        PA
        USD
        178154.08000000
        0.075753271415
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-02-16
          Fixed
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Investors Auto Owner Trust
        N/A
        First Investors Auto Owner Trust 2021-1
        32059FAE9
        
          
        
        351000.00000000
        PA
        USD
        334732.17000000
        0.142332170701
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          1.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Invitation Homes Trust
        N/A
        Invitation Homes 2018-SFR1 Trust
        46185JAE8
        
          
        
        879873.80000000
        PA
        USD
        877354.28000000
        0.373061660450
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-03-17
          Floating
          1.69100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3620AC6T6
        
          
        
        250945.32000000
        PA
        USD
        269856.01000000
        0.114746042126
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-10-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: IS1IDZ7   CDS USD R F  3.00000 IS1IDZ7 CMBX / Short: IS1IDZ7   CDS USD P V 01MEVENT IS1IE09 CMBX
        000000000
        
          
        
        127211.76000000
        OU
        Notional Amount
        USD
        -30978.18000000
        -0.01317229713
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                CMBX.NA.BBB-.6
                137BERAF4
              
            
            Y
            
            sell protection
            2063-05-11
            0.00000000
            USD
            -19703.83000000
            USD
            127211.76000000
            USD
            -11274.35000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137B4WA0
        
          
        
        445212.63000000
        PA
        USD
        447632.85000000
        0.190338906528
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-02-25
          Fixed
          2.87100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2012-GCJ9
        36192PAT3
        
          
        
        517827.00000000
        PA
        USD
        518899.01000000
        0.220642140455
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-11-10
          Fixed
          3.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KRE1
        
          
        
        471926.94000000
        PA
        USD
        469080.32000000
        0.199458630399
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-25
          Floating
          1.39900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elevation CLO Ltd
        N/A
        Elevation CLO 2020-11 Ltd
        28621YAE5
        
          
        
        250000.00000000
        PA
        USD
        244231.75000000
        0.103850296586
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          2.44100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST
        N/A
        PMT Credit Risk Transfer Trust 2019-2R
        69345WAA6
        
          
        
        81239.14000000
        PA
        USD
        80554.09000000
        0.034252574195
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2023-05-27
          Floating
          3.19500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mission Lane Credit Card Master Trust
        N/A
        Mission Lane Credit Card Master Trust
        60510MAA6
        
          
        
        142000.00000000
        PA
        USD
        138454.98000000
        0.058872733528
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          1.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-DNA1
        35564KPU7
        
          
        
        401108.00000000
        PA
        USD
        394033.14000000
        0.167547660998
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-25
          Floating
          1.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAG6
        
          
        
        235000.00000000
        PA
        USD
        235464.63000000
        0.100122411034
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31346YAV5
        
          
        
        209560.52000000
        PA
        USD
        211362.89000000
        0.089874059428
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        Radnor RE 2019-2 Ltd
        75049TAB7
        
          
        
        135630.15000000
        PA
        USD
        135503.89000000
        0.057617894336
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2029-06-25
          Floating
          2.20700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38148LAE6
        
          
        
        222000.00000000
        PA
        USD
        225483.18000000
        0.095878177666
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-22
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Wolf Trust
        N/A
        Great Wolf Trust 2019-WOLF
        39152TAA8
        
          
        
        700000.00000000
        PA
        USD
        690769.94000000
        0.293723740431
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          1.43100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GoldenTree Loan Management US CLO1, LTD
        549300DO8S88M0JNL340
        Goldentree Loan Management US Clo 7 Ltd
        38138LAL2
        
          
        
        452820.00000000
        PA
        USD
        447548.27000000
        0.190302942088
        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
        
          
        
        865189.09000000
        PA
        USD
        897379.32000000
        0.381576549866
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-06-20
          Fixed
          5.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        JPMorgan Chase Bank NA - CACLN
        46591HBR0
        
          
        
        522108.60000000
        PA
        USD
        512923.56000000
        0.218101306780
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-09-25
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivables Trust
        N/A
        Santander Drive Auto Receivables Trust 2020-4
        80286WAG1
        
          
        
        424000.00000000
        PA
        USD
        412608.43000000
        0.175446099164
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          1.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GCT Commercial Mortgage Trust
        N/A
        GCT Commercial Mortgage Trust 2021-GCT
        36167RAC7
        
          
        
