0001752724-20-249347.txt : 20201125
0001752724-20-249347.hdr.sgml : 20201125
20201125171134
ACCESSION NUMBER: 0001752724-20-249347
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200930
FILED AS OF DATE: 20201125
PERIOD START: 20200930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: GUGGENHEIM FUNDS TRUST
CENTRAL INDEX KEY: 0000088525
IRS NUMBER: 000000000
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-01136
FILM NUMBER: 201351786
BUSINESS ADDRESS:
STREET 1: 702 KING FARM BOULEVARD
STREET 2: SUITE 200
CITY: ROCKVILLE
STATE: MD
ZIP: 20850
BUSINESS PHONE: 301-296-5100
MAIL ADDRESS:
STREET 1: 702 KING FARM BOULEVARD
STREET 2: SUITE 200
CITY: ROCKVILLE
STATE: MD
ZIP: 20850
FORMER COMPANY:
FORMER CONFORMED NAME: SECURITY EQUITY FUND
DATE OF NAME CHANGE: 19920703
0000088525
S000043988
Guggenheim Investment Grade Bond Fund
C000136517
A-Class
SIUSX
C000136519
C-Class
SDICX
C000136520
Institutional Class
GIUSX
C000155968
P
SIUPX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000088525
XXXXXXXX
S000043988
C000155968
C000136519
C000136520
C000136517
Guggenheim Funds Trust
811-01136
0000088525
54930033G24U3UGWK691
702 King Farm Blvd., Suite 200
Rockville
20850
301-296-5100
Guggenheim Investment Grade Bond Fund
S000043988
549300FTUEDHPYOSV405
2020-09-30
2020-09-30
N
1825700271.03
378377587.99
1447322683.04
0.00000000
0.00000000
13531236.76000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
USD
EUR
N
HANOVER INSURANCE GROUP
JJYR6MFKFF6CF8DBZ078
Hanover Insurance Group, Inc.
410867AG0
480000.00000000
PA
USD
492880.59000000
0.034054644190
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
INT DEVELOPMENT FIN CORP
N/A
U.S. International Development Finance Corp.
90376PAD3
600000.00000000
PA
USD
632889.77000000
0.043728311413
Long
DBT
USGSE
US
N
2
2029-10-15
Fixed
1.79000000
N
N
N
N
N
N
PQ GROUP HOLDINGS INC
2H1FRGMQKKSWC9PFJY28
PQ Corp.
N/A
600000.00000000
PA
USD
596400.00000000
0.041207120360
Long
LON
CORP
US
N
2
2027-02-08
Variable
4.00000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Freddie Mac Principal Strips
3134A4KY9
10550000.00000000
PA
USD
8943957.46000000
0.617965679997
Long
DBT
USGSE
US
N
2
2032-07-15
None
0.00000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBP9
1410000.00000000
PA
USD
1617594.46000000
0.111764603633
Long
DBT
CORP
US
N
2
2027-04-02
Fixed
4.70000000
N
N
N
N
N
N
BLACK HILLS CORP
3MGELCRSTNSAMJ962671
Black Hills Corp.
092113AT6
940000.00000000
PA
USD
972050.62000000
0.067161983391
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.50000000
N
N
N
N
N
N
RYDER SYSTEM INC
ZXJ6Y2OSPZXIVGRILD15
Ryder System, Inc.
78355HKR9
1470000.00000000
PA
USD
1612308.69000000
0.111399393438
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
3.35000000
N
N
N
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp.
12513GBF5
810000.00000000
PA
USD
806962.50000000
0.055755534647
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2J1
1180000.00000000
PA
USD
1238777.69000000
0.085590981507
Long
DBT
CORP
US
N
2
2031-02-11
Variable
2.57200000
N
N
N
N
N
N
MIDWEST CONNECTOR CAPIT
N/A
Midwest Connector Capital Company LLC
59833CAC6
460000.00000000
PA
USD
464911.95000000
0.032122204360
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
4.62500000
N
N
N
N
N
N
PRUDENTIAL PLC
5493001Z3ZE83NGK8Y12
Prudential plc
74435KAA3
4365000.00000000
PA
USD
4847374.10000000
0.334920067017
Long
DBT
CORP
US
N
2
2030-04-14
Fixed
3.12500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co.
097023CY9
8000000.00000000
PA
USD
8992069.84000000
0.621289913118
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
LINCOLN NATIONAL CORP
EFQMQROEDSNBRIP7LE47
Lincoln National Corp.
534187BK4
3170000.00000000
PA
USD
3515456.30000000
0.242893747275
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.40000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-2215500.00000000
NC
-5121.43000000
-0.00035385543
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2215500.00000000
ILS
650469.76000000
USD
2022-01-31
-5121.43000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co.
097023CU7
2150000.00000000
PA
USD
2366957.30000000
0.163540399645
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.04000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
260000.00000000
NC
42.13000000
0.000002910891
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2423.56000000
USD
260000.00000000
JPY
2020-11-02
42.13000000
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group, Inc.
174610AS4
607000.00000000
PA
USD
643581.30000000
0.044467022284
Long
DBT
CORP
US
N
2
2030-02-06
Fixed
2.50000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International, Inc.
571903BE2
2830000.00000000
PA
USD
3030780.80000000
0.209406018126
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.62500000
N
N
N
N
N
N
SERVICE CORP INTL
549300RKVM2ME20JHZ15
Service Corporation International
817565CF9
750000.00000000
PA
USD
750937.50000000
0.051884594140
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
3.37500000
N
N
N
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
Qorvo, Inc.
74736KAH4
1380000.00000000
PA
USD
1466250.00000000
0.101307746861
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.37500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
15028800.00000000
NC
179964.81000000
0.012434325262
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
4234657.65000000
USD
15028800.00000000
ILS
2021-04-30
179964.81000000
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust
17291CBW4
2416282.65570000
PA
USD
191708.11000000
0.013245706175
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
1.90200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HX3M0
2600000.00000000
PA
USD
2781021.88000000
0.192149401967
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
2.19500000
N
N
N
N
N
N
LCPR SR SECURED FIN DAC
549300LE5FM8IKMXSP90
LCPR Senior Secured Financing DAC
50201DAA1
500000.00000000
PA
USD
522500.00000000
0.036101140825
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
6.75000000
N
N
N
N
N
N
WMG ACQUISITION CORP
549300NAS11NXI33CP80
WMG Acquisition Corp.
92933BAQ7
500000.00000000
PA
USD
515597.50000000
0.035624225754
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.87500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-3838000.00000000
NC
-5003.83000000
-0.00034573008
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
3838000.00000000
ILS
1122386.31000000
USD
2021-04-30
-5003.83000000
N
N
N
Whitebox CLO I Ltd
549300C89ZJ5IWOT1F21
Whitebox CLO II Ltd.
96466CAA6
2000000.00000000
PA
USD
2006422.84000000
0.138629958855
Long
ABS-O
CORP
KY
N
2
2031-10-24
Floating
1.99200000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92556HAC1
2490000.00000000
PA
USD
2921659.25000000
0.201866472780
Long
DBT
CORP
US
N
2
2050-05-19
Fixed
4.95000000
N
N
N
N
N
N
Treman Park CLO Ltd
549300E4DX3Q8L455K94
Treman Park CLO Ltd.
89473MAD4
500000.00000000
PA
USD
359629.05000000
0.024847883213
Long
ABS-O
CORP
KY
N
2
2028-10-20
None
0.00000000
N
N
N
N
N
N
FNMA PRIN STRIPS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Principal Strips
31358DJP0
13000000.00000000
PA
USD
9684363.13000000
0.669122597433
Long
DBT
USGSE
US
N
2
2037-07-15
None
0.00000000
N
N
N
N
N
N
SIX FLAGS THEME PARKS
5493003MX0ZXTM8EVY68
Six Flags Theme Parks, Inc.
83001WAC8
1060000.00000000
PA
USD
1127575.00000000
0.077907643762
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HTYC7
300000.00000000
PA
USD
356148.28000000
0.024607386049
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.83000000
N
N
N
N
N
N
Merrill Lynch Alternative Note
N/A
Merrill Lynch Alternative Note Asset Trust Series
59023MAC4
1955002.34570000
PA
USD
918065.58000000
0.063431990029
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.29800000
N
N
N
N
N
N
BOISE ID ST UNIV REVENUES
N/A
Boise State University Revenue Bonds
097464M40
1150000.00000000
PA
USD
1181073.00000000
0.081603986024
Long
DBT
MUN
US
N
2
2040-04-01
Fixed
3.06200000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp.
35137LAL9
931000.00000000
PA
USD
1052150.59000000
0.072696338026
Long
DBT
CORP
US
N
2
2030-04-08
Fixed
3.50000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2020-NQM1
36259WAB7
966315.30260000
PA
USD
968575.51000000
0.066921877294
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Variable
1.79100000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-1287100.00000000
NC
461.81000000
0.000031907881
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1287100.00000000
ILS
381329.07000000
USD
2022-01-31
461.81000000
N
N
N
iShares iBoxx $ Investment Gra
549300FYCXFXG8POR355
iShares iBoxx $ Investment Grade Corporate Bond ETF
464287242
408110.00000000
NS
USD
54976498.10000000
3.798496267917
Long
EC
RF
US
N
1
N
N
N
Capmark Military Housing Trust
N/A
Capmark Military Housing Trust
140694AA8
466257.81710000
PA
USD
557313.78000000
0.038506532546
Long
ABS-MBS
CORP
US
N
2
2052-10-10
Fixed
6.05900000
N
N
N
N
N
N
RADIATE HOLDCO / FINANCE
N/A
Radiate Holdco LLC / Radiate Finance, Inc.
75026JAC4
1300000.00000000
PA
USD
1299727.00000000
0.089802157820
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
4.50000000
N
N
N
N
N
N
NUCOR CORP
549300GGJCRSI2TIEJ46
Nucor Corp.
670346AS4
3000000.00000000
PA
USD
3221118.27000000
0.222557022545
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.70000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
434587.52000000
NC
10009.98000000
0.000691620473
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
117345.08000000
USD
434587.52000000
ILS
2021-02-01
10009.98000000
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp.
05526DBU8
2800000.00000000
PA
USD
2760871.26000000
0.190757133316
Long
DBT
CORP
US
N
2
2050-09-25
Fixed
3.98400000
N
N
N
N
N
N
NewStar Clarendon Fund CLO LLC
549300HC3VVP80NTKX35
NewStar Clarendon Fund CLO LLC
32010AAA6
1893339.24860000
PA
USD
1884818.65000000
0.130227949308
Long
ABS-O
CORP
US
N
2
2027-01-25
Floating
1.54500000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
N/A
Elanco Animal Health, Inc.
N/A
390643.27000000
PA
USD
379248.21000000
0.026203431649
Long
LON
CORP
US
N
2
2027-08-02
Variable
1.91000000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92556HAA5
2260000.00000000
PA
USD
2596497.89000000
0.179400068859
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.75000000
N
N
N
N
N
N
FORTIVE CORPORATION
549300MU9YQJYHDQEF63
Fortive Corp.
34959JAF5
2200000.00000000
PA
USD
2225466.80000000
0.153764383442
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
2.35000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863AW0
3200000.00000000
PA
USD
3927744.00000000
0.271379979463
Long
DBT
CORP
GB
N
2
2030-04-01
Fixed
5.62500000
N
N
N
N
N
N
MAGELLAN MIDSTREAM PARTN
MZF5TI8NFVZZNUSKDL39
Magellan Midstream Partners, LP
559080AQ9
1500000.00000000
PA
USD
1609807.68000000
0.111226590922
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.25000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
2Y-10 CMS CAP
N/A
47400000.00000000
NC
USD
114708.00000000
0.007925530453
N/A
DIR
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
N/A
2Y-10 CMS CAP
47400000
0.60500000
USD
2022-07-29
XXXX
23900.50000000
N
N
N
ILLINOIS ST
54930048FV8RWPR02D67
State of Illinois General Obligation Unlimited
452152ZB0
500000.00000000
PA
USD
591985.00000000
0.040902074356
Long
DBT
MUN
US
N
2
2038-12-01
Fixed
5.65000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SBJ1
2760000.00000000
PA
USD
3012056.20000000
0.208112277607
Long
DBT
CORP
US
N
2
2030-05-06
Fixed
3.40000000
N
N
N
N
N
N
Diamond Issuer LLC
N/A
Diamond Issuer LLC
25267TAG6
1000000.00000000
PA
USD
997819.60000000
0.068942441909
Long
ABS-O
CORP
US
N
3
2050-07-20
Fixed
2.73500000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services, Inc.
038522AQ1
85000.00000000
PA
USD
85637.50000000
0.005916959707
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co.
50077LBG0
575000.00000000
PA
USD
658981.95000000
0.045531100819
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FETP5
1200000.00000000
PA
USD
1394324.16000000
0.096338168145
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Variable
3.45000000
N
N
N
N
N
N
SONOCO PRODUCTS CO
GKOMIK4RDJGHEF0VNP11
Sonoco Products Co.
835495AL6
4808000.00000000
PA
USD
5211600.01000000
0.360085561504
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.12500000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AU8
250000.00000000
PA
USD
267615.37000000
0.018490373510
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HSW56
2025000.00000000
PA
USD
2308647.10000000
0.159511567603
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.59000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-135950.00000000
NC
25.04000000
0.000001730091
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
135950.00000000
JPY
1315.43000000
USD
2020-12-21
25.04000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HTQS1
1000000.00000000
PA
USD
1215716.67000000
0.083997624320
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
3.61000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust
17181FAA9
2144955.83120000
PA
USD
2215332.90000000
0.153064200952
Long
ABS-MBS
CORP
US
N
2
2057-12-26
Variable
4.07000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust
41162NAC1
784288.90190000
PA
USD
701217.73000000
0.048449301473
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
0.30600000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance plc
92769XAR6
2350000.00000000
PA
USD
2414484.00000000
0.166824166324
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Incorporated / SkyMiles IP Ltd.
830867AA5
3150000.00000000
PA
USD
3234585.03000000
0.223487482639
Long
DBT
CORP
US
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities I Trust
07389MAE7
634266.14670000
PA
USD
603117.97000000
0.041671285682
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.28800000
N
N
N
N
N
N
Freddie Mac Military Housing B
549300ZG8WH0M4JSUM77
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
35563CAA6
4594754.40220000
PA
USD
5417731.43000000
0.374327818770
Long
ABS-MBS
USGSE
US
N
2
2055-11-25
Variable
3.47600000
N
N
N
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
29446MAK8
1210000.00000000
PA
USD
1279603.44000000
0.088411758828
Long
DBT
CORP
US
N
2
2030-05-22
Fixed
2.37500000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services, Inc.
038522AR9
1400000.00000000
PA
USD
1458345.00000000
0.100761565965
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.37500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SBH5
1180000.00000000
PA
USD
1246801.51000000
0.086145372045
Long
DBT
CORP
US
N
2
2025-05-06
Fixed
2.35000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group, Inc.
026874DR5
5120000.00000000
PA
USD
5669702.66000000
0.391737290269
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
3.40000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBJ4
1600000.00000000
PA
USD
1952547.94000000
0.134907575406
Long
DBT
CORP
US
N
2
2031-03-24
Variable
4.49300000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
N/A
Golub Capital Partners CLO 17 Ltd.
38175JAA5
750000.00000000
PA
USD
741954.53000000
0.051263932963
Long
ABS-O
CORP
KY
N
2
2030-10-25
Floating
1.89500000
N
N
N
N
N
N
VANTAGE DATA CENTERS ISSUER, L
N/A
Vantage Data Centers Issuer LLC
92211MAC7
974166.66670000
PA
USD
1007686.86000000
0.069624201417
Long
ABS-O
CORP
US
N
2
2043-02-16
Fixed
4.07200000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833EA4
1550000.00000000
PA
USD
1539774.48000000
0.106387780558
Long
DBT
CORP
US
N
2
2060-08-20
Fixed
2.55000000
N
N
N
N
N
N
Station Place Securitization T
N/A
Station Place Securitization Trust
85776XAA8
10200000.00000000
PA
USD
10200000.00000000
0.704749543382
Long
ABS-O
CORP
US
Y
3
2020-12-24
Floating
1.65100000
N
N
N
N
N
N
WEYERHAEUSER CO
08IRJODWFYBI7QWRGS31
Weyerhaeuser Co.
962166BY9
911000.00000000
PA
USD
1077133.35000000
0.074422474174
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
539000.00000000
NC
-115.63000000
-0.00000798923
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
5233.26000000
USD
539000.00000000
JPY
2021-01-04
-115.63000000
N
N
N
VIRTU FINANCIAL INC
N/A
Virtu Financial, Inc.
N/A
780997.91000000
PA
USD
774898.32000000
0.053540121292
Long
LON
CORP
US
N
2
2026-03-01
Variable
3.15000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CT9
1500000.00000000
PA
USD
1518255.60000000
0.104900974591
Long
DBT
CORP
US
N
2
2060-09-01
Fixed
2.45000000
N
N
N
N
N
N
CHG HEALTHCARE SERVICES INC
N/A
CHG Healthcare Services, Inc.
N/A
3037910.80080000
PA
USD
2982590.45000000
0.206076397817
Long
LON
CORP
US
N
2
2023-06-07
Variable
4.00000000
N
N
N
N
N
N
FIDELITY NATL FINANCIAL
549300CAZYIH39SYQ287
Fidelity National Financial, Inc.
31620RAK1
1210000.00000000
PA
USD
1200143.45000000
0.082921622390
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.45000000
N
N
N
N
N
N
UNITED AIRLINES HOLDINGS INC
N/A
Mileage Plus Holdings LLC
N/A
1950000.00000000
PA
USD
1980342.00000000
0.136827952964
Long
LON
CORP
US
N
2
2027-06-21
Variable
6.25000000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Freddie Mac
3128X0AZ2
1850000.00000000
PA
USD
1524437.28000000
0.105328085979
Long
DBT
USGSE
US
N
2
2034-01-02
None
0.00000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France S.A.
02156LAE1
450000.00000000
PA
USD
448312.50000000
0.030975297026
Long
DBT
CORP
FR
N
2
2029-01-15
Fixed
5.12500000
N
N
N
N
N
N
HYATT HOTELS CORP
T27JQIMTYSH41TCD5186
Hyatt Hotels Corp.
448579AJ1
1510000.00000000
PA
USD
1733876.45000000
0.119798885923
Long
DBT
CORP
US
N
2
2030-04-23
Fixed
5.75000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp.
30231GBN1
9450000.00000000
PA
USD
10214582.58000000
0.705757098931
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.61000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co.
50077LAY2
200000.00000000
PA
USD
211063.49000000
0.014583029235
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.87500000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
Cascade Funding Mortgage Trust
14727QAA3
3504348.83330000
PA
USD
3635067.00000000
0.251158020432
Long
ABS-MBS
CORP
US
Y
2
2068-10-25
Variable
4.00000000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita, Inc.
23918KAS7
2990000.00000000
PA
USD
3062657.00000000
0.211608443361
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.62500000
N
N
N
N
N
N
HUNT CRE ltd
N/A
Hunt CRE Ltd.
445579AA3
1750000.00000000
PA
USD
1727461.40000000
0.119355650280
Long
ABS-O
CORP
KY
N
2
2028-08-15
Floating
1.23200000
N
N
N
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
Boxer Parent Company, Inc.
103186AB8
750000.00000000
PA
USD
801045.00000000
0.055346676272
Long
DBT
CORP
US
N
2
2025-10-02
Fixed
7.12500000
N
N
N
N
N
N
ADVENT-BOJANGLES ACQUISITION LP
N/A
Bojangles, Inc.
N/A
465704.50000000
PA
USD
463180.38000000
0.032002564834
Long
LON
CORP
US
N
2
2026-01-28
Variable
7.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
149590.00000000
NC
3946.14000000
0.000272651015
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
40136.84000000
USD
149590.00000000
ILS
2021-07-30
3946.14000000
N
N
N
Securitized Asset Backed Recei
N/A
Securitized Asset Backed Receivables LLC Trust 2006-HE2
81377AAD4
1698795.13950000
PA
USD
978853.40000000
0.067632008498
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.29800000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJE0
2650000.00000000
PA
USD
2705865.58000000
0.186956620780
Long
DBT
CORP
US
N
2
2041-06-19
Variable
2.67600000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corporation Trust
36258PAJ6
1000000.00000000
PA
USD
970194.20000000
0.067033717592
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
3.24600000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust
90276CAF8
11075432.17450000
PA
USD
623117.10000000
0.043053087421
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Variable
1.23000000
N
N
N
N
N
N
MONROE CAPITAL CLO LTD
549300P18F17MYF55L44
Monroe Capital CLO Ltd.
610333AS5
242022.11450000
PA
USD
241502.90000000
0.016686182205
Long
ABS-O
CORP
KY
N
2
2026-10-22
Floating
1.60800000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
8313400.00000000
NC
205852.18000000
0.014222963711
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2254175.70000000
USD
8313400.00000000
ILS
2022-01-31
205852.18000000
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B9J32
26185385.36200000
PA
USD
3757039.81000000
0.259585499075
Long
ABS-MBS
USGSE
US
N
2
2035-03-25
Variable
1.60500000
N
N
N
N
N
N
FLORIDA GAS TRANSMISSION
549300Q0UQF87NXNOC32
Florida Gas Transmission Company LLC
340711AY6
1000000.00000000
PA
USD
1048132.49000000
0.072418715071
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
2.55000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-11463500.00000000
NC
-5113.15000000
-0.00035328334
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
11463500.00000000
ILS
3362223.20000000
USD
2021-04-30
-5113.15000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFE9
1000000.00000000
PA
USD
1130029.75000000
0.078077250031
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
3.15000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
Level 3 Financing, Inc.
