0001145549-20-041236.txt : 20200727 0001145549-20-041236.hdr.sgml : 20200727 20200727134921 ACCESSION NUMBER: 0001145549-20-041236 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20200531 FILED AS OF DATE: 20200727 PERIOD START: 20201130 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Federated Hermes Fixed Income Securities, Inc. CENTRAL INDEX KEY: 0000879569 IRS NUMBER: 251668690 STATE OF INCORPORATION: MD FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-06447 FILM NUMBER: 201050029 BUSINESS ADDRESS: STREET 1: 4000 ERICSSON DRIVE CITY: WARRENDALE STATE: PA ZIP: 15086-7561 BUSINESS PHONE: 8003417400 MAIL ADDRESS: STREET 1: 4000 ERICSSON DRIVE CITY: WARRENDALE STATE: PA ZIP: 15086-7561 FORMER COMPANY: FORMER CONFORMED NAME: FEDERATED FIXED INCOME SECURITIES INC DATE OF NAME CHANGE: 20200616 FORMER COMPANY: FORMER CONFORMED NAME: FEDERATED HERMES FIXED INCOME SECURITIES INC DATE OF NAME CHANGE: 20200615 FORMER COMPANY: FORMER CONFORMED NAME: FEDERATED FIXED INCOME SECURITIES INC DATE OF NAME CHANGE: 20000810 0000879569 S000009739 Federated Hermes Strategic Income Fund C000026757 Class A Shares STIAX C000026758 Class B Shares SINBX C000026759 Class C Shares SINCX C000026760 Class F Shares STFSX C000062222 Institutional Shares STISX C000177003 Class R6 Shares STILX C000188116 Class T Shares NPORT-P 1 primary_doc.xml NPORT-P false 0000879569 XXXXXXXX S000009739 C000026757 C000026758 C000026759 C000026760 C000177003 C000188116 C000062222 Federated Hermes Fixed Income Securities, Inc. f/k/a Federated Fixed Income Securities Inc 811-06447 0000879569 254900OYMR6KVQBBZ575 Federated Hermes Funds 4000 Ericsson Drive WARRENDALE 15086-7561 8003417400 Federated Hermes Strategic Income Fund f/k/a Federated Strategic Income Fund S000009739 UIG5TTFLY6PZ0FC9OB90 2020-11-30 2020-05-31 N 678360703.290000000000 21089408.420000000000 657271294.870000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 99518.000000000000 0.000000000000 0.000000000000 2596723.390000000000 USD N AT&T Inc 549300Z40J86GGSTL398 AT&T Inc 00206RDQ2 150000.0000000000 PA USD 168760.5500000000 0.0256759349 Long DBT CORP US N 2 2027-03-01 Fixed 4.2500000000 N N N N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 Alimentation Couche-Tard Inc 01626PAN6 100000.0000000000 PA USD 95476.1300000000 0.0145261372 Long DBT CORP CA Y 2 2050-01-25 Fixed 3.8000000000 N N N N N N ALLEGION US HOLDING CO 5493002B66JX7J7SXI33 Allegion US Holding Co Inc 01748NAE4 90000.0000000000 PA USD 90227.8500000000 0.0137276420 Long DBT CORP US N 2 2027-10-01 Fixed 3.5500000000 N N N N N N Altra Industrial Motion Corp NQ0NIXPGW4YKG4MWM571 Altra Industrial Motion Corp 02208R106 14460.0000000000 NS USD 448260.0000000000 0.0682001486 Long EC CORP US N 1 N N N ANHEUSER-BUSCH CO/INBEV N/A Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc 03522AAJ9 200000.0000000000 PA USD 232624.4100000000 0.0353924493 Long DBT CORP US N 2 2046-02-01 Fixed 4.9000000000 N N N N N N AstraZeneca PLC PY6ZZQWO2IZFZC3IOL08 AstraZeneca PLC 046353AT5 200000.0000000000 PA USD 236568.7300000000 0.0359925546 Long DBT CORP GB N 2 2029-01-17 Fixed 4.0000000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GJB6 200000.0000000000 PA USD 206017.2200000000 0.0313443203 Long DBT CORP US N 2 2031-04-29 Fixed 2.5900000000 N N N N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 Bayer US Finance II LLC 07274NAJ2 200000.0000000000 PA USD 224233.4700000000 0.0341158167 Long DBT CORP US Y 2 2025-12-15 Fixed 4.2500000000 N N N N N N BELL CANADA 549300O5ZKB2MUUSKB97 Bell Canada Inc 0778FPAA7 140000.0000000000 PA USD 179450.0700000000 0.0273022832 Long DBT CORP CA N 2 2048-04-01 Fixed 4.4600000000 N N N N N N COCA-COLA FEMSA SAB CV 5493008KEVFYPMGTXO33 Coca-Cola Femsa SAB de CV 191241AH1 2210000.0000000000 PA USD 2251072.8500000000 0.3424876254 Long DBT CORP MX N 2 2030-01-22 Fixed 2.7500000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 Comcast Corp 20030NBY6 200000.0000000000 PA USD 223182.5600000000 0.0339559268 Long DBT CORP US N 2 2027-02-01 Fixed 3.3000000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 Comcast Corp 20030NCS8 200000.0000000000 PA USD 229390.7400000000 0.0349004653 Long DBT CORP US N 2 2025-10-15 Fixed 3.9500000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 PURCHASED GBP / SOLD USD 000000000 1.0000000000 NC 616602.0800000000 0.0938124158 N/A DFE GB N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 14822200.0000000000 USD 12500000.0000000000 GBP 2020-06-22 616602.0800000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 PURCHASED USD / SOLD GBP 000000000 1.0000000000 NC -153802.0800000000 -0.0234000908 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 12500000.0000000000 GBP 15285000.0000000000 USD 2020-06-22 -153802.0800000000 N N N EQUIFAX INC 5493004MCF8JDC86VS77 Equifax Inc 294429AQ8 85000.0000000000 PA USD 88331.4600000000 0.0134391173 Long DBT CORP US N 2 2024-12-01 Fixed 2.6000000000 N N N N N N Exelon Generation Co LLC S2PEWKCZFFECR4533P43 Exelon Generation Co LLC 30161MAL7 300000.0000000000 PA USD 316241.3900000000 0.0481142859 Long DBT CORP US N 2 2022-06-15 Fixed 4.2500000000 N N N N N N Experian Finance PLC 635400RKRK5EGXSPC782 Experian Finance PLC 30217AAB9 200000.0000000000 PA USD 223517.9500000000 0.0340069545 Long DBT CORP GB Y 2 2029-02-01 Fixed 4.2500000000 N N N N N N FNB CORP PCYSKIGYNYFDTBLVZU83 FNB Corp/PA 30260NAA9 55000.0000000000 PA USD 55013.5600000000 0.0083699928 Long DBT CORP US N 2 2023-02-24 Fixed 2.2000000000 N N N N N N FIDELITY NATL INFO SERV 6WQI0GK1PRFVBA061U48 Fidelity National Information Services Inc 31620MBJ4 35000.0000000000 PA USD 40511.7400000000 0.0061636253 Long DBT CORP US N 2 2029-05-21 Fixed 3.7500000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 HSBC Holdings PLC 404280BJ7 200000.0000000000 PA USD 206745.7600000000 0.0314551634 Long DBT CORP GB N 2 2023-03-13 Fixed 3.2600000000 N N N N N N HUNTINGTON INGALLS INDUS 5TZLZ6WJTBVJ0QWBG121 Huntington Ingalls Industries Inc 446413AL0 160000.0000000000 PA USD 169026.0400000000 0.0257163277 Long DBT CORP US N 2 2027-12-01 Fixed 3.4800000000 N N N N N N IHS Markit Ltd 549300HLPTRASHS0E726 IHS Markit Ltd 44962LAF4 100000.0000000000 PA USD 114921.5000000000 0.0174846370 Long DBT CORP BM N 2 2028-08-01 Fixed 4.7500000000 N N N N N N LEIDOS INC 5493006I78VIN6J1BQ95 Leidos Inc 52532XAE5 100000.0000000000 PA USD 110618.0000000000 0.0168298845 Long DBT CORP US Y 2 2030-05-15 Fixed 4.3800000000 N N N N N N Liberty Mutual Group Inc QUR0DG15Z6FFGYCHH861 Liberty Mutual Group Inc 53079EBE3 45000.0000000000 PA USD 48185.2400000000 0.0073311037 Long DBT CORP US Y 2 2023-06-15 Fixed 4.2500000000 N N N N N N Lockheed Martin Corp DPRBOZP0K5RM2YE8UU08 Lockheed Martin Corp 539830BE8 200000.0000000000 PA USD 218868.9600000000 0.0332996377 Long DBT CORP US N 2 2025-03-01 Fixed 2.9000000000 N N N N N N Lumentum Holdings Inc 549300JLWRRC38DWEF52 Lumentum Holdings Inc 55024U109 7355.0000000000 NS USD 539268.6000000000 0.0820465771 Long EC CORP US N 1 N N N Federated Institutional Prime Value Obligations Fund 254900OXLDDVEP8MMK94 Federated Institutional Prime Value Obligations Fund 60934N583 3893285.3010000000 NS USD 3896399.9300000000 0.5928145593 Long EC RF US N 1 N N N PACIFIC LIFE INSURANCE C 8WC3XYHE06SQFW7CQK10 Pacific Life Insurance Co 69448FAA9 180000.0000000000 PA USD 177639.4200000000 0.0270268033 Long DBT CORP US Y 2 2067-10-24 Fixed 4.3000000000 N N N N N N PENSKE TRUCK LEASING/PTL N/A Penske Truck Leasing Co Lp / PTL Finance Corp 709599AZ7 200000.0000000000 PA USD 213221.5300000000 0.0324404141 Long DBT CORP US Y 2 2025-03-10 Fixed 