0001752724-21-229703.txt : 20211028 0001752724-21-229703.hdr.sgml : 20211028 20211028112409 ACCESSION NUMBER: 0001752724-21-229703 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20210831 FILED AS OF DATE: 20211028 PERIOD START: 20210831 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MORGAN STANLEY PATHWAY FUNDS CENTRAL INDEX KEY: 0000875186 IRS NUMBER: 000000000 FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-06318 FILM NUMBER: 211356100 BUSINESS ADDRESS: STREET 1: 2000 WESTCHESTER AVENUE CITY: PURCHASE STATE: NY ZIP: 10577 BUSINESS PHONE: 8883749999 MAIL ADDRESS: STREET 1: 2000 WESTCHESTER AVENUE CITY: PURCHASE STATE: NY ZIP: 10577 FORMER COMPANY: FORMER CONFORMED NAME: CONSULTING GROUP CAPITAL MARKETS FUNDS DATE OF NAME CHANGE: 19950125 FORMER COMPANY: FORMER CONFORMED NAME: TRUST FOR TRAK INVESTMENTS DATE OF NAME CHANGE: 19920929 FORMER COMPANY: FORMER CONFORMED NAME: INSTITUTIONAL ADVISORS PORTFOLIOS DATE OF NAME CHANGE: 19600201 0000875186 S000052237 Ultra-Short Term Fixed Income Fund C000164313 Ultra-Short Term Fixed Income Fund TSDUX NPORT-P 1 primary_doc.xml NPORT-P false 0000875186 XXXXXXXX S000052237 C000164313 MORGAN STANLEY PATHWAY FUNDS 811-06318 0000875186 549300P3RUTI9W6SLI87 2000 Westchester Avenue NULL Purchase 10577 888-454-3965 Ultra-Short Term Fixed Income Fund S000052237 549300WRUOSKJP4FVL84 2021-08-31 2021-08-31 N 641266085.28 199451600.97 441814484.31 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 5770146.23000000 AUD CAD DKK EUR GBP JPY MXN MYR NZD USD N GSMBS 2021-RPL1 V/R 12/25/60 N/A GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021 SER 2021-RPL1 CL A1 V/R REGD 144A P/P 1.75000000 36261WAA5 2064146.89000000 NS USD 2099022.10000000 0.475091282549 Long ABS-CBDO CORP US Y 2 2060-12-25 Variable 1.75000000 N N N N N N FHLB 0.92% 02/26/27 N/A FEDERAL HOME LOAN BANKS 0.92000000 3130ALCE2 3400000.00000000 NS USD 3385506.72000000 0.766273365909 Long ABS-MBS USGA US N 2 2027-02-26 Fixed 0.92000000 N N N N N N FHLMC 0.6% 10/15/25 N/A FEDERAL HOME LOAN MORTGAGE CORP 0.60000000 3134GWYS9 3000000.00000000 NS USD 2991439.83000000 0.677080525024 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 0.60000000 N N N N N N BLACK 2017- V/R 01/20/32 /EUR/ N/A BLACK DIAMOND CLO LTD SER 2017-2A CL A1 V/R REGD 144A P/P /EUR/ 0.86000000 N/A 1000000.00000000 NS 1182225.92000000 0.267584237725 Long ABS-CBDO CORP IE Y 2 2032-01-20 Variable 0.86000000 N N N N N N SLMA 2003-10A A3 V/R 12/15/27 N/A SLM STUDENT LOAN TRUST 2003-10 SER 2003-10A CL A3 V/R 144A P/P 0.58888000 78442GJG2 79290.73000000 NS USD 79312.05000000 0.017951437269 Long ABS-CBDO CORP US Y 2 2027-12-15 Variable 0.58888000 N N N N N N HANA BANK 3.375% 01/30/22 N/A HANA BANK REGD REG S 3.37500000 Y46006AC9 1000000.00000000 NS USD 1012335.00000000 0.229131238551 Long DBT CORP KR N 2 2022-01-30 Fixed 3.37500000 N N N N N N SLCLT 2006-1 A5 V/R 06/15/18 N/A SLC STUDENT LOAN TRUST 2006-1 SER 2006-1 CL A5 V/R 0.22888000 784427AE6 436986.36000000 NS USD 436388.04000000 0.098771782161 Long ABS-CBDO CORP US N 2 2027-03-15 Variable 0.22888000 N N N N N N ANCHC 2015-6A AR V/R 07/15/30 N/A ANCHORAGE CAPITAL CLO 6 LTD SER 2015-6A CL ARR V/R REGD 144A P/P 1.17613000 03328QAY7 2000000.00000000 NS USD 2001344.00000000 0.452982885594 Long ABS-CBDO CORP KY Y 2 2030-07-15 Variable 1.17613000 N N N N N N GLGE 6A A V/R 10/15/32 /EUR/ N/A MAN GLG EURO CLO SER 6A CL A V/R REGD 144A P/P /EUR/ 0.90000000 N/A 250000.00000000 NS 294929.54000000 0.066754158243 Long ABS-CBDO CORP IE Y 2 2032-10-15 Variable 0.90000000 N N N N N N QNB FINANCE LTD V/R 05/02/22 N/A QNB FINANCE LTD REGD V/R EMTN 1.12575000 G7302VHR8 1000000.00000000 NS USD 1005000.00000000 0.227471039472 Long DBT CORP KY N 2 2022-05-02 Variable 1.12575000 N N N N N N FHLB 0.85% 02/17/27 N/A FEDERAL HOME LOAN BANKS 0.85000000 3130AL2X1 3900000.00000000 NS USD 3874189.18000000 0.876881432724 Long ABS-MBS USGA US N 2 2027-02-17 Fixed 0.85000000 N N N N N N GCAR 2020-3A A 0.69% 10/16/23 N/A GLS AUTO RECEIVABLES ISSUER TRUST 2020-3 SER 2020-3A CL A REGD 144A P/P 0.69000000 36260CAA0 411470.30000000 NS USD 411909.34000000 0.093231289291 Long ABS-CBDO CORP US Y 2 2023-10-16 Fixed 0.69000000 N N N N N N CASH COLLATERAL CME WFS N/A CASH COLLATERAL CME WFS -0.02000000 N/A 151000.00000000 NS USD 151000.00000000 0.034177240756 Long STIV CORP US N 2 2049-12-31 Floating -0.02000000 N N N N N N MF1 2021-FL5 A V/R 07/15/36 N/A MF1 MULTIFAMILY HOUSING MORTGAGE LOAN SER 2021-FL5 CL A V/R REGD 144A P/P 1.01448000 55282XAA8 1800000.00000000 NS USD 1804921.65000000 0.408524779991 Long ABS-CBDO CORP KY Y 2 2036-07-15 Variable 1.01448000 N N N N N N LENNAR CORP 5.375% 10/01/22 529900G61XVRLX5TJX09 LENNAR CORP REGD SER WI 5.37500000 526057CP7 700000.00000000 NS USD 737270.80000000 0.166873388307 Long DBT CORP US N 2 2022-10-01 Fixed 5.37500000 N N N N N N NRZT 2018-3A A1 V/R 05/25/58 N/A NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3 SER 2018-3A CL A1 V/R REGD 144A P/P 4.50000000 64830KAA5 272411.54000000 NS USD 295266.00000000 0.066830312378 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 4.50000000 N N N N N N GNR 2020-17 EU 2.5% 10/20/49 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-17 CL EU 2.50000000 38382CP47 135026.44000000 NS USD 141659.40000000 0.032063095491 Long ABS-CBDO CORP US N 2 2049-10-20 Fixed 2.50000000 N N N N N N PHEAA 2006-2 A3 V/R 10/25/36 N/A PENNSYLVANIA HIGHER EDUCATION ASSISTANCE AGENCY SER 2006-2 CL A3 V/R 0.25525000 709163GH6 408170.07000000 NS USD 403733.22000000 0.091380711664 Long ABS-CBDO CORP US N 2 2036-10-25 Variable 0.25525000 N N N N N N OCP 2015-9A A1R V/R 07/15/27 N/A OCP CLO 2015-9 LTD SER 2015-9A CL A1R V/R REGD 144A P/P 0.92613000 67091YAJ3 136209.67000000 NS USD 136243.56000000 0.030837277825 Long ABS-CBDO CORP KY Y 2 2027-07-15 Variable 0.92613000 N N N N N N VENTR 2017-26A A V/R 01/20/29 N/A VENTURE XXVI CLO LTD SER 2017-26A CL AR V/R REGD 144A P/P 1.23425000 92331MAE8 600000.00000000 NS USD 600306.60000000 0.135873001297 Long ABS-CBDO CORP KY Y 2 2029-01-20 Variable 1.23425000 N N N N N N DANSKE BANK A/S V/R 09/12/23 MAES062Z21O4RZ2U7M96 DANSKE BANK A/S REGD V/R REG S EMTN 1.17900000 23636BAP4 500000.00000000 NS USD 505628.58000000 0.114443640477 Long DBT CORP DK N 2 2023-09-12 Variable 1.17900000 N N N N N N SLCLT 2007-1 A4 V/R 05/15/19 N/A SLC STUDENT LOAN TRUST 2007-1 SER 2007-1 CL A4 V/R 0.18475000 784424AD5 473835.78000000 NS USD 471220.87000000 0.106655822009 Long ABS-CBDO CORP US N 2 2029-05-15 Variable 0.18475000 N N N N N N GSMBS 2021-INV1 V/R 12/25/51 N/A GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1 SER 2021-INV1 CL A9 V/R REGD 144A P/P 0.90000000 36263KAJ0 300000.00000000 NS USD 299861.01000000 0.067870343922 Long ABS-CBDO CORP US Y 3 2051-12-25 Variable 0.90000000 N N N N N N BARCLAYS PLC V/R 05/16/24 213800LBQA1Y9L22JB70 BARCLAYS PLC REGD V/R MTN 1.50475000 06738EBC8 500000.00000000 NS USD 508844.36000000 0.115171498008 Long DBT CORP GB N 2 2024-05-16 Variable 1.50475000 N N N N N N ATCLO 2018-9A A V/R 04/20/28 N/A ATLAS SENIOR LOAN FUND IX LTD SER 2018-9A CL A V/R REGD 144A P/P 1.00425000 04941VAC9 275943.36000000 NS USD 276086.27000000 0.062489184896 Long ABS-CBDO CORP KY Y 2 2028-04-20 Variable 1.00425000 N N N N N N VOLKSWAGEN F V/R 09/14/22/AUD/ N/A VOLKSWAGEN FIN SERV AUST /AUD/ REGD V/R REG S MTN 1.32430000 Q9T89AEW9 710000.00000000 NS 523415.01000000 0.118469409353 Long DBT CORP AU N 2 2022-09-14 Variable 1.32430000 N N N N N N VM CASH CCP CME BCY N/A VM CASH CCP CME BCY 0.00000000 N/A 43690.00000000 NS USD 43690.00000000 0.009888765885 Long CORP US N 2 N N N N/A N/A AUD/USD FWD 20211005 000005198 USD N/A 1.00000000 NC N/A -62941.75000000 -0.01424619432 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL N/A -10511289.00000000 AUD 7628175.92000000 USD 2021-10-05 -62941.75000000 N N N FHLB 1% 07/27/26 N/A FEDERAL HOME LOAN BANKS SER 0004 1.00000000 3130ANED8 2600000.00000000 NS USD 2600285.06000000 0.588546811465 Long ABS-MBS USGA US N 2 2026-07-27 Fixed 1.00000000 N N N N N N AIRCASTLE LTD 5% 04/01/23 N/A AIRCASTLE LTD REGD 5.00000000 00928QAP6 200000.00000000 NS USD 213177.67000000 0.048250493718 Long DBT CORP US N 2 2023-04-01 Fixed 5.00000000 N N N N N N DEUTSCHE BANK NY V/R 02/27/23 N/A DEUTSCHE BANK NY REGD V/R 1.35375000 251526BS7 400000.00000000 NS USD 404250.04000000 0.091497688363 Long DBT CORP US N 2 2023-02-27 Variable 1.35375000 N N N N N N CITIGROUP INC V/R 07/24/23 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD V/R 1.07525000 172967LN9 1500000.00000000 NS USD 1510065.75000000 0.341787289377 Long DBT CORP US N 2 2023-07-24 Variable 1.07525000 N N N N N N CSMC 2019-RPL9 A V/R 10/27/59 N/A CSMC 2019-RPL9 TRUST SER 2019-RPL9 CL A1 V/R REGD 144A P/P 2.97589500 12654WAC7 881661.87000000 NS USD 889021.10000000 0.201220451472 Long ABS-CBDO CORP US Y 2 2059-10-27 Variable 2.97589500 N N N N N N GNR 2016-H11 F V/R 05/20/66 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2016-H11 CL F V/R 0.90288000 38375UXM7 132944.61000000 NS USD 134861.92000000 0.030524558335 Long ABS-CBDO CORP US N 2 2066-05-20 Variable 0.90288000 N N N N N N DRYD 2017-5 V/R 05/15/34 /EUR/ N/A DRYDEN 52 EURO CLO 2017 DAC SER 2017-52A CL AR V/R REGD 144A P/P /EUR/ 0.86000000 N/A 1500000.00000000 NS 1769009.72000000 0.400396497358 Long ABS-CBDO CORP IE Y 2 2034-05-15 Variable 0.86000000 N N N N N N AMMC 2015-16A AR V/R 04/14/29 N/A AMMC CLO 16 LTD SER 2015-16A CL AR2 V/R REGD 144A P/P 1.11288000 00176JAT3 184960.69000000 NS USD 185059.46000000 0.041886236547 Long ABS-CBDO CORP KY Y 2 2029-04-14 Variable 1.11288000 N N N N N N CATLK 2015-2A A1 V/R 07/16/29 N/A CATHEDRAL LAKE CLO 2015-2 LTD SER 2015-2A CL A1RR V/R REGD 144A P/P 0.97613000 14918MAW3 564424.24000000 NS USD 564747.66000000 0.127824614188 Long ABS-CBDO CORP KY Y 2 2029-07-16 Variable 0.97613000 N N N N N N LAUR 2016-1 V/R 10/20/31 /EUR/ N/A LAURELIN 2016-1 DAC SER 2016-1A CL ARR V/R REGD 144A P/P /EUR/ 0.72000000 N/A 1700000.00000000 NS 2002287.69000000 0.453196479768 Long ABS-CBDO CORP IE Y 2 2031-10-20 Variable 0.72000000 N N N N N N CASH COLLATERAL ISDA BOS N/A CASH COLLATERAL ISDA BOS -0.02000000 N/A -790000.00000000 NS USD -790000.00000000 -0.17880808077 Short STIV CORP US N 2 2049-12-31 Floating -0.02000000 N N N N N N GCOLT 20 0.561% 11/22/21 /CAD/ 549300KHZQ7YBTEOJU80 GMF CANADA LEASING TRUST SER 2020-1A CL A1 REGD 144A P/P /CAD/ 0.56100000 36252MBS8 10213.39000000 NS 8097.21000000 0.001832717189 Long ABS-CBDO CORP CA Y 2 2022-07-20 Fixed 0.56100000 N N N N N N GENERAL MOTORS FI V/R 11/06/21 N/A GENERAL MOTORS FINL CO REGD V/R 1.22175000 37045XCN4 2400000.00000000 NS USD 2404520.69000000 0.544237632624 Long DBT CORP US N 2 2021-11-06 Variable 1.22175000 N N N N N N SMI 2019-1A V/R 01/21/70 /GBP/ N/A SILVERSTONE MASTER ISSUER PLC SER 2019-1A CL 2A V/R REGD 144A P/P /GBP/ 0.80054000 G8T62FAV8 528000.00000000 NS 733778.89000000 0.166083031692 Long ABS-CBDO CORP GB Y 2 2070-01-21 Variable 0.80054000 N N N N N N BARCLAYS PLC V/R 06/15/23/AUD/ 213800LBQA1Y9L22JB70 BARCLAYS PLC /AUD/ REGD V/R REG S 1.82430000 Q1298KAB2 