0001145549-21-048205.txt : 20210824
0001145549-21-048205.hdr.sgml : 20210824
20210824114237
ACCESSION NUMBER: 0001145549-21-048205
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210630
FILED AS OF DATE: 20210824
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: LoCorr Investment Trust
CENTRAL INDEX KEY: 0001506768
IRS NUMBER: 000000000
STATE OF INCORPORATION: OH
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-22509
FILM NUMBER: 211200411
BUSINESS ADDRESS:
STREET 1: 687 EXCELSIOR BLVD
CITY: EXCELSIOR
STATE: MN
ZIP: 55331
BUSINESS PHONE: 952-767-2920
MAIL ADDRESS:
STREET 1: 687 EXCELSIOR BLVD
CITY: EXCELSIOR
STATE: MN
ZIP: 55331
0001506768
S000045488
LoCorr Market Trend Fund
C000141580
Class A
LOTAX
C000141581
Class C
LOTCX
C000141582
Class I
LOTIX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001506768
XXXXXXXX
S000045488
C000141581
C000141580
C000141582
LoCorr Investment Trust
811-22509
0001506768
54930075F5KEPQITLS33
687 Excelsior Blvd
Excelsior
55331
952-767-2920
LoCorr Market Trend Fund
S000045488
549300697PUASVHG5W49
2021-12-31
2021-06-30
N
279442073.260000000000
5900148.510000000000
273541924.750000000000
0.000000000000
6100474.360000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
36515599.000000000000
AUD
CAD
EUR
GBP
JPY
USD
N
N/A
N/A
JPY/USD FWD 20210917
N/A
1.000000000000
NC
USD
1056015.660000000000
0.3860525808
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-8862543000.000000000000
JPY
80885807.200000000000
USD
2021-09-17
1056015.660000000000
N
N
N
N/A
N/A
COFFEE 'C' FUTURE Sep21
N/A
97.000000000000
NC
USD
-38502.390000000000
-0.0140754987
N/A
DCO
US
N
1
ICE Futures US Softs
5493004R83R1LVX2IL36
Long
Arabica Coffee
Arabica Coffee
2021-09-20
5849408.640000000000
USD
-38502.390000000000
N
N
N
N/A
N/A
90DAY STERLING FU Dec22
N/A
-1384.000000000000
NC
58455.110000000000
0.0213697078
N/A
DIR
GB
N
1
ICE Futures Europe Financials
549300UF4R84F48NCH34
Short
90 Day Sterling
90 Day Sterling
2022-12-21
-172263757.790000000000
GBP
58455.110000000000
N
N
N
N/A
N/A
LME PRI ALUM FUTR Sep21
N/A
-67.000000000000
NC
USD
-121673.310000000000
-0.0444806807
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
London Metal Exchange
213800NB8G5VRT1DXC91
Short
London Metals - Aluminum
London Metals - Aluminum
2021-09-13
-4106864.190000000000
USD
-121673.310000000000
N
N
N
N/A
N/A
LME PRI ALUM FUTR Sep21
N/A
156.000000000000
NC
USD
132028.670000000000
0.0482663380
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
London Metal Exchange
213800NB8G5VRT1DXC91
Long
London Metals - Aluminum
London Metals - Aluminum
2021-09-13
9713521.330000000000
USD
132028.670000000000
N
N
N
N/A
N/A
LME COPPER FUTURE Sep21
N/A
37.000000000000
NC
USD
-641382.910000000000
-0.2344733483
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
London Metal Exchange
213800NB8G5VRT1DXC91
Long
London Metals - Copper
London Metals - Copper
2021-09-13
9315107.910000000000
USD
-641382.910000000000
N
N
N
N/A
N/A
LME COPPER FUTURE Sep21
N/A
-20.000000000000
NC
USD
271115.150000000000
0.0991128326
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
London Metal Exchange
213800NB8G5VRT1DXC91
Short
London Metals - Copper
London Metals - Copper
2021-09-13
-4959615.150000000000
USD
271115.150000000000
N
N
N
N/A
N/A
LME ZINC FUTURE Sep21
N/A
89.000000000000
NC
USD
8487.730000000000
0.0031028991
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
London Metal Exchange
213800NB8G5VRT1DXC91
Long
London Metals - Zinc
London Metals - Zinc
2021-09-13
6615337.270000000000
USD
8487.730000000000
N
N
N
N/A
N/A
LME ZINC FUTURE Sep21
N/A
-39.000000000000
NC
USD
36412.480000000000
0.0133114805
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
London Metal Exchange
213800NB8G5VRT1DXC91
Short
London Metals - Zinc
London Metals - Zinc
2021-09-13
-2938987.480000000000
USD
36412.480000000000
N
N
N
N/A
N/A
MXN/USD FWD 20210917
N/A
1.000000000000
NC
USD
-16560.410000000000
-0.0060540665
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-15029000.000000000000
MXN
729688.240000000000
USD
2021-09-17
-16560.410000000000
N
N
N
N/A
N/A
MXN/USD FWD 20210917
N/A
1.000000000000
NC
USD
-135385.670000000000
-0.0494935722
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-18056773.590000000000
USD
360926000.000000000000
MXN
2021-09-17
-135385.670000000000
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
BB&T Corp
05531FBF9
190000.000000000000
PA
USD
204369.900000000000
0.0747124596
Long
DBT
CORP
US
N
2
2023-12-06
Fixed
3.750000000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2
N/A
BX Commercial Mortgage Trust 2019-XL
056054AA7
466211.800000000000
PA
USD
466820.810000000000
0.1706578655
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
.993000000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAE5
540000.000000000000
PA
USD
562454.790000000000
0.2056192266
Long
DBT
CORP
ES
N
2
2023-02-23
Fixed
3.125000000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAE9
230000.000000000000
PA
USD
242460.080000000000
0.0886372647
Long
DBT
CORP
ES
N
2
2025-05-28
Fixed
2.746000000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GEU9
1740000.000000000000
PA
USD
1815790.730000000000
0.6638071044
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
3.300000000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJC4
425000.000000000000
PA
USD
432207.180000000000
0.1580039990
Long
DBT
CORP
US
N
2
2024-05-19
Variable
1.486000000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJD2
1070000.000000000000
PA
USD
1072736.840000000000
0.3921654207
Long
DBT
CORP
US
N
2
2026-06-19
Variable
1.319000000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJH3
500000.000000000000
PA
USD
502013.400000000000
0.1835233851
Long
DBT
CORP
US
N
2
2024-10-24
Variable
.810000000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJK6
1150000.000000000000
PA
USD
1139439.930000000000
0.4165503811
Long
DBT
CORP
US
N
2
2026-10-24
Variable
1.197000000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJR1
660000.000000000000
PA
USD
662163.900000000000
0.2420703520
Long
DBT
CORP
US
N
2
2025-04-22
Variable
.976000000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBQ7
625000.000000000000
PA
USD
627420.800000000000
0.2293691545
Long
DBT
CORP
GB
N
2
2024-12-10
Variable
1.007000000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAC5
330000.000000000000
PA
USD
330287.100000000000
0.1207445990
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
.950000000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2J2
750000.000000000000
PA
USD
789174.250000000000
0.2885021193
Long
DBT
CORP
FR
N
2
2025-11-19
Variable
2.819000000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DT2
395000.000000000000
PA
USD
395447.980000000000
0.1445657664
Long
DBT
CORP
US
N
2
2023-11-13
Fixed
.537000000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAF0
225000.000000000000
PA
USD
242435.860000000000
0.0886284105
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.650000000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAT8
270000.000000000000
PA
USD
291840.090000000000
0.1066893458
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
3.400000000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-CCRE6 Mortgage Trust
12624XAD0
185000.000000000000
PA
USD
189798.920000000000
0.0693856783
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Fixed
3.101000000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-CCRE6 Mortgage Trust
12624XAM0
1000000.000000000000
PA
USD
1026227.500000000000
0.3751627839
