0001145549-22-007816.txt : 20220223
0001145549-22-007816.hdr.sgml : 20220223
20220223135536
ACCESSION NUMBER: 0001145549-22-007816
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211231
FILED AS OF DATE: 20220223
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: 22662510
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
C000141582
C000141580
C000141581
LoCorr Investment Trust
811-22509
0001506768
54930075F5KEPQITLS33
687 Excelsior Blvd
Excelsior
55331
952-767-2920
LoCorr Market Trend Fund
S000045488
549300697PUASVHG5W49
2021-12-31
2021-12-31
N
272930780.120000000000
6636675.930000000000
266294104.190000000000
0.000000000000
8796066.700000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
41767678.320000000000
AUD
CAD
EUR
GBP
JPY
USD
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2021-3
03066JAC7
1000000.000000000000
PA
USD
994390.300000000000
0.3734180684
Long
ABS-O
CORP
US
N
2
2026-08-18
Fixed
.760000000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2021-2
03066RAC9
930000.000000000000
PA
USD
922310.850000000000
0.3463504582
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
417592.700000000000
0.1568163521
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
41659.540000000000
PA
USD
41659.870000000000
0.0156443081
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
2.041000000000
N
N
N
N
N
N
ASTRAZENECA FINANCE LLC
549300C3HATU4Q460S18
Astrazeneca Finance LLC
04636NAC7
670000.000000000000
PA
USD
664793.480000000000
0.2496463382
Long
DBT
CORP
US
N
2
2024-05-28
Fixed
.700000000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAZ8
225000.000000000000
PA
USD
233896.860000000000
0.0878340362
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
675000.000000000000
PA
USD
662967.140000000000
0.2489605025
Long
DBT
CORP
GB
N
2
2026-03-25
Fixed
1.668000000000
N
N
N
N
N
N
BSREP Commercial Mortgage Trus
N/A
BSREP Commercial Mortgage Trust 2021-DC
05591UAA5
335000.000000000000
PA
USD
334596.790000000000
0.1256493421
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
1.060000000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2
N/A
BX Commercial Mortgage Trust 2019-XL
056054AA7
429632.300000000000
PA
USD
429750.880000000000
0.1613820484
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
1.030000000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-21M
05609CAA5
410000.000000000000
PA
USD
407148.200000000000
0.1528941849
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
.840000000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAE5
340000.000000000000
PA
USD
348023.500000000000
0.1306914027
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
237827.360000000000
0.0893100359
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
540000.000000000000
PA
USD
554814.890000000000
0.2083466668
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
800000.000000000000
PA
USD
805861.820000000000
0.3026209771
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
1059104.690000000000
0.3977199169
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
800000.000000000000
PA
USD
794754.610000000000
0.2984499459
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
825000.000000000000
PA
USD
808929.000000000000
0.3037727788
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
1035000.000000000000
PA
USD
1026890.500000000000
0.3856226945
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
620513.550000000000
0.2330181330
Long
DBT
CORP
GB
N
2
2024-12-10
Variable
1.007000000000
N
N
N
N
N
N
BAXTER INTERNATIONAL INC
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813CF4
1140000.000000000000
PA
USD
1138664.580000000000
0.4275966167
Long
DBT
CORP
US
N
2
2024-11-29
Fixed
1.322000000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAG6
330000.000000000000
PA
USD
327030.000000000000
0.1228078260
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
.950000000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2J2
550000.000000000000
PA
USD
566154.860000000000
0.2126051051
Long
DBT
CORP
FR
N
2
2025-11-19
Variable
2.819000000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAF0
225000.000000000000
PA
USD
235773.180000000000
0.0885386407
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.650000000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-CIP
12434FAA5
1000000.000000000000
PA
USD
999698.500000000000
0.3754114283
Long
ABS-MBS
CORP
US
N
2
2028-12-15
Floating
1.021000000000
N
N
N
N
N
N
Colony American Finance Ltd
N/A
Corevest American Finance 2020-1 Trust
21872UAA2
346109.290000000000
PA
USD
345595.700000000000
0.1297797039
Long
ABS-O
CORP
US
N
2
2050-03-15
Fixed
1.832000000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2D2
565000.000000000000
PA
USD
566525.970000000000
0.2127444660
Long
DBT
CORP
CH
N
2
2023-05-05
Fixed
1.000000000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2F7
200000.000000000000
PA
USD
198598.070000000000
0.0745784705
Long
DBT
CORP
CH
N
2
2023-08-09
Fixed
.520000000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAS0
170000.000000000000
PA
USD
167774.660000000000
0.0630035203
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
1.350000000000
N
N
N
N
N
N
DH EUROPE FINANCE II
222100KDGL314CKTZ511
DH Europe Finance II Sarl
23291KAG0
405000.000000000000
PA
USD
413948.160000000000
0.1554477375
Long
DBT
CORP
LU
N
2
2024-11-15
Fixed
2.200000000000
N
N
N
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AN1
650000.000000000000
PA
USD
635115.000000000000
0.2385013374
Long
ABS-O
CORP
US
N
2
2051-11-20
Fixed
2.045000000000
N
N
N
N
N
N
SITE CENTERS CORP
W2AVA6SODOQ1LCYJQR54
SITE Centers Corp
23317HAD4
190000.000000000000
PA
USD
198975.530000000000
0.0747202161
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.625000000000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851DY7
500000.000000000000
PA
USD
505035.030000000000
0.1896531024
Long
DBT
CORP
US
N
2
2023-03-10
Fixed
1.750000000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAX9
630000.000000000000
PA
USD
630543.000000000000
0.2367844387
Long
DBT
CORP
DK
N
2
2023-01-12
Variable
5.000000000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CJ6
310000.000000000000
PA
USD
307351.050000000000
0.1154178952
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
280000.000000000000
PA
USD
290539.490000000000
0.1091047400
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
2.875000000000
N
N
N
N
N
N
ELP 2021-ELP
N/A
ELP Commercial Mortgage Trust 2021-ELP
26863LAE4
950000.000000000000
PA
USD
944380.470000000000
0.3546381445
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
1.229960000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer Operating LP
29278NAP8
165000.000000000000
PA
USD
170319.950000000000
0.0639593394
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
380000.000000000000
PA
USD
376679.480000000000
0.1414524295
Long
DBT
CORP
US
N
2
2025-07-07
Fixed
1.400000000000
N
N
N
N
N
N
EQUITABLE FINANCIAL LIFE
635400B4JJBON4TCHF02
Equitable Financial Life Global Funding
29449WAC1
150000.000000000000
PA
USD
148555.070000000000
0.0557860905
Long
DBT
CORP
US
N
2
2023-11-17
Fixed
.500000000000
N
N
N
N
N
N
EQUS 2021-EQAZ Mortgage Trust
N/A
EQUS 2021-EQAZ Mortgage Trust
29478JAA8
950000.000000000000
PA
USD
945528.070000000000
0.3550690966
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
.864800000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAJ7
75000.000000000000
PA
USD
72870.080000000000
0.0273645112
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
95000.000000000000
