0001752724-19-204690.txt : 20191227
0001752724-19-204690.hdr.sgml : 20191227
20191227151126
ACCESSION NUMBER: 0001752724-19-204690
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191031
FILED AS OF DATE: 20191227
PERIOD START: 20191031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PIONEER SERIES TRUST VII
CENTRAL INDEX KEY: 0001140157
IRS NUMBER: 043567848
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-10395
FILM NUMBER: 191313513
BUSINESS ADDRESS:
STREET 1: 60 STATE STREET 13TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02109
BUSINESS PHONE: 6174224947
MAIL ADDRESS:
STREET 1: 60 STATE STREET 13TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02109
FORMER COMPANY:
FORMER CONFORMED NAME: PIONEER GLOBAL HIGH YIELD FUND
DATE OF NAME CHANGE: 20010507
0001140157
S000019711
Pioneer Global Multisector Income Fund
C000055267
Pioneer Global Multisector Income Fund: Class A Shares
PGABX
C000055268
Pioneer Global Multisector Income Fund: Class C Shares
PGCBX
C000055269
Pioneer Global Multisector Income Fund: Class Y Shares
PGYBX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001140157
XXXXXXXX
S000019711
C000055268
C000055269
C000055267
Pioneer Series Trust VII
811-10395
0001140157
549300AP1MTYWW4S5J31
60 State Street
NULL
Boston
02109
617-422-4947
Pioneer Global Multisector Income Fund
S000019711
980JR75D2PHIVCNVT484
2019-10-31
2019-10-31
N
41462358.76
1114766.68
40347592.08
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
73.33000000
0.00000000
0.00000000
1259367.47000000
ARS
HUF
SEK
JPY
MXN
VND
THB
EUR
GBP
IDR
CZK
DOP
HKD
RON
AUD
RUB
PHP
UYU
ZAR
DKK
SGD
INR
CAD
PLN
COP
TWD
EGP
TRY
AED
NOK
LKR
KRW
CHF
CNY
MYR
USD
NZD
N
F/C EURO-BOBL FUTURE DEC19
N/A
FUTURE CONTRACT ON EURO-BOBL FUTURE DEC19 /EUR/ 0.00000000
N/A
-17.00000000
NC
-2550463.40000000
-6.32122827786
N/A
DIR
CORP
DE
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Short
F/C EURO-BOBL FUTURE DEC19
EURO-BOBL FUTURE DEC19 /EUR/
2019-12-06
2586081.22000000
EUR
35617.82000000
N
N
N
CSC HOLDINGS L 5.375% 02/01/28
N/A
CSC HOLDINGS LLC REGD 144A P/P 5.37500000
126307AS6
200000.00000000
NS
USD
211500.00000000
0.524194850539
Long
DBT
CORP
US
Y
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
DELPHI FINANCI 7.875% 01/31/20
N/A
DELPHI FINANCIAL GROUP REGD 7.87500000
247131AF2
35000.00000000
NS
USD
35465.36000000
0.087899570139
Long
DBT
CORP
US
N
2
2020-01-31
Fixed
7.87500000
N
N
N
N
N
N
SPRINT CORP 7.25% 09/15/21
N/A
SPRINT CORP REGD SER WI 7.25000000
85207UAE5
36000.00000000
NS
USD
38414.16000000
0.095208060802
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
7.25000000
N
N
N
N
N
N
UMBS P#AB1149 5% 06/01/40
N/A
FANNIE MAE POOL UMBS P#AB1149 5.00000000
31416WH39
11730.48000000
NS
USD
12954.81000000
0.032108012726
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
CAPITAL ONE FIN 4.25% 04/30/25
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CO REGD 4.25000000
14040HBZ7
125000.00000000
NS
USD
136204.75000000
0.337578385669
Long
DBT
CORP
US
N
2
2025-04-30
Fixed
4.25000000
N
N
N
N
N
N
UMBS P#BC0870 3.5% 01/01/46
N/A
FANNIE MAE POOL UMBS P#BC0870 3.50000000
3140EU6G9
17032.08000000
NS
USD
17753.40000000
0.044001138815
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AL6952 3% 06/01/45
N/A
FANNIE MAE POOL UMBS P#AL6952 3.00000000
3138EPWN0
26049.83000000
NS
USD
26886.98000000
0.066638375709
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC OF TUR 3.25% 03/23/23
N/A
REPUBLIC OF TURKEY REGD 3.25000000
900123CA6
250000.00000000
NS
USD
236655.00000000
0.586540578507
Long
DBT
USGA
TR
N
2
2023-03-23
Fixed
3.25000000
N
N
N
N
N
N
UMBS P#SD8006 4% 08/01/49
N/A
FREDDIE MAC POOL UMBS P#SD8006 4.00000000
3132DV3P8
0.01000000
NS
USD
0.01000000
0.000000024784
Long
ABS-MBS
USGA
US
N
2
2049-08-01
Fixed
4.00000000
N
N
N
N
N
N
T/L GENTIVA HEALTH 0% 07/02/25
N/A
T/L GENTIVA HEALTH SERVICES INC REGD 0.00000000
37249UAN6
36176.68000000
NS
USD
36278.41000000
0.089914684197
Long
LON
CORP
US
N
2
2025-07-02
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#BD5053 4.5% 02/01/47
N/A
FANNIE MAE POOL UMBS P#BD5053 4.50000000
3140FCTK4
25151.05000000
NS
USD
26558.05000000
0.065823134989
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.50000000
N
N
N
N
N
N
HEIDELBERG 2.25% 06/03/24/EUR/
LZ2C6E0W5W7LQMX5ZI37
HEIDELBERGCEMENT AG /EUR/ REGD REG S EMTN 2.25000000
D31709KR4
100000.00000000
NS
120457.78000000
0.298550108668
Long
DBT
CORP
DE
N
2
2024-06-03
Fixed
2.25000000
N
N
N
N
N
N
GNMA II P#MA3936 3% 09/20/46
N/A
GINNIE MAE II POOL P#MA3936 3.00000000
36179SLR6
27240.11000000
NS
USD
28186.64000000
0.069859534477
Long
ABS-MBS
USGSE
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#MA2671 3.5% 07/01/46
N/A
FANNIE MAE POOL UMBS P#MA2671 3.50000000
31418B6H4
18428.00000000
NS
USD
19163.26000000
0.047495424168
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
T/L MICROCHIP TEC ZCP 05/29/25
5493007PTFULNYZJ1R12
T/L MICROCHIP TECHNOLOGY INC REGD ZCP TERM LOAN 0.00000000
59501NAJ8
57489.14000000
NS
USD
57776.59000000
0.143197120376
Long
LON
CORP
US
N
2
2025-05-29
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AL9717 4% 01/01/47
N/A
FANNIE MAE POOL UMBS P#AL9717 4.00000000
3138ERYP9
121080.06000000
NS
USD
127192.55000000
0.315241984571
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4.00000000
N
N
N
N
N
N
BELDEN IN 2.875% 09/15/25/EUR/
68BKYO1JC791TTJHUE82
BELDEN INC /EUR/ REGD 144A P/P 2.87500000
U07461AL7
100000.00000000
NS
112586.20000000
0.279040691639
Long
DBT
CORP
US
Y
2
2025-09-15
Fixed
2.87500000
N
N
N
N
N
N
UMBS P#AT5988 3% 05/01/43
N/A
FANNIE MAE POOL UMBS P#AT5988 3.00000000
3138WTUN4
26172.81000000
NS
USD
26998.58000000
0.066914972141
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
BANK 2017-BNK 3.624% 06/15/27
N/A
BANK 2017-BNK5 SER 2017-BNK5 CL AS REGD 3.62400000
06541WBA9
80000.00000000
NS
USD
85506.65000000
0.211925038377
Long
ABS-CBDO
CORP
US
N
2
2060-06-15
Fixed
3.62400000
N
N
N
N
N
N
UMBS P#BH4634 4% 06/01/47
N/A
FANNIE MAE POOL UMBS P#BH4634 4.00000000
3140GTEG1
60843.63000000
NS
USD
63848.06000000
0.158245032004
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
ACCOR SA 1.25% 01/25/24/EUR/
969500QZC2Q0TK11NV07
ACCOR SA /EUR/ REGD REG S 1.25000000
F0R505CW0
100000.00000000
NS
115453.68000000
0.286147633720
Long
DBT
CORP
FR
N
2
2024-01-25
Fixed
1.25000000
N
N
N
N
N
N
ERSTE GROUP BA V/R /PERP//EUR/
PQOH26KWDF7CG10L6792
ERSTE GROUP BANK AG /EUR/ REGD V/R /PERP/ REG S EMTN 8.87500000
A1953UND5
200000.00000000
NS
253703.65000000
0.628795020770
Long
DBT
CORP
AT
N
2
2168-10-15
Variable
8.87500000
N
N
N
N
N
N
SWEDISH GOV 2.5% 05/12/25/SEK/
N/A
SWEDISH GOVERNMENT /SEK/ REGD SER 1058 2.50000000
W77537SD6
2300000.00000000
NS
275724.33000000
0.683372453685
Long
DBT
USGA
SE
N
2
2025-05-12
Fixed
2.50000000
N
N
N
N
N
N
HOLCIM FIN 2.25% 05/26/28/EUR/
N/A
HOLCIM FINANCE LUX SA /EUR/ REGD REG S EMTN 2.25000000
L4806FAG6
100000.00000000
NS
124519.06000000
0.308615839461
Long
DBT
CORP
LU
N
2
2028-05-26
Fixed
2.25000000
N
N
N
N
N
N
UMBS P#AB2639 4.5% 05/01/41
N/A
FANNIE MAE POOL UMBS P#AB2639 4.50000000
31416X4Z0
8148.89000000
NS
USD
8914.36000000
0.022093908311
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
RALI 2002-QS16 A2 V/R 10/25/17
N/A
RESIDENTIAL ACCREDIT LOANS INC SER 2002-QS16 CL A2 V/R REGD_ 2.37275000
76110GW31
67.62000000
NS
USD
69.58000000
0.000172451431
Long
ABS-CBDO
CORP
US
N
2
2019-12-31
Variable
2.37275000
N
N
N
N
N
N
TEACHERS INSUR & 4.9% 09/15/44
N/A
TEACHERS INSUR & ANNUITY REGD 144A P/P 4.90000000
878091BD8
100000.00000000
NS
USD
125692.95000000
0.311525281981
Long
DBT
CORP
US
Y
2
2044-09-15
Fixed
4.90000000
N
N
N
N
N
N
FGLMC P#Q47419 4% 04/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47419 4.00000000
3132WMG57
18386.26000000
NS
USD
19508.08000000
0.048350047659
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
MASSACHUSETTS ST D 5% 07/15/40
549300UZSVMFXJK08K70
MASSACHUSETTS ST DEV FIN AGY R REGD N/C B/E 5.00000000
57584XYD7
15000.00000000
NS
USD
21798.15000000
0.054025900620
Long
DBT
MUN
US
N
2
2040-07-15
Fixed
5.00000000
N
N
N
N
N
N
PROVINCIA DE B 9.125% 03/16/24
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRE REGD 144A P/P 9.12500000
744080AK8
300000.00000000
NS
USD
102750.00000000
0.254662037318
Long
DBT
USGA
AR
Y
2
2024-03-16
Fixed
9.12500000
N
N
N
N
N
N
FGLMC P#Q47579 4% 04/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47579 4.00000000
3132WMM50
18282.45000000
NS
USD
19301.46000000
0.047837947706
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
PANGAEA 2015-2 0% 11/30/19
N/A
PANGAEA 2015-2 ZCP /BNR1QVAF7/ 0.00000000
N/A
30000.00000000
NS
USD
44.73000000
0.000110861634
Long
DBT
CORP
BM
N
3
2019-11-30
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20191127 000005455 USD
N/A
1.00000000
NC
N/A
78596.38000000
0.194798192279
N/A
DFE
N/A
N
1
STATE STREET BANK AND TRUST CO
N/A
478362.79000000
USD
0.00000000
N/A
2019-11-27
78596.38000000
N
N
N
ANTHEM INC 3.35% 12/01/24
8MYN82XMYQH89CTMTH67
ANTHEM INC REGD 3.35000000
036752AC7
38000.00000000
NS
USD
39854.05000000
0.098776774388
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
3.35000000
N
N
N
N
N
N
MSBAM 2015-C22 D V/R 04/15/25
N/A
MORGAN STANLEY BANK OF AMERICA MERR SER 2015-C22 CL D V/R REGD 144A P/P 4.23567400
61690FAB9
50000.00000000
NS
USD
47199.14000000
0.116981305616
Long
ABS-CBDO
CORP
US
Y
2
2048-04-15
Variable
4.23567400
N
N
N
N
N
N
T/L ZEKELMAN INDUS 0% 06/14/21
N/A
T/L ZEKELMAN INDUSTRIES INC REGD 0.00000000
98931YAB9
48264.95000000
NS
USD
48249.99000000
0.119585798092
Long
LON
CORP
US
N
2
2021-06-14
Fixed
0.00000000
N
N
N
N
N
N
EGYPT GOVE 16.1% 05/07/29/EGP/
N/A
EGYPT GOVERNMENT BOND /EGP/ REGD SER 10YR 16.10000000
M5R189AW6
1130000.00000000
NS
76631.82000000
0.189929103694
Long
DBT
USGA
EG
N
2
2029-05-07
Fixed
16.10000000
N
N
N
N
N
N
FGLMC P#Q30509 4% 12/01/44
N/A
FREDDIE MAC GOLD POOL P#Q30509 4.00000000
3132QLR70
10375.22000000
NS
USD
10974.17000000
0.027199070463
Long
ABS-MBS
USGA
US
N
2
2044-12-01
Fixed
4.00000000
N
N
N
N
N
N
FNR 2009-36 HX 4.5% 06/25/29
N/A
FANNIE MAE REMICS SER 2009-36 CL HX 4.50000000
31397NR31
3729.72000000
NS
USD
3884.10000000
0.009626596780
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#AM4159 4% 04/15/45
N/A
GINNIE MAE I POOL P#AM4159 4.00000000
36184QTQ7
29318.26000000
NS
USD
31575.63000000
0.078259019614
Long
ABS-MBS
USGSE
US
N
2
2045-04-15
Fixed
4.00000000
N
N
N
N
N
N
UBS GROUP 1.75% 11/16/22/EUR/
549300SZJ9VS8SGXAN81
UBS GROUP AG /EUR/ REGD REG S 1.75000000
G91703AD3
200000.00000000
NS
234212.81000000
0.580487701807
Long
DBT
CORP
CH
N
2
2022-11-16
Fixed
1.75000000
N
N
N
N
N
N
JAPAN (30 Y 0.8% 12/20/47/JPY/
N/A
JAPAN (30 YEAR ISSUE) /JPY/ REGD SER 57 0.80000000
J2S39KUZ7
75000000.00000000
NS
774170.02000000
1.918751479555
Long
DBT
USGA
JP
N
2
2047-12-20
Fixed
0.80000000
N
N
N
N
N
N
SKY LTD 1.5% 09/15/21/EUR/
2138003TS48MQKF4BZ29
SKY LTD /EUR/ REGD REG S EMTN 1.50000000
G15632AR6
150000.00000000
NS
172163.80000000
0.426701548034
Long
DBT
CORP
GB
N
2
2021-09-15
Fixed
1.50000000
N
N
N
N
N
N
NEXTERA ENERGY 3.55% 05/01/27
N/A
NEXTERA ENERGY CAPITAL REGD 3.55000000
65339KAT7
85000.00000000
NS
USD
90552.67000000
0.224431410480
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.55000000
N
N
N
N
N
N
UMBS P#AB5422 3.5% 06/01/42
N/A
FANNIE MAE POOL UMBS P#AB5422 3.50000000
31417CAY1
38792.61000000
NS
USD
40761.78000000
0.101026549289
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AS8326 4% 11/01/46
N/A
FANNIE MAE POOL UMBS P#AS8326 4.00000000
3138WJHC5
16548.17000000
NS
USD
17412.37000000
0.043155908698
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
FNMA 30YR TBA 4.0% NOV 18
B1V7KEBTPIMZEU4LTD58
FNMA 30YR TBA 4.0% NOV 18 TO BE ANNOUNCED 4.00000000
01F0406B8
55000.00000000
NS
USD
57075.39000000
0.141459222366
Long
ABS-MBS
USGA
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
BAUSCH HEAL 4.5% 05/15/23/EUR/
B3BS7ACMDUWISF18KY76
BAUSCH HEALTH COS INC /EUR/ REGD REG S 4.50000000
C96729AD7
100000.00000000
NS
112670.89000000
0.279250592641
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#BH3871 4% 06/01/47
N/A
FANNIE MAE POOL UMBS P#BH3871 4.00000000
3140GSJR4
19691.86000000
NS
USD
20672.02000000
0.051234829476
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
T/L SINCLAIR TEL 0% 01/03/24
N/A
T/L SINCLAIR TELEVISION GROUP INC REGD 0.00000000
N/A
98481.04000000
NS
USD
98511.77000000
0.244157742560
Long
LON
CORP
US
N
2
2024-01-03
Fixed
0.00000000
N
N
N
N
N
N
BANK 2017-BNK8 B V/R 11/15/27
N/A