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Fixed
3.147000000000
N
N
N
N
N
N
COMM Mortgage Trust
549300YJIXJB9DCDOI21
COMM 2013-CCRE10 Mortgage Trust
12626BAD6
185000.000000000000
PA
USD
197443.300000000000
0.0721802701
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Variable
4.210000000000
N
N
N
N
N
N
COMM Mortgage Trust
549300BCCWSDWINK2593
COMM 2013-CCRE11 Mortgage Trust
12626LBP6
575000.000000000000
PA
USD
622188.240000000000
0.2274562631
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Variable
5.277280000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAA4
1000000.000000000000
PA
USD
1002672.900000000000
0.3665518187
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.053000000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CF5
665000.000000000000
PA
USD
714873.470000000000
0.2613396358
Long
DBT
CORP
US
N
2
2024-08-12
Fixed
3.375000000000
N
N
N
N
N
N
CAMDEN PROPERTY TRUST
5493002MYX22OHYJBD89
Camden Property Trust
133131AT9
395000.000000000000
PA
USD
406297.770000000000
0.1485321749
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.950000000000
N
N
N
N
N
N
ONE GAS INC
549300HXDWI0LATTX840
ONE Gas Inc
68235PAL2
1420000.000000000000
PA
USD
1420987.080000000000
0.5194768887
Long
DBT
CORP
US
N
2
2024-03-11
Fixed
1.100000000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AX1
260000.000000000000
PA
USD
273822.790000000000
0.1001026772
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
2.750000000000
N
N
N
N
N
N
CAPITAL ONE BANK USA NA
LKE37K2B8CFZUR7F9816
Capital One Bank USA NA
140420NB2
290000.000000000000
PA
USD
303473.600000000000
0.1109422624
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.375000000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust 2018-4
14315EAC4
1427466.090000000000
PA
USD
1446811.540000000000
0.5289176573
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
3.360000000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust
14687TAC1
900000.000000000000
PA
USD
898599.960000000000
0.3285053875
Long
ABS-O
CORP
US
N
2
2026-03-10
Fixed
.490000000000
N
N
N
N
N
N
CenterPoint Energy Transition
N/A
CenterPoint Energy Restoration Bond Co LLC
15200NAC9
788967.690000000000
PA
USD
808999.030000000000
0.2957495568
Long
ABS-O
CORP
US
N
2
2023-08-15
Fixed
4.243000000000
N
N
N
N
N
N
PFS Financing Corp.
N/A
PFS Financing Corp
69335PDV4
700000.000000000000
PA
USD
703337.180000000000
0.2571222604
Long
ABS-O
CORP
US
N
2
2024-08-15
Fixed
.930000000000
N
N
N
N
N
N
PFS Financing Corp.
N/A
PFS Financing Corp
69335PDX0
500000.000000000000
PA
USD
503445.850000000000
0.1840470526
Long
ABS-O
CORP
US
N
2
2026-02-15
Fixed
.970000000000
N
N
N
N
N
N
PARKER-HANNIFIN CORP
5493002CONDB4N2HKI23
Parker-Hannifin Corp
701094AM6
355000.000000000000
PA
USD
374074.340000000000
0.1367521049
Long
DBT
CORP
US
N
2
2024-06-14
Fixed
2.700000000000
N
N
N
N
N
N
PENNSYLVANIA ST UNIV
549300QDK4O4XCJ47X56
Pennsylvania State University/The
709235S22
940000.000000000000
PA
USD
956774.020000000000
0.3497723506
Long
DBT
MUN
US
N
2
2023-09-01
Fixed
1.353000000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LV1
495000.000000000000
PA
USD
502475.410000000000
0.1836922843
Long
DBT
CORP
US
N
2
2023-01-24
Variable
3.142000000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LZ2
435000.000000000000
PA
USD
463335.940000000000
0.1693838853
Long
DBT
CORP
US
N
2
2024-06-01
Variable
4.044000000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MT5
1165000.000000000000
PA
USD
1167747.800000000000
0.4268990214
Long
DBT
CORP
US
N
2
2024-10-30
Variable
.776000000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MX6
550000.000000000000
PA
USD
551527.460000000000
0.2016244715
Long
DBT
CORP
US
N
2
2025-05-01
Variable
.981000000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AY0
470000.000000000000
PA
USD
470622.070000000000
0.1720475099
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
.900000000000
N
N
N
N
N
N
PRINCIPAL LFE GLB FND II
635400WSLKBQWSOIIT41
Principal Life Global Funding II
74256LEL9
750000.000000000000
PA
USD
750482.900000000000
0.2743575416
Long
DBT
CORP
US
N
2
2024-04-12
Fixed
.750000000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17327CAM5
350000.000000000000
PA
USD
345191.250000000000
0.1261931787
Long
DBT
CORP
US
N
2
2027-01-28
Variable
1.122000000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCR0
370000.000000000000
PA
USD
401243.130000000000
0.1466843265
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.700000000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21685WDF1
535000.000000000000
PA
USD
560017.590000000000
0.2047282480
Long
DBT
CORP
NL
N
2
2022-11-09
Fixed
3.950000000000
N
N
N
N
N
N
Colony American Finance Ltd
N/A
Corevest American Finance 2020-1 Trust
21872UAA2
366295.050000000000
PA
USD
372204.090000000000
0.1360683889
Long
ABS-O
CORP
US
N
2
2050-03-15
Fixed
1.832000000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AH9
430000.000000000000
PA
USD
450547.290000000000
0.1647086787
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
2.350000000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAA1
625000.000000000000
PA
USD
626756.110000000000
0.2291261607
Long
DBT
CORP
GB
N
2
2023-09-02
Fixed
.750000000000
N
N
N
N
N
N
SACRAMENTO CA WTR REVENUE
N/A
City of Sacramento CA Water Revenue
786089JC7
555000.000000000000
PA
USD
569677.920000000000
0.2082598200
Long
DBT
MUN
US
N
2
2023-09-01
Fixed
1.611000000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2020-2
81748KAG7
259045.220000000000
PA
USD
261116.260000000000
0.0954574917
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.500000000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2D2
565000.000000000000
PA
USD
571034.220000000000
0.2087556489
Long
DBT
CORP
CH
N
2
2023-05-05
Fixed
1.000000000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAS0
430000.000000000000
PA
USD
433086.570000000000
0.1583254817
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
1.350000000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2020-1
81748MAD0
122930.680000000000
PA
USD
123361.800000000000
0.0450979498
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
3.500000000000
N
N
N
N
N
N
Invesco Government & Agency Po
5493007T1J7WZ5QI1A47
STIT-Government and Agency Portfolio
825252885
11239381.420000000000
NS
USD
11239381.420000000000
4.1088332000
Long
STIV
RF
US
N
1
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400HB2
635000.000000000000
PA
USD
639458.120000000000
0.2337696938
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
1.100000000000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86959LAF0
405000.000000000000
PA
USD
406952.390000000000
0.1487714874
Long
DBT
CORP
SE
N
2
2023-06-30
Fixed
.625000000000
N
N
N
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AJ0
1628985.000000000000
PA
USD
1650112.940000000000
0.6032395003
Long
ABS-O
CORP
US
N
2
2049-05-20
Fixed
3.787000000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAX9
630000.000000000000
PA
USD
643768.100000000000
0.2353453134
Long
DBT
CORP
DK
N
2
2023-01-12
Variable
5.000000000000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86959LAG8
500000.000000000000
PA
USD
498217.140000000000
0.1821355686
Long
DBT
CORP
SE
N
2
2024-06-11
Fixed
.550000000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABB0
1120000.000000000000
PA
USD
1213906.400000000000
0.4437734366
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.500000000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CJ6
310000.000000000000
PA
USD
308747.990000000000