527298BS1
2850000.00000000
PA
USD
2814375.00000000
0.194453872172
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
3.62500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300SGFUCMB43V8P22
Wells Fargo Commercial Mortgage Trust
95000CBE2
3963570.90800000
PA
USD
236132.51000000
0.016315125352
Long
ABS-MBS
CORP
US
N
2
2059-01-15
Variable
1.65000000
N
N
N
N
N
N
UNIV OF COLORADO CO ENTERPRISE
N/A
University of Colorado Revenue Bonds
91417K5T4
1000000.00000000
PA
USD
1020970.00000000
0.070541974637
Long
DBT
MUN
US
N
2
2048-06-01
Fixed
2.81100000
N
N
N
N
N
N
JAGUAR HL / PPDI
N/A
Jaguar Holding Company II / PPD Development, LP
47010LAB8
400000.00000000
PA
USD
412000.00000000
0.028466354105
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
4.62500000
N
N
N
N
N
N
IXIS Real Estate Capital Trust
N/A
IXIS Real Estate Capital Trust 2006-HE1
45071KDE1
1478516.96310000
PA
USD
977790.14000000
0.067558544577
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
0.74800000
N
N
N
N
N
N
NIELSEN FINANCE LLC/CO
N/A
Nielsen Finance LLC / Nielsen Finance Co.
65409QBD3
2600000.00000000
PA
USD
2689180.00000000
0.185803762458
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
5.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HSCK5
974260.57000000
PA
USD
1184440.45000000
0.081836653558
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
4.27000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HXZN3
992362.11000000
PA
USD
1065802.44000000
0.073639586561
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
2.68000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-521000.00000000
NC
141.10000000
0.000009749035
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
521000.00000000
JPY
5089.63000000
USD
2021-02-01
141.10000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HWGU0
983272.46000000
PA
USD
1083015.05000000
0.074828859016
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
2.69000000
N
N
N
N
N
N
BROWN & BROWN INC
549300PC8KTJ71XKFY89
Brown & Brown, Inc.
115236AC5
800000.00000000
PA
USD
804919.82000000
0.055614399569
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.37500000
N
N
N
N
N
N
Wind River CLO Ltd
54930043UF2EELTNOD60
THL Credit Wind River CLO Ltd.
87244ABL3
493960.05090000
PA
USD
493075.07000000
0.034068081415
Long
ABS-O
CORP
KY
N
2
2026-01-15
Floating
1.15500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Fannie Mae Principal Strips
31358DCT9
250000.00000000
PA
USD
182969.86000000
0.012641953459
Long
DBT
USGSE
US
N
2
2038-08-06
None
0.00000000
N
N
N
N
N
N
MidOcean Credit CLO
5493004MLF21SFT7F415
Midocean Credit CLO VII
59801WAP1
1000000.00000000
PA
USD
995683.50000000
0.068794852154
Long
ABS-O
CORP
KY
N
2
2029-07-15
Floating
1.72500000
N
N
N
N
N
N
iShares iBoxx High Yield Corpo
N/A
iShares iBoxx High Yield Corporate Bond ETF
464288513
141850.00000000
NS
USD
11901215.00000000
0.822291748720
Long
EC
RF
US
N
1
N
N
N
BAE SYSTEMS PLC
8SVCSVKSGDWMW2QHOH83
BAE Systems plc
05523RAD9
2659000.00000000
PA
USD
2971729.06000000
0.205325950793
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.40000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp.
808513BD6
3050000.00000000
PA
USD
3304827.50000000
0.228340752116
Long
DBT
CORP
US
N
2
N/A
Variable
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HWRB0
2000000.00000000
PA
USD
2173190.78000000
0.150152471557
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
2.30000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2Q5
8550000.00000000
PA
USD
8944160.22000000
0.617979689312
Long
DBT
CORP
US
N
2
2041-04-30
Variable
3.06800000
N
N
N
N
N
N
MidOcean Credit CLO
5493004MLF21SFT7F415
Midocean Credit CLO VII
59801WAM8
3000000.00000000
PA
USD
2973241.80000000
0.205430470678
Long
ABS-O
CORP
KY
N
2
2029-07-15
Floating
1.31500000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust
85571KAA3
1068701.47920000
PA
USD
1085875.19000000
0.075026474933
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
2.94100000
N
N
N
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAG3
1221875.00000000
PA
USD
1295615.16000000
0.089518058079
Long
ABS-O
CORP
US
N
2
2049-06-15
Fixed
3.78300000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BF3
1000000.00000000
PA
USD
968250.00000000
0.066899386801
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.37500000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B9J24
3220000.00000000
PA
USD
3330414.44000000
0.230108632927
Long
ABS-MBS
USGSE
US
N
2
2035-03-25
Fixed
1.74000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac
3132WWAU6
1404345.96590000
PA
USD
1423236.61000000
0.098335818727
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
1.98000000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co.
191216CY4
1330000.00000000
PA
USD
1350778.36000000
0.093329454158
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
2.75000000
N
N
N
N
N
N
EMORY UNIVERSITY
95MD72NUUVZ3P8PQ6919
Emory University
29157TAE6
2000000.00000000
PA
USD
2191267.54000000
0.151401450808
Long
DBT
CORP
US
N
2
2050-09-01
Fixed
2.96900000
N
N
N
N
N
N
NEWPORT MESA CA UNIF SCH DIST
N/A
Newport Mesa Unified School District General Obligation Unlimited
652113XH9
2000000.00000000
PA
USD
890060.00000000
0.061496997900
Long
DBT
MUN
US
N
2
2044-08-01
None
0.00000000
N
N
N
N
N
N
GoldenTree Loan Management US
N/A
GoldenTree Loan Management US CLO 1 Ltd.
38136FAU7
3000000.00000000
PA
USD
2989728.30000000
0.206569573947
Long
ABS-O
CORP
KY
N
2
2029-04-20
Floating
1.22200000
N
N
N
N
N
N
NEW YORK ST PWR AUTH REVENUE
I5P1GEYFGGMMDOFX2L30
New York Power Authority Revenue Bonds
64989KLD6
740000.00000000
PA
USD
865874.00000000
0.059825912365
Long
DBT
MUN
US
N
2
2045-11-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138LKZP5
500000.00000000
PA
USD
552905.74000000
0.038201967431
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.05000000
N
N
N
N
N
N
ALCON FINANCE CORP
549300CUZUI9VU7XNK42
Alcon Finance Corp.
01400EAD5
3290000.00000000
PA
USD
3482722.67000000
0.240632079550
Long
DBT
CORP
US
N
2
2030-05-27
Fixed
2.60000000
N
N
N
N
N
N
CHARTER NEX US HOLDINGS INC
N/A
Charter Nex US, Inc.
N/A
797135.41570000
PA
USD
776545.41000000
0.053653923834
Long
LON
CORP
US
N
2
2024-05-16
Variable
3.75000000
N
N
N
N
N
N
GREAT LAKES DREDGE&DOCK
549300H65E3MZ1CX0P05
Great Lakes Dredge & Dock Corp.
390607AE9
200000.00000000
PA
USD
205094.00000000
0.014170578710
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
8.00000000
N
N
N
N
N
N
CF Hippolyta Issuer LLC
N/A
CF Hippolyta LLC
12530MAD7
250000.00000000
PA
USD
253813.00000000
0.017536725083
Long
ABS-O
CORP
US
N
2
2060-07-15
Fixed
2.60000000
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
N/A
Venture Global Calcasieu Pass LLC
N/A
-2000000.00000000
PA
USD
-163932.00000000
-0.01132656883
Short
LON
CORP
US
N
3
2026-08-19
Variable
2.38000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust
576433FG6
320751.93860000
PA
USD
299339.38000000
0.020682283467
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Variable
2.30700000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corporation Trust
36258BAL2
1000000.00000000
PA
USD
939498.50000000
0.064912856753
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.50200000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
124857AR4
450000.00000000
PA
USD
485288.24000000
0.033530065249
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.90000000
N
N
N
N
N
N
KVK CLO Ltd
5493007VGL59COTLZY21
KVK CLO Ltd.
482739AF6
933511.92830000
PA
USD
929095.02000000
0.064194048147
Long
ABS-O
CORP
KY
N
2
2028-01-14
Floating
1.16800000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12593JBG0
45235862.75530000
PA
USD
1411906.27000000
0.097552970498
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Variable
0.90700000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust
03464RAC7
1754392.69050000
PA
USD
1753081.46000000
0.121125819455
Long
ABS-MBS
CORP
US
N
2
2059-12-25
Variable
2.77400000
N
N
N
N
N
N
BlackRock MuniYield California
IYIUSPF2WPGE9ZQM0H74
BlackRock MuniYield California Quality Fund, Inc.
09254N103
98596.00000000
NS
USD
1415838.56000000
0.097824664574
Long
EC
RF
US
N
1
N
N
N
Textainer Marine Containers Li
549300X48KLHDDGPK024
Textainer Marine Containers VII Ltd.
88315LAE8
4610901.77360000
PA
USD
4712683.74000000
0.325613893516
Long
ABS-O
CORP
US
N
2
2045-08-21
Fixed
2.73000000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAN1
850000.00000000
PA
USD
857990.00000000
0.059281182424
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
4.50000000
N
N
N
N
N
N
HYATT HOTELS CORP
T27JQIMTYSH41TCD5186
Hyatt Hotels Corp.
448579AH5
1700000.00000000
PA
USD
1830141.95000000
0.126450167018
Long
DBT
CORP
US
N
2
2025-04-23
Fixed
5.37500000
N
N
N
N
N
N
NEW YORK LIFE INSURANCE
TAE73CY392TBWJ3O3305
New York Life Insurance Co.
64952GAT5
600000.00000000
PA
USD
676453.10000000
0.046738236602
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HXFF2
1000000.00000000
PA
USD
1165350.90000000
0.080517697515
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
2.99000000
N
N
N
N
N
N
DIVERSITECH HOLDINGS INC
N/A
Diversitech Holdings, Inc.
N/A
249099.59430000
PA
USD
244428.98000000
0.016888354122
Long
LON
CORP
US
N
2
2024-06-03
Variable
4.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
520260000.00000000
NC
71155.30000000
0.004916339723
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
4876827.90000000
USD
520260000.00000000
JPY
2021-05-06
71155.30000000
N
N
N
ROLLS-ROYCE PLC
X57JK1U580XATGR67572
Rolls-Royce plc
77578JAA6
1800000.00000000
PA
USD
1795500.00000000
0.124056647563
Long
DBT
CORP
GB
N
2
2020-10-14
Fixed
2.37500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280CF4
750000.00000000
PA
USD
902852.66000000
0.062380882340
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
4.95000000
N
N
N
N
N
N
KVK CLO Ltd
549300MXPW1QT1VNHC87
KVK CLO Ltd.
48273LAB8
957133.57800000
PA
USD
948480.04000000
0.065533419127
Long
ABS-O
CORP
KY
N
2
2029-05-20
Floating
1.18300000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust
36242D3X9
3069158.59640000
PA
USD
3080160.61000000
0.212817821906
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.57800000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-6558825.00000000
NC
-127363.64000000
-0.00879994775
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
6558825.00000000
EUR
7618895.09000000
USD
2021-07-30
-127363.64000000
N
N
N
LoanCore 2018-CRE1 Issuer, Ltd
N/A
LoanCore Issuer Ltd.
53946MAA5
1296984.10960000
PA
USD
1290533.69000000
0.089166963602
Long
ABS-O
CORP
KY
N
2
2028-05-15
Floating
1.28200000
N
N
N
N
N
N
GOVT OF BERMUDA
549300FP5PUZXX9FVJ40
Bermuda Government International Bond
085209AH7
500000.00000000
PA
USD
513750.00000000
0.035496576265
Long
DBT
NUSS
BM
N
2
2050-08-20
Fixed
3.37500000
N
N
N
N
N
N
Fortress Credit Opportunities
254900FRBH7KBHJT7O18
Fortress Credit Opportunities XI CLO Ltd.
34961WAC9
2000000.00000000
PA
USD
1945436.80000000
0.134416244752
Long
ABS-O
CORP
KY
N
2
2031-04-15
Floating
1.57500000
N
N
N
N
N
N
Copper River CLO Ltd
5493005HHHXVM8NBWY47
Copper River CLO Ltd.
217563AC9
700000.00000000
PA
USD
20020.00000000
0.001383243711
Long
ABS-O
CORP
KY
Y
2
2021-01-20
None
0.00000000
N
N
N
N
N
N
KIMBERLY-CLARK DE MEXICO
549300JGHL56QT00KT54
Kimberly-Clark de Mexico SAB de CV
494386AD7
1500000.00000000
PA
USD
1526655.00000000
0.105481315113
Long
DBT
CORP
MX
N
2
2031-07-01
Fixed
2.43100000
N
N
N
N
N
N
TENN VAL AUTH CPN STRIP
549300HE1ISW43LNKM54
Tennessee Valley Authority
88059ENN0
150000.00000000
PA
USD
138049.59000000
0.009538273089
Long
DBT
USGA
US
N
2
2028-01-15
None
0.00000000
N
N
N
N
N
N
CAL Funding IV Ltd
N/A
CAL Funding IV Ltd.
12807CAA1
2000000.00000000
PA
USD
2006356.80000000
0.138625395947
Long
ABS-O
CORP
BM
N
2
2045-09-25
Fixed
2.22000000
N
N
N
N
N
N
PRUDENTIAL FINANCIAL INC
5PRBRS5FEH7NREC8OR45
Prudential Financial, Inc.
744320BH4
1160000.00000000
PA
USD
1183548.00000000
0.081774991428
Long
DBT
CORP
US
N
2
2050-10-01
Variable
3.70000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
135950.00000000
NC
5.51000000
0.000000380702
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1288.38000000
USD
135950.00000000
JPY
2021-06-21
5.51000000
N
N
N
Owl Rock CLO I, LTD.
N/A
Owl Rock CLO I Ltd.
69122DAA7
1000000.00000000
PA
USD
986907.90000000
0.068188518812
Long
ABS-O
CORP
KY
N
2
2031-05-20
Floating
2.05300000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust
3622M8AE6
2500000.00000000
PA
USD
2132202.00000000
0.147320429990
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.37800000
N
N
N
N
N
N
MASS MUTUAL LIFE INS CO
R6ZXK5P01NP6HXSY1S07
Massachusetts Mutual Life Insurance Co.
575767AQ1
2450000.00000000
PA
USD
2501184.18000000
0.172814549879
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.37500000
N
N
N
N
N
N
FLOWSERVE CORPORATION
6Y0GK87T6V7NJKZJVM41
Flowserve Corp.
34354PAF2
1200000.00000000
PA
USD
1188249.95000000
0.082099863694
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
3.50000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Bank
3133EGB61
350000.00000000
PA
USD
406293.01000000
0.028072040517
Long
DBT
USGSE
US
N
2
2040-10-01
Fixed
2.87500000
N
N
N
N
N
N
Shackleton CLO LTD
5493006EKWGOE6JAPH26
Shackleton CLO Ltd.
81881GAC2
1961591.11800000
PA
USD
1956187.92000000
0.135159072881
Long
ABS-O
CORP
KY
N
2
2028-07-17
Floating
1.29300000
N
N
N
N
N
N
Cerberus
549300MUW2JOIDDXLH51
Cerberus Loan Funding XVII Ltd.
15673BAA7
2000000.00000000
PA
USD
1909167.80000000
0.131910307381
Long
ABS-O
CORP
KY
N
2
2028-01-15
Floating
2.80500000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities, Inc.
015271AU3
1050000.00000000
PA
USD
1321708.27000000
0.091320911741
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
4.90000000
N
N
N
N
N
N
EBAY INC
OML71K8X303XQONU6T67
eBay, Inc.
278642AW3
1263000.00000000
PA
USD
1339493.62000000
0.092549756574
Long
DBT
CORP
US
N
2
2030-03-11
Fixed
2.70000000
N
N
N
N
N
N
Castlelake Aircraft Structured
N/A
Castlelake Aircraft Securitization Trust
14856CAA7
1414050.09500000
PA
USD
1320114.04000000
0.091210761461
Long
ABS-O
CORP
US
N
2
2043-06-15
Fixed
4.12500000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL Commercial Mortgage Trust
22945DAL7
12459322.91370000
PA
USD
835337.80000000
0.057716071874
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Variable
1.21400000
N
N
N
N
N
N
BEACON ROOFING SUPPLY INC
549300HDXQWWCBOYXP31
Beacon Roofing Supply, Inc.
N/A
248724.48490000
PA
USD
240551.40000000
0.016620440128
Long
LON
CORP
US
N
2
2025-01-02
Variable
2.40000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm, Inc.
893647BK2
300000.00000000
PA
USD
326250.00000000
0.022541621424
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
8.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
BENCHMARK Mortgage Trust
08162CAJ9
31286304.76440000
PA
USD
780699.68000000
0.053940955195
Long
ABS-MBS
CORP
US
N
2
2051-10-10
Variable
0.59300000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ABE4
4750000.00000000
PA
USD
5389445.00000000
0.372373421846
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HS7K1
4000000.00000000
PA
USD
4686865.64000000
0.323830041145
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
3.60000000
N
N
N
N
N
N
PARTNERRE FINANCE B LLC
549300O0FAGHK2F79881
PartnerRe Finance B LLC
70213BAC5
940000.00000000
PA
USD
943804.65000000
0.065210381973
Long
DBT
CORP
US
N
2
2050-10-01
Variable
4.50000000
N
N
N
N
N
N
Freddie Mac Military Housing B
549300ZG8WH0M4JSUM77
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
35563CAS7
2051915.28690000
PA
USD
2340381.75000000
0.161704212711
Long
ABS-MBS
USGSE
US
N
2
2052-11-25
Variable
4.10600000
N
N
N
N
N
N
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd.
556079AC5
6030000.00000000
PA
USD
6410770.38000000
0.442939950787
Long
DBT
CORP
AU
N
2
2030-06-03
Fixed
3.62400000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
Constellation Brands, Inc.
21036PBG2
950000.00000000
PA
USD
1060749.10000000
0.073290435673
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.75000000
N
N
N
N
N
N
RELIANCE STAND LIFE II
N/A
Reliance Standard Life Global Funding II
75951AAP3
6170000.00000000
PA
USD
6514120.27000000
0.450080714296
Long
DBT
CORP
US
N
2
2025-05-07
Fixed
2.75000000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group, Inc.
53079EBK9
2150000.00000000
PA
USD
2360997.73000000
0.163128634524
Long
DBT
CORP
US
N
2
2060-05-15
Fixed
3.95000000
N
N
N
N
N
N
BRAVO Residential Funding Trus
N/A
BRAVO Residential Funding Trust
10569AAA7
1452702.97860000
PA
USD
1477903.16000000
0.102112899722
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.74800000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-518259000.00000000
NC
162217.62000000
0.011208117021
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
518259000.00000000
JPY
5095457.67000000
USD
2021-07-01
162217.62000000
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp.
871829BL0
6860000.00000000
PA
USD
8694561.84000000
0.600734165358
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
5.95000000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BG1
2500000.00000000
PA
USD
2554694.35000000
0.176511733004
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.30000000
N
N
N
N
N
N
SPS Servicer Advance Receivabl
N/A
SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes
78469QAX0
1500000.00000000
PA
USD
1500630.30000000
0.103683188108
Long
ABS-MBS
CORP
US
N
2
2051-10-15
Fixed
2.24000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HWV41
2000000.00000000
PA
USD
2167831.84000000
0.149782205820
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
2.46000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAR1
9250000.00000000
PA
USD
9393475.83000000
0.649024294310
Long
ABS-O
CORP
US
N
2
2028-01-15
Fixed
2.32800000
N
N
N
N
N
N
COSTAR GROUP INC
N/A
CoStar Group, Inc.
22160NAA7
5810000.00000000
PA
USD
6020216.20000000
0.415955354707
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
2.80000000
N
N
N
N
N
N
TENN VALLEY AUTHORITY
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591DZ2
600000.00000000
PA
USD
1026682.23000000
0.070936650273
Long
DBT
USGA
US
N
2
2056-04-01
Fixed
5.37500000
N
N
N
N
N
N
GPMT Ltd.
N/A
GPMT Ltd.
36259BAE7
1000000.00000000
PA
USD
985003.60000000
0.068056944836
Long
ABS-O
CORP
KY
N
2
2036-02-22
Floating
2.05600000
N
N
N
N
N
N
CYPRESS CA ELEM SCH DIST
N/A
Cypress School District General Obligation Unlimited
232723HP4
1000000.00000000
PA
USD
396480.00000000
0.027394029309
Long
DBT
MUN
US
N
2
2048-08-01
None
0.00000000
N
N
N
N
N
N
Station Place Securitization T
N/A
Station Place Securitization Trust Series 2020-12
85772LAA8
2250000.00000000
PA
USD
2250000.00000000
0.155459458099
Long
ABS-O
CORP
US
N
2
2021-06-09
Floating
1.66000000
N
N
N
N
N
N
MCCORMICK & CO
549300JQQA6MQ4OJP259
McCormick & Company, Inc.
579780AQ0
2350000.00000000
PA
USD
2513492.06000000
0.173664939370
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.50000000
N
N
N
N
N
N
AMERICAN FINANCIAL GROUP
549300AFOM7IVKIU1G39
American Financial Group, Inc.
025932864
86800.00000000
NS
USD
2363564.00000000
0.163305946054
Long
EP
CORP
US
N
2
N
N
N
ARIZONA PUBLIC SERVICE
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co.