PA
USD
95293.590000000000
0.0357850919
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.400000000000
N
N
N
N
N
N
EXELON GENERATION CO LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co LLC
30161MAS2
70000.000000000000
PA
USD
73371.040000000000
0.0275526340
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
479743.820000000000
PA
USD
482558.860000000000
0.1812127465
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
386563.480000000000
PA
USD
390302.710000000000
0.1465682882
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
644052.140000000000
0.2418574538
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
778732.890000000000
PA
USD
783869.720000000000
0.2943624014
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
44179.410000000000
PA
USD
44858.590000000000
0.0168455063
Long
ABS-MBS
CORP
US
N
2
2024-07-25
Floating
3.102750000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XNX8
350183.120000000000
PA
USD
356164.880000000000
0.1337486915
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
2.302750000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XZL1
400000.000000000000
PA
USD
397305.880000000000
0.1491981511
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
.552750000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130A8HK2
2200000.000000000000
PA
USD
2247790.030000000000
0.8441005620
Long
DBT
USGSE
US
N
2
2024-06-14
Fixed
1.750000000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AEBM1
3180000.000000000000
PA
USD
3216401.360000000000
1.2078379917
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
4610246.990000000000
1.7312613826
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
1670637.350000000000
0.6273655044
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
3130AQF40
1980000.000000000000
PA
USD
1981677.650000000000
0.7441688039
Long
DBT
USGSE
US
N
2
2024-12-20
Fixed
1.000000000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
Federal Home Loan Banks
313379Q69
2620000.000000000000
PA
USD
2641647.910000000000
0.9920039041
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
2314399.770000000000
0.8691141612
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
1098480.180000000000
0.4125063840
Long
DBT
USGSE
US
N
2
2023-05-10
Fixed
.125000000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Banks Funding Corp
3133ENDR8
2100000.000000000000
PA
USD
2088561.700000000000
0.7843063993
Long
DBT
USGSE
US
N
2
2023-11-09
Fixed
.400000000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Banks Funding Corp
3133ENGF1
3480000.000000000000
PA
USD
3465906.520000000000
1.3015333293
Long
DBT
USGSE
US
N
2
2023-12-01
Fixed
.500000000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3134GXCB8
1330000.000000000000
PA
USD
1321502.660000000000
0.4962568225
Long
DBT
USGSE
US
N
2
2023-05-19
Fixed
.250000000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3135G05G4
2000000.000000000000
PA
USD
1989280.900000000000
0.7470240117
Long
DBT
USGSE
US
N
2
2023-07-10
Fixed
.250000000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3135G0V75
1000000.000000000000
PA
USD
1022109.330000000000
0.3838272474
Long
DBT
USGSE
US
N
2
2024-07-02
Fixed
1.750000000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3135G0W33
2310000.000000000000
PA
USD
2327431.980000000000
0.8740080773
Long
DBT
USGSE
US
N
2
2022-09-06
Fixed
1.375000000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AK2E2
503787.980000000000
PA
USD
525021.790000000000
0.1971586234
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Variable
3.121294000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AQC65
536847.340000000000
PA
USD
536902.960000000000
0.2016202956
Long
ABS-MBS
USGSE
US
N
2
2022-11-25
Floating
1.018880000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BJPH0
112350.950000000000
PA
USD
112332.230000000000
0.0421835212
Long
ABS-MBS
USGSE
US
N
2
2022-01-25
Floating
.394000000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3137EAEV7
1700000.000000000000
PA
USD
1689126.150000000000
0.6343085046
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
531421.090000000000
0.1995617183
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
52238.260000000000
PA
USD
52238.270000000000
0.0196167580
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
1.302750000000
N
N
N
N
N
N
FED CAISSES DESJARDINS
549300B2Q47IR0CR5B54
Federation des Caisses Desjardins du Quebec
31429KAE3
550000.000000000000
PA
USD
541944.230000000000
0.2035134167
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
707911.200000000000
0.2658381049
Long
DBT
CORP
CA
N
2
2022-09-26
Fixed
1.950000000000
N
N
N
N
N
N
FORSYTH CNTY GA SCH DIST
N/A
Forsyth County School District
346604LK5
230000.000000000000
PA
USD
230213.790000000000
0.0864509527
Long
DBT
MUN
US
N
2
2024-02-01
Fixed
.921000000000
N
N
N
N
N
N
Freddie Mac - STACR
549300L8K4CLYS7FCQ06
Freddie Mac STACR Trust 2018-DNA2
35563TAH4
400000.000000000000
PA
USD
403108.560000000000
0.1513772005
Long
ABS-MBS
CORP
US
N
2
2030-12-25
Floating
2.252750000000
N
N
N
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WAB0
300000.000000000000
PA
USD
300935.490000000000
0.1130086942
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Floating
2.202750000000
N
N
N
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564ABF7
400000.000000000000
PA
USD
406320.400000000000
0.1525833256
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
2.502750000000
N
N
N
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564ABN0
600000.000000000000
PA
USD
598267.080000000000
0.2246640352
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
1.102750000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KHE2
210000.000000000000
PA
USD
210899.180000000000
0.0791978405
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
1.699670000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KMA4
1100000.000000000000
PA
USD
1099655.150000000000
0.4129476142
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
.899670000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KNK1
800000.000000000000
PA
USD
799999.680000000000
0.3004195990
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
1.000000000000
N
N
N
N
N
N
Freddie Mac - STACR
549300RWLR7W4OBRM426
Freddie Mac STACR Trust 2019-HRP1
35564RAK0
658329.880000000000
PA
USD
659983.010000000000
0.2478398882
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Floating
1.502750000000
N
N
N
N
N
N
GCT Commercial Mortgage Trust
N/A
GCT Commercial Mortgage Trust 2021-GCT
36167RAA1
750000.000000000000
PA
USD
749099.550000000000
0.2813053456
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
.910000000000
N
N
N
N
N
N
GS Mortgage Securities Trust
54930066YOFVQE068N73
GS Mortgage Securities Trust 2015-GC32
36250PAH8
1000000.000000000000
PA
USD
1065277.500000000000
0.4000379592
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
1048439.300000000000
0.3937148001
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.396000000000
N
N
N
N
N
N
GM Financial Securitized Term
N/A
GM Financial Consumer Automobile Receivables Trust 2021-1
36261LAC5
750000.000000000000
PA
USD
745234.950000000000
0.2798540930
Long
ABS-O
CORP
US
N
2
2025-10-16
Fixed
.350000000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36266CAA4
950000.000000000000
PA
USD
939831.680000000000
0.3529299617
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
1.359751000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCX2
620000.000000000000
PA
USD
640035.260000000000
0.2403490163
Long
DBT
CORP
US
N
2