0.1128704458
Long
DBT
CORP
DE
N
2
2024-05-28
Fixed
.898000000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAL3
300000.000000000000
PA
USD
316860.000000000000
0.1158359912
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
2.875000000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2017-SFR2 Trust
89613FAA6
98712.340000000000
PA
USD
100908.350000000000
0.0368895372
Long
ABS-O
CORP
US
N
2
2036-01-17
Fixed
2.928000000000
N
N
N
N
N
N
Verizon Owner Trust
549300XY7L2MRX0BQH89
Verizon Owner Trust 2020-A
92348TAA2
1180000.000000000000
PA
USD
1200310.630000000000
0.4388031674
Long
ABS-O
CORP
US
N
2
2024-07-22
Fixed
1.850000000000
N
N
N
N
N
N
DUPONT DE NEMOURS INC
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAB6
345000.000000000000
PA
USD
373787.600000000000
0.1366472801
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.205000000000
N
N
N
N
N
N
DUKE REALTY LP
2549009GZDBNY1KE9O81
Duke Realty LP
26441YAX5
535000.000000000000
PA
USD
559700.950000000000
0.2046124924
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.625000000000
N
N
N
N
N
N
Verizon Owner Trust
549300DBBHVB9QKK8Q94
Verizon Owner Trust 2018-A
92348XAA3
197432.370000000000
PA
USD
198791.180000000000
0.0726730208
Long
ABS-O
CORP
US
N
2
2023-04-20
Fixed
3.230000000000
N
N
N
N
N
N
Verizon Owner Trust
549300P0XXSIS1ESEJ26
Verizon Owner Trust 2019-B
92349GAA9
1080000.000000000000
PA
USD
1091869.740000000000
0.3991599244
Long
ABS-O
CORP
US
N
2
2023-12-20
Fixed
2.330000000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer Operating LP
29278NAP8
240000.000000000000
PA
USD
252564.240000000000
0.0923310897
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.900000000000
N
N
N
N
N
N
EQUITABLE FINANCIAL LIFE
635400B4JJBON4TCHF02
Equitable Financial Life Global Funding
29449WAA5
530000.000000000000
PA
USD
534655.130000000000
0.1954563749
Long
DBT
CORP
US
N
2
2025-07-07
Fixed
1.400000000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-1
92536PAA2
386906.630000000000
PA
USD
391922.910000000000
0.1432770901
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.417000000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-1
92536PAE4
379920.240000000000
PA
USD
384289.550000000000
0.1404865270
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.724000000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300GADFYEKC4OLM57
WFRBS Commercial Mortgage Trust 2013-C14
92890PAE4
185000.000000000000
PA
USD
193772.890000000000
0.0708384611
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Fixed
3.337000000000
N
N
N
N
N
N
VOYA FINANCIAL INC
549300T065Z4KJ686G75
Voya Financial Inc
929089AD2
520000.000000000000
PA
USD
553412.510000000000
0.2023135980
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.125000000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2013-C12
92937FAF8
780000.000000000000
PA
USD
812354.950000000000
0.2969763961
Long
ABS-MBS
CORP
US
N
2
2048-03-15
Fixed
3.560000000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2013-C13
92937UAF5
165000.000000000000
PA
USD
171321.740000000000
0.0626308893
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Fixed
3.345000000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAJ7
75000.000000000000
PA
USD
74204.720000000000
0.0271273663
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
.800000000000
N
N
N
N
N
N
EXELON GENERATION CO LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co LLC
30161MAR4
270000.000000000000
PA
USD
274821.770000000000
0.1004678790
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.400000000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3135G05G4
2000000.000000000000
PA
USD
1999772.760000000000
0.7310662751
Long
DBT
USGSE
US
N
2
2023-07-10
Fixed
.250000000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3135G0W33
2310000.000000000000
PA
USD
2343212.280000000000
0.8566190657
Long
DBT
USGSE
US
N
2
2022-09-06
Fixed
1.375000000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2014-C24
92939KAE8
1000000.000000000000
PA
USD
1076935.100000000000
0.3937001982
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Fixed
3.607000000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo and Co
94974BFJ4
625000.000000000000
PA
USD
655174.980000000000
0.2395153798
Long
DBT
CORP
US
N
2
2023-02-13
Fixed
3.450000000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2012-LC5
94988HAE1
165000.000000000000
PA
USD
169854.170000000000
0.0620943828
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
3.539000000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2015-NXS2
94989MAD1
1000000.000000000000
PA
USD
1067862.900000000000
0.3903836317
Long
ABS-MBS
CORP
US
N
2
2058-07-15
Fixed
3.498000000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2R3
575000.000000000000
PA
USD
587232.500000000000
0.2146773298
Long
DBT
CORP
US
N
2
2024-06-02
Variable
1.654000000000
N
N
N
N
N
N
N/A
N/A
AUD/USD FWD 20210917
N/A
1.000000000000
NC
USD
141946.700000000000
0.0518921186
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-6131000.000000000000
AUD
4741471.910000000000
USD
2021-09-17
141946.700000000000
N
N
N
N/A
N/A
AUD/USD FWD 20210917
N/A
1.000000000000
NC
USD
-31585.660000000000
-0.0115469174
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-1047367.290000000000
USD
1354000.000000000000
AUD
2021-09-17
-31585.660000000000
N
N
N
N/A
N/A
10YR MINI JGB FUT Sep21
N/A
-12.000000000000
NC
-1582.040000000000
-0.0005783538
N/A
DIR
SG
N
1
Singapore Exchange (was SIMEX)
549300IQ650PPXM76X03
Short
10 Year Japanese Government Bonds
10 Year Japanese Government Bonds
2021-09-10
-181936243.999999999970
JPY
-1582.040000000000
N
N
N
N/A
N/A
SOYBEAN OIL FUTR Dec21
N/A
17.000000000000
NC
USD
72026.560000000000
0.0263310862
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Crude Soybean Oil
Crude Soybean Oil
2021-12-14
568125.440000000000
USD
72026.560000000000
N
N
N
N/A
N/A
CORN FUTURE Dec21
N/A
36.000000000000
NC
USD
-6946.140000000000
-0.0025393329
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Corn No. 2 Yellow
Corn No. 2 Yellow
2021-12-14
1066246.140000000000
USD
-6946.140000000000
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AK2E2
507799.900000000000
PA
USD
537113.870000000000
0.1963552280
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Variable
3.225170000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AQC65
746149.260000000000
PA
USD
747157.680000000000
0.2731419254
Long
ABS-MBS
USGSE
US
N
2
2022-11-25
Floating
1.027500000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BJPH0
592762.410000000000
PA
USD
591983.460000000000
0.2164141605
Long
ABS-MBS
USGSE
US
N
2
2022-01-25
Floating
.385880000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3137EAEV7
1700000.000000000000
PA
USD
1699597.150000000000
0.6213296743
Long
DBT
USGSE
US
N
2
2023-08-24
Fixed
.250000000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3137EAEW5
535000.000000000000
PA
USD
534470.510000000000
0.1953888825
Long
DBT
USGSE
US
N
2
2023-09-08
Fixed
.250000000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NW5
132169.210000000000
PA
USD
132272.340000000000
0.0483554176
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
1.291500000000
N
N
N
N
N
N
FED CAISSES DESJARDINS
549300B2Q47IR0CR5B54
Federation des Caisses Desjardins du Quebec
31429KAE3
550000.000000000000
PA
USD
549288.370000000000
0.2008059169
Long
DBT
CORP
CA
N
2
2024-05-21
Fixed
.700000000000
N
N
N
N
N
N
FED CAISSES DESJARDINS
549300B2Q47IR0CR5B54
Federation des Caisses Desjardins du Quebec
31430WCB8
700000.000000000000
PA
USD