040555DB7
1300000.00000000
PA
USD
1431804.09000000
0.098927772415
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.35000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust
43789VAA6
926159.74590000
PA
USD
935562.30000000
0.064640892522
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.70200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HRMZ3
732263.88000000
PA
USD
891050.35000000
0.061565424244
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.37000000
N
N
N
N
N
N
CHILDREN'S HEATH SYS TX
254900FK4IY1J5YO2L69
Children's Health System of Texas
16876HAB5
1000000.00000000
PA
USD
949970.52000000
0.065636400999
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.51100000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Freddie Mac
3128X9MF4
300000.00000000
PA
USD
227162.75000000
0.015695376895
Long
DBT
USGSE
US
N
2
2036-09-15
None
0.00000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International, Inc.
571903BF9
3300000.00000000
PA
USD
3274808.59000000
0.226266652791
Long
DBT
CORP
US
N
2
2032-10-15
Fixed
3.50000000
N
N
N
N
N
N
MATCH GROUP HLD II LLC
549300BIJKT86CPCKK96
Match Group Holdings II LLC
57665RAN6
900000.00000000
PA
USD
927000.00000000
0.064049296736
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.62500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-4989000.00000000
NC
-39556.24000000
-0.00273306294
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
4989000.00000000
EUR
5825056.62000000
USD
2020-12-30
-39556.24000000
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AW6
4190000.00000000
PA
USD
4719832.08000000
0.326107794433
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.50000000
N
N
N
N
N
N
DYAL CAPITAL PARTNERS III ISSUER (A)
N/A
Dyal Capital Partners III
N/A
1111369.45000000
PA
USD
1133221.62000000
0.078297786200
Long
DBT
CORP
US
N
3
2040-06-15
Fixed
4.40000000
N
N
N
N
N
N
Venture CDO Ltd
549300C7PSULF5Z6ZE61
Venture XII CLO Ltd.
92329JAY5
1199811.77030000
PA
USD
1190886.85000000
0.082282055270
Long
ABS-O
CORP
KY
N
2
2026-02-28
Floating
1.05600000
N
N
N
N
N
N
WALGREENS BOOTS ALLIANCE
549300RPTUOIXG4LIH86
Walgreens Boots Alliance, Inc.
931427AS7
2254000.00000000
PA
USD
2362419.79000000
0.163226889047
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.20000000
N
N
N
N
N
N
CITADEL SECURITIES LP
N/A
Citadel Securities LP
N/A
1950000.00000000
PA
USD
1936603.50000000
0.133805924739
Long
LON
CORP
US
N
2
2026-02-27
Variable
2.90000000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series Trust
761118VY1
1699728.69650000
PA
USD
479511.99000000
0.033130966274
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
0.36800000
N
N
N
N
N
N
Crown Point CLO Ltd
549300WLF3VYVWNLRP29
Crown Point CLO III Ltd.
22845TAU3
2000000.00000000
PA
USD
1976002.00000000
0.136528088943
Long
ABS-O
CORP
KY
N
2
2027-12-31
Floating
1.72500000
N
N
N
N
N
N
COOK CNTY IL SCH DIST #155
N/A
Cook County School District No. 155 Calumet City General Obligation Unlimited
215219MF0
5000.00000000
PA
USD
5465.40000000
0.000377621387
Long
DBT
MUN
US
N
2
2022-12-01
Fixed
5.30000000
N
N
N
N
N
N
QTS LP/FINANCE
N/A
QualityTech Limited Partnership / QTS Finance Corp.
74759BAF0
1150000.00000000
PA
USD
1157590.00000000
0.079981472933
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
3.87500000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series Trust
751153AA5
2120861.78260000
PA
USD
1994395.01000000
0.137798918884
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.30800000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YBB5
950000.00000000
PA
USD
946165.16000000
0.065373476909
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
2.15000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAW1
2500000.00000000
PA
USD
2550500.00000000
0.176221932391
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
ENTEGRIS INC
IYX6OWO7BT5DKO3BYG52
Entegris, Inc.
29362UAC8
100000.00000000
PA
USD
102750.00000000
0.007099315253
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
4.37500000
N
N
N
N
N
N
HANFORD CA JT UNION HIGH SCH D
N/A
Hanford Joint Union High School District General Obligation Unlimited
410360JQ5
500000.00000000
PA
USD
259390.00000000
0.017922057260
Long
DBT
MUN
US
N
2
2039-08-01
None
0.00000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
Level 3 Financing, Inc.
527298BQ5
1150000.00000000
PA
USD
1244749.19000000
0.086003570909
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.87500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BU7
4525000.00000000
PA
USD
4706067.60000000
0.325156763943
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.80000000
N
N
N
N
N
N
NEWPORT MESA CA UNIF SCH DIST
N/A
Newport Mesa Unified School District General Obligation Unlimited
652113XK2
750000.00000000
PA
USD
305962.50000000
0.021139895310
Long
DBT
MUN
US
N
2
2046-08-01
None
0.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137F2LK0
1000000.00000000
PA
USD
1136902.30000000
0.078552095764
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Fixed
3.20000000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
3-Month USD LIBOR
N/A
-20000000.00000000
OU
Notional Amount
USD
9639.40000000
0.000666015955
N/A
DIR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
ICE LIBOR USD 3 Month
US0003M
Y
2023-07-13
323.54000000
USD
0.00000000
USD
-20000000.00000000
USD
9315.86000000
N
N
N
Chesterfield Financial Holding
N/A
Chesterfield Financial Holdings LLC
166430AA6
357750.00000000
PA
USD
367627.48000000
0.025400519476
Long
ABS-O
CORP
US
N
2
2034-12-15
Fixed
4.50000000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
939346AB8
369179.49680000
PA
USD
302965.05000000
0.020932792220
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
1.85900000
N
N
N
N
N
N
RYAN SPECIALTY GROUP LLC
N/A
Ryan Specialty Group LLC
N/A
50000.00000000
PA
USD
49469.00000000
0.003417966192
Long
LON
CORP
US
N
2
2027-09-01
Variable
4.00000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-260000.00000000
NC
55.25000000
0.000003817393
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
260000.00000000
JPY
2524.76000000
USD
2021-02-01
55.25000000
N
N
N
SMITHSONIAN INSTITUTION
549300ZJ87IUCDSX4306
Smithsonian Institution
832432AC2
4000000.00000000
PA
USD
4072299.56000000
0.281367770139
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
2.69500000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
CDX.NA.HY.35.V1
N/A
3740000.00000000
OU
Notional Amount
USD
156519.00000000
0.010814381743
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
CDX HY35 V1 5% 12/20/2025
SP9U3JLB
Y
CDX HY35 V1 5% 12/20/2025 - Tenor Quarterly
2025-12-20
159976.51000000
USD
0.00000000
USD
3740000.00000000
USD
-3457.51000000
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-216700.00000000
NC
-187.24000000
-0.00001293699
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
216700.00000000
ILS
63316.29000000
USD
2021-02-01
-187.24000000
N
N
N
NXT Capital CLO LLC
549300YAYHVI0LX76040
NXT Capital CLO LLC
62959AAA6
1800000.00000000
PA
USD
1787783.22000000
0.123523471368
Long
ABS-O
CORP
US
N
2
2029-04-20
Floating
1.97200000
N
N
N
N
N
N
BEMIS COMPANY INC
PTVU09TE3QPJPL7K4E13
Bemis Company, Inc.
081437AT2
1230000.00000000
PA
USD
1311141.30000000
0.090590807106
Long
DBT
CORP
US
N
2
2030-06-19
Fixed
2.63000000
N
N
N
N
N
N
LPL HOLDINGS INC
549300Z5YF8CCRMYUL26
LPL Holdings, Inc.
50212YAB0
100000.00000000
PA
USD
103618.50000000
0.007159322604
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
5.75000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp.
14448CAK0
2210000.00000000
PA
USD
2302443.99000000
0.159082975550
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.70000000
N
N
N
N
N
N
AMERIPRISE FINANCIAL INC
6ZLKQF7QB6JAEKQS5388
Ameriprise Financial, Inc.
03076CAK2
690000.00000000
PA
USD
754734.56000000
0.052146944758
Long
DBT
CORP
US
N
2
2025-04-02
Fixed
3.00000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International, Inc.
571903BD4
1900000.00000000
PA
USD
2120438.57000000
0.146507658233
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.75000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-104000.00000000
NC
20.34000000
0.000001405353
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
104000.00000000
JPY
1006.94000000
USD
2020-12-01
20.34000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co.
097023CV5
4380000.00000000
PA
USD
5163679.72000000
0.356774600474
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.70500000
N
N
N
N
N
N
BIOGEN INC
W8J5WZB5IY3K0NDQT671
Biogen, Inc.
09062XAH6
4055000.00000000
PA
USD
4152636.29000000
0.286918483256
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.25000000
N
N
N
N
N
N
DALLAS TX WTRWKS & SWR SYS REV
N/A
City of Dallas Texas Waterworks & Sewer System Revenue Revenue Bonds
23542JRC1
2300000.00000000
PA
USD
2403477.00000000
0.166063658655
Long
DBT
MUN
US
N
2
2040-10-01
Fixed
2.77200000
N
N
N
N
N
N
CF Hippolyta Issuer LLC
N/A
CF Hippolyta LLC
12530MAC9
750000.00000000
PA
USD
763100.40000000
0.052724966515
Long
ABS-O
CORP
US
N
2
2060-07-15
Fixed
2.28000000
N
N
N
N
N
N
KREF FUNDING V LLC
N/A
KREF Funding V LLC
N/A
21818182.00000000
PA
USD
25898.18000000
0.001789385346
Long
ABS-MBS
CORP
US
N
3
2026-06-25
Fixed
0.15000000
N
N
N
N
N
N
610 Funding CLO 3 Ltd
549300JEA0UEC1002Z71
610 Funding CLO 3 Ltd.
36656AAE8
1300000.00000000
PA
USD
1296927.84000000
0.089608755200
Long
ABS-O
CORP
KY
N
2
2028-07-17
Floating
1.52300000
N
N
N
N
N
N
MOODY'S CORPORATION
549300GCEDD8YCF5WU84
Moody's Corp.
615369AU9
3036000.00000000
PA
USD
2807727.38000000
0.193994567548
Long
DBT
CORP
US
N
2
2060-08-18
Fixed
2.55000000
N
N
N
N
N
N
STORE Master Funding LLC
N/A
STORE Master Funding I-VII
86212VAA2
2687778.98600000
PA
USD
2741649.60000000
0.189429049383
Long
ABS-O
CORP
US
N
2
2046-10-20
Fixed
3.96000000
N
N
N
N
N
N
BDS Ltd
N/A
BDS Ltd.
05492QAE6
1000000.00000000
PA
USD
972612.30000000
0.067200791599
Long
ABS-O
CORP
KY
N
2
2037-02-16
Floating
1.95000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series
52524HAF7
2172340.06630000
PA
USD
2108761.32000000
0.145700840918
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Floating
0.34800000
N
N
N
N
N
N
US FOODS HOLDING CORP
5493000JOOFAOUY1JZ87
US Foods, Inc.
N/A
3478125.00000000
PA
USD
3391171.88000000
0.234306552349
Long
LON
CORP
US
N
2
2025-04-24
Variable
4.25000000
N
N
N
N
N
N
Northwoods Capital Ltd
549300R06FSYRU75ZW78
Northwoods Capital XII-B Ltd.
66858CAE7
1000000.00000000
PA
USD
979038.30000000
0.067644783811
Long
ABS-O
CORP
KY
N
2
2031-06-15
Floating
2.10000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AQ7
600000.00000000
PA
USD
617250.00000000
0.042647711338
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.62500000
N
N
N
N
N
N
FDF Limited
254900VT795OQ64MDF49
FDF II Ltd.
30258BAA9
1000000.00000000
PA
USD
991111.10000000
0.068478930898
Long
ABS-O
CORP
KY
N
2
2031-05-12
Fixed
4.28500000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust
64830GAB2
597581.28000000
PA
USD
645137.04000000
0.044574513172
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
4.00000000
N
N
N
N
N
N
BlackRock MuniHoldings Califor
NKJSRCJXMS5PZYPXY795
BlackRock MuniHoldings California Quality Fund, Inc.
09254L107
114772.00000000
NS
USD
1604512.56000000
0.110860734707
Long
EC
RF
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140J07C8
3000000.00000000
PA
USD
3038071.11000000
0.209909728189
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita, Inc.
23918KAT5
2750000.00000000
PA
USD
2649762.50000000
0.183080285485
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
CARPENTER TECHNOLOGY
DX6I6ZD3X5WNNCDJKP85
Carpenter Technology Corp.
144285AL7
1425000.00000000
PA
USD
1491439.44000000
0.103048163168
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
6.37500000
N
N
N
N
N
N
Structured Asset Investment Lo
N/A
Structured Asset Investment Loan Trust
86358EZT6
908814.58100000
PA
USD
890946.01000000
0.061558215071
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.86800000
N
N
N
N
N
N
DALLAS-FORT WORTH TX INTERNATI
N/A
Dallas/Fort Worth International Airport Revenue Bonds
2350367A2
1000000.00000000
PA
USD
994820.00000000
0.068735190269
Long
DBT
MUN
US
N
2
2050-11-01
Fixed
2.91900000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05367AAJ2
700000.00000000
PA
USD
694697.21000000
0.047998778582
Long
DBT
CORP
US
N
2
2022-01-20
Fixed
2.87500000
N
N
N
N
N
N
TEXTRON INC
3PPKBHUG1HD6BO7RNR87
Textron, Inc.
883203CC3
3600000.00000000
PA
USD
3577262.54000000
0.247164131531
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138LKUA3
2000000.00000000
PA
USD
2245480.94000000
0.155147222268
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.09000000
N
N
N
N
N
N
Residential Mortgage Loan Trus
N/A
Residential Mortgage Loan Trust
76119CAC5
899182.80290000
PA
USD
910509.54000000
0.062909919858
Long
ABS-MBS
CORP
US
N
2
2024-02-25
Variable
2.68400000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136AX3J2
2500000.00000000
PA
USD
2867614.75000000
0.198132371143
Long
ABS-MBS
USGSE
US
N
2
2029-08-25
Fixed
2.98000000
N
N
N
N
N
N
GreenPoint Mortgage Funding Tr
N/A
GreenPoint Mortgage Funding Trust
39539KAA1
1.41150000
PA
USD
1.41000000
0.000000097421
Long
ABS-MBS
CORP
US
N
3
2047-02-25
Floating
0.22800000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAD5
1410000.00000000
PA
USD
1407460.14000000
0.097245773626
Long
DBT
CORP
GB
N
2
2030-09-02
Fixed
2.20000000
N
N
N
N
N
N
CAMDEN PROPERTY TRUST
5493002MYX22OHYJBD89
Camden Property Trust
133131AZ5
1100000.00000000
PA
USD
1198539.72000000
0.082810815725
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.80000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec EUR / Deliver USD
N/A
12875850.00000000
NC
431903.22000000
0.029841529125
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
14775037.88000000
USD
12875850.00000000
EUR
2021-07-30
431903.22000000
N
N
N
Novastar Home Equity Loan
N/A
NovaStar Mortgage Funding Trust Series 2007-1
669971AA1
1331096.57070000
PA
USD
980033.03000000
0.067713512783
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.27800000
N
N
N
N
N
N
Voya CLO Ltd
549300KSCKXTOBY0IP86
Voya CLO Ltd.
92917NAJ7
1250000.00000000
PA
USD
1238298.00000000
0.085557838242
Long
ABS-O
CORP
KY
N
2
2031-04-15
Floating
1.33500000
N
N
N
N
N
N
COLOGIX HOLDINGS INC
N/A
Cologix Holdings, Inc.
N/A
150000.00000000
PA
USD
146313.00000000
0.010109217641
Long
LON
CORP
US
N
2
2024-03-20
Variable
4.75000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-520260000.00000000
NC
151347.71000000
0.010457081324
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
520260000.00000000
JPY
5106094.81000000
USD
2021-08-02
151347.71000000
N
N
N
Pershing Square Tontine Holdin
549300ZDVEYEVCF35B08
Pershing Square Tontine Holdings Ltd.
71531R109
622890.00000000
NS
USD
14133374.10000000
0.976518523866
Long
EC
CORP
US
N
1
N
N
N
LoanCore 2019-CRE2 Issuer, Ltd
N/A
LoanCore Issuer Ltd.
53946JAC8
2900000.00000000
PA
USD
2841777.57000000
0.196347200475
Long
ABS-O
CORP
KY
N
2
2036-05-15
Floating
1.65240000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corporation Home Equity Loan Trust Series
004421UU5
1250000.00000000
PA
USD
1173122.63000000
0.081054670374
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
0.76300000
N
N
N
N
N
N
HANESBRANDS INC
GX5LWVWZLL5S4W1L2F20
Hanesbrands, Inc.
410345AN2
420000.00000000
PA
USD
443100.00000000
0.030615149281
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
5.37500000
N
N
N
N
N
N
METLIFE INC
C4BXATY60WC6XEOZDX54
MetLife, Inc.
59156RCA4
3520000.00000000
PA
USD
3512080.00000000
0.242660468267
Long
DBT
CORP
US
N
2
N/A
Variable
3.85000000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets plc
05565QDV7
7530000.00000000
PA
USD
8057100.00000000
0.556689955489
Long
DBT
CORP
US
N
2
N/A
Variable
4.87500000
N
N
N
N
N
N
VERTICAL TOPCO SARL
N/A
Vertical (TK Elevator)
N/A
850000.00000000
PA
USD
841959.00000000
0.058173551058
Long
LON
CORP
DE
N
2
2027-07-30
Variable
4.57000000
N
N
N
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US Foods, Inc.
90290MAC5
1550000.00000000
PA
USD
1641062.50000000
0.113386083091
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
6.25000000
N
N
N
N
N
N
SAPPHIRE AVIATION FINANCE I LI
N/A
Sapphire Aviation Finance I Ltd.
80306AAA8
1918145.92340000
PA
USD
1769665.70000000
0.122271675883
Long
ABS-O
CORP
KY
N
2
2040-03-15
Fixed
4.25000000
N
N
N
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
Qorvo, Inc.
74736KAJ0
650000.00000000
PA
USD
660562.50000000
0.045640305906
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.37500000
N
N
N
N
N
N
SNAP-ON INC
HHWAT5TDOYZMM26KKQ73
Snap-on, Inc.
833034AM3
3860000.00000000
PA
USD
4037510.36000000
0.278964076726
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.10000000
N
N
N
N
N
N
AMWINS GROUP INC
N/A
AmWINS Group, Inc.
N/A
900000.00000000
PA
USD
890793.00000000
0.061547643137
Long
LON
CORP
US
N
2
2024-01-25
Variable
3.75000000
N
N
N
N
N
N
FERGUSON FINANCE PLC
2138003A7ZEU931DZL61
Ferguson Finance plc
314890AB0
2840000.00000000
PA
USD
3086808.44000000
0.213277141039
Long
DBT
CORP
GB
N
2
2030-06-02
Fixed
3.25000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd.
759470AZ0
350000.00000000
PA
USD
350539.00000000
0.024219823547
Long
DBT
CORP
IN
N
2
2020-10-19
Fixed
4.50000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific, Inc.
883556CG5
1000000.00000000
PA
USD
1237118.59000000
0.085476349158
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
4.49700000
N
N
N
N
N
N
MAPS LTD
N/A
MAPS Ltd.
56564RAA8
2070158.76630000
PA
USD
1904954.92000000
0.131619226474
Long
ABS-O
CORP
BM
N
2
2043-05-15
Fixed
4.21200000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-135950.00000000
NC
35.69000000
0.000002465932
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
135950.00000000
JPY
1329.58000000
USD
2021-06-21
35.69000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138LKR58
900000.00000000
PA
USD
1000638.23000000
0.069137189772
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
2.96000000
N
N
N
N
N
N
BDS Ltd
N/A
BDS Ltd.
05549VAA6
468976.21330000
PA
USD
466050.27000000
0.032200854409
Long
ABS-O
CORP
US
N
2
2035-08-15
Floating
1.10100000
N
N
N
N
N
N
LSTAR Securities Investment Lt
N/A
LSTAR Securities Investment Limited
54912VAA3
1375335.47530000
PA
USD
1353786.99000000
0.093537329709
Long
ABS-MBS
CORP
US
N
2
2024-11-01
Floating
1.65500000
N
N
N
N
N
N
DFC HOLDINGS LLC
N/A
Dole Food Company, Inc.
N/A
665939.60000000
PA
USD
655257.93000000
0.045273796761
Long
LON
CORP
US
N
2
2024-04-06
Variable
3.75000000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-260000.00000000
NC
42.57000000
0.000002941292
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
260000.00000000
JPY
2508.26000000
USD
2020-11-02
42.57000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
104000.00000000
NC
16.18000000
0.000001117926
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
970.42000000
USD
104000.00000000
JPY
2020-12-01
16.18000000
N
N
N
Whitebox CLO I Ltd
549300C89ZJ5IWOT1F21
Whitebox CLO II Ltd.
96466CAE8
1000000.00000000
PA
USD
1001996.54000000
0.069231039611
Long
ABS-O
CORP
KY
N
2
2031-10-24
Floating
2.49200000
N
N
N
N
N
N
Falcon Aerospace Ltd
N/A
Falcon Aerospace Ltd.
30605YAB7
494516.18000000
PA
USD
445428.38000000
0.030776024256
Long
ABS-O
CORP
US
N
2
2042-02-15
Fixed
4.58100000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT Ltd.
12434LAA2
4250000.00000000
PA
USD
4170247.48000000
0.288135294835
Long
ABS-O
CORP
US
N
2
2037-02-16
Floating
1.05100000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-259000.00000000
NC
64.08000000
0.000004427485
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
259000.00000000
JPY
2523.20000000
USD
2021-01-04
64.08000000
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Inc.
