0001752724-22-096093.txt : 20220428 0001752724-22-096093.hdr.sgml : 20220428 20220428095909 ACCESSION NUMBER: 0001752724-22-096093 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20220228 FILED AS OF DATE: 20220428 PERIOD START: 20220831 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: 22862731 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 2022-08-31 2022-02-28 N 841524025.61 267814957.29 573709068.32 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 10024305.99000000 AUD CAD DKK EUR GBP JPY MXN MYR NZD USD N GSMBS 2021-RPL1 V/R 12/25/60 N/A 36261WAA5 1800948.47000000 NS USD 1785451.85000000 0.311212066985 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 3130ALCE2 3400000.00000000 NS USD 3239947.11000000 0.564736952735 Long ABS-MBS USGA US N 2 2027-02-26 Fixed 0.92000000 N N N N N N BERRY GLOBAL IN 0.95% 02/15/24 N/A 08576PAG6 1700000.00000000 NS USD 1655294.83000000 0.288525129094 Long DBT CORP US N 2 2024-02-15 Fixed 0.95000000 N N N N N N BLACK 2017- V/R 01/20/32 /EUR/ N/A N/A 1000000.00000000 NS 1122203.96000000 0.195605058725 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 78442GJG2 35369.55000000 NS USD 35363.84000000 0.006164071992 Long ABS-CBDO CORP US Y 2 2027-12-15 Variable 0.67275000 N N N N N N HYATT HOTELS CORP V/R 10/01/23 T27JQIMTYSH41TCD5186 448579AM4 900000.00000000 NS USD 901592.18000000 0.157151460519 Long DBT CORP US N 2 2023-10-01 Variable 1.09913000 N N N N N N TRANSURBAN Q V/R 12/16/24/AUD/ N/A Q8803EAA1 5000000.00000000 NS 3763463.25000000 0.655988105786 Long DBT CORP AU N 2 2024-12-16 Variable 2.11500000 N N N N N N SLCLT 2006-1 A5 V/R 06/15/18 N/A 784427AE6 270527.43000000 NS USD 269802.42000000 0.047027741916 Long ABS-CBDO CORP US N 2 2027-03-15 Variable 0.31275000 N N N N N N ANCHC 2015-6A AR V/R 07/15/30 N/A 03328QAY7 2000000.00000000 NS USD 1992574.00000000 0.347314363678 Long ABS-CBDO CORP KY Y 2 2030-07-15 Variable 1.29129000 N N N N N N HWKSM 2019- V/R 05/25/53 /GBP/ N/A G43459AA7 2046492.28000000 NS 2753348.74000000 0.479920728473 Long ABS-CBDO CORP GB N 2 2053-05-25 Variable 1.49530000 N N N N N N QNB FINANCE LTD V/R 05/02/22 N/A G7302VHR8 1000000.00000000 NS USD 1001170.00000000 0.174508310097 Long DBT CORP KY N 2 2022-05-02 Variable 1.31500000 N N N N N N FHLB 0.85% 02/17/27 N/A 3130AL2X1 3900000.00000000 NS USD 3719478.59000000 0.648321387160 Long ABS-MBS USGA US N 2 2027-02-17 Fixed 0.85000000 N N N N N N DEUTSCHE BANK NY 3.3% 11/16/22 N/A 251526BL2 1300000.00000000 NS USD 1314330.20000000 0.229093502713 Long DBT CORP US N 2 2022-11-16 Fixed 3.30000000 N N N N N N CASH COLLATERAL CME WFS N/A N/A 634000.00000000 NS USD 634000.00000000 0.110508973103 Long STIV CORP US N 2 2049-12-31 Floating -0.02000000 N N N N N N WELF 2015-1A AR4 V/R 07/20/29 N/A 949496BJ1 537722.99000000 NS USD 535668.35000000 0.093369336407 Long ABS-CBDO CORP KY Y 2 2029-07-20 Variable 1.14400000 N N N N N N MF1 2021-FL5 A V/R 07/15/36 N/A 55282XAA8 1636609.54000000 NS USD 1624220.00000000 0.283108650305 Long ABS-CBDO CORP KY Y 2 2036-07-15 Variable 1.03540000 N N N N N N FORD MOTOR CRED 4.14% 02/15/23 N/A 345397ZB2 600000.00000000 NS USD 607269.00000000 0.105849642882 Long DBT CORP US N 2 2023-02-15 Fixed 4.14000000 N N N N N N NRZT 2018-3A A1 V/R 05/25/58 N/A 64830KAA5 236615.56000000 NS USD 247641.58000000 0.043165010573 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 38382CP47 105946.26000000 NS USD 107056.05000000 0.018660337775 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 709163GH6 369256.50000000 NS USD 364026.65000000 0.063451437340 Long ABS-CBDO CORP US N 2 2036-10-25 Variable 0.38771000 N N N N N N VENTR 2017-26A A V/R 01/20/29 N/A 92331MAE8 600000.00000000 NS USD 597897.60000000 0.104216166871 Long ABS-CBDO CORP KY Y 2 2029-01-20 Variable 1.35400000 N N N N N N DANSKE BANK A/S V/R 09/12/23 MAES062Z21O4RZ2U7M96 23636BAP4 1200000.00000000 NS USD 1204629.84000000 0.209972250138 Long DBT CORP DK N 2 2023-09-12 Variable 1.26088000 N N N N N N DANSKE BANK A/S V/R 09/12/23 MAES062Z21O4RZ2U7M96 23636AAQ4 500000.00000000 NS USD 501929.10000000 0.087488437557 Long DBT CORP DK Y 2 2023-09-12 Variable 1.26088000 N N N N N N SLCLT 2007-1 A4 V/R 05/15/19 N/A 784424AD5 424361.70000000 NS USD 420015.05000000 0.073210460352 Long ABS-CBDO CORP US N 2 2029-05-15 Variable 0.56643000 N N N N N N GSMBS 2021-INV1 V/R 12/25/43 N/A 36263KAJ0 284133.31000000 NS USD 280812.36000000 0.048946822615 Long ABS-CBDO CORP US Y 2 2051-12-25 Variable 0.89867000 N N N N N N SAUDI ARABIAN 2.875% 04/16/24 N/A M8237RAC8 1000000.00000000 NS USD 1013368.00000000 0.176634474851 Long DBT CORP SA N 2 2024-04-16 Fixed 2.87500000 N N N N N N BARCLAYS PLC V/R 05/16/24 213800LBQA1Y9L22JB70 06738EBC8 3200000.00000000 NS USD 3237865.25000000 0.564374075431 Long DBT CORP GB N 2 2024-05-16 Variable 1.83857000 N N N N N N HYUNDAI CAPITA 0.875% 06/14/24 N/A 44891ABV8 2000000.00000000 NS USD 1923186.34000000 0.335219791040 Long DBT CORP US Y 2 2024-06-14 Fixed 0.87500000 N N N N N N F/C US 10YR ULTRA FUT JUN22 N/A N/A -136.00000000 NC USD -19220625.00000000 -3.35023900812 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Short F/C US 10YR ULTRA FUT JUN22 US 10YR ULTRA FUT JUN22 2022-06-21 19053280.44000000 USD -167344.56000000 N N N ATCLO 2018-9A A V/R 04/20/28 N/A 04941VAC9 179898.34000000 NS USD 180011.82000000 0.031376847594 Long ABS-CBDO CORP KY Y 2 2028-04-20 Variable 1.12400000 N N N N N N VOLKSWAGEN F V/R 09/14/22/AUD/ N/A Q9T89AHP1 710000.00000000 NS 518042.53000000 0.090297078886 Long DBT CORP AU N 2 2022-09-14 Variable 1.36120000 N N N N N N TIME WARNER EN 8.375% 03/15/23 N/A 88731EAF7 1000000.00000000 NS USD 1066830.42000000 0.185953208500 Long DBT CORP US N 2 2023-03-15 Fixed 8.37500000 N N N N N N VM CASH CCP CME BCY N/A N/A 285228.07000000 NS USD 285228.07000000 0.049716500182 Long CORP US N 2 N N N FHLB 1% 07/27/26 N/A 3130ANED8 2600000.00000000 NS USD 2528536.22000000 0.440734922912 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 00928QAP6 1300000.00000000 NS USD 1334949.19000000 0.232687482857 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 251526BS7 400000.00000000 NS USD 402831.84000000 0.070215351690 Long DBT CORP US N 2 2023-02-27 Variable 1.73786000 N N N N N N CITIGROUP INC V/R 07/24/23 6SHGI4ZSSLCXXQSBB395 172967LN9 1500000.00000000 NS USD 1505029.40000000 0.262333207388 Long DBT CORP US N 2 2023-07-24 Variable 1.20886000 N N N N N N ISRAEL ELECTRIC CO 5% 11/12/24 254900JW7GE35YNJGJ55 465077AK1 600000.00000000 NS USD 636660.00000000 0.110972622737 Long DBT CORP IL Y 2 2024-11-12 Fixed 5.00000000 N N N N N N SES SA 3.6% 04/04/23 5493008JPA4HYMH1HX51 78413HAA7 400000.00000000 NS USD 405487.13000000 0.070678180351 Long DBT CORP LU Y 2 2023-04-04 Fixed 3.60000000 N N N N N N CGCMT 2021-KEYS V/R 10/15/23 N/A 17291GAA4 2700000.00000000 NS USD 2690348.04000000 0.468939430899 Long ABS-CBDO CORP US Y 2 2036-10-15 Variable 1.37100000 N N N N N N DRYD 2017-5 V/R 05/15/34 /EUR/ N/A N/A 1500000.00000000 NS 1677832.36000000 0.292453519152 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 00176JAT3 131516.90000000 NS USD 131115.64000000 0.022854029549 Long ABS-CBDO CORP KY Y 2 2029-04-14 Variable 1.21843000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 8882.19000000 0.001548204567 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL N/A -341857.98000000 USD 7185000.00000000 MXN 2022-03-04 8882.19000000 N N N ELFI 2021-A A 1.53% 12/26/46 N/A 28628BAA6 2427236.08000000 NS USD 2341944.46000000 0.408211162995 Long ABS-CBDO CORP US Y 2 2046-12-26 Fixed 1.53000000 N N N N N N HUTCH WHAMPOA I 3.25% 11/08/22 N/A G4690AAB3 843000.00000000 NS USD 851974.79000000 0.148502932417 Long DBT CORP KY N 2 2022-11-08 Fixed 3.25000000 N N N N N N LAUR 2016-1 V/R 10/20/31 /EUR/ N/A N/A 1700000.00000000 NS 1898682.32000000 0.330948633173 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 N/A -10000.00000000 NS USD -10000.00000000 -0.00174304373 Short STIV CORP US N 2 2049-12-31 Floating -0.02000000 N N N N N N IBERDROLA INTL 5.81% 03/15/25 N/A 81013TAC5 200000.00000000 NS USD 221317.09000000 0.038576536823 Long DBT CORP NL N 2 2025-03-15 Fixed 5.81000000 N N N N N N LMAT 2021-SL2 A V/R 10/25/68 N/A 52476TAA0 426419.87000000 NS USD 420364.41000000 0.073271355328 Long ABS-CBDO CORP US Y 2 2068-10-25 Variable 1.87500000 N N N N N N HCA INC 5.875% 