714394.690000000000
0.2611646060
Long
DBT
CORP
CA
N
2
2022-09-26
Fixed
1.950000000000
N
N
N
N
N
N
N/A
N/A
CAD/USD FWD 20210917
N/A
1.000000000000
NC
USD
-894733.440000000000
-0.3270918858
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-37102072.970000000000
USD
44884000.000000000000
CAD
2021-09-17
-894733.440000000000
N
N
N
N/A
N/A
CAD/USD FWD 20210917
N/A
1.000000000000
NC
USD
263576.660000000000
0.0963569516
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-15826000.000000000000
CAD
13030205.200000000000
USD
2021-09-17
263576.660000000000
N
N
N
N/A
N/A
CAC40 10 EURO FUT Jul21
N/A
202.000000000000
NC
-299038.660000000000
-0.1093209607
N/A
DE
FR
N
1
Euronext Derivatives Paris
969500HMVSZ0TCV65D58
Long
CAC40 10 Euro Index
CF_Index
2021-07-16
13392294.240000000000
EUR
-299038.660000000000
N
N
N
N/A
N/A
CHF/USD FWD 20210917
N/A
1.000000000000
NC
USD
-165044.150000000000
-0.0603359614
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-5081320.860000000000
USD
4539000.000000000000
CHF
2021-09-17
-165044.150000000000
N
N
N
N/A
N/A
CHF/USD FWD 20210917
N/A
1.000000000000
NC
USD
96185.120000000000
0.0351628439
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-13442000.000000000000
CHF
14655469.460000000000
USD
2021-09-17
96185.120000000000
N
N
N
N/A
N/A
WTI CRUDE FUTURE Aug21
N/A
119.000000000000
NC
USD
211074.670000000000
0.0771635537
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
Crude Oil
Crude Oil
2021-07-20
8531855.330000000000
USD
211074.670000000000
N
N
N
Ford Credit Auto Lease Trust
5493006E18I81G847N31
Ford Credit Auto Lease Trust 2019-B
34528DAD5
414718.210000000000
PA
USD
416044.940000000000
0.1520954934
Long
ABS-O
CORP
US
N
2
2022-10-15
Fixed
2.220000000000
N
N
N
N
N
N
Freddie Mac - STACR
549300L8K4CLYS7FCQ06
Freddie Mac STACR Trust 2018-DNA2
35563TAH4
400000.000000000000
PA
USD
402644.120000000000
0.1471964930
Long
ABS-MBS
CORP
US
N
2
2030-12-25
Floating
2.241500000000
N
N
N
N
N
N
N/A
N/A
CAN 10YR BOND FUT Sep21
N/A
-346.000000000000
NC
-346922.520000000000
-0.1268260872
N/A
DIR
CA
N
1
Montreal Exchange
N/A
Short
Canadian 10 Year Government Bonds
Canadian 10 Year Government Bonds
2021-09-21
-49919874.840000000000
CAD
-346922.520000000000
N
N
N
N/A
N/A
BRENT CRUDE FUTR Sep21
N/A
125.000000000000
NC
USD
206263.750000000000
0.0754048032
N/A
DCO
GB
N
1
ICE Futures Europe Commodities
549300UF4R84F48NCH34
Long
Brent Crude Oil
Brent Crude Oil
2021-07-30
9121236.250000000000
USD
206263.750000000000
N
N
N
N/A
N/A
COTTON NO.2 FUTR Dec21
N/A
39.000000000000
NC
USD
-4720.330000000000
-0.0017256331
N/A
DCO
US
N
1
ICE Futures US Softs
5493004R83R1LVX2IL36
Long
Cotton No.2
Cotton No.2
2021-12-08
1660270.330000000000
USD
-4720.330000000000
N
N
N
N/A
N/A
DJIA MINI e-CBOT Sep21
N/A
83.000000000000
NC
USD
30997.760000000000
0.0113319960
N/A
DE
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Dow Jones Industrial Average Index
DM_Index
2021-09-17
14244587.240000000000
USD
30997.760000000000
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WAB0
300000.000000000000
PA
USD
302527.500000000000
0.1105963922
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Floating
2.191500000000
N
N
N
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564ABF7
400000.000000000000
PA
USD
407379.080000000000
0.1489274744
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
2.491500000000
N
N
N
N
N
N
N/A
N/A
EURO-SCHATZ FUT Sep21
N/A
-61.000000000000
NC
4492.660000000000
0.0016424027
N/A
DIR
DE
N
1
Eurex
529900UT4DG0LG5R9O07
Short
Euro-Schatz
Euro-Schatz
2021-09-08
-6844328.889999999999
EUR
4492.660000000000
N
N
N
N/A
N/A
DOLLAR INDEX Sep21
N/A
-83.000000000000
NC
USD
-191429.260000000000
-0.0699816893
N/A
DFE
US
N
1
ICE Futures US Currencies
5493004R83R1LVX2IL36
Short
Dollar Index
Dollar Index
2021-09-13
-7480343.740000000000
USD
-191429.260000000000
N
N
N
Freddie Mac - STACR
549300RWLR7W4OBRM426
Freddie Mac STACR Trust 2019-HRP1
35564RAK0
658329.880000000000
PA
USD
662566.500000000000
0.2422175323
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Floating
1.491500000000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAA6
3881.700000000000
PA
USD
3881.700000000000
0.0014190512
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
.841500000000
N
N
N
N
N
N
N/A
N/A
90DAY EURO$ FUTR Dec22
N/A
404.000000000000
NC
USD
-17094.530000000000
-0.0062493272
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
3 Month Eurodollar Time Deposits
3 Month Eurodollar Time Deposits
2022-12-19
100491894.530000000000
USD
-17094.530000000000
N
N
N
N/A
N/A
3MO EURO EURIBOR Dec22
N/A
921.000000000000
NC
-44415.130000000000
-0.0162370467
N/A
DIR
GB
N
1
ICE Futures Europe Financials
549300UF4R84F48NCH34
Long
3 Month Euribor
3 Month Euribor
2022-12-19
231312070.000000000000
EUR
-44415.130000000000
N
N
N
N/A
N/A
S&P500 EMINI FUT Sep21
N/A
136.000000000000
NC
USD
366174.480000000000
0.1338641162
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
S&P 500 Index
ES_Index
2021-09-17
28796305.520000000000
USD
366174.480000000000
N
N
N
N/A
N/A
EUR/USD FWD 20210917
N/A
1.000000000000
NC
USD
-548069.170000000000
-0.2003602082
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-20404583.150000000000
USD
16718000.000000000000
EUR
2021-09-17
-548069.170000000000
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164Q6M5
1755000.000000000000
PA
USD
1915682.640000000000
0.7003250568
Long
DBT
CORP
IE
N
2
2025-11-15
Fixed
3.373000000000
N
N
N
N
N
N
GCT Commercial Mortgage Trust
N/A
GCT Commercial Mortgage Trust 2021-GCT
36167RAA1
750000.000000000000
PA
USD
750892.350000000000
0.2745072262
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
.873000000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210917
N/A
1.000000000000
NC
USD
114964.770000000000
0.0420282083
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-10686000.000000000000
EUR
12807075.570000000000
USD
2021-09-17
114964.770000000000
N
N
N
N/A
N/A
US 5YR NOTE (CBT) Sep21
N/A
-1682.000000000000
NC
USD
114210.200000000000
0.0417523566
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
U.S. Treasury 5 Year Note
U.S. Treasury 5 Year Note
2021-09-30
-207722945.425000000000
USD
114210.200000000000
N
N
N
N/A
N/A
LONG GILT FUTURE Sep21
N/A
-349.000000000000
NC
-454540.040000000000
-0.1661683270
N/A
DIR
GB
N
1
ICE Futures Europe Financials
549300UF4R84F48NCH34
Short
Long Gilt
Long Gilt
2021-09-28
-44378308.490000000000
GBP
-454540.040000000000
N
N
N
N/A
N/A
GBP/USD FWD 20210917
N/A
1.000000000000
NC
USD
-938007.140000000000
-0.3429116545
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-44558573.140000000000
USD
31528000.000000000000
GBP
2021-09-17
-938007.140000000000
N
N
N
GS Mortgage Securities Trust
54930066YOFVQE068N73
GS Mortgage Securities Trust 2015-GC32
36250PAH8
1000000.000000000000
PA
USD
1094103.000000000000
0.3999763477
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Variable
4.018000000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493002EPQ51IPGGFX73
GS Mortgage Securities Trust 2015-GC28
36251FAW6
1000000.000000000000
PA
USD
1077270.500000000000
0.3938228120
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.396000000000
N
N
N
N
N
N
N/A
N/A
GBP/USD FWD 20210917
N/A
1.000000000000
NC
USD
134670.860000000000
0.0492322558
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-12802000.000000000000
GBP
17846878.630000000000
USD
2021-09-17
134670.860000000000
N
N
N
N/A
N/A
GOLD 100 OZ FUTR Aug21
N/A
-39.000000000000
NC
USD
27054.270000000000
0.0098903559
N/A
DCO
US
N
1
Commodity Exchange, Inc.