BANK 2017-BNK8 SER 2017-BNK8 CL B V/R REGD 3.92902300
06650AAJ6
50000.00000000
NS
USD
54258.81000000
0.134478434034
Long
ABS-CBDO
CORP
US
N
2
2050-11-15
Variable
3.92902300
N
N
N
N
N
N
TELEKOM FIN 3.5% 07/04/23/EUR/
N/A
TELEKOM FINANZMANAGEMENT /EUR/ REGD REG S EMTN 3.50000000
A8502HDW4
100000.00000000
NS
125479.49000000
0.310996229344
Long
DBT
CORP
AT
N
2
2023-07-04
Fixed
3.50000000
N
N
N
N
N
N
UBS GROUP AG V/R /PERP/
549300SZJ9VS8SGXAN81
UBS GROUP AG REGD V/R /PERP/ 144A P/P 7.00000000
90352JAF0
200000.00000000
NS
USD
214500.00000000
0.531630238490
Long
DBT
CORP
CH
Y
2
2168-07-31
Variable
7.00000000
N
N
N
N
N
N
T/L VISTRA OPERAT 0% 08/04/23
N/A
T/L VISTRA OPERATION COMPANY LLC REGD 0.00000000
87239PAD6
67561.66000000
NS
USD
67860.96000000
0.168190854773
Long
LON
CORP
US
N
2
2023-08-04
Fixed
0.00000000
N
N
N
N
N
N
CREDIT SUISSE GROUP V/R /PERP/
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD V/R /PERP/ REG S 7.12500000
H3698DCA0
200000.00000000
NS
USD
213750.00000000
0.529771391502
Long
DBT
CORP
CH
N
2
2168-07-29
Variable
7.12500000
N
N
N
N
N
N
INTER-AME 7.875% 03/14/23/IDR/
VKU1UKDS9E7LYLMACP54
INTER-AMERICAN DEVEL BK /IDR/ REGD EMTN SER GDP 7.87500000
U4582NBR4
1160000000.00000000
NS
86200.47000000
0.213644645333
Long
DBT
CORP
US
N
2
2023-03-14
Fixed
7.87500000
N
N
N
N
N
N
UNITED TECHNOL 4.125% 11/16/28
I07WOS4YJ0N7YRFE7309
UNITED TECHNOLOGIES CORP REGD 4.12500000
913017CY3
40000.00000000
NS
USD
45389.29000000
0.112495659988
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.12500000
N
N
N
N
N
N
T/L ON ASSIGNMENT I 0% 4/02/25
N/A
T/L ON ASSIGNMENT INC ZCP REGD 0.00000000
N/A
95742.09000000
NS
USD
96172.93000000
0.238361014975
Long
LON
CORP
US
N
2
2025-04-02
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#BE9355 3% 03/01/47
N/A
FANNIE MAE POOL UMBS P#BE9355 3.00000000
3140FVMD5
30621.32000000
NS
USD
31416.47000000
0.077864547499
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
T/L SPRINT COMM 0% 02/02/24
N/A
T/L SPRINT COMMUNICATIONS INC ZCP REGD 0.00000000
N/A
97992.44000000
NS
USD
97052.50000000
0.240540996368
Long
LON
CORP
US
N
2
2024-02-02
Fixed
0.00000000
N
N
N
N
N
N
INTERNATIONAL PAPE 6% 11/15/41
824LMFJDH41EY779Q875
INTERNATIONAL PAPER CO REGD 6.00000000
460146CH4
5000.00000000
NS
USD
6175.57000000
0.015305919589
Long
DBT
CORP
US
N
2
2041-11-15
Fixed
6.00000000
N
N
N
N
N
N
FGLMC P#Q14694 3% 01/01/43
N/A
FREDDIE MAC GOLD POOL P#Q14694 3.00000000
3132HRGB0
13063.00000000
NS
USD
13491.09000000
0.033437162676
Long
ABS-MBS
USGA
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
HUMANA INC 3.95% 03/15/27
529900YLDW34GJAO4J06
HUMANA INC REGD 3.95000000
444859BF8
80000.00000000
NS
USD
85725.18000000
0.212466656820
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.95000000
N
N
N
N
N
N
UMBS P#AS4402 3.5% 02/01/45
N/A
FANNIE MAE POOL UMBS P#AS4402 3.50000000
3138WD3L3
27309.35000000
NS
USD
28945.29000000
0.071739820167
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
LIBERTY MUTUAL 7.697% 10/15/97
N/A
LIBERTY MUTUAL INSURANCE REGD 144A P/P 7.69700000
53079QAD9
100000.00000000
NS
USD
147856.97000000
0.366457977732
Long
DBT
CORP
US
Y
2
2097-10-15
Fixed
7.69700000
N
N
N
N
N
N
AMPHENOL CORP 3.2% 04/01/24
549300D3L3G0R4U4VT04
AMPHENOL CORP REGD 3.20000000
032095AG6
41000.00000000
NS
USD
42323.69000000
0.104897684888
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.20000000
N
N
N
N
N
N
EGYPT TREASU ZCP 03/03/20/EGP/
N/A
EGYPT TREASURY BILL /EGP/ REGD ZCP SER 364D 0.00000000
N/A
1050000.00000000
PA
61833.25000000
0.153251400671
Long
STIV
USGA
EG
N
2
2020-03-03
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#796299 3.5% 10/15/42
N/A
GINNIE MAE I POOL P#796299 3.50000000
36177Q7M9
7986.22000000
NS
USD
8425.00000000
0.020881047828
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
3.50000000
N
N
N
N
N
N
T/L IRON MOUNTAIN 0% 1/2/26
N/A
T/L IRON MOUNTAIN INCORPORATED REGD 0.00000000
46284NAQ2
123125.00000000
NS
USD
121739.84000000
0.301727646494
Long
LON
CORP
US
N
2
2026-01-02
Fixed
0.00000000
N
N
N
N
N
N
LORENZ RE 2018 0.0% 07/01/21
N/A
LORENZ RE 2018 REGD ZCP /BNR3Y35Y1/ 0.00000000
N/A
30000.00000000
NS
USD
6297.00000000
0.015606879308
Long
DBT
CORP
BM
N
3
2021-07-01
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#BE1933 3% 11/01/46
N/A
FANNIE MAE POOL UMBS P#BE1933 3.00000000
3140FMEF9
55246.44000000
NS
USD
56715.35000000
0.140566876673
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
FGLMC P#Q38892 4% 02/01/46
N/A
FREDDIE MAC GOLD POOL P#Q38892 4.00000000
3132QV3A7
26142.11000000
NS
USD
27621.78000000
0.068459550064
Long
ABS-MBS
USGA
US
N
2
2046-02-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AS1033 4.5% 11/01/43
N/A
FANNIE MAE POOL UMBS P#AS1033 4.50000000
3138WAEF0
22745.17000000
NS
USD
24464.80000000
0.060635093047
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
CNO FINANCIAL G 5.25% 05/30/25
11XPYHB76MPM4Y4P2897
CNO FINANCIAL GROUP INC REGD 5.25000000
12621EAK9
16000.00000000
NS
USD
17520.00000000
0.043422665633
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
5.25000000
N
N
N
N
N
N
BOSTON GAS COMP 3.15% 08/01/27
N/A
BOSTON GAS COMPANY REGD 144A P/P 3.15000000
100743AK9
15000.00000000
NS
USD
15656.22000000
0.038803356514
Long
DBT
CORP
US
Y
2
2027-08-01
Fixed
3.15000000
N
N
N
N
N
N
ALTRIA GR 3.125% 06/15/31/EUR/
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC /EUR/ REGD 3.12500000
02209SAZ6
160000.00000000
NS
196458.09000000
0.486914038415
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.12500000
N
N
N
N
N
N
UMBS P#AJ4895 4% 01/01/42
N/A
FANNIE MAE POOL UMBS P#AJ4895 4.00000000
3138AWNM1
62175.50000000
NS
USD
66453.35000000
0.164702145962
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
LEGRAND S 1.875% 07/06/32/EUR/
969500XXRPGD7HCAFA90
LEGRAND SA /EUR/ REGD REG S 1.87500000
F56196BW1
100000.00000000
NS
128042.50000000
0.317348553901
Long
DBT
CORP
FR
N
2
2032-07-06
Fixed
1.87500000
N
N
N
N
N
N
NOBLE ENERGY IN 5.25% 11/15/43
02VFQXG2D1LR5ZH3K186
NOBLE ENERGY INC REGD 5.25000000
655044AG0
65000.00000000
NS
USD
70163.27000000
0.173897044118
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
5.25000000
N
N
N
N
N
N
CWHL 2003-56 4A2 V/R 12/25/33
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2003-56 SER 2003-56 CL 4A2 V/R REGD 4.32747600
12669FBP7
2099.38000000
NS
USD
2096.48000000
0.005196047377
Long
ABS-CBDO
CORP
US
N
2
2033-12-25
Variable
4.32747600
N
N
N
N
N
N
ENERGY TRANSFE 5.875% 01/15/24
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATNG REGD 5.87500000
29278NAM5
100000.00000000
NS
USD
111030.02000000
0.275183757632
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.87500000
N
N
N
N
N
N
T/L CWGS GROUP LLC 0% 11/08/23
N/A
T/L CWGS GROUP LLC REGD 0.00000000
N/A
107182.39000000
NS
USD
91105.03000000
0.225800414109
Long
LON
CORP
US
N
2
2023-11-08
Fixed
0.00000000
N
N
N
N
N
N
CNO FINANCIAL G 5.25% 05/30/29
11XPYHB76MPM4Y4P2897
CNO FINANCIAL GROUP INC REGD 5.25000000
12621EAL7
9000.00000000
NS
USD
9925.83000000
0.024600798928
Long
DBT
CORP
US
N
2
2029-05-30
Fixed
5.25000000
N
N
N
N
N
N
T/L 1011778 B C 0.00% 02/16/24
N/A
T/L 1011778 B C UNLIMITED LIABILITY COMPANY 0.00000000
N/A
47053.44000000
NS
USD
47200.29000000
0.116984155848
Long
LON
CORP
CA
N
2
2024-02-16
Fixed
0.00000000
N
N
N
N
N
N
F/C US 5YR NOTE (CBT) DEC19
N/A
FUTURE CONTRACT ON US 5YR NOTE (CBT) DEC19 0.00000000
N/A
-1.00000000
NC
USD
-119203.13000000
-0.29544050550
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Short
F/C US 5YR NOTE (CBT) DEC19
US 5YR NOTE (CBT) DEC19
2019-12-31
120023.44000000
USD
820.32000000
N
N
N
HEALTHCARE TRUS 3.75% 07/01/27
N/A
HEALTHCARE TRUST OF AMER REGD 3.75000000
42225UAF1
60000.00000000
NS
USD
63219.03000000
0.156686004643
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
3.75000000
N
N
N
N
N
N
T/L REVLON CONSUME 0% 09/07/23
N/A
T/L REVLON CONSUMER PRODUCTS CORPORATION REGD 0.00000000
N/A
97487.40000000
NS
USD
76984.63000000
0.190803530102
Long
LON
CORP
US
N
2
2023-09-07
Fixed
0.00000000
N
N
N
N
N
N
F/C EURO-BUND FUTURE DEC19
N/A
FUTURE CONTRACT ON EURO-BUND FUTURE DEC19 /EUR/ 0.00000000
N/A
4.00000000
NC
765671.73000000
1.897688785199
N/A
DIR
CORP
DE
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Long
F/C EURO-BUND FUTURE DEC19
EURO-BUND FUTURE DEC19 /EUR/
2019-12-06
783324.61000000
EUR
-17652.89000000
N
N
N
UDR INC 4% 10/01/25
P3CH2EG5X6Z1XWU1OO74
UDR INC REGD MTN 4.00000000
90265EAK6
27000.00000000
NS
USD
29281.56000000
0.072573252802
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
4.00000000
N
N
N
N
N
N
IMPERIAL B 2.25% 02/26/21/EUR/
N/A
IMPERIAL BRANDS FIN PLC /EUR/ REGD REG S EMTN 2.25000000
G4721VLC6
100000.00000000
NS
114060.29000000
0.282694168647
Long
DBT
CORP
GB
N
2
2021-02-26
Fixed
2.25000000
N
N
N
N
N
N
UMBS P#MA0841 5% 08/01/31
N/A
FANNIE MAE POOL UMBS P#MA0841 5.00000000
31417Y5B9
24787.58000000
NS
USD
26510.99000000
0.065706498537
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
5.00000000
N
N
N
N
N
N
UK TSY 0 1/ 0.5% 07/22/22/GBP/
N/A
UK TSY 0 1/2% 2022 /GBP/ REGD REG S 0.50000000
G92445DQ8
475000.00000000
NS
615794.39000000
1.526223395882
Long
DBT
NUSS
GB
N
2
2022-07-22
Fixed
0.50000000
N
N
N
N
N
N
FLEX LTD 4.875% 06/15/29
549300EAQH74YHD07T53
FLEX LTD REGD 4.87500000
33938XAA3
115000.00000000
NS
USD
124295.92000000
0.308062795305
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.87500000
N
N
N
N
N
N
INTERNATIONAL PA 4.8% 06/15/44
824LMFJDH41EY779Q875
INTERNATIONAL PAPER CO REGD 4.80000000
460146CK7
50000.00000000
NS
USD
54240.75000000
0.134433672999
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
4.80000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20191127 000010428 USD
N/A
1.00000000
NC
N/A
-2148.17000000
-0.00532415911
N/A
DFE
N/A
N
1
STATE STREET BANK AND TRUST CO
N/A
0.00000000
N/A
55914.95000000
USD
2019-11-27
-2148.17000000
N
N
N
BRISA CONCESS 2% 03/22/23/EUR/
N/A
BRISA CONCESSAO RODOV SA /EUR/ REGD REG S EMTN 2.00000000
X0810MGD1
100000.00000000
NS
118483.87000000
0.293657846458
Long
DBT
CORP
PT
N
2
2023-03-22
Fixed
2.00000000
N
N
N
N
N
N
FGLMC P#Q39638 3.5% 03/01/46
N/A
FREDDIE MAC GOLD POOL P#Q39638 3.50000000
3132QWV89
14763.15000000
NS
USD
15373.20000000
0.038101902015
Long
ABS-MBS
USGA
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
AMPHENOL CORP 4.35% 06/01/29
549300D3L3G0R4U4VT04
AMPHENOL CORP REGD 4.35000000
032095AH4
63000.00000000
NS
USD
70061.81000000
0.173645579297
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
4.35000000
N
N
N
N
N
N
UMBS P#RA1087 4.5% 07/01/49
N/A
FREDDIE MAC POOL UMBS P#RA1087 4.50000000
3133KGF45
17432.63000000
NS
USD
18401.39000000
0.045607157828
Long
ABS-MBS
USGA
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
EQT CORP 3.9% 10/01/27
4NT01YGM4X7ZX86ISY52
EQT CORP REGD 3.90000000
26884LAF6
95000.00000000
NS
USD
84659.36000000
0.209825061758
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 05/01/29
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 1.30100000
38141GWZ3
105000.00000000
NS
USD
114749.77000000
0.284403019076
Long
DBT
CORP
US
N
2
2029-05-01
Variable
1.30100000
N
N
N
N
N
N
T/L GO DADDY OPERA 0% 02/15/24
N/A
T/L GO DADDY OPERATING COMPANY LLC REGD 0.00000000
38017BAN6
18404.66000000
NS
USD
18446.53000000
0.045719035632
Long
LON
CORP
US
N
2
2024-02-15
Fixed
0.00000000
N
N
N
N
N
N
ANNINGTON 1.65% 07/12/24/EUR/
N/A
ANNINGTON FUNDING PLC /EUR/ REGD REG S EMTN 1.65000000
G0390PAC9
100000.00000000
NS
115299.59000000
0.285765727410
Long
DBT
CORP
GB
N
2
2024-07-12
Fixed
1.65000000
N
N
N
N
N
N
BUZZI UNI 2.125% 04/28/23/EUR/
5299003DX5YLKSVJ6K59
BUZZI UNICEM SPA /EUR/ REGD REG S 2.12500000
T2320MAD1
100000.00000000
NS
117404.11000000
0.290981701627
Long
DBT
CORP
IT
N
2
2023-04-28
Fixed
2.12500000
N
N
N
N
N
N
BIOGEN INC 5.2% 09/15/45
W8J5WZB5IY3K0NDQT671
BIOGEN INC REGD 5.20000000
09062XAD5
50000.00000000
NS
USD
61315.49000000
0.151968151850
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
5.20000000
N
N
N
N
N
N
ENLINK MIDSTREAM 5.6% 04/01/44
88CPW63VL7KHJWS0NY83
ENLINK MIDSTREAM PARTNER REGD 5.60000000
29336UAC1
20000.00000000
NS
USD
15350.00000000
0.038044401682
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.60000000
N
N
N
N
N
N
FRONTIER COMMU 7.125% 01/15/23
549300ZCZ76HYCS0H445
FRONTIER COMMUNICATIONS REGD 7.12500000
35906AAM0
40000.00000000
NS
USD
18000.00000000
0.044612327705
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
7.12500000
N
N
N
N
N
N
N/A
N/A
TRY/ZAR FWD 20191203 000006038 USD
N/A
1.00000000
NC
N/A
-1731.76000000
-0.00429210247
N/A
DFE
N/A
N
1
BANK OF AMERICA, N.A.
