NPORT-P false 0000830622 XXXXXXXX Putnam Master Intermediate Income Trust 811-05498 0000830622 QYQERD8ESA0ALFI8LA12 100 Federal Street Boston 02110 617-292-1000 Putnam Master Intermediate Income Trust QYQERD8ESA0ALFI8LA12 2026-09-30 2026-03-31 N 311831138.21 148557355.55 163273782.66 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 139587490.66000000 0.00000000 0.00000000 0.00000000 AUD CAD CHF EUR GBP JPY NOK NZD SEK USD N N/A N/A Garda World Security Corp. N/A C4000KAH7 223193.26070000 PA USD 222077.29000000 0.136015278375 Long LON CORP CA N 2 2029-02-01 Variable 6.42192000 N N N N N N BMO Mortgage Trust N/A 05593QAD6 5705482.46000000 PA USD 221869.10000000 0.135887768621 Long ABS-MBS CORP US N 2 2057-09-15 Variable 1.35273600 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UK25 466042.05000000 PA USD 17528.07000000 0.010735385506 Long ABS-MBS USGA US N 2 2067-04-20 Variable 2.05188840 N N N N N N IRB Holding Corp. 549300HVW4WNWYBXN830 44988LAM9 261050.39560000 PA USD 260724.08000000 0.159685208336 Long LON CORP US N 2 2030-12-16 Variable 6.17636000 N N N N N N Constellium SE 724500KRJEMC79KAAU28 N/A 300000.00000000 PA 335751.94000000 0.205637386805 Long DBT CORP FR N 2 2029-07-15 Fixed 3.12500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382RRP5 2723406.34000000 PA USD 457993.34000000 0.280506357198 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 3.00000000 N N N N N N Dick's Sporting Goods, Inc. 529900SSBV5I4LWSK313 253393AH5 405000.00000000 PA USD 394240.88000000 0.241460002688 Long DBT CORP US N 2 2029-10-01 Fixed 4.00000000 N N N N N N N/A N/A N/A -7.00000000 NC USD 10599.45000000 0.006491826077 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short United States of America U.S. Treasury 2 Year Notes 2026-06-30 -1452117.18000000 USD 10599.45000000 N N N JPMBB Commercial Mortgage Securities Trust N/A 46640LAN2 228000.00000000 PA USD 182524.83000000 0.111790654339 Long ABS-MBS CORP US N 2 2046-08-15 Variable 3.93066720 N N N N N N Itron, Inc. 24F6LSZD18II6ICG6S41 465741AQ9 92000.00000000 PA USD 92690.00000000 0.056769677586 Long DBT CORP US N 2 2030-07-15 Fixed 1.37500000 N N N N Y Itron, Inc. USD XXXX N N N FHLMC 549300BL200YC56BUV20 35563WBE3 174000.00000000 PA USD 198176.67000000 0.121376908632 Long ABS-MBS CORP US N 2 2048-09-25 Floating 11.52637920 N N N N N N Workiva, Inc. 529900RTOQ8GRWHY1O58 98139AAD7 39000.00000000 PA USD 36611.25000000 0.022423226438 Long DBT CORP US N 2 2028-08-15 Fixed 1.25000000 N N N N Y Workiva, Inc. USD XXXX N N N N/A N/A N/A 1480000.00000000 PA USD 65989.64000000 0.040416556121 N/A DIR US N 2 MIZUHO CAPITAL MARKETS LLC OV6W8S6QX2D1J857QP30 Put Purchased N/A Swaption 1.00000000 4.20000000 USD 2029-02-05 XXXX 129.64000000 N N N Beach Acquisition Bidco LLC 254900F2FNX3GBTB6202 07337JAE7 105000.00000000 PA 116695.59000000 0.071472338117 Long DBT CORP US N 2 2032-07-15 Fixed 5.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382GU91 4971715.44000000 PA USD 631872.72000000 0.387001948326 Long ABS-MBS USGA US N 2 2050-07-20 Floating 2.36048040 N N N N N N Alnylam Pharmaceuticals, Inc. 529900S3ZI14OWRJII50 02043QAC1 50000.00000000 PA USD 46438.14000000 0.028441884081 Long DBT CORP US N 2 2028-09-15 None 0.00000000 N N N N Y Alnylam Pharmaceuticals, Inc. USD XXXX N N N Wells Fargo Commercial Mortgage Trust 549300SGFUCMB43V8P22 95000CBJ1 216000.00000000 PA USD 112857.84000000 0.069121838277 Long ABS-MBS CORP US N 2 2059-01-15 Variable 4.94795160 N N N N N N Federation des Caisses Desjardins du Quebec 549300B2Q47IR0CR5B54 31429KAP8 200000.00000000 PA USD 199228.45000000 0.122021090437 Long DBT CORP CA N 2 2030-08-26 Fixed 4.56500000 N N N N N N N/A N/A N/A 6390000.00000000 PA -9539.03000000 -0.00584235254 N/A DCR US N 2 ICE Clear US 549300HWWR1D8OTS2G29 iTraxx Europe Main Index Series 45-V1 2I666VDN2 Y Receipt of notional amount upon default event with regard to the reference instrument 2031-06-20 0.00000000 USD 94261.69000000 USD 6390000.00000000 EUR -9539.03000000 N N N N/A N/A N/A 1529600.00000000 PA USD 21810.02000000 0.013357943721 N/A DIR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Call Purchased N/A Swaption 1.00000000 2.35000000 USD 2029-03-12 XXXX -67365.66000000 N N N N/A N/A N/A 12762000.00000000 PA USD -47700.82000000 -0.02921523543 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-06-17 136196.46000000 USD 0.00000000 USD 12762000.00000000 USD -47700.82000000 N N N Citigroup Commercial Mortgage Trust N/A 29425AAH6 223000.00000000 PA USD 194400.25000000 0.119063971467 Long ABS-MBS CORP US N 2 2058-09-10 Variable 4.33584720 N N N N N N BWX Technologies, Inc. 549300NP85N265KWMS58 05605HAD2 33000.00000000 PA USD 34254.00000000 0.020979485770 Long DBT CORP US N 2 2030-11-01 None 0.00000000 N N N N Y BWX Technologies, Inc. USD XXXX N N N FHLMC 5493000ISUYHCRLRBE46 35564KFH7 225000.00000000 PA USD 283923.97000000 0.173894403237 Long ABS-MBS CORP US N 2 2033-10-25 Floating 9.91190160 N N N N N N Hess Midstream Operations LP N/A 428102AH0 65000.00000000 PA USD 65455.39000000 0.040089344984 Long DBT CORP US N 2 2028-03-01 Fixed 5.87500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K4VB0 14436.50000000 PA USD 14828.04000000 0.009081702988 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 5.50000000 N N N N N N N/A N/A N/A 191000.00000000 PA USD 12576.88000000 0.007702939072 N/A DCR US N 2 MERRILL LYNCH INTERNATIONAL AHYI0DDQ2LCHPGHJC422 Markit CMBX North American Index Series A-13 137BEOAM6 Y Payout of notional amount upon default event with regard to the reference instrument 2072-12-16 0.00000000 USD 24894.39000000 USD 191000.00000000 USD 12576.88000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 3136B07G5 1072407.79000000 PA USD 99330.48000000 0.060836760428 Long ABS-MBS USGSE US N 2 2048-03-25 Floating 2.47362120 N N N N N N Constellation Energy Generation LLC S2PEWKCZFFECR4533P43 210385AQ3 70000.00000000 PA USD 69116.26000000 0.042331511449 Long DBT CORP US N 2 2031-01-15 Fixed 4.40000000 N N N N N N McGraw-Hill Education, Inc. 254900U6YJ9QZ4IQOR26 58064LAA2 153000.00000000 PA USD 156290.57000000 0.095723004302 Long DBT CORP US N 2 2031-09-01 Fixed 7.37500000 N N N N N N AeroVironment, Inc. 529900PGHVI29YLZ6221 008073AA6 33000.00000000 PA USD 32373.00000000 0.019827433083 Long DBT CORP US N 2 2030-07-15 None 0.00000000 N N N N Y AeroVironment, Inc. USD XXXX N N N Hunter Douglas, Inc. N/A N8137FAE0 178165.34400000 PA USD 177627.28000000 0.108791060699 Long LON CORP US N 2 2032-01-16 Variable 6.69961000 N N N N N N FHLMC N/A 35563PKR9 175066.26000000 PA USD 170853.41000000 0.104642280724 Long ABS-MBS CORP US N 2 2058-08-25 Variable 4.74999840 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376MSQ1 313823.26000000 PA USD 60421.37000000 0.037006167809 Long ABS-MBS USGA US N 2 2041-08-20 Fixed 4.50000000 N N N N N N Avnet, Inc. XJI53DCPL7QABOWK4Z75 053807AY9 34000.00000000 PA USD 36924.00000000 0.022614775868 Long DBT CORP US N 2 2030-09-01 Fixed 1.75000000 N N N N Y Avnet, Inc. USD XXXX N N N GNMA 549300M8ZYFG0OCMTT87 38375UG46 2466667.09000000 PA USD 101402.22000000 0.062105635300 Long ABS-MBS USGA US N 2 2067-08-20 Variable 2.27594160 N N N N N N United Mexican States 254900EGTWEU67VP6075 91087BAM2 200000.00000000 PA USD 177030.00000000 0.108425245692 Long DBT NUSS MX N 2 2031-05-24 Fixed 2.65900000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300JPCJUA5JJLRW54 95000LAJ2 168982.93500000 PA USD 165286.43000000 0.101232682496 Long ABS-MBS CORP US N 2 2059-03-15 Fixed 3.12300000 N N N N N N Neptune Bidco US, Inc. 549300VG15T3VCYZ4531 640695AD4 20000.00000000 PA USD 19429.78000000 0.011900122410 Long DBT CORP US N 2 2033-02-15 Fixed 9.50000000 N N N N N N Amazon.com, Inc. ZXTILKJKG63JELOEG630 023135DD5 155000.00000000 PA USD 153892.60000000 0.094254323929 Long DBT CORP US N 2 2031-03-13 Fixed 4.25000000 N N N N N N Pertamina Hulu Energi PT 2549003IT1KDHL64C037 74448WAA2 410000.00000000 PA USD 411363.10000000 0.251946817975 Long DBT CORP ID N 2 2030-05-21 Fixed 5.25000000 N N N N N N Wells Fargo & Co. PBLD0EJDB5FWOLXP3B76 95000U3E1 410000.00000000 PA USD 419464.04000000 0.256908386126 Long DBT CORP US N 2 2029-07-25 Fixed 5.57400000 N N N N N N JH North America Holdings, Inc. 254900A6FXA0D81TL967 46593WAB1 60000.00000000 PA USD 59857.49000000 0.036660809240 Long DBT CORP US N 2 2032-07-31 Fixed 6.12500000 N N N N N N Oracle Corp. 1Z4GXXU7ZHVWFCD8TV52 68389XDX0 195000.00000000 PA USD 190862.18000000 0.116897016098 Long DBT CORP US N 2 2031-02-04 Fixed 4.95000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382QX21 2424422.71000000 PA USD 323309.38000000 0.198016714461 Long ABS-MBS USGA US N 2 2051-05-20 Floating 2.51048160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382RPL6 4902754.93000000 PA USD 628971.00000000 0.385224737096 Long ABS-MBS USGA US N 2 2051-04-20 Floating 2.51048160 N N N N N N Alternative Loan Trust N/A 12668AEV3 207861.29000000 PA USD 200163.75000000 0.122593931946 Long ABS-MBS CORP US N 2 2035-11-20 Floating 4.44952080 N N N N N N Real Estate Asset Liquidity Trust N/A 75585RSQ9 8880265.68300000 PA 172932.50000000 0.105915657236 Long ABS-MBS CORP CA N 2 2041-12-12 Variable 1.05138720 N N N N N N Alternative Loan Trust N/A 02146BAA4 189957.18000000 PA USD 178082.08000000 0.109069611237 Long ABS-MBS CORP US N 2 2046-06-25 Variable 3.03567840 N N N N N N Crescent Energy Finance LLC 54930061FUL6DBLFUW14 45344LAG8 195000.00000000 PA USD 204022.65000000 0.124957385488 Long DBT CORP US N 2 2034-01-15 Fixed 8.37500000 N N N N N N AbbVie, Inc. FR5LCKFTG8054YNNRU85 00287YEE5 140000.00000000 PA USD 137999.03000000 0.084520017697 Long DBT CORP US N 2 2031-03-15 Fixed 4.12500000 N N N N N N Terawulf, Inc. 254900CVMW1SX2T78A64 88080TAE4 50000.00000000 PA USD 51770.68000000 0.031707895264 Long DBT CORP US N 2 2032-05-01 None 0.00000000 N N N N Y Terawulf, Inc. USD XXXX N N N COMM Mortgage Trust 549300MGZ5FI5VFL1177 12591KAG0 106789.39000000 PA USD 102435.53000000 0.062738504817 Long ABS-MBS CORP US N 2 2046-10-10 Fixed 4.30000000 N N N N N N COMM Mortgage Trust N/A 126192AL7 392000.00000000 PA USD 46276.19000000 0.028342694856 Long ABS-MBS CORP US N 2 2044-12-10 Fixed 4.25000000 N N N N N N Federal Republic of Nigeria 549300GSBZD84TNEQ285 65412AFF4 410000.00000000 PA USD 427479.06000000 0.261817331010 Long DBT NUSS NG N 2 2036-01-13 Fixed 8.63080000 N N N N N N Romania 315700IASY927EDWBK92 77586RAK6 460000.00000000 PA USD 451419.85000000 0.276480303601 Long DBT NUSS RO N 2 2027-02-27 Fixed 3.00000000 N N N N N N N/A N/A N/A 2376500.00000000 PA 544844.17000000 0.333699728838 N/A DIR US N 2 JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 Put Purchased N/A Swaption 1.00000000 2.49500000 AUD 2026-11-23 XXXX 397431.99000000 N N N BANK5 Trust N/A 06604AAH7 6897621.85000000 PA USD 248748.25000000 0.152350393276 Long ABS-MBS CORP US N 2 2057-10-15 Variable 1.18765440 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71643VAB1 210000.00000000 PA USD 205697.16000000 0.125982969616 Long DBT NUSS MX N 2 2032-02-16 Fixed 6.70000000 N N N N N N Toronto-Dominion Bank (The) PT3QB789TSUIDF371261 89115DTB2 850000.00000000 PA USD 850003.40000000 0.520600053573 Long STIV CORP CA N 2 2026-04-02 Floating 3.89000160 N N N N N N Republic of Ghana 213800PP4399SNNXZ126 374422AP8 190000.00000000 PA USD 162531.13000000 0.099545148861 Long DBT NUSS GH N 2 2035-07-03 Fixed 5.00000000 N N N N N N N/A N/A N/A 898000.00000000 PA 7052.79000000 0.004319609606 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-06-17 2122.75000000 USD 0.00000000 USD 898000.00000000 CHF 7052.79000000 N N N N/A N/A N/A 5556400.00000000 PA 132676.37000000 0.081260057700 N/A DIR US N 2 JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 Put Purchased N/A Swaption 1.00000000 4.20100000 EUR 2029-04-11 XXXX -6225.68000000 N N N Republic of Iraq N/A N/A 347500.00000000 PA USD 338501.78000000 0.207321576364 Long DBT NUSS IQ N 2 2028-01-15 Fixed 5.80000000 N N N N N N Ahead DB Holdings LLC 254900L07WFL833JX193 00866HAH8 92760.83490000 PA USD 91528.97000000 0.056058583631 Long LON CORP US N 2 2031-02-03 Variable 6.19961000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 30711XDY7 19655.84000000 PA USD 20406.98000000 0.012498626336 Long ABS-MBS CORP US N 2 2029-04-25 Floating 13.02638040 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61747YGB5 140000.00000000 PA USD 139087.71000000 0.085186799579 Long DBT CORP US N 2 2032-03-12 Fixed 4.70800000 N N N N N N Alphabet, Inc. 5493006MHB84DD0ZWV18 02079KBK2 190000.00000000 PA USD 188720.95000000 0.115585580811 Long DBT CORP US N 2 2031-02-15 Fixed 4.10000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379EAL6 571036.67000000 PA USD 53016.99000000 0.032471220508 Long ABS-MBS USGA US N 2 2044-08-20 Floating 1.81047960 N N N N N N Herc Holdings, Inc. 549300TP80QLITMSBP82 42704LAE4 65000.00000000 PA USD 66105.46000000 0.040487492188 Long DBT CORP US N 2 2029-06-15 Fixed 6.62500000 N N N N N N COMM Mortgage Trust N/A 12629NAJ4 447000.00000000 PA USD 428762.49000000 0.262603391074 Long ABS-MBS CORP US N 2 2048-02-10 Variable 4.03499880 N N N N N N N/A N/A N/A 279000.00000000 PA USD 137856.82000000 0.084432918594 N/A DCR US N 2 MERRILL LYNCH INTERNATIONAL AHYI0DDQ2LCHPGHJC422 Markit CMBX North American Index Series BB-10 137BEMAI9 Y Receipt of notional amount upon default event with regard to the reference instrument 2059-11-17 15874.97000000 USD 0.00000000 USD 279000.00000000 USD 137856.82000000 N N N Welltower OP LLC T6IZ0MBEG5ACZDTR7D06 95041AAB4 51000.00000000 PA USD 105901.50000000 0.064861301229 Long DBT CORP US N 2 2028-05-15 Fixed 2.75000000 N N N N Y Welltower, Inc. USD XXXX N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61747YFA8 610000.00000000 PA USD 616883.20000000 0.377821343972 Long DBT CORP US N 2 2029-02-01 Fixed 5.12300000 N N N N N N Power Finance Corp. Ltd. 3358003Q6D9LIJJZ1614 73928RAB2 400000.00000000 PA USD 386802.98000000 0.236904525453 Long DBT NUSS IN N 2 2030-04-23 Fixed 3.95000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RA63 1649135.26000000 PA USD 81277.63000000 0.049779963859 Long ABS-MBS USGA US N 2 2066-10-20 Variable 2.72934000 N N N N N N J.P. Morgan Chase Commercial Mortgage Securities Trust N/A 46631QAT9 6260.00000000 PA USD 8845.99000000 0.005417887584 Long ABS-MBS CORP US N 2 2051-02-12 Variable 9.04943160 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 30711XDN1 117681.31000000 PA USD 121014.84000000 0.074117741396 Long ABS-MBS CORP US N 2 2029-01-25 Floating 14.52638160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379BNA2 1275756.82000000 PA USD 150689.08000000 0.092292269796 Long ABS-MBS USGA US N 2 2044-04-20 Floating 2.39047920 N N N N N N Oracle Corp. 1Z4GXXU7ZHVWFCD8TV52 68389XDW2 345000.00000000 PA USD 340707.94000000 0.208672779211 Long DBT CORP US N 2 2029-02-04 Fixed 4.55000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1072.41000000 0.000656817023 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 443500.00000000 CAD 320068.70000000 USD 2026-04-15 1072.41000000 N N N GNMA 549300M8ZYFG0OCMTT87 38378JL67 351714.54000000 PA USD 64460.80000000 0.039480190236 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 4.50000000 N N N N N N Salesforce, Inc. RCGZFPDMRW58VJ54VR07 79466LAQ7 205000.00000000 PA USD 205123.48000000 0.125631608858 Long DBT CORP US N 2 2028-03-15 Fixed 4.50000000 N N N N N N Alternative Loan Trust N/A 02146BAB2 145616.66000000 PA USD 145026.52000000 0.088824131858 Long ABS-MBS CORP US N 2 2046-06-25 Floating 4.79873880 N N N N N N Sunoco LP 54930001NJU8E40NQ561 86765KAD1 184000.00000000 PA USD 184947.97000000 0.113274750536 Long DBT CORP US N 2 2033-07-01 Fixed 6.25000000 N N N N N N FNMA or FHLMC N/A 01F040644 -1000000.00000000 PA USD -943758.02000000 -0.57802177705 Short ABS-MBS USGSE US N 2 2056-04-25 Fixed 4.00000000 N N N N N N Provincia de Cordoba 5299006CLM2Z97AATT29 74408DAG9 90000.00000000 PA USD 86062.50000000 0.052710544582 Long DBT NUSS AR N 2 2035-02-03 Fixed 8.60000000 N N N N N N PG&E Corp. 8YQ2GSDWYZXO2EDN3511 69331CAL2 76000.00000000 PA USD 78753.16000000 0.048233806259 Long DBT CORP US N 2 2027-12-01 Fixed 4.25000000 N N N N Y PG&E Corp. USD XXXX N N N IREN Ltd. 254900FZF02RB3NNGB71 46270CAE9 16000.00000000 PA USD 11712.80000000 0.007173717549 Long DBT CORP AU N 2 2031-07-01 None 0.00000000 N N N N Y IREN Ltd. USD XXXX N N N Paraguay Government International Bond 529900UXKJTJPCU0HK83 N/A 740000.00000000 PA USD 686905.00000000 0.420707469876 Long DBT NUSS PY N 2 2033-06-28 Fixed 3.84900000 N N N N N N PRPM LLC N/A 74449BAA7 241199.48000000 PA USD 238837.20000000 0.146280190309 Long ABS-MBS CORP US N 2 2031-02-25 Fixed 5.18500080 N N N N N N Aramark Services, Inc. 42YMHYH0XMHJEXDUB065 038522AQ1 208000.00000000 PA USD 206887.89000000 0.126712253877 Long DBT CORP US N 2 2028-02-01 Fixed 5.00000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 N/A 190000.00000000 PA 212753.03000000 0.130304465624 Long DBT NUSS CO N 2 2030-11-26 Fixed 4.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JS4K2 15426.26000000 PA USD 15406.60000000 0.009436052591 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 5.00000000 N N N N N N IRV Trust N/A 45006HAE1 248000.00000000 PA USD 246271.09000000 0.150833211546 Long ABS-MBS CORP US N 2 2047-03-14 Variable 5.73036840 N N N N N N McGraw-Hill Education, Inc. 254900U6YJ9QZ4IQOR26 57767XAA8 117000.00000000 PA USD 115773.65000000 0.070907679183 Long DBT CORP US N 2 2028-08-01 Fixed 5.75000000 N N N N N N BAT Capital Corp. 2138005GYEXN7XRHFA84 054989AA6 155000.00000000 PA USD 165504.21000000 0.101366065821 Long DBT CORP US N 2 2030-08-02 Fixed 6.34300000 N N N N N N TransDigm, Inc. 88Q84GB3X55CF5OC7582 893647BZ9 25000.00000000 PA USD 25296.28000000 0.015493167113 Long DBT CORP US N 2 2034-01-31 Fixed 6.25000000 N N N N N N N/A N/A N/A 152000.00000000 PA 149.49000000 0.000091557871 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-06-17 0.00000000 USD 1159.09000000 USD 152000.00000000 GBP 149.49000000 N N N RHP Hotel Properties LP / RHP Finance Corp. N/A 749571AK1 205000.00000000 PA USD 208862.41000000 0.127921584590 Long DBT CORP US N 2 2032-04-01 Fixed 6.50000000 N N N N N N South Bow USA Infrastructure Holdings LLC 254900Z1WAY7QFQ7O850 83007CAD4 210000.00000000 PA USD 211413.77000000 0.129484211461 Long DBT CORP US N 2 2029-10-01 Fixed 5.02600000 N N N N N N WULF Compute LLC N/A 982911AA7 130000.00000000 PA USD 137450.95000000 0.084184336125 Long DBT CORP US N 2 2030-10-15 Fixed 7.75000000 N N N N N N Hungary 5299003F3UFKGCCMAP43 N/A 320000.00000000 PA USD 321151.33000000 0.196694977459 Long DBT NUSS HU N 2 2029-06-16 Fixed 5.