3.9500000000 N N N N N N PepsiCo Inc FJSUNZKFNQ5YPJ5OT455 PepsiCo Inc 713448CT3 125000.0000000000 PA USD 136063.2200000000 0.0207012266 Long DBT CORP US N 2 2025-04-30 Fixed 2.7500000000 N N N N N N Physicians Realty LP 549300P6Q1UMT0X60U20 Physicians Realty LP 71951QAA0 100000.0000000000 PA USD 98946.4600000000 0.0150541277 Long DBT US N 2 2027-03-15 Fixed 4.3000000000 N N N N N N Regency Centers LP 5493008PTR2GAOYBXW28 Regency Centers LP 75884RAX1 80000.0000000000 PA USD 83867.3900000000 0.0127599350 Long DBT US N 2 2028-03-15 Fixed 4.1300000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 Shell International Finance BV 822582BQ4 70000.0000000000 PA USD 81540.4300000000 0.0124059016 Long DBT CORP NL N 2 2046-05-10 Fixed 4.0000000000 N N N N N N Six Flags Entertainment Corp 549300JYTDUAA4JQ3717 Six Flags Entertainment Corp 83001A102 20695.0000000000 NS USD 475571.1000000000 0.0723553735 Long EC CORP US N 1 N N N Social Professional Loan Program LLC N/A SoFi Professional Loan Program 2020-ATrust 83406TAB8 1400000.0000000000 PA USD 1436508.7800000000 0.2185564456 Long ABS-O CORP US Y 2 N N N TC PipeLines LP 6HL0C5LCIE4TN8UZHL06 TC PipeLines LP 87233QAC2 115000.0000000000 PA USD 117884.5400000000 0.0179354463 Long DBT CORP US N 2 2027-05-25 Fixed 3.9000000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 T-Mobile USA Inc 87264ABE4 50000.0000000000 PA USD 54454.0000000000 0.0082848590 Long DBT CORP US Y 2 2030-04-15 Fixed 3.8800000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 Total System Services Inc 891906AC3 80000.0000000000 PA USD 92373.7200000000 0.0140541236 Long DBT CORP US N 2 2026-04-01 Fixed 4.8000000000 N N N N N N Trillium Credit Card Trust II 549300P7QN1SDIOQVL28 Trillium Credit Card Trust II 89621AAT6 675000.0000000000 PA USD 654986.9900000000 0.0996524563 Long ABS-O CORP CA Y 2 N N N Tyson Foods Inc WD6L6041MNRW1JE49D58 Tyson Foods Inc 902494AT0 300000.0000000000 PA USD 318688.8400000000 0.0484866512 Long DBT CORP US N 2 2022-06-15 Fixed 4.5000000000 N N N N N N UDR INC P3CH2EG5X6Z1XWU1OO74 UDR Inc 90265EAS9 125000.0000000000 PA USD 126762.4800000000 0.0192861732 Long DBT US N 2 2034-11-01 Fixed 3.1000000000 N N N N N N Valero Energy Corp 549300XTO5VR8SKV1V74 Valero Energy Corp 91913YAW0 105000.0000000000 PA USD 115908.1500000000 0.0176347500 Long DBT CORP US N 2 2029-04-01 Fixed 4.0000000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 2YR NOTE (CBT) SEP20 XCBT 20200930 000000000 30.0000000000 NC USD 2745.0400000000 0.0004176419 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 2 Year US Treasury Note 2 Year US Treasury Note 2020-09-30 6622567.4600000000 USD 2745.0400000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 US BOND FUTR OPTN Jul20P 176 000000000 300.0000000000 NC USD 276562.5000000000 0.0420773739 N/A DIR US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 US Treasury Long Bond Future N/A 300000 NC USD 276562.5 0.000000000000 DIR US Long US Treasury Long Bond US Treasury Long Bond 2020-09-21 300000.0000000000 N/A 1000.0000000000 176.000000000000 USD 2020-06-26 XXXX -24112.5000000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 MSP000222 USD PUT MXN CALL JUN20 19.5 PUT 000000000 20000000.0000000000 OU Notional Amount USD 20.0000000000 0.0000030429 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 FX Contract N/A 1 NC USD 20 0.000000000000 DFE XX 390000000.0000000000 MXN 20000000.0000000000 USD 2020-06-05 1.0000000000 19.500000000000 USD 2020-06-05 XXXX -243180.0000000000 N N N Bank of America Corporation 9DJT3UXIJIZJI4WXO774 BAP000538 USD PUT CAD CALL JUL20 1.35 CALL 000000000 30000000.0000000000 OU Notional Amount USD 106350.0000000000 0.0161805332 N/A DFE US N 2 Bank of America Corporation 9DJT3UXIJIZJI4WXO774 Put Purchased Bank of America Corporation 9DJT3UXIJIZJI4WXO774 Bank of America Corporation 9DJT3UXIJIZJI4WXO774 FX Contract N/A 1 NC USD 106350 0.000000000000 DFE XX 40500000.0000000000 CAD 30000000.0000000000 USD 2020-07-31 1.0000000000 1.350000000000 USD 2020-07-31 XXXX 7800.0000000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 MSP000297 NZD PUT USD CALL MAY20 0.575 PUT 000000000 -10000000.0000000000 OU Notional Amount USD -10.0000000000 -0.0000015214 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Put Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 FX Contract N/A 1 NC USD -10 0.000000000000 DFE XX -10000000.0000000000 NZD -5975000.0000000000 USD 2020-05-27 1.0000000000 0.597500000000 USD 2020-05-27 XXXX 39390.0000000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 JPC000473 AUD CALL USD PUT JUN20 0.665 CALL 000000000 -10000000.0000000000 OU Notional Amount USD -66420.0000000000 -0.0101054162 N/A DFE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 FX Contract N/A 1 NC USD -66420 0.000000000000 DFE XX -10000000.0000000000 AUD -6650000.0000000000 USD 2020-06-03 1.0000000000 0.665000000000 USD 2020-06-03 XXXX -26620.0000000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 JPC000499 AUD CALL USD PUT AUG20 0.685 CALL 000000000 -10000000.0000000000 OU Notional Amount USD -94130.0000000000 -0.0143213313 N/A DFE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 FX Contract N/A 1 NC USD -94130 0.000000000000 DFE XX -10000000.0000000000 AUD -6850000.0000000000 USD 2020-08-28 1.0000000000 0.685000000000 USD 2020-08-28 XXXX -5930.0000000000 N N N AIA Group Ltd ZP5ILWVSYE4LJGMMVD57 AIA Group Ltd 00131LAH8 200000.0000000000 PA USD 220130.5300000000 0.0334915782 Long DBT CORP HK Y 2 2029-04-09 Fixed 3.6000000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 AT&T Inc 00206RFS6 200000.0000000000 PA USD 250334.1100000000 0.0380868771 Long DBT CORP US N 2 2058-08-15 Fixed 5.3000000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 AbbVie Inc 00287YBS7 95000.0000000000 PA USD 109793.5900000000 0.0167044554 Long DBT CORP US Y 2 2049-11-21 Fixed 4.2500000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 AbbVie Inc 00287YBW8 90000.0000000000 PA USD 96818.3100000000 0.0147303421 Long DBT CORP US Y 2 2029-11-21 Fixed 3.2000000000 N N N N N N ADVANCE AUTO PARTS 529900UCNQ5H9FSL0Y70 Advance Auto Parts Inc 00751YAD8 100000.0000000000 PA USD 102338.7700000000 0.0155702479 Long DBT CORP US Y 2 2030-04-15 Fixed 3.9000000000 N N N N N N Albemarle Corp HDBLS2Q6GV1LSKQPBS54 Albemarle Corp 012725AD9 135000.0000000000 PA USD 139812.9900000000 0.0212717322 Long DBT CORP US N 2 2044-12-01 Fixed 5.4500000000 N N N N N N ALEXANDRIA REAL ESTATE E MGCJBT4MKTQBVLNUIS88 Alexandria Real Estate Equities Inc 015271AJ8 90000.0000000000 PA USD 99284.1800000000 0.0151055098 Long DBT US N 2 2027-01-15 Fixed 3.9500000000 N N N N N N ALEXANDRIA REAL ESTATE E MGCJBT4MKTQBVLNUIS88 Alexandria Real Estate Equities Inc 015271AK5 50000.0000000000 PA USD 54907.8600000000 0.0083539112 Long DBT US N 2 2028-01-15 Fixed 3.9500000000 N N N N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 Alimentation Couche-Tard Inc 01626PAM8 2830000.0000000000 PA USD 2852937.7400000000 0.4340578635 Long DBT CORP CA Y 2 2030-01-25 Fixed 2.9500000000 N N N N N N ALLEGION US HOLDING CO 5493002B66JX7J7SXI33 Allegion US Holding Co Inc 01748NAD6 50000.0000000000 PA USD 50632.7600000000 0.0077034796 Long DBT CORP US N 2 2024-10-01 Fixed 3.2000000000 N N N N N N ALLEGION PLC N/A Allegion PLC 01748TAB7 20000.0000000000 PA USD 20226.5000000000 0.0030773442 Long DBT CORP IE N 2 2029-10-01 Fixed 3.5000000000 N N N N N N Altice USA Inc 54930064K3612MGCER95 Altice USA, Inc. Class A 02156K103 23760.0000000000 NS USD 611107.2000000000 0.0929764018 Long EC CORP US N 1 N N N Amazon.com Inc ZXTILKJKG63JELOEG630 Amazon.com Inc 023135BC9 250000.0000000000 