N/A
1891624.37000000
ZAR
0.00000000
N/A
2019-12-03
-1731.76000000
N
N
N
FGLMC P#Q11892 3.5% 10/01/42
N/A
FREDDIE MAC GOLD POOL P#Q11892 3.50000000
3132HNC56
13768.81000000
NS
USD
14476.34000000
0.035879068003
Long
ABS-MBS
USGA
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
CITY OF BUENOS A 7.5% 06/01/27
5299007MC8RF52X0ON96
CITY OF BUENOS AIRES REGD 144A P/P 7.50000000
11942GAD4
250000.00000000
NS
USD
189375.00000000
0.469358864401
Long
DBT
USGA
AR
Y
2
2027-06-01
Fixed
7.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY /PFD/CV
N/A
WELLS FARGO & COMPANY SERIES L/PREFERRED/ CONVERTIBLE 0.00000000
949746804
95.00000000
NS
USD
143402.50000000
0.355417740210
Long
EP
CORP
US
N
1
N
N
N
UMBS P#AT5974 3% 05/01/43
N/A
FANNIE MAE POOL UMBS P#AT5974 3.00000000
3138WTT89
22917.13000000
NS
USD
23653.45000000
0.058624192375
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
INTESA SANPAOL V/R /PERP//EUR/
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA /EUR/ REGD V/R /PERP/ REG S 7.75000000
T5R13HZX7
200000.00000000
NS
265517.71000000
0.658075727229
Long
DBT
CORP
IT
N
2
2168-07-11
Variable
7.75000000
N
N
N
N
N
N
JAPAN (20 Y 0.6% 12/20/37/JPY/
N/A
JAPAN (20 YEAR ISSUE) /JPY/ REGD SER 163 0.60000000
J2S39KVB9
110000000.00000000
NS
1093755.61000000
2.710832427945
Long
DBT
USGA
JP
N
2
2037-12-20
Fixed
0.60000000
N
N
N
N
N
N
T/L AXALTA COAT 0% 6/1/24
N/A
T/L AXALTA COATING SYSTEMS /LX163100/ 0.00000000
90347BAH1
98500.00000000
NS
USD
98530.73000000
0.244204734212
Long
LON
CORP
NL
N
2
2024-06-01
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
SEK/USD FWD 20191126 000000901 USD
N/A
1.00000000
NC
N/A
-7684.46000000
-0.01904564709
N/A
DFE
N/A
N
1
THE BANK OF NEW YORK MELLON
HPFHU0OQ28E4N0NFVK49
3576961.50000000
SEK
0.00000000
N/A
2019-11-26
-7684.46000000
N
N
N
F/C US ULTRA BOND CBT DEC19
N/A
FUTURE CONTRACT ON US ULTRA BOND CBT DEC19 0.00000000
N/A
1.00000000
NC
USD
189750.00000000
0.470288287895
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Long
F/C US ULTRA BOND CBT DEC19
US ULTRA BOND CBT DEC19
2019-12-19
198312.50000000
USD
-8562.50000000
N
N
N
UMBS P#BJ5114 4% 12/01/47
N/A
FANNIE MAE POOL UMBS P#BJ5114 4.00000000
3140H6VG1
38869.67000000
NS
USD
40716.91000000
0.100915340670
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS PLC V/R 11/11/25/EUR/
213800LBQA1Y9L22JB70
BARCLAYS PLC /EUR/ REGD V/R REG S EMTN 2.62500000
G0798B6Y5
200000.00000000
NS
226518.65000000
0.561418013622
Long
DBT
CORP
GB
N
2
2025-11-11
Variable
2.62500000
N
N
N
N
N
N
UMBS P#BE0699 3% 10/01/46
N/A
FANNIE MAE POOL UMBS P#BE0699 3.00000000
3140FKX54
38905.49000000
NS
USD
39947.90000000
0.099009378108
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
ENABLE MIDSTREAM 4.4% 03/15/27
N/A
ENABLE MIDSTREAM PARTNER REGD 4.40000000
292480AK6
100000.00000000
NS
USD
99084.40000000
0.245576984627
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
4.40000000
N
N
N
N
N
N
BAT CAPIT 1.125% 11/16/23/EUR/
N/A
BAT CAPITAL CORP /EUR/ REGD REG S EMTN 1.12500000
U05526AQ8
100000.00000000
NS
114220.87000000
0.283092160180
Long
DBT
CORP
US
N
2
2023-11-16
Fixed
1.12500000
N
N
N
N
N
N
BPCE SA 2.875% 04/22/26/EUR/
N/A
BPCE SA /EUR/ REGD REG S EMTN 2.87500000
F1883DEF8
200000.00000000
NS
254561.33000000
0.630920748616
Long
DBT
CORP
FR
N
2
2026-04-22
Fixed
2.87500000
N
N
N
N
N
N
AKELIUS R 1.125% 03/14/24/EUR/
N/A
AKELIUS RESIDENTIAL AB /EUR/ REGD REG S EMTN 1.12500000
W0R932EH8
100000.00000000
NS
114145.31000000
0.282904887542
Long
DBT
CORP
SE
N
2
2024-03-14
Fixed
1.12500000
N
N
N
N
N
N
OMAN GOV INTER 5.375% 03/08/27
N/A
OMAN GOV INTERNTL BOND REGD 144A P/P 5.37500000
682051AE7
200000.00000000
NS
USD
198000.00000000
0.490735604760
Long
DBT
USGA
OM
Y
2
2027-03-08
Fixed
5.37500000
N
N
N
N
N
N
UMBS P#BH3875 4% 07/01/47
N/A
FANNIE MAE POOL UMBS P#BH3875 4.00000000
3140GSJV5
16797.47000000
NS
USD
17627.05000000
0.043687985060
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF SRI 7.55% 03/28/30
N/A
REPUBLIC OF SRI LANKA REGD 144A P/P 7.55000000
85227SBB1
220000.00000000
NS
USD
222501.72000000
0.551462202648
Long
DBT
USGA
LK
Y
2
2030-03-28
Fixed
7.55000000
N
N
N
N
N
N
UK TSY 3.5% 3.5% 01/22/45/GBP/
N/A
UK TSY 3.5% 2045 /GBP/ REGD REG S 3.50000000
G4527HDA6
450000.00000000
NS
885301.98000000
2.194187891670
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
AXA 8.6% 12/15/30
F5WCUMTUM4RKZ1MAIE39
AXA 8.6% 12/15/30 8.60000000
054536AA5
60000.00000000
NS
USD
87072.00000000
0.215804699887
Long
DBT
CORP
FR
N
2
2030-12-15
Fixed
8.60000000
N
N
N
N
N
N
COMM 2016-CR2 3.651% 11/10/24
N/A
COMM 2016-CR28 MORTGAGE TRUST SER 2016-CR28 CL AHR REGD 3.65100000
12593YBF9
238263.08000000
NS
USD
250576.80000000
0.621045239832
Long
ABS-CBDO
CORP
US
N
2
2049-02-10
Fixed
3.65100000
N
N
N
N
N
N
NYKREDIT R 0.75% 07/14/21/EUR/
N/A
NYKREDIT REALKREDIT AS /EUR/ REGD REG S 0.75000000
K74181H25
100000.00000000
NS
113020.83000000
0.280117905861
Long
DBT
CORP
DK
N
2
2021-07-14
Fixed
0.75000000
N
N
N
N
N
N
CIGNA CORP 4.375% 10/15/28
549300VIWYMSIGT1U456
CIGNA CORP REGD SER WI 4.37500000
125523AH3
45000.00000000
NS
USD
49421.94000000
0.122490432395
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
US TIPS 1% 02/15/49
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000
912810SG4
235518.36000000
NS
USD
264817.58000000
0.656340481174
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
GOLDMAN S 1.625% 07/27/26/EUR/
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC /EUR/ REGD REG S EMTN 1.62500000
U3823BSR3
100000.00000000
NS
119302.10000000
0.295685798952
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
1.62500000
N
N
N
N
N
N
N/A
N/A
CAD/USD FWD 20191203 000005208 USD
N/A
1.00000000
NC
N/A
8515.01000000
0.021104134251
N/A
DFE
N/A
N
1
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
0.00000000
N/A
264263.55000000
CAD
2019-12-03
8515.01000000
N
N
N
UMBS P#AZ4788 4% 10/01/45
N/A
FANNIE MAE POOL UMBS P#AZ4788 4.00000000
3138YWKA4
50254.09000000
NS
USD
53171.23000000
0.131782907625
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#SD8012 4% 09/01/49
N/A
FREDDIE MAC POOL UMBS P#SD8012 4.00000000
3132DV3V5
38387.93000000
NS
USD
39909.25000000
0.098913585526
Long
ABS-MBS
USGA
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#784449 V/R 09/20/44
N/A
GINNIE MAE II POOL P#784449 V/R 4.50000000
3622A25J7
53352.14000000
NS
USD
56156.00000000
0.139180548590
Long
ABS-MBS
USGSE
US
N
2
2044-09-20
Fixed
4.50000000
N
N
N
N
N
N
US T BILL ZCP 11/19/19
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912796WE5
1400000.00000000
PA
USD
1398931.91000000
3.467200489254
Long
STIV
UST
US
N
2
2019-11-19
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#BE5591 3.5% 01/01/47
N/A
FANNIE MAE POOL UMBS P#BE5591 3.50000000
3140FRF91
37419.59000000
NS
USD
39492.94000000
0.097881776740
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
CADENT FI 2.125% 09/22/28/GBP/
N/A
CADENT FINANCE PLC /GBP/ REGD REG S EMTN 2.12500000
G1746KAC9
125000.00000000
NS
164953.91000000
0.408832104956
Long
DBT
CORP
GB
N
2
2028-09-22
Fixed
2.12500000
N
N
N
N
N
N
T/L ATKORE INTERNA 0% 12/22/23
N/A
T/L ATKORE INTERNATIONAL INC REGD 0.00000000
04765BAG7
46309.84000000
NS
USD
46302.66000000
0.114759413419
Long
LON
CORP
US
N
2
2023-12-22
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AH9873 4.5% 04/01/41
N/A
FANNIE MAE POOL UMBS P#AH9873 4.50000000
3138AB6K0
10665.75000000
NS
USD
11564.07000000
0.028661115580
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
NY STATE ELECTRI 3.3% 09/15/49
N/A
NY STATE ELECTRIC & GAS REGD 144A P/P 3.30000000
649840CR4
31000.00000000
NS
USD
30661.22000000
0.075992688582
Long
DBT
CORP
US
Y
2
2049-09-15
Fixed
3.30000000
N
N
N
N
N
N
BACARDI LTD 5.3% 05/15/48
549300R32WTQNHNN5055
BACARDI LTD REGD 144A P/P 5.30000000
067316AH2
100000.00000000
NS
USD
112625.67000000
0.279138516560
Long
DBT
CORP
BM
Y
2
2048-05-15
Fixed
5.30000000
N
N
N
N
N
N
UKRAINE GOVERN 8.994% 02/01/24
N/A
UKRAINE GOVERNMENT REGD 144A P/P 8.99400000
903724BW1
200000.00000000
NS
USD
222500.00000000
0.551457939692
Long
DBT
USGA
UA
Y
2
2024-02-01
Fixed
8.99400000
N
N
N
N
N
N
T/L CSC HOLDINGS 0% 04/27/27
N/A
T/L CSC HOLDINGS LLC REGD 0.00000000
64072UAK8
49375.00000000
NS
USD
49374.70000000
0.122373349819
Long
LON
CORP
US
N
2
2027-04-27
Fixed
0.00000000
N
N
N
N
N
N
SCIENTIFIC GAMES 10% 12/01/22
N/A
SCIENTIFIC GAMES INTERNA REGD SER WI 10.00000000
80874YAU4
28000.00000000
NS
USD
28805.00000000
0.071392116642
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
10.00000000
N
N
N
N
N
N
TSY INFL IX N/B 1.000% 2/15/46
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000
912810RR1
243625.50000000
NS
USD
270449.94000000
0.670300075067
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
CGCMT 2015-GC 3.137% 12/10/24
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27 SER 2015-GC27 CL A5 REGD 3.13700000
17323CAE7
100000.00000000
NS
USD
104647.90000000
0.259365911582
Long
ABS-CBDO
CORP
US
N
2
2048-02-10
Fixed
3.13700000
N
N
N
N
N
N
CHENIERE ENERGY 5.25% 10/01/25
N/A
CHENIERE ENERGY PARTNERS REGD SER WI 5.25000000
16411QAB7
40000.00000000
NS
USD
41400.00000000
0.102608353722
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.25000000
N
N
N
N
N
N
REPUBLIC O 4.15% 03/15/37/EUR/
N/A
REPUBLIC OF AUSTRIA /EUR/ REGD 4.15000000
A5260RKE2
50000.00000000
NS
93738.62000000
0.232327668561
Long
DBT
USGA
AT
Y
2
2037-03-15
Fixed
4.15000000
N
N
N
N
N
N
N/A
N/A
EUR/GBP FWD 20191129 000005208 USD
N/A
1.00000000
NC
N/A
-12592.02000000
-0.03120885126
N/A
DFE
N/A
N
1
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
0.00000000
N/A
42663.82000000
EUR
2019-11-29
-12592.02000000
N
N
N
GNR 2009-83 EB 4.5% 09/20/39
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-83 CL EB 4.50000000
38376CAG4
15994.90000000
NS
USD
17571.43000000
0.043550132967
Long
ABS-MBS
USGSE
US
N
2
2039-09-20
Fixed
4.50000000
N
N
N
N
N
N
T/L AVOLON TLB BO ZCP 01/15/25
635400O84AGITYFZQB55
T/L AVOLON TLB BORROWER 1 US REGD ZCP TERM LOAN 0.00000000
05400KAE0
94710.83000000
NS
USD
95211.85000000
0.235979014091
Long
LON
CORP
US
N
2
2025-01-15
Fixed
0.00000000
N
N
N
N
N
N
T/L GOODPACK LIMIT 0% 09/11/23
N/A
T/L GOODPACK LIMITED REGD 0.00000000
44928QAE9
73875.00000000
NS
USD
73182.42000000
0.181379894628
Long
LON
CORP
SG
N
2
2023-09-11
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AS1091 4% 11/01/43
N/A
FANNIE MAE POOL UMBS P#AS1091 4.00000000
3138WAF93
34215.88000000
NS
USD
36725.72000000
0.091023325325
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.00000000
N
N
N
N
N
N
INNOGY FI 5.625% 12/06/23/GBP/
N/A
INNOGY FINANCE BV /GBP/ REGD EMTN 5.62500000
N7660FAW7
75000.00000000
NS
113737.58000000
0.281894343966
Long
DBT
CORP
NL
N
2
2023-12-06
Fixed
5.62500000
N
N
N
N
N
N
LEEDS BUI 1.375% 05/05/22/EUR/
O8VR8MK4M5SM9ZVEFS35
LEEDS BUILDING SOCIETY /EUR/ REGD REG S EMTN 1.37500000
G54210BX9
100000.00000000
NS
115162.58000000
0.285426153242
Long
DBT
CORP
GB
N
2
2022-05-05
Fixed
1.37500000
N
N
N
N
N
N
GNMA II P#MA2373 4.5% 11/20/44
N/A
GINNIE MAE II POOL P#MA2373 4.50000000
36179QT68
32361.86000000
NS
USD
34696.94000000
0.085995069869
Long
ABS-MBS
USGSE
US
N
2
2044-11-20
Fixed
4.50000000
N
N
N
N
N
N
T/L STONEPEAK LON 0% 10/14/26
N/A
T/L STONEPEAK LONESTAR HOLDINGS LLC REGD 0.00000000
86184NAC0
65000.00000000
NS
USD
63903.13000000
0.158381520942
Long
LON
CORP
US
N
2
2026-11-14
Fixed
0.00000000
N
N
N
N
N
N
US TREAS BDS 3.0% 2/15/49
N/A
UNITED STATES TREASURY BOND 3.00000000
912810SF6
207000.00000000
NS
USD
244033.59000000
0.604828138234
Long
DBT
UST
US
N
2
2049-02-15
Fixed
3.00000000
N
N
N
N
N
N
T/L SCIENTIFIC GAM 0% 08/14/24
N/A
T/L SCIENTIFIC GAMES INTERNATIONAL INC REGD 0.00000000
N/A
49250.00000000
NS
USD
48732.88000000
0.120782622921
Long
LON
CORP
US
N
2
2024-08-14