1250000.00000000 NS 936232.53000000 0.211906255509 Long DBT CORP GB N 2 2023-06-15 Variable 1.82430000 N N N N N N MITSUBISHI HC 2.652% 09/19/22 353800MZ3QX9RLMH7B09 MITSUBISHI HC CAPITAL REGD 144A P/P 2.65200000 60682LAA0 500000.00000000 NS USD 511005.38000000 0.115660621855 Long DBT CORP JP Y 2 2022-09-19 Fixed 2.65200000 N N N N N N LWMC 2017-F V/R 11/15/49 /GBP/ N/A LONDON WALL MORTGAGE CAPITAL PLC SER 2017-FL1 CL A V/R REGD /GBP/ 0.92063000 G56926AL5 198913.39000000 NS 274292.40000000 0.062083161539 Long ABS-CBDO CORP GB N 2 2049-11-15 Variable 0.92063000 N N N N N N OCP 2015-10A A1R V/R 10/26/27 N/A OCP CLO 2015-10 LTD SER 2015-10A CL A1R V/R REGD 144A P/P 0.94525000 67092DAL3 256658.45000000 NS USD 257038.20000000 0.058177857251 Long ABS-CBDO CORP KY Y 2 2027-10-26 Variable 0.94525000 N N N N N N CITIGROUP INC V/R 05/17/24 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD V/R 1.22425000 172967LL3 500000.00000000 NS USD 507611.06000000 0.114892353697 Long DBT CORP US N 2 2024-05-17 Variable 1.22425000 N N N N N N NAVSL 2020-A A1 V/R 06/15/22 N/A NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2 SER 2020-A CL A1 V/R REGD 144A P/P 0.44550000 63941FAA4 122170.60000000 NS USD 122179.47000000 0.027654020938 Long ABS-CBDO CORP US Y 2 2068-11-15 Variable 0.44550000 N N N N N N DILSK 2 A V/R 12/20/57 /EUR/ N/A DILOSK RMBS NO. 2 DAC SER 2 CL A V/R REGD REG S /EUR/ 0.20700000 G2R62HAA5 640563.39000000 NS 758017.49000000 0.171569180486 Long ABS-CBDO CORP IE N 2 2057-12-20 Variable 0.20700000 N N N N N N DEUTSCHE BANK 0.898% 05/28/24 N/A DEUTSCHE BANK NY REGD 0.89800000 251526CJ6 300000.00000000 NS USD 300213.53000000 0.067950133067 Long DBT CORP US N 2 2024-05-28 Fixed 0.89800000 N N N N N N GNR 2021-97 FA V/R 06/20/51 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-97 CL FA V/R 0.45000000 38382VER6 4074295.34000000 NS USD 4068417.35000000 0.920842909067 Long ABS-CBDO CORP US N 2 2051-06-20 Variable 0.45000000 N N N N N N VENTR 2019-36A A V/R 04/20/32 N/A VENTURE 36 CLO LTD SER 2019-36A CL A1AR V/R REGD 144A P/P 1.26425000 92332LAU3 1000000.00000000 NS USD 1000753.00000000 0.226509776283 Long ABS-CBDO CORP KY Y 2 2032-04-20 Variable 1.26425000 N N N N N N BSABS 2005-CL1 A V/R 09/25/34 N/A BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005-CL1 SER 2005-CL1 CL A2 V/R REGD 0.58438000 073879V21 563243.77000000 NS USD 546154.84000000 0.123616327530 Long ABS-CBDO CORP US N 2 2034-09-25 Variable 0.58438000 N N N N N N FHR 4344 FA V/R 12/15/37 N/A FREDDIE MAC REMICS SER 4344 CL FA V/R 0.55025000 3137BAJK9 859523.28000000 NS USD 858902.45000000 0.194403416026 Long ABS-CBDO CORP US N 2 2037-12-15 Variable 0.55025000 N N N N N N GENERAL MOTORS FI V/R 01/14/22 N/A GENERAL MOTORS FINL CO REGD V/R SER FRN 1.68288000 37045XBR6 500000.00000000 NS USD 502511.34000000 0.113738086424 Long DBT CORP US N 2 2022-01-14 Variable 1.68288000 N N N N N N WELLS FAR 2.509% 10/27/23/CAD/ PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY /CAD/ REGD P/P SER MPLE 2.50900000 949746SG7 5200000.00000000 NS 4252453.60000000 0.962497552935 Long DBT CORP US N 2 2023-10-27 Fixed 2.50900000 N N N N N N WFRBS 2012-C10 A V/R 09/15/22 N/A WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10 SER 2012-C10 CL AFL V/R REGD 144A P/P 0.88275000 92890NAZ2 597641.49000000 NS USD 598680.49000000 0.135504948629 Long ABS-CBDO CORP US Y 2 2045-12-15 Variable 0.88275000 N N N N N N RELIANCE INDUSTR 5.4% 02/14/22 5493003UOETFYRONLG31 RELIANCE INDUSTRIES LTD REGD REG S 5.40000000 Y72570AP2 400000.00000000 NS USD 408228.30000000 0.092398125117 Long DBT CORP IN N 2 2022-02-14 Fixed 5.40000000 N N N N N N AVIATION CAPIT 2.875% 01/20/22 N/A AVIATION CAPITAL GROUP REGD 144A P/P 2.87500000 05367AAJ2 1550000.00000000 NS USD 1560721.66000000 0.353252714753 Long DBT CORP US Y 2 2022-01-20 Fixed 2.87500000 N N N N N N FHLMC 0.8% 10/28/26 N/A FEDERAL HOME LOAN MORTGAGE CORP 0.80000000 3134GW6C5 5000000.00000000 NS USD 4993930.55000000 1.130322958469 Long ABS-MBS USGA US N 2 2026-10-28 Fixed 0.80000000 N N N N N N GOLDMAN SACH V/R 05/02/24/AUD/ 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC /AUD/ REGD V/R REG S MTN 1.56900000 Q4164JAE4 1000000.00000000 NS 751608.06000000 0.170118474312 Long DBT CORP US N 2 2024-05-02 Variable 1.56900000 N N N N N N NISSAN MOTOR ACCE V/R 01/13/22 N/A NISSAN MOTOR ACCEPTANCE REGD V/R 144A P/P MTN 1.01863000 654740AW9 500000.00000000 NS USD 500879.08000000 0.113368641768 Long DBT CORP US Y 2 2022-01-13 Variable 1.01863000 N N N N N N GFUND 2017-1A A1 V/R 09/19/22 N/A GOSFORTH FUNDING 2017-1 PLC SER 2017-1A CL A1A V/R REGD 144A P/P 0.60450000 383121AA8 2589.00000000 NS USD 2592.91000000 0.000586877545 Long ABS-CBDO CORP GB Y 2 2059-12-19 Variable 0.60450000 N N N N N N CSMC 2021-RPL4 A V/R 12/27/60 N/A CSMC 2021-RPL4 TRUST SER 2021-RPL4 CL A1 V/R REGD 144A P/P 1.79561000 12662GAC2 962660.54000000 NS USD 968287.29000000 0.219161508820 Long ABS-CBDO CORP US Y 2 2060-12-27 Variable 1.79561000 N N N N N N ECMC 2018-1A A V/R 02/25/30 N/A ECMC GROUP STUDENT LOAN TRUST 2018-1 SER 2018-1A CL A V/R 144A P/P 0.83438000 26828HAA5 503607.65000000 NS USD 504779.95000000 0.114251562120 Long ABS-CBDO CORP US Y 2 2068-02-27 Variable 0.83438000 N N N N N N GNR 2017-H15 FE V/R 07/20/67 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-H15 CL FE V/R 1.04688000 38376R6F8 1522841.13000000 NS USD 1548081.16000000 0.350391672291 Long ABS-CBDO CORP US N 2 2067-07-20 Variable 1.04688000 N N N N N N CSMC 2019-RPL8 A V/R 10/25/58 N/A CSMC 2019-RPL8 TRUST SER 2019-RPL8 CL A1 V/R REGD 144A P/P 3.32200000 12596YAC4 240944.74000000 NS USD 242688.48000000 0.054929951058 Long ABS-CBDO CORP US Y 2 2058-10-25 Variable 3.32200000 N N N N N N NORDEA BANK ABP V/R 08/30/23 529900ODI3047E2LIV03 NORDEA BANK ABP REGD V/R 144A P/P 1.06075000 65557CAZ6 1200000.00000000 NS USD 1216435.94000000 0.275327311167 Long DBT CORP FI Y 2 2023-08-30 Variable 1.06075000 N N N N N N PSTET 2021- V/R 04/15/31 /EUR/ N/A PALMER SQUARE EUROPEAN LOAN FUNDING SER 2021-1A CL A V/R REGD 144A P/P /EUR/ 0.00000000 N/A 500000.00000000 NS 590502.45000000 0.133653936430 Long ABS-CBDO CORP IE Y 2 2031-04-15 Variable 0.00000000 N N N N N N NSLT 2019-3A A V/R 09/25/28 N/A NELNET STUDENT LOAN TRUST 2019-3 SER 2019-3A CL A V/R 144A P/P 0.88438000 64031DAA8 1015556.35000000 NS USD 1013848.08000000 0.229473708084 Long ABS-CBDO CORP US Y 2 2067-08-25 Variable 0.88438000 N N N N N N ESA 2021-ESH A V/R 07/15/26 N/A EXTENDED STAY AMERICA TRUST 2021-ESH SER 2021-ESH CL A V/R REGD 144A P/P 1.17600000 30227FAA8 2100000.00000000 NS USD 2109993.27000000 0.477574489957 Long ABS-CBDO CORP US Y 2 2038-07-15 Variable 1.17600000 N N N N N N NRZT 2019-RPL3 A V/R 07/25/59 N/A NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 SER 2019-RPL3 CL A1 V/R REGD 144A P/P 2.75000000 64830NAA9 2253672.35000000 NS USD 2340636.83000000 0.529778201739 Long ABS-CBDO CORP US Y 2 2059-07-25 Variable 2.75000000 N N N N N N UMBS P#SD8012 4% 09/01/49 N/A FREDDIE MAC POOL UMBS P#SD8012 4.00000000 3132DV3V5 632093.89000000 NS USD 676456.75000000 0.153108776199 Long ABS-MBS USGA US N 2 2049-09-01 Fixed 4.00000000 N N N N N N WFRBS 2012-C7 AF V/R 06/15/45 N/A WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7 SER 2012-C7 CL AFL V/R REGD 1.29275000 92936TAH5 1279795.19000000 NS USD 1278902.79000000 0.289466016940 Long ABS-CBDO CORP US Y 2 2045-06-15 Variable 1.29275000 N N N N N N N/A N/A AUD/USD FWD 20210902 000003731 USD N/A 1.00000000 NC N/A 3967.78000000 0.000898064717 N/A DFE N/A N 2 STANDARD CHARTERED BANK (THAI) 549300O1LQYCQ7G1IM57 -509000.00000000 AUD 376326.61000000 USD 2021-09-02 3967.78000000 N N N IMPERIAL BRANDS 3.75% 07/21/22 N/A IMPERIAL BRANDS FIN PLC REGD P/P 3.75000000 453140AE5 2700000.00000000 NS USD 2757791.04000000 0.624196611459 Long DBT CORP GB Y 2 2022-07-21 Fixed 3.75000000 N N N N N N NISSAN MOTOR ACCE V/R 09/28/22 N/A NISSAN MOTOR ACCEPTANCE REGD V/R 144A P/P MTN 0.83600000 654740BE8 2400000.00000000 NS USD 2405794.42000000 0.544525927835 Long DBT CORP US Y 2 2022-09-28 Variable 0.83600000 N N N N N N N/A N/A EUR/USD FWD 20210902 000003731 USD N/A 1.00000000 NC N/A 100944.95000000 0.022847813637 N/A DFE N/A N 2 STANDARD CHARTERED BANK (THAI) 549300O1LQYCQ7G1IM57 -17618000.00000000 EUR 20903406.58000000 USD 2021-09-02 100944.95000000 N N N CREDIT SUISSE GRO V/R 06/12/24 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG REGD V/R 144A P/P 1.35900000 225401AH1 2000000.00000000 NS USD 2026473.96000000 0.458670784224 Long DBT CORP CH Y 2 2024-06-12 Variable 1.35900000 N N N N N N KOREA SOUTHE V/R 10/30/24/AUD/ N/A KOREA SOUTHERN POWER /AUD/ REGD V/R 0.99050000 Q53555AA8 400000.00000000 NS 296191.27000000 0.067039737382 Long DBT CORP KR N 2 2024-10-30 Variable 0.99050000 N N N N N N BRUEG 2021- V/R 08/22/26 /EUR/ N/A BRUEGEL 2021 DAC SER 2021-1A CL A V/R REGD 144A P/P /EUR/ 0.80000000 N/A 2000000.00000000 NS 2363017.23000000 0.534843766765 Long ABS-CBDO CORP IE Y 2 2031-05-22 Variable 0.80000000 N N N N N N EXPORT-IMPORT BAN V/R 06/01/23 N/A EXPORT-IMPORT BANK KOREA REGD V/R 0.90963000 302154CU1 1500000.00000000 NS USD 1514522.24000000 0.342795968395 Long DBT USGA KR N 2 2023-06-01 Variable 0.90963000 N N N N N N DRYD 2017-2 V/R 04/15/33 /EUR/ N/A DRYDEN XXVII-R EURO CLO 2017 BV SER 2017-27A CL AR V/R REGD 144A P/P /EUR/ 0.66000000 N/A 1300000.00000000 NS 1540379.62000000 0.348648510789 Long ABS-CBDO CORP NL Y 2 2033-04-15 Variable 0.66000000 N N N N N N TPMT 2018-3 A1 V/R 05/25/58 N/A TOWD POINT MORTGAGE TRUST 2018-3 SER 2018-3 CL A1 V/R REGD 144A P/P 3.75000000 89175MAA1 576752.80000000 NS USD 602856.69000000 0.136450186992 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 3.75000000 N N N N N N BAMLL 2019-AHT A V/R 03/15/21 N/A BAMLL COMMERCIAL MORTGAGE SECURITIES TRUS SER 2019-AHT CL A V/R REGD 144A P/P 1.29600000 05525DAA4 500000.00000000 NS USD 500897.30000000 0.113372765671 Long ABS-CBDO CORP US Y 2 2034-03-15 Variable 1.29600000 N N N N N N UMBS P#SD0251 4% 06/01/49 N/A FREDDIE MAC POOL UMBS P#SD0251 4.00000000 3132DMH40 110646.22000000 NS USD 118416.30000000 0.026802267513 Long ABS-MBS USGA US N 2 2049-06-01 Fixed 4.00000000 N N N N N N HARVT 21A A V/R 07/15/31 /EUR/ N/A HARVEST CLO XXI DAC SER 21A CL A1R V/R REGD 144A P/P /EUR/ 0.76000000 N/A 500000.00000000 NS 591067.15000000 0.133781750257 Long ABS-CBDO CORP IE Y 2 2031-07-15 Variable 0.76000000 N N N N N N A10 2020-C A 2.021% 08/15/40 N/A A10 BRIDGE ASSET FINANCING 2020-C LLC SER 2020-C CL A REGD 144A P/P 2.02100000 66981EAA1 1199912.03000000 NS USD 1206781.83000000 0.273142206255 Long ABS-CBDO CORP US Y 2 2040-08-15 Fixed 2.02100000 N N N N N N MF1 2019-FL2 A V/R 09/25/24 N/A MF1 2019-FL2 LTD SER 2019-FL2 CL A V/R REGD 144A P/P 1.29448000 55282LAA4 369757.29000000 NS USD 370396.21000000 0.083835234731 Long ABS-CBDO CORP KY Y 2 2034-12-25 Variable 1.29448000 N N N N N N AT&T INC 2.85% 05/25/24/CAD/ 549300Z40J86GGSTL398 AT&T INC /CAD/ REGD P/P SER MPLE 2.85000000 00206RDW9 1000000.00000000 NS 825981.21000000 0.186952044202 Long DBT CORP US N 2 2024-05-25 Fixed 2.85000000 N N N