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N/A 45660LZK8 9177.2 PA USD 10543.15 0.0009787059 Long ABS-MBS CORP US N 2 2035-11-25 Variable 5.04 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912810RL4 19734000 PA USD 19545181.93 1.8143519383 Long DBT UST US N 2 2045-02-15 Fixed 0.75 N N N N N N Arbor Realty Commercial Real Estate Notes 2022-Fl1, Ltd. 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B1V7KEBTPIMZEU4LTD58 3140XJ4D2 289493.4 PA USD 280147.92 0.0260057401 Long ABS-MBS USGA US N 2 2052-11-01 Fixed 4.5 N N N N N N Shackleton 2019-XIV CLO Ltd N/A 81880XAW2 1000000 PA USD 998856 0.0927224073 Long ABS-CBDO CORP US N 2 2034-07-20 Floating 4.87 N N N N N N Thornburg Mortgage Securities Trust N/A 88522AAC5 1444578.15 PA USD 1171586.25 0.1087567151 Long ABS-MBS CORP US N 2 2036-07-25 Floating 5.55 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 91282CJY8 43400000 PA USD 45728240.67 4.2448887091 Long DBT UST US N 2 2034-01-15 Fixed 1.75 N N N N N N Cabinet Office, Government of Japan 353800WZS8AXZXFUC241 N/A 1501000000 PA 10794736.06 1.0020602706 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 3137HMGJ3 1044976.13 PA USD 1053646.92 0.0978085719 Long ABS-MBS USGA US N 3 2055-08-25 Floating 4.81 N N N N N N Federal National Mortgage Association, Inc. 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N/A 939336PB3 12777.66 PA USD 12440.16 0.0011548027 Long ABS-MBS CORP US N 2 2033-03-25 Variable 5.36 N N N N N N Grifonas Finance No.1 PLC 2138001BQMIKJQ4HNR60 N/A 179099.89 PA 203459.69 0.0188868788 Long ABS-MBS CORP GR Y 2 2039-08-28 Floating 2.42 N N N N N N Morgan Stanley ABS Capital Trust I Inc. 549300RLSHIMYD3FZB52 61744CNC6 631524.25 PA USD 612825.13 0.0568877008 Long ABS-CBDO CORP US N 2 2035-01-25 Floating 3.54 N N N N N N Harvest CLO XXI Designated Activity Company 635400UREZHY9PWJR290 N/A 202623.54 PA 233954.67 0.0217176852 Long ABS-CBDO CORP IE Y 2 2031-07-15 Floating 2.78 N N N N N N IndyMac MBS, Inc. N/A 45660LUD9 51861.95 PA USD 38529.4 0.0035766304 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.17 N N N N N N J.P. Morgan Mortgage Acquisition Trust 2006-Ch2 N/A 46629QAW6 3988.85 PA USD 3983.64 0.0003697957 Long ABS-CBDO CORP US N 2 2036-10-25 Floating 4.09 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 3128NFFX0 34640.3 PA USD 35784.42 0.0033218177 Long ABS-MBS USGA US N 2 2036-07-01 Floating 6.04 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 3137HKEX8 2382972.93 PA USD 2399266.98 0.2227206025 Long ABS-MBS USGA US N 2 2054-11-25 Floating 4.6 N N N N N N Arbour CLO VI Designated Activity Company 635400HEJB8VLV1GBH66 N/A 1000000 PA 1157114.72 0.1074133432 Long ABS-CBDO CORP IE Y 2 2037-11-15 Variable 3.13 N N N N N N Citigroup Mortgage Loan Trust 2007-AMC2 N/A 17311XAA3 39016.82 PA USD 27865.48 0.0025867136 Long ABS-CBDO CORP US N 2 2037-01-25 Floating 3.78 N N N N N N LCM 36 Ltd N/A 50190LAL2 2000000 PA USD 1994842 0.1851783965 Long ABS-CBDO CORP