17328BAA2
960802.02950000
PA
USD
976876.34000000
0.067495407309
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
2.72000000
N
N
N
N
N
N
Novastar Home Equity Loan
N/A
NovaStar Mortgage Funding Trust Series
66989EAA3
1813810.07800000
PA
USD
1730278.86000000
0.119550317304
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
0.34800000
N
N
N
N
N
N
BDS Ltd
N/A
BDS Ltd.
05492QAC0
1000000.00000000
PA
USD
978691.70000000
0.067620836145
Long
ABS-O
CORP
KY
N
2
2037-02-16
Floating
1.50000000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAE8
1000000.00000000
PA
USD
867260.00000000
0.059921675391
Long
ABS-O
CORP
US
N
2
2049-06-07
Fixed
4.72300000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust
02150DAA3
1342085.97540000
PA
USD
1223860.82000000
0.084560328829
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
0.31800000
N
N
N
N
N
N
QUICKEN LOANS LLC/QUICKN
N/A
Quicken Loans LLC / Quicken Loans Company-Issuer, Inc.
74841CAB7
3150000.00000000
PA
USD
3110625.00000000
0.214922700822
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.87500000
N
N
N
N
N
N
VIRGIN MEDIA FINANCE PLC
2138001LVYC87DDHT482
Virgin Media Finance plc
92769VAJ8
200000.00000000
PA
USD
199000.00000000
0.013749525405
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
5.00000000
N
N
N
N
N
N
DOLLAR GENERAL CORP
OPX52SQVOZI8IVSWYU66
Dollar General Corp.
256677AG0
700000.00000000
PA
USD
796711.59000000
0.055047267574
Long
DBT
CORP
US
N
2
2030-04-03
Fixed
3.50000000
N
N
N
N
N
N
AASET 2017-1 Trust
549300UGVCXV1Y1NM635
AASET Trust
000366AA2
419010.00260000
PA
USD
378812.53000000
0.026173329171
Long
ABS-O
CORP
US
N
2
2042-05-16
Fixed
3.96700000
N
N
N
N
N
N
CPG INTERNATIONAL HOLDINGS LP
N/A
CPG International LLC
N/A
58069.94000000
PA
USD
57823.14000000
0.003995179559
Long
LON
CORP
US
N
2
2024-05-06
Variable
4.75000000
N
N
N
N
N
N
BCP IV GRAFTECH LP HOLDINGS
N/A
GrafTech Finance, Inc.
N/A
2193658.99090000
PA
USD
2162574.84000000
0.149418983433
Long
LON
CORP
US
N
2
2025-02-12
Variable
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBP0
1870000.00000000
PA
USD
2006331.02000000
0.138623614727
Long
DBT
CORP
US
N
2
2031-05-13
Variable
2.95600000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust
85573AAB1
924889.83860000
PA
USD
940922.34000000
0.065011234262
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.40800000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital Limited Partnership / GLP Financing II, Inc.
361841AL3
1900000.00000000
PA
USD
2115973.00000000
0.146199118192
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.30000000
N
N
N
N
N
N
RFC PRINCIPAL STRIP
N/A
Residual Funding Corporation Principal Strips
76116FAB3
6645000.00000000
PA
USD
5975035.09000000
0.412833652095
Long
DBT
USGSE
US
N
2
2030-01-15
None
0.00000000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AC5
225000.00000000
PA
USD
237093.75000000
0.016381540397
Long
DBT
CORP
NL
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
LAMAR MEDIA CORP
N/A
Lamar Media Corp.
513075BS9
375000.00000000
PA
USD
375000.00000000
0.025909909683
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.00000000
N
N
N
N
N
N
BEVERLY HILLS CA UNIF SCH DIST
N/A
Beverly Hills Unified School District California General Obligation Unlimited
088023MB9
1410000.00000000
PA
USD
747737.10000000
0.051663468607
Long
DBT
MUN
US
N
2
2039-08-01
None
0.00000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
iShares iBoxx $ Investment Grade Corporate Bond ETF
N/A
29800.00000000
NC
USD
33376.00000000
0.002306051054
N/A
DCR
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
iShares iBoxx $ Investment Grade Corporate Bond ETF
LQD
Y
iShares iBoxx $ Investment Grade Corporate Bond ETF-Tenor Semi Annually
2020-12-21
0.00000000
USD
0.00000000
USD
4014358.00000000
USD
33376.00000000
N
N
N
Owl Rock CLO Ltd
N/A
Owl Rock CLO IV Ltd.
691200AA7
1250000.00000000
PA
USD
1248448.13000000
0.086259142113
Long
ABS-O
CORP
US
N
2
2029-05-20
Floating
3.17000000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS, Inc.
92556HAB3
4478000.00000000
PA
USD
5384608.04000000
0.372039221322
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
4.95000000
N
N
N
N
N
N
CLEARWAY ENERGY OP LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
18539UAC9
225000.00000000
PA
USD
232312.50000000
0.016051189048
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.75000000
N
N
N
N
N
N
UCFC Manufactured Housing Cont
N/A
UCFC Manufactured Housing Contract
90263AAV2
91633.41490000
PA
USD
96480.12000000
0.006666109854
Long
ABS-MBS
CORP
US
N
2
2028-10-15
Fixed
7.38000000
N
N
N
N
N
N
USI INC
N/A
USI, Inc.
N/A
1200000.00000000
PA
USD
1185996.00000000
0.081944131319
Long
LON
CORP
US
N
2
2026-12-02
Variable
4.50000000
N
N
N
N
N
N
Soundview Home Equity Loan Tru
N/A
Soundview Home Loan Trust
83612CAA7
2346906.71270000
PA
USD
2274441.51000000
0.157148197610
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.28800000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
135950.00000000
NC
10.32000000
0.000000713040
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
1280.07000000
USD
135950.00000000
JPY
2020-12-21
10.32000000
N
N
N
STORE Master Funding LLC
N/A
STORE Master Funding LLC
86213BAB3
1452500.00000000
PA
USD
1526663.05000000
0.105481871312
Long
ABS-O
CORP
US
N
2
2044-04-20
Fixed
5.00000000
N
N
N
N
N
N
JANE STREET GROUP LLC
N/A
Jane Street Group LLC
N/A
249371.86000000
PA
USD
247035.25000000
0.017068429376
Long
LON
CORP
US
N
2
2025-01-31
Variable
3.15000000
N
N
N
N
N
N
AON CORP
LTS3U8DGK38SETRUWX71
Aon Corp.
037389BE2
1840000.00000000
PA
USD
1993565.76000000
0.137741623437
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.80000000
N
N
N
N
N
N
PUBLIC STORAGE
549300LMZF40TKJ6DM64
Public Storage
74460W537
30400.00000000
NS
USD
788272.00000000
0.054464150202
Long
EP
CORP
US
N
2
N
N
N
Capital Automotive Reit
N/A
Capital Automotive REIT
12510HAE0
1250000.00000000
PA
USD
1298732.38000000
0.089733436449
Long
ABS-O
CORP
US
N
2
2050-02-15
Fixed
3.48000000
N
N
N
N
N
N
BIFM CA BUYER INC
N/A
BGIS (BIFM CA Buyer, Inc.)
N/A
2145843.83080000
PA
USD
2108291.56000000
0.145668383747
Long
LON
CORP
CA
N
2
2026-06-01
Variable
3.76000000
N
N
N
N
N
N
BLACK KNIGHT INFOSERV LL
549300H5PS5C68DAUX66
Black Knight InfoServ LLC
092174AA9
400000.00000000
PA
USD
404250.00000000
0.027930882638
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.62500000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-1616000.00000000
NC
-4718.22000000
-0.00032599641
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
1616000.00000000
ILS
469972.37000000
USD
2021-04-30
-4718.22000000
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AU1
550000.00000000
PA
USD
572000.00000000
0.039521248903
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
5.50000000
N
N
N
N
N
N
LEIDOS INC
5493006I78VIN6J1BQ95
Leidos, Inc.
52532XAC9
600000.00000000
PA
USD
665490.00000000
0.045980762120
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HXJN1
2000000.00000000
PA
USD
2173868.54000000
0.150199300092
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
2.39000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series 2005-W4
040104PT2
1171402.24000000
PA
USD
1065229.86000000
0.073600025238
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.52800000
N
N
N
N
N
N
NXT Capital CLO LLC
5493000CCIWVQNSBU833
NXT Capital CLO LLC
62952HAQ3
1000000.00000000
PA
USD
999852.00000000
0.069082866710
Long
ABS-O
CORP
US
N
2
2027-04-21
Floating
1.87100000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
15028800.00000000
NC
222956.26000000
0.015404737493
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
4191666.20000000
USD
15028800.00000000
ILS
2021-04-30
222956.26000000
N
N
N
UNIFORM MBS
N/A
Uniform MBS 15 Year
N/A
11500000.00000000
PA
USD
11766834.50000000
0.813006984405
Long
ABS-MBS
CORP
US
N
2
2021-10-19
Fixed
1.50000000
N
N
N
N
N
N
LIBERTY GLOBAL PLC
N/A
UPC Financing Partnership
N/A
1525000.00000000
PA
USD
1477725.00000000
0.102100590097
Long
LON
CORP
US
N
2
2029-01-31
Variable
3.50000000
N
N
N
N
N
N
Canyon Capital CLO Ltd
549300IVUME0ILZ1W208
Canyon CLO Ltd.
13876LAC1
1500000.00000000
PA
USD
1499976.15000000
0.103637990862
Long
ABS-O
CORP
KY
N
2
2028-07-15
Floating
3.14900000
N
N
N
N
N
N
Parliament Funding II Ltd
N/A
Parliament Funding II Ltd.
70163QAC2
1000000.00000000
PA
USD
986791.00000000
0.068180441829
Long
ABS-O
CORP
KY
N
2
2030-08-12
Floating
3.51400000
N
N
N
N
N
N
Lake Shore MM CLO III LLC
N/A
Lake Shore MM CLO III LLC
510757AA5
2750000.00000000
PA
USD
2754586.09000000
0.190322871483
Long
ABS-O
CORP
US
N
2
2029-10-15
None
0.00000000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp.
058498AW6
2925000.00000000
PA
USD
2892093.75000000
0.199823700954
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.87500000
N
N
N
N
N
N
YALE-NEW HAVEN HLTH SRVC
549300AVJD56IH6OKW11
Yale-New Haven Health Services Corp.
98459HAA0
2250000.00000000
PA
USD
2199115.71000000
0.151943705143
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
2.49600000
N
N
N
N
N
N
CHOICE HOTELS INTL INC
5493003CYRY5RFGTIR97
Choice Hotels International, Inc.
169905AG1
2860000.00000000
PA
USD
3009721.00000000
0.207950931417
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.70000000
N
N
N
N
N
N
KREF 2018--FL1 Ltd.
549300N45646UZ8P3S07
KREF Ltd.
48275PAA9
2500000.00000000
PA
USD
2481070.75000000
0.171424850800
Long
ABS-O
CORP
KY
N
2
2036-06-15
Floating
1.25100000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137F4D58
1000000.00000000
PA
USD
1174090.60000000
0.081121550415
Long
ABS-MBS
USGSE
US
N
2
2028-02-25
Fixed
3.60000000
N
N
N
N
N
N
New Residential Advance Receiv
N/A
New Residential Advance Receivables Trust Advance Receivables Backed
62942QCL5
3000000.00000000
PA
USD
2987580.30000000
0.206421161984
Long
ABS-MBS
CORP
US
N
2
2051-10-15
Fixed
2.42500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
208104000.00000000
NC
26881.39000000
0.001857318365
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
1953111.22000000
USD
208104000.00000000
JPY
2021-06-01
26881.39000000
N
N
N
Anchorage Credit Funding Ltd.
549300VR9XUOV1E0U888
Anchorage Credit Funding Ltd.
03329TAA2
3750000.00000000
PA
USD
3634315.13000000
0.251106071409
Long
ABS-O
CORP
KY
N
2
2035-02-15
Fixed
3.50000000
N
N
N
N
N
N
ARES FINANCE CO II LLC
N/A
Ares Finance Company II LLC
04015KAB6
3660000.00000000
PA
USD
3816015.04000000
0.263660280096
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
3.25000000
N
N
N
N
N
N
HOWMET AEROSPACE INC
549300HO5WFZUT5N2T22
Howmet Aerospace, Inc.
443201AA6
675000.00000000
PA
USD
745875.00000000
0.051534810359
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.87500000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-9300000.00000000
NC
503655.12000000
0.034799089788
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
9300000.00000000
BRL
2145229.75000000
USD
2021-07-01
503655.12000000
N
N
N
FIDELITY & GUARANTY LIFE
549300WCR5QBFH98VZ75
Fidelity & Guaranty Life Holdings, Inc.
315786AC7
400000.00000000
PA
USD
448500.00000000
0.030988251981
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAD4
1620000.00000000
PA
USD
1733416.20000000
0.119767085827
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.90000000
N
N
N
N
N
N
SWITCH LTD
N/A
Switch Ltd.
87105NAA8
300000.00000000
PA
USD
303000.00000000
0.020935207024
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
3.75000000
N
N
N
N
N
N
CUSHMAN & WAKEFIELD US
N/A
Cushman & Wakefield US Borrower LLC
23166MAA1
2075000.00000000
PA
USD
2154161.25000000
0.148837662481
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
6.75000000
N
N
N
N
N
N
FLIR SYSTEMS INC
VOBD35NEPH6WISIRTJ85
FLIR Systems, Inc.
302445AE1
1340000.00000000
PA
USD
1371245.54000000
0.094743594919
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fortress Credit Opportunities
2549008RD44HDM6DNP14
Fortress Credit Opportunities IX CLO Ltd.
34961JAC8
636000.00000000
PA
USD
630463.75000000
0.043560690189
Long
ABS-O
CORP
KY
N
2
2029-11-15
Floating
1.83000000
N
N
N
N
N
N
TRANSDIGM GROUP INC
88Q84GB3X55CF5OC7582
TransDigm, Inc.
N/A
887763.82000000
PA
USD
837827.11000000
0.057888066000
Long
LON
CORP
US
N
2
2025-12-09
Variable
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140J05S5
2150000.00000000
PA
USD
2129737.69000000
0.147150163191
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
NEWCREST FINANCE PTY LTD
549300I0XDZ4K7PDSS04
Newcrest Finance Pty Ltd.
65120FAD6
3600000.00000000
PA
USD
3926870.06000000
0.271319596245
Long
DBT
CORP
AU
N
2
2030-05-13
Fixed
3.25000000
N
N
N
N
N
N
CHILDREN'S HOSPITAL CORP
549300NXFO6BISJLOS32
Children's Hospital Corp.
16876BAB8
1000000.00000000
PA
USD
983600.59000000
0.067960006536
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
2.58500000
N
N
N
N
N
N
HOST HOTELS & RESORTS LP
FXB7X4WXVA8QPMNOGS12
Host Hotels & Resorts, LP
44107TAZ9
3685000.00000000
PA
USD
3527320.03000000
0.243713449069
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
3.50000000
N
N
N
N
N
N
PUBLIC STORAGE
549300LMZF40TKJ6DM64
Public Storage
74460W552
118400.00000000
NS
USD
3187328.00000000
0.220222348295
Long
EP
CORP
US
N
2
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBM7
3530000.00000000
PA
USD
3829129.20000000
0.264566377966
Long
DBT
CORP
US
N
2
2041-04-22
Variable
3.10900000
N
N
N
N
N
N
Venture CDO Ltd
549300C7PSULF5Z6ZE61
Venture XII CLO Ltd.
92329JBA6
1000000.00000000
PA
USD
973142.90000000
0.067237452394
Long
ABS-O
CORP
KY
N
2
2026-02-28
Floating
1.45600000
N
N
N
N
N
N
ALLEGHANY CORP
549300DCJE6AYX159479
Alleghany Corp.
017175AE0
2850000.00000000
PA
USD
3203638.74000000
0.221349307762
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.62500000
N
N
N
N
N
N
FIRST AMERICAN FINANCIAL
549300B6VEZK3N0A1P55
First American Financial Corp.
31847RAG7
3180000.00000000
PA
USD
3504311.79000000
0.242123738615
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.00000000
N
N
N
N
N
N
PUGET ENERGY INC
SYBSJ96YIDMIUY7WDR33
Puget Energy, Inc.
745310AD4
2180000.00000000
PA
USD
2284496.62000000
0.157842936255
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
6.00000000
N
N
N
N
N
N
Apres Static CLO I, LTD
549300IEG4UNN243JT18
Apres Static CLO 2 Ltd.
03836TAC4
1000000.00000000
PA
USD
1000305.70000000
0.069114214246
Long
ABS-O
CORP
KY
N
2
2028-04-15
Floating
4.18400000
N
N
N
N
N
N
BELROSE FUNDING TRUST
N/A
Belrose Funding Trust
080807AA8
2780000.00000000
PA
USD
2747358.60000000
0.189823501848
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.33000000
N
N
N
N
N
N
BIB MERCHANT VOUCHER RECEIVABLES LTD
N/A
Bib Merchant Voucher Receivables Ltd.
N/A
1000000.00000000
PA
USD
1048853.00000000
0.072468497335
Long
ABS-O
CORP
US
N
3
2028-04-07
Fixed
4.18000000
N
N
N
N
N
N
PRICEWATERHOUSECOOPERS LLP
N/A
PricewaterhouseCoopers LLP
N/A
2000000.00000000
PA
USD
2077562.24000000
0.143545199998
Long
DBT
CORP
US
N
3
2030-09-13
Fixed
3.43000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co.
50077LBD7
700000.00000000
PA
USD
768005.61000000
0.053063882643
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.25000000
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings, Inc.
98956PAT9
3850000.00000000
PA
USD
4310879.84000000
0.297852019491
Long
DBT
CORP
US
N
2
2030-03-20
Fixed
3.55000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NBG2
1400000.00000000
PA
USD
1426250.00000000
0.098544023161
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.12500000
N
N
N
N
N
N
KREF FUNDING V LLC
N/A
KREF Funding V LLC
N/A
8000000.00000000
PA
USD
7667440.88000000
0.529767201872
Long
ABS-O
CORP
US
N
2
2026-06-25
Variable
1.89500000
N
N
N
N
N
N
UNIVERSAL HEALTH SVCS
549300YGMGQDO0NMJD09
Universal Health Services, Inc.
913903AT7
300000.00000000
PA
USD
310500.00000000
0.021453405217
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.00000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co.
254687FX9
2490000.00000000
PA
USD
2688379.42000000
0.185748447910
Long
DBT
CORP
US
N
2
2031-01-13
Fixed
2.65000000
N
N
N
N
N
N
Crown Point CLO Ltd
549300WLF3VYVWNLRP29
Crown Point CLO III Ltd.
22845TAQ2
536710.89830000
PA
USD
534375.56000000
0.036921659990
Long
ABS-O
CORP
KY
N
2
2027-12-31
Floating
1.18500000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FAQE1
3000000.00000000
PA
USD
3370726.50000000
0.232893917817
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Fixed
3.01900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140J03K4
997324.07000000
PA
USD
1019963.16000000
0.070472408948
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
1.83000000
N
N
N
N
N
N
PROTECTIVE LIFE CORP
549300ZWIT8J8Y2EXL07
Protective Life Corp.
743674BE2
740000.00000000
PA
USD
793526.35000000
0.054827189492
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
3.40000000
N
N
N
N
N
N
GE BUSINESS LOAN TRUST
54930088DNNKVNIBN966
GE Business Loan Trust
36160RAA8
361623.82740000
PA
USD
361623.83000000
0.024985708732
Long
ABS-MBS
CORP
US
N
2
2035-04-15
Floating
0.32200000
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
Equitable Holdings, Inc.
29452EAA9
4650000.00000000
PA
USD
4743000.00000000
0.327708537672
Long
DBT
CORP
US
N
2
N/A
Variable
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140J0MK3
997042.43000000
PA
USD
1017211.78000000
0.070282307595
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.10000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPJ97
3950000.00000000
PA
USD
4569205.95000000
0.315700569302
Long
ABS-MBS
USGSE
US
N
2
2034-08-25
Fixed
2.79700000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300TRQQDPEF728F16
Wells Fargo Commercial Mortgage Trust
95000PAH7
3702085.17120000
PA
USD
124941.67000000
0.008632606360
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
1.11600000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MS7
4690000.00000000
PA
USD
4915448.25000000
0.339623520559
Long
DBT
CORP
US
N
2
2031-06-03
Variable
2.57200000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae
3136AHGP9
1623910.75650000
PA
USD
1510188.61000000
0.104343601305
Long
ABS-MBS
USGSE
US
N
2
2043-12-25
None
0.00000000
N
N
N
N
N
N
Capmark Military Housing Trust
N/A
Capmark Military Housing Trust
14069BAA2
275384.50910000
PA
USD
320317.60000000
0.022131733562
Long
ABS-MBS
CORP
US
N
2
2052-02-10
Fixed
5.74600000
N
N
N
N
N
N
Global SC Finance SRL
N/A
Global SC Finance II SRL
37952UAD5
1341666.66670000
PA
USD
1363761.90000000
0.094226527089
Long
ABS-O
CORP
BB
N
2
2029-07-17
Fixed
3.19000000
N
N
N
N
N
N
IXIS Real Estate Capital Trust
N/A
IXIS Real Estate Capital Trust
45073DAC2
6332574.32980000
PA
USD
2235431.67000000
0.154452887127
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
0.30800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HW4G4
4500000.00000000
PA
USD
4841595.86000000
0.334520830546
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
2.43000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
2798963.15000000
NC
34468.80000000
0.002381555986
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
785762.09000000
USD
2798963.15000000
ILS
2021-02-01
34468.80000000
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp.