N N N FSQ 2019-1 V/R 06/16/69 /GBP/ N/A FINSBURY SQUARE 2019-1 PLC SER 2019-1 CL A V/R REGD REG S /GBP/ 1.05188000 G345ACAA2 783617.52000000 NS 1080834.26000000 0.244635316039 Long ABS-CBDO CORP GB N 2 2069-06-16 Variable 1.05188000 N N N N N N FSQ 2021-1G V/R 12/16/67 /GBP/ N/A FINSBURY SQUARE SER 2021-1GRA CL AGRN V/R REGD 144A P/P /GBP/ 0.00000000 N/A 3000000.00000000 NS 4139773.71000000 0.936993660691 Long ABS-CBDO CORP GB Y 2 2067-12-16 Variable 0.00000000 N N N N N N FSQ 2020-1A V/R 03/16/70 /GBP/ N/A FINSBURY SQUARE 2020-1 PLC SER 2020-1A CL A V/R REGD 144A P/P /GBP/ 0.85032000 N/A 2192146.00000000 NS 3027416.26000000 0.685223406545 Long ABS-CBDO CORP GB Y 2 2070-03-16 Variable 0.85032000 N N N N N N AVIATION CAPIT 3.875% 05/01/23 N/A AVIATION CAPITAL GROUP REGD 144A P/P 3.87500000 05369AAC5 1000000.00000000 NS USD 1046343.51000000 0.236828702353 Long DBT CORP US Y 2 2023-05-01 Fixed 3.87500000 N N N N N N QNB FINANCE V/R 02/01/23/AUD/ N/A QNB FINANCE LTD /AUD/ REGD V/R MTN 1.76900000 Q7S88XAB5 500000.00000000 NS 370973.29000000 0.083965850639 Long DBT CORP KY N 2 2023-02-01 Variable 1.76900000 N N N N N N BOC AVIATION LT 2.75% 09/18/22 N/A BOC AVIATION LTD REGD 144A P/P MTN 2.75000000 09681LAD2 200000.00000000 NS USD 203532.16000000 0.046067335324 Long DBT CORP SG Y 2 2022-09-18 Fixed 2.75000000 N N N N N N FHLB 0.9% 02/26/27 N/A FEDERAL HOME LOAN BANKS 0.90000000 3130AL5A8 5000000.00000000 NS USD 4993179.25000000 1.130152909721 Long ABS-MBS USGA US N 2 2027-02-26 Fixed 0.90000000 N N N N N N SMB 2021-D A1A 1.34% 08/15/30 N/A SMB PRIVATE EDUCATION LOAN TRUST 2021-D SER 2021-D CL A1A REGD 144A P/P 1.34000000 78449MAA4 400000.00000000 NS USD 401337.72000000 0.090838515769 Long ABS-CBDO CORP US Y 2 2053-03-17 Fixed 1.34000000 N N N N N N PARK AEROSPACE H 4.5% 03/15/23 N/A PARK AEROSPACE HOLDINGS REGD 144A P/P 4.50000000 70014LAC4 1000000.00000000 NS USD 1049742.29000000 0.237597979984 Long DBT CORP IE Y 2 2023-03-15 Fixed 4.50000000 N N N N N N TPMF 2019-G V/R 10/20/51 /GBP/ N/A TOWD POINT MORTGAGE FUNDING 2019 - GRAN SER 2019-GR4X CL A1 V/R REGD REG S /GBP/ 1.09713000 N/A 483234.26000000 NS 671262.19000000 0.151933042903 Long ABS-CBDO CORP GB N 2 2051-10-20 Variable 1.09713000 N N N N N N EFSV 2010-1 A2 V/R 07/25/27 N/A EFS VOLUNTEER LLC SER 2010-1 CL A2 V/R 0.97525000 26844VAB2 146212.88000000 NS USD 146769.12000000 0.033219626158 Long ABS-CBDO CORP US Y 2 2035-10-25 Variable 0.97525000 N N N N N N FHLB 0.75% 02/24/26 N/A FEDERAL HOME LOAN BANKS 0.75000000 3130ALCV4 3200000.00000000 NS USD 3200918.75000000 0.724493846099 Long ABS-MBS USGA US N 2 2026-02-24 Fixed 0.75000000 N N N N N N LENNAR CORP 4.75% 11/15/22 529900G61XVRLX5TJX09 LENNAR CORP REGD SER WI 4.75000000 526057BN3 700000.00000000 NS USD 727125.00000000 0.164576994603 Long DBT CORP US N 2 2022-11-15 Fixed 4.75000000 N N N N N N GENERAL MOTORS CO V/R 09/10/21 54930070NSV60J38I987 GENERAL MOTORS CO REGD V/R 1.02800000 37045VAR1 200000.00000000 NS USD 200032.63000000 0.045275254004 Long DBT CORP US N 2 2021-09-10 Variable 1.02800000 N N N N N N N/A N/A MXN/USD FWD 20211005 000004066 USD N/A 1.00000000 NC N/A 2160.13000000 0.000488922404 N/A DFE N/A N 2 BNP-PARIBAS SA (FORMERLY BANQU R0MUWSFPU8MPRO8K5P83 -353913.69000000 USD 7185000.00000000 MXN 2021-10-05 2160.13000000 N N N GATX CORP V/R 11/05/21 549300IHYHCQP2PIR591 GATX CORP REGD V/R 0.84138000 361448BB8 800000.00000000 NS USD 800769.38000000 0.181245615170 Long DBT CORP US N 2 2021-11-05 Variable 0.84138000 N N N N N N SPRINT CORP 7.25% 09/15/21 N/A SPRINT CORP REGD SER WI 7.25000000 85207UAE5 400000.00000000 NS USD 401380.00000000 0.090848085396 Long DBT CORP US N 2 2021-09-15 Fixed 7.25000000 N N N N N N ALLY FINANCIAL 4.125% 02/13/22 549300JBN1OSM8YNAI90 ALLY FINANCIAL INC REGD 4.12500000 02005NAY6 500000.00000000 NS USD 508368.29000000 0.115063744637 Long DBT CORP US N 2 2022-02-13 Fixed 4.12500000 N N N N N N AERCAP IRELAND 4.45% 12/16/21 N/A AERCAP IRELAND CAP/GLOBA REGD 4.45000000 00774MAH8 500000.00000000 NS USD 504133.11000000 0.114105156780 Long DBT CORP IE N 2 2021-12-16 Fixed 4.45000000 N N N N N N BOC AVIATION LTD 3% 05/23/22 N/A BOC AVIATION LTD REGD REG S MTN SER GMTN 3.00000000 Y09292AA4 1200000.00000000 NS USD 1214196.00000000 0.274820324620 Long DBT CORP SG N 2 2022-05-23 Fixed 3.00000000 N N N N N N ORIX CORP 2.9% 07/18/22 35380016EMHNBOVYE123 ORIX CORP REGD 2.90000000 686330AH4 400000.00000000 NS USD 408939.58000000 0.092559115765 Long DBT CORP JP N 2 2022-07-18 Fixed 2.90000000 N N N N N N VW CREDIT 2.65% 06/27/22/CAD/ N/A VW CREDIT CANADA INC /CAD/ REGD REG S P/P 2.65000000 918423AU8 4000000.00000000 NS 3223699.71000000 0.729650073612 Long DBT CORP CA N 2 2022-06-27 Fixed 2.65000000 N N N N N N SANTANDER HOLDI 4.45% 12/03/21 N/A SANTANDER HOLDINGS USA REGD 4.45000000 80282KAU0 2000000.00000000 NS USD 2013564.02000000 0.455748756889 Long DBT CORP US N 2 2021-12-03 Fixed 4.45000000 N N N N N N N/A N/A CAD/USD FWD 20210902 000004066 USD N/A 1.00000000 NC N/A 167974.55000000 0.038019249247 N/A DFE N/A N 2 BNP-PARIBAS SA (FORMERLY BANQU R0MUWSFPU8MPRO8K5P83 -20272010.00000000 CAD 16238377.66000000 USD 2021-09-02 167974.55000000 N N N GNR 2016-H06 FD V/R 07/20/65 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2016-H06 CL FD V/R 1.02288000 38376RSG2 1921028.41000000 NS USD 1952979.92000000 0.442036191513 Long ABS-CBDO CORP US N 2 2065-07-20 Variable 1.02288000 N N N N N N QNB FINANCE LTD V/R 12/06/21 N/A QNB FINANCE LTD REGD V/R P/P EMTN 1.45075000 G7302VHA5 800000.00000000 NS USD 800358.50000000 0.181152616861 Long DBT CORP KY N 2 2021-12-06 Variable 1.45075000 N N N N N N NHEL 2005-4 M1 V/R 01/25/36 N/A NOVASTAR MORTGAGE FUNDING TRUST SERIES 2005-4 SER 2005-4 CL M1 V/R REGD 0.74438000 66987WDE4 261971.57000000 NS USD 260972.70000000 0.059068389395 Long ABS-CBDO CORP US N 2 2036-01-25 Variable 0.74438000 N N N N N N ORIX CORP 3.2% 01/19/22 35380016EMHNBOVYE123 ORIX CORP REGD REG S 3.20000000 J6S01ADW0 200000.00000000 NS USD 202066.00000000 0.045735485633 Long DBT CORP JP N 2 2022-01-19 Fixed 3.20000000 N N N N N N FIRST ABU DHABI B V/R 04/16/22 2138002Y3WMK6RZS8H90 FIRST ABU DHABI BANK PJS REGD V/R EMTN 1.07638000 M4289C3U5 1500000.00000000 NS USD 1505625.00000000 0.340782172941 Long DBT CORP AE N 2 2022-04-16 Variable 1.07638000 N N N N N N BOC AVIATION LTD V/R 09/26/23 N/A BOC AVIATION LTD REGD V/R 144A P/P MTN 1.27100000 09681LAH3 400000.00000000 NS USD 400596.00000000 0.090670635351 Long DBT CORP SG Y 2 2023-09-26 Variable 1.27100000 N N N N N N BANCO SANTANDER C V/R 11/28/21 N/A BANCO SANTANDER CHILE REGD V/R EMTN 1.32075000 P1506AUV7 800000.00000000 NS USD 801388.67000000 0.181385784862 Long DBT CORP CL N 2 2021-11-28 Variable 1.32075000 N N N N N N F/C US 10YR ULTRA FUT DEC21 N/A FUTURE CONTRACT ON US 10YR ULTRA FUT DEC21 0.00000000 N/A -146.00000000 NC USD -21610281.25000000 -4.89125685495 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Short F/C US 10YR ULTRA FUT DEC21 US 10YR ULTRA FUT DEC21 2021-12-21 21695726.21000000 USD 85444.96000000 N N N SLMA 2008-5 A4 V/R 07/25/23 N/A SLMA 2008-5 A4 V/R 07/25/23 1.82525000 78444YAD7 418659.19000000 NS USD 422990.14000000 0.095739310281 Long ABS-CBDO CORP US N 2 2023-07-25 Variable 1.82525000 N N N N N N HYUNDAI CAPITAL 1.25% 09/18/23 N/A HYUNDAI CAPITAL AMERICA REGD 144A P/P 1.25000000 44891ABM8 1500000.00000000 NS USD 1514326.53000000 0.342751671522 Long DBT CORP US Y 2 2023-09-18 Fixed 1.25000000 N N N N N N GSMS 2014-GC1 3.648% 10/10/23 N/A GS MORTGAGE SECURITIES TRUST 2014-GC18 SER 2014-GC18 CL AAB REGD 3.64800000 36252RAQ2 237797.57000000 NS USD 245914.96000000 0.055660230420 Long ABS-CBDO CORP US N 2 2047-01-10 Fixed 3.64800000 N N N N N N TPMT 2017-5 A1 V/R 02/25/57 N/A TOWD POINT MORTGAGE TRUST 2017-5 SER 2017-5 CL A1 V/R REGD 144A P/P 0.68438000 89169EAA7 429186.42000000 NS USD 429682.39000000 0.097254029747 Long ABS-CBDO CORP US Y 2 2057-02-25 Variable 0.68438000 N N N N N N TPMT 2019-HY2 A1 V/R 05/25/58 N/A TOWD POINT MORTGAGE TRUST 2019-HY2 SER 2019-HY2 CL A1 V/R REGD 144A P/P 1.08438000 89177HAA0 378031.16000000 NS USD 381042.48000000 0.086244904486 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 1.08438000 N N N N N N SLMA 2008-8 A4 V/R 01/25/17 N/A SLM STUDENT LOAN TRUST 2008-8 SER 2008-8 CL A4 V/R 1.62525000 78445GAD5 97150.32000000 NS USD 97787.76000000 0.022133217328 Long ABS-CBDO CORP US N 2 2023-04-25 Variable 1.62525000 N N N N N N IBRD 0.85% 02/10/27 N/A INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT MTN SER GDIF 0.85000000 459058JT1 3800000.00000000 NS USD 3745529.66000000 0.847760721527 Long DBT USGA US N 2 2027-02-10 Fixed 0.85000000 N N N N N N CNHC 202 0.386% 03/15/24 /CAD/ N/A CNH CAPITAL CANADA RECEIVABLES TRUST SER 2021-1A CL A1 REGD 144A P/P /CAD/ 0.38600000 12614ADE7 1504605.83000000 NS 1192525.21000000 0.269915372254 Long ABS-CBDO CORP CA Y 2 2024-03-15 Fixed 0.38600000 N N N N N N FORD MOTOR CRE 2.979% 08/03/22 N/A FORD MOTOR CREDIT CO LLC REGD 2.97900000 345397YQ0 500000.00000000 NS USD 507975.00000000 0.114974727637 Long DBT CORP US N 2 2022-08-03 Fixed 2.97900000 N N N N N N GOLDMAN SACHS GRO V/R 03/08/23 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R SER * 0.44076000 38141GXV1 700000.00000000 NS USD 700356.36000000 0.158518198219 Long DBT CORP US N 2 2023-03-08 Variable 0.44076000 N N N N N N SYNNEX CORP 1.25% 08/09/24 5493004HI6PFLF46NS53 SYNNEX CORP REGD 144A P/P 1.25000000 87162WAC4 800000.00000000 NS USD 800650.34000000 0.181218671735 Long DBT CORP US Y 2 2024-08-09 Fixed 1.25000000 N N N N N N N/A N/A MXN/USD FWD 20210903 000006219 USD N/A 1.00000000 NC N/A 16018.18000000 0.003625544333 N/A DFE N/A N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 -341664.53000000 USD 7185000.00000000 MXN 2021-09-03 16018.18000000 N N N PACIFIC GAS & ELE V/R 11/15/21 N/A PACIFIC GAS & ELECTRIC REGD V/R 1.49975000 694308JR9 500000.00000000 PA USD 500670.00000000 0.113321318738 Long DBT CORP US N 2 2021-11-15 Variable 1.49975000 N N N N N N FHLB 1.02% 02/24/27 N/A FEDERAL HOME LOAN BANKS 1.02000000 3130ALED2 5500000.00000000 NS USD 5489461.23000000 1.242481046897 Long ABS-MBS USGA US N 2 2027-02-24 Fixed 1.02000000 N N N N N N PFP 2021-7 A V/R 04/14/38 N/A PFP 2021-7 LTD SER 2021-7 CL A V/R REGD 144A P/P 0.94550000 69290LAA5 499975.05000000 NS USD 499060.10000000 0.112956935031 Long ABS-CBDO CORP KY Y 2 2038-04-14 Variable 0.94550000 N N N N N N NOMURA HOLDING 1.851% 07/16/25 549300B3CEAHYG7K8164 NOMURA HOLDINGS INC REGD 1.85100000 65535HAR0 1100000.00000000 NS USD 1125255.97000000 0.254689696685 Long DBT CORP JP N 2 2025-07-16 Fixed 1.85100000 N N N N N N PFSFC 2019-A A1 V/R 04/15/22 N/A PFS FINANCING CORP SER 2019-A CL A1 V/R REGD 144A P/P 0.64550000 69335PDD4 1200000.00000000 NS USD 1202952.84000000 0.272275555175 Long ABS-CBDO CORP US Y 2 2024-04-15 Variable 0.64550000 N N N N N N DRSLF 2014-36A A V/R 04/15/29 N/A DRYDEN 36 SENIOR LOAN FUND SER 2014-36A CL AR3 V/R REGD 144A P/P 1.14613000 26249KAZ4 592960.81000000 NS USD 593403.75000000 0.134310614765 Long ABS-CBDO CORP KY Y 2 2029-04-15 Variable 1.14613000 N N N N