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Form NPORT-P TCW STRATEGIC INCOME For: Jun 30

August 11, 2022 1:26 PM EDT

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    NPORT-P
    false
    
      
      
        
          0000809559
          XXXXXXXX
        
      
      
      
      
      
    
  
  
    
      TCW STRATEGIC INCOME FUND INC
      811-04980
      0000809559
      54930062BZFVP7F6WJ47
      865 S FIGUEROA ST
      SUITE 1800
      LOS ANGELES
      
      90017
      213-244-0000
      TCW STRATEGIC INCOME FUND INC
      54930062BZFVP7F6WJ47
      2022-12-31
      2022-06-30
      N
    
    
      294201641.09
      47867170.27
      246334470.82
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      11460334.96000000
      0.00000000
      0.00000000
      2412299.91000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Deutsche Alt-A Securities INC Mortgage Loan Trust
        N/A
        Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR6
        25150RAF2
        
          
        
        337851.38000000
        PA
        USD
        305068.31000000
        0.123843126373
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BWFCME023 IRS USD R V 03MLIBOR SWFCME023_FLO CCPVANILLA / Short: BWFCME023 IRS USD P F  1.80750 SWFCME023_FIX CCPVANILLA
        000000000
        
          
        
        265000.00000000
        OU
        Notional Amount
        USD
        54737.71000000
        0.022220889272
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2053-07-24
            0.00000000
            USD
            0.00000000
            USD
            265000.00000000
            USD
            54737.71000000
          
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        N/A
        Bear Stearns ALT-A Trust 2005-3
        07386HSN2
        
          
        
        282581.31000000
        PA
        USD
        280385.91000000
        0.113823253833
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-25
          Variable
          2.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCB0
        
          
        
        425000.00000000
        PA
        USD
        379465.50000000
        0.154044823177
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-22
          Fixed
          1.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alabama Economic Settlement Authority
        N/A
        ALABAMA ECON SETTLEMENT AUTH BP SETTLEMENT REVENUE
        01026CAD3
        
          
        
        705000.00000000
        PA
        USD
        703680.66000000
        0.285660653849
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2032-09-15
          Fixed
          4.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA ASAHAN ALUMINI
        2549008P48EB9SN2OI80
        Indonesia Asahan Aluminium Persero PT
        74445PAC6
        
          
        
        300000.00000000
        PA
        USD
        304968.00000000
        0.123802405316
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2028-11-15
          Fixed
          6.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        British American Tobacco PLC
        213800FKA5MF17RJKT63
        British American Tobacco PLC
        110448107
        
          
        
        15706.00000000
        NS
        USD
        673944.46000000
        0.273589180497
        Long
        EC
        CORP
        GB
        N
        
        1
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BK6
        
          
        
        530000.00000000
        PA
        USD
        524880.20000000
        0.213076228533
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-22
          Fixed
          4.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greenpoint Manufactured Housing
        N/A
        Greenpoint Manufactured Housing
        395383AN2
        
          
        
        512810.92000000
        PA
        USD
        404390.90000000
        0.164163342082
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-03-20
          Variable
          8.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Farmers Exchange Capital
        N/A
        Farmers Exchange Capital
        309588AC5
        
          
        
        500000.00000000
        PA
        USD
        550192.53000000
        0.223351822490
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-15
          Fixed
          7.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA AOYUAN GROUP LTD
        549300YSOKQO5QD6MP25
        China Aoyuan Group Ltd
        000000000
        
          
        
        400000.00000000
        PA
        USD
        39180.00000000
        0.015905203956
        Long
        DBT
        CORP
        KY
        
        Y
        
        3
        
          2024-02-08
          Fixed
          6.35000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2012-GCJ7
        36192KAA5
        
          
        
        12167878.73000000
        PA
        USD
        27.99000000
        0.000011362599
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-10
          Variable
          0.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Alternative Loan Trust
        N/A
        Wells Fargo Alternative Loan 2007-PA2 Trust
        94985FAH1
        
          
        
        1633649.22000000
        PA
        USD
        108844.82000000
        0.044185785139
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2037-06-25
          Floating
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BWFCME027 IRS USD R V 03MLIBOR SWFCME027_FLO CCPVANILLA / Short: BWFCME027 IRS USD P F  1.78500 SWFCME027_FIX CCPVANILLA
        000000000
        
          
        
        400000.00000000
        OU
        Notional Amount
        USD
        84400.20000000
        0.034262439892
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2053-07-24
            0.00000000
            USD
            0.00000000
            USD
            400000.00000000
            USD
            84400.20000000
          
        
        
          N
          N
          N
        
      
      
        COMERICA INC
        I9Q57JVPWHHZ3ZGBW498
        Comerica Inc
        200340AU1
        
          
        
        395000.00000000
        PA
        USD
        392037.50000000
        0.159148453196
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPECTRUM BRANDS INC
        549300VU3EH2E73C1Q04
        Spectrum Brands Inc
        84762LAX3
        
          
        
        420000.00000000
        PA
        USD
        339175.20000000
        0.137688890584
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EVERI HOLDINGS INC
        5299006DK5S7BG10K532
        Everi Holdings Inc
        30034TAA1
        
          
        
        275000.00000000
        PA
        USD
        235812.50000000
        0.095728583667
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Shell PLC
        21380068P1DRHMJ8KU70
        Shell PLC
        780259305
        
          
        
        12146.00000000
        NS
        USD
        635114.34000000
        0.257826011067
        Long
        EC
        CORP
        GB
        
        N
        
        1
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119CG2
        
          
        
        105000.00000000
        PA
        USD
        84057.75000000
        0.034123421590
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-03-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hudson Yards
        N/A
        Hudson Yards 2019-55HY Mortgage Trust
        44421MAN0
        
          
        
        150000.00000000
        PA
        USD
        116695.35000000
        0.047372724414
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-10
          Variable
          3.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Warner Bros Discovery Inc
        5493006ZCRFWKF6B1K26
        Warner Bros Discovery Inc
        934423104
        
          
        
        10003.00000000
        NS
        USD
        134240.26000000
        0.054495117777
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAN5
        
          
        
        565000.00000000
        PA
        USD
        528162.00000000
        0.214408482191
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-15
          Fixed
          1.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        N/A
        Citigroup Mortgage Loan Trust 2005-11
        17307GW79
        
          
        
        210997.87000000
        PA
        USD
        208273.21000000
        0.084548950581
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          2.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Progress Residential Trust
        N/A
        Progress Residential 2021-SFR7 Trust
        74333PAL1
        
          
        
        1451000.00000000
        PA
        USD
        1158449.38000000
        0.470274978627
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-08-17
          Fixed
          2.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Securities
        N/A
        Natixis Commercial Mortgage Securities Trust 2019-FAME
        63873VAL7
        
          
        
        835000.00000000
        PA
        USD
        751331.25000000
        0.305004511751
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-15
          Variable
          4.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS Commercial Mortgage Trust
        N/A
        WFRBS Commercial Mortgage Trust 2014-C24
        92939KAH1
        
          
        
        5172541.70000000
        PA
        USD
        80858.72000000
        0.032824768588
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-11-15
          Variable
          0.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHENE GLOBAL FUNDING
        549300LM1QSI4MSIL320
        Athene Global Funding
        04685A3C3
        
          
        
        425000.00000000
        PA
        USD
        352652.25000000
        0.143159927567
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-19
          Fixed
          1.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045VAE0
        
          
        
        150000.00000000
        PA
        USD
        151538.82000000
        0.061517504836
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUDSON PACIFIC PROPERTIE
        5493007NTUGLGZ8T3526
        Hudson Pacific Properties LP
        44409MAA4
        
          
        
        275000.00000000
        PA
        USD
        262093.09000000
        0.106397244822
        Long
        DBT
        
        US
        N
        
        2
        
          2027-11-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2007-QS2 Trust
        74923CAJ1
        
          
        
        7357774.09000000
        PA
        USD
        80519.80000000
        0.032687183296
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2037-01-25
          Variable
          0.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378BV30
        
          
        
        1437691.52000000
        PA
        USD
        32331.67000000
        0.013125109893
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2053-02-16
          Variable
          0.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816CH0
        
          
        
        145000.00000000
        PA
        USD
        117450.00000000
        0.047679076180
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRIVIUM PACKAGING FIN
        724500GMZWW3PVYET548
        Trivium Packaging Finance BV
        89686QAA4
        
          
        
        325000.00000000
        PA
        USD
        307885.50000000
        0.124986770619
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-08-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMN9
        
          
        
        503000.00000000
        PA
        USD
        391830.41000000
        0.159064384572
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2057-12-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Berry Global Inc
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        085770AA3
        
          
        
        85000.00000000
        PA
        USD
        81282.10000000
        0.032996640595
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396VS66
        
          
        
        45930.24000000
        PA
        USD
        4608.42000000
        0.001870797856
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-25
          Floating
          4.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comerica Inc
        I9Q57JVPWHHZ3ZGBW498
        Comerica Inc
        200340107
        
          
        
        2317.00000000
        NS
        USD
        170021.46000000
        0.069020571678
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        INTERCONTINENTALEXCHANGE
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45866FAW4
        
          
        
        330000.00000000
        PA
        USD
        328280.70000000
        0.133266245242
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-03-15
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan ReRemic
        N/A
        JP Morgan Resecuritization Trust Series 2015-4
        46645AAJ0
        
          
        
        3128614.71000000
        PA
        USD
        1474499.50000000
        0.598576194022
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-26
          Variable
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2V4
        
          
        
        285000.00000000
        PA
        USD
        270519.15000000
        0.109817821719
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-24
          Fixed
          3.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Securities Corp Home Equity Ln Trst
        N/A
        Asset Backed Securities Corp Home Equity Loan Trust Series RFC 2007-HE1
        04544RAS4
        
          
        
        365361.90000000
        PA
        USD
        339856.90000000
        0.137965628143
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          1.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB
        46651EAA2
        
          
        
        585000.00000000
        PA
        USD
        538471.82000000
        0.218593775449
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-06-05
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kraft Heinz Foods Co
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        423074AF0
        
          
        
        210000.00000000
        PA
        USD
        229893.17000000
        0.093325619120
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-15
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch First Franklin Mortgage Loan Trust
        N/A
        Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3
        59024VAF6
        
          
        
        498314.91000000
        PA
        USD
        316478.90000000
        0.128475279544
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-06-25
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saxon Asset Securities Trust
        N/A
        Saxon Asset Securities Trust 2007-3
        80557BAE4
        
          
        
        2926000.00000000
        PA
        USD
        2511525.37000000
        1.019559041671
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-09-25
          Floating
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COGENT COMMUNICATIONS GR
        549300KFWFYF8Q1U0Y26
        Cogent Communications Group Inc
        19240CAE3
        
          
        
        125000.00000000
        PA
        USD
        119691.25000000
        0.048588916363
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        N/A
        Banc of America Funding 2006-3 Trust
        058931BF2
        
          
        
        120797.36000000
        PA
        USD
        108351.74000000
        0.043985618269
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYG3
        
          
        
        430000.00000000
        PA
        USD
        377789.40000000
        0.153364406833
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-10
          Fixed
          1.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBF1
        
          
        
        135000.00000000
        PA
        USD
        99218.21000000
        0.040277842426
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2047-08-15
          Fixed
          4.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EDGEWELL PERSONAL CARE
        549300CY8QZDL4Z3RU59
        Edgewell Personal Care Co
        28035QAA0
        
          
        
        265000.00000000
        PA
        USD
        242803.60000000
        0.098566635514
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QA10 Trust
        74922NAB5
        
          
        
        430279.74000000
        PA
        USD
        359164.40000000
        0.145803548648
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          1.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS Commercial Mortgage Trust
        N/A
        WFRBS Commercial Mortgage Trust 2012-C9
        92930RAF9
        
          
        
        1495487.43000000
        PA
        USD
        3505.20000000
        0.001422943361
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-11-15
          Variable
          1.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAESARS ENTERTAIN INC
        549300FA4CTCW903Y781
        Caesars Entertainment Inc
        28470RAK8
        
          
        
        150000.00000000
        PA
        USD
        145248.75000000
        0.058964037601
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-01
          Fixed
          8.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FWGL8
        
          
        
        2885989.85000000
        PA
        USD
        83879.85000000
        0.034051202708
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-05-25
          Variable
          1.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCP6
        
          
        
        510000.00000000
        PA
        USD
        395747.25000000
        0.160654434063
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-01-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        POST HOLDINGS INC
        JM1I5YUAURL6DC8N1468
        Post Holdings Inc
        737446AR5
        
          
        
        320000.00000000
        PA
        USD
        263312.00000000
        0.106892063917
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-09-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2014-CCRE18 Mortgage Trust
        12632QAY9
        
          
        
        6144710.07000000
        PA
        USD
        93648.45000000
        0.038016786561
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-07-15
          Variable
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XCA1
        
          
        
        545000.00000000
        PA
        USD
        400662.20000000
        0.162649668422
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-03-25
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gracechurch Mortgage Finance Plc
        N/A
        Grace Trust 2020-GRCE
        38406JAC2
        
          
        
        10620000.00000000
        PA
        USD
        236602.45000000
        0.096049265542
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-12-10
          Variable
          0.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAQ6
        
          
        
        696000.00000000
        PA
        USD
        585217.68000000
        0.237570356293
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-03-15
          Fixed
          5.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MP3
        
          
        
        440000.00000000
        PA
        USD
        420701.89000000
        0.170784823008
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-31
          Fixed
          4.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Trust
        N/A
        IndyMac INDX Mortgage Loan Trust 2006-AR13
        45661XAF9
        
          
        
        267696.34000000
        PA
        USD
        163.29000000
        0.000066287921
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2036-07-25
          Variable
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBH8
        
          
        
        505000.00000000
        PA
        USD
        472917.35000000
        0.191981799553
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-13
          Fixed
          2.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300SRMXHPGI3BJ386
        SLM Student Loan Trust 2008-5
        78444YAE5
        
          
        
        260000.00000000
        PA
        USD
        257569.68000000
        0.104560956955
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2073-07-25
          Floating
          3.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYJ7
        
          
        
        205000.00000000
        PA
        USD
        166146.35000000
        0.067447462568
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-07-21
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796T66
        
          
        
        1800000.00000000
        PA
        USD
        1795194.99000000
        0.728763207205
        Long
        STIV
        UST
        US
        N
        
        1
        
          2022-09-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOLINA HEALTHCARE INC
        549300NQQCEQ46YHZ591
        Molina Healthcare Inc
        60855RAL4
        
          
        
        175000.00000000
        PA
        USD
        147348.25000000
        0.059816334071
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-05-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QDD1
        
          
        
        170000.00000000
        PA
        USD
        116124.45000000
        0.047140966350
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2050-01-23
          Fixed
          7.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175CK8
        
          
        
        355000.00000000
        PA
        USD
        300723.82000000
        0.122079471459
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-04-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRESTIGE BRANDS INC
        549300JBVP4J6D42I235
        Prestige Brands Inc
        74112BAM7
        
          
        
        300000.00000000
        PA
        USD
        249249.00000000
        0.101183159291
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        549300LENCFK8RITKD65
        Banc of America Funding 2014-R5 Trust
        05990PAA3
        
          
        
        106804.77000000
        PA
        USD
        107062.38000000
        0.043462199847
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-09-26
          Floating
          3.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ajax Mortgage Loan Trust
        N/A
        Ajax Mortgage Loan Trust 2019-F
        00969PAB9
        
          
        
        1300000.00000000
        PA
        USD
        1215028.49000000
        0.493243388128
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABR5
        
          
        
        75000.00000000
        PA
        USD
        67857.75000000
        0.027546997289
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFT Trust
        N/A
        MFT Trust 2020-ABC
        55317BAG2
        
          
        
        175000.00000000
        PA
        USD
        144256.71000000
        0.058561316863
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-02-10
          Variable
          3.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA2
        35564KFV6
        
          
        
        900000.00000000
        PA
        USD
        804815.52000000
        0.326716564401
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-25
          Floating
          2.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ESC CB144A INTELSAT JA
        N/A
        ESC CB144A INTELSAT JA
        458ESCAB6
        
          
        
        535000.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        DBT
        CORP
        LU
        N
        
        3
        
          2024-10-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRIVIUM PACKAGING FIN
        724500GMZWW3PVYET548
        Trivium Packaging Finance BV
        89686QAB2
        
          
        
        50000.00000000
        PA
        USD
        47187.50000000
        0.019155865536
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2027-08-15
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAQ8
        
          
        
        55000.00000000
        PA
        USD
        48109.05000000
        0.019529970710
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-06-14
          Fixed
          1.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARVEST COMMERCIAL CAPITAL LOAN TRUST
        N/A
        Harvest Commercial Capital Loan Trust 2019-1
        41753CAA4
        
          
        
        376898.81000000
        PA
        USD
        363418.50000000
        0.147530509550
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-09-25
          Variable
          3.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962GX74
        
          
        
        2400000.00000000
        PA
        USD
        1906217.64000000
        0.773833087044
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-08-15
          Floating
          1.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo & Co
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        949746101
        
          
        
        19525.00000000
        NS
        USD
        764794.25000000
        0.310469845106
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SFAVE Commercial Mortgage Securities Trust
        549300FIGODFFTOAAU64
        SFAVE Commercial Mortgage Securities Trust 2015-5AVE
        78413MAC2
        
          
        
        805000.00000000
        PA
        USD
        665558.22000000
        0.270184768613
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-01-05
          Variable
          3.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        000000000
        
          
        
        300000.00000000
        PA
        USD
        296580.00000000
        0.120397278956
        Long
        DBT
        NUSS
        SA
        Y
        
        2
        
          2028-03-04
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ECOPETROL SA
        254900IDGKCJICKBPA66
        Ecopetrol SA
        279158AN9
        
          
        
        200000.00000000
        PA
        USD
        176800.00000000
        0.071772334343
        Long
        DBT
        CORP
        CO
        N
        
        2
        
          2030-04-29
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Qwest Corp
        549300R2L4N683OO1509
        Qwest Corp
        912920AK1
        