N/A
Short
Gold
Gold
2021-08-27
-6936294.270000000000
USD
27054.270000000000
N
N
N
GM Financial Securitized Term
N/A
GM Financial Consumer Automobile Receivables Trust 2021-1
36261LAC5
750000.000000000000
PA
USD
750355.200000000000
0.2743108577
Long
ABS-O
CORP
US
N
2
2025-10-16
Fixed
.350000000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCX2
895000.000000000000
PA
USD
942670.180000000000
0.3446163439
Long
DBT
CORP
US
N
2
2025-06-20
Fixed
2.750000000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BW2
360000.000000000000
PA
USD
360253.070000000000
0.1316993987
Long
DBT
CORP
US
N
2
2023-09-29
Fixed
.750000000000
N
N
N
N
N
N
GM Financial Securitized Term
549300RO0W90UZB1HD05
GM Financial Consumer Automobile Receivables Trust 2018-4
38013FAD3
972219.200000000000
PA
USD
983828.860000000000
0.3596629149
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
3.210000000000
N
N
N
N
N
N
N/A
N/A
DAX INDEX FUTURE Sep21
N/A
47.000000000000
NC
-197188.840000000000
-0.0720872459
N/A
DE
DE
N
1
Eurex
529900UT4DG0LG5R9O07
Long
German Stock Index
GX_Index
2021-09-17
18411699.219999999999
EUR
-197188.840000000000
N
N
N
N/A
N/A
HANG SENG IDX FUT Jul21
N/A
66.000000000000
NC
-193758.750000000000
-0.0708332919
N/A
DE
HK
N
1
Hong Kong Futures Exchange
N/A
Long
Hang Seng Index
HI_Index
2021-07-29
95983401.200000000001
HKD
-193758.750000000000
N
N
N
N/A
N/A
NY Harb ULSD Fut Aug21
N/A
94.000000000000
NC
USD
75593.820000000000
0.0276351861
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
NY Harbor ULSD
NY Harbor ULSD
2021-07-30
8326934.580000000000
USD
75593.820000000000
N
N
N
N/A
N/A
JPN 10Y BOND(OSE) Sep21
N/A
-55.000000000000
NC
-140504.960000000000
-0.0513650550
N/A
DIR
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Short
Japanese 10 Year Government Bonds
Japanese 10 Year Government Bonds
2021-09-13
-8327340602.222222222227
JPY
-140504.960000000000
N
N
N
N/A
N/A
JPY/USD FWD 20210917
N/A
1.000000000000
NC
USD
-129492.310000000000
-0.0473391090
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-16699833.750000000000
USD
1839606000.000000000000
JPY
2021-09-17
-129492.310000000000
N
N
N
N/A
N/A
NATURAL GAS FUTR Aug21
N/A
77.000000000000
NC
USD
207853.060000000000
0.0759858147
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
Natural Gas
Natural Gas
2021-07-28
2602646.940000000000
USD
207853.060000000000
N
N
N
N/A
N/A
NIKKEI 225 (OSE) Sep21
N/A
50.000000000000
NC
-95865.740000000000
-0.0350460867
N/A
DE
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Long
Nikkei 225 Index
NK_Index
2021-09-09
1449650200.000000000025
JPY
-95865.740000000000
N
N
N
N/A
N/A
NASDAQ 100 E-MINI Sep21
N/A
89.000000000000
NC
USD
803954.460000000000
0.2939053897
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Nasdaq 100 Index
NQ_Index
2021-09-17
25093265.540000000000
USD
803954.460000000000
N
N
N
N/A
N/A
NZD/USD FWD 20210917
N/A
1.000000000000
NC
USD
95264.320000000000
0.0348262227
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-6015000.000000000000
NZD
4298685.690000000000
USD
2021-09-17
95264.320000000000
N
N
N
N/A
N/A
NZD/USD FWD 20210917
N/A
1.000000000000
NC
USD
-126029.730000000000
-0.0460732775
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-4260267.600000000000
USD
5916000.000000000000
NZD
2021-09-17
-126029.730000000000
N
N
N
N/A
N/A
EURO-BOBL FUTURE Sep21
N/A
-1129.000000000000
NC
-167949.520000000000
-0.0613980910
N/A
DIR
DE
N
1
Eurex
529900UT4DG0LG5R9O07
Short
Euro-BOBL
Euro-BOBL
2021-09-08
-151313709.729999999999
EUR
-167949.520000000000
N
N
N
N/A
N/A
COCOA FUTURE - IC Sep21
N/A
-77.000000000000
NC
-10333.560000000000
-0.0037776878
N/A
DCO
GB
N
1
ICE Futures Europe Commodities
549300UF4R84F48NCH34
Short
London Cocoa
London Cocoa
2021-09-15
-1250709.769999999999
GBP
-10333.560000000000
N
N
N
N/A
N/A
Low Su Gasoil G Aug21
N/A
158.000000000000
NC
USD
-5984.860000000000
-0.0021879132
N/A
DCO
GB
N
1
ICE Futures Europe Commodities
549300UF4R84F48NCH34
Long
Low Sulphur Gas Oil
Low Sulphur Gas Oil
2021-08-12
9458334.860000000000
USD
-5984.860000000000
N
N
N
N/A
N/A
E-Mini Russ 2000 Sep21
N/A
86.000000000000
NC
USD
18946.240000000000
0.0069262655
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Russell 2000 Index
RTY_Index
2021-09-17
9904593.760000000000
USD
18946.240000000000
N
N
N
N/A
N/A
EURO-BUND FUTURE Sep21
N/A
-565.000000000000
NC
-567547.250000000000
-0.2074809010
N/A
DIR
DE
N
1
Eurex
529900UT4DG0LG5R9O07
Short
Euro-Bund
Euro-Bund
2021-09-08
-97046008.990000000000
EUR
-567547.250000000000
N
N
N
N/A
N/A
SOYBEAN FUTURE Nov21
N/A
11.000000000000
NC
USD
11399.480000000000
0.0041673612
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Soybeans
Soybeans
2021-11-12
758050.520000000000
USD
11399.480000000000
N
N
N
N/A
N/A
SUGAR #11 (WORLD) Oct21
N/A
144.000000000000
NC
USD
42122.720000000000
0.0153989996
N/A
DCO
US
N
1
ICE Futures US Softs
5493004R83R1LVX2IL36
Long
Sugar #11
Sugar #11
2021-09-30
2843176.480000000000
USD
42122.720000000000
N
N
N
N/A
N/A
SILVER FUTURE Sep21
N/A
28.000000000000
NC
USD
-2213.810000000000
-0.0008093129
N/A
DCO
US
N
1
Commodity Exchange, Inc.