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378HK70 671512.03000000 PA USD 106975.49000000 0.065519085953 Long ABS-MBS USGA US N 2 2042-10-20 Fixed 3.50000000 N N N N N N N/A N/A N/A 8893000.00000000 PA USD -231771.82000000 -0.14195286972 N/A DCR US N 2 ICE Clear US 549300HWWR1D8OTS2G29 Markit CDX North American High Yield Index Series 45-V2 2I65BRAD7 Y Payout of notional amount upon default event with regard to the reference instrument 2030-12-20 710081.34000000 USD 0.00000000 USD 8893000.00000000 USD -231771.82000000 N N N Athene Global Funding 549300LM1QSI4MSIL320 04685A3Q2 205000.00000000 PA USD 206958.80000000 0.126755683997 Long DBT CORP US N 2 2029-01-09 Fixed 5.58300000 N N N N N N Taylor Morrison Communities, Inc. 549300O1Z08HI2MRK572 87724RAJ1 477000.00000000 PA USD 473685.47000000 0.290117287835 Long DBT CORP US N 2 2030-08-01 Fixed 5.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -104.70000000 -0.00006412542 N/A DFE N/A N 2 Toronto Dominion Bank PT3QB789TSUIDF371261 3978.02000000 USD 612100.00000000 JPY 2026-05-20 -104.70000000 N N N Dominican Republic 254900EHU7Q8FGVPI369 N/A 380000.00000000 PA USD 351082.00000000 0.215026561080 Long DBT NUSS DO N 2 2032-09-23 Fixed 4.87500000 N N N N N N AES Andes SA 549300IF4IFG0FS0RM26 00111VAD9 430000.00000000 PA USD 441584.63000000 0.270456544097 Long DBT CORP CL N 2 2032-03-14 Fixed 6.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382FGP3 2088750.27000000 PA USD 261025.69000000 0.159869934871 Long ABS-MBS USGA US N 2 2050-04-20 Floating 2.31048000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LELG7 36222.89000000 PA USD 32862.09000000 0.020126985156 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -31146.54000000 -0.01907626533 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 4493500.00000000 EUR 5180938.10000000 USD 2026-06-17 -31146.54000000 N N N GNMA 549300M8ZYFG0OCMTT87 38375UPZ7 854175.88000000 PA USD 23129.37000000 0.014166003643 Long ABS-MBS USGA US N 2 2064-10-20 Variable 1.57762080 N N N N N N DXP Enterprises, Inc. N/A 23338DAS5 64675.00000000 PA USD 65119.64000000 0.039883708785 Long LON CORP US N 2 2030-10-11 Variable 6.91774000 N N N N N N Saluda Grade Alternative Mortgage Trust N/A 79584CAA9 2409.07000000 PA USD 2402.26000000 0.001471307861 Long ABS-MBS CORP US N 2 2030-02-25 Fixed 7.49999880 N N N N N N N/A N/A N/A 1480000.00000000 PA USD 71410.88000000 0.043736893233 N/A DIR US N 2 MIZUHO CAPITAL MARKETS LLC OV6W8S6QX2D1J857QP30 Call Purchased N/A Swaption 1.00000000 4.20000000 USD 2029-02-05 XXXX 5550.88000000 N N N Lehman XS Trust N/A 52523KBH6 1104352.93000000 PA USD 1048720.60000000 0.642308019643 Long ABS-O CORP US N 2 2046-08-25 Floating 4.13303040 N N N N N N Boston Properties LP BVHHEFJI6SHNOKQT2572 10112RBM5 50000.00000000 PA USD 45625.00000000 0.027943861688 Long DBT CORP US N 2 2030-10-01 Fixed 2.00000000 N N N N Y BXP, Inc. USD XXXX N N N GNMA 549300M8ZYFG0OCMTT87 38375UYG9 474874.95000000 PA USD 18077.16000000 0.011071685671 Long ABS-MBS USGA US N 2 2067-01-20 Variable 2.29268160 N N N N N N Asurion LLC/ Asurion Co-Issuer, Inc. 549300KNQVXGIOXWK278 045941AA9 135000.00000000 PA USD 140168.88000000 0.085848981824 Long DBT CORP US N 2 2032-12-31 Fixed 8.00000000 N N N N N N Snowflake, Inc. 254900CJNSY1K7T53Z16 833445AB5 100000.00000000 PA USD 118300.00000000 0.072454988224 Long DBT CORP US N 2 2027-10-01 None 0.00000000 N N N N Y Snowflake, Inc. USD XXXX N N N FNMA or FHLMC N/A 01F042640 -300000.00000000 PA USD -289572.01000000 -0.17735364813 Short ABS-MBS USGSE US N 2 2056-04-25 Fixed 4.50000000 N N N N N N Quikrete Holdings, Inc. 5493007KIN86DIZWZT22 74843PAA8 75000.00000000 PA USD 76106.48000000 0.046612798919 Long DBT CORP US N 2 2032-03-01 Fixed 6.37500000 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17312EAE6 595613.88000000 PA USD 523136.13000000 0.320404244623 Long ABS-O CORP US N 2 2037-03-25 Floating 4.14303120 N N N N N N N/A N/A N/A 1940600.00000000 PA 14419.72000000 0.008831619972 N/A DIR US N 2 JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 Call Purchased N/A Swaption 1.00000000 1.44500000 AUD 2030-03-27 XXXX -59791.93000000 N N N AAdvantage Loyalty IP Ltd. N/A 02376CBS3 344488.31370000 PA USD 341904.65000000 0.209405726032 Long LON CORP US N 2 2028-04-20 Variable 5.91763000 N N N N N N Protective Life Global Funding 635400EVYITCJYWL2I50 74368CBV5 265000.00000000 PA USD 271234.13000000 0.166122279756 Long DBT CORP US N 2 2028-12-08 Fixed 5.46700000 N N N N N N TK Elevator Midco GmbH 549300C2AFWPAYWS5574 D9000BAJ1 130883.83260000 PA USD 131311.17000000 0.080423916112 Long LON CORP DE N 2 2030-04-30 Variable 6.37732000 N N N N N N Bear Stearns ALT-A Trust N/A 07386HYW5 32369.97000000 PA USD 31725.36000000 0.019430774177 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.29302880 N N N N N N N/A N/A N/A 203000.00000000 PA USD 11534.36000000 0.007064428723 N/A DCR GB N 2 MORGAN STANLEY INTL PLC IGJSJL3JD5P30I6NJZ34 Markit CMBX North American Index Series BBB-9 137BERAI8 Y Receipt of notional amount upon default event with regard to the reference instrument 2058-09-17 36463.88000000 USD 0.00000000 USD 203000.00000000 USD 11534.36000000 N N N GNMA 549300M8ZYFG0OCMTT87 38382RPZ5 1616086.80000000 PA USD 206925.37000000 0.126735209185 Long ABS-MBS USGA US N 2 2051-04-20 Floating 2.51048160 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 78013WF13 750000.00000000 PA USD 745059.83000000 0.456325454008 Long STIV CORP CA N 2 2026-06-01 None 0.00000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A 61690VAE8 203614.00900000 PA USD 195685.79000000 0.119851323838 Long ABS-MBS CORP US N 2 2048-10-15 Fixed 3.06000000 N N N N N N PRET LLC 254900YVPXC5UC5GP265 69383QAA2 633421.58000000 PA USD 628703.86000000 0.385061122341 Long ABS-O CORP US N 2 2056-02-25 Fixed 4.96820160 N N N N N N N/A N/A N/A 76.00000000 NC USD -120000.88000000 -0.07349672313 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long United States of America U.S. Treasury 5 Year Notes 2026-06-30 8221656.29000000 USD -120000.88000000 N N N FNMA N/A 20754BAF8 180000.00000000 PA USD 184717.51000000 0.113133601115 Long ABS-MBS CORP US N 2 2042-01-25 Floating 8.16189840 N N N N N N MFA Trust N/A 58004LAA5 91933.59680000 PA USD 91901.14000000 0.056286525921 Long ABS-MBS CORP US N 2 2070-08-25 Fixed 5.26100040 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137FWKE9 3376742.58000000 PA USD 795111.78000000 0.486980681801 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 4.50000000 N N N N N N Owens-Brockway Glass Container, Inc. N/A 69074LAE9 133197.34210000 PA USD 132087.14000000 0.080899173062 Long LON CORP US N 2 2032-09-30 Variable 6.66774000 N N N N N N Pinnacle Buyer LLC 254900F51XXB8NHJPB58 72349UAB8 78705.75250000 PA USD 78890.32000000 0.048317812397 Long LON CORP US N 2 2032-10-01 Variable 6.16078000 N N N N N N FHLMC 54930047IR7X5WWFY307 35563MBE5 85000.00000000 PA USD 100845.38000000 0.061764588507 Long ABS-MBS CORP US N 2 2049-02-25 Floating 16.02637920 N N N N N N N/A N/A N/A 120000.00000000 PA USD -56492.62000000 -0.03459993336 N/A DCR US N 2 J P MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Markit CMBX North American Index Series BB-10 137BEMAI9 Y Payout of notional amount upon default event with regard to the reference instrument 2059-11-17 0.00000000 USD 9628.58000000 USD 120000.00000000 USD -56492.62000000 N N N WESCO Distribution, Inc. 549300I2CEZJG9N4AH67 95081QAS3 45000.00000000 PA USD 45882.99000000 0.028101872359 Long DBT CORP US N 2 2033-03-15 Fixed 6.37500000 N N N N N N N/A N/A N/A 530000.00000000 PA USD 7596.66000000 0.004652712686 N/A DCR US N 2 J P MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Markit CMBX North American Index Series BBB-13 137BERAM9 Y Receipt of notional amount upon default event with regard to the reference instrument 2072-12-16 102665.42000000 USD 0.00000000 USD 530000.00000000 USD 7596.66000000 N N N N/A N/A N/A 1.00000000 NC N/A -3.74000000 -0.00000229063 N/A DFE N/A N 2 Toronto Dominion Bank PT3QB789TSUIDF371261 219.52000000 USD 300.00000000 CAD 2026-04-15 -3.74000000 N N N N/A N/A N/A 1.00000000 NC N/A -31836.60000000 -0.01949890514 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1216795.87000000 USD 187258800.00000000 JPY 2026-05-20 -31836.60000000 N N N CFCRE Commercial Mortgage Trust N/A 12527DAG5 193000.00000000 PA USD 182609.69000000 0.111842628390 Long ABS-MBS CORP US N 2 2047-12-15 Variable 5.24916000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RYA8 437274.29000000 PA USD 25710.85000000 0.015747078055 Long ABS-MBS USGA US N 2 2066-06-20 Variable 2.81426040 N N N N N N Jefferson Capital Holdings LLC N/A 472481AB6 450000.00000000 PA USD 472486.05000000 0.289382681225 Long DBT CORP US N 2 2029-02-15 Fixed 9.50000000 N N N N N N BAT Capital Corp. 2138005GYEXN7XRHFA84 05526DBN4 55000.00000000 PA USD 55608.62000000 0.034058511473 Long DBT CORP US N 2 2030-04-02 Fixed 4.90600000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 03846JAH3 310000.00000000 PA USD 320913.89000000 0.196549553009 Long DBT NUSS EG N 2 2030-02-04 Fixed 8.62500000 N N N N N N BANK N/A 06540TAP5 125000.00000000 PA USD 105821.90000000 0.064812548760 Long ABS-MBS CORP US N 2 2061-03-15 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -10963.31000000 -0.00671467875 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 419119.41000000 USD 64500800.00000000 JPY 2026-05-20 -10963.31000000 N N N American Tower Corp. 5493006ORUSIL88JOE18 03027XAX8 410000.00000000 PA USD 404887.99000000 0.247981018999 Long DBT CORP US N 2 2027-01-15 Fixed 2.75000000 N N N N N N Royal Caribbean Cruises Ltd. K2NEH8QNVW44JIWK7Z55 780153BW1 80000.00000000 PA USD 80808.28000000 0.049492501909 Long DBT CORP LR N 2 2031-09-30 Fixed 5.62500000 N N N N N N WisdomTree, Inc. 549300WIU8IS7UFO7871 97717PAJ3 33000.00000000 PA USD 36036.00000000 0.022070904105 Long DBT CORP US N 2 2030-08-15 Fixed 4.62500000 N N N N Y WisdomTree, Inc. USD XXXX N N N WFRBS Commercial Mortgage Trust N/A 92939HBB0 125000.00000000 PA USD 121285.75000000 0.074283665156 Long ABS-MBS CORP US N 2 2057-10-15 Variable 4.31489880 N N N N N N Citigroup, Inc. 6SHGI4ZSSLCXXQSBB395 172967QF1 450000.00000000 PA USD 444991.57000000 0.272543186511 Long DBT CORP US N 2 2031-09-11 Fixed 4.50300000 N N N N N N N/A N/A N/A 2078300.00000000 PA 46950.46000000 0.028755663790 N/A DIR N/A N 2 UBS BFM8T61CT2L1QCEMIK50 Call Purchased N/A Swaption 1.00000000 2.00000000 AUD 2036-09-10 XXXX -63284.79000000 N N N Akamai Technologies, Inc. OC1LZNN2LF5WTJ5RIL89 00971TAL5 84000.00000000 PA USD 97524.00000000 0.059730348872 Long DBT CORP US N 2 2027-09-01 Fixed 0.37500000 N N N N Y Akamai Technologies, Inc. USD XXXX N N N GNMA 549300M8ZYFG0OCMTT87 38379LL46 606636.87000000 PA USD 118586.47000000 0.072630441990 Long ABS-MBS USGA US N 2 2045-04-16 Fixed 4.00000000 N N N N N N Republic of Turkiye (The) 5493000PCHOG3B6S3Q85 900123DJ6 570000.00000000 PA USD 622642.59000000 0.381348787206 Long DBT NUSS TR N 2 2030-07-13 Fixed 9.12500000 N N N N N N N/A N/A N/A -30706000.00000000 PA -57475.62000000 -0.03520198960 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Put Written N/A Swaption 1.00000000 3.56500000 EUR 2027-03-19 XXXX -4825.45000000 N N N QXO Building Products, Inc. 549300HDXQWWCBOYXP31 74825NAA5 240000.00000000 PA USD 245007.84000000 0.150059511091 Long DBT CORP US N 2 2032-04-30 Fixed 6.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1258.85000000 -0.00077100559 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 58000.00000000 AUD 38751.54000000 USD 2026-04-15 -1258.85000000 N N N IHS Holding Ltd. 213800CLGMKL63VKTD94 N/A 200000.00000000 PA USD 205351.48000000 0.125771251608 Long DBT CORP KY N 2 2031-11-29 Fixed 8.25000000 N N N N N N Oracle Corp. 1Z4GXXU7ZHVWFCD8TV52 68389XDH5 100000.00000000 PA USD 96393.59000000 0.059038008692 Long DBT CORP US N 2 2030-09-26 Fixed 4.45000000 N N N N N N Phoenix Guarantor, Inc. N/A 71913BAK8 200915.37000000 PA USD 201229.80000000 0.123246853672 Long LON CORP US N 2 2031-02-21 Variable 6.16774000 N N N N N N Meritage Homes Corp. 52990044W9UMFJO2FB97 59001ABF8 65000.00000000 PA USD 62920.00000000 0.038536499231 Long DBT CORP US N 2 2028-05-15 Fixed 1.75000000 N N N N Y Meritage Homes Corp. USD XXXX N N N GNMA 549300M8ZYFG0OCMTT87 38382LDU2 2047564.81000000 PA USD 468912.41000000 0.287193940362 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 3.50000000 N N N N N N Merit Medical Systems, Inc. 549300OYTY138SP2CE83 589889AA2 37000.00000000 PA USD 39645.50000000 0.024281608078 Long DBT CORP US N 2 2029-02-01 Fixed 3.00000000 N N N N Y Merit Medical Systems, Inc. USD XXXX N N N FNMA B1V7KEBTPIMZEU4LTD58 3136A9C48 94156.74000000 PA USD 19024.03000000 0.011651613437 Long ABS-MBS USGSE US N 2 2042-11-25 Fixed 4.50000000 N N N N N N Ecopetrol SA 254900IDGKCJICKBPA66 279158AP4 200000.00000000 PA USD 177870.96000000 0.108940306950 Long DBT NUSS CO N 2 2031-11-02 Fixed 4.62500000 N N N N N N Hashemite Kingdom of Jordan 5493000JZ4MYPVMBVN50 N/A 200000.00000000 PA USD 205644.76000000 0.125950876282 Long DBT NUSS JO N 2 2029-01-13 Fixed 7.50000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust 549300P1YQ48837ZOI22 61762MBZ3 297377.53500000 PA USD 282712.39000000 0.173152349014 Long ABS-MBS CORP US N 2 2046-07-15 Variable 3.95106840 N N N N N N PPL Capital Funding, Inc. 549300MROK5WY0D2NU17 69352PAS2 92000.00000000 PA USD 107893.00000000 0.066081031652 Long DBT CORP US N 2 2028-03-15 Fixed 2.87500000 N N N N Y PPL Corp. USD XXXX N N N Federative Republic of Brazil 254900ZFY40OYEADAP90 105756CC2 770000.00000000 PA USD 735658.00000000 0.450567132098 Long DBT NUSS BR N 2 2030-06-12 Fixed 3.87500000 N N N N N N Benchmark Mortgage Trust N/A 08162CAG5 173000.00000000 PA USD 164479.53000000 0.100738481904 Long ABS-MBS CORP US N 2 2051-10-10 Variable 4.58617320 N N N N N N Bausch + Lomb Corp. 549300NY6OZM39SO6475 C0787FAL6 223505.34220000 PA USD 224274.20000000 0.137360815892 Long LON CORP CA N 2 2031-01-15 Variable 7.41774000 N N N N N N Global Payments, Inc. 549300NOMHGVQBX6S778 37940XAU6 81000.00000000 PA USD 71527.14000000 0.043808098786 Long DBT CORP US N 2 2031-03-01 Fixed 1.50000000 N N N N Y Global Payments, Inc. USD XXXX N N N Flutter Financing BV 635400VFWPBIKJK6GN11 N3313EAG5 107525.00000000 PA USD 106611.04000000 0.065295871917 Long LON CORP NL N 2 2030-12-02 Variable 5.42194000 N N N N N N Filtration Group Corp. 549300ZA0D9WN5ECE978 31732FAX4 191969.38860000 PA USD 192268.86000000 0.117758562867 Long LON CORP US N 2 2028-10-23 Variable 6.42300000 N N N N N N TransDigm, Inc N/A 89364MCG7 94186.04000000 PA USD 94339.09000000 0.057779692773 Long LON CORP US N 2 2033-02-14 Variable 6.15964000 N N N N N N N/A N/A N/A 203000.00000000 PA USD -702.04000000 -0.00042997717 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB-13 137BERAM9 Y Receipt of notional amount upon default event with regard to the reference instrument 2072-12-16 42934.50000000 USD 0.00000000 USD 203000.00000000 USD -702.04000000 N N N Jones Deslauriers Insurance Management, Inc. 549300JQIWNFU00E5424 48020RAB1 190000.00000000 PA USD 193282.82000000 0.118379581125 Long DBT CORP CA N 2 2030-03-15 Fixed 8.50000000 N N N N N N Alphabet, Inc. 5493006MHB84DD0ZWV18 02079KAW7 245000.00000000 PA USD 243406.55000000 0.149078771885 Long DBT CORP US N 2 2030-11-15 Fixed 4.10000000 N N N N N N N/A N/A N/A 861400.00000000 PA USD 62518.66000000 0.038290691243 N/A DIR US N 2 JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 Put Purchased N/A Swaption 1.00000000 4.13000000 USD 2027-12-09 XXXX -4972.02000000 N N N Rain Carbon, Inc. 25490038N6JQH7QXUK52 75079LAB7 40000.00000000 PA USD 41203.96000000 0.025236115271 Long DBT CORP US N 2 2029-09-01 Fixed 12.25000000 N N N N N N Medline Borrower LP 254900QT3R363TVK6F09 62482BAA0 415000.00000000 PA USD 401687.55000000 0.246020851269 Long DBT CORP US N 2 2029-04-01 Fixed 3.87500000 N N N N N N Franklin Ultra Short Bond ETF 549300C2WYDHE3Y9X469 35473P496 166982.00000000 NS USD 4174550.00000000 2.556779130114 Long RF US N 1 N N N Motorola Solutions, Inc. 6S552MUG6KGJVEBSEC55 620076BY4 210000.00000000 PA USD 212888.83000000 0.130387638806 Long DBT CORP US N 2 2029-04-15 Fixed 5.00000000 N N N N N N N/A N/A N/A 138000.00000000 PA USD 7200.32000000 0.004409967039 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BB-6 137BEMAE8 Y Payout of notional amount upon default event with regard to the reference instrument 2063-05-11 0.00000000 USD 23956.96000000 USD 138000.00000000 USD 7200.32000000 N N N AptarGroup, Inc. VNPEQDQFAA7IY1T2PX43 038336AB9 105000.00000000 PA USD 104116.87000000 0.063768272103 Long DBT CORP US N 2 2031-03-30 Fixed 4.75000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38384HZW1 1345048.66000000 PA USD 252043.69000000 0.154368745486 Long ABS-MBS USGA US N 2 2052-12-20 Fixed 5.00000000 N N N N N N Outfront Media Capital LLC / Outfront Media Capital Corp. N/A 69007TAG9 76000.00000000 PA USD 79289.13000000 0.048562070840 Long DBT CORP US N 2 2031-02-15 Fixed 7.37500000 N N N N N N White Cap Supply Holdings LLC 254900L2N0T6GULCL366 96350TAH3 462941.00960000 PA USD 446335.32000000 0.273366190657 Long LON CORP US N 2 2029-10-19 Variable 6.91774000 N N N N N N N/A N/A N/A 64000.00000000 PA USD 342.47000000 0.000209751984 N/A DCR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Markit CMBX North American Index Series BBB-6 137BERAF4 Y Payout of notional amount upon default event with regard to the reference instrument 2063-05-11 0.00000000 USD 4374.60000000 USD 64000.00000000 USD 342.47000000 N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137F6TF4 1704458.60200000 PA USD 410120.52000000 0.251185777237 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 5.00000000 N N N N N N FHLMC 5493005RUXPCBST1N217 35563XBE1 649000.00000000 PA USD 789035.38000000 0.483259080022 Long ABS-MBS CORP US N 2 2048-10-25 Floating 14.77638000 N N N N N N Clear Channel Outdoor Holdings, Inc. 254900XBEE6V1ENYS150 18452RAF2 80000.00000000 PA USD 80320.00000000 0.049193445935 Long LON CORP US N 2 2028-08-23 Variable 7.78748000 N N N N N N COMM Mortgage Trust N/A 12631DAG8 290000.00000000 PA USD 246071.53000000 0.150710987392 Long ABS-MBS CORP US N 2 2047-05-10 