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| Security Name | % Net Assets | Number Of Shares | Market Value (USD) |
|---|---|---|---|
| United States Treasury Notes 4.25% | 12.60501 | 186,300,000 | 185,495,853 |
| 2 Year Treasury Note Future Sept 24 | 9.25633 | 667 | 136,216,512 |
| 5 Year Treasury Note Future Sept 24 | 5.39255 | 745 | 79,357,051 |
| United States Treasury Notes 4% | 5.21186 | 79,000,000 | 76,697,891 |
| 10 Year Treasury Note Future Sept 24 | 4.56843 | 612 | 67,229,156 |
| United States Treasury Bonds 3.375% | 4.48985 | 78,200,000 | 66,072,891 |
| Government National Mortgage Association 4% | 2.44923 | 39,000,000 | 36,043,008 |
| United States Treasury Notes 4.625% | 2.23435 | 32,600,000 | 32,880,793 |
| United States Treasury Notes 3.5% | 2.14963 | 32,700,000 | 31,634,057 |
| United States Treasury Bonds 4.375% | 2.14551 | 32,700,000 | 31,573,383 |
| Federal National Mortgage Association 5.5% | 2.07080 | 30,900,000 | 30,473,918 |
| United States Treasury Notes 4.375% | 2.01345 | 29,600,000 | 29,630,062 |
| United States Treasury Notes 1.75% | 1.95148 | 29,580,870 | 28,718,099 |
| Government National Mortgage Association 3% | 1.77740 | 30,000,000 | 26,156,250 |
| Federal National Mortgage Association 4.5% | 1.67263 | 26,100,000 | 24,614,543 |
| United States Treasury Notes 3.75% | 1.65780 | 25,200,000 | 24,396,258 |
| Pimco Fds | 1.56781 | 2,365,379 | 23,071,909 |
| United States Treasury Bonds 3.25% | 1.40187 | 24,800,000 | 20,630,016 |
| United States Treasury Bonds 1.375% | 1.37291 | 32,000,000 | 20,203,750 |
| Secretaria Tesouro Nacional 0% | 1.34431 | 118,700 | 19,782,963 |
| United States Treasury Notes 1.125% | 1.29837 | 20,641,682 | 19,106,828 |
| United States Treasury Notes 4.875% | 1.28775 | 18,600,000 | 18,950,566 |
| United States Treasury Notes 2.875% | 1.26147 | 19,700,000 | 18,563,787 |
| United States Treasury Notes 1.25% | 1.15942 | 19,200,000 | 17,062,125 |
| United States Treasury Notes 1.25% | 1.14671 | 19,200,000 | 16,875,000 |
| Federal Home Loan Mortgage Corp. 5.5% | 1.14535 | 17,080,592 | 16,854,986 |
| United States Treasury Notes 0.625% | 1.13811 | 18,669,468 | 16,748,406 |
| United States Treasury Notes 4.875% | 1.02732 | 14,700,000 | 15,118,031 |
| United States Treasury Notes 4.625% | 1.01309 | 14,700,000 | 14,908,729 |
| United States Treasury Notes 4.125% | 0.99975 | 14,900,000 | 14,712,295 |
| Federal National Mortgage Association 5% | 0.97192 | 14,800,000 | 14,302,812 |
| United States Treasury Notes 4% | 0.93702 | 14,000,000 | 13,789,180 |
| United States Treasury Notes 4.125% | 0.93468 | 13,900,000 | 13,754,756 |
| Federal Home Loan Mortgage Corp. 0.8% | 0.91874 | 14,800,000 | 13,520,240 |
| United States Treasury Notes 0.125% | 0.90542 | 15,383,096 | 13,324,172 |
| South Africa (Republic of) 10.5% | 0.84589 | 219,000,000 | 12,448,163 |
| Federal National Mortgage Association 4% | 0.83328 | 13,400,000 | 12,262,570 |
| United Kingdom of Great Britain and Northern Ireland 4.375% | 0.82756 | 10,100,000 | 12,178,347 |
| Fnma Pass-Thru I 5% | 0.74334 | 11,304,489 | 10,938,998 |
| United States Treasury Notes 4% | 0.69407 | 10,400,000 | 10,213,938 |
| United States Treasury Notes 3.75% | 0.68452 | 10,400,000 | 10,073,375 |
| United States Treasury Notes 3.625% | 0.68060 | 10,400,000 | 10,015,688 |
| Government National Mortgage Association 4.5% | 0.67660 | 10,471,506 | 9,956,865 |
| Federal Home Loan Mortgage Corp. 5% | 0.67044 | 10,197,430 | 9,866,289 |
| Federal National Mortgage Association 6.5% | 0.58001 | 8,270,801 | 8,535,488 |
| Pimco Fds | 0.56516 | 854,855 | 8,316,883 |
| UBS Group AG 6.442% | 0.46000 | 6,600,000 | 6,769,367 |
| Ripon Mortgages PLC 5.91229% | 0.45512 | 5,297,745 | 6,697,544 |
| Tennessee Valley Authority 3.875% | 0.43229 | 6,500,000 | 6,361,557 |
| Pacific Gas and Electric Company 6.4% | 0.41437 | 5,900,000 | 6,097,912 |
| Standard Chartered PLC 5.688% | 0.37395 | 5,500,000 | 5,503,118 |
| Avis Budget Rental Car Funding AESOP LLC 6.02% | 0.36976 | 5,300,000 | 5,441,373 |
| Gmf Floorplan Owner Revolving Trust 5.34% | 0.35010 | 5,100,000 | 5,152,108 |
| CITIZENS AUTO RECEIVABLES TRUST 2023-1 5.84% | 0.34820 | 5,100,000 | 5,124,198 |
| TESLA AUTO LEASE TRUST 2023-B 6.22% | 0.34297 | 5,000,000 | 5,047,170 |
| United States Treasury Bonds 4.5% | 0.34006 | 5,100,000 | 5,004,375 |
| Federal Home Loan Mortgage Corp. 6.5% | 0.32854 | 4,746,983 | 4,834,870 |
| Capital One Financial Corp. 5.7% | 0.32098 | 4,700,000 | 4,723,493 |
| United States Treasury Bonds 4% | 0.30694 | 4,900,000 | 4,516,996 |
| ARBOR REALTY COMMERCIAL REAL ESTATE NOTES 2021-FL4 LTD. 6.79332% | 0.30555 | 4,500,000 | 4,496,486 |
| First Franklin Mortgage Loan Trust 5.76971% | 0.30526 | 5,800,000 | 4,492,216 |
| American Tower Corporation 5.8% | 0.29798 | 4,300,000 | 4,385,116 |
| COLLEGE AVE STUDENT LOANS 2023-B LLC 6.98535% | 0.28971 | 4,221,250 | 4,263,451 |
| Suntory Holdings LTD 2.25% | 0.28917 | 4,300,000 | 4,255,500 |
| Government National Mortgage Association 5% | 0.28463 | 4,300,000 | 4,188,569 |
| HSBC Holdings PLC 7.39% | 0.28036 | 3,900,000 | 4,125,733 |
| Venture 33 Clo Limited & Llc 6.65017% | 0.27735 | 4,078,256 | 4,081,428 |
| Bayer US Finance II LLC 4.25% | 0.27270 | 4,100,000 | 4,012,996 |
| Daimler Trucks Finance North America LLC 6.07569% | 0.27244 | 4,000,000 | 4,009,312 |
| Cbam 2019-9 Ltd/Llc 6.95856% | 0.27237 | 4,000,000 | 4,008,252 |
| Towd Point Mortgage Funding 2019-Auburn 13 plc 6.57544% | 0.27066 | 3,148,531 | 3,983,041 |
| SFO COMMERCIAL MORTGAGE TRUST 6.59348% | 0.27057 | 4,200,000 | 3,981,705 |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5 6.55848% | 0.27030 | 4,000,000 | 3,977,712 |
| Synchrony Bank 5.4% | 0.26986 | 4,000,000 | 3,971,216 |
| Nomura Holdings Inc. 1.851% | 0.26774 | 4,100,000 | 3,940,016 |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290 6.53848% | 0.26153 | 4,000,000 | 3,848,710 |
| T-Mobile USA, Inc. 5.05% | 0.25938 | 3,900,000 | 3,816,985 |
| Amgen Inc. 5.25% | 0.25760 | 3,800,000 | 3,790,793 |
| UBS Group AG 4.488% | 0.25522 | 3,800,000 | 3,755,885 |
| Quanta Services, Inc. 0.95% | 0.25492 | 3,800,000 | 3,751,422 |
| STWD 2022-FL3 LTD 6.68303% | 0.25377 | 3,800,000 | 3,734,433 |
| RASC Series 2006 KS2 Trust 6.07471% | 0.25238 | 3,900,000 | 3,713,992 |
| ENEL Finance International N.V. 1.375% | 0.25178 | 4,000,000 | 3,705,253 |
| MARINER FINANCE ISSUANCE TRUST 1.86% | 0.25170 | 4,000,000 | 3,704,022 |
| Mitsubishi UFJ Financial Group Inc. 1.64% | 0.25036 | 4,000,000 | 3,684,300 |
| CITIZENS AUTO RECEIVABLES TRUST 2023-2 5.83% | 0.24626 | 3,600,000 | 3,624,041 |
| EXTENDED STAY AMERICA TRUST 2021-ESH 6.52348% | 0.24599 | 3,631,178 | 3,619,949 |
| Renesas Electronics Corp. 2.17% | 0.24538 | 3,900,000 | 3,611,016 |
| RGA Global Funding 2% | 0.24442 | 3,900,000 | 3,596,837 |
| Banco Santander, S.A. 5.552% | 0.24425 | 3,600,000 | 3,594,435 |
| Imperial Brands Finance Plc 3.125% | 0.24417 | 3,600,000 | 3,593,240 |
| Mexico (United Mexican States) 2.75% | 0.24218 | 773,910 | 3,563,956 |
| Imperial Brands Finance Plc 6.125% | 0.24212 | 3,500,000 | 3,563,076 |
| Sumitomo Mitsui Financial Group Inc. 2.472% | 0.24210 | 4,000,000 | 3,562,708 |
| Hyundai Capital America 6.48984% | 0.23886 | 3,500,000 | 3,515,065 |
| LAD AUTO RECEIVABLES TRUST 2023-3 6.12% | 0.23881 | 3,500,000 | 3,514,284 |