        469006.00000000
        PA
        USD
        460497.20000000
        0.195808983874
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-02-15
          Floating
          1.64700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mello Warehouse Securitization Trust
        N/A
        Mello Warehouse Securitization Trust 2021-1
        58550LAA3
        
          
        
        345583.00000000
        PA
        USD
        342859.05000000
        0.145787818455
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2055-02-25
          Floating
          1.15700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARLEY-DAVIDSON FINL SER
        RLUFFFFW4GRYU77BTS24
        Harley-Davidson Financial Services Inc
        41283LAY1
        
          
        
        532000.00000000
        PA
        USD
        523791.24000000
        0.222722375872
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-08
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACLN
        N/A
        JPMorgan Chase Bank NA - CACLN
        46591HAY6
        
          
        
        119256.99000000
        PA
        USD
        117860.23000000
        0.050115596523
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-02-25
          Fixed
          1.48700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avant Loans Funding Trust
        N/A
        Avant Loans Funding Trust 2021-REV1
        05353LAA3
        
          
        
        811000.00000000
        PA
        USD
        783758.67000000
        0.333263674079
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          1.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2013-GC11
        17320DAQ1
        
          
        
        350000.00000000
        PA
        USD
        350519.19000000
        0.149045002710
        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
        
          
        
        142616.44000000
        PA
        USD
        136893.43000000
        0.058208743565
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2026-08-15
          Variable
          1.43300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687FN1
        
          
        
        561000.00000000
        PA
        USD
        568854.00000000
        0.241883606920
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-24
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re Ltd
        254900SAV74IHXQ8XY35
        Eagle RE 2020-1 Ltd
        26982LAA8
        
          
        
        375000.00000000
        PA
        USD
        372191.10000000
        0.158260161186
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2030-01-25
          Floating
          1.35700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2021-C
        64035GAB5
        
          
        
        452404.60000000
        PA
        USD
        425317.42000000
        0.180850115558
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2062-04-20
          Fixed
          1.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130AJ7E3
        
          
        
        750000.00000000
        PA
        USD
        748646.20000000
        0.318333426790
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2023-02-17
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conn Funding II, L.P
        N/A
        Conn's Receivables Funding 2021-A LLC
        20825GAA3
        
          
        
        418696.57000000
        PA
        USD
        417013.91000000
        0.177319362590
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BY0
        
          
        
        346000.00000000
        PA
        USD
        335941.78000000
        0.142846511515
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-03
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLONY MORTGAGE CAPITAL LTD
        N/A
        CLNY Trust 2019-IKPR
        12564NAL6
        
          
        
        180000.00000000
        PA
        USD
        175943.83000000
        0.074813446360
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          2.42200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re Ltd
        07876AAA1
        
          
        
        368487.00000000
        PA
        USD
        364809.76000000
        0.155121526065
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2031-06-25
          Floating
          1.29900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumer Loan Underlying Bond Credit Trust
        N/A
        Consumer Loan Underlying Bond CLUB Credit Trust 2020-P1
        21055JAB4
        
          
        
        25262.25000000
        PA
        USD
        25274.77000000
        0.010747138161
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          2.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MQ1
        
          
        
        346000.00000000
        PA
        USD
        343090.14000000
        0.145886080720
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-08
          Fixed
          3.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XBV1
        
          
        
        235000.00000000
        PA
        USD
        234624.00000000
        0.099764964982
        Long
        DBT
        
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300F7COUCG1RROP29
        Magnetite XXVI Ltd
        55954YAJ4
        
          
        
        739474.00000000
        PA
        USD
        731069.88000000
        0.310859762760
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-25
          Floating
          1.37800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636ABD2
        
          
        
        353000.00000000
        PA
        USD
        354080.18000000
        0.150559178765
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2025-03-28
          Fixed
          3.77300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NatWest Markets PLC
        RR3QWICWWIPCS8A4S074
        NatWest Markets PLC
        63906AAA8
        
          
        
        825000.00000000
        PA
        USD
        831740.25000000
        0.353666022725
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-09-29
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS 2020-BID Mortgage Trust
        05493BAA6
        
          
        
        546000.00000000
        PA
        USD
        545505.60000000
        0.231955584602
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-15
          Floating
          2.53700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWEST AIRLINES CO
        UDTZ87G0STFETI6HGH41
        Southwest Airlines Co
        844741BJ6
        