US N 2 2034-01-15 Floating 4.74 N N N N N N Sound Point CLO XXVIII, Ltd N/A 83615CAL0 597311.07 PA USD 597977.07 0.0555093762 Long ABS-CBDO CORP US N 2 2032-01-26 Floating 4.95 N N N N N N Voya Euro CLO IV Designated Activity Company 549300H0DM0Z0GCEKC77 N/A 1600000 PA 1844709.21 0.1712417793 Long ABS-CBDO CORP IE Y 2 2034-10-15 Floating 2.99 N N N N N N New Residential Mortgage Loan Trust 2019-RPL3 N/A 64830NAA9 835740.97 PA USD 809247.81 0.0751213439 Long ABS-MBS CORP US N 2 2059-07-25 Variable 2.75 N N N N N N Octagon Investment Partners 40 Ltd. N/A 67592BAY4 700000 PA USD 698434.8 0.0648347269 Long ABS-CBDO CORP US N 2 2035-01-20 Floating 4.71 N N N N N N Bear Stearns ARM Trust 2004-1 N/A 07384MUR1 3632.79 PA USD 3254.82 0.0003021404 Long ABS-MBS CORP US N 2 2033-05-25 Variable 6.08 N N N N N N Federal National Mortgage Association, Inc. B1V7KEBTPIMZEU4LTD58 01F052664 17100000 PA USD 17127387.36 1.5899114454 Long ABS-MBS USGA US N 2 2056-06-15 Fixed 5.5 N N N N N N Citigroup Mortgage Loan Trust Inc. 549300R1KUK063S4I339 17307GXP8 2715.18 PA USD 2680.85 0.0002488596 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.78 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912810SV1 11070000 PA USD 7338294.14 0.6812035950 Long DBT UST US N 2 2051-02-15 Fixed 0.13 N N N N N N Bosphorus CLO IX DAC N/A N/A 3800000 PA 4392230.84 0.4077246539 Long ABS-CBDO CORP IE N 2 2038-04-15 Variable 0 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 N/A 100000 PA 115081.07 0.0106828150 Long DBT CORP CH Y 2 2027-06-24 Fixed 1 N N N N N N Segretariato Generale Della Presidenza Della Repubblica 815600DE60799F5A9309 N/A 1700000 PA 2410827.85 0.2237937819 Long DBT NUSS IT Y 2 2030-05-15 Fixed 0.4 N N N N N N New Century Home Equity Loan Trust N/A 64352VJJ1 173019.72 PA USD 169106.74 0.0156979425 Long ABS-CBDO CORP US N 2 2035-02-25 Floating 4.56 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 91282CDX6 29300000 PA USD 31636611.45 2.9367824515 Long DBT UST US N 2 2032-01-15 Fixed 0.13 N N N N N N Bear Stearns ARM Trust 2004-1 N/A 07384M4J8 23150.47 PA USD 20163.23 0.0018717245 Long ABS-MBS CORP US N 2 2035-01-25 Variable 5.12 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 3128NHPT4 11805.86 PA USD 12122.25 0.0011252915 Long ABS-MBS USGA US N 2 2036-09-01 Floating 6.19 N N N N N N Trinitas CLO XIX Ltd N/A 89642FAN3 1159153.3 PA USD 1158507.65 0.1075426470 Long ABS-CBDO CORP US N 2 2033-10-20 Floating 4.78 N N N N N N St. Paul's CLO II Designated Activity Company 549300HFD82A7GIR1V82 N/A 600000 PA 691844.32 0.0642229419 Long ABS-CBDO CORP IE Y 2 2035-10-25 Variable 3.01 N N N N N N Bear Stearns ARM Trust 2004-1 N/A 07384M3D2 18976.13 PA USD 18144.5 0.0016843286 Long ABS-MBS CORP US N 2 2034-11-25 Variable 5.61 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 3137FKAX4 3882171.33 PA USD 3806402.99 0.3533430729 Long ABS-MBS USGA US N 2 2057-08-15 Floating 4.19 N N N N N N Saxon Asset Securities Trust 2004-3 