N N NSLT 2017-3A A V/R 06/25/37 N/A NELNET STUDENT LOAN TRUST 2017-3 SER 2017-3A CL A V/R 144A P/P 0.93438000 64032KAA1 1018449.47000000 NS USD 1028894.48000000 0.232879300371 Long ABS-CBDO CORP US Y 2 2066-02-25 Variable 0.93438000 N N N N N N N/A N/A GBP/USD FWD 20210902 000004334 USD N/A 1.00000000 NC N/A 478.91000000 0.000108396174 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -504091.09000000 USD 367000.00000000 GBP 2021-09-02 478.91000000 N N N PFSFC 2020-F A 0.93% 08/15/22 N/A PFS FINANCING CORP SER 2020-F CL A REGD 144A P/P 0.93000000 69335PDV4 400000.00000000 NS USD 402085.28000000 0.091007718008 Long ABS-CBDO CORP US Y 2 2024-08-15 Fixed 0.93000000 N N N N N N FHLB 0.96% 03/05/26 N/A FEDERAL HOME LOAN BANKS 0.96000000 3130ALHH0 3400000.00000000 NS USD 3400351.87000000 0.769633407404 Long ABS-MBS USGA US N 2 2026-03-05 Fixed 0.96000000 N N N N N N BANCO SANTAN V/R 01/19/23/AUD/ 5493006QMFDDMYWIAM13 BANCO SANTANDER SA /AUD/ REGD V/R REG S EMTN 1.67520000 E2R99CMR5 400000.00000000 NS 296883.55000000 0.067196427582 Long DBT CORP ES N 2 2023-01-19 Variable 1.67520000 N N N N N N F/C US 2YR NOTE (CBT) DEC21 N/A FUTURE CONTRACT ON US 2YR NOTE (CBT) DEC21 0.00000000 N/A -46.00000000 NC USD -10135093.80000000 -2.29397046948 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Short F/C US 2YR NOTE (CBT) DEC21 US 2YR NOTE (CBT) DEC21 2021-12-31 10128172.09000000 USD -6921.71000000 N N N AIRCASTLE LTD 4.4% 09/25/23 N/A AIRCASTLE LTD REGD 4.40000000 00928QAR2 800000.00000000 NS USD 853722.75000000 0.193231046133 Long DBT CORP US N 2 2023-09-25 Fixed 4.40000000 N N N N N N RMS 31 A V/R 09/20/21 /GBP/ N/A RESIDENTIAL MORTGAGE SECURITIES 31 PLC SER 31 CL A V/R REGD REG S /GBP/ 1.28113000 G75252AA7 276612.47000000 NS 380616.31000000 0.086148445448 Long ABS-CBDO CORP GB N 2 2065-09-20 Variable 1.28113000 N N N N N N LLOYDS BANKI V/R 03/20/23/AUD/ 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC /AUD/ REGD V/R MTN 1.32810000 G55365DZ3 1500000.00000000 NS 1113439.80000000 0.252015232533 Long DBT CORP GB N 2 2023-03-20 Variable 1.32810000 N N N N N N PACIFIC LIFE GF I V/R 06/04/26 6354003EUPCHXTWUU869 PACIFIC LIFE GF II REGD V/R 144A P/P 0.63000000 6944PL2G3 400000.00000000 NS USD 402128.05000000 0.091017398541 Long DBT CORP US Y 2 2026-06-04 Variable 0.63000000 N N N N N N SLMA 2005-5 A4 V/R 10/25/28 N/A SLM STUDENT LOAN TRUST 2005-5 SER 2005-5 CL A4 V/R 0.26525000 78442GPQ3 618223.92000000 NS USD 615550.29000000 0.139323248073 Long ABS-CBDO CORP US N 2 2028-10-25 Variable 0.26525000 N N N N N N N/A N/A CAD/USD FWD 20210902 000005198 USD N/A 1.00000000 NC N/A -11417.71000000 -0.00258427697 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL N/A -16081820.82000000 USD 20272010.00000000 CAD 2021-09-02 -11417.71000000 N N N VODAFONE GRO V/R 12/13/22/AUD/ 213800TB53ELEUKM7Q61 VODAFONE GROUP PLC /AUD/ REGD V/R REG S MTN 1.07430000 G9T75SRT0 1780000.00000000 NS 1308968.15000000 0.296270990763 Long DBT CORP GB N 2 2022-12-13 Variable 1.07430000 N N N N N N AOZORA BANK 2.55% 09/09/22 X0XUGKC9FD2CYUQNC010 AOZORA BANK REGD REG S 2.55000000 J0172K8K6 700000.00000000 NS USD 712915.53000000 0.161360832502 Long DBT CORP JP N 2 2022-09-09 Fixed 2.55000000 N N N N N N UBS AG AUSTR V/R 07/30/25/AUD/ N/A UBS AG AUSTRALIA /AUD/ REGD V/R REG S SER . 0.89050000 Q9T799BR8 5100000.00000000 NS 3798263.29000000 0.859696416683 Long DBT CORP AU N 2 2025-07-30 Variable 0.89050000 N N N N N N SMBC AVIATION CAPI 3% 07/15/22 N/A SMBC AVIATION CAPITAL FI REGD REG S 3.00000000 G82296AB3 400000.00000000 NS USD 407961.82000000 0.092337810209 Long DBT CORP IE N 2 2022-07-15 Fixed 3.00000000 N N N N N N F/C US 5YR NOTE (CBT) DEC21 N/A FUTURE CONTRACT ON US 5YR NOTE (CBT) DEC21 0.00000000 N/A -559.00000000 NC USD -69158781.25000000 -15.6533530941 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Short F/C US 5YR NOTE (CBT) DEC21 US 5YR NOTE (CBT) DEC21 2021-12-31 69118429.52000000 USD -40351.73000000 N N N NRZT 2018-RPL1 A V/R 12/25/57 N/A NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1 SER 2018-RPL1 CL A1 V/R REGD 144A P/P 3.50000000 64829VAA4 96701.72000000 NS USD 99761.09000000 0.022579859543 Long ABS-CBDO CORP US Y 2 2057-12-25 Variable 3.50000000 N N N N N N MCMLT 2019-GS2 A V/R 08/25/59 N/A MILL CITY MORTGAGE LOAN TRUST 2019-GS2 SER 2019-GS2 CL A1 V/R REGD 144A P/P 2.75000000 59981TAC9 957202.93000000 NS USD 983205.16000000 0.222538009711 Long ABS-CBDO CORP US Y 2 2059-08-25 Variable 2.75000000 N N N N N N FNMA 0.875% 12/18/26 N/A FEDERAL NATIONAL MORTGAGE ASSOCIATION 0.87500000 3135G06L2 4000000.00000000 NS USD 3983452.52000000 0.901612025287 Long ABS-MBS USGSE US N 2 2026-12-18 Fixed 0.87500000 N N N N N N GNR 2020-21 AC 2.5% 01/20/49 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-21 CL AC 2.50000000 38382DMC0 98570.87000000 NS USD 103575.85000000 0.023443289814 Long ABS-CBDO CORP US N 2 2049-01-20 Fixed 2.50000000 N N N N N N SLMA 2008-7 A4 V/R 07/25/23 N/A SLM STUDENT LOAN TRUST 2008-7 SER 2008-7 CL A4 V/R 1.02525000 78445FAD7 633547.12000000 NS USD 631499.31000000 0.142933138777 Long ABS-CBDO CORP US N 2 2023-07-25 Variable 1.02525000 N N N N N N HARLEY-DAVIDSON 4.05% 02/04/22 N/A HARLEY-DAVIDSON FINL SER REGD 144A P/P 4.05000000 41283LAU9 700000.00000000 NS USD 710748.47000000 0.160870341566 Long DBT CORP US Y 2 2022-02-04 Fixed 4.05000000 N N N N N N MVW 2015-10A AR V/R 10/13/27 N/A MOUNTAIN VIEW CLO X LTD SER 2015-10A CL AR V/R REGD 144A P/P 0.94863000 62432CAQ4 1119354.18000000 NS USD 1119586.89000000 0.253406560843 Long ABS-CBDO CORP KY Y 2 2027-10-13 Variable 0.94863000 N N N N N N MF1 2020-FL3 A V/R 07/15/35 N/A MF1 2020-FL3 LTD SER 2020-FL3 CL A V/R REGD 144A P/P 2.21448000 59319WAA9 671793.31000000 NS USD 679553.93000000 0.153809789885 Long ABS-CBDO CORP US Y 2 2035-07-15 Variable 2.21448000 N N N N N N DTAOT 2020-3A 0.54% 05/16/22 N/A DT AUTO OWNER TRUST 2020-3 SER 2020-3A CL A REGD 144A P/P 0.54000000 26253AAA4 86268.29000000 NS USD 86372.31000000 0.019549451877 Long ABS-CBDO CORP US Y 2 2024-04-15 Fixed 0.54000000 N N N N N N LENNAR CORP 4.125% 01/15/22 529900G61XVRLX5TJX09 LENNAR CORP REGD 4.12500000 526057BY9 700000.00000000 NS USD 703885.00000000 0.159316868277 Long DBT CORP US N 2 2022-01-15 Fixed 4.12500000 N N N N N N CIT GROUP INC 5% 08/15/22 N8O96ZZJQRFYQUJY7K79 CIT GROUP INC REGD 5.00000000 125581GQ5 2004000.00000000 NS USD 2086063.80000000 0.472158309444 Long DBT CORP US N 2 2022-08-15 Fixed 5.00000000 N N N N N N MCMLT 2021-NMR1 V/R 11/25/60 N/A MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 SER 2021-NMR1 CL A1 V/R REGD 144A P/P 1.12500000 59982HAC4 805695.13000000 NS USD 810646.61000000 0.183481220916 Long ABS-CBDO CORP US Y 2 2060-11-25 Variable 1.12500000 N N N N N N CASH COLL ISDA V/R 12/31/49 N/A CASH COLLATERAL ISDA BPS USD -0.02000000 N/A -270000.00000000 NS USD -270000.00000000 -0.06111162254 Short STIV CORP US N 2 2049-12-31 Floating -0.02000000 N N N N N N CSMC 2021-INV1 A V/R 07/25/56 N/A CSMC 2021-INV1TRUST SER 2021-INV1 CL A11 V/R REGD 144A P/P 0.85000000 12661XBC5 300000.00000000 NS USD 299943.93000000 0.067889111980 Long ABS-CBDO CORP US Y 3 2056-07-25 Variable 0.85000000 N N N N N N ING GROEP NV V/R 04/01/27 549300NYKK9MWM7GGW15 ING GROEP NV REGD V/R 1.02308000 456837AX1 900000.00000000 NS USD 911788.39000000 0.206373584927 Long DBT CORP NL N 2 2027-04-01 Variable 1.02308000 N N N N N N BOMFT 2019-SBR1 V/R 06/28/34 N/A BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST SER 2019-SBR1 CL A1 V/R REGD 144A P/P 3.47480000 07333YAA6 60124.16000000 NS USD 60579.05000000 0.013711422361 Long ABS-CBDO CORP US Y 2 2034-06-28 Variable 3.47480000 N N N N N N PACIFIC GAS & E 3.85% 11/15/23 N/A PACIFIC GAS & ELECTRIC REGD 3.85000000 694308HE0 500000.00000000 NS USD 520862.97000000 0.117891782297 Long DBT CORP US N 2 2023-11-15 Fixed 3.85000000 N N N N N N STATE BANK INDIA/L 4% 01/24/22 N/A STATE BANK INDIA/LONDON REGD 144A P/P 4.00000000 85628UAH9 1000000.00000000 NS USD 1013170.00000000 0.229320231902 Long DBT CORP GB Y 2 2022-01-24 Fixed 4.00000000 N N N N N N WFCM 2013-LC12 A V/R 06/15/23 N/A WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12 SER 2013-LC12 CL A4 V/R REGD 4.21800000 94988QAG6 400000.00000000 NS USD 421822.76000000 0.095475086259 Long ABS-CBDO CORP US N 2 2046-07-15 Variable 4.21800000 N N N N N N CREDIT AGRICOLE L V/R 03/22/24 N/A CREDIT AGRICOLE LONDON REGD V/R REG S EMTN 1.18488000 G2551UYM1 1000000.00000000 NS USD 1012371.33000000 0.229139461459 Long DBT CORP GB N 2 2024-03-22 Variable 1.18488000 N N N N N N UMBS P#SD8006 4% 08/01/49 N/A FREDDIE MAC POOL UMBS P#SD8006 4.00000000 3132DV3P8 872345.11000000 NS USD 933394.98000000 0.211264006307 Long ABS-MBS USGA US N 2 2049-08-01 Fixed 4.00000000 N N N N N N GSTNE 2019-FL2 A V/R 08/15/23 N/A GREYSTONE CRE NOTES 2019-FL2 LTD SER 2019-FL2 CL A V/R REGD 144A P/P 1.27550000 39809LAA2 1000000.00000000 NS USD 1001191.85000000 0.226609105304 Long ABS-CBDO CORP KY Y 2 2037-09-15 Variable 1.27550000 N N N N N N FORD MOTOR CRE 5.596% 01/07/22 N/A FORD MOTOR CREDIT CO LLC REGD 5.59600000 345397ZM8 800000.00000000 NS USD 811480.00000000 0.183669849861 Long DBT CORP US N 2 2022-01-07 Fixed 5.59600000 N N N N N N BWAY 2021-1450 A V/R 09/15/23 N/A BWAY 2021-1450 MORTGAGE TRUST SER 2021-1450 CL A V/R REGD 144A P/P 1.33700000 12430YAA8 2000000.00000000 NS USD 1999654.68000000 0.452600526015 Long ABS-CBDO CORP US Y 2 2036-09-15 Variable 1.33700000 N N N N N N DEUTSCHE BAN V/R 01/30/23/AUD/ N/A DEUTSCHE BANK AG SYDNEY /AUD/ REGD V/R EMTN 1.42050000 Q3R7A3AB0 500000.00000000 NS 369413.44000000 0.083612795215 Long DBT CORP AU N 2 2023-01-30 Variable 1.42050000 N N N N N N HOF 2020-2 A1 V/R 05/25/65 N/A HOMEWARD OPPORTUNITIES FUND I TRUST 2020-2 SER 2020-2 CL A1 V/R REGD 144A P/P 1.65700000 43789XAA2 279946.75000000 NS USD 281703.36000000 0.063760553355 Long ABS-CBDO CORP US Y 2 2065-05-25 Variable 1.65700000 N N N N N N FINA 2004-2 M1 V/R 08/25/34 N/A FINANCE AMERICA MORTGAGE LOAN TRUST 2004-2 SER 2004-2 CL M1 V/R REGD 0.90938000 317350BD7 185444.01000000 NS USD 184735.85000000 0.041812990872 Long ABS-CBDO CORP US N 2 2034-08-25 Variable 0.90938000 N N N N N N JPMCC 2019-FL12 V/R 04/15/21 N/A JP MORGAN CHASE COMMERCIAL MORTGAGE SE SER 2019-FL12 CL A V/R REGD 144A P/P 1.54550000 46651QAA5 354951.44000000 NS USD 353070.41000000 0.079913724546 Long ABS-CBDO CORP US Y 2 2031-12-15 Variable 1.54550000 N N N N N N TRINI 2021- V/R 07/15/59 /GBP/ N/A TRINITY SQUARE 2021-1 PLC SER 2021-1A CL A V/R REGD 144A P/P /GBP/ 0.90054000 N/A 1570922.86000000 NS 2167541.23000000 0.490599857400 Long ABS-CBDO CORP GB Y 2 2059-07-15 Variable 0.90054000 N N N N N N US CASH MGMT BILL ZCP 12/28/21 N/A UNITED STATES CASH MANAGEMENT BILL ZCP 0.00000000 912796P86 8000000.00000000 PA USD 7998741.34000000 1.810429857792 Long STIV UST US N 2 2021-12-28 Fixed 0.00000000 N N N N N N MVEW 2017-1A AR V/R 10/16/29 N/A MOUNTAIN VIEW CLO 2017-1 LLC SER 2017-1A CL AR V/R REGD 144A P/P 1.21638000 62432HAJ9 800000.00000000 NS USD 800211.28000000 0.181119295183 Long ABS-CBDO CORP KY Y 2 2029-10-16 Variable 1.21638000 N