35137LAM7
450000.00000000
PA
USD
492759.98000000
0.034046310872
Long
DBT
CORP
US
N
2
2025-04-07
Fixed
3.05000000
N
N
N
N
N
N
RADIATE HOLDINGS LP
N/A
Radiate Holdco, LLC
N/A
150000.00000000
PA
USD
147187.50000000
0.010169639550
Long
LON
CORP
US
N
2
2026-09-25
Variable
4.25000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
2Y-10 CMS CAP
N/A
557500000.00000000
NC
USD
2023725.00000000
0.139825418596
N/A
DIR
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
N/A
2Y-10 CMS CAP
557500000
0.39500000
USD
2022-07-29
XXXX
604237.50000000
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group, Inc.
174610AT2
8070000.00000000
PA
USD
8908048.60000000
0.615484625811
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
3.25000000
N
N
N
N
N
N
ONEAMERICA FINL PARTNERS
5493009S1SVD6UNUDB08
OneAmerica Financial Partners, Inc.
682441AB6
3620000.00000000
PA
USD
3641552.54000000
0.251606126447
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
4.25000000
N
N
N
N
N
N
AMER AIRLINE 16-2 AA PTT
N/A
American Airlines Class AA Pass Through Trust
023765AA8
832000.00000000
PA
USD
782016.10000000
0.054031910724
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.20000000
N
N
N
N
N
N
CLI Funding LLC
549300NQLBWJD5AREU05
CLI Funding VI LLC
12563LAN7
2000000.00000000
PA
USD
1993128.00000000
0.137711377245
Long
ABS-O
CORP
US
N
2
2045-09-18
Fixed
2.08000000
N
N
N
N
N
N
Dominos Pizza Master Issuer LL
N/A
Domino's Pizza Master Issuer LLC
25755TAF7
972500.00000000
PA
USD
972830.65000000
0.067215878076
Long
ABS-O
CORP
US
N
2
2047-07-25
Floating
1.49500000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa, Inc.
92826CAQ5
3000000.00000000
PA
USD
2753422.47000000
0.190242473379
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HW4S8
989705.94000000
PA
USD
1076207.70000000
0.074358518152
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.79000000
N
N
N
N
N
N
VIRGIN MEDIA VEND FIN IV
N/A
Virgin Media Vendor Financing Notes IV DAC
92770QAA5
1100000.00000000
PA
USD
1097250.00000000
0.075812395733
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.00000000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-520260000.00000000
NC
125744.13000000
0.008688050803
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
520260000.00000000
JPY
5073727.33000000
USD
2021-05-06
125744.13000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
2798963.15000000
NC
36646.58000000
0.002532025541
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
783584.31000000
USD
2798963.15000000
ILS
2021-02-01
36646.58000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-8967500.00000000
NC
4950.32000000
0.000342032917
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
8967500.00000000
ILS
2658533.69000000
USD
2022-01-31
4950.32000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
1562781000.00000000
NC
88438.60000000
0.006110496369
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
14794859.41000000
USD
1562781000.00000000
JPY
2021-08-02
88438.60000000
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co.
50077LAB2
1260000.00000000
PA
USD
1294559.19000000
0.089445097846
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HVC93
983377.29000000
PA
USD
1113039.82000000
0.076903363226
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.46000000
N
N
N
N
N
N
QBE INSURANCE GROUP LTD
549300D2FBW76FPUSG65
QBE Insurance Group Ltd.
74728GAE0
1000000.00000000
PA
USD
1061250.00000000
0.073325044403
Long
DBT
CORP
AU
N
2
N/A
Variable
5.87500000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance, Inc.
74166MAF3
925000.00000000
PA
USD
887301.63000000
0.061306413586
Long
DBT
CORP
US
N
2
2027-08-31
Fixed
3.37500000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-560280000.00000000
NC
183615.04000000
0.012686530941
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
560280000.00000000
JPY
5516847.52000000
USD
2021-07-01
183615.04000000
N
N
N
GRAND PARKWAY TRANSPRTN CORP T
N/A
Grand Parkway Transportation Corp. Revenue Bonds
38611TCQ8
1500000.00000000
PA
USD
1555560.00000000
0.107478450951
Long
DBT
MUN
US
N
2
2049-10-01
Fixed
3.30600000
N
N
N
N
N
N
MP Clo VIII, LTD
549300D60LKSR31DKI65
MP CLO VIII Ltd.
62481WAA5
2051629.71700000
PA
USD
2041506.77000000
0.141054016075
Long
ABS-O
CORP
KY
N
2
2027-10-28
Floating
1.15700000
N
N
N
N
N
N
Pershing Square Tontine Holdings, Ltd.
549300ZDVEYEVCF35B08
Pershing Square Tontine Holdings, Ltd.
71531R117
69210.00000000
NS
USD
496235.70000000
0.034286459116
N/A
DE
US
N
1
Pershing Square Tontine Holdings, Ltd.
549300ZDVEYEVCF35B08
Call
Purchased
N/A
Pershing Square Tontine Holdings, Ltd.
69210.00000000
23.00000000
USD
2025-07-24
XXXX
103192.11000000
N
N
N
Capital Automotive Reit
N/A
Capital Automotive REIT
12510HAF7
2250000.00000000
PA
USD
2338853.85000000
0.161598645375
Long
ABS-O
CORP
US
N
2
2050-02-15
Fixed
3.81000000
N
N
N
N
N
N
Newfleet CLO, Ltd.
5493003RFBB86V8THH68
Newfleet CLO Ltd.
65130PAN0
1870325.59990000
PA
USD
1857817.42000000
0.128362350826
Long
ABS-O
CORP
KY
N
2
2028-04-20
Floating
1.22200000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co.
097023CW3
3440000.00000000
PA
USD
4161643.58000000
0.287540824777
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HS2H3
2000000.00000000
PA
USD
2516264.56000000
0.173856499969
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.17000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series
35563PQN2
1941057.75370000
PA
USD
1999457.58000000
0.138148707501
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Fixed
2.00000000
N
N
N
N
N
N
ZAYO GROUP HOLDINGS INC
529900Z6OTS7RT0V0I47
Zayo Group Holdings, Inc.
98919VAA3
1225000.00000000
PA
USD
1205675.63000000
0.083303857814
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.00000000
N
N
N
N
N
N
Turbine Engine Securitization
635400OU6URHWIXP2J82
Turbine Engines Securitization Ltd.
89989FAA2
422684.12770000
PA
USD
360209.72000000
0.024888003499
Long
ABS-O
CORP
BM
Y
2
2048-12-13
Fixed
5.12500000
N
N
N
N
N
N
Halcyon Loan Advisors Funding
549300Q8TB5ELPAK8181
Halcyon Loan Advisors Funding Ltd.
40538MAJ7
1330744.69440000
PA
USD
1322511.64000000
0.091376419059
Long
ABS-O
CORP
KY
N
2
2027-10-18
Floating
1.17200000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust
17290XAY6
3663500.83360000
PA
USD
268449.25000000
0.018547988858
Long
ABS-MBS
CORP
US
N
2
2049-04-10
Variable
1.90400000
N
N
N
N
N
N
NFP CORP
VO2L9FZNXDJNQNEYH039
NFP Corp.
65342RAC4
1550000.00000000
PA
USD
1643000.00000000
0.113519950958
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
7.00000000
N
N
N
N
N
N
MANULIFE FINANCIAL CORP
5493007GBX87QOZACS27
Manulife Financial Corp.
56501RAK2
1800000.00000000
PA
USD
1926316.37000000
0.133095155114
Long
DBT
CORP
CA
N
2
2027-05-19
Fixed
2.48400000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YQ7
15753000.00000000
PA
USD
16934475.00000000
1.170055247419
Long
DBT
UST
US
N
2
2026-10-31
Fixed
1.62500000
N
N
N
N
N
N
HILLSBOROUGH CA SCH DIST
N/A
Hillsborough City School District General Obligation Unlimited
432272GC0
1000000.00000000
PA
USD
634210.00000000
0.043819530187
Long
DBT
MUN
US
N
2
2036-09-01
None
0.00000000
N
N
N
N
N
N
XYLEM INC
549300DF5MV96DRYLQ48
Xylem, Inc.
98419MAL4
1100000.00000000
PA
USD
1166280.25000000
0.080581909180
Long
DBT
CORP
US
N
2
2031-01-30
Fixed
2.25000000
N
N
N
N
N
N
Wellfleet CLO Ltd
N/A
Wellfleet CLO Ltd.
94951MAJ2
3250000.00000000
PA
USD
3207087.00000000
0.221587558709
Long
ABS-O
CORP
KY
N
2
2029-10-20
Floating
1.33200000
N
N
N
N
N
N
VERTICAL US NEWCO INC
549300C2AFWPAYWS5574
Vertical US Newco, Inc.
92537RAA7
850000.00000000
PA
USD
883375.25000000
0.061035127850
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.25000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines, Inc.
N/A
2493750.00000000
PA
USD
2487515.63000000
0.171870147490
Long
LON
CORP
US
N
2
2023-05-01
Variable
5.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
8313400.00000000
NC
184877.36000000
0.012773748533
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2275150.52000000
USD
8313400.00000000
ILS
2022-01-31
184877.36000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-67283.85000000
NC
-82.81000000
-0.00000572159
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
67283.85000000
ILS
19634.60000000
USD
2021-02-01
-82.81000000
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital Limited Partnership / GLP Financing II, Inc.
361841AQ2
3600000.00000000
PA
USD
3747708.00000000
0.258940735463
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HTYD5
700000.00000000
PA
USD
831012.65000000
0.057417233885
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.83000000
N
N
N
N
N
N
ILLUMINATE BUYER LLC
N/A
Illuminate Buyer LLC
N/A
1850000.00000000
PA
USD
1832665.50000000
0.126624526891
Long
LON
CORP
US
N
2
2027-06-30
Variable
4.15000000
N
N
N
N
N
N
ANALOG DEVICES INC
GYVOE5EZ4GDAVTU4CQ61
Analog Devices, Inc.
032654AS4
400000.00000000
PA
USD
435047.03000000
0.030058744680
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.95000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Bank
3133ELKD5
3000000.00000000
PA
USD
3387439.17000000
0.234048647872
Long
DBT
USGSE
US
N
2
2037-01-29
Fixed
2.43000000
N
N
N
N
N
N
VF CORP
CWAJJ9DJ5Z7P057HV541
VF Corp.
918204BC1
3306000.00000000
PA
USD
3599311.56000000
0.248687566510
Long
DBT
CORP
US
N
2
2030-04-23
Fixed
2.95000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust
43800KAA5
1495218.91770000
PA
USD
1516505.45000000
0.104780051316
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.67500000
N
N
N
N
N
N
THL Credit Lake Shore MM CLO I
N/A
THL Credit Lake Shore MM CLO I Ltd.
87250LAA5
1000000.00000000
PA
USD
991296.30000000
0.068491726939
Long
ABS-O
CORP
KY
N
2
2030-04-15
Floating
1.97500000
N
N
N
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp.
31428XBZ8
5415000.00000000
PA
USD
6509208.62000000
0.449741353208
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138LPA97
1000000.00000000
PA
USD
1161793.96000000
0.080271937530
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.24000000
N
N
N
N
N
N
KKR GROUP FINAN CO VIII
N/A
KKR Group Finance Company VIII LLC
48252MAA3
2660000.00000000
PA
USD
2710638.10000000
0.187286368946
Long
DBT
CORP
US
N
2
2050-08-25
Fixed
3.50000000
N
N
N
N
N
N
Cronos Containers Program LTD
549300MPYH4CSGCW6113
Cronos Containers Program Ltd.
227170AE7
465000.00000000
PA
USD
464788.61000000
0.032113682418
Long
ABS-O
CORP
BM
N
2
2028-04-18
Fixed
3.08000000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
CDX.NA.IG.34.V1
N/A
56420000.00000000
OU
Notional Amount
USD
385388.66000000
0.026627694329
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
MARKIT CDX.NA.IG.34 6/20/2025
SP9U1R3Y
Y
CDX IG34 V1 1% 06/20/2025 - Tenor Quarterly
2025-06-20
0.00000000
USD
1005082.95000000
USD
56420000.00000000
USD
1390471.61000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust
36257UAN7
14963313.97100000
PA
USD
892881.89000000
0.061691971007
Long
ABS-MBS
CORP
US
N
2
2052-09-01
Variable
0.81400000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
549300KJI7MJ3X7YQQ90
Palmer Square Loan Funding Ltd.
69700KAC7
1000000.00000000
PA
USD
979100.90000000
0.067649109039
Long
ABS-O
CORP
KY
N
2
2026-11-15
Floating
1.73000000
N
N
N
N
N
N
GARTNER INC
PP55B5R38BFB8O8HH686
Gartner, Inc.
366651AC1
150000.00000000
PA
USD
157687.50000000
0.010895117021
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.50000000
N
N
N
N
N
N
Parliament Funding II Ltd
N/A
Parliament Funding II Ltd.
70163QAA6
4000000.00000000
PA
USD
3963757.60000000
0.273868270458
Long
ABS-O
CORP
KY
N
2
2030-08-12
Floating
2.76400000
N
N
N
N
N
N
MONROE CAPITAL BSL CLO LTD
5493006OIQNDV6I29R71
MONROE CAPITAL BSL CLO Ltd.
610332AW8
1000000.00000000
PA
USD
989036.70000000
0.068335604187
Long
ABS-O
CORP
KY
N
2
2027-05-22
Floating
2.00600000
N
N
N
N
N
N
BRP INC
549300DZZJW11IMTMJ24
Bombardier Recreational Products, Inc.
N/A
3300000.00000000
PA
USD
3326136.00000000
0.229813022277
Long
LON
CORP
CA
N
2
2027-05-24
Variable
6.00000000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
3-Month USD LIBOR
N/A
-8200000.00000000
OU
Notional Amount
USD
315221.20000000
0.021779607525
N/A
DIR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
ICE LIBOR USD 3 Month
US0003M
Y
2050-08-20
441.76000000
USD
0.00000000
USD
-8200000.00000000
USD
314779.44000000
N
N
N
MARKEL CORP
549300SCNO12JLWIK605
Markel Corp.
570535AW4
5210000.00000000
PA
USD
5509575.00000000
0.380673575047
Long
DBT
CORP
US
N
2
N/A
Variable
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HSZC8
1000000.00000000
PA
USD
1192809.44000000
0.082414892959
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
3.74000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust
17325DAJ2
1920777.85920000
PA
USD
119073.82000000
0.008227178458
Long
ABS-MBS
CORP
US
N
2
2049-10-10
Variable
1.65100000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863AY6
970000.00000000
PA
USD
991269.49000000
0.068489874553
Long
DBT
CORP
GB
N
2
2050-09-10
Fixed
3.95000000
N
N
N
N
N
N
Freddie Mac Military Housing B
549300ZG8WH0M4JSUM77
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
35563CAB4
10468461.06090000
PA
USD
751222.00000000
0.051904251125
Long
ABS-MBS
USGSE
US
N
2
2055-11-25
Variable
0.52400000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust LLC
03463LAA5
112816.22820000
PA
USD
112958.40000000
0.007804645178
Long
ABS-MBS
CORP
US
N
2
2047-11-25
Variable
2.70800000
N
N
N
N
N
N
TCP Waterman CLO LLC
N/A
TCP Waterman CLO Ltd.
87233GAA8
1000000.00000000
PA
USD
999995.40000000
0.069092774660
Long
ABS-O
CORP
US
N
2
2028-12-15
Floating
2.30000000
N
N
N
N
N
N
AESF VI VERDI
N/A
Aesf Vi Verdi LP
N/A
5000000.00000000
PA
5828897.02000000
0.402736520908
Long
ABS-O
CORP
US
N
3
2024-11-25
Variable
2.15000000
N
N
N
N
N
N
Bank of Montreal, Chicago Branch
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
N/A
-6702320.67000000
PA
USD
-6702320.67000000
-0.46308406193
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.23000000
2020-11-16
9200000.00000000
USD
6854000.00000000
USD
ADAS
N
N
N
CALLAWAY GOLF COMPANY
5493005UB0KFRKBPCU72
Callaway Golf Company
N/A
200000.00000000
PA
USD
200166.00000000
0.013830087951
Long
LON
CORP
US
N
2
2026-01-02
Variable
4.65000000
N
N
N
N
N
N
CIT GROUP INC
N8O96ZZJQRFYQUJY7K79
CIT Group, Inc.
125581HA9
925000.00000000
PA
USD
932215.00000000
0.064409617214
Long
DBT
CORP
US
N
2
2024-06-19
Variable
3.92900000
N
N
N
N
N
N
CNH INDUSTRIAL CAP LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAL8
1880000.00000000
PA
USD
1877440.70000000
0.129718183926
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.87500000
N
N
N
N
N
N
Marathon CLO LTD
635400LRBGQZIPTCBI09
Marathon CLO V Ltd.
56576QAN8
1538840.17980000
PA
USD
1526157.83000000
0.105446964100
Long
ABS-O
CORP
KY
N
2
2027-11-21
Floating
1.11700000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust
85573AAC9
924889.83840000
PA
USD
939280.38000000
0.064897786167
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.56200000
N
N
N
N
N
N
Residential Mortgage Loan Trus
N/A
Residential Mortgage Loan Trust
76119CAA9
899182.80260000
PA
USD
912235.79000000
0.063029191809
Long
ABS-MBS
CORP
US
N
2
2024-02-25
Variable
2.37600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138LNG88
648603.65050000
PA
USD
768694.65000000
0.053111490547
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.25000000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
3-Month USD LIBOR
N/A
-10000000.00000000
OU
Notional Amount
USD
402998.40000000
0.027844405723
N/A
DIR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
ICE LIBOR USD 3 Month
US0003M
Y
2050-08-25
473.35000000
USD
0.00000000
USD
-10000000.00000000
USD
402525.05000000
N
N
N
OCP CLO Ltd
254900OVGEI8FTD7PT85
OCP CLO Ltd.
67105HBA2
1500000.00000000
PA
USD
1459497.90000000
0.100841223391
Long
ABS-O
CORP
KY
N
2
2029-04-24
Floating
1.71400000
N
N
N
N
N
N
NASDAQ INC
549300L8X1Q78ERXFD06
Nasdaq, Inc.
63111XAB7
850000.00000000
PA
USD
887738.07000000
0.061336568576
Long
DBT
CORP
US
N
2
2050-04-28
Fixed
3.25000000
N
N
N
N
N
N
Park Place Securities Inc
N/A
Park Place Securities Incorporated Asset Backed Pass Through Certificates Ser
70069FJS7
1000000.00000000
PA
USD
992624.20000000
0.068583475656
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
1.09300000
N
N
N
N
N
N
JOHNS HOPKINS UNIVERSITY
549300Z1XKWYKTIOM958
Johns Hopkins University
478115AF5
1000000.00000000
PA
USD
1059928.28000000
0.073233722681
Long
DBT
CORP
US
N
2
2060-01-01
Fixed
2.81300000
N
N
N
N
N
N
CHEVRON USA INC
VA8TZDWPEZYU430RZ444
Chevron USA, Inc.
166756AH9
1850000.00000000
PA
USD
1752013.66000000
0.121052041851
Long
DBT
CORP
US
N
2
2050-08-12
Fixed
2.34300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140J0UE8
1000000.00000000
PA
USD
992649.26000000
0.068585207129
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
1.76000000
N
N
N
N
N
N
GRACE MORTGAGE TRUST
N/A
GRACE Mortgage Trust
38406HAA0
1000000.00000000
PA
USD
1006081.50000000
0.069513282130
Long
ABS-MBS
CORP
US
N
2
2028-06-10
Fixed
3.36900000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-6200000.00000000
NC
383496.39000000
0.026496951543
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
6200000.00000000
BRL
1477879.48000000
USD
2021-07-01
383496.39000000
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust
52474LAA9
700343.73150000
PA
USD
705772.10000000
0.048763976981
Long
ABS-MBS
CORP
US
N
2
2058-06-25
Variable
4.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust
64828GAD2
862093.11570000
PA
USD
910050.15000000
0.062878179183
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
3.50000000
N
N
N
N
N
N
CONSTAR INTERNATIONAL HOLDINGS LLC
N/A
Constar International Holdings LLC
N/A
67.59900000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
VALVOLINE INC
549300CMHPBEY6VPOT75
Valvoline, Inc.
92047WAB7
570000.00000000
PA
USD
586387.50000000
0.040515325771
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
4.37500000
N
N
N
N
N
N
GoldenTree Loan Management US
N/A
GoldenTree Loan Management US CLO 1 Ltd.
38136FAW3
1000000.00000000
PA
USD
978876.40000000
0.067633597640
Long
ABS-O
CORP
KY
N
2
2029-04-20
Floating
1.72200000
N
N
N
N
N
N
ASSURANT INC
H3F39CAXWQRVWURFXL38
Assurant, Inc.
04621XAL2
289000.00000000
PA
USD
288897.96000000
0.019960853470
Long
DBT
CORP
US
N
2
2021-03-26
Floating
1.48300000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust
17328HBF7
19973516.87970000
PA
USD
952556.99000000
0.065815108210
Long
ABS-MBS
CORP
US
N
2
2052-11-10
Variable
0.75000000
N
N
N
N
N
N
NEWCREST FINANCE PTY LTD
549300I0XDZ4K7PDSS04
Newcrest Finance Pty Ltd.
65120FAE4
1700000.00000000
PA
USD
1986985.47000000
0.137286970852
Long
DBT
CORP
AU
N
2
2050-05-13
Fixed
4.20000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust
36258YBJ6
18985173.30880000
PA
USD
960032.75000000
0.066331631587
Long
ABS-MBS
CORP
US
N
2
2053-02-13
Variable
0.67500000
N
N
N
N
N
N
BSPRT 2018-FL3 Issuer, Ltd
N/A
BSPRT Issuer Ltd.