2025-06-20
Fixed
2.750000000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDM5
200000.000000000000
PA
USD
198572.790000000000
0.0745689773
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
1.200000000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BW2
260000.000000000000
PA
USD
258932.380000000000
0.0972354911
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
406760.020000000000
PA
USD
409016.600000000000
0.1535958151
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
3.210000000000
N
N
N
N
N
N
GM Financial Securitized Term
N/A
GM Financial Consumer Automobile Receivables Trust 2021-3
380140AC7
1000000.000000000000
PA
USD
989409.300000000000
0.3715475801
Long
ABS-O
CORP
US
N
2
2026-06-16
Fixed
.480000000000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Leasing Trust
380144AD7
1050000.000000000000
PA
USD
1038262.160000000000
0.3898930332
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
1755000.000000000000
PA
USD
1800001.890000000000
0.6759450779
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
237998.030000000000
0.0893741267
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
160866.590000000000
0.0604093697
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
3285000.000000000000
PA
USD
3270395.450000000000
1.2281141034
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
930000.000000000000
PA
USD
937484.320000000000
0.3520484702
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
965000.000000000000
PA
USD
971674.290000000000
0.3648876467
Long
DBT
CORP
GB
N
2
2026-06-04
Variable
2.099000000000
N
N
N
N
N
N
HAWAII ST
N/A
State of Hawaii
419792F92
720000.000000000000
PA
USD
713661.770000000000
0.2679975857
Long
DBT
MUN
US
N
2
2025-08-01
Fixed
1.033000000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2019-A
43284HAA7
502642.990000000000
PA
USD
509158.500000000000
0.1912015670
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
1396087.280000000000
0.5242651858
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
174133.060000000000
PA
USD
175323.590000000000
0.0658383296
Long
ABS-O
CORP
US
N
2
2023-03-20
Fixed
2.830000000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BP6
885000.000000000000
PA
USD
880489.560000000000
0.3306455329
Long
DBT
CORP
US
N
2
2023-08-03
Fixed
.650000000000
N
N
N
N
N
N
Hyundai Auto Receivables Trust
N/A
Hyundai Auto Receivables Trust 2020-C
44891RAC4
1150000.000000000000
PA
USD
1145065.120000000000
0.4300001772
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
566149.750000000000
0.2126031861
Long
DBT
CORP
NL
N
2
2024-04-09
Fixed
3.550000000000
N
N
N
N
N
N
TRANE TECHNOLOGIES LUX
549300GHBOWCVY92IS29
Trane Technologies Luxembourg Finance SA
456873AE8
210000.000000000000
PA
USD
222804.090000000000
0.0836684277
Long
DBT
CORP
LU
N
2
2026-03-21
Fixed
3.500000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR2 Trust
46185HAA0
425545.860000000000
PA
USD
425612.160000000000
0.1598278570
Long
ABS-O
CORP
US
N
2
2037-06-17
Floating
1.010000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR1 Trust
46185JAA6
425386.650000000000
PA
USD
425386.610000000000
0.1597431574
Long
ABS-O
CORP
US
N
2
2037-03-17
Floating
.809000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR3 Trust
46187VAA7
112698.390000000000
PA
USD
112638.630000000000
0.0422985820
Long
ABS-O
CORP
US
N
2
2037-07-17
Floating
1.109000000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes 2018-SFR4 Trust
46187XAA3
677734.110000000000
PA
USD
676972.610000000000
0.2542199017
Long
ABS-O
CORP
US
N
2
2038-01-17
Floating
1.209000000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase and Co
46625HJH4
435000.000000000000
PA
USD
446826.170000000000
0.1677942406
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
801640.970000000000
0.3010359439
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
.910000000000
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
203987.120000000000
0.0766021916
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
530249.180000000000
0.1991216372
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
714555.900000000000
0.2683333535
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
350000.000000000000
PA
USD
341142.300000000000
0.1281073425
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
571331.040000000000
0.2145488882
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
325000.000000000000
PA
USD
320347.480000000000
0.1202983750
Long
DBT
CORP
US
N
2
2025-02-16
Variable
.563000000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCH7
735000.000000000000
PA
USD
726557.640000000000
0.2728403027
Long
DBT
CORP
US
N
2
2025-06-01
Variable
.824000000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBR0
490000.000000000000
PA
USD
485325.340000000000
0.1822516279
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
450771.250000000000
PA
USD
457033.720000000000
0.1716274273
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
1273095.650000000000
PA
USD
1272712.700000000000
0.4779349899
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Floating
1.260000000000
N
N
N
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GEJ4
325000.000000000000
PA
USD
320526.780000000000
0.1203657065
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
561325.120000000000
0.2107914186
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
460000.000000000000
PA
USD
457769.820000000000
0.1719038510
Long
DBT
CORP
JP
N
2
2024-09-15
Variable
.848000000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468W2
1215000.000000000000
PA
USD
1210902.550000000000
0.4547237550
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
133760.300000000000
PA
USD
132564.280000000000
0.0497811547
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
.926880000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAN8
880000.000000000000
PA
USD
902341.700000000000
0.3388515501
Long
DBT
CORP
US
N
2
2023-01-23
Fixed
3.125000000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEA9
175000.000000000000
PA
USD
172746.000000000000
0.0648703810
Long
DBT
CORP
US
N
2
2025-05-30
Variable
.790000000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAA1
960000.000000000000
PA
USD
957096.640000000000
0.3594133798
Long
DBT
CORP
US
N
2
2024-04-05
Variable
.731000000000
N
N
N
N
N
N
NBN CO LTD
2549007CRZ2NT7S96A24
NBN Co Ltd
62878U2C5
435000.000000000000
PA
USD
428931.750000000000
0.1610744449
Long
DBT
CORP
AU
N
2
2024-10-08
Fixed
.875000000000
N
N
N
N
N
N
NTT FINANCE CORP
3538007PR116187GD960
NTT Finance Corp
62954WAC9
360000.000000000000
PA
USD
353368.240000000000
0.1326984843
Long
DBT
CORP
JP
N
2
2026-04-03
Fixed
1.162000000000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2018-285M
63874FAA5
1000000.000000000000
PA
USD
1015302.600000000000
0.3812711525
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Variable
3.790400000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NatWest Markets PLC
63906YAA6
370000.000000000000
PA
USD
377046.490000000000
0.1415902508
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
196734.580000000000
0.0738786841
Long
DBT
CORP
GB
N
2
2024-08-12
Fixed
.800000000000
N
N
N
N
N
N
OPG Trust
N/A
OPG Trust 2021-PORT
67118AAG0
750000.000000000000
PA
USD
739300.950000000000
0.2776257297
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
.823000000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AX1
195000.000000000000
PA
USD
200443.120000000000
0.0752713323
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
2.750000000000
N
N
N
N
N
N
PFS Financing Corp.