Variable 4.53502800 N N N N N N MKS, Inc. 549300KEQATBHAGVF505 55306NAB0 65000.00000000 PA USD 107542.50000000 0.065866361548 Long DBT CORP US N 2 2030-06-01 Fixed 1.25000000 N N N N Y MKS, Inc. USD XXXX N N N Novelis Corp. 549300G5F3W3B52WYL23 670001AL0 198000.00000000 PA USD 199871.30000000 0.122414815620 Long DBT CORP US N 2 2030-01-30 Fixed 6.87500000 N N N N N N RR Donnelley & Sons Co. SU4X0P4WWRGOQDTSV032 257867BJ9 285000.00000000 PA USD 288708.99000000 0.176825075830 Long DBT CORP US N 2 2029-08-01 Fixed 9.50000000 N N N N N N GSAA Home Equity Trust N/A 362348AS3 475454.55000000 PA USD 96031.31000000 0.058816123712 Long ABS-O CORP US N 2 2036-05-25 Floating 4.15302840 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136A1D44 469736.31000000 PA USD 44183.68000000 0.027061099020 Long ABS-MBS USGSE US N 2 2041-10-25 Floating 2.12361840 N N N N N N N/A N/A N/A 1.00000000 NC N/A 947.31000000 0.000580197251 N/A DFE N/A N 2 Toronto Dominion Bank PT3QB789TSUIDF371261 415000.00000000 CAD 299444.40000000 USD 2026-04-15 947.31000000 N N N INEOS US Finance LLC 5493008MHJ4R367SNK31 G4768PAN1 100000.00000000 PA USD 87687.50000000 0.053705805409 Long LON CORP US N 2 2030-02-18 Variable 6.91770000 N N N N N N KazMunayGas National Co. JSC 2138001H1M69RFJCSH88 N/A 450000.00000000 PA USD 455524.69000000 0.278994387573 Long DBT CORP KZ N 2 2030-04-24 Fixed 5.37500000 N N N N N N Illumina, Inc. SQ95QG8SR5Q56LSNF682 452327AQ2 117000.00000000 PA USD 117027.97000000 0.071675910298 Long DBT CORP US N 2 2026-09-09 Fixed 4.65000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38381J2J5 4776493.83000000 PA USD 244699.78000000 0.149870834137 Long ABS-MBS USGA US N 2 2063-06-16 Variable 0.69990120 N N N N N N Guidewire Software, Inc. 549300WXSG0J8IXZCK32 40171VAC4 93000.00000000 PA USD 92825.63000000 0.056852746649 Long DBT CORP US N 2 2029-11-01 Fixed 1.25000000 N N N N Y Guidewire Software, Inc. USD XXXX N N N N/A N/A N/A 15293000.00000000 PA USD 21033.56000000 0.012882386662 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2028-06-17 0.00000000 USD 54912.95000000 USD 15293000.00000000 USD 21033.56000000 N N N Clear Channel Outdoor Holdings, Inc. 254900XBEE6V1ENYS150 18453HAF3 285000.00000000 PA USD 298454.28000000 0.182793756068 Long DBT CORP US N 2 2030-04-01 Fixed 7.87500000 N N N N N N N/A N/A N/A 42000.00000000 PA USD -402.25000000 -0.00024636533 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BB-8 137BEMAG3 Y Receipt of notional amount upon default event with regard to the reference instrument 2057-10-17 17149.01000000 USD 0.00000000 USD 42000.00000000 USD -402.25000000 N N N MPT Operating Partnership LP / MPT Finance Corp. N/A 55342UAQ7 245000.00000000 PA USD 248577.49000000 0.152245808206 Long DBT CORP US N 2 2032-02-15 Fixed 8.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137FQNN9 1873159.22000000 PA USD 219518.71000000 0.134448229485 Long ABS-MBS USGSE US N 2 2050-01-25 Floating 2.27361960 N N N N N N United States of America 254900HROIFWPRGM1V77 912797TN7 156000.00000000 PA USD 156000.00000000 0.095545039416 Long DBT UST US N 2 2026-07-16 Fixed 0.00000000 N N N N N N BANK5 Trust N/A 06644XBM7 5931853.36000000 PA USD 98716.42000000 0.060460668205 Long ABS-MBS CORP US N 2 2057-12-15 Variable 0.49682880 N N N N N N Sunoco LP 54930001NJU8E40NQ561 86765KAN9 40000.00000000 PA USD 39415.83000000 0.024140942506 Long DBT CORP US N 2 2034-07-15 Fixed 5.62500000 N N N N N N Uber Technologies, Inc. 549300B2FTG34FILDR98 90353TAM2 89000.00000000 PA USD 107178.25000000 0.065643270005 Long DBT CORP US N 2 2028-12-01 Fixed 0.87500000 N N N N Y Uber Technologies, Inc. USD XXXX N N N COMM Mortgage Trust N/A 12592PAJ2 181616.27000000 PA USD 175936.40000000 0.107755450467 Long ABS-MBS CORP US N 2 2047-12-10 Variable 3.73099320 N N N N N N JBT Marel Corp. 5493007CT6ATBZ2L6826 477839AD6 34000.00000000 PA USD 33031.00000000 0.020230437160 Long DBT CORP US N 2 2030-09-15 Fixed 0.37500000 N N N N Y JBT Marel Corp. USD XXXX N N N Crocs, Inc. 549300B0J6YCXD63OG72 227046AB5 290000.00000000 PA USD 261231.48000000 0.159995974702 Long DBT CORP US N 2 2031-08-15 Fixed 4.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -260.62000000 -0.00015962146 N/A DFE N/A N 2 Westpac Banking EN5TNI6CI43VEPAMHL14 12000.00000000 AUD 8017.39000000 USD 2026-04-15 -260.62000000 N N N PG&E Corp. 8YQ2GSDWYZXO2EDN3511 69331CAJ7 475000.00000000 PA USD 468978.00000000 0.287234112151 Long DBT CORP US N 2 2030-07-01 Fixed 5.25000000 N N N N N N Compass, Inc. 254900DMGQSTC3I2IM78 20464UAA8 49000.00000000 PA USD 41135.50000000 0.025194185698 Long DBT CORP US N 2 2031-04-15 Fixed 0.25000000 N N N N Y Compass, Inc. USD XXXX N N N Republic of North Macedonia 635400RD1N6RVNCE4958 N/A 100000.00000000 PA 109863.58000000 0.067287949240 Long DBT NUSS MK N 2 2034-01-21 Fixed 4.75000000 N N N N N N Kinetik Holdings LP 549300RD6AJIMYC0HY12 49461MAA8 455000.00000000 PA USD 456940.12000000 0.279861293439 Long DBT CORP US N 2 2030-06-15 Fixed 5.87500000 N N N N N N Halozyme Therapeutics, Inc. 529900242I3SV9AGM753 40637HAF6 65000.00000000 PA USD 83330.00000000 0.051036975221 Long DBT CORP US N 2 2028-08-15 Fixed 1.00000000 N N N N N Halozyme Therapeutics, Inc. USD XXXX N N N FNMA or FHLMC N/A 01F032641 1000000.00000000 PA USD 916878.41000000 0.561558870666 Long ABS-MBS USGSE US N 2 2056-04-25 Fixed 3.50000000 N N N N N N Commercial Metals Co. 549300OQS2LO07ZJ7N73 201723AR4 267000.00000000 PA USD 247143.53000000 0.151367553304 Long DBT CORP US N 2 2032-03-15 Fixed 4.37500000 N N N N N N N/A N/A N/A 3079100.00000000 PA USD 43122.47000000 0.026411141640 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Put Purchased N/A Swaption 1.00000000 4.22500000 USD 2026-11-23 XXXX -114527.45000000 N N N A&D Mortgage Trust 984500E3BD374F778L95 00039GAA7 455338.22000000 PA USD 457660.99000000 0.280302803391 Long ABS-MBS CORP US N 2 2069-02-25 Fixed 6.19499880 N N N N N N Proofpoint, Inc. N/A 74345HAJ0 233409.23320000 PA USD 226310.09000000 0.138607733778 Long LON CORP US N 2 2028-08-31 Variable 6.69961000 N N N N N N Putnam Government Money Market Fund 549300SEUI2XMME8T893 74680A869 5770735.38000000 NS USD 5770735.38000000 3.534391918889 Long STIV RF US N 1 N N N Sinclair Television Group, Inc. 549300CQGEN0CH65UD62 829259BH2 250000.00000000 PA USD 254375.00000000 0.155796598728 Long DBT CORP US N 2 2033-02-15 Fixed 8.12500000 N N N N N N NCL Corp. Ltd. UNZWILHE4KMRP9K2L524 62886HBZ3 190000.00000000 PA USD 184496.35000000 0.112998147647 Long DBT CORP BM N 2 2033-09-15 Fixed 6.25000000 N N N N N N Rivers Enterprise Borrower LLC N/A 76884GAA3 70000.00000000 PA USD 69864.28000000 0.042789649913 Long DBT CORP US N 2 2030-10-15 Fixed 6.25000000 N N N N N N United Airlines, Inc. K1OQBWM7XEOO08LDNP29 90932LAH0 240000.00000000 PA USD 235626.94000000 0.144314008140 Long DBT CORP US N 2 2029-04-15 Fixed 4.62500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383VL97 4776722.18000000 PA USD 382812.25000000 0.234460330227 Long ABS-MBS USGA US N 2 2053-02-20 Floating 2.77706160 N N N N N N Liberty Energy, Inc. 254900PKFJW6RILDCM60 53115LAA2 33000.00000000 PA USD 36184.50000000 0.022161855633 Long DBT CORP US N 2 2031-03-01 None 0.00000000 N N N N Y Liberty Energy, Inc. USD XXXX N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61748UAS1 100000.00000000 PA USD 98347.51000000 0.060234722560 Long DBT CORP US N 2 2032-01-16 Fixed 4.49300000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RF35 388878.62000000 PA USD 10235.67000000 0.006269022394 Long ABS-MBS USGA US N 2 2066-10-20 Variable 1.70161920 N N N N N N N/A N/A N/A 1203000.00000000 PA 193.18000000 0.000118316607 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-06-17 1014.33000000 USD 0.00000000 USD 1203000.00000000 SEK 193.18000000 N N N FNMA N/A 20754BAB7 386065.70000000 PA USD 390263.59000000 0.239024039035 Long ABS-MBS CORP US N 2 2042-01-25 Floating 6.66190080 N N N N N N Romania 315700IASY927EDWBK92 N/A 460000.00000000 PA 512202.10000000 0.313707498935 Long DBT NUSS RO N 2 2036-02-22 Fixed 5.62500000 N N N N N N Venture Global Plaquemines LNG LLC 549300TKP4I6OJ02BF90 922966AA4 30000.00000000 PA USD 32993.67000000 0.020207573722 Long DBT CORP US N 2 2033-05-01 Fixed 7.50000000 N N N N N N Bridgebio Pharma, Inc. 54930028YG89VTY2J114 10806XAK8 16000.00000000 PA USD 15891.20000000 0.009732854681 Long DBT CORP US N 2 2033-02-01 Fixed 0.75000000 N N N N Y Bridgebio Pharma, Inc. USD XXXX N N N GNMA 549300M8ZYFG0OCMTT87 38378GNB0 169992.58000000 PA USD 35207.84000000 0.021563682439 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 5.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38381YWU4 1557304.07000000 PA USD 171854.58000000 0.105255465513 Long ABS-MBS USGA US N 2 2049-09-20 Floating 2.26047960 N N N N N N N/A N/A N/A 2376500.00000000 PA 3987.64000000 0.002442302698 N/A DIR US N 2 JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 Call Purchased N/A Swaption 1.00000000 2.49500000 AUD 2026-11-23 XXXX -143424.54000000 N N N Burlington Stores, Inc. 5299003Z37DVGKKC1W09 122017AD8 34000.00000000 PA USD 56270.00000000 0.034463585692 Long DBT CORP US N 2 2027-12-15 Fixed 1.25000000 N N N N N Burlington Stores, Inc. USD XXXX N N N COMM Mortgage Trust 549300FVY7JUBJ0PIH53 12625FBA3 109540.54000000 PA USD 107411.35000000 0.065786036343 Long ABS-MBS CORP US N 2 2046-03-10 Variable 4.15178280 N N N N N N Serbia International Bond 254900W94OCY91V32O78 N/A 430000.00000000 PA USD 439133.22000000 0.268955133424 Long DBT NUSS RS N 2 2028-05-26 Fixed 6.25000000 N N N N N N Airbnb, Inc. 549300HMUDNO0RY56D37 009066AD3 75000.00000000 PA USD 74862.49000000 0.045850894601 Long DBT CORP US N 2 2031-03-16 Fixed 4.65000000 N N N N N N Ionis Pharmaceuticals, Inc. 549300SI4ZGLG0BLUZ92 462222AG5 33000.00000000 PA USD 34464.38000000 0.021108336830 Long DBT CORP US N 2 2030-12-01 None 0.00000000 N N N N Y Ionis Pharmaceuticals, Inc. USD XXXX N N N Benchmark Mortgage Trust N/A 08164HBB2 357000.00000000 PA USD 361494.95000000 0.221404161838 Long ABS-MBS CORP US N 2 2031-03-15 Fixed 5.50589000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 30711XCY8 89053.79000000 PA USD 89775.62000000 0.054984712510 Long ABS-MBS CORP US N 2 2028-10-25 Floating 16.52637960 N N N N N N FNMA 549300HG8ZEWVWVSN227 62547NAB5 429797.73000000 PA USD 436793.42000000 0.267522080326 Long ABS-MBS CORP US N 2 2049-10-25 Floating 7.02637920 N N N N N N AIB Group plc 635400AKJBGNS5WNQL34 00135TAD6 200000.00000000 PA USD 209364.90000000 0.128229343737 Long DBT CORP IE N 2 2029-09-13 Fixed 6.60800000 N N N N N N Avient Corp. SM8L9RZYIB34LNTWO040 05368VAB2 45000.00000000 PA USD 45352.08000000 0.027776706866 Long DBT CORP US N 2 2031-11-01 Fixed 6.25000000 N N N N N N Raizen Fuels Finance SA 52990010NH26VC32Q522 75102XAF3 320000.00000000 PA USD 177600.00000000 0.108774352566 Long DBT CORP LU N 2 2032-07-08 Fixed 6.25000000 N N N N N N Republic of Uzbekistan International Bond 213800L6VDKUM3TCM927 N/A 330000.00000000 PA USD 344946.07000000 0.211268499069 Long DBT NUSS UZ N 2 2032-02-28 Fixed 6.90000000 N N N N N N N/A N/A N/A 245000.00000000 PA 2589.65000000 0.001586078277 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2031-03-18 257.76000000 USD 0.00000000 USD 245000.00000000 AUD 2589.65000000 N N N TransDigm, Inc. 88Q84GB3X55CF5OC7582 893647CA3 65000.00000000 PA USD 65900.58000000 0.040362009703 Long DBT CORP US N 2 2034-01-31 Fixed 6.75000000 N N N N N N Endo Finance Holdings LP N/A 29280UAD5 173680.90450000 PA USD 173029.60000000 0.105975127899 Long LON CORP US N 2 2031-04-23 Variable 7.41770000 N N N N N N FHLMC N/A 35563PCF4 328086.46000000 PA USD 324858.12000000 0.198965268463 Long ABS-MBS CORP US N 2 2056-07-25 Variable 4.74999840 N N N N N N EMRLD Borrower LP 5493000GJYE7GAQCUC61 26872NAD1 192518.00750000 PA USD 192417.90000000 0.117849845128 Long LON CORP US N 2 2031-08-04 Variable 6.12187000 N N N N N N N/A N/A N/A 625000.00000000 PA 14101.54000000 0.008636744840 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2056-03-18 16033.67000000 USD 0.00000000 USD 625000.00000000 EUR 14101.54000000 N N N TransDigm, Inc. 88Q84GB3X55CF5OC7582 89364MCA0 117605.25000000 PA USD 117753.43000000 0.072120231479 Long LON CORP US N 2 2031-02-28 Variable 6.16774000 N N N N N N Rubrik, Inc. 254900TRGK2WTBYMYU27 781154AC3 60000.00000000 PA USD 51855.00000000 0.031759538583 Long DBT CORP US N 2 2030-06-15 None 0.00000000 N N N N Y Rubrik, Inc. USD XXXX N N N GNMA 549300M8ZYFG0OCMTT87 38383AQC1 3280893.69000000 PA USD 620189.96000000 0.379846629321 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 3.50000000 N N N N N N N/A N/A N/A 133000.00000000 PA USD 2249.92000000 0.001378004455 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BB-13 137BEMAL2 Y Receipt of notional amount upon default event with regard to the reference instrument 2072-12-16 50041.25000000 USD 0.00000000 USD 133000.00000000 USD 2249.92000000 N N N COMM Mortgage Trust N/A 12635QBL3 9047.62000000 PA USD 8673.10000000 0.005311997957 Long ABS-MBS CORP US N 2 2048-10-10 Variable 4.39174440 N N N N N N Republic of Cameroon International Bond 54930021BO6NHYGBBV24 N/A 220000.00000000 PA 219938.95000000 0.134705613122 Long DBT NUSS CM N 2 2032-07-07 Fixed 5.95000000 N N N N N N CD Mortgage Trust N/A 12515DAU8 439000.00000000 PA USD 402688.91000000 0.246634152427 Long ABS-MBS CORP US N 2 2050-05-10 Variable 3.94700040 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RAE6 490118.94000000 PA USD 22941.98000000 0.014051233226 Long ABS-MBS USGA US N 2 2065-04-20 Variable 2.73396960 N N N N N N N/A N/A N/A 152000.00000000 PA USD 22496.65000000 0.013778482762 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BB-10 137BEMAI9 Y Receipt of notional amount upon default event with regard to the reference instrument 2059-11-17 61256.87000000 USD 0.00000000 USD 152000.00000000 USD 22496.65000000 N N N Live Nation Entertainment, Inc. 5493007B9BM9ZXJINO78 538034BA6 33000.00000000 PA USD 50209.50000000 0.030751722157 Long DBT CORP US N 2 2029-01-15 Fixed 3.12500000 N N N N Y Live Nation Entertainment, Inc. USD XXXX N N N Morgan Stanley Bank of America Merrill Lynch Trust 549300P1YQ48837ZOI22 61762MBG5 975000.00000000 PA USD 149532.53000000 0.091583919698 Long ABS-MBS CORP US N 2 2046-07-15 Variable 3.95106840 N N N N N N J.P. Morgan Mortgage Trust N/A 46593DAX5 75338.30000000 PA USD 75529.45000000 0.046259386393 Long ABS-MBS CORP US N 2 2055-02-25 Floating 5.01189840 N N N N N N Citigroup Commercial Mortgage Trust N/A 29425AAJ2 102000.00000000 PA USD 62730.00000000 0.038420130273 Long ABS-MBS CORP US N 2 2058-09-10 Fixed 3.17200000 N N N N N N Medline Borrower LP 254900QT3R363TVK6F09 58503UAH6 32726.10070000 PA USD 32812.01000000 0.020096312748 Long LON CORP US N 2 2028-10-23 Variable 5.41770000 N N N N N N BBCMS Mortgage Trust N/A 07336AAG2 4770668.45000000 PA USD 142823.32000000 0.087474741917 Long ABS-MBS CORP US N 2 2055-02-15 Variable 0.68197680 N N N N N N Republic of El Salvador 529900AKDMUSFSDOM949 N/A 170000.00000000 PA USD 177478.30000000 0.108699815186 Long DBT NUSS SV N 2 2029-02-28 Fixed 8.62500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382GXV9 1578118.77000000 PA USD 211470.60000000 0.129519018028 Long ABS-MBS USGA US N 2 2050-07-20 Floating 2.36048040 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380LAD5 1348517.48000000 PA USD 56194.07000000 0.034417080981 Long ABS-MBS USGA US N 2 2068-02-20 Variable 1.73607840 N N N N N N N/A N/A N/A 885900.00000000 PA USD 32639.77000000 0.019990821225 N/A DIR DE N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Purchased N/A Swaption 1.00000000 3.96500000 USD 2028-03-06 XXXX -15641.78000000 N N N GNMA 549300M8ZYFG0OCMTT87 38380CH71 816699.03000000 PA USD 150000.58000000 0.091870585440 Long ABS-MBS USGA US N 2 2039-11-20 Fixed 5.00000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46641JAE6 232000.00000000 PA USD 212547.73000000 0.130178725902 Long ABS-MBS CORP US N 2 2047-02-15 Variable 4.47435000 N N N N N N United Rentals North America, Inc. NGIZXNT70J2LYT3FBI09 911365BN3 88000.00000000 PA USD 83652.40000000 0.051234434970 Long DBT CORP US N 2 2030-07-15 Fixed 4.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137FUAM6 2643631.56000000 PA USD 308401.03000000 0.188885824151 Long ABS-MBS USGSE US N 2 2050-07-25 Floating 2.32362000 N N N N N N N/A N/A N/A 7360000.00000000 PA USD 12698.93000000 0.007777690816 N/A DCR US N 2 ICE Clear US 549300HWWR1D8OTS2G29 Markit CDX North American Investment Grade Index Series 46-V1 2I65BYEJ0 Y Payout of notional amount upon default event with regard to the reference instrument 2031-06-20 116794.81000000 USD 0.00000000 USD 7360000.00000000 USD 12698.93000000 N N N Kedrion SpA 81560047FA58E1BEDF67 49272YAB9 510000.00000000 PA USD 494540.07000000 0.302890067188 Long DBT CORP IT N 2 2029-09-01 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137AUD48 96501.38000000 PA USD 4239.58000000 0.002596607937 Long ABS-MBS USGSE US N 2 2041-07-15 Fixed 3.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136AWLE5 2328772.48000000 PA USD 250430.14000000 0.153380497419 Long ABS-MBS USGSE US N 2 2047-05-25 Floating 2.37362040 N N N N N N N/A N/A N/A 26000.00000000 PA USD -624.87000000 -0.00038271300 N/A DCR US N 2 J P MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Markit CMBX North American Index Series BBB-8 137BERAH0 Y Payout of notional amount upon default event with regard to the reference instrument 2057-10-17 0.00000000 USD 4054.38000000 USD 26000.00000000 USD -624.87000000 N N N Chobani LLC / Chobani Finance Corp., Inc. N/A 17027NAC6 195000.00000000 PA USD 199505.87000000 0.122191001365 Long DBT CORP US N 2 2029-07-01 Fixed 7.62500000 N N N N N N NRG Energy, Inc. 5E2UPK5SW04M13XY7I38 629377CX8 400000.00000000 PA USD 403514.88000000 0.247140032787 Long DBT CORP US N 2 2034-11-01 Fixed 6.