05585JAA8
845525.38780000
PA
USD
840772.52000000
0.058091573486
Long
ABS-O
CORP
KY
N
2
2028-03-15
Floating
1.20200000
N
N
N
N
N
N
MOODY'S CORPORATION
549300GCEDD8YCF5WU84
Moody's Corp.
615369AT2
700000.00000000
PA
USD
749432.28000000
0.051780593835
Long
DBT
CORP
US
N
2
2050-05-20
Fixed
3.25000000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp.
00130HCC7
1760000.00000000
PA
USD
1944729.60000000
0.134367382117
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.95000000
N
N
N
N
N
N
TRINITY INDUSTRIES INC
R1JB4KXN77XFCXOQKV49
Trinity Industries, Inc.
896522AH2
1775000.00000000
PA
USD
1801703.81000000
0.124485287981
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.55000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-20150410.00000000
NC
98224.75000000
0.006786651736
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
20150410.00000000
ILS
6078555.05000000
USD
2022-08-01
98224.75000000
N
N
N
BLACKROCK INC
549300LRIF3NWCU26A80
BlackRock, Inc.
09247XAR2
4400000.00000000
PA
USD
4558565.75000000
0.314965404979
Long
DBT
CORP
US
N
2
2031-01-28
Fixed
1.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HVQP2
2000000.00000000
PA
USD
2272930.14000000
0.157043772382
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
2.81000000
N
N
N
N
N
N
LINCOLN NATIONAL CORP
EFQMQROEDSNBRIP7LE47
Lincoln National Corp.
534187BL2
1200000.00000000
PA
USD
1395027.26000000
0.096386747499
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
4.37500000
N
N
N
N
N
N
Asset Backed Securities Corp H
N/A
Asset Backed Securities Corporation Home Equity Loan Trust Series AEG
04541GVL3
1000000.00000000
PA
USD
954495.60000000
0.065949052770
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.54800000
N
N
N
N
N
N
WHATABRANDS LLC
N/A
Whatabrands, LLC
N/A
99498.74340000
PA
USD
97182.41000000
0.006714633242
Long
LON
CORP
US
N
2
2026-07-31
Variable
2.91000000
N
N
N
N
N
N
RELIANCE STEEL & ALUM
549300E287ZOFT3C5Z56
Reliance Steel & Aluminum Co.
759509AG7
810000.00000000
PA
USD
792543.22000000
0.054759262000
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.15000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
BENCHMARK Mortgage Trust
08162YAK8
19940796.17780000
PA
USD
1039445.91000000
0.071818532396
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
0.91500000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AP3
1500000.00000000
PA
USD
1731735.00000000
0.119650926520
Long
DBT
CORP
CH
N
2
2031-04-01
Variable
4.19400000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-149590.00000000
NC
308.38000000
0.000021306927
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
149590.00000000
ILS
44391.36000000
USD
2021-07-30
308.38000000
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-4141000.00000000
NC
-6813.79000000
-0.00047078582
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
4141000.00000000
ILS
1209580.84000000
USD
2021-04-30
-6813.79000000
N
N
N
BERKLEY (WR) CORPORATION
SQOAGCLKBDWNVYV1OV80
W R Berkley Corp.
084423AU6
850000.00000000
PA
USD
1005420.11000000
0.069467584650
Long
DBT
CORP
US
N
2
2050-05-12
Fixed
4.00000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group, Inc.
026874DP9
4280000.00000000
PA
USD
5006944.30000000
0.345945265604
Long
DBT
CORP
US
N
2
2050-06-30
Fixed
4.37500000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
49271VAJ9
2361000.00000000
PA
USD
2648901.99000000
0.183020830188
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.20000000
N
N
N
N
N
N
SAN DIEGUITO CA UNION HIGH SCH
N/A
San Dieguito Union High School District General Obligation Unlimited
797508HR2
1000000.00000000
PA
USD
1046520.00000000
0.072307303151
Long
DBT
MUN
US
N
2
2036-08-01
Fixed
2.68200000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD Mortgage Trust
12514MBD6
2495215.24720000
PA
USD
151325.82000000
0.010455568877
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
1.52900000
N
N
N
N
N
N
Wind River CLO Ltd
2549008107XSHXNMJI27
THL Credit Wind River CLO Ltd.
88432GAN7
2778546.84310000
PA
USD
2765198.15000000
0.191056091527
Long
ABS-O
CORP
KY
N
2
2027-10-15
Floating
1.14500000
N
N
N
N
N
N
AASET 2018-2 Trust
N/A
AASET US Ltd.
04546KAA6
2869496.01360000
PA
USD
2668826.42000000
0.184397470672
Long
ABS-O
CORP
US
N
2
2038-11-18
Fixed
4.45400000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust
92536PAA2
2108759.82120000
PA
USD
2153494.42000000
0.148791589134
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.41700000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines, Inc.
247361ZX9
8800000.00000000
PA
USD
9662615.60000000
0.667619993331
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust
92537KAA2
1662761.77770000
PA
USD
1695396.47000000
0.117140185106
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.64200000
N
N
N
N
N
N
Wave USA
N/A
WAVE LLC
94354KAA8
946388.20780000
PA
USD
877841.50000000
0.060652783949
Long
ABS-O
CORP
US
N
2
2044-09-15
Fixed
3.59700000
N
N
N
N
N
N
OSHKOSH CORP
549300FEKNPCFSA2B506
Oshkosh Corp.
688225AH4
240000.00000000
PA
USD
254192.00000000
0.017562911365
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.10000000
N
N
N
N
N
N
UNIVERSAL HEALTH SVCS
549300YGMGQDO0NMJD09
Universal Health Services, Inc.
913903AV2
1320000.00000000
PA
USD
1313743.20000000
0.090770580423
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.65000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust
24381NAA6
585663.68820000
PA
USD
593699.99000000
0.041020568319
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.96400000
N
N
N
N
N
N
Starwood Commercial Mortgage T
N/A
STWD Ltd.
78485WAC3
400000.00000000
PA
USD
394021.12000000
0.027224137686
Long
ABS-O
CORP
KY
N
2
2038-07-15
Floating
1.55200000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-593.76000000
NC
-5.65000000
-0.00000039037
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
593.76000000
ILS
168.35000000
USD
2021-02-01
-5.65000000
N
N
N
CIM Trust
N/A
CIM Trust
12553QAA6
2181478.37470000
PA
USD
2184867.74000000
0.150959268834
Long
ABS-MBS
CORP
US
N
2
2057-08-25
Variable
3.69000000
N
N
N
N
N
N
New Residential Advance Receiv
N/A
New Residential Advance Receivables Trust Advance Receivables Backed
62942QCF8
3750000.00000000
PA
USD
3776917.50000000
0.260958910148
Long
ABS-MBS
CORP
US
N
2
2051-10-15
Fixed
2.32900000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
J.P. Morgan Securities LLC
N/A
-6828916.09000000
PA
USD
-6828916.09000000
-0.47183093100
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.23000000
2020-11-10
8240000.00000000
USD
6985872.00000000
USD
ADAS
N
N
N
Textainer Marine Containers Li
N/A
Textainer Marine Containers VIII Ltd.
88315LAG3
1000000.00000000
PA
USD
1000642.50000000
0.069137484800
Long
ABS-O
CORP
US
N
2
2045-09-20
Fixed
2.10000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com, Inc.
023135BU9
1610000.00000000
PA
USD
1668889.03000000
0.115308704102
Long
DBT
CORP
US
N
2
2060-06-03
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138LLBC8
500000.00000000
PA
USD
546392.41000000
0.037751941319
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
3.01000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group, Inc.
02209SBK8
390000.00000000
PA
USD
433986.25000000
0.029985452109
Long
DBT
CORP
US
N
2
2050-05-06
Fixed
4.45000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Companies, Inc.
548661DU8
1850000.00000000
PA
USD
2295031.49000000
0.158570823002
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.50000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDG2
475000.00000000
PA
USD
481840.00000000
0.033291815684
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.62500000
N
N
N
N
N
N
LIBERTY GLOBAL PLC
N/A
Telenet Finance Lux Note
N/A
400000.00000000
PA
USD
420000.00000000
0.029019098845
Long
DBT
CORP
LU
N
2
2028-03-01
Fixed
5.50000000
N
N
N
N
N
N
DENALI CAPITAL CLO XI LTD
254900ENG873HFQYVK56
Denali Capital CLO XI Ltd.
24823DAS5
3000000.00000000
PA
USD
2984652.00000000
0.206218836682
Long
ABS-O
CORP
KY
N
2
2028-10-20
Floating
1.40200000
N
N
N
N
N
N
AUBURN UNIV AL GEN FEE REVENUE
N/A
Auburn University Revenue Bonds
050589RK8
1000000.00000000
PA
USD
985900.00000000
0.068118879884
Long
DBT
MUN
US
N
2
2050-06-01
Fixed
2.68100000
N
N
N
N
N
N
OHIOHEALTH CORP
JGYGIL4QGKKPZU7C1D18
OhioHealth Corp.
67777JAK4
1000000.00000000
PA
USD
1087396.26000000
0.075131570363
Long
DBT
CORP
US
N
2
2050-11-15
Fixed
3.04200000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Bank
3133ELKE3
1053000.00000000
PA
USD
1198130.57000000
0.082782546286
Long
DBT
USGSE
US
N
2
2045-01-30
Fixed
2.70000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust
92537KAB0
1540170.43510000
PA
USD
1574825.35000000
0.108809553560
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.84600000
N
N
N
N
N
N
IDEX CORP
549300U5Y5EL6PHYLF13
IDEX Corp.
45167RAG9
1450000.00000000
PA
USD
1594973.61000000
0.110201659152
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
Mountain View CLO Ltd
549300XBX1AOMDRAHZ12
Mountain View CLO Ltd.
62431XAU0
1084740.66560000
PA
USD
1077962.34000000
0.074479751656
Long
ABS-O
CORP
KY
N
2
2026-10-15
Floating
1.07500000
N
N
N
N
N
N
CONSTAR INTERNATIONAL HOLDINGS LLC
N/A
Constar International Holdings LLC
N/A
6.81800000
NS
USD
0.00000000
0.000000
Long
EP
CORP
US
N
3
N
N
N
Diamond CLO 2018-1, LLC
N/A
Diamond CLO Ltd.
25256LAJ0
1000000.00000000
PA
USD
988073.40000000
0.068269046811
Long
ABS-O
CORP
KY
N
2
2030-07-22
Floating
1.75800000
N
N
N
N
N
N
WILLIAMS SCOTSMAN INTL
549300V3TCHCBOBTGH07
Williams Scotsman International, Inc.
96950GAE2
450000.00000000
PA
USD
451818.00000000
0.031217502861
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.62500000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust
3622MGAA6
1656204.50750000
PA
USD
1068255.05000000
0.073809044970
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
0.27800000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series
12651DAE8
452306.60770000
PA
USD
450393.58000000
0.031119085279
Long
ABS-MBS
CORP
US
N
2
2037-11-30
Variable
0.67600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HX4D9
2000000.00000000
PA
USD
2178536.04000000
0.150521792101
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
2.40000000
N
N
N
N
N
N
STARBUCKS CORP
OQSJ1DU9TAOC51A47K68
Starbucks Corp.
855244AZ2
4600000.00000000
PA
USD
4884069.87000000
0.337455491248
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.55000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-8393100.00000000
NC
-12233.93000000
-0.00084528005
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
8393100.00000000
ILS
2453190.31000000
USD
2021-04-30
-12233.93000000
N
N
N
AFLAC INC
549300N0B7DOGLXWPP39
Aflac, Inc.
001055BJ0
3350000.00000000
PA
USD
3931340.71000000
0.271628487279
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.60000000
N
N
N
N
N
N
BOSTON SCIENTIFIC CORP
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp.
101137BA4
2070000.00000000
PA
USD
2196806.17000000
0.151784131883
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.65000000
N
N
N
N
N
N
ASCENSION HEALTH
N/A
Ascension Health
04352EAA3
1500000.00000000
PA
USD
1626518.73000000
0.112381209046
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
2.53200000
N
N
N
N
N
N
NATIONWIDE MUTUAL INSURA
Z7LVXXWM8HZPKF5T2355
Nationwide Mutual Insurance Co.
638671AN7
7410000.00000000
PA
USD
7938265.64000000
0.548479322062
Long
DBT
CORP
US
N
2
2050-04-30
Fixed
4.35000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp.
22822VAR2
1149000.00000000
PA
USD
1256514.91000000
0.086816500889
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
3.30000000
N
N
N
N
N
N
CEDAR FAIR/CAN/MAGNUM/MI
N/A
Cedar Fair Limited Partnership / Canada's Wonderland Company / Magnum Management Corporation / Mille
150190AF3
650000.00000000
PA
USD
669500.00000000
0.046257825421
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZT0
11000000.00000000
PA
USD
11001289.09000000
0.760113084588
Long
DBT
UST
US
N
2
2025-05-31
Fixed
0.25000000
N
N
N
N
N
N
CROSS FINANCIAL CORP
N/A
Cross Financial Corp.
N/A
800000.00000000
PA
USD
796000.00000000
0.054998101620
Long
LON
CORP
US
N
2
2027-09-15
Variable
5.50000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust
54251RAE3
2008188.37500000
PA
USD
1079535.80000000
0.074588466874
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.39800000
N
N
N
N
N
N
WR GRACE & CO-CONN
549300GJVOEHHLSO6K25
WR Grace & Company-Conn
383909AG3
1241000.00000000
PA
USD
1281580.70000000
0.088548373836
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
4.87500000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust
85573AAA3
822521.76920000
PA
USD
837575.23000000
0.057870662832
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.27500000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
CDX.NA.HY.34.V9
N/A
3597200.00000000
OU
Notional Amount
USD
175536.38000000
0.012128351338
N/A
DCR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
MARKIT CDX.NA.HY.34 5% 6/20/2025
SP9U3AC6
Y
CDX HY34 V9 5% 6/20/2025 - Tenor Quarterly
2025-06-20
27142.13000000
USD
0.00000000
USD
3597200.00000000
USD
148394.25000000
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
Steel Dynamics, Inc.
858119BM1
490000.00000000
PA
USD
524306.75000000
0.036225974770
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.25000000
N
N
N
N
N
N
RELX CAPITAL INC
2R15C3RTKJN1RCBOV146
RELX Capital, Inc.
74949LAD4
2930000.00000000
PA
USD
3203760.24000000
0.221357702573
Long
DBT
CORP
US
N
2
2030-05-22
Fixed
3.00000000
N
N
N
N
N
N
HOLOGIC INC
549300DYP6F5ZJL0LB74
Hologic, Inc.
436440AP6
1250000.00000000
PA
USD
1257812.50000000
0.086906155395
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.25000000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-280000.00000000
NC
73.93000000
0.000005108052
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
280000.00000000
JPY
2732.44000000
USD
2021-01-04
73.93000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver EUR
N/A
-6317025.00000000
NC
-169761.63000000
-0.01172935600
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
6317025.00000000
EUR
7290920.74000000
USD
2021-07-30
-169761.63000000
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International, Inc.
571903AZ6
1900000.00000000
PA
USD
1896617.58000000
0.131043173870
Long
DBT
CORP
US
N
2
2020-12-01
Floating
0.84600000
N
N
N
N
N
N
BERLIN PACKAGING LLC
549300L1HNHO6QOXHH42
Berlin Packaging LLC
N/A
298853.99060000
PA
USD
289329.51000000
0.019990670594
Long
LON
CORP
US
N
2
2025-11-07
Variable
3.16000000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance, Inc.
68245XAM1
2000000.00000000
PA
USD
2015420.00000000
0.139251600463
Long
DBT
CORP
CA
N
2
2030-10-15
Fixed
4.00000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust
41162DAF6
1586898.86710000
PA
USD
1431012.87000000
0.098873104579
Long
ABS-MBS
CORP
US
N
2
2038-01-19
Floating
0.34600000
N
N
N
N
N
N
PUTNAM STRUCTURED PRODUCT FUND
N/A
Putnam Structured Product Funding Ltd.
74686PAH3
106496.56460000
PA
USD
105768.96000000
0.007307904535
Long
ABS-O
CORP
KY
N
2
2038-10-15
Floating
1.16200000
N
N
N
N
N
N
New Residential Mortgage Loan
549300U1MV4J7YQZG974
New Residential Mortgage Loan Trust
64828CAG4
1281829.83820000
PA
USD
1353904.82000000
0.093545470948
Long
ABS-MBS
CORP
US
N
2
2058-02-25
Variable
3.50000000
N
N
N
N
N
N
NFP CORP
VO2L9FZNXDJNQNEYH039
NFP Corp.
65342RAD2
1875000.00000000
PA
USD
1898203.13000000
0.131152724423
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
6.87500000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
N/A
Golub Capital Partners CLO Ltd.
38175BAA2
4100000.00000000
PA
USD
4022540.34000000
0.277929751750
Long
ABS-O
CORP
KY
N
2
2031-02-05
Floating
1.54900000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT Ltd.
12434LAC8
1500000.00000000
PA
USD
1470103.95000000
0.101574028185
Long
ABS-O
CORP
US
N
2
2037-02-16
Floating
1.30100000
N
N
N
N
N
N
PACKERS HOLDINGS LLC
N/A
Packers Sanitation Services, Inc.
N/A
99488.49550000
PA
USD
97498.73000000
0.006736488769
Long
LON
CORP
US
N
2
2024-12-04
Variable
4.00000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AH0
1175000.00000000
PA
USD
1159719.13000000
0.080128581109
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.37500000
N
N
N
N
N
N
LIBERTY LATIN AMERICA LTD
N/A
Liberty Cablevision of Puerto Rico LLC
N/A
150000.00000000
PA
USD
149688.00000000
0.010342406828
Long
LON
CORP
US
N
2
2026-10-15
Variable
5.15000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZW3
35000000.00000000
PA
USD
34987695.40000000
2.417408074231
Long
DBT
UST
US
N
2
2025-06-30
Fixed
0.25000000
N
N
N
N
N
N
DCAL AVIATION FINANCE LIMITED
N/A
AIM Aviation Finance Ltd.
001406AA5
765343.08590000
PA
USD
639791.23000000
0.044205154627
Long
ABS-O
CORP
KY
N
2
2040-02-15
Variable
4.21300000
N
N
N
N
N
N
KKR GRP FIN CO VI LLC
549300TUJWGHJM3FSJ07
KKR Group Finance Company VI LLC
48252AAA9
3230000.00000000
PA
USD
3715944.68000000
0.256746109457
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.75000000
N
N
N
N
N
N
Nationstar HECM Loan Trust
N/A
Nationstar HECM Loan Trust
63862UAA6
611978.72750000
PA
USD
613557.63000000
0.042392594076
Long
ABS-MBS
CORP
US
Y
2
2029-11-26
Variable
2.27200000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
434587.52000000
NC
8922.71000000
0.000616497627
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
118432.35000000
USD
434587.52000000
ILS
2021-02-01
8922.71000000
N
N
N
RASPRO TRUST
N/A
Raspro Trust
75405RAC7
443605.64100000
PA
USD
430297.47000000
0.029730582892
Long
ABS-O
CORP
US
N
2
2024-03-23
Floating
1.11174800
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
N/A
Golub Capital Partners CLO 16 Ltd.
38172XAJ8
2000000.00000000
PA
USD
1970201.40000000
0.136127307551
Long
ABS-O
CORP
KY
N
2
2029-07-25
Floating
2.09500000
N
N
N
N
N
N
STRATEGIC PARTNERS FUND VIII LP
N/A
Strategic Partners Fund VIII LP
N/A
3500000.00000000
PA
USD
3552305.37000000
0.245439763476
Long
ABS-O
CORP
KY
N
2
2025-03-10
Variable
3.15500000
N
N
N
N
N
N
FIRST REPUBLIC BANK
YWC0TIKBQM2JV8L4IV08
First Republic Bank
33616C761
53200.00000000
NS
USD
1351280.00000000
0.093364114017
Long
EP
CORP
US
N
2
N
N
N
Freddie Mac Military Housing B
549300ZG8WH0M4JSUM77
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
35563CAD0
2557904.51260000
PA
USD
2958164.13000000
0.204388707830
Long
ABS-MBS
USGSE
US
N
2
2055-11-25
Variable
3.47600000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co.
50076QAE6
300000.00000000
PA
USD
328536.82000000
0.022699624890
Long
DBT
CORP
US
N
2
2042-06-04
Fixed
5.00000000
N
N
N
N
N
N
NEWPORT MESA CA UNIF SCH DIST
N/A
Newport Mesa Unified School District General Obligation Unlimited
652113XE6
1540000.00000000
PA
USD
783967.80000000
0.054166759713
Long
DBT
MUN
US
N
2
2041-08-01
None
0.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BB2
600000.00000000
PA
USD
611550.00000000
0.042253880711
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.12500000
N
N
N
N
N
N
GMAC Commercial Mortgage Asset
N/A
GMAC Commercial Mortgage Asset Corp.
36186YAF2
1466606.74850000
PA
USD
1720721.05000000
0.118889938654
Long
ABS-MBS
CORP
US
N
2
2052-08-10
Fixed
6.10700000
N
N
N
N
N
N
Carlyle Global Market Strategi
549300ZZB4XZS815E007
Carlyle Global Market Strategies CLO Ltd.