N/A
Long
Silver
Silver
2021-09-28
3669373.810000000000
USD
-2213.810000000000
N
N
N
N/A
N/A
SOYBEAN MEAL FUTR Dec21
N/A
-111.000000000000
NC
USD
-69721.060000000000
-0.0254882538
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Soybean Meal
Soybean Meal
2021-12-14
-4167148.940000000000
USD
-69721.060000000000
N
N
N
N/A
N/A
TOPIX INDX FUTR Sep21
N/A
97.000000000000
NC
-138821.180000000000
-0.0507495076
N/A
DE
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Long
TOPIX Index
TP_Index
2021-09-09
1900132337.999999999969
JPY
-138821.180000000000
N
N
N
N/A
N/A
US 2YR NOTE (CBT) Sep21
N/A
805.000000000000
NC
USD
-289284.180000000000
-0.1057549698
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
U.S. Treasury 2 Year Notes
U.S. Treasury 2 Year Notes
2021-09-30
177647135.352500000000
USD
-289284.180000000000
N
N
N
N/A
N/A
US 10YR NOTE (CBT)Sep21
N/A
-814.000000000000
NC
USD
-487724.820000000000
-0.1782998421
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
U.S. Treasury 10 Year Notes
U.S. Treasury 10 Year Notes
2021-09-21
-107367275.255000000000
USD
-487724.820000000000
N
N
N
N/A
N/A
US LONG BOND(CBT) Sep21
N/A
-130.000000000000
NC
USD
-477550.530000000000
-0.1745803794
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
U.S. Treasury Long Bonds
U.S. Treasury Long Bonds
2021-09-21
-20419949.475000000000
USD
-477550.530000000000
N
N
N
N/A
N/A
EURO STOXX 50 Sep21
N/A
407.000000000000
NC
-359022.740000000000
-0.1312496212
N/A
DE
DE
N
1
Eurex
529900UT4DG0LG5R9O07
Long
Euro STOXX 50 Quanto Index
VG_Index
2021-09-17
16808666.799999999999
EUR
-359022.740000000000
N
N
N
N/A
N/A
GASOLINE RBOB FUT Aug21
N/A
77.000000000000
NC
USD
229163.410000000000
0.0837763389
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
Reformulated Gasoline Blendstock
Reformulated Gasoline Blendstock
2021-07-30
7020817.790000000000
USD
229163.410000000000
N
N
N
N/A
N/A
AUST 10Y BOND FUT Sep21
N/A
-443.000000000000
NC
-10455.480000000000
-0.0038222587
N/A
DIR
AU
N
1
ASX Trade24
N/A
Short
Austrailian Government 10 Year Bonds
Austrailian Government 10 Year Bonds
2021-09-15
-62532793.114035200000
AUD
-10455.480000000000
N
N
N
N/A
N/A
FTSE 100 IDX FUT Sep21
N/A
177.000000000000
NC
-270120.090000000000
-0.0987490639
N/A
DE
GB
N
1
ICE Futures Europe Financials
549300UF4R84F48NCH34
Long
FTSE 100 Index
Z_Index
2021-09-17
12550757.500000000000
GBP
-270120.090000000000
N
N
N
EXELON GENERATION CO LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co LLC
30161MAS2
195000.000000000000
PA
USD
210328.010000000000
0.0768905937
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.250000000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pas
N/A
FRESB 2016-SB17 Mortgage Trust
30294UAC9
501286.600000000000
PA
USD
508441.860000000000
0.1858734673
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
Variable
2.150000000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pas
N/A
FRESB 2017-SB32 Mortgage Trust
302952AB2
835310.570000000000
PA
USD
855325.030000000000
0.3126851691
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Variable
2.440000000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pas
N/A
FRESB 2017-SB31 Mortgage Trust
30303HAE3
632858.080000000000
PA
USD
642954.000000000000
0.2350476990
Long
ABS-MBS
USGSE
US
N
2
2024-01-25
Variable
2.460000000000
N
N
N
N
N
N
FRESB Multifamily Mortgage Pas
N/A
FRESB 2019-SB67 Mortgage Trust
30314KAS2
1231151.380000000000
PA
USD
1258990.790000000000
0.4602551478
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Variable
2.090000000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAK0
53585.230000000000
PA
USD
53990.630000000000
0.0197376070
Long
ABS-MBS
CORP
US
N
2
2024-07-25
Floating
3.091500000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XHT4
213551.140000000000
PA
USD
214935.060000000000
0.0785748145
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Floating
1.441500000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XNX8
357379.100000000000
PA
USD
363076.010000000000
0.1327313940
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
2.291500000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XZL1
400000.000000000000
PA
USD
396402.240000000000
0.1449146197
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
.541500000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AEBM1
3180000.000000000000
PA
USD
3258868.990000000000
1.1913599690
Long
DBT
USGSE
US
N
2
2022-06-10
Fixed
2.750000000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AFE78
4500000.000000000000
PA
USD
4681626.260000000000
1.7114839944
Long
DBT
USGSE
US
N
2
2022-12-09
Fixed
3.000000000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AJHU6
1700000.000000000000
PA
USD
1690561.520000000000
0.6180264768
Long
DBT
USGSE
US
N
2
2025-04-14
Fixed
.500000000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
313379Q69
2620000.000000000000
PA
USD
2670083.320000000000
0.9761148396
Long
DBT
USGSE
US
N
2
2022-06-10
Fixed
2.125000000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Banks
3133EKZK5
2270000.000000000000
PA
USD
2332126.680000000000
0.8525664511
Long
DBT
USGSE
US
N
2
2023-08-14
Fixed
1.600000000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Banks Funding Corp
3133EMYX4
1105000.000000000000
PA
USD
1102920.330000000000
0.4031997402
Long
DBT
USGSE
US
N
2
2023-05-10
Fixed
.125000000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3134GWAK2
1470000.000000000000
PA
USD
1470235.880000000000
0.5374810027
Long
DBT
USGSE
US
N
2
2023-07-20
Fixed
.410000000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3134GXCB8
1330000.000000000000
PA
USD
1329741.330000000000
0.4861197534
Long
DBT
USGSE
US
N
2
2023-05-19
Fixed
.250000000000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Leasing Trust
380144AD7
1050000.000000000000
PA
USD
1048570.010000000000
0.3833306397
Long
ABS-O
CORP
US
N
2
2025-05-20
Fixed
.410000000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWT7
2180000.000000000000
PA
USD
2274133.560000000000
0.8313656351
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
3.200000000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXJ8
225000.000000000000
PA
USD
244183.090000000000
0.0892671536
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.500000000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXM1
165000.000000000000
PA
USD
162578.250000000000
0.0594344908
Long
DBT
CORP
US
N
2
2026-12-09
Variable
1.093000000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXZ2
3660000.000000000000
PA
USD
3666178.370000000000
1.3402619629
Long
DBT
CORP
US
N
2
2024-03-08
Variable
.673000000000
N
N
N
N
N
N
HSBC BANK CANADA
DMB80L5QKUQ124HSYW98
HSBC Bank Canada
40427HTH6
1130000.000000000000
PA
USD
1148932.780000000000
0.4200207266
Long
DBT
CORP
CA
N
2
2022-09-10
Fixed
1.650000000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CG2
1165000.000000000000
PA
USD
1198401.530000000000
0.4381052488
Long
DBT
CORP
GB
N
2
2026-06-04
Variable
2.099000000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CS6
200000.000000000000
PA
USD
199847.230000000000
0.0730590860
Long
DBT
CORP
GB
N
2
2025-05-24
Variable
.976000000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2019-A
43284HAA7
611961.620000000000
PA
USD
629285.270000000000
0.2300507575
Long
ABS-O
CORP
US
N
2
2033-07-25
Fixed
2.340000000000
N
N
N
N
N
N
Honda Auto Receivables Owner T