| GS MORTGAGE SECURITIES CORPORATION TRUST 2022-GTWY 8.729% | 0.23837 | 3,500,000 | 3,507,872 |
| MF1 2022-FL9 LLC 7.48867% | 0.23821 | 3,500,000 | 3,505,530 |
| Capital One Multi Asset Execution Trust 6.02332% | 0.23808 | 3,500,000 | 3,503,592 |
| Morgan Stanley 4.21% | 0.23777 | 3,600,000 | 3,499,071 |
| UBS AG New York Branch 4.75% | 0.23755 | 3,500,000 | 3,495,729 |
| LENDMARK FUNDING TRUST 1.9% | 0.23698 | 3,800,000 | 3,487,342 |
| BDS 2022-FL11 LTD 7.14225% | 0.23679 | 3,499,966 | 3,484,674 |
| CGI Inc 1.45% | 0.23653 | 3,800,000 | 3,480,742 |
| Nissan Motor Acceptance Co LLC 1.85% | 0.23651 | 3,800,000 | 3,480,424 |
| Israel (State Of) 2.75% | 0.23549 | 4,100,000 | 3,465,507 |
| ENEL Finance International N.V. 4.625% | 0.23332 | 3,500,000 | 3,433,501 |
| Sun Communities Operating Limited Partnership 2.3% | 0.23315 | 3,900,000 | 3,431,022 |
| VOLKSWAGEN AUTO LEASE TRUST 2023-A 5.8% | 0.23277 | 3,400,000 | 3,425,396 |
| INTOWN 2022-STAY 7.8176% | 0.23186 | 3,400,000 | 3,412,002 |
| PFP 2022-9 LTD 7.60476% | 0.23139 | 3,400,000 | 3,405,130 |
| Berry Global Inc 1.57% | 0.22994 | 3,600,000 | 3,383,838 |
| Mizuho Financial Group Inc. 3.261% | 0.22894 | 3,700,000 | 3,369,103 |
| GPMT 2021-FL4 LTD 6.80971% | 0.22778 | 3,411,759 | 3,352,053 |
| Romania (Republic Of) 2% | 0.22777 | 4,000,000 | 3,351,811 |
| Romania (Republic Of) 3.624% | 0.22747 | 3,400,000 | 3,347,448 |
| GA Global Funding Trust 1.95% | 0.22702 | 3,800,000 | 3,340,787 |
| Wells Fargo & Co. 3.526% | 0.22690 | 3,500,000 | 3,339,073 |
| Duke Energy Florida LLC 2.4% | 0.22585 | 4,000,000 | 3,323,567 |
| UBS Group AG 3.869% | 0.22459 | 3,500,000 | 3,305,050 |
| Southern Co. 1.75% | 0.22309 | 3,700,000 | 3,282,989 |
| Dominion Energy Inc 2.25% | 0.22153 | 4,000,000 | 3,260,037 |
| Broadcom Inc 3.419% | 0.22031 | 3,759,000 | 3,242,081 |
| United States Treasury Notes 0.25% | 0.22025 | 3,309,500 | 3,241,219 |
| Aviation Capital Group LLC 4.125% | 0.22005 | 3,300,000 | 3,238,195 |
| Equinix, Inc. 1.55% | 0.21999 | 3,700,000 | 3,237,379 |
| Entergy Corporation 1.9% | 0.21575 | 3,600,000 | 3,174,932 |
| NISSAN AUTO LEASE TRUST 2023-B 5.61% | 0.21427 | 3,150,000 | 3,153,238 |
| HERA COMMERCIAL MORTGAGE 2021-FL1 LTD 6.4964% | 0.21381 | 3,181,212 | 3,146,416 |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-DATA 4.04633% | 0.21282 | 3,500,000 | 3,131,805 |
| MF1 2021-FL7 LTD 6.5264% | 0.21218 | 3,136,109 | 3,122,389 |
| Struct Ass 07-Ar7 6.30971% | 0.21035 | 3,994,567 | 3,095,486 |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 3.87366% | 0.20860 | 3,500,000 | 3,069,768 |
| Global Payments Inc 2.9% | 0.20716 | 3,500,000 | 3,048,606 |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2.627% | 0.20468 | 4,000,000 | 3,012,079 |
| READY CAPITAL MORTGAGE FINANCING 2022-FL8 LLC 6.98501% | 0.20403 | 3,007,686 | 3,002,555 |
| HONDA AUTO RECEIVABLES 2023-2 OWNER TRUST 4.93% | 0.20280 | 3,000,000 | 2,984,364 |
| GS MORTGAGE BACKED SECURITIES TRUST 2022-HP1 3% | 0.20184 | 3,584,698 | 2,970,268 |
| GS MORTGAGE SECURITIES CORPORATION TRUST 2021-DM 6.32848% | 0.20167 | 3,000,000 | 2,967,784 |
| Lloyds Banking Group PLC 5.7537% | 0.20030 | 4,400,000 | 2,947,686 |
| ONE NEW YORK PLAZA TRUST 2020-1NYP 6.39348% | 0.19854 | 3,000,000 | 2,921,791 |
| CVC Cordatus Opportunity Loan Fund Designated Activity Co. 5.289% | 0.19662 | 2,700,000 | 2,893,472 |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST RRI 7.15244% | 0.19361 | 2,850,103 | 2,849,133 |
| Indymac Indx Mtg 5.95971% | 0.19359 | 4,538,823 | 2,848,888 |
| Federal National Mortgage Association 6.5% | 0.19355 | 2,800,000 | 2,848,344 |
| BANK 2019-BNK19 3.071% | 0.19270 | 3,000,000 | 2,835,796 |
| UWM MORTGAGE TRUST 2021-INV5 3% | 0.19232 | 3,415,683 | 2,830,223 |
| Man Glg Euro Clo V Designated Activity Company 4.409% | 0.19206 | 2,637,674 | 2,826,314 |
| MF1 2021-FL6 LTD 6.5464% | 0.19157 | 2,836,984 | 2,819,182 |
| OBX 2022-INV2 TRUST 3% | 0.19006 | 3,370,475 | 2,796,970 |
| Athene Global Funding 4.823% | 0.18966 | 2,600,000 | 2,790,994 |
| AIB Group PLC 5.871% | 0.18911 | 2,800,000 | 2,782,879 |
| SUNRUN DEMETER ISSUER 2021-2 LLC 2.27% | 0.18899 | 3,393,705 | 2,781,164 |
| BSPDF 2021-FL1 ISSUER LTD 6.64332% | 0.18874 | 2,848,626 | 2,777,547 |
| United States Treasury Bonds 1.875% | 0.18609 | 4,000,000 | 2,738,516 |
| Ownit Mtg Loan Tr 6.35971% | 0.18364 | 2,857,680 | 2,702,387 |
| Avis Budget Rental Car Funding AESOP LLC 5.44% | 0.18355 | 2,700,000 | 2,701,144 |
| Ford Motor Credit Company LLC 6.8% | 0.18210 | 2,600,000 | 2,679,727 |
| Venture CDO Ltd. 6.63617% | 0.18025 | 2,648,578 | 2,652,558 |
| UWM MORTGAGE TRUST 2021-INV3 2.5% | 0.18011 | 3,330,000 | 2,650,530 |
| Morgan Stanley 5.123% | 0.17928 | 2,648,000 | 2,638,274 |
| OCTANE RECEIVABLES TRUST 2023-2 5.88% | 0.17845 | 2,624,638 | 2,626,113 |
| Avis Budget Rental Car Funding AESOP LLC 5.78% | 0.17812 | 2,600,000 | 2,621,293 |
| Federal National Mortgage Association 6.5% | 0.17793 | 2,571,326 | 2,618,363 |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1 5.12% | 0.17706 | 2,600,000 | 2,605,596 |
| Cheniere Energy Inc 5.65% | 0.17693 | 2,600,000 | 2,603,679 |
| Fort CRE 2022-FL3 Issuer LLC 7.18535% | 0.17680 | 2,628,619 | 2,601,865 |
| GLP Capital L.P. and GLP Financing II, Inc. 5.25% | 0.17533 | 2,600,000 | 2,580,160 |
| ING Groep N.V. 5.55% | 0.17451 | 2,600,000 | 2,568,119 |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 6.426% | 0.17380 | 2,569,747 | 2,557,689 |
| Banco Santander, S.A. 6.607% | 0.17135 | 2,400,000 | 2,521,643 |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 4.6058% | 0.17115 | 2,600,000 | 2,518,581 |
| Ford Auto Securitization Trust II 6.027% | 0.16889 | 3,300,000 | 2,485,456 |
| Fnma Pass-Thru I 4% | 0.16867 | 2,707,816 | 2,482,194 |
| GS MORTGAGE-BACKED SECURITIES 2022-PJ4 2.5% | 0.16859 | 3,126,808 | 2,480,994 |
| Reliance Inc 1.3% | 0.16833 | 2,600,000 | 2,477,143 |
| AREIT 2023-CRE8 Ltd./AREIT 2023-CRE8 LLC 7.44064% | 0.16818 | 2,464,912 | 2,474,896 |
| Bank of America Corp. 5.819% | 0.16653 | 2,400,000 | 2,450,695 |
| Caixabank S.A. 6.684% | 0.16626 | 2,400,000 | 2,446,746 |
| Deutsche Alt-A Secs Inc 5.85971% | 0.16606 | 2,959,358 | 2,443,674 |
| Fnma Pass-Thru I 5% | 0.16498 | 2,508,631 | 2,427,795 |
| ENT AUTO RECEIVABLES TRUST 2023-1 6.24% | 0.16458 | 2,400,000 | 2,422,033 |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-C 5.8% | 0.16379 | 2,400,000 | 2,410,271 |
| Master Credit Card Trust 6.18303% | 0.16379 | 2,400,000 | 2,410,289 |
| Fnma Pass-Thru I 5% | 0.16176 | 2,459,539 | 2,380,475 |
| Sanders Re III Ltd. Acting In Res Segregated 2022-1 17.13092% | 0.15987 | 2,600,000 | 2,352,675 |
| Tiaa Clo III Ltd 6.73927% | 0.15798 | 2,322,505 | 2,324,774 |
| Barclays PLC 5.674% | 0.15658 | 2,300,000 | 2,304,206 |
| Fnma Pass-Thru I 4% | 0.15103 | 2,423,872 | 2,222,535 |
| ANGEL OAK MORTGAGE TRUST 2021-8 1.82% | 0.15082 | 2,574,410 | 2,219,439 |
| Banco Santander, S.A. 6.938% | 0.14855 | 2,000,000 | 2,185,996 |
| Catamaran CLO Ltd. 2014-1 Ltd. 6.68617% | 0.14846 | 2,181,407 | 2,184,741 |
| Barclays PLC 6.49% | 0.14777 | 2,100,000 | 2,174,531 |
| Flagship Credit Auto Trust 2022-2 4.03% | 0.14677 | 2,170,847 | 2,159,944 |
| Federal Home Loan Mortgage Corp. 6.5% | 0.14460 | 2,089,711 | 2,127,938 |
| Narragansett Electric Co. 5.35% | 0.14138 | 2,100,000 | 2,080,543 |