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20191218 000010429 USD
N/A
1.00000000
NC
N/A
37966.87000000
0.094099469243
N/A
DFE
N/A
N
1
STATE STREET BANK AND TRUST COMPANY, HK BRANCH
N/A
0.00000000
N/A
448840173.74000000
JPY
2019-12-18
37966.87000000
N
N
N
FREMF 2015-K51 B V/R 09/25/25
N/A
FREMF 2015-K51 MORTGAGE TRUST SER 2015-K51 CL B V/R 144A P/P 3.95370000
30293XAJ9
50000.00000000
NS
USD
52807.79000000
0.130882135160
Long
ABS-CBDO
CORP
US
Y
2
2048-10-25
Variable
3.95370000
N
N
N
N
N
N
UMBS P#BD8705 3.5% 12/01/46
N/A
FANNIE MAE POOL UMBS P#BD8705 3.50000000
3140FGU72
58521.11000000
NS
USD
60837.34000000
0.150783074933
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
BMARK 2018-B6 3.995% 07/10/28
N/A
BENCHMARK 2018-B6 MORTGAGE TRUST SER 2018-B6 CL A3 REGD 3.99500000
08162CAC4
200000.00000000
NS
USD
224122.26000000
0.555478650511
Long
ABS-CBDO
CORP
US
N
2
2051-10-10
Fixed
3.99500000
N
N
N
N
N
N
FGLMC P#Q45099 3.5% 12/01/46
N/A
FREDDIE MAC GOLD POOL P#Q45099 3.50000000
3132WJUZ2
57000.68000000
NS
USD
60198.26000000
0.149199139023
Long
ABS-MBS
USGA
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AS7803 4% 08/01/46
N/A
FANNIE MAE POOL UMBS P#AS7803 4.00000000
3138WHU59
28364.86000000
NS
USD
29838.00000000
0.073952368559
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AP7950 3.5% 09/01/42
N/A
FANNIE MAE POOL UMBS P#AP7950 3.50000000
3138MBZQ2
101417.35000000
NS
USD
106440.45000000
0.263808679806
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.50000000
N
N
N
N
N
N
SEMPRA ENERGY 3.4% 02/01/28
PBBKGKLRK5S5C0Y4T545
SEMPRA ENERGY REGD 3.40000000
816851BG3
65000.00000000
NS
USD
66521.29000000
0.164870532715
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.40000000
N
N
N
N
N
N
CARDINAL HEALT 3.079% 06/15/24
CCU46N3GJMF4OK4N7U60
CARDINAL HEALTH INC REGD 3.07900000
14149YBH0
116000.00000000
NS
USD
117913.34000000
0.292243809162
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.07900000
N
N
N
N
N
N
APACHE CORP 4.375% 10/15/28
72ZZ1XRHOOU9P9X16K08
APACHE CORP REGD 4.37500000
037411BE4
65000.00000000
NS
USD
64497.34000000
0.159854248233
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
UMBS P#BA4510 4% 12/01/45
N/A
FANNIE MAE POOL UMBS P#BA4510 4.00000000
3140E9AL0
40455.74000000
NS
USD
42763.81000000
0.105988505869
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
FREMF 2010-K9 B V/R 08/25/20
N/A
FREMF 2010-K9 MORTGAGE TRUST SER 2010-K9 CL B V/R 144A P/P 5.20778500
30261XAA6
45000.00000000
NS
USD
45884.39000000
0.113722746847
Long
ABS-CBDO
CORP
US
Y
2
2045-09-25
Variable
5.20778500
N
N
N
N
N
N
COMCAST CORP 4.15% 10/15/28
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 4.15000000
20030NCT6
60000.00000000
NS
USD
67774.85000000
0.167977434354
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
UMBS P#BE2316 3.5% 01/01/47
N/A
FANNIE MAE POOL UMBS P#BE2316 3.50000000
3140FMSE7
39133.38000000
NS
USD
40665.36000000
0.100787575921
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
MXN/USD FWD 20191218 000000901 USD
N/A
1.00000000
NC
N/A
1194.12000000
0.002959581819
N/A
DFE
N/A
N
1
THE BANK OF NEW YORK MELLON
HPFHU0OQ28E4N0NFVK49
2753444.83000000
MXN
0.00000000
N/A
2019-12-18
1194.12000000
N
N
N
UMBS P#AK0746 4% 02/01/42
N/A
FANNIE MAE POOL UMBS P#AK0746 4.00000000
3138E4ZL8
12279.72000000
NS
USD
13117.89000000
0.032512200415
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#Q42941 3% 09/01/46
N/A
FREDDIE MAC GOLD POOL P#Q42941 3.00000000
3132WGHT7
20048.23000000
NS
USD
20593.01000000
0.051039006142
Long
ABS-MBS
USGA
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC OF ARGE 7.5% 04/22/26
N/A
REPUBLIC OF ARGENTINA REGD SER WI 7.50000000
040114GX2
300000.00000000
NS
USD
127203.00000000
0.315267884506
Long
DBT
USGA
AR
N
2
2026-04-22
Fixed
7.50000000
N
N
N
N
N
N
CLNS 2017-IKPR C V/R 06/11/22
N/A
CLNS TRUST 2017-IKPR SER 2017-IKPR CL C V/R REGD 144A P/P 3.02738000
125639AJ3
100000.00000000
NS
USD
99968.73000000
0.247768763503
Long
ABS-CBDO
CORP
US
Y
2
2032-06-11
Variable
3.02738000
N
N
N
N
N
N
HSBC HOLD 0.875% 09/06/24/EUR/
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC /EUR/ REGD REG S 0.87500000
G4634UCA8
100000.00000000
NS
115304.56000000
0.285778045369
Long
DBT
CORP
GB
N
2
2024-09-06
Fixed
0.87500000
N
N
N
N
N
N
REPUBLIC OF KEN 7.25% 02/28/28
N/A
REPUBLIC OF KENYA REGD 144A P/P 7.25000000
491798AG9
200000.00000000
NS
USD
210956.80000000
0.522848549627
Long
DBT
USGA
KE
Y
2
2028-02-28
Fixed
7.25000000
N
N
N
N
N
N
RUSSIA GOV 8.15% 02/03/27/RUB/
N/A
RUSSIA GOVT BOND - OFZ /RUB/ REGD SER 6207 8.15000000
X54006AA3
17256000.00000000
NS
297473.79000000
0.737277677959
Long
DBT
USGA
RU
N
2
2027-02-03
Fixed
8.15000000
N
N
N
N
N
N
ANGLO AMER 3.25% 04/03/23/EUR/
N/A
ANGLO AMERICAN CAPITAL /EUR/ REGD REG S EMTN 3.25000000
G03762HU1
100000.00000000
NS
122438.60000000
0.303459497055
Long
DBT
CORP
GB
N
2
2023-04-03
Fixed
3.25000000
N
N
N
N
N
N
UMBS P#BH1658 4% 04/01/47
N/A
FANNIE MAE POOL UMBS P#BH1658 4.00000000
3140GPZY7
30377.22000000
NS
USD
31887.85000000
0.079032845223
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#5175 4.5% 09/20/41
N/A
GINNIE MAE II POOL P#5175 4.50000000
36202FXC5
24191.63000000
NS
USD
26159.30000000
0.064834848008
Long
ABS-MBS
USGSE
US
N
2
2041-09-20
Fixed
4.50000000
N
N
N
N
N
N
AXA SA V/R /PERP//EUR/
F5WCUMTUM4RKZ1MAIE39
AXA SA /EUR/ REGD V/R /PERP/ REG S EMTN 3.87500000
F0609NAT5
100000.00000000
NS
125932.85000000
0.312119865171
Long
DBT
CORP
FR
N
2
2168-10-08
Variable
3.87500000
N
N
N
N
N
N
WILLIAMS COMPAN 5.75% 06/24/44
D71FAKCBLFS2O0RBPG08
WILLIAMS COMPANIES INC REGD 5.75000000
969457BV1
57000.00000000
NS
USD
65785.08000000
0.163045863727
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
FGLMC P#Q47850 4% 05/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47850 4.00000000
3132WMWL4
93231.34000000
NS
USD
97968.29000000
0.242810747679
Long
ABS-MBS
USGA
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
WILLIAMS COS IN 7.75% 06/15/31
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC REGD 7.75000000
969457BD1
13000.00000000
NS
USD
17139.48000000
0.042479561025
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
7.75000000
N
N
N
N
N
N
T/L WEST CORPORATI 0% 10/10/24
N/A
T/L WEST CORPORATION REGD 0.00000000
N/A
74062.50000000
NS
USD
61888.48000000
0.153388286164
Long
LON
CORP
US
N
2
2024-10-10
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#Q11194 3% 09/01/42
N/A
FREDDIE MAC GOLD POOL P#Q11194 3.00000000
3132HMKF7
10809.16000000
NS
USD
11163.33000000
0.027667896458
Long
ABS-MBS
USGA
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#AB5267 4% 05/01/42
N/A
FANNIE MAE POOL UMBS P#AB5267 4.00000000
31417BZ91
22122.64000000
NS
USD
23606.36000000
0.058507481569
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
SEMT 2013-4 A2 V/R 04/25/43
N/A
SEQUOIA MORTGAGE TRUST 2013-4 SER 2013-4 CL A2 V/R REGD 2.50000000
81744YAB2
190016.88000000
NS
USD
188291.75000000
0.466674069735
Long
ABS-CBDO
CORP
US
N
2
2043-04-25
Variable
2.50000000
N
N
N
N
N
N
ENABLE MIDSTREA 4.95% 05/15/28
N/A
ENABLE MIDSTREAM PARTNER REGD 4.95000000
292480AL4
75000.00000000
NS
USD
76817.60000000
0.190389552486
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.95000000
N
N
N
N
N
N
CSAIL 2016-C5 C V/R 11/15/25
N/A
CSAIL 2016-C5 COMMERCIAL MORTGAGE TRUST SER 2016-C5 CL C V/R REGD 4.53573000
12636LBE9
50000.00000000
NS
USD
53824.92000000
0.133403053875
Long
ABS-CBDO
CORP
US
N
2
2048-11-15
Variable
4.53573000
N
N
N
N
N
N
T/L LAMAR MEDIA CO 0% 03/14/25
N/A
T/L LAMAR MEDIA CORP REGD 0.00000000
N/A
98500.00000000
NS
USD
99054.06000000
0.245501788071
Long
LON
CORP
US
N
2
2025-03-14
Fixed
0.00000000
N
N
N
N
N
N
SUNOCO LOGISTICS 6.1% 02/15/42
N/A
SUNOCO LOGISTICS PARTNER REGD 6.10000000
86765BAK5
60000.00000000
NS
USD
67776.68000000
0.167981969941
Long
DBT
CORP
US
N
2
2042-02-15
Fixed
6.10000000
N
N
N
N
N
N
FGLMC P#G08758 4% 04/01/47
N/A
FREDDIE MAC GOLD POOL P#G08758 4.00000000
3128MJZY9
79774.76000000
NS
USD
83812.16000000
0.207725308201
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#723600 4.5% 01/15/40
N/A
GINNIE MAE I POOL P#723600 4.50000000
3620A93H2
22407.31000000
NS
USD
24532.16000000
0.060802042291
Long
ABS-MBS
USGSE
US
N
2
2040-01-15
Fixed
4.50000000
N
N
N
N
N
N
SABINE PASS LIQUEF 5% 03/15/27
N/A
SABINE PASS LIQUEFACTION REGD SER WI 5.00000000
785592AS5
60000.00000000
NS
USD
65904.16000000
0.163340999059
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#AS1845 4.5% 02/01/44
N/A
FANNIE MAE POOL UMBS P#AS1845 4.50000000
3138WBBP9
26170.21000000
NS
USD
28112.55000000
0.069675905179
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.50000000
N
N
N
N
N
N
VALERO ENERGY 6.625% 06/15/37
549300XTO5VR8SKV1V74
VALERO ENERGY CORP REGD 6.62500000
91913YAL4
29000.00000000
NS
USD
37841.88000000
0.093789686197
Long
DBT
CORP
US
N
2
2037-06-15
Fixed
6.62500000
N
N
N
N
N
N
BANQUE OUEST AFR 4.7% 10/22/31
529900LIZJABE4JJS826
BANQUE OUEST AFRICAINE D REGD 144A P/P 4.70000000
06675QAC7
200000.00000000
NS
USD
201264.00000000
0.498825306850
Long
DBT
CORP
TG
Y
2
2031-10-22
Fixed
4.70000000
N
N
N
N
N
N
T/L ATI PHYSICAL 0% 5/10/23
N/A
T/L ATI PHYSICAL THERAPY HOLDINGS LLC REGD 0.00000000
00216HAB8
49236.62000000
NS
USD
47267.16000000
0.117149890645
Long
LON
CORP
US
N
2
2023-05-10
Fixed
0.00000000
N
N
N
N
N
N
ALEXANDRIA REAL 3.9% 06/15/23
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL ESTATE E REGD 3.90000000
015271AD1
2000.00000000
NS
USD
2112.39000000
0.005235479717
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.90000000
N
N
N
N
N
N
GNMA P#770470 4.5% 07/15/41
N/A
GINNIE MAE I POOL P#770470 4.50000000
36176MW74
16068.64000000
NS
USD
17481.09000000
0.043326228651
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Fixed
4.50000000
N
N
N
N
N
N
REDE D'OR FINAN 4.95% 01/17/28
N/A
REDE D'OR FINANCE SARL REGD 144A P/P 4.95000000
75735KAA7
173000.00000000
NS
USD
174946.25000000
0.433597746435
Long
DBT
CORP
LU
Y
2
2028-01-17
Fixed
4.95000000
N
N
N
N
N
N
GENERAL MOTORS C 6.6% 04/01/36
54930070NSV60J38I987
GENERAL MOTORS CO REGD 6.60000000
37045VAK6
90000.00000000
NS
USD
104483.97000000
0.258959617200
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
N/A
N/A
AUD/NZD FWD 20191219 000010428 USD
N/A
1.00000000
NC
N/A
-4246.88000000
-0.01052573346
N/A
DFE
N/A
N
1
STATE STREET BANK AND TRUST CO
N/A
96041.07000000
NZD
0.00000000
N/A
2019-12-19
-4246.88000000
N
N
N
UMBS P#BM1057 4% 04/01/47
N/A
FANNIE MAE POOL UMBS P#BM1057 4.00000000
3140J5E70
32600.46000000
NS
USD
34570.30000000
0.085681197359
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
NN GROUP NV V/R /PERP//EUR/
724500OHYNDT9OY6Q215
NN GROUP NV /EUR/ REGD V/R /PERP/ REG S EMTN 4.37500000
N25633AD5
100000.00000000
NS
122625.16000000
0.303921879047
Long
DBT
CORP
NL
N
2
2168-06-13
Variable
4.37500000
N
N
N
N
N
N
GNMA II P#MA2305 4.5% 10/20/44
N/A
GINNIE MAE II POOL P#MA2305 4.50000000
36179QR29
15263.19000000
NS
USD
16365.59000000
0.040561503565
Long
ABS-MBS
USGSE
US
N
2
2044-10-20
Fixed
4.50000000
N
N
N
N
N
N
F/C US 10YR ULTRA FUT DEC19
N/A
FUTURE CONTRACT ON US 10YR ULTRA FUT DEC19 0.00000000
N/A
-25.00000000
NC
USD
-3552734.38000000
-8.80531946728
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Short
F/C US 10YR ULTRA FUT DEC19
US 10YR ULTRA FUT DEC19
2019-12-19
3592492.19000000
USD
39757.81000000
N
N
N
F/C US 10YR NOTE (CBT)DEC19
N/A
FUTURE CONTRACT ON US 10YR NOTE (CBT)DEC19 0.00000000
N/A
-24.00000000
NC
USD
-3127125.00000000
-7.75046251533
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Short
F/C US 10YR NOTE (CBT)DEC19
US 10YR NOTE (CBT)DEC19
2019-12-19
3165000.00000000
USD
37875.00000000
N
N
N
T/L USI HOLDINGS 0% 05/16/2024
N/A
T/L USI HOLDINGS CORPORATION REGD 0.00000000
N/A
49246.22000000
NS
USD
47868.85000000
0.118641156838
Long
LON
CORP
US
N
2
2024-05-16
Fixed