05/01/23 N/A 404121AG0 800000.00000000 NS USD 832900.00000000 0.145178113087 Long DBT CORP US N 2 2023-05-01 Fixed 5.87500000 N N N N N N SMI 2019-1A V/R 01/21/70 /GBP/ N/A G8T62FAV8 528000.00000000 NS 712540.57000000 0.124198937988 Long ABS-CBDO CORP GB Y 2 2070-01-21 Variable 1.06402000 N N N N N N BARCLAYS PLC V/R 06/15/23/AUD/ 213800LBQA1Y9L22JB70 G0809LHP7 2250000.00000000 NS 1660652.63000000 0.289459017069 Long DBT CORP GB N 2 2023-06-15 Variable 1.86210000 N N N N N N NATIONWIDE BLDG S V/R 03/08/24 549300XFX12G42QIKN82 63861VAA5 500000.00000000 NS USD 508355.67000000 0.088608616818 Long DBT CORP GB Y 2 2024-03-08 Variable 3.76600000 N N N N N N MITSUBISHI HC 2.652% 09/19/22 353800MZ3QX9RLMH7B09 60682LAA0 500000.00000000 NS USD 502639.06000000 0.087612186691 Long DBT CORP JP Y 2 2022-09-19 Fixed 2.65200000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -459701.42000000 -0.08012796823 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -62578714.00000000 AUD 45014057.98000000 USD 2022-04-04 -459701.42000000 N N N LWMC 2017-F V/R 11/15/49 /GBP/ N/A G56926AL5 118461.82000000 NS 159125.23000000 0.027736223599 Long ABS-CBDO CORP GB N 2 2049-11-15 Variable 1.74100000 N N N N N N CITIGROUP INC V/R 05/17/24 6SHGI4ZSSLCXXQSBB395 172967LL3 500000.00000000 NS USD 504285.20000000 0.087899116093 Long DBT CORP US N 2 2024-05-17 Variable 1.56871000 N N N N N N DEUTSCHE BANK 0.898% 05/28/24 N/A 251526CJ6 300000.00000000 NS USD 291214.72000000 0.050759999463 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 38382VER6 3825209.92000000 NS USD 3819153.47000000 0.665695154720 Long ABS-CBDO CORP US N 2 2051-06-20 Variable 0.44833000 N N N N N N VENTR 2019-36A A V/R 04/20/32 N/A 92332LAU3 1000000.00000000 NS USD 996697.00000000 0.173728646632 Long ABS-CBDO CORP KY Y 2 2032-04-20 Variable 1.38400000 N N N N N N GOLDMAN SACH V/R 05/16/23/AUD/ 784F5XWPLTWKTBV3E584 Q4164JAF1 2000000.00000000 NS 1463847.65000000 0.255155048234 Long DBT CORP US N 2 2023-05-16 Variable 1.27840000 N N N N N N BSABS 2005-CL1 A V/R 09/25/34 N/A 073879V21 473428.89000000 NS USD 460373.76000000 0.080245160033 Long ABS-CBDO CORP US N 2 2034-09-25 Variable 0.68686000 N N N N N N FHR 4344 FA V/R 12/15/37 N/A 3137BAJK9 760343.52000000 NS USD 759811.74000000 0.132438509683 Long ABS-CBDO CORP US N 2 2037-12-15 Variable 0.55188000 N N N N N N JDE PEET'S NV 0.8% 09/24/24 N/A 47216QAA1 900000.00000000 NS USD 863342.87000000 0.150484438485 Long DBT CORP NL Y 2 2024-09-24 Fixed 0.80000000 N N N N N N WELLS FAR 2.509% 10/27/23/CAD/ PBLD0EJDB5FWOLXP3B76 949746SG7 5200000.00000000 NS 4121606.06000000 0.718413964079 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 92890NAZ2 597641.49000000 NS USD 598103.77000000 0.104252103204 Long ABS-CBDO CORP US Y 2 2045-12-15 Variable 0.90971000 N N N N N N F/C 1 MONTH SOFR FUT APR22 N/A N/A 408.00000000 NC USD 169461055.80000000 29.53780324515 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Long F/C 1 MONTH SOFR FUT APR22 1 MONTH SOFR FUT APR22 2022-04-29 169571689.02000000 USD -110633.22000000 N N N IMPERIAL BRANDS 3.5% 07/26/26 N/A 45262BAB9 700000.00000000 NS USD 710440.06000000 0.123832809908 Long DBT CORP GB Y 2 2026-07-26 Fixed 3.50000000 N N N N N N IMPERIAL BRAND 3.125% 07/26/24 N/A 45262BAA1 400000.00000000 NS USD 405007.40000000 0.070594561314 Long DBT CORP GB Y 2 2024-07-26 Fixed 3.12500000 N N N N N N FHLMC 0.8% 10/28/26 N/A 3134GW6C5 5000000.00000000 NS USD 4786877.40000000 0.834373668524 Long ABS-MBS USGA US N 2 2026-10-28 Fixed 0.80000000 N N N N N N CSMC 2021-RPL4 A V/R 12/27/60 N/A 12662GAC2 886913.41000000 NS USD 867171.52000000 0.151151788926 Long ABS-CBDO CORP US Y 2 2060-12-27 Variable 1.79561000 N N N N N N FIRST ABU DH V/R 02/18/25/AUD/ 2138002Y3WMK6RZS8H90 M4289DSG7 1700000.00000000 NS 1242442.63000000 0.216563184827 Long DBT CORP AE N 2 2025-02-18 Variable 1.18000000 N N N N N N RMS 32A A V/R 06/20/70 /GBP/ N/A N/A 1615578.83000000 NS 2187132.84000000 0.381226820486 Long ABS-CBDO CORP GB Y 2 2070-06-20 Variable 1.50221000 N N N N N N ECMC 2018-1A A V/R 02/25/30 N/A 26828HAA5 479567.89000000 NS USD 477866.77000000 0.083294268190 Long ABS-CBDO CORP US Y 2 2068-02-27 Variable 0.93686000 N N N N N N MIZUHO BANK V/R 08/07/24 /AUD/ N/A Q6S38HZP5 1400000.00000000 NS 1023331.08000000 0.178371083273 Long DBT CORP JP N 2 2024-08-07 Variable 0.82000000 N N N N N N GNR 2017-H15 FE V/R 07/20/67 N/A 38376R6F8 1313453.40000000 NS USD 1319660.52000000 0.230022600804 Long ABS-CBDO CORP US N 2 2067-07-20 Variable 1.04688000 N N N N N N NORDEA BANK ABP V/R 08/30/23 529900ODI3047E2LIV03 65557CAZ6 1200000.00000000 NS USD 1211593.46000000 0.211186039563 Long DBT CORP FI Y 2 2023-08-30 Variable 1.44786000 N N N N N N BARRY CALLEBAUT 5.5% 06/15/23 N/A B0R9M3AB5 700000.00000000 NS USD 730746.52000000 0.127372314706 Long DBT CORP BE N 2 2023-06-15 Fixed 5.50000000 N N N N N N PSTET 2021- V/R 04/15/31 /EUR/ N/A N/A 500000.00000000 NS 560847.39000000 0.097758153212 Long ABS-CBDO CORP IE Y 2 2031-04-15 Variable 0.78000000 N N N N N N NSLT 2019-3A A V/R 09/25/28 N/A 64031DAA8 882956.48000000 NS USD 876682.37000000 0.152809571681 Long ABS-CBDO CORP US Y 2 2067-08-25 Variable 0.98686000 N N N N N N ESA 2021-ESH A V/R 07/15/26 N/A 30227FAA8 2087154.59000000 NS USD 2069873.78000000 0.360788053439 Long ABS-CBDO CORP US Y 2 2038-07-15 Variable 1.27200000 N N N N N N NRZT 2019-RPL3 A V/R 07/25/59 N/A 64830NAA9 1942227.35000000 NS USD 1947529.05000000 0.339462831867 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 3132DV3V5 470332.99000000 NS USD 491944.51000000 0.085748079848 Long ABS-MBS USGA US N 2 2049-09-01 Fixed 4.00000000 N N N N N N FHLB 0.8% 11/27/23 N/A 3130APXH3 5100000.00000000 NS USD 5033597.24000000 0.877378015784 Long ABS-MBS USGA US N 2 2023-11-27 Fixed 0.80000000 N N N N N N NATWEST GROUP PLC V/R 05/15/23 N/A 780097BE0 2120000.00000000 NS USD 2127524.75000000 0.370836869675 Long DBT CORP GB N 2 2023-05-15 Variable 3.49800000 N N N N N N OZLM 2014-9A A1A V/R 10/20/31 N/A 67109KBC7 1000000.00000000 NS USD 996549.00000000 0.173702849585 Long ABS-CBDO CORP KY Y 2 2031-10-20 Variable 1.35400000 N N N N N N TCW 2018-1A A1R V/R 04/25/31 N/A 87240UAR1 600000.00000000 NS USD 598057.20000000 0.104243985850 Long ABS-CBDO CORP KY Y 2 2031-04-25 Variable 1.22771000 N N N N N N IMPERIAL BRANDS 3.75% 07/21/22 N/A 453140AE5 3300000.00000000 NS USD 3314006.95000000 0.577645906784 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 654740BE8 2400000.00000000 NS USD 2401627.92000000 0.418614251127 Long DBT CORP US Y 2 2022-09-28 Variable 0.90975000 N N N N N N CREDIT SUISSE GRO V/R 06/12/24 549300506SI9CRFV9Z86 225401AH1 2000000.00000000 NS USD 2017134.46000000 0.351595359283 Long DBT CORP CH Y 2 2024-06-12 Variable 1.44088000 N N N N N N KOREA SOUTHE V/R 10/30/24/AUD/ N/A Y4949FEE1 1400000.00000000 NS 1027694.82000000 0.179131702242 Long DBT CORP KR N 2 2024-10-30 Variable 1.04500000 N N N N N N EXPORT-IMPORT BAN V/R 06/01/23 N/A 302154CU1 1500000.00000000 NS USD 1510554.38000000 0.263296235568 Long DBT USGA KR N 2 2023-06-01 Variable 0.94588000 N N N N N N DRYD 2017-2 V/R 04/15/33 /EUR/ N/A N/A 1300000.00000000 NS 1443497.88000000 0.251607994314 Long ABS-CBDO CORP IE 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 89175MAA1 486821.16000000 NS USD 498654.52000000 0.086917663940 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 05525DAA4 500000.00000000 NS USD 495732.10000000 0.086408273352 Long ABS-CBDO CORP US Y 2 2034-03-15 Variable 1.39100000 N N N N N N UMBS P#SD0251 4% 06/01/49 N/A 3132DMH40 85225.05000000 NS USD 89137.15000000 0.015536995129 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 N/A 500000.00000000 NS 560052.14000000 0.097619537658 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 66981EAA1 808175.38000000 NS USD 808940.24000000 0.141001822120 Long ABS-CBDO CORP US Y 2 2040-08-15 Fixed 2.02100000 N N N N N N AT&T INC 2.85% 05/25/24/CAD/ 549300Z40J86GGSTL398 00206RDW9 1000000.00000000 NS 794661.20000000 0.138512922991 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 G345ACAA2 605163.63000000 NS 812358.06000000 0.141597563095 Long ABS-CBDO CORP GB N 2 2069-06-16 Variable 1.07038000 N N N N N N BNP PARIBAS 3.375% 01/09/25 R0MUWSFPU8MPRO8K5P83 09659W2D5 400000.00000000 NS USD 408510.09000000 0.071205095501 Long DBT CORP FR Y 2 2025-01-09 Fixed 