| Antares Holdings LP 6.5% | 0.14061 | 2,100,000 | 2,069,156 |
| AES Corp. 7.6% | 0.13766 | 2,000,000 | 2,025,790 |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-1 5.71% | 0.13531 | 1,990,634 | 1,991,301 |
| ENTERPRISE FLEET FINANCING 2022-3 LLC 4.38% | 0.13400 | 1,991,184 | 1,971,887 |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-5 6.31% | 0.13381 | 1,964,326 | 1,969,220 |
| BPCRE 2022-FL2 Ltd / BPCRE 2022-FL2 LLC 7.73192% | 0.13328 | 1,963,695 | 1,961,378 |
| Turkey (Republic of) 5.875% | 0.13132 | 1,800,000 | 1,932,580 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.12691 | 1,891,551 | 1,867,686 |
| Federal National Mortgage Association 4.5% | 0.12359 | 1,927,365 | 1,818,689 |
| Federal Home Loan Mortgage Corp. 5% | 0.12320 | 1,874,922 | 1,812,948 |
| Citibank Credit Card Issuance Trust 6.05239% | 0.12290 | 1,800,000 | 1,808,645 |
| SALT 2021-1 TRUST 2.301% | 0.11808 | 1,871,066 | 1,737,617 |
| Government National Mortgage Association 6.03732% | 0.11742 | 1,733,120 | 1,727,902 |
| Goldman Sachs Group, Inc. 6.75399% | 0.11637 | 1,700,000 | 1,712,520 |
| AEP Texas Inc 3.95% | 0.11621 | 1,800,000 | 1,710,187 |
| Poland (Republic of) 5.125% | 0.11378 | 1,700,000 | 1,674,351 |
| Fnma Pass-Thru I 5% | 0.11287 | 1,717,391 | 1,661,043 |
| Banco Bilbao Vizcaya Argentaria, S.A. 5.381% | 0.10912 | 1,600,000 | 1,605,823 |
| SBNA AUTO LEASE TRUST 2024-A 5.39% | 0.10857 | 1,600,000 | 1,597,695 |
| Cassa Depositi e Prestiti S.p.A. 5.75% | 0.10834 | 1,600,000 | 1,594,391 |
| ING Groep N.V. 5.335% | 0.10833 | 1,600,000 | 1,594,257 |
| FORD CREDIT AUTO OWNER TRUST 2023-A 6.05303% | 0.10632 | 1,563,278 | 1,564,590 |
| Eversource Energy 5.45% | 0.10227 | 1,500,000 | 1,505,069 |
| Freedom Mortgage Corporation 12% | 0.10225 | 1,400,000 | 1,504,731 |
| Federal National Mortgage Association 6% | 0.10218 | 1,500,000 | 1,503,691 |
| ALLEGRO CLO XI LTD 6.57656% | 0.10181 | 1,500,000 | 1,498,280 |
| Federal National Mortgage Association 2.34894% | 0.09888 | 20,405,771 | 1,455,154 |
| KBC Group NV 6.324% | 0.09882 | 1,400,000 | 1,454,248 |
| Government National Mortgage Association 4% | 0.09732 | 1,545,109 | 1,432,216 |
| Radian Group Inc. 6.2% | 0.09611 | 1,400,000 | 1,414,317 |
| TPG Operating Group II LP 5.875% | 0.09557 | 1,400,000 | 1,406,481 |
| Oracle Corp. 2.875% | 0.09392 | 1,600,000 | 1,382,153 |
| GS Mortgage Securities Corp 6.20971% | 0.09330 | 1,420,389 | 1,372,950 |
| Pacific Gas and Electric Company 3.15% | 0.09168 | 1,400,000 | 1,349,121 |
| Federal Home Loan Mortgage Corp. 4% | 0.09112 | 1,463,057 | 1,340,957 |
| Wells Fargo Alternative Loan 2007-Pa2 Trust 6% | 0.09061 | 1,553,474 | 1,333,443 |
| Ford Motor Credit Company LLC 4.125% | 0.09044 | 1,400,000 | 1,330,863 |
| Mexico (United Mexican States) 6.338% | 0.08994 | 1,400,000 | 1,323,494 |
| Caesars Entertainment Tl B1 1l Tsfr1m | 0.08754 | 1,285,700 | 1,288,310 |
| HYUNDAI AUTO RECEIVABLES TRUST 2023-A 5.19% | 0.08479 | 1,248,841 | 1,247,820 |
| AES Corp. 5.45% | 0.08478 | 1,250,000 | 1,247,637 |
| Strctrd Asset Invt 6.35971% | 0.08419 | 1,270,055 | 1,239,009 |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-2 6.153% | 0.08152 | 1,198,010 | 1,199,600 |
| Mexico (United Mexican States) 4% | 0.08142 | 234,124 | 1,198,158 |
| Southern California Edison Company 4.9% | 0.08092 | 1,200,000 | 1,190,764 |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 6.82601% | 0.08065 | 1,314,950 | 1,186,785 |
| Poland (Republic of) 4.625% | 0.08062 | 1,200,000 | 1,186,442 |
| Park Place Securities Inc. 7.25971% | 0.08047 | 1,201,815 | 1,184,264 |
| AEP Transmission Company, LLC 5.15% | 0.07976 | 1,200,000 | 1,173,696 |
| Cape Lookout Re Ltd. 14.96092% | 0.07942 | 1,200,000 | 1,168,800 |
| Broadcom Inc 2.45% | 0.07832 | 1,368,000 | 1,152,531 |
| Ursa Re Ltd 10.87535% | 0.07611 | 1,100,000 | 1,120,048 |
| GATX Corporation 5.4% | 0.07484 | 1,100,000 | 1,101,383 |
| DLLMT 2023-1 LLC 5.78% | 0.07446 | 1,095,124 | 1,095,709 |
| Government National Mortgage Association 6.72255% | 0.07207 | 1,052,689 | 1,060,603 |
| Citigroup Mortgage Loan Trust 6.40471% | 0.07102 | 1,097,763 | 1,045,151 |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-2 5.1% | 0.06918 | 1,019,435 | 1,018,053 |
| RASC Series 2006 KS8 Trust 5.69971% | 0.06913 | 1,049,412 | 1,017,315 |
| UBS Group AG 6.327% | 0.06910 | 1,000,000 | 1,016,918 |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-C 5.84% | 0.06841 | 1,000,000 | 1,006,706 |
| East Lane Re VII Ltd. 14.62092% | 0.06819 | 1,000,000 | 1,003,500 |
| Ford Motor Credit Company LLC 5.8% | 0.06775 | 1,000,000 | 996,958 |
| Banco Santander, S.A. 5.538% | 0.06747 | 1,000,000 | 992,848 |
| Fnma Pass-Thru I 5.5% | 0.06534 | 973,202 | 961,582 |
| Cwalt Incorporation 5.99971% | 0.06455 | 1,875,746 | 949,955 |
| VEROS AUTO RECEIVABLES TRUST 2023-1 7.12% | 0.06444 | 945,139 | 948,247 |
| Polestar Re Ltd. 13.25% | 0.06221 | 900,000 | 915,525 |
| Mexico (United Mexican States) 4% | 0.05948 | 178,845 | 875,380 |
| Federal Home Loan Mortgage Corp. 4% | 0.05925 | 952,228 | 871,873 |
| Fnma Pass-Thru I 4% | 0.05911 | 949,270 | 869,856 |
| RAMP Series 2006-NC2 Trust 5.99971% | 0.05896 | 911,064 | 867,671 |
| Avolon Holdings Funding Ltd. 2.528% | 0.05846 | 956,000 | 860,310 |
| Fremont Home Loan Trust 5.99971% | 0.05843 | 1,000,000 | 859,870 |
| LKQ Dutch Bond BV 4.125% | 0.05823 | 800,000 | 856,883 |
| Federal Home Loan Mortgage Corp. 4% | 0.05783 | 927,879 | 851,009 |
| Fnma Pass-Thru I 4% | 0.05758 | 923,075 | 847,389 |
| Ford Motor Credit Company LLC 3.815% | 0.05740 | 900,000 | 844,698 |
| Credit Agricole S.A. London Branch 6.316% | 0.05585 | 800,000 | 821,964 |
| Lazard Group LLC 6% | 0.05501 | 800,000 | 809,505 |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1 5.89% | 0.05499 | 808,378 | 809,231 |
| Northern Star Resources Ltd. 6.125% | 0.05482 | 800,000 | 806,756 |
| Nationstar Mortgage LLC 7.125% | 0.05474 | 800,000 | 805,574 |
| Tyson Foods, Inc. 5.4% | 0.05445 | 800,000 | 801,319 |
| Government National Mortgage Association 4.5% | 0.05430 | 830,234 | 799,120 |
| Lloyds Banking Group PLC 5.679% | 0.05418 | 800,000 | 797,261 |
| Tyson Foods, Inc. 5.7% | 0.05418 | 800,000 | 797,313 |
| ResLoC UK 2007-1 PLC 5.48419% | 0.05408 | 644,597 | 795,890 |
| Citizens Bank National Association 5.284% | 0.05405 | 800,000 | 795,368 |
| Fnma Pass-Thru I 5% | 0.05387 | 819,111 | 792,779 |
| Federal Home Loan Mortgage Corp. 5.94751% | 0.05196 | 775,470 | 764,710 |
| United Air Lines, Inc. 4% | 0.05195 | 764,579 | 764,520 |
| BMW Canada Auto Trust 4.844% | 0.05045 | 1,000,000 | 742,402 |
| Federal Home Loan Mortgage Corp. 5% | 0.05035 | 765,790 | 740,903 |
| Structured Asset Securities Corp. 5.87971% | 0.04988 | 759,714 | 734,102 |
| Federal Home Loan Mortgage Corp. 4% | 0.04871 | 782,190 | 716,852 |
| REACH ABS TRUST 2024-1 6.3% | 0.04795 | 703,685 | 705,627 |
| PROJECT HUDSON II (WSGG) FIXED 7.73% | 0.04777 | 700,000 | 702,999 |
| Mizuho Financial Group Inc. 5.382% | 0.04752 | 700,000 | 699,236 |
| Bank of America Corp. 5.55767% | 0.04744 | 768,775 | 698,165 |
| Bank of America Corp. 4.948% | 0.04720 | 700,000 | 694,552 |
| Bank of America Corp. 5.202% | 0.04716 | 695,000 | 694,070 |
| Winston RE Ltd. 17.12875% | 0.04689 | 700,000 | 690,042 |
| Cmalt Citimortgage 6% | 0.04655 | 859,935 | 684,997 |