0.00000000
N
N
N
N
N
N
CGCMT 2016-P5 D 3% 10/10/26
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P5 SER 2016-P5 CL D REGD 144A P/P 3.00000000
17325DAL7
250000.00000000
NS
USD
225247.40000000
0.558267267978
Long
ABS-CBDO
CORP
US
Y
2
2049-10-10
Fixed
3.00000000
N
N
N
N
N
N
JPMCC 2012-LC9 2.84% 11/15/22
N/A
JP MORGAN CHASE COMMERCIAL____ MORTGAGE SECURITIES CORP SER 2012-LC9 CL A5 REGD 2.84000000
46639EAE1
62817.64000000
NS
USD
63977.01000000
0.158564629763
Long
ABS-CBDO
CORP
US
N
2
2047-12-15
Fixed
2.84000000
N
N
N
N
N
N
T/L RPI FINANCE 0% 03/27/23
N/A
T/L RPI FINANCE TRUST REGD 0.00000000
N/A
46386.32000000
NS
USD
46650.86000000
0.115622414114
Long
LON
CORP
US
N
2
2023-03-27
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#BD7979 3% 09/01/46
N/A
FANNIE MAE POOL UMBS P#BD7979 3.00000000
3140FF2M2
19878.93000000
NS
USD
20415.65000000
0.050599426006
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
F/C US LONG BOND(CBT) DEC19
N/A
FUTURE CONTRACT ON US LONG BOND(CBT) DEC19 0.00000000
N/A
-6.00000000
NC
USD
-968250.00000000
-2.39977146115
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Short
F/C US LONG BOND(CBT) DEC19
US LONG BOND(CBT) DEC19
2019-12-19
995250.00000000
USD
27000.00000000
N
N
N
GNMA P#AU3733 3.5% 08/15/46
N/A
GINNIE MAE I POOL P#AU3733 3.50000000
36194REE6
26773.30000000
NS
USD
28012.07000000
0.069426869252
Long
ABS-MBS
USGSE
US
N
2
2046-08-15
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AL7382 3.5% 09/01/45
N/A
FANNIE MAE POOL UMBS P#AL7382 3.50000000
3138EQFY3
52876.28000000
NS
USD
55002.21000000
0.136320923169
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
DIGICEL LTD 6% 04/15/21
N/A
DIGICEL LTD REGD 144A P/P 6.00000000
25380QAG4
200000.00000000
NS
USD
149002.00000000
0.369295891820
Long
DBT
CORP
JM
Y
2
2021-04-15
Fixed
6.00000000
N
N
N
N
N
N
ASSICURAZ 4.125% 05/04/26/EUR/
549300X5UKJVE386ZB61
ASSICURAZIONI GENERALI /EUR/ REGD REG S EMTN 4.12500000
T0486VAB9
200000.00000000
NS
260224.07000000
0.644955638205
Long
DBT
CORP
IT
N
2
2026-05-04
Fixed
4.12500000
N
N
N
N
N
N
GNMA P#784078 4% 06/15/45
N/A
GINNIE MAE I POOL P#784078 4.00000000
3622A2Q70
39520.10000000
NS
USD
42571.01000000
0.105510658270
Long
ABS-MBS
USGSE
US
N
2
2045-06-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AZ4750 3.5% 10/01/45
N/A
FANNIE MAE POOL UMBS P#AZ4750 3.50000000
3138YWH42
79323.31000000
NS
USD
82887.43000000
0.205433399434
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
PANGAEA RE SERIE 0% 11/30/20
N/A
PANGAEA RE SERIES 2016-1 PRINCIPAL-AT-RISK NOTES /BNR27FFP4/ 0.00000000
N/A
30000.00000000
NS
USD
82.31000000
0.000204002260
Long
DBT
CORP
BM
N
3
2020-11-30
Fixed
0.00000000
N
N
N
N
N
N
US TIPS 0.875% 02/15/47
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.87500000
912810RW0
393247.10000000
NS
USD
425328.68000000
1.054161247483
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.87500000
N
N
N
N
N
N
FGLMC P#G60080 3.5% 06/01/45
N/A
FREDDIE MAC GOLD POOL P#G60080 3.50000000
31335ACR7
72264.72000000
NS
USD
76318.46000000
0.189152452638
Long
ABS-MBS
USGA
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
BOOKING HOLDING 3.55% 03/15/28
FXM8FAOHMYDIPD38UZ17
BOOKING HOLDINGS INC REGD 3.55000000
741503BC9
125000.00000000
NS
USD
134655.94000000
0.333739717931
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.55000000
N
N
N
N
N
N
US TIPS 1% 02/15/48
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000
912810SB5
431766.00000000
NS
USD
482360.41000000
1.195512260170
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
N
N
N
N
N
N
FARMERS INS EXCH V/R 11/01/57
549300UWG2TLX1GZVT44
FARMERS INS EXCH REGD V/R 144A P/P 4.74700000
309601AE2
100000.00000000
NS
USD
102618.06000000
0.254335028956
Long
DBT
CORP
US
Y
2
2057-11-01
Variable
4.74700000
N
N
N
N
N
N
FGLMC P#Q37291 3.5% 11/01/45
N/A
FREDDIE MAC GOLD POOL P#Q37291 3.50000000
3132QUC50
90237.94000000
NS
USD
94345.51000000
0.233831822758
Long
ABS-MBS
USGA
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
ANTHEM INC 4.101% 03/01/28
8MYN82XMYQH89CTMTH67
ANTHEM INC REGD 4.10100000
036752AG8
6000.00000000
NS
USD
6524.37000000
0.016170407361
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.10100000
N
N
N
N
N
N
ANHEUSER-BUSCH 5.55% 01/23/49
N/A
ANHEUSER-BUSCH INBEV WOR REGD 5.55000000
03523TBV9
115000.00000000
NS
USD
151869.90000000
0.376403874855
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
UMBS P#AS1626 4.5% 02/01/44
N/A
FANNIE MAE POOL UMBS P#AS1626 4.50000000
3138WAYY7
32678.15000000
NS
USD
35106.07000000
0.087009083293
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.50000000
N
N
N
N
N
N
FGLMC P#A90390 5% 12/01/39
N/A
FREDDIE MAC GOLD POOL P#A90390 5.00000000
312938NF6
5779.78000000
NS
USD
6389.07000000
0.015835071365
Long
ABS-MBS
USGA
US
N
2
2039-12-01
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#Q45370 3% 12/01/46
N/A
FREDDIE MAC GOLD POOL P#Q45370 3.00000000
3132WJ6G1
19967.05000000
NS
USD
20476.09000000
0.050749224289
Long
ABS-MBS
USGA
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
FARMERS EXCHANGE V/R 10/15/54
N/A
FARMERS EXCHANGE CAP III REGD V/R 144A P/P 5.45400000
30958QAA9
20000.00000000
NS
USD
23030.20000000
0.057079490529
Long
DBT
CORP
US
Y
2
2054-10-15
Variable
5.45400000
N
N
N
N
N
N
T/L PQ CORPORATION 0% 02/08/25
N/A
T/L PQ CORPORATION REGD 0.00000000
69353FAX2
41732.34000000
NS
USD
41784.51000000
0.103561347396
Long
LON
CORP
US
N
2
2025-02-08
Fixed
0.00000000
N
N
N
N
N
N
HNGRY 2018-1A 4.959% 06/20/25
N/A
HARDEE'S FUNDING LLC SER 2018-1A CL A2II REGD 144A P/P 4.95900000
411707AD4
69300.00000000
NS
USD
70686.69000000
0.175194321038
Long
ABS-CBDO
CORP
US
Y
2
2048-06-20
Fixed
4.95900000
N
N
N
N
N
N
F/C AUST 10Y BOND FUT DEC19
N/A
FUTURE CONTRACT ON AUST 10Y BOND FUT DEC19 /AUD/ 0.00000000
N/A
11.00000000
NC
1104604.96000000
2.737722136701
N/A
DIR
CORP
AU
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Long
F/C AUST 10Y BOND FUT DEC19
AUST 10Y BOND FUT DEC19 /AUD/
2019-12-16
1123527.63000000
AUD
-18922.67000000
N
N
N
REPUBLIC OF SEN 6.25% 05/23/33
N/A
REPUBLIC OF SENEGAL REGD 144A P/P 6.25000000
81720TAC9
200000.00000000
NS
USD
204154.40000000
0.505989055295
Long
DBT
USGA
SN
Y
2
2033-05-23
Fixed
6.25000000
N
N
N
N
N
N
FCC AQUAL 1.413% 06/08/22/EUR/
N/A
FCC AQUALIA S /EUR/ REGD REG S 1.41300000
E4897CAB2
100000.00000000
NS
114702.76000000
0.284286506546
Long
DBT
CORP
ES
N
2
2022-06-08
Fixed
1.41300000
N
N
N
N
N
N
N/A
N/A
CZK/USD FWD 20191126 000000908 USD
N/A
1.00000000
NC
N/A
13717.04000000
0.033997171312
N/A
DFE
N/A
N
1
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
0.00000000
N/A
11075020.77000000
CZK
2019-11-26
13717.04000000
N
N
N
N/A
N/A
GBP/USD FWD 20191126 000000902 USD
N/A
1.00000000
NC
N/A
-13275.32000000
-0.03290238479
N/A
DFE
N/A
N
1
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
0.00000000
N/A
56163.51000000
USD
2019-11-26
-13275.32000000
N
N
N
GNMA P#778607 3.5% 11/15/41
N/A
GINNIE MAE I POOL P#778607 3.50000000
36176WYC9
41805.91000000
NS
USD
44109.23000000
0.109323079088
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Fixed
3.50000000
N
N
N
N
N
N
GNR 2018-20 A 2.5% 09/16/49
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-20 CL A 2.50000000
38380JNW4
191286.48000000
NS
USD
191707.64000000
0.475140225518
Long
ABS-CBDO
CORP
US
N
2
2049-09-16
Fixed
2.50000000
N
N
N
N
N
N
HIGHWOODS REAL 3.625% 01/15/23
N/A
HIGHWOODS REALTY LP REGD 3.62500000
431282AM4
35000.00000000
NS
USD
36238.60000000
0.089816016599
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.62500000
N
N
N
N
N
N
NAKILAT INC 6.267% 12/31/33 144A
2549006RMTDJWLLWF072
NAKILAT INC REG 144A 6.26700000
62983PAB1
77214.19000000
NS
USD
92479.44000000
0.229206837961
Long
DBT
CORP
MH
Y
2
2033-12-31
Fixed
6.26700000
N
N
N
N
N
N
TEXAS EASTERN TR 3.5% 01/15/28
N/A
TEXAS EASTERN TRANSMISSI REGD 144A P/P 3.50000000
882384AD2
90000.00000000
NS
USD
93660.35000000
0.232133679289
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
GLP CAPITAL LP / F 4% 01/15/30
N/A
GLP CAPITAL LP / FIN II REGD 4.00000000
361841AP4
30000.00000000
NS
USD
30344.13000000
0.075206792860
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.00000000
N
N
N
N
N
N
VIRGINIA ST CMWLTH 4% 05/15/32
N/A
VIRGINIA ST CMWLTH TRANSPRTN B REGD B/E 4.00000000
927793XY0
30000.00000000
NS
USD
32852.10000000
0.081422702834
Long
DBT
MUN
US
N
2
2032-05-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#SD8003 4% 07/01/49
N/A
FREDDIE MAC POOL UMBS P#SD8003 4.00000000
3132DV3L7
112339.09000000
NS
USD
116634.59000000
0.289074475048
Long
ABS-MBS
USGA
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
MARATHON PETRO 5.375% 10/01/22
3BNYRYQHD39K4LCKQF12
MARATHON PETROLEUM CORP REGD SER WI 5.37500000
56585AAZ5
80000.00000000
NS
USD
80955.24000000
0.200644538686
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
5.37500000
N
N
N
N
N
N
ATF NETHERLAND V/R /PERP//EUR/
N/A
ATF NETHERLANDS BV /EUR/ REGD V/R /PERP/ REG S 3.75000000
N0795KAG4
100000.00000000
NS
117229.00000000
0.290547698032
Long
DBT
CORP
NL
N
2
2168-01-20
Variable
3.75000000
N
N
N
N
N
N
UMBS P#AS5645 3.5% 08/01/45
N/A
FANNIE MAE POOL UMBS P#AS5645 3.50000000
3138WFHX7
34230.84000000
NS
USD
35691.20000000
0.088459306144
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
INDONESIA 6.125% 05/15/28/IDR/
N/A
INDONESIA GOVERNMENT /IDR/ REGD SER FR64 6.12500000
Y39814HQ7
3744000000.00000000
NS
254358.71000000
0.630418562514
Long
DBT
USGA
ID
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
REPUBLIC OF SRI 7.85% 03/14/29
N/A
REPUBLIC OF SRI LANKA REGD 144A P/P 7.85000000
85227SAZ9
225000.00000000
NS
USD
232846.21000000
0.577100634749
Long
DBT
USGA
LK
Y
2
2029-03-14
Fixed
7.85000000
N
N
N
N
N
N
PANGAEA 2017-1 V/R 11/30/21
N/A
PANGAEA 2017-1 V/R 931DSDII0 BNR30QU11 0.00000000
N/A
50000.00000000
NS
USD
805.00000000
0.001995162433
Long
DBT
CORP
BM
N
3
2021-11-30
Variable
0.00000000
N
N
N
N
N
N
FGLMC P#G08793 4% 12/01/47
N/A
FREDDIE MAC GOLD POOL P#G08793 4.00000000
3128MJ3B4
122430.63000000
NS
USD
128974.58000000
0.319658679368
Long
ABS-MBS
USGA
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
EXPEDIA INC 3.8% 02/15/28
CI7MUJI4USF3V0NJ1H64
EXPEDIA INC REGD SER WI 3.80000000
30212PAP0
50000.00000000
NS
USD
52458.90000000
0.130017424326
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
APACHE CORP 4.25% 01/15/30
72ZZ1XRHOOU9P9X16K08
APACHE CORP REGD 4.25000000
037411BF1
40000.00000000
NS
USD
38955.18000000
0.096548958665
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.25000000
N
N
N
N
N
N
GELF BOND 0.875% 10/20/22/EUR/
N/A
GELF BOND ISSUER I SA /EUR/ REGD REG S EMTN 0.87500000
L4221HAD6
200000.00000000
NS
227262.21000000
0.563260899310
Long
DBT
CORP
LU
N
2
2022-10-20
Fixed
0.87500000
N
N
N
N
N
N
FGLMC P#A86143 5% 05/01/39
N/A
FREDDIE MAC GOLD POOL P#A86143 5.00000000
312932ZG4
2929.67000000
NS
USD
3232.41000000
0.008011407455
Long
ABS-MBS
USGA
US
N
2
2039-05-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#AB1617 4% 10/01/40
N/A
FANNIE MAE POOL UMBS P#AB1617 4.00000000
31416WYP1
31020.23000000
NS
USD
33598.25000000
0.083272007740
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
GNR 2005-61 UZ 5.25% 08/16/35
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2005-61 CL UZ 5.25000000
38374LR94
19719.39000000
NS
USD
20719.23000000
0.051351837698
Long
ABS-MBS
USGSE
US
N
2
2035-08-16
Fixed
5.25000000
N
N
N
N
N
N
FGLMC P#Q47341 4% 04/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47341 4.00000000
3132WMEP5
39414.78000000
NS
USD
41839.83000000
0.103698455950
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
PROG 2017-SFR 4.261% 08/17/22
N/A
PROGRESS RESIDENTIAL 2017-SFR1 TRUST SER 2017-SFR1 CL E REGD 144A P/P 4.26100000
74333JAN1
100000.00000000
NS
USD
102574.58000000
0.254227265400
Long
ABS-CBDO