N/A
PFS Financing Corp
69335PDV4
700000.000000000000
PA
USD
701631.490000000000
0.2634799190
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
497158.100000000000
0.1866951210
Long
ABS-O
CORP
US
N
2
2026-02-15
Fixed
.970000000000
N
N
N
N
N
N
PKHL Commercial Mortgage Trust
N/A
PKHL Commercial Mortgage Trust 2021-MF
69356GAA7
1000000.000000000000
PA
USD
999400.800000000000
0.3752996346
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
.990000000000
N
N
N
N
N
N
PARKER-HANNIFIN CORP
5493002CONDB4N2HKI23
Parker-Hannifin Corp
701094AM6
230000.000000000000
PA
USD
237664.950000000000
0.0892490469
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
947538.990000000000
0.3558242466
Long
DBT
MUN
US
N
2
2023-09-01
Fixed
1.353000000000
N
N
N
N
N
N
PERKINELMER INC
549300IKL1SDPFI7N655
PerkinElmer Inc
714046AL3
485000.000000000000
PA
USD
478201.420000000000
0.1795764204
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
.850000000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AY0
345000.000000000000
PA
USD
342496.770000000000
0.1286159793
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
510000.000000000000
PA
USD
506404.650000000000
0.1901674284
Long
DBT
CORP
US
N
2
2024-04-12
Fixed
.750000000000
N
N
N
N
N
N
PRIVATE EXPORT FUNDING
CYQE6SAYPFKNQJ6FMH60
Private Export Funding Corp
742651DW9
200000.000000000000
PA
USD
211843.840000000000
0.0795525837
Long
DBT
USGSE
US
N
2
2025-06-15
Fixed
3.250000000000
N
N
N
N
N
N
PROTECTIVE LIFE
635400EVYITCJYWL2I50
Protective Life Global Funding
74368CBF0
550000.000000000000
PA
USD
542866.080000000000
0.2038595941
Long
DBT
CORP
US
N
2
2024-07-05
Fixed
.781000000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AH9
205000.000000000000
PA
USD
210233.610000000000
0.0789479026
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
78081BAG8
550000.000000000000
PA
USD
546591.560000000000
0.2052586037
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
562631.690000000000
0.2112820679
Long
DBT
MUN
US
N
2
2023-09-01
Fixed
1.611000000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2021-4
80285VAC3
1030000.000000000000
PA
USD
1026248.230000000000
0.3853815063
Long
ABS-O
CORP
US
N
2
2025-08-15
Fixed
.510000000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2020-2
81748KAG7
87275.400000000000
PA
USD
87484.760000000000
0.0328526838
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.500000000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2020-1
81748MAD0
10236.280000000000
PA
USD
10231.790000000000
0.0038422893
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
11841532.850000000000
NS
USD
11841532.850000000000
4.4467874668
Long
STIV
RF
US
N
1
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400HB2
635000.000000000000
PA
USD
632700.410000000000
0.2375945994
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
1.100000000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400HH9
410000.000000000000
PA
USD
407499.710000000000
0.1530261856
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
.700000000000
N
N
N
N
N
N
SREIT Trust
N/A
STWD Trust
85236WCE4
1250000.000000000000
PA
USD
1243736.880000000000
0.4670538553
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
.921800000000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86959LAF0
405000.000000000000
PA
USD
403863.890000000000
0.1516608455
Long
DBT
CORP
SE
N
2
2023-06-30
Fixed
.625000000000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86959LAG8
250000.000000000000
PA
USD
246559.340000000000
0.0925891096
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
970000.000000000000
PA
USD
1028100.540000000000
0.3860770944
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.500000000000
N
N
N
N
N
N
Taco Bell Funding, LLC
N/A
Taco Bell Funding LLC
87342RAG9
1025000.000000000000
PA
USD
1004768.550000000000
0.3773153570
Long
ABS-O
CORP
US
N
2
2051-08-25
Fixed
1.946000000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CS9
645000.000000000000
PA
USD
644393.680000000000
0.2419857105
Long
DBT
CORP
US
N
2
2024-10-18
Fixed
1.215000000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114TZE5
390000.000000000000
PA
USD
385009.370000000000
0.1445805085
Long
DBT
CORP
CA
N
2
2024-09-10
Fixed
.700000000000
N
N
N
N
N
N
Toyota Lease Owner Trust
5493006AB33TXC4NJ781
Toyota Lease Owner Trust 2021-B
89239CAC3
1090000.000000000000
PA
USD
1080742.300000000000
0.4058453728
Long
ABS-O
CORP
US
N
2
2024-10-21
Fixed
.420000000000
N
N
N
N
N
N
TRANSCANADA PIPELINES
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd
89352HBB4
530000.000000000000
PA
USD
525442.000000000000
0.1973164226
Long
DBT
CORP
CA
N
2
2024-10-12
Fixed
1.000000000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2017-SFR2 Trust
89613FAA6
96766.520000000000
PA
USD
97292.520000000000
0.0365357394
Long
ABS-O
CORP
US
N
2
2036-01-17
Fixed
2.928000000000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes 2017-SFR2 Trust
89613FAB4
400000.000000000000
PA
USD
402106.680000000000
0.1510009699
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
199380.730000000000
0.0748723786
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
441380.800000000000
0.1657493700
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
436590.670000000000
0.1639505581
Long
DBT
CORP
CH
N
2
2023-06-01
Fixed
.375000000000
N
N
N
N
N
N
UBS AG LONDON
BFM8T61CT2L1QCEMIK50
UBS AG/London
902674YK0
400000.000000000000
PA
USD
395436.000000000000
0.1484959651
Long
DBT
CORP
CH
N
2
2024-08-09
Fixed
.700000000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2012-C1
90269GAC5
15973.060000000000
PA
USD
15959.370000000000
0.0059931368
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
1084605.470000000000
0.4072960884
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
9128284U1
3170000.000000000000
PA
USD
3266090.630000000000
1.2264975374
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
912828Q29
3395000.000000000000
PA
USD
3436641.780000000000
1.2905436981
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
912828VB3
2130000.000000000000
PA
USD
2165194.930000000000
0.8130840661
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
912828XX3
2390000.000000000000
PA
USD
2457218.750000000000
0.9227462085
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
8620000.000000000000
PA
USD
8758054.640000000000
3.2888653944
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
91282CAX9
6510000.000000000000
PA
USD
6495250.810000000000
2.4391267804
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