| TOWD POINT HE TRUST 0.918% | 0.04619 | 707,597 | 679,792 |
| MF1 2021-FL5 Ltd / LLC 6.29332% | 0.04584 | 676,674 | 674,651 |
| Broadcom Inc 3.137% | 0.04524 | 831,000 | 665,759 |
| Structured Adj Rate Mtg Loan Trust 4.34587% | 0.04195 | 907,205 | 617,309 |
| VERUS SECURITIZATION TRUST 2023-4 5.811% | 0.04184 | 618,799 | 615,716 |
| Cwasb A/Bkd 06-12 5.97971% | 0.04107 | 648,313 | 604,368 |
| Fnma Pass-Thru I 5% | 0.04086 | 621,310 | 601,368 |
| Sixth Street Lending Partners 6.5% | 0.04032 | 600,000 | 593,398 |
| CWABS Inc. 6.05971% | 0.03959 | 585,887 | 582,665 |
| Ford Motor Credit Company LLC 4.271% | 0.03930 | 600,000 | 578,348 |
| Fnma Pass-Thru I 4% | 0.03925 | 629,746 | 577,567 |
| Bear Stearns Alternative A Trust 5.31074% | 0.03884 | 692,172 | 571,580 |
| Wamu Mortgage Pass-Through CTFS TR 4.35546% | 0.03765 | 653,185 | 554,084 |
| Wamu Mortgage Pass-Through CTFS TR 4.17076% | 0.03680 | 612,600 | 541,551 |
| Government National Mortgage Association 5.8886% | 0.03626 | 535,134 | 533,615 |
| Federal Home Loan Mortgage Corp. 4.5% | 0.03435 | 513,089 | 505,470 |
| STIF FUND (JPY) (SSKC) | 0.03422 | 80,994,678 | 503,510 |
| UBS Group AG 5.428% | 0.03392 | 500,000 | 499,112 |
| Federal National Mortgage Association 6.5% | 0.03305 | 476,742 | 486,345 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.03243 | 483,596 | 477,208 |
| Federal National Mortgage Association 4% | 0.03167 | 505,134 | 466,084 |
| Structured Asset Securities Corp. 6.46471% | 0.03118 | 465,658 | 458,804 |
| Federal National Mortgage Association 6.567% | 0.03059 | 437,610 | 450,136 |
| JPMorgan Chase & Co. 3.96% | 0.03041 | 458,000 | 447,526 |
| Federal Home Loan Mortgage Corp. 4% | 0.02996 | 481,282 | 440,937 |
| Fnma Pass-Thru I 5% | 0.02978 | 452,787 | 438,186 |
| Government National Mortgage Association 3% | 0.02961 | 499,950 | 435,794 |
| Banco Espirito Santo S.A. 4% | 0.02957 | 1,400,000 | 435,131 |
| Banco Espirito Santo S.A. 4.75% | 0.02957 | 1,400,000 | 435,131 |
| Government National Mortgage Association 3.5% | 0.02915 | 474,869 | 428,930 |
| Intesa Sanpaolo S.p.A. 7.2% | 0.02908 | 400,000 | 427,973 |
| Federal National Mortgage Association 4% | 0.02888 | 464,184 | 425,028 |
| Santander UK Group Holdings PLC 6.534% | 0.02794 | 400,000 | 411,165 |
| BMW Canada Auto Trust 5.43% | 0.02690 | 541,250 | 395,861 |
| Blue Owl Credit Income Corp. 6.6% | 0.02682 | 400,000 | 394,742 |
| Ford Motor Credit Company LLC 4.95% | 0.02655 | 400,000 | 390,639 |
| Eurosail-UK 2007-2NP PLC 5.47562% | 0.02635 | 307,763 | 387,719 |
| Eurohome UK Mortgages 2007-1 PLC 5.47419% | 0.02511 | 294,807 | 369,530 |
| Federal National Mortgage Association 5.5% | 0.02487 | 364,522 | 365,991 |
| Ford Motor Credit Company LLC 2.9% | 0.02460 | 400,000 | 361,953 |
| Federal National Mortgage Association 5% | 0.02423 | 360,393 | 356,515 |
| Federal National Mortgage Association 3.5% | 0.02406 | 400,000 | 354,125 |
| Fnma Pass-Thru I 4% | 0.02230 | 358,088 | 328,201 |
| Federal National Mortgage Association 3.5% | 0.02188 | 358,179 | 321,963 |
| Federal National Mortgage Association 5.5% | 0.02163 | 322,628 | 318,366 |
| Citigroup Mortgage Loan Trust 7.56% | 0.02140 | 320,407 | 314,949 |
| Bear Stearns Alternative A Trust 5.3102% | 0.02121 | 334,906 | 312,140 |
| UBS AG, London Branch 5.65% | 0.02077 | 300,000 | 305,668 |
| Torrey Pines Re Limited 5.87456% | 0.02048 | 300,000 | 301,365 |
| Federal Home Loan Mortgage Corp. 3.5% | 0.01970 | 323,267 | 289,891 |
| Mexico (United Mexican States) 3% | 0.01928 | 56,092 | 283,700 |
| United Airlines Pass Through Trust 2019-2AA 2.7% | 0.01905 | 323,177 | 280,414 |
| Residential Asset Mortgage Products, Inc. 5.89971% | 0.01890 | 315,197 | 278,205 |
| Windmill III Re Designated Activity Co. 8.967% | 0.01823 | 250,000 | 268,259 |
| Government National Mortgage Association 5% | 0.01801 | 268,054 | 265,047 |
| HSBC Holdings PLC 6.254% | 0.01770 | 250,000 | 260,447 |
| Federal National Mortgage Association 4% | 0.01737 | 262,681 | 255,674 |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-2 5.87% | 0.01714 | 252,229 | 252,292 |
| Kizuna Re III Pte Limited 5.8657% | 0.01712 | 250,000 | 252,012 |
| Renaissance Hm Eqt 5.612% | 0.01612 | 927,119 | 237,251 |
| CWMBS Inc 6.241% | 0.01584 | 261,465 | 233,055 |
| STIF FUND (CAD) | 0.01529 | 307,981 | 225,075 |
| MASTR Specialized Loan Trust 5.97971% | 0.01473 | 226,221 | 216,767 |
| CWABS Asset-Backed Certificates Trust 2006-22 5.73971% | 0.01469 | 244,299 | 216,151 |
| American Airlines, Inc. 3.375% | 0.01413 | 219,971 | 207,947 |
| Federal National Mortgage Association 4% | 0.01361 | 205,950 | 200,352 |
| Federal National Mortgage Association 5.5% | 0.01358 | 199,070 | 199,875 |
| Air Canada Pass Through Trust 2017-1 3.3% | 0.01341 | 215,520 | 197,322 |
| Chase Mortgage Financial Trust 4.67511% | 0.01321 | 211,584 | 194,373 |
| Federal National Mortgage Association 5.5% | 0.01312 | 192,324 | 193,104 |
| STATE STREET STIF FUND (EUR) | 0.01311 | 180,036 | 192,954 |
| Soundview Home Loan Trust 6.13471% | 0.01304 | 196,626 | 191,957 |
| EPR Properties 4.5% | 0.01301 | 200,000 | 191,398 |
| STATE STREET STIF FUND (GBP) | 0.01292 | 150,434 | 190,164 |
| Fnma Pass-Thru I 5% | 0.01278 | 194,377 | 188,070 |
| NatWest Group PLC 3.073% | 0.01272 | 200,000 | 187,226 |
| Federal Home Loan Mortgage Corp. 4% | 0.01243 | 196,239 | 182,992 |
| Small Business Administration 4.75% | 0.01156 | 171,661 | 170,150 |
| Saranac CLO VII Ltd/ Saranac CLO VII LLC 6.81735% | 0.01132 | 166,341 | 166,591 |
| Federal National Mortgage Association 5.5% | 0.01113 | 163,118 | 163,779 |
| Federal National Mortgage Association 7.563% | 0.01090 | 155,644 | 160,423 |
| Fnma Pass-Thru I 4% | 0.01070 | 171,852 | 157,515 |
| Residential Fdg I 4.72671% | 0.01064 | 212,387 | 156,530 |
| Citigroup Mortgage Loan Trust 5.77971% | 0.01064 | 290,845 | 156,650 |
| Hudson Pacific Properties LP 4.65% | 0.01048 | 200,000 | 154,249 |
| Federal National Mortgage Association 5.5% | 0.01039 | 152,233 | 152,851 |
| Federal National Mortgage Association 5.5% | 0.01023 | 149,954 | 150,564 |
| Federal Home Loan Mortgage Corp. 4% | 0.01004 | 161,095 | 147,782 |
| Mastr Spec Ln Trt 5.97971% | 0.00999 | 152,215 | 146,947 |
| GS Mortgage Securities Corp 5.05733% | 0.00998 | 159,113 | 146,869 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00965 | 143,883 | 141,982 |
| Federal Home Loan Mortgage Corp. 4% | 0.00960 | 154,130 | 141,298 |
| UNITED AIR LINES INC PASS-THROUGH TRUSTS 3.5% | 0.00924 | 146,953 | 135,998 |
| Fnma Pass-Thru I 4% | 0.00917 | 147,316 | 134,956 |
| Federal National Mortgage Association 4% | 0.00902 | 136,411 | 132,771 |
| CWMBS Inc 4.71165% | 0.00860 | 140,766 | 126,605 |
| Federal National Mortgage Association 5.5% | 0.00847 | 124,093 | 124,596 |
| Stwd 2019-Fl1 LTD/LLC 6.52332% | 0.00843 | 124,497 | 124,032 |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1 6.38971% | 0.00768 | 118,417 | 113,041 |
| Structured Asset Mortgage Investments II Trust 5.95315% | 0.00754 | 114,477 | 110,909 |
| Federal National Mortgage Association 4% | 0.00741 | 112,099 | 109,116 |
| Fnma Pass-Thru I 4% | 0.00724 | 116,215 | 106,531 |
| Fnma Pass-Thru I 4% | 0.00695 | 111,456 | 102,203 |
| CWABS Asset-Backed Certificates Trust 2006-18 5.73971% | 0.00677 | 104,877 | 99,631 |
| Bear Stearns Alternative A Trust 4.98416% | 0.00646 | 164,520 | 95,033 |