CORP
US
Y
2
2034-08-17
Fixed
4.26100000
N
N
N
N
N
N
IMTT 2017-APTS B V/R 06/15/19
N/A
IMT TRUST 2017-APTS SER 2017-APTS CL BFL V/R REGD 144A P/P 2.86350000
44974AAG2
100000.00000000
NS
USD
99859.90000000
0.247499032413
Long
ABS-CBDO
CORP
US
Y
2
2034-06-15
Variable
2.86350000
N
N
N
N
N
N
EXPEDIA GROUP I 3.25% 02/15/30
CI7MUJI4USF3V0NJ1H64
EXPEDIA GROUP INC REGD 144A P/P 3.25000000
30212PAQ8
68000.00000000
NS
USD
68046.33000000
0.168650287395
Long
DBT
CORP
US
Y
2
2030-02-15
Fixed
3.25000000
N
N
N
N
N
N
FGLMC P#Q18144 3% 05/01/43
N/A
FREDDIE MAC GOLD POOL P#Q18144 3.00000000
3132J9P69
13614.48000000
NS
USD
14048.80000000
0.034819426081
Long
ABS-MBS
USGA
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
EUR C USD P @ 1.228000EO
N/A
EUR C USD P @ 1.228000EO 0.00000000
N/A
-825000.00000000
NC
-14.03000000
-0.00003477283
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A. LONDON
N/A
Call
Purchased
EUR C USD P @ 1.228000EO
0
-825000.00000000
EUR
1.22800000
EUR
2020-01-17
XXXX
11978.54000000
N
N
N
UMBS P#BC9562 4% 11/01/46
N/A
FANNIE MAE POOL UMBS P#BC9562 4.00000000
3140F5TU7
19767.65000000
NS
USD
20737.98000000
0.051398308872
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#G67700 3.5% 08/01/46
N/A
FREDDIE MAC GOLD POOL P#G67700 3.50000000
3132XCRV9
90201.72000000
NS
USD
95261.46000000
0.236101970623
Long
ABS-MBS
USGA
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#Q01181 4.5% 06/01/41
N/A
FREDDIE MAC GOLD POOL P#Q01181 4.50000000
3132GEJ27
33025.22000000
NS
USD
35828.59000000
0.088799822128
Long
ABS-MBS
USGA
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#BC2841 3.5% 09/01/46
N/A
FANNIE MAE POOL UMBS P#BC2841 3.50000000
3140EXEP4
30519.62000000
NS
USD
31772.93000000
0.078748020295
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
INR/USD FWD 20191217 000006219 USD
N/A
1.00000000
NC
N/A
-95.72000000
-0.00023723844
N/A
DFE
N/A
N
1
HSBC BANK USA, N.A.
1IE8VN30JCEQV1H4R804
0.00000000
N/A
16156021.05000000
INR
2019-12-17
-95.72000000
N
N
N
QNB FINANSBANK 4.875% 05/19/22
N/A
QNB FINANSBANK AS/TURKEY REGD 144A P/P MTN 4.87500000
31772DAC6
200000.00000000
NS
USD
199500.00000000
0.494453298735
Long
DBT
CORP
TR
Y
2
2022-05-19
Fixed
4.87500000
N
N
N
N
N
N
FGLMC P#G08785 4% 10/01/47
N/A
FREDDIE MAC GOLD POOL P#G08785 4.00000000
3128MJ2T6
171002.11000000
NS
USD
179501.92000000
0.444888804377
Long
ABS-MBS
USGA
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
T/L ENDO LUXEMBO 0% 04/29/2024
N/A
T/L ENDO LUXEMBOURG FINANCE I COMPANY S A R L REGD 0.00000000
L2968EAB8
97750.00000000
NS
USD
89825.31000000
0.222628675887
Long
LON
CORP
LU
N
2
2024-04-29
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AS8491 3% 01/01/47
N/A
FANNIE MAE POOL UMBS P#AS8491 3.00000000
3138WJNH7
38468.23000000
NS
USD
39823.57000000
0.098701230846
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
ENERGY TRANSFER OP 6% 06/15/48
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATNG REGD SER 30Y 6.00000000
29278NAE3
50000.00000000
NS
USD
57892.75000000
0.143485018598
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
6.00000000
N
N
N
N
N
N
SOCIETE GENERALE V/R /PERP/
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE REGD V/R /PERP/ 144A P/P 7.37500000
83368JKG4
200000.00000000
NS
USD
210500.00000000
0.521716387889
Long
DBT
CORP
FR
Y
2
2168-03-13
Variable
7.37500000
N
N
N
N
N
N
COMM 2015-CR23 C V/R 04/10/20
N/A
COMM 2015-CCRE23 MORTGAGE TRUST SER 2015-CR23 CL CMD V/R REGD 144A P/P 3.68450000
12593ABQ7
100000.00000000
NS
USD
100160.96000000
0.248245198378
Long
ABS-CBDO
CORP
US
Y
2
2048-05-10
Variable
3.68450000
N
N
N
N
N
N
N/A
N/A
NOK/USD FWD 20191126 000005455 USD
N/A
1.00000000
NC
N/A
-10359.70000000
-0.02567612951
N/A
DFE
N/A
N
1
STATE STREET BANK AND TRUST CO
N/A
0.00000000
N/A
4727076.02000000
NOK
2019-11-26
-10359.70000000
N
N
N
KONINKLIJKE K 5% 11/18/26/GBP/
549300YO0JZHAL7FVP81
KONINKLIJKE KPN NV /GBP/ REGD REG S EMTN SER GMTN 5.00000000
N4297BAZ7
100000.00000000
NS
150441.37000000
0.372863316605
Long
DBT
CORP
NL
N
2
2026-11-18
Fixed
5.00000000
N
N
N
N
N
N
CGCMT 2014-GC19 V/R 02/10/24
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC19 SER 2014-GC19 CL B V/R REGD 4.80500000
17322AAG7
100000.00000000
NS
USD
108924.21000000
0.269964586198
Long
ABS-CBDO
CORP
US
N
2
2047-03-10
Variable
4.80500000
N
N
N
N
N
N
ARTEX SAC LTD PAN 0% 2/1/23
N/A
ARTEX SAC LTD PANGAEA RE 2019-1ZCP REGD /BNR4941C7/ 0.00000000
N/A
40962.00000000
NS
USD
40749.00000000
0.100994874537
Long
DBT
CORP
BM
N
3
2023-02-01
Fixed
0.00000000
N
N
N
N
N
N
BNP PARIB 2.375% 02/17/25/EUR/
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS /EUR/ REGD REG S EMTN 2.37500000
F1058YJD1
150000.00000000
NS
181810.04000000
0.450609393590
Long
DBT
CORP
FR
N
2
2025-02-17
Fixed
2.37500000
N
N
N
N
N
N
FREEDOM MORTGA 8.125% 11/15/24
549300LYRWPSYPK6S325
FREEDOM MORTGAGE CORP REGD 144A P/P 8.12500000
35640YAA5
150000.00000000
NS
USD
140625.00000000
0.348533810199
Long
DBT
CORP
US
Y
2
2024-11-15
Fixed
8.12500000
N
N
N
N
N
N
AFRICAN EXPORT 3.994% 09/21/29
21380068LJCDYA42GJ76
AFRICAN EXPORT-IMPORT BA REGD 144A P/P MTN 3.99400000
00831TAA9
200000.00000000
NS
USD
200064.00000000
0.495851151670
Long
DBT
CORP
EG
Y
2
2029-09-21
Fixed
3.99400000
N
N
N
N
N
N
UMBS P#AZ8012 3.5% 08/01/45
N/A
FANNIE MAE POOL UMBS P#AZ8012 3.50000000
3140E03W3
13312.78000000
NS
USD
13812.04000000
0.034232625264
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AV8070 3.5% 05/01/44
N/A
FANNIE MAE POOL UMBS P#AV8070 3.50000000
3138XK6G4
92885.36000000
NS
USD
96304.36000000
0.238686759321
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
3.50000000
N
N
N
N
N
N
MEDIOBANCA S V/R 05/18/22/EUR/
PSNL19R2RXX5U3QWHI44
MEDIOBANCA SPA /EUR/ REGD V/R REG S EMTN 0.39600000
T10584LX5
100000.00000000
NS
111753.93000000
0.276977941529
Long
DBT
CORP
IT
N
2
2022-05-18
Variable
0.39600000
N
N
N
N
N
N
GNMA II P#MA5138 4.5% 04/20/48
N/A
GINNIE MAE II POOL P#MA5138 4.50000000
36179TV77
109911.66000000
NS
USD
115916.94000000
0.287295806327
Long
ABS-MBS
USGSE
US
N
2
2048-04-20
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF AR 6.875% 01/26/27
N/A
REPUBLIC OF ARGENTINA REGD 6.87500000
040114HL7
100000.00000000
NS
USD
39251.00000000
0.097282137487
Long
DBT
USGA
AR
N
2
2027-01-26
Fixed
6.87500000
N
N
N
N
N
N
ENERGY TRANSFE 6.125% 12/15/45
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATNG REGD 6.12500000
29273RBJ7
10000.00000000
NS
USD
11673.49000000
0.028932308963
Long
DBT
CORP
US
N
2
2045-12-15
Fixed
6.12500000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20191127 000000908 USD
N/A
1.00000000
NC
N/A
-495.76000000
-0.00122872264
N/A
DFE
N/A
N
1
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
0.00000000
N/A
7035.68000000
EUR
2019-11-27
-495.76000000
N
N
N
PHILLIPS 66 PAR 3.75% 03/01/28
N/A
PHILLIPS 66 PARTNERS LP REGD SER * 3.75000000
718549AF5
125000.00000000
NS
USD
131267.31000000
0.325341125040
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
3.75000000
N
N
N
N
N
N
UMBS P#AZ7667 3.5% 09/01/45
N/A
FANNIE MAE POOL UMBS P#AZ7667 3.50000000
3140E0QV0
17660.37000000
NS
USD
18796.84000000
0.046587265883
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#G60658 3.5% 07/01/46
N/A
FREDDIE MAC GOLD POOL P#G60658 3.50000000
31335AWT1
64884.90000000
NS
USD
68992.47000000
0.170995260047
Long
ABS-MBS
USGA
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
EGYPT TREASU ZCP 02/04/20/EGP/
N/A
EGYPT TREASURY BILL /EGP/ REGD ZCP SER 364D 0.00000000
N/A
3875000.00000000
PA
230851.83000000
0.572157638409
Long
STIV
USGA
EG
N
2
2020-02-04
Fixed
0.00000000
N
N
N
N
N
N
REPUBLIC OF ANG 8.25% 05/09/28
N/A
REPUBLIC OF ANGOLA REGD 144A P/P 8.25000000
035198AB6
200000.00000000
NS
USD
208782.00000000
0.517458389055
Long
DBT
USGA
AO
Y
2
2028-05-09
Fixed
8.25000000
N
N
N
N
N
N
CVS PASS-THROU 5.773% 01/31/33
N/A
CVS PASS-THROUGH TRUST REGD 144A P/P 5.77300000
126650BV1
11128.93000000
NS
USD
12714.89000000
0.031513379967
Long
DBT
CORP
US
Y
2
2033-01-10
Fixed
5.77300000
N
N
N
N
N
N
ENLINK MIDSTREA 5.45% 06/01/47
88CPW63VL7KHJWS0NY83
ENLINK MIDSTREAM PARTNER REGD 5.45000000
29336UAG2
155000.00000000
NS
USD
118575.00000000
0.293883708759
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
5.45000000
N
N
N
N
N
N
UK TSY 4 1 4.25% 09/07/39/GBP/
N/A
TSY REGD /GBP/ 4.25000000
G924504V7
150000.00000000
NS
305958.52000000
0.758306764362
Long
DBT
NUSS
GB
N
2
2039-09-07
Fixed
4.25000000
N
N
N
N
N
N
FGLMC P#Q15643 3% 02/01/43
N/A
FREDDIE MAC GOLD POOL P#Q15643 3.00000000
3132J6WD2
25660.45000000
NS
USD
26501.46000000
0.065682878788
Long
ABS-MBS
USGA
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO V/R /PERP/
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R /PERP/ SER FF 5.00000000
48128BAF8
128000.00000000
NS
USD
133120.00000000
0.329932948008
Long
DBT
CORP
US
N
2
2168-02-01
Variable
5.00000000
N
N
N
N
N
N
YPF SOCIED 16.5% 05/09/22/ARS/
N/A
YPF SOCIEDAD ANONIMA /ARS/ REGD 144A P/P MTN 16.50000000
984245AP5
2154200.00000000
NS
12294.22000000
0.030470765084
Long
DBT
CORP
AR
Y
2
2022-05-09
Fixed
16.50000000
N
N
N
N
N
N
PERRIGO FINANCE 3.9% 12/15/24
N/A
PERRIGO FINANCE UNLIMITD REGD 3.90000000
714295AC6
200000.00000000
NS
USD
205219.97000000
0.508630030741
Long
DBT
CORP
IE
N
2
2024-12-15
Fixed
3.90000000
N
N
N
N
N
N
T/L ALTICE US FINA 0% 01/15/26
N/A
T/L ALTICE US FINANCE I CORPORATION REGD 0.00000000
N/A
31534.71000000
NS
USD
31400.69000000
0.077825437358
Long
LON
CORP
US
N
2
2026-01-15
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#Q38361 4% 01/01/46
N/A
FREDDIE MAC GOLD POOL P#Q38361 4.00000000
3132QVJF9
17291.86000000
NS
USD
18280.65000000
0.045307908248
Long
ABS-MBS
USGA
US
N
2
2046-01-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AY5580 3.5% 06/01/45
N/A
FANNIE MAE POOL UMBS P#AY5580 3.50000000
3138YKFW8
17549.23000000
NS
USD
18339.70000000
0.045454261467
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
T/L CONVERGINT TEC 0% 02/03/25
N/A
T/L CONVERGINT TECHNOLOGIES LLC REGD 0.00000000
38268PAB7
49270.28000000
NS
USD
48069.32000000
0.119138014245
Long
LON
CORP
US
N
2
2025-02-03
Fixed
0.00000000
N
N
N
N
N
N
COOPERATIEVE R 3.875% 02/08/22
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA REGD MTN 3.87500000
21685WDD6
75000.00000000
NS
USD
78064.77000000
0.193480616749
Long
DBT
CORP
NL
N
2
2022-02-08
Fixed
3.87500000
N
N
N
N
N
N
MEX BONOS D 7.5% 06/03/27/MXN/
N/A
MEX BONOS DESARR FIX RT /MXN/ REGD SER M 20 7.50000000
P4R086AF1
300000.00000000
NS
16305.11000000
0.040411606144
Long
DBT
USGA
MX
N
2
2027-06-03
Fixed
7.50000000
N
N
N
N
N
N
LLOYDS BANKING V/R /PERP//EUR/
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC /EUR/ REGD V/R /PERP/ REG S 6.37500000
G5533WBP1
200000.00000000
NS
229309.23000000
0.568334361925
Long
DBT
CORP
GB
N
2
2168-06-27
Variable
6.37500000
N
N
N
N
N
N
T/L ELECTRICAL COM 0% 06/14/25
N/A
T/L ELECTRICAL COMPONENTS INTERNATIONAL INC REGD 0.00000000
29279EAB8
25757.95000000
NS
USD
23697.31000000
0.058732897747
Long
LON
CORP
US
N
2
2025-06-14
Fixed
0.00000000
N
N
N
N
N
N
T/L CHANGE HEALTH ZCP 03/01/24
N/A
T/L CHANGE HEALTHCARE HOLDINGS ZCP TERM LOAN 0.00000000
15911AAC7
19476.80000000
NS
USD
19390.07000000
0.048057564281
Long
LON
CORP
US
N
2
2024-03-01
Fixed
0.00000000
N
N
N
N
N
N
GNMA P#737556 4.5% 10/15/40
N/A
GINNIE MAE I POOL P#737556 4.50000000
3620ARMD0
7587.88000000
NS
USD
8254.15000000
0.020457602485
Long
ABS-MBS
USGSE
US
N
2
2040-10-15
Fixed
4.50000000
N
N
N
N
N
N
FERROVIAL NL B V/R /PERP//EUR/
N/A
FERROVIAL NL BV /EUR/ REGD V/R /PERP/ REG S 2.12400000
N3167ZAA8
100000.00000000
NS
108188.35000000
0.268140784673
Long
DBT
CORP
NL
N
2
2168-05-14
Variable
2.12400000
N
N
N
N
N
N
N/A
N/A
COP/USD FWD 20191217 000006219 USD
N/A
1.00000000
NC
N/A
2585.41000000
0.006407842120
N/A
DFE
N/A
N
1
HSBC BANK USA, N.A.