3.37500000 N N N N N N FSQ 2021-1G V/R 12/16/67 /GBP/ N/A N/A 2906572.57000000 NS 3865984.30000000 0.673857973226 Long ABS-CBDO CORP GB Y 2 2067-12-16 Variable 0.89103000 N N N N N N FSQ 2020-1A V/R 03/16/70 /GBP/ N/A N/A 1997443.60000000 NS 2684022.13000000 0.467836797117 Long ABS-CBDO CORP GB Y 2 2070-03-16 Variable 1.04103000 N N N N N N AVIATION CAPIT 3.875% 05/01/23 N/A 05369AAC5 2000000.00000000 NS USD 2029097.92000000 0.353680642689 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 Q7S88XAB5 500000.00000000 NS 366403.54000000 0.063865739663 Long DBT CORP KY N 2 2023-02-01 Variable 1.82080000 N N N N N N BOC AVIATION LT 2.75% 09/18/22 N/A 09681LAD2 200000.00000000 NS USD 200781.70000000 0.034997128525 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 3130AL5A8 5000000.00000000 NS USD 4758073.95000000 0.829353101203 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 78449MAA4 344022.66000000 NS USD 334077.58000000 0.058231183442 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 70014LAC4 1000000.00000000 NS USD 1021265.23000000 0.178010996582 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 N/A 420532.32000000 NS 571337.48000000 0.099586621782 Long ABS-CBDO CORP GB N 2 2051-10-20 Variable 1.49998000 N N N N N N AWPT 2017-8A A1R V/R 10/25/30 N/A 28622VAN0 3000000.00000000 NS USD 2985033.00000000 0.520304308373 Long ABS-CBDO CORP KY Y 2 2030-10-25 Variable 1.20771000 N N N N N N EFSV 2010-1 A2 V/R 07/25/27 N/A 26844VAB2 114812.09000000 NS USD 114680.70000000 0.019989347621 Long ABS-CBDO CORP US Y 2 2035-10-25 Variable 1.10771000 N N N N N N FHLB 0.75% 02/24/26 N/A 3130ALCV4 3200000.00000000 NS USD 3066388.42000000 0.534484913926 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 526057BN3 700000.00000000 NS USD 710160.68000000 0.123784112752 Long DBT CORP US N 2 2022-11-15 Fixed 4.75000000 N N N N N N DANSKE BANK A/ 5.375% 01/12/24 MAES062Z21O4RZ2U7M96 23636BAT6 600000.00000000 NS USD 632686.06000000 0.110279947613 Long DBT CORP DK N 2 2024-01-12 Fixed 5.37500000 N N N N N N LMAT 2021-GS5 A1 V/R 07/25/67 N/A 52475XAA2 379272.39000000 NS USD 370544.61000000 0.064587546277 Long ABS-CBDO CORP US Y 2 2067-07-25 Variable 2.25000000 N N N N N N CREDIT SUISS V/R 05/26/23/AUD/ N/A Q2R8CZKP5 2500000.00000000 NS 1832565.64000000 0.319424206656 Long DBT CORP AU N 2 2023-05-26 Variable 1.22980000 N N N N N N BOC AVIATION LTD 3% 05/23/22 N/A Y09292AA4 1200000.00000000 NS USD 1202173.43000000 0.209544087131 Long DBT CORP SG N 2 2022-05-23 Fixed 3.00000000 N N N N N N DANSKE BANK A/ 5.375% 01/12/24 MAES062Z21O4RZ2U7M96 23636AAT8 200000.00000000 NS USD 210895.35000000 0.036759981956 Long DBT CORP DK Y 2 2024-01-12 Fixed 5.37500000 N N N N N N ORIX CORP 2.9% 07/18/22 35380016EMHNBOVYE123 686330AH4 400000.00000000 NS USD 403020.62000000 0.070248256870 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 918423AU8 4000000.00000000 NS 3172289.97000000 0.552944017302 Long DBT CORP CA N 2 2022-06-27 Fixed 2.65000000 N N N N N N CMLTI 2021-INV3 V/R 05/25/51 N/A 17329VDF3 1763460.46000000 NS USD 1757010.96000000 0.306254695458 Long ABS-CBDO CORP US Y 2 2051-05-25 Variable 0.89867000 N N N N N N GNR 2016-H06 FD V/R 07/20/65 N/A 38376RSG2 1772566.17000000 NS USD 1793727.06000000 0.312654472283 Long ABS-CBDO CORP US N 2 2065-07-20 Variable 1.02125000 N N N N N N US TREAS NTS 0.75% 11/15/24 N/A 91282CDH1 9700000.00000000 NS USD 9484402.37000000 1.653172817674 Long DBT UST US N 2 2024-11-15 Fixed 0.75000000 N N N N N N M360 2021-CRE3 A V/R 11/22/38 N/A 55379AAA2 2700000.00000000 NS USD 2697827.99000000 0.470243218901 Long ABS-CBDO CORP KY Y 2 2038-11-22 Variable 1.67071000 N N N N N N NHEL 2005-4 M1 V/R 01/25/36 N/A 66987WDE4 212298.25000000 NS USD 212002.01000000 0.036952877635 Long ABS-CBDO CORP US N 2 2036-01-25 Variable 0.84686000 N N N N N N FIRST ABU DHABI B V/R 04/16/22 2138002Y3WMK6RZS8H90 M4289C3U5 1500000.00000000 NS USD 1502055.00000000 0.261814756458 Long DBT CORP AE N 2 2022-04-16 Variable 1.18914000 N N N N N N BOC AVIATION LTD V/R 09/26/23 N/A 09681LAH3 400000.00000000 NS USD 401501.61000000 0.069983486782 Long DBT CORP SG Y 2 2023-09-26 Variable 1.34475000 N N N N N N SLMA 2008-5 A4 V/R 07/25/23 N/A 78444YAD7 390690.41000000 NS USD 391939.96000000 0.068316849365 Long ABS-CBDO CORP US N 2 2023-07-25 Variable 1.95771000 N N N N N N HYUNDAI CAPITAL 1.25% 09/18/23 N/A 44891ABM8 1500000.00000000 NS USD 1479327.51000000 0.257853255541 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 36252RAQ2 183936.69000000 NS USD 186896.30000000 0.032576842570 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 89169EAA7 322714.33000000 NS USD 322415.21000000 0.056198381340 Long ABS-CBDO CORP US Y 2 2057-02-25 Variable 0.78686000 N N N N N N TPMT 2019-HY2 A1 V/R 05/25/58 N/A 89177HAA0 310509.61000000 NS USD 311727.21000000 0.054335416191 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 1.18686000 N N N N N N NAVSL 2015-BA A3 V/R 05/15/27 N/A 63939KAC3 1066419.35000000 NS USD 1075466.21000000 0.187458464470 Long ABS-CBDO CORP US Y 2 2040-07-16 Variable 1.64114000 N N N N N N SLMA 2008-8 A4 V/R 01/25/17 N/A 78445GAD5 91049.52000000 NS USD 91303.04000000 0.015914519229 Long ABS-CBDO CORP US N 2 2023-04-25 Variable 1.75771000 N N N N N N DEUTSCHE BANK NY V/R 11/16/22 N/A 251526BM0 300000.00000000 NS USD 301430.94000000 0.052540731294 Long DBT CORP US N 2 2022-11-16 Variable 1.64857000 N N N N N N IBRD 0.85% 02/10/27 N/A 459058JT1 3800000.00000000 NS USD 3583417.75000000 0.624605387621 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 12614ADE7 337054.91000000 NS 265708.65000000 0.046314179899 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 345397YQ0 500000.00000000 NS USD 500602.50000000 0.087257205375 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 38141GXV1 700000.00000000 NS USD 699664.97000000 0.121954664591 Long DBT CORP US N 2 2023-03-08 Variable 0.47926000 N N N N N N TD SYNNEX CORP 1.25% 08/09/24 5493004HI6PFLF46NS53 87162WAC4 1500000.00000000 NS USD 1457991.59000000 0.254134311362 Long DBT CORP US Y 2 2024-08-09 Fixed 1.25000000 N N N N N N SMBC AVIATION CAPI 3% 07/15/22 N/A G82296AB3 400000.00000000 NS USD 401996.36000000 0.070069723871 Long DBT CORP IE N 2 2022-07-15 Fixed 3.00000000 N N N N N N FHLB 1.02% 02/24/27 N/A 3130ALED2 5500000.00000000 NS USD 5270250.37000000 0.918627691459 Long ABS-MBS USGA US N 2 2027-02-24 Fixed 1.02000000 N N N N N N WINDR 2019-3A AR V/R 04/15/31 N/A 97314JAA3 2100000.00000000 NS USD 2089705.80000000 0.364244861270 Long ABS-CBDO CORP KY Y 2 2031-04-15 Variable 1.32129000 N N N N N N PFP 2021-7 A V/R 04/14/38 N/A 69290LAA5 445564.79000000 NS USD 442780.01000000 0.077178492453 Long ABS-CBDO CORP KY Y 2 2038-04-14 Variable 1.04114000 N N N N N N NOMURA HOLDING 1.851% 07/16/25 549300B3CEAHYG7K8164 65535HAR0 1100000.00000000 NS USD 1071554.33000000 0.186776606675 Long DBT CORP JP N 2 2025-07-16 Fixed 1.85100000 N N N N N N FORD MOTOR CRE 3.087% 01/09/23 N/A 345397A29 2000000.00000000 NS USD 2014980.00000000 0.351219827481 Long DBT CORP US N 2 2023-01-09 Fixed 3.08700000 N N N N N N PFSFC 2019-A A1 V/R 04/15/22 N/A 69335PDD4 1200000.00000000 NS USD 1200286.32000000 0.209215155604 Long ABS-CBDO CORP US Y 2 2024-04-15 Variable 0.74114000 N N N N N N US T BILL ZCP 04/26/22 N/A 912796U23 200000000.00000000 PA USD 199927666.68000000 34.84826678188 Long STIV UST US N 2 2022-04-26 Fixed 0.00000000 N N N N N N DRSLF 2014-36A A V/R 04/15/29 N/A 26249KAZ4 576394.12000000 NS USD 574541.01000000 0.100145011073 Long ABS-CBDO CORP KY Y 2 2029-04-15 Variable 1.26129000 N N N N N N NSLT 2017-3A A V/R 06/25/37 N/A 64032KAA1 935262.38000000 NS USD 933225.47000000 0.162665281330 Long ABS-CBDO CORP US Y 2 2066-02-25 Variable 1.03686000 N N N N N N FASTR 20 1.162% 08/15/24 /CAD/ N/A 345213JH6 3500000.00000000 NS 2731722.81000000 0.476151234283 Long ABS-CBDO CORP CA Y 2 2025-10-15 Fixed 1.16200000 N N N N N N PFSFC 2020-F A 0.93% 08/15/22 N/A 69335PDV4 400000.00000000 NS USD 399562.12000000 0.069645425192 Long ABS-CBDO CORP US Y 2 2024-08-15 Fixed 0.93000000 N N N N N N ENEL FINANCE IN 2.65% 09/10/24 N/A N30707AM0 1000000.00000000 NS USD 1006192.77000000 0.175383800877 Long DBT CORP NL N 2 2024-09-10 Fixed 2.65000000 N N N N N N BNP PARIBAS V/R 02/28/24/AUD/ R0MUWSFPU8MPRO8K5P83 F105CLG39 400000.00000000 NS 296085.73000000 0.051609037811 Long DBT