| Mastr Specialized 6.19971% | 0.00642 | 233,092 | 94,432 |
| Federal Home Loan Mortgage Corp. 4% | 0.00638 | 100,172 | 93,829 |
| Federal Home Loan Mortgage Corp. 5% | 0.00638 | 96,750 | 93,820 |
| Federal National Mortgage Association 5.5% | 0.00588 | 86,185 | 86,535 |
| Federal National Mortgage Association 6% | 0.00587 | 84,433 | 86,378 |
| Residential Fdg I 5.32218% | 0.00587 | 134,543 | 86,341 |
| MortgageIT Trust 6.01971% | 0.00582 | 88,652 | 85,711 |
| Hudson Pacific Properties LP 5.95% | 0.00578 | 100,000 | 85,127 |
| Centene Corporation 2.625% | 0.00559 | 100,000 | 82,220 |
| Federal National Mortgage Association 5.5% | 0.00536 | 78,110 | 78,822 |
| Wamu Mortgage Pass-Through CTFS TR 6.03971% | 0.00478 | 73,259 | 70,295 |
| Fnma Pass-Thru I 4% | 0.00478 | 76,718 | 70,358 |
| Federal National Mortgage Association 6.08732% | 0.00453 | 68,396 | 66,666 |
| GLS AUTO RECEIVABLES ISSUER TRUST 2022-3 4.59% | 0.00413 | 60,746 | 60,709 |
| Federal National Mortgage Association 5.5% | 0.00395 | 57,958 | 58,193 |
| Federal National Mortgage Association 5.5% | 0.00387 | 56,473 | 56,987 |
| Mastr Reperforming 8% | 0.00372 | 76,307 | 54,804 |
| Federal National Mortgage Association 4.76294% | 0.00351 | 52,854 | 51,708 |
| Federal National Mortgage Association 5.5% | 0.00314 | 46,002 | 46,188 |
| Federal National Mortgage Association 5.5% | 0.00312 | 45,815 | 45,948 |
| Federal National Mortgage Association 5.5% | 0.00305 | 44,510 | 44,916 |
| Federal National Mortgage Association 5.5% | 0.00302 | 44,294 | 44,474 |
| Chase Mortgage Financial Trust 6.24871% | 0.00298 | 46,301 | 43,857 |
| Federal National Mortgage Association 5.5% | 0.00287 | 42,042 | 42,212 |
| Structured Asset Securities Corp. 6.57517% | 0.00285 | 44,330 | 41,872 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00281 | 41,178 | 41,397 |
| State Street Overnight Rate Aud | 0.00259 | 57,044 | 38,097 |
| Bear Stearns 06-4 6.56579% | 0.00245 | 39,907 | 36,059 |
| Banc of America Funding Corporation 6.0234% | 0.00240 | 38,500 | 35,388 |
| Federal National Mortgage Association 4.5% | 0.00235 | 35,120 | 34,617 |
| Federal National Mortgage Association 5.5% | 0.00230 | 33,757 | 33,894 |
| Lloyds Banking Group PLC 4% | 0.00225 | 50,000 | 33,088 |
| Federal National Mortgage Association 5.5% | 0.00224 | 32,811 | 32,944 |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 6.04751% | 0.00220 | 32,499 | 32,414 |
| Federal National Mortgage Association 5.5% | 0.00215 | 31,498 | 31,625 |
| STIF FUND (NZD) | 0.00205 | 49,421 | 30,115 |
| Morgan Stanley ML 6.96521% | 0.00202 | 31,010 | 29,766 |
| Federal National Mortgage Association 5.5% | 0.00197 | 28,921 | 28,995 |
| Federal National Mortgage Association 5.5% | 0.00196 | 28,686 | 28,803 |
| Peru (Republic Of) 5.94% | 0.00179 | 100,000 | 26,271 |
| Federal National Mortgage Association 5.5% | 0.00177 | 25,878 | 25,983 |
| Federal National Mortgage Association 5.5% | 0.00177 | 25,707 | 26,091 |
| Federal Home Loan Mortgage Corp. 4.5% | 0.00166 | 24,799 | 24,433 |
| CWMBS Inc 5.06939% | 0.00162 | 24,586 | 23,869 |
| Morgan Stanley Capital I Inc 5.81971% | 0.00162 | 29,481 | 23,852 |
| Federal National Mortgage Association 5.5% | 0.00160 | 23,470 | 23,565 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00151 | 22,141 | 22,259 |
| Federal Home Loan Mortgage Corp. 6% | 0.00149 | 21,532 | 21,962 |
| Federal National Mortgage Association 4.5% | 0.00137 | 20,511 | 20,177 |
| Federal National Mortgage Association 4% | 0.00133 | 20,900 | 19,542 |
| Fremont Hm Ln Ow T 6.24971% | 0.00132 | 20,907 | 19,488 |
| Federal National Mortgage Association 5.5% | 0.00122 | 17,873 | 17,946 |
| Federal National Mortgage Association 5.5% | 0.00119 | 17,463 | 17,502 |
| Federal National Mortgage Association 5.5% | 0.00118 | 17,376 | 17,386 |
| STIF FUND (BRL) | 0.00118 | 96,631 | 17,397 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00116 | 17,026 | 17,117 |
| Federal National Mortgage Association 4% | 0.00116 | 18,254 | 17,079 |
| Federal Home Loan Mortgage Corp. 5% | 0.00113 | 16,784 | 16,584 |
| Cwalt Incorporation 6.15277% | 0.00113 | 20,491 | 16,654 |
| Federal National Mortgage Association 6.5% | 0.00111 | 16,352 | 16,403 |
| Federal National Mortgage Association 6% | 0.00107 | 15,226 | 15,674 |
| CWMBS Inc 6.03971% | 0.00105 | 17,583 | 15,505 |
| Federal National Mortgage Association 5.5% | 0.00103 | 15,119 | 15,180 |
| Federal Home Loan Mortgage Corp. 4.5% | 0.00102 | 15,185 | 14,966 |
| Federal National Mortgage Association 4% | 0.00099 | 15,125 | 14,635 |
| Mellon Residential 6.30332% | 0.00098 | 15,359 | 14,376 |
| GS Mortgage Securities Corp 7.10971% | 0.00097 | 14,606 | 14,247 |
| Government National Mortgage Association 4.625% | 0.00094 | 14,027 | 13,806 |
| Federal National Mortgage Association 6% | 0.00093 | 13,336 | 13,730 |
| Federal National Mortgage Association 5.5% | 0.00092 | 13,427 | 13,481 |
| Government National Mortgage Association 5.75% | 0.00091 | 13,433 | 13,433 |
| United States Treasury Bills 0% | 0.00088 | 13,000 | 12,981 |
| Federal National Mortgage Association 5.5% | 0.00086 | 12,577 | 12,628 |
| Federal National Mortgage Association 5.5% | 0.00083 | 12,065 | 12,175 |
| Prime Mtg Trust 5.85971% | 0.00083 | 13,098 | 12,189 |
| Federal National Mortgage Association 5.5% | 0.00082 | 12,070 | 12,118 |
| Structured Asset Mortgage Investments Inc 5.85971% | 0.00078 | 10,088 | 11,466 |
| Federal Home Loan Mortgage Corp. 4.5% | 0.00077 | 11,448 | 11,279 |
| Federal National Mortgage Association 5.5% | 0.00077 | 11,346 | 11,392 |
| Banc America Mortgage Securitites Inc 5.62375% | 0.00076 | 11,871 | 11,183 |
| Federal Home Loan Mortgage Corp. 6% | 0.00075 | 10,752 | 11,050 |
| STIF FUND (SEK) | 0.00072 | 111,971 | 10,573 |
| STIF FUND (NOK) | 0.00070 | 109,824 | 10,315 |
| Federal National Mortgage Association 6% | 0.00067 | 9,556 | 9,796 |
| Bear Stearns Arm Trust 5.07455% | 0.00067 | 10,722 | 9,850 |
| Federal National Mortgage Association 5.5% | 0.00067 | 9,782 | 9,794 |
| Federal National Mortgage Association 6% | 0.00066 | 9,457 | 9,675 |
| Indymac Arm Trust 5.68608% | 0.00065 | 10,236 | 9,503 |
| Federal National Mortgage Association 5.5% | 0.00065 | 9,465 | 9,503 |
| Federal National Mortgage Association 5% | 0.00065 | 9,571 | 9,518 |
| Bear Stearns Arm Trust 5.27698% | 0.00064 | 10,321 | 9,449 |
| Federal National Mortgage Association 5.5% | 0.00063 | 9,296 | 9,334 |
| Structured Asset Mortgage Investments Inc 6.29315% | 0.00060 | 9,909 | 8,881 |
| Bear Stearns Arm Trust 5.50275% | 0.00060 | 9,765 | 8,810 |
| Federal National Mortgage Association 5.5% | 0.00059 | 8,691 | 8,737 |
| Federal National Mortgage Association 5.5% | 0.00057 | 8,335 | 8,369 |
| Federal National Mortgage Association 5.5% | 0.00057 | 8,356 | 8,389 |
| Federal National Mortgage Association 5.5% | 0.00057 | 8,362 | 8,395 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00057 | 8,392 | 8,448 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00055 | 7,989 | 8,072 |
| Federal National Mortgage Association 4.5% | 0.00054 | 8,228 | 7,966 |
| Federal National Mortgage Association 5.5% | 0.00052 | 7,648 | 7,679 |
| Citigroup Mortgage Loan Trust 6.23845% | 0.00051 | 8,561 | 7,468 |
| Federal National Mortgage Association 6.353% | 0.00050 | 7,408 | 7,398 |