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RV78 736220.80000000 PA USD 26217.19000000 0.016057195204 Long ABS-MBS USGA US N 2 2067-02-20 Variable 2.40545880 N N N N N N AAdvantage Loyalty IP Ltd. N/A 02376CBT1 19850.00000000 PA USD 19703.61000000 0.012067834577 Long LON CORP US N 2 2032-05-28 Variable 6.41763000 N N N N N N PK Alift Loan Funding 7 LP N/A 69291NAA0 235870.66000000 PA USD 235052.02000000 0.143961887922 Long ABS-O CORP US N 2 2043-03-15 Fixed 4.75000000 N N N N N N Capital One Financial Corp. ZUE8T73ROZOF6FLBAR73 14040HDM4 135000.00000000 PA USD 132588.91000000 0.081206491232 Long DBT CORP US N 2 2031-09-11 Fixed 4.49300000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 7368.26000000 0.004512824949 N/A DFE N/A N 2 Morgan Stanley & Co. International 4PQUHN3JPFGFNF3BB653 6123200.00000000 SEK 656698.57000000 USD 2026-06-17 7368.26000000 N N N MAD Commercial Mortgage Trust N/A 55616AAG2 325000.00000000 PA USD 330565.69000000 0.202460973595 Long ABS-MBS CORP US N 2 2042-10-15 Variable 5.93524440 N N N N N N Enel Finance International NV 0YQH6LCEF474UTUV4B96 29278GBG2 200000.00000000 PA USD 196510.35000000 0.120356340619 Long DBT CORP NL N 2 2030-09-30 Fixed 4.37500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137HANZ5 1680293.99000000 PA USD 351432.14000000 0.215241010696 Long ABS-MBS USGSE US N 2 2046-12-15 Fixed 4.00000000 N N N N N N Clarios Global LP 549300474L1ZLXZY2P98 C8000CAP8 59683.08500000 PA USD 59608.48000000 0.036508298533 Long LON CORP US N 2 2032-01-28 Variable 6.42300000 N N N N N N N/A N/A N/A -22.00000000 NC 42683.46000000 0.026142261975 N/A DIR DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Short Federal Republic of Germany Euro-Bobl 2026-06-08 -2539460.00000000 EUR 42683.46000000 N N N BANK5 Trust N/A 06211UBR5 5185847.12000000 PA USD 191582.31000000 0.117338072823 Long ABS-MBS CORP US N 2 2057-06-15 Variable 1.33368840 N N N N N N N/A N/A N/A 203000.00000000 PA USD -1421.00000000 -0.00087031731 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB-11 137BERAK3 Y Receipt of notional amount upon default event with regard to the reference instrument 2054-11-18 26187.00000000 USD 0.00000000 USD 203000.00000000 USD -1421.00000000 N N N N/A N/A N/A 1147100.00000000 PA USD 22801.82000000 0.013965389683 N/A DIR GB N 2 NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 Put Purchased N/A Swaption 1.00000000 4.82500000 USD 2027-04-30 XXXX -18723.20000000 N N N McCormick & Co., Inc. 549300JQQA6MQ4OJP259 579780AV9 60000.00000000 PA USD 59429.27000000 0.036398538106 Long DBT CORP US N 2 2029-02-15 Fixed 4.15000000 N N N N N N J.P. Morgan Chase Commercial Mortgage Securities Trust N/A 46634SAM7 163000.00000000 PA USD 161310.00000000 0.098797245566 Long ABS-MBS CORP US N 2 2045-05-15 Variable 4.96670040 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137H1X68 2746935.64000000 PA USD 539851.69000000 0.330641993591 Long ABS-MBS USGSE US N 2 2051-08-25 Fixed 4.00000000 N N N N N N CCO Holdings LLC / CCO Holdings Capital Corp. N/A 1248EPCQ4 469000.00000000 PA USD 424427.18000000 0.259948151555 Long DBT CORP US N 2 2032-02-01 Fixed 4.75000000 N N N N N N FNMA N/A 20753VBE7 504000.00000000 PA USD 515560.50000000 0.315764412143 Long ABS-MBS CORP US N 2 2040-02-25 Floating 7.42637880 N N N N N N TIAA Real Estate CDO Ltd. 5493005Y5RSPJ6PO8N21 88631FAA6 558951.58000000 PA USD 66.35000000 0.000040637265 Long ABS-CBDO CORP KY N 2 2038-12-28 Fixed 8.00000000 Y N N N N N Home RE Ltd. N/A 43730VAE8 150000.00000000 PA USD 151323.60000000 0.092680893119 Long ABS-MBS CORP BM N 2 2034-01-25 Floating 7.81189920 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137ASB78 331187.25000000 PA USD 68716.32000000 0.042086560916 Long ABS-MBS USGSE US N 2 2042-07-15 Fixed 5.00000000 N N N N N N Microchip Technology, Inc. 5493007PTFULNYZJ1R12 595017BM5 51000.00000000 PA USD 49839.75000000 0.030525262040 Long DBT CORP US N 2 2030-02-15 None 0.00000000 N N N N Y Microchip Technology, Inc. USD XXXX N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A 61690FAS2 575000.00000000 PA USD 502616.41000000 0.307836568622 Long ABS-MBS CORP US N 2 2048-04-15 Variable 3.97005840 N N N N N N FNMA or FHLMC N/A 01F042640 8400000.00000000 PA USD 8108016.34000000 4.965902184604 Long ABS-MBS USGSE US N 2 2056-04-25 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379PE94 432129.32000000 PA USD 61933.81000000 0.037932489215 Long ABS-MBS USGA US N 2 2044-11-20 Fixed 4.00000000 N N N N N N ON Semiconductor Corp. ZV20P4CNJVT8V1ZGJ064 682189AU9 55000.00000000 PA USD 53900.00000000 0.033012036054 Long DBT CORP US N 2 2029-03-01 Fixed 0.50000000 N N N N Y ON Semiconductor Corp. USD XXXX N N N Southern Power Co. 5LADC78JBG2BMZD5XF57 843646AX8 80000.00000000 PA USD 79000.32000000 0.048385183899 Long DBT CORP US N 2 2030-10-01 Fixed 4.25000000 N N N N N N N/A N/A N/A 2704000.00000000 PA -5488.47000000 -0.00336151334 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-06-17 2448.59000000 USD 0.00000000 USD 2704000.00000000 NZD -5488.47000000 N N N GNMA 549300M8ZYFG0OCMTT87 38376RTH9 762491.02080000 PA USD 29701.31000000 0.018191107914 Long ABS-MBS USGA US N 2 2066-04-20 Variable 2.59984080 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136BFDQ3 3404687.95000000 PA USD 758035.05000000 0.464272363664 Long ABS-MBS USGSE US N 2 2049-11-25 Fixed 4.50000000 N N N N N N Eversource Energy SJ7XXD41SQU3ZNWUJ746 30040WAT5 205000.00000000 PA USD 208393.89000000 0.127634630989 Long DBT CORP US N 2 2028-03-01 Fixed 5.45000000 N N N N N N NRW Bank 52990002O5KK6XOGJ020 62939MDA2 1000000.00000000 PA USD 998980.60000000 0.611843851306 Long STIV CORP DE N 2 2026-04-10 None 0.00000000 N N N N N N FNMA or FHLMC N/A 01F050643 -3500000.00000000 PA USD -3452263.57000000 -2.11440165944 Short ABS-MBS USGSE US N 2 2056-04-25 Fixed 5.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 473.01000000 0.000289703583 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 195800.00000000 CAD 141306.10000000 USD 2026-04-15 473.01000000 N N N LSTAR Commercial Mortgage Trust N/A 54910TAJ1 400000.00000000 PA USD 396360.52000000 0.242758214786 Long ABS-MBS CORP US N 2 2050-03-10 Fixed 3.54900000 N N N N N N Transnet SOC Ltd. 378900B07CD6F01EA796 N/A 300000.00000000 PA USD 310731.31000000 0.190313046551 Long DBT CORP ZA N 2 2028-02-06 Fixed 8.25000000 N N N N N N Terex Corp. YAWJZJYEQ7M1SYMOS462 880779BB8 125000.00000000 PA USD 125930.41000000 0.077128371713 Long DBT CORP US N 2 2032-10-15 Fixed 6.25000000 N N N N N N MortgageIT Trust N/A 61915RAN6 17723.81000000 PA USD 17417.60000000 0.010667726144 Long ABS-MBS CORP US N 2 2035-08-25 Floating 4.58803080 N N N N N N Venture Global Plaquemines LNG LLC 549300TKP4I6OJ02BF90 922966AC0 45000.00000000 PA USD 46938.57000000 0.028748381543 Long DBT CORP US N 2 2034-01-15 Fixed 6.50000000 N N N N N N Ares Capital Corp. WEQ82666OJYSI5GUAB47 04010LBE2 410000.00000000 PA USD 415640.57000000 0.254566632332 Long DBT CORP US N 2 2027-01-15 Fixed 7.00000000 N N N N N N Banijay Entertainment SAS 5493008PW5N0VVCH7279 F6456UAE3 79952.32600000 PA USD 80227.36000000 0.049136706881 Long LON CORP FR N 2 2028-03-01 Variable 6.41766000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38380XSS7 729442.29000000 PA USD 149794.77000000 0.091744533359 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 4.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 19.71000000 0.000012071748 N/A DFE N/A N 2 Morgan Stanley & Co. International 4PQUHN3JPFGFNF3BB653 3228.06000000 USD 2800.00000000 EUR 2026-06-17 19.71000000 N N N Wells Fargo Commercial Mortgage Trust N/A 94989WBB2 121000.00000000 PA USD 109785.78000000 0.067240299214 Long ABS-MBS CORP US N 2 2048-11-15 Fixed 3.85200000 N N N N N N N/A N/A N/A 19000.00000000 PA USD 837.23000000 0.000512776752 N/A DCR GB N 2 MORGAN STANLEY INTL PLC IGJSJL3JD5P30I6NJZ34 Markit CMBX North American Index Series BBB-16 137BERAP2 Y Payout of notional amount upon default event with regard to the reference instrument 2065-04-17 0.00000000 USD 4318.98000000 USD 19000.00000000 USD 837.23000000 N N N JPMBB Commercial Mortgage Securities Trust N/A 46643ABL6 201000.00000000 PA USD 195231.30000000 0.119572963166 Long ABS-MBS CORP US N 2 2047-09-15 Variable 4.53668040 N N N N N N GE HealthCare Technologies, Inc. 549300OI9J7XOWZMUN85 36266GAA5 210000.00000000 PA USD 211944.57000000 0.129809309582 Long DBT CORP US N 2 2029-08-14 Fixed 4.80000000 N N N N N N Toll Brothers Finance Corp. N/A 88947EAU4 220000.00000000 PA USD 214176.35000000 0.131176203864 Long DBT CORP US N 2 2029-11-01 Fixed 3.80000000 N N N N N N Qnity Electronics, Inc. 254900RSUG4J9TFFZX53 74743LAB6 35000.00000000 PA USD 35433.55000000 0.021701922637 Long DBT CORP US N 2 2033-08-15 Fixed 6.25000000 N N N N N N Paradigm Parent LLC N/A 69902BAB5 99749.37340000 PA USD 82791.98000000 0.050707455080 Long LON CORP US N 2 2032-04-16 Variable 8.17194000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382LMH1 2162836.74000000 PA USD 361482.26000000 0.221396389616 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -7950.78000000 -0.00486959992 N/A DFE N/A N 2 Toronto Dominion Bank PT3QB789TSUIDF371261 365900.00000000 AUD 244459.62000000 USD 2026-04-15 -7950.78000000 N N N IQVIA, Inc. 549300PLWY28YB00C717 46266TAG3 295000.00000000 PA USD 299938.60000000 0.183702854869 Long DBT CORP US N 2 2032-06-01 Fixed 6.25000000 N N N N N N Clydesdale Acquisition Holdings, Inc. 254900QKSDYFR3K5YD98 18972FAE2 198426.43530000 PA USD 185851.16000000 0.113827925691 Long LON CORP US N 2 2032-04-01 Variable 6.91774000 N N N N N N N/A N/A N/A 477100.00000000 PA USD 11029.04000000 0.006754936291 N/A DIR FR N 2 BNP PARIBAS NY BRANCH 549300QVEGJN81E8T563 Call Purchased N/A Swaption 1.00000000 3.62500000 USD 2027-11-12 XXXX -11060.69000000 N N N GNMA 549300M8ZYFG0OCMTT87 38380YYA7 1111836.88000000 PA USD 216046.47000000 0.132321592897 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 5.00000000 N N N N N N Targa Resources Corp. 5493003QENHHS261UR94 87612GAT8 80000.00000000 PA USD 78340.99000000 0.047981365240 Long DBT CORP US N 2 2031-04-15 Fixed 4.35000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38381N6U7 3965689.17800000 PA USD 434102.18000000 0.265873781404 Long ABS-MBS USGA US N 2 2049-10-20 Floating 2.21047920 N N N N N N Deep Blue Operating I LLC N/A 24369TAD3 53699.26000000 PA USD 53967.76000000 0.033053536900 Long LON CORP US N 2 2032-10-01 Variable 6.42115000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382CCP4 3399201.81000000 PA USD 441553.26000000 0.270437330970 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 4.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382FGR9 1655823.15000000 PA USD 186126.61000000 0.113996630057 Long ABS-MBS USGA US N 2 2043-08-20 Floating 2.21047920 N N N N N N N/A N/A N/A 158800.00000000 PA USD 17973.67000000 0.011008301337 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Put Purchased N/A Swaption 1.00000000 4.20000000 USD 2030-08-26 XXXX -1828.69000000 N N N COMM Mortgage Trust N/A 12592XBG0 157249.28000000 PA USD 151126.39000000 0.092560108265 Long ABS-MBS CORP US N 2 2048-03-10 Variable 3.92600160 N N N N N N Alternative Loan Trust N/A 02146QAA1 60452.14000000 PA USD 56234.28000000 0.034441708328 Long ABS-MBS CORP US N 2 2046-08-25 Floating 4.81874040 N N N N N N FHLMC 5493000ITFTMJUMPDE35 35565XBE9 609000.00000000 PA USD 805373.76000000 0.493265818234 Long ABS-MBS CORP US N 2 2050-08-25 Floating 13.77637920 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382TD27 4029979.43000000 PA USD 539166.11000000 0.330222097642 Long ABS-MBS USGA US N 2 2051-06-20 Floating 2.51048160 N N N N N N Canadian Dollar N/A N/A 0.01000000 OU Currencies 0.01000000 0.000000006124 Long STIV CA N 1 N N N Benchmark Mortgage Trust N/A 08162PAG6 476000.00000000 PA USD 187251.55000000 0.114685620036 Long ABS-MBS CORP US N 2 2051-01-15 Fixed 2.75000000 N N N N N N PRET LLC 2549002NGM9N1GT2FK83 69383TAA6 112072.56000000 PA USD 111248.76000000 0.068136327944 Long ABS-MBS CORP US N 2 2056-01-25 Fixed 5.17960080 N N N N N N N/A N/A N/A 194828000.00000000 PA USD 1461632.28000000 0.895203293625 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2028-03-18 0.00000000 USD 173768.13000000 USD 194828000.00000000 USD 1461632.28000000 N N N Ford Motor Credit Co. LLC UDSQCVRUX5BONN0VY111 345397D83 210000.00000000 PA USD 211208.17000000 0.129358287998 Long DBT CORP US N 2 2027-03-05 Fixed 5.80000000 N N N N N N Jane Street Group / JSG Finance, Inc. N/A 47077WAE8 435000.00000000 PA USD 441645.93000000 0.270494088398 Long DBT CORP US N 2 2033-05-01 Fixed 6.75000000 N N N N N N Smyrna Ready Mix Concrete LLC N/A 83283EAK9 30122.55870000 PA USD 30147.71000000 0.018464513719 Long LON CORP US N 2 2029-03-30 Variable 6.66774000 N N N N N N Gabonese Republic N/A N/A 370000.00000000 PA USD 309925.77000000 0.189819678916 Long DBT NUSS GA N 2 2031-02-06 Fixed 6.62500000 N N N N N N DoorDash, Inc. 549300NUQ43FGGSK5051 25809KAA3 100000.00000000 PA USD 91300.00000000 0.055918346786 Long DBT CORP US N 2 2030-05-15 None 0.00000000 N N N N N DoorDash, Inc. USD XXXX N N N Freedom Mortgage Corp. 549300LYRWPSYPK6S325 35640YAL1 355000.00000000 PA USD 383299.54000000 0.234758779857 Long DBT CORP US N 2 2030-10-01 Fixed 12.25000000 N N N N N N First Eagle Holdings, Inc. 549300ZKYR56QRODD510 32009UAD9 238568.75330000 PA USD 235586.64000000 0.144289325672 Long LON CORP US N 2 2032-08-16 Variable 7.19961000 N N N N N N Post Holdings, Inc. JM1I5YUAURL6DC8N1468 737446AT1 72000.00000000 PA USD 78084.00000000 0.047823967037 Long DBT CORP US N 2 2027-08-15 Fixed 2.50000000 N N N N N Post Holdings, Inc. USD XXXX N N N Industrial F&B Investments III, Inc. 254900VSX7CEW7CNTO51 456142AA6 30000.00000000 PA USD 30337.59000000 0.018580809181 Long DBT CORP US N 2 2033-02-11 Fixed 7.75000000 N N N N N N Pound Sterling N/A N/A -11930.80000000 OU Currencies -15791.61000000 -0.00967185897 Short STIV GB N 1 N N N Hess Midstream Operations LP N/A 428102AF4 85000.00000000 PA USD 84368.54000000 0.051673047947 Long DBT CORP US N 2 2030-10-15 Fixed 5.50000000 N N N N N N Pharmacia LLC N/A 71713UAW2 430000.00000000 PA USD 454966.85000000 0.278652728311 Long DBT CORP US N 2 2028-12-01 Fixed 6.60000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust 549300PFVBG5704L7K74 61762DAG6 196000.00000000 PA USD 179279.28000000 0.109802858168 Long ABS-MBS CORP US N 2 2046-05-15 Variable 3.79222200 N N N N N N GS Mortgage Securities Trust 549300WF5YRKNHB1FX69 36198EAP0 116855.77990000 PA USD 116006.30000000 0.071050169910 Long ABS-MBS CORP US N 2 2046-07-10 Variable 3.85629120 N N N N N N Venture Global Plaquemines LNG LLC 549300TKP4I6OJ02BF90 922966AD8 70000.00000000 PA USD 74186.14000000 0.045436651733 Long DBT CORP US N 2 2036-01-15 Fixed 6.75000000 N N N N N N Repligen Corp. 54930006QJ0T5AUO1E71 759916AD1 79000.00000000 PA USD 77183.00000000 0.047272133187 Long DBT CORP US N 2 2028-12-15 Fixed 1.00000000 N N N N Y Repligen Corp. USD XXXX N N N Haleon US Capital LLC 549300N8C3A3L0UVQB07 36264FAL5 250000.00000000 PA USD 243313.86000000 0.149022002207 Long DBT CORP US N 2 2029-03-24 Fixed 3.37500000 N N N N N N N/A N/A N/A 32255000.00000000 PA 4500.73000000 0.002756554008 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-06-17 2850.98000000 USD 0.00000000 USD 32255000.00000000 NOK 4500.73000000 N N N GS Mortgage Securities Trust N/A 36257UAN7 6010978.59000000 PA USD 139315.85000000 0.085326528074 Long ABS-MBS CORP US N 2 2052-09-10 Variable 0.81641160 N N N N N N N/A N/A N/A 861400.00000000 PA USD 57976.35000000 0.035508670807 N/A DIR US N 2 JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 Call Purchased N/A Swaption 1.00000000 4.13000000 USD 2027-12-09 XXXX -9514.33000000 N N N Republic of South Africa 378900AAFB4F17004C49 836205BC7 250000.00000000 PA USD 249269.79000000 0.152669819942 Long DBT NUSS ZA N 2 2032-04-20 Fixed 5.87500000 N N N N N N Beach Acquisition Bidco LLC 254900F2FNX3GBTB6202 07337JAC1 210809.00000000 PA USD 224668.07000000 0.137602048742 Long DBT CORP US N 2 2033-07-15 Fixed 10.00000000 N N Y N N N Hercules Capital, Inc. 549300UJ5OC256GR2B73 427096AL6 33000.00000000 PA USD 32043.00000000 0.019625318577 Long DBT CORP US N 2 2028-09-01 Fixed 4.75000000 N N N N Y Hercules Capital, Inc. USD XXXX N N N FHLMC Multifamily Structured Credit Risk 549300XWC4JMK6CH6K84 35563FAB7 235000.00000000 PA USD 244237.24000000 0.149587543095 Long ABS-MBS CORP US N 2 2051-01-25 Floating 7.41189960 N N N N N N Alternative Loan Trust N/A 02146QAD5 1250104.14000000 PA USD 1115472.55000000 0.683191466399 Long ABS-MBS CORP US N 2 2046-08-25 Floating 4.17303000 N N N N N N CFCRE Commercial Mortgage Trust N/A 12532BAD9 405000.00000000 PA USD 402627.19000000 0.246596350890 Long ABS-MBS CORP US N 2 2054-12-10 Fixed 3.83900000 N N N N N N Banijay Entertainment SAS 969500CE0IE2EZ5VBG13 060335AB2 360000.00000000 PA USD 371214.72000000 0.227357211888 Long DBT CORP FR N 2 2029-05-01 Fixed 8.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -473.96000000 -0.00029028542 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 21800.00000000 AUD 14564.43000000 USD 2026-04-15 -473.96000000 N N N GNMA 549300M8ZYFG0OCMTT87 38376RC87 549504.58000000 PA USD 28892.95000000 0.017696013119 Long ABS-MBS USGA US N 2 2066-10-20 Variable 2.73546000 N N N N N N Boyd Gaming Corp. 254900787YGRYS2A1Z35 103304BV2 225000.00000000 PA USD 214125.53000000 0.131145078230 Long DBT CORP US N 2 2031-06-15 Fixed 4.75000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A 61690FAQ6 271000.00000000 PA USD 251990.11000000 0.154335929439 Long ABS-MBS CORP US N 2 2048-04-15 Variable 3.88299960 N N N N N N Hilton Domestic Operating Co., Inc. 5493003EG7H0N1E4XV50 432833AS0 185000.00000000 PA USD 184310.88000000 0.112884553170 Long DBT CORP US N 2 2033-09-15 Fixed 5.75000000 N N N N N N N/A N/A N/A 477100.00000000 PA USD 15243.22000000 0.009335987536 N/A DIR FR N 2 BNP PARIBAS NY BRANCH 549300QVEGJN81E8T563 Put Purchased N/A Swaption 1.00000000 4.12500000 USD 2027-11-12 XXXX -6846.51000000 N N N Bloom Energy Corp. 549300XB5J9BFW5JXV97 093712AN7 99000.00000000 PA USD 105662.70000000 0.064715043823 Long DBT CORP US N 2 2030-11-15 None 0.00000000 N N N N N Bloom Energy Corp. USD XXXX N N N Standard Building Solutions, Inc. 54930064UHXCIUWVI755 853191AA2 130000.00000000 PA USD 130182.26000000 0.079732494635 Long DBT CORP US N 2 2032-08-15 Fixed 6.50000000 N N N N N N Towd Point Mortgage Trust N/A 89177JAB4 216000.00000000 PA USD 195767.47000000 0.119901350241 Long ABS-MBS CORP US N 2 2058-12-25 Variable 3.75000120 N N N N N N Eagle Funding Luxco SARL 894500VDP08MVIZ6OA60 26951TAA8 250000.00000000 PA USD 251625.00000000 0.154112311174 Long DBT NUSS LU N 2 2030-08-17 Fixed 5.50000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46640LAS1 1500000.00000000 PA USD 128441.25000000 0.078666181371 Long ABS-MBS CORP US N 2 2046-08-15 Variable 3.59799840 N N N N N N N/A N/A N/A 289000.00000000 PA USD 42773.23000000 0.026197243245 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BB-10 137BEMAI9 Y Receipt of notional amount upon default event with regard to the reference instrument 2059-11-17 116468.66000000 USD 0.00000000 USD 289000.00000000 USD 42773.23000000 N N N New York Life Global Funding 635400DPNHEAUHB7ZI15 64952WFD0 205000.00000000 PA USD 207638.62000000 0.127172052130 Long DBT CORP US N 2 2028-06-13 Fixed 4.90000000 N N N N N N Kinder Morgan, Inc. 549300WR7IX8XE0TBO16 494553AD2 250000.00000000 PA USD 253809.76000000 0.155450407202 Long DBT CORP US N 2 2029-02-01 Fixed 5.00000000 N N N N N N N/A N/A N/A 1940600.00000000 PA 351088.12000000 0.215030309385 N/A DIR US N 2 JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 Put Purchased N/A Swaption 1.00000000 1.44500000 AUD 2030-03-27 XXXX 276876.47000000 N N N Live Nation Entertainment, Inc. 5493007B9BM9ZXJINO78 538034BC2 74000.00000000 PA USD 79920.00000000 0.048948458655 Long DBT CORP US N 2 2030-01-15 Fixed 2.87500000 N N N N Y Live Nation Entertainment, Inc. USD XXXX N N N Targa Resources Corp. 5493003QENHHS261UR94 87612GAE1 200000.00000000 PA USD 208404.32000000 0.127641019032 Long DBT CORP US N 2 2029-03-01 Fixed 6.15000000 N N N N N N Smyrna Ready Mix Concrete LLC 549300S7RFWHQFOIOY93 83283WAE3 440000.00000000 PA USD 454069.00000000 0.278102823737 Long DBT CORP US N 2 2031-11-15 Fixed 8.87500000 N N N N N N N/A N/A N/A 752000.00000000 PA -3135.85000000 -0.00192060840 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2056-03-18 2213.74000000 USD 0.00000000 USD 752000.00000000 AUD -3135.85000000 N N N Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 83050UHA9 750000.00000000 PA USD 739369.50000000 0.452840307828 Long STIV CORP SE N 2 2026-08-10 Fixed 0.