CORP FR N 2 2024-02-28 Variable 1.79500000 N N N N N N HSBC HOLDING V/R 02/16/24/AUD/ MLU0ZO3ML4LN2LL2TL39 G4634UG55 1000000.00000000 NS 729987.50000000 0.127240014200 Long DBT CORP GB N 2 2024-02-16 Variable 1.17840000 N N N N N N TRINI 2021- V/R 07/15/59 /GBP/ N/A N/A 1431443.89000000 NS 1926817.76000000 0.335852763429 Long ABS-CBDO CORP GB Y 2 2059-07-15 Variable 1.15273000 N N N N N N LEIDOS INC 2.95% 05/15/23 N/A 52532XAB1 4000000.00000000 NS USD 4052760.00000000 0.706413794690 Long DBT CORP US N 2 2023-05-15 Fixed 2.95000000 N N N N N N FHLB 0.96% 03/05/26 N/A 3130ALHH0 3400000.00000000 NS USD 3290260.41000000 0.573506780995 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 E2R99CMR5 1000000.00000000 NS 733136.77000000 0.127788945736 Long DBT CORP ES N 2 2023-01-19 Variable 1.58400000 N N N N N N AIRCASTLE LTD 4.4% 09/25/23 N/A 00928QAR2 800000.00000000 NS USD 821346.54000000 0.143164294475 Long DBT CORP US N 2 2023-09-25 Fixed 4.40000000 N N N N N N GLM 2017-2A AR V/R 11/20/30 N/A 38136MAU2 2700000.00000000 NS USD 2691257.40000000 0.469097936325 Long ABS-CBDO CORP KY Y 2 2030-11-20 Variable 1.16400000 N N N N N N GCAT 2022-HX1 A1 V/R 12/27/66 N/A 36168XAA7 1090306.40000000 NS USD 1089598.09000000 0.189921712966 Long ABS-CBDO CORP US Y 2 2066-12-27 Variable 2.88500000 N N N N N N GOLDMAN SACHS GRO V/R 10/21/24 784F5XWPLTWKTBV3E584 38141GYL2 1000000.00000000 NS USD 979400.56000000 0.170713801486 Long DBT CORP US N 2 2024-10-21 Variable 0.92500000 N N N N N N AVOLON HOLDING 5.125% 10/01/23 N/A 05401AAB7 900000.00000000 NS USD 932665.88000000 0.162567742345 Long DBT CORP IE Y 2 2023-10-01 Fixed 5.12500000 N N N N N N LLOYDS BANKI V/R 03/20/23/AUD/ 549300PPXHEU2JF0AM85 G55365GP2 4000000.00000000 NS 2930036.79000000 0.510718228418 Long DBT CORP GB N 2 2023-03-20 Variable 1.36500000 N N N N N N BSP 2017-12A A1R V/R 10/15/30 N/A 08179HAE0 1000000.00000000 NS USD 995343.00000000 0.173492638510 Long ABS-CBDO CORP KY Y 2 2030-10-15 Variable 1.19129000 N N N N N N SLMA 2005-5 A4 V/R 10/25/28 N/A 78442GPQ3 481885.34000000 NS USD 479931.25000000 0.083654116084 Long ABS-CBDO CORP US N 2 2028-10-25 Variable 0.39771000 N N N N N N VODAFONE GRO V/R 12/13/22/AUD/ 213800TB53ELEUKM7Q61 G9T75SRT0 2280000.00000000 NS 1661942.29000000 0.289683810448 Long DBT CORP GB N 2 2022-12-13 Variable 1.11150000 N N N N N N PLAINS ALL AMER 3.65% 06/01/22 N/A 72650RAZ5 1000000.00000000 NS USD 1000000.00000000 0.174304373979 Long DBT CORP US N 2 2022-06-01 Fixed 3.65000000 N N N N N N AOZORA BANK 2.55% 09/09/22 X0XUGKC9FD2CYUQNC010 J0172K8K6 700000.00000000 NS USD 703174.50000000 0.122566391020 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 Q9T799BR8 5600000.00000000 NS 4105319.17000000 0.715575087913 Long DBT CORP AU N 2 2025-07-30 Variable 0.94500000 N N N N N N NRZT 2018-RPL1 A V/R 12/25/57 N/A 64829VAA4 76146.72000000 NS USD 76905.72000000 0.013405003380 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 59981TAC9 800988.09000000 NS USD 807297.39000000 0.140715466179 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 3135G06L2 4000000.00000000 NS USD 3808721.88000000 0.663876882956 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 38382DMC0 72558.26000000 NS USD 73206.23000000 0.012760166091 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 78445FAD7 600518.39000000 NS USD 594388.78000000 0.103604564198 Long ABS-CBDO CORP US N 2 2023-07-25 Variable 1.15771000 N N N N N N MVW 2015-10A AR V/R 10/13/27 N/A 62432CAQ4 758189.47000000 NS USD 758378.49000000 0.132188687939 Long ABS-CBDO CORP KY Y 2 2027-10-13 Variable 1.06443000 N N N N N N GOLDMAN SACH V/R 05/02/24/AUD/ 784F5XWPLTWKTBV3E584 Q4164JAN4 1000000.00000000 NS 739983.55000000 0.128982369438 Long DBT CORP US N 2 2024-05-02 Variable 1.62000000 N N N N N N MF1 2020-FL3 A V/R 07/15/35 N/A 59319WAA9 155754.51000000 NS USD 156329.73000000 0.027248955722 Long ABS-CBDO CORP US Y 2 2035-07-15 Variable 2.21281000 N N N N N N DTAOT 2020-3A 0.54% 05/16/22 N/A 26253AAA4 33542.77000000 NS USD 33529.25000000 0.005844294931 Long ABS-CBDO CORP US Y 2 2024-04-15 Fixed 0.54000000 N N N N N N NAVSL 2021-FA 1.11% 05/15/29 N/A 63942GAA1 2759665.86000000 NS USD 2637173.95000000 0.459670954430 Long ABS-CBDO CORP US Y 2 2070-02-18 Fixed 1.11000000 N N N N N N BANGKOK BANK P 3.875% 09/27/22 N/A Y0606WBU3 1200000.00000000 NS USD 1214191.91000000 0.211638960763 Long DBT CORP HK N 2 2022-09-27 Fixed 3.87500000 N N N N N N NYO 2021-1290 A V/R 11/15/28 N/A 62955HAA5 1800000.00000000 NS USD 1769605.02000000 0.308449895202 Long ABS-CBDO CORP US Y 2 2038-11-15 Variable 1.28700000 N N N N N N MCMLT 2021-NMR1 V/R 11/25/60 N/A 59982HAC4 657990.04000000 NS USD 647446.01000000 0.112852671458 Long ABS-CBDO CORP US Y 2 2060-11-25 Variable 1.12500000 N N N N N N CREDIT SUISSE GRO V/R 06/12/24 549300506SI9CRFV9Z86 H3698DBT0 1750000.00000000 NS USD 1764992.65000000 0.307645938937 Long DBT CORP CH N 2 2024-06-12 Variable 1.44088000 N N N N N N EXPORT-IMPOR V/R 10/08/24/AUD/ N/A Y2R8327E9 1400000.00000000 NS 1021429.64000000 0.178039653964 Long DBT USGA KR N 2 2024-10-08 Variable 0.86830000 N N N N N N CSMC 2021-INV1 A V/R 07/25/56 N/A 12661XBC5 278107.39000000 NS USD 274950.06000000 0.047924998083 Long ABS-CBDO CORP US Y 2 2056-07-25 Variable 0.84967000 N N N N N N ING GROEP NV V/R 04/01/27 549300NYKK9MWM7GGW15 456837AX1 1900000.00000000 NS USD 1911952.90000000 0.333261753313 Long DBT CORP NL N 2 2027-04-01 Variable 1.05943000 N N N N N N BOMFT 2019-SBR1 V/R 06/28/34 N/A 07333YAA6 37303.95000000 NS USD 37531.14000000 0.006541841862 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 694308HE0 500000.00000000 NS USD 509428.59000000 0.088795631467 Long DBT CORP US N 2 2023-11-15 Fixed 3.85000000 N N N N N N WFCM 2013-LC12 A V/R 06/15/23 N/A 94988QAG6 400000.00000000 NS USD 408303.28000000 0.071169047614 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 G2551UYM1 1000000.00000000 NS USD 1009280.14000000 0.175921942972 Long DBT CORP GB N 2 2024-03-22 Variable 1.26425000 N N N N N N UMBS P#SD8006 4% 08/01/49 N/A 3132DV3P8 629546.75000000 NS USD 658448.65000000 0.114770479736 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 39809LAA2 1000000.00000000 NS USD 999581.55000000 0.174231436314 Long ABS-CBDO CORP KY Y 2 2037-09-15 Variable 1.37114000 N N N N N N SUMITOMO MITSUI 0.8% 09/16/24 N/A 86563VAW9 500000.00000000 NS USD 482078.55000000 0.084028399866 Long DBT CORP JP Y 2 2024-09-16 Fixed 0.80000000 N N N N N N BWAY 2021-1450 A V/R 09/15/23 N/A 12430YAA8 2000000.00000000 NS USD 1977061.20000000 0.344610414785 Long ABS-CBDO CORP US Y 2 2036-09-15 Variable 1.44114000 N N N N N N LCM 13A AR3 V/R 07/19/27 N/A 50184KBL1 178495.45000000 NS USD 177877.14000000 0.031004763533 Long ABS-CBDO CORP KY Y 2 2027-07-19 Variable 1.11800000 N N N N N N DEUTSCHE BAN V/R 01/30/23/AUD/ N/A Q3R7A3AB0 790000.00000000 NS 576422.86000000 0.100473025759 Long DBT CORP AU N 2 2023-01-30 Variable 1.47500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 447507.95000000 0.078002593075 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -44636442.22000000 USD 62077714.00000000 AUD 2022-03-02 447507.95000000 N N N HOF 2020-2 A1 V/R 05/25/65 N/A 43789XAA2 117248.48000000 NS USD 117025.65000000 0.020398082662 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 317350BD7 169811.69000000 NS USD 168278.78000000 0.029331727401 Long ABS-CBDO CORP US N 2 2034-08-25 Variable 1.01186000 N N N N N N JPMCC 2019-FL12 V/R 04/15/21 N/A 46651QAA5 354951.44000000 NS USD 351892.93000000 0.061336476871 Long ABS-CBDO CORP US Y 2 2031-12-15 Variable 2.45000000 N N N N N N BRUEG 2021- V/R 08/22/26 /EUR/ N/A N/A 1968347.04000000 NS 2203659.96000000 0.384107569791 Long ABS-CBDO CORP IE Y 2 2031-05-22 Variable 0.80000000 N N N N N N QNB FINANCE LTD V/R 03/21/24 N/A G7302VHH0 4200000.00000000 NS USD 4225953.02000000 0.736602095618 Long DBT CORP KY N 2 2024-03-21 Variable 1.46263000 N N N N N N MVEW 2017-1A AR V/R 10/16/29 N/A 62432HAJ9 779668.46000000 NS USD 779539.58000000 0.135877158484 Long ABS-CBDO CORP KY Y 2 2029-10-16 Variable 1.33129000 N N N N N N FORD MOTOR CRED 3.35% 11/01/22 N/A 345397ZU0 2700000.00000000 NS USD 2709841.50000000 0.472337226241 Long DBT CORP US N 2 2022-11-01 Fixed 3.35000000 N N N N N N FHLB 1.1% 11/15/24 N/A 3130APRA5 2500000.00000000 NS USD 2461463.00000000 0.429043767289 Long ABS-MBS