| Federal National Mortgage Association 5.5% | 0.00049 | 7,110 | 7,139 |
| Federal National Mortgage Association 6.5% | 0.00049 | 7,196 | 7,280 |
| Government National Mortgage Association 3.625% | 0.00049 | 7,269 | 7,230 |
| Federal National Mortgage Association 4% | 0.00047 | 7,038 | 6,856 |
| Federal National Mortgage Association 5.5% | 0.00046 | 6,714 | 6,723 |
| Federal National Mortgage Association 5.5% | 0.00046 | 6,696 | 6,723 |
| JP Morgan Mortgage Trust 5.56167% | 0.00046 | 7,376 | 6,702 |
| Federal National Mortgage Association 5.5% | 0.00045 | 6,563 | 6,590 |
| Federal National Mortgage Association 5.5% | 0.00044 | 6,468 | 6,495 |
| Federal National Mortgage Association 5.5% | 0.00044 | 6,435 | 6,439 |
| Federal National Mortgage Association 5.5% | 0.00042 | 6,175 | 6,200 |
| Adjustable Rate Mortgage Trust 5.60377% | 0.00040 | 6,357 | 5,887 |
| Federal National Mortgage Association 5.5% | 0.00040 | 5,814 | 5,838 |
| Federal National Mortgage Association 5.5% | 0.00039 | 5,665 | 5,693 |
| Federal Home Loan Mortgage Corp. 7.704% | 0.00039 | 5,693 | 5,755 |
| GS Mortgage Securities Corp 6.45512% | 0.00039 | 5,818 | 5,738 |
| Federal National Mortgage Association 5.5% | 0.00038 | 5,509 | 5,531 |
| Federal Home Loan Mortgage Corp. 6.5% | 0.00037 | 5,301 | 5,498 |
| Federal National Mortgage Association 5.5% | 0.00036 | 5,326 | 5,348 |
| Federal National Mortgage Association 5.5% | 0.00035 | 5,080 | 5,101 |
| Federal Home Loan Mortgage Corp. 4.5% | 0.00035 | 5,299 | 5,098 |
| Credit Suisse First Boston Mortgage Securities Corp. 6.05623% | 0.00035 | 5,619 | 5,209 |
| Federal National Mortgage Association 5.5% | 0.00034 | 4,960 | 4,980 |
| Federal National Mortgage Association 5.5% | 0.00034 | 5,049 | 5,048 |
| Federal National Mortgage Association 5.5% | 0.00034 | 5,045 | 5,066 |
| Federal Home Loan Mortgage Corp. 7.297% | 0.00033 | 4,749 | 4,880 |
| Federal National Mortgage Association 5.5% | 0.00032 | 4,750 | 4,757 |
| Federal Home Loan Mortgage Corp. 6% | 0.00031 | 4,465 | 4,595 |
| Federal National Mortgage Association 6.64% | 0.00029 | 4,249 | 4,248 |
| Federal National Mortgage Association 5.5% | 0.00028 | 4,101 | 4,117 |
| Federal National Mortgage Association 4% | 0.00028 | 4,300 | 4,176 |
| Federal National Mortgage Association 5.5% | 0.00027 | 3,906 | 3,922 |
| Federal National Mortgage Association 5.5% | 0.00027 | 3,901 | 3,917 |
| Federal Home Loan Mortgage Corp. 6.5% | 0.00026 | 3,737 | 3,888 |
| Federal National Mortgage Association 5.5% | 0.00025 | 3,639 | 3,695 |
| Federal National Mortgage Association 5.5% | 0.00023 | 3,367 | 3,381 |
| Federal National Mortgage Association 7.406% | 0.00023 | 3,413 | 3,413 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00023 | 3,421 | 3,439 |
| Federal Home Loan Mortgage Corp. 6% | 0.00022 | 3,235 | 3,291 |
| Federal National Mortgage Association 5.5% | 0.00022 | 3,208 | 3,221 |
| Federal National Mortgage Association 5.5% | 0.00021 | 3,018 | 3,031 |
| Federal National Mortgage Association 5.5% | 0.00021 | 3,093 | 3,106 |
| Federal National Mortgage Association 4.5% | 0.00020 | 2,955 | 2,926 |
| Federal National Mortgage Association 4.5% | 0.00020 | 2,998 | 2,984 |
| Federal National Mortgage Association 5.758% | 0.00020 | 2,916 | 2,897 |
| Federal Home Loan Mortgage Corp. 6% | 0.00019 | 2,708 | 2,773 |
| Federal National Mortgage Association 5.5% | 0.00019 | 2,810 | 2,825 |
| Federal National Mortgage Association 5.5% | 0.00018 | 2,712 | 2,704 |
| Government National Mortgage Association 7% | 0.00017 | 2,444 | 2,555 |
| Federal National Mortgage Association 4.5% | 0.00017 | 2,534 | 2,482 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00017 | 2,438 | 2,463 |
| Federal National Mortgage Association 6% | 0.00017 | 2,415 | 2,467 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00016 | 2,339 | 2,351 |
| Bear Stearns Arm Trust 3.24999% | 0.00015 | 3,115 | 2,206 |
| Federal National Mortgage Association 4% | 0.00015 | 2,201 | 2,135 |
| Government National Mortgage Association 6.5% | 0.00014 | 2,016 | 2,086 |
| Federal National Mortgage Association 5.95% | 0.00013 | 1,905 | 1,922 |
| Federal National Mortgage Association 6% | 0.00013 | 1,936 | 1,981 |
| Federal Home Loan Mortgage Corp. 7% | 0.00013 | 1,805 | 1,859 |
| Federal National Mortgage Association 7.5% | 0.00013 | 1,945 | 1,953 |
| Federal National Mortgage Association 5.959% | 0.00013 | 1,961 | 1,974 |
| Government National Mortgage Association 6.5% | 0.00012 | 1,789 | 1,817 |
| Federal National Mortgage Association 5.5% | 0.00012 | 1,738 | 1,740 |
| Bear Stearns Arm Trust 6.50002% | 0.00012 | 1,890 | 1,807 |
| Federal National Mortgage Association 4% | 0.00012 | 1,888 | 1,832 |
| Federal National Mortgage Association 5.5% | 0.00012 | 1,683 | 1,709 |
| Federal Home Loan Mortgage Corp. 6% | 0.00011 | 1,601 | 1,646 |
| Government National Mortgage Association 6.5% | 0.00010 | 1,463 | 1,514 |
| Federal National Mortgage Association 4.5% | 0.00010 | 1,413 | 1,399 |
| Federal National Mortgage Association 6% | 0.00009 | 1,281 | 1,285 |
| Federal Home Loan Mortgage Corp. 8.5% | 0.00009 | 1,344 | 1,348 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00008 | 1,230 | 1,215 |
| Federal National Mortgage Association 7.199% | 0.00008 | 1,148 | 1,148 |
| Federal National Mortgage Association 7% | 0.00007 | 1,042 | 1,063 |
| Federal National Mortgage Association 4.5% | 0.00007 | 1,034 | 1,028 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00007 | 948 | 958 |
| Federal National Mortgage Association 4% | 0.00007 | 997 | 973 |
| Federal Home Loan Mortgage Corp. 6.5% | 0.00006 | 813 | 825 |
| Federal National Mortgage Association 8% | 0.00006 | 794 | 825 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00006 | 839 | 840 |
| Government National Mortgage Association 7% | 0.00005 | 644 | 673 |
| Federal National Mortgage Association 4.5% | 0.00005 | 805 | 800 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00005 | 791 | 795 |
| Government National Mortgage Association 7% | 0.00004 | 587 | 607 |
| Federal National Mortgage Association 7.5% | 0.00004 | 599 | 611 |
| Government National Mortgage Association 7% | 0.00004 | 540 | 559 |
| Government National Mortgage Association 4.25% | 0.00004 | 630 | 624 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00003 | 494 | 497 |
| STIF FUND (CHF) | 0.00003 | 376 | 418 |
| Federal National Mortgage Association 7.5% | 0.00003 | 466 | 463 |
| Federal National Mortgage Association 5% | 0.00003 | 431 | 422 |
| Federal National Mortgage Association 6% | 0.00003 | 437 | 447 |
| Federal National Mortgage Association 4% | 0.00003 | 421 | 411 |
| Government National Mortgage Association 3.875% | 0.00003 | 466 | 465 |
| Government National Mortgage Association 7% | 0.00002 | 231 | 230 |
| Federal Home Loan Mortgage Corp. 6% | 0.00002 | 354 | 360 |
| Federal National Mortgage Association 5.5% | 0.00002 | 253 | 254 |
| Federal Home Loan Mortgage Corp. 5.5% | 0.00002 | 279 | 282 |
| Federal National Mortgage Association 4.5% | 0.00001 | 98 | 96 |
| STIF FUND (SGD) | 0.00001 | 294 | 217 |
| Federal National Mortgage Association 7.5% | 0.00001 | 157 | 160 |
| Federal National Mortgage Association 6.5% | 0.00001 | 95 | 96 |
| Government National Mortgage Association 3.75% | 0.00001 | 181 | 179 |