14311FAN1
1723010.68400000
PA
USD
1710230.94000000
0.118165144514
Long
ABS-O
CORP
KY
N
2
2027-04-27
Floating
1.02500000
N
N
N
N
N
N
Station Place Securitization T
N/A
Station Place Securitization Trust
857706AA3
13000000.00000000
PA
USD
13000000.00000000
0.898210202350
Long
ABS-O
CORP
US
Y
3
2021-02-15
Floating
1.65100000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJB6
6900000.00000000
PA
USD
7341054.69000000
0.507216170659
Long
DBT
CORP
US
N
2
2031-04-29
Variable
2.59200000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec BRL / Deliver USD
N/A
12514000.00000000
NC
-168932.99000000
-0.01167210270
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
2377821.69000000
USD
12514000.00000000
BRL
2021-07-01
-168932.99000000
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
1078539000.00000000
NC
-264592.26000000
-0.01828149749
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
10531064.79000000
USD
1078539000.00000000
JPY
2021-07-01
-264592.26000000
N
N
N
QUICKEN LOANS INC
549300FGXN1K3HLB1R50
Quicken Loans LLC
74840LAA0
883000.00000000
PA
USD
909048.50000000
0.062808972087
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.75000000
N
N
N
N
N
N
Deutsche Alt-A Securities INC
N/A
Deutsche Alt-A Securities Mortgage Loan Trust Series
25150UAA6
536196.27350000
PA
USD
487776.89000000
0.033702013774
Long
ABS-MBS
CORP
US
N
2
2047-04-25
Floating
1.78900000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
035240AV2
2225000.00000000
PA
USD
2531451.90000000
0.174905840256
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
N
Nassau 2019 CFO LLC
N/A
Nassau LLC
63172DAA9
1112301.68000000
PA
USD
1132117.56000000
0.078221503280
Long
ABS-O
CORP
US
N
2
2034-08-15
Fixed
3.98000000
N
N
N
N
N
N
CALIFORNIA ST
N/A
State of California General Obligation Unlimited
13063BBU5
650000.00000000
PA
USD
1074073.00000000
0.074211025128
Long
DBT
MUN
US
N
2
2039-11-01
Fixed
7.35000000
N
N
N
N
N
N
GARTNER INC
PP55B5R38BFB8O8HH686
Gartner, Inc.
366651AE7
650000.00000000
PA
USD
657507.50000000
0.045429226509
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
3.75000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
45866FAL8
2430000.00000000
PA
USD
2533515.57000000
0.175048425599
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
3.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-NQM1 Trust
126401AC2
1000000.00000000
PA
USD
999985.31000000
0.069092077510
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.72200000
N
N
N
N
N
N
BOOZ ALLEN HAMILTON INC
549300D7XCH2480XU542
Booz Allen Hamilton, Inc.
09951LAA1
300000.00000000
PA
USD
307965.00000000
0.021278254228
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.87500000
N
N
N
N
N
N
Starwood Commercial Mortgage T
N/A
STWD Ltd.
78485WAE9
1000000.00000000
PA
USD
983703.70000000
0.067967130725
Long
ABS-O
CORP
KY
N
2
2038-07-15
Floating
1.75200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138LKUC9
955907.56000000
PA
USD
1092746.83000000
0.075501257791
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
3.11000000
N
N
N
N
N
N
INT DEVELOPMENT FIN CORP
549300IDY55XMYWXSD28
U.S. International Development Finance Corp.
6903538C4
800000.00000000
PA
USD
874498.43000000
0.060421800905
Long
DBT
USGSE
US
N
2
2026-01-17
None
0.00000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co.
075887CJ6
1890000.00000000
PA
USD
2038196.64000000
0.140825308957
Long
DBT
CORP
US
N
2
2030-05-20
Fixed
2.82300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138LLLA1
850000.00000000
PA
USD
941173.75000000
0.065028604956
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
2.90000000
N
N
N
N
N
N
DELOITTE LLP (US)
N/A
Deloitte LLP
N/A
3400000.00000000
PA
USD
3542694.36000000
0.244775709073
Long
DBT
CORP
US
N
3
2030-05-07
Fixed
3.56000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FAQ4
4000000.00000000
PA
USD
4493375.12000000
0.310461182751
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZF0
5030000.00000000
PA
USD
5088355.85000000
0.351570241358
Long
DBT
UST
US
N
2
2025-03-31
Fixed
0.50000000
N
N
N
N
N
N
DEUTSCHE TELEKOM AG
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
N/A
748125.00000000
PA
USD
746987.85000000
0.051611700607
Long
LON
CORP
US
N
2
2027-04-01
Variable
3.15000000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-5620000.00000000
NC
416198.35000000
0.028756431090
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
5620000.00000000
BRL
1408203.66000000
USD
2021-07-01
416198.35000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138LLLT0
500000.00000000
PA
USD
549648.29000000
0.037976900137
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
3.11000000
N
N
N
N
N
N
WRKCO INC
549300JEB576INN13W07
WRKCo, Inc.
92940PAG9
5370000.00000000
PA
USD
5841454.16000000
0.403604132544
Long
DBT
CORP
US
N
2
2033-06-15
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
61767FBB6
7215128.51880000
PA
USD
452273.84000000
0.031248998257
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
1.71700000
N
N
N
N
N
N
Sapphire Aviation Finance I Li
N/A
Sapphire Aviation Finance II Ltd.
80307AAA7
2062287.11950000
PA
USD
1859571.10000000
0.128483518001
Long
ABS-O
CORP
US
N
2
2040-03-15
Fixed
3.22800000
N
N
N
N
N
N
Home Equity Loan Trust
N/A
Home Equity Loan Trust
43710XAA6
2586793.83360000
PA
USD
2427221.25000000
0.167704222316
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.33800000
N
N
N
N
N
N
BRAVO Residential Funding Trus
N/A
BRAVO Residential Funding Trust
10568HAA3
1732511.10220000
PA
USD
1767989.46000000
0.122155859278
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.66600000
N
N
N
N
N
N
LIBERTY GLOBAL PLC
N/A
UPC Financing Partnership
N/A
1525000.00000000
PA
USD
1477725.00000000
0.102100590097
Long
LON
CORP
US
N
2
2029-01-31
Variable
3.50000000
N
N
N
N
N
N
WMG ACQUISITION CORP
549300NAS11NXI33CP80
WMG Acquisition Corp.
92933BAR5
675000.00000000
PA
USD
656268.75000000
0.045343637441
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.00000000
N
N
N
N
N
N
LMRK Issuer Co. LLC
N/A
Secured Tenant Site Contract Revenue Notes Series
50209LAA5
1056192.28320000
PA
USD
1081346.03000000
0.074713541262
Long
ABS-O
CORP
US
N
2
2048-06-15
Fixed
3.97000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HTNB1
786020.60000000
PA
USD
936807.20000000
0.064726906513
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.07000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
2Y-10 CMS CAP
N/A
54700000.00000000
NC
USD
198561.00000000
0.013719193537
N/A
DIR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Put
Purchased
N/A
2Y-10 CMS CAP
54700000.00000000
0.39500000
USD
2022-07-29
XXXX
74392.00000000
N
N
N
WALGREENS BOOTS ALLIANCE
549300RPTUOIXG4LIH86
Walgreens Boots Alliance, Inc.
931427AT5
4510000.00000000
PA
USD
4506426.64000000
0.311362952630
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.10000000
N
N
N
N
N
N
Capmark Military Housing Trust
N/A
Capmark Military Housing Trust
14066AAA7
2318758.81640000
PA
USD
2613512.94000000
0.180575691283
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Fixed
6.14700000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust
46630BAD8
2977987.10350000
PA
USD
1925234.42000000
0.133020399843
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.26800000
N
N
N
N
N
N
LSTAR Securities Investment Lt
N/A
LSTAR Securities Investment Trust
50220CAA0
541529.73800000
PA
USD
536178.50000000
0.037046230690
Long
ABS-MBS
CORP
US
N
2
2024-03-01
Floating
1.85500000
N
N
N
N
N
N
QUEST DIAGNOSTICS INC
8MCWUBXQ0WE04KMXBX50
Quest Diagnostics, Inc.
74834LBC3
1510000.00000000
PA
USD
1626386.01000000
0.112372039010
Long
DBT
CORP
US
N
2
2031-06-30
Fixed
2.80000000
N
N
N
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust
78432BAA7
1466454.99770000
PA
USD
1482947.19000000
0.102461407354
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.70300000
N
N
N
N
N
N
UNIFORM MBS
N/A
Uniform MBS 30 Year
N/A
73300000.00000000
PA
USD
75520770.10000000
5.217963553322
Long
ABS-MBS
CORP
US
N
2
2021-12-14
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac
3137FEBA7
1000000.00000000
PA
USD
1055405.20000000
0.072921209096
Long
ABS-MBS
USGSE
US
N
2
2046-01-15
Fixed
4.00000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863AX8
250000.00000000
PA
USD
249320.03000000
0.017226291892
Long
DBT
CORP
GB
N
2
2030-09-10
Fixed
2.62500000
N
N
N
N
N
N
CNA FINANCIAL CORP
549300YX2GSZD7YG1R84
CNA Financial Corp.
126117AW0
1250000.00000000
PA
USD
1247778.98000000
0.086212908470
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.05000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-272035950.00000000
NC
90482.59000000
0.006251721959
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
272035950.00000000
JPY
2687836.68000000
USD
2021-12-20
90482.59000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T, Inc.
00206RJY9
3200000.00000000
PA
USD
3376185.50000000
0.233271097009
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.75000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773DA5
1750000.00000000
PA
USD
1884396.40000000
0.130198774750
Long
DBT
CORP
US
N
2
2027-05-05
Fixed
2.55000000
N
N
N
N
N
N
CALIFORNIA INSTITUTE OF
549300CITPNHOTVPHC04
California Institute of Technology
13034VAD6
1600000.00000000
PA
USD
1749250.77000000
0.120861145237
Long
DBT
CORP
US
N
2
2119-09-01
Fixed
3.65000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma plc
78081BAF0
2690000.00000000
PA
USD
2608657.55000000
0.180240217372
Long
DBT
CORP
GB
N
2
2050-09-02
Fixed
3.55000000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AE1
425000.00000000
PA
USD
442935.00000000
0.030603748921
Long
DBT
CORP
NL
N
2
2027-12-15
Fixed
5.50000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp.
1248EPCK7
425000.00000000
PA
USD
440496.40000000
0.030435258506
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.25000000
N
N
N
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA Communications Corp.
78410GAC8
350000.00000000
PA
USD
355250.00000000
0.024545321106
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.87500000
N
N
N
N
N
N
MEMORIAL SLOAN-KETTERING
549300IZ71UAMEHWL382
Memorial Sloan-Kettering Cancer Center
586054AD0
1000000.00000000
PA
USD
1059862.87000000
0.073229203302
Long
DBT
CORP
US
N
2
2050-01-01
Fixed
2.95500000
N
N
N
N
N
N
SOLERA PARENT HOLDING LLC
N/A
Solera LLC
N/A
1895039.16000000
PA
USD
1853462.00000000
0.128061421389
Long
LON
CORP
US
N
2
2023-03-03
Variable
2.94000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-8600000.00000000
NC
496744.03000000
0.034321581207
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
8600000.00000000
BRL
2014759.28000000
USD
2021-07-01
496744.03000000
N
N
N
ALCHEMY COPYRIGHTS LLC
N/A
Alchemy Copyrights LLC
N/A
400000.00000000
PA
USD
399000.00000000
0.027568143902
Long
LON
CORP
US
N
2
2027-08-16
Variable
4.00000000
N
N
N
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI, Inc.
55354GAL4
1925000.00000000
PA
USD
2006235.00000000
0.138616980408
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.87500000
N
N
N
N
N
N
Anchorage Credit Funding Ltd.
5493003NNQWXMTSTMF21
Anchorage Credit Funding Ltd.
03330EAA2
1000000.00000000
PA
USD
999251.70000000
0.069041390127
Long
ABS-O
CORP
KY
N
2
2033-10-28
Fixed
3.85000000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
599191AA1
2550000.00000000
PA
USD
2655187.50000000
0.183455115511
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co.
254687GA8
2000000.00000000
PA
USD
2310361.32000000
0.159630008364
Long
DBT
CORP
US
N
2
2060-05-13
Fixed
3.80000000
N
N
N
N
N
N
NUSTAR LOGISTICS LP
N62BF2PKP51FIIOIUN20
NuStar Logistics, LP
67059TAH8
700000.00000000
PA
USD
726250.00000000
0.050178858419
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
6.37500000
N
N
N
N
N
N
NETAPP INC
QTX3D84DZDD5JYOCYH15
NetApp, Inc.
64110DAK0
8100000.00000000
PA
USD
8418372.69000000
0.581651402872
Long
DBT
CORP
US
N
2
2030-06-22
Fixed
2.70000000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Bank
3133EJKT5
3300000.00000000
PA
USD
4188639.54000000
0.289406059138
Long
DBT
USGSE
US
N
2
2040-06-11
Fixed
3.51000000
N
N
N
N
N
N
WHIRLPOOL CORP
WHENKOULSSK7WUM60H03
Whirlpool Corp.
963320AX4
1430000.00000000
PA
USD
1771086.79000000
0.122369863386
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
4.60000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-606000.00000000
NC
1706.33000000
0.000117895616
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
606000.00000000
ILS
179715.30000000
USD
2021-04-30
1706.33000000
N
N
N
Argent Securities Inc.
N/A
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
040104ND9
1999999.99980000
PA
USD
1974516.00000000
0.136425416608
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
0.63800000
N
N
N
N
N
N
TEXTRON INC
3PPKBHUG1HD6BO7RNR87
Textron, Inc.
883203CB5
1355000.00000000
PA
USD
1427160.35000000
0.098606922058
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.00000000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp.
91913YAY6
750000.00000000
PA
USD
787063.23000000
0.054380632544
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.85000000
N
N
N
N
N
N
HEALTH CARE SERVICE CORP
549300TMJ1FKCKECR148
Health Care Service Corporation A Mutual Legal Reserve Co.
42218SAH1
1480000.00000000
PA
USD
1535531.76000000
0.106094637912
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
3.20000000
N
N
N
N
N
N
AMERICAN EQUITY INVESTME
549300RK5RZQ740FPL83
American Equity Investment Life Holding Co.
025676AM9
486000.00000000
PA
USD
527366.29000000
0.036437367850
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.00000000
N
N
N
N
N
N
FDF Limited
254900IDIMSANLWYGN89
FDF I Ltd.
30256WAA5
1000000.00000000
PA
USD
991814.40000000
0.068527524070
Long
ABS-O
CORP
KY
N
2
2030-11-12
Fixed
4.40000000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-1042521000.00000000
NC
359316.07000000
0.024826258457
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
1042521000.00000000
JPY
10287866.98000000
USD
2021-08-02
359316.07000000
N
N
N
FEDERAL NATIONAL MORTGAGE ASSOCIATION
B1V7KEBTPIMZEU4LTD58
Fannie Mae
N/A
1900000.00000000
PA
USD
1938415.45000000
0.133931117968
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.11000000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAL5
1000000.00000000
PA
USD
1056000.00000000
0.072962305667
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
5.62500000
N
N
N
N
N
N
CHENIERE ENERGY INC
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
N/A
6700000.00000000
PA
USD
6633179.69000000
0.458306897814
Long
DBT
CORP
US
N
3
2039-12-31
Fixed
3.52000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AG2
750000.00000000
PA
USD
768948.75000000
0.053129047102
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
4.37500000
N
N
N
N
N
N
PCI PHARMA SERVICES
N/A
Packaging Coordinators Midco, Inc.
N/A
493932.86810000
PA
USD
492080.62000000
0.033999371789
Long
LON
CORP
US
N
2
2023-06-30
Variable
5.00000000
N
N
N
N
N
N
AVANTOR FUNDING INC
5493003VM0XB4U8YD238
Avantor Funding, Inc.
05352TAA7
1050000.00000000
PA
USD
1089375.00000000
0.075268287629
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
4.62500000
N
N
N
N
N
N
DYAL CAPITAL PARTNERS III ISSUER (B)
N/A
Dyal Capital Partners III
N/A
638630.55000000
PA
USD
651187.55000000
0.044992561619
Long
DBT
CORP
US
N
3
2040-06-15
Fixed
4.40000000
N
N
N
N
N
N
BROOKFIELD FINANCE INC
N/A
Brookfield Finance, Inc.
11271LAF9
2210000.00000000
PA
USD
2183650.63000000
0.150875174941
Long
DBT
CORP
CA
N
2
2051-03-30
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138LKBT3
650000.00000000
PA
USD
724284.36000000
0.050043046273
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
2.99000000
N
N
N
N
N
N
LSF11 SKYSCRAPER HOLDCO SARL
N/A
LSF11 Skyscraper HoldCo S.A.R.L
N/A
1500000.00000000
PA
USD
1485000.00000000
0.102603242345
Long
LON
CORP
LU
N
2
2027-08-09
Variable
5.50000000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
549300HU3WTU5KNK1B36
Cascade Funding Mortgage Trust
147271AA8
866731.88400000
PA
USD
868452.26000000
0.060004052322
Long
ABS-MBS
CORP
US
Y
2
2069-06-25
Variable
2.80000000
N
N
N
N
N
N
BAKER HUGHES LLC/CO-OBL
N/A
Baker Hughes a GE Company LLC / Baker Hughes Co-Obligor, Inc.
05724BAA7
410000.00000000
PA
USD
465878.53000000
0.032188988361
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
4.48600000
N
N
N
N
N
N
ACADIA HEALTHCARE CO INC
5493005CW985Y9D0NC11
Acadia Healthcare Company, Inc.
00404AAP4
100000.00000000
PA
USD
101375.00000000
0.007004312251
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust
12654PAA6
2032154.56050000
PA
USD
2182472.42000000
0.150793768768
Long
ABS-MBS
CORP
US
N
2
2057-09-25
Variable
3.85000000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corporation Mortgage Loan Trust
86359RAD8
589531.82120000
PA
USD
577053.44000000
0.039870406700
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.31800000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
03969AAN0
2050000.00000000
PA
USD
2078187.50000000
0.143588401145
Long
DBT
CORP
IE
N
2
2026-08-15
Fixed
4.12500000
N
N
N
N
N
N
TENN VALLEY AUTHORITY
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591ES7
1300000.00000000
PA
USD
1977552.04000000
0.136635186000
Long
DBT
USGA
US
N
2
2065-09-15
Fixed
4.25000000
N
N
N
N
N
N
WESTCHESTER CNTY NY LOCAL DEV
549300KOSU8OC75V9238
Westchester County Local Development Corp. Revenue Bonds
95737TEK8
2700000.00000000
PA
USD
2715093.00000000
0.187594171763
Long
DBT
MUN
US
N
2
2050-11-01
Fixed
3.84600000
N
N
N
N
N
N
MINERALS TECHNOLOGIES IN
549300D3I1QU67GP6403
Minerals Technologies, Inc.
603158AA4
1100000.00000000
PA
USD
1138269.00000000
0.078646525293
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
5.00000000
N
N
N
N
N
N
Capital Automotive Reit
N/A
Capital Automotive LLC
12479RAD9
2815824.71310000
PA
USD
2820961.62000000
0.194908962117
Long
ABS-O
CORP
US
N
2
2047-04-15
Fixed
3.87000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
2Y-10 CMS CAP
N/A
227800000.00000000
NC
USD
826914.00000000
0.057134045482
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Put
Purchased
N/A
2Y-10 CMS CAP
227800000
0.39500000
USD
2022-07-29
XXXX
280194.00000000
N
N
N
WISCONSIN ALUM RESEARCH
UMSL8J1I3AHWSX5XNO15
Wisconsin Alumni Research Foundation
97658WAA8
1000000.00000000
PA
USD
1095507.40000000
0.075691994110
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.56400000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT Ltd.
12434LAE4
2000000.00000000
PA
USD
1955019.80000000
0.135078363858
Long
ABS-O
CORP
US
N
2
2037-02-16
Floating
1.55100000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAJ0
2200000.00000000
PA
USD
2293500.00000000
0.158465007622
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3138LKC54
500000.00000000
PA
USD
555828.28000000
0.038403894757
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.11000000
N
N
N
N
N
N
ARCH CAPITAL GROUP LTD
549300AYR4P8AFKDCE43
Arch Capital Group Ltd.
03939AAA5
2900000.00000000
PA
USD
3117769.27000000
0.215416320529
Long
DBT
CORP
BM
N
2
2050-06-30
Fixed
3.63500000
N
N
N
N
N
N
Castlelake Aircraft Securitiza
N/A
Castlelake Aircraft Securitization Trust
14855LAB6
1350430.79000000
PA
USD
1215958.81000000
0.084014354521
Long
ABS-O
CORP
US
N
2
2042-07-15
Fixed
3.97000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-468780.95000000
NC
-465.06000000
-0.00003213243
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
468780.95000000
ILS
136910.32000000
USD
2021-02-01
-465.06000000
N
N
N
Avery Point CLO Ltd
549300V091GOUE8M6G49
Avery Point V CLO Ltd.
05363XAN7
371241.78070000
PA
USD
370700.96000000
0.025612875714
Long
ABS-O
CORP
KY
N
2
2026-07-17
Floating
1.25300000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-115816.47000000
NC
-379.54000000
-0.00002622359
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
115816.47000000
ILS
33560.26000000
USD
2021-02-01
-379.54000000
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp.
064058AH3
1060000.00000000
PA
USD
1124660.00000000
0.077706237398
Long
DBT
CORP
US
N
2
N/A
Variable
4.70000000
N
N
N
N
N
N
American Home Mortgage Investm
N/A
American Home Mortgage Investment Trust
026932AF0
8139492.03570000
PA
USD
1354444.03000000
0.093582726635
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Fixed
2.07800000
N
N
N
N
N
N
Arbys Funding LLC
N/A
Arbys Funding LLC
038779AB0
6750000.00000000
PA
USD
6941092.50000000
0.479581546073
Long
ABS-O
CORP
US
N
2
2050-07-30
Fixed
3.23700000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-3800000.00000000
NC
231969.12000000
0.016027463862
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
3800000.00000000
BRL
902720.04000000
USD
2021-07-01
231969.12000000
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance, Inc.