          
        
        250000.00000000
        PA
        USD
        258437.50000000
        0.104913250321
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523BK5
        
          
        
        170000.00000000
        PA
        USD
        140535.88000000
        0.057050838046
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        COMERICA INC
        000000000
        
          
        
        -23.00000000
        NC
        USD
        -230.00000000
        -0.00009336898
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Comerica Inc
                Comerica Inc
                
                  
                  
                
              
            
            100.00000000
            95.00000000
            USD
            2022-07-15
            XXXX
            7048.79000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        WELLS FARGO + CO
        000000000
        
          
        
        -98.00000000
        NC
        USD
        -392.00000000
        -0.00015913322
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Wells Fargo & Co
                Wells Fargo & Co
                
                  
                  
                
              
            
            100.00000000
            62.50000000
            USD
            2022-10-21
            XXXX
            12002.07000000
          
        
        
          N
          N
          N
        
      
      
        AMSR Trust
        N/A
        AMSR 2020-SFR3 Trust
        001807AE6
        
          
        
        1000000.00000000
        PA
        USD
        915233.20000000
        0.371540855387
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-09-17
          Fixed
          2.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AGNC Investment Corp
        5TRACI5HRMELWV32OF39
        AGNC Investment Corp
        00123Q104
        
          
        
        144641.00000000
        NS
        USD
        1601175.87000000
        0.650000734639
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        EUR 1Y MIDCV OP SEP22C 98.75
        000000000
        
          
        
        74.00000000
        NC
        USD
        1850.00000000
        0.000751011417
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Purchased
            
              
                
                  
                    Chicago Mercantile Exchange
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    Chicago Mercantile Exchange
                    SNZ2OJLFK8MNNCLQOF39
                    CME 3 Month Eurodollar Future
                    N/A
                    
                      
                    
                    74.00000000
                    NC
                    N/A
                    1850.00000000
                    0.00000000
                    DIR
                    
                    US
                  
                  Long
                  
                    
                      CME 3 Month Eurodollar
                      EDU2 Comdty
                    
                  
                  2023-09-18
                  74.00000000
                  USD
                
              
            
            2500.00000000
            98.75000000
            USD
            2022-09-16
            XXXX
            -42333.68000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        TOTALENERGIES SE
        000000000
        
          
        
        -114.00000000
        NC
        USD
        -342.00000000
        -0.00013883562
        N/A
        DE
        
        FR
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                TotalEnergies SE
                TotalEnergies SE
                
                  
                  
                
              
            
            100.00000000
            60.00000000
            USD
            2022-07-15
            XXXX
            34538.49000000
          
        
        
          N
          N
          N
        
      
      
        321 Henderson Receivables LLC
        N/A
        J.G. Wentworth XXXVIII LLC
        46620JAA9
        
          
        
        198526.40000000
        PA
        USD
        189654.00000000
        0.076990442859
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2060-08-16
          Fixed
          3.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNIFRAX ESCROW ISS CORP
        549300RRU6BWJLD0YT71
        ASP Unifrax Holdings Inc
        90473LAA0
        
          
        
        280000.00000000
        PA
        USD
        224008.40000000
        0.090936684279
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-30
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RCQ3
        
          
        
        530000.00000000
        PA
        USD
        491730.36000000
        0.199618980795
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-05-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJT7
        
          
        
        80000.00000000
        PA
        USD
        67254.40000000
        0.027302066079
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-22
          Fixed
          2.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CV9
        
          
        
        1075000.00000000
        PA
        USD
        904161.00000000
        0.367046072354
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-08-17
          Fixed
          2.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QDF6
        
          
        
        130000.00000000
        PA
        USD
        80340.00000000
        0.032614193106
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2060-01-28
          Fixed
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EFS Volunteer No 2 LLC
        N/A
        EFS Volunteer No 2 LLC
        26845BAB5
        
          
        
        807453.22000000
        PA
        USD
        809859.27000000
        0.328764085393
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          2.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apidos CLO
        549300OGB01ASKLNI660
        Apidos CLO XXXVII
        03769HAC1
        
          
        
        725000.00000000
        PA
        USD
        680340.00000000
        0.276185463502
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-22
          Floating
          2.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Redwood Trust Inc
        DRBV4N1ERQLEMIF11G78
        Redwood Trust Inc
        758075402
        
          
        
        61963.00000000
        NS
        USD
        477734.73000000
        0.193937425164
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        3473.44000000
        0.001410050322
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            478000.00000000
            EUR
            506608.78000000
            USD
            2022-10-07
            3473.44000000
          
        
        
          N
          N
          N
        
      
      
        FED REPUBLIC OF BRAZIL
        254900ZFY40OYEADAP90
        Brazilian Government International Bond
        105756CC2
        
          
        
        200000.00000000
        PA
        USD
        168193.00000000
        0.068278304469
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2030-06-12
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust 2019-OC11
        N/A
        BX Trust 2019-OC11
        05606FAA1
        
          
        
        265000.00000000
        PA
        USD
        237491.62000000
        0.096410225986
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-09
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        Lehman Mortgage Trust 2006-7
        52520QAQ7
        
          
        
        2906936.97000000
        PA
        USD
        489460.02000000
        0.198697331465
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2036-11-25
          Floating
          4.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PT PERTAMINA (PERSERO)
        254900NDAKGNZ2IBBL45
        Pertamina Persero PT
        69370PAH4
        
          
        
        200000.00000000
        PA
        USD
        174500.00000000
        0.070838644473
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2030-08-27
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWFCME022 IRS USD R F  1.07250 SWFCME022_FIX CCPVANILLA / Short: SWFCME022 IRS USD P V 03MLIBOR SWFCME022_FLO CCPVANILLA
        000000000
        
          
        
        3190000.00000000
        OU
        Notional Amount
        USD
        -115569.23000000
        -0.04691557361
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-07-24
            0.00000000
            USD
            0.00000000
            USD
            3190000.00000000
            USD
            -115569.23000000
          
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Alternative Note Asset
        N/A
        Merrill Lynch Alternative Note Asset Trust Series 2007-OAR2
        59024BAB9
        
          
        
        693585.50000000
        PA
        USD
        599829.59000000
        0.243502092095
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          2.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NCR CORP
        549300YKTY8JX1DV2R67
        NCR Corp
        62886EBA5
        
          
        
        285000.00000000
        PA
        USD
        242096.10000000
        0.098279424391
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BTAF8
        
          
        
        2500000.00000000
        PA
        USD
        183539.50000000
        0.074508248638
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-12-25
          Variable
          1.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38374M7D5
        
          
        
        947372.65000000
        PA
        USD
        122930.48000000
        0.049903888640
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-07-20
          Floating
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAN3
        
          
        
        630000.00000000
        PA
        USD
        536400.90000000
        0.217753081091
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-15
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        EUR 1Y MIDCV OP SEP22C 98.375
        000000000
        
          
        
        35.00000000
        NC
        USD
        1750.00000000
        0.000710416205
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Purchased
            
              
                
                  
                    Chicago Mercantile Exchange
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    Chicago Mercantile Exchange
                    SNZ2OJLFK8MNNCLQOF39
                    CME 3 Month Eurodollar Future
                    N/A
                    
                      
                    
                    35.00000000
                    NC
                    N/A
                    1750.00000000
                    0.00000000
                    DIR
                    
                    US
                  
                  Short
                  
                    
                      CME 3 Month Eurodollar
                      EDU2 Comdty
                    
                  
                  2023-09-18
                  35.00000000
                  USD
                
              
            
            2500.00000000
            98.37500000
            USD
            2022-09-16
            XXXX
            -13223.70000000
          
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAH8
        
          
        
        275000.00000000
        PA
        USD
        273712.11000000
        0.111114010592
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-01-05
          Fixed
          3.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JBS USA/FOOD/FINANCE
        N/A
        JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
        46590XAB2
        
          
        
        25000.00000000
        PA
        USD
        23698.23000000
        0.009620346645
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2030-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CM9
        
          
        
        285000.00000000
        PA
        USD
        250777.45000000
        0.101803636805
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-05-24
          Fixed
          1.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES LP
        254900X4QE7SGKQLLN38
        VICI Properties LP
        925650AD5
        
          
        
        250000.00000000
        PA
        USD
        236145.00000000
        0.095863562746
        Long
        DBT
        
        US
        N
        
        2
        
          2032-05-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137AWQK4
        
          
        
        12555000.00000000
        PA
        USD
        34427.69000000
        0.013975993650
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-25
          Variable
          1.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CoreVest American Finance Ltd
        N/A
        CoreVest American Finance 2020-3 Trust
        21873CAE3
        
          
        
        1650000.00000000
        PA
        USD
        203065.50000000
        0.082434869681
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-08-15
          Variable
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US AIRWAYS 2010-1A PTT
        N/A
        US Airways 2010-1 Class A Pass Through Trust
        90345KAA8
        
          
        
        260863.78000000
        PA
        USD
        259799.46000000
        0.105466140867
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-22
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ball Corp
        0BGI85ALH27ZJP15DY16
        Ball Corp
        058498AS5
        
          
        
        90000.00000000
        PA
        USD
        89325.00000000
        0.036261672880
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137APLC2
        
          
        
        600275.20000000
        PA
        USD
        88553.08000000
        0.035948310321
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-04-15
          Floating
          5.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Acquisition Corp
        N/A
        JP Morgan Mortgage Acquisition Trust 2006-WF1
        46628SAH6
        
          
        
        1979637.35000000
        PA
        USD
        702042.65000000
        0.284995700221
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Variable
          6.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cedar Funding Ltd
        N/A
        Cedar Funding XII CLO Ltd
        15033TAN5
        
          
        
        1375000.00000000
        PA
        USD
        1325625.13000000
        0.538140328305
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-25
          Floating
          2.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortgage Trust
        N/A
        UBS-Barclays Commercial Mortgage Trust 2012-C3
        90349DAJ1
        
          
        
        639667.77000000
        PA
        USD
        21.65000000
        0.000008788863
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-10
          Variable
          1.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        549300R847L762RQF071
        Banc of America Funding 2015-R4 Trust
        05990RAD3
        
          
        
        425549.37000000
        PA
        USD
        413168.78000000
        0.167726741054
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Floating
          1.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICHAELS COS INC/THE
        549300H9LWMBP7HYLR98
        Michaels Cos Inc/The
        55916AAB0
        
          
        
        590000.00000000
        PA
        USD
        390585.90000000
        0.158559173103
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-01
          Fixed
          7.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCN1
        
          
        
        275000.00000000
        PA
        USD
        222862.75000000
        0.090471605235
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIRIUS XM RADIO INC
        WP5O65E6BMU84LNO4227
        Sirius XM Radio Inc
        82967NBM9
        
          
        
        290000.00000000
        PA
        USD
        231473.65000000
        0.093967218322
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-09-01
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Progress Residential Trust
        N/A
        Progress Residential 2021-SFR8 Trust
        74333TAQ2
        
          
        
        1450000.00000000
        PA
        USD
        1257601.24000000
        0.510525886131
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-10-17
          Fixed
          4.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31
        61766RBA3
        
          
        
        6774998.13000000
        PA
        USD
        280290.48000000
        0.113784513822
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-15
          Variable
          1.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2015-C29
        46644RAE5
        
          
        
        26458000.00000000
        PA
        USD
        324492.82000000
        0.131728547336
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-05-15
          Variable
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-8T1
        12668BMF7
        
          
        
        4780632.83000000
        PA
        USD
        669731.28000000
        0.271878831156
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2036-04-25
          Floating
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASBURY AUTOMOTIVE GROUP
        549300JH4DTA7U42GL91
        Asbury Automotive Group Inc
        043436AX2
        
          
        
        100000.00000000
        PA
        USD
        81867.00000000
        0.033234081989
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022675
        
          
        
        6550000.00000000
        PA
        USD
        5888544.78000000
        2.390467221415
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-07-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AU2
        
          
        
        295000.00000000
        PA
        USD
        236415.95000000
        0.095973555472
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2032-05-14
          Fixed
          3.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSDIGM INC
        88Q84GB3X55CF5OC7582
        TransDigm Inc
        893647BP1
        
          
        
        285000.00000000
        PA
        USD
        229789.80000000
        0.093283655850
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2012-GC6
        36192BAC1
        
          
        
        3492287.33000000
        PA
        USD
        62.86000000
        0.000025518150
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-01-10
          Variable
          1.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AON CORP/AON GLOBAL HOLD
        N/A
        Aon Corp / Aon Global Holdings PLC
        03740LAE2
        
          
        
        270000.00000000
        PA
        USD
        222588.00000000
        0.090360069891
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-02-28
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mtg Loan Asset Backed Certificates
        N/A
        First Franklin Mortgage Loan Trust Series 2006-FF18
        32029AAE7
        
          
        
        568241.01000000
        PA
        USD
        521219.52000000
        0.211590167736
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-12-25
          Floating
          1.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carvana Auto Receivables Trust
        N/A
        Carvana Auto Receivables Trust 2022-P2
        14686JAM2
        
          
        
        3700.00000000
        PA
        USD
        628851.86000000
        0.255283744052
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-05-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Park Avenue Institutional Advisers CLO
        N/A
        Park Avenue Institutional Advisers CLO Ltd 2021-1
        70015QAC2
        
          
        
        420000.00000000
        PA
        USD
        398328.00000000
        0.161702094990
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-01-20
          Floating
          2.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPRINT SPECTRUM / SPEC I
        N/A
        Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
        85208NAD2
        
          
        
        1199690.17000000
        PA
        USD
        1200786.28000000
        0.487461732823
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-20
          Fixed
          4.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eaton Vance CDO Ltd
        5493004NKU3QU5G6QW39
        Eaton Vance CLO 2020-1 Ltd
        278300AJ7
        
          
        
        850000.00000000
        PA
        USD
        821142.50000000
        0.333344536502
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-15
          Floating
          2.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLICA ORIENT URUGUAY
        549300RDR012H2V82H43
        Uruguay Government International Bond
        917288BK7
        
          
        
        200000.00000000
        PA
        USD
        202730.50000000
        0.082298875721
        Long
        DBT
        NUSS
        UY
        N
        
        2
        
          2031-01-23
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTCASH INC
        549300V2X3UU7K0DG350
        FirstCash Inc
        31944TAA8
        
          
        
        280000.00000000
        PA
        USD
        245658.00000000
        0.099725385238
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-01
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Alternative Loan Trust
        N/A
        JP Morgan Alternative Loan Trust
        46628GAQ2
        
          
        
        379146.43000000
        PA
        USD
        232587.34000000
        0.094419323136
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Variable
          3.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROCKIES EXPRESS PIPELINE
        W2ZGZGZKY5GGNY6F3V51
        Rockies Express Pipeline LLC
        77340RAT4
        
          
        
        125000.00000000
        PA
        USD
        104687.50000000
        0.042498112282
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Preston Ridge Partners Mortgage Trust
        N/A
        PRPM 2022-3 LLC
        693589AA1
        
          
        
        1500000.00000000
        PA
        USD
        1475478.45000000
        0.598973600847
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-06-25
          Variable
          5.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        549300BCCWSDWINK2593
        COMM 2013-CCRE11 Mortgage Trust
        12626LAF9
        
          
        
        9496605.43000000
        PA
        USD
        81588.19000000
        0.033120898479
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-10
          Variable
          1.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264AAX3
        
          
        
        350000.00000000
        PA
        USD
        313062.03000000
        0.127088193933
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BWFCME025 IRS USD R V 03MLIBOR SWFCME025_FLO CCPVANILLA / Short: BWFCME025 IRS USD P F  1.77250 SWFCME025_FIX CCPVANILLA
        000000000
        
          
        
        530000.00000000
        OU
        Notional Amount
        USD
        113138.46000000
        0.045928797388
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2053-07-24
            0.00000000
            USD
            0.00000000
            USD
            530000.00000000
            USD
            113138.46000000
          
        
        
          N
          N
          N
        
      
      
        ADVANCED DRAINAGE SYSTEM
        6QQTOZ5MF5DHM7K92I60
        Advanced Drainage Systems Inc
        00790RAB0
        
          
        
        125000.00000000
        PA
        USD
        122285.63000000
        0.049642110417
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LF5C8
        
          
        
        1098764.55000000
        PA
        USD
        1022949.91000000
        0.415268681883
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYN8
        
          
        
        640000.00000000
        PA
        USD
        528088.67000000
        0.214378713722
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-10-21
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AQ1
        
          
        
        810000.00000000
        PA
        USD
        735350.52000000
        0.298517100571
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-06-05
          Fixed
          2.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAP1
        
          
        
        385000.00000000
        PA
        USD
        383982.09000000
        0.155878342451
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-23
          Fixed
          3.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEACHERS INSUR & ANNUITY
        O06XD7BJ4EPXNABVFN69
        Teachers Insurance & Annuity Association of America
        878091BE6
        
          
        
        675000.00000000
        PA
        USD
        663583.93000000
        0.269383301407
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2054-09-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN CAMPUS CMNTYS
        RDKVCX5HITZ2GPIR7153
        American Campus Communities Operating Partnership LP
        024836AF5
        
          
        
        390000.00000000
        PA
        USD
        371862.80000000
        0.150958491015
        Long
        DBT
        
        US
        N
        
        2
        
          2030-02-01
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAR0
        
          
        
        816000.00000000
        PA
        USD
        793239.58000000
        0.322017287048
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-05-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300MHMWVKFEDI8G73
        SLM Student Loan Trust 2008-2
        784442AD7
        
          
        
        225000.00000000
        PA
        USD
        203487.39000000
        0.082606136819
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2083-01-25
          Floating
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust 2021-R3
        12566LAB0
        
          
        
        981752.97000000
        PA
        USD
        853406.83000000
        0.346442309579
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-06-25
          Variable
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Reynolds American Inc
        02S2RPPVO9RP4NEU2740
        Reynolds American Inc
        761713BB1
        
          
        
        975000.00000000
        PA
        USD
        829403.25000000
        0.336698005455
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2045-08-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities 2007-AR3 Trust
        94983UAD9
        