| Federal National Mortgage Association 7.103% | 0.00001 | 120 | 120 |
| Bear Stearns Arm Trust 6.37483% | 0.00001 | 219 | 211 |
| STIF FUND (TRY) | 0.00000 | 288 | 9 |
| STIF FUND (ZAR) | 0.00000 | 264 | 14 |
| Federal National Mortgage Association 8% | 0.00000 | 12 | 12 |
| STIF FUND (MXN) | 0.00000 | 92 | 5 |
| RFR USD SOFR/3.90000 06/24/25-2Y CME Receive | 5.01720 | 73,900,000 | 73,833,342 |
| RFR USD SOFR/3.72147 06/03/24-9Y* LCH Receive | 2.97634 | 43,800,000 | 43,800,000 |
| RFR USD SOFR/3.60806 03/01/24-9Y* LCH Receive | 2.66376 | 39,200,000 | 39,200,000 |
| RFR USD SOFR/3.70000 06/24/25-5Y CME Receive | 2.59201 | 38,300,000 | 38,144,173 |
| IRS AUD 4.75000 12/20/28-5Y LCH Receive | 2.49142 | 54,600,000 | 36,663,883 |
| RFR GBP SONIO/4.00000 09/18/24-5Y LCH Receive | 2.37147 | 27,500,000 | 34,898,581 |
| RFR USD SOFR/3.75000 06/20/24-5Y LCH Receive | 2.33758 | 34,400,000 | 34,400,000 |
| IRS EUR 2.75000 09/18/24-10Y LCH Receive | 2.14014 | 29,500,000 | 31,494,346 |
| EUROPEAN MONETARY UNION EURO Purchased | 2.05799 | 28,220,000 | 30,285,524 |
| RFR USD SOFR/3.60364 03/01/24-9Y* LCH Receive | 2.02500 | 29,800,000 | 29,800,000 |
| RFR USD SOFR/1.75000 12/21/22-30Y CME Receive | 1.86871 | 27,500,000 | 27,500,000 |
| RFR USD SOFR/2.15000 06/15/22-5Y LCH Receive | 1.61592 | 25,300,000 | 23,779,905 |
| RFR USD SOFR/3.80000 06/03/24-7Y* LCH Receive | 1.54933 | 22,800,000 | 22,800,000 |
| ZCS BRL 9.815 03/13/24-01/04/27 CME Receive | 1.53066 | 168,900,000 | 22,525,228 |
| BRITISH POUND STERLING Purchased | 1.46499 | 16,998,000 | 21,558,844 |
| BRAZILIAN REAL-NDF Purchased | 1.44668 | 118,700,000 | 21,289,426 |
| ZCS BRL 9.83243 03/13/24-01/04/27 CME Receive | 1.39540 | 153,900,000 | 20,534,805 |
| RFR USD SOFR/3.75000 06/20/24-10Y LCH Receive | 1.16879 | 17,200,000 | 17,200,000 |
| RFR USD SOFR/2.61740 09/30/22-25Y* LCH Receive | 1.14841 | 16,900,000 | 16,900,000 |
| RFR USD SOFR/3.70000 06/24/25-10Y CME Receive | 1.14161 | 16,800,000 | 16,800,000 |
| RFR JPY MUT+5.89/0.3800 06/18/18-10Y LCH Receive | 1.02759 | 2,460,000,000 | 15,122,033 |
| RFR USD SOFR/3.94000 02/22/24-5Y LCH Receive | 0.93802 | 13,900,000 | 13,803,979 |
| IRS EUR 2.50000 09/18/24-30Y LCH Receive | 0.88123 | 12,100,000 | 12,968,181 |
| IRS EUR 2.81800 06/26/24-5Y LCH Receive | 0.86666 | 11,900,000 | 12,753,831 |
| JAPANESE YEN Purchased | 0.82953 | 1,959,276,111 | 12,207,360 |
| RFR USD SOFR/3.02000 11/08/23-1Y LCH Receive | 0.79494 | 11,800,000 | 11,698,344 |
| RFR USD SOFR/1.78750 05/03/22-5Y LCH Receive | 0.76623 | 12,100,000 | 11,275,943 |
| RFR USD SOFR/2.69700 04/04/24-1Y LCH Receive | 0.70691 | 10,600,000 | 10,402,934 |
| RFR USD SOFR/3.61882 03/01/24-9Y* LCH Receive | 0.68633 | 10,100,000 | 10,100,000 |
| CANADIAN DOLLAR Purchased | 0.66573 | 13,404,595 | 9,796,981 |
| POLISH ZLOTY Purchased | 0.63257 | 37,314,079 | 9,308,887 |
| RFR USD SOFR/3.50000 06/24/25-30Y CME Receive | 0.63196 | 9,300,000 | 9,300,000 |
| INDIAN RUPEE-INR-NDF Purchased | 0.60606 | 741,819,388 | 8,918,777 |
| SOUTH KOREA WON-NDF Purchased | 0.60274 | 12,320,252,600 | 8,870,000 |
| TAIWANESE DOLLAR-NDF Purchased | 0.60274 | 286,740,490 | 8,870,000 |
| CASH COLLATERAL ICE MSC USD | 0.55993 | 8,240,000 | 8,240,000 |
| RFR USD SOFR/3.60933 03/01/24-9Y* LCH Receive | 0.55722 | 8,200,000 | 8,200,000 |
| RFR USD SOFR/4.09000 04/30/24-10Y LCH Receive | 0.54939 | 8,000,000 | 8,084,827 |
| RFR USD SOFR/3.30000 06/14/23-10Y LCH Receive | 0.52966 | 8,200,000 | 7,794,572 |
| RFR USD SOFR/3.19000 10/25/23-1Y LCH Receive | 0.52619 | 7,800,000 | 7,743,488 |
| RFR USD SOFR/2.85000 08/29/22-5Y LCH Receive | 0.47500 | 7,300,000 | 6,990,051 |
| RFR USD SOFR/4.06000 07/02/24-10Y LCH Receive | 0.46208 | 6,800,000 | 6,800,000 |
| AUSTRALIAN DOLLARS Purchased | 0.46033 | 10,158,663 | 6,774,191 |
| CHINESE - YUAN RENMINBI (CNH) Purchased | 0.42315 | 44,649,920 | 6,227,034 |
| SWISS FRANCS Purchased | 0.40348 | 5,308,733 | 5,937,590 |
| RFR USD SOFR/3.80000 09/05/23-5Y LCH Receive | 0.38221 | 5,700,000 | 5,624,630 |
| Southern California Edison Company 0% | 0.38036 | 5,600,000 | 5,597,380 |
| Intel Corporation 0% | 0.37991 | 5,600,000 | 5,590,713 |
| RFR USD SOFR/3.34000 02/23/23-7Y LCH Receive | 0.36064 | 5,500,000 | 5,307,172 |
| TARGA RES CORP 0% | 0.35873 | 5,300,000 | 5,279,079 |
| RFR USD SOFR/3.50000 06/22/23-7Y LCH Receive | 0.35685 | 5,400,000 | 5,251,483 |
| RFR USD SOFR/3.80000 03/10/23-5Y LCH Receive | 0.34841 | 5,200,000 | 5,127,274 |
| SOUTH AFRICA EM SP MYC | 0.34535 | 5,100,000 | 5,082,253 |
| CASH COLLATERAL FUT RDR USD | 0.31816 | 4,682,000 | 4,682,000 |
| IRS EUR 2.95000 06/12/24-5Y LCH Receive | 0.31425 | 4,300,000 | 4,624,460 |
| CASH COLLATERAL CME MSC USD | 0.29865 | 4,395,000 | 4,395,000 |
| RFR USD SOFR/3.80000 08/30/23-10Y LCH Receive | 0.28860 | 4,300,000 | 4,246,995 |
| MEXICAN NUEVO PESO Purchased | 0.28311 | 78,006,408 | 4,166,250 |
| SWEDISH KRONER Purchased | 0.27829 | 43,190,147 | 4,095,370 |
| IRS EUR 2.78000 05/02/24-5Y LCH Receive | 0.27551 | 3,800,000 | 4,054,373 |
| RFR USD SOFR/4.15000 04/22/24-10Y LCH Receive | 0.26910 | 3,900,000 | 3,960,069 |
| CASH COLLATERAL LCH MSC USD | 0.25170 | 3,704,000 | 3,704,000 |
| L3 Harris Technologies Inc 0% | 0.24392 | 3,600,000 | 3,589,593 |
| BOEING CO/THE SNR S* ICE | 0.23769 | 3,500,000 | 3,497,792 |
| RFR USD SOFR/3.95000 04/16/24-10Y LCH Receive | 0.23766 | 3,500,000 | 3,497,465 |
| BRAZILIAN REAL-NDF Purchased | 0.23732 | 19,994,957 | 3,492,362 |
| RFR USD SOFR/3.85400 12/29/23-10Y LCH Receive | 0.23104 | 3,400,000 | 3,400,000 |
| RFR USD SOFR/3.67000 01/08/24-10Y LCH Receive | 0.23104 | 3,400,000 | 3,400,000 |
| RFR USD SOFR/3.71000 03/05/24-10Y LCH Receive | 0.22644 | 3,400,000 | 3,332,240 |
| GENERAL ELECTRIC COMPANY SNR S* ICE | 0.22181 | 3,200,000 | 3,264,128 |
| RFR USD SOFR/4.10500 04/24/24-10Y LCH Receive | 0.22001 | 3,200,000 | 3,237,720 |
| RFR USD SOFR/3.76000 08/23/23-10Y LCH Receive | 0.21411 | 3,200,000 | 3,150,889 |
| NextEra Energy Capital Holdings Inc 0% | 0.21034 | 3,100,000 | 3,095,309 |
| RFR USD SOFR/3.14000 10/25/23-1Y LCH Receive | 0.20910 | 3,100,000 | 3,077,056 |
| RFR USD SOFR/4.15000 10/12/23-10Y LCH Receive | 0.20680 | 3,000,000 | 3,043,306 |
| COLOMBIA LA SP MYC | 0.20128 | 3,000,000 | 2,962,004 |
| RFR USD SOFR/3.47000 02/22/23-7Y LCH Receive | 0.19804 | 3,000,000 | 2,914,377 |
| CHINESE - YUAN RENMINBI (CNH) Purchased | 0.19348 | 20,456,861 | 2,847,308 |
| TURKISH LIRA Purchased | 0.19160 | 90,270,443 | 2,819,562 |
| SINGAPORE DOLLARS Purchased | 0.18869 | 3,760,548 | 2,776,751 |
| IRS EUR 2.77000 04/16/24-5Y LCH Receive | 0.18839 | 2,600,000 | 2,772,419 |
| GENERAL ELECTRIC COMPANY SNR S* ICE | 0.18658 | 2,700,000 | 2,745,766 |
| COLOMBIA LA SP MYC | 0.18254 | 2,700,000 | 2,686,226 |
| RFR USD SOFR/3.75000 07/12/23-10Y LCH Receive | 0.18056 | 2,700,000 | 2,657,071 |
| NextEra Energy Capital Holdings Inc 0% | 0.17636 | 2,600,000 | 2,595,271 |
| IRS EUR 2.86000 04/24/24-5Y LCH Receive | 0.16733 | 2,300,000 | 2,462,455 |
| RFR USD SOFR/4.22000 10/20/23-10Y LCH Receive | 0.16633 | 2,400,000 | 2,447,667 |
| RFR USD SOFR/4.20000 05/06/24-10Y LCH Receive | 0.16627 | 2,400,000 | 2,446,883 |
| RFR USD SOFR/4.08000 06/05/24-10Y LCH Receive | 0.16309 | 2,400,000 | 2,400,000 |
| RFR USD SOFR/3.90000 04/15/24-10Y LCH Receive | 0.16231 | 2,400,000 | 2,388,600 |