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UZV5 1305904.49000000 PA USD 38052.75000000 0.023306099350 Long ABS-MBS USGA US N 2 2067-04-20 Variable 1.85981040 N N N N N N Amphenol Corp. 549300D3L3G0R4U4VT04 032095AX9 120000.00000000 PA USD 119134.50000000 0.072966092938 Long DBT CORP US N 2 2028-11-15 Fixed 3.90000000 N N N N N N Qnity Electronics, Inc. 254900RSUG4J9TFFZX53 74743LAA8 60000.00000000 PA USD 60146.46000000 0.036837794176 Long DBT CORP US N 2 2032-08-15 Fixed 5.75000000 N N N N N N Teva Pharmaceutical Finance Netherlands III BV 5493004T21MOAFINJP35 88167AAR2 449000.00000000 PA USD 502507.33000000 0.307769760590 Long DBT CORP NL N 2 2031-09-15 Fixed 8.12500000 N N N N N N Royalty Pharma plc 549300FGFN7VOK8BZR03 78081BAT0 260000.00000000 PA USD 256875.71000000 0.157328204084 Long DBT CORP GB N 2 2031-03-25 Fixed 4.45000000 N N N N N N Bank of America Corp. 9DJT3UXIJIZJI4WXO774 06051GGC7 215000.00000000 PA USD 214330.77000000 0.131270781204 Long DBT CORP US N 2 2027-11-25 Fixed 4.18300000 N N N N N N Viking Cruises Ltd. 549300IJP90T4MV2GL84 92676XAG2 185000.00000000 PA USD 195263.80000000 0.119592868382 Long DBT CORP BM N 2 2031-07-15 Fixed 9.12500000 N N N N N N N/A N/A N/A 30706000.00000000 PA 132763.94000000 0.081313691541 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Put Purchased N/A Swaption 1.00000000 2.76500000 EUR 2027-03-19 XXXX 4340.22000000 N N N N/A N/A N/A 1.00000000 NC N/A 740.44000000 0.000453495955 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 264300.47000000 USD 228500.00000000 EUR 2026-06-17 740.44000000 N N N GNMA 549300M8ZYFG0OCMTT87 38379B6E3 259761.99000000 PA USD 52752.57000000 0.032309271666 Long ABS-MBS USGA US N 2 2044-05-20 Fixed 5.00000000 N N N N N N Republic of Angola 549300QHR2R3J8JSGK83 035198AF7 370000.00000000 PA USD 359757.62000000 0.220340102457 Long DBT NUSS AO N 2 2032-04-14 Fixed 8.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136B1S47 1939424.72000000 PA USD 225599.51000000 0.138172526124 Long ABS-MBS USGSE US N 2 2048-06-25 Floating 2.42362080 N N N N N N N/A N/A N/A 966000.00000000 PA USD 32996.18000000 0.020209111017 N/A DIR FR N 2 BNP PARIBAS NY BRANCH 549300QVEGJN81E8T563 Call Purchased N/A Swaption 1.00000000 2.91000000 USD 2032-03-31 XXXX -25929.82000000 N N N Philip Morris International, Inc. HL3H1H2BGXWVG3BSWR90 718172DA4 410000.00000000 PA USD 418449.19000000 0.256286822772 Long DBT CORP US N 2 2030-02-15 Fixed 5.12500000 N N N N N N Coinbase Global, Inc. 5493004G3J2SC154DU06 19260QAJ6 50000.00000000 PA USD 40212.50000000 0.024628877548 Long DBT CORP US N 2 2032-10-01 None 0.00000000 N N N N Y Coinbase Global, Inc. USD XXXX N N N Viking Cruises Ltd. 549300IJP90T4MV2GL84 92676XAG2 195000.00000000 PA USD 205818.60000000 0.126057347754 Long DBT CORP BM N 2 2031-07-15 Fixed 9.12500000 N N N N N N Amazon.com, Inc. ZXTILKJKG63JELOEG630 023135CT1 110000.00000000 PA USD 108756.49000000 0.066609891819 Long DBT CORP US N 2 2030-11-20 Fixed 4.10000000 N N N N N N VEGAS N/A 92254BAC9 164000.00000000 PA USD 163477.17000000 0.100124568278 Long ABS-MBS CORP US N 2 2036-07-10 Variable 6.21650160 N N N N N N Benchmark Mortgage Trust N/A 081921BA5 9894558.44000000 PA USD 184139.71000000 0.112779716988 Long ABS-MBS CORP US N 2 2057-11-15 Variable 0.56023560 N N N N N N Republic of Costa Rica 549300S1EK2VN6XVJP58 N/A 260000.00000000 PA USD 266362.20000000 0.163138377552 Long DBT NUSS CR N 2 2031-02-19 Fixed 6.12500000 N N N N N N Pacific Gas and Electric Co. 1HNPXZSMMB7HMBMVBS46 694308KL0 200000.00000000 PA USD 207018.86000000 0.126792468838 Long DBT CORP US N 2 2029-01-15 Fixed 6.10000000 N N N N N N Braskem Idesa SAPI YH0V7ZHY352ITDGEYB83 N/A 230000.00000000 PA USD 139989.91000000 0.085739368390 Long DBT CORP MX N 2 2029-11-15 Fixed 7.45000000 Y N N N N N Federative Republic of Brazil 254900ZFY40OYEADAP90 105756CF5 200000.00000000 PA USD 201060.00000000 0.123142856571 Long DBT NUSS BR N 2 2033-10-20 Fixed 6.00000000 N N N N N N Seagate Data Storage Technology Pte. Ltd. N/A 81180LAR6 186000.00000000 PA USD 206884.64000000 0.126710263356 Long DBT CORP SG N 2 2032-12-01 Fixed 9.62500000 N N N N N N Stonex Escrow Issuer LLC N/A 86189AAA7 120000.00000000 PA USD 121359.24000000 0.074328675444 Long DBT CORP US N 2 2032-07-15 Fixed 6.87500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136B66Y4 2240260.43000000 PA USD 284901.09000000 0.174492858166 Long ABS-MBS USGSE US N 2 2049-11-25 Floating 2.22361920 N N N N N N Arcosa, Inc. 549300WFHLTCZV7D6V29 039653AC4 50000.00000000 PA USD 51270.65000000 0.031401642789 Long DBT CORP US N 2 2032-08-15 Fixed 6.87500000 N N N N N N Celanese US Holdings LLC CD30XVRLT4QO00B1C706 15089QAP9 7000.00000000 PA USD 7312.79000000 0.004478851338 Long DBT CORP US N 2 2032-07-15 Fixed 7.37899920 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325EL5 437000.00000000 PA USD 458430.48000000 0.280774091548 Long DBT NUSS CO N 2 2035-11-14 Fixed 8.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1.23000000 -0.00000075333 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 19700.00000000 NZD 11324.38000000 USD 2026-04-15 -1.23000000 N N N N/A N/A N/A 34000.00000000 PA USD 1498.19000000 0.000917593734 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BBB-16 137BERAP2 Y Payout of notional amount upon default event with regard to the reference instrument 2065-04-17 0.00000000 USD 7728.69000000 USD 34000.00000000 USD 1498.19000000 N N N XHR LP 549300M88BPT83ZL2164 98372MAE5 180000.00000000 PA USD 181953.90000000 0.111440977868 Long DBT CORP US N 2 2030-05-15 Fixed 6.62500000 N N N N N N F&G Annuities & Life, Inc. N/A 30190AAC8 200000.00000000 PA USD 203661.18000000 0.124735996607 Long DBT CORP US N 2 2028-01-13 Fixed 7.40000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 210.64000000 0.000129010301 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 82700.00000000 CAD 59694.28000000 USD 2026-04-15 210.64000000 N N N T-Mobile USA, Inc. 549300V2JRLO5DIFGE82 87264ACA1 230000.00000000 PA USD 220698.99000000 0.135171113454 Long DBT CORP US N 2 2028-02-15 Fixed 2.05000000 N N N N N N OAK-Eagle Acquireco, Inc. 6488ICS9P20290MA1H31 67124CAB9 70000.00000000 PA USD 73328.27000000 0.044911233637 Long DBT CORP US N 2 2034-07-01 Fixed 8.75000000 N N N N N N Chefs' Warehouse, Inc. (The) 549300JYEDC8C547E980 163086AE1 40000.00000000 PA USD 59160.00000000 0.036233618794 Long DBT CORP US N 2 2028-12-15 Fixed 2.37500000 N N N N N Chefs' Warehouse Inc. (The) USD XXXX N N N Lendbuzz Securitization Trust N/A 525952AE7 122768.46000000 PA USD 123821.85000000 0.075836945762 Long ABS-O CORP US N 2 2033-02-15 Fixed 6.86000000 N N N N N N AT&T, Inc. 549300Z40J86GGSTL398 00206RGL0 410000.00000000 PA USD 408115.84000000 0.249957974483 Long DBT CORP US N 2 2028-02-15 Fixed 4.10000000 N N N N N N Morgan Stanley Capital I Trust N/A 61767FBF7 286000.00000000 PA USD 282418.51000000 0.172972356859 Long ABS-MBS CORP US N 2 2049-08-15 Variable 3.69100080 N N N N N N N/A N/A N/A 1.00000000 NC N/A 32.51000000 0.000019911341 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 13000.00000000 CAD 9383.02000000 USD 2026-04-15 32.51000000 N N N N/A N/A N/A 215700.00000000 PA USD 17974.56000000 0.011008846433 N/A DIR N/A N 2 MIZUHO CAPITAL MARKETS LLC OV6W8S6QX2D1J857QP30 Call Purchased N/A Swaption 1.00000000 4.01000000 USD 2032-03-29 XXXX -7887.87000000 N N N FNMA 5493002KQF9IH3CTQZ40 62548QAD3 562017.49000000 PA USD 571644.96000000 0.350114360485 Long ABS-MBS CORP US N 2 2050-03-25 Floating 7.52637960 N N N N N N GA Global Funding Trust 54930029I8ROQ4OROZ88 36143L2N4 225000.00000000 PA USD 223645.18000000 0.136975561144 Long DBT CORP US N 2 2027-09-23 Fixed 4.40000000 N N N N N N Hilcorp Energy I LP / Hilcorp Finance Co. N/A 431318BE3 620000.00000000 PA USD 606961.46000000 0.371744593719 Long DBT CORP US N 2 2034-05-15 Fixed 6.87500000 N N N N N N COMM Mortgage Trust N/A 12595EAH8 238000.00000000 PA USD 226160.40000000 0.138516053413 Long ABS-MBS CORP US N 2 2050-09-10 Variable 4.58723160 N N N N N N N/A N/A N/A 997300.00000000 PA 28364.38000000 0.017372280802 N/A DIR N/A N 2 UBS BFM8T61CT2L1QCEMIK50 Call Purchased N/A Swaption 1.00000000 2.70000000 AUD 2037-04-01 XXXX -32141.65000000 N N N BWAY Mortgage Trust N/A 12429EAL1 350000.00000000 PA USD 195050.03000000 0.119461941055 Long ABS-MBS CORP US N 2 2044-02-10 Variable 4.86636120 N N N N N N Gabx Leasing LLC 25490085PXP0WGRIRI44 36274FAA7 165000.00000000 PA USD 162707.75000000 0.099653322994 Long DBT CORP US N 2 2031-04-15 Fixed 4.62500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375UF88 1936266.17000000 PA USD 48797.78000000 0.029887088548 Long ABS-MBS USGA US N 2 2067-07-20 Variable 1.79304840 N N N N N N N/A N/A N/A 62.00000000 NC USD -157535.92000000 -0.09648574157 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long U.S. Treasury 10 Year Ultra Notes UXYM6 Comdty 2026-06-18 7037968.75000000 USD -157535.92000000 N N N Republic of Chile 549300FLZTJM5YJF8D34 168863EB0 350000.00000000 PA USD 354637.50000000 0.217204191770 Long DBT NUSS CL N 2 2029-01-22 Fixed 4.85000000 N N N N N N Genmab A/S / Genmab Finance LLC N/A 37230JAA0 200000.00000000 PA USD 205191.40000000 0.125673207698 Long DBT CORP DK N 2 2032-12-15 Fixed 6.25000000 N N N N N N Dexcom, Inc. 549300YSK3QDSFR5EU59 252131AM9 113000.00000000 PA USD 104214.25000000 0.063827914256 Long DBT CORP US N 2 2028-05-15 Fixed 0.37500000 N N N N Y Dexcom, Inc. USD XXXX N N N Mirion Technologies, Inc. 549300BNTOWVWFNVTJ65 60471AAC5 59000.00000000 PA USD 56197.50000000 0.034419181747 Long DBT CORP US N 2 2031-10-01 None 0.00000000 N N N N Y Mirion Technologies, Inc. USD XXXX N N N Cipher Compute LLC N/A 17253NAA5 60000.00000000 PA USD 62236.74000000 0.038118024208 Long DBT CORP US N 2 2030-11-15 Fixed 7.12500000 N N N N N N Structured Asset Mortgage Investments II Trust N/A 86361HAB0 113298.05000000 PA USD 101105.71000000 0.061924032354 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.91303080 N N N N N N N/A N/A N/A 516000.00000000 PA USD -25723.71000000 -0.01575495439 N/A DCR GB N 2 MORGAN STANLEY INTL PLC IGJSJL3JD5P30I6NJZ34 Markit CMBX North American Index Series BBB-10 137BERAJ6 Y Receipt of notional amount upon default event with regard to the reference instrument 2059-11-17 166855.06000000 USD 0.00000000 USD 516000.00000000 USD -25723.71000000 N N N Bank of America Corp. 9DJT3UXIJIZJI4WXO774 06051GLC1 430000.00000000 PA USD 441864.40000000 0.270627894326 Long DBT CORP US N 2 2028-11-10 Fixed 6.20400000 N N N N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 20272FBQ7 750000.00000000 PA USD 750005.40000000 0.459354458371 Long STIV CORP AU N 2 2026-04-09 Floating 4.01000040 N N N N N N Graham Packaging Co., Inc. N/A 38469EAH6 34769.91000000 PA USD 34472.97000000 0.021113597932 Long LON CORP US N 2 2033-01-26 Variable 5.91774000 N N N N N N FNMA or FHLMC N/A 01F052649 10000000.00000000 PA USD 10047621.60000000 6.153848729604 Long ABS-MBS USGSE US N 2 2056-04-25 Fixed 5.50000000 N N N N N N FHLMC N/A 35563PMX4 601481.35000000 PA USD 585105.36000000 0.358358427463 Long ABS-MBS CORP US N 2 2059-02-25 Variable 4.50000000 N N N N N N NRG Energy, Inc. 5E2UPK5SW04M13XY7I38 629377DD1 180000.00000000 PA USD 178470.38000000 0.109307432640 Long DBT CORP US N 2 2036-01-15 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 865.86000000 0.000530311716 N/A DFE N/A N 2 Westpac Banking EN5TNI6CI43VEPAMHL14 343500.00000000 CAD 247935.14000000 USD 2026-04-15 865.86000000 N N N BBCMS Mortgage Trust N/A 07337AAJ5 2123237.67000000 PA USD 170462.23000000 0.104402695413 Long ABS-MBS CORP US N 2 2062-02-15 Variable 1.12813200 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137FTQF7 1874535.22000000 PA USD 432747.33000000 0.265043978861 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 4.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38375BM66 431401.32290000 PA USD 14672.82000000 0.008986635674 Long ABS-MBS USGA US N 2 2063-02-20 Variable 1.52614080 N N N N N N Alnylam Pharmaceuticals, Inc. 529900S3ZI14OWRJII50 02043QAB3 19000.00000000 PA USD 24396.00000000 0.014941774241 Long DBT CORP US N 2 2027-09-15 Fixed 1.00000000 N N N N Y Alnylam Pharmaceuticals, Inc. USD XXXX N N N GNMA 549300M8ZYFG0OCMTT87 38380LJK0 986061.48000000 PA USD 34664.20000000 0.021230720226 Long ABS-MBS USGA US N 2 2068-08-20 Variable 2.04383880 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95003VAD0 3041204.81120000 PA USD 85399.16000000 0.052304269925 Long ABS-MBS CORP US N 2 2057-07-15 Variable 1.02549600 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379LWF9 221576.46000000 PA USD 6599.85000000 0.004042198258 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 3.50000000 N N N N N N Weatherford International Ltd. 549300A2JKMG5PGOGF82 947075AW7 235000.00000000 PA USD 240268.47000000 0.147156797671 Long DBT CORP BM N 2 2033-10-15 Fixed 6.75000000 N N N N N N N/A N/A N/A 148000.00000000 PA USD -5071.15000000 -0.00310591811 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BB-8 137BEMAG3 Y Receipt of notional amount upon default event with regard to the reference instrument 2057-10-17 64083.54000000 USD 0.00000000 USD 148000.00000000 USD -5071.15000000 N N N First Horizon Alternative Mortgage Securities Trust N/A 32052MAE1 383595.20000000 PA USD 259383.70000000 0.158864268209 Long ABS-MBS CORP US N 2 2036-11-25 Variable 4.91933520 N N N N N N Weekley Homes LLC / Weekley Finance Corp. N/A 948565AD8 205000.00000000 PA USD 198701.23000000 0.121698184952 Long DBT CORP US N 2 2028-09-15 Fixed 4.87500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RFF8 522651.91000000 PA USD 19545.61000000 0.011971064601 Long ABS-MBS USGA US N 2 2065-08-20 Variable 1.89313920 N N N N N N COMM Mortgage Trust N/A 12592KBE3 140702.55000000 PA USD 138926.56000000 0.085088100328 Long ABS-MBS CORP US N 2 2047-09-10 Variable 4.19299920 N N N N N N BANK N/A 06541UCB0 2937306.78000000 PA USD 130876.70000000 0.080157817052 Long ABS-MBS CORP US N 2 2053-12-15 Variable 1.24832160 N N N N N N Genesee & Wyoming, Inc. G617XSG94Z7G0RMW3L02 37156QAZ9 132975.00000000 PA USD 132490.31000000 0.081146101867 Long LON CORP US N 2 2031-04-10 Variable 5.42194000 N N N N N N N/A N/A N/A 1584600.00000000 PA 181086.25000000 0.110909569834 N/A DIR GB N 2 MORGAN STANLEY INTL PLC IGJSJL3JD5P30I6NJZ34 Put Purchased N/A Swaption 1.00000000 2.95200000 EUR 2029-06-18 XXXX 54766.24000000 N N N N/A N/A N/A 203000.00000000 PA USD 42.29000000 0.000025901280 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB- 13 137BERAM9 Y Receipt of notional amount upon default event with regard to the reference instrument 2072-12-16 42190.17000000 USD 0.00000000 USD 203000.00000000 USD 42.29000000 N N N Venture Global LNG, Inc. 54930011XLBUWMQUC829 92332YAB7 450000.00000000 PA USD 468222.90000000 0.286771637412 Long DBT CORP US N 2 2031-06-01 Fixed 8.37500000 N N N N N N N/A N/A N/A 5556400.00000000 PA 31358.62000000 0.019206157589 N/A DIR US N 2 JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 Call Purchased N/A Swaption 1.00000000 1.20100000 EUR 2029-04-11 XXXX -78928.42000000 N N N Ameren Corp. XRZQ5S7HYJFPHJ78L959 023608AQ5 170000.00000000 PA USD 172716.52000000 0.105783376354 Long DBT CORP US N 2 2029-01-15 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136BCLU2 2677373.69000000 PA USD 609472.26000000 0.373282378879 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 4.50000000 N N N N N N BX Commercial Mortgage Trust N/A 12433LAC9 248000.00000000 PA USD 248449.50000000 0.152167418401 Long ABS-MBS CORP US N 2 2043-02-15 Floating 5.37251040 N N N N N N Aker BP ASA 549300NFTY73920OYK69 00973RAL7 205000.00000000 PA USD 209179.90000000 0.128116037120 Long DBT CORP NO N 2 2028-06-13 Fixed 5.60000000 N N N N N N FHLMC 549300NKHCH87PYOHD44 35564MBE4 106000.00000000 PA USD 124740.56000000 0.076399626423 Long ABS-MBS CORP US N 2 2049-04-25 Floating 15.02637840 N N N N N N GNMA 549300M8ZYFG0OCMTT87 21H052645 5000000.00000000 PA USD 5032624.95000000 3.082322751399 Long ABS-MBS USGA US N 2 2056-04-15 Fixed 5.50000000 N N N N N N N/A N/A N/A 1784000.00000000 PA -13357.37000000 -0.00818096437 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-06-17 8169.35000000 USD 0.00000000 USD 1784000.00000000 CAD -13357.37000000 N N N ESAB Corp. 549300ZNV0SWBXEIWT04 29605JAB2 145000.00000000 PA USD 146378.95000000 0.089652452227 Long DBT CORP US N 2 2031-04-01 Fixed 5.62500000 N N N N N N BioMarin Pharmaceutical N/A N/A 84937.08000000 PA USD 84831.33000000 0.051956492106 Long LON CORP US N 2 2033-01-28 Variable 5.17419000 N N N N N N Energy Transfer LP MTLVN9N7JE8MIBIJ1H73 29278NAG8 410000.00000000 PA USD 417677.44000000 0.255814150438 Long DBT CORP US N 2 2029-04-15 Fixed 5.25000000 N N N N N N BANK N/A 06541GAN7 