          
        
        122723.48000000
        PA
        USD
        110957.50000000
        0.045043432058
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Variable
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kraft Heinz Foods Co
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LAB2
        
          
        
        210000.00000000
        PA
        USD
        175064.40000000
        0.071067763848
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-06-01
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404121AH8
        
          
        
        65000.00000000
        PA
        USD
        64645.10000000
        0.026242815219
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-01
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLOOMIN' BRANDS INC/OSI
        N/A
        Bloomin' Brands Inc / OSI Restaurant Partners LLC
        094234AA9
        
          
        
        285000.00000000
        PA
        USD
        243318.75000000
        0.098775761747
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Funding Certificates
        N/A
        ABFC 2007-NC1 Trust
        00076BAB0
        
          
        
        906265.96000000
        PA
        USD
        842784.20000000
        0.342130030439
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-05-25
          Floating
          1.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2014-C21
        46642EBA3
        
          
        
        1557533.98000000
        PA
        USD
        21863.10000000
        0.008875371736
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-15
          Variable
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL SWITCH FINANCE
        635400GVJAKOJNEUMF33
        Global Switch Finance BV
        000000000
        
          
        
        315000.00000000
        PA
        
        268077.24000000
        0.108826523185
        Long
        DBT
        CORP
        NL
        
        Y
        
        2
        
          2030-10-07
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMSR Trust
        N/A
        AMSR 2020-SFR1 Trust
        00180AAJ8
        
          
        
        685000.00000000
        PA
        USD
        683180.34000000
        0.277338505539
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-04-17
          Fixed
          8.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROWN & BROWN INC
        549300PC8KTJ71XKFY89
        Brown & Brown Inc
        115236AF8
        
          
        
        200000.00000000
        PA
        USD
        175874.00000000
        0.071396422682
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-03-17
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman XS Trust
        N/A
        Lehman XS Trust Series 2006-12N
        525226AG1
        
          
        
        584047.07000000
        PA
        USD
        574373.67000000
        0.233168207473
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-08-25
          Floating
          2.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        549300MGZ5FI5VFL1177
        COMM 2013-CCRE12 Mortgage Trust
        12591KAF2
        
          
        
        8745689.35000000
        PA
        USD
        91492.15000000
        0.037141432011
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-10-10
          Variable
          1.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLP CAPITAL LP / FIN II
        N/A
        GLP Capital LP / GLP Financing II Inc
        361841AL3
        
          
        
        210000.00000000
        PA
        USD
        201665.10000000
        0.081866374335
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARK AEROSPACE HOLDINGS
        635400CPI3EOIFF6OC33
        Park Aerospace Holdings Ltd
        70014LAC4
        
          
        
        110000.00000000
        PA
        USD
        109630.28000000
        0.044504644289
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-03-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2013-LC13 Mortgage Trust
        12626GAG8
        
          
        
        5788079.17000000
        PA
        USD
        47322.76000000
        0.019210774619
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-08-10
          Variable
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNOCO LP/FINANCE CORP
        N/A
        Sunoco LP / Sunoco Finance Corp
        86765LAT4
        
          
        
        283000.00000000
        PA
        USD
        235164.51000000
        0.095465530754
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLP CAPITAL LP / FIN II
        N/A
        GLP Capital LP / GLP Financing II Inc
        361841AH2
        
          
        
        621000.00000000
        PA
        USD
        608887.40000000
        0.247179129243
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAESARS ENTERTAIN INC
        549300FA4CTCW903Y781
        Caesars Entertainment Inc
        12769GAA8
        
          
        
        300000.00000000
        PA
        USD
        234384.00000000
        0.095148681067
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2007-QS3 Trust
        75116BAH1
        
          
        
        8340355.04000000
        PA
        USD
        99037.55000000
        0.040204503117
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2037-02-25
          Variable
          0.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNOCO LP/FINANCE CORP
        N/A
        Sunoco LP / Sunoco Finance Corp
        86765LAU1
        
          
        
        86000.00000000
        PA
        USD
        69589.78000000
        0.028250118535
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-30
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oakwood Mortgage Investors Inc.
        N/A
        Oakwood Mortgage Investors Inc
        67087TAD3
        
          
        
        33746.94000000
        PA
        USD
        33877.61000000
        0.013752687509
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          6.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Alternative Loans Trust
        N/A
        MASTR Alternative Loan Trust 2006-2
        5764342J2
        
          
        
        5907032.07000000
        PA
        USD
        755099.45000000
        0.306534220519
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2036-03-25
          Floating
          5.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CoreVest American Finance Ltd
        N/A
        Corevest American Finance 2020-1 Trust
        21872UAC8
        
          
        
        470000.00000000
        PA
        USD
        411645.41000000
        0.167108325777
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-03-15
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2004-HYB4
        12669FW25
        
          
        
        473439.61000000
        PA
        USD
        229132.18000000
        0.093016693618
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-09-20
          Variable
          3.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LXP INDUSTRIAL TRUST
        549300S4MH2ICXDBFV43
        LXP Industrial Trust
        529043AE1
        
          
        
        275000.00000000
        PA
        USD
        226170.27000000
        0.091814299982
        Long
        DBT
        
        US
        N
        
        2
        
          2030-09-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Trust
        N/A
        IndyMac INDX Mortgage Loan Trust 2004-AR6
        45660NX83
        
          
        
        289457.28000000
        PA
        USD
        280612.68000000
        0.113915311594
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Variable
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bombardier Capital Mortgage Securitization Corp.
        N/A
        BCMSC Trust 2000-A
        09774XBQ4
        
          
        
        3316690.47000000
        PA
        USD
        591736.72000000
        0.240216774384
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-06-15
          Variable
          8.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YES0
        
          
        
        170000.00000000
        PA
        USD
        165098.90000000
        0.067022248023
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-04-20
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAD7
        
          
        
        15000.00000000
        PA
        USD
        13198.05000000
        0.005357776342
        Long
        DBT
        
        US
        N
        
        2
        
          2027-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIRECTV FIN LLC/COINC
        N/A
        Directv Financing LLC / Directv Financing Co-Obligor Inc
        25461LAA0
        
          
        
        225000.00000000
        PA
        USD
        192282.75000000
        0.078057589487
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BN3
        
          
        
        360000.00000000
        PA
        USD
        324770.40000000
        0.131841231525
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-04-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        785.94000000
        0.000319054007
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            95000.00000000
            EUR
            100122.40000000
            USD
            2022-07-08
            785.94000000
          
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        164157.60000000
        0.066640125295
        Long
        DBT
        NUSS
        EG
        Y
        
        2
        
          2025-10-06
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nomura Asset Acceptance Corporation
        N/A
        Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR1
        65535VRY6
        
          
        
        124947.54000000
        PA
        USD
        93195.78000000
        0.037833024216
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Variable
          4.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Transocean Poseidon Ltd
        N/A
        Transocean Poseidon Ltd
        89383JAA6
        
          
        
        294375.00000000
        PA
        USD
        259434.16000000
        0.105317846558
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-02-01
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAMP Trust
        N/A
        GSAMP Trust 2007-NC1
        3622MGAD0
        
          
        
        2434894.50000000
        PA
        USD
        1293883.21000000
        0.525254628673
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-12-25
          Floating
          1.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lumen Technologies Inc
        8M3THTGWLTYZVE6BBY25
        Lumen Technologies Inc
        550241103
        
          
        
        46584.00000000
        NS
        USD
        508231.44000000
        0.206317629160
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        GLP CAPITAL LP / FIN II
        N/A
        GLP Capital LP / GLP Financing II Inc
        361841AK5
        
          
        
        345000.00000000
        PA
        USD
        337561.80000000
        0.137033927438
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VENTURE GLOBAL CALCASIEU
        549300GKHS6RS20NLH85
        Venture Global Calcasieu Pass LLC
        92328MAA1
        
          
        
        425000.00000000
        PA
        USD
        372916.25000000
        0.151386141273
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAH4
        
          
        
        305000.00000000
        PA
        USD
        280993.45000000
        0.114069885982
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-02-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTELSAT EMERGENCE SA
        N/A
        INTELSAT EMERGENCE SA
        000000000
        
          
        
        11069.00000000
        NS
        USD
        312699.25000000
        0.126940922624
        Long
        EC
        CORP
        LU
        N
        
        3
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2020-CBM Mortgage Trust
        20049AAC2
        
          
        
        5644863.27000000
        PA
        USD
        78912.08000000
        0.032034525958
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-10
          Variable
          0.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of California Multifamily Housing
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FMUM2
        
          
        
        2250953.18000000
        PA
        USD
        9384.11000000
        0.003809499323
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-08-25
          Fixed
          0.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAL7
        
          
        
        5000.00000000
        PA
        USD
        4469.90000000
        0.001814565369
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          4.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAM7
        
          
        
        55000.00000000
        PA
        USD
        49317.79000000
        0.020020661272
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-08-21
          Fixed
          1.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F042673
        
          
        
        2550000.00000000
        PA
        USD
        2560458.98000000
        1.039423744259
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-07-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARDAGH PKG FIN/HLDGS USA
        N/A
        Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
        03969AAR1
        
          
        
        410000.00000000
        PA
        USD
        297893.70000000
        0.120930578253
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2027-08-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        UBS Commercial Mortgage Trust 2017-C5
        90276TAH7
        
          
        
        6358723.94000000
        PA
        USD
        266524.64000000
        0.108196241927
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-15
          Variable
          1.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRAPHIC PACKAGING INTERN
        SO75N4VY5NXGQSK8YQ65
        Graphic Packaging International LLC
        38869AAA5
        
          
        
        130000.00000000
        PA
        USD
        122525.00000000
        0.049739283175
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securitization Trust
        N/A
        Residential Asset Securitization Trust 2005-A15
        45660L4F3
        
          
        
        940190.83000000
        PA
        USD
        365181.31000000
        0.148246126002
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citimortgage Alternative Loan Trust
        N/A
        CitiMortgage Alternative Loan Trust Series 2006-A3
        17309KAG2
        
          
        
        656505.39000000
        PA
        USD
        592938.07000000
        0.240704464960
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bacardi Ltd
        549300R32WTQNHNN5055
        Bacardi Ltd
        067316AH2
        
          
        
        205000.00000000
        PA
        USD
        193260.69000000
        0.078454586301
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2048-05-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAX3
        
          
        
        590000.00000000
        PA
        USD
        470589.90000000
        0.191036966297
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2032-01-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Global SC Finance SRL
        N/A
        Global SC Finance II SRL
        37952UAE3
        
          
        
        90549.60000000
        PA
        USD
        88481.82000000
        0.035919382173
        Long
        ABS-O
        CORP
        BB
        N
        
        2
        
          2029-07-17
          Fixed
          3.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gaming and Leisure Properties Inc
        5493006GWRDBCZYWTM57
        Gaming and Leisure Properties Inc
        36467J108
        
          
        
        15119.00000000
        NS
        USD
        693357.34000000
        0.281469880237
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137AYCG4
        
          
        
        5400000.00000000
        PA
        USD
        24167.70000000
        0.009810928985
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-25
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FirstKey Homes 2021-SFR3 Trust
        N/A
        FirstKey Homes 2021-SFR3 Trust
        33768JAJ0
        
          
        
        1173000.00000000
        PA
        USD
        1029760.98000000
        0.418033650171
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2038-12-17
          Fixed
          2.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securitization Trust
        N/A
        Residential Asset Securitization Trust 2007-A5
        76114HAQ8
        
          
        
        1459308.87000000
        PA
        USD
        268323.41000000
        0.108926456417
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2037-05-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RHK1
        
          
        
        348000.00000000
        PA
        USD
        333317.88000000
        0.135311099128
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-03-01
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHANGE HEALTH / FIN INC
        N/A
        Change Healthcare Holdings LLC / Change Healthcare Finance Inc
        15911NAA3
        
          
        
        23000.00000000
        PA
        USD
        22540.00000000
        0.009150160724
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BLN38
        
          
        
        2330000.00000000
        PA
        USD
        100761.06000000
        0.040904165651
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-10-25
          Variable
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF Securitization Trust II
        N/A
        COOF Securitization Trust II Series 2015-2
        12593RAA6
        
          
        
        3152952.01000000
        PA
        USD
        212268.24000000
        0.086170741469
        Long
        ABS-O
        USGA
        US
        N
        
        2
        
          2041-08-25
          Variable
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2S1
        
          
        
        1090000.00000000
        PA
        USD
        976997.14000000
        0.396614057605
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-02
          Fixed
          2.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust 2019-R1
        12555VAA3
        
          
        
        796558.01000000
        PA
        USD
        746945.35000000
        0.303224046360
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2058-10-25
          Variable
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IRON MOUNTAIN INFO MGMT
        N/A
        Iron Mountain Information Management Services Inc
        46285MAA8
        
          
        
        420000.00000000
        PA
        USD
        340872.00000000
        0.138377710137
        Long
        DBT
        
        US
        N
        
        2
        
          2032-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BWFCME030 IRS USD R V 03MLIBOR SWFCME030_FLO CCPVANILLA / Short: BWFCME030 IRS USD P F  1.74250 SWFCME030_FIX CCPVANILLA
        000000000
        
          
        
        625000.00000000
        OU
        Notional Amount
        USD
        133613.12000000
        0.054240528966
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2053-12-07
            0.00000000
            USD
            0.00000000
            USD
            625000.00000000
            USD
            133613.12000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137B5JN4
        
          
        
        25913372.40000000
        PA
        USD
        21833.31000000
        0.008863278422
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-25
          Variable
          0.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XCE3
        
          
        
        60000.00000000
        PA
        USD
        49459.20000000
        0.020078066961
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-25
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROCKIES EXPRESS PIPELINE
        W2ZGZGZKY5GGNY6F3V51
        Rockies Express Pipeline LLC
        77340RAR8
        
          
        
        425000.00000000
        PA
        USD
        364356.75000000
        0.147911394124
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3
        46635TAR3
        
          
        
        51390868.56000000
        PA
        USD
        159435.03000000
        0.064722988004
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-02-15
          Variable
          0.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QS7 Trust
        748940AB9
        
          
        
        329927.78000000
        PA
        USD
        281147.43000000
        0.114132394489
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-06-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2012-HSBC
        46637YAC3
        
          
        
        4162216.89000000
        PA
        USD
        162.33000000
        0.000065898207
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-07-05
          Variable
          1.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXM1
        
          
        
        215000.00000000
        PA
        USD
        191330.65000000
        0.077671082477
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-09
          Fixed
          1.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        54930067BGNOZYMNWK87
        SLM Student Loan Trust 2008-7
        78445FAE5
        
          
        
        305000.00000000
        PA
        USD
        283016.42000000
        0.114891114937
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2083-07-26
          Floating
          3.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oakwood Mortgage Investors Inc.
        N/A
        Oakwood Mortgage Investors Inc
        67087TBW0
        
          
        
        688214.17000000
        PA
        USD
        211619.80000000
        0.085907505878
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-07-15
          Variable
          7.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAH3
        
          
        
        250000.00000000
        PA
        USD
        240740.00000000
        0.097728912725
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2036-02-01
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMOND SPORTS GR/DIAMON
        N/A
        Diamond Sports Group LLC / Diamond Sports Finance Co
        25277LAF3
        
          
        
        522000.00000000
        PA
        USD
        131152.50000000
        0.053241635067
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        197677AJ6
        
          
        
        235000.00000000
        PA
        USD
        248387.95000000
        0.100833614221
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          7.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACQUARIE GROUP LTD
        ACMHD8HWFMFUIQQ8Y590
        Macquarie Group Ltd
        55608JAZ1
        
          
        
        555000.00000000
        PA
        USD
        453293.36000000
        0.184015399262
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2033-01-14
          Fixed
          2.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2014-CCRE21 Mortgage Trust
        12592RBH1
        
          
        
        16790394.04000000
        PA
        USD
        283717.36000000
        0.115175663014
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-12-10
          Variable
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273VAJ9
        
          
        
        634000.00000000
        PA
        USD
        469249.75000000
        0.190492929567
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599DG7
        
          
        
        513000.00000000
        PA
        USD
        255009.39000000
        0.103521601808
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-10-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133T5X32
        
          
        
        26035.43000000
        PA
        USD
        25880.42000000
        0.010506211296
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-02-15
          Floating
          2.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-Mobile USA Inc
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264AAV7
        
          
        
        186000.00000000
        PA
        USD
        180894.30000000
        0.073434424097
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Adjustable Rate Mortgage Trust
        N/A
        Bear Stearns ARM Trust 2003-7
        07384MYZ9
        
          
        
        245034.51000000
        PA
        USD
        233471.06000000
        0.094778071141
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-10-25
          Variable
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00912XAY0
        
          
        
        120000.00000000
        PA
        USD
        107391.25000000
        0.043595705319
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AM9
        
          
        
        450000.00000000
        PA
        USD
        305988.75000000
        0.124216780940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANT HOLD / CO-ISSUER
        N/A
        Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer
        01883LAA1
        
          
        
        150000.00000000
        PA
        USD
        133857.00000000
        0.054339532569
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAJ9
        
          
        
        454000.00000000
        PA
        USD
        427561.49000000
        0.173569492152
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2046-02-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Highbridge Loan Management Ltd
        2549009NI8GVCM3ROT27
        HPS Loan Management 10-2016 Ltd
        40436TAS5
        
          
        
        875000.00000000
        PA
        USD
        847599.38000000
        0.344084762956
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-20
          Floating
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BX6
        
          
        
        208000.00000000
        PA
        USD
        189976.80000000
        0.077121484203
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANT ENERGY FINANCE
        54930033ER6EOI5DL570
        Alliant Energy Finance LLC
        01882YAD8
        
          
        
        535000.00000000
        PA
        USD
        486395.25000000
        0.197453181595
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch First Franklin Mortgage Loan Trust
        N/A
        Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3
        59024VAG4
        
          
        
        1017547.71000000
        PA
        USD
        650959.82000000
        0.264258517223
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-06-25
          Floating
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2005-QA8 Trust
        761118BS6
        
          
        