PA USD 284444.6500000000 0.0432765971 Long DBT CORP US N 2 2027-08-22 Fixed 3.1500000000 N N N N N N American Axle & Manufacturing Holdings Inc N/A American Axle & Manufacturing Holdings Inc 024061103 65343.0000000000 NS USD 464588.7300000000 0.0706844698 Long EC CORP US N 1 N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 American International Group Inc 026874CY1 200000.0000000000 PA USD 219583.9100000000 0.0334084132 Long DBT CORP US N 2 2024-02-15 Fixed 4.1300000000 N N N N N N American Tower Corp 5493006ORUSIL88JOE18 American Tower Corp 03027XAD2 250000.0000000000 PA USD 284935.4100000000 0.0433512634 Long DBT US N 2 2024-02-15 Fixed 5.0000000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 Amgen Inc 031162CU2 150000.0000000000 PA USD 157225.7900000000 0.0239209884 Long DBT CORP US N 2 2030-02-21 Fixed 2.4500000000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 Apache Corp 037411BF1 150000.0000000000 PA USD 132379.2400000000 0.0201407305 Long DBT CORP US N 2 2030-01-15 Fixed 4.2500000000 N N N N N N Apple Inc HWUPKR0MPOU8FGXBT394 Apple Inc 037833AT7 100000.0000000000 PA USD 131656.1400000000 0.0200307150 Long DBT CORP US N 2 2044-05-06 Fixed 4.4500000000 N N N N N N ASSOC BANC-CORP 549300N3CIN473IW5094 Associated Banc-Corp 045487AB1 150000.0000000000 PA USD 155290.1200000000 0.0236264875 Long DBT CORP US N 2 2025-01-15 Fixed 4.2500000000 N N N N N N AUTONATION INC N/A AutoNation Inc 05329WAQ5 45000.0000000000 PA USD 46941.5000000000 0.0071418759 Long DBT CORP US N 2 2030-06-01 Fixed 4.7500000000 N N N N N N AVALONBAY COMMUNITIES K9G90K85RBWD2LAGQX17 AvalonBay Communities Inc 05348EBA6 195000.0000000000 PA USD 210400.4300000000 0.0320112002 Long DBT US N 2 2027-05-15 Fixed 3.3500000000 N N N N N N Bank N/A BANK 2018-BNK15 06036FBC4 500000.0000000000 PA USD 588527.2000000000 0.0895409863 Long ABS-MBS CORP US N 2 2061-11-15 Fixed 4.4100000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GFM6 250000.0000000000 PA USD 273204.7900000000 0.0415665178 Long DBT CORP US N 2 2025-01-22 Fixed 4.0000000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 Bank of America Corp 06051GHX0 100000.0000000000 PA USD 105216.5700000000 0.0160080884 Long DBT CORP US N 2 2030-10-22 Fixed 2.8800000000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 Bank of New York Mellon Corp/The 06406RAC1 200000.0000000000 PA USD 207267.4500000000 0.0315345355 Long DBT CORP US N 2 2023-05-16 Fixed 2.6600000000 N N N N N N Bank N/A BANK 2018-BNK12 06541KBA5 810000.0000000000 PA USD 937897.9500000000 0.1426957114 Long ABS-MBS CORP US N 2 2061-05-15 Variable 4.2600000000 N N N N N N Benchmark Mortgage Trust N/A BENCHMARK MORTGAGE TRUST BMARK 2018 B4 A5 08161HAF7 1500000.0000000000 PA USD 1726947.0000000000 0.2627449294 Long ABS-MBS CORP US N 2 2051-07-15 Variable 4.1200000000 N N N N N N Benchmark Mortgage Trust N/A Benchmark 2019-B11 Mortgage Trust 08162BBE1 675000.0000000000 PA USD 755555.7800000000 0.1149534121 Long ABS-MBS CORP US N 2 2052-05-15 Fixed 3.5400000000 N N N N N N BENCHMARK Mortgage Trust N/A Benchmark 2019-B12 Mortgage Trust 08162FAA1 1076545.3500000000 PA USD 1096657.0500000000 0.1668499840 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 2.2600000000 N N N N N N Boardwalk Pipelines LP 549300W6AQ2GHHCGL606 Boardwalk Pipelines LP 096630AG3 145000.0000000000 PA USD 141761.7100000000 0.0215682186 Long DBT CORP US N 2 2029-05-03 Fixed 4.8000000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 Boeing Co/The 097023CN3 105000.0000000000 PA USD 100175.6600000000 0.0152411433 Long DBT CORP US N 2 2030-02-01 Fixed 2.9500000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 Boeing Co/The 097023CR4 30000.0000000000 PA USD 27598.0900000000 0.0041988887 Long DBT CORP US N 2 2059-08-01 Fixed 3.9500000000 N N N N N N BOOKING HOLDINGS INC FXM8FAOHMYDIPD38UZ17 Booking Holdings Inc 09857LAR9 65000.0000000000 PA USD 74570.2100000000 0.0113454232 Long DBT CORP US N 2 2030-04-13 Fixed 4.6300000000 N N N N N N Boston Properties LP BVHHEFJI6SHNOKQT2572 Boston Properties LP 10112RBA1 175000.0000000000 PA USD 201590.6100000000 0.0306708374 Long DBT US N 2 2028-12-01 Fixed 4.5000000000 N N N N N N Boyd Gaming Corp 254900787YGRYS2A1Z35 Boyd Gaming Corp 103304101 19540.0000000000 NS USD 417765.2000000000 0.0635605424 Long EC CORP US N 1 N N N Bristol-Myers Squibb Co HLYYNH7UQUORYSJQCN42 Bristol-Myers Squibb Co 110122CB2 75000.0000000000 PA USD 85895.9400000000 0.0130685671 Long DBT CORP US Y 2 2029-07-26 Fixed 3.4000000000 N N N N N N Bristol-Myers Squibb Co HLYYNH7UQUORYSJQCN42 Bristol-Myers Squibb Co 110122CD8 55000.0000000000 PA USD 72513.5100000000 0.0110325083 Long DBT CORP US Y 2 2049-10-26 Fixed 4.2500000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 Broadcom Inc 11135FAF8 50000.0000000000 PA USD 54901.7200000000 0.0083529770 Long DBT CORP US Y 2 2025-04-15 Fixed 4.7000000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 Broadcom Inc 11135FAP6 75000.0000000000 PA USD 78251.5900000000 0.0119055237 Long DBT CORP US Y 2 2030-11-15 Fixed 4.1500000000 N N N N N N CNH Industrial NV 549300WGC2HZ5J67V817 CNH Industrial NV 12594KAB8 120000.0000000000 PA USD 119283.6600000000 0.0181483142 Long DBT CORP NL N 2 2027-11-15 Fixed 3.8500000000 N N N N N N COMM Mortgage Trust N/A COMM 2015-DC1 Mortgage Trust 12629NAH8 1000000.0000000000 PA USD 1031756.2000000000 0.1569756976 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.7200000000 N N N N N N CVS Health Corp 549300EJG376EN5NQE29 CVS Health Corp 126650CZ1 175000.0000000000 PA USD 225408.0400000000 0.0342945207 Long DBT CORP US N 2 2048-03-25 Fixed 5.0500000000 N N N N N N CAMDEN PROPERTY TRUST 5493002MYX22OHYJBD89 Camden Property Trust 133131AZ5 30000.0000000000 PA USD 31300.4100000000 0.0047621751 Long DBT US N 2 2030-05-15 Fixed 2.8000000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 Capital One Financial Corp 14040HCA1 65000.0000000000 PA USD 69101.1600000000 0.0105133391 Long DBT CORP US N 2 2024-01-29 Fixed 3.9000000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A Charter Communications Operating LLC / Charter Communications Operating Capital 161175BL7 190000.0000000000 PA USD 225582.4300000000 0.0343210531 Long DBT CORP US N 2 2047-05-01 Fixed 5.3800000000 N N N N N N Cimarex Energy Co 11KYOFXPU1C4CQL1CL44 Cimarex Energy Co 171798AE1 175000.0000000000 PA USD 173279.9200000000 0.0263635308 Long DBT CORP US N 2 2029-03-15 Fixed 4.3800000000 N N N N N N CINTAS CORPORATION NO. 2 549300QVUQTTKMTE0G41 Cintas Corp No 2 17252MAN0 200000.0000000000 PA USD 224319.5400000000 0.0341289117 Long DBT CORP US N 2 2027-04-01 Fixed 3.7000000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 Citigroup Inc 172967KN0 270000.0000000000 PA USD 292902.5100000000 0.0445634112 Long DBT CORP US N 2 2026-05-01 Fixed 3.4000000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 Citigroup Inc 17308CC53 165000.0000000000 PA USD 171752.3400000000 0.0261311184 Long DBT CORP US N 2 2030-11-05 Fixed 2.9800000000 N N N N N N Citigroup Commercial Mortgage Trust N/A Citigroup Commercial Mortgage Trust 2013-GC11 17320DAQ1 1600000.0000000000 PA USD 1613855.0400000000 0.2455386463 Long ABS-MBS CORP US N 2 2046-04-10 Variable 3.7300000000 N N N N N N CITIZENS FINANCIAL GROUP 2138004JDDA4ZQUPFW65 Citizens Financial Group Inc 174610AK1 270000.0000000000 PA USD 295213.9200000000 0.0449150788 Long DBT CORP US N 2 2025-12-03 Fixed 4.3000000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 Comcast Corp 20030NCA7 200000.0000000000 PA USD 219420.9700000000 0.0333836228 Long DBT CORP US N 2 2028-02-15 Fixed 3.1500000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 