N/A 805564TL5 2000000 PA USD 1712382.6 0.1589580849 Long ABS-CBDO CORP US N 2 2037-11-25 Floating 3.37 N N N N N N Federal National Mortgage Association, Inc. B1V7KEBTPIMZEU4LTD58 01F060667 39800000 PA USD 40466960.44 3.7564914142 Long ABS-MBS USGA US N 2 2056-06-15 Fixed 6 N N N N N N Federal National Mortgage Association, Inc. B1V7KEBTPIMZEU4LTD58 31396V4Q8 15465 PA USD 15311.88 0.0014213804 Long ABS-MBS USGA US N 2 2037-07-25 Floating 3.84 N N N N N N First Franklin Mortgage Loan Trust 2006-FF17 N/A 32028KAB2 4333555.88 PA USD 3885485.7 0.3606842104 Long ABS-CBDO CORP US N 2 2036-12-25 Floating 4.25 N N N N N N Gobierno Federal de los Estados Unidos Mexicanos 254900EGTWEU67VP6075 91087BBE9 300000 PA USD 303363.6 0.0281608193 Long DBT NUSS US N 2 2032-07-02 Fixed 5.85 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912810TE8 5300000 PA USD 3210192.46 0.2979976821 Long DBT UST US N 2 2052-02-15 Fixed 0.13 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912828ZZ6 15400000 PA USD 18592904.1 1.7259533174 Long DBT UST US N 2 2030-07-15 Fixed 0.13 N N N N N N FHLBanks Office of Finance 2549001DPIFGXC1TOL40 313385UZ7 4300000 PA USD 4300000 0.3991629938 Long STIV UST US N 2 2026-04-01 Fixed 0 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912810PV4 9685000 PA USD 15250735.17 1.4157044439 Long DBT UST US N 2 2028-01-15 Fixed 1.75 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912810SG4 4640000 PA USD 4240371.54 0.3936277672 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 91282CBF7 16450000 PA USD 19319441.71 1.7933967889 Long DBT UST US N 2 2031-01-15 Fixed 0.13 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 91282CJH5 37400000 PA USD 41120599.8 3.8171678430 Long DBT UST US N 2 2028-10-15 Fixed 2.38 N N N N N N Cabinet Office, Government of Japan 353800WZS8AXZXFUC241 N/A 130000000 PA 831642.9 0.0772002488 Long DBT NUSS JP N 2 2034-03-10 Fixed 0.01 N N N N N N Ginnie Mae II 549300M8ZYFG0OCMTT87 36179Y5G5 79141.26 PA USD 73110.47 0.0067867428 Long ABS-MBS USGA US N 2 2054-08-20 Fixed 3.5 N N N N N N Project Cashmere N/A N/A 17200000 PA 11867143.19 1.1016103265 Long ABS-MBS CORP AU N 3 2057-12-30 Fixed 4.54 N N N N N N Alternative Loan Trust 2007-4CB N/A 02148FBX2 182467.67 PA USD 152738.16 0.0141784701 Long ABS-MBS CORP US N 2 2037-04-25 Fixed 6 N N N N N N Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The 549300M8ZYFG0OCMTT87 3136BWUZ7 1632511.35 PA USD 1647970.42 0.1529787922 Long ABS-MBS USGA US N 3 2055-07-25 Floating 4.86 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912810FH6 7353000 PA USD 15695263.47 1.4569693851 Long DBT UST US N 2 2029-04-15 Fixed 3.88 N N N N N N HM Treasury ECTRVYYCEF89VWYS6K36 N/A 17200000 PA 22269630.65 2.0672587075 Long DBT NUSS GB N 2 2031-10-22 Fixed 4 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3618N5H93 999999.62 PA USD 916843.55 0.0851093061 Long ABS-MBS USGA US N 2 2055-03-20 Fixed 3.5 N N N N N N J.P. Morgan Mortgage Trust, Series 