        357491.12000000
        PA
        USD
        217632.91000000
        0.088348540614
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Variable
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing and Securitization
        N/A
        C-BASS Mortgage Loan Trust 2007-CB2
        1248MBAH8
        
          
        
        853009.86000000
        PA
        USD
        581488.89000000
        0.236056646097
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-02-25
          Variable
          3.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Alternative Loan Trust
        N/A
        Banc of America Alternative Loan Trust 2005-10
        05948KQ85
        
          
        
        355019.89000000
        PA
        USD
        304770.52000000
        0.123722237892
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          2.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS Commercial Mortgage Trust
        N/A
        WFRBS Commercial Mortgage Trust 2012-C8
        92936YAK7
        
          
        
        512813.78000000
        PA
        USD
        16.92000000
        0.000006868709
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-08-15
          Variable
          1.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMED O2 UK FINAN
        213800MRR46ECNGZ7L69
        Vmed O2 UK Financing I PLC
        92858RAA8
        
          
        
        260000.00000000
        PA
        USD
        209725.10000000
        0.085138348401
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2031-01-31
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Humana Inc
        529900YLDW34GJAO4J06
        Humana Inc
        444859BE1
        
          
        
        125000.00000000
        PA
        USD
        121786.36000000
        0.049439430703
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-10-01
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN CAMPUS CMNTYS
        RDKVCX5HITZ2GPIR7153
        American Campus Communities Operating Partnership LP
        024836AH1
        
          
        
        140000.00000000
        PA
        USD
        129676.40000000
        0.052642409147
        Long
        DBT
        
        US
        N
        
        2
        
          2029-01-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carrington Mortgage Loan Trust
        N/A
        Carrington Mortgage Loan Trust Series 2007-RFC1
        144526AC4
        
          
        
        1369231.13000000
        PA
        USD
        1293857.28000000
        0.525244102334
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          1.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBV6
        
          
        
        175000.00000000
        PA
        USD
        150407.25000000
        0.061058141598
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2052-03-16
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HERTZ CORP/THE
        549300PD0C69OJ0NLB27
        Hertz Corp/The
        428040DA4
        
          
        
        140000.00000000
        PA
        USD
        117388.60000000
        0.047654150720
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        bmo sba coof trust
        N/A
        BMO SBA COOF Trust 2019-1
        05588XAA4
        
          
        
        6569690.86000000
        PA
        USD
        364552.80000000
        0.147990981037
        Long
        ABS-O
        USGA
        US
        N
        
        2
        
          2045-10-25
          Variable
          1.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HEALTHCARE TRUST OF AMER
        549300IYGAS4GE6VDL07
        Healthcare Trust of America Holdings LP
        42225UAH7
        
          
        
        190000.00000000
        PA
        USD
        147469.48000000
        0.059865547647
        Long
        DBT
        
        US
        N
        
        2
        
          2031-03-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Long Beach Mortgage Loan Trust
        N/A
        Long Beach Mortgage Loan Trust 2004-4
        542514HT4
        
          
        
        471027.27000000
        PA
        USD
        457044.92000000
        0.185538352987
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chevron Corp
        N/A
        Chevron Corp
        166764100
        
          
        
        84.00000000
        NS
        USD
        12161.52000000
        0.004936994793
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS MORTGAGE TRUST 2017-C1
        07332VBJ3
        
          
        
        3728231.54000000
        PA
        USD
        189401.62000000
        0.076887988664
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-15
          Variable
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        EUR 1Y MIDCV OP SEP22C 99
        000000000
        
          
        
        -170.00000000
        NC
        USD
        -2125.00000000
        -0.00086264824
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Call
            Written
            
              
                
                  
                    Chicago Mercantile Exchange
                    SNZ2OJLFK8MNNCLQOF39
                  
                  
                    Chicago Mercantile Exchange
                    SNZ2OJLFK8MNNCLQOF39
                    CME 3 Month Eurodollar Future
                    N/A
                    
                      
                    
                    170.00000000
                    NC
                    N/A
                    -2125.00000000
                    0.00000000
                    DIR
                    
                    US
                  
                  Short
                  
                    
                      CME 3 Month Eurodollar
                      EDU2 Comdty
                    
                  
                  2023-09-18
                  170.00000000
                  USD
                
              
            
            2500.00000000
            99.00000000
            USD
            2022-09-16
            XXXX
            54145.60000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        CWABS Asset-Backed Certificates Trust 2007-13
        126698AC3
        
          
        
        466662.60000000
        PA
        USD
        450191.37000000
        0.182756139853
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-10-25
          Floating
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Time Warner Cable LLC
        549300U5NFR7S6E3GM41
        Time Warner Cable LLC
        88732JBB3
        
          
        
        120000.00000000
        PA
        USD
        104954.57000000
        0.042606529914
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FBTD8
        
          
        
        3455000.00000000
        PA
        USD
        146757.69000000
        0.059576594989
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-11-25
          Variable
          2.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Adjustable Rate Mortgage Trust
        N/A
        Bear Stearns ARM Trust 2007-4
        07401CAV5
        
          
        
        596012.70000000
        PA
        USD
        559612.65000000
        0.227175940150
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-25
          Variable
          3.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE MUTUAL INSURA
        Z7LVXXWM8HZPKF5T2355
        Nationwide Mutual Insurance Co
        638671AJ6
        
          
        
        1000000.00000000
        PA
        USD
        1000229.25000000
        0.406045181849
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-15
          Variable
          4.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        271.03000000
        0.000110025202
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            254000.00000000
            EUR
            265865.36000000
            USD
            2022-07-08
            271.03000000
          
        
        
          N
          N
          N
        
      
      
        Allegro CLO Ltd
        254900E0ZQX4DLP7HF87
        Allegro CLO XII Ltd
        01750TAG1
        
          
        
        475000.00000000
        PA
        USD
        457140.00000000
        0.185576950914
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-21
          Floating
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TITAN ACQ/CO-BORROWER
        N/A
        Titan Acquisition Ltd / Titan Co-Borrower LLC
        88827AAA1
        
          
        
        140000.00000000
        PA
        USD
        130900.00000000
        0.053139132158
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2026-04-15
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conseco Finance Securitizations Corp.
        N/A
        Conseco Finance Securitizations Corp
        20846QAM0
        
          
        
        1312438.14000000
        PA
        USD
        592300.58000000
        0.240445674544
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-06-01
          Variable
          7.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKA6
        
          
        
        490000.00000000
        PA
        USD
        396194.40000000
        0.160835955553
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-07-21
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137B4H25
        
          
        
        4020000.00000000
        PA
        USD
        62358.24000000
        0.025314459560
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Variable
          1.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities
        N/A
        Credit Suisse First Boston Mortgage Securities Corp
        225470RS4
        
          
        
        951736.68000000
        PA
        USD
        283215.99000000
        0.114972130801
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2036-01-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2014-GC21
        17322MAL0
        
          
        
        4702110.78000000
        PA
        USD
        100095.24000000
        0.040633874612
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-05-10
          Variable
          1.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oak Hill Credit Partners
        N/A
        OHA Credit Funding 7 Ltd
        67098WAN1
        
          
        
        1400000.00000000
        PA
        USD
        1361744.72000000
        0.552803152342
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2037-02-24
          Floating
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWFCME031 IRS USD R F  1.68750 SWFCME031_FIX CCPVANILLA / Short: SWFCME031 IRS USD P V 03MLIBOR SWFCME031_FLO CCPVANILLA
        000000000
        
          
        
        7445000.00000000
        OU
        Notional Amount
        USD
        -168749.11000000
        -0.06850405850
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-07
            0.00000000
            USD
            0.00000000
            USD
            7445000.00000000
            USD
            -168749.11000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133T4DA1
        
          
        
        12057.41000000
        PA
        USD
        12669.08000000
        0.005143039850
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-02-15
          Floating
          13.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Asset-Backed Certificates
        N/A
        WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust
        933631AD5
        
          
        
        1655567.74000000
        PA
        USD
        867983.29000000
        0.352359654379
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          1.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        USQ Rail I LLC
        25490077I8NB6ADB4I38
        ITE Rail Fund Levered LP
        90352WAD6
        
          
        
        393324.25000000
        PA
        USD
        349565.36000000
        0.141906798036
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2051-02-28
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3466.94000000
        -0.00140741163
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            503286.20000000
            USD
            478000.00000000
            EUR
            2022-07-08
            -3466.94000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJQ3
        
          
        
        625000.00000000
        PA
        USD
        561271.59000000
        0.227849390355
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-11
          Fixed
          1.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22
        61690FAN3
        
          
        
        8403256.01000000
        PA
        USD
        167763.44000000
        0.068103923678
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-04-15
          Variable
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Scholar Funding Trust
        N/A
        Scholar Funding Trust 2012-B
        80705WAB5
        
          
        
        582878.41000000
        PA
        USD
        575870.29000000
        0.233775763531
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-03-28
          Floating
          2.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300LCOEVXWN75LP18
        Neuberger Berman Loan Advisers Clo 43 Ltd
        64134AAA0
        
          
        
        800000.00000000
        PA
        USD
        769016.00000000
        0.312183673458
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-07-17
          Floating
          2.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rockford Tower CLO Ltd
        5493009YDNBJVFWX7747
        Rockford Tower CLO 2020-1 Ltd
        77341EAG0
        
          
        
        900000.00000000
        PA
        USD
        849347.10000000
        0.344794253590
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-20
          Floating
          4.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carvana Auto Receivables Trust
        N/A
        Carvana Auto Receivables Trust 2021-N3
        14687GAH8
        
          
        
        2200.00000000
        PA
        USD
        808039.98000000
        0.328025540765
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-06-12
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Progress Residential Trust
        N/A
        Progress Residential 2021-SFR9 Trust
        74333QAJ4
        
          
        
        1707000.00000000
        PA
        USD
        1362979.07000000
        0.553304239338
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-11-17
          Fixed
          2.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHC6
        
          
        
        830000.00000000
        PA
        USD
        827486.15000000
        0.335919754651
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Extended Stay America Trust
        N/A
        Extended Stay America Trust 2021-ESH
        30227FAN0
        
          
        
        646024.04000000
        PA
        USD
        622670.34000000
        0.252774342919
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-15
          Floating
          5.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMSR Trust
        N/A
        AMSR 2020-SFR2 Trust
        00178UAG4
        
          
        
        1375000.00000000
        PA
        USD
        1336091.58000000
        0.542389205843
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-07-17
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JBS USA/FOOD/FINANCE
        N/A
        JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
        46590XAC0
        
          
        
        650000.00000000
        PA
        USD
        535119.00000000
        0.217232691071
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2031-12-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404121AJ4
        
          
        
        100000.00000000
        PA
        USD
        98684.00000000
        0.040060978746
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-01
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796V63
        
          
        
        5500000.00000000
        PA
        USD
        5466910.08000000
        2.219303722212
        Long
        STIV
        UST
        US
        N
        
        1
        
          2022-10-20
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENCOMPASS HEALTH CORP
        549300FVRPM9DRQZRG64
        Encompass Health Corp
        29261AAE0
        
          
        
        285000.00000000
        PA
        USD
        231867.45000000
        0.094127082266
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENCOMPASS HEALTH CORP
        549300FVRPM9DRQZRG64
        Encompass Health Corp
        29261AAA8
        
          
        
        160000.00000000
        PA
        USD
        137600.00000000
        0.055859011344
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL CINEMEDIA LLC
        7LJEQIVQVLNGS4X6T547
        National CineMedia LLC
        63530QAJ8
        
          
        
        477000.00000000
        PA
        USD
        337510.89000000
        0.137013260416
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mtg Loan Asset Backed Certificates
        N/A
        First Franklin Mortgage Loan Trust 2006-FF11
        32028PAE5
        
          
        
        678496.50000000
        PA
        USD
        634683.47000000
        0.257651098478
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-08-25
          Floating
          1.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMCOR FINANCE USA INC
        549300ZMT7FVT8R77U18
        Amcor Finance USA Inc
        02343UAG0
        
          
        
        400000.00000000
        PA
        USD
        384632.00000000
        0.156142174791
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-28
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OPTION CARE HEALTH INC
        549300DI3Q5ACSYJRI17
        Option Care Health Inc
        68404LAA0
        
          
        
        275000.00000000
        PA
        USD
        236090.25000000
        0.095841336867
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-31
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        SCSW2GRYW6ZPGKE5DL61
        SLM Student Loan Trust 2005-9
        78442GRC2
        
          
        
        318108.74000000
        PA
        USD
        298910.27000000
        0.121343256997
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-01-25
          Floating
          1.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        549300XS2BVK8BZTXN05
        Dryden 85 CLO Ltd
        26246BAL8
        
          
        
        1375000.00000000
        PA
        USD
        1327438.75000000
        0.538876571184
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-10-15
          Floating
          2.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HERTZ CORP/THE
        549300PD0C69OJ0NLB27
        Hertz Corp/The
        428040DB2
        
          
        
        290000.00000000
        PA
        USD
        224750.00000000
        0.091237738369
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan Trust
        N/A
        Morgan Stanley Mortgage Loan Trust 2007-15AR
        61756XBK0
        
          
        
        307121.49000000
        PA
        USD
        289348.25000000
        0.117461534732
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-25
          Variable
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        N/A
        Citigroup Mortgage Loan Trust 2005-8
        17307GE20
        
          
        
        440892.80000000
        PA
        USD
        374750.46000000
        0.152130742706
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Variable
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378KGP8
        
          
        
        7077078.26000000
        PA
        USD
        16488.88000000
        0.006693695748
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2055-02-16
          Variable
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2011-GC3
        36248FAJ1
        
          
        
        653539.17000000
        PA
        USD
        6.54000000
        0.000002654926
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-03-10
          Variable
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2004-A6
        466247HA4
        
          
        
        192316.31000000
        PA
        USD
        182997.91000000
        0.074288389030
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-12-25
          Variable
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adjustable Rate Mortgage Trust
        N/A
        Adjustable Rate Mortgage Trust 2006-1
        225470A94
        
          
        
        345587.02000000
        PA
        USD
        222609.53000000
        0.090368810040
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Variable
          3.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PILGRIM'S PRIDE CORP
        549300ZSLGV64ZL3HD75
        Pilgrim's Pride Corp
        72147KAF5
        
          
        
        285000.00000000
        PA
        USD
        238043.40000000
        0.096634222245
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376G3C2
        
          
        
        4266269.03000000
        PA
        USD
        6.40000000
        0.000002598093
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-09-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York State Dormitory Authority
        549300C8XO7EXTX2XU71
        NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE
        6499022E2
        
          
        
        1000000.00000000
        PA
        USD
        1067554.80000000
        0.433376131422
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-03-15
          Fixed
          5.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        County of Miami-Dade FL Aviation Revenue
        N/A
        MIAMI-DADE CNTY FL AVIATION REVENUE
        59333P2N7
        
          
        
        130000.00000000
        PA
        USD
        121098.64000000
        0.049160249313
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2030-10-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31396JM36
        
          
        
        1450704.65000000
        PA
        USD
        163793.40000000
        0.066492277534
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-03-15
          Floating
          4.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOLINA HEALTHCARE INC
        549300NQQCEQ46YHZ591
        Molina Healthcare Inc
        60855RAK6
        
          
        
        520000.00000000
        PA
        USD
        445307.20000000
        0.180773400700
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Investment Corp
        549300WNTHGEO5LP2G31
        New Residential Investment Corp
        64828T201
        
          
        
        55339.00000000
        NS
        USD
        515759.48000000
        0.209373652937
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Trestles CLO LTD
        N/A
        TRESTLES CLO V LTD
        89532UAA1
        
          
        
        525000.00000000
        PA
        USD
        508337.03000000
        0.206360493644
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-20
          Floating
          2.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exxon Mobil Corp
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231G102
        
          
        
        80.00000000
        NS
        USD
        6851.20000000
        0.002781259146
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGF0
        
          
        
        120000.00000000
        PA
        USD
        115290.16000000
        0.046802284558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-20
          Fixed
          3.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119CF4
        
          
        
        180000.00000000
        PA
        USD
        152173.80000000
        0.061775276311
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BYPS3
        
          
        
        10845442.20000000
        PA
        USD
        122312.19000000
        0.049652892505
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-04-25
          Variable
          1.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023DE2
        
          
        
        675000.00000000
        PA
        USD
        646069.50000000
        0.262273281465
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-04
          Fixed
          1.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHD4
        
          
        
        395000.00000000
        PA
        USD
        368072.85000000
        0.149419952788
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-20
          Fixed
          3.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust
        N/A
        Bayview Commercial Asset Trust 2003-2
        07324SAF9
        
          
        
        166245.64000000
        PA
        USD
        163453.27000000
        0.066354201040
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-12-25
          Floating
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PART/GLP FINANCE
        N/A
        Global Partners LP / GLP Finance Corp
        37954FAJ3
        
          
        
        275000.00000000
        PA
        USD
        233085.44000000
        0.094621527886
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSC HOLDINGS LLC
        3HG2WD2W22M120IUNG49
        CSC Holdings LLC
        126307BB2
        
          
        
        350000.00000000
        PA
        USD
        273189.00000000
        0.110901652980
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-12-01
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CZ1
        
          
        
        685000.00000000
        PA
        USD
        656387.55000000
        0.266461915709
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-25
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        549300A8L0VCZ9626397
        Palmer Square CLO 2018-1 Ltd
        69703PAA7
        
          
        
        600000.00000000
        PA
        USD
        588630.00000000
        0.238955594822
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-18
          Floating
          2.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGIZER HOLDINGS INC
        5493000D6NN0V57UME20
        Energizer Holdings Inc
        29272WAD1
        
          
        
        265000.00000000
        PA
        USD
        204773.45000000
        0.083128215599
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-31
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY TRANSMISSION
        549300AINIIPOLYX2R63
        FirstEnergy Transmission LLC
        33767BAB5
        
          
        
        750000.00000000
        PA
        USD
        739345.24000000
        0.300138765613
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        N/A
        Citigroup Mortgage Loan Trust 2014-10
        17323FAD2
        