Comcast Corp 20030NCZ2 30000.0000000000 PA USD 33398.2000000000 0.0050813416 Long DBT CORP US N 2 2050-02-01 Fixed 3.4500000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 Comcast Corp 20030NDG3 100000.0000000000 PA USD 113212.3100000000 0.0172245937 Long DBT CORP US N 2 2030-04-01 Fixed 3.4000000000 N N N N N N COMM Mortgage Trust N/A COMM 2013-LC6 Mortgage Trust 20048EBA8 2100000.0000000000 PA USD 2133314.6100000000 0.3245713949 Long ABS-MBS CORP US N 2 2046-01-10 Fixed 3.2800000000 N N N N N N Compass Minerals International Inc 2549008X9G8XP7YJGC47 Compass Minerals International Inc 20451N101 11005.0000000000 NS USD 530220.9000000000 0.0806700223 Long EC CORP US N 1 N N N BBVA USA C90VT034M03BN29IRA40 Compass Bank 20453KAA3 200000.0000000000 PA USD 204812.3100000000 0.0311610003 Long DBT CORP US N 2 2025-04-10 Fixed 3.8800000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 PURCHASED NZD / SOLD USD 000000000 1.0000000000 NC 545056.6300000000 0.0829271922 N/A DFE NZ N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 15000000.0000000000 USD 25047460.7600000000 NZD 2020-07-14 545056.6300000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED USD / SOLD NZD 000000000 1.0000000000 NC -452372.7100000000 -0.0688258735 N/A DFE US N 2 JPMorgan Chase Bank National Association 7H6GLXDRUGQFU57RNE97 16841713.8300000000 NZD 10000000.0000000000 USD 2020-07-14 -452372.7100000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 PURCHASED EUR / SOLD USD 000000000 1.0000000000 NC 269989.6500000000 0.0410773530 N/A DFE XX N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 10831800.0000000000 USD 10000000.0000000000 EUR 2020-06-08 269989.6500000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 PURCHASED USD / SOLD EUR 000000000 1.0000000000 NC -244679.6500000000 -0.0372265839 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 10000000.0000000000 EUR 10857110.0000000000 USD 2020-06-08 -244679.6500000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED NZD / SOLD USD 000000000 1.0000000000 NC 196712.3900000000 0.0299286446 N/A DFE NZ N 2 JPMorgan Chase Bank National Association 7H6GLXDRUGQFU57RNE97 6400000.0000000000 USD 10627431.9600000000 NZD 2020-06-15 196712.3900000000 N N N Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 PURCHASED GBP / SOLD USD 000000000 1.0000000000 NC 127850.0000000000 0.0194516330 N/A DFE GB N 2 Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 14693400.0000000000 USD 12000000.0000000000 GBP 2020-06-22 127850.0000000000 N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 PURCHASED USD / SOLD NZD 000000000 1.0000000000 NC -108755.6000000000 -0.0165465312 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 10485731.8700000000 NZD 6400000.0000000000 USD 2020-06-15 -108755.6000000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 PURCHASED USD / SOLD NZD 000000000 1.0000000000 NC -49471.3000000000 -0.0075267702 N/A DFE US N 2 JPMorgan Chase Bank National Association 7H6GLXDRUGQFU57RNE97 8136119.2300000000 NZD 5000000.0000000000 USD 2020-07-14 -49471.3000000000 N N N Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 PURCHASED USD / SOLD GBP 000000000 1.0000000000 NC -770.0000000000 -0.0001171510 N/A DFE US N 2 Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 12000000.0000000000 GBP 14820480.0000000000 USD 2020-06-22 -770.0000000000 N N N Constellation Brands Inc 5493005GKEG8QCVY7037 Constellation Brands Inc 21036PBD9 100000.0000000000 PA USD 125656.3700000000 0.0191178850 Long DBT CORP US N 2 2048-11-15 Fixed 5.2500000000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 Crown Castle International Corp 22822VAM3 100000.0000000000 PA USD 131061.8100000000 0.0199402912 Long DBT US N 2 2049-02-15 Fixed 5.2000000000 N N N N N N Crown Holdings Inc NYLWZIOY8PUNIT4JOE22 Crown Holdings Inc 228368106 5570.0000000000 NS USD 364445.1000000000 0.0554481997 Long EC CORP US N 1 N N N DH EUROPE FINANCE II 222100KDGL314CKTZ511 DH Europe Finance II Sarl 23291KAH8 45000.0000000000 PA USD 47362.7500000000 0.0072059666 Long DBT CORP LU N 2 2029-11-15 Fixed 2.6000000000 N N N N N N Deutsche Bank Commercial Mortgage Trust N/A DBJPM 16-C3 Mortgage Trust 23312VAF3 625000.0000000000 PA USD 659491.4400000000 0.1003377822 Long ABS-MBS CORP US N 2 2049-08-10 Fixed 2.8900000000 N N N N N N Dell Technologies Inc 549300TJB5YBRUPOG437 Dell Technologies Inc 24703L202 13690.0000000000 NS USD 679571.6000000000 0.1033928616 Long EC CORP US N 1 N N N DENTSPLY SIRONA INC 9NHEHR1SOZCYXDO8HO28 DENTSPLY SIRONA Inc 24906PAA7 40000.0000000000 PA USD 41030.9000000000 0.0062426125 Long DBT CORP US N 2 2030-06-01 Fixed 3.2500000000 N N N N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 Walt Disney Co/The 254687CM6 300000.0000000000 PA USD 316116.3600000000 0.0480952633 Long DBT CORP US N 2 2022-09-15 Fixed 3.0000000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 Discovery Communications LLC 25470DBH1 100000.0000000000 PA USD 106741.5900000000 0.0162401113 Long DBT CORP US N 2 2050-05-15 Fixed 4.6500000000 N N N N N N Dollar Tree Inc 549300PMSTQITB1WHR43 Dollar Tree Inc 256746AF5 100000.0000000000 PA USD 106751.1800000000 0.0162415704 Long DBT CORP US N 2 2023-05-15 Fixed 3.7000000000 N N N N N N DOMINION ENERGY GAS HLDG 549300BFOD6TDMVV4O24 Dominion Energy Gas Holdings LLC 257375AP0 1410000.0000000000 PA USD 1450174.7500000000 0.2206356434 Long DBT CORP US N 2 2029-11-15 Fixed 3.0000000000 N N N N N N DOMINION ENERGY GAS HLDG 549300BFOD6TDMVV4O24 Dominion Energy Gas Holdings LLC 257375AQ8 65000.0000000000 PA USD 66604.7700000000 0.0101335279 Long DBT CORP US N 2 2049-11-15 Fixed 3.9000000000 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 Dominion Energy Inc 25746UDA4 1550000.0000000000 PA USD 1576715.6600000000 0.2398881059 Long DBT CORP US N 2 2021-08-15 Variable 2.7200000000 N N N N N N Drive Auto Receivables Trust N/A Drive Auto Receivables Trust 2020-1 26208QAF4 1875000.0000000000 PA USD 1854307.8800000000 0.2821221457 Long ABS-O CORP US N 2 N N N EOG Resources Inc XWTZDRYZPBUHIQBKDB46 EOG Resources Inc 26875PAP6 200000.0000000000 PA USD 227763.1200000000 0.0346528324 Long DBT CORP US N 2 2026-01-15 Fixed 4.1500000000 N N N N N N Emerald Holding Inc N/A Emerald Holding Inc 29103W104 118715.0000000000 NS USD 263547.3000000000 0.0400971870 Long EC CORP US N 1 N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 Energy Transfer Partners LP 29273RAY5 300000.0000000000 PA USD 319958.7800000000 0.0486798651 Long DBT CORP US N 2 2024-02-01 Fixed 4.9000000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 Enel Finance International NV 29278GAK4 200000.0000000000 PA USD 236672.3800000000 0.0360083244 Long DBT CORP NL Y 2 2029-06-14 Fixed 4.8800000000 N N N N N N Entercom Communications Corp N/A Entercom Communications Corp 293639100 209300.0000000000 NS USD 349531.0000000000 0.0531791062 Long EC CORP US N 1 N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 Enterprise Products Operating LLC 29379VBY8 100000.0000000000 PA USD 101513.5000000000 0.0154446879 Long DBT CORP US N 2 2051-01-31 Fixed 3.7000000000 N N N N N N Enviva Partners LP 549300WH5VXDEFM5KR81 Enviva Partners LP 29414J107 18150.0000000000 NS USD 634887.0000000000 0.0965943599 Long EC CORP US N 1 N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 Exxon Mobil Corp 30231GBK7 225000.0000000000 PA USD 255625.0400000000 0.0388918612 Long DBT CORP US N 2 2030-03-19 Fixed 3.4800000000 N N N N N N FREMF Mortgage Trust N/A FREMF 2013-K25 Mortgage Trust 30261NAE0 1000000.0000000000 PA USD 1034505.6000000000 0.1573940028 Long ABS-MBS USGSE US Y 2 2045-11-25 