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