          
        
        593403.18000000
        PA
        USD
        588375.57000000
        0.238852308424
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-07-25
          Floating
          1.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QS1 Trust
        761118SB5
        
          
        
        257419.04000000
        PA
        USD
        222668.76000000
        0.090392854584
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        53944YAS2
        
          
        
        200000.00000000
        PA
        USD
        190322.00000000
        0.077261618873
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-03-18
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BQC21
        
          
        
        12341615.67000000
        PA
        USD
        61880.86000000
        0.025120666139
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-03-25
          Variable
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman XS Trust
        N/A
        Lehman XS Trust Series 2006-10N
        525229AE0
        
          
        
        450225.92000000
        PA
        USD
        442522.06000000
        0.179642767220
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-07-25
          Floating
          2.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RBSSP Resecuritization Trust
        N/A
        RBSSP Resecuritization Trust 2012-6
        74931TAH8
        
          
        
        369311.87000000
        PA
        USD
        367590.10000000
        0.149223979403
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-26
          Floating
          1.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carvana Auto Receivables Trust
        N/A
        Carvana Auto Receivables Trust 2022-N1
        14686GAH9
        
          
        
        4700.00000000
        PA
        USD
        825868.96000000
        0.335263252946
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-12-11
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMGEN INC
        62QBXGPJ34PQ72Z12S66
        Amgen Inc
        031162DG2
        
          
        
        135000.00000000
        PA
        USD
        117618.75000000
        0.047747580599
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2062-02-22
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carvana Auto Receivables Trust
        N/A
        Carvana Auto Receivables Trust 2020-P1
        14687AAK4
        
          
        
        2000.00000000
        PA
        USD
        407893.20000000
        0.165585108183
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-09-08
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ACB9
        
          
        
        140000.00000000
        PA
        USD
        117949.68000000
        0.047881922334
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS Commercial Mortgage Trust
        549300GADFYEKC4OLM57
        WFRBS Commercial Mortgage Trust 2013-C14
        92890PAL8
        
          
        
        6815308.73000000
        PA
        USD
        23628.68000000
        0.009592112675
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-06-15
          Variable
          0.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VODAFONE GROUP PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        92857WBS8
        
          
        
        529000.00000000
        PA
        USD
        485703.72000000
        0.197172453527
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2049-06-19
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378XDR9
        
          
        
        2190926.72000000
        PA
        USD
        20808.98000000
        0.008447449490
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2055-05-16
          Variable
          0.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRAY ESCROW II INC
        N/A
        Gray Escrow II Inc
        389286AA3
        
          
        
        140000.00000000
        PA
        USD
        112270.20000000
        0.045576325402
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-11-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CABLE ONE INC
        549300648QS85T0XSH18
        Cable One Inc
        12685JAC9
        
          
        
        415000.00000000
        PA
        USD
        342043.00000000
        0.138853080066
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300IZGFDRVV7YTH38
        SLM Student Loan Trust 2007-7
        78444EAE9
        
          
        
        150000.00000000
        PA
        USD
        137214.74000000
        0.055702614231
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2070-10-27
          Floating
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEVEL 3 FINANCING INC
        254900AE5FEFIJOXWL19
        Level 3 Financing Inc
        527298BN2
        
          
        
        176000.00000000
        PA
        USD
        150553.04000000
        0.061117325358
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DC Office Trust
        N/A
        DC Office Trust 2019-MTC
        23312BAA8
        
          
        
        550000.00000000
        PA
        USD
        485545.06000000
        0.197108045164
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-09-15
          Fixed
          2.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWFCME028 IRS USD R F  1.39000 SWFCME028_FIX CCPVANILLA / Short: SWFCME028 IRS USD P V 03MLIBOR SWFCME028_FLO CCPVANILLA
        000000000
        
          
        
        7515000.00000000
        OU
        Notional Amount
        USD
        -218723.32000000
        -0.08879119486
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-09-28
            0.00000000
            USD
            0.00000000
            USD
            7515000.00000000
            USD
            -218723.32000000
          
        
        
          N
          N
          N
        
      
      
        POST HOLDINGS INC
        JM1I5YUAURL6DC8N1468
        Post Holdings Inc
        737446AQ7
        
          
        
        270000.00000000
        PA
        USD
        228274.20000000
        0.092668394821
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENBRIDGE ENERGY PARTNERS
        CZ6VG2MNE1J6YDI02G48
        Enbridge Energy Partners LP
        29250RAW6
        
          
        
        50000.00000000
        PA
        USD
        52335.00000000
        0.021245504060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ace Securities Corp.
        N/A
        ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1
        00442JAD6
        
          
        
        1214960.88000000
        PA
        USD
        627598.37000000
        0.254774887132
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-25
          Floating
          2.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        USA Compression Partners LP
        N/A
        USA Compression Partners LP
        90290N109
        
          
        
        79823.00000000
        NS
        USD
        1334640.56000000
        0.541800161202
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DUKE ENERGY CORP
        I1BZKREC126H0VB1BL91
        Duke Energy Corp
        000000000
        
          
        
        130000.00000000
        PA
        
        133752.98000000
        0.054297305429
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-06-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PANAMA
        549300SHS4T08CL0LP14
        Panama Government International Bond
        698299BK9
        
          
        
        250000.00000000
        PA
        USD
        223411.88000000
        0.090694525722
        Long
        DBT
        NUSS
        PA
        N
        
        2
        
          2030-01-23
          Fixed
          3.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Mortgage Funding Trust
        N/A
        Bear Stearns Mortgage Funding Trust 2007-AR3
        07401VAD3
        
          
        
        27610764.65000000
        PA
        USD
        664479.28000000
        0.269746770635
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2037-03-25
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505GB4
        
          
        
        140000.00000000
        PA
        USD
        116289.60000000
        0.047208009343
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-27
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAF8
        
          
        
        85000.00000000
        PA
        USD
        82624.25000000
        0.033541489230
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-07-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fanniemae-Aces
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae-Aces
        3136B7HP9
        
          
        
        7900000.00000000
        PA
        USD
        273212.02000000
        0.110910997998
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-03-25
          Variable
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Adjustable Rate Mortgage Trust
        N/A
        Bear Stearns ARM Trust 2005-9
        07387AEG6
        
          
        
        129620.65000000
        PA
        USD
        128584.38000000
        0.052199101316
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC Mortgage-Backed Trust 2006-6
        22942JAH6
        
          
        
        503531.77000000
        PA
        USD
        302527.02000000
        0.122811484317
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Metropolitan Transportation Authority
        5493000TKYODLXADQD60
        MET TRANSPRTN AUTH NY REVENUE
        59261AG76
        
          
        
        55000.00000000
        PA
        USD
        57544.08000000
        0.023360141115
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2049-11-15
          Fixed
          5.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUMEN TECHNOLOGIES INC
        8M3THTGWLTYZVE6BBY25
        Lumen Technologies Inc
        550241AA1
        
          
        
        425000.00000000
        PA
        USD
        337577.50000000
        0.137040300886
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2015-GC35
        17324KAV0
        
          
        
        6399008.60000000
        PA
        USD
        126467.45000000
        0.051339729100
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-11-10
          Variable
          0.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24
        61765LAV2
        
          
        
        9425930.14000000
        PA
        USD
        166814.08000000
        0.067718528975
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-05-15
          Variable
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACRISURE LLC / FIN INC
        N/A
        Acrisure LLC / Acrisure Finance Inc
        00489LAF0
        
          
        
        280000.00000000
        PA
        USD
        227430.00000000
        0.092325690043
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Securitized Asset Backed Receivables LLC Trust
        N/A
        Securitized Asset Backed Receivables LLC Trust 2007-NC2
        81378GAD0
        
          
        
        4614000.00000000
        PA
        USD
        3522154.58000000
        1.429826109303
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          1.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JETBLUE AIRWAYS CORP
        N/A
        JetBlue 2020-1 Class A Pass Through Trust
        477164AA5
        
          
        
        721475.63000000
        PA
        USD
        663533.92000000
        0.269362999742
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AM0
        
          
        
        85000.00000000
        PA
        USD
        80498.93000000
        0.032678711076
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-09-11
          Fixed
          2.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        3680.94000000
        0.001494285386
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            129000.00000000
            EUR
            138569.40000000
            USD
            2022-07-08
            3680.94000000
          
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Backed Securities Trust
        N/A
        Merrill Lynch Mortgage Backed Securities Trust Series 2007-2
        59025GAA9
        
          
        
        124631.62000000
        PA
        USD
        113887.09000000
        0.046232705321
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Floating
          4.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIEDMONT OPERATING PARTN
        549300WKGDPAS39FBD10
        Piedmont Operating Partnership LP
        720198AC4
        
          
        
        425000.00000000
        PA
        USD
        423012.76000000
        0.171722925578
        Long
        DBT
        
        US
        N
        
        2
        
          2023-06-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stratus CLO
        N/A
        Stratus CLO 2021-3 Ltd
        86315XAG1
        
          
        
        750000.00000000
        PA
        USD
        648133.50000000
        0.263111166635
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-12-29
          Variable
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BPCS6
        
          
        
        690000.00000000
        PA
        USD
        84619.46000000
        0.034351448954
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-03-25
          Variable
          4.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Receivables Finance LLC
        N/A
        Structured Receivables Finance 2010-B LLC
        86365LAB7
        
          
        
        323291.85000000
        PA
        USD
        346089.23000000
        0.140495655702
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-08-15
          Fixed
          7.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967NE7
        
          
        
        375000.00000000
        PA
        USD
        307230.62000000
        0.124720920696
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-11-03
          Fixed
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206R102
        
          
        
        54617.00000000
        NS
        USD
        1144772.32000000
        0.464722747161
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QS13 Trust
        75115DAB1
        
          
        
        2348864.09000000
        PA
        USD
        274289.07000000
        0.111348228726
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2036-09-25
          Floating
          5.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
        46639YAS6
        
          
        
        20912323.00000000
        PA
        USD
        124757.69000000
        0.050645648408
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-15
          Variable
          1.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMPERIAL BRANDS FIN PLC
        2138008L3B3MCG1DFS50
        Imperial Brands Finance PLC
        45262BAA1
        
          
        
        270000.00000000
        PA
        USD
        261465.30000000
        0.106142392142
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-07-26
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors Trust
        N/A
        Merrill Lynch Mortgage Investors Trust Series 2006-RM2
        590216AA5
        
          
        
        4069818.12000000
        PA
        USD
        1272383.87000000
        0.516526926079
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-05-25
          Floating
          1.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CoreVest American Finance Ltd
        N/A
        CoreVest American Finance 2020-3 Trust
        21873CAC7
        
          
        
        1315299.73000000
        PA
        USD
        135259.18000000
        0.054908750508
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2053-08-15
          Variable
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300JQFJDGC1WO7674
        SLM Student Loan Trust 2008-6
        78445CAE2
        
          
        
        225000.00000000
        PA
        USD
        210729.33000000
        0.085546017696
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2083-07-26
          Floating
          3.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505104
        
          
        
        28443.00000000
        NS
        USD
        885430.59000000
        0.359442422756
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137B1UJ9
        
          
        
        4095000.00000000
        PA
        USD
        33441.08000000
        0.013575477231
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-25
          Variable
          1.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBP9
        
          
        
        80000.00000000
        PA
        USD
        62618.90000000
        0.025420275039
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-11-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-46CB
        12668ABD6
        
          
        
        604313.08000000
        PA
        USD
        475844.22000000
        0.193169968626
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT SEP22
        000000000
        
          
        
        -299.00000000
        NC
        USD
        600476.66000000
        0.243764771532
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                Ultra 10-Year US Treasury Note Futures
                UXYU2 Comdty
              
            
            2022-09-21
            -38685601.66000000
            USD
            600476.66000000
          
        
        
          N
          N
          N
        
      
      
        ARCHROCK PARTNERS LP/FIN
        N/A
        Archrock Partners LP / Archrock Partners Finance Corp
        03959KAC4
        
          
        
        140000.00000000
        PA
        USD
        123942.00000000
        0.050314517325
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        196000.00000000
        0.079566614996
        Long
        DBT
        NUSS
        SA
        Y
        
        2
        
          2026-10-26
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oakwood Mortgage Investors Inc.
        N/A
        Oakwood Mortgage Investors Inc
        67087TCL3
        
          
        
        1671028.16000000
        PA
        USD
        249013.94000000
        0.101087736186
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-06-15
          Variable
          6.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities I Trust 2005-AC6
        073879L55
        
          
        
        357811.36000000
        PA
        USD
        322172.17000000
        0.130786474555
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Variable
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137AVXQ5
        
          
        
        2500000.00000000
        PA
        USD
        6727.88000000
        0.002731197131
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-25
          Variable
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2020-IG3 Mortgage Trust
        08162QBE8
        
          
        
        555000.00000000
        PA
        USD
        473580.33000000
        0.192250937687
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-15
          Variable
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAR2
        
          
        
        406000.00000000
        PA
        USD
        331304.07000000
        0.134493588695
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-11-18
          Fixed
          2.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378XLU3
        
          
        
        1725615.12000000
        PA
        USD
        52698.04000000
        0.021392880916
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2054-11-16
          Variable
          0.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Education Loan Asset-Backed Trust
        5493000CKEJUMJ3IL355
        Education Loan Asset-Backed Trust I
        28140DAD5
        
          
        
        832148.54000000
        PA
        USD
        824773.30000000
        0.334818467449
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2032-04-26
          Floating
          2.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        JPMORGAN CHASE + CO
        000000000
        
          
        
        -36.00000000
        NC
        USD
        -144.00000000
        -0.00005845710
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                JPMorgan Chase & Co
                JPMorgan Chase & Co
                
                  
                  
                
              
            
            100.00000000
            170.00000000
            USD
            2022-10-21
            XXXX
            6431.03000000
          
        
        
          N
          N
          N
        
      
      
        FRONTIER COMMUNICATIONS
        N/A
        Frontier Communications Holdings LLC
        35906ABF4
        
          
        
        350000.00000000
        PA
        USD
        299449.50000000
        0.121562158557
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIFC Funding Ltd
        635400VBVF8AYJQBI411
        CIFC Funding 2018-I Ltd
        12547WAC8
        
          
        
        650000.00000000
        PA
        USD
        354987.10000000
        0.144107764868
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-18
          Variable
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing and Securitization
        N/A
        Credit-Based Asset Servicing and Securitization LLC
        12498NAB9
        
          
        
        1965441.84000000
        PA
        USD
        1976501.97000000
        0.802365159622
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-12-25
          Variable
          3.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Energy Transfer LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273V100
        
          
        
        103400.00000000
        NS
        USD
        1031932.00000000
        0.418914980337
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        706451BG5
        
          
        
        385000.00000000
        PA
        USD
        264495.00000000
        0.107372305272
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2035-06-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        N/A
        Banc of America Funding 2006-3 Trust
        058931AW6
        
          
        
        159768.01000000
        PA
        USD
        141675.27000000
        0.057513375829
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        08576PAH4
        
          
        
        335000.00000000
        PA
        USD
        299235.40000000
        0.121475244209
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31397TTP7
        
          
        
        91226.20000000
        PA
        USD
        12741.00000000
        0.005172235926
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-06-15
          Floating
          4.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BV0
        
          
        
        250000.00000000
        PA
        USD
        227152.50000000
        0.092213038331
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-06-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSMONTAIGE PARTNERS
        N/A
        TransMontaigne Partners LP / TLP Finance Corp
        89376VAA8
        
          
        
        265000.00000000
        PA
        USD
        235850.00000000
        0.095743806871
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DSLA Mortgage Loan Trust
        N/A
        DSLA Mortgage Loan Trust 2006-AR2
        23332QAC7
        
          
        
        356293.00000000
        PA
        USD
        259828.84000000
        0.105478067740
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-19
          Floating
          1.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JANE STREET GRP/JSG FIN
        N/A
        Jane Street Group / JSG Finance Inc
        47077WAA6
        
          
        
        435000.00000000
        PA
        USD
        387667.65000000
        0.157374503336
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-11-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUND FUTURE SEP22
        000000000
        
          
        
        -2.00000000
        NC
        
        -2428.56000000
        -0.00098587907
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                Eurex 10 Year Euro BUND Future
                RXU2 Comdty
              
            
            2022-09-08
            -295237.02000000
            EUR
            -2428.56000000
          
        
        
          N
          N
          N
        
      
      
        SUNAC CHINA HOLDINGS LTD
        549300OLARYHDXP3WK18
        Sunac China Holdings Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        30176.00000000
        0.012250011092
        Long
        DBT
        CORP
        KY
        
        Y
        
        3
        
          2025-01-10
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) SEP22
        000000000
        
          
        
        284.00000000
        NC
        USD
        -237240.71000000
        -0.09630836854
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-09-30
            32116240.71000000
            USD
            -237240.71000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2U6
        
          
        
        1370000.00000000
        PA
        USD
        1218519.10000000
        0.494660408648
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-03-02
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust
        64033MAB4
        
          
        
        575000.00000000
        PA
        USD
        561470.19000000
        0.227930012446
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-11-25
          Floating
          2.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oakwood Mortgage Investors Inc.
        N/A
        Oakwood Mortgage Investors Inc
        67087TBC4
        
          
        
        1733156.10000000
        PA
        USD
        533547.77000000
        0.216594846926
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-09-15
          Variable
          8.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing and Securitization
        N/A
        Securitized Asset Backed Receivables LLC Trust 2006-CB1
        81375WHH2
        
          
        
        1020370.89000000
        PA
        USD
        834306.97000000
        0.338688680972
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-01-25
          Variable
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DR3
        
          
        
        50000.00000000
        PA
        USD
        38231.13000000
        0.015520008171
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2030-01-30
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        08576PAF8
        
          
        
        140000.00000000
        PA
        USD
        122660.91000000
        0.049794456127
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lloyds Banking Group PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        539439AP4
        
          
        
        150000.00000000
        PA
        USD
        149594.38000000
        0.060728155301
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-11-07
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CG2
        
          
        