Variable 3.6200000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FCJK1 800000.0000000000 PA USD 913507.3600000000 0.1389848252 Long ABS-MBS USGSE US N 2 2027-11-25 Variable 3.3000000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FRUH2 699312.0000000000 PA USD 721436.1300000000 0.1097623060 Long ABS-MBS USGSE US N 2 2029-09-25 Fixed 1.5400000000 N N N N N N Federated Core Trust - High Yield Bond Portfolio 549300FJ1PZWFDNRP685 FED HIGH YLD BOND PORT 000000000 37687472.3000000000 NS USD 223109836.0200000000 33.9448623059 Long EC RF US N 1 N N N Federated Core Trust - Federated Mortgage Core Portfolio 254900WC9GWJKY8X3D48 FEDERATED CORE TR MTG CORE PORTFOLIO 31409N200 7876571.7940000000 NS USD 79868437.9900000000 12.1515177391 Long EC RF US N 1 N N N FEDERATED CORE TR MUTUAL FUND 254900HYFNGKM5PJOV84 FEDERATED CORE TR MUTUAL FUND 31409N887 15759183.4900000000 NS USD 149712243.1600000000 22.7778459714 Long EC RF US N 1 N N N Federated Core Trust III - Federated Project and Trade Finance Core Fund 549300HEVNTSTCP23713 FEDERATED CORE TR III FEDERATED PROJ+TRADE FIN CORE 31415N103 1697511.9460000000 NS USD 14819279.2900000000 2.2546670463 Long EC RF US N 1 N N N FedEx Corp 549300E707U7WNPZN687 FedEx Corp 31428XBQ8 100000.0000000000 PA USD 97597.3800000000 0.0148488730 Long DBT CORP US N 2 2048-02-15 Fixed 4.0500000000 N N N N N N Fifth Third Bancorp THRNG6BD57P9QWTQLG42 Fifth Third Bancorp 316773CV0 100000.0000000000 PA USD 111554.2100000000 0.0169723234 Long DBT CORP US N 2 2028-03-14 Fixed 3.9500000000 N N N N N N FIRSTENERGY TRANSMISSION 549300AINIIPOLYX2R63 FirstEnergy Transmission LLC 33767BAC3 40000.0000000000 PA USD 47812.8000000000 0.0072744391 Long DBT CORP US Y 2 2049-04-01 Fixed 4.5500000000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 Fiserv Inc 337738AU2 75000.0000000000 PA USD 82927.7400000000 0.0126169727 Long DBT CORP US N 2 2029-07-01 Fixed 3.5000000000 N N N N N N Fontainebleau Miami Beach Trust N/A Fontainebleau Miami Beach Trust 2019-FBLU 34461LAG9 5000000.0000000000 PA USD 4721820.0000000000 0.7183974162 Long ABS-MBS CORP US Y 2 2036-12-10 Fixed 3.4500000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 FOX CORP SR UNSECURED 01/29 4.709 35137LAH8 65000.0000000000 PA USD 76088.9500000000 0.0115764907 Long DBT CORP US N 2 2029-01-25 Fixed 4.7100000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 FOX CORP SR UNSECURED 01/49 5.576 35137LAK1 100000.0000000000 PA USD 132756.7200000000 0.0201981619 Long DBT CORP US N 2 2049-01-25 Fixed 5.5800000000 N N N N N N Gaming and Leisure Properties Inc 5493006GWRDBCZYWTM57 Gaming and Leisure Properties Inc 36467J108 20215.0000000000 NS USD 698226.1000000000 0.1062310351 Long EC US N 1 N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 General Electric Co 369604BW2 85000.0000000000 PA USD 84236.0400000000 0.0128160230 Long DBT CORP US N 2 2030-05-01 Fixed 3.6300000000 N N N N N N General Motors Co 54930070NSV60J38I987 General Motors Co 37045VAJ9 100000.0000000000 PA USD 95650.4500000000 0.0145526590 Long DBT CORP US N 2 2045-04-01 Fixed 5.2000000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 Goldman Sachs Group Inc/The 38141GWV2 500000.0000000000 PA USD 553512.9500000000 0.0842137720 Long DBT CORP US N 2 2029-04-23 Fixed 3.8100000000 N N N N N N Goodyear Tire & Rubber Co/The 5493002BI0S2ZQUY3437 Goodyear Tire & Rubber Co/The 382550101 54406.0000000000 NS USD 414029.6600000000 0.0629922017 Long EC CORP US N 1 N N N Graphic Packaging Holding Co N/A Graphic Packaging Holding Co 388689101 41018.0000000000 NS USD 593530.4600000000 0.0903022032 Long EC CORP US N 1 N N N Hanesbrands Inc GX5LWVWZLL5S4W1L2F20 Hanesbrands Inc 410345102 25755.0000000000 NS USD 253944.3000000000 0.0386361464 Long EC CORP US N 1 N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 Home Depot Inc/The 437076BY7 120000.0000000000 PA USD 133466.4400000000 0.0203061416 Long DBT CORP US N 2 2029-06-15 Fixed 2.9500000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 Hyundai Capital America 44891ABE6 60000.0000000000 PA USD 59308.7700000000 0.0090234840 Long DBT CORP US Y 2 2023-02-10 Fixed 2.3800000000 N N N N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 Hyundai Capital America 44891ABG1 3000000.0000000000 PA USD 2802208.7700000000 0.4263397461 Long DBT CORP US Y 2 2027-02-10 Fixed 3.0000000000 N N N N N N Hyundai Auto Receivables Trust N/A Hyundai Auto Receivables Trust 2019-B 44891JAF5 1100000.0000000000 PA USD 1120112.7300000000 0.1704186291 Long ABS-O CORP US N 2 N N N iHeartMedia Inc N/A iHeartMedia Inc 45174J509 36505.0000000000 NS USD 317593.5000000000 0.0483200016 Long EC CORP US N 1 N N N Ingram Micro Inc 549300KJMEWPKRQZHX63 Ingram Micro Inc 457153AG9 350000.0000000000 PA USD 338863.1300000000 0.0515560519 Long DBT CORP US N 2 2024-12-15 Fixed 5.4500000000 N N N N N N iShares JP Morgan USD Emerging Markets Bond ETF 54930070R8WH6MNUJG74 iShares JP Morgan USD Emerging Markets Bond ETF 464288281 200000.0000000000 NS USD 21280000.0000000000 3.2376280793 Long EC RF US N 1 N N N iShares iBoxx High Yield Corporate Bond ETF 549300WY6QQ9HGWLNX87 iShares iBoxx High Yield Corporate Bond ETF 464288513 500000.0000000000 NS USD 41210000.0000000000 6.2698615201 Long EC RF US N 1 N N N JPMBB Commercial Mortgage Securities Trust N/A JPMBB Commercial Mortgage Securities Trust 2015-C28 46644FAH4 1500000.0000000000 PA USD 1550246.2500000000 0.2358609393 Long ABS-MBS CORP US N 2 2048-10-15 Fixed 3.5300000000 N N N N N N EVERGY METRO 1128SIJQ26096WL7IO82 Kansas City Power & Light Co 485134BR0 140000.0000000000 PA USD 171983.9500000000 0.0261663565 Long DBT CORP US N 2 2048-03-15 Fixed 4.2000000000 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 Keurig Dr Pepper Inc 49271VAD2 100000.0000000000 PA USD 130764.8500000000 0.0198951104 Long DBT CORP US N 2 2048-05-25 Fixed 5.0900000000 N N N N N N KEYSIGHT TECHNOLOGIES 549300GLKVIO8YRCYN02 Keysight Technologies Inc 49338LAF0 40000.0000000000 PA USD 42278.9000000000 0.0064324884 Long DBT CORP US N 2 2029-10-30 Fixed 3.0000000000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 Kinder Morgan Energy Partners LP 494550BH8 200000.0000000000 PA USD 250245.0600000000 0.0380733286 Long DBT CORP US N 2 2041-03-01 Fixed 6.3800000000 N N N N N N Koppers Holdings Inc N/A Koppers Holdings Inc 50060P106 27765.0000000000 NS USD 460066.0500000000 0.0699963704 Long EC CORP US N 1 N N N KROGER CO 6CPEOKI6OYJ13Q6O7870 Kroger Co/The 501044DG3 150000.0000000000 PA USD 181046.6200000000 0.0275451889 Long DBT CORP US N 2 2047-02-01 Fixed 4.4500000000 N N N N N N Lam Research Corp 549300I4GMO6D34U1T02 Lam Research Corp 512807AU2 125000.0000000000 PA USD 145883.7800000000 0.0221953676 Long DBT CORP US N 2 2029-03-15 Fixed 4.0000000000 N N N N N N Lear Corp 549300UPNBTXA1SYTQ33 Lear Corp 521865204 5385.0000000000 NS USD 571079.2500000000 0.0868863823 Long EC CORP US N 1 N N N Lehman Brothers Holdings Inc 549300FDK6ZP3YIHRJ47 LEHMAN BRTH HLD RICI ESCROW 524ESC886 40000.0000000000 NS USD 400.0000000000 0.0000608577 Long EC CORP US N 3 N N N LEIDOS INC 5493006I78VIN6J1BQ95 Leidos Inc 52532XAC9 35000.0000000000 PA USD 37727.5500000000 0.0057400270 Long DBT CORP US Y 2 2025-05-15 Fixed 3.6300000000 N N N N N N Eli Lilly & Co FRDRIPF3EKNDJ2CQJL29 Eli Lilly & Co 532457BV9 90000.0000000000 PA USD 103684.4500000000 0.0157749853 Long DBT CORP US N 2 2029-03-15 Fixed 3.3800000000 N N N N N N MANUF & TRADERS TRUST CO WWB2V0FCW3A0EE3ZJN75 Manufacturers & Traders Trust Co 55279HAL4 200000.0000000000 PA USD 207189.0900000000 0.0315226135 Long DBT CORP US N 2 2022-05-18 Fixed 2.5000000000 N N N N N N MGM Resorts