1IE8VN30JCEQV1H4R804
0.00000000
N/A
639588623.39000000
COP
2019-12-17
2585.41000000
N
N
N
EGYPT GOVE 15.7% 11/07/27/EGP/
N/A
EGYPT GOVERNMENT BOND /EGP/ REGD SER 10YR 15.70000000
M1487WCG8
1754000.00000000
NS
116145.27000000
0.287861713704
Long
DBT
USGA
EG
N
2
2027-11-07
Fixed
15.70000000
N
N
N
N
N
N
T/L RACKSPACE HOST 0% 11/03/23
N/A
T/L RACKSPACE HOSTING INC REGD 0.00000000
N/A
7878.17000000
NS
USD
7035.10000000
0.017436232591
Long
LON
CORP
US
N
2
2023-11-03
Fixed
0.00000000
N
N
N
N
N
N
ORANGE SA V/R /PERP//EUR/
969500MCOONR8990S771
ORANGE SA /EUR/ REGD V/R /PERP/ REG S EMTN 5.00000000
F6861DAP5
125000.00000000
NS
168301.45000000
0.417128857817
Long
DBT
CORP
FR
N
2
2168-10-01
Variable
5.00000000
N
N
N
N
N
N
WI TREASURY SE 2.625% 02/15/29
N/A
WI TREASURY N/B REGD 2.62500000
9128286B1
107000.00000000
NS
USD
115685.39000000
0.286721918300
Long
DBT
USGA
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
REPUBLICA 9.875% 06/20/22/UYU/
N/A
REPUBLICA ORIENT URUGUAY /UYU/ REGD 144A P/P 9.87500000
917288BJ0
9771000.00000000
NS
254419.15000000
0.630568360797
Long
DBT
USGA
UY
Y
2
2022-06-20
Fixed
9.87500000
N
N
N
N
N
N
UMBS P#AL6418 3.5% 02/01/45
N/A
FANNIE MAE POOL UMBS P#AL6418 3.50000000
3138EPDY7
71117.77000000
NS
USD
75693.53000000
0.187603586974
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
EDP FINAN 1.875% 09/29/23/EUR/
N/A
EDP FINANCE BV /EUR/ REGD REG S EMTN 1.87500000
N2R631AB9
100000.00000000
NS
118737.07000000
0.294285393201
Long
DBT
CORP
NL
N
2
2023-09-29
Fixed
1.87500000
N
N
N
N
N
N
DOMINICAN R 8.9% 02/15/23/DOP/
N/A
DOMINICAN REPUBLIC /DOP/ REGD 144A P/P 8.90000000
25714PDX3
8000000.00000000
NS
151061.54000000
0.374400384787
Long
DBT
USGA
DO
Y
2
2023-02-15
Fixed
8.90000000
N
N
N
N
N
N
N/A
N/A
JPY/TWD FWD 20191203 000005208 USD
N/A
1.00000000
NC
N/A
-18360.70000000
-0.04550630918
N/A
DFE
N/A
N
1
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
0.00000000
N/A
61660672.02000000
JPY
2019-12-03
-18360.70000000
N
N
N
SBA TOWER TRUS 2.877% 07/09/21
N/A
SBA TOWER TRUST REGD 144A P/P 2.87700000
78403DAK6
50000.00000000
NS
USD
50226.59000000
0.124484727367
Long
DBT
CORP
US
Y
2
2021-07-09
Fixed
2.87700000
N
N
N
N
N
N
CTE CO TR 0.875% 09/29/24/EUR/
N/A
CTE CO TRANSP ELEC /EUR/ REGD REG S 0.87500000
F2R72PAA6
100000.00000000
NS
115504.27000000
0.286273019145
Long
DBT
CORP
FR
N
2
2024-09-29
Fixed
0.87500000
N
N
N
N
N
N
FGLMC P#Q17363 3% 04/01/43
N/A
FREDDIE MAC GOLD POOL P#Q17363 3.00000000
3132J8TV2
49179.11000000
NS
USD
50790.86000000
0.125883249486
Long
ABS-MBS
USGA
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
FGLMC P#Q48093 4.5% 05/01/47
N/A
FREDDIE MAC GOLD POOL P#Q48093 4.50000000
3132WM7F5
51499.68000000
NS
USD
54527.92000000
0.135145413118
Long
ABS-MBS
USGA
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
FGLMC P#A75483 6.5% 04/01/38
N/A
FREDDIE MAC GOLD POOL P#A75483 6.50000000
3128L9CU5
23364.35000000
NS
USD
26338.31000000
0.065278517607
Long
ABS-MBS
USGA
US
N
2
2038-04-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
SEK/USD FWD 20191126 000006038 USD
N/A
1.00000000
NC
N/A
4551.12000000
0.011279780937
N/A
DFE
N/A
N
1
BANK OF AMERICA, N.A.
N/A
0.00000000
N/A
6785034.31000000
SEK
2019-11-26
4551.12000000
N
N
N
CGCMT 2014-GC25 V/R 10/10/24
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC25 SER 2014-GC25 CL B V/R REGD 4.34500000
17322YAG5
75000.00000000
NS
USD
80326.17000000
0.199085412187
Long
ABS-CBDO
CORP
US
N
2
2047-10-10
Variable
4.34500000
N
N
N
N
N
N
UMBS P#BC0914 3% 05/01/31
N/A
FANNIE MAE POOL UMBS P#BC0914 3.00000000
3140EVAQ0
18275.55000000
NS
USD
18848.98000000
0.046716492926
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
3.00000000
N
N
N
N
N
N
T/L GFL ENVIRONM 0% 5/30/25
N/A
T/L GFL ENVIRONMENTAL INC ZCP REGD 0.00000000
N/A
98777.34000000
NS
USD
98616.83000000
0.244418129846
Long
LON
CORP
CA
N
2
2025-05-30
Fixed
0.00000000
N
N
N
N
N
N
MPLX LP 4.875% 12/01/24
N/A
MPLX LP REGD SER WI 4.87500000
55336VAG5
125000.00000000
NS
USD
136149.27000000
0.337440880561
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
4.87500000
N
N
N
N
N
N
MERLIN PR 2.225% 04/25/23/EUR/
959800L8KD863DP30X04
MERLIN PROPERTIES SOCIMI /EUR/ REGD REG S EMTN 2.22500000
E7390ZAA8
100000.00000000
NS
118532.96000000
0.293779514190
Long
DBT
CORP
ES
N
2
2023-04-25
Fixed
2.22500000
N
N
N
N
N
N
FGLMC P#G08563 4% 01/01/44
N/A
FREDDIE MAC GOLD POOL P#G08563 4.00000000
3128MJTV2
85360.16000000
NS
USD
90654.73000000
0.224684362378
Long
ABS-MBS
USGA
US
N
2
2044-01-01
Fixed
4.00000000
N
N
N
N
N
N
WILLIS NORTH AM 2.95% 09/15/29
N/A
WILLIS NORTH AMERICA INC REGD 2.95000000
970648AJ0
13000.00000000
NS
USD
12935.92000000
0.032061194567
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
MEXICAN UDIBONOS2% 6/9/22 /MXN
254900EGTWEU67VP6075
MEXICAN UDIBONOS /MXN/ 2.00000000
P4R0C9GC1
3629415.24000000
NS
182290.05000000
0.451799080447
Long
DBT
USGA
MX
N
2
2022-06-09
Fixed
2.00000000
N
N
N
N
N
N
GNMA P#733913 4.5% 09/15/40
N/A
GINNIE MAE I POOL P#733913 4.50000000
3620AMK27
17777.48000000
NS
USD
19346.69000000
0.047950048572
Long
ABS-MBS
USGSE
US
N
2
2040-09-15
Fixed
4.50000000
N
N
N
N
N
N
ARAB REPUBLIC OF 7.6% 03/01/29
N/A
ARAB REPUBLIC OF EGYPT REGD 144A P/P MTN 7.60030000
03846JW71
269000.00000000
NS
USD
284319.01000000
0.704674047056
Long
DBT
USGA
EG
Y
2
2029-03-01
Fixed
7.60030000
N
N
N
N
N
N
UMBS P#MA3776 4% 09/01/49
N/A
FANNIE MAE POOL UMBS P#MA3776 4.00000000
31418DFS6
7905.89000000
NS
USD
8228.41000000
0.020393806856
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#BK3960 4% 04/01/48
N/A
FANNIE MAE POOL UMBS P#BK3960 4.00000000
3140HHMJ1
127158.48000000
NS
USD
132941.22000000
0.329489848455
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#G60659 3.5% 08/01/46
N/A
FREDDIE MAC GOLD POOL P#G60659 3.50000000
31335AWU8
27279.90000000
NS
USD
28699.28000000
0.071130093570
Long
ABS-MBS
USGA
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
EUR P USD C @ 1.120000 EO
N/A
EUR P USD C @ 1.120000 EO 0.00000000
N/A
825000.00000000
NC
8112.29000000
0.020106007773
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
N/A
Put
Written
EUR P USD C @ 1.120000 EO
0
825000.00000000
EUR
1.12000000
EUR
2020-01-17
XXXX
-3880.28000000
N
N
N
MSC 2016-UBS9 D 3% 02/15/26
N/A
MORGAN STANLEY CAPITAL I TRUST 2016-UBS9 SER 2016-UBS9 CL D REGD 144A P/P 3.00000000
61766CAV1
105000.00000000
NS
USD
97404.06000000
0.241412324698
Long
ABS-CBDO
CORP
US
Y
2
2049-03-15
Fixed
3.00000000
N
N
N
N
N
N
T/L LIFE TIME FITN 0% 06/10/22
N/A
T/L LIFE TIME FITNESS INC REGD 0.00000000
50218KAD0
98245.59000000
NS
USD
98015.30000000
0.242927260208
Long
LON
CORP
US
N
2
2022-06-10
Fixed
0.00000000
N
N
N
N
N
N
ALEXANDRIA REAL 4.3% 01/15/26
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL ESTATE E REGD 4.30000000
015271AH2
23000.00000000
NS
USD
25246.06000000
0.062571416777
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.30000000
N
N
N
N
N
N
EUR C USD P 1.2485 EO
N/A
EUR C USD P 1.2485 EO 0.00000000
N/A
-1230000.00000000
NC
-1.63000000
-0.00000403989
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
N/A
Call
Purchased
EUR C USD P 1.2485 EO
0
-1230000.00000000
EUR
1.24850000
EUR
2020-01-09
XXXX
16926.90000000
N
N
N
FGLMC P#Q47535 4% 04/01/47
N/A
FREDDIE MAC GOLD POOL P#Q47535 4.00000000
3132WMLR3
34627.29000000
NS
USD
36352.21000000
0.090097594741
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
OCCIDENTAL PETRO 3.2% 08/15/26
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM COR REGD 3.20000000
674599CR4
18000.00000000
NS
USD
18221.13000000
0.045160390151
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.20000000
N
N
N
N
N
N
FGLMC P#Q17640 3% 04/01/43
N/A
FREDDIE MAC GOLD POOL P#Q17640 3.00000000
3132J85A4
29455.87000000
NS
USD
30402.99000000
0.075352675172
Long
ABS-MBS
USGA
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
MEX BONOS DES 8% 12/07/23/MXN/
N/A
MEX BONOS DESARR FIX RT /MXN/ REGD SER M 8.00000000
P9767GWU1
8955000.00000000
NS
489604.59000000
1.213466689732
Long
DBT
USGA
MX
N
2
2023-12-07
Fixed
8.00000000
N
N
N
N
N
N
FGLMC P#G04832 5% 10/01/38
N/A
FREDDIE MAC GOLD POOL P#G04832 5.00000000
3128M6VZ8
19050.44000000
NS
USD
21040.31000000
0.052147622485
Long
ABS-MBS
USGA
US
N
2
2038-10-01
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#Q46050 3% 02/01/47
N/A
FREDDIE MAC GOLD POOL P#Q46050 3.00000000
3132WKWL8
58539.18000000
NS
USD
60094.86000000
0.148942865985
Long
ABS-MBS
USGA
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
FGLMC P#G04815 5% 09/01/38
N/A
FREDDIE MAC GOLD POOL P#G04815 5.00000000
3128M6VG0
16371.22000000
NS
USD
18078.69000000
0.044807357931
Long
ABS-MBS
USGA
US
N
2
2038-09-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#AS3906 4% 11/01/44
N/A
FANNIE MAE POOL UMBS P#AS3906 4.00000000
3138WDKU4
63218.25000000
NS
USD
66826.14000000
0.165626092054
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#Q46507 3.5% 08/01/46
N/A
FREDDIE MAC GOLD POOL P#Q46507 3.50000000
3132WLGR1
75062.80000000
NS
USD
78803.64000000
0.195311878448
Long
ABS-MBS
USGA
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
DOW CHEMICAL CO/ 4.8% 05/15/49
N/A
DOW CHEMICAL CO/THE REGD 144A P/P 4.80000000
260543CU5
23000.00000000
NS
USD
25579.83000000
0.063398653256
Long
DBT
CORP
US
Y
2
2049-05-15
Fixed
4.80000000
N
N
N
N
N
N
T/L AMERICAN AXLE & 0% 04/06/24
N/A
T/L AMERICAN AXLE & MANUFACTURING INC REGD 0.00000000
N/A
81169.83000000
NS
USD
77618.65000000
0.192374924992
Long
LON
CORP
US
N
2
2024-04-06
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#BC0960 4% 06/01/46
N/A
FANNIE MAE POOL UMBS P#BC0960 4.00000000
3140EVB63
29633.11000000
NS
USD
31247.00000000
0.077444522434
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#G08588 4% 05/01/44
N/A
FREDDIE MAC GOLD POOL P#G08588 4.00000000
3128MJUN8
140754.15000000
NS
USD
148882.16000000
0.368998872856
Long
ABS-MBS
USGA
US
N
2
2044-05-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AB7765 3% 02/01/43
N/A
FANNIE MAE POOL UMBS P#AB7765 3.00000000
31417ETX9
35322.08000000
NS
USD
36436.29000000
0.090305983880
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