        430000.00000000
        PA
        USD
        397737.76000000
        0.161462485812
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-06-04
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FPJQ9
        
          
        
        7935948.32000000
        PA
        USD
        286009.99000000
        0.116106361017
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-06-25
          Variable
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Global Advisors
        549300BZ5TGIFZUZDZ37
        State Street Institutional US Government Money Market Fund
        857492706
        
          
        
        212031.92000000
        NS
        USD
        212031.92000000
        0.086074806864
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Gracechurch Mortgage Finance Plc
        N/A
        Grace Trust 2020-GRCE
        38406JAN8
        
          
        
        376000.00000000
        PA
        USD
        248755.81000000
        0.100982947766
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-12-10
          Variable
          2.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2016-GS2
        36252TAT2
        
          
        
        4156532.01000000
        PA
        USD
        217781.49000000
        0.088408856980
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-05-10
          Variable
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEB7
        
          
        
        425000.00000000
        PA
        USD
        402059.27000000
        0.163216811947
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-22
          Fixed
          0.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mortgage Loan Trust
        N/A
        Structured Adjustable Rate Mortgage Loan Trust
        863579ZE1
        
          
        
        133043.89000000
        PA
        USD
        123483.49000000
        0.050128384220
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Variable
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES LP
        254900X4QE7SGKQLLN38
        VICI Properties LP
        925650AE3
        
          
        
        134000.00000000
        PA
        USD
        122249.54000000
        0.049627459605
        Long
        DBT
        
        US
        N
        
        2
        
          2052-05-15
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLC Student Loan Trust
        25490083RPF52FIUZ551
        SLC Student Loan Trust 2004-1
        784423AH8
        
          
        
        216221.93000000
        PA
        USD
        200224.05000000
        0.081281377037
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-08-15
          Floating
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS 2020-BID Mortgage Trust
        05493BAL2
        
          
        
        705000.00000000
        PA
        USD
        700362.06000000
        0.284313461152
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-15
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US BANCORP
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        902973BC9
        
          
        
        130000.00000000
        PA
        USD
        100354.80000000
        0.040739243543
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PENN NATIONAL GA
        N/A
        Penn National Gaming Inc
        707569AV1
        
          
        
        300000.00000000
        PA
        USD
        231186.00000000
        0.093850446196
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-01
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2006-HYB2
        126694C63
        
          
        
        722210.98000000
        PA
        USD
        507894.37000000
        0.206180794879
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-04-20
          Variable
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QS6 Trust
        74922EAV1
        
          
        
        3039683.92000000
        PA
        USD
        66324.69000000
        0.026924648336
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2036-06-25
          Variable
          0.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of South Africa
        378900AAFB4F17004C49
        Republic of South Africa Government International Bond
        836205AT1
        
          
        
        350000.00000000
        PA
        USD
        332577.00000000
        0.135010337324
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2026-04-14
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RBF5
        
          
        
        325000.00000000
        PA
        USD
        277758.89000000
        0.112756809501
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-03-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JPMCC Commercial Mortgage Securities Trust 2017-JP5
        46647TAU2
        
          
        
        10816838.71000000
        PA
        USD
        302140.27000000
        0.122654482336
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-15
          Variable
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carvana Auto Receivables Trust
        N/A
        Carvana Auto Receivables Trust 2022-P1
        14688DAM3
        
          
        
        2200.00000000
        PA
        USD
        806310.78000000
        0.327323568364
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-01-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967ML2
        
          
        
        140000.00000000
        PA
        USD
        119043.40000000
        0.048325920283
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-29
          Fixed
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2019-PRM
        29429JAC4
        
          
        
        14000000.00000000
        PA
        USD
        305316.90000000
        0.123944042010
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-10
          Variable
          1.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHENE GLOBAL FUNDING
        549300LM1QSI4MSIL320
        Athene Global Funding
        04685A3L3
        
          
        
        135000.00000000
        PA
        USD
        122886.24000000
        0.049885929318
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-08
          Fixed
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mtg Loan Asset Backed Certificates
        N/A
        First Franklin Mortgage Loan Trust 2006-FF13
        30247DAD3
        
          
        
        635857.08000000
        PA
        USD
        460778.98000000
        0.187054202550
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-10-25
          Floating
          1.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCR5
        
          
        
        275000.00000000
        PA
        USD
        228731.25000000
        0.092853935236
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-11-08
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Trust
        N/A
        IndyMac INDX Mortgage Loan Trust 2006-AR9
        45661EGC2
        
          
        
        468488.49000000
        PA
        USD
        308340.53000000
        0.125171491011
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-06-25
          Variable
          3.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BDCY0
        
          
        
        3110000.00000000
        PA
        USD
        150750.07000000
        0.061197310103
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-25
          Variable
          2.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BCRR Trust
        N/A
        BCRR 2016-FRR3 Trust
        81753WAJ7
        
          
        
        695788.77000000
        PA
        USD
        624151.82000000
        0.253375752862
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-05-26
          Floating
          2.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oakwood Mortgage Investors Inc.
        N/A
        Oakwood Mortgage Investors Inc
        67087TCW9
        
          
        
        356731.72000000
        PA
        USD
        233457.47000000
        0.094772554252
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-09-15
          Variable
          6.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIT Education Loan Trust
        N/A
        CIT Education Loan Trust 2007-1
        17284LAA2
        
          
        
        475294.10000000
        PA
        USD
        443805.87000000
        0.180163932608
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-03-25
          Floating
          2.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BT5
        
          
        
        250000.00000000
        PA
        USD
        248885.00000000
        0.101035392720
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAQ6
        
          
        
        285000.00000000
        PA
        USD
        256812.12000000
        0.104253423869
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2048-06-25
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38373M8V5
        
          
        
        5074160.00000000
        PA
        USD
        290.24000000
        0.000117823542
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-16
          Variable
          0.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BEVK7
        
          
        
        4875000.00000000
        PA
        USD
        208895.94000000
        0.084801749144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-25
          Variable
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONSTELLATION BRANDS INC
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PBK3
        
          
        
        385000.00000000
        PA
        USD
        382844.00000000
        0.155416332405
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-09
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sunoco LP
        54930001NJU8E40NQ561
        Sunoco LP
        86765K109
        
          
        
        26257.00000000
        NS
        USD
        978073.25000000
        0.397050906738
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300Y3YMECZJOAL893
        SLM Student Loan Trust 2004-2
        78442GLB0
        
          
        
        258774.56000000
        PA
        USD
        247304.61000000
        0.100393830054
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2039-07-25
          Floating
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Funding Mtg Sec I
        N/A
        RFMSI Series 2006-S9 Trust
        749577AP7
        
          
        
        18314116.32000000
        PA
        USD
        202885.61000000
        0.082361842954
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2036-09-25
          Variable
          0.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Preston Ridge Partners Mortgage Trust
        N/A
        PRPM 2021-10 LLC
        69360HAA9
        
          
        
        561550.02000000
        PA
        USD
        533101.50000000
        0.216413682675
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-10-25
          Variable
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAL7
        
          
        
        590000.00000000
        PA
        USD
        575146.92000000
        0.233482109948
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-12-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9
        46639EAG6
        
          
        
        5406772.38000000
        PA
        USD
        14778.33000000
        0.005999294354
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-12-15
          Variable
          1.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Annaly Capital Management Inc
        2DTL0G3FPRYUT58TI025
        Annaly Capital Management Inc
        035710409
        
          
        
        165767.00000000
        NS
        USD
        979682.97000000
        0.397704375980
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAJ4
        
          
        
        475000.00000000
        PA
        USD
        475265.38000000
        0.192934987303
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-11-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing and Securitization
        N/A
        C-BASS Mortgage Loan Trust 2007-CB3
        17311YAC7
        
          
        
        1206271.37000000
        PA
        USD
        507347.61000000
        0.205958836500
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-03-25
          Variable
          3.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pilgrim's Pride Corp
        549300ZSLGV64ZL3HD75
        Pilgrim's Pride Corp
        72147KAE8
        
          
        
        250000.00000000
        PA
        USD
        239467.50000000
        0.097212338655
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-30
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN ASSETS TRUST LP
        549300V1TI0SMG9Z6U69
        American Assets Trust LP
        02401LAA2
        
          
        
        275000.00000000
        PA
        USD
        234993.00000000
        0.095395905907
        Long
        DBT
        
        US
        N
        
        2
        
          2031-02-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAF2
        
          
        
        135000.00000000
        PA
        USD
        133992.90000000
        0.054394701461
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-07-03
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        53944YAP8
        
          
        
        395000.00000000
        PA
        USD
        351692.20000000
        0.142770193237
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-05-11
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENDO DAC/FIN LLC/FINCO
        N/A
        Endo Dac / Endo Finance LLC / Endo Finco Inc
        29273DAC4
        
          
        
        406000.00000000
        PA
        USD
        35017.50000000
        0.014215428268
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2028-06-30
          Fixed
          6.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        OT MERGER CORP
        N/A
        OT Merger Corp
        688777AA9
        
          
        
        425000.00000000
        PA
        USD
        248246.75000000
        0.100776293782
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          7.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Latitude Management Real Estate Capital Inc
        N/A
        LMREC 2019-CRE3 Inc
        50209TAA8
        
          
        
        742011.19000000
        PA
        USD
        727837.00000000
        0.295466971218
        Long
        ABS-CBDO
        CORP
        US
        N
        
        2
        
          2035-12-22
          Floating
          3.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan ReRemic
        N/A
        JP Morgan Resecuritization Trust Series 2015-4
        46645AAE1
        
          
        
        1708421.63000000
        PA
        USD
        1682990.75000000
        0.683213658404
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-26
          Floating
          1.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAC1
        
          
        
        150000.00000000
        PA
        USD
        150229.61000000
        0.060986028264
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-08-01
          Fixed
          4.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MED Trust
        N/A
        Med Trust 2021-MDLN
        58403YBA3
        
          
        
        670000.00000000
        PA
        USD
        608525.09000000
        0.247032048732
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          6.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Manhattan West
        N/A
        Manhattan West 2020-1MW Mortgage Trust
        563136AA8
        
          
        
        695000.00000000
        PA
        USD
        614646.17000000
        0.249516914118
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-09-10
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMRT
        N/A
        SMRT 2022-MINI
        78457JAN2
        
          
        
        1005000.00000000
        PA
        USD
        929250.44000000
        0.377231183645
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-01-15
          Floating
          3.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSC Holdings LLC
        3HG2WD2W22M120IUNG49
        CSC Holdings LLC
        126307AS6
        
          
        
        25000.00000000
        PA
        USD
        21688.50000000
        0.008804492496
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFT Trust
        N/A
        MFT Trust 2020-ABC
        55317BAJ6
        
          
        
        730000.00000000
        PA
        USD
        584767.92000000
        0.237387775268
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-02-10
          Variable
          3.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSMC ARIZONA CORP
        2549005GOBWLCSY63Q97
        TSMC Arizona Corp
        872898AH4
        
          
        
        260000.00000000
        PA
        USD
        257171.20000000
        0.104399193155
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2032-04-22
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT SEP22
        000000000
        
          
        
        -82.00000000
        NC
        USD
        374173.28000000
        0.151896435263
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNU2 Comdty
              
            
            2022-09-21
            -13030360.78000000
            USD
            374173.28000000
          
        
        
          N
          N
          N
        
      
      
        Sprint Corp
        549300ZTTY7CXOLJ6539
        Sprint Corp
        85207UAF2
        
          
        
        373000.00000000
        PA
        USD
        385682.00000000
        0.156568424514
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          7.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAL9
        
          
        
        150000.00000000
        PA
        USD
        129302.61000000
        0.052490668305
        Long
        DBT
        
        US
        N
        
        2
        
          2029-02-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Artera Services LLC
        549300J2G34D0WX8Z443
        Artera Services LLC
        73939VAA2
        
          
        
        254000.00000000
        PA
        USD
        205346.30000000
        0.083360765270
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-04
          Fixed
          9.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJZ3
        
          
        
        570000.00000000
        PA
        USD
        488883.30000000
        0.198463210760
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-14
          Fixed
          2.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CALI Mortgage Trust 2019-101C
        N/A
        CALI Mortgage Trust 2019-101C
        129890AA7
        
          
        
        495000.00000000
        PA
        USD
        471195.72000000
        0.191282900209
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-03-10
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Conseco Financial Corp
        N/A
        Conseco Finance Corp
        393505PD8
        
          
        
        60033.04000000
        PA
        USD
        60414.83000000
        0.024525528156
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-09-15
          Variable
          7.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Qatar
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        000000000
        
          
        
        350000.00000000
        PA
        USD
        363510.00000000
        0.147567654169
        Long
        DBT
        NUSS
        QA
        Y
        
        2
        
          2028-04-23
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verizon Communications Inc
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343V104
        
          
        
        15224.00000000
        NS
        USD
        772618.00000000
        0.313645912984
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Transocean Proteus Ltd
        5493000CTMQ2LH21VM89
        Transocean Proteus Ltd
        893829AA9
        
          
        
        87750.00000000
        PA
        USD
        81924.72000000
        0.033257513545
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-12-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BT1
        
          
        
        425000.00000000
        PA
        USD
        344947.00000000
        0.140031965015
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-12-01
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300EQOYJZL2D96G46
        SLM Student Loan Trust 2008-4
        78445AAE6
        
          
        
        515000.00000000
        PA
        USD
        504833.21000000
        0.204938110496
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2073-04-25
          Floating
          3.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Trust
        N/A
        IndyMac INDX Mortgage Loan Trust 2007-AR5
        45669EAC0
        
          
        
        668502.81000000
        PA
        USD
        573402.87000000
        0.232774109157
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-05-25
          Variable
          2.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oakwood Mortgage Investors Inc.
        N/A
        Oakwood Mortgage Investors Inc
        67087TDE8
        
          
        
        53296.07000000
        PA
        USD
        53844.56000000
        0.021858313138
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-05-15
          Variable
          6.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSI Asset Loan Obligation
        N/A
        HSI Asset Loan Obligation Trust 2007-2
        40432BAR0
        
          
        
        358829.10000000
        PA
        USD
        289814.93000000
        0.117650984466
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBF2
        
          
        
        270000.00000000
        PA
        USD
        257596.73000000
        0.104571937960
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CoreVest American Finance Ltd
        N/A
        Corevest American Finance 2019-1 Trust
        21872FAB3
        
          
        
        815620.22000000
        PA
        USD
        34264.82000000
        0.013909876228
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2052-03-15
          Variable
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oakwood Mortgage Investors Inc.
        N/A
        Oakwood Mortgage Investors Inc
        67087TAU5
        
          
        
        646147.75000000
        PA
        USD
        446300.71000000
        0.181176718189
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-03-15
          Variable
          7.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac Multiclass Certificates
        N/A
        Freddie Mac Multifamily PC REMIC Trust 2019-P002
        3137FQKX0
        
          
        
        1295000.00000000
        PA
        USD
        117875.69000000
        0.047851885936
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-25
          Variable
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2005-QA7 Trust
        76110H7A1
        
          
        
        688136.22000000
        PA
        USD
        519970.87000000
        0.211083275624
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAW1
        
          
        
        248000.00000000
        PA
        USD
        206183.48000000
        0.083700620263
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONSPIRIT HEALTH
        4SXHN5XW08IBO0UG2V58
        CommonSpirit Health
        20268JAF0
        
          
        
        135000.00000000
        PA
        USD
        116441.55000000
        0.047269693767
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-01
          Fixed
          2.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2006-14
        12670AAG6
        
          
        
        9439772.88000000
        PA
        USD
        38738.00000000
        0.015725773121
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2036-09-25
          Variable
          0.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFT Trust
        N/A
        MFT 2020-B6 Mortgage Trust
        55316TAE9
        
          
        
        220000.00000000
        PA
        USD
        175142.29000000
        0.071099383458
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-08-10
          Variable
          3.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2012-LC5
        94988HAK7
        
          
        
        1329095.02000000
        PA
        USD
        47.58000000
        0.000019315201
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-10-15
          Variable
          1.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        N/A
        GSR Mortgage Loan Trust 2005-AR3
        36242D4W0
        
          
        
        153597.82000000
        PA
        USD
        126778.57000000
        0.051466028923
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Variable
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022683
        
          
        
        9500000.00000000
        PA
        USD
        8529466.89000000
        3.462555143665
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRIFOLS ESCROW ISSUER
        959800HLB3PGTGSLVV62
        Grifols Escrow Issuer SA
        39843UAA0
        
          
        
        425000.00000000
        PA
        USD
        369873.25000000
        0.150150828980
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2028-10-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137B3NY0
        
          
        
        53816350.17000000
        PA
        USD
        67197.79000000
        0.027279085130
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-04-25
          Variable
          0.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAJ4
        
          
        
        95000.00000000
        PA
        USD
        90867.50000000
        0.036887854021
        Long
        DBT
        
        US
        N
        
        2
        
          2027-02-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCW4
        
          
        
        175000.00000000
        PA
        USD
        162403.50000000
        0.065928044686
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-24
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASCENDAS REIT
        549300ILIBAEMQZK3L20
        Ascendas Real Estate Investment Trust
        000000000
        
          
        
        115000.00000000
        PA
        
        96901.55000000
        0.039337389394
        Long
        DBT
        
        SG
        Y
        
        2
        
          2028-06-23
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAH8
        
          
        
        80000.00000000
        PA
        USD
        73800.00000000
        0.029959266258
        Long
        DBT
        
        US
        N
        
        2
        
          2026-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300DP3T6QDZHB8271
        SLM Student Loan Trust 2007-6
        78444CAF0
        
          
        
        126204.60000000
        PA
        USD
        121912.93000000
        0.049490812063
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-04-27
          Floating
          2.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Securities Corp Home Equity Ln Trst
        N/A
        Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2006-HE3
        04541GXC1
        
          
        
        1076573.54000000
        PA
        USD
        1043225.28000000
        0.423499511265
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2007-S2
        46630WAA8
        
          
        
        146475.72000000
        PA
        USD
        75294.88000000
        0.030566115959
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Preston Ridge Partners Mortgage Trust
        N/A
        PRPM 2022-1 LLC
        693582AB4
        