6070000.000000000000
PA
USD
6042258.220000000000
2.2690168971
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
15000.000000000000
PA
USD
14798.440000000000
0.0055571790
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
3860000.000000000000
PA
USD
3803909.380000000000
1.4284617347
Long
DBT
UST
US
N
2
2024-06-15
Fixed
.250000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCT6
8125000.000000000000
PA
USD
8019628.910000000000
3.0115683313
Long
DBT
UST
US
N
2
2024-08-15
Fixed
.375000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCU3
3800000.000000000000
PA
USD
3766898.430000000000
1.4145632106
Long
DBT
UST
US
N
2
2023-08-31
Fixed
.125000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCX7
9220000.000000000000
PA
USD
9091784.380000000000
3.4141891379
Long
DBT
UST
US
N
2
2024-09-15
Fixed
.375000000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDM0
5105000.000000000000
PA
USD
5086055.650000000000
1.9099392626
Long
DBT
UST
US
N
2
2023-11-30
Fixed
.500000000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEB4
400000.000000000000
PA
USD
396888.000000000000
0.1490412269
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
315675.470000000000
PA
USD
324759.470000000000
0.1219551860
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
92343VFS8
670000.000000000000
PA
USD
652695.020000000000
0.2451030683
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
423071.910000000000
0.1588739305
Long
DBT
CORP
US
N
2
2026-03-20
Fixed
1.450000000000
N
N
N
N
N
N
Verizon Owner Trust
549300XY7L2MRX0BQH89
Verizon Owner Trust 2020-A
92348TAA2
1180000.000000000000
PA
USD
1188842.680000000000
0.4464397301
Long
ABS-O
CORP
US
N
2
2024-07-22
Fixed
1.850000000000
N
N
N
N
N
N
Verizon Owner Trust
549300DBBHVB9QKK8Q94
Verizon Owner Trust 2018-A
92348XAA3
2282.230000000000
PA
USD
2285.830000000000
0.0008583855
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
496614.760000000000
PA
USD
499938.350000000000
0.1877391734
Long
ABS-O
CORP
US
N
2
2023-12-20
Fixed
2.330000000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-1
92536PAA2
166426.720000000000
PA
USD
166820.790000000000
0.0626453186
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
380398.140000000000
0.1428488780
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.724000000000
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AH8
435000.000000000000
PA
USD
430889.850000000000
0.1618097597
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
1.000000000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BJ0
625000.000000000000
PA
USD
620897.360000000000
0.2331622632
Long
DBT
CORP
US
N
2
2023-11-22
Fixed
.875000000000
N
N
N
N
N
N
Volkswagen Auto Loan Enhanced
N/A
Volkswagen Auto Loan Enhanced Trust 2021-1
92868KAC7
950000.000000000000
PA
USD
949959.630000000000
0.3567332566
Long
ABS-O
CORP
US
N
2
2026-06-22
Fixed
1.020000000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300GADFYEKC4OLM57
WFRBS Commercial Mortgage Trust 2013-C14
92890PAE4
185000.000000000000
PA
USD
190120.080000000000
0.0713947763
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Fixed
3.337000000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2013-C12
92937FAF8
780000.000000000000
PA
USD
797798.510000000000
0.2995930054
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
168525.320000000000
0.0632854116
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Fixed
3.345000000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2014-C24
92939KAE8
1000000.000000000000
PA
USD
1051487.200000000000
0.3948593617
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
585000.000000000000
PA
USD
601926.040000000000
0.2260380649
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
167110.270000000000
0.0627540255
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
1040943.500000000000
0.3908999424
Long
ABS-MBS
CORP
US
N
2
2058-07-15
Fixed
3.498000000000
N
N
N
N
N
N
WESTLAKE CHEMICAL CORP
GOXNEVUM0LL78B1OS344
Westlake Chemical Corp
960413AX0
140000.000000000000
PA
USD
137905.970000000000
0.0517870910
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
.875000000000
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956PAU6
270000.000000000000
PA
USD
269288.100000000000
0.1011243192
Long
DBT
CORP
US
N
2
2024-11-22
Fixed
1.450000000000
N
N
N
N
N
N
N/A
N/A
AUD/USD FWD 20220318
N/A
1.000000000000
NC
USD
18262.970000000000
0.0068581954
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-1182436.200000000000
USD
1650000.000000000000
AUD
2022-03-18
18262.970000000000
N
N
N
N/A
N/A
AUD/USD FWD 20220318
N/A
1.000000000000
NC
USD
-1020480.810000000000
-0.3832156980
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-78987000.000000000000
AUD
56458080.060000000000
USD
2022-03-18
-1020480.810000000000
N
N
N
N/A
N/A
10YR MINI JGB FUT Mar22
N/A
11.000000000000
NC
-5065.680000000000
-0.0019022877
N/A
DIR
SG
N
1
Singapore Exchange (was SIMEX)
549300IQ650PPXM76X03
Long
10 Year Japanese Government Bonds
10 Year Japanese Government Bonds
2022-03-11
167353704.000000000032
JPY
-5065.680000000000
N
N
N
N/A
N/A
SOYBEAN OIL FUTR Mar22
N/A
-13.000000000000
NC
USD
-37068.940000000000
-0.0139203007
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Crude Soybean Oil
Crude Soybean Oil
2022-03-14
-403865.060000000000
USD
-37068.940000000000
N
N
N
N/A
N/A
CORN FUTURE Mar22
N/A
434.000000000000
NC
USD
385965.960000000000
0.1449397316
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Corn No. 2 Yellow
Corn No. 2 Yellow
2022-03-14
12487559.040000000000
USD
385965.960000000000
N
N
N
N/A
N/A
CAD/USD FWD 20220318
N/A
1.000000000000
NC
USD
-222534.660000000000
-0.0835672501
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-82345000.000000000000
CAD
64863744.010000000000
USD
2022-03-18
-222534.660000000000
N
N
N
N/A
N/A
CAD/USD FWD 20220318
N/A
1.000000000000
NC
USD
22198.070000000000
0.0083359224
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-1893754.810000000000
USD
2424000.000000000000
CAD
2022-03-18
22198.070000000000
N
N
N
N/A
N/A
CAC40 10 EURO FUT Jan22
N/A
192.000000000000
NC
449398.320000000000
0.1687601464
N/A
DE
FR
N
1
Euronext Derivatives Paris
969500HMVSZ0TCV65D58
Long
CAC40 10 Euro Index
CF_Index
2022-01-21
13319831.039999999999
EUR
449398.320000000000
N
N
N
N/A
N/A
CHF/USD FWD 20220318
N/A
1.000000000000
NC
USD
409972.910000000000
0.1539549331
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-47707356.130000000000
USD
43756000.000000000000
CHF
2022-03-18
409972.910000000000