International 54930066VBP7DZEGGJ87 MGM Resorts International 552953101 28040.0000000000 NS USD 481727.2000000000 0.0732919882 Long EC CORP US N 1 N N N MASS MUTUAL LIFE INS CO R6ZXK5P01NP6HXSY1S07 Massachusetts Mutual Life Insurance Co 575767AL2 150000.0000000000 PA USD 180315.4100000000 0.0274339396 Long DBT CORP US Y 2 2077-04-01 Fixed 4.9000000000 N N N N N N Master Credit Card Trust 549300G7G68IV2D8IM76 Master Credit Card Trust II 576339CG8 750000.0000000000 PA USD 745761.0800000000 0.1134632055 Long ABS-O CORP CA Y 2 N N N MCCORMICK & CO 549300JQQA6MQ4OJP259 McCormick & Co Inc/MD 579780AQ0 35000.0000000000 PA USD 36401.1100000000 0.0055382169 Long DBT CORP US N 2 2030-04-15 Fixed 2.5000000000 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 Micron Technology Inc 595112BR3 25000.0000000000 PA USD 25633.2100000000 0.0038999436 Long DBT CORP US N 2 2023-04-24 Fixed 2.5000000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 Morgan Stanley 61746BEF9 250000.0000000000 PA USD 277635.0200000000 0.0422405515 Long DBT CORP US N 2 2027-01-20 Fixed 3.6300000000 N N N N N N Morgan Stanley Capital I Trust 5493005SNWQW3UUOQX45 Morgan Stanley Capital I Trust 2012-C4 61760VAQ6 1000000.0000000000 PA USD 965143.7000000000 0.1468409936 Long ABS-MBS CORP US N 2 2045-03-15 Fixed 3.7700000000 N N N N N N NCR Corp 549300YKTY8JX1DV2R67 NCR Corp 62886E108 14485.0000000000 NS USD 261454.2500000000 0.0397787416 Long EC CORP US N 1 N N N NRG Energy Inc 5E2UPK5SW04M13XY7I38 NRG Energy Inc 629377508 17685.0000000000 NS USD 637544.2500000000 0.0969986450 Long EC CORP US N 1 N N N NATIONAL FUEL GAS CO 8JB38FFW1Y3C1HM8E841 National Fuel Gas Co 636180BQ3 100000.0000000000 PA USD 102129.2900000000 0.0155383767 Long DBT CORP US N 2 2026-01-15 Fixed 5.5000000000 N N N N N N NATIONAL RURAL UTIL COOP 4NYF266XZC35SCTGX023 National Rural Utilities Cooperative Finance Corp 637432NL5 110000.0000000000 PA USD 118877.4500000000 0.0180865118 Long DBT CORP US N 2 2024-02-07 Fixed 2.9500000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 NextEra Energy Capital Holdings Inc 65339KBG4 105000.0000000000 PA USD 112795.8900000000 0.0171612378 Long DBT CORP US N 2 2024-04-01 Fixed 3.1500000000 N N N N N N NiSource Inc 549300D8GOWWH0SJB189 NiSource Inc 65473QBF9 65000.0000000000 PA USD 77540.8600000000 0.0117973903 Long DBT CORP US N 2 2047-05-15 Fixed 4.3800000000 N N N N N N Northrop Grumman Corp RIMU48P07456QXSO0R61 Northrop Grumman Corp 666807BN1 185000.0000000000 PA USD 205300.3200000000 0.0312352482 Long DBT CORP US N 2 2028-01-15 Fixed 3.2500000000 N N N N N N O-I Glass Inc N/A O-I Glass Inc 67098H104 57481.0000000000 NS USD 440304.4600000000 0.0669897595 Long EC CORP US N 1 N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 Occidental Petroleum Corp 674599CW3 2010000.0000000000 PA USD 1608000.0000000000 0.2446478361 Long DBT CORP US N 2 2024-08-15 Fixed 2.9000000000 N N N N N N OMNICOM GROUP INC HKUPACFHSSASQK8HLS17 Omnicom Group Inc 681919BC9 100000.0000000000 PA USD 107962.5500000000 0.0164258733 Long DBT CORP US N 2 2030-06-01 Fixed 4.2000000000 N N N N N N ONEOK Inc 2T3D6M0JSY48PSZI1Q41 ONEOK Inc 682680AU7 100000.0000000000 PA USD 100320.4200000000 0.0152631677 Long DBT CORP US N 2 2028-07-15 Fixed 4.5500000000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 Otis Worldwide Corp 68902VAF4 35000.0000000000 PA USD 35431.6600000000 0.0053907207 Long DBT CORP US Y 2 2030-02-15 Fixed 2.5700000000 N N N N N N PNC BANK NA AD6GFRVSDT01YPT1CS68 PNC Bank NA 69349LAS7 1935000.0000000000 PA USD 2034287.4000000000 0.3095049816 Long DBT CORP US N 2 2029-10-22 Fixed 2.7000000000 N N N N N N PPL Capital Funding Inc 549300MROK5WY0D2NU17 PPL Capital Funding Inc 69352PAD5 300000.0000000000 PA USD 317979.0300000000 0.0483786577 Long DBT CORP US N 2 2022-06-15 Fixed 4.2000000000 N N N N N N Parsley Energy Inc 549300DMRA8DSL66G562 Parsley Energy Inc 701877102 45034.0000000000 NS USD 411610.7600000000 0.0626241802 Long EC CORP US N 1 N N N PENSKE TRUCK LEASING/PTL N/A Penske Truck Leasing Co Lp / PTL Finance Corp 709599BG8 2500000.0000000000 PA USD 2535170.7000000000 0.3857114588 Long DBT CORP US Y 2 2024-11-01 Fixed 2.7000000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 PepsiCo Inc 713448EU8 75000.0000000000 PA USD 90121.6600000000 0.0137114858 Long DBT CORP US N 2 2050-03-19 Fixed 3.6300000000 N N N N N N PERKINELMER INC 549300IKL1SDPFI7N655 PerkinElmer Inc 714046AG4 100000.0000000000 PA USD 103805.3600000000 0.0157933810 Long DBT CORP US N 2 2029-09-15 Fixed 3.3000000000 N N N N N N PROCTER & GAMBLE CO/THE 2572IBTT8CCZW6AU4141 Procter & Gamble Co/The 742718FH7 100000.0000000000 PA USD 114736.1000000000 0.0174564295 Long DBT CORP US N 2 2030-03-25 Fixed 3.0000000000 N N N N N N Red Rock Resorts Inc N/A Red Rock Resorts, Inc. Class A 75700L108 29870.0000000000 NS USD 412206.0000000000 0.0627147425 Long EC CORP US N 1 N N N REG DIVERSIFIED FUNDING N/A Regional Diversified Funding 2005-1 Ltd 75902AAA6 145875.5000000000 PA USD 93360.3200000000 0.0142042290 Long DBT CORP KY Y 3 2030-03-15 Fixed 9.2500000000 N N N N N N Reynolds American Inc 02S2RPPVO9RP4NEU2740 Reynolds American Inc 761713BW5 100000.0000000000 PA USD 119985.3200000000 0.0182550677 Long DBT CORP US N 2 2041-08-04 Fixed 7.0000000000 N N N N N N Ryder System Inc ZXJ6Y2OSPZXIVGRILD15 Ryder System Inc 78355HKD0 140000.0000000000 PA USD 142782.3700000000 0.0217235061 Long DBT CORP US N 2 2022-03-01 Fixed 2.8000000000 N N N N N N Santander Retail Auto Lease Trust N/A Santander Retail Auto Lease Trust 2020-A 80286KAG7 3295000.0000000000 PA USD 3236882.1300000000 0.4924727666 Long ABS-O CORP US Y 2 N N N SOUTHERN CO 549300FC3G3YU2FBZD92 Southern Co/The 842587CV7 250000.0000000000 PA USD 275762.2000000000 0.0419556129 Long DBT CORP US N 2 2026-07-01 Fixed 3.2500000000 N N N N N N Southern Copper Corp 2549007U6NAP46Q9TU15 Southern Copper Corp 84265VAE5 200000.0000000000 PA USD 257524.2900000000 0.0391808211 Long DBT CORP US N 2 2040-04-16 Fixed 6.7500000000 N N N N N N SOUTHERN NATURAL GAS N/A Southern Natural Gas Co LLC 84346LAA8 120000.0000000000 PA USD 130722.7000000000 0.0198886976 Long DBT CORP US Y 2 2047-03-15 Fixed 4.8000000000 N N N N N N SOUTHWEST AIRLINES CO UDTZ87G0STFETI6HGH41 Southwest Airlines Co 844741BJ6 45000.0000000000 PA USD 45631.2900000000 0.0069425350 Long DBT CORP US N 2 2025-05-04 Fixed 5.2500000000 N N N N N N Suburban Propane Partners LP JJAX4X60DE65EYFOTY73 Suburban Propane Partners LP 864482104 36176.0000000000 NS USD 527807.8400000000 0.0803028893 Long EC CORP US N 1 N N N Sunoco LP 54930001NJU8E40NQ561 Sunoco LP 86765K109 25185.0000000000 NS USD 649773.0000000000 0.0988591781 Long EC CORP US N 1 N N N TRUIST BANK JJKC32MCHWDI71265Z06 SunTrust Bank/Atlanta GA 86787GAJ1 200000.0000000000 PA USD 214513.1600000000 0.0326369281 Long DBT CORP US N 2 2026-05-15 Fixed 3.3000000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 T-Mobile USA Inc 87264AAY1 25000.0000000000 PA USD 28233.2500000000 0.0042955246 Long DBT CORP US Y 2 2050-04-15 Fixed 4.5000000000 N N N N N N TTM Technologies Inc 549300SC4BDOIS008048 TTM Technologies Inc 87305R109 52275.0000000000 NS USD 604821.7500000000 0.0920201072 Long EC CORP US N 1 N N N Teck Resources Ltd T8KI5SQ2JRWHL7XY0E11 Teck Resources Ltd 878742204 58205.0000000000 NS USD 552365.4500000000 0.0840391866 Long EC CORP CA N 1 N N N Textron Inc 3PPKBHUG1HD6BO7RNR87 Textron Inc 883203BU4 200000.0000000000 PA USD 212319.5500000000 0.0323031831 Long DBT CORP US N 2 2024-03-01 Fixed 4.3000000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 Thermo Fisher Scientific Inc 883556CF7 35000.0000000000 PA