BAYC 2007-2A IO S/UP 07/25/37
N/A
BAYVIEW COMMERCIAL ASSET TRUST 2007-2 SER 2007-2A CL IO S/UP REGD 144A P/P 0.00000000
07325XAN0
49003.43000000
NS
USD
0.00000000
0.000000
Long
ABS-CBDO
CORP
US
Y
2
2037-07-25
Variable
0.00000000
N
N
N
N
N
N
OCCIDENTAL PETRO 4.4% 08/15/49
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM COR REGD 4.40000000
674599CY9
4000.00000000
NS
USD
4057.03000000
0.010055197326
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
4.40000000
N
N
N
N
N
N
UMBS P#AS7253 4.5% 05/01/46
N/A
FANNIE MAE POOL UMBS P#AS7253 4.50000000
3138WHBX9
24055.52000000
NS
USD
25647.14000000
0.063565478577
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.50000000
N
N
N
N
N
N
COMM 2015-CR25 B V/R 08/10/25
N/A
COMM 2015-CCRE25 MORTGAGE TRUST SER 2015-CR25 CL B V/R REGD 4.54303400
12593PAZ5
100000.00000000
NS
USD
108174.18000000
0.268105664857
Long
ABS-CBDO
CORP
US
N
2
2048-08-10
Variable
4.54303400
N
N
N
N
N
N
FORD MOTOR COM 4.346% 12/08/26
20S05OYHG0MQM4VUIC57
FORD MOTOR COMPANY REGD 4.34600000
345370CR9
110000.00000000
NS
USD
110598.42000000
0.274114053152
Long
DBT
CORP
US
N
2
2026-12-08
Fixed
4.34600000
N
N
N
N
N
N
ALLIANZ SE V/R /PERP//EUR/
529900K9B0N5BT694847
ALLIANZ SE /EUR/ REGD V/R /PERP/ REG S 3.37500000
D0R6C6CJ4
100000.00000000
NS
123146.72000000
0.305214546027
Long
DBT
CORP
DE
N
2
2168-09-18
Variable
3.37500000
N
N
N
N
N
N
UMBS P#AB8533 3% 03/01/43
N/A
FANNIE MAE POOL UMBS P#AB8533 3.00000000
31417FPT9
23955.27000000
NS
USD
24710.93000000
0.061245117059
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#BH1439 4% 04/01/47
N/A
FANNIE MAE POOL UMBS P#BH1439 4.00000000
3140GPS58
19256.00000000
NS
USD
20430.88000000
0.050637172992
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
PIONEER ILS INTERVAL FUND
N/A
PIONEER ILS INTERVAL FUND 0.00000000
72369L107
114057.41500000
NS
USD
1004845.83000000
2.490472858969
Long
EC
RF
US
N
2
N
N
N
UMBS P#735897 5.5% 10/01/35
N/A
FANNIE MAE POOL UMBS P#735897 5.50000000
31402RRS0
7516.66000000
NS
USD
8418.58000000
0.020865136098
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
ING GROEP NV V/R 04/11/28/EUR/
549300NYKK9MWM7GGW15
ING GROEP NV /EUR/ REGD V/R EMTN 3.00000000
N4578EEP9
200000.00000000
NS
241089.86000000
0.597532213377
Long
DBT
CORP
NL
N
2
2028-04-11
Variable
3.00000000
N
N
N
N
N
N
OMAN GOV INTER 5.625% 01/17/28
N/A
OMAN GOV INTERNTL BOND REGD 144A P/P 5.62500000
682051AH0
200000.00000000
NS
USD
197750.00000000
0.490115989097
Long
DBT
USGA
OM
Y
2
2028-01-17
Fixed
5.62500000
N
N
N
N
N
N
EUR P USD C 1.13 EO
N/A
EUR P USD C 1.13 EO 0.00000000
N/A
1230000.00000000
NC
19120.01000000
0.047388230658
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
N/A
Put
Written
EUR P USD C 1.13 EO
0
1230000.00000000
EUR
1.13000000
EUR
2020-01-09
XXXX
2191.48000000
N
N
N
F/C CAN 10YR BOND FUT DEC19
N/A
FUTURE CONTRACT ON CAN 10YR BOND FUT DEC19 /CAD/ 0.00000000
N/A
6.00000000
NC
647352.83000000
1.604439810723
N/A
DIR
CORP
CA
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Long
F/C CAN 10YR BOND FUT DEC19
CAN 10YR BOND FUT DEC19 /CAD/
2019-12-18
658609.95000000
CAD
-11257.12000000
N
N
N
T/L SBA SENIOR FI 0% 04/11/25
N/A
T/L SBA SENIOR FINANCE II LLC REGD 0.00000000
N/A
98750.00000000
NS
USD
99099.77000000
0.245615078598
Long
LON
CORP
US
N
2
2025-04-11
Fixed
0.00000000
N
N
N
N
N
N
T/L INTEGRO LTD 5.75% 10/31/22
N/A
T/L INTEGRO LTD 0.00000000
N/A
48858.17000000
NS
USD
47636.72000000
0.118065831303
Long
LON
CORP
KY
N
2
2022-10-31
Fixed
0.00000000
N
N
N
N
N
N
T/L ASURION LLC 0% 11/03/24
N/A
T/L ASURION LLC ZCP REGD 0.00000000
N/A
45655.10000000
NS
USD
45752.12000000
0.113394920592
Long
LON
CORP
US
N
2
2024-11-03
Fixed
0.00000000
N
N
N
N
N
N
KINGDOM OF BAHRAIN 7% 10/12/28
N/A
KINGDOM OF BAHRAIN REGD 144A P/P 7.00000000
05674RAG9
200000.00000000
NS
USD
230580.00000000
0.571483917907
Long
DBT
USGA
BH
Y
2
2028-10-12
Fixed
7.00000000
N
N
N
N
N
N
T/L NVA HOLDINGS 0% 02/02/25
N/A
T/L NVA HOLDINGS INC REGD 0.00000000
N/A
49252.49000000
NS
USD
49240.18000000
0.122039947024
Long
LON
CORP
US
N
2
2025-02-02
Fixed
0.00000000
N
N
N
N
N
N
IVORY COA 5.875% 10/17/31/EUR/
N/A
IVORY COAST /EUR/ REGD 144A P/P 5.87500000
N/A
110000.00000000
NS
124032.38000000
0.307409621258
Long
DBT
USGA
CI
Y
2
2031-10-17
Fixed
5.87500000
N
N
N
N
N
N
CNP ASSURANC V/R 09/14/40/EUR/
969500QKVPV2H8UXM738
CNP ASSURANCES /EUR/ REGD V/R REG S 6.00000000
F1876NAQ5
100000.00000000
NS
117011.01000000
0.290007417959
Long
DBT
CORP
FR
N
2
2040-09-14
Variable
6.00000000
N
N
N
N
N
N
UMBS P#AX4940 4% 10/01/44
N/A
FANNIE MAE POOL UMBS P#AX4940 4.00000000
3138Y6P24
13629.86000000
NS
USD
14406.69000000
0.035706443079
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.00000000
N
N
N
N
N
N
OBRIGACOES 4.95% 10/25/23/EUR/
N/A
OBRIGACOES DO TESOURO /EUR/ REGD 4.95000000
X6738PDY7
100000.00000000
NS
134658.99000000
0.333747277242
Long
DBT
USGA
PT
Y
2
2023-10-25
Fixed
4.95000000
N
N
N
N
N
N
ABBOTT LABORATO 3.75% 11/30/26
HQD377W2YR662HK5JX27
ABBOTT LABORATORIES REGD 3.75000000
002824BF6
24000.00000000
NS
USD
26295.49000000
0.065172389836
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
T/L KUEHG CORP 0% 02/21/25
N/A
T/L KUEHG CORP REGD 0.00000000
48244EAJ3
48632.54000000
NS
USD
48134.06000000
0.119298469917
Long
LON
CORP
US
N
2
2025-02-21
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
MXN/USD FWD 20191218 000006219 USD
N/A
1.00000000
NC
N/A
1675.51000000
0.004152688955
N/A
DFE
N/A
N
1
HSBC BANK USA, N.A.
1IE8VN30JCEQV1H4R804
8047872.39000000
MXN
0.00000000
N/A
2019-12-18
1675.51000000
N
N
N
CF INDUSTRIES 5.375% 03/15/44
N/A
CF INDUSTRIES INC REGD 5.37500000
12527GAE3
28000.00000000
NS
USD
28700.00000000
0.071131878063
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
5.37500000
N
N
N
N
N
N
AVIVA PLC V/R 07/05/43/EUR/
YF0Y5B0IB8SM0ZFG9G81
AVIVA PLC /EUR/ REGD V/R REG S EMTN 6.12500000
G0683QTN9
100000.00000000
NS
130544.44000000
0.323549518744
Long
DBT
CORP
GB
N
2
2043-07-05
Variable
6.12500000
N
N
N
N
N
N
FGLMC P#A64754 6% 08/01/37
N/A
FREDDIE MAC GOLD POOL P#A64754 6.00000000
3128KVH73
10074.63000000
NS
USD
11236.98000000
0.027850435232
Long
ABS-MBS
USGA
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
ARKEMA 1.5% 01/20/25/EUR/
9695000EHMS84KKP2785
ARKEMA /EUR/ REGD REG S EMTN 1.50000000
F0392WAR0
100000.00000000
NS
119113.53000000
0.295218435250
Long
DBT
CORP
FR
N
2
2025-01-20
Fixed
1.50000000
N
N
N
N
N
N
UMBS P#BD2425 3.5% 01/01/47
N/A
FANNIE MAE POOL UMBS P#BD2425 3.50000000
3140F9VT9
29954.77000000
NS
USD
31304.90000000
0.077588025421
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
IQVIA INC 2.875% 09/15/25/EUR/
N/A
IQVIA INC /EUR/ REGD 144A P/P 2.87500000
U74879AB0
100000.00000000
NS
114509.74000000
0.283808113686
Long
DBT
CORP
US
Y
2
2025-09-15
Fixed
2.87500000
N
N
N
N
N
N
IMT 2003-3G A2 V/R 09/27/35
N/A
INTERSTAR MILLENNIUM SERIES 2003-3G TRUST SER 2003-3G CL A2 V/R REGD 2.59963000
46071LAA8
35069.58000000
NS
USD
33959.87000000
0.084168269404
Long
ABS-CBDO
CORP
AU
N
2
2035-09-27
Variable
2.59963000
N
N
N
N
N
N
COMM 2013-LC6 2.941% 12/10/22
N/A
COMM 2013-LC6 MORTGAGE TRUST SER 2013-LC6 CL A4 REGD 2.94100000
20048EAY7
50000.00000000
NS
USD
51184.59000000
0.126859094586
Long
ABS-CBDO
CORP
US
N
2
2046-01-10
Fixed
2.94100000
N
N
N
N
N
N
ACCESS BANK PLC 10.5% 10/19/21
029200328C3N9YI2D660
ACCESS BANK PLC REGD P/P MTN 10.50000000
00434G2A7
200000.00000000
NS
USD
220900.00000000
0.547492399452
Long
DBT
CORP
NG
Y
2
2021-10-19
Fixed
10.50000000
N
N
N
N
N
N
REPSOL INTL V/R 03/25/75/EUR/
N/A
REPSOL INTL FINANCE /EUR/ REGD V/R REG S 4.50000000
N7S22VUC7
200000.00000000
NS
255803.72000000
0.633999965828
Long
DBT
CORP
NL
N
2
2075-03-25
Variable
4.50000000
N
N
N
N
N
N
ARCLO 2017-FL1 B V/R 09/15/21
N/A
ARBOR REALTY COMMERCIAL REAL ESTATE NOTES 20 SER 2017-FL1 CL B V/R REGD 144A P/P 4.41350000
03879GAC0
100000.00000000
NS
USD
100000.00000000
0.247846265030
Long
ABS-CBDO
CORP
KY
Y
2
2027-04-15
Variable
4.41350000
N
N
N
N
N
N
ANTHEM INC 3.65% 12/01/27
8MYN82XMYQH89CTMTH67
ANTHEM INC REGD 3.65000000
036752AB9
40000.00000000
NS
USD
42304.74000000
0.104850718020
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.65000000
N
N
N
N
N
N
BMARK 2018-B2 3.614% 11/15/27
N/A
BENCHMARK 2018-B2 MORTGAGE TRUST SER 2018-B2 CL A4 REGD 3.61470000
08161CAD3
150000.00000000
NS
USD
163044.98000000
0.404100893249
Long
ABS-CBDO
CORP
US
N
2
2051-02-15
Fixed
3.61470000
N
N
N
N
N
N
T/L ARISTOCRAT LEI 0% 10/19/24
N/A
T/L ARISTOCRAT LEISURE LIMITED REGD 0.00000000
N/A
62847.83880000
NS
USD
63073.71000000
0.156325834451
Long
LON
CORP
US
N
2
2024-10-19
Fixed
0.00000000
N
N
N
N
N
N
F/C EURO BUXL 30Y BND DEC19
N/A
FUTURE CONTRACT ON EURO BUXL 30Y BND DEC19 /EUR/ 0.00000000
N/A
5.00000000
NC
1169949.61000000
2.899676411123
N/A
DIR
CORP
DE
N
1
CITIGROUP GLOBAL MARKETS LIMIT
XKZZ2JZF41MRHTR1V493
Long
F/C EURO BUXL 30Y BND DEC19
EURO BUXL 30Y BND DEC19 /EUR/
2019-12-06
1230910.02000000
EUR
-60960.41000000
N
N
N
UMBS P#BH7777 4% 08/01/47
N/A
FANNIE MAE POOL UMBS P#BH7777 4.00000000
3140GWUB7
30904.89000000
NS
USD
32422.72000000
0.080358500541
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
MUNICH RE V/R 05/26/42/EUR/
529900MUF4C20K50JS49
MUNICH RE /EUR/ REGD V/R REG S EMTN 6.25000000
D5586LAB6
100000.00000000
NS
128720.98000000
0.319030141240
Long
DBT
CORP
DE
N
2
2042-05-26
Variable
6.25000000
N
N
N
N
N
N
N/A
N/A
CHF/USD FWD 20191126 000000908 USD
N/A
1.00000000
NC
N/A
596.48000000
0.001478353401
N/A
DFE
N/A
N
1
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
5493.99000000
USD
0.00000000
N/A
2019-11-26
596.48000000
N
N
N
PANGAEA RE 2018-1 0% 12/31/21
N/A
PANGAEA RE 2018-1 ZCP /BNR3MYH98/ 0.00000000
N/A
50000.00000000
NS
USD
2940.00000000
0.007286680191
Long
DBT
CORP
BM
N
3
2021-12-31
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#A71063 6.5% 01/01/38
N/A
FREDDIE MAC GOLD POOL P#A71063 6.50000000
3128L4FC3
14222.44000000
NS
USD
16868.28000000
0.041807401954
Long
ABS-MBS
USGA
US
N
2
2038-01-01
Fixed
6.50000000
N
N
N
N
N
N
2019-11-29
Pioneer Series Trust VII
Mark E. Bradley
Mark E. Bradley
Treasurer and Chief Accounting and Financial Officer