N
N
N
N/A
N/A
CHF/USD FWD 20220318
N/A
1.000000000000
NC
USD
-98195.920000000000
-0.0368749884
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-7452000.000000000000
CHF
8096573.620000000000
USD
2022-03-18
-98195.920000000000
N
N
N
N/A
N/A
WTI CRUDE FUTURE Feb22
N/A
160.000000000000
NC
USD
712313.750000000000
0.2674913709
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
Crude Oil
Crude Oil
2022-01-20
11321286.250000000000
USD
712313.750000000000
N
N
N
N/A
N/A
CAN 10YR BOND FUT Mar22
N/A
213.000000000000
NC
56794.840000000000
0.0213278624
N/A
DIR
CA
N
1
Montreal Exchange
N/A
Long
Canadian 10 Year Government Bonds
Canadian 10 Year Government Bonds
2022-03-22
30306217.379999999999
CAD
56794.840000000000
N
N
N
N/A
N/A
BRENT CRUDE FUTR Mar22
N/A
128.000000000000
NC
USD
57150.240000000000
0.0214613238
N/A
DCO
GB
N
1
ICE Futures Europe Commodities
549300UF4R84F48NCH34
Long
Brent Crude Oil
Brent Crude Oil
2022-01-31
9898689.760000000000
USD
57150.240000000000
N
N
N
N/A
N/A
COTTON NO.2 FUTR Mar22
N/A
72.000000000000
NC
USD
-36375.340000000000
-0.0136598368
N/A
DCO
US
N
1
ICE Futures US Softs
5493004R83R1LVX2IL36
Long
Cotton No.2
Cotton No.2
2022-03-09
4089975.340000000000
USD
-36375.340000000000
N
N
N
N/A
N/A
DJIA MINI e-CBOT Mar22
N/A
117.000000000000
NC
USD
336960.780000000000
0.1265370786
N/A
DE
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Dow Jones Industrial Average Index
DM_Index
2022-03-18
20855249.220000000000
USD
336960.780000000000
N
N
N
N/A
N/A
EURO-SCHATZ FUT Mar22
N/A
258.000000000000
NC
-56496.970000000000
-0.0212160048
N/A
DIR
DE
N
1
Eurex
529900UT4DG0LG5R9O07
Long
Euro-Schatz
Euro-Schatz
2022-03-08
28953364.110000000000
EUR
-56496.970000000000
N
N
N
N/A
N/A
DOLLAR INDEX Mar22
N/A
133.000000000000
NC
USD
-87249.260000000000
-0.0327642477
N/A
DFE
US
N
1
ICE Futures US Currencies
5493004R83R1LVX2IL36
Long
Dollar Index
Dollar Index
2022-03-14
12801118.260000000000
USD
-87249.260000000000
N
N
N
N/A
N/A
90DAY EURO$ FUTR Dec22
N/A
-2313.000000000000
NC
USD
980759.940000000000
0.3682995322
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
3 Month Eurodollar Time Deposits
3 Month Eurodollar Time Deposits
2022-12-19
-573188047.440000000000
USD
980759.940000000000
N
N
N
N/A
N/A
3MO EURO EURIBOR Jun23
N/A
-809.000000000000
NC
295644.380000000000
0.1110217520
N/A
DIR
GB
N
1
ICE Futures Europe Financials
549300UF4R84F48NCH34
Short
3 Month Euribor
3 Month Euribor
2023-06-19
-202651254.199999999999
EUR
295644.380000000000
N
N
N
N/A
N/A
S&P500 EMINI FUT Mar22
N/A
202.000000000000
NC
USD
883746.450000000000
0.3318685754
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
S&P 500 Index
ES_Index
2022-03-18
47177103.550000000000
USD
883746.450000000000
N
N
N
N/A
N/A
EUR/USD FWD 20220318
N/A
1.000000000000
NC
USD
-721963.950000000000
-0.2711152589
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-96328000.000000000000
EUR
109123071.860000000000
USD
2022-03-18
-721963.950000000000
N
N
N
N/A
N/A
EUR/USD FWD 20220318
N/A
1.000000000000
NC
USD
22210.540000000000
0.0083406052
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-3417003.690000000000
USD
3016000.000000000000
EUR
2022-03-18
22210.540000000000
N
N
N
N/A
N/A
US 5YR NOTE (CBT) Mar22
N/A
-556.000000000000
NC
USD
4790.790000000000
0.0017990597
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
U.S. Treasury 5 Year Note
U.S. Treasury 5 Year Note
2022-03-31
-67267759.817500000000
USD
4790.790000000000
N
N
N
N/A
N/A
LONG GILT FUTURE Mar22
N/A
-80.000000000000
NC
-37525.730000000000
-0.0140918366
N/A
DIR
GB
N
1
ICE Futures Europe Financials
549300UF4R84F48NCH34
Short
Long Gilt
Long Gilt
2022-03-29
-9964275.989999999999
GBP
-37525.730000000000
N
N
N
N/A
N/A
GBP/USD FWD 20220318
N/A
1.000000000000
NC
USD
-1801963.790000000000
-0.6766818197
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-59187000.000000000000
GBP
78283027.950000000000
USD
2022-03-18
-1801963.790000000000
N
N
N
N/A
N/A
GOLD 100 OZ FUTR Feb22
N/A
-75.000000000000
NC
USD
-361956.800000000000
-0.1359237003
N/A
DCO
US
N
1
Commodity Exchange, Inc.
N/A
Short
Gold
Gold
2022-02-24
-13352543.200000000000
USD
-361956.800000000000
N
N
N
N/A
N/A
DAX INDEX FUTURE Mar22
N/A
-19.000000000000
NC
-30652.470000000000
-0.0115107580
N/A
DE
DE
N
1
Eurex
529900UT4DG0LG5R9O07
Short
German Stock Index
GX_Index
2022-03-18
-7504676.390000000000
EUR
-30652.470000000000
N
N
N
N/A
N/A
HANG SENG IDX FUT Jan22
N/A
-186.000000000000
NC
-255511.000000000000
-0.0959506786
N/A
DE
HK
N
1
Hong Kong Futures Exchange
N/A
Short
Hang Seng Index
HI_Index
2022-01-28
-216101940.199999999999
HKD
-255511.000000000000
N
N
N
N/A
N/A
NY Harb ULSD Fut Feb22
N/A
122.000000000000
NC
USD
470226.360000000000
0.1765815888
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
NY Harbor ULSD
NY Harbor ULSD
2022-01-31
11444610.840000000000
USD
470226.360000000000
N
N
N
N/A
N/A
JPN 10Y BOND(OSE) Mar22
N/A
41.000000000000
NC
-157942.230000000000
-0.0593112005
N/A
DIR
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Long
Japanese 10 Year Government Bonds
Japanese 10 Year Government Bonds
2022-03-14
6233358094.999999999963
JPY
-157942.230000000000
N
N
N
N/A
N/A
JPY/USD FWD 20220318
N/A
1.000000000000
NC
USD
1855284.310000000000
0.6967049893
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-21259890000.000000000000
JPY
186799245.600000000000
USD
2022-03-18
1855284.310000000000
N
N
N
N/A
N/A
JPY/USD FWD 20220318
N/A
1.000000000000
NC
USD
-789023.210000000000
-0.2962976640
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-78661890.460000000000
USD
8951731000.000000000000
JPY
2022-03-18
-789023.210000000000
N
N
N
N/A
N/A
COFFEE 'C' FUTURE Mar22
N/A
93.000000000000
NC
USD
479010.790000000000
0.1798803588
N/A
DCO
US
N
1
ICE Futures US Softs
5493004R83R1LVX2IL36
Long
Arabica Coffee
Arabica Coffee
2022-03-21
7406226.710000000000
USD
479010.790000000000
N
N
N
N/A
N/A
KC HRW WHEAT FUT Mar22
N/A
106.000000000000
NC
USD
-142658.420000000000
-0.0535717531
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Hard Red Winter Wheat
Hard Red Winter Wheat
2022-03-14
4390608.420000000000
USD
-142658.420000000000
N
N
N
N/A
N/A
LME PRI ALUM FUTR Mar22
N/A
135.000000000000
NC
USD
611895.700000000000
0.2297819180
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
London Metal Exchange
213800NB8G5VRT1DXC91
Long
London Metals - Aluminum
London Metals - Aluminum
2022-03-14
8865104.300000000000
USD
611895.700000000000
N
N
N
N/A
N/A
LME PRI ALUM FUTR Mar22