2008-R2 N/A 46632TAA3 115411.3 PA USD 106353.58 0.0098726543 Long ABS-MBS CORP US N 2 2037-07-27 Variable 3.94 N N N N N N Morgan Stanley ABS Capital I Inc. Trust 2006-HE8 549300RLSHIMYD3FZB52 61750SAF9 1117542.35 PA USD 467970.08 0.0434410089 Long ABS-CBDO CORP US N 2 2036-10-25 Floating 1.87 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912828V49 33210000 PA USD 44786137.87 4.1574346221 Long DBT UST US N 2 2027-01-15 Fixed 0.38 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 91282CLE9 42200000 PA USD 43955995.44 4.0803736599 Long DBT UST US N 2 2034-07-15 Fixed 1.88 N N N N N N Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR9 Trust N/A 93363DAA5 600844.07 PA USD 568468.25 0.0527701136 Long ABS-MBS CORP US N 2 2046-08-25 Floating 3.66 N N N N N N Citigroup Mortgage Loan Trust Series 2007 AHL3 N/A 17312GAA9 79846.31 PA USD 54526.21 0.0050615919 Long ABS-CBDO CORP US N 2 2045-07-25 Floating 2.96 N N N N N N Dryden 64 CLO, Ltd. N/A 26251LAC8 147596.14 PA USD 147688.98 0.0137097617 Long ABS-CBDO CORP US N 2 2031-04-18 Floating 4.9 N N N N N N HarborView Mortgage Loan Trust N/A 41161PCY7 42550.54 PA USD 42050.35 0.0039034753 Long ABS-MBS CORP US N 2 2034-04-19 Variable 5.46 N N N N N N Sound Point CLO IX Ltd 549300W2FX6HEXN27U70 83609GBN4 605719.36 PA USD 605975.58 0.0562518667 Long ABS-CBDO CORP US N 2 2032-07-20 Floating 5.14 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912828Y38 20320000 PA USD 26250243.12 2.4367734030 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N CIT Mortgage Loan Trust 2007-1 N/A 12559QAF9 1143480.57 PA USD 1136876.28 0.1055346371 Long ABS-CBDO CORP US N 2 2037-10-26 Floating 5.29 N N N N N N Citigroup Mortgage Loan Trust Inc. 549300R1KUK063S4I339 17307GGX0 3835.42 PA USD 3756.19 0.0003486819 Long ABS-MBS CORP US N 2 2034-08-25 Fixed 5.5 N N N N N N GSR Mortgage Loan Trust 2005-AR1 CU46ESEFJB81SUVBJO28 36242DUL5 12431.94 PA USD 12148.3 0.0011277097 Long ABS-MBS CORP US N 2 2035-01-25 Variable 6.45 N N N N N N J.P. Morgan Mortgage Trust 2005-A1 N/A 466247TQ6 21495.96 PA USD 21025.98 0.0019518124 Long ABS-MBS CORP US N 2 2035-08-25 Variable 5.94 N N N N N N Cabinet Office, Government of Japan 353800WZS8AXZXFUC241 N/A 1628000000 PA 11552785.23 1.0724289162 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N Bear Stearns ALT-A Trust Mortgage Pass-Through Certificates Series 2006-4 N/A 073871AN5 75972.95 PA USD 43105.08 0.0040013844 Long ABS-MBS CORP US N 2 2036-08-25 Variable 4.48 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 3137HKKP8 886728.46 PA USD 890016.36 0.0826189755 Long ABS-MBS USGA US N 3 2055-03-25 Floating 4.81 N N N N N N J.P. Morgan Mortgage Trust 2007-A1 N/A 46630GAA3 4468.02 PA USD 4437.62 0.0004119381 Long ABS-MBS CORP US N 2 2035-07-25 Variable 6.22 N N N N N N SLM Student Loan Trust 2004-1 549300UECCCKC4WVNL14 78442GLL8 1060364.93 PA USD 1044572.81 0.0969662349 Long ABS-CBDO CORP US N 2 2064-10-25 Floating 4.7 