USD 39811.9500000000 0.0060571564 Long DBT CORP US N 2 2025-03-25 Fixed 4.1300000000 N N N N N N Toyota Motor Credit Corp Z2VZBHUMB7PWWJ63I008 Toyota Motor Credit Corp 89236TEL5 120000.0000000000 PA USD 124993.6800000000 0.0190170605 Long DBT CORP US N 2 2023-01-11 Fixed 2.7000000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 Union Pacific Corp 907818FH6 65000.0000000000 PA USD 68169.6000000000 0.0103716077 Long DBT CORP US N 2 2030-02-05 Fixed 2.4000000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 9128287A2 20000000.0000000000 PA USD 20306872.0000000000 3.0895723210 Long DBT UST US N 2 2021-06-30 Fixed 1.6300000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Inflation Indexed Bonds 9128287D6 15137250.0000000000 PA USD 16248147.5000000000 2.4720610236 Long DBT UST US N 2 2029-07-15 Fixed 0.2500000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828YY0 5000000.0000000000 PA USD 5332126.0000000000 0.8112519201 Long DBT UST US N 2 2024-12-31 Fixed 1.7500000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 Verizon Communications Inc 92343VCZ5 227000.0000000000 PA USD 313119.6100000000 0.0476393253 Long DBT CORP US N 2 2055-03-15 Fixed 4.6700000000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 ViacomCBS Inc 92556HAB3 100000.0000000000 PA USD 110880.5000000000 0.0168698224 Long DBT CORP US N 2 2031-01-15 Fixed 4.9500000000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 Virginia Electric & Power Co 927804FX7 140000.0000000000 PA USD 157976.1800000000 0.0240351558 Long DBT CORP US N 2 2027-03-15 Fixed 3.5000000000 N N N N N N Visa Inc 549300JZ4OKEHW3DPJ59 Visa Inc 92826CAH5 80000.0000000000 PA USD 88901.4600000000 0.0135258394 Long DBT CORP US N 2 2027-09-15 Fixed 2.7500000000 N N N N N N Vistra Energy Corp 549300KP43CPCUJOOG15 Vistra Energy Corp 92840M102 24025.0000000000 NS USD 491071.0000000000 0.0747135930 Long EC CORP US N 1 N N N WP Carey Inc 54930042CRNE713E3Q67 WP Carey Inc 92936UAA7 135000.0000000000 PA USD 143032.3700000000 0.0217615422 Long DBT US N 2 2024-04-01 Fixed 4.6000000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Wells Fargo & Co 949746SH5 350000.0000000000 PA USD 375193.7300000000 0.0570835411 Long DBT CORP US N 2 2026-10-23 Fixed 3.0000000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Wells Fargo & Co 95000U2G7 150000.0000000000 PA USD 155463.5100000000 0.0236528677 Long DBT CORP US N 2 2030-10-30 Fixed 2.8800000000 N N N N N N WELLTOWER INC T6IZ0MBEG5ACZDTR7D06 Welltower Inc 95040QAK0 2485000.0000000000 PA USD 2391165.3600000000 0.3638018850 Long DBT US N 2 2027-02-15 Fixed 2.7000000000 N N N N N N WestRock Co N/A WestRock Co 96145D105 19943.0000000000 NS USD 559600.5800000000 0.0851399695 Long EC CORP US N 1 N N N WPX Energy Inc ZXZE9GCS2BB547GJW219 WPX Energy Inc 98212B103 72470.0000000000 NS USD 410904.9000000000 0.0625167877 Long EC CORP US N 1 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Long: SP1O2ZKE1 CDS USD R F 5.00000 SP1O2ZKE1_FEE CCPCDX / Short: SP1O2ZKE1 CDS USD P V 03MEVENT SP1O2ZKE1_PRO CCPCDX 000000000 28500000.0000000000 OU Notional Amount USD -525813.6000000000 -0.0799994772 N/A DCR US N 2 Intercontinental Exchange Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.HY.S33.V4 Markit CDX.NA.HY.S33.V4 Y sell protection 2024-12-20 0.000000000000 USD 1058662.370000000000 USD 28500000.0000000000 USD -1584475.9700000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US ULTRA BOND CBT SEP20 XCBT 20200921 000000000 -3.0000000000 NC USD -7694.2500000000 -0.0011706353 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Ultra Long Bond US Treasury Ultra Long Bond 2020-09-21 -646399.5000000000 USD -7694.2500000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR ULTRA FUT SEP20 XCBT 20200921 000000000 -16.0000000000 NC USD -13786.0000000000 -0.0020974596 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US 10 Year Ultra Bond US 10 Year Ultra Bond 2020-09-21 -2503464.0000000000 USD -13786.0000000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR NOTE (CBT)SEP20 XCBT 20200921 000000000 -45.0000000000 NC USD -18165.2900000000 -0.0027637431 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short 10 Year US Treasury Note 10 Year US Treasury Note 2020-09-21 -6239647.2100000000 USD -18165.2900000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 iShares iBoxx High Yield Corporate Bond ETF 000000000 3000.0000000000 NC USD 270000.0000000000 0.0410789277 N/A DE US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Purchased iShares iBoxx High Yield Corporate Bond ETF iShares iBoxx High Yield Corporate Bond ETF 100.0000000000 82.000000000000 USD 2020-06-19 XXXX -74851.3000000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 iShares iBoxx High Yield Corporate Bond ETF 000000000 5000.0000000000 NC USD 57500.0000000000 0.0087482902 N/A DE US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Purchased iShares iBoxx High Yield Corporate Bond ETF iShares iBoxx High Yield Corporate Bond ETF 100.0000000000 75.000000000000 USD 2020-06-19 XXXX -997907.0000000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 RUSSELL 2000 INDEX JUN20 1350 CALL 000000000 300.0000000000 NC USD 2481000.0000000000 0.3774697023 N/A DE US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Purchased Russell 2000 Index Russell 2000 Index 100.0000000000 1350.000000000000 USD 2020-06-19 XXXX 1538091.8700000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 US BOND FUTR OPTN Jul20C 183 000000000 300.0000000000 NC USD 168750.0000000000 0.0256743298 N/A DIR US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 US Treasury Long Bond Future N/A 300000 NC USD 168750 0.000000000000 DIR US Long US Treasury Long Bond US Treasury Long Bond 2020-09-21 300000.0000000000 N/A 1000.0000000000 183.000000000000 USD 2020-06-26 XXXX -66300.0000000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 RUSSELL 2000 INDEX JUN20 1225 CALL 000000000 -500.0000000000 NC USD -9232500.0000000000 -1.4046711110 N/A DE US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written Russell 2000 Index Russell 2000 Index 100.0000000000 1225.000000000000 USD 2020-06-19 XXXX -5934619.8300000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 ISHARES IBOXX HIGH YIELD CORPO JUN20 81 CALL 000000000 -5000.0000000000 NC USD -797500.0000000000 -0.1213349809 N/A DE US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written iShares iBoxx High Yield Corporate Bond ETF iShares iBoxx High Yield Corporate Bond ETF 100.0000000000 81.000000000000 USD 2020-06-19 XXXX -407668.8500000000 N N N Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 US BOND FUTR OPTN Jul20P 174 000000000 -200.0000000000 NC USD -96875.0000000000 -0.0147389671 N/A DIR US N 1 Citigroup Global Markets Inc. MBNUM2BPBDO7JBLYG310 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 US Treasury Long Bond Future N/A -200000 NC USD -96875 0.000000000000 DIR US Short US Treasury Long Bond US Treasury Long Bond 2020-09-21 -200000.0000000000 N/A 1000.0000000000 174.000000000000 USD 2020-06-26 XXXX 105801.0000000000 N N N Credit Agricole SA 969500TJ5KRTCJQWXH05 CAC000093 USD CALL MXN PUT JUN20 20 CALL 000000000 -10000000.0000000000 OU Notional Amount USD -983040.0000000000 -0.1495638114 N/A DFE US N 2 Credit Agricole SA 969500TJ5KRTCJQWXH05 Call Written Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 FX Contract N/A 1 NC USD -983040 0.000000000000 DFE XX -10000000.0000000000 USD -200000000.0000000000 MXN 2020-06-01 1.0000000000 20.000000000000 USD 2020-06-01 XXXX -728040.0000000000 N N N Aegis Capital Corp. 254900S6STN2SDK6LR76 HSC000099 GBP CALL USD PUT JUN20 1.32 CALL 000000000 