N/A
-23.000000000000
NC
USD
-103275.140000000000
-0.0387823607
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
London Metal Exchange
213800NB8G5VRT1DXC91
Short
London Metals - Aluminum
London Metals - Aluminum
2022-03-14
-1511324.860000000000
USD
-103275.140000000000
N
N
N
N/A
N/A
LME COPPER FUTURE Mar22
N/A
30.000000000000
NC
USD
165665.100000000000
0.0622113285
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
London Metal Exchange
213800NB8G5VRT1DXC91
Long
London Metals - Copper
London Metals - Copper
2022-03-14
7132959.900000000000
USD
165665.100000000000
N
N
N
N/A
N/A
LME COPPER FUTURE Mar22
N/A
-14.000000000000
NC
USD
-61152.520000000000
-0.0229642786
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
London Metal Exchange
213800NB8G5VRT1DXC91
Short
London Metals - Copper
London Metals - Copper
2022-03-14
-3344872.480000000000
USD
-61152.520000000000
N
N
N
N/A
N/A
NATURAL GAS FUTR Feb22
N/A
56.000000000000
NC
USD
-30726.500000000000
-0.0115385581
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
Natural Gas
Natural Gas
2022-01-27
2119526.500000000000
USD
-30726.500000000000
N
N
N
N/A
N/A
NIKKEI 225 (OSE) Mar22
N/A
-80.000000000000
NC
-121477.790000000000
-0.0456179044
N/A
DE
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Short
Nikkei 225 Index
NK_Index
2022-03-10
-2288426410.000000000023
JPY
-121477.790000000000
N
N
N
N/A
N/A
NASDAQ 100 E-MINI Mar22
N/A
112.000000000000
NC
USD
260256.920000000000
0.0977328885
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Nasdaq 100 Index
NQ_Index
2022-03-18
36298223.080000000000
USD
260256.920000000000
N
N
N
N/A
N/A
NZD/USD FWD 20220318
N/A
1.000000000000
NC
USD
-294478.990000000000
-0.1105841194
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-37609000.000000000000
NZD
25431495.940000000000
USD
2022-03-18
-294478.990000000000
N
N
N
N/A
N/A
EURO-BOBL FUTURE Mar22
N/A
-1041.000000000000
NC
579757.200000000000
0.2177131190
N/A
DIR
DE
N
1
Eurex
529900UT4DG0LG5R9O07
Short
Euro-BOBL
Euro-BOBL
2022-03-08
-139212069.740000000000
EUR
579757.200000000000
N
N
N
N/A
N/A
COCOA FUTURE - IC Mar22
N/A
-40.000000000000
NC
-8234.430000000000
-0.0030922314
N/A
DCO
GB
N
1
ICE Futures Europe Commodities
549300UF4R84F48NCH34
Short
London Cocoa
London Cocoa
2022-03-16
-674316.380000000000
GBP
-8234.430000000000
N
N
N
N/A
N/A
Low Su Gasoil G Feb22
N/A
98.000000000000
NC
USD
191685.340000000000
0.0719825700
N/A
DCO
GB
N
1
ICE Futures Europe Commodities
549300UF4R84F48NCH34
Long
Low Sulphur Gas Oil
Low Sulphur Gas Oil
2022-02-10
6337564.660000000000
USD
191685.340000000000
N
N
N
N/A
N/A
E-Mini Russ 2000 Mar22
N/A
-258.000000000000
NC
USD
-788228.330000000000
-0.2959991669
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Russell 2000 Index
RTY_Index
2022-03-18
-28143891.670000000000
USD
-788228.330000000000
N
N
N
N/A
N/A
EURO-BUND FUTURE Mar22
N/A
45.000000000000
NC
-89576.340000000000
-0.0336381236
N/A
DIR
DE
N
1
Eurex
529900UT4DG0LG5R9O07
Long
Euro-Bund
Euro-Bund
2022-03-08
7790329.399999999999
EUR
-89576.340000000000
N
N
N
N/A
N/A
SOYBEAN FUTURE Mar22
N/A
-13.000000000000
NC
USD
-43130.160000000000
-0.0161964382
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Soybeans
Soybeans
2022-03-14
-827382.340000000000
USD
-43130.160000000000
N
N
N
N/A
N/A
SUGAR #11 (WORLD) Mar22
N/A
205.000000000000
NC
USD
-175874.050000000000
-0.0660450409
N/A
DCO
US
N
1
ICE Futures US Softs
5493004R83R1LVX2IL36
Long
Sugar #11
Sugar #11
2022-02-28
4510722.050000000000
USD
-175874.050000000000
N
N
N
N/A
N/A
SILVER FUTURE Mar22
N/A
-120.000000000000
NC
USD
-7480.400000000000
-0.0028090746
N/A
DCO
US
N
1
Commodity Exchange, Inc.
N/A
Short
Silver
Silver
2022-03-29
-14003719.600000000000
USD
-7480.400000000000
N
N
N
N/A
N/A
SOYBEAN MEAL FUTR Mar22
N/A
-67.000000000000
NC
USD
-321899.100000000000
-0.1208810465
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Soybean Meal
Soybean Meal
2022-03-14
-2352070.900000000000
USD
-321899.100000000000
N
N
N
N/A
N/A
TOPIX INDX FUTR Mar22
N/A
-32.000000000000
NC
-12967.630000000000
-0.0048696647
N/A
DE
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Short
TOPIX Index
TP_Index
2022-03-10
-635948333.000000000037
JPY
-12967.630000000000
N
N
N
N/A
N/A
US 2YR NOTE (CBT) Mar22
N/A
-3.000000000000
NC
USD
434.410000000000
0.0001631317
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
U.S. Treasury 2 Year Notes
U.S. Treasury 2 Year Notes
2022-03-31
-654950.035000000000
USD
434.410000000000
N
N
N
N/A
N/A
US 10YR NOTE (CBT)Mar22
N/A
-48.000000000000
NC
USD
-68665.960000000000
-0.0257857605
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
U.S. Treasury 10 Year Notes
U.S. Treasury 10 Year Notes
2022-03-22
-6193834.045000000000
USD
-68665.960000000000
N
N
N
N/A
N/A
US LONG BOND(CBT) Mar22
N/A
490.000000000000
NC
USD
-201400.740000000000
-0.0756309422
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
U.S. Treasury Long Bonds
U.S. Treasury Long Bonds
2022-03-22
78815775.752500000000
USD
-201400.740000000000
N
N
N
N/A
N/A
EURO STOXX 50 Mar22
N/A
287.000000000000
NC
400097.490000000000
0.1502464695
N/A
DE
DE
N
1
Eurex
529900UT4DG0LG5R9O07
Long
Euro STOXX 50 Quanto Index
VG_Index
2022-03-18
11953699.360000000000
EUR
400097.490000000000
N
N
N
N/A
N/A
WHEAT FUTURE(CBT) Mar22
N/A
160.000000000000
NC
USD
-376184.480000000000
-0.1412665448
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Wheat
Wheat
2022-03-14
6542184.480000000000
USD
-376184.480000000000
N
N
N
N/A
N/A
GASOLINE RBOB FUT Feb22
N/A
101.000000000000
NC
USD
100930.330000000000
0.0379018267
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
Reformulated Gasoline Blendstock
Reformulated Gasoline Blendstock
2022-01-31
9335822.870000000000
USD
100930.330000000000
N
N
N
N/A
N/A
AUST 10Y BOND FUT Mar22
N/A
-75.000000000000
NC
8695.060000000000
0.0032652094
N/A
DIR
AU
N
1
ASX Trade24
N/A
Short
Austrailian Government 10 Year Bonds
Austrailian Government 10 Year Bonds
2022-03-15
-10449503.415230400000
AUD
8695.060000000000
N
N
N
N/A
N/A
FTSE 100 IDX FUT Mar22
N/A
146.000000000000
NC
265141.770000000000
0.0995672701
N/A
DE
GB
N
1
ICE Futures Europe Financials
549300UF4R84F48NCH34
Long
FTSE 100 Index
Z_Index
2022-03-18
10497153.240000000000
GBP
265141.770000000000
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR1 Trust
00180AAA7
324688.460000000000
PA
USD
324615.050000000000
0.1219009527
Long
ABS-O
CORP
US
N
2
2037-04-17
Fixed
1.819000000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAY5