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 91282CNB3 41100000 PA USD 42417143.98 3.9375242283 Long DBT UST US N 2 2030-04-15 Fixed 1.63 N N N N N N Cabinet Office, Government of Japan 353800WZS8AXZXFUC241 N/A 710000000 PA 4371286.55 0.4057804247 Long DBT NUSS JP N 2 2035-03-10 Fixed 0.01 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912810FD5 18713000 PA USD 39565566.05 3.6728162321 Long DBT UST US N 2 2028-04-15 Fixed 3.63 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912810PS1 260000 PA USD 426611.32 0.0396017330 Long DBT UST US N 2 2027-01-15 Fixed 2.38 N N N N N N Washington Mutual Mortgage Pass-Through Certificates Series 2003-AR9 Trust N/A 92922FBX5 13168.31 PA USD 12487.31 0.0011591795 Long ABS-MBS CORP US N 2 2033-09-25 Variable 5.63 N N N N N N Eurosail-UK 2007-3BL PLC 213800YCKG3TNT5E1296 29880YAJ8 47756.16 PA 63028.16 0.0058508161 Long ABS-MBS CORP GB Y 2 2045-06-13 Floating 4.8 N N N N N N Banc of America Mortgage Securities, Inc. 549300IE5TDZLY0T0V30 05949A6C9 8174.28 PA USD 7472.81 0.0006936905 Long ABS-MBS CORP US N 2 2035-06-25 Variable 5.3 N N N N N N Citigroup Mortgage Loan Trust 2007-AR4 N/A 17311WAA5 721667.69 PA USD 629295.16 0.0584165907 Long ABS-MBS CORP US N 2 2037-03-25 Variable 4.45 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382YB36 2228773.04 PA USD 2246026.64 0.2084955158 Long ABS-MBS USGA US N 2 2072-10-20 Floating 4.57 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912810TY4 13200000 PA USD 12324611.81 1.1440764996 Long DBT UST US N 2 2054-02-15 Fixed 2.13 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 91282CGW5 17500000 PA USD 19046719.15 1.7680803346 Long DBT UST US N 2 2028-04-15 Fixed 1.25 N N N N N N Citigroup Mortgage Loan Trust 2007-10 N/A 17313QAL2 190294.89 PA USD 175809.76 0.0163201745 Long ABS-MBS CORP US N 2 2037-09-25 Variable 4.45 N N N N N N ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP1 N/A 00442JAC8 313124.52 PA USD 116170.1 0.0107839081 Long ABS-CBDO CORP US N 2 2037-03-25 Floating 0.73 N N N N N N Bluemountain CLO XXIII LLC N/A 09629PAA4 160740.25 PA USD 160847.46 0.0149312450 Long ABS-CBDO CORP US N 2 2031-07-15 Floating 5.01 N N N N N N Citigroup Mortgage Loan Trust Inc. 549300R1KUK063S4I339 17307GTK4 15519.62 PA USD 16544.02 0.0015357583 Long ABS-MBS CORP US N 2 2035-08-25 Variable 5.39 N N N N N N MASTR Asset Backed Securities Trust 2006-AM1 N/A 57643LMA1 39251.75 PA USD 37070.77 0.0034412278 Long ABS-CBDO CORP US N 2 2035-10-25 Floating 1.63 N N N N N N Nelnet Student Loan Trust 2026-A N/A 64032UAB7 2685383.1 PA USD 2686484.11 0.2493825675 Long ABS-CBDO CORP US N 2 2061-02-21 Floating 4.97 N N N N N N RMRK 2021-5A AR 144A TSFR3M+119BP N/A 77588PAN2 4100000 PA USD 4095900 0.3802166759 Long ABS-CBDO CORP US N 2 2035-01-15 Variable 4.86 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 9128282L3 33200000 PA USD 44124747.45 4.0960386732 Long DBT UST US N 2 2027-07-15 Fixed 0.38 N N N N N N Government National Mortgage