4428815.48000000 PA USD 341819.96000000 0.209353856100 Long ABS-MBS CORP US N 2 2057-10-15 Variable 1.14396480 N N N N N N GNMA 549300M8ZYFG0OCMTT87 21H050649 4000000.00000000 PA USD 3962146.88000000 2.426688973238 Long ABS-MBS USGA US N 2 2056-04-15 Fixed 5.00000000 N N N N N N JPMDB Commercial Mortgage Securities Trust N/A 46591ABG9 190000.00000000 PA USD 174620.58000000 0.106949552558 Long ABS-MBS CORP US N 2 2051-06-15 Variable 4.75543440 N N N N N N N/A N/A N/A 184000.00000000 PA USD 15997.64000000 0.009798045797 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BB-10 137BEMAI9 Y Receipt of notional amount upon default event with regard to the reference instrument 2059-11-17 85388.20000000 USD 0.00000000 USD 184000.00000000 USD 15997.64000000 N N N New Economy Assets - Phase 1 Sponsor LLC N/A 643821AA9 251000.00000000 PA USD 211179.10000000 0.129340483548 Long ABS-O CORP US N 2 2061-10-20 Fixed 1.91000000 N N N N N N CVS Health Corp. 549300EJG376EN5NQE29 126650DQ0 65000.00000000 PA USD 56769.80000000 0.034769697299 Long DBT CORP US N 2 2031-02-28 Fixed 1.87500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RFK7 693697.05000000 PA USD 36435.05000000 0.022315309541 Long ABS-MBS USGA US N 2 2065-08-20 Variable 2.53020960 N N N N N N Wells Fargo Commercial Mortgage Trust 549300V2DF3KW9L1CV04 94988QAU5 188000.00000000 PA USD 128778.12000000 0.078872503534 Long ABS-MBS CORP US N 2 2046-07-15 Variable 3.74410080 N N N N N N Chevy Chase Funding LLC 5493000OPBL8EFF3O717 16678XAB0 134979.12160000 PA USD 119474.20000000 0.073174148386 Long ABS-MBS CORP US N 2 2047-11-25 Floating 3.97302840 N N N N N N Republic of Montenegro 747800V014106FYLL014 N/A 220000.00000000 PA 252733.18000000 0.154791036186 Long DBT NUSS ME N 2 2032-04-01 Fixed 4.87500000 N N N N N N Australian Dollar N/A N/A -0.02000000 OU Currencies -0.01000000 -0.00000000612 Short STIV AU N 1 N N N N/A N/A N/A 12000.00000000 PA USD 265.23000000 0.000162444941 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB-16 137BERAP2 Y Payout of notional amount upon default event with regard to the reference instrument 2065-04-17 0.00000000 USD 2464.23000000 USD 12000.00000000 USD 265.23000000 N N N N/A N/A N/A 1.00000000 NC N/A 1.01000000 0.000000618592 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 400.00000000 CAD 288.72000000 USD 2026-04-15 1.01000000 N N N VICI Properties LP 254900X4QE7SGKQLLN38 925650AC7 425000.00000000 PA USD 424482.96000000 0.259982315032 Long DBT CORP US N 2 2030-02-15 Fixed 4.95000000 N N N N N N FIGRE Trust N/A 31684QAA8 121039.48000000 PA USD 121015.21000000 0.074117968009 Long ABS-O CORP US N 2 2055-07-25 Fixed 5.26500000 N N N N N N CMS Energy Corp. 549300IA9XFBAGNIBW29 125896BX7 51000.00000000 PA USD 57693.75000000 0.035335587293 Long DBT CORP US N 2 2028-05-01 Fixed 3.37500000 N N N N Y CMS Energy Corp. USD XXXX N N N N/A N/A N/A 1.00000000 NC N/A -19571.60000000 -0.01198698265 N/A DFE N/A N 2 Morgan Stanley & Co. International 4PQUHN3JPFGFNF3BB653 902400.00000000 AUD 602934.95000000 USD 2026-04-15 -19571.60000000 N N N RHP Hotel Properties LP / RHP Finance Corp. N/A 749571AL9 75000.00000000 PA USD 76423.95000000 0.046807239199 Long DBT CORP US N 2 2033-06-15 Fixed 6.50000000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust N/A 61762XAC1 189000.00000000 PA USD 180828.17000000 0.110751504040 Long ABS-MBS CORP US N 2 2046-10-15 Variable 4.60055520 N N N N N N N/A N/A N/A 167000.00000000 PA USD 12753.40000000 0.007811051959 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BB-6 137BEMAE8 Y Receipt of notional amount upon default event with regard to the reference instrument 2063-05-11 7524.56000000 USD 0.00000000 USD 167000.00000000 USD 12753.40000000 N N N Benin Government International Bond 635400Q11P6AE5A5Y230 N/A 460000.00000000 PA 468922.32000000 0.287200009922 Long DBT NUSS BJ N 2 2035-01-22 Fixed 4.95000000 N N N N N N COMM Mortgage Trust N/A 12624QAT0 257000.00000000 PA USD 249528.57000000 0.152828314463 Long ABS-MBS CORP US N 2 2045-10-15 Fixed 3.25100000 N N N N N N N/A N/A N/A 69000.00000000 PA USD -414.15000000 -0.00025365370 N/A DCR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Markit CMBX North American Index Series BBB-6 137BERAF4 Y Payout of notional amount upon default event with regard to the reference instrument 2063-05-11 0.00000000 USD 3932.99000000 USD 69000.00000000 USD -414.15000000 N N N Lummus Technology Holdings V LLC N/A 45232UAH1 236484.71410000 PA USD 235111.92000000 0.143998574767 Long LON CORP US N 2 2029-12-31 Variable 6.17300000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RNL6 585386.54000000 PA USD 24610.18000000 0.015072952680 Long ABS-MBS USGA US N 2 2066-01-20 Variable 1.95688080 N N N N N N N/A N/A N/A 997300.00000000 PA 108973.67000000 0.066742907663 N/A DIR N/A N 2 UBS BFM8T61CT2L1QCEMIK50 Put Purchased N/A Swaption 1.00000000 2.70000000 AUD 2037-04-01 XXXX 48467.64000000 N N N OAK-Eagle Acquireco, Inc. 6488ICS9P20290MA1H31 67124CAA1 60000.00000000 PA USD 62204.67000000 0.038098382352 Long DBT CORP US N 2 2033-07-01 Fixed 7.25000000 N N N N N N ATI, Inc. ZW1LRE7C3H17O2ZN9B45 01741RAL6 490000.00000000 PA USD 483839.23000000 0.296336142960 Long DBT CORP US N 2 2029-10-01 Fixed 4.87500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378HVU7 307900.63000000 PA USD 43981.85000000 0.026937484563 Long ABS-MBS USGA US N 2 2042-09-20 Fixed 3.50000000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46643AAG8 100000.00000000 PA USD 91728.50000000 0.056180789411 Long ABS-MBS CORP US N 2 2047-09-15 Variable 4.03668000 N N N N N N N/A N/A N/A 1167000.00000000 PA -40505.55000000 -0.02480836135 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-03-18 35385.38000000 USD 0.00000000 USD 1167000.00000000 EUR -40505.55000000 N N N FNMA or FHLMC N/A 01F060642 3000000.00000000 PA USD 3058452.75000000 1.873205054830 Long ABS-MBS USGSE US N 2 2056-04-25 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JXZG6 10772.63000000 PA USD 10801.19000000 0.006615385412 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 5.00000000 N N N N N N WestJet Loyalty LP N/A C9763HAB3 166600.00000000 PA USD 162286.73000000 0.099395461632 Long LON CORP CA N 2 2031-02-14 Variable 6.44961000 N N N N N N Ping Identity Holding Corp. N/A 72342MAB3 63981.06000000 PA USD 63261.27000000 0.038745516254 Long LON CORP US N 2 2032-11-15 Variable 6.42157000 N N N N N N Standard Building Solutions, Inc. 54930064UHXCIUWVI755 853191AC8 130000.00000000 PA USD 128663.01000000 0.078802002320 Long DBT CORP US N 2 2033-08-01 Fixed 6.25000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38378GHA9 669561.89000000 PA USD 106932.11000000 0.065492517082 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 3.50000000 N N N N N N GS Mortgage Securities Trust N/A 36253GAK8 188489.90000000 PA USD 182527.06000000 0.111792020143 Long ABS-MBS CORP US N 2 2047-09-10 Variable 4.29710760 N N N N N N Istanbul Metropolitan Municipality 213800T1VDQSNKA2MD76 N/A 300000.00000000 PA USD 321191.88000000 0.196719813044 Long DBT NUSS TR N 2 2028-12-06 Fixed 10.50000000 N N N N N N FNMA or FHLMC N/A 01F030645 1000000.00000000 PA USD 878491.95000000 0.538048384552 Long ABS-MBS USGSE US N 2 2056-04-25 Fixed 3.00000000 N N N N N N Encore Capital Group, Inc. 5493000UVC6H49CIH830 292554AQ5 280000.00000000 PA USD 293300.00000000 0.179636923467 Long DBT CORP US N 2 2029-04-01 Fixed 9.25000000 N N N N N N N/A N/A N/A 562000.00000000 PA USD 31802.95000000 0.019478295585 N/A DCR GB N 2 MORGAN STANLEY INTL PLC IGJSJL3JD5P30I6NJZ34 Markit CMBX North American Index Series BB-6 137BEMAE8 Y Payout of notional amount upon default event with regard to the reference instrument 2063-05-11 0.00000000 USD 100043.75000000 USD 562000.00000000 USD 31802.95000000 N N N WaMu Mortgage Pass-Through Certificates Trust N/A 92922F4V7 57561.89000000 PA USD 55791.85000000 0.034170734021 Long ABS-MBS CORP US N 2 2045-10-25 Floating 4.77303120 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JUFY5 16339.78000000 PA USD 16459.94000000 0.010081189846 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 5.00000000 N N N N N N JPMorgan Chase & Co. 8I5DZWZKVSZI1NUHU748 46647PDW3 820000.00000000 PA USD 827890.08000000 0.507056348246 Long DBT CORP US N 2 2027-10-22 Fixed 6.07000000 N N N N N N Nutanix, Inc. 549300X7J6E8TKVIXW09 67059NAK4 66000.00000000 PA USD 59697.34000000 0.036562722457 Long DBT CORP US N 2 2029-12-15 Fixed 0.50000000 N N N N N Nutanix, Inc. USD XXXX N N N GNMA 549300M8ZYFG0OCMTT87 38375U6A3 2012851.01000000 PA USD 93318.39000000 0.057154546479 Long ABS-MBS USGA US N 2 2068-01-20 Variable 2.51402040 N N N N N N Dominican Republic 254900EHU7Q8FGVPI369 N/A 330000.00000000 PA USD 333069.00000000 0.203994171368 Long DBT NUSS DO N 2 2028-07-19 Fixed 6.00000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38379V6K5 614341.32000000 PA USD 118496.67000000 0.072575442345 Long ABS-MBS USGA US N 2 2046-02-20 Fixed 5.00000000 N N N N N N Albaugh LLC N/A 01260HAH8 267906.97680000 PA USD 258475.31000000 0.158307908219 Long LON CORP US N 2 2029-04-06 Variable 7.41684000 N N N N N N Patrick Industries, Inc. 549300FZ5ZTCCJ3Z5W14 703343AG8 38000.00000000 PA USD 65949.00000000 0.040391665413 Long DBT CORP US N 2 2028-12-01 Fixed 1.75000000 N N N N N Patrick Industries, Inc. USD XXXX N N N Wayfair LLC 549300CTUWTZGOXMYI40 94419NAC1 175000.00000000 PA USD 176468.58000000 0.108081393794 Long DBT CORP US N 2 2032-11-15 Fixed 6.75000000 N N N N N N Novartis Capital Corp. 5493002KF87V5RSRQS84 66989HAY4 355000.00000000 PA USD 351155.37000000 0.215071497872 Long DBT CORP US N 2 2030-11-05 Fixed 4.10000000 N N N N N N Rand Parent LLC N/A 75223LAD8 120756.06650000 PA USD 120760.29000000 0.073961837615 Long LON CORP US N 2 2030-03-18 Variable 6.69961000 N N N N N N N/A N/A N/A 215700.00000000 PA USD 27137.97000000 0.016621143675 N/A DIR N/A N 2 MIZUHO CAPITAL MARKETS LLC OV6W8S6QX2D1J857QP30 Put Purchased N/A Swaption 1.00000000 4.01000000 USD 2032-03-29 XXXX 1275.54000000 N N N HarborView Mortgage Loan Trust N/A 41161PLQ4 239086.09000000 PA USD 62178.62000000 0.038082427556 Long ABS-MBS CORP US N 2 2035-05-19 Floating 4.31120160 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RSF4 630734.86000000 PA USD 23241.89000000 0.014234918565 Long ABS-MBS USGA US N 2 2065-07-20 Variable 2.22208920 N N N N N N Caesars Entertainment, Inc. 549300FA4CTCW903Y781 12768EAH9 215600.00000000 PA USD 209940.50000000 0.128581880434 Long LON CORP US N 2 2031-02-06 Variable 5.91774000 N N N N N N Vistra Operations Co. LLC 549300ZH5GKBTJZ7NM23 92840VAY8 105000.00000000 PA USD 103368.76000000 0.063310078517 Long DBT CORP US N 2 2031-01-31 Fixed 4.70000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17323CAN7 204709.52860000 PA USD 200407.44000000 0.122743184322 Long ABS-MBS CORP US N 2 2048-02-10 Variable 4.37925240 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3140JKL87 1946.75000000 PA USD 1975.12000000 0.001209698193 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 5.00000000 N N N N N N Constellation Energy Generation LLC S2PEWKCZFFECR4533P43 210385AB6 205000.00000000 PA USD 209663.86000000 0.128412447230 Long DBT CORP US N 2 2028-03-01 Fixed 5.60000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3226.65000000 -0.00197622052 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 470600.00000000 EUR 542630.04000000 USD 2026-06-17 -3226.65000000 N N N Altar Bidco, Inc. N/A 02090CAE0 222908.48700000 PA USD 221933.26000000 0.135927064580 Long LON CORP US N 2 2029-02-01 Variable 6.60766000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137FVT28 3003379.83000000 PA USD 375726.72000000 0.230120668412 Long ABS-MBS USGSE US N 2 2050-09-25 Floating 2.47362120 N N N N N N Putnam Short Term Investment Fund 549300S9JYWEMKQCLW53 74676P664 8408754.09000000 NS USD 8408754.09000000 5.150094493437 Long RF US N 1 N N N GE HealthCare Technologies, Inc. 549300OI9J7XOWZMUN85 36266GAD9 90000.00000000 PA USD 89429.12000000 0.054772492278 Long DBT CORP US N 2 2028-12-15 Fixed 4.15000000 N N N N N N N/A N/A N/A 290000.00000000 PA USD 42921.24000000 0.026287894664 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BB-10 137BEMAI9 Y Receipt of notional amount upon default event with regard to the reference instrument 2059-11-17 116871.66000000 USD 0.00000000 USD 290000.00000000 USD 42921.24000000 N N N Crescent Energy Co. 254900FBNP5A21Q39U97 44952JAA2 33000.00000000 PA USD 37966.50000000 0.023253273968 Long DBT CORP US N 2 2031-03-15 Fixed 2.75000000 N N N N N Crescent Energy Co USD XXXX N N N GNMA 549300M8ZYFG0OCMTT87 38376R4R4 867697.60000000 PA USD 41065.52000000 0.025151325173 Long ABS-MBS USGA US N 2 2067-05-20 Variable 2.05990920 N N N N N N FHLMC 5493000ITF7RKPWPZQ19 35566ABE8 176000.00000000 PA USD 242078.88000000 0.148265616228 Long ABS-MBS CORP US N 2 2050-10-25 Floating 15.16190040 N N N N N N Seagate Data Storage Technology Pte. Ltd. N/A 81180LAA3 150000.00000000 PA USD 152566.50000000 0.093442129847 Long DBT CORP SG N 2 2030-07-15 Fixed 5.87500000 N N N N N N FHLMC 5493000ITAM9GTFUKP51 35565MBE3 430000.00000000 PA USD 565935.13000000 0.346617271174 Long ABS-MBS CORP US N 2 2050-07-25 Floating 13.77637920 N N N N N N Fluor Corp. CQ7WZ4NOFWT7FAE6Q943 343412AJ1 64000.00000000 PA USD 79056.00000000 0.048419286129 Long DBT CORP US N 2 2029-08-15 Fixed 1.12500000 N N N N N Fluor Corp. USD XXXX N N N DaVita, Inc. M2XHYMU3TZNEZURC6H66 23918KAY4 25000.00000000 PA USD 25452.95000000 0.015589122506 Long DBT CORP US N 2 2033-07-15 Fixed 6.75000000 N N N N N N Republic of Bulgaria 529900PG0XCL4LICL838 N/A 280000.00000000 PA 324285.48000000 0.198614544672 Long DBT NUSS BG N 2 2032-09-05 Fixed 3.62500000 N N N N N N Clydesdale Acquisition Holdings, Inc. 254900QKSDYFR3K5YD98 18972EAD7 200000.00000000 PA USD 189466.72000000 0.116042341221 Long DBT CORP US N 2 2032-04-15 Fixed 6.75000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RJK3 213947.50010000 PA USD 8570.74000000 0.005249305712 Long ABS-MBS USGA US N 2 2065-10-20 Variable 1.91354040 N N N N N N N/A N/A N/A 406000.00000000 PA USD -338.33000000 -0.00020721636 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB- 11 137BERAK3 Y Receipt of notional amount upon default event with regard to the reference instrument 2054-11-18 49870.33000000 USD 0.00000000 USD 406000.00000000 USD -338.33000000 N N N GNMA 549300M8ZYFG0OCMTT87 38382WBR7 2639643.33000000 PA USD 557898.38000000 0.341695017357 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.50000000 N N N N N N Morgan Stanley Re-REMIC Trust N/A 61759FAU5 141881.60610000 PA USD 135974.98000000 0.083280351434 Long ABS-MBS CORP US N 2 2037-02-26 Floating 3.26393280 N N N N N N Venture Global Plaquemines LNG LLC 549300TKP4I6OJ02BF90 922966AB2 30000.00000000 PA USD 33642.09000000 0.020604710353 Long DBT CORP US N 2 2035-05-01 Fixed 7.75000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05571CLC3 1000000.00000000 PA USD 975515.20000000 0.597472039973 Long STIV CORP FR N 2 2026-11-12 Fixed 0.00000000 N N N N N N Etsy, Inc. 54930089Q7XT501AEA40 29786AAP1 101000.00000000 PA USD 97667.00000000 0.059817931825 Long DBT CORP US N 2 2030-06-15 Fixed 1.00000000 N N N N Y Etsy, Inc. USD XXXX N N N NextEra Energy Capital Holdings, Inc. UMI46YPGBLUE4VGNNT48 65339KCY4 70000.00000000 PA USD 97212.50000000 0.059539565027 Long DBT CORP US N 2 2027-03-01 Fixed 3.00000000 N N N N N NextEra Energy, Inc. USD XXXX N N N Virginia Electric and Power Co. CQKUMNNZVDJLRYV2PT43 927804GB4 455000.00000000 PA USD 434746.08000000 0.266268149679 Long DBT CORP US N 2 2029-07-15 Fixed 2.87500000 N N N N N N N/A N/A N/A -30706000.00000000 PA -85793.44000000 -0.05254575388 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Put Written N/A Swaption 1.00000000 3.16500000 EUR 2027-03-19 XXXX -6462.45000000 N N N Magnera Corp. 549300LDQLQBT38QDY28 377320AA4 240000.00000000 PA USD 216918.07000000 0.132855420182 Long DBT CORP US N 2 2029-11-15 Fixed 4.75000000 N N N N N N JBS NV / JBS USA Foods Group Holdings, Inc. / JBS USA Food Co. Holdings N/A 46590XAN6 110000.00000000 PA USD 105583.23000000 0.064666370975 Long DBT CORP NL N 2 2029-02-02 Fixed 3.00000000 N N N N N N FirstCash, Inc. 549300V2X3UU7K0DG350 33767DAD7 397000.00000000 PA USD 405125.80000000 0.248126670062 Long DBT CORP US N 2 2032-03-01 Fixed 6.87500000 N N N N N N Morgan Stanley Bank of America Merrill Lynch Trust 549300P1YQ48837ZOI22 61762MBC4 350000.00000000 PA USD 291960.31000000 0.178816405943 Long ABS-MBS CORP US N 2 2046-07-15 Variable 3.95106840 N N N N N N Ambipar Lux SARL 9845008C0E14F9BDEK55 02319WAB7 200000.00000000 PA USD 30750.00000000 0.018833397192 Long DBT CORP LU N 2 2033-02-05 Fixed 10.87500000 Y N N N N N N/A N/A N/A 3079100.00000000 PA USD 51241.11000000 0.031383550478 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Call Purchased N/A Swaption 1.00000000 3.72500000 USD 2026-11-23 XXXX -99326.88000000 N N N Transocean International Ltd. DOL4HJ22ADYSIWES4H94 893830BX6 210000.00000000 PA USD 219053.73000000 0.134163444020 Long DBT CORP BM N 2 2030-02-15 Fixed 8.75000000 N N N N N N Nexstar Media, Inc. 5493006PK6I4I2OOT688 65346UAA7 150000.00000000 PA USD 150605.50000000 0.092241079704 Long DBT CORP US N 2 2034-04-15 Fixed 7.25000000 N N N N N N Mattel, Inc. 549300VELLG24KHTJ564 577081BF8 265000.00000000 PA USD 256369.29000000 0.157018037938 Long DBT CORP US N 2 2029-04-01 Fixed 3.75000000 N N N N N N CaixaBank SA 7CUNS533WID6K7DGFI87 12803RAA2 200000.00000000 PA USD 205470.22000000 0.125843976082 Long DBT CORP ES N 2 2029-01-18 Fixed 6.20800000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31398PJU4 190178.52000000 PA USD 20585.08000000 0.012607706923 Long ABS-MBS USGSE US N 2 2040-04-25 Floating 2.62361880 N N N N N N Boeing Co. (The) RVHJWBXLJ1RFUBSY1F30 097023CN3 14000.00000000 PA USD 13179.60000000 0.008072085907 Long DBT CORP US N 2 2030-02-01 Fixed 2.95000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LEPL2 13044.96000000 PA USD 11834.70000000 0.007248377422 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 3.