          
        
        1000000.00000000
        PA
        USD
        960684.40000000
        0.389991866262
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-02-25
          Variable
          6.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FG7J8
        
          
        
        2400000.00000000
        PA
        USD
        140536.08000000
        0.057050919236
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-25
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTELSAT JACKSON HOLDINGS S A
        N/A
        INTELSAT JACKSON HOLDINGS S A
        000000000
        
          
        
        1158.00000000
        NS
        USD
        0.00000000
        0.000000
        N/A
        DE
        
        LU
        N
        
        3
        
          
            
              N/A
              N/A
            
            
              
                INTELSAT EMERGENCE SA
                INTELSAT EMERGENCE SA
                
                  
                
              
            
            2025-12-05
            
              
            
            XXXX
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        LEVEL 3 FINANCING INC
        254900AE5FEFIJOXWL19
        Level 3 Financing Inc
        527298BP7
        
          
        
        75000.00000000
        PA
        USD
        65281.50000000
        0.026501163147
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kraft Heinz Foods Co
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50076QAE6
        
          
        
        303000.00000000
        PA
        USD
        277328.89000000
        0.112582250091
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-06-04
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209S103
        
          
        
        12670.00000000
        NS
        USD
        529225.90000000
        0.214840374649
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        TENET HEALTHCARE CORP
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GDP2
        
          
        
        260000.00000000
        PA
        USD
        244012.60000000
        0.099057431624
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mortgage Loan Trust
        N/A
        Structured Adjustable Rate Mortgage Loan Trust Series 2007-9
        86364JAD9
        
          
        
        240953.47000000
        PA
        USD
        161121.47000000
        0.065407601893
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-10-25
          Variable
          3.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments Inc
        N/A
        Structured Asset Mortgage Investments II Trust 2006-AR4
        86360QAM7
        
          
        
        729289.72000000
        PA
        USD
        598385.21000000
        0.242915742976
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-06-25
          Floating
          1.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brazos Higher Education Authority, Inc.
        N/A
        Brazos Higher Education Authority Inc
        10620NCE6
        
          
        
        2200000.00000000
        PA
        USD
        2166570.32000000
        0.879523808741
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-02-25
          Floating
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PED6
        
          
        
        200000.00000000
        PA
        USD
        161113.61000000
        0.065404411109
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2030-01-30
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Regatta XII Funding Ltd.
        N/A
        Regata XII Funding LTD
        75888HAN1
        
          
        
        725000.00000000
        PA
        USD
        691577.50000000
        0.280747350420
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-10-15
          Floating
          2.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Trust
        N/A
        IndyMac INDX Mortgage Loan Trust 2007-FLX2
        45668RAC2
        
          
        
        1552448.72000000
        PA
        USD
        1295828.02000000
        0.526044128410
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          1.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DBWF Mortgage Trust
        N/A
        DBWF 2016-85T Mortgage Trust
        23307CAA3
        
          
        
        615000.00000000
        PA
        USD
        589054.38000000
        0.239127872781
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-10
          Fixed
          3.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWFCME026 IRS USD R F  1.03350 SWFCME026_FIX CCPVANILLA / Short: SWFCME026 IRS USD P V 03MLIBOR SWFCME026_FLO CCPVANILLA
        000000000
        
          
        
        4725000.00000000
        OU
        Notional Amount
        USD
        -174627.49000000
        -0.07089039930
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-07-24
            0.00000000
            USD
            0.00000000
            USD
            4725000.00000000
            USD
            -174627.49000000
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2020-UPTN
        36258PAC1
        
          
        
        3150000.00000000
        PA
        USD
        26434.49000000
        0.010731137185
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-10
          Variable
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fanniemae-Aces
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae-Aces
        3136AT5H3
        
          
        
        1304054.28000000
        PA
        USD
        34351.85000000
        0.013945206241
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-25
          Variable
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020687
        
          
        
        6900000.00000000
        PA
        USD
        5981329.52000000
        2.428133383074
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-08-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2019-B14 Mortgage Trust
        08162YBM3
        
          
        
        535000.00000000
        PA
        USD
        459243.52000000
        0.186430879312
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2062-12-15
          Variable
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967NG2
        
          
        
        135000.00000000
        PA
        USD
        125315.10000000
        0.050871930178
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-24
          Fixed
          3.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJR1
        
          
        
        395000.00000000
        PA
        USD
        371647.60000000
        0.150871130119
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-22
          Fixed
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDR0
        
          
        
        705000.00000000
        PA
        USD
        730647.90000000
        0.296608062025
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-03-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIFC Funding Ltd
        N/A
        CIFC Funding 2022-II Ltd
        12567VAC5
        
          
        
        685000.00000000
        PA
        USD
        564484.73000000
        0.229153771342
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-04-19
          Variable
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities
        N/A
        CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR5
        22541SJL3
        
          
        
        28210.04000000
        PA
        USD
        28248.02000000
        0.011467343529
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-25
          Floating
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAE5
        
          
        
        130000.00000000
        PA
        USD
        117721.90000000
        0.047789454560
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2028-01-23
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CINEMARK USA INC
        54930008H2137JSCPQ09
        Cinemark USA Inc
        172441BF3
        
          
        
        300000.00000000
        PA
        USD
        241656.00000000
        0.098100764864
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BP7A1
        
          
        
        8317506.62000000
        PA
        USD
        276445.64000000
        0.112223692883
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-03-25
          Variable
          1.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF GUATEMALA
        529900QKDFFU9UWW5315
        Guatemala Government Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        183381.00000000
        0.074443905227
        Long
        DBT
        NUSS
        GT
        Y
        
        2
        
          2030-06-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMBECTA CORP
        549300RPG8GXVDHNXZ62
        Embecta Corp
        29082KAA3
        
          
        
        400000.00000000
        PA
        USD
        339048.00000000
        0.137637253475
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Alternative Loans Trust
        N/A
        MASTR Alternative Loan Trust 2007-HF1
        55291YAG2
        
          
        
        1060945.51000000
        PA
        USD
        591931.31000000
        0.240295768606
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-10-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376G6L9
        
          
        
        1508841.80000000
        PA
        USD
        673.25000000
        0.000273307262
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-08-16
          Variable
          0.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BX1
        
          
        
        165000.00000000
        PA
        USD
        125391.75000000
        0.050903046407
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ace Securities Corp.
        N/A
        ACE Securities Corp Home Equity Loan Trust Series 2004-IN1
        004421FD0
        
          
        
        332370.85000000
        PA
        USD
        326947.54000000
        0.132725046117
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-05-25
          Floating
          2.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES LP
        254900X4QE7SGKQLLN38
        VICI Properties LP
        925650AC7
        
          
        
        15000.00000000
        PA
        USD
        14206.65000000
        0.005767219647
        Long
        DBT
        
        US
        N
        
        2
        
          2030-02-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Netflix Inc
        549300Y7VHGU0I7CE873
        Netflix Inc
        64110LAL0
        
          
        
        485000.00000000
        PA
        USD
        493744.55000000
        0.200436645491
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2014-C23
        46643ABG7
        
          
        
        9307162.34000000
        PA
        USD
        97158.40000000
        0.039441658196
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-09-15
          Variable
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAY7
        
          
        
        635000.00000000
        PA
        USD
        530434.55000000
        0.215331028675
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-15
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ESC CB144A INTELSAT JA
        N/A
        ESC CB144A INTELSAT JA
        458ESCAC4
        
          
        
        621000.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        DBT
        CORP
        LU
        N
        
        3
        
          2025-07-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378BBQ1
        
          
        
        3498769.02000000
        PA
        USD
        34.99000000
        0.000014204264
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-05-16
          Variable
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TotalEnergies SE
        529900S21EQ1BO4ESM68
        TotalEnergies SE
        89151E109
        
          
        
        11488.00000000
        NS
        USD
        604728.32000000
        0.245490741911
        Long
        EC
        CORP
        FR
        N
        
        1
        
          N
          N
          N
        
      
      
        USA COM PART/USA COM FIN
        N/A
        USA Compression Partners LP / USA Compression Finance Corp
        91740PAC2
        
          
        
        162000.00000000
        PA
        USD
        147574.71000000
        0.059908265988
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABU8
        
          
        
        489000.00000000
        PA
        USD
        444207.60000000
        0.180327015752
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        902613AM0
        
          
        
        200000.00000000
        PA
        USD
        199422.00000000
        0.080955783141
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-05-12
          Fixed
          4.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCK0
        
          
        
        495000.00000000
        PA
        USD
        463270.50000000
        0.188065640370
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-23
          Fixed
          0.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEG6
        
          
        
        920000.00000000
        PA
        USD
        853557.60000000
        0.346503514980
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-21
          Fixed
          1.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Student Loan Consolidation Center Student Loan
        5493008KMDJ3GC7JUA63
        Student Loan Consolidation Center Student Loan Trust I
        86386MAX2
        
          
        
        1050000.00000000
        PA
        USD
        968117.85000000
        0.393009491029
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-07-01
          Floating
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MODIVCARE ESCROW ISSUER
        N/A
        ModivCare Escrow Issuer Inc
        60783XAA2
        
          
        
        295000.00000000
        PA
        USD
        238743.50000000
        0.096918429323
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Receivables Finance LLC
        N/A
        Structured Receivables Finance 2010-A LLC
        86365FAC8
        
          
        
        504658.27000000
        PA
        USD
        522469.29000000
        0.212097514513
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-01-16
          Fixed
          7.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        1011778 BC / NEW RED FIN
        N/A
        1011778 BC ULC / New Red Finance Inc
        68245XAM1
        
          
        
        300000.00000000
        PA
        USD
        242250.00000000
        0.098341900422
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-10-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENCENT HOLDINGS LTD
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032WBB1
        
          
        
        285000.00000000
        PA
        USD
        226834.42000000
        0.092083913081
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2041-04-22
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTELSAT JACKSON HLDG
        8XJ8KF85PBKK1TLMFN29
        Intelsat Jackson Holdings SA
        45824TBC8
        
          
        
        397000.00000000
        PA
        USD
        328414.28000000
        0.133320472326
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2030-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCC4
        
          
        
        75000.00000000
        PA
        USD
        46571.63000000
        0.018905851805
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-09-21
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACQUARIE GROUP LTD
        ACMHD8HWFMFUIQQ8Y590
        Macquarie Group Ltd
        55607PAG0
        
          
        
        160000.00000000
        PA
        USD
        129348.80000000
        0.052509419233
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2032-06-23
          Fixed
          2.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        North Carolina State Education Assistance Authority
        N/A
        NORTH CAROLINA ST EDU ASSISTANCE AUTH
        658262GA2
        
          
        
        1155998.49000000
        PA
        USD
        1156041.03000000
        0.469297303845
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2041-10-25
          Floating
          2.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust
        N/A
        Bayview Commercial Asset Trust 2004-2
        07324SAR3
        
          
        
        193290.25000000
        PA
        USD
        192007.98000000
        0.077946046024
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-08-25
          Floating
          2.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAM2
        
          
        
        438000.00000000
        PA
        USD
        361559.53000000
        0.146775856743
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2031-05-24
          Fixed
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goal Capital Funding Trust
        5493009VZI2B6V83UU74
        Goal Capital Funding Trust 2006-1
        38021BAG5
        
          
        
        165907.40000000
        PA
        USD
        150978.34000000
        0.061289976793
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-08-25
          Floating
          1.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust 2021-R5
        12592SAC1
        
          
        
        1096000.00000000
        PA
        USD
        782112.94000000
        0.317500403981
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-08-25
          Variable
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayview Commercial Asset Trust
        N/A
        Bayview Commercial Asset Trust 2004-3
        07324SAX0
        
          
        
        96493.50000000
        PA
        USD
        95935.02000000
        0.038945024494
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Floating
          2.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRPORT AUTHORITY HK
        254900748HGC4RBR4O84
        Airport Authority
        00946AAE4
        
          
        
        200000.00000000
        PA
        USD
        163700.00000000
        0.066454361606
        Long
        DBT
        NUSS
        HK
        N
        
        2
        
          2052-01-12
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBN1
        
          
        
        500000.00000000
        PA
        USD
        442488.55000000
        0.179629163765
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE ALT-B SECURITIES INC MORTGAGE L
        N/A
        Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2
        251511AB7
        
          
        
        1048614.07000000
        PA
        USD
        948183.27000000
        0.384917006070
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-06-25
          Variable
          4.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP PLC
        213800LH1BZH3DI6G760
        BP PLC
        055622104
        
          
        
        20274.00000000
        NS
        USD
        574767.90000000
        0.233328245976
        Long
        EC
        CORP
        GB
        N
        
        1
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137B3NZ7
        
          
        
        4500000.00000000
        PA
        USD
        55845.23000000
        0.022670489361
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-25
          Variable
          1.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RENT-A-CENTER INC
        529900QUHE15UQNCCJ63
        Rent-A-Center Inc/TX
        76009NAL4
        
          
        
        270000.00000000
        PA
        USD
        211950.00000000
        0.086041551267
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETRONAS CAPITAL LTD
        549300G7YFX3540OYR85
        Petronas Capital Ltd
        716743AP4
        
          
        
        200000.00000000
        PA
        USD
        189605.00000000
        0.076970551205
        Long
        DBT
        CORP
        MY
        N
        
        2
        
          2030-04-21
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31395V2Z1
        
          
        
        43154.91000000
        PA
        USD
        43269.71000000
        0.017565430390
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-15
          Floating
          16.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        17327CAQ6
        
          
        
        480000.00000000
        PA
        USD
        408028.80000000
        0.165640155290
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-01-25
          Fixed
          3.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396VE20
        
          
        
        892316.95000000
        PA
        USD
        99916.48000000
        0.040561306611
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-25
          Floating
          4.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GZE7
        
          
        
        700000.00000000
        PA
        USD
        675647.00000000
        0.274280330215
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-06
          Fixed
          1.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396Q4H9
        
          
        
        153043.10000000
        PA
        USD
        15048.35000000
        0.006108909544
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-25
          Floating
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2012-LC4 Mortgage Trust
        126192AJ2
        
          
        
        16504132.66000000
        PA
        USD
        181.55000000
        0.000073700606
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-12-10
          Variable
          0.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZHENRO PROPERTIES GROUP
        549300I66TVJEL841P38
        Zhenro Properties Group Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        14581.32000000
        0.005919317727
        Long
        DBT
        CORP
        KY
        
        Y
        
        3
        
          2026-01-07
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137AUPG8
        
          
        
        1037072.78000000
        PA
        USD
        40.51000000
        0.000016445120
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-25
          Variable
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375DLA4
        
          
        
        636089.50000000
        PA
        USD
        26544.84000000
        0.010775934002
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2038-05-20
          Floating
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376GXY1
        
          
        
        5141519.50000000
        PA
        USD
        53862.04000000
        0.021865409181
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-09-16
          Variable
          0.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CT4
        
          
        
        145000.00000000
        PA
        USD
        119272.65000000
        0.048418984806
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2032-05-24
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities I Trust 2006-IM1
        07387UFD8
        
          
        
        154923.37000000
        PA
        USD
        231059.73000000
        0.093799186622
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-04-25
          Floating
          2.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        BP PLC
        000000000
        
          
        
        -202.00000000
        NC
        USD
        -14443.00000000
        -0.00586316643
        N/A
        DE
        
        GB
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                BP PLC
                BP PLC
                
                  
                  
                
              
            
            100.00000000
            34.00000000
            USD
            2022-10-21
            XXXX
            18173.94000000
          
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust 2014-C24
        46643GAG5
        
          
        
        7391139.23000000
        PA
        USD
        104222.45000000
        0.042309324250
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-11-15
          Variable
          1.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLC Student Loan Trust
        N/A
        SLC Student Loan Trust 2006-1
        784427AG1
        
          
        
        300023.12000000
        PA
        USD
        276612.59000000
        0.112291466589
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2055-03-15
          Floating
          2.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CODELCO INC
        549300UVMBCBCIPSUI70
        Corp Nacional del Cobre de Chile
        000000000
        
          
        
        350000.00000000
        PA
        USD
        307076.00000000
        0.124658152380
        Long
        DBT
        CORP
        CL
        Y
        
        2
        
          2030-01-14
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300R59P5DXM48DO55
        SLM Student Loan Trust 2008-8
        78445GAE3
        
          
        
        260000.00000000
        PA
        USD
        260430.17000000
        0.105722178927
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2075-10-25
          Floating
          3.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing and Securitization
        N/A
        C-BASS Mortgage Loan Trust 2007-CB2
        1248MBAJ4
        
          
        
        838092.42000000
        PA
        USD
        548308.69000000
        0.222587073654
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-02-25
          Variable
          3.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADTALEM GLOBAL EDUCATION
        549300Z467EZLMODV621
        Adtalem Global Education Inc
        00737WAA7
        
          
        
        141000.00000000
        PA
        USD
        126653.25000000
        0.051415155003
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRUST
        N/A
        WFRBS Commercial Mortgage Trust 2013-C16
        92938EAZ6
        
          
        
        10521895.58000000
        PA
        USD
        53356.53000000
        0.021660196326
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-09-15
          Variable
          0.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASH MULTIFAM ACQ INC
        549300AS7PRY5PHG6L12
        WASH Multifamily Acquisition Inc
        93710WAA3
        
          
        
        260000.00000000
        PA
        USD
        245375.00000000
        0.099610500789
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PHILIPPINES
        529900RAHBALMYIJ3T08
        Philippine Government International Bond
        718286CJ4
        
          
        
        200000.00000000
        PA
        USD
        174992.42000000
        0.071038543415
        Long
        DBT
        NUSS
        PH
        N
        
        2
        
          2030-05-05
          Fixed
          2.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Enterprise Products Partners LP
        K4CDIF4M54DJZ6TB4Q48
        Enterprise Products Partners LP
        293792107
        
          
        
        38393.00000000
        NS
        USD
        935637.41000000
        0.379823987639
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Tricon American Homes
        N/A
        Tricon American Homes 2017-SFR2 Trust
        89613FAE8
        