Association Guaranteed Remic Pass-Through Securities, The 549300M8ZYFG0OCMTT87 3136BWYL4 771867.53 PA USD 777640.4 0.0721872721 Long ABS-MBS USGA US N 3 2055-08-25 Floating 4.84 N N N N N N Morgan Stanley ABS Capital Trust I Inc. 549300RLSHIMYD3FZB52 61744CFR2 233877.39 PA USD 249096.26 0.0231232579 Long ABS-CBDO CORP US N 2 2034-07-25 Floating 4.21 N N N N N N Federal National Mortgage Association, Inc. B1V7KEBTPIMZEU4LTD58 31418ES43 317021.34 PA USD 314307.92 0.0291767652 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 5 N N N N N N Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-FM1 N/A 65536HAH1 1362104.23 PA USD 1335268.05 0.1239510680 Long ABS-CBDO CORP US N 2 2035-05-25 Floating 4.55 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 91282CGK1 38600000 PA USD 40609619.59 3.7697342639 Long DBT UST US N 2 2033-01-15 Fixed 1.13 N N N N N N Wells Fargo & Company PBLD0EJDB5FWOLXP3B76 949746804 500 NS USD 577500 0.0536085184 Long EP CORP US N 1 2500-01-01 Fixed 7.5 N N N N N N Chase Mortgage Finance Trust Series 2007-A1 N/A 161630AQ1 6228.95 PA USD 6016.58 0.0005585107 Long ABS-MBS CORP US N 2 2037-02-25 Variable 6 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 3137F4BX9 445614.02 PA USD 441002.32 0.0409376294 Long ABS-MBS USGA US N 2 2044-07-15 Floating 4.15 N N N N N N Residential Asset Securitization Trust 2006-A10 N/A 76113LAE7 181537.28 PA USD 52573.94 0.0048803654 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.5 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 3618N5C23 300000.2 PA USD 275053.35 0.0255328183 Long ABS-MBS USGA US N 2 2054-12-20 Fixed 3.5 N N N N N N Greenpoint M F T S 2006-AR4 N/A 39539FAK0 181799.87 PA USD 167283.68 0.0155287104 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.4 N N N N N N TRTX 2022-FL5 Issuer, Ltd. N/A 87277JAA9 152878.3 PA USD 152853 0.0141891305 Long ABS-CBDO CORP US N 2 2039-02-17 Floating 5.32 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 91282CML2 34600000 PA USD 36257377.76 3.3657217339 Long DBT UST US N 2 2035-01-15 Fixed 2.13 N N N N N N Citigroup Mortgage Loan Trust 2007-AMC3 N/A 17312EAC0 872391.9 PA USD 758821.57 0.0704403464 Long ABS-CBDO CORP US N 2 2037-03-25 Floating 4.34 N N N N N N Citigroup Mortgage Loan Trust 2007-AMC4 N/A 17313BAF8 1200000 PA USD 1104840 0.1025607540 Long ABS-CBDO CORP US N 2 2037-05-25 Floating 4.19 N N N N N N Securitized Asset Backed Receivables LLC Trust 2006-HE1 N/A 81376YAD3 2444490.26 PA USD 788179.93 0.0731656420 Long ABS-CBDO CORP US N 2 2036-07-25 Floating 0 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 9128283R9 40402000 PA USD 52853311.93 4.9062991220 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 N/A 100000 PA 133716.74 0.0124127382 Long DBT CORP GB Y 2 2027-09-30 Fixed 7 N N N N N N Federal National Mortgage Association, Inc. B1V7KEBTPIMZEU4LTD58 01F062655 19000000 PA USD 19636055.4 1.8227875955 Long ABS-MBS USGA US N 2 2056-05-15 Fixed 6.5 N N N N N N