USGA US N 2 2024-11-15 Fixed 1.10000000 N N N N N N AT&T INC V/R 09/19/23/AUD/ 549300Z40J86GGSTL398 U04644DD6 3900000.00000000 NS 2859963.08000000 0.498504074264 Long DBT CORP US N 2 2023-09-19 Variable 1.31500000 N N N N N N PARK AEROSPACE 5.25% 08/15/22 N/A 70014LAA8 2600000.00000000 NS USD 2632636.42000000 0.458880043104 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 161175BP8 4189000.00000000 NS USD 4283913.23000000 0.746704813738 Long DBT CORP US N 2 2024-02-01 Variable 1.96657000 N N N N N N MICROCHIP TECH 4.333% 06/01/23 5493007PTFULNYZJ1R12 595017AP9 1000000.00000000 NS USD 1030840.77000000 0.179680055087 Long DBT CORP US N 2 2023-06-01 Fixed 4.33300000 N N N N N N DELL INT LLC / 5.45% 06/15/23 N/A 24703TAA4 826000.00000000 NS USD 860415.46000000 0.149974178117 Long DBT CORP US N 2 2023-06-15 Fixed 5.45000000 N N N N N N HYUNDAI CAPITAL 0.8% 04/03/23 N/A 44891ABU0 1500000.00000000 NS USD 1478856.21000000 0.257771105890 Long DBT CORP US Y 2 2023-04-03 Fixed 0.80000000 N N N N N N KOREA DEVELOPMENT V/R 10/30/22 N/A Y4S21XMA2 5200000.00000000 NS USD 5222646.00000000 0.910330041547 Long DBT USGA KR N 2 2022-10-30 Variable 1.07757000 N N N N N N HYUNDAI CAPITAL 5.75% 04/06/23 N/A 44891ABJ5 1000000.00000000 NS USD 1040028.75000000 0.181281560189 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 78448TAE2 700000.00000000 NS USD 717929.48000000 0.125138248572 Long DBT CORP IE Y 2 2024-04-15 Fixed 3.55000000 N N N N N N CASH COLLATERAL CME WFS N/A N/A 1482000.00000000 NS USD 1482000.00000000 0.258319082237 Long STIV CORP US N 2 2049-12-31 Floating -0.02000000 N N N N N N T-MOBILE USA INC 3.5% 04/15/25 N/A 87264ABB0 700000.00000000 NS USD 720426.32000000 0.125573458706 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N US TREAS BDS 0% 12/15/24 N/A 91282CDN8 44400000.00000000 NS USD 43683703.24000000 7.614260546363 Long DBT UST US Y 2 2024-12-15 Fixed 1.00000000 N N N N N N CNH INDUSTRIAL N 4.5% 08/15/23 549300WGC2HZ5J67V817 12594KAA0 300000.00000000 NS USD 309832.27000000 0.054005119861 Long DBT CORP GB N 2 2023-08-15 Fixed 4.50000000 N N N N N N BANK OF AMER V/R 03/15/23/CAD/ N/A 060505EZ3 3500000.00000000 NS 2762940.36000000 0.481592589793 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 89176UAN4 2409926.64000000 NS USD 2366827.99000000 0.412548471114 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 N/A 1943227.52000000 NS 2170013.51000000 0.378242846388 Long ABS-CBDO CORP IE Y 2 2029-12-15 Variable 0.19700000 N N N N N N IMM 2004-10 1A1 V/R 03/25/35 N/A 45254NLJ4 86290.33000000 NS USD 84880.55000000 0.014795051130 Long ABS-CBDO CORP US N 2 2035-03-25 Variable 0.82686000 N N N N N N FHR 4351 FA V/R 05/15/38 N/A 3137BBQ37 1031473.68000000 NS USD 1026640.09000000 0.178947858189 Long ABS-CBDO CORP US N 2 2038-05-15 Variable 0.55188000 N N N N N N BOEING CO 1.875% 06/15/23 RVHJWBXLJ1RFUBSY1F30 097023BQ7 100000.00000000 NS USD 99751.68000000 0.017387154135 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 26828VAA4 587104.03000000 NS USD 591256.38000000 0.103058573177 Long ABS-CBDO CORP US Y 2 2067-05-25 Variable 1.23686000 N N N N N N SK HYNIX INC 1% 01/19/24 988400XAIK6XISWQV045 Y8085FAZ3 200000.00000000 NS USD 195081.14000000 0.034003495982 Long DBT CORP KR N 2 2024-01-19 Fixed 1.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -4565.42000000 -0.00079577267 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -539000.00000000 AUD 386883.42000000 USD 2022-03-02 -4565.42000000 N N N KOREA NATIONAL OI V/R 07/16/23 N/A Y48216AB4 650000.00000000 NS USD 654957.93000000 0.114162031971 Long DBT USGA KR N 2 2023-07-16 Variable 1.11629000 N N N N N N SMB 2020-PTA A2 1.6% 09/15/54 N/A 78449VAB2 414888.33000000 NS USD 404553.88000000 0.070515510794 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 66980P2A6 600000.00000000 NS USD 590340.67000000 0.102898960919 Long DBT CORP US Y 2 2024-04-29 Fixed 1.62500000 N N N N N N PARKER-HANNIFIN 0% 3/3/22 N/A 70109MC36 1900000.00000000 PA USD 1899920.83000000 0.331164510884 Long STIV CORP US N 2 2022-03-03 Fixed 0.00000000 N N N N N N ISRAEL ELECTRI 6.875% 06/21/23 N/A 46507NAE0 400000.00000000 NS USD 423868.00000000 0.073882046390 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 12551JAL0 3200000.00000000 NS USD 3190716.80000000 0.556155894370 Long ABS-CBDO CORP KY Y 2 2030-10-24 Variable 1.20886000 N N N N N N NYMT 2021-SP1 A S/UP 08/25/24 N/A 62955RAA3 543980.02000000 NS USD 529564.28000000 0.092305370307 Long ABS-CBDO CORP US Y 2 2061-08-25 Variable 1.66960000 N N N N N N REYNOLDS AMERIC 4.45% 06/12/25 N/A 761713BG0 600000.00000000 NS USD 628233.67000000 0.109503876562 Long DBT CORP US N 2 2025-06-12 Fixed 4.45000000 N N N N N N PARKER-HANNIFIN 0% 4/22/22 N/A 70109MDN1 2300000.00000000 PA USD 2297940.22000000 0.400541031489 Long STIV CORP US N 2 2022-04-22 Fixed 0.00000000 N N N N N N LUXE 2021-TRIP A V/R 10/15/24 N/A 55066WAA2 2700000.00000000 NS USD 2665621.98000000 0.464629570490 Long ABS-CBDO CORP US Y 2 2038-10-15 Variable 1.24100000 N N N N N N LEASEPLAN CORP 2.875% 10/24/24 N/A 52206AAD2 800000.00000000 NS USD 805273.54000000 0.140362700272 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 G1825MAF2 805729.32000000 NS 1087046.82000000 0.189477015446 Long ABS-CBDO CORP GB N 2 2056-05-16 Variable 1.79520000 N N N N N N STWD 2021-HTS A V/R 04/15/24 N/A 78486DAA8 1200000.00000000 NS USD 1185500.28000000 0.206637884158 Long ABS-CBDO CORP US Y 2 2034-04-15 Variable 1.24114000 N N N N N N THRM 2021-1A A 1.21% 12/15/27 N/A 88339VAA6 227387.24000000 NS USD 225650.52000000 0.039331872626 Long ABS-CBDO CORP US Y 2 2027-12-15 Fixed 1.21000000 N N N N N N ADCB FINANCE V/R 10/25/22/AUD/ N/A G01088EY8 200000.00000000 NS 145851.14000000 0.025422491651 Long DBT CORP KY N 2 2022-10-25 Variable 1.44500000 N N N N N N MSAC 2004-HE4 M1 V/R 05/25/34 N/A 61746RGK1 472420.00000000 NS USD 467624.04000000 0.081508915550 Long ABS-CBDO CORP US N 2 2034-05-25 Variable 1.08686000 N N N N N N FASTR 20 0.887% 04/15/23 /CAD/ N/A 345213JB9 1383299.44000000 NS 1088279.21000000 0.189691826414 Long ABS-CBDO CORP CA Y 2 2024-08-15 Fixed 0.88700000 N N N N N N DEUTSCHE BANK NY V/R 09/18/24 N/A 251526CC1 1600000.00000000 NS USD 1597672.72000000 0.278481343284 Long DBT CORP US N 2 2024-09-18 Variable 2.22200000 N N N N N N NISSAN MOTOR AC 2.65% 07/13/22 N/A U65478BE5 1630000.00000000 NS USD 1637380.05000000 0.285402504582 Long DBT CORP US N 2 2022-07-13 Fixed 2.65000000 N N N N N N FHLB 0.83% 02/10/27 N/A 3130AKYH3 4600000.00000000 NS USD 4355381.43000000 0.759162033599 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 N/A 1800000.00000000 NS 2013677.67000000 0.350992825666 Long ABS-CBDO CORP IE Y 2 2034-09-22 Variable 0.88000000 N N N N N N CITIGROUP INC V/R 06/01/24 6SHGI4ZSSLCXXQSBB395 172967MA6 300000.00000000 NS USD 302420.46000000 0.052713208958 Long DBT CORP US N 2 2024-06-01 Variable 1.19388000 N N N N N N GALL 2017-1A A1R V/R 07/15/31 N/A 36361UAL4 600000.00000000 NS USD 597831.00000000 0.104204558200 Long ABS-CBDO CORP KY Y 2 2031-07-15 Variable 1.17739000 N N N N N N HYUNDAI CAPITAL 3.25% 09/20/22 N/A 44891CAR4 100000.00000000 NS USD 101006.85000000 0.017605935756 Long DBT CORP US N 2 2022-09-20 Fixed 3.25000000 N N N N N N HWKSM 2019- V/R 05/25/53 /GBP/ N/A N/A 2728656.37000000 NS 3671131.66000000 0.639894305793 Long ABS-CBDO CORP GB Y 2 2053-05-25 Variable 1.49530000 N N N N N N FHLT 2005-A M3 V/R 01/25/35 N/A 35729PHN3 272053.27000000 NS USD 269796.78000000 0.047026758839 Long ABS-CBDO CORP US N 2 2035-01-25 Variable 0.92186000 N N N N N N TPAT 2021-SL1 A2 V/R 11/20/26 N/A 89179XAL9 932314.90000000 NS USD 929113.05000000 0.161948468536 Long ABS-CBDO CORP US Y 2 2061-11-20 Variable 0.87071000 N N N N N N DANSKE BANK A/S V/R 12/08/23 MAES062Z21O4RZ2U7M96 23636AAY7 3431000.00000000 NS USD 3408301.74000000 0.594081901124 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 89177XAA5 362126.48000000 NS USD 363982.67000000 0.063443771433 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 1.18686000 N N N N N N GCAT 2021-NQM3 A V/R 05/25/66 N/A 36167HAA3 1074988.73000000 NS USD 1049490.64000000 0.182930809002 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 88327HAA1 1215120.39000000 NS USD 1204059.15000000 0.209872776375 Long ABS-CBDO CORP US Y 2 2034-11-11 Variable 1.16200000 N N N N N N VM CASH CCP ICE WFS