33000000.0000000000 OU Notional Amount USD 33.0000000000 0.0000050208 N/A DFE US N 2 Aegis Capital Corp. 254900S6STN2SDK6LR76 Call Purchased Aegis Capital Corp. 254900S6STN2SDK6LR76 Aegis Capital Corp. 254900S6STN2SDK6LR76 FX Contract N/A 1 NC USD 33 0.000000000000 DFE XX 43560000.0000000000 GBP 33000000.0000000000 USD 2020-06-04 1.0000000000 1.320000000000 USD 2020-06-04 XXXX -149967.0200000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 BAP000270 USD PUT ZAR CALL JUN20 15.5 PUT 000000000 25000000.0000000000 OU Notional Amount USD 25.0000000000 0.0000038036 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Put Purchased Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 FX Contract N/A 1 NC USD 25 0.000000000000 DFE XX 387500000.0000000000 ZAR 25000000.0000000000 USD 2020-06-10 1.0000000000 15.500000000000 USD 2020-06-10 XXXX -376975.0000000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 JPP000636 AUD PUT/USD CALL MAY20 0.635 PUT 000000000 -10000000.0000000000 OU Notional Amount USD -10.0000000000 -0.0000015214 N/A DFE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 FX Contract N/A 1 NC USD -10 0.000000000000 DFE XX -10000000.0000000000 USD -6350000.0000000000 AUD 2020-05-27 1.0000000000 0.635000000000 USD 2020-05-27 XXXX 70490.0000000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 MSC000234 AUD CALL USD PUT MAY20 0.66 CALL 000000000 -10000000.0000000000 OU Notional Amount USD -19700.0000000000 -0.0029972403 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 FX Contract N/A 1 NC USD -19700 0.000000000000 DFE XX -10000000.0000000000 USD -6600000.0000000000 AUD 2020-05-27 1.0000000000 0.660000000000 USD 2020-05-27 XXXX 65400.0000000000 N N N Bank of America Corporation 9DJT3UXIJIZJI4WXO774 BAP000603 USD PUT CAD CALL MAY20 1.375 PUT 000000000 -10000000.0000000000 OU Notional Amount USD -10.0000000000 -0.0000015214 N/A DFE US N 2 Bank of America Corporation 9DJT3UXIJIZJI4WXO774 Put Written Bank of America Corporation 9DJT3UXIJIZJI4WXO774 Bank of America Corporation 9DJT3UXIJIZJI4WXO774 FX Contract N/A 1 NC USD -10 0.000000000000 DFE XX -10000000.0000000000 USD -13750000.0000000000 CAD 2020-05-29 1.0000000000 1.375000000000 USD 2020-05-29 XXXX 28440.0000000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 BNP000183 EUR PUT USD CALL JUL20 1.07 PUT 000000000 21400000.0000000000 OU Notional Amount USD 10058.0000000000 0.0015302661 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Put Purchased Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 FX Contract N/A 1 NC USD 10058 0.000000000000 DFE XX 22898000.0000000000 USD 21400000.0000000000 EUR 2020-07-06 1.0000000000 1.070000000000 USD 2020-07-06 XXXX -155742.0000000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 MSC000259 NZD CALL USD PUT MAY20 0.615 CALL 000000000 -10000000.0000000000 OU Notional Amount USD -49590.0000000000 -0.0075448297 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 FX Contract N/A 1 NC USD -49590 0.000000000000 DFE XX -10000000.0000000000 NZD -6150000.0000000000 USD 2020-05-27 1.0000000000 0.615000000000 USD 2020-05-27 XXXX -10190.0000000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 JPC000457 EUR CALL USD PUT JUL20 1.095 CALL 000000000 -10950000.0000000000 OU Notional Amount USD -189818.2500000000 -0.0288797414 N/A DFE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 FX Contract N/A 1 NC USD -189818.25 0.000000000000 DFE XX -10950000.0000000000 EUR -11990250.0000000000 USD 2020-07-06 1.0000000000 1.095000000000 USD 2020-07-06 XXXX -105284.2500000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 JPC000465 NZD CALL USD PUT JUN20 0.62 CALL 000000000 -10000000.0000000000 OU Notional Amount USD -51950.0000000000 -0.0079038900 N/A DFE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 FX Contract N/A 1 NC USD -51950 0.000000000000 DFE XX -10000000.0000000000 NZD -6200000.0000000000 USD 2020-06-03 1.0000000000 0.620000000000 USD 2020-06-03 XXXX -21850.0000000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 JPP000701 NZD PUT USD CALL JUN20 0.6025 PUT 000000000 -10000000.0000000000 OU Notional Amount USD -1340.0000000000 -0.0002038732 N/A DFE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 FX Contract N/A 1 NC USD -1340 0.000000000000 DFE XX -10000000.0000000000 NZD -6025000.0000000000 USD 2020-06-03 1.0000000000 0.602500000000 USD 2020-06-03 XXXX 37860.0000000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 JPP000719 AUD PUT USD CALL JUN20 0.6475 PUT 000000000 -10000000.0000000000 OU Notional Amount USD -2650.0000000000 -0.0004031821 N/A DFE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 FX Contract N/A 1 NC USD -2650 0.000000000000 DFE XX -10000000.0000000000 AUD -6475000.0000000000 USD 2020-06-03 1.0000000000 0.647500000000 USD 2020-06-03 XXXX 36450.0000000000 N N N Bank of America Corporation 9DJT3UXIJIZJI4WXO774 BAP000629 USD PUT ZAR CALL JUN20 18 PUT 000000000 -12500000.0000000000 OU Notional Amount USD -376225.0000000000 -0.0572404429 N/A DFE US N 2 Bank of America Corporation 9DJT3UXIJIZJI4WXO774 Put Written Bank of America Corporation 9DJT3UXIJIZJI4WXO774 Bank of America Corporation 9DJT3UXIJIZJI4WXO774 FX Contract N/A 1 NC USD -376225 0.000000000000 DFE XX -12500000.0000000000 USD -225000000.0000000000 ZAR 2020-06-18 1.0000000000 18.000000000000 USD 2020-06-18 XXXX -174850.0000000000 N N N Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 CAP000073 USD PUT MXN CALL JUN20 22.775 PUT 000000000 -15000000.0000000000 OU Notional Amount USD -498810.0000000000 -0.0758910368 N/A DFE US N 2 Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 Put Written Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 Credit Agricole Corporate and Investment Bank 1VUV7VQFKUOQSJ21A208 FX Contract N/A 1 NC USD -498810 0.000000000000 DFE XX -15000000.0000000000 USD -341625000.0000000000 MXN 2020-06-18 1.0000000000 22.775000000000 USD 2020-06-18 XXXX -372060.0000000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 JPC000481 USD CALL ZAR PUT JUN20 18.2 CALL 000000000 -12500000.0000000000 OU Notional Amount USD -61300.0000000000 -0.0093264380 N/A DFE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 FX Contract N/A 1 NC USD -61300 0.000000000000 DFE XX -12500000.0000000000 USD -227500000.0000000000 ZAR 2020-06-18 1.0000000000 18.200000000000 USD 2020-06-18 XXXX 39700.0000000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 JPP000727 USD PUT ZAR CALL AUG20 17.5 PUT 000000000 17500000.0000000000 OU Notional Amount USD 435785.0000000000 0.0663021500 N/A DFE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Purchased J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 FX Contract N/A 1 NC USD 435785 0.000000000000 DFE XX 306250000.0000000000 ZAR 17500000.0000000000 USD 2020-08-24 1.0000000000 17.500000000000 USD 2020-08-24 XXXX -48015.0000000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 JPC000507 NZD CALL USD PUT AUG20 0.65 CALL 000000000 -10000000.0000000000 OU Notional Amount USD -50270.0000000000 -0.0076482878 N/A DFE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 FX Contract N/A 1 NC USD -50270 0.000000000000 DFE XX -10000000.0000000000 NZD -6500000.0000000000 USD 2020-08-31 1.0000000000 0.650000000000 USD 2020-08-31 XXXX -570.0000000000 N N N Mallinckrodt PLC 549300LMDE3RUP8Z3L60 Mallinckrodt PLC 000000000 6202.0000000000 NS USD 17489.6400000000 0.0026609469 Long EC CORP IE N 1 N N N 2020-07-27 Federated Hermes Fixed Income Securities, Inc. f/k/a Federated Fixed Income Securities Inc Stephen Van Meter Federated Hermes Fixed Income Securities, Inc. f/k/a Federated Fixed Income Securities Inc Chief Compliance Officer