200000.000000000000
PA
USD
212105.040000000000
0.0796506707
Long
DBT
CORP
US
N
2
2026-05-14
Fixed
3.200000000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBM0
350000.000000000000
PA
USD
354916.190000000000
0.1332797777
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.300000000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBZ1
985000.000000000000
PA
USD
1022316.680000000000
0.3839051124
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
334053.820000000000
PA
USD
332549.940000000000
0.1248806995
Long
ABS-MBS
CORP
KY
N
2
2037-12-18
Floating
.933880000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAC9
700000.000000000000
PA
USD
730900.070000000000
0.2744709922
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
230609.320000000000
0.0865994839
Long
DBT
CORP
IE
N
2
2026-01-30
Fixed
1.750000000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAU9
1190000.000000000000
PA
USD
1188104.690000000000
0.4461625967
Long
DBT
CORP
IE
N
2
2024-10-29
Fixed
1.650000000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBC7
230000.000000000000
PA
USD
238225.790000000000
0.0894596562
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
158059.320000000000
0.0593551707
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
599277.960000000000
0.2250436456
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
1.260000000000
N
N
N
N
N
N
AMCOR FINANCE USA INC
549300ZMT7FVT8R77U18
Amcor Finance USA Inc
02343UAG0
515000.000000000000
PA
USD
547913.420000000000
0.2057549947
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
3.625000000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2014-SFR2 Trust
02665UAA3
384639.130000000000
PA
USD
399145.100000000000
0.1498888236
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
880000.000000000000
PA
USD
866995.890000000000
0.3255783273
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
1.300000000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-CCRE6 Mortgage Trust
12624XAD0
185000.000000000000
PA
USD
186857.880000000000
0.0701697398
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
1018024.100000000000
0.3822931428
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
192226.930000000000
0.0721859504
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
604466.160000000000
0.2269919426
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Variable
5.111304000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAA4
1000000.000000000000
PA
USD
999698.600000000000
0.3754114658
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.090000000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CF5
590000.000000000000
PA
USD
620170.210000000000
0.2328892004
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
120000.000000000000
PA
USD
121915.530000000000
0.0457822866
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.950000000000
N
N
N
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13645RBD5
575000.000000000000
PA
USD
575733.030000000000
0.2162019440
Long
DBT
CORP
CA
N
2
2024-12-02
Fixed
1.350000000000
N
N
N
N
N
N
CAPITAL ONE BANK USA NA
LKE37K2B8CFZUR7F9816
Capital One Bank USA NA
140420NB2
290000.000000000000
PA
USD
298039.360000000000
0.1119211260
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
660600.690000000000
PA
USD
665263.800000000000
0.2498229550
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
3.360000000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust 2021-4
14317JAD9
595000.000000000000
PA
USD
586682.260000000000
0.2203136497
Long
ABS-O
CORP
US
N
2
2026-09-15
Fixed
.560000000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust
14687KAC0
1230000.000000000000
PA
USD
1229228.050000000000
0.4616054320
Long
ABS-O
CORP
US
N
2
2027-01-11
Fixed
1.310000000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust
14687TAC1
900000.000000000000
PA
USD
893615.040000000000
0.3355744742
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
552839.950000000000
PA
USD
560006.190000000000
0.2102961279
Long
ABS-O
CORP
US
N
2
2023-08-15
Fixed
4.243000000000
N
N
N
N
N
N
N/A
N/A
LME ZINC FUTURE Mar22
N/A
-11.000000000000
NC
USD
-81541.730000000000
-0.0306209295
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
London Metal Exchange
213800NB8G5VRT1DXC91
Short
London Metals - Zinc
London Metals - Zinc
2022-03-14
-894158.270000000000
USD
-81541.730000000000
N
N
N
N/A
N/A
LME ZINC FUTURE Mar22
N/A
91.000000000000
NC
USD
605213.370000000000
0.2272725383
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
London Metal Exchange
213800NB8G5VRT1DXC91
Long
London Metals - Zinc
London Metals - Zinc
2022-03-14
7466486.630000000000
USD
605213.370000000000
N
N
N
N/A
N/A
MXN/USD FWD 20220318
N/A
1.000000000000
NC
USD
-7528.470000000000
-0.0028271261
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-10027000.000000000000
MXN
475531.040000000000
USD
2022-03-18
-7528.470000000000
N
N
N
N/A
N/A
MXN/USD FWD 20220318
N/A
1.000000000000
NC
USD
165248.370000000000
0.0620548361
N/A
DFE
US
N
2
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC.
549300HN4UKV1E2R3U73
-6445927.180000000000
USD
137230000.000000000000
MXN
2022-03-18
165248.370000000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LV1
495000.000000000000
PA
USD
495627.680000000000
0.1861204106
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
453393.320000000000
0.1702603673
Long
DBT
CORP
US
N
2
2024-06-01
Variable
4.044000000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MT5
965000.000000000000
PA
USD
958884.700000000000
0.3600848404
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
545763.600000000000
0.2049476843
Long
DBT
CORP
US
N
2
2025-05-01
Variable
.981000000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17327CAM5
350000.000000000000
PA
USD
341071.960000000000
0.1280809281
Long
DBT
CORP
US
N
2
2027-01-28
Variable
1.122000000000
N
N
N
N
N
N
CONAGRA BRANDS INC
54930035UDEIH090K650
Conagra Brands Inc
205887CG5
220000.000000000000
PA
USD
218127.550000000000
0.0819122716
Long
DBT
CORP
US
N
2
2023-08-11
Fixed
.500000000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R03
20754AAA1
1175000.000000000000
PA
USD
1174587.340000000000
0.4410864985
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
.900000000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
20754KAA9
813065.840000000000
PA
USD
813574.740000000000
0.3055173687
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
.950000000000
N
N
N
N
N
N
2022-02-22
LoCorr Investment Trust
Jon Essen
Jon Essen
Treasurer