N/A
Honda Auto Receivables 2020-3 Owner Trust
43813KAC6
1400000.000000000000
PA
USD
1401800.400000000000
0.5124627244
Long
ABS-O
CORP
US
N
2
2024-10-18
Fixed
.370000000000
N
N
N
N
N
N
Honda Auto Receivables Owner T
N/A
Honda Auto Receivables 2019-1 Owner Trust
43814WAC9
403323.860000000000
PA
USD
408161.330000000000
0.1492134452
Long
ABS-O
CORP
US
N
2
2023-03-20
Fixed
2.830000000000
N
N
N
N
N
N
Hyundai Auto Receivables Trust
N/A
Hyundai Auto Receivables Trust 2020-C
44891RAC4
1150000.000000000000
PA
USD
1150765.210000000000
0.4206906166
Long
ABS-O
CORP
US
N
2
2025-05-15
Fixed
.380000000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AP8
540000.000000000000
PA
USD
581709.600000000000
0.2126582975
Long
DBT
CORP
NL
N
2
2024-04-09
Fixed
3.550000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR2 Trust
46185HAA0
426948.270000000000
PA
USD
427932.860000000000
0.1564414158
Long
ABS-O
CORP
US
N
2
2037-06-17
Floating
.973000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR1 Trust
46185JAA6
430421.750000000000
PA
USD
430820.320000000000
0.1574969981
Long
ABS-O
CORP
US
N
2
2037-03-17
Floating
.782000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2017-SFR2 Trust
46187BAA1
446201.280000000000
PA
USD
446592.380000000000
0.1632628638
Long
ABS-O
CORP
US
N
2
2036-12-17
Floating
.932000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR3 Trust
46187VAA7
452362.710000000000
PA
USD
453028.450000000000
0.1656157280
Long
ABS-O
CORP
US
N
2
2037-07-17
Floating
1.082000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR4 Trust
46187XAA3
681401.560000000000
PA
USD
683225.190000000000
0.2497698262
Long
ABS-O
CORP
US
N
2
2038-01-17
Floating
1.182000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR4 Trust
46187XAG0
489475.360000000000
PA
USD
490390.780000000000
0.1792744496
Long
ABS-O
CORP
US
N
2
2038-01-17
Floating
1.732000000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase and Co
46625HJH4
1065000.000000000000
PA
USD
1112354.260000000000
0.4066485461
Long
DBT
CORP
US
N
2
2023-01-25
Fixed
3.200000000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Corp
466330AA5
803162.320000000000
PA
USD
804158.080000000000
0.2939798280
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
.873000000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10
46639JAH3
200000.000000000000
PA
USD
207334.100000000000
0.0757960960
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.371500000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13
46640JAR8
513180.390000000000
PA
USD
543040.560000000000
0.1985218758
Long
ABS-MBS
CORP
US
N
2
2046-01-15
Variable
3.993600000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C22
46642NBH8
685000.000000000000
PA
USD
733346.820000000000
0.2680930247
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Fixed
4.109500000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBT2
375000.000000000000
PA
USD
370405.270000000000
0.1354107859
Long
DBT
CORP
US
N
2
2026-11-19
Variable
1.045000000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBW5
590000.000000000000
PA
USD
580550.730000000000
0.2122346439
Long
DBT
CORP
US
N
2
2027-02-04
Variable
1.040000000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBY1
350000.000000000000
PA
USD
348113.390000000000
0.1272614391
Long
DBT
CORP
US
N
2
2025-02-16
Variable
.563000000000
N
N
N
N
N
N
KKR Industrial Portfolio Trust
N/A
KKR Industrial Portfolio Trust 2020-AIP
48253QAL9
289261.720000000000
PA
USD
289714.820000000000
0.1059124009
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
2.102880000000
N
N
N
N
N
N
KILROY REALTY LP
5493008CT3N3JR7P1552
Kilroy Realty LP
49427RAJ1
335000.000000000000
PA
USD
348606.730000000000
0.1274417917
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.800000000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBR0
640000.000000000000
PA
USD
647172.860000000000
0.2365900074
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.750000000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2019-1
55389PAA7
557301.650000000000
PA
USD
572789.790000000000
0.2093974408
Long
ABS-O
CORP
US
N
2
2036-11-20
Fixed
2.890000000000
N
N
N
N
N
N
Merit
N/A
Merit 2020-Hill
590027AA6
1350000.000000000000
PA
USD
1354656.020000000000
0.4952279331
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Floating
1.223000000000
N
N
N
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GEJ4
325000.000000000000
PA
USD
324550.600000000000
0.1186474798
Long
DBT
CORP
US
N
2
2025-07-02
Fixed
.950000000000
N
N
N
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GEN5
570000.000000000000
PA
USD
568019.930000000000
0.2076537008
Long
DBT
CORP
US
N
2
2024-06-07
Fixed
.550000000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BV5
660000.000000000000
PA
USD
663407.630000000000
0.2425250281
Long
DBT
CORP
JP
N
2
2024-09-15
Variable
.848000000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468W2
1365000.000000000000
PA
USD
1364454.570000000000
0.4988100348
Long
DBT
CORP
US
N
2
2024-01-25
Variable
.529000000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2004-HE6
61744CFB7
176128.800000000000
PA
USD
174458.250000000000
0.0637775179
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
.916500000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAN8
1230000.000000000000
PA
USD
1282299.450000000000
0.4687762036
Long
DBT
CORP
US
N
2
2023-01-23
Fixed
3.125000000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174824M3
485000.000000000000
PA
USD
512371.010000000000
0.1873098650
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
4.875000000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAA1
1035000.000000000000
PA
USD
1037079.820000000000
0.3791301172
Long
DBT
CORP
US
N
2
2024-04-05
Variable
.731000000000
N
N
N
N
N
N
NTT FINANCE CORP
3538007PR116187GD960
NTT Finance Corp
62954WAC9
560000.000000000000
PA
USD
558959.870000000000
0.2043415723
Long
DBT
CORP
JP
N
2
2026-04-03
Fixed
1.162000000000
N
N
N
N
N
N
NATIONAL BANK OF CANADA
BSGEFEIOM18Y80CKCV46
National Bank of Canada
63307CAG6
365000.000000000000
PA
USD
373062.620000000000
0.1363822457
Long
DBT
CORP
CA
N
2
2022-10-07
Fixed
2.150000000000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2018-285M
63874FAA5
1000000.000000000000
PA
USD
1028880.800000000000
0.3761327632
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Variable
3.916747000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NatWest Markets PLC
63906YAA6
820000.000000000000
PA
USD
848454.070000000000
0.3101733202
Long
DBT
CORP
GB
N
2
2023-05-21
Fixed
2.375000000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NatWest Markets PLC
63906YAB4
200000.000000000000
PA
USD
199039.620000000000
0.0727638442
Long
DBT
CORP
GB
N
2
2024-08-12
Fixed
.800000000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2017-SFR2 Trust
89613FAB4
400000.000000000000
PA
USD
409093.080000000000
0.1495540694
Long
ABS-O
CORP
US
N
2
2036-01-17
Fixed
3.275000000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AB4
200000.000000000000
PA
USD
201415.950000000000
0.0736325703
Long
DBT
CORP
CH
N
2
2024-07-30
Variable
1.008000000000
N
N
N
N
N
N
UBS AG LONDON
BFM8T61CT2L1QCEMIK50
UBS AG/London
902674YA2
440000.000000000000
PA
USD
444916.800000000000
0.1626503142
Long
DBT
CORP
CH
N
2
2022-04-21
Fixed
1.750000000000
N
N
N
N
N
N
UBS AG LONDON
BFM8T61CT2L1QCEMIK50
UBS AG/London
902674YF1