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K4U96 18349.70000000 PA USD 18370.24000000 0.011251187851 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 5.00000000 N N N N N N DIRECTV Financing LLC N/A 25460HAD4 379285.57240000 PA USD 380836.85000000 0.233250460542 Long LON CORP US N 2 2029-08-02 Variable 9.17845000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376R2Q8 1063136.91000000 PA USD 38622.38000000 0.023654979612 Long ABS-MBS USGA US N 2 2067-03-20 Variable 1.92018960 N N N N N N Hyundai Capital America 549300RIPPWJB5Z0FK07 44891ADG9 425000.00000000 PA USD 423319.99000000 0.259270032887 Long DBT CORP US N 2 2029-09-26 Fixed 4.55000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617K4U88 18936.58000000 PA USD 18989.63000000 0.011630544531 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136ARFT0 574092.93000000 PA USD 79034.91000000 0.048406369174 Long ABS-MBS USGSE US N 2 2046-02-25 Fixed 6.00000000 N N N N N N DaVita, Inc. M2XHYMU3TZNEZURC6H66 23918KAW8 180000.00000000 PA USD 184554.32000000 0.113033652429 Long DBT CORP US N 2 2032-09-01 Fixed 6.87500000 N N N N N N Digital Realty Trust LP CD4SPTZ3YBTHY0C1AH38 25389JAX4 117000.00000000 PA USD 124152.23000000 0.076039293006 Long DBT CORP US N 2 2029-11-15 Fixed 1.87500000 N N N N N Digital Realty Trust, Inc. USD XXXX N N N N/A N/A N/A 885900.00000000 PA USD 37674.43000000 0.023074390380 N/A DIR DE N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Purchased N/A Swaption 1.00000000 3.96500000 USD 2028-03-06 XXXX -10607.12000000 N N N Wells Fargo Commercial Mortgage Trust N/A 95002MAY5 3120450.84000000 PA USD 126505.57000000 0.077480638923 Long ABS-MBS CORP US N 2 2052-08-15 Variable 1.56306240 N N N N N N DataBank Issuer II LLC N/A 23802YAA5 333000.00000000 PA USD 323672.74000000 0.198239260906 Long ABS-O CORP US N 2 2055-09-27 Fixed 5.18000000 N N N N N N Carnival plc 4DR1VPDQMHD3N3QW8W95 N/A 135000.00000000 PA 152160.65000000 0.093193559627 Long DBT CORP GB N 2 2031-07-15 Fixed 4.12500000 N N N N N N Foundry JV Holdco LLC 21380048QROAMGM6EP30 350930AB9 220000.00000000 PA USD 227791.25000000 0.139514897180 Long DBT CORP US N 2 2030-01-25 Fixed 5.90000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912797TN7 1100000.00000000 PA USD 1088409.91000000 0.666616459953 Long STIV UST US N 2 2026-07-16 None 0.00000000 N N N N N N APLD ComputeCo LLC N/A 00202DAA5 225000.00000000 PA USD 232020.45000000 0.142105147697 Long DBT CORP US N 2 2030-12-15 Fixed 9.25000000 N N N N N N N/A N/A N/A 1259000.00000000 PA USD -21262.79000000 -0.01302278274 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2056-06-17 2447.57000000 USD 0.00000000 USD 1259000.00000000 USD -21262.79000000 N N N TGNR Intermediate Holdings LLC 5493007AZNVKZ5HEMT23 77289KAA3 217000.00000000 PA USD 212338.21000000 0.130050401565 Long DBT CORP US N 2 2029-10-15 Fixed 5.50000000 N N N N N N Tuple US Bidco LLC N/A N/A 133120.61000000 PA USD 129459.79000000 0.079290004733 Long LON CORP US N 2 2033-01-14 Variable 7.38483000 N N N N N N UBS Commercial Mortgage Trust N/A 90276GAY8 247000.00000000 PA USD 233159.63000000 0.142802859222 Long ABS-MBS CORP US N 2 2050-08-15 Variable 4.35195000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137FJK99 1904781.15000000 PA USD 258556.90000000 0.158357879500 Long ABS-MBS USGSE US N 2 2056-08-15 Floating 2.31329160 N N N N N N Fertitta Entertainment LLC N/A 31556PAB3 212274.66560000 PA USD 208559.86000000 0.127736282336 Long LON CORP US N 2 2029-01-29 Variable 6.91774000 N N N N N N Miter Brands Acquisition Holdco, Inc. / MIWD Borrower LLC N/A 60672JAA7 195000.00000000 PA USD 186883.75000000 0.114460354231 Long DBT CORP US N 2 2032-04-01 Fixed 6.75000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38381W6R4 1768417.21000000 PA USD 206883.42000000 0.126709516144 Long ABS-MBS USGA US N 2 2049-07-20 Floating 2.31048000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376R2S4 750475.64000000 PA USD 28969.86000000 0.017743118048 Long ABS-MBS USGA US N 2 2067-05-20 Variable 2.26311840 N N N N N N OneSky Flight LLC 549300PM6NEPXGG5B882 68278CAA3 200000.00000000 PA USD 206595.00000000 0.126532868066 Long DBT CORP US N 2 2029-12-15 Fixed 8.87500000 N N N N N N Royal Caribbean Cruises Ltd. K2NEH8QNVW44JIWK7Z55 780153BU5 127000.00000000 PA USD 129866.53000000 0.079539120049 Long DBT CORP LR N 2 2032-03-15 Fixed 6.25000000 N N N N N N NCL Corp. Ltd. UNZWILHE4KMRP9K2L524 62886HBS9 41000.00000000 PA USD 42651.35000000 0.026122595621 Long DBT CORP BM N 2 2030-04-15 Fixed 0.87500000 N N N N Y Norwegian Cruise Line Holdings Ltd. USD XXXX N N N BBCMS Mortgage Trust N/A 05555PAD4 7421625.32000000 PA USD 353353.23000000 0.216417617233 Long ABS-MBS CORP US N 2 2057-09-15 Variable 1.59767640 N N N N N N Station Casinos LLC 5493004E7Q60TX54WL62 857691AH2 285000.00000000 PA USD 266386.65000000 0.163153352399 Long DBT CORP US N 2 2031-12-01 Fixed 4.62500000 N N N N N N Quikrete Holdings, Inc. 5493007KIN86DIZWZT22 74839XAK5 200388.78640000 PA USD 200445.90000000 0.122766739849 Long LON CORP US N 2 2029-03-19 Variable 5.91774000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1939.41000000 0.001187826954 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 517300.00000000 GBP 686479.50000000 USD 2026-06-17 1939.41000000 N N N Seagate HDD Cayman 529900BD50TRWEG1SF63 81180WBL4 15000.00000000 PA USD 71264.25000000 0.043647087020 Long DBT CORP KY N 2 2028-06-01 Fixed 3.50000000 N N N N N Seagate Technology Holdings PLC USD XXXX N N N Republic of Peru 254900STKLK2DBJJZ530 715638DF6 430000.00000000 PA USD 392848.00000000 0.240606907979 Long DBT NUSS PE N 2 2031-01-23 Fixed 2.78300000 N N N N N N Black Diamond CLO Ltd. N/A 09204UAG3 410000.00000000 PA USD 410846.55000000 0.251630447526 Long ABS-CBDO CORP JE N 2 2037-10-25 Floating 8.11802160 N N N N N N EquipmentShare.com, Inc. 254900PWJK48CGPKPI80 29450YAB5 35000.00000000 PA USD 36575.32000000 0.022401220455 Long DBT CORP US N 2 2032-05-15 Fixed 8.62500000 N N N N N N Tenet Healthcare Corp. 0W9AIBT6U6ADJ2I8HK17 88033GDV9 80000.00000000 PA USD 81010.88000000 0.049616587966 Long DBT CORP US N 2 2033-11-15 Fixed 6.00000000 N N N N N N N/A N/A N/A 1587000.00000000 PA 2858.08000000 0.001750483117 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2028-06-17 0.00000000 USD 12577.84000000 USD 1587000.00000000 GBP 2858.08000000 N N N General Motors Financial Co., Inc. 5493008B6JBRUJ90QL97 37045XFL5 55000.00000000 PA USD 54446.64000000 0.033346835672 Long DBT CORP US N 2 2028-10-27 Fixed 4.20000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RUG9 1410004.78000000 PA USD 40433.30000000 0.024764110527 Long ABS-MBS USGA US N 2 2066-04-20 Variable 1.76226120 N N N N N N N/A N/A N/A 90000.00000000 PA USD -246.50000000 -0.00015097341 N/A DCR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Markit CMBX North American Index Series BBB-6 137BERAF4 Y Payout of notional amount upon default event with regard to the reference instrument 2063-05-11 0.00000000 USD 5423.69000000 USD 90000.00000000 USD -246.50000000 N N N Liberty Energy, Inc. 254900PKFJW6RILDCM60 53115LAC8 16000.00000000 PA USD 16299.61000000 0.009982992820 Long DBT CORP US N 2 2032-03-01 None 0.00000000 N N N N N Liberty Energy, Inc. USD XXXX N N N Benchmark Mortgage Trust N/A 08164HBE6 1783000.00000000 PA USD 112436.34000000 0.068863682930 Long ABS-MBS CORP US N 2 2030-11-15 Variable 1.64822400 N N N N N N N/A N/A N/A 4567000.00000000 PA 46064.57000000 0.028213084335 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2028-03-18 0.00000000 USD 1328.38000000 USD 4567000.00000000 EUR 46064.57000000 N N N BBCMS Mortgage Trust N/A 05555AAF2 2628537.80000000 PA USD 178730.06000000 0.109466478382 Long ABS-MBS CORP US N 2 2057-05-15 Variable 1.01265120 N N N N N N Cogent Communications Group LLC / Cogent Finance, Inc. N/A 19240WAB5 240000.00000000 PA USD 209529.46000000 0.128330131504 Long DBT CORP US N 2 2032-07-01 Fixed 6.50000000 N N N N N N Southern Veterinary Partners LLC 549300DT78GYJYRK0R74 84410HAQ3 268650.00000000 PA USD 266680.80000000 0.163333509921 Long LON CORP US N 2 2031-12-04 Variable 6.18065000 N N N N N N GS Mortgage Securities Trust N/A 36253GAS1 221000.00000000 PA USD 153592.79000000 0.094070699837 Long ABS-MBS CORP US N 2 2047-09-10 Variable 4.31810640 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2219.01000000 -0.00135907306 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 103100.00000000 AUD 68902.92000000 USD 2026-04-15 -2219.01000000 N N N Black Pearl Compute LLC N/A 09216NAA8 105000.00000000 PA USD 106999.94000000 0.065534060800 Long DBT CORP US N 2 2031-02-15 Fixed 6.12500000 N N N N N N CrossCountry Intermediate HoldCo LLC N/A 22757VAA8 60000.00000000 PA USD 57263.32000000 0.035071962606 Long DBT CORP US N 2 2030-10-01 Fixed 6.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 3617LNR97 154468.75000000 PA USD 140428.21000000 0.086007813203 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 3.50000000 N N N N N N COMM Mortgage Trust N/A 12629NAH8 94659.21300000 PA USD 93232.75000000 0.057102094703 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.72400000 N N N N N N GSR Mortgage Loan Trust N/A 3622NAAE0 169210.71000000 PA USD 93819.42000000 0.057461411422 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.10303160 N N N N N N Spectrum Brands, Inc. 549300VU3EH2E73C1Q04 84762LAZ8 32000.00000000 PA USD 32017.60000000 0.019609761884 Long DBT CORP US N 2 2029-06-01 Fixed 3.37500000 N N N N N Spectrum Brands Holdings, Inc. USD XXXX N N N BX Trust N/A 05619TAE8 328000.00000000 PA USD 327368.76000000 0.200502955628 Long ABS-MBS CORP US N 2 2042-12-13 Variable 5.51730240 N N N N N N Duke Energy Carolinas LLC MWIUSDMN17TCR56VW396 264399DK9 200000.00000000 PA USD 208523.51000000 0.127714019117 Long DBT CORP US N 2 2028-12-01 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 8186.02000000 0.005013676945 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 396500.00000000 CAD 293376.62000000 USD 2026-04-15 8186.02000000 N N N GNMA 549300M8ZYFG0OCMTT87 38381XK39 1606296.05000000 PA USD 192572.89000000 0.117944771574 Long ABS-MBS USGA US N 2 2049-08-20 Floating 2.31048000 N N N N N N Cleveland-Cliffs, Inc. 549300TM2WLI2BJMDD86 18589GAA3 50000.00000000 PA USD 48895.88000000 0.029947171679 Long DBT CORP US N 2 2034-01-15 Fixed 7.62500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38383FDA8 2410552.37000000 PA USD 477590.45000000 0.292508963912 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 4.00000000 N N N N N N Verisure Midholding AB 549300496LYEZ55X1M49 N/A 595000.00000000 PA 686744.79000000 0.420609346345 Long DBT CORP SE N 2 2029-02-15 Fixed 5.25000000 N N N N N N Peer Holding III BV N/A N6872NAQ9 123448.70000000 PA USD 122541.97000000 0.075053059960 Long LON CORP NL N 2 2032-09-29 Variable 5.94961000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 22.79000000 0.000013958150 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 9000.00000000 CAD 6496.22000000 USD 2026-04-15 22.79000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 3136FCZ90 24521.14000000 PA USD 3914.14000000 0.002397286285 Long ABS-MBS USGSE US N 2 2036-08-25 Fixed 5.50000000 N N N N N N FNMA N/A 20755BAC4 161000.00000000 PA USD 161252.80000000 0.098762212385 Long ABS-MBS CORP US N 2 2046-01-25 Floating 5.01189840 N N N N N N COMM Mortgage Trust N/A 12591VAK7 441000.00000000 PA USD 423738.25000000 0.259526203837 Long ABS-MBS CORP US N 2 2047-04-10 Variable 4.72386960 N N N N N N UBS Group AG 549300SZJ9VS8SGXAN81 902613BJ6 200000.00000000 PA USD 204355.76000000 0.125161404770 Long DBT CORP CH N 2 2030-02-08 Fixed 5.42800000 N N N N N N Cleveland-Cliffs, Inc. 549300TM2WLI2BJMDD86 185899AP6 92000.00000000 PA USD 89129.81000000 0.054589174420 Long DBT CORP US N 2 2032-03-15 Fixed 7.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -15757.28000000 -0.00965083294 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 727000.00000000 AUD 485752.32000000 USD 2026-04-15 -15757.28000000 N N N OSI Systems, Inc. DDX3MPX1Y8YD30050X33 671044AG0 49000.00000000 PA USD 50127.00000000 0.030701193531 Long DBT CORP US N 2 2031-02-01 Fixed 0.50000000 N N N N Y OSI Systems, Inc. USD XXXX N N N FNMA B1V7KEBTPIMZEU4LTD58 30711XCR3 561395.60000000 PA USD 565384.76000000 0.346280187050 Long ABS-MBS CORP US N 2 2028-10-25 Floating 15.52637880 N N N N N N Aviation Capital Group LLC 549300ODEK8HY3445C77 05369AAQ4 210000.00000000 PA USD 213437.26000000 0.130723534741 Long DBT CORP US N 2 2029-07-15 Fixed 5.37500000 N N N N N N Republic of El Salvador 529900AKDMUSFSDOM949 283875AN2 180000.00000000 PA USD 176459.40000000 0.108075771336 Long DBT NUSS SV N 2 2035-06-15 Fixed 7.65000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -10580.40000000 -0.00648015855 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 405013.13000000 USD 62332100.00000000 JPY 2026-05-20 -10580.40000000 N N N N/A N/A N/A 1810000.00000000 PA 5933.23000000 0.003633914706 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2028-03-18 6873.32000000 USD 0.00000000 USD 1810000.00000000 AUD 5933.23000000 N N N 1011778 BC ULC / New Red Finance, Inc. N/A 68245XAM1 350000.00000000 PA USD 329157.57000000 0.201598544871 Long DBT CORP CA N 2 2030-10-15 Fixed 4.00000000 N N N N N N N/A N/A N/A 203000.00000000 PA USD 2723.58000000 0.001668106143 N/A DCR GB N 2 GOLDMAN SACHS INTL W22LROWP2IHZNBB6K528 Markit CMBX North American Index Series BBB-12 137BERAL1 Y Receipt of notional amount upon default event with regard to the reference instrument 2061-08-17 36844.50000000 USD 0.00000000 USD 203000.00000000 USD 2723.58000000 N N N CQP Holdco LP N/A 12657QAF0 686130.32600000 PA USD 683667.12000000 0.418724371336 Long LON CORP US N 2 2032-12-31 Variable 5.42300000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300PX4QZK7CUM8D08 94988XAC0 246504.01460000 PA USD 29824.89000000 0.018266796734 Long ABS-MBS CORP US N 2 2050-08-15 Fixed 3.93800000 N Y N N N N Ashtead Capital, Inc. 213800J1134IW58IC398 045054AJ2 220000.00000000 PA USD 217055.11000000 0.132939352824 Long DBT CORP US N 2 2028-05-01 Fixed 4.00000000 N N N N N N Carnival Corp. F1OF2ZSX47CR0BCWA982 143658BY7 70000.00000000 PA USD 70593.39000000 0.043236206603 Long DBT CORP PA N 2 2030-03-15 Fixed 5.75000000 N N N N N N Carnival Corp. F1OF2ZSX47CR0BCWA982 143658CB6 205000.00000000 PA USD 203607.35000000 0.124703027444 Long DBT CORP PA N 2 2029-05-01 Fixed 5.12500000 N N N N N N Antero Resources Corp. APVBKPOULHUX7YZLKU17 03674XAS5 250000.00000000 PA USD 251396.25000000 0.153972209073 Long DBT CORP US N 2 2030-03-01 Fixed 5.37500000 N N N N N N AerCap Ireland Capital DAC / AerCap Global Aviation Trust N/A 00774MBL8 305000.00000000 PA USD 304491.98000000 0.186491655328 Long DBT CORP IE N 2 2029-09-10 Fixed 4.62500000 N N N N N N Air Lease Corp. 5493004NW4M4P8TMMK63 00914AAT9 450000.00000000 PA USD 459546.53000000 0.281457636684 Long DBT CORP US N 2 2027-12-15 Fixed 5.85000000 N N N N N N Novartis Capital Corp. 5493002KF87V5RSRQS84 66989HBG2 290000.00000000 PA USD 290001.71000000 0.177616825723 Long DBT CORP US N 2 2031-03-18 Fixed 4.40000000 N N N N N N Vmed O2 UK Financing I plc 213800MRR46ECNGZ7L69 N/A 275000.00000000 PA 281042.64000000 0.172129680234 Long DBT CORP GB N 2 2031-01-31 Fixed 3.25000000 N N N N N N N/A N/A N/A 996400.00000000 PA USD 2639.98000000 0.001616903802 N/A DIR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Put Purchased N/A Swaption 1.00000000 4.60750000 USD 2026-05-26 XXXX -33529.34000000 N N N Wayfair, Inc. 54930027N9ZAVYFDHK53 94419L101 127.00000000 NS USD 9551.67000000 0.005850094145 Long EC CORP US N 1 N N N Chart Industries, Inc. EM7QGKC1GYOF3LSZSL80 16115EAT4 370754.87210000 PA USD 370986.59000000 0.227217489517 Long LON CORP US N 2 2030-03-15 Variable 6.16080000 N N N N N N PG Polaris BidCo SARL 254900XMCCB3IEZ2A005 91728NAD1 88878.93580000 PA USD 89014.03000000 0.054518262852 Long LON CORP US N 2 2031-03-26 Variable 5.94961000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RNT9 309075.00930000 PA USD 9454.30000000 0.005790458116 Long ABS-MBS USGA US N 2 2065-12-20 Variable 1.87848000 N N N N N N Delek US Holdings, Inc. 5493003O53JMENV1N385 24664GAF8 268611.82520000 PA USD 269283.35000000 0.164927489038 Long LON CORP US N 2 2029-11-19 Variable 7.26774000 N N N N N N Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. N/A 983133AC3 380000.00000000 PA USD 398542.10000000 0.244094363165 Long DBT CORP US N 2 2031-02-15 Fixed 7.12500000 N N N N N N N/A N/A N/A 8133000.00000000 PA USD -23247.91000000 -0.01423860562 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2031-06-17 53999.31000000 USD 0.00000000 USD 8133000.00000000 USD -23247.91000000 N N N N/A N/A N/A 1.00000000 NC N/A -2751.31000000 -0.00168508988 N/A DFE N/A N 2 Morgan Stanley & Co. International 4PQUHN3JPFGFNF3BB653 6139500.00000000 NOK 630895.08000000 USD 2026-06-17 -2751.31000000 N N N WFRBS Commercial Mortgage Trust 5493003CHVRASC16O965 92938CAL1 235830.68000000 PA USD 166260.63000000 0.101829349018 Long ABS-MBS CORP US N 2 2046-08-15 Variable 4.15212480 N N N N N N N/A N/A N/A 159786000.00000000 PA USD -1212139.42000000 -0.74239685040 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2031-03-18 0.00000000 USD 78983.93000000 USD 159786000.00000000 USD -1212139.42000000 N N N GNMA 549300M8ZYFG0OCMTT87 38379LX92 138954.15000000 PA USD 27927.76000000 0.017104864936 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 5.00000000 N N N N N N WFRBS Commercial Mortgage Trust 5493000F7E2NMQ4HIO61 92939FAY5 177000.00000000 PA USD 168984.59000000 0.103497687900 Long ABS-MBS CORP US N 2 2047-08-15 Variable 4.23399960 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136FEMW9 61456.01000000 PA USD 8107.35000000 0.004965494072 Long ABS-MBS USGSE US N 2 2035-06-25 Fixed 5.00000000 N N N N N N Box, Inc. 549300KQUCPD8687YS68 10316TAD6 62000.00000000 PA USD 56978.00000000 0.034897213178 Long DBT CORP US N 2 2029-09-15 Fixed 1.50000000 N N N N Y Box, Inc. USD XXXX N N N FHLMC 5493000IRODEKU3J3Q16 35564KUL1 1150000.00000000 PA USD 1241693.87000000 0.760498011236 Long ABS-MBS CORP US N 2 2042-03-25 Floating 14.66190000 N N N N N N Rocket Cos., Inc. N/A 77311WAB7 205000.00000000 PA USD 207458.77000000 0.127061899724 Long DBT CORP US N 2 2033-08-01 Fixed 6.37500000 N N N N N N Vistra Operations Co. LLC 549300ZH5GKBTJZ7NM23 92840VAH5 270000.00000000 PA USD 263743.60000000 0.161534568320 Long DBT CORP US N 2 2029-05-01 Fixed 4.37500000 N N N N N N Republic of Cote d'Ivoire 254900ICW11T82O6H590 N/A 500000.00000000 PA 566717.61000000 0.347096515293 Long DBT NUSS CI N 2 2031-10-17 Fixed 5.87500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38384XVG5 3271790.19000000 PA USD 484571.43000000 0.296784592177 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N Toronto-Dominion Bank (The) PT3QB789TSUIDF371261 89115A2V3 145000.00000000 PA USD 145998.56000000 0.089419475448 Long DBT CORP CA N 2 2026-12-11 Fixed 5.26400000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136B5A54 1029504.27000000 PA USD 101032.77000000 0.061879358923 Long ABS-MBS USGSE US N 2 2049-08-25 Floating 2.27361960 N N N N N N Tenet Healthcare Corp. 0W9AIBT6U6ADJ2I8HK17 88033GDU1 455000.00000000 PA USD 465341.24000000 0.285006712295 Long DBT CORP US N 2 2031-05-15 Fixed 6.75000000 N N N N N N Osaic Holdings, Inc. 549300XL60BDV6UW5C86 00791GAB3 65000.00000000 PA USD 65056.22000000 0.039844866052 Long DBT CORP US N 2 2032-08-01 Fixed 6.75000000 N N N N N N Republic of Guatemala 529900QKDFFU9UWW5315 N/A 700000.00000000 PA USD 736750.00000000 0.451235947374 Long DBT NUSS GT N 2 2036-06-13 Fixed 6.60000000 N N N N N N National Bank of Canada BSGEFEIOM18Y80CKCV46 63307ME47 1000000.00000000 PA USD 996453.30000000 0.610295960420 Long STIV CORP CA N 2 2026-05-04 None 0.00000000 N N N N N N Liberty Media Corp.