Avolon Holdings Funding Limited 635400ZRKEX9L1BKCH30 05401AAR2 40000 PA USD 38652.55 0.0035880622 Long DBT CORP US Y 2 2027-11-18 Fixed 2.53 N N N N N N GS Mortgage Securities Corp. CU46ESEFJB81SUVBJO28 362334ND2 198115.25 PA USD 102095.5 0.0094773827 Long ABS-MBS CORP US N 2 2046-03-25 Variable 1.85 N N N N N N Morgan Stanley ABS Capital I Inc. Trust 2007-HE6 5493005XH7EPFP4PGZ13 61755CAA0 29818.78 PA USD 26753.23 0.0024834650 Long ABS-CBDO CORP US N 2 2037-05-25 Floating 4.27 N N N N N N Nissan Motor Co., Ltd. 353800DRBDH1LUTNAY26 654744AC5 300000 PA USD 291900 0.0270966693 Long DBT CORP US Y 2 2027-09-17 Fixed 4.34 N N N N N N C-Bass Mortgage Loan Asset Backed Certificates Series 2002-CB2 N/A 12489WLH5 150758.51 PA USD 145362.98 0.0134938424 Long ABS-CBDO CORP US N 2 2034-08-25 Floating 3.82 N N N N N N First Franklin Mortgage Loan Trust 2006-FF10 N/A 32028HAE3 933359.09 PA USD 907869.61 0.0842762678 Long ABS-CBDO CORP US N 2 2036-07-25 Floating 4.1 N N N N N N RASC Series 2006-EMX1 Trust N/A 75406DAD5 1670747.77 PA USD 1632730.74 0.1515641140 Long ABS-CBDO CORP US N 2 2036-06-25 Floating 4.25 N N N N N N Dryden 44 Euro CLO 2015 B.V. 724500Y7W6D0XWW63V58 N/A 451955.98 PA 521509.01 0.0484109530 Long ABS-CBDO CORP IE Y 2 2034-04-17 Floating 2.91 N N N N N N GCBSL 2020-50A A1R2 TSFR3 N/A 38178DAN7 3600000 PA USD 3594974.4 0.3337164522 Long ABS-CBDO CORP US N 2 2035-04-20 Floating 4.78 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912810QV3 18960000 PA USD 21002653.35 1.9496469744 Long DBT UST US N 2 2042-02-15 Fixed 0.75 N N N N N N MASTR Adjustable Rate Mortgages Trust 2004-10 N/A 576433GC4 27915.15 PA USD 26691.13 0.0024777003 Long ABS-MBS CORP US N 2 2033-12-25 Variable 5.07 N N N N N N RALI Series 2007-QH8 Trust N/A 74924EAA5 390995.13 PA USD 326332.16 0.0302929586 Long ABS-MBS CORP US N 2 2037-10-25 Variable 4.75 N N N N N N Thornburg Mortgage Securities Trust N/A 885220HB2 29233.85 PA USD 28562.63 0.0026514290 Long ABS-MBS CORP US N 2 2045-04-25 Variable 5.27 N N N N N N BCAP LLC Trust 2011-RR5 N/A 05534AAN1 72638.88 PA USD 70882.37 0.0065799114 Long ABS-MBS CORP US N 2 2037-03-26 Variable 4.45 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912828Z37 25500000 PA USD 30848905.38 2.8636607973 Long DBT UST US N 2 2030-01-15 Fixed 0.13 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 91282CPU9 1500000 PA USD 1483405.51 0.1377024615 Long DBT UST US N 2 2036-01-15 Fixed 1.88 N N N N N N St. Paul's CLO X Designated Activity Company 635400814HPIBD5YSW07 N/A 561548.02 PA 647270.74 0.0600852387 Long ABS-CBDO CORP IE Y 2 2035-04-22 Floating 2.83 N N N N N N Turkiye Cumhuriyet Merkez Bankasi Anonim Sirketi 789000B8K6KNUMHC1Y64 N/A 40000000 PA 893410.29 0.0829340293 Long STIV NUSS TR N 2 2026-04-07 Fixed 0 N N N N N N Federal National Mortgage Association, Inc. 