          
        
        1350000.00000000
        PA
        USD
        1333543.23000000
        0.541354697765
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-01-17
          Fixed
          4.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACRISURE LLC / FIN INC
        N/A
        Acrisure LLC / Acrisure Finance Inc
        00489LAH6
        
          
        
        160000.00000000
        PA
        USD
        126600.00000000
        0.051393538053
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCP CLO Ltd
        2549000M7NBNQ7XU2038
        OCP CLO 2021-21 Ltd
        671000AE7
        
          
        
        400000.00000000
        PA
        USD
        377901.60000000
        0.153409954661
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          2.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEXAS EASTERN TRANSMISSI
        549300SIOULUXXIDGA69
        Texas Eastern Transmission LP
        882384AC4
        
          
        
        300000.00000000
        PA
        USD
        299682.00000000
        0.121656542424
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAA5
        
          
        
        520000.00000000
        PA
        USD
        518781.86000000
        0.210600594497
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-03-08
          Fixed
          3.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QS8 Trust
        75115AAC5
        
          
        
        582629.33000000
        PA
        USD
        493125.00000000
        0.200185137856
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FERTITTA ENTERTAINMENT
        N/A
        Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc
        31556TAC3
        
          
        
        450000.00000000
        PA
        USD
        347625.00000000
        0.141119104785
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        86765BAV1
        
          
        
        831000.00000000
        PA
        USD
        731969.73000000
        0.297144661712
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYL2
        
          
        
        285000.00000000
        PA
        USD
        272722.62000000
        0.110712325031
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-21
          Fixed
          0.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Waste Pro USA Inc
        549300BY1QXU5BI3UF28
        Waste Pro USA Inc
        94107JAA1
        
          
        
        425000.00000000
        PA
        USD
        378103.38000000
        0.153491867679
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300OORAXMFXOHG132
        SLM Student Loan Trust 2008-3
        78444GAD6
        
          
        
        225000.00000000
        PA
        USD
        207231.58000000
        0.084126098678
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2083-04-26
          Floating
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2020-FACT
        126395AQ5
        
          
        
        1017000.00000000
        PA
        USD
        991039.85000000
        0.402314725462
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-15
          Floating
          7.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GYA6
        
          
        
        705000.00000000
        PA
        USD
        627168.00000000
        0.254600177519
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-09
          Fixed
          1.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HEALTHCARE TRUST OF AMER
        549300IYGAS4GE6VDL07
        Healthcare Trust of America Holdings LP
        42225UAG9
        
          
        
        70000.00000000
        PA
        USD
        60237.99000000
        0.024453739584
        Long
        DBT
        
        US
        N
        
        2
        
          2030-02-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JBS USA/FOOD/FINANCE
        N/A
        JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
        46590XAJ5
        
          
        
        180000.00000000
        PA
        USD
        170002.80000000
        0.069012996611
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2052-12-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31397CW39
        
          
        
        331204.99000000
        PA
        USD
        50096.18000000
        0.020336650340
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-15
          Floating
          5.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FARMERS INS EXCH
        549300UWG2TLX1GZVT44
        Farmers Insurance Exchange
        309601AE2
        
          
        
        5000.00000000
        PA
        USD
        4521.17000000
        0.001835378534
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2057-11-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020679
        
          
        
        6725000.00000000
        PA
        USD
        5834964.74000000
        2.368716290731
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-07-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCN3
        
          
        
        375000.00000000
        PA
        USD
        332621.25000000
        0.135028300705
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          3.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2014-GC18
        36252RAW9
        
          
        
        66563000.00000000
        PA
        USD
        211091.24000000
        0.085692935827
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-10
          Variable
          0.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAS0
        
          
        
        150000.00000000
        PA
        USD
        136644.00000000
        0.055470921120
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-11-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust 2021-NR3
        12564UAA4
        
          
        
        391917.35000000
        PA
        USD
        372316.66000000
        0.151142736443
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-06-25
          Variable
          2.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citimortgage Alternative Loan Trust
        N/A
        CitiMortgage Alternative Loan Trust Series 2006-A5
        18974BAH2
        
          
        
        572613.71000000
        PA
        USD
        522208.87000000
        0.211991796463
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARK AEROSPACE HOLDINGS
        635400CPI3EOIFF6OC33
        Park Aerospace Holdings Ltd
        70014LAB6
        
          
        
        132000.00000000
        PA
        USD
        131016.57000000
        0.053186453996
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HEALTHEQUITY INC
        529900LRJU1RAFQHM467
        HealthEquity Inc
        42226AAA5
        
          
        
        285000.00000000
        PA
        USD
        249722.70000000
        0.101375458809
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EVERARC ESCROW SARL
        N/A
        EverArc Escrow Sarl
        29977LAA9
        
          
        
        285000.00000000
        PA
        USD
        240274.95000000
        0.097540124693
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2029-10-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31397GWM8
        
          
        
        66501.75000000
        PA
        USD
        5270.24000000
        0.002139465086
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-15
          Floating
          4.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oakwood Mortgage Investors Inc.
        N/A
        Oakwood Mortgage Investors Inc
        67087TCV1
        
          
        
        615714.56000000
        PA
        USD
        368592.16000000
        0.149630767782
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-09-15
          Variable
          5.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BWFCME029 IRS USD R V 03MLIBOR SWFCME029_FLO CCPVANILLA / Short: BWFCME029 IRS USD P F  1.87000 SWFCME029_FIX CCPVANILLA
        000000000
        
          
        
        640000.00000000
        OU
        Notional Amount
        USD
        122508.22000000
        0.049732471298
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2053-09-28
            0.00000000
            USD
            0.00000000
            USD
            640000.00000000
            USD
            122508.22000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJL4
        
          
        
        305000.00000000
        PA
        USD
        243490.65000000
        0.098845544916
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-10-24
          Fixed
          1.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2007-QS6 Trust
        75116CCP9
        
          
        
        176254.32000000
        PA
        USD
        151854.91000000
        0.061645822240
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AT5
        
          
        
        190000.00000000
        PA
        USD
        163622.30000000
        0.066422819126
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2027-02-02
          Fixed
          1.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWFCME024 IRS USD R F  1.02550 SWFCME024_FIX CCPVANILLA / Short: SWFCME024 IRS USD P V 03MLIBOR SWFCME024_FLO CCPVANILLA
        000000000
        
          
        
        6380000.00000000
        OU
        Notional Amount
        USD
        -236748.40000000
        -0.09610851425
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-07-24
            0.00000000
            USD
            0.00000000
            USD
            6380000.00000000
            USD
            -236748.40000000
          
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAG0
        
          
        
        20000.00000000
        PA
        USD
        19073.60000000
        0.007742968305
        Long
        DBT
        
        US
        N
        
        2
        
          2025-06-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIVE NATION ENTERTAINMEN
        5493007B9BM9ZXJINO78
        Live Nation Entertainment Inc
        538034AR0
        
          
        
        188000.00000000
        PA
        USD
        167790.00000000
        0.068114705766
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust 2021-R4
        12598HAB1
        
          
        
        981349.26000000
        PA
        USD
        894300.44000000
        0.363043157144
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-05-01
          Variable
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38374NU62
        
          
        
        1443916.41000000
        PA
        USD
        81053.24000000
        0.032903734394
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-11-20
          Floating
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513CB9
        
          
        
        135000.00000000
        PA
        USD
        121355.46000000
        0.049264505936
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        54930023UHZHF7UJ8596
        Banc of America Funding Corp
        05990QAT0
        
          
        
        1352784.62000000
        PA
        USD
        1270358.37000000
        0.515704670065
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-27
          Variable
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        184420.00000000
        0.074865689477
        Long
        DBT
        NUSS
        AE
        Y
        
        2
        
          2029-09-30
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEH4
        
          
        
        55000.00000000
        PA
        USD
        45578.50000000
        0.018502688579
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-10-20
          Fixed
          2.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) SEP22
        000000000
        
          
        
        45.00000000
        NC
        USD
        -47824.68000000
        -0.01941453010
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 2 Year US Treasury Note Future
                TUU2 Comdty
              
            
            2022-09-30
            9498527.85000000
            USD
            -47824.68000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BT0
        
          
        
        65000.00000000
        PA
        USD
        51821.90000000
        0.021037210028
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-01
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Horizon Alternative Mortgage Securities
        N/A
        First Horizon Alternative Mortgage Securities Trust 2005-AA10
        32051GA88
        
          
        
        249699.57000000
        PA
        USD
        212640.66000000
        0.086321926156
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Variable
          2.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Preston Ridge Partners Mortgage Trust
        N/A
        PRPM 2021-11 LLC
        69362QAA7
        
          
        
        472443.76000000
        PA
        USD
        445789.14000000
        0.180969045264
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2026-11-25
          Variable
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured Pass Through Certs.
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FMU91
        
          
        
        3750000.00000000
        PA
        USD
        267289.13000000
        0.108506588261
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-25
          Variable
          2.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARDAGH PKG FIN/HLDGS USA
        N/A
        Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
        03969AAP5
        
          
        
        50000.00000000
        PA
        USD
        35788.25000000
        0.014528315862
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2027-08-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468X0
        
          
        
        510000.00000000
        PA
        USD
        405135.84000000
        0.164465752053
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-28
          Fixed
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAN3
        
          
        
        515000.00000000
        PA
        USD
        465796.90000000
        0.189091237799
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2038-06-25
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAPA JOHN'S INTERNATIONA
        HZYLD3DK5XOX0WBVNB56
        Papa John's International Inc
        698813AA0
        
          
        
        285000.00000000
        PA
        USD
        234805.80000000
        0.095319911670
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300B54XJTQC6DWJ15
        Magnetite VII Ltd
        55951PBA4
        
          
        
        387432.81000000
        PA
        USD
        381739.10000000
        0.154967795911
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-01-15
          Floating
          1.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SES GLOBAL AMERICAS HLDG
        5299000YGN3VJ3R60481
        SES GLOBAL Americas Holdings Inc
        78413KAB8
        
          
        
        675000.00000000
        PA
        USD
        576637.93000000
        0.234087388614
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2044-03-25
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSC Capital Corp Mortgage Trust
        N/A
        GSC Capital Corp Mortgage Trust 2006-2
        362480AD7
        
          
        
        216445.09000000
        PA
        USD
        205684.20000000
        0.083497936490
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Floating
          1.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities Trust
        N/A
        Mastr Asset Backed Securities Trust 2007-HE1
        576457AD7
        
          
        
        2000000.00000000
        PA
        USD
        1628663.60000000
        0.661159436833
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-05-25
          Floating
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625H100
        
          
        
        9423.00000000
        NS
        USD
        1061124.03000000
        0.430765546725
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABF1
        
          
        
        235000.00000000
        PA
        USD
        219535.65000000
        0.089120961946
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENET HEALTHCARE CORP
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GDL1
        
          
        
        275000.00000000
        PA
        USD
        232424.50000000
        0.094353217893
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing and Securitization
        N/A
        Credit-Based Asset Servicing and Securitization LLC
        12489WGJ7
        
          
        
        342517.70000000
        PA
        USD
        324071.92000000
        0.131557682090
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2032-12-25
          Variable
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACQUARIE GROUP LTD
        ACMHD8HWFMFUIQQ8Y590
        Macquarie Group Ltd
        55608JBE7
        
          
        
        170000.00000000
        PA
        USD
        157812.70000000
        0.064064399706
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2033-06-21
          Fixed
          4.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BZ1
        
          
        
        312000.00000000
        PA
        USD
        269349.48000000
        0.109342991706
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-06-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KAZMUNAYGAS NATIONAL CO
        2138001H1M69RFJCSH88
        KazMunayGas National Co JSC
        000000000
        
          
        
        200000.00000000
        PA
        USD
        144429.20000000
        0.058631339543
        Long
        DBT
        CORP
        KZ
        Y
        
        2
        
          2033-04-14
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY FIN
        549300RLHFT5RU20WM87
        Berkshire Hathaway Finance Corp
        084664DB4
        
          
        
        270000.00000000
        PA
        USD
        231857.10000000
        0.094122880662
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-03-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2020-CX Mortgage Trust
        12656KAL1
        
          
        
        370000.00000000
        PA
        USD
        273172.89000000
        0.110895113091
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-11-10
          Variable
          2.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCC8
        
          
        
        430000.00000000
        PA
        USD
        362361.00000000
        0.147101215186
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-22
          Fixed
          2.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAF4
        
          
        
        250000.00000000
        PA
        USD
        229167.50000000
        0.093031031847
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-02-16
          Fixed
          2.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DNB BANK ASA
        549300GKFG0RYRRQ1414
        DNB Bank ASA
        25601B2B0
        
          
        
        430000.00000000
        PA
        USD
        374987.95000000
        0.152227152274
        Long
        DBT
        CORP
        NO
        N
        
        2
        
          2028-03-30
          Fixed
          1.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adjustable Rate Mortgage Trust
        N/A
        Adjustable Rate Mortgage Trust 2005-4
        007036KJ4
        
          
        
        367160.71000000
        PA
        USD
        320466.93000000
        0.130094228766
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Variable
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vericrest Opportunity Loan Transferee
        N/A
        VOLT XCIX LLC
        92872VAA1
        
          
        
        1561178.52000000
        PA
        USD
        1480827.32000000
        0.601144985949
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-04-25
          Variable
          2.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        53944YAL7
        
          
        
        285000.00000000
        PA
        USD
        281735.38000000
        0.114371074036
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-07-09
          Fixed
          3.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967NN7
        
          
        
        220000.00000000
        PA
        USD
        198935.00000000
        0.080758084460
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-03-17
          Fixed
          3.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300QFNKDN6MY4H751
        SLM Student Loan EDC Repackaging Trust 2013-M1
        78447T103
        
          
        
        1000.00000000
        PA
        USD
        605978.40000000
        0.245998214534
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-10-28
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Soundview Home Equity Loan Trust
        N/A
        Soundview Home Loan Trust 2006-1
        83611MKY3
        
          
        
        39175.20000000
        PA
        USD
        39146.45000000
        0.015891584263
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          2.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967NA5
        
          
        
        430000.00000000
        PA
        USD
        380292.00000000
        0.154380342602
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-09
          Fixed
          1.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300MTK92VF84VT259
        SLM Student Loan Trust 2008-9
        78445JAB3
        
          
        
        260000.00000000
        PA
        USD
        259053.20000000
        0.105163195040
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2083-10-25
          Floating
          3.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BL7
        
          
        
        125000.00000000
        PA
        USD
        107298.75000000
        0.043558154749
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-05-01
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Blackrock Rainier CLO Ltd
        549300HF4E86WXQDUX86
        Blackrock Rainier CLO VI Ltd
        09261MAA4
        
          
        
        700000.00000000
        PA
        USD
        681005.47000000
        0.276455612457
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-20
          Floating
          2.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHENE GLOBAL FUNDING
        549300LM1QSI4MSIL320
        Athene Global Funding
        04685A2Z3
        
          
        
        285000.00000000
        PA
        USD
        248539.95000000
        0.100895318942
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-29
          Fixed
          1.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAA Home Equity Trust
        N/A
        GSAA Home Equity Trust 2006-13
        36244SAF5
        
          
        
        1186754.21000000
        PA
        USD
        431403.67000000
        0.175129233259
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Variable
          6.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTELSAT JACKSON HOLDINGS S A
        N/A
        INTELSAT JACKSON HOLDINGS S A
        000000000
        
          
        
        1158.00000000
        NS
        USD
        0.00000000
        0.000000
        N/A
        DE
        
        LU
        N
        
        3
        
          
            
              N/A
              N/A
            
            
              
                INTELSAT EMERGENCE SA
                INTELSAT EMERGENCE SA
                
                  
                
              
            
            2025-12-05
            
              
            
            XXXX
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        Commercial Mortgage Pass-through Certificates
        N/A
        ILPT Trust 2019-SURF
        44965LAA2
        
          
        
        240000.00000000
        PA
        USD
        231956.62000000
        0.094163281017
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-02-11
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJS9
        
          
        
        55000.00000000
        PA
        USD
        49040.75000000
        0.019908196297
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-22
          Fixed
          1.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380BP58
        
          
        
        1604997.93000000
        PA
        USD
        250166.05000000
        0.101555437680
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-11-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAK1
        
          
        
        40000.00000000
        PA
        USD
        36523.59000000
        0.014826828692
        Long
        DBT
        
        US
        N
        
        2
        
          2028-01-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEVEL 3 FINANCING INC
        254900AE5FEFIJOXWL19
        Level 3 Financing Inc
        527298BQ5
        
          
        
        400000.00000000
        PA
        USD
        331145.10000000
        0.134429054487
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-11-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SFAVE Commercial Mortgage Securities Trust
        549300FIGODFFTOAAU64
        SFAVE Commercial Mortgage Securities Trust 2015-5AVE
        78413MAQ1
        
          
        
        880000.00000000
        PA
        USD
        591844.97000000
        0.240260718700
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-01-05
          Variable
          4.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NGL ENRGY OP/FIN CORP
        N/A
        NGL Energy Operating LLC / NGL Energy Finance Corp
        62922LAA6
        
          
        
        145000.00000000
        PA
        USD
        130681.25000000
        0.053050330132
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHOBANI LLC/FINANCE CORP
        N/A
        Chobani LLC / Chobani Finance Corp Inc
        17027NAB8
        
          
        
        267000.00000000
        PA
        USD
        225982.13000000
        0.091737924151
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CO GAS CAPITAL
        E8CD46SWUD2TSN8PA636
        Southern Co Gas Capital Corp
        001192AL7
        
          
        
        640000.00000000
        PA
        USD
        628967.69000000
        0.255330765485
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Trust
        N/A
        IndyMac INDX Mortgage Loan Trust 2005-AR19
        45660LXA2
        
          
        
        427561.57000000
        PA
        USD
        367814.71000000
        0.149315160308
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Variable
          2.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-07-22
      TCW STRATEGIC INCOME FUND INC
      Richard Villa
      Richard Villa
      Treasurer
    
  





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