-Liberty Formula One Corp. N/A 531229AQ5 91000.00000000 PA USD 105196.00000000 0.064429204913 Long DBT CORP US N 2 2027-08-15 Fixed 2.25000000 N N N N N Liberty Media Corp-Liberty Formula One USD XXXX N N N Zegona Finance plc 254900B3KC1SS7T2TE92 98927UAA5 200000.00000000 PA USD 210117.60000000 0.128690348552 Long DBT CORP GB N 2 2029-07-15 Fixed 8.62500000 N N N N N N Datadog, Inc. 549300F6JNO0KRPO1K63 23804LAD5 82000.00000000 PA USD 79560.50000000 0.048728276336 Long DBT CORP US N 2 2029-12-01 None 0.00000000 N N N N Y Datadog, Inc. USD XXXX N N N Rand N/A N/A 0.01000000 OU Currencies 0.00000000 0.000000 Long STIV ZA N 1 N N N N/A N/A N/A 133000.00000000 PA USD 4573.96000000 0.002801405054 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BB-13 137BEMAL2 Y Payout of notional amount upon default event with regard to the reference instrument 2072-12-16 0.00000000 USD 56865.13000000 USD 133000.00000000 USD 4573.96000000 N N N GNMA 549300M8ZYFG0OCMTT87 38382WSM0 2465507.48000000 PA USD 271447.44000000 0.166252925348 Long ABS-MBS USGA US N 2 2047-11-20 Floating 2.41301160 N N N N N N N/A N/A N/A 45533000.00000000 PA USD 240346.12000000 0.147204355827 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-03-18 204710.05000000 USD 0.00000000 USD 45533000.00000000 USD 240346.12000000 N N N Alternative Loan Trust N/A 12667GY98 140344.44000000 PA USD 132145.64000000 0.080935002452 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.35874040 N N N N N N N/A N/A N/A 191000.00000000 PA USD 13107.49000000 0.008027920825 N/A DCR US N 2 MERRILL LYNCH INTERNATIONAL AHYI0DDQ2LCHPGHJC422 Markit CMBX North American Index Series A-13 137BEOAM6 Y Payout of notional amount upon default event with regard to the reference instrument 2072-12-16 0.00000000 USD 25425.00000000 USD 191000.00000000 USD 13107.49000000 N N N Zloty N/A N/A -0.02000000 OU Currencies -0.01000000 -0.00000000612 Short STIV PL N 1 N N N Rivian Automotive, Inc. 25490004LNKJ84MFYY24 76954AAB9 55000.00000000 PA USD 59021.88000000 0.036149024686 Long DBT CORP US N 2 2029-03-15 Fixed 4.62500000 N N N N Y Rivian Automotive, Inc. USD XXXX N N N Welltower OP LLC T6IZ0MBEG5ACZDTR7D06 95041AAD0 50000.00000000 PA USD 79264.89000000 0.048547224611 Long DBT CORP US N 2 2029-07-15 Fixed 3.12500000 N N N N Y Welltower, Inc. USD XXXX N N N Froneri US, Inc. N/A G3679YAM4 269325.00000000 PA USD 264630.66000000 0.162077864362 Long LON CORP GB N 2 2032-09-30 Variable 5.87730000 N N N N N N Acrisure LLC / Acrisure Finance, Inc. N/A 00489LAL7 200000.00000000 PA USD 201065.80000000 0.123146408887 Long DBT CORP US N 2 2030-11-06 Fixed 7.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31325UPS9 6194.72000000 PA USD 85.95000000 0.000052641641 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 3.50000000 N N N N N N T-Mobile USA, Inc. 549300V2JRLO5DIFGE82 87264ABV6 825000.00000000 PA USD 799710.89000000 0.489797490430 Long DBT CORP US N 2 2029-04-15 Fixed 3.37500000 N N N N N N N/A N/A N/A 145400.00000000 PA 19716.57000000 0.012075772165 N/A DIR GB N 2 MORGAN STANLEY INTL PLC IGJSJL3JD5P30I6NJZ34 Put Purchased N/A Swaption 1.00000000 2.98000000 EUR 2035-05-08 XXXX 4537.24000000 N N N GNMA 549300M8ZYFG0OCMTT87 38381XBN5 1450642.71000000 PA USD 170135.29000000 0.104202455059 Long ABS-MBS USGA US N 2 2049-07-20 Floating 2.31048000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137FYLH7 1398965.52000000 PA USD 329900.27000000 0.202053425005 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 4.50000000 N N N N N N N/A N/A N/A 125000.00000000 PA USD -1200.83000000 -0.00073547019 N/A DCR US N 2 MERRILL LYNCH INTERNATIONAL AHYI0DDQ2LCHPGHJC422 Markit CMBX North American Index Series BB-6 137BEMAE8 Y Payout of notional amount upon default event with regard to the reference instrument 2063-05-11 0.00000000 USD 13977.28000000 USD 125000.00000000 USD -1200.83000000 N N N Viper Energy Partners LLC 54930010ZZ02MRGRI973 92764MAB0 24000.00000000 PA USD 24201.72000000 0.014822783918 Long DBT CORP US N 2 2035-08-01 Fixed 5.70000000 N N N N N N Playtika Holding Corp. 254900E35Z4TKA4UFG64 72814CAF5 197916.66680000 PA USD 186721.51000000 0.114360987390 Long LON CORP US N 2 2028-03-13 Variable 6.53748000 N N N N N N Kodiak Gas Services LLC 549300ZQBRWEUOVOM131 50012LAE4 85000.00000000 PA USD 86415.85000000 0.052926960221 Long DBT CORP US N 2 2035-10-01 Fixed 6.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -18699.20000000 -0.01145266539 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 1068766.37000000 USD 832600.00000000 CHF 2026-06-17 -18699.20000000 N N N Verde Purchaser LLC 2549004HFEKMUGBG3Z35 92338TAB2 32841.00880000 PA USD 31996.50000000 0.019596838805 Long LON CORP US N 2 2030-11-30 Variable 7.67194000 N N N N N N Southern Co. (The) 549300FC3G3YU2FBZD92 842587DS3 260000.00000000 PA USD 267939.33000000 0.164104319526 Long DBT CORP US N 2 2029-03-15 Fixed 5.50000000 N N N N N N Stack Infrastructure Issuer LLC 254900AV7V87H3A2WM57 85236KAR3 361000.00000000 PA USD 348101.29000000 0.213200970988 Long ABS-O CORP US N 2 2056-03-27 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136ANRR0 693890.69000000 PA USD 89623.82000000 0.054891739837 Long ABS-MBS USGSE US N 2 2045-05-25 Fixed 5.50000000 N N N N N N VCAT LLC N/A 921968AA1 1072674.37000000 PA USD 1068648.09000000 0.654512973601 Long ABS-MBS CORP US N 2 2056-02-25 Fixed 5.06199960 N N N N N N TransDigm, Inc. 88Q84GB3X55CF5OC7582 893647BS5 190000.00000000 PA USD 194805.67000000 0.119312278325 Long DBT CORP US N 2 2030-12-15 Fixed 6.87500000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382BH89 969666.10000000 PA USD 109744.58000000 0.067215065524 Long ABS-MBS USGA US N 2 2049-12-20 Floating 2.26047960 N N N N N N VCAT LLC N/A 91825GAA4 95261.57000000 PA USD 94800.15000000 0.058062077362 Long ABS-O CORP US N 2 2056-01-25 Fixed 5.10099840 N N N N N N EverCommerce Solutions, Inc. 9845005E54E3C158EA55 29977YAB9 268593.75000000 PA USD 262101.84000000 0.160529042525 Long LON CORP US N 2 2031-07-07 Variable 5.92300000 N N N N N N Solstice Advanced Materials, Inc. 2138004GZ4H9TW6HK435 83443QAA1 270000.00000000 PA USD 266498.69000000 0.163221973337 Long DBT CORP US N 2 2033-09-30 Fixed 5.62500000 N N N N N N CACI International, Inc. SYRPI2D1O9WRTS2WX210 127190AE6 185000.00000000 PA USD 188443.96000000 0.115415933244 Long DBT CORP US N 2 2033-06-15 Fixed 6.37500000 N N N N N N Nexstar Media, Inc. 5493006PK6I4I2OOT688 65346UAB5 140000.00000000 PA USD 141151.36000000 0.086450719583 Long DBT CORP US N 2 2033-09-15 Fixed 6.50000000 N N N N N N Benchmark Mortgage Trust N/A 08163UAD1 6543303.29000000 PA USD 255005.62000000 0.156182833425 Long ABS-MBS CORP US N 2 2057-09-15 Variable 1.30541760 N N N N N N EURO N/A N/A 9.91000000 OU Currencies 11.45000000 0.000007012760 Long STIV XX N 1 N N N N/A N/A N/A 1.00000000 NC N/A -36.23000000 -0.00002218972 N/A DFE N/A N 2 Morgan Stanley & Co. International 4PQUHN3JPFGFNF3BB653 495300.00000000 NZD 284713.79000000 USD 2026-04-15 -36.23000000 N N N Clean Harbors, Inc. 5493000SJVZVZJKHJF48 18449EAJ9 139271.20930000 PA USD 140437.61000000 0.086013570404 Long LON CORP US N 2 2032-10-11 Variable 5.16774000 N N N N N N N/A N/A N/A 3902000.00000000 PA USD 1747.54000000 0.001070312680 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2056-03-18 21052.49000000 USD 0.00000000 USD 3902000.00000000 USD 1747.54000000 N N N American Home Mortgage Investment Trust N/A 026932AC7 332060.49000000 PA USD 201589.71000000 0.123467287102 Long ABS-MBS CORP US N 2 2047-05-25 Floating 3.98302920 N N N N N N Honeywell Aerospace, Inc. 213800ZUAQRBYL67JS90 43849RAE5 210000.00000000 PA USD 207798.93000000 0.127270236907 Long DBT CORP US N 2 2031-03-16 Fixed 4.30000000 N N N N N N Hologic, Inc. N/A 43644ABL2 260000.00000000 PA USD 257221.90000000 0.157540234451 Long LON CORP US N 2 2033-01-14 Variable 5.75452000 N N N N N N JH North America Holdings, Inc. 254900A6FXA0D81TL967 46593WAA3 15000.00000000 PA USD 14885.79000000 0.009117073027 Long DBT CORP US N 2 2031-01-31 Fixed 5.87500000 N N N N N N Nova Ltd. 529900B2DSWE5V3SC292 66982MAA2 34000.00000000 PA USD 52408.71000000 0.032098668350 Long DBT CORP IL N 2 2030-09-15 None 0.00000000 N N N N Y Nova Ltd. USD XXXX N N N Vistra Operations Co. LLC 549300ZH5GKBTJZ7NM23 92840VAR3 210000.00000000 PA USD 217462.85000000 0.133189080608 Long DBT CORP US N 2 2032-04-15 Fixed 6.87500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -10084.42000000 -0.00617638657 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 387629.82000000 USD 59663400.00000000 JPY 2026-05-20 -10084.42000000 N N N Alternative Loan Trust N/A 12667GZ30 172696.49000000 PA USD 161956.37000000 0.099193126637 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.49303040 N N N N N N J.P. Morgan Chase Commercial Mortgage Securities Trust N/A 46639YAX5 41433.74000000 PA USD 310.75000000 0.000190324493 Long ABS-MBS CORP US N 2 2046-04-15 Variable 3.60681840 N N N N N N N/A N/A N/A 223000.00000000 PA USD -27722.93000000 -0.01697941307 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BBB-6 137BERAF4 Y Receipt of notional amount upon default event with regard to the reference instrument 2063-05-11 41772.38000000 USD 0.00000000 USD 223000.00000000 USD -27722.93000000 N N N Volkswagen Group of America Finance LLC 5493002SQ1AVQBY41K40 928668BN1 230000.00000000 PA USD 219253.37000000 0.134285717172 Long DBT CORP US N 2 2027-11-24 Fixed 1.62500000 N N N N N N Veritiv Operating Co. 5493004G8OK5L1UTIY12 92339LAA0 45000.00000000 PA USD 46822.41000000 0.028677237237 Long DBT CORP US N 2 2030-11-30 Fixed 10.50000000 N N N N N N Boeing Co. (The) RVHJWBXLJ1RFUBSY1F30 097023CM5 137000.00000000 PA USD 135113.25000000 0.082752569211 Long DBT CORP US N 2 2027-02-01 Fixed 2.70000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3733.32000000 0.002286539785 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 279100.00000000 CAD 204481.61000000 USD 2026-04-15 3733.32000000 N N N Boeing Co. (The) RVHJWBXLJ1RFUBSY1F30 097023DQ5 446000.00000000 PA USD 468352.39000000 0.286850945920 Long DBT CORP US N 2 2029-05-01 Fixed 6.29800000 N N N N N N Republic of Armenia 5299000H77JSW90G7935 N/A 430000.00000000 PA USD 382906.95000000 0.234518330966 Long DBT NUSS AM N 2 2031-02-02 Fixed 3.60000000 N N N N N N Boots Group Finco LP 254900YVLYOVF1PF1N93 09947PAB7 93836.20000000 PA USD 94285.68000000 0.057746980846 Long LON CORP GB N 2 2032-08-30 Variable 6.92401000 N N N N N N EquipmentShare.com, Inc. 254900PWJK48CGPKPI80 29450YAA7 165000.00000000 PA USD 170639.87000000 0.104511494264 Long DBT CORP US N 2 2028-05-15 Fixed 9.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -8.95000000 -0.00000548159 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 75800.00000000 NZD 43568.78000000 USD 2026-04-15 -8.95000000 N N N Waystar Technologies, Inc. 549300BIRBTAWWHCSZ09 63939WAN3 90086.83720000 PA USD 89974.23000000 0.055106354819 Long LON CORP US N 2 2029-10-22 Variable 5.67300000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31423XQX2 2443866.42000000 PA USD 418290.29000000 0.256189501575 Long ABS-MBS USGSE US N 2 2042-08-25 Fixed 4.50000000 N N N N N N Suriname Government International Bond 254900SYU4G5JM13TN77 86886PAF9 340000.00000000 PA USD 350830.70000000 0.214872647821 Long DBT NUSS SR N 2 2035-11-06 Fixed 8.50000000 N N N N N N RALI Trust N/A 75114HAA5 176976.19000000 PA USD 160333.56000000 0.098199207115 Long ABS-MBS CORP US N 2 2046-05-25 Floating 4.22303040 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38382FGY4 1640592.71000000 PA USD 198745.50000000 0.121725298919 Long ABS-MBS USGA US N 2 2050-05-20 Floating 2.31048000 N N N N N N Columbus McKinnon Corp. N/A 19933MAS2 34524.57370000 PA USD 34438.26000000 0.021092339161 Long LON CORP US N 2 2033-02-03 Variable 7.19961000 N N N N N N N/A N/A N/A 5084000.00000000 PA -68872.68000000 -0.04218232644 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2036-03-18 0.00000000 USD 492.27000000 USD 5084000.00000000 AUD -68872.68000000 N N N N/A N/A N/A 285000.00000000 PA USD 14947.95000000 0.009155144050 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BB-6 137BEMAE8 Y Payout of notional amount upon default event with regard to the reference instrument 2063-05-11 0.00000000 USD 49554.05000000 USD 285000.00000000 USD 14947.95000000 N N N Cloudflare, Inc. 5493007DY18BGNLDWU14 18915MAE7 66000.00000000 PA USD 74959.75000000 0.045910463259 Long DBT CORP US N 2 2030-06-15 None 0.00000000 N N N N Y Cloudflare, Inc. USD XXXX N N N FHLMC Multifamily Structured Credit Risk 549300FK6HM4FW58SP67 35563GAB5 797000.00000000 PA USD 826270.78000000 0.506064578488 Long ABS-MBS CORP US N 2 2051-11-25 Floating 7.66190160 N N N N N N Wayfair, Inc. 54930027N9ZAVYFDHK53 94419LAP6 8000.00000000 PA USD 10828.88000000 0.006632344656 Long DBT CORP US N 2 2027-09-15 Fixed 3.25000000 N N N N Y Wayfair, Inc. USD XXXX N N N SG Commercial Mortgage Securities Trust 549300SZQW4U3UN4A157 78419CAD6 458000.00000000 PA USD 455960.48000000 0.279261295090 Long ABS-MBS CORP US N 2 2048-10-10 Fixed 3.05500000 N N N N N N TransDigm, Inc. 88Q84GB3X55CF5OC7582 893647BV8 65000.00000000 PA USD 66372.80000000 0.040651229437 Long DBT CORP US N 2 2032-03-01 Fixed 6.62500000 N N N N N N FHLMC 5493007222WHFWMBOC78 35563KBE9 141000.00000000 PA USD 172977.49000000 0.105943212181 Long ABS-MBS CORP US N 2 2049-01-25 Floating 14.52638160 N N N N N N Spirit AeroSystems, Inc. ZD2NBKV6GCC3UMGBM518 85205TAK6 420000.00000000 PA USD 420412.86000000 0.257489508205 Long DBT CORP US N 2 2028-06-15 Fixed 4.60000000 N N N N N N N/A N/A N/A 2078300.00000000 PA 269308.96000000 0.164943174349 N/A DIR N/A N 2 UBS BFM8T61CT2L1QCEMIK50 Put Purchased N/A Swaption 1.00000000 2.00000000 AUD 2036-09-10 XXXX 159073.71000000 N N N Caesars Entertainment, Inc. 549300FA4CTCW903Y781 12769GAB6 232000.00000000 PA USD 234977.72000000 0.143916381535 Long DBT CORP US N 2 2030-02-15 Fixed 7.00000000 N N N N N N Alternative Loan Trust N/A 02146QAC7 180786.63000000 PA USD 174256.76000000 0.106726724377 Long ABS-MBS CORP US N 2 2046-08-25 Floating 4.17303000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46643ABK8 156457.89000000 PA USD 154789.66000000 0.094803744654 Long ABS-MBS CORP US N 2 2047-09-15 Variable 4.53668040 N N N N N N GNMA 549300M8ZYFG0OCMTT87 38376RHE9 513224.48000000 PA USD 13676.92000000 0.008376678592 Long ABS-MBS USGA US N 2 2065-09-20 Variable 1.80326160 N N N N N N Morgan Stanley Capital I Trust N/A 61767YBE9 199000.00000000 PA USD 190665.12000000 0.116776323114 Long ABS-MBS CORP US N 2 2051-07-15 Variable 4.85766720 N N N N N N N/A N/A N/A 1.00000000 NC N/A -7534.74000000 -0.00461478865 N/A DFE N/A N 2 State Street Bank and Trust 571474TGEMMWANRLN572 432429.80000000 USD 336900.00000000 CHF 2026-06-17 -7534.74000000 N N N UKG, Inc. 529900FKHWSTQ1GXK240 89841EAB1 206860.50000000 PA USD 197953.09000000 0.121239972991 Long LON CORP US N 2 2031-02-10 Variable 6.16684000 N N N N N N United States of America 254900HROIFWPRGM1V77 91282CAY7 151000.00000000 PA USD 151000.00000000 0.092482698409 Long DBT UST US N 2 2027-11-30 Fixed 0.62500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137ALYB9 98254.10000000 PA USD 12579.07000000 0.007704280378 Long ABS-MBS USGSE US N 2 2042-01-15 Fixed 4.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -34.75000000 -0.00002128326 N/A DFE N/A N 2 HSBC Bank MP6I5ZYZBEU3UXPYFY54 439200.00000000 NZD 252463.14000000 USD 2026-04-15 -34.75000000 N N N CRC Insurance Group LLC N/A 89788VAG7 270000.00000000 PA USD 266878.80000000 0.163454778625 Long LON CORP US N 2 2031-05-06 Variable 6.42194000 N N N N N N Advanced Drainage Systems, Inc. N/A 00769QAK9 96000.01000000 PA USD 96570.25000000 0.059146207325 Long LON CORP US N 2 2033-02-11 Variable 5.24060000 N N N N N N Waste Pro USA, Inc. 549300BY1QXU5BI3UF28 94107JAC7 395000.00000000 PA USD 400431.65000000 0.245251652455 Long DBT CORP US N 2 2033-02-01 Fixed 7.00000000 N N N N N N Kodiak Gas Services LLC 549300ZQBRWEUOVOM131 50012LAD6 115000.00000000 PA USD 116321.58000000 0.071243268885 Long DBT CORP US N 2 2033-10-01 Fixed 6.50000000 N N N N N N N/A N/A N/A 158800.00000000 PA USD 17508.06000000 0.010723130018 N/A DIR US N 2 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 Call Purchased N/A Swaption 1.00000000 4.20000000 USD 2030-08-26 XXXX -2294.30000000 N N N Lendbuzz Securitization Trust N/A 525952AD9 80936.25000000 PA USD 81234.50000000 0.049753548105 Long ABS-O CORP US N 2 2031-09-15 Fixed 5.74000000 N N N N N N Royal Caribbean Cruises Ltd. K2NEH8QNVW44JIWK7Z55 780153BV3 248000.00000000 PA USD 250538.81000000 0.153447054339 Long DBT CORP LR N 2 2033-02-01 Fixed 6.00000000 N N N N N N Hess Midstream Operations LP N/A 428102AE7 270000.00000000 PA USD 259585.37000000 0.158987784671 Long DBT CORP US N 2 2030-02-15 Fixed 4.25000000 N N N N N N COMM Mortgage Trust N/A 12630DBD5 288000.00000000 PA USD 282410.41000000 0.172967395866 Long ABS-MBS CORP US N 2 2047-02-10 Variable 3.13334640 N N N N N N N/A N/A N/A 465000.00000000 PA USD -12579.63000000 -0.00770462336 N/A DCR US N 2 CITIBANK NA E57ODZWZ7FF32TWEFA76 Markit CMBX North American Index Series BBB-10 137BERAJ6 Y Receipt of notional amount upon default event with regard to the reference instrument 2059-11-17 139761.96000000 USD 0.00000000 USD 465000.00000000 USD -12579.63000000 N N N 2026-04-30 Putnam Master Intermediate Income Trust Chris Beararducci Chris Beararducci Principal Financial Officer