USD N/A N/A 598.23000000 NS USD 598.23000000 0.000104274105 Long CORP US N 2 N N N TPMT 2020-1 A1 V/R 01/25/60 N/A 89178WAU2 845691.35000000 NS USD 850008.10000000 0.148160129748 Long ABS-CBDO CORP US Y 2 2060-01-25 Variable 2.71000000 N N N N N N GNR 2021-122 FA V/R 07/20/51 N/A 38382WCY1 3856802.19000000 NS USD 3840022.02000000 0.669332634264 Long ABS-CBDO CORP US N 2 2051-07-20 Variable 0.44833000 N N N N N N BXMT 2020-FL3 A V/R 11/15/37 N/A 05608XAA0 1500000.00000000 NS USD 1498681.20000000 0.261226688361 Long ABS-CBDO CORP KY Y 2 2037-11-15 Variable 1.56281000 N N N N N N NAVSL 2018-1A A2 V/R 01/25/23 N/A 63940DAB8 439411.80000000 NS USD 438994.01000000 0.076518576093 Long ABS-CBDO CORP US Y 2 2067-03-25 Variable 0.53686000 N N N N N N WAMU 2005-AR13 A V/R 10/25/45 N/A 92922F4M7 441041.24000000 NS USD 440848.81000000 0.076841875846 Long ABS-CBDO CORP US N 2 2045-10-25 Variable 0.76686000 N N N N N N AHPT 2018-ATRM A V/R 06/15/21 N/A 04965KAA8 700000.00000000 NS USD 692036.66000000 0.120625016792 Long ABS-CBDO CORP US Y 2 2035-06-15 Variable 1.14100000 N N N N N N SLMA 2004-10 A7B V/R 10/25/29 N/A 78442GNK8 675356.72000000 NS USD 675508.61000000 0.117744105383 Long ABS-CBDO CORP US Y 2 2029-10-25 Variable 0.85771000 N N N N N N SMBC AVIATION 4.125% 07/15/23 N/A 78448TAD4 500000.00000000 NS USD 513742.51000000 0.089547566592 Long DBT CORP IE Y 2 2023-07-15 Fixed 4.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -491296.97000000 -0.08563521079 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -23939819.00000000 AUD 16895000.58000000 USD 2022-03-02 -491296.97000000 N N N NATWEST GROUP PLC V/R 06/25/24 N/A 780097BH3 300000.00000000 NS USD 304219.26000000 0.053026747666 Long DBT CORP GB N 2 2024-06-25 Variable 1.76975000 N N N N N N NRZT 2020-RPL1 A V/R 11/25/59 N/A 64828XAA1 1761443.12000000 NS USD 1774679.48000000 0.309334395776 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 36262JAJ4 850718.98000000 NS USD 840914.27000000 0.146575035402 Long ABS-CBDO CORP US Y 2 2052-02-25 Variable 0.89867000 N N N N N N COMM 2013-CR6 A3 V/R 12/10/22 N/A 12624XAF5 31518.27000000 NS USD 31518.13000000 0.005493747918 Long ABS-CBDO CORP US Y 2 2046-03-10 Variable 0.75271000 N N N N N N SOCIETE GENERA 3.875% 03/28/24 O2RNE8IBXP4R0TD8PU41 83368RAT9 2200000.00000000 NS USD 2258596.52000000 0.393683252491 Long DBT CORP FR Y 2 2024-03-28 Fixed 3.87500000 N N N N N N GLGE 5A A1R V/R 12/15/31 /EUR/ N/A N/A 3600000.00000000 NS 4015842.73000000 0.699978953053 Long ABS-CBDO CORP IE Y 2 2031-12-15 Variable 0.69000000 N N N N N N NCMS 2021-APPL A V/R 08/15/23 N/A 63874AAA6 2700000.00000000 NS USD 2675432.70000000 0.466339621898 Long ABS-CBDO CORP US Y 2 2038-08-15 Variable 1.14100000 N N N N N N NXP BV/NXP FUN 4.625% 06/01/23 N/A 62947QAV0 620000.00000000 NS USD 639968.33000000 0.111549279127 Long DBT CORP NL Y 2 2023-06-01 Fixed 4.62500000 N N N N N N COLT 2020-1R A1 V/R 09/25/65 N/A 12597VAA3 297188.24000000 NS USD 294795.82000000 0.051384200856 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 05526DAZ8 3700000.00000000 NS USD 3749524.65000000 0.653558546839 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 52474WAA5 314890.22000000 NS USD 315984.21000000 0.055077429911 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 10554MAA8 141281.67000000 NS USD 141565.50000000 0.024675485854 Long ABS-CBDO CORP GB Y 2 2066-11-16 Variable 1.15857000 N N N N N N F/C US 2YR NOTE (CBT) JUN22 N/A N/A 695.00000000 NC USD 149582460.59000000 26.07287715148 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Long F/C US 2YR NOTE (CBT) JUN22 US 2YR NOTE (CBT) JUN22 2022-06-30 149238488.08000000 USD 343972.51000000 N N N STELLANTIS NV 5.25% 04/15/23 549300LKT9PW7ZIBDF31 31562QAF4 974000.00000000 NS USD 1008206.88000000 0.175734869060 Long DBT CORP NL N 2 2023-04-15 Fixed 5.25000000 N N N N N N LLEND 2021-1A 1.07% 05/15/29 N/A 53934QAA0 150238.54000000 NS USD 148294.89000000 0.025848447965 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 23636AAP6 1000000.00000000 NS USD 1024777.64000000 0.178623225008 Long DBT CORP DK Y 2 2023-09-12 Fixed 3.87500000 N N N N N N NSLT 2019-2A A V/R 09/25/32 N/A 64034NAA3 1011014.85000000 NS USD 1017468.56000000 0.177349220394 Long ABS-CBDO CORP US Y 2 2067-06-27 Variable 1.08686000 N N N N N N JPMMT 2021-12 A1 V/R 02/25/52 N/A 46592WBE5 365610.91000000 NS USD 361371.14000000 0.062988570332 Long ABS-CBDO CORP US Y 2 2052-02-25 Variable 0.89867000 N N N N N N TPMF 2020-A V/R 05/20/45 /GBP/ N/A G8961JAB7 2616060.00000000 NS 3518651.28000000 0.613316308613 Long ABS-CBDO CORP GB N 2 2045-05-20 Variable 1.34509000 N N N N N N KRAFT HEINZ FOODS V/R 08/10/22 N/A 50077LAQ9 300000.00000000 NS USD 299277.12000000 0.052165311048 Long DBT CORP US N 2 2022-08-10 Variable 1.18629000 N N N N N N COMM 2021-2400 A V/R 12/15/23 N/A 20048FAA6 2100000.00000000 NS USD 2095973.67000000 0.365337378427 Long ABS-CBDO CORP US Y 2 2038-12-15 Variable 1.49200000 N N N N N N BOEING CO 1.433% 02/04/24 RVHJWBXLJ1RFUBSY1F30 097023DE2 3600000.00000000 NS USD 3545360.14000000 0.617971779735 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 741389AA8 155536.29000000 NS USD 152648.71000000 0.026607337835 Long ABS-CBDO CORP US Y 2 2060-09-27 Variable 2.23950000 N N N N N N GENERAL MOTORS 3.55% 07/08/22 N/A 37045XCU8 400000.00000000 NS USD 403571.90000000 0.070344347385 Long DBT CORP US N 2 2022-07-08 Fixed 3.55000000 N N N N N N ECMC 2019-1A A1B V/R 04/25/30 N/A 26829XAB7 747330.59000000 NS USD 752087.80000000 0.131092193156 Long ABS-CBDO CORP US Y 2 2069-07-25 Variable 1.18686000 N N N N N N BERRY GLOBAL I 4.875% 07/15/26 N/A 085770AA3 1114000.00000000 NS USD 1130671.01000000 0.197080902575 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 83611MDH8 598145.22000000 NS USD 595547.77000000 0.103806581224 Long ABS-CBDO CORP US N 2 2035-06-25 Variable 0.86186000 N N N N N N FORDF 2019-3 A2 V/R 09/15/22 N/A 34528QHB3 700000.00000000 NS USD 701308.86000000 0.122241201808 Long ABS-CBDO CORP US N 2 2024-09-15 Variable 0.79114000 N N N N N N RESI 2021-2NCA A V/R 02/03/53 N/A 76120BAA8 2009447.22000000 NS USD 2005861.36000000 0.349630408644 Long ABS-CBDO CORP AU Y 2 2053-02-03 Variable 0.76300000 N N N N N N SOCIETE GENERA 2.625% 01/22/25 O2RNE8IBXP4R0TD8PU41 83368RAV4 2000000.00000000 NS USD 1984942.34000000 0.345984131959 Long DBT CORP FR Y 2 2025-01-22 Fixed 2.62500000 N N N N N N NAVIENT CORP 5.5% 01/25/23 54930067J0ZNOEBRW338 78442FEQ7 1200000.00000000 NS USD 1226724.00000000 0.213823358865 Long DBT CORP US N 2 2023-01-25 Fixed 5.50000000 N N N N N N NISSAN MOTOR A 3.875% 09/21/23 N/A 654740BL2 1000000.00000000 NS USD 1022445.29000000 0.178216686201 Long DBT CORP US Y 2 2023-09-21 Fixed 3.87500000 N N N N N N SALTT 2021-1A 2.301% 12/15/27 N/A 78433XAA8 277642.36000000 NS USD 270236.39000000 0.047103384785 Long ABS-CBDO CORP US Y 2 2033-02-28 Fixed 2.30100000 N N N N N N FORD MOTOR CRE 3.096% 05/04/23 N/A 345397XZ1 400000.00000000 NS USD 403500.00000000 0.070331814900 Long DBT CORP US N 2 2023-05-04 Fixed 3.09600000 N N N N N N FS KKR CAPITAL 1.65% 10/12/24 549300TYRSI1T21B1360 302635AJ6 400000.00000000 NS USD 384048.22000000 0.066941284565 Long DBT CORP US N 2 2024-10-12 Fixed 1.65000000 N N N N N N FHLB 1.115% 02/26/27 N/A 3130ALGL2 3700000.00000000 NS USD 3564628.69000000 0.621330372280 Long ABS-MBS USGA US N 2 2027-02-26 Fixed 1.11500000 N N N N N N PACIFIC GAS & E 3.75% 02/15/24 N/A 694308HG5 300000.00000000 NS USD 305181.70000000 0.053194505168 Long DBT CORP US N 2 2024-02-15 Fixed 3.75000000 N N N N N N PFP 2019-6 A V/R 06/14/22 N/A 69346WAA5 601058.06000000 NS USD 598636.04000000 0.104344880193 Long ABS-CBDO CORP KY Y 2 2037-04-14 Variable 1.17571000 N N N N N N FHLB 1.05% 08/13/26 N/A 3130ANGM6 3500000.00000000 NS USD 3386957.98000000 0.590361590399 Long ABS-MBS USGA US N 2 2026-08-13 Fixed 1.05000000 N N N N N N JPMORGAN CHASE & V/R 04/01/23 8I5DZWZKVSZI1NUHU748 46647PBB1 600000.00000000 NS USD 600924.63000000 0.104743791441 Long DBT CORP US N 2 2023-04-01 Variable 3.20700000 N N N N N N MFRA 2020-NQM2 A V/R 04/25/65 N/A 552751AA7 448705.33000000 NS USD 445769.45000000 0.077699564921 Long ABS-CBDO CORP US Y 2 2065-04-25 Variable 1.38100000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -795343.59000000 -0.13863186655 N/A DFE N/A N 2 BNP-PARIBAS SA (FORMERLY BANQU R0MUWSFPU8MPRO8K5P83 -37598895.00000000 AUD 26510860.18000000 USD 2022-03-02 -795343.59000000 N N N GOLDMAN SACHS 1.217% 12/06/23 784F5XWPLTWKTBV3E584 38141GZE7 1400000.00000000 NS USD 1385044.16000000 0.241419255243 Long DBT CORP US N 2 2023-12-06 Fixed 1.21700000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 156990.37000000 0.027364108163 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL N/A -16180219.00000000 USD 20710680.32000000 CAD 2022-03-02 156990.37000000 N N N FHLB 1% 03/23/26 N/A 3130ALGJ7 877500.00000000 NS USD 846569.15000000 0.147560705721 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 17328GAA1 206435.00000000 NS USD 206641.46000000 0.036018510323 Long ABS-CBDO CORP US Y 2 2059-09-25 Variable 3.22800000 N N N N N N BGCLO 19A AR V/R 06/15/31 N/A 09075JAL3 1200000.00000000 NS USD 1193236.80000000 0.207986393433 Long ABS-CBDO CORP KY Y 2 2031-06-15 Variable 1.33275000 N N N N N N PACIFIC GAS & E 4.25% 08/01/23 N/A 694308JB4 1400000.00000000 NS USD 1430315.29000000 0.249310211217 Long DBT CORP US N 2 2023-08-01 Fixed 4.25000000 N N N N N N CNO GLOBAL FUND 1.65% 01/06/25 6354008GTNR4833ULD48 18977W2B5 200000.00000000 NS USD 195772.07000000 0.034123928104 Long DBT CORP US Y 2 2025-01-06 Fixed 1.65000000 N N N N N N KOREA EXPRES V/R 09/02/23/AUD/ N/A Y4872AHN0 2000000.00000000 NS 1458117.64000000 0.254156282428 Long DBT USGA KR N 2 2023-09-02 Variable 0.77850000 N N N N N N WELLS FAR 2.094% 04/25/22/CAD/ PBLD0EJDB5FWOLXP3B76 949746SQ5 200000.00000000 NS 158103.02000000 0.027558047925 Long DBT CORP US N 2 2022-04-25 Fixed 2.09400000 N N N N N N CITIGROUP IN V/R 10/27/23/AUD/ 6SHGI4ZSSLCXXQSBB395 U1R16GSU7 760000.00000000 NS 562199.55000000 0.097993840614 Long DBT CORP US N 2 2023-10-27 Variable 1.79500000 N N N N N N HARVT 16A A V/R 10/15/31 /EUR/ N/A N/A 1600000.00000000 NS 1793728.30000000 0.312654688421 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 91754RZF7 642692.95000000 NS USD 624283.14000000 0.108815281903 Long ABS-CBDO CORP US N 2 2057-01-25 Variable 0.85771000 N N N N N N SOUTHERN CAL EDIS V/R 12/02/22 N/A 842400HL0 4300000.00000000 PA USD 4300000.00000000 0.749508808112 Long DBT CORP US N 2 2022-12-02 Variable 0.52000300 N N N N N N ENRGY TRANS LP/REG 5% 10/01/22 N/A 75886AAQ1 600000.00000000 NS USD 607185.35000000 0.105835062321 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 09681MAD0 500000.00000000 NS USD 501954.24000000 0.087492819569 Long DBT CORP SG N 2 2022-09-18 Fixed 2.75000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 6012.93000000 0.001048079999 N/A DFE N/A N 2 STANDARD CHARTERED BANK N/A -18774000.00000000 EUR 21057298.95000000 USD 2022-03-02 6012.93000000 N N N CITIGROUP INC V/R 09/01/23 6SHGI4ZSSLCXXQSBB395 172967KX8 2100000.00000000 NS USD 2110594.52000000 0.367885856533 Long DBT CORP US N 2 2023-09-01 Variable 1.60088000 N N N N N N BCCE 2018-2 V/R 01/20/32 /EUR/ N/A N/A 1200000.00000000 NS 1338847.03000000 0.233366893418 Long ABS-CBDO CORP IE Y 2 2032-01-20 Variable 0.74000000 N N N N N N PACIFIC NATIONAL F 6% 04/07/23 N/A Q0560UAD9 200000.00000000 NS USD 207501.35000000 0.036168392911 Long DBT CORP AU N 2 2023-04-07 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -579.83000000 -0.00010106690 N/A DFE N/A N 2 BNP-PARIBAS SA (FORMERLY BANQU R0MUWSFPU8MPRO8K5P83 -343493.93000000 USD 7185000.00000000 MXN 2022-07-01 -579.83000000 N N N MIZUHO FINANCIAL V/R 09/13/23 353800CI5L6DDAN5XZ33 60687YBB4 2900000.00000000 NS USD 2908809.68000000 0.507018250298 Long DBT CORP JP N 2 2023-09-13 Variable 1.05088000 N N N N N N VMC 2019-FL3 A V/R 09/15/36 N/A 91834PAA3 199333.71000000 NS USD 198759.53000000 0.034644655449 Long ABS-CBDO CORP US Y 2 2036-09-15 Variable 1.21971000 N N N N N N MCCT 2018-1A A V/R 01/21/23 N/A 576339BM6 3000000.00000000 NS USD 3005248.80000000 0.523828010737 Long ABS-CBDO CORP CA Y 2 2024-07-21 Variable 0.66071000 N N N N N N N/A N/A N/A 1.00000000 NC USD -837951.20000000 -0.14605855934 N/A DCR US N 2 CREDIT SUISSE N/A CDX.NA.IG CDX.NA.IG Y 2026-12-20 -45358967.14000000 USD 44300000.00000000 USD 44300000.00000000 USD 202129.83000000 N N N AVON 2A A V/R 09/20/23 /GBP/ N/A N/A 1490429.22000000 NS 2003898.23000000 0.349288226499 Long ABS-CBDO CORP GB Y 2 2048-09-20 Variable 1.15221000 N N N N N N JPMORGAN CHASE & V/R 07/23/24 8I5DZWZKVSZI1NUHU748 46647PAW6 3300000.00000000 NS USD 3327817.85000000 0.580053207062 Long DBT CORP US N 2 2024-07-23 Variable 1.14886000 N N N N N N MABS 2004-OPT2 A V/R 09/25/34 N/A 57643LFG6 188747.58000000 NS USD 184444.38000000 0.032149462189 Long ABS-CBDO CORP US N 2 2034-09-25 Variable 0.88686000 N N N N N N GENERAL MOTORS FI V/R 06/30/22 N/A 37045XBX3 1500000.00000000 NS USD 1503650.85000000 0.262092920093 Long DBT CORP US N 2 2022-06-30 Variable 1.52788000 N N N N N N AUSGRID FINA V/R 10/30/24/AUD/ N/A Q0697CAF0 900000.00000000 NS 660148.04000000 0.115066690846 Long DBT CORP AU N 2 2024-10-30 Variable 1.29500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -159452.21000000 -0.02779321764 N/A DFE N/A N 2 MERRILL LYNCH INTERNATIONAL N/A -20710680.32000000 CAD 16180219.00000000 USD 2022-04-04 -159452.21000000 N N N HANA BANK V/R 09/14/22 N/A Y4S96CHE6 400000.00000000 NS USD 401264.70000000 0.069942192333 Long DBT CORP KR N 2 2022-09-14 Variable 1.07325000 N N N N N N AERCAP IRELAND C 4.5% 09/15/23 N/A 00774MAP0 4300000.00000000 NS USD 4433212.75000000 0.772728373107 Long DBT CORP IE N 2 2023-09-15 Fixed 4.50000000 N N N N N N SMB 2015-B A2B V/R 05/15/23 N/A 78448QAC2 14048.37000000 NS USD 14050.74000000 0.002449105439 Long ABS-CBDO CORP US Y 2 2027-07-15 Variable 1.39114000 N N N N N N F/C US 5YR NOTE (CBT) JUN22 N/A N/A -1032.00000000 NC USD -122066250.00000000 -21.2766812903 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Short F/C US 5YR NOTE (CBT) JUN22 US 5YR NOTE (CBT) JUN22 2022-06-30 121002002.82000000 USD -1064247.18000000 N N N VENTR 2014-17A A V/R 04/15/27 N/A 92329YAL0 594604.76000000 NS USD 594496.90000000 0.103623409987 Long ABS-CBDO CORP KY Y 2 2027-04-15 Variable 1.12129000 N N N N N N STRA 2021-2 V/R 07/20/60 /GBP/ N/A N/A 422428.70000000 NS 568176.48000000 0.099035645656 Long ABS-CBDO CORP GB Y 2 2060-07-20 Variable 1.21099000 N N N N N N NAVSL 2018-2A A2 V/R 03/27/23 N/A 63941DAB7 732761.86000000 NS USD 731420.91000000 0.127489863833 Long ABS-CBDO CORP US Y 2 2067-03-25 Variable 0.56686000 N N N N N N FHR 4906 WF V/R 12/15/38 N/A 3137FNWL0 1858728.72000000 NS USD 1895609.24000000 0.330412981888 Long ABS-CBDO CORP US N 2 2038-12-15 Variable 0.50188000 N N N N N N STANDARD CHARTERE V/R 05/21/25 U4LOSYZ7YG4W3S5F2G91 853254BN9 1700000.00000000 NS USD 1741313.08000000 0.303518486312 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 949746SY8 1000000.00000000 NS 800687.86000000 0.139563396190 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 83610CAW1 671303.64000000 NS USD 670747.13000000 0.116914158593 Long ABS-CBDO CORP KY Y 2 2028-10-20 Variable 1.30400000 N N N N N N PACIFIC GAS & E 1.75% 06/16/22 N/A 694308JE8 3400000.00000000 NS USD 3397329.37000000 0.592169369040 Long DBT CORP US N 2 2022-06-16 Fixed 1.75000000 N N N N N N TPMT 2021-SJ2 A1 V/R 12/25/61 N/A 89180LAA6 2022861.95000000 NS USD 2017931.43000000 0.351734274640 Long ABS-CBDO CORP US Y 2 2061-12-25 Variable 2.25000000 N N N N N N HCA INC 5% 03/15/24 N/A 404119BN8 2100000.00000000 NS USD 2209470.10000000 0.385120302607 Long DBT CORP US N 2 2024-03-15 Fixed 5.00000000 N N N N N N CLECO POWER LLC V/R 06/15/23 N/A 185508AH1 400000.00000000 NS USD 399822.55000000 0.069690819280 Long DBT CORP US Y 2 2023-06-15 Variable 0.70275000 N N N N N N NOMURA HOLDING 2.648% 01/16/25 549300B3CEAHYG7K8164 65535HAP4 4500000.00000000 NS USD 4519823.99000000 0.787825091075 Long DBT CORP JP N 2 2025-01-16 Fixed 2.64800000 N N N N N N HANA BANK V/R 07/26/23 N/A Y4S96CMR1 1000000.00000000 NS USD 1006664.64000000 0.175466049882 Long DBT CORP KR N 2 2023-07-26 Variable 1.06714000 N N N N N N BOEING CO 4.508% 05/01/23 RVHJWBXLJ1RFUBSY1F30 097023CS2 3727000.00000000 NS USD 3832099.24000000 0.667951659056 Long DBT CORP US N 2 2023-05-01 Fixed 4.50800000 N N N N N N US TREAS NTS 0.125% 04/30/23 N/A 91282CBX8 18400000.00000000 NS USD 18178625.00000000 3.168613850436 Long DBT UST US N 2 2023-04-30 Fixed 0.12500000 N N N N N N NXP BV/NXP FUN 4.625% 06/01/23 N/A N65965AV2 240000.00000000 NS USD 247729.68000000 