N N N N N N/A N/A MXN/USD FWD 20210903 000004066 USD N/A 1.00000000 NC N/A -2230.01000000 -0.00050473899 N/A DFE N/A N 2 BNP-PARIBAS SA (FORMERLY BANQU R0MUWSFPU8MPRO8K5P83 -7185000.00000000 MXN 355452.70000000 USD 2021-09-03 -2230.01000000 N N N FORD MOTOR CRED 3.35% 11/01/22 N/A FORD MOTOR CREDIT CO LLC REGD SER FXD 3.35000000 345397ZU0 900000.00000000 NS USD 920925.00000000 0.208441559230 Long DBT CORP US N 2 2022-11-01 Fixed 3.35000000 N N N N N N AT&T INC V/R 09/19/23/AUD/ 549300Z40J86GGSTL398 AT&T INC /AUD/ REGD V/R 1.27810000 Q0646VAB9 3300000.00000000 NS 2443605.21000000 0.553083997193 Long DBT CORP US N 2 2023-09-19 Variable 1.27810000 N N N N N N DORPK 2015-1A AR V/R 04/20/28 N/A DORCHESTER PARK CLO DAC SER 2015-1A CL AR V/R REGD 144A P/P 1.03425000 25820NAA2 219275.23000000 NS USD 219497.75000000 0.049680976472 Long ABS-CBDO CORP IE Y 2 2028-04-20 Variable 1.03425000 N N N N N N PARK AEROSPACE 5.25% 08/15/22 N/A PARK AEROSPACE HOLDINGS REGD 144A P/P 5.25000000 70014LAA8 1769000.00000000 NS USD 1839305.63000000 0.416307227426 Long DBT CORP IE Y 2 2022-08-15 Fixed 5.25000000 N N N N N N CHARTER COMM OPT V/R 02/01/24 N/A CHARTER COMM OPT LLC/CAP REGD V/R 1.77575000 161175BP8 4000000.00000000 NS USD 4110536.64000000 0.930376161483 Long DBT CORP US N 2 2024-02-01 Variable 1.77575000 N N N N N N HYUNDAI CAPITAL 0.8% 04/03/23 N/A HYUNDAI CAPITAL AMERICA REGD 144A P/P MTN 0.80000000 44891ABU0 1500000.00000000 NS USD 1502000.42000000 0.339961787886 Long DBT CORP US Y 2 2023-04-03 Fixed 0.80000000 N N N N N N HYUNDAI CAPITAL 5.75% 04/06/23 N/A HYUNDAI CAPITAL AMERICA REGD 144A P/P 5.75000000 44891ABJ5 1000000.00000000 NS USD 1078680.02000000 0.244147726773 Long DBT CORP US Y 2 2023-04-06 Fixed 5.75000000 N N N N N N SMBC AVIATION C 3.55% 04/15/24 N/A SMBC AVIATION CAPITAL FI REGD 144A P/P 3.55000000 78448TAE2 700000.00000000 NS USD 744261.55000000 0.168455670067 Long DBT CORP IE Y 2 2024-04-15 Fixed 3.55000000 N N N N N N CASH COLLATERAL CME WFS N/A CASH COLLATERAL CME WFS /CCWFSXUS7 -0.02000000 N/A 1145000.00000000 NS USD 1145000.00000000 0.259158547458 Long STIV CORP US N 2 2049-12-31 Floating -0.02000000 N N N N N N LPCC 2018-1 A V/R 08/20/24 N/A LP CREDIT CARD ABS MASTER TRUST SER 2018-1 CL A V/R REGD 1.66113000 50214FAA1 777513.42000000 NS USD 779644.12000000 0.176464137706 Long ABS-CBDO CORP US Y 2 2024-08-20 Variable 1.66113000 N N N N N N BANK OF AMER V/R 03/15/23/CAD/ N/A BANK OF AMERICA CORP /CAD/ REGD V/R MTN SER MPLE 2.60400000 060505EZ3 3500000.00000000 NS 2806528.60000000 0.635227838757 Long DBT CORP US N 2 2023-03-15 Variable 2.60400000 N N N N N N TPMT 2020-2 A1A V/R 04/25/60 N/A TOWD POINT MORTGAGE TRUST 2020-2 SER 2020-2 CL A1A V/R REGD 144A P/P 1.63600000 89176UAN4 2815346.68000000 NS USD 2845921.91000000 0.644144094651 Long ABS-CBDO CORP US Y 2 2060-04-25 Variable 1.63600000 N N N N N N JUBIL 2015- V/R 12/15/29 /EUR/ N/A JUBILEE CLO 2015-XVI BV SER 2015-16A CL A1R V/R REGD 144A P/P /EUR/ 0.25200000 N/A 1972599.50000000 NS 2320091.21000000 0.525127919611 Long ABS-CBDO CORP NL Y 2 2029-12-15 Variable 0.25200000 N N N N N N IMM 2004-10 1A1 V/R 03/25/35 N/A IMPAC CMB TRUST SERIES 2004-10 SER 2004-10 CL 1A1 V/R REGD 0.72438000 45254NLJ4 104539.48000000 NS USD 102960.94000000 0.023304111489 Long ABS-CBDO CORP US N 2 2035-03-25 Variable 0.72438000 N N N N N N FHR 4351 FA V/R 05/15/38 N/A FREDDIE MAC REMICS SER 4351 CL FA V/R 0.55025000 3137BBQ37 1167250.00000000 NS USD 1162483.77000000 0.263115812469 Long ABS-CBDO CORP US N 2 2038-05-15 Variable 0.55025000 N N N N N N N/A N/A AUD/USD FWD 20211005 000003731 USD N/A 1.00000000 NC N/A -2682.35000000 -0.00060712133 N/A DFE N/A N 2 STANDARD CHARTERED BANK (THAI) 549300O1LQYCQ7G1IM57 -2013000.00000000 AUD 1470231.19000000 USD 2021-10-05 -2682.35000000 N N N BOEING CO 1.875% 06/15/23 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 1.87500000 097023BQ7 100000.00000000 NS USD 101653.50000000 0.023008186379 Long DBT CORP US N 2 2023-06-15 Fixed 1.87500000 N N N N N N ECMC 2017-2A A V/R 05/25/67 N/A ECMC GROUP STUDENT LOAN TRUST 2017-2 SER 2017-2A CL A V/R 144A P/P 1.13438000 26828VAA4 600524.84000000 NS USD 613455.34000000 0.138849078467 Long ABS-CBDO CORP US Y 2 2067-05-25 Variable 1.13438000 N N N N N N SMI 2019-1A 1A V/R 01/21/70 N/A SILVERSTONE MASTER ISSUER PLC SER 2019-1A CL 1A V/R REGD 144A P/P 0.70425000 82846GAV2 110000.00000000 NS USD 110060.45000000 0.024911009916 Long ABS-CBDO CORP GB Y 2 2070-01-21 Variable 0.70425000 N N N N N N N/A N/A EUR/USD FWD 20210902 000004334 USD N/A 1.00000000 NC N/A 1220.76000000 0.000276306016 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -474621.68000000 USD 403000.00000000 EUR 2021-09-02 1220.76000000 N N N SMB 2020-PTA A2 1.6% 09/15/54 N/A SMB PRIVATE EDUCATION LOAN TRUST 2020-PT-A SER 2020-PTA CL A2A REGD 144A P/P 1.60000000 78449VAB2 500000.00000000 NS USD 507708.90000000 0.114914498738 Long ABS-CBDO CORP US Y 2 2054-09-15 Fixed 1.60000000 N N N N N N BOC AVIATION U 1.625% 04/29/24 N/A BOC AVIATION USA CORP REGD 144A P/P MTN 1.62500000 66980P2A6 600000.00000000 NS USD 606511.64000000 0.137277445973 Long DBT CORP US Y 2 2024-04-29 Fixed 1.62500000 N N N N N N ISRAEL ELECTRI 6.875% 06/21/23 N/A ISRAEL ELECTRIC CORP LTD REGD REG S 6.87500000 46507NAE0 400000.00000000 NS USD 442931.60000000 0.100252847231 Long DBT CORP IL N 2 2023-06-21 Fixed 6.87500000 N N N N N N CIFC 2017-4A A1R V/R 10/24/30 N/A CIFC FUNDING 2017-IV LTD SER 2017-4A CL A1R V/R REGD 144A P/P 1.07525000 12551JAL0 1800000.00000000 NS USD 1801551.60000000 0.407762005089 Long ABS-CBDO CORP KY Y 2 2030-10-24 Variable 1.07525000 N N N N N N NYMT 2021-SP1 1.669% 08/25/24 N/A NYMT LOAN TRUST 2021-SP1 SER 2021-SP1 CL A1 REGD 144A P/P 1.66960000 62955RAA3 600000.00000000 NS USD 600132.67000000 0.135833634095 Long ABS-CBDO CORP US Y 3 2061-08-25 Fixed 1.66960000 N N N N N N REYNOLDS AMERIC 4.45% 06/12/25 N/A REYNOLDS AMERICAN INC REGD 4.45000000 761713BG0 600000.00000000 NS USD 665456.31000000 0.150618943840 Long DBT CORP US N 2 2025-06-12 Fixed 4.45000000 N N N N N N LEASEPLAN CORP 2.875% 10/24/24 N/A LEASEPLAN CORPORATION NV REGD 144A P/P 2.87500000 52206AAD2 800000.00000000 NS USD 839428.05000000 0.189995593130 Long DBT CORP NL Y 2 2024-10-24 Fixed 2.87500000 N N N N N N CANBY 1 A2 V/R 05/16/56 /GBP/ N/A CANTERBURY FINANCE NO 1 PLC SER 1 CL A2 V/R REGD REG S /GBP/ 1.40050000 G1825MAF2 967840.09000000 NS 1345454.23000000 0.304529226130 Long ABS-CBDO CORP GB N 2 2056-05-16 Variable 1.40050000 N N N N N N FORD MOTOR CRE 3.219% 01/09/22 N/A FORD MOTOR CREDIT CO LLC REGD 3.21900000 345397XA6 500000.00000000 NS USD 503750.00000000 0.114018443914 Long DBT CORP US N 2 2022-01-09 Fixed 3.21900000 N N N N N N STWD 2021-HTS A V/R 04/15/24 N/A STWD 2021-HTS MORTGAGE TRUST SER 2021-HTS CL A V/R REGD 144A P/P 1.14550000 78486DAA8 1200000.00000000 NS USD 1205278.92000000 0.272802038593 Long ABS-CBDO CORP US Y 2 2034-04-15 Variable 1.14550000 N N N N N N SMB 2020-PTA A1 V/R 09/15/54 N/A SMB PRIVATE EDUCATION LOAN TRUST 2020-PT-A SER 2020-PTA CL A1 V/R REGD 144A P/P 0.38925000 78449VAA4 2327.74000000 NS USD 2327.71000000 0.000526852351 Long ABS-CBDO CORP US Y 2 2054-09-15 Variable 0.38925000 N N N N N N THRM 2021-1A A 1.21% 12/15/27 N/A THEOREM FUNDING TRUST 2021-1 SER 2021-1A CL A REGD 144A P/P 1.21000000 88339VAA6 400000.00000000 NS USD 401658.28000000 0.090911071108 Long ABS-CBDO CORP US Y 2 2027-12-15 Fixed 1.21000000 N N N N N N MSAC 2004-HE4 M1 V/R 05/25/34 N/A MORGAN STANLEY ABS CAPITAL I INC TRUST 2004-HE4 SER 2004-HE4 CL M1 V/R REGD 0.98438000 61746RGK1 510657.58000000 NS USD 508348.28000000 0.115059215587 Long ABS-CBDO CORP US N 2 2034-05-25 Variable 0.98438000 N N N N N N FASTR 20 0.887% 04/15/23 /CAD/ N/A FORD AUTO SECURITIZATION TRUST SER 2020-AA CL A2 REGD 144A P/P /CAD/ 0.88700000 345213JB9 1900000.00000000 NS 1510301.56000000 0.341840662457 Long ABS-CBDO CORP CA Y 2 2024-08-15 Fixed 0.88700000 N N N N N N STANDARD CHARTERE V/R 01/20/23 U4LOSYZ7YG4W3S5F2G91 STANDARD CHARTERED PLC REGD V/R 144A P/P 1.28425000 853254BL3 600000.00000000 NS USD 602390.38000000 0.136344642693 Long DBT CORP GB Y 2 2023-01-20 Variable 1.28425000 N N N N N N NISSAN MOTOR AC 2.65% 07/13/22 N/A NISSAN MOTOR ACCEPTANCE REGD REG S EMTN 2.65000000 U65478BE5 1630000.00000000 NS USD 1642189.76000000 0.371692150963 Long DBT CORP US N 2 2022-07-13 Fixed 2.65000000 N N N N N N VALERO ENERGY COR V/R 09/15/23 549300XTO5VR8SKV1V74 VALERO ENERGY CORP REGD V/R 1.26888000 91913YAZ3 1300000.00000000 NS USD 1300870.60000000 0.294438196618 Long DBT CORP US N 2 2023-09-15 Variable 1.26888000 N N N N N N FHLB 0.83% 02/10/27 N/A FEDERAL HOME LOAN BANKS 0.83000000 3130AKYH3 4600000.00000000 NS USD 4577196.74000000 1.035999701808 Long ABS-MBS USGA US N 2 2027-02-10 Fixed 0.83000000 N N N N N N OCPE 2020-4 V/R 09/22/34 /EUR/ N/A OCP EURO CLO 2020-4 DAC SER 2020-4A CL AR V/R REGD 144A P/P /EUR/ 0.00000000 N/A 1800000.00000000 NS 2125349.97000000 0.481050315342 Long ABS-CBDO CORP IE Y 2 2034-09-22 Variable 0.00000000 N N N N N N CITIGROUP INC V/R 06/01/24 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD V/R 1.15763000 172967MA6 300000.00000000 NS USD 304076.48000000 0.068824470631 Long DBT CORP US N 2 2024-06-01 Variable 1.15763000 N N N N N N XAN 2020-RSO9 A V/R 03/15/23 549300RUJWPCMY4JFR46 ACRES COMMERCIAL REALTY CORP SER 2020-RSO9 CL A V/R REGD 144A P/P 2.66448000 30070CAA3 489026.15000000 NS USD 489567.31000000 0.110808343181 Long ABS-CBDO CORP US Y 2 2037-04-17 Variable 2.66448000 N N N N N N HWKSM 2019- V/R 05/25/53 /GBP/ N/A HAWKSMOOR MORTGAGES SER 2019-1A CL A V/R REGD 144A P/P /GBP/ 1.10078000 N/A 3011480.27000000 NS 4161217.49000000 0.941847231762 Long ABS-CBDO CORP GB Y 2 2053-05-25 Variable 1.10078000 N N N N N N FHLT 2005-A M3 V/R 01/25/35 N/A FREMONT HOME LOAN TRUST 2005-A SER 2005-A CL M3 V/R REGD 0.81938000 35729PHN3 344327.29000000 NS USD 342555.38000000 0.077533759567 Long ABS-CBDO CORP US N 2 2035-01-25 Variable 0.81938000 N N N N N N NORTHWEST AIRL 6.264% 11/20/21 N/A NORTHWEST AIRL 6.264% 11/20/21 6.26400000 667294BB7 81259.29000000 NS USD 81064.80000000 0.018348153552 Long DBT CORP US N 2 2021-11-20 Fixed 6.26400000 N N N N N N TPAT 2021-SL1 A2 V/R 11/20/26 N/A TOWD POINT ASSET TRUST 2021-SL1 SER 2021-SL1 CL A2 V/R REGD 144A P/P 0.00000000 89179XAL9 300000.00000000 NS USD 299715.49000000 0.067837407021 Long ABS-CBDO CORP US Y 3 2061-11-20 Variable 0.00000000 N N N N N N DANSKE BANK A/S V/R 12/08/23 MAES062Z21O4RZ2U7M96 DANSKE BANK A/S REGD V/R 144A P/P 1.17100000 23636AAY7 3431000.00000000 NS USD 3449424.88000000 0.780740560234 Long DBT CORP DK Y 2 2023-12-08 Variable 1.17100000 N N N N N N TPMT 2019-HY3 A1 V/R 07/25/27 N/A TOWD POINT MORTGAGE TRUST 2019-HY3 SER 2019-HY3 CL A1A V/R REGD 144A P/P 1.08438000 89177XAA5 444842.88000000 NS USD 448551.09000000 0.101524758904 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 1.08438000 N N N N N N GCAT 2021-NQM3 A V/R 05/25/66 N/A GCAT 2021-NQM3 TRUST SER 2021-NQM3 CL A1 V/R REGD 144A P/P 1.09100000 36167HAA3 1344681.84000000 NS USD 1353919.27000000 0.306445197720 Long ABS-CBDO