440000.000000000000
PA
USD
439494.170000000000
0.1606679380
Long
DBT
CORP
CH
N
2
2023-06-01
Fixed
.375000000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2012-C1
90269GAC5
881151.690000000000
PA
USD
888416.790000000000
0.3247826785
Long
ABS-MBS
CORP
US
N
2
2045-05-10
Fixed
3.400000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810ET1
900000.000000000000
PA
USD
1127777.350000000000
0.4122868372
Long
DBT
UST
US
N
2
2025-02-15
Fixed
7.625000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128283U2
3765000.000000000000
PA
USD
3895010.160000000000
1.4239170700
Long
DBT
UST
US
N
2
2023-01-31
Fixed
2.375000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284U1
11910000.000000000000
PA
USD
12472003.130000000000
4.5594484799
Long
DBT
UST
US
N
2
2023-06-30
Fixed
2.625000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285D8
505000.000000000000
PA
USD
534155.860000000000
0.1952738545
Long
DBT
UST
US
N
2
2023-09-30
Fixed
2.875000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Q29
14555000.000000000000
PA
USD
14879644.760000000000
5.4396212842
Long
DBT
UST
US
N
2
2023-03-31
Fixed
1.500000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828SV3
1330000.000000000000
PA
USD
1349222.650000000000
0.4932416306
Long
DBT
UST
US
N
2
2022-05-15
Fixed
1.750000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828VB3
1810000.000000000000
PA
USD
1861189.060000000000
0.6804035841
Long
DBT
UST
US
N
2
2023-05-15
Fixed
1.750000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828W89
3370000.000000000000
PA
USD
3415021.110000000000
1.2484452294
Long
DBT
UST
US
N
2
2022-03-31
Fixed
1.875000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828XX3
2390000.000000000000
PA
USD
2499603.920000000000
0.9137918885
Long
DBT
UST
US
N
2
2024-06-30
Fixed
2.000000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YH7
9730000.000000000000
PA
USD
10039763.700000000000
3.6702833429
Long
DBT
UST
US
N
2
2024-09-30
Fixed
1.500000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z52
1090000.000000000000
PA
USD
1120102.740000000000
0.4094811942
Long
DBT
UST
US
N
2
2025-01-31
Fixed
1.375000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAX9
4270000.000000000000
PA
USD
4267164.460000000000
1.5599672569
Long
DBT
UST
US
N
2
2022-11-30
Fixed
.125000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBU4
26265000.000000000000
PA
USD
26222935.030000000000
9.5864409282
Long
DBT
UST
US
N
2
2023-03-31
Fixed
.125000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCC3
2265000.000000000000
PA
USD
2252790.250000000000
0.8235630615
Long
DBT
UST
US
N
2
2024-05-15
Fixed
.250000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCG4
4585000.000000000000
PA
USD
4557418.380000000000
1.6660767391
Long
DBT
UST
US
N
2
2024-06-15
Fixed
.250000000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEB4
555000.000000000000
PA
USD
554369.510000000000
0.2026634530
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
.550000000000
N
N
N
N
N
N
VSE VOI Mortgage LLC
549300E4XED7XGXU7L27
VSE 2018-A VOI Mortgage LLC
918286AA3
395557.300000000000
PA
USD
415944.200000000000
0.1520586654
Long
ABS-O
CORP
US
N
2
2036-02-20
Fixed
3.560000000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCR3
490000.000000000000
PA
USD
530160.280000000000
0.1938131716
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
3.500000000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFS8
670000.000000000000
PA
USD
662936.760000000000
0.2423528900
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
.850000000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGG3
425000.000000000000
PA
USD
429191.480000000000
0.1569015354
Long
DBT
CORP
US
N
2
2026-03-20
Fixed
1.450000000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR1 Trust
00180AAA7
324688.460000000000
PA
USD
329069.320000000000
0.1202994094
Long
ABS-O
CORP
US
N
2
2037-04-17
Fixed
1.819000000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBM0
625000.000000000000
PA
USD
641393.510000000000
0.2344772234
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.300000000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBZ1
1110000.000000000000
PA
USD
1170569.980000000000
0.4279307390
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.600000000000
N
N
N
N
N
N
ACRE COMMERCIAL MORTGAGE TRUST
N/A
ACRE Commercial Mortgage 2021-FL4 Ltd
00489TAA4
500000.000000000000
PA
USD
497983.800000000000
0.1820502654
Long
ABS-MBS
CORP
KY
N
2
2037-12-18
Floating
.912500000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAC9
500000.000000000000
PA
USD
530054.770000000000
0.1937745998
Long
DBT
CORP
IE
N
2
2025-01-15
Fixed
3.500000000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAS4
235000.000000000000
PA
USD
232200.280000000000
0.0848865417
Long
DBT
CORP
IE
N
2
2026-01-30
Fixed
1.750000000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBC7
430000.000000000000
PA
USD
456129.770000000000
0.1667494920
Long
DBT
CORP
US
N
2
2023-07-03
Fixed
3.875000000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAA0
150000.000000000000
PA
USD
162675.980000000000
0.0594702184
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.250000000000
N
N
N
N
N
N
ALEN 2021-ACEN Mortgage Trust
N/A
Alen 2021-ACEN Mortgage Trust
01449NAA4
600000.000000000000
PA
USD
600178.500000000000
0.2194100596
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
1.223000000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2014-SFR2 Trust
02665UAA3
388851.720000000000
PA
USD
413397.280000000000
0.1511275759
Long
ABS-O
CORP
US
N
2
2036-10-17
Fixed
3.786000000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBB5
1055000.000000000000
PA
USD
1057770.750000000000
0.3866941972
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
1.300000000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2021-2
03066RAC9
930000.000000000000
PA
USD
931919.240000000000
0.3406860725
Long
ABS-O
CORP
US
N
2
2026-12-18
Fixed
.340000000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-1
03464RAD5
418000.000000000000
PA
USD
421377.310000000000
0.1540448728
Long
ABS-MBS
CORP
US
N
2
2059-12-25
Variable
3.161000000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust LLC 2020-5
03464WAC6
63089.150000000000
PA
USD
63521.940000000000
0.0232220125
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
2.041000000000
N
N
N
N
N
N
AON CORP
LTS3U8DGK38SETRUWX71
Aon Corp
037389BD4
325000.000000000000
PA
USD
332936.750000000000
0.1217132439
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.200000000000
N
N
N
N
N
N
ASTRAZENECA FINANCE LLC
549300C3HATU4Q460S18
Astrazeneca Finance LLC
04636NAC7
570000.000000000000
PA
USD
569412.900000000000
0.2081629354
Long
DBT
CORP
US
N
2
2024-05-28
Fixed
.700000000000
N
N
N
N
N
N
ATMOS ENERGY CORP
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560AV7
200000.000000000000
PA
USD
200026.420000000000
0.0731245933
Long
DBT
CORP
US
N
2
2023-03-09
Floating
.503130000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAZ8
135000.000000000000
PA
USD
143402.400000000000
0.0524242856
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.222000000000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
05530QAN0
835000.000000000000
PA
USD
834895.420000000000
0.3052166211
Long
DBT
CORP
GB
N
2
2026-03-25
Fixed
1.668000000000
N
N
N
N
N
N
2021-08-18
LoCorr Investment Trust
Jon Essen
Jon Essen
Treasurer