0.043180366788 Long DBT CORP NL N 2 2023-06-01 Fixed 4.62500000 N N N N N N VMWARE INC 1% 08/15/24 549300BUDHS3LRWBE814 928563AH8 500000.00000000 NS USD 486256.47000000 0.084756629596 Long DBT CORP US N 2 2024-08-15 Fixed 1.00000000 N N N N N N SOCIETE GENERALE V/R 01/21/26 O2RNE8IBXP4R0TD8PU41 83368RBF8 800000.00000000 NS USD 802760.82000000 0.139924722185 Long DBT CORP FR Y 2 2026-01-21 Variable 1.10000300 N N N N N N MF1 2020-FL4 A V/R 10/15/25 N/A 58003UAA6 1100000.00000000 NS USD 1103002.51000000 0.192258162003 Long ABS-CBDO CORP US Y 2 2035-11-15 Variable 1.86281000 N N N N N N FHLB 1.1% 08/20/26 N/A 3130ANMH0 4000000.00000000 NS USD 3861987.00000000 0.673161226352 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 404280CA5 5900000.00000000 NS USD 5971831.32000000 1.040916319745 Long DBT CORP GB N 2 2025-03-11 Variable 1.43088000 N N N N N N FORD MOTOR CRED 3.37% 11/17/23 N/A 345397A78 400000.00000000 NS USD 402284.00000000 0.070119860782 Long DBT CORP US N 2 2023-11-17 Fixed 3.37000000 N N N N N N SUMITOMO MIT V/R 10/16/24/AUD/ 35380028MYWPB6AUO129 J7771XBV0 7700000.00000000 NS 5676626.68000000 0.989460859773 Long DBT CORP JP N 2 2024-10-16 Variable 1.31500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3790.99000000 0.000660786138 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -4788564.35000000 CAD 3781155.00000000 USD 2022-03-02 3790.99000000 N N N WFCM 2017-HSDB A V/R 12/13/20 N/A 95001EAA6 500000.00000000 NS USD 494946.45000000 0.086271331120 Long ABS-CBDO CORP US Y 2 2031-12-13 Variable 0.97400000 N N N N N N VERIZON COMM V/R 02/17/23/AUD/ 2S72QS2UO2OESLG6Y829 U9221ABH0 7600000.00000000 NS 5554351.81000000 0.968147815105 Long DBT CORP US N 2 2023-02-17 Variable 1.30000000 N N N N N N SYNCHRONY FINAN 2.85% 07/25/22 549300RS7EWPM9MA6C78 87165BAQ6 1800000.00000000 NS USD 1809686.43000000 0.315436260280 Long DBT CORP US N 2 2022-07-25 Fixed 2.85000000 N N N N N N LUXE 2021-MLBH A V/R 11/15/24 N/A 55066XAA0 2700000.00000000 NS USD 2673578.61000000 0.466016445901 Long ABS-CBDO CORP US Y 2 2038-11-15 Variable 1.17200000 N N N N N N RMAC 2018-1 V/R 06/12/46 /GBP/ N/A G76030AA6 314312.43000000 NS 421082.10000000 0.073396451834 Long ABS-CBDO CORP GB N 2 2046-06-12 Variable 0.79463000 N N N N N N PACIFIC GAS & ELE V/R 06/16/22 N/A 694308JD0 2200000.00000000 NS USD 2200459.62000000 0.383549736531 Long DBT CORP US N 2 2022-06-16 Variable 1.69088000 N N N N N N CENTRAL NIPPON EX V/R 03/03/22 N/A J05755DB6 3000000.00000000 NS USD 3000060.00000000 0.522923580201 Long DBT CORP JP N 2 2022-03-03 Variable 0.98463000 N N N N N N PACIFIC GAS & EL 3.4% 08/15/24 N/A 694308HK6 100000.00000000 NS USD 101647.21000000 0.017717553305 Long DBT CORP US N 2 2024-08-15 Fixed 3.40000000 N N N N N N PSTAT 2021-4A A1 V/R 10/15/29 N/A 69702HAA6 2700000.00000000 NS USD 2695310.10000000 0.469804339661 Long ABS-CBDO CORP KY Y 2 2029-10-15 Variable 0.92788000 N N N N N N MGM RESORTS INT 7.75% 03/15/22 54930066VBP7DZEGGJ87 552953BX8 1800000.00000000 NS USD 1805823.00000000 0.314762847533 Long DBT CORP US N 2 2022-03-15 Fixed 7.75000000 N N N N N N GA GLOBAL FUND 1.625% 01/15/26 54930029I8ROQ4OROZ88 36143L2A2 400000.00000000 NS USD 384753.50000000 0.067064217954 Long DBT CORP US Y 2 2026-01-15 Fixed 1.62500000 N N N N N N LLOYDS BANKI V/R 03/07/25/AUD/ 549300PPXHEU2JF0AM85 G55365GQ0 3700000.00000000 NS 2727013.26000000 0.475330339118 Long DBT CORP GB N 2 2025-03-07 Variable 1.45790000 N N N N N N MCLO 2013-5A A1R V/R 11/21/27 N/A 56576QAN8 178228.54000000 NS USD 178478.26000000 0.031109541378 Long ABS-CBDO CORP KY Y 2 2027-11-21 Variable 1.34957000 N N N N N N NAVSL 2015-AA 2.65% 03/15/23 N/A 63939EAB9 37243.08000000 NS USD 37399.67000000 0.006518926066 Long ABS-CBDO CORP US Y 2 2028-12-15 Fixed 2.65000000 N N N N N N CWL 2004-5 M1 V/R 08/25/34 N/A 1266716K7 224134.73000000 NS USD 223220.57000000 0.038908321713 Long ABS-CBDO CORP US N 2 2034-08-25 Variable 1.04186000 N N N N N N EXPORT-IMPORT BK V/R 08/21/22 N/A Y23874XS7 1900000.00000000 NS USD 1904731.00000000 0.332002944554 Long DBT USGA IN N 2 2022-08-21 Variable 1.47957000 N N N N N N HYUNDAI CAPITAL 5.75% 04/06/23 N/A 44891CBJ1 1200000.00000000 NS USD 1248034.50000000 0.217537872227 Long DBT CORP US N 2 2023-04-06 Fixed 5.75000000 N N N N N N MFRA 2020-NQM1 A V/R 03/25/65 N/A 552754AA1 375741.84000000 NS USD 371914.57000000 0.064826336297 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 10373QBD1 1300000.00000000 NS USD 1302058.86000000 0.226954554477 Long DBT CORP US N 2 2022-09-19 Variable 0.86363000 N N N N N N ARES 2018-50A AR V/R 01/15/32 N/A 04018LAJ4 300000.00000000 NS USD 299120.40000000 0.052137994066 Long ABS-CBDO CORP KY Y 2 2032-01-15 Variable 1.29129000 N N N N N N JPMORGAN CHASE & V/R 09/22/27 8I5DZWZKVSZI1NUHU748 46647PCQ7 600000.00000000 NS USD 600626.20000000 0.104691773786 Long DBT CORP US N 2 2027-09-22 Variable 0.81423000 N N N N N N AVOLON HOLDINGS 5.5% 01/15/23 N/A 05401AAA9 500000.00000000 NS USD 513532.58000000 0.089510974875 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 60687YBC2 1500000.00000000 NS USD 1504220.27000000 0.262192172489 Long DBT CORP JP N 2 2024-05-25 Variable 1.12757000 N N N N N N TPMF 2019-A V/R 07/20/45 /GBP/ N/A N/A 934572.00000000 NS 1256465.69000000 0.219007465522 Long ABS-CBDO CORP GB Y 2 2045-07-20 Variable 1.09590000 N N N N N N LMAT 2019-GS6 A1 V/R 06/25/59 N/A 52474VAA7 207217.17000000 NS USD 207297.53000000 0.036132866194 Long ABS-CBDO CORP US Y 2 2059-06-25 Variable 3.00000000 N N N N N N CK HUTCHISON I 2.875% 04/05/22 N/A G2177UAA7 1250000.00000000 NS USD 1251559.24000000 0.218152249826 Long DBT CORP HK N 2 2022-04-05 Fixed 2.87500000 N N N N N N JPMMT 2019-INV3 V/R 06/01/42 N/A 46591LAC5 266718.40000000 NS USD 268112.96000000 0.046733261648 Long ABS-CBDO CORP US Y 2 2050-05-25 Variable 3.50000000 N N N N N N KKR 18 AR V/R 07/18/30 N/A 48251JAL7 2700000.00000000 NS USD 2689645.50000000 0.468816975104 Long ABS-CBDO CORP KY Y 2 2030-07-18 Variable 1.18129000 N N N N N N FNR 2017-108 AF V/R 01/25/48 N/A 3136B0SA5 1129556.10000000 NS USD 1135252.45000000 0.197879467606 Long ABS-CBDO CORP US N 2 2048-01-25 Variable 0.48686000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -5973.92000000 -0.00104128038 N/A DFE N/A N 2 BNP-PARIBAS SA (FORMERLY BANQU R0MUWSFPU8MPRO8K5P83 -301997.12000000 USD 264000.00000000 EUR 2022-03-02 -5973.92000000 N N N BAMLL 2019-RLJ A V/R 04/15/36 N/A 05492HAA4 400000.00000000 NS USD 398010.84000000 0.069375030303 Long ABS-CBDO CORP US Y 2 2036-04-15 Variable 1.24100000 N N N N N N ACE 2004-OP1 M1 V/R 04/25/34 N/A 004421EW9 456884.88000000 NS USD 447333.29000000 0.077972149073 Long ABS-CBDO CORP US N 2 2034-04-25 Variable 0.96686000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 546.17000000 0.000095199819 N/A DFE N/A N 2 BNP-PARIBAS SA (FORMERLY BANQU R0MUWSFPU8MPRO8K5P83 -7185000.00000000 MXN 351286.34000000 USD 2022-03-04 546.17000000 N N N N/A N/A N/A 1.00000000 NC N/A -116441.24000000 -0.02029621744 N/A DFE N/A N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 -16672553.83000000 CAD 13035372.15000000 USD 2022-03-02 -116441.24000000 N N N MIDO 2013-2A ARR V/R 01/29/30 N/A 59863KAS6 2000000.00000000 NS USD 1992916.00000000 0.347373975774 Long ABS-CBDO CORP KY Y 2 2030-01-29 Variable 1.15863000 N N N N N N F/C US 10YR NOTE (CBT)JUN22 N/A N/A -7.00000000 NC USD -892062.50000000 -0.15549039561 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Short F/C US 10YR NOTE (CBT)JUN22 US 10YR NOTE (CBT)JUN22 2022-06-21 884625.00000000 USD -7437.50000000 N N N SNDPT 2016-3A AR V/R 01/23/29 N/A 83609NAN0 1505468.09000000 NS USD 1503307.74000000 0.262033114519 Long ABS-CBDO CORP KY Y 2 2029-01-23 Variable 1.24886000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2016.30000000 0.000351449909 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -601438.78000000 USD 765000.00000000 CAD 2022-03-02 2016.30000000 N N N N/A N/A N/A 1.00000000 NC N/A -77145.28000000 -0.01344675973 N/A DFE N/A N 2 STANDARD CHARTERED BANK N/A -21336000.00000000 GBP 28549369.67000000 USD 2022-03-02 -77145.28000000 N N N NAVSL 2020-GA 1.17% 02/15/28 N/A 63941UAA1 293584.18000000 NS USD 289918.84000000 0.050534121911 Long ABS-CBDO CORP US Y 2 2069-09-16 Fixed 1.17000000 N N N N N N 2022-03-30 Morgan Stanley Pathway Funds Francis Smith Francis Smith Chief Financial Officer