CORP US Y 2 2066-05-25 Variable 1.09100000 N N N N N N THPT 2018-THL A V/R 11/11/19 N/A THARALDSON HOTEL PORTFOLIO TRUST 2018-THPT SER 2018-THL CL A V/R REGD 144A P/P 0.99600000 88327HAA1 1215120.39000000 NS USD 1216849.51000000 0.275420918329 Long ABS-CBDO CORP US Y 2 2034-11-11 Variable 0.99600000 N N N N N N VM CASH CCP ICE WFS USD N/A VM CASH CCP ICE WFS USD 0.00000000 N/A 16166.42000000 NS USD 16166.42000000 0.003659096877 Long CORP US N 2 N N N TPMT 2020-1 A1 V/R 01/25/60 N/A TOWD POINT MORTGAGE TRUST 2020-1 SER 2020-1 CL A1 V/R REGD 144A P/P 2.71000000 89178WAU2 1009569.18000000 NS USD 1039016.09000000 0.235170218926 Long ABS-CBDO CORP US Y 2 2060-01-25 Variable 2.71000000 N N N N N N FORD MOTOR CREDIT V/R 01/07/22 N/A FORD MOTOR CREDIT CO LLC REGD V/R 3.27800000 345397ZN6 300000.00000000 NS USD 302011.00000000 0.068356971245 Long DBT CORP US N 2 2022-01-07 Variable 3.27800000 N N N N N N STWH 2019-NPB1 A V/R 08/15/22 N/A STANWICH MORTGAGE LOAN CO 2019-NPL-B- SER 2019-NPB1 CL A1 V/R REGD 144A P/P 3.37500000 85502HAA4 19861.16000000 NS USD 19933.68000000 0.004511776029 Long ABS-CBDO CORP US Y 2 2024-08-15 Variable 3.37500000 N N N N N N GNR 2021-122 FA V/R 07/20/51 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-122 CL FA V/R 0.45000000 38382WCY1 3990347.43000000 NS USD 3974773.90000000 0.899647712140 Long ABS-CBDO CORP US N 2 2051-07-20 Variable 0.45000000 N N N N N N BXMT 2020-FL3 A V/R 03/15/37 N/A BXMT 2020-FL3 LTD SER 2020-FL3 CL A V/R REGD 144A P/P 1.56448000 05608XAA0 1500000.00000000 NS USD 1507460.93000000 0.341197716130 Long ABS-CBDO CORP KY Y 2 2037-03-15 Variable 1.56448000 N N N N N N CENTRAL NIPPON EX V/R 09/14/21 N/A CENTRAL NIPPON EXPRESSWY REGD V/R REG S EMTN 0.96900000 J05755CZ4 1000000.00000000 NS USD 1000260.00000000 0.226398190987 Long DBT CORP JP N 2 2021-09-14 Variable 0.96900000 N N N N N N NAVSL 2018-1A A2 V/R 01/25/23 N/A NAVIENT STUDENT LOAN TRUST 2018-1 SER 2018-1A CL A2 V/R 144A P/P 0.43438000 63940DAB8 630430.12000000 NS USD 630909.50000000 0.142799641570 Long ABS-CBDO CORP US Y 2 2067-03-25 Variable 0.43438000 N N N N N N WAMU 2005-AR13 A V/R 10/25/45 N/A WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005- SER 2005-AR13 CL A1A1 V/R REGD 0.66438000 92922F4M7 513412.46000000 NS USD 514386.97000000 0.116426008713 Long ABS-CBDO CORP US N 2 2045-10-25 Variable 0.66438000 N N N N N N AHPT 2018-ATRM A V/R 06/15/21 N/A ATRIUM HOTEL PORTFOLIO TRUST 2018-ATRM SER 2018-ATRM CL A V/R REGD 144A P/P 1.04600000 04965KAA8 700000.00000000 NS USD 700957.88000000 0.158654345860 Long ABS-CBDO CORP US Y 2 2035-06-15 Variable 1.04600000 N N N N N N SLMA 2004-10 A7B V/R 10/25/29 N/A SLM STUDENT LOAN TRUST 2004-10 SER 2004-10 CL A7B V/R 0.72525000 78442GNK8 788908.82000000 NS USD 790440.25000000 0.178907726675 Long ABS-CBDO CORP US Y 2 2029-10-25 Variable 0.72525000 N N N N N N SMBC AVIATION 4.125% 07/15/23 N/A SMBC AVIATION CAPITAL FI REGD 144A P/P 4.12500000 78448TAD4 500000.00000000 NS USD 530054.52000000 0.119972191683 Long DBT CORP IE Y 2 2023-07-15 Fixed 4.12500000 N N N N N N NATWEST GROUP PLC V/R 06/25/24 N/A NATWEST GROUP PLC REGD V/R 1.69725000 780097BH3 300000.00000000 NS USD 306668.49000000 0.069411144471 Long DBT CORP GB N 2 2024-06-25 Variable 1.69725000 N N N N N N NRZT 2020-RPL1 A V/R 11/25/59 N/A NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1 SER 2020-RPL1 CL A1 V/R REGD 144A P/P 2.75000000 64828XAA1 2070320.07000000 NS USD 2134805.99000000 0.483190584693 Long ABS-CBDO CORP US Y 2 2059-11-25 Variable 2.75000000 N N N N N N GSMBS 2021-GR2 A V/R 02/25/52 N/A GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2 SER 2021-GR2 CL A9 V/R REGD 144A P/P 0.90000000 36262JAJ4 900000.00000000 NS USD 902248.20000000 0.204214264593 Long ABS-CBDO CORP US Y 2 2052-02-25 Variable 0.90000000 N N N N N N COMM 2013-CR6 A3 V/R 12/10/22 N/A COMM 2013-CCRE6 MORTGAGE TRUST SER 2013-CR6 CL A3FL V/R REGD 0.72650000 12624XAF5 31518.27000000 NS USD 31519.15000000 0.007134023695 Long ABS-CBDO CORP US Y 2 2046-03-10 Variable 0.72650000 N N N N N N GLGE 5A A1R V/R 12/15/31 /EUR/ N/A MAN GLG EURO CLO V DAC SER 5A CL A1R V/R REGD 144A P/P /EUR/ 0.69000000 N/A 3600000.00000000 NS 4251246.15000000 0.962224259496 Long ABS-CBDO CORP IE Y 2 2031-12-15 Variable 0.69000000 N N N N N N CASH COLLATERAL ISDA V/R 12/31/49 N/A CASH COLLATERAL ISDA BPS USD -0.02000000 N/A -260000.00000000 NS USD -260000.00000000 -0.05884822911 Short STIV CORP US N 2 2049-12-31 Floating -0.02000000 N N N N N N COLT 2020-1R A1 V/R 09/25/65 N/A COLT 2020-1R MORTGAGE LOAN TRUST SER 2020-1R CL A1 V/R REGD 144A P/P 1.25500000 12597VAA3 480525.80000000 NS USD 482142.05000000 0.109127714713 Long ABS-CBDO CORP US Y 2 2065-09-25 Variable 1.25500000 N N N N N N BAT CAPITAL CO 3.222% 08/15/24 N/A BAT CAPITAL CORP REGD 3.22200000 05526DAZ8 1200000.00000000 NS USD 1273722.95000000 0.288293615359 Long DBT CORP US N 2 2024-08-15 Fixed 3.22200000 N N N N N N LMAT 2019-GS3 A1 V/R 04/25/59 N/A LEGACY MORTGAGE ASSET TRUST 2019-GS3 SER 2019-GS3 CL A1 V/R REGD 144A P/P 3.75000000 52474WAA5 362887.51000000 NS USD 365902.78000000 0.082818194738 Long ABS-CBDO CORP US Y 2 2059-04-25 Variable 3.75000000 N N N N N N BRASS 8A A1 V/R 11/16/66 N/A BRASS NO 8 PLC SER 8A CL A1 V/R REGD 144A P/P 0.82475000 10554MAA8 190411.40000000 NS USD 191373.36000000 0.043315320523 Long ABS-CBDO CORP GB Y 2 2066-11-16 Variable 0.82475000 N N N N N N LLEND 2021-1A 1.07% 05/15/29 N/A LL ABS TRUST 2021-1 SER 2021-1A CL A REGD 144A P/P 1.07000000 53934QAA0 200000.00000000 NS USD 200079.02000000 0.045285753886 Long ABS-CBDO CORP US Y 2 2029-05-15 Fixed 1.07000000 N N N N N N DANSKE BANK A/ 3.875% 09/12/23 MAES062Z21O4RZ2U7M96 DANSKE BANK A/S REGD 144A P/P 3.87500000 23636AAP6 1000000.00000000 NS USD 1061312.87000000 0.240216857457 Long DBT CORP DK Y 2 2023-09-12 Fixed 3.87500000 N N N N N N N/A N/A GBP/USD FWD 20210902 000005198 USD N/A 1.00000000 NC N/A 540296.01000000 0.122290243798 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL N/A -24303000.00000000 GBP 33953278.99000000 USD 2021-09-02 540296.01000000 N N N NSLT 2019-2A A V/R 09/25/32 N/A NELNET STUDENT LOAN TRUST 2019-2 SER 2019-2A CL A V/R 144A P/P 0.98438000 64034NAA3 1158946.00000000 NS USD 1180295.64000000 0.267147339418 Long ABS-CBDO CORP US Y 2 2067-06-27 Variable 0.98438000 N N N N N N TPMF 2020-A V/R 05/20/45 /GBP/ N/A TOWD POINT MORTGAGE FUNDING 2020-AUBURN SER 2020-A14X CL A V/R REGD REG S /GBP/ 0.95061000 G8961JAB7 2735940.00000000 NS 3779272.70000000 0.855398099023 Long ABS-CBDO CORP GB N 2 2045-05-20 Variable 0.95061000 N N N N N N KRAFT HEINZ FOODS V/R 08/10/22 N/A KRAFT HEINZ FOODS CO REGD V/R 0.94838000 50077LAQ9 300000.00000000 NS USD 299661.26000000 0.067825132638 Long DBT CORP US N 2 2022-08-10 Variable 0.94838000 N N N N N N BOEING CO 1.433% 02/04/24 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 1.43300000 097023DE2 3600000.00000000 NS USD 3608604.94000000 0.816769270395 Long DBT CORP US N 2 2024-02-04 Fixed 1.43300000 N N N N N N PRET 2021-NPL1 A V/R 09/27/60 N/A PRETIUM MORTGAGE CREDIT PARTNERS I 202 SER 2021-NPL1 CL A1 V/R REGD 144A P/P 2.23950000 741389AA8 177499.37000000 NS USD 177870.41000000 0.040259071695 Long ABS-CBDO CORP US Y 2 2060-09-27 Variable 2.23950000 N N N N N N ECMC 2019-1A A1B V/R 04/25/30 N/A ECMC GROUP STUDENT LOAN TRUST SER 2019-1A CL A1B V/R 144A P/P 1.08438000 26829XAB7 781239.82000000 NS USD 794922.77000000 0.179922297305 Long ABS-CBDO CORP US Y 2 2069-07-25 Variable 1.08438000 N N N N N N N/A N/A CAD/USD FWD 20211004 000005198 USD N/A 1.00000000 NC N/A 11620.72000000 0.002630226127 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL N/A -20272010.00000000 CAD 16081246.75000000 USD 2021-10-04 11620.72000000 N N N BERRY GLOBAL I 4.875% 07/15/26 N/A BERRY GLOBAL INC REGD 144A P/P 4.87500000 085770AA3 1114000.00000000 NS USD 1176161.20000000 0.266211552986 Long DBT CORP US Y 2 2026-07-15 Fixed 4.87500000 N N N N N N SVHE 2005-OPT1 M V/R 06/25/35 N/A SOUNDVIEW HOME LOAN TRUST 2005-OPT1 SER 2005-OPT1 CL M2 V/R REGD 0.75938000 83611MDH8 793310.20000000 NS USD 792680.71000000 0.179414830918 Long ABS-CBDO CORP US N 2 2035-06-25 Variable 0.75938000 N N N N N N FORDF 2019-3 A2 V/R 09/15/22 N/A FORD CREDIT FLOORPLAN MASTER OWNER TRUST A SER 2019-3 CL A2 V/R REGD 0.69550000 34528QHB3 700000.00000000 NS USD 703933.44000000 0.159327832155 Long ABS-CBDO CORP US N 2 2024-09-15 Variable 0.69550000 N N N N N N FASTR 20 0.516% 09/15/21 /CAD/ N/A FORD AUTO SECURITIZATION TRUST SER 2020-AA CL A1 REGD 144A P/P /CAD/ 0.51600000 345213JA1 194684.14000000 NS 154347.66000000 0.034934947920 Long ABS-CBDO CORP CA Y 2 2022-08-15 Fixed 0.51600000 N N N N N N NXP BV/NXP FUN 3.875% 09/01/22 N/A NXP BV/NXP FUNDING LLC REGD P/P 3.87500000 62947QAW8 300000.00000000 NS USD 309672.92000000 0.070091165182 Long DBT CORP NL Y 2 2022-09-01 Fixed 3.87500000 N N N N N N NISSAN MOTOR A 3.875% 09/21/23 N/A NISSAN MOTOR ACCEPTANCE REGD 144A P/P 3.87500000 654740BL2 1000000.00000000 NS USD 1058094.40000000 0.239488391072 Long DBT CORP US Y 2 2023-09-21 Fixed 3.87500000 N N N N N N FHLB 1.115% 02/26/27 N/A FEDERAL HOME LOAN BANKS 1.11500000 3130ALGL2 3700000.00000000 NS USD 3698521.78000000 0.837120988863 Long ABS-MBS USGA US N 2 2027-02-26 Fixed 1.11500000 N N N N N N PSTAT 2018-3A A1 V/R 08/15/26 N/A PALMER SQUARE CLO 2018-3 LTD SER 2018-3A CL A1 V/R REGD 144A P/P 0.97475000 69700LAA9 152929.64000000 NS USD 153082.57000000 0.034648608281 Long ABS-CBDO CORP KY Y 2 2026-08-15 Variable 0.97475000 N N N N N N PACIFIC GAS & E 3.75% 02/15/24 N/A PACIFIC GAS & ELECTRIC REGD 3.75000000 694308HG5 300000.00000000 NS USD 312422.10000000 0.070713412777 Long DBT CORP US N 2 2024-02-15 Fixed 3.75000000 N N N N N N NISSAN MOTOR ACCE V/R 09/21/21 N/A NISSAN MOTOR ACCEPTANCE REGD V/R 144A P/P 0.76450000 654740BN8 200000.00000000 NS USD 200035.57000000 0.045275919442 Long DBT CORP US Y 2 2021-09-21 Variable 0.76450000 N N N N N N PFP 2019-6 A V/R 06/14/22 N/A PFP 2019-6 LTD SER 2019-6 CL A V/R REGD 144A P/P 1.14550000 69346WAA5 1051063.32000000 NS USD 1050117.36000000 0.237682873081 Long ABS-CBDO CORP KY Y 2 2037-04-14 Variable 1.14550000 N N N N N N FHLB 1.05% 08/13/26 N/A FEDERAL HOME LOAN BANKS 1.05000000 3130ANGM6 3500000.00000000 NS USD 3500514.85000000 0.792304230466 Long ABS-MBS USGA US N 2 2026-08-13 Fixed 1.05000000 N N N N N N MFRA 2020-NQM2 A V/R 04/25/65 N/A MFA 2020-NQM2 TRUST SER 2020-NQM2 CL A1 V/R REGD 144A P/P 1.38100000 552751AA7 663933.11000000 NS USD 668451.57000000 0.151296889019 Long ABS-CBDO CORP US Y 2 2065-04-25 Variable 1.38100000 N N N N N N FHLB 1% 03/23/26 N/A FEDERAL HOME LOAN BANKS 1.00000000 3130ALGJ7 877500.00000000 NS USD 877762.12000000 0.198672101339 Long ABS-MBS USGA US N 2 2026-03-23 Fixed 1.00000000 N N N N N N CMLTI 2019-C A1 V/R 09/25/59 N/A CITIGROUP MORTGAGE LOAN TRUST 2019-C SER 2019-C CL A1 V/R REGD 144A P/P 3.22800000 17328GAA1 230968.54000000 NS USD 231421.65000000 0.052379824161 Long ABS-CBDO CORP US Y 2 2059-09-25 Variable 3.22800000 N N N N N N PACIFIC GAS & E 4.25% 08/01/23 N/A PACIFIC GAS & ELECTRIC REGD 4.25000000 