          
        
        279000.00000000
        PA
        USD
        292804.92000000
        0.124504196461
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-04
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31294ME80
        
          
        
        39132.24000000
        PA
        USD
        40232.64000000
        0.017107405554
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-03-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: IS1P8K8   CDS USD R F  3.00000 IS1P8K8 CMBX / Short: IS1P8K8   CDS USD P V 01MEVENT IS1P8L9 CMBX
        000000000
        
          
        
        12434.22000000
        OU
        Notional Amount
        USD
        -3027.94000000
        -0.00128751674
        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
            -1495.06000000
            USD
            12434.22000000
            USD
            -1532.88000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA5
        35564KHE2
        
          
        
        198973.00000000
        PA
        USD
        195743.43000000
        0.083232475959
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-25
          Floating
          1.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagship Credit Auto Trust
        N/A
        Flagship Credit Auto Trust 2020-4
        33845XAC1
        
          
        
        615000.00000000
        PA
        USD
        595176.15000000
        0.253076103737
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-02-16
          Fixed
          1.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AKWD1
        
          
        
        345384.16000000
        PA
        USD
        345044.79000000
        0.146717221562
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-08-25
          Floating
          0.42600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARLEY-DAVIDSON FINL SER
        RLUFFFFW4GRYU77BTS24
        Harley-Davidson Financial Services Inc
        41283LBA2
        
          
        
        34000.00000000
        PA
        USD
        32398.26000000
        0.013776132341
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-14
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA6
        35566CAA3
        
          
        
        16097.26000000
        PA
        USD
        16062.86000000
        0.006830122516
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-25
          Floating
          0.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BFLD Trust
        N/A
        BFLD Trust
        05554BAA2
        
          
        
        795000.00000000
        PA
        USD
        788531.32000000
        0.335293062634
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          1.99700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Securities
        N/A
        Natixis Commercial Mortgage Securities Trust 2019-MILE
        63875FAA4
        
          
        
        165647.00000000
        PA
        USD
        164801.29000000
        0.070075503469
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-15
          Floating
          1.89700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAU7
        
          
        
        359000.00000000
        PA
        USD
        359089.75000000
        0.152689308571
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.78800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of New York NY
        549300ABYZD2SFD5JB29
        NEW YORK NY
        64966QRJ1
        
          
        
        740000.00000000
        PA
        USD
        696939.25000000
        0.296347005724
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2025-08-01
          Fixed
          0.98200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAF4
        
          
        
        310000.00000000
        PA
        USD
        295433.10000000
        0.125621730412
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-02-16
          Fixed
          2.97200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DROP Mortgage Trust 2021-FILE
        N/A
        DROP Mortgage Trust 2021-FILE
        26210YAA4
        
          
        
        570000.00000000
        PA
        USD
        563948.99000000
        0.239797937292
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-04-15
          Floating
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GZK3
        
          
        
        239000.00000000
        PA
        USD
        228739.73000000
        0.097262902147
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-24
          Fixed
          2.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2012-GC8
        17318UAF1
        
          
        
        600000.00000000
        PA
        USD
        599984.40000000
        0.255120629842
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-09-10
          Fixed
          3.68300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SINOPEC GRP DEV 2018
        549300C6OZZ8LTVR8209
        Sinopec Group Overseas Development 2018 Ltd
        82939GAF5
        
          
        
        516000.00000000
        PA
        USD
        509777.04000000
        0.216763368387
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-08-08
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837BB8
        
          
        
        355000.00000000
        PA
        USD
        357445.95000000
        0.151990344913
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2028-03-28
          Fixed
          4.01700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AKN74
        
          
        
        11466.54000000
        PA
        USD
        11483.06000000
        0.004882736117
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-02-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJS9
        
          
        
        790000.00000000
        PA
        USD
        734352.40000000
        0.312255530000
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-22
          Fixed
          1.73400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        56108.53000000
        0.023858026163
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            778783927.00000000
            JPY
            6456004.85000000
            USD
            2022-04-28
            56108.53000000
          
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PBK0
        
          
        
        168000.00000000
        PA
        USD
        174840.96000000
        0.074344492685
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
      
      
    
    
      2022-04-19
      BERNSTEIN SANFORD C FUND INC
      Joseph Mantineo
      Joseph Mantineo
      Treasurer and Chief Financial Officer

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