| RFR USD SOFR/4.03000 10/04/23-10Y LCH Receive | 0.15711 | 2,300,000 | 2,311,965 |
| VERIZON COMMUNICATIONS INC SNR S* ICE | 0.15209 | 2,200,000 | 2,238,134 |
| RFR USD SOFR/3.86000 02/21/24-10Y LCH Receive | 0.14830 | 2,200,000 | 2,182,433 |
| RFR USD SOFR/4.45000 11/01/23-10Y LCH Receive | 0.14808 | 2,100,000 | 2,179,171 |
| NEW ZEALAND DOLLAR Purchased | 0.14718 | 3,566,000 | 2,165,853 |
| KEURIG DR PEPPER INC 0% | 0.14196 | 2,100,000 | 2,089,037 |
| RFR USD SOFR/3.37000 07/12/23-30Y LCH Receive | 0.13925 | 2,200,000 | 2,049,253 |
| BRAZILIAN REAL-NDF Purchased | 0.13528 | 11,822,586 | 1,990,747 |
| Entergy Corp Disc Coml Paper 4 0% | 0.13519 | 2,000,000 | 1,989,502 |
| TURKISH LIRA Purchased | 0.13200 | 67,343,604 | 1,942,563 |
| RFR JPY MUTK/0.5000 03/15/22-20Y LCH Receive | 0.13180 | 312,000,000 | 1,939,575 |
| IRS EUR 2.82700 05/06/24-5Y LCH Receive | 0.13077 | 1,800,000 | 1,924,448 |
| Crown Castle Inc. 0% | 0.12888 | 1,900,000 | 1,896,666 |
| RFR USD SOFR/3.68500 01/24/24-10Y LCH Receive | 0.12630 | 1,900,000 | 1,858,616 |
| RFR USD SOFR/4.17500 10/10/23-10Y LCH Receive | 0.11741 | 1,700,000 | 1,727,818 |
| RFR USD SOFR/4.16500 09/27/23-10Y LCH Receive | 0.11732 | 1,700,000 | 1,726,417 |
| RFR USD SOFR/3.95000 09/13/23-10Y LCH Receive | 0.11541 | 1,700,000 | 1,698,422 |
| IRS EUR 2.77000 04/29/24-10Y LCH Receive | 0.10875 | 1,500,000 | 1,600,335 |
| RFR USD SOFR/4.39250 10/25/23-10Y LCH Receive | 0.10531 | 1,500,000 | 1,549,798 |
| TURKISH LIRA Purchased | 0.10401 | 52,865,873 | 1,530,548 |
| RFR USD SOFR/4.13000 05/03/24-10Y LCH Receive | 0.10334 | 1,500,000 | 1,520,778 |
| TURKISH LIRA Purchased | 0.10328 | 49,095,071 | 1,519,890 |
| RFR USD SOFR/3.73800 01/23/24-10Y LCH Receive | 0.10014 | 1,500,000 | 1,473,604 |
| RFR USD SOFR/3.65500 01/24/24-10Y LCH Receive | 0.09947 | 1,500,000 | 1,463,780 |
| ORO USD 10Y P 4.02500 L 07/22/24 JPM | 0.09882 | 4,000,000 | 1,454,227 |
| RFR JPY MUT+5.89/0.7850 11/12/18-20Y LCH Receive | 0.09716 | 230,000,000 | 1,429,815 |
| TURKISH LIRA Purchased | 0.09591 | 45,744,155 | 1,411,358 |
| Southern California Edison Company 0% | 0.09507 | 1,400,000 | 1,399,126 |
| Alimentation Couche-Tard Inc. 0% | 0.09493 | 1,400,000 | 1,396,992 |
| RFR USD SOFR/3.73500 08/07/23-10Y LCH Receive | 0.09350 | 1,400,000 | 1,375,960 |
| RFR USD SOFR/3.66500 01/24/24-10Y LCH Receive | 0.09291 | 1,400,000 | 1,367,298 |
| ORO USD 5Y P 4.13900 L 07/15/24 GLM | 0.09172 | 3,800,000 | 1,349,728 |
| ORO USD 10Y P 3.99800 L 07/24/24 GLM | 0.08933 | 3,200,000 | 1,314,559 |
| VW Credit, Inc. 0% | 0.08821 | 1,300,000 | 1,298,035 |
| Marriott International, Inc. 0% | 0.08771 | 1,300,000 | 1,290,755 |
| IRO EUR 10Y P 2.90000 L 07/25/24 ULO | 0.08726 | 3,600,000 | 1,284,081 |
| RFR USD SOFR/4.08500 04/22/24-10Y LCH Receive | 0.08237 | 1,200,000 | 1,212,199 |
| RFR USD SOFR/3.90000 04/10/24-10Y LCH Receive | 0.08116 | 1,200,000 | 1,194,300 |
| GENERAL MOTORS COMPANY SNR S* ICE | 0.07895 | 1,010,000 | 1,161,837 |
| RFR USD SOFR/4.08000 04/17/24-10Y LCH Receive | 0.07548 | 1,100,000 | 1,110,712 |
| RFR USD SOFR/3.84200 12/26/23-10Y LCH Receive | 0.07475 | 1,100,000 | 1,100,000 |
| KEURIG DR PEPPER INC 0% | 0.07445 | 1,100,000 | 1,095,624 |
| MEXICAN NUEVO PESO Purchased | 0.07355 | 20,774,266 | 1,082,332 |
| IRO EUR 5Y P 2.94000 L 07/22/24 RYL | 0.06875 | 2,800,000 | 1,011,781 |
| TURKISH LIRA Purchased | 0.06799 | 38,092,276 | 1,000,590 |
| Southern California Edison Company 0% | 0.06780 | 1,000,000 | 997,810 |
| TURKISH LIRA Purchased | 0.06590 | 31,358,794 | 969,844 |
| RFR JPY MUT+5.89/0.8000 10/22/18-20Y LCH Receive | 0.06337 | 150,000,000 | 932,488 |
| IRO EUR 5Y P 3.04000 L 07/15/24 RYL | 0.06273 | 5,700,000 | 923,207 |
| ORO USD 10Y P 4.09000 L 07/29/24 MYC | 0.05857 | 3,000,000 | 861,888 |
| Constellation Brands, Inc. 0% | 0.05760 | 850,000 | 847,679 |
| ORO USD 10Y P 3.98600 L 07/15/24 FAR | 0.05440 | 1,900,000 | 800,484 |
| TARGA RES CORP 0% | 0.05088 | 750,000 | 748,785 |
| IRO EUR 10Y P 2.88000 L 07/15/24 GLM | 0.05022 | 2,000,000 | 739,106 |
| SOUTH AFRICAN RAND Purchased | 0.04550 | 15,303,722 | 669,533 |
| VM CASH FUT DOM RDR USD | 0.04471 | 657,897 | 657,897 |
| FIXED INC CLEARING CORP REPO (FICC) | 0.04368 | 642,825 | 642,825 |
| GENERAL MOTORS COMPANY SNR S* ICE | 0.04134 | 550,000 | 608,332 |
| GENERAL ELECTRIC COMPANY SNR S* ICE | 0.04095 | 600,000 | 602,695 |
| RFR USD SOFR/3.60000 01/17/24-10Y LCH Receive | 0.04077 | 600,000 | 600,000 |
| RFR USD SOFR/3.42000 05/24/23-10Y LCH Receive | 0.03913 | 600,000 | 575,794 |
| Campbell Soup Company 0% | 0.03715 | 550,000 | 546,679 |
| RFR JPY MUT+5.89/0.7500 03/20/19-19Y LCH Receive | 0.03629 | 85,900,000 | 534,005 |
| ZCS BRL 9.84208 03/12/24-01/04/27 CME Receive | 0.03628 | 4,000,000 | 533,835 |
| VERIZON COMMUNICATIONS INC SNR S* ICE | 0.03455 | 500,000 | 508,475 |
| RFR JPY MUT+5.89/0.7500 6/20/19-20Y* LCH Receive | 0.03401 | 80,500,000 | 500,435 |
| RFR USD SOFR/3.55500 03/05/24-30Y LCH Receive | 0.03279 | 500,000 | 482,584 |
| IRO EUR 5Y P 2.94000 L 07/15/24 JPM | 0.03276 | 1,400,000 | 482,147 |
| VM CASH CCP LCH MSC USD | 0.03181 | 468,114 | 468,114 |
| INDONESIAN RUPIAH-NDF Purchased | 0.02690 | 6,428,537,700 | 395,830 |
| IRO EUR 5Y P 3.12000 L 07/11/24 MYC | 0.02330 | 5,300,000 | 342,861 |
| ORO USD 10Y P 4.06000 L 07/26/24 CBK | 0.02195 | 1,000,000 | 323,049 |
| AUSTRALIAN DOLLARS Purchased | 0.02136 | 469,000 | 314,295 |
| ORO USD 5Y P 4.25000 L 07/05/24 JPM | 0.01995 | 3,500,000 | 293,525 |
| ORO USD 10Y P 4.00000 L 07/24/24 GLM | 0.01939 | 700,000 | 285,367 |
| ORO USD 10Y P 4.11000 L 07/29/24 GLM | 0.01553 | 900,000 | 228,477 |
| IRO EUR 5Y P 3.00000 L 07/04/24 BRC | 0.01458 | 2,200,000 | 214,588 |
| VM CASH FUT FOR RDR GBP | 0.01445 | 168,190 | 212,609 |
| ORO USD 10Y P 4.26500 L 07/22/24 MYC | 0.01415 | 2,200,000 | 208,212 |
| VERIZON COMMUNICATIONS INC SNR S* ICE | 0.01382 | 200,000 | 203,303 |
| ORO GBP 10Y P 4.07000 L 07/05/24 BRC | 0.01165 | 2,000,000 | 171,378 |
| ORO USD 10Y P 4.23500 L 07/10/24 FAR | 0.01077 | 3,100,000 | 158,443 |
| VM CASH CCP CME MSC USD | 0.00842 | 123,880 | 123,880 |
| VM CASH CCP LCH MSC AUD | 0.00834 | 183,812 | 122,759 |
| VM CASH CCP LCH MSC EUR | 0.00793 | 108,897 | 116,711 |
| VM CASH CCP LCH MSC JPY | 0.00764 | 18,078,897 | 112,389 |
| RFR USD SOFR/4.25500 10/23/23-10Y LCH Receive | 0.00695 | 100,000 | 102,258 |
| VM CASH CCP LCH MSC GBP | 0.00652 | 75,864 | 95,900 |
| ORO USD 10Y P 4.23000 L 07/08/24 GLM | 0.00624 | 3,100,000 | 91,795 |
| VM CASH CCP ICE MSC USD | 0.00611 | 89,963 | 89,963 |
| VM CASH FUT FOR RDR JPY | 0.00502 | 11,882,782 | 73,870 |
| CANADIAN DOLLAR Purchased | 0.00497 | 8,399 | 73,170 |
| TURKISH LIRA Purchased | 0.00376 | 1,887,652 | 55,393 |
| ORO USD 10Y P 4.15000 L 07/05/24 JPM | 0.00301 | 700,000 | 44,249 |
| INDIAN RUPEE-INR-NDF Purchased | 0.00290 | 3,500,523 | 42,715 |
| MEXICAN NUEVO PESO Purchased | 0.00201 | 542,000 | 29,634 |
| THAILAND BAHT Purchased | 0.00074 | 398,363 | 10,884 |
| INDONESIAN RUPIAH-NDF Purchased | 0.00068 | 164,120,000 | 10,000 |
| ORO USD 10Y P 4.35000 L 07/08/24 BOA | 0.00063 | 1,600,000 | 9,248 |
| SINGAPORE DOLLARS Purchased | 0.00048 | 9 | 7,135 |
| INDONESIAN RUPIAH-NDF Purchased | 0.00021 | 486,154,117 | 3,050 |
| TAIWANESE DOLLAR-NDF Purchased | 0.00007 | 26,302 | 980 |
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