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B1V7KEBTPIMZEU4LTD58 01F040651 6000000 PA USD 5649843.6 0.5244670898 Long ABS-MBS USGA US N 2 2056-05-15 Fixed 4 N N N N N N Anchorage Capital CLO 20, Ltd. N/A 03330YAJ9 900000 PA USD 899166.6 0.0834683795 Long ABS-CBDO CORP US N 2 2035-01-22 Floating 4.77 N N N N N N Credit-Based Asset Servicing and Securitization LLC N/A 1248RHAC1 1764914.45 PA USD 1163077.21 0.1079668328 Long ABS-CBDO CORP US N 2 2037-07-25 Floating 1.92 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H032647 7000000 PA USD 6414844.1 0.5954810177 Long ABS-MBS USGA US N 2 2056-04-15 Fixed 3.5 N N N N N N Federal Home Loan Mortgage Corporation S6XOOCT0IEG5ABCC6L87 31395M2F5 54081.65 PA USD 50615.22 0.0046985402 Long ABS-MBS USGA US N 2 2045-02-25 Floating 5.12 N N N N N N Mountain View CLO 2016-1 LLC N/A 62432FAV6 2100000 PA USD 2099987.4 0.1949388971 Long ABS-CBDO CORP US N 2 2033-04-14 Floating 4.55 N N N N N N Residential Asset Mortgage Products, Inc. N/A 760985R37 84690.73 PA USD 87362.89 0.0081097751 Long ABS-CBDO CORP US N 2 2034-02-25 Floating 4.66 N N N N N N Washington Mutual Mortgage Pass-Through Certificates Series 2003-AR9 Trust N/A 92922F4F2 19625.44 PA USD 18205.03 0.0016899475 Long ABS-MBS CORP US N 2 2035-12-25 Variable 4.69 N N N N N N Alternative Loan Trust 2005-43 549300NHEJTDVQUV3M53 12667GUG6 58835.12 PA USD 30040.85 0.0027886501 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5 N N N N N N First NLC Trust N/A 32115BAA8 177705.82 PA USD 83755.88 0.0077749414 Long ABS-CBDO CORP US N 2 2037-08-25 Floating 3.86 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375UZZ6 478044.97 PA USD 482574.02 0.0447966722 Long ABS-MBS USGA US N 2 2067-04-20 Floating 5.59 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912810QF8 7100000 PA USD 10453009.03 0.9703382277 Long DBT UST US N 2 2040-02-15 Fixed 2.13 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 91282CPH8 17400000 PA USD 17338174.16 1.6094784897 Long DBT UST US N 2 2030-10-15 Fixed 1.13 N N N N N N Credicorp Capital Sociedad Titularizada S.A. N/A 224939AB4 700000 PA 214706.63 0.0199309166 Long DBT CORP PE Y 2 2045-03-05 Fixed 9.7 N N N N N N Beignet Investments, LLC N/A 076912AA2 5700000 PA USD 5889000.6 0.5466677001 Long DBT CORP US Y 2 2049-05-30 Fixed 6.58 N N N N N N SYMP 2021-29A AR TSFR3M+1 N/A 87168GAN9 1200000 PA USD 1198969.2 0.1112986361 Long ABS-CBDO CORP US N 2 2035-10-15 Floating 4.82 N N N N N N Treasury, United States Department of 254900HROIFWPRGM1V77 912810RF7 15850000 PA USD 18262777.94 1.6953081671 Long DBT UST US N 2 2044-02-15 Fixed 1.38 N N N N N N Palmer Square European Loan Funding 2023-3 Designated Activity Company 54930004WJL9ZPQZOM50 N/A 277502.99 PA 320637.38 0.0297643201 Long ABS-CBDO CORP IE Y 2 2033-05-15 Floating 2.95 N N N N N N Palmer Square European Loan Funding 2024-1 Designated Activity Company 254900S9D49Z2X16W073 N/A 762842.91 PA 881297.45 0.0818096113 Long ABS-CBDO CORP IE Y 2 2033-08-15 Floating 2.95 N N N N N N 2026-05-28 JNL Series Trust Andrew Tedeschi Andrew Tedeschi Principal Financial Officer XXXX