694308JB4 1400000.00000000 NS USD 1466924.10000000 0.332022636670 Long DBT CORP US N 2 2023-08-01 Fixed 4.25000000 N N N N N N BSSLT 2007-SV1A V/R 01/25/36 N/A BEAR STEARNS SECOND LIEN TRUST 2007-SV1 SER 2007-SV1A CL M2 V/R REGD 144A P/P 1.43438000 07401UAD5 93780.97000000 NS USD 93705.52000000 0.021209245809 Long ABS-CBDO CORP US Y 2 2036-01-25 Variable 1.43438000 N N N N N N KOREA EXPRES V/R 09/02/23/AUD/ N/A KOREA EXPRESSWAY CORP /AUD/ REGD V/R 0.75090000 Q53556AA6 2000000.00000000 NS 1471252.85000000 0.333002403100 Long DBT USGA KR N 2 2023-09-02 Variable 0.75090000 N N N N N N WELLS FAR 2.094% 04/25/22/CAD/ PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY /CAD/ REGD P/P SER MPLE 2.09400000 949746SQ5 200000.00000000 NS 160215.94000000 0.036263170559 Long DBT CORP US N 2 2022-04-25 Fixed 2.09400000 N N N N N N HARVT 16A A V/R 10/15/31 /EUR/ N/A HARVEST CLO XVI DAC SER 16A CL ARR V/R REGD 144A P/P /EUR/ 0.64000000 N/A 1600000.00000000 NS 1882034.90000000 0.425978542314 Long ABS-CBDO CORP IE Y 2 2031-10-15 Variable 0.64000000 N N N N N N USBR 2017-1 A V/R 01/25/57 549300SAYC054T80UK17 UTAH STATE BOARD OF REGENTS SER 2017-1 CL A V/R 0.83438000 91754RZF7 676225.75000000 NS USD 672920.16000000 0.152308306743 Long ABS-CBDO CORP US N 2 2057-01-25 Variable 0.83438000 N N N N N N F/C BANK ACCEPT FUTR DEC22 N/A FUTURE CONTRACT ON BANK ACCEPT FUTR DEC22 /CAD/ 0.00000000 N/A 324.00000000 NC 63550437.99000000 14.38396436668 N/A DIR CORP CA N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Long F/C BANK ACCEPT FUTR DEC22 BANK ACCEPT FUTR DEC22 /CAD/ 2022-12-19 63521661.58000000 CAD 28776.41000000 N N N ENRGY TRANS LP/REG 5% 10/01/22 N/A ENRGY TRANS LP/REG FIN REGD 5.00000000 75886AAQ1 600000.00000000 NS USD 621279.82000000 0.140620066128 Long DBT CORP US N 2 2022-10-01 Fixed 5.00000000 N N N N N N BOC AVIATION LT 2.75% 09/18/22 N/A BOC AVIATION LTD REGD REG S EMTN 2.75000000 09681MAD0 500000.00000000 NS USD 508830.39000000 0.115168336048 Long DBT CORP SG N 2 2022-09-18 Fixed 2.75000000 N N N N N N CITIGROUP INC V/R 09/01/23 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC REGD V/R 1.56463000 172967KX8 2100000.00000000 NS USD 2125480.48000000 0.481079854889 Long DBT CORP US N 2 2023-09-01 Variable 1.56463000 N N N N N N BCCE 2018-2 V/R 01/20/32 /EUR/ N/A BAIN CAPITAL EURO 2018-2 DAC SER 2018-2A CL AR V/R REGD 144A P/P /EUR/ 0.74000000 N/A 1200000.00000000 NS 1414505.56000000 0.320158258778 Long ABS-CBDO CORP IE Y 2 2032-01-20 Variable 0.74000000 N N N N N N N/A N/A AUD/USD FWD 20210902 000004066 USD N/A 1.00000000 NC N/A 56841.69000000 0.012865510755 N/A DFE N/A N 2 BNP-PARIBAS SA (FORMERLY BANQU R0MUWSFPU8MPRO8K5P83 -10632400.00000000 AUD 7834971.42000000 USD 2021-09-02 56841.69000000 N N N GFORT 2018-4 A1 3.5% 09/15/21 N/A GMF FLOORPLAN OWNER REVOLVING TRUST SER 2018-4 CL A1 REGD 144A P/P 3.50000000 361886BU7 1600000.00000000 NS USD 1602040.96000000 0.362604897958 Long ABS-CBDO CORP US Y 2 2023-09-15 Fixed 3.50000000 N N N N N N MIZUHO FINANCIAL V/R 09/13/23 353800CI5L6DDAN5XZ33 MIZUHO FINANCIAL GROUP REGD V/R 0.96900000 60687YBB4 2900000.00000000 NS USD 2918206.37000000 0.660504911820 Long DBT CORP JP N 2 2023-09-13 Variable 0.96900000 N N N N N N FCAT 2019-2 A 2.83% 11/15/21 N/A FLAGSHIP CREDIT AUTO TRUST 2019-2 SER 2019-2 CL A REGD 144A P/P 2.83000000 33845WAA7 38573.78000000 NS USD 38729.96000000 0.008766113691 Long ABS-CBDO CORP US Y 2 2023-10-16 Fixed 2.83000000 N N N N N N GOLDMAN SACHS GRO V/R 10/31/22 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD V/R 2.87600000 38148YAC2 1000000.00000000 NS USD 1004047.34000000 0.227255415034 Long DBT CORP US N 2 2022-10-31 Variable 2.87600000 N N N N N N VMC 2019-FL3 A V/R 09/15/36 N/A VMC FINANCE 2019-FL3 LLC SER 2019-FL3 CL A V/R REGD 1.19275000 91834PAA3 384116.44000000 NS USD 383885.97000000 0.086888498144 Long ABS-CBDO CORP US Y 2 2036-09-15 Variable 1.19275000 N N N N N N MCCT 2018-1A A V/R 01/21/23 N/A MASTER CREDIT CARD TRUST II SERIES 2018-1 SER 2018-1A CL A V/R REGD 144A P/P 0.57788000 576339BM6 3000000.00000000 NS USD 3017072.40000000 0.682882184071 Long ABS-CBDO CORP CA Y 2 2024-07-21 Variable 0.57788000 N N N N N N AVON 2A A V/R 09/20/23 /GBP/ N/A AVON FINANCE NO 2 PLC SER 2A CL A V/R REGD 144A P/P /GBP/ 0.95034000 N/A 1628503.01000000 NS 2245959.74000000 0.508349051414 Long ABS-CBDO CORP GB Y 2 2048-09-20 Variable 0.95034000 N N N N N N JPMORGAN CHASE & V/R 07/23/24 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R SER 0001 1.02788000 46647PAW6 3900000.00000000 NS USD 3954629.29000000 0.895088194352 Long DBT CORP US N 2 2024-07-23 Variable 1.02788000 N N N N N N MABS 2004-OPT2 A V/R 09/25/34 N/A MASTR ASSET BACKED SECURITIES TRUST 2004-OPT2 SER 2004-OPT2 CL A1 V/R REGD 0.78438000 57643LFG6 204112.27000000 NS USD 200644.34000000 0.045413708043 Long ABS-CBDO CORP US N 2 2034-09-25 Variable 0.78438000 N N N N N N GENERAL MOTORS FI V/R 06/30/22 N/A GENERAL MOTORS FINL CO REGD V/R 1.45725000 37045XBX3 1500000.00000000 NS USD 1512750.05000000 0.342394852075 Long DBT CORP US N 2 2022-06-30 Variable 1.45725000 N N N N N N DEUTSCHE BANK N 4.25% 10/14/21 N/A DEUTSCHE BANK NY REGD SER * 4.25000000 251526BX6 500000.00000000 NS USD 502235.20000000 0.113675585078 Long DBT CORP US N 2 2021-10-14 Fixed 4.25000000 N N N N N N ARROW ELECTRONIC 3.5% 04/01/22 549300YNNLBXT8N8R512 ARROW ELECTRONICS INC REGD 3.50000000 042735BD1 300000.00000000 NS USD 303710.02000000 0.068741526316 Long DBT CORP US N 2 2022-04-01 Fixed 3.50000000 N N N N N N HANA BANK V/R 09/14/22 N/A HANA BANK REGD V/R REG S EMTN SER GMTN 0.99388000 Y4S96CHE6 400000.00000000 NS USD 402492.00000000 0.091099774745 Long DBT CORP KR N 2 2022-09-14 Variable 0.99388000 N N N N N N SMB 2015-B A2B V/R 05/15/23 N/A SMB PRIVATE EDUCATION LOAN TRUST 2015-B SER 2015-B CL A2B V/R REGD 144A P/P 1.29550000 78448QAC2 240913.51000000 NS USD 241522.32000000 0.054666003170 Long ABS-CBDO CORP US Y 2 2027-07-15 Variable 1.29550000 N N N N N N VENTR 2014-17A A V/R 04/15/27 N/A VENTURE XVII CLO LTD SER 2014-17A CL ARR V/R REGD 144A P/P 1.00613000 92329YAL0 655697.30000000 NS USD 655727.59000000 0.148416951749 Long ABS-CBDO CORP KY Y 2 2027-04-15 Variable 1.00613000 N N N N N N STRA 2021-2 V/R 07/20/60 /GBP/ N/A STRATTON MORTGAGE FUNDING SER 2021-2A CL A V/R REGD 144A P/P /GBP/ 0.95054000 N/A 463473.08000000 NS 640546.20000000 0.144980805914 Long ABS-CBDO CORP GB Y 2 2060-07-20 Variable 0.95054000 N N N N N N NAVSL 2018-2A A2 V/R 03/27/23 N/A NAVIENT STUDENT LOAN TRUST 2018-2 SER 2018-2A CL A2 V/R 144A P/P 0.46438000 63941DAB7 1112503.32000000 NS USD 1113644.86000000 0.252061645679 Long ABS-CBDO CORP US Y 2 2067-03-25 Variable 0.46438000 N N N N N N FHR 4906 WF V/R 12/15/38 N/A FREDDIE MAC REMICS SER 4906 CL WF V/R 0.50025000 3137FNWL0 2096415.56000000 NS USD 2127937.68000000 0.481636015922 Long ABS-CBDO CORP US N 2 2038-12-15 Variable 0.50025000 N N N N N N N/A N/A CDX 2I65BYDY8 01.000 BP 06/20/2026 WFSLUS33XXX FLOAT N/A 1.00000000 NC USD -336757.17000000 -0.07622139652 N/A DCR US N 2 WELLS FARGO SECURITIES, LLC VYVVCKR63DVZZN70PB21 CDX.NA.IG.36 CDX.NA.IG.36 Y 2026-06-20 -12506523.93000000 USD 12200000.00000000 USD 12200000.00000000 USD -59038.80000000 N N N RIPON 1A A1 V/R 02/20/22 /GBP/ N/A RIPON MORTGAGES PLC SER 1A CL A1 V/R REGD 144A P/P /GBP/ 0.86838000 G7575SAB7 2100854.29000000 NS 2895112.51000000 0.655277862725 Long ABS-CBDO CORP GB Y 2 2056-08-20 Variable 0.86838000 N N N N N N STANDARD CHARTERE V/R 05/21/25 U4LOSYZ7YG4W3S5F2G91 STANDARD CHARTERED PLC REGD V/R 144A P/P 3.78500000 853254BN9 1700000.00000000 NS USD 1820601.98000000 0.412073855578 Long DBT CORP GB Y 2 2025-05-21 Variable 3.78500000 N N N N N N WELLS FAR 3.184% 02/08/24/CAD/ PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY /CAD/ REGD P/P SER MPLE 3.18400000 949746SY8 1000000.00000000 NS 830977.05000000 0.188082799344 Long DBT CORP US N 2 2024-02-08 Fixed 3.18400000 N N N N N N SNDPT 2016-2A AR V/R 10/20/28 N/A SOUND POINT CLO XII LTD SER 2016-2A CL AR2 V/R REGD 144A P/P 1.18425000 83610CAW1 801505.99000000 NS USD 801960.44000000 0.181515198908 Long ABS-CBDO CORP KY Y 2 2028-10-20 Variable 1.18425000 N N N N N N CNH INDUSTRIAL 3.875% 10/15/21 N/A CNH INDUSTRIAL CAP LLC REGD 3.87500000 12592BAG9 700000.00000000 NS USD 702822.77000000 0.159076443837 Long DBT CORP US N 2 2021-10-15 Fixed 3.87500000 N N N N N N PACIFIC GAS & E 1.75% 06/16/22 N/A PACIFIC GAS & ELECTRIC REGD 1.75000000 694308JE8 1000000.00000000 NS USD 999751.66000000 0.226283133646 Long DBT CORP US N 2 2022-06-16 Fixed 1.75000000 N N N N N N JPMCC 2018-LAQ A V/R 06/15/25 N/A JP MORGAN CHASE COMMERCIAL MORTGAGE SECURI SER 2018-LAQ CL A V/R REGD 144A P/P 1.09600000 46649VAA9 87845.71000000 NS USD 87992.73000000 0.019916216675 Long ABS-CBDO CORP US Y 2 2032-06-15 Variable 1.09600000 N N N N N N NOMURA HOLDING 2.648% 01/16/25 549300B3CEAHYG7K8164 NOMURA HOLDINGS INC REGD 2.64800000 65535HAP4 2400000.00000000 NS USD 2515621.92000000 0.569384212002 Long DBT CORP JP N 2 2025-01-16 Fixed 2.64800000 N N N N N N F/C BANK ACCEPT FUTR MAR23 N/A FUTURE CONTRACT ON BANK ACCEPT FUTR MAR23 /CAD/ 0.00000000 N/A 258.00000000 NC 50518054.62000000 11.43422328013 N/A DIR CORP CA N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Long F/C BANK ACCEPT FUTR MAR23 BANK ACCEPT FUTR MAR23 /CAD/ 2023-03-13 50790380.12000000 CAD -272325.50000000 N N N SAUDI INTERNAT 2.375% 10/26/21 N/A SAUDI INTERNATIONAL BOND REGD REG S EMTN 2.37500000 M6320UAB5 400000.00000000 NS USD 401370.40000000 0.090845912538 Long DBT USGA SA N 2 2021-10-26 Fixed 2.37500000 N N N N N N BOEING CO 4.508% 05/01/23 RVHJWBXLJ1RFUBSY1F30 BOEING CO REGD 4.50800000 097023CS2 1700000.00000000 NS USD 1801686.98000000 0.407792646910 Long DBT CORP US N 2 2023-05-01 Fixed 4.50800000 N N N N N N BANC 2019-CRE6 A V/R 06/15/22 N/A BANCORP COMMERCIAL MORTGAGE 2019-CRE6 TRUST SER 2019-CRE6 CL A V/R REGD 144A P/P 1.21448000 05973BAA5 107729.24000000 NS USD 107835.87000000 0.024407499941 Long ABS-CBDO CORP US Y 2 2036-09-15 Variable 1.21448000 N N N N N N US TREAS NTS 0.125% 04/30/23 N/A UNITED STATES TREASURY NOTE 0.12500000 91282CBX8 18400000.00000000 NS USD 18389578.06000000 4.162285011710 Long DBT UST US N 2 2023-04-30 Fixed 0.12500000 N N N N N N VMWARE INC 1% 08/15/24 N/A VMWARE INC REGD 1.00000000 928563AH8 500000.00000000 NS USD 502199.02000000 0.113667396120 Long DBT CORP US N 2 2024-08-15 Fixed 1.00000000 N N N N N N US TREAS NTS 0.75% 01/31/28 N/A UNITED STATES TREASURY NOTE 0.75000000 91282CBJ9 5600000.00000000 NS USD 5514031.26000000 1.248042211339 Long DBT UST US N 2 2028-01-31 Fixed 0.75000000 N N N N N N MF1 2020-FL4 A V/R 10/15/25 N/A MF1 2020-FL4 LTD SER 2020-FL4 CL A V/R REGD 144A P/P 1.86448000 58003UAA6 1100000.00000000 NS USD 1113708.31000000 0.252076006910 Long ABS-CBDO CORP US Y 2 2035-11-15 Variable 1.86448000 N N N N N N FHLB 1.1% 08/20/26 N/A FEDERAL HOME LOAN BANKS 1.10000000 3130ANMH0 4000000.00000000 NS USD 4000758.00000000 0.905528936256 Long ABS-MBS USGA US N 2 2026-08-20 Fixed 1.10000000 N N N N N N HSBC HOLDINGS PLC V/R 03/11/25 MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC REGD V/R 1.35475000 404280CA5 5900000.00000000 NS USD 6029344.05000000 1.364677769543 Long DBT CORP GB N 2 2025-03-11 Variable 1.35475000 N N N N N N SUMITOMO MIT V/R 10/16/24/AUD/ 35380028MYWPB6AUO129 SUMITOMO MITSUI FINL GRP /AUD/ REGD V/R REG S EMTN 1.27420000 J7771XBV0 5200000.00000000 NS 3902173.44000000 0.883215371740 Long DBT CORP JP N 2 2024-10-16 Variable 1.27420000 N N N N N N WFCM 2017-HSDB A V/R 12/13/20 N/A WELLS FARGO COMMERCIAL MORTGAGE TRUST SER 2017-HSDB CL A V/R REGD 144A P/P 0.94700000 95001EAA6 500000.00000000 NS USD 495998.45000000 0.112263963182 Long ABS-CBDO CORP US Y 2 2031-12-13 Variable 0.94700000 N N N N N N VERIZON COMM V/R 02/17/23/AUD/ 2S72QS2UO2OESLG6Y829 VERIZON COMMUNICATIONS /AUD/ REGD V/R MTN 1.23430000 U9221ABH0 5400000.00000000 NS 3987688.45000000 0.902570782899 Long DBT CORP US N 2 2023-02-17 Variable 1.23430000 N N N N N N SYNCHRONY FINAN 2.85% 07/25/22 549300RS7EWPM9MA6C78 SYNCHRONY FINANCIAL REGD 2.85000000 87165BAQ6 1800000.00000000 NS USD 1837867.90000000 0.415981812563 Long DBT CORP US N 2 2022-07-25 Fixed 2.85000000 N N N N N N N/A N/A GBP/USD FWD 20210902 000003731 USD N/A 1.00000000 NC N/A 108158.86000000 0.024480605285 N/A DFE N/A N 2 STANDARD CHARTERED BANK (THAI) 549300O1LQYCQ7G1IM57 -32298433.82000000 USD 23571000.00000000 GBP 2021-09-02 108158.86000000 N N N RMS 32A A V/R 06/20/70 /GBP/ N/A RESIDENTIAL MORTGAGE SECURITIES 32 PLC SER 32A CL A V/R REGD 144A P/P /GBP/ 1.30034000 N/A 1762904.51000000 NS 2451667.59000000 0.554908830983 Long ABS-CBDO CORP GB Y 2 2070-06-20 Variable 1.30034000 N N N N N N RMAC 2018-1 V/R 06/12/46 /GBP/ N/A RMAC 2018-1 PLC SER 2018-1 CL A V/R REGD REG S /GBP/ 0.78425000 G76030AA6 339919.49000000 NS 467765.93000000 0.105873833161 Long ABS-CBDO CORP GB N 2 2046-06-12 Variable 0.78425000 N N N N N N PACIFIC GAS & ELE V/R 06/16/22 N/A PACIFIC GAS & ELECTRIC REGD V/R 1.59800000 694308JD0 1800000.00000000 NS USD 1800843.23000000 0.407601673089 Long DBT CORP US N 2 2022-06-16 Variable 1.59800000 N N N N N N CENTRAL NIPPON 2.567% 11/02/21 N/A CENTRAL NIPPON EXPRESSWY REGD REG S 2.56700000 J05755DF7 1200000.00000000 NS USD 1204482.00000000 0.272621664244 Long DBT CORP JP N 2 2021-11-02 Fixed 2.56700000 N N N N N N CENTRAL NIPPON EX V/R 03/03/22 N/A CENTRAL NIPPON EXPRESSWY REGD V/R 0.93850000 J05755DB6 3000000.00000000 NS USD 3010095.00000000 0.681302923941 Long DBT CORP JP N 2 2022-03-03 Variable 0.93850000 N N N N N N PACIFIC GAS & EL 3.4% 08/15/24 N/A PACIFIC GAS & ELECTRIC REGD 3.40000000 694308HK6 100000.00000000 NS USD 104441.22000000 0.023639157091 Long DBT CORP US N 2 2024-08-15 Fixed 3.40000000 N N N N N N CREDIT SUISSE GRO V/R 06/12/24 549300506SI9CRFV9Z86 CREDIT SUISSE GROUP AG REGD V/R REG S 1.35900000 H3698DBT0 1750000.00000000 NS USD 1773164.72000000 0.401336937327 Long DBT CORP CH N 2 2024-06-12 Variable 1.35900000 N N N N N N BERRY GLOBAL IN 0.95% 02/15/24 N/A BERRY GLOBAL INC REGD 144A P/P 0.95000000 08576PAC5 600000.00000000 NS USD 602641.46000000 0.136401471975 Long DBT CORP US Y 2 2024-02-15 Fixed 0.95000000 N N N N N N MGM RESORTS INT 7.75% 03/15/22 54930066VBP7DZEGGJ87 MGM RESORTS INTL REGD 7.75000000 552953BX8 1800000.00000000 NS USD 1865610.00000000 0.422260941244 Long DBT CORP US N 2 2022-03-15 Fixed 7.75000000 N N N N N N MIRAE ASSET SE 4.125% 11/07/21 98840072S6T63E2V1291 MIRAE ASSET SECURITIES REGD REG S 4.12500000 Y604N5AK1 500000.00000000 NS USD 502944.95000000 0.113836229426 Long DBT CORP KR N 2 2021-11-07 Fixed 4.12500000 N N N N N N GA GLOBAL FUND 1.625% 01/15/26 54930029I8ROQ4OROZ88 GA GLOBAL FUNDING TRUST REGD 144A P/P 1.62500000 36143L2A2 400000.00000000 NS USD 407517.67000000 0.092237281590 Long DBT CORP US Y 2 2026-01-15 Fixed 1.62500000 N N N N N N MCLO 2013-5A A1R V/R 11/21/27 N/A MARATHON CLO V LTD SER 2013-5A CL A1R V/R REGD 144A P/P 1.00075000 56576QAN8 285634.25000000 NS USD 285767.18000000 0.064680355703 Long ABS-CBDO CORP KY Y 2 2027-11-21 Variable 1.00075000 N N N N N N NAVSL 2015-AA 2.65% 03/15/23 N/A NAVIENT PRIVATE EDUCATION LOAN TRUST 2015-A SER 2015-AA CL A2A REGD 144A P/P 2.65000000 63939EAB9 49161.90000000 NS USD 50004.96000000 0.011318089781 Long ABS-CBDO CORP US Y 2 2028-12-15 Fixed 2.65000000 N N N N N N N/A N/A GBP/USD FWD 20210902 000004066 USD N/A 1.00000000 NC N/A -2037.56000000 -0.00046117999 N/A DFE N/A N 2 BNP-PARIBAS SA (FORMERLY BANQU R0MUWSFPU8MPRO8K5P83 -503857.86000000 USD 365000.00000000 GBP 2021-09-02 -2037.56000000 N N N SABINE PASS LIQ 6.25% 03/15/22 N/A SABINE PASS LIQUEFACTION REGD 6.25000000 785592AH9 400000.00000000 NS USD 406576.81000000 0.092024327956 Long DBT CORP US N 2 2022-03-15 Fixed 6.25000000 N N N N N N CWL 2004-5 M1 V/R 08/25/34 N/A CWABS INC ASSET-BACKED CERTIFICATES TRUST 2004-5 SER 2004-5 CL M1 V/R REGD 0.93938000 1266716K7 266017.74000000 NS USD 265814.10000000 0.060164188689 Long ABS-CBDO CORP US N 2 2034-08-25 Variable 0.93938000 N N N N N N EXPORT-IMPORT BK V/R 08/21/22 N/A EXPORT-IMPORT BK INDIA REGD V/R EMTN SER GMTN 1.13075000 Y23874XS7 1900000.00000000 NS USD 1909851.50000000 0.432274533276 Long DBT USGA IN N 2 2022-08-21 Variable 1.13075000 N N N N N N RIPON 1X A1 V/R 02/20/22 /GBP/ N/A RIPON MORTGAGES PLC SER 1X CL A1 V/R REGD REG S /GBP/ 0.86838000 G7575SAP6 700284.76000000 NS 965037.50000000 0.218425953487 Long ABS-CBDO CORP GB N 2 2056-08-20 Variable 0.86838000 N N N N N N DAE FUNDING LLC 5.25% 11/15/21 N/A DAE FUNDING LLC REGD 144A P/P 5.25000000 23371DAD6 500000.00000000 NS USD 502042.50000000 0.113631969486 Long DBT CORP AE Y 2 2021-11-15 Fixed 5.25000000 N N N N N N HYUNDAI CAPITAL 5.75% 04/06/23 N/A HYUNDAI CAPITAL AMERICA REGD REG S 5.75000000 44891CBJ1 1200000.00000000 NS USD 1294416.02000000 0.292977271223 Long DBT CORP US N 2 2023-04-06 Fixed 5.75000000 N N N N N N AERCAP IRELAND 4.625% 07/01/22 N/A AERCAP IRELAND CAP/GLOBA REGD 4.62500000 00772BAP6 600000.00000000 NS USD 620408.85000000 0.140422931350 Long DBT CORP IE N 2 2022-07-01 Fixed 4.62500000 N N N N N N VM CASH FUT FOR WFS /CAD/ N/A VM CASH FUT FOR WFS /CAD/ /XXWFS2CA5/ 0.00000000 N/A 244910.55000000 NS 194150.03000000 0.043943790186 Long CORP CA N 2 N N N MFRA 2020-NQM1 A V/R 03/25/65 N/A MFA 2020-NQM1 TRUST SER 2020-NQM1 CL A1 V/R REGD 144A P/P 1.47900000 552754AA1 561293.02000000 NS USD 565725.33000000 0.128045899374 Long ABS-CBDO CORP US Y 2 2065-03-25 Variable 1.47900000 N N N N N N BP CAP MARKETS AM V/R 09/19/22 N/A BP CAP MARKETS AMERICA REGD V/R SER * 0.78450000 10373QBD1 1300000.00000000 NS USD 1307003.88000000 0.295826399182 Long DBT CORP US N 2 2022-09-19 Variable 0.78450000 N N N N N N ARES 2018-50A AR V/R 01/15/32 N/A ARES L CLO LTD SER 2018-50A CL AR V/R REGD 144A P/P 1.17613000 04018LAJ4 300000.00000000 NS USD 300280.80000000 0.067965358915 Long ABS-CBDO CORP KY Y 2 2032-01-15 Variable 1.17613000 N N N N N N AVOLON HOLDINGS 5.5% 01/15/23 N/A AVOLON HOLDINGS FNDG LTD REGD P/P 5.50000000 05401AAA9 500000.00000000 NS USD 528898.97000000 0.119710645255 Long DBT CORP IE Y 2 2023-01-15 Fixed 5.50000000 N N N N N N MIZUHO FINANCIAL V/R 05/25/24 353800CI5L6DDAN5XZ33 MIZUHO FINANCIAL GROUP REGD V/R 0.75925000 60687YBC2 1500000.00000000 NS USD 1508821.26000000 0.341505612328 Long DBT CORP JP N 2 2024-05-25 Variable 0.75925000 N N N N N N TPMF 2019-A V/R 07/20/45 /GBP/ N/A TOWD POINT MORTGAGE FUNDING SER 2019-A13A CL A1 V/R REGD 144A P/P /GBP/ 0.95070000 N/A 998880.00000000 NS 1379392.56000000 0.312210805436 Long ABS-CBDO CORP GB Y 2 2045-07-20 Variable 0.95070000 N N N N N N LMAT 2019-GS6 A1 V/R 06/25/59 N/A LEGACY MORTGAGE ASSET TRUST 2019-GS6 SER 2019-GS6 CL A1 V/R REGD 144A P/P 3.00000000 52474VAA7 235151.27000000 NS USD 236155.41000000 0.053451260288 Long ABS-CBDO CORP US Y 2 2059-06-25 Variable 3.00000000 N N N N N N BARCLAYS PLC V/R 02/15/23 213800LBQA1Y9L22JB70 BARCLAYS PLC REGD V/R SER * 1.55475000 06738EBF1 300000.00000000 NS USD 301707.56000000 0.068288290835 Long DBT CORP GB N 2 2023-02-15 Variable 1.55475000 N N N N N N CK HUTCHISON I 2.875% 04/05/22 N/A CK HUTCHISON INTL 17 LTD REGD REG S 2.87500000 G2177UAA7 1250000.00000000 NS USD 1267688.09000000 0.286927689113 Long DBT CORP HK N 2 2022-04-05 Fixed 2.87500000 N N N N N N OCCIDENTAL PETROL V/R 08/15/22 IM7X0T3ECJW4C1T7ON55 OCCIDENTAL PETROLEUM COR REGD V/R 1.57475000 674599CQ6 2855000.00000000 NS USD 2844214.84000000 0.643757717550 Long DBT CORP US N 2 2022-08-15 Variable 1.57475000 N N N N N N INTL LEASE FIN 8.625% 01/15/22 N/A INTL LEASE FINANCE CORP REGD 8.62500000 459745GK5 1300000.00000000 NS USD 1338909.81000000 0.303047966408 Long DBT CORP US N 2 2022-01-15 Fixed 8.62500000 N N N N N N FNR 2017-108 AF V/R 01/25/48 N/A FANNIE MAE REMICS SER 2017-108 CL AF V/R 0.38438000 3136B0SA5 1297983.90000000 NS USD 1301810.10000000 0.294650842430 Long ABS-CBDO CORP US N 2 2048-01-25 Variable 0.38438000 N N N N N N N/A N/A GBP/USD FWD 20211004 000003731 USD N/A 1.00000000 NC N/A -108068.92000000 -0.02446024832 N/A DFE N/A N 2 STANDARD CHARTERED BANK (THAI) 549300O1LQYCQ7G1IM57 -23571000.00000000 GBP 32301375.48000000 USD 2021-10-04 -108068.92000000 N N N BAMLL 2019-RLJ A V/R 04/15/36 N/A BAMLL COMMERCIAL MORTGAGE SECURITIES TRUS SER 2019-RLJ CL A V/R REGD 144A P/P 1.14600000 05492HAA4 400000.00000000 NS USD 399524.08000000 0.090428017683 Long ABS-CBDO CORP US Y 2 2036-04-15 Variable 1.14600000 N N N N N N CMLTI 2019-B A1 V/R 04/25/66 N/A CITIGROUP MORTGAGE LOAN TRUST 2019-B SER 2019-B CL A1 V/R REGD 144A P/P 3.25800000 17327VAA9 544429.27000000 NS USD 549324.34000000 0.124333710076 Long ABS-CBDO CORP US Y 2 2066-04-25 Variable 3.25800000 N N N N N N ACE 2004-OP1 M1 V/R 04/25/34 N/A ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIE SER 2004-OP1 CL M1 V/R REGD 0.86438000 004421EW9 493424.14000000 NS USD 486951.45000000 0.110216271148 Long ABS-CBDO CORP US N 2 2034-04-25 Variable 0.86438000 N N N N N N N/A N/A AUD/USD FWD 20210902 000005198 USD N/A 1.00000000 NC N/A 128168.19000000 0.029009503887 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL N/A -5744025.00000000 AUD 4330208.34000000 USD 2021-09-02 128168.19000000 N N N MIDO 2013-2A ARR V/R 01/29/30 N/A MIDOCEAN CREDIT CLO II SER 2013-2A CL ARR V/R REGD 144A P/P 1.20713000 59863KAS6 2000000.00000000 NS USD 2001158.00000000 0.452940786476 Long ABS-CBDO CORP KY Y 2 2030-01-29 Variable 1.20713000 N N N N N N SNDPT 2016-3A AR V/R 01/23/29 N/A SOUND POINT CLO XIV LTD SER 2016-3A CL AR2 V/R REGD 144A P/P 1.12788000 83609NAN0 1835546.06000000 NS USD 1836179.32000000 0.415599620475 Long ABS-CBDO CORP KY Y 2 2029-01-23 Variable 1.12788000 N N N N N N US T BILL ZCP 02/03/22 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796K99 2500000.00000000 PA USD 2499407.99000000 0.565714361742 Long STIV UST US N 2 2022-02-03 Fixed 0.00000000 N N N N N N NAVSL 2020-GA 1.17% 02/15/28 N/A NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-G SER 2020-GA CL A REGD 144A P/P 1.17000000 63941UAA1 379911.02000000 NS USD 382741.81000000 0.086629529721 Long ABS-CBDO CORP US Y 2 2069-09-16 Fixed 1.17000000 N N N N N N 2021-09-30 Morgan Stanley Pathway Funds Francis Smith Francis Smith Chief Financial Officer