68245XAK5
450000.00000000
PA
USD
480375.00000000
0.033190594304
Long
DBT
CORP
CA
N
2
2025-04-15
Fixed
5.75000000
N
N
N
N
N
N
LOEWS CORP
R8V1FN4M5ITGZOG7BS19
Loews Corp.
540424AT5
2870000.00000000
PA
USD
3208163.95000000
0.221661968515
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.20000000
N
N
N
N
N
N
TVA PRIN STRIP
549300HE1ISW43LNKM54
Tennessee Valley Authority Principal Strips
88059EN59
9700000.00000000
PA
USD
5081452.19000000
0.351093246139
Long
DBT
USGA
US
N
2
2048-01-15
None
0.00000000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corporation Nacional del Cobre de Chile
21987BBC1
680000.00000000
PA
USD
755854.00000000
0.052224290329
Long
DBT
CORP
CL
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-5597926.31000000
NC
-10076.96000000
-0.00069624832
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
5597926.31000000
ILS
1630384.83000000
USD
2021-02-01
-10076.96000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HRH55
340420.83250000
PA
USD
419588.69000000
0.028990680165
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
3.94000000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
3-Month USD LIBOR
N/A
-15000000.00000000
OU
Notional Amount
USD
37792.05000000
0.002611169605
N/A
DIR
US
N
2
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
ICE LIBOR USD 3 Month
US0003M
Y
2027-07-13
377.35000000
USD
0.00000000
USD
-15000000.00000000
USD
37414.70000000
N
N
N
NATIONAL AUSTRALIA BANK
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd.
632525AU5
1500000.00000000
PA
USD
1483777.79000000
0.102518796076
Long
DBT
CORP
AU
N
2
2030-08-21
Fixed
2.33200000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec BRL / Deliver USD
N/A
12703000.00000000
NC
-219571.98000000
-0.01517090712
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
2461821.71000000
USD
12703000.00000000
BRL
2021-07-01
-219571.98000000
N
N
N
TVA PRIN STRIP
549300HE1ISW43LNKM54
Tennessee Valley Authority Principal
88059FBM2
1583000.00000000
PA
USD
1229224.78000000
0.084930941413
Long
DBT
USGA
US
N
2
2035-06-15
None
0.00000000
N
N
N
N
N
N
Cerberus
549300U8RSYT04O8Z019
Cerberus Loan Funding XXVI, LP
15673YAA7
750000.00000000
PA
USD
740626.80000000
0.051172195991
Long
ABS-O
CORP
KY
N
2
2031-04-15
Floating
2.02500000
N
N
N
N
N
N
BERKLEY (WR) CORPORATION
SQOAGCLKBDWNVYV1OV80
W R Berkley Corp.
084423888
25600.00000000
NS
USD
666880.00000000
0.046076801518
Long
EP
CORP
US
N
2
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings, Inc.
09857LAQ1
390000.00000000
PA
USD
457915.95000000
0.031638829085
Long
DBT
CORP
US
N
2
2027-04-13
Fixed
4.50000000
N
N
N
N
N
N
TVA PRIN STRIP
549300HE1ISW43LNKM54
Tennessee Valley Authority Principal Strips
88059FBW0
1600000.00000000
PA
USD
996779.12000000
0.068870551928
Long
DBT
USGA
US
N
2
2042-12-15
None
0.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQ3W1
1150000.00000000
PA
USD
1229584.49000000
0.084955794890
Long
ABS-MBS
USGSE
US
N
2
2025-03-25
Fixed
2.58800000
N
N
N
N
N
N
RFC PRINCIPAL STRIP
N/A
Residual Funding Corporation Principal Strips
76116FAC1
7530000.00000000
PA
USD
6725874.16000000
0.464711445402
Long
DBT
USGSE
US
N
2
2030-04-15
None
0.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc.
38141GXJ8
2250000.00000000
PA
USD
2483257.16000000
0.171575916628
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
GPMT Ltd.
N/A
GPMT Ltd.
36259BAA5
2000000.00000000
PA
USD
1982596.80000000
0.136983744069
Long
ABS-O
CORP
KY
N
2
2036-02-22
Floating
1.45600000
N
N
N
N
N
N
Madison Avenue Secured Funding
N/A
Madison Avenue Secured Funding Trust
55661HAA4
1300000.00000000
PA
USD
1300000.00000000
0.089821020235
Long
ABS-O
CORP
US
Y
3
2020-11-11
Floating
1.65130000
N
N
N
N
N
N
NAVICURE INC
N/A
Navicure, Inc.
N/A
300000.00000000
PA
USD
297000.00000000
0.020520648469
Long
LON
CORP
US
N
2
2026-10-22
Variable
4.75000000
N
N
N
N
N
N
Oxford Finance Funding Trust
N/A
Oxford Finance Funding
69144AAA7
1500000.00000000
PA
USD
1523687.25000000
0.105276264087
Long
ABS-O
CORP
US
N
2
2028-02-15
Fixed
3.10100000
N
N
N
N
N
N
The Bancorp Commercial Mortgag
5493009R0KRDEB1KXF82
Bancorp Commercial Mortgage Trust
05972FAC3
856342.81110000
PA
USD
844380.99000000
0.058340893837
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Floating
1.40200000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12593QBF6
9169945.89870000
PA
USD
350436.82000000
0.024212763615
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
1.08200000
N
N
N
N
N
N
VULCAN MATERIALS CO
549300Q8LSNHAVWBNI21
Vulcan Materials Co.
929160AZ2
1510000.00000000
PA
USD
1691081.21000000
0.116842030448
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
N
SAMSONITE INTERNATIONAL SA
N/A
Samsonite IP Holdings SARL
N/A
2443875.00000000
PA
USD
2379723.28000000
0.164422440682
Long
LON
CORP
LU
N
2
2025-04-25
Variable
5.50000000
N
N
N
N
N
N
DUKE UNIVERSITY
FY5ICUIRRDCHN4HHL592
Duke University
26442TAH0
1500000.00000000
PA
USD
1588210.89000000
0.109734401914
Long
DBT
CORP
US
N
2
2055-10-01
Fixed
2.83200000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FREE7
1850000.00000000
PA
USD
2005494.54000000
0.138565819737
Long
ABS-MBS
USGSE
US
N
2
2027-10-25
Fixed
2.30800000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trus
N/A
CFCRE Commercial Mortgage Trust
12531WBC5
5699722.63400000
PA
USD
257260.40000000
0.017774916610
Long
ABS-MBS
CORP
US
N
2
2048-01-10
Variable
1.16400000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Company, Inc.
432833AG6
1450000.00000000
PA
USD
1514235.00000000
0.104623178904
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.37500000
N
N
N
N
N
N
CENTRAL STORAGE TRUST
N/A
Central Storage Safety Project Trust
155431AA7
1000000.00000000
PA
USD
1128108.23000000
0.077944486272
Long
DBT
CORP
US
Y
2
2038-02-01
Fixed
4.82300000
N
N
N
N
N
N
ALLIANT HOLDINGS INTERMEDIATE LLC
N/A
Alliant Holdings Intermediate LLC
N/A
498724.49000000
PA
USD
483702.91000000
0.033420529897
Long
LON
CORP
US
N
2
2025-05-09
Variable
2.90000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec USD / Deliver JPY
N/A
-208104000.00000000
NC
57047.33000000
0.003941576447
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
208104000.00000000
JPY
2037039.94000000
USD
2021-06-01
57047.33000000
N
N
N
Securitized Asset Backed Recei
N/A
Securitized Asset Backed Receivables LLC Trust 2006-WM4
81377XAC6
5835716.80810000
PA
USD
2336822.93000000
0.161458322831
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.26800000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBL9
2210000.00000000
PA
USD
2351601.90000000
0.162479447572
Long
DBT
CORP
US
N
2
2031-04-22
Variable
2.52200000
N
N
N
N
N
N
TRANSURBAN FINANCE CO
54930081LPJMUMEA6E57
Transurban Finance Company Pty Ltd.
89400PAK9
1300000.00000000
PA
USD
1324282.02000000
0.091498740088
Long
DBT
CORP
AU
N
2
2031-03-16
Fixed
2.45000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AC1
350000.00000000
PA
USD
364000.00000000
0.025149885665
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
5.00000000
N
N
N
N
N
N
Apollo Aviation Securitization
N/A
AASET Trust
00255UAA3
1941403.24000000
PA
USD
1788838.65000000
0.123596394291
Long
ABS-O
CORP
US
N
2
2040-01-16
Fixed
3.35100000
N
N
N
N
N
N
Dreyfus Treasury Securities Ca
549300U78VESCW509025
Dreyfus Treasury Securities Cash Management Fund - Institutional Shares
N/A
7384078.50000000
NS
USD
7384078.50000000
0.510188818742
Long
STIV
RF
US
N
1
N
N
N
PERSHING SQUARE HOLDINGS
U7LC4KOKCTZ0YWGI2G56
Pershing Square Holdings Ltd.
71531QAA9
1000000.00000000
PA
USD
1055910.00000000
0.072956087289
Long
DBT
CORP
GG
N
2
2022-07-15
Fixed
5.50000000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec BRL / Deliver USD
N/A
12703000.00000000
NC
-215903.80000000
-0.01491746122
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
2458153.53000000
USD
12703000.00000000
BRL
2021-07-01
-215903.80000000
N
N
N
CALIFORNIA ST
N/A
State of California General Obligation Unlimited
13063A5G5
700000.00000000
PA
USD
1224734.00000000
0.084620659535
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
7.55000000
N
N
N
N
N
N
TENN VALLEY AUTH
549300HE1ISW43LNKM54
Tennessee Valley Authority Principal Strips
88059FBA8
4000000.00000000
PA
USD
2859180.40000000
0.197549615818
Long
DBT
USGA
US
N
2
2038-01-15
None
0.00000000
N
N
N
N
N
N
STRIP PRINC
254900HROIFWPRGM1V77
U.S. Treasury Strips
912803FM0
38802000.00000000
PA
USD
24934645.96000000
1.722811799482
Long
DBT
UST
US
N
2
2050-02-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HWXT4
991980.77000000
PA
USD
1067105.12000000
0.073729592751
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
2.34000000
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings, Inc.
09857LAR9
2370000.00000000
PA
USD
2847302.26000000
0.196728918392
Long
DBT
CORP
US
N
2
2030-04-13
Fixed
4.62500000
N
N
N
N
N
N
Babson CLO Ltd
549300SCEOLR3BTPYX35
Babson CLO Ltd.
05618HAE5
650000.00000000
PA
USD
17550.00000000
0.001212583773
Long
ABS-O
CORP
KY
N
2
2025-07-20
None
0.00000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France S.A.
67054KAA7
950000.00000000
PA
USD
995505.00000000
0.068782519037
Long
DBT
CORP
FR
N
2
2026-05-01
Fixed
7.37500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YH7
1192000.00000000
PA
USD
1253229.69000000
0.086589514880
Long
DBT
UST
US
N
2
2024-09-30
Fixed
1.50000000
N
N
N
N
N
N
MidOcean Credit CLO
5493004MLF21SFT7F415
Midocean Credit CLO VII
59801WAR7
2000000.00000000
PA
USD
1949828.20000000
0.134719660159
Long
ABS-O
CORP
KY
N
2
2029-07-15
Floating
1.87500000
N
N
N
N
N
N
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
781000.00000000
NC
60.53000000
0.000004182204
N/A
DFE
US
N
2
JPMorgan Chase Bank, N.A.
7H6GLXDRUGQFU57RNE97
7357.51000000
USD
781000.00000000
JPY
2021-02-01
60.53000000
N
N
N
XPLORNET COMMUNICATIONS INC
N/A
Xplornet Communications Inc.
N/A
1246875.00000000
PA
USD
1221164.44000000
0.084374027596
Long
LON
CORP
CA
N
2
2027-06-10
Variable
4.90000000
N
N
N
N
N
N
QTS LP/FINANCE
N/A
Qualitytech Limited Partnership / QTS Finance Corp.
74759BAD5
200000.00000000
PA
USD
207440.00000000
0.014332671105
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.75000000
N
N
N
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp.
62886EAY4
2050000.00000000
PA
USD
2051640.00000000
0.141754152273
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140HVYW8
3000000.00000000
PA
USD
3279988.77000000
0.226624567446
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
2.55000000
N
N
N
N
N
N
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - Rec USD / Deliver BRL
N/A
-4400000.00000000
NC
254099.82000000
0.017556542364
N/A
DFE
US
N
2
Citibank N.A., New York
E57ODZWZ7FF32TWEFA76
4400000.00000000
BRL
1030758.78000000
USD
2021-07-01
254099.82000000
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
Constellation Brands, Inc.
21036PBF4
2680000.00000000
PA
USD
2893678.28000000
0.199933181032
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.87500000
N
N
N
N
N
N
GRAPHIC PACKAGING INTERN
SO75N4VY5NXGQSK8YQ65
Graphic Packaging International LLC
38869AAC1
1125000.00000000
PA
USD
1132031.25000000
0.078215539856
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
3.50000000
N
N
N
N
N
N
NEW YORK ST PWR AUTH REVENUE
I5P1GEYFGGMMDOFX2L30
New York Power Authority Revenue Bonds
64989KLJ3
1000000.00000000
PA
USD
1073080.00000000
0.074142415687
Long
DBT
MUN
US
N
2
2039-11-15
Fixed
2.81800000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FGR49
1000000.00000000
PA
USD
1203293.90000000
0.083139296723
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Fixed
3.92000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 37 Senior Loan Fund
26249YAG6
1000000.00000000
PA
USD
815223.50000000
0.056326312684
Long
ABS-O
CORP
KY
N
2
2031-01-15
None
0.00000000
N
N
N
N
N
N
KEMPER CORP
549300FNI1JKTRY2PV09
Kemper Corp.
488401AC4
1510000.00000000
PA
USD
1494137.09000000
0.103234552149
Long
DBT
CORP
US
N
2
2030-09-30
Fixed
2.40000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2007-AMC1
17311BAS2
1812136.59040000
PA
USD
1256102.41000000
0.086787999989
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.30800000
N
N
N
N
N
N
GB Trust 2020-FLIX
N/A
GB Trust
368306AL0
2000000.00000000
PA
USD
2004876.40000000
0.138523110533
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Floating
1.75200000
N
N
N
N
N
N
FIDELITY NATL FINANCIAL
549300CAZYIH39SYQ287
Fidelity National Financial, Inc.
31620RAJ4
3380000.00000000
PA
USD
3655734.82000000
0.252586024031
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3140J0P46
1000000.00000000
PA
USD
1038022.09000000
0.071720156269
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
1.68000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding Ltd.
69689LAA4
1174756.92230000
PA
USD
1172438.77000000
0.081007420372
Long
ABS-O
CORP
KY
N
2
2027-08-20
Floating
1.10300000
N
N
N
N
N
N
OWENS CORNING
JO5M6676RDJIZ2U8X907
Owens Corning
690742AK7
2080000.00000000
PA
USD
2354459.18000000
0.162676865884
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.87500000
N
N
N
N
N
N
GATX CORP
549300IHYHCQP2PIR591
GATX Corp.
361448BF9
2110000.00000000
PA
USD
2430580.97000000
0.167936355761
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
4.00000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
549300KJI7MJ3X7YQQ90
Palmer Square Loan Funding Ltd.
69700KAA1
3252907.20640000
PA
USD
3246224.11000000
0.224291662670
Long
ABS-O
CORP
KY
N
2
2026-11-15
Floating
1.18000000
N
N
N
N
N
N
FIVE CORNERS FND TR II
N/A
Five Corners Funding Trust II
33834DAA2
6540000.00000000
PA
USD
7025676.82000000
0.485425738318
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.85000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
Level 3 Financing, Inc.
527298BR3
2650000.00000000
PA
USD
2690598.00000000
0.185901736463
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.25000000
N
N
N
N
N
N
BY CROWN HOLDINGS
N/A
RP Crown Parent LLC (Blue Yonder)
N/A
798000.00000000
PA
USD
787027.50000000
0.054378163848
Long
LON
CORP
US
N
2
2026-02-02
Variable
4.00000000
N
N
N
N
N
N
QUANTA SERVICES INC
SHVRXXEACT60MMH07S24
Quanta Services, Inc.
74762EAF9
4740000.00000000
PA
USD
4837690.83000000
0.334251019948
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.90000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered plc
853254BS8
3350000.00000000
PA
USD
3856123.96000000
0.266431529415
Long
DBT
CORP
US
N
2
2031-04-01
Variable
4.64400000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
2Y-10 CMS CAP
N/A
232600000.00000000
NC
USD
562892.00000000
0.038891949017
N/A
DIR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Put
Purchased
N/A
2Y-10 CMS CAP
232600000
0.60500000
USD
2022-07-29
XXXX
208714.00000000
N
N
N
Venture CDO Ltd
5493002O60L75PP6F022
Venture XIV CLO Ltd.
92328GBA3
4250000.00000000
PA
USD
4211832.88000000
0.291008558723
Long
ABS-O
CORP
KY
N
2
2029-08-28
Floating
1.28600000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
45866FAP9
2400000.00000000
PA
USD
2410670.40000000
0.166560672906
Long
DBT
CORP
US
N
2
2040-09-15
Fixed
2.65000000
N
N
N
N
N
N
Marathon CLO LTD
635400LRBGQZIPTCBI09
Marathon CLO V Ltd.
56576QAQ1
1000000.00000000
PA
USD
982465.40000000
0.067881572748
Long
ABS-O
CORP
KY
N
2
2027-11-21
Floating
1.69700000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group, Inc.
71376LAD2
275000.00000000
PA
USD
292875.00000000
0.020235639462
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.87500000
N
N
N
N
N
N
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - Rec USD / Deliver ILS
N/A
-4156700.00000000
NC
2331.15000000
0.000161066362
N/A
DFE
US
N
2
Bank of America, N.A.
B4TYDEB6GKMZO031MB27
4156700.00000000
ILS
1232345.09000000
USD
2022-01-31
2331.15000000
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust
46590LAV4
8659567.84600000
PA
USD
469481.93000000
0.032437958411
Long
ABS-MBS
CORP
US
N
2
2049-06-15
Variable
1.81600000
N
N
N
N
N
N
FIRSTKEY REVOLVING TRUST FKRT_20-C2
N/A
FKRT
N/A
10592111.95350000
PA
USD
10687440.96000000
0.738428346714
Long
ABS-MBS
CORP
US
Y
3
2023-07-03
Fixed
5.47000000
N
N
N
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAC2
427500.00000000
PA
USD
436434.75000000
0.030154626546
Long
ABS-O
CORP
US
N
2
2045-06-15
Fixed
4.49700000
N
N
N
N
N
N
SMITHFIELD FOODS INC
CVTIPZRZJC0JQEZLL598
Smithfield Foods, Inc.
832248BC1
970000.00000000
PA
USD
972095.20000000
0.067165063561
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
Newstar Fairfield Fund CLO LTD
N/A
NewStar Fairfield Fund CLO Ltd.
65252BAA1
989328.86450000
PA
USD
965123.94000000
0.066683397649
Long
ABS-O
CORP
KY
N
2
2030-04-20
Floating
1.54200000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - Rec JPY / Deliver USD
N/A
272035950.00000000
NC
4312.91000000
0.000297992289
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
2593041.18000000
USD
272035950.00000000
JPY
2021-12-20
4312.91000000
N
N
N
BORGWARNER INC
549300DSFX2IE88NSX47
BorgWarner, Inc.
099724AL0
2310000.00000000
PA
USD
2437784.67000000
0.168434081671
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
2.65000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - Rec ILS / Deliver USD
N/A
20150410.00000000
NC
567191.28000000
0.039188999567
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
5413139.02000000
USD
20150410.00000000
ILS
2022-08-01
567191.28000000
N
N
N
Station Place Securitization T
N/A
Station Place Securitization Trust
85771KAE3
1000000.00000000
PA
USD
1000000.00000000
0.069093092488
Long
ABS-O
CORP
US
Y
3
2051-06-25
Floating
2.89800000
N
N
N
N
N
N
SABRE GLBL INC
F2TJC7HPPHLHU1AQMP98
Sabre GLBL, Inc.
78573NAF9
875000.00000000
PA
USD
883750.00000000
0.061061020486
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
7.37500000
N
N
N
N
N
N
LoanCore 2018-CRE1 Issuer, Ltd
N/A
LoanCore Issuer Ltd.
53946MAC1
1000000.00000000
PA
USD
991299.10000000
0.068491920400
Long
ABS-O
CORP
KY
N
2
2028-05-15
Floating
1.65200000
N
N
N
N
N
N
ENERSYS
7ZS3DE5PN30BYUJFWP05
EnerSys
29275YAB8
50000.00000000
PA
USD
51625.00000000
0.003566930899
Long
DBT
CORP
US
N
2
2023-04-30
Fixed
5.00000000
N
N
N
N
N
N
SG Commercial Mortgage Securit
549300SZQW4U3UN4A157
SG Commercial Mortgage Securities Trust
78419CAG9
9553830.97790000
PA
USD
704552.04000000
0.048679679262
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
2.12700000
N
N
N
N
N
N
REINSURANCE GRP OF AMER
LORM1GNEU1DKEW527V90
Reinsurance Group of America, Inc.
759351AP4
5350000.00000000
PA
USD
5824744.77000000
0.402449629115
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
3.15000000
N
N
N
N
N
N
2020-10-30
Guggenheim Funds Trust
John Sullivan
John Sullivan
CFO